<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- 07538
LORD ABBETT SECURITIES TRUST
----------------------------
(Exact name of Registrant as specified in charter)
90 HUDSON STREET, JERSEY CITY, NJ 07302
---------------------------------------
(Address of principal executive offices) (zip code)
Christina T. Simmons, Vice President & Assistant Secretary
90 HUDSON STREET, JERSEY CITY, NJ 07302
---------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 201-6984
--------------
Date of fiscal year end: 10/31
Date of reporting period: 4/30/2005
---------
<Page>
ITEM 1: REPORT TO SHAREHOLDERS.
<Page>
[LORD ABBETT LOGO]
2005
SEMI-
ANNUAL
REPORT
LORD ABBETT
ALL VALUE FUND
ALPHA FUND
INTERNATIONAL CORE EQUITY
FUND
INTERNATIONAL OPPORTUNITIES
FUND
LARGE-CAP VALUE FUND
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2005
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT SECURITIES TRUST
SEMI-ANNUAL REPORT
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2005
DEAR SHAREHOLDERS: We are pleased to provide you with this overview of Lord
Abbett Securities Trust's strategies and performance for the six-month period
ended April 30, 2005. On this and the following pages, we discuss the major
factors that influenced performance.
Thank you for investing in Lord Abbett Mutual Funds. We value the trust that
you place in us and look forward to serving your investment needs in the years
to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE REPORTING PERIOD?
A: The U.S. economy began the six-month period ended April 30, 2005 with signs
of healthy growth. However, by period end, investor optimism had waned as energy
prices soared and the stock market relinquished some of its previous gains.
Of greatest note, the Federal Reserve Board (the Fed) continued its measured
pace of interest rate hikes, raising the fed funds rate in 0.25% increments in
November, December, February and March, bringing the rate to 2.75% at the end of
the six-month period. (The fed funds rate is the rate charged by banks with
excess reserves at the Federal Reserve district bank to other banks needing
overnight loans to meet reserve requirements.) The March interest rate hike
marked the seventh quarter-point increase since June 2004.
Broad stock indices finished calendar year 2004 strong, but stumbled out of
the gate in early 2005. The S&P 500 Index(1) gained 4.1% in November 2004 and
3.4% in December 2004, finishing calendar year 2004 with a 10.9% gain. By the
end of the first quarter of 2005, however, the Index had declined 2.2%, largely
reflecting investors' concerns that rising oil and gas prices would hurt
economic growth by cutting into corporate profits and dampening consumer
spending. Even with an agreement among members of the Organization of Petroleum
Exporting Countries (OPEC) to increase oil production, crude oil prices climbed
to over $57 per barrel.
Nonetheless, the U.S. economy continued to grow at a healthy pace during the
first quarter of 2005 and, despite rising interest rates, corporate fundamentals
remained positive. Improved profitability continued to generate excess cash,
strengthening corporate balance sheets, and business spending picked up.
Elsewhere, U.S. housing starts reached their highest reported level in 21
years,
1
<Page>
- --------------------------------------------------------------------------------
and the unemployment rate remained stable at 5.2%, except for a small uptick to
5.4% in February of 2005.
By the end of the six-month period, however, investors had more to fret
about than the price of oil when a warning on profits from General Motors
triggered a flight out of equity and the Consumer Price Index (CPI) showed a
slight upward bias. (The CPI is a commonly used measure of inflation, which
reflects changes in the prices paid by urban consumers for a representative
basket of goods and services.) In April, for the third consecutive month, the
Consumer Confidence Index declined. (Based on a representative sample of 5,000
households, the Consumer Confidence Index measures consumer confidence about
current business, employment and economic conditions as well as their
expectations for the same six months hence.) As the six-month period ended April
30, 2005 came to a close, investors were cautious.
Meanwhile, as in domestic markets, the international equity markets, as
measured by the MSCI Europe, Australasia and Far East (EAFE)(R) Index,(2) began
the six-month period with strong gains, but ended with a market slow down. The
broad-based rally in foreign stocks in the beginning of the six-month period
reflected better corporate earnings growth. Emerging markets also did
exceptionally well as world economic growth reached a twenty-year high. This
continued through December of 2004 and into January and February of 2005 as
corporate earnings tracked positively with strong global growth.
The trend ended abruptly, however, in March as higher energy prices, as well
as interest-rate and credit-risk concerns in the United States and emerging
markets prompted a widespread sell-off of "risky" assets. Despite the sharp
market correction, most major international equity indexes finished the first
quarter of calendar 2005 in positive territory when measured in local
currencies. But, the U.S. dollar rose versus most major foreign currencies,
eroding these gains by roughly 4.5% and leaving the overall MSCI EAFE(R) Index
in U.S. dollars down slightly for the first quarter of calendar 2005. In April,
market volatility and overall negative returns continued throughout the world's
markets.
On a regional basis, the Chinese economy, which had been growing strongly
throughout much of 2004, began to slow due to economic controls put into place
by the Chinese government. This caused many of the other Asian economies
including Japan, Korea, and Taiwan to slow down as well. The European economies
also slowed as corporations and consumers reduced spending.
2
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT ALL VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 3.3%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 3000(R) Value
Index,(3) which returned 6.3% over the same period. Standardized Average Annual
Total Returns, which reflect performance at the maximum 5.75% sales charge
applicable to Class A share investments and include the reinvestment of all
distributions, are 1 Year: 2.38%, 5 Years: 4.54% and Since Inception (July 15,
1996): 11.29%. Class A shares purchased subject to a front-end sales charge have
no contingent deferred sales charge (CDSC). However, certain purchases of Class
A shares made without a front-end sales charge may be subject to a CDSC of 1.0%
if the shares are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The largest detractor to portfolio performance relative to the benchmark for
the six-month period ended April 30, 2005 was stock selection within the
materials and processing sector. Many basic materials underperformed in the
six-month period. The materials and processing sector includes companies in the
business of producing or refining goods usually derived from natural resources,
including chemicals, construction materials, containers and packaging, metals
and mining, and paper and forest products companies. A gold company disappointed
based on overall declining gold prices between November 2004 and February 2005.
An aluminum products producer and a producer of paper, packaging and forest
products also performed poorly because of slowing demand in the first quarter of
2005 as energy prices rose.
In addition, poor performance by several holdings within the producer
durables sector hurt performance. Producer durables include industrials and
capital goods used in the production of other goods such as industrial
buildings, machinery and equipment. A machinery manufacturer underperformed due
to a
3
<Page>
- --------------------------------------------------------------------------------
slow down in orders. Also, a leading manufacturer of small engines suffered
because of poor spring weather, the bankruptcy of one of its customers and
rising energy costs. The Fund's underweight position within the
strong-performing consumer staples sector also took away from performance for
the six-month period. Consumer staples companies include those that produce or
sell regularly consumed goods, such as food, beverages, tobacco, prescription
drugs, and household products.
A substantial underweight position within the poorly performing financial
services sector was the largest positive contributor to relative Fund
performance for the six-month period. Additionally, the other energy and
integrated oil sectors made a strong contribution to the base return. Virtually
every energy-related holding was up significantly due to the rising cost of oil
and increases in oil and gas drilling, and the portfolio's overweight position
within the other energy sector contributed favorably. Strong stock selection
within the auto & transportation sector helped performance as did the choice of
holdings within the consumer discretionary sector. The consumer discretionary
sector includes stocks within the consumer durables, apparel, media, hotel and
leisure industries.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT ALPHA FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: The Alpha Fund uses a "fund of funds" approach, which currently divides
assets among Lord Abbett Developing Growth Fund, Lord Abbett Securities Trust -
International Opportunities Fund and Lord Abbett Research Fund, Inc. - Small-Cap
Value Fund. As a result, the Fund's performance is directly related to the
performance of its underlying funds.
For the six-month period ended April 30, 2005, the Alpha Fund returned 4.3%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the S&P/Citigroup Small
Cap World Index,(4) which returned 7.9% over the same period. Standardized
Average Annual Total Returns, which reflect performance at the maximum 5.75%
sales charge applicable to Class A share investments and include the
reinvestment of all distributions, are 1 Year: 0.66%, 5 Years: -0.20% and Since
Inception (March 18, 1998): 1.73%. Class A shares purchased subject to a
front-end sales charge have no contingent deferred sales charge (CDSC). However,
certain purchases of Class A
4
<Page>
- --------------------------------------------------------------------------------
shares made without a front-end sales charge may be subject to a CDSC of 1.0% if
the shares are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
LORD ABBETT DEVELOPING GROWTH FUND COMPONENT
(APPROXIMATELY 27.7% OF ALPHA FUND'S PORTFOLIO)
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned -2.1%,
reflecting performance at the Net Asset Value (NAV) of Class Y shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R)
Growth Index,(5) which returned -2.0% over the same period. Standardized Average
Annual Total Returns, which reflect performance of Class Y share investments and
include the reinvestment of all distributions, are 1 Year: -1.75%, 5 Years:
- -4.23% and Since Inception (December 30, 1997): 1.55%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest detractor to the Fund's performance relative to the benchmark
for the six-month period ended April 30, 2005 was stock selection within the
consumer discretionary sector. This sector includes consumer durables, apparel,
media, hotel and leisure industries. A producer of watches and related
accessories suffered when reduced demand caused a build up of inventory
resulting in a slow down in the company's growth. An online retailer of closed
out merchandise underperformed when its expenses grew faster than anticipated
offsetting expanded sales.
Selection of stocks within the materials and processing sector also hurt
portfolio performance. The materials and processing sector includes companies in
the business of producing or refining goods usually derived from natural
resources, including chemicals, construction materials, containers and
5
<Page>
- --------------------------------------------------------------------------------
packaging, metals and mining, and paper and forest products companies.
Elsewhere, a service provider to the telecommunications industry performed
poorly during the six-month period when a number of large telephone companies
unexpectedly delayed the rollout of fiber-based, high-speed internet access to
private homes.
Stock selection within the healthcare sector was the largest positive
contributor to portfolio performance. A manufacturer of DNA chip technology used
for the discovery of genetic information needed to diagnose, monitor and treat
disease reported greater-than-expected revenue and growth due to positive market
reaction to a new product. Also, a provider of managed care organizations based
in Nevada outperformed because of greater-than-anticipated patient enrollment.
In addition, choice of holdings within the technology sector aided performance.
A provider of technology services to the U.S. government outperformed when it
was awarded some large federal government contracts. Another technology holding,
a leading provider of Global Positioning System (GPS) technology, gained due to
the success of its new products in the engineering, construction and
agricultural markets.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND COMPONENT
(APPROXIMATELY 40.2% OF ALPHA FUND'S PORTFOLIO)
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 9.4%,
reflecting performance at the Net Asset Value (NAV) of Class Y shares with all
distributions reinvested, compared with its benchmark, the S&P/Citigroup U.S.
$500 Million - U.S. $2.5 Billion World ex-U.S. Index,(6) which returned 13.1%
over the same period. Standardized Average Annual Total Returns, which reflect
performance of Class Y shares and include the reinvestment of all distributions,
are 1 Year: 10.18%, 5 Years: -6.56% and Since Inception (December 30, 1997):
0.79%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
SEE DISCUSSION ABOUT LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND ON PAGE 9.
6
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT SMALL-CAP VALUE FUND COMPONENT
(APPROXIMATELY 29.7% OF ALPHA FUND'S PORTFOLIO)
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 3.9%,
reflecting performance at the Net Asset Value (NAV) of Class Y shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R) Value
Index(7) which returned 1.5% over the same period. Standardized Average Annual
Total Returns, which reflect performance of Class Y share investments and
include the reinvestment of all distributions, are 1 Year: 11.17%, 5 Years:
15.40% and Since Inception (December 30, 1997): 11.22%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection and an overweight position within the producer durables
sector were the greatest contributors to the Fund's outperformance relative to
its benchmark for the six-month period ended April 30, 2005. Producer durables
include industrials and capital goods used in the production of other goods such
as industrial buildings, machinery and equipment. A provider of equipment and
software to electric, gas and water utilities was the best sector performer for
the six-month period. The company is benefiting from public utility commission
increases in budgets for utilities to upgrade utility meters and automated meter
reading systems. In addition, three aerospace equipment manufacturing holdings
reported gains. An underweight position and strong stock selection within the
overall poorly performing technology sector also aided relative portfolio
performance. A developer of enterprise applications serving the hospitality and
specialty retail industries was a strong technology performer during the
six-month period.
Stock selection within the consumer discretionary sector was the largest
detractor to Fund performance. The consumer discretionary sector includes
companies that produce or sell goods typically consumed on an irregular or
one-time basis, including automobiles and components, consumer durables,
apparel, hotels, restaurants, leisure, media and retailing companies. A quality
furniture retailer underperformed due to an increasingly competitive market
7
<Page>
- --------------------------------------------------------------------------------
environment and the company's introduction of a new, unproven retail strategy.
Also, an importer of gifts and home furnishings disappointed when its turnaround
efforts stalled.
A provider of specialized management consulting and technical services in
the areas of resource management, infrastructure and communications reported
poor performance when a turnaround continued to fall behind expectations. An
underweight position within the strong performing utilities sector also took
away from relative performance. While selection of a large water utility company
produced strong returns, the portfolio was negatively impacted by its very small
position in this sector.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT INTERNATIONAL CORE EQUITY FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 9.5%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the MSCI Europe,
Australasia, Far East (EAFE)(R) Index,(2) which returned 9.0% over the same
period. Standardized Average Annual Total Returns, which reflect performance at
the maximum 5.75% sales charge applicable to Class A share investments and
include the reinvestment of all distributions, are 1 Year: 7.32% and Since
Inception (December 31, 2003): 4.42%. Class A shares purchased subject to a
front-end sales charge have no contingent deferred sales charge (CDSC). However,
certain purchases of Class A shares made without a front-end sales charge may be
subject to a CDSC of 1.0% if the shares are redeemed within 12 months of the
purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The primary contributor to Fund performance relative to its benchmark for the
six-month period ended April 30, 2005 was stock selection within the
8
<Page>
- --------------------------------------------------------------------------------
telecommunication services sector. Higher dividends and increased buy-backs of
shares led to strong stock prices among a number of large European
telecommunications companies. Good stock selection and an overweight position
within the energy sector also helped performance. Much of the energy
outperformance can be attributed to strength among Asian energy companies and a
European exploration and production company.
In addition, stock selection and an overweight position within the consumer
discretionary sector boosted Fund performance. The consumer discretionary sector
includes companies that produce or sell goods typically consumed on an irregular
or one-time basis. These include automobiles and components, consumer durables,
apparel, hotels, restaurants, leisure, media and retailing companies. Strong
performance in this sector was due to outstanding returns from a Spanish
television station, a global publishing company and a Japanese retailer.
The greatest detractor to performance relative to its benchmark for the
six-month period ended April 30, 2005 was stock selection within healthcare. Two
global pharmaceutical companies reported earnings below market expectations, as
did a generic drug company and a medical equipment company both based in Eastern
Europe. Stock selection in the financial services sector also took away from
performance as Asian financial companies underperformed the period. Finally, an
underweight position in the utilities sector also hurt relative performance as
this sector produced strong returns for the six-month period.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 9.2%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the S&P/Citigroup U.S.
$500 Million - U.S. $2.5 Billion World ex-U.S. Index,(6) which returned 13.1%
over the same period. Standardized Average Annual Total Returns, which reflect
performance at the maximum 5.75% sales charge applicable to Class A share
investments and include the reinvestment of all distributions, are 1 Year:
3.45%, 5 Years: -7.97% and Since Inception (December 13, 1996): 1.85%. Class A
shares purchased subject to a front-end sales charge have no
9
<Page>
- --------------------------------------------------------------------------------
contingent deferred sales charge (CDSC). However, certain purchases of Class A
shares made without a front-end sales charge may be subject to a CDSC of 1.0% if
the shares are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The largest detractor to portfolio performance relative to its benchmark for
the six-month period ended April 30, 2005 was stock selection within the
telecommunication services sector including significant underperformance by an
Italian telecommunications provider. The company was considering a takeover
perceived by the market to be very dilutive. They then executed a substantial
equity offering equal to about 40% of its market capitalization. Market reaction
to this strategy was not favorable during the period.
Another holding that took away from performance was a Canadian soft drink
producer within the consumer staples sector. Consumer staples companies include
those that produce or sell regularly consumed goods, such as food, beverages,
tobacco, prescription drugs, and household products. The soft drink company was
hurt by higher-than-expected raw material prices including an increase in the
price of plastics. Overall, stock selection within Japan and the United Kingdom
negatively impacted portfolio return for the six-month period.
The biggest positive contributor to portfolio performance was an underweight
position within the materials sector. This sector includes companies in the
business of producing or refining goods usually derived from natural resources,
including chemicals, construction materials, containers and packaging, metals
and mining, and paper and forest products companies. Valuations in materials
were becoming extended compared to historical levels indicating the prudence of
a smaller position at this time.
Stock selection within the financials sector also helped performance,
specifically in the real estate markets of Japan and Hong Kong. After 15 years
of continuous price declines for Japanese real estate, there were finally signs
of very strong demand for property and the first signs of improving rent. In
Hong Kong,
10
<Page>
- --------------------------------------------------------------------------------
office rental space prices have nearly doubled. This is a significant change
after several years of declining Hong Kong rental prices.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT LARGE-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 3.9%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 1000(R) Value
Index,(8) which returned 6.7% over the same period. Standardized Average Annual
Total Returns, which reflect performance at the maximum 5.75% sales charge
applicable to Class A share investments and include the reinvestment of all
distributions, are 1 Year: 1.45% and Since Inception (June 30, 2003): 9.20%.
Class A shares purchased subject to a front-end sales charge have no contingent
deferred sales charge (CDSC). However, certain purchases of Class A shares made
without a front-end sales charge may be subject to a CDSC of 1.0% if the shares
are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND IS NO GUARANTEE OF FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED.
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR
WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest detractor to the Fund's performance relative to its benchmark
for the six-month period ended April 30, 2005 was stock selection within the
producer durables sector. Producer durables include industrials and capital
goods used in the production of other goods such as industrial buildings,
machinery and equipment. A machinery manufacturer underperformed due to a
slowdown in orders. Another machinery manufacturer holding underperformed due to
expectations of a moderation in final demand in 2005 and higher material costs.
In addition, a technology and business services company and a semiconductor
testing equipment company were hurt by lower-than-expected corporate spending on
technology-related capital goods throughout the first quarter of 2005.
11
<Page>
- --------------------------------------------------------------------------------
Stock selection within the consumer staples sector also hurt performance.
Consumer staples companies include those that produce or sell regularly consumed
goods, such as food, beverages, tobacco, prescription drugs, and household
products. A producer of cereals and snack foods underperformed as investors
reacted with uncertainty to the resignation of the company's CEO to become U.S.
Secretary of Commerce. Another food company also reported poor performance due
to investors' fears that increases in the costs of packaging and other
commodities may undermine the company's cost saving program.
An underweight position within the financial services sector was the
greatest positive contributor to portfolio performance. An HMO health insurer
was helped by the strong overall performance of the healthcare industry. Another
financial services holding gained because of strong sales of variable annuities
and better-than-expected underwriting results in its property and casualty
insurance business. An overweight position within the healthcare sector was also
a significant positive contributor to portfolio performance. Four drug industry
holdings performed well as demand for drugs remained steady and a slowing
economy shifted investor focus to less economically sensitive stocks.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
A PROSPECTUS CONTAINS IMPORTANT INFORMATION ABOUT A FUND, INCLUDING A FUND'S
INVESTMENT OBJECTIVES, RISKS, CHARGES AND ONGOING EXPENSES, THAT AN INVESTOR
SHOULD CAREFULLY CONSIDER BEFORE INVESTING. TO OBTAIN A PROSPECTUS ON ANY LORD
ABBETT MUTUAL FUND, CONTACT YOUR INVESTMENT PROFESSIONAL, OR LORD ABBETT
DISTRIBUTOR LLC AT (800) 874-3733 OR www.LordAbbett.com. READ THE PROSPECTUS
CAREFULLY BEFORE INVESTING.
12
<Page>
- --------------------------------------------------------------------------------
(1) The S&P 500 Index is widely regarded as the standard for measuring large-cap
U.S. stock market performance. This popular index includes a representative
sample of leading companies in leading industries. The Index is unmanaged, does
not reflect the deduction of fees or expenses and is not available for direct
investment.
(2) The MSCI Europe, Australasia and Far East (EAFE)(R) Index is an unmanaged
capitalization index representing the industry composition and a sampling of
small, medium and large capitalization companies from the aforementioned global
markets. It is a Morgan Stanley International Index that includes stocks traded
on 21 exchanges in Europe, Australasia and the Far East. The Index is unmanaged,
does not reflect the deduction of fees or expenses and is not available for
direct investment.
(3) The Russell 3000(R) Value Index measures the performance of those Russell
3000 companies with lower price-to-book ratios and lower forecasted growth
values. The stocks in this Index are also members of either the Russell 1000(R)
Value or the Russell 2000(R) Value indices. Indices are unmanaged, do not
reflect the deduction of fees or expenses and are not available for direct
investment.
(4) The S&P/Citigroup Small Cap World Index is a subset of the Global Citigroup
Broad Market Index (BMI).
(5) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values. The Index is unmanaged, does not reflect the deduction of fees or
expenses and is not available for direct investment.
(6) S&P/Citigroup Global Equity Index System(SM) and the names of each of the
indices and subindices which it comprises (GEIS and such indices and subindices,
each an "Index" and collectively, the "Indices") are service marks of Citigroup.
The S&P/Citigroup U.S. $500 Million - U.S. $2.5 Billion World ex-U.S. Index is a
subset of the Global S&P/Citigroup Broad Market Index (BMI). The World ex-U.S.
composite includes all developed countries except the United States. Indices are
unmanaged, do not reflect the deduction of fees or expenses and are not
available for direct investment.
(7) The Russell 2000(R) Value Index measures the performance of those Russell
2000 companies with lower price-to-book ratios and lower forecasted growth
values. The Index is unmanaged, does not reflect the deduction of fees or
expenses and is not available for direct investment.
(8) The Russell 1000(R) Value Index measures the performance of those Russell
1000 companies with lower price-to-book ratios and lower forecasted growth
values. The Index is unmanaged, does not reflect the deduction of fees or
expenses and is not available for direct investment.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
The views of each Fund's management and the portfolio holdings described in this
report are as of April 30, 2005; these views and portfolio holdings may have
changed subsequent to this date and they do not guarantee the future performance
of the markets or each Fund. Information provided in this report should not be
considered a recommendation to purchase or sell securities.
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with
each Fund, please see each Fund's Prospectus.
PERFORMANCE: BECAUSE OF ONGOING MARKET VOLATILITY, A FUND'S PERFORMANCE MAY BE
SUBJECT TO SUBSTANTIAL FLUCTUATION. Except where noted, comparative fund
performance does not account for the deduction of sales charges and would be
different if sales charges were included. Each Fund offers additional classes of
shares with distinct pricing options. For a full description of the differences
in pricing alternatives, please see a Fund's Prospectus.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
13
<Page>
- --------------------------------------------------------------------------------
EXPENSE EXAMPLES
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges on purchase payments (these charges vary among
the share classes) and redemption fees (International Core Equity Fund and
International Opportunties Fund only); and (2) ongoing costs, including
management fees; distribution and service (12b-1) fees (these charges vary among
the share classes); and other Fund expenses. These Examples are intended to help
you understand your ongoing costs (in dollars) of investing in each Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (November 1, 2004 through April 30,
2005).
ACTUAL EXPENSES
For each class of the Fund, the first line of the table on the following
page provides information about actual account values and actual expenses. You
may use the information in this line, together with the amount you invested, to
estimate the expenses that you paid over the period. Simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),
then multiply the result by the number in the first line under the heading
entitled "Expenses Paid During the Period 11/1/04 - 4/30/05" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of the Fund, the second line of the table on the following
page provides information about hypothetical account values and hypothetical
expenses based on each Fund's actual expense ratio and an assumed rate of return
of 5.0% per year before expenses, which is not the Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds. To do so, compare this 5.0% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
14
<Page>
ALL VALUE FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such as
sales charges. Therefore, the second line of the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----------- ----------- -----------
11/1/04 -
11/1/04 4/30/05 4/30/05
----------- ----------- -----------
CLASS A
Actual $ 1,000.00 $ 1,032.90 $ 5.90
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,018.99 $ 5.86
CLASS B
Actual $ 1,000.00 $ 1,029.90 $ 9.13
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,015.79 $ 9.07
CLASS C
Actual $ 1,000.00 $ 1,030.20 $ 9.13
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,015.79 $ 9.07
CLASS P
Actual $ 1,000.00 $ 1,032.40 $ 6.40
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,018.49 $ 6.36
CLASS Y
Actual $ 1,000.00 $ 1,034.50 $ 4.07
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,020.79 $ 4.04
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (1.17% for Class A, 1.81% for Classes B and C, 1.26%
for Class P and 0.81% for Class Y) multiplied by the average account value
over the period, multiplied by 181/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
APRIL 30, 2005
<Table>
<Caption>
SECTOR %*
Auto & Transportation 2.92%
Consumer Discretionary 10.10%
Consumer Staples 2.96%
Financial Services 13.51%
Healthcare 8.06%
Integrated Oils 7.38%
Materials & Processing 15.64%
Other 7.83%
Other Energy 7.14%
Producer Durables 8.07%
Short-Term Investment 4.52%
Technology 5.86%
Utilities 6.01%
Total 100.00%
</Table>
* Represents percent of total investments.
15
<Page>
ALPHA FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----------- ----------- -----------
11/1/04 -
11/1/04 4/30/05 4/30/05
----------- ----------- -----------
CLASS A
Actual $ 1,000.00 $ 1,042.60 $ 1.79
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,023.04 $ 1.77
CLASS B
Actual $ 1,000.00 $ 1,039.50 $ 5.05
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,019.84 $ 5.00
CLASS C
Actual $ 1,000.00 $ 1,040.10 $ 5.05
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,019.84 $ 5.00
CLASS Y
Actual $ 1,000.00 $ 1,044.70 $ 0.00
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,024.79 $ 0.00
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (0.35% for Class A, 1.00% for Classes B and C, and
0.00% for Class Y) multiplied by the average account value over the period,
multiplied by 181/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY INVESTMENT OBJECTIVE
APRIL 30, 2005
<Table>
<Caption>
INVESTMENT OBJECTIVE %*
Long-Term Growth of Capital+ 27.67%
Long-Term Capital Appreciation+ 69.87%
Short-Term Investment 2.46%
Total 100.00%
</Table>
* Represents percent of total investments.
+ Alpha Fund invests in other funds ("Underlying Funds") managed by Lord,
Abbett & Co. LLC. The category shown represents the investment objective of
these Underlying Funds.
16
<Page>
INTERNATIONAL CORE EQUITY FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges or redemption fees. Therefore, the second line of the table is useful in
comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds. In addition, if these transactional costs were
included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----------- ----------- -----------
11/1/04 -
11/1/04 4/30/05 4/30/05
----------- ----------- -----------
CLASS A
Actual $ 1,000.00 $ 1,094.90 $ 8.17
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.99 $ 7.86
CLASS B
Actual $ 1,000.00 $ 1,091.70 $ 11.40
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,013.89 $ 10.97
CLASS C
Actual $ 1,000.00 $ 1,091.60 $ 11.40
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,013.89 $ 10.97
CLASS P
Actual $ 1,000.00 $ 1,095.10 $ 8.48
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.69 $ 8.17
CLASS Y
Actual $ 1,000.00 $ 1,097.30 $ 6.29
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,018.79 $ 6.05
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (1.58% for Class A, 2.22% for Classes B and C, 1.67%
for Class P and 1.22% for Class Y) multiplied by the average account value
over the period, multiplied by 181/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
APRIL 30, 2005
<Table>
<Caption>
SECTOR %*
Auto 2.57%
Basic Industry 1.77%
Capital Goods 2.04%
Consumer Cyclicals 2.31%
Consumer Discretionary 1.54%
Consumer Non-Cyclicals 0.52%
Consumer Services 3.81%
Consumer Staples 6.42%
Energy 4.63%
Financial Services 24.41%
Healthcare 9.37%
Integrated Oils 1.79%
Materials & Processing 8.42%
Other 3.63%
Producer Durables 3.31%
Short-Term Investment 3.28%
Technology 6.42%
Telecommunications 10.69%
Transportation 1.13%
Utilities 1.94%
Total 100.00%
</Table>
* Represents percent of total investments.
17
<Page>
INTERNATIONAL OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges or redemption fees. Therefore, the second line of the table is useful in
comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds. In addition, if these transactional costs were
included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----------- ----------- -----------
11/1/04 -
11/1/04 4/30/05 4/30/05
----------- ----------- -----------
CLASS A
Actual $ 1,000.00 $ 1,091.60 $ 8.89
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.29 $ 8.57
CLASS B
Actual $ 1,000.00 $ 1,088.60 $ 12.32
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,012.99 $ 11.88
CLASS C
Actual $ 1,000.00 $ 1,088.00 $ 12.32
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,012.99 $ 11.88
CLASS P
Actual $ 1,000.00 $ 1,093.70 $ 7.75
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,017.39 $ 7.46
CLASS Y
Actual $ 1,000.00 $ 1,093.90 $ 7.12
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,017.99 $ 6.86
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (1.72% for Class A, 2.37% for Classes B and C, 1.49%
for Class P and 1.37% for Class Y) multiplied by the average account value
over the period, multiplied by 181/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
APRIL 30, 2005
<Table>
<Caption>
SECTOR %*
Basic Materials 5.32%
Conglomerates 1.01%
Consumer Cyclicals 16.19%
Consumer Non-Cyclicals 6.04%
Diversified Financials 1.91%
Energy 5.88%
Healthcare 8.19%
Industrial Goods & Services 16.62%
Non-Property Financials 12.28%
Property & Property Services 6.72%
Short-Term Investment 0.15%
Technology 9.49%
Telecommunications 2.23%
Transportation 3.63%
Utilities 4.34%
Total 100.00%
</Table>
* Represents percent of total investments.
18
<Page>
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----------- ----------- -----------
11/1/04 -
11/1/04 4/30/05 4/30/05
----------- ----------- -----------
CLASS A
Actual $ 1,000.00 $ 1,038.60 $ 4.79
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,020.09 $ 4.75
CLASS B
Actual $ 1,000.00 $ 1,035.20 $ 8.04
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.89 $ 7.97
CLASS C
Actual $ 1,000.00 $ 1,034.50 $ 8.04
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.89 $ 7.97
CLASS P
Actual $ 1,000.00 $ 1,037.90 $ 5.30
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,019.59 $ 5.25
CLASS Y
Actual $ 1,000.00 $ 1,040.30 $ 2.96
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,021.89 $ 2.93
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (0.95% for Class A, 1.60% for Classes B and C, 1.05%
for Class P and 0.60% for Class Y) multiplied by the average account value
over the period, multiplied by 181/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
APRIL 30, 2005
<Table>
<Caption>
SECTOR %*
Consumer Discretionary 7.83%
Consumer Staples 11.03%
Energy 8.63%
Financials 12.87%
Healthcare 15.58%
Industrials 17.00%
Information Technology 6.48%
Materials 10.93%
Short-Term Investment 5.75%
Telecommunication Services 3.49%
Utilities 0.41%
Total 100.00%
</Table>
* Represents percent of total investments.
19
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
ALL VALUE FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
COMMON STOCKS 95.28%
ADVERTISING AGENCY 0.07%
Interpublic Group of
Cos., Inc. (The)* 125,200 $ 1,610
--------------
AEROSPACE 0.27%
Moog Inc. Class A* 202,500 6,036
--------------
AIR TRANSPORTATION 0.20%
Frontier Airlines, Inc.* 470,000 4,564
--------------
ALUMINUM 0.78%
Alcoa, Inc. 605,000 17,557
--------------
AUTO COMPONENTS 0.10%
Modine Manufacturing Co. 85,000 2,302
--------------
AUTO PARTS: AFTER MARKET 0.29%
Genuine Parts Co. 151,300 6,491
--------------
AUTO PARTS: ORIGINAL EQUIPMENT 0.39%
Dana Corp. 765,800 8,745
--------------
BANKS: NEW YORK CITY 1.20%
Bank of New York Co.,
Inc. (The) 570,000 15,926
JPMorgan Chase & Co. 315,000 11,179
--------------
TOTAL 27,105
--------------
BANKS: OUTSIDE NEW YORK CITY 5.33%
Bank of America Corp. 644,186 29,014
Cullen/Frost Bankers, Inc. 585,000 25,342
Mellon Financial Corp. 774,900 21,457
TCF Financial Corp. 170,000 4,300
Wachovia Corp. 455,000 23,287
Wells Fargo & Co. 280,000 16,783
--------------
TOTAL 120,183
--------------
BEVERAGE: SOFT DRINKS 1.86%
PepsiCo, Inc. 753,300 41,914
--------------
BIOTECHNOLOGY RESEARCH & PRODUCTION 0.73%
Baxter Int'l., Inc. 445,000 $ 16,509
--------------
BUILDING: MATERIALS 0.17%
Simpson Manufacturing
Co., Inc. 137,800 3,721
--------------
CHEMICALS 4.51%
Cytec Industries, Inc. 445,000 20,523
E.I. du Pont de
Nemours & Co. 950,000 44,754
Eastman Chemical Co. 240,000 12,960
OM Group, Inc.* 155,000 3,401
Praxair, Inc. 427,500 20,020
--------------
TOTAL 101,658
--------------
COMMUNICATIONS TECHNOLOGY 2.45%
Avaya Inc.* 930,200 8,074
McAfee, Inc.* 864,300 18,072
Motorola, Inc. 1,898,800 29,128
--------------
TOTAL 55,274
--------------
COMPUTER SERVICES SOFTWARE &
SYSTEMS 2.28%
Cadence Design Systems,
Inc.* 1,825,000 25,550
Microsoft Corp. 1,021,100 25,834
--------------
TOTAL 51,384
--------------
COMPUTER TECHNOLOGY 0.42%
UNOVA, Inc.* 530,000 9,413
--------------
CONSUMER PRODUCTS 0.42%
Gillette Co. 180,000 9,295
Yankee Candle Co.* 6,400 178
--------------
TOTAL 9,473
--------------
CONTAINERS & PACKAGING: METAL &
GLASS 0.33%
Crown Holdings Inc* 500,000 7,525
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
CONTAINERS & PACKAGING: PAPER &
PLASTIC 0.88%
Pactiv Corp.* 930,000 $ 19,939
--------------
DIVERSIFIED FINANCIAL SERVICES 2.94%
Citigroup, Inc. 935,000 43,908
Merrill Lynch & Co., Inc. 415,000 22,381
--------------
TOTAL 66,289
--------------
DIVERSIFIED MANUFACTURING 0.26%
Ball Corp. 150,000 5,925
--------------
DRUG & GROCERY STORE CHAINS 1.10%
CVS Corp. 214,600 11,069
Kroger Co.* 870,000 13,720
--------------
TOTAL 24,789
--------------
DRUGS & PHARMACEUTICALS 6.83%
GlaxoSmithKline plc ADR 520,020 26,287
Mylan Laboratories, Inc. 1,185,000 19,553
Novartis AG ADR 635,000 30,944
Pfizer, Inc. 150,000 4,075
Schering-Plough Corp. 1,490,000 31,096
Wyeth 935,000 42,019
--------------
TOTAL 153,974
--------------
ELECTRICAL EQUIPMENT &
COMPONENTS 0.96%
Emerson Electric Co. 345,000 21,621
--------------
ELECTRONICS 0.70%
Vishay Intertechnology,
Inc.* 1,478,600 15,806
--------------
ELECTRONICS: INSTRUMENTS, GAUGES &
METERS 0.24%
Itron, Inc.* 148,400 5,353
--------------
ENTERTAINMENT 2.74%
Viacom, Inc. Class B 675,000 23,368
Walt Disney Co. (The) 1,460,000 38,544
--------------
TOTAL 61,912
--------------
FERTILIZERS 0.12%
Potash Corp. of
Saskatchewan Inc.(a) 33,300 $ 2,802
--------------
FOREST PRODUCTS 0.77%
Georgia-Pacific Corp. 510,000 17,478
--------------
GOLD 2.02%
Newmont Mining Corp. 1,201,800 45,632
--------------
HEALTHCARE FACILITIES 0.13%
Pharmaceutical Product
Development, Inc.* 64,800 2,941
--------------
IDENTIFICATION CONTROL & FILTER
DEVICES 2.22%
Hubbell, Inc. 325,000 14,121
IDEX Corp. 67,000 2,496
Parker Hannifin Corp. 520,900 31,223
Roper Industries, Inc. 31,700 2,145
--------------
TOTAL 49,985
--------------
INSURANCE: MULTI-LINE 2.05%
CIGNA Corp. 110,000 10,118
Lincoln National Corp. 55,000 2,473
Markel Corp.* 24,400 8,372
Safeco Corp. 480,000 25,281
--------------
TOTAL 46,244
--------------
MACHINERY: AGRICULTURAL 1.62%
Deere & Co. 585,000 36,586
--------------
MACHINERY: ENGINES 0.84%
Briggs & Stratton Corp. 447,000 14,470
Cummins, Inc. 65,400 4,447
--------------
TOTAL 18,917
--------------
MACHINERY: INDUSTRIAL/SPECIALTY 0.67%
Illinois Tool Works, Inc. 110,000 9,220
Woodward Governor Co. 85,000 5,998
--------------
TOTAL 15,218
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
MACHINERY: OIL WELL EQUIPMENT &
SERVICES 5.92%
Baker Hughes Inc. 400,000 $ 17,648
FMC Technologies, Inc.* 82,600 2,505
Grant Prideco, Inc.* 725,000 16,059
Halliburton Co. 615,000 25,578
Helmerich & Payne, Inc. 535,070 20,568
Key Energy Services, Inc.* 870,000 9,788
Patterson-UTI Energy,
Inc. 525,000 12,584
Schlumberger Ltd.(a) 420,000 28,732
--------------
TOTAL 133,462
--------------
MACHINERY: SPECIALTY 0.20%
JLG Industries, Inc. 220,000 4,484
--------------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 0.36%
Bausch & Lomb, Inc. 107,000 8,025
--------------
METAL FRABRICATING 2.44%
Quanex Corp. 640,000 32,294
Shaw Group, Inc. (The)* 236,800 4,279
Timken Co. (The) 745,000 18,506
--------------
TOTAL 55,079
--------------
MILLING: FRUIT AND GRAIN PROCESSING 0.85%
Archer Daniels
Midland Co. 1,060,000 19,069
--------------
MISCELLANEOUS EQUIPMENT 0.68%
W.W. Grainger, Inc. 276,000 15,260
--------------
MISCELLANEOUS MATERIALS &
PROCESSING 0.15%
Rogers Corp.* 95,000 3,281
--------------
MULTI-SECTOR COMPANIES 7.81%
Carlisle Cos., Inc. 485,000 34,833
Eaton Corp. 420,000 24,633
General Electric Co. 1,860,000 67,332
Trinity Industries, Inc. 595,000 13,893
Tyco Int'l., Ltd.(a) 1,135,000 35,537
--------------
TOTAL 176,228
--------------
OFFICE FURNITURE & BUSINESS
EQUIPMENT 0.36%
Xerox Corp.* 615,000 $ 8,149
--------------
OIL: CRUDE PRODUCERS 1.21%
EOG Resources, Inc. 268,800 12,781
Grey Wolf, Inc.* 2,400,000 14,400
--------------
TOTAL 27,181
--------------
OIL: INTEGRATED DOMESTIC 1.38%
GlobalSantaFe Corp.(a) 925,000 31,080
--------------
OIL: INTEGRATED INTERNATIONAL 5.99%
ChevronTexaco Corp. 290,000 15,080
Exxon Mobil Corp. 2,105,012 120,049
--------------
TOTAL 135,129
--------------
PAINTS & COATINGS 0.48%
Valspar Corp. (The) 262,200 10,837
--------------
PAPER 1.72%
Bowater, Inc. 117,000 3,801
International Paper Co. 765,064 26,234
MeadWestvaco Corp. 295,000 8,688
--------------
TOTAL 38,723
--------------
PUBLISHING: MISCELLANEOUS 1.12%
R.R. Donnelley &
Sons Co. 770,000 25,341
--------------
RADIO & TV BROADCASTERS 0.32%
Westwood One, Inc.* 400,000 7,320
--------------
RAILROADS 1.12%
CSX Corp. 305,000 12,240
Union Pacific Corp. 205,000 13,105
--------------
TOTAL 25,345
--------------
REAL ESTATE INVESTMENT TRUSTS 1.22%
Host Marriott Corp. 1,640,000 27,585
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
ALL VALUE FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
RESTAURANTS 1.09%
Brinker Int'l., Inc.* 610,000 $ 20,618
Yum! Brands, Inc. 83,400 3,916
--------------
TOTAL 24,534
--------------
RETAIL 3.01%
Barnes & Noble, Inc.* 455,000 16,198
Federated Department
Stores, Inc. 190,000 10,925
Foot Locker, Inc. 260,000 6,932
May Department
Stores Co. 744,200 26,107
Pier 1 Imports, Inc. 372,900 5,414
Target Corp. 50,000 2,320
--------------
TOTAL 67,896
--------------
SAVINGS & LOAN 0.74%
W Holding Co., Inc. 531,700 4,301
Webster Financial Corp. 275,000 12,499
--------------
TOTAL 16,800
--------------
SERVICES: COMMERCIAL 0.99%
Sabre Holdings Corp.
Class A 315,000 6,161
Waste Management, Inc. 565,000 16,097
--------------
TOTAL 22,258
--------------
SHOES 0.31%
NIKE, Inc. Class B 91,300 7,013
--------------
STEEL 0.12%
Steel Dynamics, Inc. 100,000 2,718
--------------
TRANSPORTATION MISCELLANEOUS 0.46%
United Parcel Service,
Inc. Class B 145,300 10,361
--------------
TRUCKERS 0.35%
Heartland Express, Inc. 250,000 4,635
Werner Enterprises, Inc. 179,100 3,328
--------------
TOTAL 7,963
--------------
UTILITIES: CABLE TV & RADIO 2.07%
Comcast Corp. Class A* 1,474,775 $ 46,795
--------------
UTILITIES: ELECTRICAL 1.48%
Ameren Corp. 210,000 10,857
CMS Energy Corp.* 1,103,400 14,256
NiSource, Inc. 355,000 8,250
--------------
TOTAL 33,363
--------------
UTILITIES: TELECOMMUNICATIONS 2.13%
Verizon Communications,
Inc. 1,340,000 47,972
--------------
UTILITIES: WATER 0.31%
Aqua America, Inc. 265,050 7,077
--------------
TOTAL COMMON STOCKS
(Cost $1,957,150,780) 2,149,203
==============
<Caption>
PRINCIPAL
AMOUNT
(000)
--------------
SHORT-TERM INVESTMENT 4.51%
REPURCHASE AGREEMENT 4.51%
Repurchase Agreement
dated 4/29/2005,
2.22% due 5/2/2005
with State Street
Bank & Trust Co.
collateralized by
$104,425,000 of Federal
Home Loan Bank at
2.22% and 2.375% due
2/15/2006 and 6/9/2006;
value: $103,801,813;
proceeds: $101,780,982
(Cost $101,762,156) $ 101,762 101,762
==============
TOTAL INVESTMENTS IN
SECURITIES 99.79%
(Cost $2,058,912,936) 2,250,965
==============
OTHER ASSETS IN EXCESS
OF LIABILITIES 0.21% 4,624
--------------
NET ASSETS 100.00% $ 2,255,589
==============
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
ALPHA FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
INVESTMENTS IN UNDERLYING FUNDS 94.79%
Lord Abbett Developing
Growth Fund, Inc. -
Class Y*(a) 2,598,664 $ 37,941
Lord Abbett Research
Fund, Inc. Small-Cap
Value Fund - Class Y(b) 1,543,302 40,651
Lord Abbett Securities
Trust-International
Opportunities Fund -
Class Y(b) 5,162,296 55,133
--------------
TOTAL INVESTMENTS IN
UNDERLYING FUNDS
(Cost $126,125,425) 133,725
==============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 2.39%
REPURCHASE AGREEMENT 2.39%
Repurchase Agreement
dated 4/29/2005,
2.22% due 5/2/2005
with State Street
Bank & Trust Co.
collateralized by
$3,490,000 of
Federal National
Mortgage Assoc.
at 2.75% due 2/6/2007;
value: $3,446,375;
proceeds: $3,375,785
(Cost $3,375,161) $ 3,375 $ 3,375
==============
TOTAL INVESTMENTS IN
SECURITIES 97.18%
(Cost $129,500,586) 137,100
==============
OTHER ASSETS IN EXCESS
OF LIABILITIES 2.82% 3,972
--------------
NET ASSETS 100.00% $ 141,072
==============
</Table>
* Non-income producing security.
(a) Fund investment objective is long-term growth of capital through a
diversified and actively managed portfolio consisting of developing growth
companies, many of which are traded over the counter.
(b) Fund investment objective is long-term capital appreciation.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
INTERNATIONAL CORE EQUITY FUND APRIL 30, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
COMMON STOCK 93.46%
AUSTRALIA 1.84%
Qantas Airways Ltd. 530,818 $ 1,339
Zinifex Ltd.* 666,902 1,562
--------------
TOTAL 2,901
--------------
AUSTRIA 3.28%
Bank Austria Creditanstalt 21,095 1,948
Raiffeisen Int'l
Bank-Holding AG* 4,716 243
Telekom Austria AG 155,507 2,985
--------------
TOTAL 5,176
--------------
CANADA 0.68%
Opti Canada, Inc.* 56,200 1,079
--------------
FINLAND 1.71%
Stora Enso Oyj Registered
Shares 104,500 1,385
UPM-Kymmene Oyj 66,100 1,316
--------------
TOTAL 2,701
--------------
FRANCE 8.76%
Air France-KLM Group 24,366 384
AXA 81,963 2,047
BNP Paribas S.A 34,235 2,259
Lafarge S.A 25,671 2,336
PSA Peugeot Citroen S.A 20,554 1,219
Sanofi-Aventis 23,525 2,083
Schneider Electric S.A 16,090 1,160
Total S.A 6,965 1,549
Vinci S.A 5,320 800
--------------
TOTAL 13,837
--------------
GERMANY 6.11%
BASF AG 23,603 1,546
Deutsche Bank AG
Registered Shares 27,491 2,231
Deutsche Telekom AG
Registered Shares 82,400 1,557
Fresenius Medical Care AG 29,411 $ 2,364
METRO AG 14,947 789
Siemens AG 15,913 1,169
--------------
TOTAL 9,656
--------------
GREECE 1.68%
National Bank of
Greece S.A 79,000 2,656
--------------
HONG KONG 3.54%
Bank of East Asia, Ltd. 397,900 1,167
China Mobile
(Hong Kong) Ltd. 471,700 1,654
China Unicom Ltd. ADR 97,700 791
China Unicom Ltd. 1,266,000 1,027
Texwinca Holdings Ltd. 1,150,700 961
--------------
TOTAL 5,600
--------------
HUNGARY 1.35%
Richter Gedeon Rt 17,559 2,132
--------------
INDIA 1.24%
Reliance Industries Ltd. 162,545 1,966
--------------
IRELAND 1.50%
DEPFA BANK plc* 154,029 2,373
--------------
ITALY 2.70%
Enel S.p.A 91,025 864
Saipem S.p.A 112,618 1,411
Telecom Italia S.p.A 353,717 1,199
Telecom Italia (RNC) S.p.A 278,472 786
--------------
TOTAL 4,260
--------------
JAPAN 18.43%
Astellas Pharma Inc. 56,700 2,053
Don Quijote Co., Ltd. 19,070 1,160
East Japan Railway Co. 265 1,379
Fanuc Ltd. 19,700 1,159
Gulliver Int'l. Co., Ltd. 5,320 759
HOYA Corp. 18,600 1,942
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL CORE EQUITY FUND APRIL 30, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
INPEX Corp. 216 $ 1,189
Japan Tobacco Inc. 99 1,275
Jupiter Telecommunications
Co., Ltd.* 3,495 2,783
Mitsubishi Tokyo Financial
Group, Inc. 134 1,158
Mitsui Chemicals, Inc. 139,604 791
Mizuho Financial
Group, Inc. 325 1,526
OBIC Co., Ltd. 6,500 1,185
ORIX Corp. 18,171 2,467
Sony Corp. 31,400 1,159
Sumitomo Corp. 290,000 2,457
Sumitomo Electric
Industries, Ltd. 186,988 1,945
Taiyo Yuden Co., Ltd. 151,000 1,559
Yamada Denki Co., Ltd. 24,362 1,164
--------------
TOTAL 29,110
--------------
NETHERLANDS 2.98%
IHC Caland N.V 35,876 2,339
ING Groep N.V. CVA 85,682 2,361
--------------
TOTAL 4,700
--------------
SOUTH KOREA 1.47%
Samsung Electronics
Co., Ltd. 2,500 1,143
POSCO ADR 26,030 1,185
--------------
TOTAL 2,328
--------------
SPAIN 2.07%
ACS, Actividades de
Construccion y
Servicios, S.A 69,975 1,706
Gestevision Telecinco, S.A.* 68,643 1,571
--------------
TOTAL 3,277
--------------
SWEDEN 1.06%
AB Volvo Class B 19,200 777
Skandia Forsakrings AB 187,800 890
--------------
TOTAL 1,667
--------------
SWITZERLAND 5.27%
Nestle S.A.-Registered
Shares 9,218 $ 2,425
Novartis AG Registered
Shares 48,817 2,376
UBS AG Registered
Shares 44,135 3,529
--------------
TOTAL 8,330
--------------
TAIWAN 1.94%
Chinatrust Financial
Holding Co., Ltd. 1,332,118 1,532
Mediatek, Inc. 201,429 1,527
--------------
TOTAL 3,059
--------------
THAILAND 1.46%
Thai Oil Co., Ltd. 1,402,700 2,299
--------------
TURKEY 0.93%
Turkiye Garanti Bankasi
A.S. ADR* 310,400 1,108
Turkiye Is Bankasi
(Isbank) A.S. GDR
Registered Shares 71,500 363
--------------
TOTAL 1,471
--------------
UNITED KINGDOM 23.46%
Allied Domecq plc 105,147 1,379
AstraZeneca plc 43,059 1,884
BAE Systems plc 580,917 2,845
BP plc 115,339 1,176
Cadbury Schweppes plc 264,920 2,664
Diageo plc 58,324 864
GlaxoSmithKline plc 56,037 1,415
HSBC Holdings plc 127,867 2,044
National Grid Transco plc 213,712 2,101
O2 plc* 1,062,413 2,376
Prudential plc 257,633 2,322
Reed Elsevier plc 149,285 1,463
Royal Bank of Scotland
Group plc 100,845 3,044
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
INTERNATIONAL CORE EQUITY FUND APRIL 30, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
Smiths Group plc 103,792 $ 1,704
Tesco plc 202,080 1,193
Tullow Oil plc 353,391 1,084
Vodafone Group plc 1,509,477 3,945
Wm Morrison
Supermarkets plc 635,437 2,364
WPP Group plc 109,052 1,185
--------------
TOTAL 37,052
--------------
TOTAL COMMON STOCKS
(COST $143,771,101) 147,630
==============
<Caption>
PRINCIPAL U.S. $
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 3.17%
REPURCHASE AGREEMENT 3.17%
Repurchase Agreement
dated 4/29/2005,
2.22% due 5/2/2005
with State Street
Bank & Trust Co.
collateralized by
$5,130,000 of Federal
Home Loan Mortgage
Corp. at zero coupon
due 5/24/2005;
value: $5,117,175;
proceeds: $5,014,384
(Cost $5,013,457) $ 5,013 $ 5,013
==============
TOTAL INVESTMENTS IN
SECURITIES 96.63%
(Cost $148,784,558) 152,643
==============
FOREIGN CASH AND OTHER ASSETS
IN EXCESS OF LIABILITIES 3.37% 5,318
--------------
NET ASSETS 100.00% $ 157,961
==============
</Table>
* Non-income producing security.
ADR American Depository Receipt.
GDR Global Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
COMMON STOCK 97.72%
AUSTRALIA 4.55%
Newcrest Mining Ltd. 204,700 $ 2,386
Oil Search Ltd. 701,000 1,259
Promina Group Ltd. 586,200 2,352
Santos Ltd. 252,000 1,831
--------------
TOTAL 7,828
--------------
AUSTRIA 2.35%
Raiffeisen Int'l. Bank -
Holding AG* 5,839 301
Telekom Austria AG 90,000 1,728
Wienerberger AG 47,700 2,020
--------------
TOTAL 4,049
--------------
BRAZIL 1.39%
Unibanco-Uniao de Bancos
Brasileiros S.A. GDR 72,200 2,396
--------------
CANADA 1.24%
RONA, Inc.* 111,000 2,132
--------------
CHINA 0.88%
Weichai Power Co., Ltd. 439,000 1,521
--------------
DENMARK 1.40%
GN Store Nord A/S 230,000 2,410
--------------
FRANCE 2.72%
IPSOS S.A 15,500 1,577
Neopost S.A 37,000 3,101
--------------
TOTAL 4,678
--------------
GERMANY 5.19%
AWD Holding AG 47,600 1,914
Fresenius Medical Care
AG ADR 96,600 2,589
Puma AG 9,400 2,166
Techem AG* 54,718 2,259
--------------
TOTAL 8,928
--------------
GREECE 1.41%
Piraeus Bank S.A 142,900 $ 2,423
--------------
HONG KONG 6.82%
China Merchants Holdings
Int'l. Co. Ltd. 870,800 1,701
China Travel Int'l
Investment
(Hong Kong) Ltd. 5,550,000 1,622
Dah Sing Financial
Group 132,222 853
Hong Kong Exchanges &
Clearing Ltd. 714,900 1,743
Hong Kong Land
Holdings Ltd. 668,981 1,933
Sino Land Co., Ltd. 2,024,300 1,903
Techtronic Industries
Co., Ltd. 890,500 1,980
--------------
TOTAL 11,735
--------------
HUNGARY 1.10%
Richter Gedeon Ltd. GDR 15,350 1,884
--------------
INDIA 1.70%
ICICI Bank Ltd. ADR 161,600 2,922
--------------
IRELAND 2.08%
DEPFA BANK plc* 142,800 2,200
ICON plc ADR* 41,700 1,386
--------------
TOTAL 3,586
--------------
ITALY 7.56%
Davide Campari-Milano
S.p.A 36,700 2,603
Hera S.p.A 969,600 2,718
Milano Assicurazioni
S.p.A 535,800 3,274
Pirelli & C. Real Estate
S.p.A 44,200 2,437
Societa Iniziative
Autostradali e
Servizi S.p.A 142,000 1,978
--------------
TOTAL 13,010
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
JAPAN 23.35%
Aeon Mall Co., Ltd. 34,600 $ 1,308
ARRK Corp. 32,800 1,282
Diamond City Co., Ltd. 28,200 847
Don Quijote Co., Ltd. 62,600 3,807
Global Media Online, Inc. 75,200 2,182
Gulliver Int'l. Co., Ltd. 13,060 1,862
Japan Cash Machine
Co., Ltd. 63,600 1,640
Joint Corp. 53,100 1,369
Jupiter Telecommunications
Co., Ltd.* 1,435 1,143
KOSE Corp. 52,140 1,923
Matsumotokiyoshi
Co. Ltd. 68,000 1,922
MISUMI Group Inc. 53,400 1,594
Mitsui Mining &
Smelting Co., Ltd. 470,200 2,019
Nitori Co., Ltd. 28,750 1,938
NOK Corp. 35,600 929
OBIC Business Consultants
Co., Ltd. 37,900 1,870
Park24 Co., Ltd. 106,400 2,121
Rengo Co., Ltd. 381,000 1,924
Shinko Electric Industries
Co., Ltd. 47,500 1,640
Sumitomo Real Estate
Sales Co., Ltd. 31,500 1,507
Sumitomo Rubber
Industries Ltd. 241,700 2,346
Take and Give Needs
Co., Ltd.* 1,430 1,549
TIS Inc. 39,800 1,440
--------------
TOTAL 40,162
--------------
LUXEMBOURG 1.26%
Gemplus Int'l. S.A.* 1,000,000 2,162
--------------
NETHERLANDS 3.90%
Aalberts Industries N.V 45,300 2,153
Ihc Caland N.V 34,725 2,264
Royal P&O Nedlloyd N.V.* 46,900 $ 2,286
--------------
TOTAL 6,703
--------------
RUSSIA 1.18%
Vimpel-Communications
ADR* 61,900 2,025
--------------
SPAIN 7.61%
ACS, Actividades de
Construccion y Servicios,
S.A 72,000 1,755
Corporacion Mapfre S.A 176,399 2,623
Fadesa Inmobiliaria, S.A.* 47,000 1,065
Grupo Empresarial ENCE,
S.A 42,500 1,189
Iberia, Lineas Aereas
de Espana, S.A 412,800 1,278
Indra Sistemas, S.A. 160,500 2,778
Prosegur Compania de
Seguridad, S.A 109,800 2,412
--------------
TOTAL 13,100
--------------
SWEDEN 1.48%
Getinge AB Class B 177,900 2,555
--------------
SWITZERLAND 4.43%
Actelion Ltd.* 20,000 2,133
Geberit AG 3,350 2,242
Nobel Biocare Holding AG 15,150 3,243
--------------
TOTAL 7,618
--------------
THAILAND 0.90%
Italian-Thai Development
Public Co., Ltd. 6,560,600 1,542
--------------
TURKEY 0.52%
Turkiye Is Bankasi
(Isbank) A.S. GDR
Registered Shares 176,000 894
--------------
UNITED KINGDOM 12.70%
AWG plc 156,100 2,603
Balfour Beatty plc 317,074 1,851
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
Cairn Energy plc* 87,000 $ 1,928
CSR plc* 259,500 1,503
easyJet plc* 608,000 2,544
Intertek Group plc 183,700 2,667
McCarthy & Stone plc 103,595 1,080
Michael Page Int'l. plc 536,800 1,973
Northgate plc 105,100 1,631
Paladin Resources plc 752,400 2,619
Peter Hambro Mining plc* 132,000 1,448
--------------
TOTAL 21,847
--------------
TOTAL COMMON STOCKS
(COST $133,668,432) 168,110
==============
<Caption>
PRINCIPAL U.S. $
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 0.15%
REPURCHASE AGREEMENT 0.15%
Repurchase Agreement
dated 4/29/2005,
2.22% due 5/2/2005
with State Street
Bank & Trust Co.
collateralized by
$260,000 of Federal
National Mortgage
Assoc. at 2.75% due
2/6/2007;
value: $256,750;
proceeds: $248,684
(Cost $248,638) $ 249 $ 249
==============
TOTAL INVESTMENTS IN
SECURITIES 97.87%
(Cost $133,917,070) 168,359
==============
FOREIGN CASH AND OTHER ASSETS
IN EXCESS OF LIABILITIES 2.13% 3,671
--------------
NET ASSETS 100.00% $ 172,030
==============
</Table>
* Non-income producing security.
ADR American Depository Receipt.
GDR Global Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
LARGE CAP VALUE APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
COMMON STOCKS 94.40%
AEROSPACE & DEFENSE 1.61%
General Dynamics Corp. 2,240 $ 235
Honeywell Int'l., Inc. 6,760 242
Raytheon Co. 1,410 53
--------------
TOTAL 530
--------------
AIR FREIGHT & COURIERS 1.02%
United Parcel Service,
Inc. Class B 4,710 336
--------------
BEVERAGES 2.13%
Diageo plc ADR 1,875 112
PepsiCo, Inc. 10,562 588
--------------
TOTAL 700
--------------
BIOTECHNOLOGY 0.66%
MedImmune, Inc.* 8,560 217
--------------
CHEMICALS 5.28%
E.I. du Pont de
Nemours & Co. 15,417 726
Monsanto Co. 5,663 332
Potash Corp. of
Saskatchewan Inc.(a) 2,736 230
Praxair, Inc. 9,614 450
--------------
TOTAL 1,738
--------------
COMMERCIAL BANKS 4.95%
Bank of America Corp. 7,152 322
Bank of New York Co.,
Inc. (The) 14,851 415
Marshall & Ilsley Corp. 3,410 145
Mellon Financial Corp. 13,373 370
U.S. Bancorp 648 18
Wachovia Corp. 4,480 229
Wells Fargo & Co. 2,171 130
--------------
TOTAL 1,629
--------------
COMMERCIAL SERVICES & SUPPLIES 0.95%
Waste Management, Inc. 10,950 $ 312
--------------
COMMUNICATIONS EQUIPMENT 1.56%
Motorola, Inc. 33,395 512
--------------
COMPUTERS & PERIPHERALS 1.87%
EMC Corp.* 25,820 339
Hewlett-Packard Co. 13,570 278
--------------
TOTAL 617
--------------
CONSTRUCTION & ENGINEERING 0.18%
Fluor Corp. 1,160 60
--------------
DIVERSIFIED FINANCIALS 6.05%
Citigroup, Inc. 11,059 519
Goldman Sachs Group,
Inc. (The) 2,970 317
JPMorgan Chase & Co. 21,415 760
MBNA Corp. 5,830 115
Merrill Lynch & Co., Inc. 5,204 281
--------------
TOTAL 1,992
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES 3.49%
SBC Communications, Inc. 16,115 384
Sprint Corp. 8,280 184
Verizon Communications,
Inc. 16,245 582
--------------
TOTAL 1,150
--------------
ELECTRICAL EQUIPMENT 0.83%
Emerson Electric Co. 4,371 274
--------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS 0.21%
Solectron Corp.* 20,800 69
--------------
ENERGY EQUIPMENT & SERVICES 3.15%
Baker Hughes, Inc. 10,602 468
Schlumberger Ltd.(a) 8,324 569
--------------
TOTAL 1,037
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
LARGE CAP VALUE APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING 2.32%
CVS Corp. 6,270 $ 324
Kroger Co.* 27,975 441
--------------
TOTAL 765
--------------
FOOD PRODUCTS 3.67%
Archer Daniels
Midland Co. 2,643 48
Campbell Soup Co. 7,230 215
H.J. Heinz Co. 5,615 207
Kraft Foods, Inc. Class A 22,745 737
--------------
TOTAL 1,207
--------------
GAS UTILITIES 0.41%
El Paso Corp. 13,620 136
--------------
HEALTHCARE EQUIPMENT &
SUPPLIES 1.97%
Baxter Int'l., Inc. 16,043 595
Guidant Corp. 730 54
--------------
TOTAL 649
--------------
HEALTHCARE PROVIDERS & SERVICES 2.54%
Cardinal Health, Inc. 9,658 537
CIGNA Corp. 3,245 298
--------------
TOTAL 835
--------------
HOUSEHOLD DURABLES 0.59%
Newell Rubbermaid, Inc. 8,904 193
--------------
HOUSEHOLD PRODUCTS 1.70%
Clorox Co. (The) 4,070 258
Kimberly-Clark Corp. 4,820 301
--------------
TOTAL 559
--------------
INDUSTRIAL CONGLOMERATES 4.29%
General Electric Co. 28,260 1,023
Tyco Int'l. Ltd.(a) 12,403 388
--------------
TOTAL 1,411
--------------
INSURANCE 1.88%
American Int'l. Group,
Inc. 4,270 $ 217
Chubb Corp. 840 69
Hartford Financial
Services Group, Inc. (The) 4,606 333
--------------
TOTAL 619
--------------
INTERNET SOFTWARE & SERVICES 0.40%
Automatic Data
Processing, Inc. 3,010 131
--------------
MACHINERY 5.78%
Caterpillar, Inc. 2,300 203
Deere & Co. 13,256 829
Eaton Corp. 6,222 365
Illinois Tool Works, Inc. 281 24
Pall Corp. 3,300 89
Parker Hannifin Corp. 6,579 394
--------------
TOTAL 1,904
--------------
MEDIA 5.35%
Clear Channel
Communications, Inc. 5,131 164
Comcast Corp. Class A* 18,438 585
Tribune Co. 8,237 318
Viacom, Inc. Class B 4,790 166
Walt Disney Co. (The) 20,053 529
--------------
TOTAL 1,762
--------------
METALS & MINING 3.54%
Alcoa, Inc. 11,206 325
Barrick Gold Corp.(a) 10,320 230
Newmont Mining Corp. 16,082 611
--------------
TOTAL 1,166
--------------
MULTI-LINE RETAIL 1.07%
Federated Department
Stores, Inc. 770 44
Target Corp. 1,809 84
Wal-Mart Stores, Inc. 4,760 225
--------------
TOTAL 353
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
LARGE CAP VALUE APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------
OFFICE ELECTRONICS 1.16%
Xerox Corp.* 28,780 $ 381
--------------
OIL & GAS 5.50%
Exxon Mobil Corp. 31,717 1,809
--------------
PAPER & FOREST PRODUCTS 2.12%
International Paper Co. 20,345 698
--------------
PERSONAL PRODUCTS 1.24%
Gillette Co. (The) 7,889 407
--------------
PHARMACEUTICALS 10.44%
Bristol-Myers Squibb Co. 9,710 252
GlaxoSmithKline plc ADR 7,100 359
Merck & Co., Inc. 11,384 386
Novartis AG ADR 13,653 665
Pfizer, Inc. 25,480 692
Schering-Plough Corp. 17,896 374
Wyeth 15,745 708
--------------
TOTAL 3,436
--------------
ROAD & RAIL 2.36%
Canadian National
Railway Co.(a) 5,849 335
CSX Corp. 1,863 75
Union Pacific Corp. 5,750 367
--------------
TOTAL 777
--------------
SOFTWARE 1.29%
Microsoft Corp. 16,840 426
--------------
TEXTILES & APPAREL 0.84%
NIKE, Inc. Class B 3,577 275
--------------
TOTAL COMMON STOCKS
(Cost $31,174,931) 31,072
==============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 5.75%
REPURCHASE AGREEMENT 5.75%
Repurchase Agreement
dated 4/29/2005,
2.22% due 5/2/2005
with State Street
Bank & Trust Co.
collateralized by
$1,945,000 of Federal
Home Loan Bank at
2.375% due 2/15/2006;
value: $1,937,173;
proceeds: $1,894,795
(Cost $1,894,444) $ 1,894 $ 1,894
==============
TOTAL INVESTMENTS IN
SECURITIES 100.15%
(Cost $33,069,375) 32,966
==============
LIABILITIES IN EXCESS OF
OTHER ASSETS (0.15%) (51)
--------------
NET ASSETS 100.00% $ 32,915
==============
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S dollars.
ADR American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 2005
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
FUND FUND FUND
ASSETS:
Investment in securities, at cost $ 2,058,912,936 $ 129,500,586 $ 148,784,558
- --------------------------------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 2,250,965,038 $ 137,099,555 $ 152,642,612
Foreign cash, at value (cost $5,023,353) - - 5,012,363
Receivables:
Interest and dividends 1,910,892 416 637,282
Investment securities sold 16,063,891 4,000,000 2,825,699
Capital shares sold 10,296,396 340,066 2,626,678
From affiliates - 5,902 -
Prepaid expenses and other assets 320,190 17,053 62,804
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 2,279,556,407 141,462,992 163,807,438
- --------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 18,728,903 - 5,302,237
Capital shares reacquired 2,032,222 189,942 295,257
Management fees 994,608 - 90,481
12b-1 distribution fees 1,189,206 89,918 65,404
Fund administration 73,626 - 4,826
Trustees' fees 161,544 6,797 541
Accrued expenses and other liabilities 787,178 104,347 88,095
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 23,967,287 391,004 5,846,841
================================================================================================================================
NET ASSETS $ 2,255,589,120 $ 141,071,988 $ 157,960,597
================================================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 2,002,758,229 $ 140,770,646 $ 149,812,382
Undistributed (distributions in excess of)
net investment income 1,476,937 (133,069) 486,173
Accumulated net realized gain (loss) on investments
and foreign currency related transactions 59,301,852 (7,164,558) 3,806,726
Net unrealized appreciation on investments and translation
of assets and liabilities denominated in foreign currencies 192,052,102 7,598,969 3,855,316
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 2,255,589,120 $ 141,071,988 $ 157,960,597
================================================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 1,552,987,367 $ 73,609,765 $ 120,987,816
Class B Shares $ 220,598,023 $ 41,243,953 $ 9,236,016
Class C Shares $ 469,535,696 $ 25,788,596 $ 23,069,018
Class P Shares $ 10,002,958 - $ 11,396
Class Y Shares $ 2,465,076 $ 429,674 $ 4,656,351
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF
AUTHORIZED SHARES OF BENEFICIAL INTEREST):
Class A Shares 136,603,744 4,449,512 10,609,393
Class B Shares 19,981,288 2,565,729 816,339
Class C Shares 42,656,597 1,603,962 2,038,310
Class P Shares 885,242 - 1,000
Class Y Shares 216,161 26,008 407,114
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 11.37 $ 16.54 $ 11.40
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 12.06 $ 17.55 $ 12.10
Class B Shares-Net asset value $ 11.04 $ 16.07 $ 11.31
Class C Shares-Net asset value $ 11.01 $ 16.08 $ 11.32
Class P Shares-Net asset value $ 11.30 - $ 11.40
Class Y Shares-Net asset value $ 11.40 $ 16.52 $ 11.44
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)(CONCLUDED)
APRIL 30, 2005
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 133,917,070 $ 33,069,375
- ------------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 168,358,706 $ 32,966,128
Foreign cash, at value (cost $1,134,037) 1,134,302 -
Receivables:
Interest and dividends 579,999 40,745
Investment securities sold 6,409,742 163,256
Capital shares sold 244,931 139,868
From advisor - 5,051
Prepaid expenses and other assets 17,979 13,936
- ------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 176,745,659 33,328,984
- ------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased - 225,957
Capital shares reacquired 4,376,894 148,906
Management fees 109,875 8,749
12b-1 distribution fees 66,830 6,501
Fund administration 5,815 875
Trustees' fees 11,954 783
To affiliate 2,361 -
Accrued expenses and other liabilities 142,303 22,193
- ------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 4,716,032 413,964
============================================================================================================
NET ASSETS $ 172,029,627 $ 32,915,020
============================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 239,368,636 $ 32,451,485
Undistributed (distributions in excess of) net investment income (387,210) 96,481
Accumulated net realized gain (loss) on investments
and foreign currency related transactions (101,455,628) 470,301
Net unrealized appreciation (depreciation) on investments and
translation of assets and liabilities denominated in foreign
currencies 34,503,829 (103,247)
- ------------------------------------------------------------------------------------------------------------
NET ASSETS $ 172,029,627 $ 32,915,020
============================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 76,187,858 $ 11,623,142
Class B Shares $ 24,388,682 $ 1,708,508
Class C Shares $ 14,937,268 $ 2,504,409
Class P Shares $ 1,143 $ 12,323
Class Y Shares $ 56,514,676 $ 17,066,638
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF
AUTHORIZED SHARES OF BENEFICIAL INTEREST):
Class A Shares 7,260,009 969,211
Class B Shares 2,392,097 144,185
Class C Shares 1,472,617 211,268
Class P Shares 107.64 1,027
Class Y Shares 5,290,190 1,418,211
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 10.49 $ 11.99
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 11.13 $ 12.72
Class B Shares-Net asset value $ 10.20 $ 11.85
Class C Shares-Net asset value $ 10.14 $ 11.85
Class P Shares-Net asset value $ 10.62 $ 12.00
Class Y Shares-Net asset value $ 10.68 $ 12.03
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 2005
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
FUND FUND FUND
INVESTMENT INCOME:
Dividends $ 19,868,852 $ 320,359 $ 1,545,422
Interest and other 1,075,921 41,640 53,014
Foreign withholding tax (93,382) - (176,264)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 20,851,391 361,999 1,422,172
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 5,820,402 73,322 415,949
12b-1 distribution plan-Class A 2,619,356 132,953 155,554
12b-1 distribution plan-Class B 1,059,743 217,552 27,978
12b-1 distribution plan-Class C 2,233,197 138,135 76,552
12b-1 distribution plan-Class P 16,655 - 25
Shareholder servicing 2,018,580 246,403 126,512
Professional 97,615 15,570 9,960
Reports to shareholders 136,865 8,927 4,463
Fund administration 427,938 - 22,184
Custody 54,869 2,854 66,463
Trustees' fees 16,138 1,633 1,016
Registration 82,993 6,030 15,414
Offering - - 12,152
Other 17,271 2,390 2,795
- --------------------------------------------------------------------------------------------------------------------------------
Gross expenses 14,601,622 845,769 937,017
Expense reductions (See Note 7) (15,970) (1,037) (1,522)
Expenses assumed by advisor (See Note 3) - - (231)
Expenses assumed by Underlying Funds (See Note 3) - (282,770) -
Management fee waived (See Note 3) - (73,322) -
- --------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES 14,585,652 488,640 935,264
- --------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 6,265,739 (126,641) 486,908
- --------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Capital gains received from Underlying Funds - 3,446,887 -
Net realized gain (loss) on investments
and foreign currency related transactions 60,551,003 (41,326) 5,635,386
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies (18,454,439) 2,654,961 13,796
================================================================================================================================
NET REALIZED AND UNREALIZED GAIN 42,096,564 6,060,522 5,649,182
================================================================================================================================
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 48,362,303 $ 5,933,881 $ 6,136,090
================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)(CONCLUDED)
FOR THE SIX MONTHS ENDED APRIL 30, 2005
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 1,198,136 $ 240,044
Interest and other 9,415 14,751
Securities lending-net 22,578 -
Foreign withholding tax (97,306) (1,763)
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 1,132,823 253,032
- ------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 647,656 46,476
12b-1 distribution plan-Class A 129,431 18,538
12b-1 distribution plan-Class B 120,554 8,212
12b-1 distribution plan-Class C 71,468 9,936
12b-1 distribution plan-Class P 2 28
Shareholder servicing 290,706 9,374
Professional 17,336 7,721
Reports to shareholders 15,620 744
Fund administration 34,542 4,647
Custody 49,062 24,738
Trustees' fees 1,794 128
Registration 11,317 2,684
Subsidy (See Note 3) 115,167 -
Other 5,206 785
- ------------------------------------------------------------------------------------------------------------
Gross expenses 1,509,861 134,011
Expense reductions (See Note 7) (1,674) (228)
Expenses assumed by advisor (See Note 3) - (27,109)
- ------------------------------------------------------------------------------------------------------------
NET EXPENSES 1,508,187 106,674
- ------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) (375,364) 146,358
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments and foreign
currency related transactions 12,365,196 477,937
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies 2,512,021 (506,738)
============================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) 14,877,217 (28,801)
============================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 14,501,853 $ 117,557
============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
SIX MONTHS ENDED APRIL 30, 2005
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
INCREASE IN NET ASSETS FUND FUND FUND
OPERATIONS:
Net investment income (loss) $ 6,265,739 $ (126,641) $ 486,908
Capital gains received from Underlying Funds - 3,446,887 -
Net realized gain (loss) on investment and
foreign currency related transactions 60,551,003 (41,326) 5,635,386
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies (18,454,439) 2,654,961 13,796
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 48,362,303 5,933,881 6,136,090
================================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (7,885,374) (454,589) (54,643)
Class B (232,649) - -
Class C (543,813) - -
Class P (33,338) - -
Class Y (15,526) (3,899) (8,050)
Net realized gain
Class A (13,311,718) - -
Class B (2,003,914) - -
Class C (4,200,063) - -
Class P (54,527) - -
Class Y (18,323) - -
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (28,299,245) (458,488) (62,693)
================================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 504,699,261 11,752,374 83,679,444
Reinvestment of distributions 24,894,588 429,563 55,712
Cost of shares reacquired (143,933,521) (16,412,016) (5,661,711)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 385,660,328 (4,230,079) 78,073,445
================================================================================================================================
NET INCREASE IN NET ASSETS 405,723,386 1,245,314 84,146,842
================================================================================================================================
NET ASSETS:
Beginning of period 1,849,865,734 139,826,674 73,813,755
- --------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 2,255,589,120 $ 141,071,988 $ 157,960,597
================================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $ 1,476,937 $ (133,069) $ 486,173
================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)(CONCLUDED)
SIX MONTHS ENDED APRIL 30, 2005
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND VALUE FUND
OPERATIONS:
Net investment income (loss) $ (375,364) $ 146,358
Net realized gain (loss) on investment and foreign currency
related transactions 12,365,196 477,937
Net change in unrealized appreciation (depreciation)
on investments and translation of assets and liabilities
denominated in foreign currencies 2,512,021 (506,738)
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 14,501,853 117,557
============================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (90,006)
Class B - (9,403)
Class C - (11,671)
Class P - (89)
Class Y (40,279) (24,772)
Net realized gain
Class A - (134,647)
Class B - (20,541)
Class C - (21,775)
Class P - (161)
Class Y - (28,334)
- ------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (40,279) (341,399)
============================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 16,369,834 20,857,321
Reinvestment of distributions 40,087 295,515
Cost of shares reacquired (18,028,363) (3,106,325)
- ------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS (1,618,442) 18,046,511
============================================================================================================
NET INCREASE IN NET ASSETS 12,843,132 17,822,669
============================================================================================================
NET ASSETS:
Beginning of period 159,186,495 15,092,351
- ------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 172,029,627 $ 32,915,020
============================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $ (387,210) $ 96,481
============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31, 2004
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
INCREASE IN NET ASSETS FUND FUND FUND*
OPERATIONS:
Net investment income $ 4,432,625 $ 452,060 $ 141,544
Capital gains received from Underlying Funds - 2,192,549 -
Net realized gain (loss) on investment and
foreign currency related transactions 19,574,189 (2,072,933) (1,992,691)
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies 126,594,624 13,375,938 3,841,520
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 150,601,438 13,947,614 1,990,373
================================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (564,577) - -
Class P (791) - -
Class Y (36) - -
Net realized gain
Class A (5,324,535) - -
Class B (1,049,372) - -
Class C (2,125,180) - -
Class P (13,578) - -
Class Y (123)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,078,192) - -
================================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,104,267,626 20,645,973 79,753,827
Reinvestment of distributions 7,831,700 - -
Cost of shares reacquired (157,444,389) (28,461,786) (7,930,445)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 954,654,937 (7,815,813) 71,823,382
================================================================================================================================
NET INCREASE IN NET ASSETS 1,096,178,183 6,131,801 73,813,755
================================================================================================================================
NET ASSETS:
Beginning of year 753,687,551 133,694,873 -
- --------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 1,849,865,734 $ 139,826,674 $ 73,813,755
================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 3,921,898 $ 452,060 $ 61,958
================================================================================================================================
</Table>
* For the period December 15, 2003 (commencement of investment operations) to
October 31, 2004.
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
YEAR ENDED OCTOBER 31, 2004
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND VALUE FUND
OPERATIONS:
Net investment income $ 388,842 $ 66,295
Net realized gain on investment and foreign
currency related transactions 18,816,479 198,549
Net change in unrealized appreciation on investments
and translation of assets and liabilities
denominated in foreign currencies 3,110,081 275,213
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 22,315,402 540,057
============================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (964,614) (19,175)
Class B (207,009) (1,026)
Class C (160,464) (1,139)
Class P (12) (67)
Class Y (992,387) (83)
- ------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,324,486) (21,490)
============================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 29,640,763 15,420,584
Reinvestment of distributions 2,290,948 20,347
Cost of shares reacquired (29,504,937) (3,419,287)
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 2,426,774 12,021,644
============================================================================================================
NET INCREASE IN NET ASSETS 22,417,690 12,540,211
============================================================================================================
NET ASSETS:
Beginning of year 136,768,805 2,552,140
- ------------------------------------------------------------------------------------------------------------
END OF YEAR $ 159,186,495 $ 15,092,351
============================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 28,433 $ 86,064
============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
FINANCIAL HIGHLIGHTS
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.18 $ 9.93 $ 8.22 $ 9.83 $ 11.53 $ 10.87
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income(a) .05 .06 .02 .01 .04 .05
Net realized and unrealized gain (loss) .32 1.30 1.87 (.67) (.83) 1.17
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .37 1.36 1.89 (.66) (.79) 1.22
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income (.07) (.01) - (.02) (.03) -
Net realized gain (.11) (.10) (.18) (.93) (.88) (.56)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions (.18) (.11) (.18) (.95) (.91) (.56)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.37 $ 11.18 $ 9.93 $ 8.22 $ 9.83 $ 11.53
============= ============= ========== ========== ========== ==========
Total Return(b) 3.29%(d) 13.80% 23.46% (7.95)% (7.26)% 11.44%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .58%(d) 1.24% 1.38% 1.42% 1.42% 1.35%
Expenses, excluding expense reductions .58%(d) 1.24% 1.38% 1.42% 1.43% 1.36%
Net investment income .39%(d) .53% .25% .13% .40% .48%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1,552,987 $ 1,268,285 $ 452,098 $ 189,698 $ 166,406 $ 136,038
Portfolio turnover rate 20.52% 21.92% 36.39% 79.39% 103.11% 65.06%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.84 $ 9.69 $ 8.07 $ 9.70 $ 11.42 $ 10.85
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) .01 (.01) (.03) (.04) (.03) (.02)
Net realized and unrealized gain (loss) .31 1.26 1.83 (.66) (.81) 1.15
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .32 1.25 1.80 (.70) (.84) 1.13
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income (.01) - - - -(e) -
Net realized gain (.11) (.10) (.18) (.93) (.88) (.56)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions (.12) (.10) (.18) (.93) (.88) (.56)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.04 $ 10.84 $ 9.69 $ 8.07 $ 9.70 $ 11.42
============= ============= ========== ========== ========== ==========
Total Return(b) 2.99%(d) 12.98% 22.77% (8.51)% (7.86)% 10.80%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .90%(d) 1.87% 2.00% 2.03% 2.03% 2.00%
Expenses, excluding expense reductions .90%(d) 1.87% 2.00% 2.03% 2.04% 2.01%
Net investment income (loss) .07%(d) (.10)% (.37)% (.48)% (.27)% (.17)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 220,598 $ 185,775 $ 100,272 $ 47,423 $ 39,188 $ 17,453
Portfolio turnover rate 20.52% 21.92% 36.39% 79.39% 103.11% 65.06%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.81 $ 9.66 $ 8.05 $ 9.67 $ 11.38 $ 10.81
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) .01 (.01) (.03) (.03) (.01) (.02)
Net realized and unrealized gain (loss) .31 1.26 1.82 (.66) (.82) 1.15
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .32 1.25 1.79 (.69) (.83) 1.13
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income (.01) - - - -(e) -
Net realized gain (.11) (.10) (.18) (.93) (.88) (.56)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions (.12) (.10) (.18) (.93) (.88) (.56)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.01 $ 10.81 $ 9.66 $ 8.05 $ 9.67 $ 11.38
============= ============= ========== ========== ========== ==========
Total Return(b) 3.02%(d) 13.02% 22.70% (8.42)% (7.70)% 10.74%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .90%(d) 1.87% 2.00% 1.89% 1.98% 2.00%
Expenses, excluding expense reductions .90%(d) 1.87% 2.00% 1.89% 1.99% 2.01%
Net investment income (loss) .07%(d) (.10)% (.37)% (.34)% (.14)% (.17)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 469,536 $ 389,161 $ 200,025 $ 112,052 $ 112,299 $ 112,776
Portfolio turnover rate 20.52% 21.92% 36.39% 79.39% 103.11% 65.06%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 8/15/2001(c)
4/30/2005 --------------------------------------------------- TO
(UNAUDITED) 2004 2003 2002 10/31/2001
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.12 $ 9.88 $ 8.19 $ 9.83 $ 10.85
=========== =============== =============== =============== ==============
Investment operations:
Net investment income (loss)(a) .03 .05 .01 -(e) -(e)
Net realized and unrealized gain (loss) .33 1.30 1.86 (.66) (1.02)
----------- --------------- --------------- --------------- --------------
Total from investment operations .36 1.35 1.87 (.66) (1.02)
----------- --------------- --------------- --------------- --------------
Distributions to shareholders from:
Net investment income (.07) (.01) - (.05) -
Net realized gain (.11) (.10) (.18) (.93) -
----------- --------------- --------------- --------------- --------------
Total distributions (.18) (.11) (.18) (.98) -
----------- --------------- --------------- --------------- --------------
NET ASSET VALUE, END OF PERIOD $ 11.30 $ 11.12 $ 9.88 $ 8.19 $ 9.83
=========== =============== =============== =============== ==============
Total Return(b) 3.24%(d) 13.71% 23.30% (8.04)% (9.40)%(d)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .63%(d) 1.32%+ 1.45% 1.48% .31%(d)
Expenses, excluding expense reductions .63%(d) 1.32%+ 1.45% 1.48% .31%(d)
Net investment income (loss) .30%(d) .45%+ .18% .07% (.01)%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 8/15/2001(c)
4/30/2005 --------------------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 10/31/2001
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 10,003 $ 4,895 $ 1,280 $ 368 $ 1
Portfolio turnover rate 20.52% 21.92% 36.39% 79.39% 103.11%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 3/31/2003(c)
4/30/2005 YEAR ENDED TO
(UNAUDITED) 10/31/2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.22 $ 9.95 $ 7.83
=============== =============== ===============
Investment operations:
Net investment income(a) .06 .10 .03
Net realized and unrealized gain .33 1.30 2.09
--------------- --------------- ---------------
Total from investment operations .39 1.40 2.12
--------------- --------------- ---------------
Distributions to shareholders from:
Net investment income (.10) (.03) -
Net realized gain (.11) (.10) -
--------------- --------------- ---------------
Total distributions (.21) (.13) -
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.40 $ 11.22 $ 9.95
=============== =============== ===============
Total Return(b) 3.45%(d) 14.18% 27.08%(d)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .40%(d) .87%+ 1.00%(d)+
Expenses, excluding expense reductions .40%(d) .87%+ 1.00%(d)+
Net investment income .55%(d) .90%+ .63%(d)+
<Caption>
SIX MONTHS
ENDED 3/31/2003(c)
4/30/2005 YEAR ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004 10/31/2003
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 2,465 $ 1,750 $ 13
Portfolio turnover rate 20.52% 21.92% 36.39%
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
FINANCIAL HIGHLIGHTS
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.96 $ 14.38 $ 10.62 $ 12.96 $ 17.46 $ 15.21
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) .01 .10 .02 (.05) (.05) (.03)
Net realized and unrealized gain (loss) .67 1.48 3.83 (1.70) (3.82) 2.60
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .68 1.58 3.85 (1.75) (3.87) 2.57
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income (.10) - - - (.30) (.21)
Net realized gain - - (.09) (.59) (.33) (.11)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions (.10) - (.09) (.59) (.63) (.32)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 16.54 $ 15.96 $ 14.38 $ 10.62 $ 12.96 $ 17.46
============= ============= ========== ========== ========== ==========
Total Return(b) 4.26%(d) 10.99% 36.59% (14.41)% (22.67)% 17.10%
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense reductions .18%(d) .36 .39% .37% .36% .40%
Expenses, excluding expense reductions .42%(d) 1.03% 1.45% 1.37% 1.34% 1.33%
Net investment income (loss) .07%(d) .63% .13% (.34)% (.32)% (.16)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 73,610 $ 69,957 $ 62,383 $ 53,121 $ 70,785 $ 96,652
Portfolio turnover rate 2.63% 2.59% 2.47% 1.75% 15.34% 1.54%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.46 $ 14.02 $ 10.43 $ 12.81 $ 17.27 $ 15.05
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) (.04) .01 (.06) (.12) (.14) (.13)
Net realized and unrealized gain (loss) .65 1.43 3.74 (1.67) (3.79) 2.58
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .61 1.44 3.68 (1.79) (3.93) 2.45
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income - - - - (.20) (.12)
Net realized gain - - (.09) (.59) (.33) (.11)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions - - (.09) (.59) (.53) (.23)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 16.07 $ 15.46 $ 14.02 $ 10.43 $ 12.81 $ 17.27
============= ============= ========== ========== ========== ==========
Total Return(b) 3.95%(d) 10.27% 35.62% (14.91)% (23.21)% 16.40%
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense reductions .50%(d) 1.01% 1.04% 1.00% 1.00% 1.00%
Expenses, excluding expense reductions .74%(d) 1.68% 2.10% 2.00% 1.98% 1.93%
Net investment income (loss) (.25)%(d) .03% (.52)% (.97)% (.96)% (.75)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 41,244 $ 41,771 $ 42,342 $ 35,661 $ 50,377 $ 70,300
Portfolio turnover rate 2.63% 2.59% 2.47% 1.75% 15.34% 1.54%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.46 $ 14.02 $ 10.43 $ 12.80 $ 17.25 $ 15.04
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) (.04) .01 (.06) (.10) (.14) (.12)
Net realized and unrealized gain (loss) .66 1.43 3.74 (1.68) (3.78) 2.56
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .62 1.44 3.68 (1.78) (3.92) 2.44
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income - - - - (.20) (.12)
Net realized gain - - (.09) (.59) (.33) (.11)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions - - (.09) (.59) (.53) (.23)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 16.08 $ 15.46 $ 14.02 $ 10.43 $ 12.80 $ 17.25
============= ============= ========== ========== ========== ==========
Total Return(b) 4.01%(d) 10.27% 35.62% (14.77)% (23.25)% 16.34%
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense reductions .50%(d) 1.01% 1.04% .89% 1.00% 1.00%
Expenses, excluding expense reductions .74%(d) 1.68% 2.10% 1.89% 1.98% 1.93%
Net investment income (loss) (.25)%(d) .03% (.52)% (.86)% (.97)% (.70)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 25,788 $ 27,701 $ 28,970 $ 24,690 $ 35,395 $ 44,977
Portfolio turnover rate 2.63% 2.59% 2.47% 1.75% 15.34% 1.54%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED 10/20/2004(a)
4/30/2005 TO
(UNAUDITED) 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.96 $ 15.65
=============== ===============
Investment operations:
Net investment income(b) .04 -(e)
Net realized and unrealized gain .68 .31
--------------- ---------------
Total from investment operations .72 .31
--------------- ---------------
Distributions to shareholders from:
Net investment income (.16) -
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 16.52 $ 15.96
=============== ===============
Total Return(c) 4.47%(d) 2.18%(d)
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense reductions .00%(d) .00%(d)
Expenses, excluding expense reductions .24%(d) .00%(d)
Net investment income .24%(d) .00%(d)(f)
<Caption>
SIX MONTHS
ENDED 10/20/2004(a)
4/30/2005 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004
- -----------------------------------------------------------------------------------
Net assets, end of period (000) $ 430 $ 398
Portfolio turnover rate 2.63% 2.59%
</Table>
* Does not include expenses of the Underlying Funds in which the Fund
invests.
(a) Commencement of offering of class shares.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Amount is less than $.01.
(f) Amount is less than .01%.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
(UNAUDITED) 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
Net asset value, beginning of period $ 10.42 $ 10.00
=============== ===============
Unrealized appreciation on investments .15
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
===============
Investment operations:
Net investment income(b) .05 .04
Net realized and unrealized gain .94 .23
--------------- ---------------
Total from investment operations .99 .27
--------------- ---------------
Distributions to shareholders from:
Net investment income (.01) -
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.40 $ 10.42
=============== ===============
Total Return(c) 1.50%(d)(e)
Total Return(c) 9.49%(d) 2.66%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed .78%(d) 1.50%(d)
Expenses, excluding expense reductions and
expenses assumed .78%(d) 2.13%(d)
Net investment income .48%(d) .40%(d)
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004
- -----------------------------------------------------------------------------------
Net assets, end of period (000) $ 120,988 $ 58,484
Portfolio turnover rate 51.29% 142.16%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
(UNAUDITED) 10/31/2004
- -----------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.36 $ 10.00
=============== ===============
Unrealized appreciation on investments .15
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
===============
Investment operations:
Net investment income (loss)(b) .03 (.01)
Net realized and unrealized gain .92 .22
--------------- ---------------
Total from investment operations .95 .21
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.31 $ 10.36
=============== ===============
Total Return(c) 1.50%(d)(e)
Total Return(c) 9.17%(d) 2.07%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.09%(d) 2.04%(d)
Expenses, excluding expense reductions and
expenses assumed 1.09%(d) 2.67%(d)
Net investment income (loss) .28%(d) (.14)%(d)
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004
- -----------------------------------------------------------------------------------
Net assets, end of period (000) $ 9,236 $ 2,937
Portfolio turnover rate 51.29% 142.16%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
(UNAUDITED) 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.37 $ 10.00
=============== ===============
Unrealized appreciation on investments .15
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
===============
Investment operations:
Net investment income (loss)(b) .02 (.01)
Net realized and unrealized gain .93 .23
--------------- ---------------
Total from investment operations .95 .22
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.32 $ 10.37
=============== ===============
Total Return(c) 1.50%(d)(e)
Total Return(c) 9.16%(d) 2.17%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses assumed 1.09%(d) 2.04%(d)
Expenses, excluding expense reductions ane expenses assumed 1.09%(d) 2.67%(d)
Net investment income (loss) .22%(d) (.14)%(d)
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004
- -------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 23,069 $ 9,291
Portfolio turnover rate 51.29% 142.16%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
(UNAUDITED) 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.41 $ 10.00
=============== ===============
Unrealized appreciation on investments .15
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
===============
Investment operations:
Net investment income(b) .03 .04
Net realized and unrealized gain .96 .22
--------------- ---------------
Total from investment operations .99 .26
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.40 $ 10.41
=============== ===============
Total Return(c) 1.50%(d)(e)
Total Return(c) 9.51%(d) 2.56%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses assumed .81%(d) 1.55%(d)+
Expenses, excluding expense reductions and expenses assumed .81%(d) 2.18%(d)+
Net investment income .28%(d) .35%(d)+
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004
- -------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 12 $ 11
Portfolio turnover rate 51.29% 142.16%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
(UNAUDITED) 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.45 $ 10.00
=============== ===============
Unrealized appreciation on investments .15
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
===============
Investment operations:
Net investment income(b) .06 .08
Net realized and unrealized gain .96 .22
--------------- ---------------
Total from investment operations 1.02 .30
--------------- ---------------
Distributions to shareholders from:
Net investment income (.03) -
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.44 $ 10.45
=============== ===============
Total Return(c) 1.50%(d)(e)
Total Return(c) 9.73%(d) 2.96%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses assumed .60%(d) 1.16%(d)
Expenses, excluding expense reductions and expenses assumed .60%(d) 1.79%(d)
Net investment income .54%(d) .74%(d)
<Caption>
SIX MONTHS
ENDED 12/15/2003(a)
4/30/2005 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004
- -------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 4,656 $ 3,091
Portfolio turnover rate 51.29% 142.16%
</Table>
+ The ratios have been determined on a Fund basis.
(a) Commencement of investment operations is December 15, 2003; SEC effective
date is December 31, 2003; date shares first became available to the public
is January 2, 2004.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return for the period 12/15/2003 through 12/31/2003.
(f) Total return for the period 12/31/2003 through 10/31/2004.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.61 $ 8.41 $ 6.29 $ 7.78 $ 14.48 $ 13.90
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) (.02) .02 .08 .03 (.06) (.08)
Net realized and unrealized gain (loss) .90 1.33 2.09 (1.52) (6.56) 1.54
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .88 1.35 2.17 (1.49) (6.62) 1.46
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income - (.15) (.05) - - (.06)
Net realized gain - - - - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions - (.15) (.05) - (.08) (.88)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.49 $ 9.61 $ 8.41 $ 6.29 $ 7.78 $ 14.48
============= ============= ========== ========== ========== ==========
Total Return(b) 9.16%(d) 16.31% 35.07% (19.16)% (45.92)% 10.97%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .85%(d) 1.83% 2.11% 1.89% 2.07% 1.80%
Expenses, excluding expense reductions .85%(d) 1.83% 2.11% 1.89% 2.08% 1.80%
Net investment income (loss) (.20)%(d) .26% 1.11% .50% (.55)% (.53)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 76,188 $ 67,314 $ 55,230 $ 44,975 $ 71,591 $ 135,701
Portfolio turnover rate 37.98% 75.56% 72.36% 82.38% 65.26% 35.14%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS B
SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.37 $ 8.20 $ 6.13 $ 7.65 $ 14.31 $ 13.75
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) (.05) (.04) .03 (.02) (.11) (.17)
Net realized and unrealized gain (loss) .88 1.30 2.05 (1.50) (6.47) 1.55
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .83 1.26 2.08 (1.52) (6.58) 1.38
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income - (.09) (.01) - - -(c)
Net realized gain - - - - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions - (.09) (.01) - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.20 $ 9.37 $ 8.20 $ 6.13 $ 7.65 $ 14.31
============= ============= ========== ========== ========== ==========
Total Return(b) 8.86%(d) 15.61% 33.89% (19.87)% (46.19)% 10.42%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions 1.18%(d) 2.48% 2.73% 2.69% 2.59% 2.35%
Expenses, excluding expense reductions 1.18%(d) 2.48% 2.73% 2.69% 2.60% 2.36%
Net investment income (loss) (.53)%(d) (.39)% .49% (.30)% (1.07)% (1.09)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 24,389 $ 21,962 $ 17,978 $ 13,174 $ 17,743 $ 33,124
Portfolio turnover rate 37.98% 75.56% 72.36% 82.38% 65.26% 35.14%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS C
SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.32 $ 8.19 $ 6.12 $ 7.61 $ 14.30 $ 13.75
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) (.05) (.04) .07 -(e) (.13) (.17)
Net realized and unrealized gain (loss) .87 1.30 2.04 (1.49) (6.48) 1.54
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .82 1.26 2.11 (1.49) (6.61) 1.37
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income - (.13) (.04) - - -(e)
Net realized gain - - - - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions - (.13) (.04) - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.14 $ 9.32 $ 8.19 $ 6.12 $ 7.61 $ 14.30
============= ============= ========== ========== ========== ==========
Total Return(b) 8.80%(d) 15.61% 34.67% (19.58)% (46.43)% 10.35%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions 1.18%(d) 2.48% 2.73% 2.36% 2.83% 2.35%
Expenses, excluding expense reductions 1.18%(d) 2.48% 2.73% 2.36% 2.84% 2.36%
Net investment income (loss) (.52)%(d) (.39)% .99% .03% (1.32)% (1.10)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 ---------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 14,937 $ 12,766 $ 10,323 $ 7,823 $ 11,399 $ 25,546
Portfolio turnover rate 37.98% 75.56% 72.36% 82.38% 65.26% 35.14%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS P
SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.71 $ 8.47 $ 6.31 $ 7.82 $ 14.51 $ 13.91
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) (.01) .01 .10 .03 (.06) (.08)
Net realized and unrealized gain (loss) .92 1.35 2.10 (1.54) (6.55) 1.55
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .91 1.36 2.20 (1.51) (6.61) 1.47
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income - (.12) (.04) - - (.05)
Net realized gain - - - - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions - (.12) (.04) - (.08) (.87)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.62 $ 9.71 $ 8.47 $ 6.31 $ 7.82 $ 14.51
============= ============= ========== ========== ========== ==========
Total Return(b) 9.37%(d) 16.37% 35.17% (19.31)% (45.75)% 11.03%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .74%(d) 1.93%+ 2.18%+ 2.14% 2.04% 1.80%
Expenses, excluding expense reductions .74%(d) 1.93%+ 2.18%+ 2.14% 2.05% 1.80%
Net investment income (loss) (.08)%(d) .16%+ 1.00%+ .25% (.55)% (.51)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1 $ 1 $ 1 $ 1 $ 1 $ 1
Portfolio turnover rate 37.98% 75.56% 72.36% 82.38% 65.26% 35.14%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.77 $ 8.53 $ 6.39 $ 7.90 $ 14.61 $ 14.00
============= ============= ========== ========== ========== ==========
Investment operations:
Net investment income (loss)(a) -(c) .06 .10 .06 (.01) (.01)
Net realized and unrealized gain (loss) .92 1.34 2.12 (1.57) (6.62) 1.54
------------- ------------- ---------- ---------- ---------- ----------
Total from investment operations .92 1.40 2.22 (1.51) (6.63) 1.53
------------- ------------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income (.01) (.16) (.08) - - (.10)
Net realized gain - - - - (.08) (.82)
------------- ------------- ---------- ---------- ---------- ----------
Total distributions (.01) (.16) (.08) - (.08) (.92)
------------- ------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 9.77 $ 8.53 $ 6.39 $ 7.90 $ 14.61
============= ============= ========== ========== ========== ==========
Total Return(b) 9.39%(d) 16.73% 35.22% (19.11)% (45.58)% 11.45%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .68%(d) 1.48% 1.74% 1.69% 1.59% 1.35%
Expenses, excluding expense reductions .68%(d) 1.48% 1.74% 1.69% 1.60% 1.37%
Net investment income (loss) (.03)%(d) .61% 1.47% .70% (.06)% (.09)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 56,515 $ 57,143 $ 53,237 $ 45,748 $ 60,227 $ 79,833
Portfolio turnover rate 37.98% 75.56% 72.36% 82.38% 65.26% 35.14%
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Amount is less than $.01.
(d) Not annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
FINANCIAL HIGHLIGHTS
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
(UNAUDITED) 10/31/2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 10.73 $ 10.00
--------------- --------------- ---------------
Unrealized depreciation on investments (.10)
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
===============
Investment operations:
Net investment income(b) .08 .09 .03
Net realized and unrealized gain .38 1.05 .80
--------------- --------------- ---------------
Total from investment operations .46 1.14 .83
--------------- --------------- ---------------
Distributions to shareholders from:
Net investment income (.11) (.07) -
Net realized gain (.16) - -
--------------- --------------- ---------------
Total distributions (.27) (.07) -
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.99 $ 11.80 $ 10.73
=============== =============== ===============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 3.86%(d) 10.74% 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses
assumed .47%(d) .95% .33%(d)+
Expenses, excluding expense reductions and expenses
assumed .60%(d) 2.59% 7.12%(d)+
Net investment income .66%(d) .75% .27%(d)+
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004 10/31/2003
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 11,623 $ 10,102 $ 2,271
Portfolio turnover rate 20.32% 30.53% 8.87%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
(UNAUDITED) 10/31/2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.67 $ 10.68 $ 10.00
--------------- --------------- ---------------
Unrealized depreciation on investments (.11)
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.89
===============
Investment operations:
Net investment income(b) .04 .01 -(g)
Net realized and unrealized gain .37 1.05 .79
--------------- --------------- ---------------
Total from investment operations .41 1.06 .79
--------------- --------------- ---------------
Distributions to shareholders from:
Net investment income (.07) (.07) -
Net realized gain (.16) - -
--------------- --------------- ---------------
Total distributions (.23) (.07) -
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 11.85 $ 11.67 $ 10.68
=============== =============== ===============
Total Return(c) (1.10)%(d)(e)
Total Return(c) 3.52%(d) 10.02% 7.99%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses
assumed .79%(d) 1.60% .56%(d)+
Expenses, excluding expense reductions and expenses
assumed .91%(d) 3.24% 7.35%(d)+
Net investment income .32%(d) .10% .04%(d)+
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004 10/31/2003
- ----------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1,709 $ 1,445 $ 111
Portfolio turnover rate 20.32% 30.53% 8.87%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
(UNAUDITED) 10/31/2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.69 $ 10.69 $ 10.00
=============== =============== ==============
Unrealized depreciation on investments (.11)
--------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.89
==============
Investment operations:
Net investment income(b) .04 .01 -(g)
Net realized and unrealized gain .37 1.06 .80
--------------- --------------- --------------
Total from investment operations .41 1.07 .80
--------------- --------------- --------------
Distributions to shareholders from:
Net investment income (.09) (.07) -
Net realized gain (.16) - -
--------------- --------------- --------------
Total distributions (.25) (.07) -
--------------- --------------- --------------
NET ASSET VALUE, END OF PERIOD $ 11.85 $ 11.69 $ 10.69
=============== =============== ==============
Total Return(c) (1.10)%(d)(e)
Total Return(c) 3.45%(d) 10.07% 8.09%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses
assumed .79%(d) 1.60% .56%(d)+
Expenses, excluding expense reductions and expenses
assumed .91%(d) 3.24% 7.35%(d)+
Net investment income .31%(d) .10% .04%(d)+
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004 10/31/2003
- ----------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 2,504 $ 1,490 $ 148
Portfolio turnover rate 20.32% 30.53% 8.87%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
(UNAUDITED) 10/31/2004 10/31/2003
- ----------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 10.73 $ 10.00
=============== =============== ==============
Unrealized depreciation on investments (.10)
--------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
==============
Investment operations:
Net investment income(b) .07 .07 .02
Net realized and unrealized gain .38 1.07 .81
--------------- --------------- --------------
Total from investment operations .45 1.14 .83
--------------- --------------- --------------
Distributions to shareholders from:
Net investment income (.09) (.07) -
Net realized gain (.16) - -
--------------- --------------- --------------
Total distributions (.25) (.07) -
--------------- --------------- --------------
NET ASSET VALUE, END OF PERIOD $ 12.00 $ 11.80 $ 10.73
=============== =============== ==============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 3.79%(d) 10.65% 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses
assumed .52%(d) 1.05% .37%(d)+
Expenses, excluding expense reductions and expenses
assumed .61%(d) 2.69% 7.16%(d)+
Net investment income .61%(d) .65% .23%(d)+
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004 10/31/2003
- ----------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 12 $ 12 $ 11
Portfolio turnover rate 20.32% 30.53% 8.87%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
(UNAUDITED) 10/31/2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.85 $ 10.75 $ 10.00
=============== =============== ===============
Unrealized depreciation on investments (.10)
---------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
===============
Investment operations:
Net investment income(b) .09 .13 .04
Net realized and unrealized gain .39 1.05 .81
--------------- --------------- ---------------
Total from investment operations .48 1.18 .85
--------------- --------------- ---------------
Distributions to shareholders from:
Net investment income (.14) (.08) -
Net realized gain (.16) - -
--------------- --------------- ---------------
Total distributions (.30) (.08) -
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 12.03 $ 11.85 $ 10.75
=============== =============== ===============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 4.03%(d) 11.09% 8.59%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and expenses
assumed .29%(d) .60% .21%(d)+
Expenses, excluding expense reductions and expenses
assumed .40%(d) 2.24% 7.00%(d)+
Net investment income .69%(d) 1.10% .39%(d)+
<Caption>
SIX MONTHS
ENDED YEAR 6/23/2003(a)
4/30/2005 ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2004 10/31/2003
- ----------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 17,067 $ 2,043 $ 11
Portfolio turnover rate 20.32% 30.53% 8.87%
</Table>
+ The ratios have been determined on a Fund basis.
(a) Commencement of investment operations; SEC effective date and date shares
first became available to the public is June 30, 2003.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return for the period 6/23/2003 through 6/30/2003.
(f) Total return for the period 6/30/2003 through 10/31/2003.
(g) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as a diversified open-end management investment
company organized as a Delaware business trust on February 26, 1993. The Trust
currently consists of seven funds. This report covers the following five funds
and their respective classes (separately, a "Fund" and collectively, the
"Funds"): Lord Abbett All Value Series ("All Value Fund"), Classes A, B, C, P
and Y shares; Alpha Series ("Alpha Fund"), Classes A, B, C and Y shares; Lord
Abbett International Core Equity Fund ("International Core Equity Fund"),
Classes A, B, C, P and Y shares; Lord Abbett International Opportunities Fund
("International Opportunities Fund"), Classes A, B, C, P and Y shares; and Lord
Abbett Large-Cap Value Fund ("Large-Cap Value Fund"), Classes A, B, C, P, and Y
shares.
All Value Fund's investment objective is long-term growth of capital and income
without excessive fluctuations in market value. Alpha Fund's, International Core
Equity Fund's, and International Opportunities Fund's investment objective is
long-term capital appreciation. Alpha Fund invests in other funds ("Underlying
Funds") managed by Lord, Abbett & Co. LLC ("Lord Abbett"). Large-Cap Value
Fund's investment objective is to seek a high level of total return.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the Net Asset Value ("NAV") for Class A shares.
There is no front-end sales charge in the case of the Class B and C shares,
although there may be a contingent deferred sales charge ("CDSC") as follows:
certain redemptions of Class A shares made within 24 months (12 months if shares
were purchased on or after November 1, 2004) following certain purchases made
without a sales charge; Class B shares redeemed before the sixth anniversary of
purchase; and Class C shares redeemed before the first anniversary of purchase.
Class B shares will convert to Class A shares on the eighth anniversary of the
original purchase of Class B shares.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
certain estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sale price or official
closing price on the exchange or system on which they are principally
traded. Events occuring after the close of trading on non-U.S. exchanges
may result in adjustments to the valuation of foreign securities to more
accurately reflect their fair value as of the close of regular trading on
the New York Stock Exchange. The Fund may rely on an independent fair
valuation service in adjusting the valuations of foreign securities.
Unlisted equity securities are valued at last quoted sale price or, if no
sale price is available, at the mean between the most recently quoted bid
and asked prices. Fixed income securities are valued at the mean between
the bid and asked price on the basis of prices supplied by independent
pricing services, which reflect broker/dealer supplied valuations and
electronic data processing techniques. Exchange-traded options and futures
contracts are valued at the last sale price in the market where they are
principally
66
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
traded. If no sale has occurred, the mean between the most recently quoted
bid and asked price is used. Securities for which market quotations are not
readily available are valued at fair value as determined by management and
approved in good faith by the Board of Trustees. Short-term securities with
60 days or less remaining to maturity are valued using the amortized cost
method, which approximates current market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date that
the securities are purchased or sold (trade date). Realized gains and losses
on sales of portfolio securities are calculated using the identified-cost
method. Realized and unrealized gains (losses) are allocated to each class
of shares based upon the relative proportion of net assets at the beginning
of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted and
premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all taxable income and capital
gains to its shareholders. Therefore, no Federal income tax provision is
required.
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are generally allocated to the Funds within the Trust on
a pro rata basis. Expenses, excluding class specific expenses, are generally
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day. Classes A, B, C and P shares bear all
expenses and fees relating to their respective 12b-1 Distribution Plans.
(f) FOREIGN TRANSACTIONS-The books and records of International Core Equity Fund
and International Opportunities Fund are maintained in U.S. dollars and
transactions denominated in foreign currencies are recorded in each Fund's
records at the rate prevailing when earned or recorded. Asset and liability
accounts that are denominated in foreign currencies are adjusted to reflect
current exchange rates. The resultant exchange gains and losses are included
in Net Realized Gain (Loss) on Investments and Foreign Currency Related
Transactions on each Fund's Statement of Operations. Each Fund does not
isolate that portion of the results of operations arising as a result of
changes in the foreign exchange rates from the changes in market prices of
the securities.
(g) OFFERING COSTS-Lord Abbett incurred initial offering costs on behalf of
Interntional Core Equity Fund which have been reimbursed by the Fund in the
full amount thereof. Such expenses were deferred and are amortized on the
straight-line method over a period of one year from the commencement of
investment operations.
(h) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS-International Core Equity Fund
and International Opportunities Fund may enter into forward foreign currency
exchange contracts in order to reduce their exposure to changes in foreign
currency exchange rates on their foreign portfolio holdings and to lock in
the U.S. dollar cost of firm purchase and sale commitments for securities
denominated in foreign currencies. A forward foreign currency exchange
contract is a commitment to purchase or sell a foreign currency at a future
date at a negotiated rate. The contracts are valued daily at forward
exchange rates and any unrealized gain (loss) is included in Net Change in
Unrealized Appreciation (Depreciation) on
67
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
Investments and Translation of Assets and Liabilities Denominated in
Foreign Currencies on each Fund's Statement of Operations. The gain (loss)
arising from the difference between the U.S. dollar cost of the original
contract and the value of the foreign currency in U.S. dollars upon closing
of such contracts is included in Net Realized Gain (Loss) on Investments
and Foreign Currency Related Transactions on each Fund's Statement of
Operations. As of April 30, 2005, there were no open forward foreign
currency exchange contracts outstanding.
(i) SECURITIES LENDING-Each Fund may lend securities to member banks of the
Federal Reserve System and to registered broker/dealers approved by the
Fund. The loans are collateralized at all times by cash and/or U.S.
Government securities in an amount at least equal to 102% of the market
value of securities loaned (105% in the case of foreign securities loaned)
as determined at the close of business on the preceding business day. The
dividend and interest income earned on the securities loaned is accounted
for in the same manner as other dividend and interest income. Lending
portfolio securities could result in a loss or delay in recovering the
Fund's securities if the borrower defaults. At their October 21, 2004
meeting, the Board of Trustees voted to discontinue, as soon as practicable,
the Funds' securities lending program.
(j) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed-upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash, or by securities of the U.S.
Government, its agencies, its instrumentalities, or U.S. Government
sponsored enterprises having a value equal to, or in excess of, the value of
the repurchase agreement (including accrued interest). If the seller of the
agreement defaults on its obligation to repurchase the underlying securities
at a time when the value of these securities has declined, the Fund may
incur a loss upon disposition of the securities.
(k) WHEN-ISSUED OR FORWARD TRANSACTIONS-Each Fund may purchase portfolio
securities on a when-issued or forward basis. When-issued or forward
transactions involve a commitment by the Fund to purchase securities, with
payment and delivery ("settlement") to take place in the future, in order to
secure what is considered to be an advantageous price or yield at the time
of entering into the transaction. During the period between purchase and
settlement, the value of the securities will fluctuate and assets consisting
of cash and/or marketable securities (normally short-term U.S. Government or
U.S. Government sponsored enterprises securities) marked to market daily in
an amount sufficient to make payment at settlement will be segregated at a
Fund's custodian in order to pay for the commitment. At the time the Fund
makes the commitment to purchase a security on a when-issued basis, it will
record the transaction and reflect the liability for the purchase and the
value of the security in determining its net asset value. Each Fund,
generally, has the ability to close out a purchase obligation on or before
the settlement date rather than take delivery of the security. Under no
circumstances will settlement for such securities take place more than 120
days after the purchase date.
(l) REDEMPTION FEES-International Core Equity Fund and International
Opportunities Fund impose a redemption fee of 2.00% of the NAV of the shares
being redeemed or exchanged if the redemption or exchange occurs within ten
business days after such shares were
68
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
acquired. This does not include shares acquired through the reinvestment of
dividends or other distributions or certain automatic or systematic
investment, exchange or withdrawal plans. The fees are retained by each Fund
and are included as Paid-in Capital on the Statement of Assets and
Liabilities and are included in the Net Proceeds from Sale of Shares on each
Fund's Statement of Changes in Net Assets. During the six months ended April
30, 2005, redemption fees were received as follows:
<Table>
<Caption>
FUND REDEMPTION FEES
------------------------------------------------------------
International Core Equity Fund $ 1,384
International Opportunities Fund 199
</Table>
3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord Abbett pursuant to which Lord
Abbett supplies the Trust with investment management services and executive and
other personnel, pays the remuneration of officers, provides office space and
pays for ordinary and necessary office and clerical expenses relating to
research and statistical work and supervision of the Trust's investment
portfolios.
The management fees are based on average daily net assets at the following
annual rates:
<Table>
<Caption>
MANAGEMENT CONTRACTUAL
FEES WAIVER
- ------------------------------------------------------------------------------------
All Value Fund .57%(1) -
Alpha Fund .10% .10%(2)
International Core Equity Fund .75%(3) -
International Opportunities Fund .75% -
Large-Cap Value Fund .40%(4) -
</Table>
(1) The management fee for All Value Fund is based on average daily net assets
at the following annual rates:
<Table>
First $200 million .75%
Next $300 million .65%
Over $500 million .50%
</Table>
(2) For the fiscal year ending October 31, 2005, Lord Abbett has contractually
agreed to waive its management fee.
(3) The management fee for International Core Equity Fund is based on average
daily net assets at the following annual rates:
<Table>
First $1 billion .75%
Next $1 billion .70%
Over $2 billion .65%
</Table>
(4) The management fee for Large-Cap Value Fund is based on average daily net
assets at the following annual rates:
<Table>
First $2 billion .40%
Next $3 billion .375%
Over $5 billion .35%
</Table>
For the fiscal year ending October 31, 2005, Lord Abbett has contractually
agreed to reimburse expenses for International Core Equity Fund to the extent
necessary to maintain net operating expenses for Class A at 1.75%, for Classes B
and C at 2.40%, Class P at 1.85%, and Class Y at 1.40% of average daily net
assets.
For the fiscal year ending October 31, 2005, Lord Abbett has contractually
agreed to reimburse expenses for Large-Cap Value Fund to the extent necessary to
maintain net operating expenses for Class A at .95%, for Classes B and C at
1.60%, Class P at 1.05%, and Class Y at .60% of average daily net assets.
69
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
Lord Abbett provides certain administrative services to the Funds pursuant to an
Administrative Services Agreement at an annual rate of .04% of each Fund's
average daily net assets. This fee is not assessed to the Alpha Fund.
Alpha Fund has entered into a Servicing Agreement with the Underlying Funds
pursuant to which each Underlying Fund will pay a portion of the expenses
(excluding management fee, and distribution and service fees) of Alpha Fund in
proportion to the average daily value of total Underlying Fund shares owned by
Alpha Fund. Each Underlying Fund's expense is reflected in Subsidy on the
respective Statement of Operations.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan with respect to one or more classes of
shares pursuant to Rule 12b-1 of the Act, which provides for the payment of
ongoing distribution and service fees to Lord Abbett Distributor LLC
("Distributor"), an affiliate of Lord Abbett. The fees are accrued daily at
annual rates based upon average daily net assets as follows:
<Table>
<Caption>
FEES CLASS A CLASS B CLASS C CLASS P(2)
- -----------------------------------------------------------------------------------
Service .25% .25% .25% .20%
Distribution .10%(1) .75% .75% .25%
</Table>
(1) Until October 1, 2004, each Fund paid a one-time distribution fee of up to
1.00% on certain qualifying purchases of Class A shares. Effective October
1, 2004, the Distributor commenced payment of such one-time distribution
fee. The unamortized balance of prepaid distribution fees for each Fund, as
of April 30, 2005, was as follows:
<Table>
<Caption>
UNAMORTIZED
BALANCE
- ---------------------------------------------------------------
All Value $ 121,174
Alpha 4,622
International Core Equity 19,607
International Opportunities 205
Large-Cap Value 821
</Table>
These amounts will continue to be amortized by each Fund, generally over a
two-year period.
The amount of CDSC collected by each Fund during the six months ended April 30,
2005, was as follows:
<Table>
<Caption>
CDSC
COLLECTED
- ---------------------------------------------------------------
All Value $ 15,026
Alpha 53
International Opportunities 1,263
</Table>
(2) All Value Fund, International Core Equity Fund, International Opportunities
Fund, and Large-Cap Value Fund only.
Class Y does not have a distribution plan.
COMMISSIONS
The Distributor received the following commissions on sales of Class A shares of
the Funds, after concessions were paid to authorized dealers, for the six months
ended April 30, 2005:
<Table>
<Caption>
DISTRIBUTOR DEALERS'
COMMISSIONS CONCESSIONS
- --------------------------------------------------------------------------------
All Value Fund $ 1,627,169 $ 8,900,242
Alpha Fund 32,562 174,617
International Core Equity Fund 250,977 1,347,011
International Opportunities Fund 34,006 182,614
Large-Cap Value Fund 18,502 101,001
</Table>
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
70
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARD
Dividends from net investment income, if any, are declared and paid
semi-annually for All Value Fund, and annually for Alpha Fund, International
Core Equity Fund, International Opportunities Fund, and Large-Cap Value Fund.
Taxable net realized gains from investment transactions, reduced by capital loss
carryforwards, if any, are declared and distributed to shareholders at least
annually. The capital loss carryforward amount, if any, is available to offset
future net capital gains. Dividends and distributions to shareholders are
recorded on the ex-dividend date. The amount of dividends and distributions from
net investment income and net realized capital gains are determined in
accordance with Federal income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These book/tax
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the components of net assets based on their federal tax basis treatment;
temporary differences do not require reclassification. Dividends and
distributions which exceed earnings and profit for tax purposes are reported as
a tax return of capital.
The tax character of distributions paid during the six months ended April 30,
2005 and the fiscal year ended October 31, 2004 are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- ----------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
04/30/2005 YEAR ENDED 04/30/2005 YEAR ENDED
(UNAUDITED) 10/31/2004 (UNAUDITED) 10/31/2004
- ----------------------------------------------------------------------------------------
Disitributions paid from:
Ordinary income $ 8,710,700 $ 565,404 $ 458,488 $ -
Net long-term capital gains 19,588,545 8,512,788 - -
- ----------------------------------------------------------------------------------------
Total distributions paid $ 28,299,245 $ 9,078,192 $ 458,488 $ -
========================================================================================
<Caption>
INTERNATIONAL INTERNATIONAL
CORE EQUITY FUND OPPORTUNITIES FUND
- ----------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
04/30/2005 YEAR ENDED 04/30/2005 YEAR ENDED
(UNAUDITED) 10/31/2004 (UNAUDITED) 10/31/2004
- ----------------------------------------------------------------------------------------
Disitributions paid from:
Ordinary income $ 62,693 $ - $ 40,279 $ 2,324,486
- ----------------------------------------------------------------------------------------
Total distributions paid $ 62,693 $ - $ 40,279 $ 2,324,486
========================================================================================
<Caption>
LARGE-CAP VALUE FUND
- ------------------------------------------------------
SIX MONTHS ENDED
04/30/2005 YEAR ENDED
(UNAUDITED) 10/31/2004
- ------------------------------------------------------
Disitributions paid from:
Ordinary income $ 243,219 $ 21,490
Net long-term capital gains 98,180 -
- ------------------------------------------------------
Total distributions paid $ 341,399 $ 21,490
======================================================
</Table>
71
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
As of October 31, 2004, the capital loss carryforwards, along with the related
expiration dates, are as follows:
<Table>
<Caption>
2009 2010 2011 2012 TOTAL
- -------------------------------------------------------------------------------------------------------------------
Alpha Fund $ - $ - $ 9,866,764 $ - $ 9,866,764
International Core Equity Fund - - - 955,918 955,918
International Opportunities Fund 67,925,466 37,966,698 7,911,942 - 113,804,106
</Table>
As of April 30, 2005, the aggregate unrealized security gains and losses based
on cost for U.S. Federal income tax purposes are as follows:
<Table>
<Caption>
INTERNATIONAL
ALL VALUE FUND ALPHA FUND CORE EQUITY FUND
- ------------------------------------------------------------------------------------
Tax cost $ 2,060,150,493 $ 130,203,941 $ 149,657,300
- ------------------------------------------------------------------------------------
Gross unrealized gain 246,528,334 13,997,634 5,749,588
Gross unrealized loss (55,713,789) (7,102,020) (2,764,276)
- ------------------------------------------------------------------------------------
Net unrealized security gain $ 190,814,545 $ 6,895,614 $ 2,985,312
====================================================================================
<Caption>
INTERNATIONAL
OPPORTUNITIES FUND LARGE-CAP VALUE FUND
- ----------------------------------------------------------------------------------
Tax cost $ 133,933,788 $ 33,076,996
- ----------------------------------------------------------------------------------
Gross unrealized gain 37,844,294 1,099,022
Gross unrealized loss (3,419,376) (1,209,890)
- ----------------------------------------------------------------------------------
Net unrealized security gain (loss) $ 34,424,918 $ (110,868)
==================================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and other temporary tax adjustments.
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments)
for the six months ended April 30, 2005 were as follows:
<Table>
<Caption>
PURCHASES SALES
- ------------------------------------------------------------------
All Value Fund $ 787,725,909 $ 417,172,743
Alpha Fund 3,767,246 11,500,000
International Core Equity Fund 127,025,272 55,365,574
International Opportunities Fund 66,725,012 62,968,851
Large-Cap Value Fund 16,173,071 4,702,740
</Table>
There were no purchases or sales of U.S. Government securities for the six
months ended April 30, 2005.
In connection with the securities lending program, State Street Bank & Trust
Company ("SSB") received fees of $9,676 for the six months ended April 30, 2005,
which are netted against Securities Lending Income on the Statement of
Operations. As of April 30, 2005, there were no securities on loan.
72
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
6. TRUSTEES' REMUNERATION
The Trust's officers and the one trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity based plan available to all
outside Trustees under which outside Trustees must defer receipt of a portion
of, and may elect to defer receipt of an additional portion of Trustees' fees.
The deferred amounts are treated as though equivalent dollar amounts have been
invested proportionately in the Trust. Such amounts and earnings accrued thereon
are included in Trustees' Fees on the Statement of Operations and in Trustees'
Fees Payable on the Statement of Assets and Liabilities and are not deductible
for U.S. Federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of each Fund's expenses.
8. LINE OF CREDIT
All Value Fund, International Core Equity Fund, International Opportunities
Fund, and Large-Cap Value Fund along with certain other funds managed by Lord
Abbett, have available a $200,000,000 unsecured revolving credit facility
("Facility") from a consortium of banks, to be used for temporary or emergency
purposes as an additional source of liquidity to fund redemptions of investor
shares. Any borrowings under this Facility will bear interest at current market
rates as defined in the agreement. For the period November 1, 2004 through
December 9, 2004, the fee for this Facility was at an annual rate of .09%.
Effective December 10, 2004, the Facility was renewed at an annual rate of .08%.
At April 30, 2005, there were no loans outstanding pursuant to this Facility nor
was the Facility utilized at any time during the six months ended April 30,
2005.
9. CUSTODIAN AND ACCOUNTING AGENT
SSB is the Trust's custodian and accounting agent. SSB performs custodial,
accounting and recordkeeping functions relating to portfolio transactions and
calculating each Fund's NAV.
10. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
equity investing. The value of an investment will fluctuate in response to
movements in the stock market in general, and to the changing prospects of
individual companies in which the Funds invest.
Large company value stocks, in which All Value Fund and Large-Cap Value Fund
invest, may perform differently than the market as a whole and other types of
stocks, such as small company stocks and growth stocks. This is because
different types of stocks tend to shift in and out of favor depending on market
and economic conditions. The market may fail to recognize the intrinsic value of
a particular value stock for a long time. In addition, if a Fund's assessment of
a company's
73
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
value or prospects for exceeding earnings expectations or market conditions is
wrong, the Fund could suffer losses or produce poor performance relative to
other funds, even in a rising market.
In addition, although All Value Fund invests a significant portion of its assets
in large-cap company stocks, it also invests in mid-cap and small-cap company
stocks which may be more volatile and less liquid than large-cap stocks.
International Core Equity Fund is subject to the risks of investing in foreign
securities and in the securities of large foreign companies. Foreign securities
may pose greater risks than domestic securities, including greater price
fluctuations and higher transaction costs. Foreign investments also may be
affected by changes in currency rates or currency controls.
International Opportunities Fund is also subject to the risks of investing in
foreign securities and in the securities of small-cap companies. Foreign
securities may pose greater risks than domestic securities, including greater
price fluctuations and higher transaction costs. Foreign investments also may be
affected by changes in currency rates or currency controls. Investing in
small-cap companies generally involves greater risks than investing in the
stocks of large-cap companies, including more volatility and less liquidity.
Alpha Fund's investments are concentrated in the Underlying Funds and, as a
result, the Fund's performance is directly related to their performance and
subject to their risks, including those associated with foreign investments and
small-cap companies.
These factors can affect each Fund's performance.
74
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
11. SUMMARY OF CAPITAL TRANSACTIONS
Transactions in shares of beneficial interest are as follows:
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2004
- -------------------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 30,383,842 $ 356,766,439 77,238,255 $ 820,475,828
Reinvestment of distributions 1,706,888 19,799,553 551,426 5,492,414
Shares reacquired (8,976,367) (105,002,009) (9,831,040) (105,162,568)
- -------------------------------------------------------------------------------------------------------------------
Increase 23,114,363 $ 271,563,983 67,958,641 $ 720,805,674
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares sold 3,684,168 $ 42,027,557 8,518,633 $ 88,599,964
Reinvestment of distributions 161,446 1,824,336 89,021 865,287
Shares reacquired (1,001,385) (11,422,097) (1,823,012) (18,892,791)
- -------------------------------------------------------------------------------------------------------------------
Increase 2,844,229 $ 32,429,796 6,784,642 $ 70,572,460
- -------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Shares sold 8,749,934 $ 99,602,478 18,336,210 $ 189,969,707
Reinvestment of distributions 279,800 3,150,551 150,641 1,459,709
Shares reacquired (2,373,392) (26,995,316) (3,196,194) (33,142,806)
- -------------------------------------------------------------------------------------------------------------------
Increase 6,656,342 $ 75,757,713 15,290,657 $ 158,286,610
- -------------------------------------------------------------------------------------------------------------------
CLASS P SHARES
Shares sold 471,649 $ 5,509,322 332,094 $ 3,537,085
Reinvestment of distributions 7,509 86,656 1,424 14,131
Shares reacquired (34,293) (401,067) (22,700) (246,224)
- -------------------------------------------------------------------------------------------------------------------
Increase 444,865 $ 5,194,911 310,818 $ 3,304,992
- -------------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 66,817 $ 793,465 154,694 $ 1,685,042
Reinvestment of distributions 2,882 33,492 16 159
Shares reacquired (9,525) (113,032) - -
- -------------------------------------------------------------------------------------------------------------------
Increase 60,174 $ 713,925 154,710 $ 1,685,201
- -------------------------------------------------------------------------------------------------------------------
</Table>
75
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2004
- -------------------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 405,833 $ 6,958,561 842,543 $ 12,914,133
Reinvestment of distributions 24,791 425,664 - -
Shares reacquired (365,427) (6,235,441) (796,821) (12,237,203)
- -------------------------------------------------------------------------------------------------------------------
Increase 65,197 $ 1,148,784 45,722 $ 676,930
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares sold 158,303 $ 2,629,221 250,831 $ 3,761,163
Reinvestment of distributions - - - -
Shares reacquired (294,235) (4,903,572) (568,522) (8,525,182)
- -------------------------------------------------------------------------------------------------------------------
Decrease (135,932) $ (2,274,351) (317,691) $ (4,764,019)
- -------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Shares sold 127,756 $ 2,122,212 237,978 $ 3,579,134
Reinvestment of distributions - - - -
Shares reacquired (315,120) (5,245,329) (512,272) (7,699,401)
- -------------------------------------------------------------------------------------------------------------------
Decrease (187,364) $ (3,123,117) (274,294) $ (4,120,267)
- -------------------------------------------------------------------------------------------------------------------
<Caption>
PERIOD ENDED
OCTOBER 31, 2004*
- -------------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 2,473 $ 42,380 24,945 $ 391,543
Reinvestment of distributions 228 3,899 - -
Shares reacquired (1,638) (27,674) - -
- -------------------------------------------------------------------------------------------------------------------
Increase 1,063 $ 18,605 24,945 $ 391,543
- -------------------------------------------------------------------------------------------------------------------
</Table>
* For the period October 20, 2004 (commencement of offering of share class) to
October 31, 2004.
76
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 PERIOD ENDED
(UNAUDITED) OCTOBER 31, 2004**
- -------------------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 5,369,767 $ 61,832,286 6,334,498 $ 64,068,547
Reinvestment of distributions 4,407 49,623
Shares reacquired (375,588) (4,305,932) (723,691) (7,319,356)
- -------------------------------------------------------------------------------------------------------------------
Increase 4,998,586 $ 57,575,977 5,610,807 $ 56,749,191
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares sold 555,940 $ 6,367,489 310,399 $ 3,147,471
Shares reacquired (22,965) (261,357) (27,035) (269,461)
- -------------------------------------------------------------------------------------------------------------------
Increase 532,975 $ 6,106,132 283,364 $ 2,878,010
- -------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Shares sold 1,224,919 $ 14,074,460 930,102 $ 9,477,115
Shares reacquired (82,636) (951,478) (34,075) (341,628)
- -------------------------------------------------------------------------------------------------------------------
Increase 1,142,283 $ 13,122,982 896,027 $ 9,135,487
- -------------------------------------------------------------------------------------------------------------------
CLASS P SHARES
Shares sold - $ - 1,000 $ 10,000
- -------------------------------------------------------------------------------------------------------------------
Increase - $ - 1,000 $ 10,000
- -------------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 123,002 $ 1,405,209 295,774 $ 3,050,694
Reinvestment of distributions 540 6,089 - -
Shares reacquired (12,202) (142,944) - -
- -------------------------------------------------------------------------------------------------------------------
Increase 111,340 $ 1,268,354 295,774 $ 3,050,694
- -------------------------------------------------------------------------------------------------------------------
</Table>
** For the period December 15, 2003 (commencement of investment operations) to
October 31, 2004.
77
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2004
- -------------------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 937,032 $ 9,922,715 2,068,789 $ 18,950,733
Reinvestment of distributions 31 244 116,074 951,166
Shares reacquired (682,203) (7,168,582) (1,744,796) (15,957,567)
- -------------------------------------------------------------------------------------------------------------------
Increase 254,860 $ 2,754,377 440,067 $ 3,944,332
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares sold 328,378 $ 3,386,885 629,605 $ 5,630,954
Reinvestment of distributions 9 74 24,183 194,187
Shares reacquired (281,420) (2,897,151) (500,148) (4,480,281)
- -------------------------------------------------------------------------------------------------------------------
Increase 46,967 $ 489,808 153,640 $ 1,344,860
- -------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Shares sold 270,962 $ 2,786,358 430,000 $ 3,865,434
Reinvestment of distributions - - 19,174 153,200
Shares reacquired (168,682) (1,726,407) (338,548) (3,057,232)
- -------------------------------------------------------------------------------------------------------------------
Increase 102,280 $ 1,059,951 110,626 $ 961,402
- -------------------------------------------------------------------------------------------------------------------
CLASS P SHARES
Shares sold 12.08 $ 130 1.36 $ 13
Reinvestment of distributions - - 1.35 11
- -------------------------------------------------------------------------------------------------------------------
Increase 12.08 $ 130 2.71 $ 24
- -------------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 25,719 $ 273,746 123,690 $ 1,193,629
Reinvestment of distributions 3,895 39,769 119,564 992,384
Shares reacquired (588,096) (6,236,223) (632,072) (6,009,857)
- -------------------------------------------------------------------------------------------------------------------
Decrease (558,482) $ (5,922,708) (388,818) $ (3,823,844)
- -------------------------------------------------------------------------------------------------------------------
</Table>
78
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONCLUDED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2004
- -------------------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 306,451 $ 3,745,964 908,712 $ 10,502,711
Reinvestment of distributions 17,677 213,362 1,753 18,773
Shares reacquired (210,742) (2,560,910) (266,208) (3,056,762)
- -------------------------------------------------------------------------------------------------------------------
Increase 113,386 $ 1,398,416 644,257 $ 7,464,722
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares sold 33,084 $ 400,660 123,718 $ 1,405,471
Reinvestment of distributions 1,588 18,994 63 673
Shares reacquired (14,299) (172,655) (10,398) (118,370)
- -------------------------------------------------------------------------------------------------------------------
Increase 20,373 $ 246,999 113,383 $ 1,287,774
- -------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Shares sold 105,367 $ 1,274,466 134,831 $ 1,533,110
Reinvestment of distributions 1,894 22,678 70 751
Shares reacquired (23,454) (283,021) (21,321) (244,155)
- -------------------------------------------------------------------------------------------------------------------
Increase 83,807 $ 1,014,123 113,580 $ 1,289,706
- -------------------------------------------------------------------------------------------------------------------
CLASS P SHARES
Reinvestment of distributions 21 $ 250 6 $ 67
- -------------------------------------------------------------------------------------------------------------------
Increase 21 $ 250 6 $ 67
- -------------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 1,249,813 $ 15,436,231 171,369 $ 1,979,292
Reinvestment of distributions 3,325 40,231 8 83
Shares reacquired (7,304) (89,739) - -
- -------------------------------------------------------------------------------------------------------------------
Increase 1,245,834 $ 15,386,723 171,377 $ 1,979,375
- -------------------------------------------------------------------------------------------------------------------
</Table>
79
<Page>
UNDERLYING FUND INFORMATION (UNAUDITED)
Alpha Fund invests in other funds ("Underlying Funds") managed by Lord Abbett,
As of April 30, 2005, Alpha Fund's investments were allocated among the
Underlying Funds as follows:
<Table>
<Caption>
UNDERLYING FUND NAME % OF INVESTMENTS
-----------------------------------------------------------------
Lord Abbett Developing Growth Fund, Inc. - Class Y 27.67%
Lord Abbett Research Fund, Inc. - Small Cap
Value Fund - Class Y 29.65%
Lord Abbett Securities Trust - International
Opportunities Fund - Class Y 40.21%
</Table>
The Ten Largest Holdings and the Holdings by Sector, as of April 30, 2005, for
Lord Abbett Developing Growth Fund, Inc. and Lord Abbett Research Fund, Inc. -
Small Cap Value Fund, in which Alpha Fund held a significant concentration of
its investments, are as follows:
LORD ABBETT DEVELOPING GROWTH FUND, INC.
<Table>
<Caption>
TEN LARGEST HOLDINGS % OF INVESTMENTS
- ---------------------------------------------------------
Sierra Health Services, Inc. 2.00%
Corporate Executive Board Co. 1.82%
P.F. Chang's China Bistro, Inc. 1.72%
Scientific Games Corp. Class A 1.60%
Shuffle Master, Inc. 1.58%
Sybron Dental Specialties, Inc. 1.57%
Pacific Sunwear of California, Inc. 1.55%
Kos Pharmaceuticals, Inc. 1.52%
SRA Int'l., Inc. 1.47%
CACI Int'l., Inc. Class A 1.40%
<Caption>
HOLDINGS BY SECTOR % OF INVESTMENTS
- ---------------------------------------------------------
Auto & Transportation 3.31%
Consumer Discretionary 30.55%
Consumer Staples 0.37%
Financial Services 7.42%
Healthcare 24.11%
Integrated Oils 0.77%
Materials & Processing 3.75%
Other Energy 8.62%
Producer Durables 5.17%
Short-Term Investment 1.81%
Technology 14.12%
- ---------------------------------------------------------
Total 100.00%
- ---------------------------------------------------------
</Table>
80
<Page>
UNDERLYING FUND INFORMATION (UNAUDITED)(CONCLUDED)
LORD ABBETT RESEARCH FUND, INC. - SMALL-CAP VALUE FUND
<Table>
<Caption>
TEN LARGEST HOLDINGS % OF INVESTMENTS
- ---------------------------------------------------------
Quanex Corp. 4.45%
Carlisle Cos., Inc. 2.95%
Itron, Inc. 2.67%
Helmerich & Payne, Inc. 2.17%
Curtiss-Wright Corp. 1.92%
Hexcel Corp. 1.79%
Wabtec Corp. 1.71%
Unova, Inc. 1.62%
Briggs & Stratton Corp. 1.55%
Nationwide Health Properties, Inc. 1.54%
<Caption>
HOLDINGS BY SECTOR % OF INVESTMENTS
- ---------------------------------------------------------
Auto & Transportation 12.54%
Consumer Discretionary 9.95%
Consumer Staples 1.79%
Financial Services 11.23%
Healthcare 2.12%
Integrated Oils 1.26%
Materials & Processing 24.57%
Other 4.35%
Other Energy 9.92%
Producer Durables 17.09%
Short-Term Investment 2.79%
Technology 2.39%
- ---------------------------------------------------------
Total 100.00%
- ---------------------------------------------------------
</Table>
The Schedule of Investments and the Holdings by Sector of Lord Abbett Securities
Trust - International Opportunities Fund, also an Underlying Fund of Alpha Fund,
have been presented earlier in this Semi-Annual Report to Shareholders.
81
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' Prospectus, proxy material, annual report and semi-annual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219336, Kansas City, MO 64121.
PROXY VOTING POLICIES, PROCEDURES, AND RECORD
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to the Fund's portfolio securities, and information on as to how
Lord Abbett voted each Funds' proxies during the 12-month period ended June 30,
2004 are available without charge, upon request, (i) by calling 888-522-2388;
(ii) or on Lord Abbett's website at www.LordAbbett.com; and (iii) on the
Securities and Exchange Commission's ("SEC") website at www.sec.gov.
SHAREHOLDER REPORTS AND QUARTERLY PORTFOLIO DISCLOSURE
The Funds are required to file their complete schedule of portfolio holdings
with the SEC for its first and third fiscal quarters on Form N-Q for fiscal
quarters ending on or after July 9, 2004. Copies of the filings will be
available without charge, upon request on the SEC's website at www.sec.gov and
may be available by calling Lord Abbett at 800-821-5129. You can also obtain
copies of Form N-Q by (i) visiting the SEC's Public Reference Room in
Washington, DC (information on the operation of the Public Reference Room may be
obtained by calling 800-SEC-0330); (ii) sending your request and a duplicating
fee to the SEC's Public Reference Room, Washington, DC 20549-0102; or (iii)
sending your request electronically to publicinfo@sec.gov.
82
<Page>
APPROVAL OF ADVISORY CONTRACTS
At meetings on December 9, 2004, the Board of Trustees of the Funds, including
all Trustees who are not interested persons of the Funds (the "Board"),
considered whether to approve the continuation of the existing management
agreement between each of the Funds and Lord Abbett. In addition to the
materials the Board had reviewed throughout the course of the year, the Board
received materials relating to the management agreement before the meeting and
had the opportunity to ask questions and request further information in
connection with its consideration.
The materials received by the Board as to each Fund included, but were not
limited to, (1) information provided by Lipper Analytical Services, Inc.
regarding the investment performance of each Fund compared to the investment
performance of a group of funds with substantially similar investment objectives
(the "performance universe") and to the investment performance of an appropriate
securities index (if such an index existed), for various time periods each
ending September 30, 2004, (2) information on the effective management fee rates
and expense ratios for funds with similar objectives and similar size (the "peer
group"), (3) sales and redemption information for each Fund, (4) information
regarding Lord Abbett's financial condition, (5) an analysis of the relative
profitability of the management agreement to Lord Abbett, (6) information
regarding the distribution arrangements of each Fund, (7) information regarding
the personnel and other resources devoted by Lord Abbett to managing each Fund.
The specific considerations as to each Fund are discussed below.
LARGE-CAP VALUE FUND
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of total return and in terms of other statistical measures noted
that the performance of the Class A shares of the Fund was in the fourth
quintile of its performance universe for the nine-month and one-year periods and
since the inception of the Fund (June 30, 2003). The Board also noted that the
performance was below that of the Lipper Large-Cap Value Index for each of those
periods.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor and the nature and extent of Lord Abbett supervision
of third party service providers, including the Fund's transfer agent and
custodian.
EXPENSES. The Board considered the expense ratios of each class and the expense
ratios of peer groups. It also considered the amount and nature of the fees paid
by shareholders. The Board noted that the contractual management and
administrative services fees for the Fund were
83
<Page>
approximately forty basis points below the median of the peer group and that
actual management and administrative services fees were approximately eight
basis points below the median. The Board also noted that, since the Fund's
inception, Lord Abbett had agreed to cap the Fund's Class A total expense ratio
at 0.95%, the Classes B and C total expense ratios at 1.60%, the Class P total
expense ratio at 1.05%, and the Class Y total expense ratio at 0.60%, with the
result that the total expense ratio of Class A was approximately fifty basis
points below the median of the peer group, the total expense ratios of Classes B
and C were approximately fifty-four basis points below the median, the total
expense ratio of Class P was approximately two basis points above the median,
and the total expense ratio of Class Y was approximately forty-two basis points
below the median.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was appropriate. It considered
the profits realized by Lord Abbett in connection with the operation of the Fund
and whether the amount of profit was fair for the management of the Fund. The
Board also considered the profits realized from other businesses of Lord Abbett,
which may benefit from or be related to the Fund's business. The Board
considered Lord Abbett's profit margins in comparison with available industry
data, both accounting for and ignoring marketing and distribution expenses, and
how those profit margins could affect Lord Abbett's ability to recruit and
retain investment personnel. The Board noted that Lord Abbett's profitability
had increased, in part due to an increase in assets under management.
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services other than investment. The Board also considered the
revenues and profitability of Lord Abbett's investment advisory business apart
from its mutual fund business, and the intangible benefits enjoyed by Lord
Abbett by virtue of its relationship with the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
ALL VALUE FUND
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of
84
<Page>
total return and in terms of other statistical measures. The Board noted that
the performance of the Class C shares of the Fund was in the third quintile of
its performance universe for the nine-month and one-year periods and in the
second quintile for the three-, five-, and ten-year periods. The Board also
noted that the Fund's performance was below that of the Lipper Multi-Cap Value
Index for the nine-month and three-year periods, but above that of the Index for
the one-, five-, and ten-year periods.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor and the nature and extent of Lord Abbett supervision
of third party service providers, including the Fund's transfer agent and
custodian.
EXPENSES. The Board considered the expense ratios of each class and the expense
ratios of peer groups. It also considered the amount and nature of the fees paid
by shareholders. The Board noted that the contractual management and
administrative services fees of the Fund were less than one basis point below
the median of the peer group and that the actual management fees were
approximately four basis points above the median. The Board also noted that the
actual total expense ratio of Class A was approximately eight basis points above
the median of the peer group and that the actual total expense ratio of Class C
was less than one basis point above the median. The Board noted that the
contractual management fees of the Fund had been reduced, effective October 1,
2004, and were now approximately four basis points below the median of the peer
group and the actual management fees would be approximately one basis point
above the median of the peer group. The Board also noted that Lord Abbett had
agreed to cap the total expense ratio of Class A at 0.95% and total expense
ratio of Class C at 1.60% and that the total expense ratio of Class A would be
approximately three basis points below the median of the peer group and the
total expense ratio of Class C would be approximately two basis points below the
median.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was appropriate. It considered
the profits realized by Lord Abbett in connection with the operation of the Fund
and whether the amount of profit was fair for the management of the Fund. The
Board also considered the profits realized from other businesses of Lord Abbett,
which may benefit from or be related to the Fund's business. The Board
considered Lord Abbett's profit margins in comparison with available industry
data, both accounting for and ignoring marketing and distribution expenses, and
how those profit margins could affect Lord Abbett's ability to recruit and
retain investment personnel. The Board noted that Lord Abbett's profitability
had increased, in part due to an increase in assets under management.
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services
85
<Page>
other than investment. The Board also considered the revenues and profitability
of Lord Abbett's investment advisory business apart from its mutual fund
business, and the intangible benefits enjoyed by Lord Abbett by virtue of its
relationship with the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
ALPHA SERIES
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of total return and in terms of other statistical measures. The
Board noted that the performance of the Class A shares of the Fund was in the
third quintile of its performance universe for the nine-month, one-year,
three-year, and five-year periods. The Board also noted that there was no Lipper
index that would serve as an appropriate comparison for the Fund.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor and the nature and extent of Lord Abbett supervision
of third party service providers, including the Fund's transfer agent and
custodian.
EXPENSES. The Board considered the expense ratio of the Fund and the expense
ratios of a peer group. It also considered the amount and nature of the fees
paid by shareholders. The Board noted that the contractual management fees were
approximately eight basis points below the median of the peer group and that the
actual management fees were approximately four basis points that of the median
of the peer group. The Board also noted that the total expense ratio of Class A
was approximately fifteen basis points below the median of the peer group and
that the total expense ratios of Classes B and C were approximately the same as
the median of the peer group. The Board noted that, like other funds in the peer
group, the Fund indirectly pays the management fees and other expenses of the
underlying funds in which it invests.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was
86
<Page>
appropriate. It considered the profits realized by Lord Abbett in connection
with the operation of the Fund and whether the amount of profit was fair for the
management of the Fund. The Board also considered the profits realized from
other businesses of Lord Abbett, which may benefit from or be related to the
Fund's business. The Board considered Lord Abbett's profit margins in comparison
with available industry data, both accounting for and ignoring marketing and
distribution expenses, and how those profit margins could affect Lord Abbett's
ability to recruit and retain investment personnel. The Board noted that Lord
Abbett's profitability had increased, in part due to an increase in assets under
management.
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services other than investment. The Board also considered the
revenues and profitability of Lord Abbett's investment advisory business apart
from its mutual fund business, and the intangible benefits enjoyed by Lord
Abbett by virtue of its relationship with the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
INTERNATIONAL OPPORTUNITIES FUND
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of total return and in terms of other statistical measures. The
Board noted that the performance of the Class A shares of the Fund was in the
fourth quintile of its performance universe for the nine-month and one-year
period and in the fifth quintile for the three- and five-year periods. The Board
also noted that the performance was above that of the Lipper International
Small/Mid-Cap Growth Index for the nine-month period and below that of the Index
for all other periods.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor
87
<Page>
and the nature and extent of Lord Abbett supervision of third party service
providers, including the Fund's transfer agent and custodian.
EXPENSES. The Board considered the expense ratio of the Fund and the expense
ratios of a peer group. It also considered the amount and nature of the fees
paid by shareholders. The Board noted that the contractual management and
administrative services fees were approximately twenty-one basis points below
the median of the peer group and that the the actual management and
administrative services fees were approximately the same as the median of the
peer group. The Board noted that the total expense ratio of Class A was
approximately nine basis points below the median of the peer group, the total
expense ratios of Classes B and C were the same as the median of the peer group,
the total expense ratio of Class P was approximately fourteen basis points above
the median and the total expense ratio of Class Y was approximately eighteen
basis points above the median.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was appropriate. It considered
the profits realized by Lord Abbett in connection with the operation of the Fund
and whether the amount of profit was fair for the management of the Fund. The
Board also considered the profits realized from other businesses of Lord Abbett,
which may benefit from or be related to the Fund's business. The Board
considered Lord Abbett's profit margins in comparison with available industry
data, both accounting for and ignoring marketing and distribution expenses, and
how those profit margins could affect Lord Abbett's ability to recruit and
retain investment personnel. The Board noted that Lord Abbett's profitability
had increased, in part due to an increase in assets under management.
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services other than investment. The Board also considered the
revenues and profitability of Lord Abbett's investment advisory business apart
from its mutual fund business, and the intangible benefits enjoyed by Lord
Abbett by virtue of its relationship with the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
INTERNATIONAL CORE EQUITY FUND
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
88
<Page>
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of total return and in terms of other statistical measures. The
Board noted that the Fund had only been in existence since December 31, 2003.
The Board further noted that the performance of the Class A shares of the Fund
was in the fifth quintile of its peer group and below that of the Lipper
International Multi-Cap Core Index for the period since inception.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor and the nature and extent of Lord Abbett supervision
of third party service providers, including the Fund's transfer agent and
custodian.
EXPENSES. The Board considered the expense ratio of the Fund and the expense
ratios of a peer group. It also considered the amount and nature of the fees
paid by shareholders. The Board also noted that the contractual management and
administrative services fees of the Fund were approximately twenty-one basis
points below the median of the peer group and that the actual management and
administrative services fees were approximately nine basis points below the
median. The Board noted that the total expense ratio of Class A was
approximately seven basis points below the median of the peer group, the total
expense ratios of Classes B and C were approximately three basis points below
the median, the total expense ratio of Class P was approximately twenty-nine
basis points above the median, and the total expense ratio of Class Y was
approximately thirteen basis points above the median. The Board also noted that
Lord Abbett had agreed to implement a total expense cap for the Fund that would
limit the total expense ratio of Class A to 1.75%, the total expense ratios of
Classes B and C to 2.40%, the total expense ratio of Class P to 1.85%, and the
total expense ratio of Class Y to 1.40%, but that the total expense ratio of
each class was below that cap at September 30, 2004.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was appropriate. It considered
the profits realized by Lord Abbett in connection with the operation of the Fund
and whether the amount of profit was fair for the management of the Fund. The
Board also considered the profits realized from other businesses of Lord Abbett,
which may benefit from or be related to the Fund's business. The Board
considered Lord Abbett's profit margins in comparison with available industry
data, both accounting for and ignoring marketing and distribution expenses, and
how those profit margins could affect Lord Abbett's ability to recruit and
retain investment personnel. The Board noted that Lord Abbett's profitability
had increased, in part due to an increase in assets under management.
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services other than investment. The Board also considered the
revenues and profitability of Lord Abbett's
89
<Page>
investment advisory business apart from its mutual fund business, and the
intangible benefits enjoyed by Lord Abbett by virtue of its relationship with
the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
90
<Page>
[LORD ABBETT(R) LOGO]
<Table>
This report when not used for the general
information of shareholders of the Fund, is to Lord Abbett Securities Trust
be distributed only if preceded or accompanied Lord Abbett All Value Fund
by a current Fund Prospectus. Lord Abbett Alpha Fund
Lord Abbett International Core Equity Fund
Lord Abbett Mutual Fund shares are distributed by Lord Abbett International Opportunities Fund
LORD ABBETT DISTRIBUTOR LLC Lord Abbett Large-Cap Value Fund LST-3-0405
(06/05)
</Table>
<Page>
[LORD ABBETT LOGO]
2005
SEMI-
ANNUAL
REPORT
LORD ABBETT
MICRO-CAP GROWTH FUND
MICRO-CAP VALUE FUND
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2005
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH FUND AND
MICRO-CAP VALUE FUND
SEMI-ANNUAL REPORT
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2005
DEAR SHAREHOLDERS: We are pleased to provide you with this overview of Lord
Abbett Micro-Cap Growth and Lord Abbett Micro-Cap Value Funds' strategies and
performance for the six-month period ended April 30, 2005. On this and the
following pages, we discuss the major factors that influenced performance.
Thank you for investing in Lord Abbett Mutual Funds. We value the trust
that you place in us and look forward to serving your investment needs in the
years to come.
BEST REGARDS,
/s/ ROBERT S. DOW
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE REPORTING PERIOD?
A: The U.S. economy began the six-month period ended April 30, 2005 with signs
of healthy growth. However, by period end, investor optimism had waned as energy
prices soared and the stock market relinquished some of its previous gains.
Of greatest note, the Federal Reserve Board (the Fed) continued its
measured pace of interest rate hikes, raising the fed funds rate in 0.25%
increments in November, December, February and March, bringing the rate to 2.75%
at the end of the six-month period. (The fed funds rate is the rate charged by
banks with excess reserves at the Federal Reserve district bank to other banks
needing overnight loans to meet reserve requirements.) The March interest rate
hike marked the seventh quarter-point increase since June 2004.
Broad stock indices finished calendar year 2004 strong, but stumbled out of
the gate in early 2005. The S&P 500 Index(1) gained 4.1% in November 2004 and
3.4% in December 2004, finishing calendar year 2004 with a 10.9% gain. By the
end of the first quarter of 2005, however, the Index had declined 2.2%, largely
reflecting investors' concerns that rising oil and gas prices would hurt
economic growth by cutting into corporate profits and dampening consumer
spending. Even with an agreement among members of the Organization of Petroleum
Exporting Countries (OPEC) to increase oil production, crude oil prices climbed
to over $57 per barrel.
Nonetheless, the U.S. economy continued to grow at a healthy pace during
the first quarter of 2005 and, despite rising interest rates, corporate
fundamentals remained positive. Improved profitability continued to generate
excess
1
<Page>
- --------------------------------------------------------------------------------
cash, strengthening corporate balance sheets, and business spending picked up.
Elsewhere, U.S. housing starts reached their highest reported level in 21
years, and the unemployment rate remained stable at 5.2%, except for a small
uptick to 5.4% in February of 2005.
By the end of the six-month period, however, investors had more to fret
about than the price of oil when a warning on profits from General Motors
triggered a flight out of equity and the Consumer Price Index (CPI) showed a
slight upward bias. (The CPI is a commonly used measure of inflation, which
reflects changes in the prices paid by urban consumers for a representative
basket of goods and services.) In April, for the third consecutive month, the
Consumer Confidence Index declined. (Based on a representative sample of 5,000
households, the Consumer Confidence Index measures consumer confidence about
current business, employment and economic conditions as well as their
expectations for the same six months hence.) As the six-month period ended April
30, 2005 came to a close, investors were cautious.
LORD ABBETT MICRO-CAP GROWTH FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 3.3%
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R)
Growth Index,(2) which returned -2.0% over the same period. Standardized Average
Annual Total Returns, which reflect performance at the maximum 5.75% sales
charge applicable to Class A share investments and include the reinvestment of
all distributions, are 1 Year: -7.02% and Since Inception (May 1, 2000): -3.18%.
Class A shares purchased subject to a front-end sales charge have no contingent
deferred sales charge (CDSC). However, certain purchases of Class A shares made
without a front-end sales charge may be subject to a CDSC of 1.0% if the shares
are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection in the technology sector was the largest contributor to the
Fund's outperformance of its benchmark for the six-month period ended April 30,
2005. The portfolio benefited from its focus on gaming
2
<Page>
- --------------------------------------------------------------------------------
companies within the technology industry. A provider of diversified technology
and content products and services used in the worldwide gaming industry
outperformed due to industry interest in its new security technology for use
inside of gaming chips. Another gaming technology holding, a company that
provides online betting for horse racing, also reported gains because of
increasing acceptance of online gambling. In addition, the Fund was helped by
some of its "softer" technology holdings during the period including a holding
that helps companies create online advertisements, an online education company
and a leading provider of advanced intelligent traffic management solutions.
Strong stock selection in the consumer discretionary sector also aided
performance. This sector includes stocks in the consumer durables, apparel,
media, hotel and leisure industries. Two retail apparel holdings outperformed. A
denim company did well due to increased consumer interest in purchasing
higher-end denim jeans, and a department store chain reported improving growth.
In addition, a leading designer, manufacturer and distributor of liquid crystal
displays, modules and assemblies was a strong performer following an acquisition
and its introduction of color liquid crystal displays.
The greatest detractor to the Fund's performance relative to its benchmark
for the six-month period ended April 30, 2005 was stock selection in the
producer durables sector, which includes capital goods and industrials. A
company that offers systems support for industrial weighing and measuring
requirements underperformed based on unfavorable consumer sales. Also, a company
that specializes in rapid cook technology used in the fast food industry
disappointed when, during the company's February 2005 equity offering, the
current management team sold a portion of their personal holdings resulting in a
lowering of the stock's price. Stock selection in healthcare also hurt
performance based on the underperformance of three biotech holdings. Rising
interest rates have caused biotech valuations to come down.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT MICRO-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2005?
A: For the six-month period ended April 30, 2005, the Fund returned 7.0%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R)
Value Index,(3) which returned 1.5% over the same period. Standardized Average
Annual Total Returns, which reflect performance
3
<Page>
- --------------------------------------------------------------------------------
at the maximum 5.75% sales charge applicable to Class A share investments and
include the reinvestment of all distributions, are 1 Year: 7.48% and Since
Inception (May 1, 2000): 20.82%. Class A shares purchased subject to a front-end
sales charge have no contingent deferred sales charge (CDSC). However, certain
purchases of Class A shares made without a front-end sales charge may be subject
to a CDSC of 1.0% if the shares are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: An underweight position combined with strong stock selection in the overall
poorly performing financial services sector proved to be the greatest positive
factor impacting the Fund's performance relative to the benchmark for the
six-month period ended April 30, 2005. In this sector, the portfolio was helped
by strong performance by a company that is both a malpractice insurance manager
and a fixed-income trading brokerage. Most of this company's outperformance was
due to its ties to the strong-performing health care sector. Another solid
performer for the period was a Korean bank based in Southern California. The
bank's fine performance is part of a trend of ethnic-centric economic growth.
Such banks have tended to have more loyal customer bases than mainstream banks,
even when interest rates are rising. Also, a regional property and casualty
insurance company reported gains due to the strength of its long-term
underwriting discipline and recent acquisitions.
Stock selection in the healthcare sector also boosted portfolio
performance. A maker of puncture-safe needles contributed favorably. This
holding was purchased when corporate changes within its largest distributor
temporarily reduced the stock price to a very attractive value. In addition, a
company that provides medical testing products so that doctors can perform rapid
in-office testing for common maladies helped performance. The holding was
undervalued by the market but gained strength after acquisitions that linked
them to homeland security issues.
Although somewhat offset by a large overweight position in the relatively
strong performing producer durables sector, stock selection within the sector
was the greatest detractor to Fund performance for the six-month period ended
April 30, 2005. Producer durables include industrials and capital goods used
4
<Page>
- --------------------------------------------------------------------------------
in the production of other goods such as industrial buildings, machinery and
equipment. A company that manufactures electronic components for the computer,
networking and telecommunications industry underperformed due to market pressure
and its reliance on the underperforming technology industry. A holding that
produces capital equipment for the newspaper industry was hurt by the difficult
business environment of its newspaper customer base. In addition, a company that
makes industrial floor cleaners and polishing equipment enjoyed increased
revenues, but its gains were offset by rising steel prices.
An underweight position in the utilities sector also took away from
performance as the utility sector performed well during the six-month period.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
A PROSPECTUS CONTAINS IMPORTANT INFORMATION ABOUT A FUND, INCLUDING A FUND'S
INVESTMENT OBJECTIVES, RISKS, CHARGES AND ONGOING EXPENSES, THAT AN INVESTOR
SHOULD CAREFULLY CONSIDER BEFORE INVESTING. TO OBTAIN A PROSPECTUS ON ANY LORD
ABBETT MUTUAL FUND, CONTACT YOUR INVESTMENT PROFESSIONAL, OR LORD ABBETT
DISTRIBUTOR LLC AT (800) 874-3733 OR www.LordAbbett.com. READ THE PROSPECTUS
CAREFULLY BEFORE INVESTING.
(1) The S&P 500 Index is widely regarded as the standard for measuring large-cap
U.S. stock market performance. This popular index includes a representative
sample of leading companies in leading industries. The Index is unmanaged, does
not reflect the deduction of fees or expenses and is not available for direct
investment.
(2) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values. The Index is unmanaged, does not reflect the deduction of fees or
expenses and is not available for direct investment.
(3) The Russell 2000(R) Value Index measures the performance of those Russell
2000 companies with lower price-to-book ratios and lower forecasted growth
values. The Index is unmanaged, does not reflect the deduction of fees or
expenses and is not available for direct investment.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
THE VIEWS OF EACH FUND'S MANAGEMENT AND THE PORTFOLIO HOLDINGS DESCRIBED IN THIS
REPORT ARE AS OF APRIL 30, 2005; THESE VIEWS AND PORTFOLIO HOLDINGS MAY HAVE
CHANGED SUBSEQUENT TO THIS DATE AND THEY DO NOT GUARANTEE THE FUTURE PERFORMANCE
OF THE MARKETS OR THE FUNDS. INFORMATION PROVIDED IN THIS REPORT SHOULD NOT BE
CONSIDERED A RECOMMENDATION TO PURCHASE OR SELL SECURITIES.
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with a
Fund, please see the Fund's Prospectus.
PERFORMANCE: BECAUSE OF ONGOING MARKET VOLATILITY, A FUND'S PERFORMANCE MAY BE
SUBJECT TO SUBSTANTIAL FLUCTUATION. Except where noted, comparative fund
performance does not account for the deduction of sales charges and would be
different if sales charges were included. Each Fund offers additional classes of
shares with distinct pricing options. For a full description of the differences
in pricing alternatives, please see the Prospectus.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
5
<Page>
- --------------------------------------------------------------------------------
EXPENSE EXAMPLES
As a shareholder of the Funds, you incur two types of costs: (1)
transaction costs, including sales charges on purchase payments (these charges
vary among the share classes); and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees (these charges vary among the share
classes); and other Fund expenses. The Examples are intended to help you
understand your ongoing costs (in dollars) of investing in the Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (November 1, 2004 through April 30,
2005).
ACTUAL EXPENSES
For each class of the Fund, the first line of the table on the following
page provides information about actual account values and actual expenses. You
may use the information in this line, together with the amount you invested, to
estimate the expenses that you paid over the period. Simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),
then multiply the result by the number in the first line under the heading
entitled "Expenses Paid During the Period 11/1/04 - 4/30/05" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of the Fund, the second line of the table on the following
page provides information about hypothetical account values and hypothetical
expenses based on each Fund's actual expense ratio and an assumed rate of return
of 5.0% per year before expenses, which is not the Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds. To do so, compare this 5.0% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
6
<Page>
MICRO-CAP GROWTH FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such as
sales charges. Therefore, the second line of the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
11/1/04 -
11/1/04 4/30/05 4/30/05
------- ------- -------
CLASS A
Actual $ 1,000.00 $ 1,033.10 $ 10.57
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,014.39 $ 10.47
CLASS Y
Actual $ 1,000.00 $ 1,034.50 $ 9.31
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,015.64 $ 9.22
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (2.10% for Class A, and 1.85% for Class Y) multiplied
by the average account value over the period, multiplied by 181/365 (to
reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
APRIL 30, 2005
<Table>
<Caption>
SECTOR %*
Consumer Discretionary 28.30%
Financial Services 11.41%
Healthcare 26.15%
Integrated Oils 1.36%
Materials & Processing 4.86%
Producer Durables 4.98%
Short-Term Investment 2.22%
Technology 19.48%
Utilities 1.24%
Total 100.00%
</Table>
* Represents percent of total investments.
7
<Page>
MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such as
sales charges. Therefore, the second line of the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
11/1/04 -
11/1/04 4/30/05 4/30/05
------- ------- -------
CLASS A
Actual $ 1,000.00 $ 1,070.30 $ 10.77
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,014.39 $ 10.47
CLASS Y
Actual $ 1,000.00 $ 1,071.80 $ 9.48
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,015.64 $ 9.22
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (2.10% for Class A, and 1.85% for Class Y) multiplied
by the average account value over the period, multiplied by 181/365 (to
reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
APRIL 30, 2005
<Table>
<Caption>
SECTOR %*
Auto & Transportation 9.65%
Consumer Discretionary 24.30%
Consumer Staples 1.56%
Financial Services 15.60%
Healthcare 6.95%
Integrated Oils 1.79%
Materials & Processing 11.48%
Other Energy 1.82%
Producer Durables 15.83%
Short-Term Investment 3.72%
Technology 5.35%
Utilities 1.95%
Total 100.00%
</Table>
* Represents percent of total investments.
8
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
MICRO-CAP GROWTH FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------
COMMON STOCKS 96.91%
BANKS 6.14%
Community Bancorp* 8,200 $ 197
Online Resources Corp.* 19,900 173
------------
TOTAL 370
------------
BANKS: OUTSIDE NEW YORK CITY 2.26%
Heritage Commerce Corp.* 7,100 136
------------
BIOTECHNOLOGY RESEARCH & PRODUCTION 8.15%
Kendle Int'l., Inc.* 18,000 213
Matrixx Initiatives, Inc.* 12,600 142
Regeneration Technologies, Inc.* 8,700 80
Vion Pharmaceuticals, Inc.* 20,900 56
------------
TOTAL 491
------------
CASINOS & GAMBLING 6.28%
Mikohn Gaming Corp.* 13,700 193
Youbet.com, Inc.* 34,300 185
------------
TOTAL 378
------------
CHEMICALS 4.81%
Medis Technologies Ltd.* 9,500 127
Ultralife Batteries, Inc.* 10,400 163
------------
TOTAL 290
------------
COMMUNICATIONS TECHNOLOGY 2.21%
Telkonet, Inc.* 42,500 133
------------
COMPUTER SERVICES SOFTWARE & SYSTEMS 12.22%
Aladdin Knowledge Systems Ltd.*(a) 5,900 121
Digitas, Inc.* 19,200 191
eCollege.com, Inc.* 9,300 104
Electronic Clearing
House, Inc.* 21,400 183
Nestor, Inc.* 22,500 137
------------
TOTAL 736
------------
COMPUTER TECHNOLOGY 1.01%
Digital Recorders, Inc.* 30,400 $ 61
------------
DRUGS & PHARMACEUTICALS 5.36%
BioCryst Pharmaceuticals, Inc.* 16,600 66
Bone Care Int'l., Inc.* 3,900 101
SFBC Int'l., Inc.* 5,000 156
------------
TOTAL 323
------------
ELECTRONICS: INSTRUMENTS, GAUGES & METERS 3.06%
Measurement Specialties, Inc.* 8,300 184
------------
ELECTRONICS: MEDICAL SYSTEMS 4.48%
PhotoMedex, Inc.* 60,800 180
Rita Medical Systems, Inc.* 29,700 90
------------
TOTAL 270
------------
ELECTRONICS: OTHER 1.73%
International DisplayWorks, Inc.* 11,850 104
------------
ELECTRONICS: SEMI-CONDUCTORS/ COMPONENTS 2.14%
Windsortech, Inc.* 64,600 129
------------
ENTERTAINMENT 1.98%
WPT Enterprises, Inc.* 9,000 119
------------
FINANCE COMPANIES 2.92%
Asta Funding, Inc. 8,400 176
------------
HEALTH & PERSONAL CARE 2.14%
NovaMed, Inc.* 25,000 129
------------
JEWELRY WATCHES & GEMSTONES 1.73%
LJ Int'l., Inc.*(a) 44,200 104
------------
MACHINERY: SPECIALTY 1.88%
TurboChef Technologies, Inc.* 10,900 113
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
MICRO-CAP GROWTH FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES 5.79%
Medtox Scientific, Inc.* 10,900 $ 74
Molecular Devices Corp.* 9,500 180
Neogen Corp.* 6,650 95
------------
TOTAL 349
------------
OIL: INTEGRATED DOMESTIC 1.34%
Gasco Energy, Inc.* 22,900 81
------------
PRINTING AND COPYING SERVICES 1.69%
TRM Corp.* 6,100 102
------------
RETAIL 6.84%
Bon-Ton Stores, Inc. (The) 9,700 174
Cache, Inc.* 10,900 122
Design Within Reach, Inc.* 7,600 116
------------
TOTAL 412
------------
SERVICES: COMMERCIAL 2.21%
Exponent, Inc.* 5,600 133
------------
TEXTILES APPAREL MANUFACTURERS 7.31%
Oxford Industries, Inc. 5,400 198
True Religion Apparel, Inc.* 16,300 242
------------
TOTAL 440
------------
UTILITIES: ELECTRICAL 1.23%
Gexa Corp.* 11,200 74
------------
TOTAL COMMON STOCKS
(Cost $5,495,227) 5,837
============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ----------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 2.21%
REPURCHASE AGREEMENT 2.21%
Repurchase Agreement dated 4/29/2005, 2.22% due
5/2/2005 with State Street Bank & Trust Co.
collateralized by $140,000 of Federal Home Loan Bank
at 2.375% due 2/15/06; value: $139,437; proceeds:
$132,594 (Cost $132,569) $ 133 $ 133
------------
TOTAL INVESTMENTS IN SECURITIES 99.12%
(Cost $5,627,796) 5,970
============
OTHER ASSETS IN EXCESS OF LIABILITIES 0.88% 53
============
NET ASSETS 100.00% $ 6,023
============
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
MICRO-CAP VALUE FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------
COMMON STOCKS 95.70%
AEROSPACE 4.29%
Allied Defense Group, Inc.* 10,500 $ 263
Ladish Co., Inc.* 31,400 378
------------
TOTAL 641
------------
AGRICULTURE FISHING & RANCHING 1.23%
Andersons Inc. (The) 6,800 184
------------
AIR TRANSPORTATION 1.34%
Frontier Airlines, Inc.* 20,700 201
------------
AUTO COMPONENTS 0.56%
Wabash National Corp. 3,300 84
------------
AUTO PARTS: AFTER MARKET 1.74%
Keystone Automotive Industries, Inc.* 13,000 260
------------
BANKS: OUTSIDE NEW YORK CITY 6.25%
CoBiz, Inc. 10,150 171
Columbia Bancorp 10,200 185
Dearborn Bancorp, Inc.* 8,305 217
Franklin Bank Corp.* 13,500 227
Pennsylvania Commerce Bancorp, Inc.* 4,600 135
------------
TOTAL 935
------------
CHEMICALS 2.21%
NuCo2, Inc.* 8,200 201
Quaker Chemical Corp. 6,600 129
------------
TOTAL 330
------------
COMMUNICATIONS TECHNOLOGY 1.34%
Bel Fuse, Inc. Class A 8,600 200
------------
COMPUTER SERVICES SOFTWARE & SYSTEMS 1.54%
Moldflow Corp.* 18,100 231
------------
COMPUTER TECHNOLOGY 2.43%
Fargo Electronics, Inc.* 13,400 $ 194
Mobility Electronics, Inc.* 21,900 170
------------
TOTAL 364
------------
CONSTRUCTION 1.70%
Modtech Holdings, Inc.* 31,800 255
------------
CONTAINERS & PACKAGING: METAL & GLASS 1.50%
Mobile Mini, Inc.* 6,400 224
------------
DIVERSIFIED FINANCIAL SERVICES 1.02%
American Physicians
Services Group, Inc. 12,100 153
------------
ELECTRICAL EQUIPMENT & COMPONENTS 2.51%
AZZ, Inc.* 11,300 175
Powell Industries, Inc.* 11,100 201
------------
TOTAL 376
------------
ELECTRICAL: HOUSEHOLD APPLIANCE 1.12%
Emerson Radio Corp.* 57,300 168
------------
FINANCIAL MISCELLANEOUS 0.78%
Financial Federal Corp. 3,300 116
------------
FOODS 0.70%
Tasty Baking Co. 13,100 105
------------
FUNERAL PARLORS & CEMETERY 3.01%
Carriage Services, Inc.* 44,000 264
Rock of Ages Corp. 28,900 186
------------
TOTAL 450
------------
HEALTHCARE FACILITIES 1.40%
Capital Senior Living Corp.* 35,500 210
------------
HEALTHCARE MANAGEMENT SERVICES 2.82%
American Dental Partners, Inc.* 17,600 422
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MICRO-CAP GROWTH FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------
HOTEL/MOTEL 1.59%
Interstate Hotels & Resorts, Inc.* 31,700 $ 142
Marcus Corp. (The) 5,000 96
------------
TOTAL 238
------------
HOUSEHOLD FURNISHINGS 0.31%
Haverty Furniture Cos., Inc. 3,300 47
------------
IDENTIFICATION CONTROL & FILTER DEVICES 1.00%
Robbins & Myers, Inc. 6,900 150
------------
INSURANCE: PROPERTY-CASUALTY 3.20%
Donegal Group, Inc. 14,000 261
Navigators Group, Inc. (The)* 6,800 218
------------
TOTAL 479
------------
MACHINERY: INDUSTRIAL/SPECIALTY 2.63%
Tennant Co. 5,300 188
Twin Disc, Inc. 9,700 206
------------
TOTAL 394
------------
MACHINERY: OIL WELL EQUIPMENT & SERVICES 1.81%
Lufkin Industries, Inc. 9,200 271
------------
MACHINERY: SPECIALTY 1.81%
Key Technology, Inc.* 16,800 161
Quipp, Inc.* 9,800 110
------------
TOTAL 271
------------
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES 2.69%
ICU Medical, Inc.* 4,700 167
Meridian Bioscience, Inc. 13,900 235
------------
TOTAL 402
------------
METAL FABRICATING 1.50%
Material Sciences Corp.* 10,200 125
NN, Inc. 7,900 99
------------
TOTAL 224
------------
METALS & MINERALS MISCELLANEOUS 1.52%
Castle (A.M.) & Co.* 19,100 $ 228
------------
MISC. MATERIALS & COMMODITIES 1.02%
Lydall, Inc.* 17,100 153
------------
OIL: INTEGRATED DOMESTIC 1.78%
Pioneer Drilling Co.* 20,200 266
------------
POLLUTION CONTROL AND ENVIRONMENTAL SERVICES 2.15%
Team, Inc.* 16,400 321
------------
RAILROADS 0.82%
Genesee & Wyoming, Inc. Class A* 5,087 122
------------
REAL ESTATE INVESTMENT TRUSTS 1.00%
Agree Realty Corp. 5,500 149
------------
RENTAL & LEASING SERVICES: COMMERCIAL 1.73%
McGrath RentCorp 11,600 258
------------
RETAIL 1.91%
Rush Enterprises, Inc. Class B* 19,300 286
------------
SAVINGS & LOAN 1.54%
Beverly Hills Bancorp Inc. 22,100 231
------------
SERVICES: COMMERCIAL 12.19%
Ambassadors Int'l., Inc. 5,300 177
Exponent, Inc.* 16,600 396
Hudson Highland Group, Inc.* 11,700 161
Integrated Alarm Services Group, Inc.* 40,700 153
Monro Muffler Brake, Inc.* 13,500 346
SM&A* 44,200 373
World Fuel Services Corp. 8,700 217
------------
TOTAL 1,823
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
MICRO-CAP GROWTH FUND APRIL 30, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------
SHOES 1.16%
Skechers U.S.A., Inc. Class A* 14,100 $ 173
------------
STEEL 0.73%
Steel Technologies Inc. 5,700 109
------------
TELECOMMUNICATIONS EQUIPMENT 1.34%
C-Cor Inc.* 30,300 200
------------
TEXTILES APPAREL MANUFACTURERS 2.86%
Cutter & Buck Inc. 14,800 200
Hartmarx Corp.* 26,400 228
------------
TOTAL 428
------------
TOBACCO 0.85%
DIMON, Inc. 14,300 85
Standard Commercial Corp. 2,400 42
------------
TOTAL 127
------------
TRANSPORTATION MISCELLANEOUS 2.96%
Hub Group, Inc. Class A* 3,800 209
Quixote Corp. 11,600 234
------------
TOTAL 443
------------
TRUCKERS 2.17%
Covenant Transport, Inc. Class A* 11,400 153
P.A.M. Transportation Services, Inc.* 10,200 172
------------
TOTAL 325
------------
UTILITIES: GAS DISTRIBUTORS 0.53%
Chesapeake Utilities Corp. 2,900 79
------------
UTILITIES: MISCELLANEOUS 1.41%
Waste Industries USA, Inc. 16,000 211
------------
TOTAL COMMON STOCKS
(Cost $11,652,279) 14,317
============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ----------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 3.70%
REPURCHASE AGREEMENT 3.70%
Repurchase Agreement dated 4/29/2005, 2.22% due
5/2/2005 with State Street Bank & Trust Co.
collateralized by $570,000 of Federal National
Mortgage Assoc at zero coupon due 8/10/2005; value:
$565,013; proceeds: $553,565 (Cost $553,463) $ 553 $ 553
------------
TOTAL INVESTMENTS IN SECURITIES 99.40%
(COST $12,205,742) 14,870
============
OTHER ASSETS IN EXCESS OF LIABILITES 0.60% 90
============
NET ASSETS 100.00% $ 14,960
============
</Table>
* Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 2005
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 5,627,796 $ 12,205,742
- -------------------------------------------------------------------------------------------------
Investment in securities, at value $ 5,969,610 $ 14,870,278
Receivables:
Interest and dividends 310 4,176
Investment securities sold 187,869 183,555
Capital shares sold 6,423 10,655
From advisor 838 2,306
Prepaid expenses and other assets 11 2,668
- -------------------------------------------------------------------------------------------------
TOTAL ASSETS 6,165,061 15,073,638
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 107,290 71,537
Management fees 7,514 18,582
12b-1 distribution fees 1,309 3,390
Fund administration 201 495
Trustees' fees 335 259
Accrued expenses and other liabilities 25,654 19,505
- -------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 142,303 113,768
=================================================================================================
NET ASSETS $ 6,022,758 $ 14,959,870
=================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 5,320,441 $ 11,256,672
Accumulated net investment loss (63,519) (92,126)
Accumulated net realized gain on investments 424,022 1,130,788
Net unrealized appreciation on investments 341,814 2,664,536
- -------------------------------------------------------------------------------------------------
NET ASSETS $ 6,022,758 $ 14,959,870
=================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 4,961,525 $ 12,509,165
Class Y Shares $ 1,061,233 $ 2,450,705
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF
AUTHORIZED SHARES OF BENEFICIAL INTEREST):
Class A Shares 415,658 548,057
Class Y Shares 87,886 106,681
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE (NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 11.94 $ 22.82
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 12.67 $ 24.21
Class Y Shares-Net asset value $ 12.08 $ 22.97
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 2005
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 2,825 $ 50,615
Interest 2,145 6,807
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 4,970 57,422
- -------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 49,739 108,754
12b-1 distribution plan-Class A 6,793 15,298
Shareholder servicing 2,612 5,218
Professional 7,636 7,818
Reports to shareholders 2,287 6,122
Fund administration 1,326 2,900
Custody 1,487 4,711
Trustees' fees 64 267
Registration - 1,155
Other 58 118
- -------------------------------------------------------------------------------------------------
Gross expenses 72,002 152,361
Expense reductions (See Note 7) (79) (106)
Expenses assumed by advisor (See Note 3) (3,760) (2,783)
- -------------------------------------------------------------------------------------------------
NET EXPENSES 68,163 149,472
- -------------------------------------------------------------------------------------------------
NET INVESTMENT LOSS (63,193) (92,050)
- -------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments 424,054 1,136,398
Net change in unrealized appreciation (depreciation) on
investments (178,692) (160,139)
=================================================================================================
NET REALIZED AND UNREALIZED GAIN 245,362 976,259
=================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 182,169 $ 884,209
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
SIX MONTHS ENDED APRIL 30, 2005
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (63,193) $ (92,050)
Net realized gain (loss) on investments 424,054 1,136,398
Net change in unrealized appreciation (depreciation)
on investments (178,692) (160,139)
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 182,169 884,209
=================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain
Class A (145,059) (1,261,565)
Class Y (29,179) (202,569)
- -------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (174,238) (1,464,134)
=================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 611,624 1,652,554
Reinvestment of distributions 173,991 1,463,982
Cost of shares reacquired (514,298) (177,636)
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL SHARE
TRANSACTIONS 271,317 2,938,900
=================================================================================================
NET INCREASE IN NET ASSETS 279,248 2,358,975
=================================================================================================
NET ASSETS:
Beginning of period 5,743,510 12,600,895
- -------------------------------------------------------------------------------------------------
END OF PERIOD $ 6,022,758 $ 14,959,870
=================================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (63,519) $ (92,126)
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31, 2004
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (104,644) $ (131,931)
Net realized gain on investments 595,487 1,589,792
Net change in unrealized appreciation (depreciation)
on investments (66,499) 457,431
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 424,344 1,915,292
=================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (122,771)
Class Y - (351)
Net realized gain
Class A - (532,495)
Class Y - (1,280)
- -------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (656,897)
=================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,784,611 3,926,178
Reinvestment of distributions - 656,897
Cost of shares reacquired (1,128,485) (2,153,835)
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL SHARE
TRANSACTIONS 656,126 2,429,240
=================================================================================================
NET INCREASE IN NET ASSETS 1,080,470 3,687,635
=================================================================================================
NET ASSETS:
Beginning of year 4,663,040 8,913,260
- -------------------------------------------------------------------------------------------------
END OF YEAR $ 5,743,510 $ 12,600,895
=================================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (326) $ (76)
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2005 ----------------------------------------------- TO
(UNAUDITED) 2004 2003 2002 2001 10/31/2000
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.88 $ 10.87 $ 7.51 $ 9.49 $ 13.18 $ 16.76
========= ========= ========= ========= ======== ========
Investment operations:
Net investment income (loss)(a) (.13) (.23) (.14) (.02) -(e) (.01)
Net realized and unrealized gain (loss) .54 1.24 3.50 (1.95) (1.34) (3.57)
--------- --------- --------- --------- -------- --------
Total from investment operations .41 1.01 3.36 (1.97) (1.34) (3.58)
--------- --------- --------- --------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.01) (.01) -
Net realized gain (.35) - - - (2.34) -
--------- --------- --------- --------- -------- --------
Total distributions (.35) - - (.01) (2.35) -
--------- --------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 11.94 $ 11.88 $ 10.87 $ 7.51 $ 9.49 $ 13.18
========= ========= ========= ========= ======== ========
Total Return(b) 3.31%(d) 9.29% 44.74% (20.81)% (11.30)% (21.36)%(d)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including waiver and
expense reductions 1.04%(d) 2.10% 1.75% .38% .38% .18%(d)
Expenses, excluding waiver and
expense reductions 1.10%(d) 2.52% 2.84% 2.99% 4.02% 1.36%(d)
Net investment income (loss) (.97)%(d) (1.91)% (1.60)% (.24)% .04% (.04)%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2005 ----------------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 10/31/2000
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 4,962 $ 4,726 $ 4,655 $ 2,698 $ 2,266 $ 2,160
Portfolio turnover rate 39.27% 79.07% 126.71% 34.08% 80.17% 103.33%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.00 $ 10.96 $ 7.55 $ 9.52 $ 13.21 $ 12.57
========= ========= ========= ========= ======== ========
Investment operations:
Net investment income (loss)(a) (.11) (.20) (.11) .01 .04 .04
Net realized and unrealized gain (loss) .54 1.24 3.52 (1.95) (1.35) 1.73
--------- --------- --------- --------- -------- --------
Total from investment operations .43 1.04 3.41 (1.94) (1.31) 1.77
--------- --------- --------- --------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.03) (.04) (.02)
Net realized gain (.35) - - - (2.34) (1.11)
--------- --------- --------- --------- -------- --------
Total distributions (.35) - - (.03) (2.38) (1.13)
--------- --------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 12.08 $ 12.00 $ 10.96 $ 7.55 $ 9.52 $ 13.21
========= ========= ========= ========= ======== ========
Total Return(b) 3.45%(d) 9.49% 45.17% (20.42)% (11.00)% 14.48%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including waiver and
expense reductions .92%(d) 1.85%+ 1.42% .00% .00% .00%
Expenses, including waiver and
expense reductions .97%(d) 2.27%+ 2.51% 2.61% 3.64% 2.33%
Net investment income (loss) (.84)%(d) (1.66)%+ (1.27)% .14% .42% .22%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1,061 $ 1,018 $ 8 $ 6 $ 7 $ 8
Portfolio turnover rate 39.27% 79.07% 126.71% 34.08% 80.17% 103.33%
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2005 ----------------------------------------------- TO
(UNAUDITED) 2004 2003 2002 2001 10/31/2000
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 23.89 $ 21.43 $ 15.56 $ 15.68 $ 15.90 $ 13.13
========= ========= ========= ========= ======== ========
Investment operations:
Net investment income (loss)(a) (.15) (.27) (.14) .05 .10 .07
Net realized and unrealized gain 1.81 4.31 6.69 .60 2.20 2.70
--------- --------- --------- --------- -------- --------
Total from investment operations 1.66 4.04 6.55 .65 2.30 2.77
--------- --------- --------- --------- -------- --------
Distributions to shareholders from:
Net investment income - (.30) (.05) (.05) (.14) -
Net realized gain (2.73) (1.28) (.63) (.72) (2.38) -
--------- --------- --------- --------- -------- --------
Total distributions (2.73) (1.58) (.68) (.77) (2.52) -
--------- --------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 22.82 $ 23.89 $ 21.43 $ 15.56 $ 15.68 $ 15.90
========= ========= ========= ========= ======== ========
Total Return(b) 7.03%(d) 20.08% 43.80% 4.12% 17.16% 21.10%(d)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including waiver and
expense reductions 1.04%(d) 2.10% 1.73% .38% .38% .17%(d)
Expenses, excluding waiver and
expense reductions 1.06%(d) 2.27% 2.18% 2.76% 3.08% 1.50%(d)
Net investment income (loss) (.65)%(d) (1.22)% (.84)% .31% .64% .49%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2005 ----------------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 10/31/2000
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 12,509 $ 10,838 $ 8,892 $ 5,442 $ 4,889 $ 2,032
Portfolio turnover rate 16.72% 36.97% 48.55% 36.02% 52.63% 82.02%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.00 $ 21.53 $ 15.63 $ 15.72 $ 15.92 $ 10.75
========= ========= ========= ========= ======== ========
Investment operations:
Net investment income (loss)(a) (.12) (.22) (.09) .12 .16 .14
Net realized and unrealized gain 1.82 4.32 6.73 .59 2.19 5.19
--------- --------- --------- --------- -------- --------
Total from investment operations 1.70 4.10 6.64 .71 2.35 5.33
--------- --------- --------- --------- -------- --------
Distributions to shareholders from:
Net investment income - (.35) (.11) (.08) (.17) (.09)
Net realized gain (2.73) (1.28) (.63) (.72) (2.38) (.07)
--------- --------- --------- --------- -------- --------
Total distributions (2.73) (1.63) (.74) (.80) (2.55) (.16)
--------- --------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 22.97 $ 24.00 $ 21.53 $ 15.63 $ 15.72 $ 15.92
========= ========= ========= ========= ======== ========
Total Return(b) 7.18%(d) 20.36% 44.35% 4.51% 17.48% 50.12%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including waiver and
expense reductions .92%(d) 1.85%+ 1.41% .00% .00% .00%
Expenses, including waiver and
expense reductions .94%(d) 2.02%+ 1.86% 2.38% 2.70% 2.50%
Net investment income (loss) (.53)%(d) (.97)%+ (.52)% .69% 1.02% 1.15%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2005 -----------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 2,451 $ 1,763 $ 21 $ 15 $ 14 $ 12
Portfolio turnover rate 16.72% 36.97% 48.55% 36.02% 52.63% 82.02%
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as an open-end management investment company
organized as a Delaware business trust on February 26, 1993. The Trust currently
consists of seven funds. This report covers the following two funds and their
respective classes (separately, a "Fund" and collectively, the "Funds"): Lord
Abbett Micro-Cap Growth Fund ("Micro-Cap Growth Fund"), Class A and Y shares and
Lord Abbett Micro-Cap Value Fund ("Micro-Cap Value Fund"), Class A and Y shares.
The investment objective of both Micro-Cap Growth Fund and Micro-Cap Value Fund
is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the Net Asset Value ("NAV") for Class A shares.
There is no front-end sales charge in the case of Class Y shares, although there
may be a contingent deferred sales charge ("CDSC") for certain redemptions of
Class A shares made within 24 months (12 months if shares were purchased on or
after November 1, 2004) following certain purchases made without a sales charge.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sale price or official
closing price on the exchange or system on which they are principally
traded. Unlisted equity securities are valued at the last quoted sale price
or, if no sale price is available, at the mean between the most recently
quoted bid and asked prices. Securities for which market quotations are not
readily available are valued at fair value as determined by management and
approved in good faith by the Board of Trustees. Short-term securities with
60 days or less remaining to maturity are valued using the amortized cost
method, which approximates current market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date
that the securities are purchased or sold (trade date). Realized gains and
losses on sales of portfolio securities are calculated using the
identified-cost method. Realized and unrealized gains (losses) are
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted
and premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all taxable income and
capital gains to its shareholders. Therefore, no Federal income tax
provision is required.
22
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are generally allocated to the Funds within the Trust on
a pro rata basis. Expenses, excluding class specific expenses, are
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day. Class A shares bear all expenses and
fees relating to the Class A 12b-1 Distribution Plan.
(f) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed-upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash or by securities of the U.S.
Government, its agencies, its instrumentalities, or U.S. Government
sponsored enterprises having a value equal to, or in excess of, the value
of the repurchase agreement (including accrued interest). If the seller of
the agreement defaults on its obligation to repurchase the underlying
securities at a time when the value of these securities has declined, the
Fund may incur a loss upon disposition of the securities.
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord, Abbett & Co. LLC ("Lord Abbett")
pursuant to which Lord Abbett supplies the Trust with investment management
services and executive and other personnel, pays the remuneration of officers,
provides office space and pays for ordinary and necessary office and clerical
expenses relating to research and statistical work and supervision of the
Trust's investment portfolios.
The management fee is based on average daily net assets at an annual rate of
1.50%.
For the fiscal year ending October 31, 2005, Lord Abbett has contractually
agreed to reimburse expenses for each Fund to the extent necessary to maintain
total operating expenses for Class A at 2.10% and Class Y at 1.85% of average
daily net assets.
Lord Abbett provides certain administrative services to the Funds pursuant to an
Administrative Services Agreement at an annual rate of .04% of each Fund's
average daily net assets.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan with respect to the Class A shares of
the Micro-Cap Growth Fund and Micro-Cap Value Fund pursuant to Rule 12b-1 of the
Act, which provides for the payment of ongoing distribution and service fees to
Lord Abbett Distributor LLC ("Distributor"), an affiliate of Lord Abbett. The
service fees are accrued daily based upon the average daily net assets
attributable to Class A at an annual rate of .25%.
Class Y does not have a distribution plan.
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS
Dividends from net investment income, if any, are declared and paid at least
annually. Taxable net realized gains from investment transactions, reduced by
capital loss carryforwards, if any, are declared and distributed to shareholders
at least annually. The capital loss carryforward amount, if any, is available to
offset future net capital gains. Dividends and distributions to shareholders
23
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
are recorded on the ex-dividend date. The amount of dividends and distributions
from net investment income and net realized capital gains are determined in
accordance with Federal income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These book/tax
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the components of net assets based on their federal tax basis treatment;
temporary differences do not require reclassification. Dividends and
distributions, which exceed earnings and profits for tax purposes, are reported
as a tax return of capital.
The tax character of distributions paid during the six months ended April 30,
2005 and the fiscal year ended October 31, 2004 were as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- ---------------------------------------------------------------------------------------
04/30/2005 10/31/2004 04/30/2005 10/31/2004
(UNAUDITED) (UNAUDITED)
- ---------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ - $ - $ 276,855 $ 123,122
Net long-term capital gains 174,238 - 1,187,279 533,775
- ---------------------------------------------------------------------------------------
Total distributions paid $ 174,238 $ - $ 1,464,134 $ 656,897
=======================================================================================
</Table>
As of April 30, 2005, the aggregate unrealized security gains and losses based
on cost for U.S. Federal income tax purposes are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- ---------------------------------------------------------------------------------------
Tax cost $ 5,627,796 $ 12,209,103
- ---------------------------------------------------------------------------------------
Gross unrealized gain 985,867 3,066,450
Gross unrealized loss (644,053) (405,275)
- ---------------------------------------------------------------------------------------
Net unrealized security gain $ 341,814 $ 2,661,175
=======================================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments)
for the six months ended April 30, 2005 were as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------
Micro-Cap Growth $ 2,720,622 $ 2,508,407
Micro-Cap Value 3,630,420 2,332,910
</Table>
There were no purchases or sales of U.S. Government securities for the six
months ended April 30, 2005.
6. TRUSTEES' REMUNERATION
The Trust's officers and the one Trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity based plan available to all
outside Trustees under which outside Trustees must defer receipt of a portion
of, and may elect to defer receipt of an additional portion of Trustees' fees.
The deferred
24
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
amounts are treated as though equivalent dollar amounts have been invested
proportionately in the Funds. Such amounts and earnings accrued thereon are
included in Trustees' Fees on the Statement of Operations and in Trustees' Fees
Payable on the Statement of Assets and Liabilities and are not deductible for
U.S. Federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of each Fund's expenses.
8. CUSTODIAN AND ACCOUNTING AGENT
State Street Bank & Trust Company ("SSB") is the Trust's custodian and
accounting agent. SSB performs custodial, accounting and recordkeeping functions
relating to portfolio transactions and calculating each Fund's NAV.
9. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
equity investing, as well as the particular risks associated with micro-cap and
growth or value stocks. The value of an investment will fluctuate in response to
movements in the stock market in general and to the changing prospects of
individual companies in which the Funds invest. Micro-cap companies may be
subject to greater risks and may be more sensitive to changes in economic
conditions than larger, more established companies. There may be less liquidity
in micro-cap company stocks, subjecting them to greater price fluctuations than
larger company stocks. In the case of Micro-Cap Growth Fund, the growth stocks
in which it generally invests may add to the Fund's volatility. In the case of
the Micro-Cap Value Fund, the intrinsic value of particular value stocks may not
be recognized for a long time.
These factors can affect each Fund's performance.
10. SUMMARY OF CAPITAL TRANSACTIONS
Transactions in shares of beneficial interest are as follows:
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2004
- ----------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 26,447 $ 338,742 66,459 $ 794,315
Reinvestment of distributions 11,457 144,812 - -
Shares reacquired (20,102) (258,606) (96,743) (1,128,485)
- ----------------------------------------------------------------------------------------------------------
Increase (decrease) 17,802 $ 224,948 (30,284) $ (334,170)
- ----------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 20,355 $ 272,882 84,132 $ 990,296
Reinvestment of distributions 2,285 29,179 - -
Shares reacquired (19,626) (255,692) - -
- ----------------------------------------------------------------------------------------------------------
Increase 3,014 $ 46,369 84,132 $ 990,296
- ----------------------------------------------------------------------------------------------------------
</Table>
25
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONCLUDED)
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2005 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2004
- ----------------------------------------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------
CLASS A SHARES
Shares sold 42,254 $ 986,310 99,668 $ 2,225,860
Reinvestment of distributions 55,593 1,261,412 32,042 655,266
Shares reacquired (3,516) (80,508) (92,812) (2,153,835)
- ----------------------------------------------------------------------------------------------------------
Increase 94,331 $ 2,167,214 38,898 $ 727,291
- ----------------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 28,434 $ 666,244 72,362 $ 1,700,318
Reinvestment of distributions 8,880 202,570 80 1,631
Shares reacquired (4,074) (97,128) - -
- ----------------------------------------------------------------------------------------------------------
Increase 33,240 $ 771,686 72,442 $ 1,701,949
- ----------------------------------------------------------------------------------------------------------
</Table>
All of the outstanding capital shares of Micro-Cap Growth Fund and Micro-Cap
Value Fund are held by Lord Abbett and partners and employees of Lord Abbett.
26
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' Prospectus, proxy material, annual report and semi-annual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219100, Kansas City, MO 64121.
PROXY VOTING POLICIES, PROCEDURES, AND RECORD
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to the Fund's portfolio securities, and information on as to how
Lord Abbett voted each Fund's proxies during the 12-month period ended June 30,
2004 are available without charge, upon request, (i) by calling 888-522-2388;
(ii) or on Lord Abbett's website at www.LordAbbett.com; and (iii) on the
Securities and Exchange Commission's ("SEC") website at www.sec.gov.
SHAREHOLDER REPORTS AND QUARTERLY PORTFOLIO DISCLOSURE
The Funds are required to file their complete schedule of portfolio holdings
with the SEC for their first and third fiscal quarters on Form N-Q for fiscal
quarters ending on or after July 9, 2004. Copies of the filings will be
available without charge, upon request on the SEC's website at www.sec.gov and
may be available by calling Lord Abbett at 800-821-5129. You can also obtain
copies of Form N-Q by (i) visiting the SEC's Public Reference Room in
Washington, DC (information on the operation of the Public Reference Room may be
obtained by calling 800-SEC-0330); (ii) sending your request and duplicating fee
to the SEC's Public Reference Room, Washington, DC 20549-0102; or (iii) sending
your request electronically to publicinfo@sec.gov.
27
<Page>
APPROVAL OF ADVISORY CONTRACTS
At meetings on December 9, 2004, the Board of Trustees of the Funds, including
all Trustees who are not interested persons of the Funds (the "Board"),
considered whether to approve the continuation of the existing management
agreement between each of the Funds and Lord Abbett. In addition to the
materials the Board had reviewed throughout the course of the year, the Board
received materials relating to the management agreement before the meeting and
had the opportunity to ask questions and request further information in
connection with its consideration.
The materials received by the Board as to each Fund included, but were not
limited to, (1) information provided by Lipper Analytical Services, Inc.
regarding the investment performance of each Fund compared to the investment
performance of a group of funds with substantially similar investment objectives
(the "performance universe") and to the investment performance of an appropriate
securities index (if such an index existed), for various time periods each
ending September 30, 2004, (2) information on the effective management fee rates
and expense ratios for funds with similar objectives and similar size (the "peer
group"), (3) sales and redemption information for each Fund, (4) information
regarding Lord Abbett's financial condition, (5) an analysis of the relative
profitability of the management agreement to Lord Abbett, (6) information
regarding the distribution arrangements of each Fund, (7) information regarding
the personnel and other resources devoted by Lord Abbett to managing each Fund.
The specific considerations as to each Fund are discussed below.
MICRO-CAP VALUE FUND
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of total return and in terms of other statistical measures. The
Board noted the difficulty of comparing the Fund to an appropriate performance
universe, given the limited number of registered investment companies having a
similar investment objective, and considered the performance of the Fund
compared to two different performance universes. The Board noted that the
performance of the Class Y shares of the Fund were in the first quintile of one
performance universe for all periods, and in the first quintile of the other
performance universe for all periods, except the one-year period, in which it
was in the second quintile. The Board also noted that the performance was above
that of the Lipper Small-Cap Core Index and the Lipper Small-Cap Value Index in
each period.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor and the nature and extent of Lord Abbett supervision
of third party service providers, including the Fund's transfer agent and
custodian.
28
<Page>
EXPENSES. The Board considered the expense ratios of each class and the expense
ratios of peer groups. It also considered the amount and nature of the fees paid
by shareholders. The Board noted that the contractual management and
administrative services fees were approximately thirty-nine basis points above
the median of the peer group and the actual advisory and administrative services
fees were approximately sixty-four basis points above the median. The Board also
noted that Lord Abbett had implemented an expense cap that reduced the total
expense ratio of Class A to 2.10% and the total expense ratio of Class Y to
1.85%. The Board noted that, taking into account the cap, the total expense
ratio of Class A was approximately thirty-six basis points above the median of
the peer group and the total expense ratio of Class Y was approximately
forty-five basis points above the median. The Board also noted the Fund was only
offered to institutional investors and to employees of Lord Abbett.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was appropriate. It considered
the profits realized by Lord Abbett in connection with the operation of the Fund
and whether the amount of profit was fair for the management of the Fund. The
Board also considered the profits realized from other businesses of Lord Abbett,
which may benefit from or be related to the Fund's business. The Board
considered Lord Abbett's profit margins in comparison with available industry
data, both accounting for and ignoring marketing and distribution expenses, and
how those profit margins could affect Lord Abbett's ability to recruit and
retain investment personnel. The Board noted that Lord Abbett's profitability
had increased, in part due to an increase in assets under management.
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services other than investment. The Board also considered the
revenues and profitability of Lord Abbett's investment advisory business apart
from its mutual fund business, and the intangible benefits enjoyed by Lord
Abbett by virtue of its relationship with the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
MICRO-CAP GROWTH FUND
INVESTMENT MANAGEMENT SERVICES GENERALLY. The Board considered the investment
management services provided by Lord Abbett to the Fund, including investment
research, portfolio management, and trading. The Board noted that Lord Abbett
did not use brokerage commissions to purchase third-party research.
29
<Page>
INVESTMENT PERFORMANCE AND COMPLIANCE. The Board reviewed the Fund's investment
performance as well as the performance of the performance universe of funds,
both in terms of total return and in terms of other statistical measures. The
Board noted the difficulty of comparing the Fund to an appropriate performance
universe, given the limited number of registered investment companies having a
similar investment objective, and considered the performance of the Fund
compared to two different performance universes. The Board noted noted that the
performance of the Class Y shares of the Fund was in the fourth quintile of one
performance universe for the nine-month and three-year periods and in the fifth
quintile for the one-and five-year periods, and in the first quintile in the
nine-month and three-year periods, in the third quintile in the one-year period,
and in the second quintile in the five-year period for the second performance
universe. The Board also noted that the performance was below that of the Lipper
Small-Cap Core Index and above that of the Lipper Small-Cap Growth Index for
each period.
LORD ABBETT'S PERSONNEL AND METHODS. The Board considered the qualifications of
the personnel providing investment management services to each Fund, in light of
each Fund's investment objective and discipline. Among other things, it
considered the size and experience of Lord Abbett's investment management staff,
Lord Abbett's investment methodology and philosophy, and Lord Abbett's approach
to recruiting, training, and retaining investment management personnel.
NATURE AND QUALITY OF OTHER SERVICES. The Board considered the nature, quality,
costs, and extent of administrative and other services performed by Lord Abbett
and Lord Abbett Distributor and the nature and extent of Lord Abbett supervision
of third party service providers, including the Fund's transfer agent and
custodian.
EXPENSES. The Board considered the expense ratios of each class and the expense
ratios of peer groups. It also considered the amount and nature of the fees paid
by shareholders. The Board noted that the contractual management and
administrative services fees were approximately thirty-nine basis points above
the median of the peer group and the actual management and administrative
services fees were approximately sixty-four basis points above the median of the
peer group. The Board noted that Lord Abbett had implemented a total expense cap
for the Fund that reduced the total expense ratio of Class A to 2.10% and the
total expense ratio of Class Y to 1.85%. The Board noted that, in light of the
expense, the total expense ratio of Class A was approximately thirty-six basis
points above the median of the peer group and the total expense ratio of Class Y
was approximately forty-five basis points above the median of the peer group.
The Board also noted the Fund was offered only to institutional investors and to
employees of Lord Abbett.
PROFITABILITY. The Board considered the level of Lord Abbett's profits in
managing the Fund, including a review of Lord Abbett's methodology for
allocating its costs to its management of the Fund. The Board concluded that the
allocation methodology had a reasonable basis and was appropriate. It considered
the profits realized by Lord Abbett in connection with the operation of the Fund
and whether the amount of profit was fair for the management of the Fund. The
Board also considered the profits realized from other businesses of Lord Abbett,
which may benefit from or be related to the Fund's business. The Board
considered Lord Abbett's profit margins in comparison with available industry
data, both accounting for and ignoring marketing and distribution expenses, and
how those profit margins could affect Lord Abbett's ability to recruit and
retain investment personnel. The Board noted that Lord Abbett's profitability
had increased, in part due to an increase in assets under management.
30
<Page>
ECONOMIES OF SCALE. The Board considered whether there had been any economies of
scale in managing the Fund, whether the Fund had appropriately benefited from
any such economies of scale, and whether there was potential for realization of
any further economies of scale.
OTHER BENEFITS TO LORD ABBETT. The Board considered the character and amount of
fees paid by the Fund and the Fund's shareholders to Lord Abbett and Lord Abbett
Distributor for services other than investment. The Board also considered the
revenues and profitability of Lord Abbett's investment advisory business apart
from its mutual fund business, and the intangible benefits enjoyed by Lord
Abbett by virtue of its relationship with the Fund.
ALTERNATIVE ARRANGEMENTS. The Board considered whether, instead of approving
continuation of the management agreement, employing one or more alternative
arrangements might be in the best interests of the Fund, such as continuing to
employ Lord Abbett, but on different terms.
In considering whether to approve the continuation of the management agreement,
the Board did not identify any single factor as paramount or controlling. This
summary does not discuss in detail all matters considered. After considering all
of the relevant factors, the Board unanimously found that continuation of the
existing management agreement was in the best interests of the Fund and its
shareholders and voted unanimously to approve the continuation of the management
agreement.
31
<Page>
This page is intentionally left blank.
<Page>
[LORD ABBETT(R) LOGO]
<Table>
This report when not used for the general information of
shareholders of the Fund, is to be distributed only if Lord Abbett Securities Trust
preceded or accompanied by a current Fund Prospectus. Lord Abbett Micro-Cap Growth Fund
Lord Abbett Micro-Cap Value Fund
Lord Abbett Mutual Fund shares are distributed by
LORD ABBETT DISTRIBUTOR LLC LAMC-3-0405
(06/05)
</Table>
<Page>
ITEM 2: CODE OF ETHICS.
Not applicable
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4-8: PRINCIPAL ACCOUNTANT FEES AND SERVICES. [RESERVED]
Not applicable.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6: SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8: PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not Applicable.
ITEM10: CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) as of a date within 90 days prior to the filing
date of this report, the Chief Executive Officer and Chief Financial
Officer of the Registrant have concluded that such disclosure
controls and procedures are reasonably designed and effective to
ensure that material information relating to the Registrant,
including its consolidated subsidiaries, is made known to them by
others within those entities.
(b) There were no significant changes in the Registrant's internal
control over financial reporting (as defined in Rule 30a-3(d) under
the Investment Company Act of 1940) that occurred during the
Registrant's second fiscal quarter that have materially affected, or
are reasonably likely to materially affect, the Registrant's
internal control over financial reporting.
<Page>
ITEM 11: EXHIBITS.
(a)(1) Amendments to Code of Ethics - Not applicable.
(a)(2) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Rule 30a-2 under
the Act (17 CFR 270.30a-2) is attached hereto as a part of
EX-99.CERT.
(a)(3) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Section 906 of
the Sarbanes-Oxley Act of 2002 is attached hereto as a part of
EX-99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities and 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.
LORD ABBETT SECURITIES TRUST
/s/ Robert S. Dow
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ Joan A. Binstock
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: June 22, 2005
<Page>
Pursuant to the requirements of the Securities and 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.
LORD ABBETT SECURITIES TRUST
/s/ Robert S. Dow
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ Joan A. Binstock
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: June 22, 2005