<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5857
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CMG Fund Trust
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, Massachusetts 02111
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(Address of principal executive offices) (Zip code)
Vincent Pietropaolo, Esq.
Columbia Management Group, Inc.
One Financial Center
Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-617-426-3698
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Date of fiscal year end: 07/31/05
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Date of reporting period: 07/31/05
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
[COLUMBIA MANAGEMENT(R) LOGO]
CMG ENHANCED S&P 500(R) INDEX FUND
CMG LARGE CAP GROWTH FUND
CMG LARGE CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
PORTFOLIOS OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2005
NOT FDIC MAY LOSE VALUE
INSURED NO BANK GUARANTEE
Advised by Columbia Management Advisors, Inc.
Columbia Management is the primary investment management division of Banc of
America Corporation. Columbia Management entities furnish investment management
services and advise institutional and mutual fund portfolios.
Columbia Management Advisors, Inc. will combine with Banc of America Capital
Management, LLC on or about September 30, 2005. At that time, the newly combined
advisor will undergo a name change to Columbia Management Advisors, LLC and will
continue to operate as a SEC-registered investment advisor, wholly owned
subsidiary of Bank of America, N.A. and part of Columbia Management.
<Page>
TABLE OF CONTENTS
<Table>
Management Discussion of Fund Performance
CMG Enhanced S&P 500(R) Index Fund 1
CMG Large Cap Growth Fund 6
CMG Large Cap Value Fund 12
CMG Mid Cap Growth Fund 18
CMG Mid Cap Value Fund 23
CMG Small Cap Growth Fund 29
CMG Small Cap Value Fund 34
CMG Small/Mid Cap Fund 39
CMG International Stock Fund 44
Financial Statements
Financial Highlights 49
Schedule of Investments 58
Statements of Assets and Liabilities 122
Statements of Operations 124
Statements of Changes in Net Assets 126
Notes to Financial Statements 131
Report of Independent Registered Public Accounting Firm 140
Unaudited Information 141
Trustees 143
Officers 145
</Table>
The views expressed in the Portfolio Commentaries reflect the current views of
the respective parties. These views are not guarantees of future performance and
involve certain risks, uncertainties and assumptions that are difficult to
predict so actual outcomes and results may differ significantly from the views
expressed. These views are subject to change at any time based upon economic,
market or other conditions and the respective parties disclaim any
responsibility to update such views. These views may not be relied on as
investment advice and, because investment decisions for a CMG Fund are based on
numerous factors, may not be relied on as an indication of trading intent on
behalf of any particular Columbia Fund. References to specific company
securities should not be constructed as a recommendation or investment advice.
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Enhanced S&P 500(R) Index Fund returned 15.32% for the 12-month period ended
July 31, 2005. The fund's return was better than that of the S&P 500 Index(1),
which was 14.05% for the same period. The average return for the Lipper Large
Cap Core Funds Category was 12.60%.(2)
Despite rising energy prices, the US economy continued to grow at a steady pace
and inflation remained relatively low during the 12-month period, providing an
attractive backdrop for equity investors. In this environment, the
best-performing S&P 500 Index sectors were energy and utilities, which advanced
43% and 39%, respectively. The financials, technology and telecommunications
sectors were the worst performing areas. Each of these sectors returned
approximately 10%.
The fund's performance benefited from our decision to overweight companies in a
range of industries. An above-index position in energy company TXU returned 125%
for the fund during the period (0.4% of net assets). Rising energy prices
boosted profits from the company's lower-cost nuclear and coal-fired generating
operations. A position in First American, a provider of business information,
also aided results (0.5% of net assets). The stock rose 65% for the fund as a
strong housing market fueled profits from the company's real estate business
information and services segments. An overweight in Monsanto returned almost 90%
for the fund (0.7% of net assets). Monsanto saw prices and international sales
of Roundup, its herbicide, increase substantially. The company also gained
market share in branded corn seed, and it increased its acreage in
genetically-modified crops. Above-index exposure to UnitedHealth Group was also
helpful (1.4% of net assets). Recent acquisitions, disciplined cost management
and strong pricing boosted profits.
Stocks that disappointed included Wal-Mart Stores and ConocoPhillips (1.4% and
0.2% of net assets, respectively). Wal-Mart declined on poor sales growth, as
higher gasoline prices took a meaningful bite out the average customer's
disposable income. ConocoPhillips detracted from performance because the fund
had less exposure to the stock than the index. Soaring energy prices powered the
company's profits and drove the stock up 60%.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Exxon Mobil 3.8
General Electric 3.0
Pfizer 2.2
Microsoft 2.1
Johnson & Johnson 2.1
Intel 2.0
International Business Machines 1.7
JPMorgan Chase 1.6
Citigroup 1.6
ChevronTexaco 1.6
</Table>
1
<Page>
We appreciate your continued confidence in CMG Enhanced S&P 500(R) Index Fund.
Vikram Kuriyan has managed the CMG Enhanced S&P 500(R) Index Fund since June
2005 and has been with the advisor or its predecessors or affiliate
organizations since 2000.
/s/ Vikram Kuriyan
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in the fund also includes market risk and tracking error risk. Unlike
the S&P 500 Index, the fund incurs administrative expenses and transaction costs
in trading stocks. The composition of the S&P 500 Index and the stocks held by
the fund will diverge.
- ----------
(1) The Standard & Poor's (S&P) 500 Index is an unmanaged index that tracks the
performance of 500 widely held, large-capitalization US stocks. Unlike the
fund, indices are not investments, they do not incur fees or expenses and
are not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
2
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Enhanced S&P 500(R) Index Fund 05/05/03 15.32 15.73
S&P 500 Index 14.05 15.68
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Enhanced S&P 500(R) Index Fund 05/05/03 8.14 14.50
S&P 500 Index 6.32 14.39
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG ENHANCED S&P 500(R) INDEX FUND S&P 500 INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,415
6/30/2003 $ 10,540 $ 10,548
7/31/2003 $ 10,730 $ 10,734
8/31/2003 $ 10,930 $ 10,943
9/30/2003 $ 10,819 $ 10,827
10/31/2003 $ 11,399 $ 11,440
11/30/2003 $ 11,479 $ 11,541
12/31/2003 $ 12,085 $ 12,146
1/31/2004 $ 12,266 $ 12,369
2/29/2004 $ 12,408 $ 12,541
3/31/2004 $ 12,197 $ 12,352
4/30/2004 $ 12,005 $ 12,158
5/31/2004 $ 12,156 $ 12,324
6/30/2004 $ 12,378 $ 12,563
7/31/2004 $ 12,026 $ 12,147
8/31/2004 $ 12,116 $ 12,196
9/30/2004 $ 12,237 $ 12,328
10/31/2004 $ 12,438 $ 12,516
11/30/2004 $ 12,961 $ 13,023
12/31/2004 $ 13,458 $ 13,466
1/31/2005 $ 13,139 $ 13,139
2/28/2005 $ 13,459 $ 13,415
3/31/2005 $ 13,243 $ 13,177
4/30/2005 $ 12,965 $ 12,927
5/31/2005 $ 13,366 $ 13,338
6/30/2005 $ 13,386 $ 13,357
7/31/2005 $ 13,869 $ 13,855
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from May 5, 2003.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG ENHANCED S&P 500(R) INDEX FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,055.59 1,023.55 1.27 1.25 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE
MAY BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY
BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Large Cap Growth Fund returned 14.55% for the 12-month period ended July 31,
2005. The fund performed better than both the Russell 1000 Growth Index(1) and
the Lipper Large Cap Growth Funds Category average, which returned 13.04% and
14.20%, respectively, over the same period.(2) Stock selection in the consumer
discretionary sector was particularly strong, helping the fund outpace the
Russell index. We focused on large-cap companies with strong competitive
positions, high sustainable profits, good balance sheets and above-average
earnings growth prospects.
The fund's emphasis on high-end retailers in the consumer discretionary sector
contributed to its strong return. These companies tended to be less vulnerable
to rising gas prices, which can curb the discretionary spending of lower-income
consumers. Among the fund's biggest gainers were Chico's FAS, Nordstrom and
Coach (0.4%, 0.5% and 1.4% of net assets, respectively). Chico's FAS, a niche
women's clothing retailer, benefited from opening new stores and increasing
sales. At Nordstrom, new management and a restructuring helped bolster earnings.
Specialty retailer Coach saw strong sales from its fashion accessories. Consumer
electronics retailer Best Buy also rallied nicely, aided by the redesign of its
stores (0.7% of net assets). Elsewhere, hotels, such as Marriott International,
saw revenues rise as industry occupancy rates increased while new room
construction remained limited (1.1% of net assets).
Stock selection in the consumer staples and financials sectors produced modest
gains relative to the index. In consumer staples, the fund benefited from its
stake in Altria Group, formerly Phillip Morris (1.0% of net assets). Solid
revenue and earnings growth plus easing litigation concerns propelled the stock
higher.
The fund's technology stocks moved higher, but did not keep pace with the
sector's gains in the index. The fund had a bias toward mega-cap stocks, which
did not do nearly as well as relatively smaller companies. We also sold our
position in Motorola, missing out on gains that came late in the period. Helping
to offset these disappointments was Cognizant Technology Solutions, an Indian
outsourcer of programming services (0.3% of net assets). The stock rallied
nicely amid strong demand.
Elsewhere, the fund lost ground relative to the index by not owning a few key
industrial stocks when they posted their biggest gains. In addition, the fund
had a lower stake than the index in energy stocks, which were among the year's
best performers. Investments in better-performing, relatively smaller stocks,
however, pushed the fund's energy gains ahead of the sector's return in the
index.
Gains from the fund's health care stocks kept pace with the sector's return in
the index. We downplayed major branded pharmaceuticals, which declined amid
concerns over patent expirations and a lack of new blockbuster drugs. Instead,
we focused on product-related companies such as Alcon, which makes eye care
products (0.5% of net assets). The stock
6
<Page>
climbed quickly as investors began to recognize its attractive valuation and
strong earnings growth. Gains like these far overshadowed losses from companies
such as Biogen Idec (no longer in the portfolio), which fell sharply when
reported side effects forced the company to pull its new multiple sclerosis drug
from the market.
Going forward, we expect continued improved performance from large-cap growth
stocks. The excesses of the 1990s that created valuation differences between
growth and value stocks have largely disappeared. The gap between small- and
large-cap valuations has also closed. In addition, we believe many large-cap
growth stocks continue to have strong earnings prospects as the economy heads
into the later stages of the current expansion.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Microsoft 4.6
General Electric 4.2
Johnson & Johnson 4.0
American International Group 2.1
International Business Machines 2.1
Wal-Mart Stores 2.1
Dell 2.0
Intel 2.0
Cisco Systems 1.9
Procter & Gamble 1.9
</Table>
Thank you for investing in CMG Large Cap Growth Fund.
Paul J. Berlinguet, has managed or co-managed the CMG Large Cap Growth Fund
since October 2003 and has been with the advisor or its predecessors or
affiliate organizations since 2003.
/s/ Paul J. Berlinguet
Edward Hickey has co-managed the fund since June 2005 and has been with the
advisor or its predecessors or affiliate organizations since 1998.
/s/ Edward Hickey
7
<Page>
Mary Ann Ward has co-managed the fund since June 2005 and has been with the
advisor or its predecessors or affiliate organizations since 1997.
/s/ Mary Ann Ward
Roger Sullivan has co-managed the fund since June 2005 and has been with the
advisor or its predecessors or affiliate organizations since January, 2005.
/s/ Roger Sullivan
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in growth stocks incurs the possibility of losses because their prices
are sensitive to changes in current or expected earnings.
- ----------
(1) The Russell 1000 Growth Index is an unmanaged index that measures the
performance of those Russell 1000 Index companies with higher price-to-book
ratios and higher forecasted growth values. Unlike the fund, indices are
not investments, they do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
8
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Large Cap Growth Fund 09/10/03 14.55 8.89
Russell 1000 Growth Index 13.04 8.79
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Large Cap Growth Fund 09/10/03 3.64 7.23
Russell 1000 Growth Index 1.68 6.38
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 10, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG LARGE CAP GROWTH FUND RUSSELL 1000 GROWTH INDEX
9/10/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,690 $ 9,695
10/31/2003 $ 10,230 $ 10,240
11/30/2003 $ 10,380 $ 10,347
12/31/2003 $ 10,627 $ 10,705
1/31/2004 $ 10,817 $ 10,924
2/29/2004 $ 10,888 $ 10,994
3/31/2004 $ 10,778 $ 10,789
4/30/2004 $ 10,488 $ 10,664
5/31/2004 $ 10,768 $ 10,862
6/30/2004 $ 10,948 $ 10,998
7/31/2004 $ 10,257 $ 10,377
8/31/2004 $ 10,127 $ 10,326
9/30/2004 $ 10,337 $ 10,424
10/31/2004 $ 10,557 $ 10,587
11/30/2004 $ 11,047 $ 10,951
12/31/2004 $ 11,507 $ 11,380
1/31/2005 $ 11,235 $ 11,000
2/28/2005 $ 11,346 $ 11,117
3/31/2005 $ 11,154 $ 10,914
4/30/2005 $ 10,872 $ 10,707
5/31/2005 $ 11,387 $ 11,225
6/30/2005 $ 11,347 $ 11,184
7/31/2005 $ 11,749 $ 11,730
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from September 10, 2003.
9
<Page>
UNDERSTANDING YOUR EXPENSES - CMG LARGE CAP GROWTH FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,045.82 1,022.32 2.54 2.51 0.50
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.50%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
10
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
11
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Large Cap Value Fund returned 15.41% for the 12-month period ended July 31,
2005. The Russell 1000 Value Index(1) returned 19.04%, and the average return of
the Lipper Multi-Cap Value Funds Category was 17.55%.(2) Investor sentiment was
highly variable over much of the period, at times favoring smaller, more
speculative issues, then tilting toward shares of larger, more stable companies.
Fund results tracked the fortunes of larger companies, doing well when large-cap
value stocks were in favor but failing to keep up during more speculative
periods.
Utilities were the period's strongest sector. Shares of TXU continued to move
higher, reflecting the company's successful turnaround and restructuring efforts
(0.8% of net assets). The fund also enjoyed outstanding gains from Exxon Mobil,
ConocoPhillips and Marathon Oil, all beneficiaries of rising oil prices as
vigorous demand collided with tight supply (4.2%. 3.2% and 0.8% of net assets,
respectively).
The fund benefited by having slightly less exposure than the index to consumer
discretionary issues. We avoided the troubled auto sector and maintained low
exposure to the poor-performing media segment. Retail issues with attractive
valuations and compelling turnaround stories stood out during the period. A new
CEO revitalized Office Depot (no longer in the portfolio) by, among other
measures, closing unproductive stores. J.C. Penney continued to deliver on its
commitment to broaden profit margins and Federated Department Stores also rose
(0.7% and 1.4% of net assets, respectively). Consumer outlays got an added boost
from lower mortgage rates that spawned a new wave of refinancing, freeing up
extra cash.
The fund had slightly less exposure to health care than the index, where stock
selection also aided results. Aetna and CIGNA continued to move ahead during the
period (1.0% and 0.6% of net assets, respectively). Both companies benefited
from favorable pricing conditions in the industry as well as specific steps
taken to increase profit margins.
Weakness in capital markets hurt the performance of JPMorgan Chase and Merrill
Lynch (2.0% and 0.7% of net assets, respectively). Ongoing investigations into
questionable business practices weighed on shares of insurance broker Marsh &
McLennan Companies (no longer in the portfolio). American International Group, a
major casualty insurer whose longtime CEO was forced to resign, also declined
(0.8% of net assets). Late in the period, sluggish mortgage conditions drove
down mortgage insurer Ambac Financial Group (0.7% of net assets) and Freddie Mac
(no longer in the portfolio), a major participant in the mortgage business.
In technology, stock selection was unproductive. International Business Machines
continued to fall short of earnings expectations (0.9% of net assets). Lexmark
International, a maker of printers, faced an increasingly competitive
environment as aggressive tactics from a major competitor signaled a fight to
recapture market share lost to Lexmark International over recent years (0.6% of
net assets).
12
<Page>
The fund's exposure to consumer staples stocks, a sector that has historically
held up well when the economy slows, remained higher than the index. However,
Kraft Foods (0.8% of net assets) and ConAgra Foods (no longer in the portfolio)
both declined on disappointing earnings reports: Kraft had led investor
expectations higher, then failed to meet stated goals. Price competition among
smokeless tobacco products hurt results at UST, whose well-established Skoal
brand is under attack from generics (0.4% of net assets).
The annualized rate of growth in the US economy remained above three percent and
employment trends were favorable. While summer business activity received a
boost from auto price promotions, consumer spending now appears vulnerable with
the national savings rate at zero and energy prices carving ever-larger holes in
budgets. Also threatening the recovery are higher interest rates--the Federal
Reserve Board has increased short-term rates ten times since June 2004.(3)
Against that background, we have structured the portfolio to reflect our
expectations of an economic cool down, reflected in the fund's emphasis on
consumer staples companies. In addition, as the period closed we were
reexamining our commitments in the industrial sector.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Exxon Mobil 4.2
General Electric 3.9
Citigroup 3.8
ConocoPhillips 3.2
SBC Communications 2.1
BP PLC 2.0
Wells Fargo 2.0
U.S. Bancorp 2.0
JPMorgan Chase 2.0
United Technologies 1.9
</Table>
Thank you for investing in CMG Large Cap Value Fund.
Brian Cunningham has co-managed the CMG Large Cap Value Fund since November 2003
and has been with the advisor or its predecessors or affiliate organizations
since 1987.
/s/ Brian Cunningham
Gregory M. Miller has co-managed the fund since May 2003 and has been with the
advisor or its predecessors or affiliate organizations since 1985.
/s/ Gregory M. Miller
13
<Page>
Richard Dahlberg, CFA, has co-managed the fund since October 2003 and has been
with the advisor or its predecessors or affiliate organizations since 2003.
/s/ Richard Dahlberg
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Value stocks are stocks of companies that may have experienced adverse business
or industry developments or may be subject to special risks that have caused the
stocks to be out of favor and, in the advisor's opinion, undervalued. If the
advisor's assessment of a company's prospects is wrong, the price of the
company's stock may not approach the value the advisor has placed on it.
- ----------
(1) The Russell 1000 Value Index is an unmanaged index that measures the
performance of those Russell 1000 Index companies with lower price-to-book
ratios and lower forecasted growth values. Unlike the fund, indices are not
investments, they do not incur fees or expenses and are not professionally
managed. It is not possible to invest directly in an index. Securities in
the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
(3) The tenth increase occurred on August 9, 2005.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
14
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Large Cap Value Fund 09/10/03 15.41 14.06
Russell 1000 Value Index 19.04 17.75
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Large Cap Value Fund 09/10/03 10.56 13.19
Russell 1000 Value Index 14.06 16.80
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 10, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG LARGE CAP VALUE FUND RUSSELL 1000 VALUE INDEX
9/10/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,820 $ 9,781
10/31/2003 $ 10,190 $ 10,380
11/30/2003 $ 10,230 $ 10,521
12/31/2003 $ 10,904 $ 11,169
1/31/2004 $ 11,045 $ 11,365
2/29/2004 $ 11,345 $ 11,609
3/31/2004 $ 11,265 $ 11,506
4/30/2004 $ 10,994 $ 11,226
5/31/2004 $ 11,004 $ 11,340
6/30/2004 $ 11,315 $ 11,608
7/31/2004 $ 11,114 $ 11,444
8/31/2004 $ 11,244 $ 11,607
9/30/2004 $ 11,424 $ 11,787
10/31/2004 $ 11,544 $ 11,982
11/30/2004 $ 12,035 $ 12,589
12/31/2004 $ 12,375 $ 13,010
1/31/2005 $ 12,183 $ 12,781
2/28/2005 $ 12,581 $ 13,204
3/31/2005 $ 12,398 $ 13,023
4/30/2005 $ 12,234 $ 12,790
5/31/2005 $ 12,438 $ 13,098
6/30/2005 $ 12,510 $ 13,241
7/31/2005 $ 12,827 $ 13,624
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from September 10, 2003.
15
<Page>
UNDERSTANDING YOUR EXPENSES - CMG LARGE CAP VALUE FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,052.91 1,022.32 2.55 2.51 0.50
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.50%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
16
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
17
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Mid Cap Growth Fund returned 28.17% for the 12-month period ended July 31,
2005. The fund's performance exceeded the 25.65% return of the Russell MidCap
Growth Index(1) and the 22.58% average of the Lipper Mid Cap Growth Funds
Category for the same period.(2) Strong stock selection drove the fund's
outperformance.
The consumer discretionary sector had the greatest positive impact on
performance in the reporting period. Although the fund had less exposure to the
sector than its benchmark, its holdings performed strongly. Chico's FAS, Coach
and Urban Outfitters made the greatest contributions (1.9%, 1.4% and 1.6% of net
assets, respectively). These three stocks have been a core part of the fund's
retail holdings since July 2004 and we believe they represent good long-term
growth vehicles because all have demonstrated the potential to open new stores,
make efficient use of technology to reach customers and control costs. In
addition, they serve an affluent demographic group that tends to be less
sensitive to changes in the economic environment.
Stock selection was strongest within the materials sector, helped by a favorable
environment for commodities. Potash Corp. of Saskatchewan, Inc., which benefited
from demand for fertilizer, and Phelps Dodge, a producer of copper took
advantage of favorable pricing trends (1.7% and 0.8% of net assets,
respectively).
The energy sector was a top contributor to fund performance as oil and natural
gas prices continued their strong rise. The fund's holdings slightly
outperformed the index, and we maintained an overweight position in the sector.
Stand-out performers included exploration and production companies XTO Energy
and EOG Resources (1.0% and 1.1% of net assets, respectively). Peabody Energy
also advanced as higher oil and gas prices made coal a relatively more
attractive energy source (0.6% of net assets).
Within the information technology sector, we restructured the portfolio last
summer to eliminate commodity-type businesses in favor of those with greater
intellectual property content, as reflected in companies with higher gross
margins. These changes were key to the sector's strong performance relative to
the index during this reporting period. Marvell Technology Group, which is
levered to markets characterized by massive unit numbers, such as transceivers,
power management and storage, was one of the fund's top performers (1.8% of net
assets). NVIDIA, with its high-end graphics processing chips, and Broadcom,
whose chips are used in the communications and networking markets, also
performed well (0.3% and 1.0% of net assets, respectively). Cognizant Technology
Solutions, an IT services provider and a long-time holding, continued to grow at
an annual rate of 30% or more as corporations took advantage of the large,
technically skilled, English speaking work force in India (1.0% of net assets).
Although no sectors posted a loss in the period, the fund experienced relative
weakness in the health care, financial and utilities sectors, where we were
underweight and the fund's holdings underperformed. In health care, the fund
could not overcome the loss sustained when Elan Pharmaceuticals pulled Tysabri,
a new drug treating multiple sclerosis, off the market only a few weeks after
launch. We sold the stock at a substantial loss. In financials, the fund was
hurt by not owning--or not owning enough of--some of the sector's best
performers. Finally, relative performance took a small hit in utilities, which
is not an area where we typically seek growth stocks and where we failed to
capitalize on strong performers.
18
<Page>
We continue to believe that the economy has the potential to continue growing at
a healthy rate, and the portfolio is positioned accordingly. We remain bullish
longer term on energy. Earnings are currently very strong in the materials and
industrials sectors, but we are watchful for signs of decelerating growth. At
the margin, we took profits from the most cyclical parts of the portfolio and
redeployed these into traditional growth segments, such as health care and
technology. In addition, with interest rate increases likely winding down, we
believe that traditional growth segments such as health care, technology and
consumer discretionary sectors are poised to provide compelling returns.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Chico's FAS 1.9
XM Satellite Radio Holdings 1.8
Marvell Technology Group 1.8
Corporate Executive Board 1.7
Potash Corp. of Saskatchewan 1.7
Urban Outfitters 1.6
Tempur-Pedic International 1.4
Coach 1.4
Robert Half International 1.3
Corn Products International 1.2
</Table>
Thank you for investing in the CMG Mid Cap Growth Fund.
Kenneth A. Korngiebel has managed the CMG Mid Cap Growth Fund since June 2004
and has been with the advisor or its predecessors or affiliate organizations
since 1996.
/s/ Kenneth A. Korngiebel
Investing in growth stocks incurs the possibility of losses because their prices
are sensitive to changes in current or expected earnings.
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
- ----------
(1) The Russell Midcap Growth Index is an unmanaged index that measures the
performance of those Russell Midcap companies with higher price-to-book
ratios and higher forecasted growth values. Unlike the fund, indices are
not investments, they do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
19
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Mid Cap Growth Fund 05/05/03 28.17 16.80
Russell Midcap Growth Index 25.65 23.97
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Mid Cap Growth Fund 05/05/03 9.74 14.19
Russell Midcap Growth Index 10.86 21.77
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG MID CAP GROWTH FUND RUSSELL MIDCAP GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,580 $ 10,675
6/30/2003 $ 10,730 $ 10,828
7/31/2003 $ 10,930 $ 11,214
8/31/2003 $ 11,470 $ 11,832
9/30/2003 $ 10,849 $ 11,603
10/31/2003 $ 11,739 $ 12,538
11/30/2003 $ 12,059 $ 12,874
12/31/2003 $ 12,165 $ 13,014
1/31/2004 $ 12,445 $ 13,444
2/29/2004 $ 12,415 $ 13,669
3/31/2004 $ 12,265 $ 13,643
4/30/2004 $ 11,705 $ 13,259
5/31/2004 $ 11,865 $ 13,572
6/30/2004 $ 12,125 $ 13,787
7/31/2004 $ 11,045 $ 12,875
8/31/2004 $ 10,835 $ 12,716
9/30/2004 $ 11,295 $ 13,191
10/31/2004 $ 11,746 $ 13,638
11/30/2004 $ 12,456 $ 14,341
12/31/2004 $ 13,057 $ 15,028
1/31/2005 $ 12,847 $ 14,626
2/28/2005 $ 13,137 $ 14,996
3/31/2005 $ 12,736 $ 14,777
4/30/2005 $ 12,096 $ 14,192
5/31/2005 $ 13,066 $ 15,005
6/30/2005 $ 13,306 $ 15,284
7/31/2005 $ 14,158 $ 16,175
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from May 5, 2003.
20
<Page>
UNDERSTANDING YOUR EXPENSES - CMG MID CAP GROWTH FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,102.00 1,021.32 3.65 3.51 0.70
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.70%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
21
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
22
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Mid Cap Value Fund returned 22.14% for the 12-month period ended July 31,
2005. The fund's return was less than the 31.15% return of the Russell Midcap
Value Index(1) for the same period.
Mid-cap value stocks were among the best-performing asset classes during the
year ended July 31, 2005. They benefited from broadly improving business
conditions and the positive impact of a strong economy on mid-capitalization
companies. The fund's investments in energy and health care aided overall
performance. Both sectors demonstrated strong business prospects. Investments in
utility stocks, which benefited from increased investor interest in owning
dividend-paying stocks, also made a positive contribution to performance.
The fund's position in stocks that tend to be sensitive to economic activity,
such as consumer discretionary and industrial companies, held back its
performance versus its benchmark. Investor concerns about the impact of rising
energy and raw materials costs on order trends and the impact of rising interest
rates on consumer spending, appeared to hold back these sectors. However, these
broad concerns have not changed our view that the economy remains strong, that
pricing power is returning to the industrial sector, and that the consumer
should continue to benefit from an overall benign interest rate environment.
Oil prices approached $60 per barrel during the period. This price increase
benefited many stocks in the energy sector. US-based off-shore drilling
companies, such as Transocean and Noble, were the sector's strongest performers
for the fund. Peabody Energy, a domestic coal mining company, also performed
well as utilities drew down their inventories of coal to maintain electricity
production levels. As with energy stocks, utilities experienced increased
investor interest, presumably because of rising electricity prices and for their
high dividend yields. The fund's investments in Exelon, Constellation Energy
Group and Edison International, utilities that tend to do well when power prices
rise, all performed very well.
In health care, IVAX did well as the pharmaceutical manufacturer received a
buyout offer. Wellpoint, a health care insurer, was one of the fund's strongest
performers during the year as program enrollment and cost trends were both
positive. We sold the stock and took profits. Finally, Community Health Systems,
which owns and operates hospitals in smaller cities, also benefited from
improved admissions and cost trends.(2)
While stocks in the industrial sector did well overall, stock selection
detracted from the fund's gains in the sector. Strong performance from
investments in companies with exposure to the upturning aerospace cycle, such as
Goodrich, were offset to some extent by negative performance from
Ingersoll-Rand, Parker Hannifin, and American Standard, which lost ground
relative to the sector as investors expressed their concerns over industrial
order trends.
23
<Page>
The fund also had mixed results from its investments in businesses tied more
directly to the consumer. Federated Department Stores, a leading department
store chain, did particularly well as management focused improving store
operations. Also, Harrah's Entertainment, now the world's largest casino
company, benefited from increased leisure spending and was the best-performing
stock in the sector. By contrast, Lear and Superior Industries International,
both suppliers of parts to major automobile makers, suffered from cost and
competitive pressures and detracted from the fund's performance. Also, a weak
advertising climate appeared to have hurt New York Times, and its share price
declined during the period. All three stocks were eliminated from the portfolio.
We believe that the fund is well positioned to take advantage of the
opportunities in mid-cap stocks. We plan to continue the fund's focus on
attractively-valued companies that offer earnings growth potential through sales
growth and profit margin expansion. In addition, we continue to seek companies
that produce rising returns on capital and that return a portion of earnings to
shareholders in the form of dividend payments. Companies that repurchase their
own shares are also attractive candidates for the portfolio.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Excelon 1.5
Edison International 1.4
PG&E 1.4
Golden West Financial 1.4
Entergy 1.3
Host Marriott 1.3
Marshall & Ilsley 1.2
XTO Energy 1.2
Constellation Energy Group 1.2
Amerada Hess 1.2
</Table>
We appreciate your continued confidence in CMG Mid Cap Value Fund.
Diane L. Sobin has co-managed the CMG Mid Cap Value Fund since September 2004
and has been with the advisor or its predecessors or affiliate organizations
since 2001.
/s/ Diane L. Sobin
David I. Hoffman has co-managed the fund since September 2004 and has been with
the advisor or its predecessors or affiliate organizations since 2001.
/s/ David I. Hoffman
24
<Page>
Lori J. Ensinger has co-managed the fund since September 2004 and has been with
the advisor or its predecessors or affiliate organizations since 2001.
/s/ Lori J. Ensinger
Noah J. Petrucci has co-managed the fund since September 2004 and has been with
the advisor or its predecessors or affiliate organizations since 2002.
/s/ Noah J. Petrucci
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Value stocks are stocks of companies that may have experienced adverse business
or industry developments or may be subject to special risks that have caused the
stocks to be out of favor and, in the advisor's opinion, undervalued. If the
advisor's assessment of a company's prospects is wrong, the price of the
company's stock may not approach the value the advisor has placed on it.
- ----------
(1) The Russell Midcap Value Index is an unmanaged index that measures the
performance of those Russell Midcap Index companies with lower
price-to-book ratios and lower forecasted growth values. The stocks are
also members of the Russell 1000 Value Index. Unlike the fund, indices are
not investments, they do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in indices.
Securities in the fund may not match those in an index.
(2) Holdings are disclosed as a percentage of net assets on July 31, 2005, and
are subject to change: Transocean (0.8%), Noble (0.9%), Peabody Energy
(1.0%), Exelon (1.5%), Constellation Energy Group (1.2%), Edison
International (1.4%), IVAX (0.5%), Community Health Systems (0.7%),
Goodrich (1.0%), Ingersoll-Rand (1.0%), Parker Hannifin (0.8%), American
Standard (0.6%), Federated Department Stores (0.6%), Harrah's Entertainment
(0.9%).
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
25
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Mid Cap Value Fund 05/05/03 22.14 21.26
Russell Midcap Value Index 31.15 30.08
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Mid Cap Value Fund 05/05/03 11.77 19.65
Russell Midcap Value Index 21.80 28.63
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG MID CAP VALUE FUND RUSSELL MIDCAP VALUE INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,320 $ 10,719
6/30/2003 $ 10,370 $ 10,794
7/31/2003 $ 10,690 $ 11,130
8/31/2003 $ 10,970 $ 11,525
9/30/2003 $ 10,770 $ 11,435
10/31/2003 $ 11,491 $ 12,274
11/30/2003 $ 11,710 $ 12,630
12/31/2003 $ 12,214 $ 13,176
1/31/2004 $ 12,424 $ 13,524
2/29/2004 $ 12,804 $ 13,858
3/31/2004 $ 12,804 $ 13,880
4/30/2004 $ 12,563 $ 13,293
5/31/2004 $ 12,793 $ 13,633
6/30/2004 $ 13,164 $ 14,120
7/31/2004 $ 12,604 $ 13,737
8/31/2004 $ 12,523 $ 13,958
9/30/2004 $ 12,884 $ 14,364
10/31/2004 $ 13,003 $ 14,696
11/30/2004 $ 13,725 $ 15,690
12/31/2004 $ 14,155 $ 16,299
1/31/2005 $ 13,901 $ 15,919
2/28/2005 $ 14,399 $ 16,474
3/31/2005 $ 14,318 $ 16,425
4/30/2005 $ 13,832 $ 15,991
5/31/2005 $ 14,298 $ 16,652
6/30/2005 $ 14,714 $ 17,196
7/31/2005 $ 15,394 $ 18,016
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from May 5, 2003.
26
<Page>
UNDERSTANDING YOUR EXPENSES - CMG MID CAP VALUE FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,108.00 1,021.32 3.66 3.51 0.70
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.70%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
27
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
28
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small Cap Growth Fund returned 19.47% for the 12-month period ended July 31,
2005. For the same period, the Russell 2000 Growth Index(1) and the Lipper Small
Cap Growth Funds Category average, returned 22.58% and 22.12%, respectively.(2)
The fund benefited as solid earnings growth fueled strong gains for small-cap
stocks. In this environment, we focused on higher quality small-cap companies
with healthy balance sheets, attractive business models and strong management
teams. Although this strategy worked well, shortfalls in the health care,
energy, consumer discretionary and industrials sectors hampered returns relative
to the Russell index.
Technology stocks were the biggest drivers of the fund's gains. We found some of
the best opportunities in software and technology services companies. Standouts
included Retek (no longer in the portfolio) and Itron (0.9% of net assets).
Retek makes software that helps retailers with merchandise projections. The
company was bought out at a nice premium during the period. Itron, which makes
gas and electric meters that can be read wirelessly, benefited as utilities
companies increased spending. Gains from these and other tech stocks more than
offset losses from PalmSource (no longer in the portfolio) and Magma Design
Automation (0.7% of net assets). PalmSource fell after it failed to sign up new
customers for its smart phone operating system. Magma Design Automation, a
company that helps automate semiconductor design, declined over an intellectual
property dispute.
Financials also were strong contributors to performance. The fund benefited from
owning companies that would profit from an improving stock market. Investment
banker Greenhill did especially well as merger and acquisition activity picked
up (1.0% of net assets). Investments in specialty insurance companies and small
entrepreneurial banks also boosted returns.
Health care and energy stocks rallied, but the fund's holdings trailed the
sector's respective returns in the index. In health care, we focused on medical
products companies. Our biggest disappointments were biotechnology and specialty
pharmaceutical stocks that fell sharply when new products did not roll out as
expected. Detractors included QLT, a company with treatments for macular
degeneration and prostate cancer (0.5% of net assets). Growing competitive
pressures and insurance reimbursement issues hampered QLT's revenues, which
caused a sharp drop in the stock price.
Energy stocks produced sizeable gains, fueled by rising oil and gas prices. We
focused on developing exploration and production companies with unproven
reserves. While these stocks rallied nicely, they did not do nearly as well as
companies with proven reserves.
Consumer discretionary and industrial stock returns also hindered performance
relative to the index. The fund owned media stocks that languished as
advertisers shifted spending to alternative outlets, such as the Internet. In
addition, certain retailing investments declined sharply when their earnings
fell short of investor expectations. Most notable was Sharper Image (no longer
in the portfolio), which suffered from weak execution and a lack of new product
introductions. Offsetting these losses were strong gains from Jarden and Gaylord
Entertainment (1.3% and 1.2% of net assets, respectively). Jarden is a consumer
products conglomerate that seeks to increase its earnings through strategic
acquisitions. Gaylord Entertainment develops and manages hotel and convention
centers. In industrials, relocation firm Sirva (no longer in the portfolio) saw
its stock price tumble as demand softened in Europe and accounting problems
surfaced at its US insurance subsidiary.
Going forward, we believe that small-cap stocks stand to benefit from a pickup
in merger and acquisition activity as well as a stronger US dollar. Within the
small cap sector, valuations on growth stocks also appear more attractive than
those on value stocks. While we recognize that the gap between small- and
large-cap stock valuations has narrowed, we believe small-cap stocks can
continue to offer superior earnings growth prospects that will attract
investors.
29
<Page>
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Advisory Board 1.3
Jarden 1.3
Global Imaging Systems 1.2
Gaylord Entertainment 1.2
Scientific Games 1.2
UAP Holding 1.1
Pinnacle Entertainment 1.1
Entegris 1.1
Foundry Networks 1.1
Ultratech 1.1
</Table>
Thank you for investing in CMG Small Cap Growth Fund.
Paul J. Berlinguet has managed or co-managed the CMG Small Cap Growth Fund since
November 2003 and has been with the advisor since 2003.
/s/ Paul J. Berlinguet
Thomas P. Lettenberger has co-managed the fund since May 2004 and has been with
the advisor or its predecessors or affiliate organizations since 2000.
/s/ Thomas P. Lettenberger
Steven R. Lilly has co-managed the fund since May 2004 and has been with the
advisor or its predecessors or affiliate organizations since 1995.
/s/ Steven R. Lilly
Investing in growth stocks incurs the possibility of losses because their prices
are sensitive to changes in current or expected earnings.
Investments in small-cap stocks may be subject to greater volatility and price
fluctuations because they may be thinly traded and less liquid than investments
in larger companies.
- ----------
(1) The Russell 2000 Growth Index is an unmanaged index that measures the
performance of those Russell 2000 Index companies with higher price-to-book
ratios and higher forecasted growth values. Unlike the fund, indices are
not investments, they do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
30
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Small Cap Growth Fund 05/05/03 19.47 20.76
Russell 2000 Growth Index 22.58 23.78
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Small Cap Growth Fund 05/05/03 1.73 18.23
Russell 2000 Growth Index 4.29 20.97
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG SMALL CAP GROWTH FUND RUSSELL 2000 GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,750 $ 10,776
6/30/2003 $ 11,010 $ 10,984
7/31/2003 $ 11,530 $ 11,814
8/31/2003 $ 12,060 $ 12,449
9/30/2003 $ 11,620 $ 12,134
10/31/2003 $ 12,851 $ 13,182
11/30/2003 $ 13,141 $ 13,612
12/31/2003 $ 13,483 $ 13,673
1/31/2004 $ 14,037 $ 14,391
2/29/2004 $ 14,197 $ 14,369
3/31/2004 $ 14,410 $ 14,437
4/30/2004 $ 13,760 $ 13,712
5/31/2004 $ 13,781 $ 13,985
6/30/2004 $ 14,100 $ 14,451
7/31/2004 $ 12,769 $ 13,153
8/31/2004 $ 12,450 $ 12,870
9/30/2004 $ 13,163 $ 13,582
10/31/2004 $ 13,450 $ 13,912
11/30/2004 $ 14,399 $ 15,088
12/31/2004 $ 14,895 $ 15,629
1/31/2005 $ 14,085 $ 14,926
2/28/2005 $ 14,288 $ 15,131
3/31/2005 $ 13,771 $ 14,563
4/30/2005 $ 12,926 $ 13,637
5/31/2005 $ 13,826 $ 14,598
6/30/2005 $ 14,343 $ 15,070
7/31/2005 $ 15,255 $ 16,121
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from May 5, 2003.
31
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG SMALL CAP GROWTH FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,083.11 1,020.83 4.13 4.01 0.80
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.80%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
32
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
33
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small Cap Value Fund returned 23.57% for the 12-month period ended July 31,
2005. The fund generated strong performance as small-cap value stocks continued
to lead the markets. The Russell 2000 Value Index(1) returned 26.72% and the
average return of the Lipper Small Cap Value Funds Category was 24.19% over the
same period.(2)
We continued to focus on companies with strong competitive and financial
positions, good earnings growth prospects and reasonable valuations. The fund
lost some ground relative to the Russell index because it did not own companies
with high levels of debt on their balance sheets. These lower quality companies
rallied sharply across most sectors. However, we believe that the fund's focus
on higher quality companies is prudent for the longer term. In addition, for
much of the period, the fund owned more stocks than the index at the smaller end
of the small-cap range. The smallest small-cap stocks trailed larger small-cap
stocks in the index during the first half of 2005.
The fund's biggest gains came from strong stock selection in the financials and
technology sectors. Financials stocks rose sharply during the year, buoyed by
historically low interest rates and a rising stock market. The fund's financial
stocks did even better than the average gain posted by financials in the Russell
index. Winners included banks, specialty finance companies, insurers and real
estate investment trusts (REITs). The fund had a more modest stake in financials
than the index because it did not have as much of an emphasis on interest-rate
sensitive REITs and thrifts.
Overall, technology stocks posted solid gains, and our decision to focus on
higher quality stocks produced returns that were well ahead of the sector's
return in the index. The fund benefited both from avoiding major disappointments
and from owning a broad array of standouts that included a tech distribution
company, software firms, semiconductor and semiconductor equipment companies and
an IT service and staffing enterprise.
As strong global demand and improved pricing fueled a strong rally in materials
stocks, the fund did well by investing in coal, titanium, steel and building
materials companies. We cut back on steel stocks in early 2005, which helped
performance as steel prices softened.
Investments in the industrials and health care sectors were the main deterrents
to relative performance. The higher quality stocks the fund owned did not
perform as well as highly leveraged, lower quality companies during this period.
In industrials, the fund also held a few smaller industrial stocks that lost
ground when the companies reported moderately disappointing earnings. In health
care, we avoided more speculative biotechnology and pharmaceutical companies,
many of which rebounded from earlier lows. A few of the fund's health care
investments also faltered for company-specific reasons. They included a funeral
home, a contract service company and a specialty pharmaceutical firm.
The fund also lost ground relative to the index from investments in higher
quality consumer staples, utilities and energy stocks. Returns from the fund's
utilities and energy stocks were quite strong, but trailed each sector's return
in the index. The fund did not own highly leveraged refiners and more expensive
exploration and production stocks, which were the sector leaders. But those
missed opportunities were, in part, offset by having a larger stake in energy
stocks than the index.
34
<Page>
Late in the period, we trimmed economically-sensitive industrials and materials
stocks and shifted toward health care and consumer staples names, which we
believe had potential for more predictable earnings growth. Going forward, we
expect to see less of a discrepancy between large-cap and small-cap stock
performance. With that expectation in mind, we raised the fund's median market
cap to bring it more in line with the index. We plan to maintain the fund's
focus on companies with stronger balance sheets, which we believe have the
potential to be long-term winners.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Lufkin Industries 1.3
Watsco 1.0
American Greetings 1.0
Precision Castparts 0.9
Eagle Materials 0.9
Kindred Healthcare 0.9
Corus Bankshares 0.9
Pediatrix Medical Group 0.9
GameStop 0.9
Building Material Holdings 0.9
</Table>
Thank you for investing in CMG Small Cap Value Fund.
Stephen Barbaro has managed the CMG Small Cap Value Fund since the fund's
inception and has been with the advisor or its predecessors or affiliate
organizations since 1997.
/s/ Stephen Barbaro
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investments in small-cap stocks may be subject to greater volatility and price
fluctuations because they may be thinly traded and less liquid than investments
in larger companies.
Value stocks are stocks of companies that may have experienced adverse business
or industry developments or may be subject to special risks that have caused the
stocks to be out of favor and, in the advisor's opinion, undervalued. If the
advisor's assessment of a company's prospects is wrong, the price of the
company's stock may not approach the value the advisor has placed on it.
- ----------
(1) The Russell 2000 Value Index is an unmanaged index that tracks the
performance of those Russell 2000 Index companies with lower price-to-book
ratios and lower forecasted growth values. The Russell 2000 Index is an
unmanaged index that tracks the performance of the 2,000 smallest of the
3,000 largest U.S. companies based on market capitalization. Unlike the
fund, indices are not investments, they do not incur fees or expenses and
are not professionally managed. It is not possible to invest directly in
indices. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
35
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Small Cap Value Fund 05/05/03 23.57 28.57
Russell 2000 Value Index 26.72 29.68
Russell 2000 Index 24.78 26.82
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Small Cap Value Fund 05/05/03 11.44 26.49
Russell 2000 Value Index 14.39 27.69
Russell 2000 Index 9.45 24.41
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2005
<Table>
<Caption>
CMG SMALL CAP VALUE FUND RUSSELL 2000 VALUE INDEX RUSSELL 2000 INDEX
5/5/2003 $ 10,000 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,766 $ 10,771
6/30/2003 $ 10,720 $ 10,948 $ 10,966
7/31/2003 $ 11,291 $ 11,494 $ 11,652
8/31/2003 $ 11,820 $ 11,931 $ 12,186
9/30/2004 $ 11,710 $ 11,794 $ 11,961
10/31/2003 $ 12,660 $ 12,755 $ 12,965
11/30/2003 $ 13,160 $ 13,245 $ 13,426
12/31/2003 $ 13,619 $ 13,724 $ 13,698
1/31/2004 $ 14,119 $ 14,199 $ 14,293
2/29/2004 $ 14,353 $ 14,475 $ 14,421
3/31/2004 $ 14,619 $ 14,674 $ 14,555
4/30/2004 $ 14,017 $ 13,916 $ 13,813
5/31/2004 $ 14,109 $ 14,084 $ 14,033
6/30/2004 $ 14,885 $ 14,800 $ 14,623
7/31/2004 $ 14,200 $ 14,119 $ 13,639
8/31/2004 $ 14,139 $ 14,257 $ 13,570
9/30/2004 $ 14,722 $ 14,822 $ 14,206
10/31/2004 $ 14,926 $ 15,051 $ 14,486
11/30/2004 $ 16,285 $ 16,386 $ 15,742
12/31/2004 $ 16,741 $ 16,778 $ 16,208
1/31/2005 $ 16,151 $ 16,129 $ 15,532
2/28/2005 $ 16,523 $ 16,450 $ 15,795
3/31/2005 $ 16,250 $ 16,111 $ 15,343
4/30/2005 $ 15,288 $ 15,280 $ 14,464
5/31/2005 $ 15,923 $ 16,212 $ 15,411
6/30/2005 $ 16,590 $ 16,928 $ 16,006
7/31/2005 $ 17,549 $ 17,892 $ 17,021
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from May 5, 2003.
36
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG SMALL CAP VALUE FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,086.58 1,020.83 4.14 4.01 0.80
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.80%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
37
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
38
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small/Mid Cap Fund returned 31.01% for the 12-month period ended July 31,
2005. The fund outpaced the Russell 2500 Growth Index(1), which returned 24.16%
for the same period. The fund also outperformed its peer group. The average
return for the Lipper Mid Cap Growth Funds Category was 22.58%.(2) The fund
outperformed due to strong stock selection across a number of sectors.
Last summer, we restructured the information technology sector to eliminate
commodity-type businesses in favor of those with greater intellectual property
content, as reflected in companies with higher gross margins. This led to strong
performance through out the reporting period such that information technology
made the greatest contribution to the fund's total return.
Communications-related stocks led performance: F5 Networks rose 61% on the back
of a new product cycle, and SiRF Technology Holdings, which makes chipsets for
global positioning systems for consumer and business applications, performed
strongly (1.0% and 1.8% of net assets, respectively). CACI International
advanced on steady demand for systems integration services geared to the
government marketplace (0.6% of net assets).
Although the fund was underweight in health care, stocks selected for the
portfolio outperformed their benchmark counterparts. Investors viewed DaVita's
purchase of Gambro Healthcare's US dialysis service business favorably, Kinetic
Concepts advanced with increased market penetration of its wound care product,
and we took gains in IVAX when it was acquired (1.1% and 0.6% of net assets).
Although Salix Pharmaceuticals experienced a slow start for new drug Xiphaxan,
our patience was rewarded as the stock rebounded later in the period (1.4% of
net assets).
The fund's holdings in the materials sector outperformed considerably, helped by
a favorable market for commodities. Potash Corp. of Saskatchewan benefited from
continued strong pricing in the fertilizer market and was the leading
contributor to performance (1.7% of net assets). We were disappointed by
Lyondell Chemical, however, which was purchased too late in the cycle and was
eventually sold.
The consumer discretionary sector also made significant contributions to the
fund's return. Urban Outfitters was a solid stock and one that we believe has
good long-term growth prospects (2.0% of net assets). XM Satellite Radio
Holdings performed well as it introduced new form factors for its radio
satellite offering and as service subscribers increased (1.4% of net assets).
The industrial sector also contributed to returns. United Defense Industries'
stock price rose on news of its acquisition by BAE Systems, and the stock was
sold from the portfolio. Joy Global reported significantly higher than expected
earnings driven by demand for its mining equipment (1.2% of net assets). Dycom
Industries was sold during the period, as delays in anticipated customer
spending caused the stock to falter for several quarters.
No sectors posted a loss in the reporting period, but the fund experienced some
relative weakness in the energy and utilities sectors. The advantage of an
overweight position in the energy sector was partially offset by lack of
exposure to some of the best performing names. The fund was also slightly hurt
by a lack of exposure to the utilities sector, as this sector typically is not a
high growth area.
39
<Page>
In general, we believe that the economy has the potential to continue growing at
a healthy rate and the portfolio is positioned accordingly. We remain bullish
longer term on energy. Earnings are currently very strong in the materials and
industrials sectors, but we are watchful for signs of decelerating growth. At
the margin, we took profits from the most cyclical parts of the portfolio and
redeployed these into traditional growth segments, such as health care and
technology. We believe the Federal Reserve Board is reaching the later innings
of increasing the fed funds rate, traditional growth stocks should do well, and
many of these are typically found in the health care, technology and consumer
discretionary sectors.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Urban Outfitters 2.0
SiRF Technology Holdings 1.8
Affiliated Managers Group 1.7
Tempur-Pedic International 1.7
Potash Corp. of Saskatchewan 1.7
HealthExtras 1.6
XM Satellite Radio Holdings 1.4
Salix Pharmaceuticals 1.4
Terex 1.4
Huron Consulting Group 1.2
</Table>
We appreciate your continued confidence in the CMG Small/Mid Cap Fund.
Kenneth A. Korngiebel has managed the CMG Small/Mid Cap Fund since June 2004 and
has been with the advisor or its predecessors or affiliate organizations since
1996.
/s/ Kenneth A. Korngiebel
Investing in growth stocks incurs the possibility of losses because their prices
are sensitive to changes in current or expected earnings.
Investments in small- and mid-cap stocks may present special risks. They tend to
be more volatile and may be less liquid than the stocks of larger companies.
Small-cap stocks often have narrower markets, limited financial resources and
tend to be more thinly traded than stocks of larger companies.
- ----------
(1) The Russell 2500 Growth Index is an unmanaged index that measures the
performance of those Russell 2500 Index companies with higher price-to-book
ratios and higher forecasted growth values. The Russell 2500 Index is an
unmanaged index that tracks the performance of the 2,500 smallest companies
of the Russell 3000 Index. Unlike the fund, indices are not investments,
they do not incur fees or expenses and are not professionally managed. It
is not possible to invest directly in an index. Securities in the fund may
not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions
change.
40
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/01/00 31.01 3.02
Russell 2500 Growth Index 24.16 3.76
Russell 2500 Index 26.77 11.59
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/01/00 12.98 1.67
Russell 2500 Growth Index 7.46 2.41
Russell 2500 Index 12.73 10.42
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, DECEMBER 1, 2000 TO JULY 31, 2005
<Table>
<Caption>
CMG SMALL/MID CAP FUND RUSSELL 2500 GROWTH INDEX RUSSELL 2500 INDEX
11/30/2000 $ 10,000 $ 10,000 $ 10,000
12/31/2000 $ 10,830 $ 10,620 $ 10,861
1/31/2001 $ 10,780 $ 11,308 $ 11,218
2/28/2001 $ 9,480 $ 9,563 $ 10,496
3/31/2001 $ 8,650 $ 8,506 $ 9,920
4/30/2001 $ 9,689 $ 9,802 $ 10,796
5/31/2001 $ 9,710 $ 10,086 $ 11,120
6/30/2001 $ 9,640 $ 10,314 $ 11,278
7/31/2001 $ 9,290 $ 9,554 $ 10,875
8/31/2001 $ 8,730 $ 8,919 $ 10,518
9/30/2001 $ 7,659 $ 7,522 $ 9,157
10/31/2001 $ 7,999 $ 8,264 $ 9,630
11/30/2001 $ 8,499 $ 8,978 $ 10,409
12/31/2001 $ 8,900 $ 9,470 $ 10,993
1/31/2002 $ 8,650 $ 9,065 $ 10,857
2/28/2002 $ 8,290 $ 8,505 $ 10,667
3/31/2002 $ 8,740 $ 9,190 $ 11,404
4/30/2002 $ 8,580 $ 8,885 $ 11,376
5/31/2002 $ 8,420 $ 8,438 $ 11,042
6/30/2002 $ 7,840 $ 7,662 $ 10,420
7/31/2002 $ 7,081 $ 6,710 $ 9,177
8/31/2002 $ 7,030 $ 6,709 $ 9,204
9/30/2002 $ 6,690 $ 6,202 $ 8,475
10/31/2002 $ 6,960 $ 6,559 $ 8,751
11/30/2002 $ 7,270 $ 7,168 $ 9,465
12/31/2002 $ 6,870 $ 6,715 $ 9,038
1/31/2003 $ 6,890 $ 6,569 $ 8,797
2/28/2003 $ 6,770 $ 6,416 $ 8,586
3/31/2003 $ 6,860 $ 6,501 $ 8,668
4/30/2003 $ 7,271 $ 7,068 $ 9,440
5/31/2003 $ 7,881 $ 7,817 $ 10,368
6/30/2003 $ 8,060 $ 7,978 $ 10,566
7/31/2003 $ 8,300 $ 8,509 $ 11,134
8/31/2003 $ 8,691 $ 8,965 $ 11,650
9/30/2003 $ 8,271 $ 8,772 $ 11,491
10/31/2003 $ 9,071 $ 9,493 $ 12,399
11/30/2003 $ 9,371 $ 9,814 $ 12,866
12/31/2003 $ 9,441 $ 9,825 $ 13,150
1/31/2004 $ 9,671 $ 10,235 $ 13,630
2/29/2004 $ 9,752 $ 10,330 $ 13,841
3/31/2004 $ 9,622 $ 10,366 $ 13,924
4/30/2004 $ 9,242 $ 9,927 $ 13,256
5/31/2004 $ 9,392 $ 10,133 $ 13,526
6/30/2004 $ 9,551 $ 10,380 $ 13,971
7/31/2004 $ 8,771 $ 9,568 $ 13,158
8/31/2004 $ 8,491 $ 9,375 $ 13,124
9/30/2004 $ 8,951 $ 9,798 $ 13,619
10/31/2004 $ 9,342 $ 10,076 $ 13,929
11/30/2004 $ 9,992 $ 10,744 $ 14,970
12/31/2004 $ 10,481 $ 11,259 $ 15,556
1/31/2005 $ 10,191 $ 10,862 $ 15,034
2/28/2005 $ 10,571 $ 11,078 $ 15,374
3/31/2005 $ 10,291 $ 10,772 $ 15,068
4/30/2005 $ 9,651 $ 10,190 $ 14,390
5/31/2005 $ 10,461 $ 10,869 $ 15,260
6/30/2005 $ 10,790 $ 11,156 $ 15,748
7/31/2005 $ 11,490 $ 11,878 $ 16,680
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from December 1, 2000.
41
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG SMALL/MID CAP FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,127.59 1,021.08 3.96 3.76 0.75
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.75%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
42
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
43
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 12-month period ended July 31, 2005, CMG International Stock Fund
returned 16.31%. The fund took advantage of rising energy prices and benefited
from an overweight in the energy sector during the period. However, a
concentration in consumer staples and health care detracted from performance
relative to the MSCI EAFE(1), which posted a 21.06% return during the period.
The average return for the Lipper International Multi-Cap Growth Funds Category
was 21.05%.(2)
Investments in Japan and the United Kingdom hurt the fund's performance. Early
in the period we increased the fund's exposure to consumer stocks in Japan
anticipating a turn in consumer spending. Unfortunately, Japanese consumers did
not increase spending as we expected and these stocks underperformed. In the
United Kingdom, investments in consumer staples stocks hurt as these companies
suffered from increased input costs.
Oil prices rose approximately 70% during the 12-month period, and energy was the
best performing sector of the portfolio. The fund's relative return was enhanced
because its exposure to energy was higher than the index. Among the top energy
performers were OMV AG, an Austria-based oil and gas producer that gained access
to central and eastern Europe through acquisitions, and Canada's EnCana, the
largest oil and gas exploration company in North America (0.5% and 0.9% of net
assets, respectively).
We emphasized companies that we believed were likely to raise their dividend
payouts and/or benefit from capital expenditures. As a result, the fund was
overweight in industrials relative to the index. Vinci SA, a French construction
company, was one of the top stocks in the portfolio (1.2% of net assets). We
also added ABB in Switzerland, a manufacturer of equipment used by utilities
(0.4% of net assets). For several years investors avoided ABB, as the company
was under the strain of asbestos litigation. At the time we purchased the stock,
it was selling at a significant discount to its peers. Over the past year, ABB
has benefited from strong global trends, such as the building and upgrading of
utilities around the world. We also invested in Veolia Environnement, a French
utility that provides water and waste management services to the United States
and Europe (0.9% of net assets). The company has reaped the rewards of a
significant restructuring program, which has included cost cutting and debt
reduction.
Because Singapore's economy appeared to be more resilient than other developed
economies, we significantly boosted investment in the country. We felt that
consumers were poised to boost their spending and believed that many companies
had the potential to increase their earnings and dividend payouts. In addition,
valuations were attractive. Companies in Singapore were some of the best
performers in the portfolio. We also raised exposure to Hong Kong, an area that
benefited from a stronger economy and a particularly vibrant real estate sector.
We sold long-term holdings Erste Bank der Oesterreichischen Sparkassen in
Austria and Alpha Bank in Greece. Both had been portfolio leaders, but they face
increased competition. We became concerned that they would not be able to
sustain their high level of earnings growth.
We plan to continue to seek large companies that we believe have the potential
to increase their dividend payouts and to maintain our emphasis on companies
that we expect can benefit from capital spending. Despite forecasts for a slower
economy in Europe, we believe there are opportunities in several markets. We are
also fairly optimistic about Japan. Some economic data, such as rising consumer
confidence and higher bank loan demand, is positive for Japan. We intend to keep
an index weight in the country.
44
<Page>
The fund's top ten holdings and countries (as a percentage of net assets) as of
July 31, 2005 were:
<Table>
<Caption>
HOLDINGS (%)
Nestle 2.3
Vodafone Group 2.2
BP 2.1
GlaxoSmithKline 2.1
Total 1.8
AstraZeneca 1.7
HSBC Holdings 1.6
Royal Bank of Scotland Group 1.4
Toyota Motor 1.4
Sanofi-Aventis 1.3
<Caption>
COUNTRIES (%)
United Kingdom 25.8
Japan 20.9
France 8.8
Germany 6.7
Switzerland 6.6
Hong Kong 3.5
Netherlands 2.9
Singapore 2.6
Canada 2.2
Italy 2.1
</Table>
We appreciate your continued confidence in the CMG International Stock Fund.
Penelope L. Burgess has co-managed the CMG International Stock Fund since July
2004 and has been with the advisor or its predecessors or affiliate
organizations since 1993.
/s/ Penelope L. Burgess
Deborah F. Snee has co-managed the fund since July 2004 and has been with the
advisor or its predecessors or affiliate organizations since 1999.
/s/ Deborah F. Snee
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
International investing involves special risks, including foreign taxation,
currency fluctuation, risks associated with possible differences in financial
standards and other monetary and political risks.
A concentration of investments in a specific sector, such as the technology
sector, may cause the fund to experience increased volatility.
- ----------
(1) The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far
East (EAFE) Index is a free float-adjusted market capitalization index that
is designed to measure developed market equity performance, excluding the
US and Canada. The Morgan Stanley Capital International (MSCI) All Country
(AC) World ex US Index is an unmanaged index of global stock market
performance that includes developed and emerging markets but excludes the
United States. Unlike the fund, indices are not investments, they do not
incur fees or expenses and are not professionally managed. It is not
possible to invest directly in an index. Securities in the fund may not
match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings and country breakdowns are disclosed as a percentage of net assets, and
are subject to change. Because the fund is actively managed, there is no
guarantee the fund will continue to maintain the holdings and country breakdown
listed. The fund's holdings and their weights within the portfolio may change as
market conditions change.
45
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR 10-YEAR
CMG International Stock Fund 02/01/94 16.31 -0.29 6.85
MSCI EAFE Index 21.06 0.92 4.91
MSCI All Country World ex US Index 24.90 2.32 5.61
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR 10-YEAR
CMG International Stock Fund 02/01/94 8.40 -1.96 7.18
MSCI EAFE Index 13.65 -0.55 5.22
MSCI All Country World ex US Index 16.95 0.76 5.82
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, AUGUST 1, 1995 TO JULY 31, 2005
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND MSCI EAFE INDEX MSCI ALL COUNTRY WORLD EX US INDEX
8/1/1995 $ 10,000 $ 10,000 $ 10,000
8/31/1995 $ 9,859 $ 9,619 $ 9,653
9/30/1995 $ 10,073 $ 9,807 $ 9,818
10/31/1995 $ 9,945 $ 9,543 $ 9,556
11/30/1995 $ 10,141 $ 9,808 $ 9,780
12/31/1995 $ 10,412 $ 10,203 $ 10,168
1/31/1996 $ 10,594 $ 10,245 $ 10,307
2/29/1996 $ 10,594 $ 10,280 $ 10,307
3/31/1996 $ 11,005 $ 10,498 $ 10,500
4/30/1996 $ 11,376 $ 10,803 $ 10,818
5/31/1996 $ 11,542 $ 10,605 $ 10,656
6/30/1996 $ 11,783 $ 10,664 $ 10,710
7/31/1996 $ 11,258 $ 10,353 $ 10,354
8/31/1996 $ 11,434 $ 10,375 $ 10,416
9/30/1996 $ 11,689 $ 10,651 $ 10,674
10/31/1996 $ 11,603 $ 10,543 $ 10,567
11/30/1996 $ 12,002 $ 10,962 $ 10,975
12/31/1996 $ 12,158 $ 10,821 $ 10,848
1/31/1997 $ 12,156 $ 10,442 $ 10,648
2/28/1997 $ 12,451 $ 10,613 $ 10,843
3/31/1997 $ 12,547 $ 10,652 $ 10,820
4/30/1997 $ 12,828 $ 10,708 $ 10,912
5/31/1997 $ 13,563 $ 11,405 $ 11,585
6/30/1997 $ 14,199 $ 12,034 $ 12,225
7/31/1997 $ 14,615 $ 12,229 $ 12,472
8/31/1997 $ 13,574 $ 11,315 $ 11,490
9/30/1997 $ 14,497 $ 11,949 $ 12,112
10/31/1997 $ 13,399 $ 11,030 $ 11,080
11/30/1997 $ 13,345 $ 10,917 $ 10,942
12/31/1997 $ 13,396 $ 11,012 $ 11,067
1/31/1998 $ 13,484 $ 11,516 $ 11,398
2/28/1998 $ 14,064 $ 12,255 $ 12,159
3/31/1998 $ 14,711 $ 12,632 $ 12,579
4/30/1998 $ 15,121 $ 12,732 $ 12,670
5/31/1998 $ 15,366 $ 12,670 $ 12,439
6/30/1998 $ 15,294 $ 12,766 $ 12,393
7/31/1998 $ 15,332 $ 12,895 $ 12,511
8/31/1998 $ 13,491 $ 11,297 $ 10,747
9/30/1998 $ 12,506 $ 10,951 $ 10,520
10/31/1998 $ 13,234 $ 12,092 $ 11,623
11/30/1998 $ 14,278 $ 12,711 $ 12,247
12/31/1998 $ 15,028 $ 13,211 $ 12,668
1/31/1999 $ 15,735 $ 13,172 $ 12,654
2/28/1999 $ 15,345 $ 12,858 $ 12,371
3/31/1999 $ 15,609 $ 13,395 $ 12,968
4/30/1999 $ 16,052 $ 13,937 $ 13,617
5/31/1999 $ 15,683 $ 13,219 $ 12,977
6/30/1999 $ 16,643 $ 13,735 $ 13,574
7/31/1999 $ 17,192 $ 14,143 $ 13,891
8/31/1999 $ 17,583 $ 14,195 $ 13,940
9/30/1999 $ 18,005 $ 14,338 $ 14,033
10/31/1999 $ 18,851 $ 14,876 $ 14,555
11/30/1999 $ 21,109 $ 15,392 $ 15,137
12/31/1999 $ 23,898 $ 16,775 $ 16,582
1/31/2000 $ 22,652 $ 15,709 $ 15,681
2/29/2000 $ 24,234 $ 16,132 $ 16,105
3/31/2000 $ 23,640 $ 16,758 $ 16,710
4/30/2000 $ 21,496 $ 15,876 $ 15,778
5/31/2000 $ 19,645 $ 15,489 $ 15,374
6/30/2000 $ 20,755 $ 16,095 $ 16,029
7/31/2000 $ 19,678 $ 15,420 $ 15,396
8/31/2000 $ 20,172 $ 15,554 $ 15,586
9/30/2000 $ 18,937 $ 14,797 $ 14,721
10/31/2000 $ 18,174 $ 14,448 $ 14,253
11/30/2000 $ 17,367 $ 13,906 $ 13,615
12/31/2000 $ 18,202 $ 14,400 $ 14,079
1/31/2001 $ 18,013 $ 14,392 $ 14,290
2/28/2001 $ 17,026 $ 13,313 $ 13,158
3/31/2001 $ 15,890 $ 12,425 $ 12,228
4/30/2001 $ 16,864 $ 13,289 $ 13,060
5/31/2001 $ 16,527 $ 12,819 $ 12,699
6/30/2001 $ 15,945 $ 12,295 $ 12,213
7/31/2001 $ 15,445 $ 12,071 $ 11,940
8/31/2001 $ 15,161 $ 11,766 $ 11,644
9/30/2001 $ 13,726 $ 10,574 $ 10,409
10/31/2001 $ 14,091 $ 10,845 $ 10,700
11/30/2001 $ 14,389 $ 11,245 $ 11,189
12/31/2001 $ 14,731 $ 11,311 $ 11,334
1/31/2002 $ 14,135 $ 10,711 $ 10,849
2/28/2002 $ 14,229 $ 10,786 $ 10,927
3/31/2002 $ 14,921 $ 11,421 $ 11,507
4/30/2002 $ 14,988 $ 11,444 $ 11,595
5/31/2002 $ 15,165 $ 11,589 $ 11,722
6/30/2002 $ 14,798 $ 11,128 $ 11,215
7/31/2002 $ 13,590 $ 10,029 $ 10,122
8/31/2002 $ 13,522 $ 10,006 $ 10,123
9/30/2002 $ 12,166 $ 8,932 $ 9,050
10/31/2002 $ 12,641 $ 9,411 $ 9,535
11/30/2002 $ 13,129 $ 9,839 $ 9,994
12/31/2002 $ 12,622 $ 9,508 $ 9,672
1/31/2003 $ 12,090 $ 9,112 $ 9,332
2/28/2003 $ 11,940 $ 8,903 $ 9,143
3/31/2003 $ 11,859 $ 8,728 $ 8,966
4/30/2003 $ 12,745 $ 9,584 $ 9,830
5/31/2003 $ 13,440 $ 10,165 $ 10,456
6/30/2003 $ 13,699 $ 10,411 $ 10,746
7/31/2003 $ 14,081 $ 10,663 $ 11,031
8/31/2003 $ 14,422 $ 10,919 $ 11,360
9/30/2003 $ 14,817 $ 11,256 $ 11,678
10/31/2003 $ 15,717 $ 11,957 $ 12,435
11/30/2003 $ 15,839 $ 12,222 $ 12,706
12/31/2003 $ 16,891 $ 13,177 $ 13,676
1/31/2004 $ 17,261 $ 13,363 $ 13,896
2/29/2004 $ 17,494 $ 13,672 $ 14,249
3/31/2004 $ 17,644 $ 13,748 $ 14,337
4/30/2004 $ 17,164 $ 13,437 $ 13,891
5/31/2004 $ 17,013 $ 13,483 $ 13,936
6/30/2004 $ 17,342 $ 13,778 $ 14,238
7/31/2004 $ 16,671 $ 13,331 $ 13,824
8/31/2004 $ 16,671 $ 13,389 $ 13,934
9/30/2004 $ 16,959 $ 13,739 $ 14,383
10/31/2004 $ 17,507 $ 14,207 $ 14,884
11/30/2004 $ 18,603 $ 15,178 $ 15,916
12/31/2004 $ 19,263 $ 15,844 $ 16,599
1/31/2005 $ 18,784 $ 15,554 $ 16,314
2/28/2005 $ 19,531 $ 16,226 $ 17,118
3/31/2005 $ 19,053 $ 15,819 $ 16,654
4/30/2005 $ 18,729 $ 15,447 $ 16,243
5/31/2005 $ 18,644 $ 15,455 $ 16,345
6/30/2005 $ 18,799 $ 15,660 $ 16,652
7/31/2005 $ 19,391 $ 16,142 $ 17,268
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
46
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG INTERNATIONAL STOCK FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,032.28 1,021.08 3.78 3.76 0.75
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.75%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
47
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
48
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED
---------------------------------- JULY 31,
2005 2004 2003 (a)
-------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.97 $ 10.73 $ 10.00
-------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.24(c) 0.17 0.04
Net realized and unrealized gain on investments 1.58 1.13 0.69
-------------- -------------- --------------
Total from investment operations 1.82 1.30 0.73
-------------- -------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.20) (0.05) -
From net realized gains (0.10) (0.01) -
-------------- -------------- --------------
Total distributions declared to shareholders (0.30) (0.06) -
-------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 13.49 $ 11.97 $ 10.73
============== ============== ==============
Total return (d)(e) 15.32% 12.08% 7.30%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 91,633 $ 98,247 $ 9,134
Ratio of net expenses to average net assets 0.25% 0.25% 0.25%(g)
Ratio of net investment income to average net assets 1.91% 1.43% 1.50%(g)
Reimbursement 0.04% 0.05% 1.37%(g)
Portfolio turnover rate 49% 60% 2%(f)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Net investment income per share reflects a special dividend. The effect of
this dividend amounted to $0.04 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
49
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
YEAR PERIOD
ENDED ENDED
JULY 31, JULY 31,
2005 2004 (a)
-------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.25 $ 10.00
-------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.12(c) 0.03
Net realized and unrealized gain on investments 1.37 0.23
-------------- --------------
Total from investment operations 1.49 0.26
-------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.09) (0.01)
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 11.65 $ 10.25
============== ==============
Total return (d)(e) 14.55% 2.57%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 40,312 $ 40,684
Ratio of net expenses to average net assets 0.50% 0.50%(g)
Ratio of net investment income to average net assets 1.07% 0.31%(g)
Reimbursement 0.07% 0.14%(g)
Portfolio turnover rate 120% 114%(f)
</Table>
(a) The Fund commenced investment operations on September 10, 2003. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Net investment income per share reflects a special dividend. The effect of
this dividend amounted to $0.05 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
50
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
YEAR PERIOD
ENDED ENDED
JULY 31, JULY 31,
2005 2004 (a)
-------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.09 $ 10.00
-------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.24 0.18
Net realized and unrealized gain on investments 1.46 0.93
-------------- --------------
Total from investment operations 1.70 1.11
-------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.22) (0.02)
From net realized gains (0.03) -
-------------- --------------
Total distributions declared to shareholders (0.25) (0.02)
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 12.54 $ 11.09
============== ==============
Total return (c)(d) 15.41%(e) 11.15%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 38,731 $ 47,855
Ratio of net expenses to average net assets 0.50% 0.50%(g)
Ratio of net investment income to average net assets 1.99% 1.86%(g)
Reimbursement 0.07% 0.14%(g)
Portfolio turnover rate 45% 46%(f)
</Table>
(a) The Fund commenced investment operations on September 10, 2003. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Total return includes a reimbursement of loss experienced by the Fund due
to compliance violation. The reimbursement had an impact of less than 0.01%
on the total return.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
51
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED
---------------------------------- JULY 31,
2005 2004 2003 (a)
-------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.04 $ 10.93 $ 10.00
-------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.03) (0.05) (0.01)
Net realized and unrealized gain on investments 3.14 0.17 0.94
-------------- -------------- --------------
Total from investment operations 3.11 0.12 0.93
-------------- -------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net realized gains - (0.01) -
-------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 14.15 $ 11.04 $ 10.93
============== ============== ==============
Total return (c)(d) 28.17% 1.06% 9.30%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 24,881 $ 19,284 $ 2,161
Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(f)
Ratio of net investment loss to average net assets (0.21)% (0.38)% (0.44)%(f)
Reimbursement 0.21% 0.22% 3.85%(f)
Portfolio turnover rate 141% 169% 23%(e)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
52
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED
---------------------------------- JULY 31,
2005 2004 2003 (a)
-------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.58 $ 10.69 $ 10.00
-------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.11 0.07 0.01
Net realized and unrealized gain on investments
and foreign currency 2.66 1.84 0.68
-------------- -------------- --------------
Total from investment operations 2.77 1.91 0.69
-------------- -------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.09) (0.02) -
From net realized gains (0.09) -(c) -
-------------- -------------- --------------
Total distributions declared to shareholders (0.18) (0.02) -
-------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 15.17 $ 12.58 $ 10.69
============== ============== ==============
Total return (d)(e) 22.14% 17.91% 6.90%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 21,277 $ 21,994 $ 2,651
Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(g)
Ratio of net investment income to average net assets 0.78% 0.54% 0.49%(g)
Reimbursement 0.19% 0.20% 3.61%(g)
Portfolio turnover rate 59% 9% 2%(f)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
53
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED
---------------------------------- JULY 31,
2005 2004 2003 (a)
-------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.99 $ 11.53 $ 10.00
-------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.07) (0.08) (0.02)
Net realized and unrealized gain on investments 2.38 1.35 1.55
-------------- -------------- --------------
Total from investment operations 2.31 1.27 1.53
-------------- -------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net realized gains (0.74) (0.81) -
-------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 13.56 $ 11.99 $ 11.53
============== ============== ==============
Total return (c)(d) 19.47% 10.74% 15.30%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 38,645 $ 35,727 $ 21,006
Ratio of net expenses to average net assets 0.80% 0.80% 0.80%(f)
Ratio of net investment loss to average net assets (0.56)% (0.60)% (0.62)%(f)
Reimbursement 0.12% 0.10% 0.35%(f)
Portfolio turnover rate 48% 66% 37%(e)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
54
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED
---------------------------------- JULY 31,
2005 2004 2003 (a)
-------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.91 $ 11.29 $ 10.00
-------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.11 0.11 0.02
Net realized and unrealized gain on investments 3.11 2.79 1.27
-------------- -------------- --------------
Total from investment operations 3.22 2.90 1.29
-------------- -------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.10) (0.06) -
From net realized gains (0.97) (0.22) -
-------------- -------------- --------------
Total distributions declared to shareholders (1.07) (0.28) -
-------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 16.06 $ 13.91 $ 11.29
============== ============== ==============
Total return (c)(d) 23.57% 25.79% 12.90%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 36,989 $ 40,356 $ 21,356
Ratio of net expenses to average net assets 0.80% 0.80% 0.80%(f)
Ratio of net investment income to average net assets 0.77% 0.82% 0.66%(f)
Reimbursement 0.12% 0.09% 0.36%(f)
Portfolio turnover rate 41% 53% 5%(e)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
55
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD YEAR PERIOD
YEAR ENDED JULY 31, ENDED ENDED ENDED
--------------------- JULY 31, OCTOBER 31, OCTOBER 31,
2005 2004 2003 (a) 2002 2001 (b)
-------- -------- --------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.77 $ 8.30 $ 6.96 $ 8.00 $ 10.00
-------- -------- --------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)(c) (0.05)(c) (0.03)(c) (0.04)(c) (0.02)
Net realized and unrealized gain (loss) on
investments 2.76 0.52 1.37 (1.00) (1.98)
-------- -------- --------- ----------- -----------
Total from investment operations 2.72 0.47 1.34 (1.04) (2.00)
-------- -------- --------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 11.49 $ 8.77 $ 8.30 $ 6.96 $ 8.00
======== ======== ========= =========== ===========
Total return (d)(e) 31.01% 5.66% 19.25%(f) (13.00)% (20.00)%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 38,755 $ 50,662 $ 73,926 $ 54,769 $ 49,391
Ratio of net expenses to average net assets 0.75% 0.75% 0.78%(g)(h) 0.80%(g) 0.80%(g)(h)
Ratio of net investment loss to average net assets (0.37)% (0.49)% (0.50)%(g)(h) (0.45)%(g) (0.23)%(g)(h)
Reimbursement 0.09% 0.06% 0.06%(h) 0.06% 0.17%(h)
Portfolio turnover rate 170% 91% 84%(f) 125% 167%(f)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on December 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Total return at net asset value.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
See Accompanying Notes to Financial Statements.
56
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED YEAR ENDED OCTOBER 31,
------------------------ JULY 31, ------------------------------------
2005 2004 2003 (a) 2002 2001 2000
--------- --------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.17 $ 10.33 $ 9.32 $ 10.42 $ 16.20 $ 17.86
--------- --------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.19(b) 0.14(b) 0.11(b) 0.02(b) 0.03 0.04
Net realized and unrealized gain (loss)
on investments, foreign currency and
foreign capital gains tax 1.79 1.76 0.95 (1.09) (3.09) (0.36)
--------- --------- -------- -------- -------- --------
Total from investment operations 1.98 1.90 1.06 (1.07) (3.06) (0.32)
--------- --------- -------- -------- -------- --------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.10) (0.06) (0.05) (0.03) - -
From net realized gains (0.29) - - - (2.72) (1.34)
--------- --------- -------- -------- -------- --------
Total distributions declared to
shareholders (0.39) (0.06) (0.05) (0.03) (2.72) (1.34)
--------- --------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 13.76 $ 12.17 $ 10.33 $ 9.32 $ 10.42 $ 16.20
========= ========= ======== ======== ======== ========
Total return (c) 16.31%(d) 18.40%(d) 11.39%(d)(e) (10.28)% (22.46)% (3.58)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 136,144 $ 152,251 $ 58,488 $ 20,616 $ 20,553 $ 22,975
Ratio of net expenses to average net assets 0.75% 0.75% 0.93%(f)(g) 1.31%(f) 1.26%(f) 1.11%(f)
Ratio of net investment income to average
net assets 1.47% 1.16% 1.50%(f)(g) 0.21%(f) 0.29%(f) 0.12%(f)
Reimbursement 0.03% 0.05% 0.06%(g) - - -
Portfolio turnover rate 68% 91% 59%(e) 111% 117% 140%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
See Accompanying Notes to Financial Statements.
57
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.4%)
Consumer Discretionary (11.5%)
Automobiles (0.4%)
Ford Motor Co. 33,100 $ 355,494
-------------
Distributors (0.1%)
Genuine Parts Co. 2,300 105,317
-------------
Hotels, Restaurants & Leisure (2.2%)
Carnival Corp. 12,700 665,480
Darden Restaurants, Inc. 3,600 124,920
Hilton Hotels Corp. 3,800 94,050
International Game Technology 3,600 98,496
McDonald's Corp. 29,600 922,632
Starwood Hotels & Resorts Worldwide, Inc. 1,800 113,976
-------------
2,019,554
-------------
Household Durables (0.7%)
Black & Decker Corp. 1,300 117,403
Stanley Works 10,300 503,979
-------------
621,382
-------------
Internet & Catalog Retail (0.2%)
Amazon.com, Inc. (a) 500 22,585
eBay, Inc. (a) 4,300 179,654
-------------
202,239
-------------
Leisure Equipment & Products (0.2%)
Hasbro, Inc. 5,900 129,446
Mattel, Inc. 5,200 96,980
-------------
226,426
-------------
Media (3.1%)
Comcast Corp., Class A (a) 29,100 894,243
Discovery Holding Co., Class A (a) 1,100 15,697
Liberty Media Corp., Class A (a) 10,600 93,174
McGraw-Hill Companies, Inc. 12,800 588,928
Time Warner, Inc. 62,200 1,058,644
Viacom, Inc., Class B 2,600 87,074
Walt Disney Co. 4,300 110,252
-------------
2,848,012
-------------
Multiline Retail (1.0%)
Dillard's, Inc., Class A 7,300 166,878
Federated Department Stores, Inc. 3,700 280,719
Target Corp. 8,100 475,875
-------------
923,472
-------------
Specialty Retail (2.7%)
Barnes & Noble, Inc. (a) 7,300 299,446
Best Buy Co., Inc. 5,500 421,300
Gap, Inc. 5,000 105,550
Home Depot, Inc. 28,800 1,253,088
</Table>
See Accompanying Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Specialty Retail (continued)
Limited Brands, Inc. 8,200 $ 199,916
Lowe's Companies, Inc. 2,300 152,306
-------------
2,431,606
-------------
Textiles, Apparel & Luxury Goods (0.9%)
NIKE, Inc., Class B 8,500 712,300
V.F. Corp. 1,800 106,272
-------------
818,572
-------------
Consumer Staples (9.9%)
Beverages (2.0%)
Anheuser-Busch Companies, Inc. 2,000 88,700
Coca-Cola Co. 27,800 1,216,528
Molson Coors Brewing Co., Class B 2,500 156,750
PepsiCo, Inc. 6,900 376,257
-------------
1,838,235
-------------
Food & Staples Retailing (2.6%)
Albertson's, Inc. 5,000 106,550
Costco Wholesale Corp. 13,500 620,595
Safeway, Inc. 8,500 206,550
SUPERVALU, Inc. 3,600 127,440
Wal-Mart Stores, Inc. 26,400 1,302,840
-------------
2,363,975
-------------
Food Products (1.8%)
Archer-Daniels-Midland Co. 17,200 394,568
ConAgra Foods, Inc. 3,700 84,027
H.J. Heinz Co. 14,500 533,310
Hershey Co. 2,000 127,740
Kellogg Co. 2,300 104,213
Tyson Foods, Inc., Class A 22,800 424,992
-------------
1,668,850
-------------
Household Products (1.7%)
Clorox Co. 3,700 206,645
Colgate-Palmolive Co. 2,200 116,468
Kimberly-Clark Corp. 1,500 95,640
Procter & Gamble Co. 21,300 1,184,919
-------------
1,603,672
-------------
Personal Products (0.5%)
Avon Products, Inc. 300 9,813
Gillette Co. 7,900 423,993
-------------
433,806
-------------
Tobacco (1.3%)
Altria Group, Inc. 10,100 676,296
UST, Inc. 11,100 510,822
-------------
1,187,118
-------------
</Table>
See Accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Energy (8.9%)
Energy Equipment & Services (1.1%)
Baker Hughes, Inc. 2,000 $ 113,080
Schlumberger Ltd. 9,400 787,156
Transocean, Inc. (a) 1,900 107,217
-------------
1,007,453
-------------
Oil, Gas & Consumable Fuels (7.8%)
Amerada Hess Corp. 3,600 424,296
Apache Corp. 2,300 157,320
Burlington Resources, Inc. 5,200 333,372
ChevronTexaco Corp. 24,600 1,427,046
ConocoPhillips 3,600 225,324
El Paso Corp. 5,200 62,400
Exxon Mobil Corp. 58,800 3,454,500
Kerr-McGee Corp. 1,400 112,294
Marathon Oil Corp. 4,200 245,112
Sunoco, Inc. 1,600 201,168
Valero Energy Corp. 3,900 322,842
Williams Companies, Inc. 6,700 142,308
-------------
7,107,982
-------------
Financials (19.8%)
Capital Markets (3.4%)
Bank of New York Co., Inc. 12,400 381,672
Federated Investors, Inc., Class B 13,900 443,966
Franklin Resources, Inc. 7,700 622,314
Mellon Financial Corp. 4,900 149,254
Merrill Lynch & Co., Inc. 1,700 99,926
Morgan Stanley 4,800 254,640
Northern Trust Corp. 11,000 558,800
State Street Corp. 11,700 581,958
-------------
3,092,530
-------------
Commercial Banks (4.3%)
BB&T Corp. 2,400 100,368
Commerce Bancorp, Inc. 15,100 512,343
KeyCorp 2,900 99,296
M&T Bank Corp. 1,000 108,510
National City Corp. 4,400 162,404
North Fork Bancorporation, Inc. 3,600 98,604
SunTrust Banks, Inc. 5,900 429,048
U.S. Bancorp 22,400 673,344
UnionBanCal Corp. 3,400 242,556
Wachovia Corp. 21,100 1,063,018
Wells Fargo & Co. 7,000 429,380
-------------
3,918,871
-------------
</Table>
See Accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Consumer Finance (1.3%)
American Express Co. 5,200 $ 286,000
Capital One Financial Corp. 7,900 651,750
MBNA Corp. 8,900 223,924
-------------
1,161,674
-------------
Diversified Financial Services (3.8%)
Citigroup, Inc. 32,900 1,431,150
JPMorgan Chase & Co. 40,800 1,433,712
Principal Financial Group, Inc. 13,400 588,930
-------------
3,453,792
-------------
Insurance (5.9%)
AFLAC, Inc. 5,500 248,050
American International Group, Inc. 21,000 1,264,200
Aon Corp. 4,900 124,656
Chubb Corp. 6,700 595,094
First American Corp. 10,800 474,660
Hartford Financial Services Group, Inc. 8,300 668,731
Lincoln National Corp. 4,200 202,860
MBIA, Inc. 3,600 218,664
MetLife, Inc. 6,700 329,238
Prudential Financial, Inc. 11,100 742,590
SAFECO Corp. 9,100 499,954
XL Capital Ltd., Class A 1,300 93,366
-------------
5,462,063
-------------
Thrifts & Mortgage Finance (1.1%)
Countrywide Financial Corp. 16,100 579,600
Fannie Mae 3,900 217,854
Freddie Mac 2,100 132,888
Washington Mutual, Inc. 2,300 97,704
-------------
1,028,046
-------------
Health Care (13.2%)
Biotechnology (1.0%)
Amgen, Inc. (a) 11,500 917,125
-------------
Health Care Equipment & Supplies (1.3%)
Becton, Dickinson & Co. 1,700 94,129
Hospira, Inc. (a) 2,400 91,800
Medtronic, Inc. 17,900 965,526
Millipore Corp. (a) 500 30,635
-------------
1,182,090
-------------
Health Care Providers & Services (3.9%)
AmerisourceBergen Corp. 3,200 229,728
Cardinal Health, Inc. 10,800 643,464
Caremark Rx, Inc. (a) 8,500 378,930
CIGNA Corp. 1,200 128,100
Express Scripts, Inc. (a) 1,800 94,140
</Table>
See Accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care Providers & Services (continued)
HCA, Inc. 3,400 $ 167,450
Humana, Inc. (a) 2,600 103,610
Medco Health Solutions, Inc. (a) 10,600 513,464
UnitedHealth Group, Inc. 23,900 1,249,970
WellPoint, Inc. (a) 1,100 77,814
-------------
3,586,670
-------------
Pharmaceuticals (7.0%)
Abbott Laboratories 20,300 946,589
Allergan, Inc. 1,200 107,244
Bristol-Myers Squibb Co. 3,500 87,430
Eli Lilly & Co. 1,900 107,008
Johnson & Johnson 30,200 1,931,592
Merck & Co., Inc. 24,700 767,182
Pfizer, Inc. 75,100 1,990,150
Wyeth 10,200 466,650
-------------
6,403,845
-------------
Industrials (11.1%)
Aerospace & Defense (3.0%)
Boeing Co. 13,700 904,337
General Dynamics Corp. 3,500 403,165
Lockheed Martin Corp. 6,400 399,360
Raytheon Co. 7,200 283,176
United Technologies Corp. 15,800 801,060
-------------
2,791,098
-------------
Air Freight & Logistics (1.0%)
FedEx Corp. 1,200 100,908
United Parcel Service, Inc., Class B 11,800 861,046
-------------
961,954
-------------
Building Products (0.1%)
Masco Corp. 3,300 111,903
-------------
Commercial Services & Supplies (1.2%)
Cendant Corp. 35,600 760,416
Equifax, Inc. 3,600 131,040
R.R. Donnelley & Sons Co. 2,700 97,335
Waste Management, Inc. 3,400 95,608
-------------
1,084,399
-------------
Industrial Conglomerates (4.2%)
3M Co. 11,800 885,000
General Electric Co. 79,700 2,749,650
Textron, Inc. 1,200 89,004
Tyco International Ltd. 2,900 88,363
-------------
3,812,017
-------------
</Table>
See Accompanying Notes to Financial Statements.
62
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Machinery (0.8%)
Cummins, Inc. 500 $ 42,720
Deere & Co. 1,500 110,295
Eaton Corp. 5,200 339,768
Ingersoll-Rand Co., Ltd., Class A 1,200 93,804
Parker Hannifin Corp. 1,600 105,152
-------------
691,739
-------------
Road & Rail (0.7%)
Norfolk Southern Corp. 2,800 104,188
Union Pacific Corp. 7,800 548,418
-------------
652,606
-------------
Trading Companies & Distributors (0.1%)
W.W. Grainger, Inc. 1,600 99,712
-------------
Information Technology (15.4%)
Communications Equipment (2.5%)
Avaya, Inc. (a) 17,800 183,874
Cisco Systems, Inc. (a) 54,200 1,037,930
Motorola, Inc. 8,600 182,148
QUALCOMM, Inc. 22,800 900,372
-------------
2,304,324
-------------
Computers & Peripherals (4.1%)
Apple Computer, Inc. (a) 14,000 597,100
Dell, Inc. (a) 15,700 635,379
EMC Corp. (a) 13,300 182,077
Hewlett-Packard Co. 33,000 812,460
International Business Machines Corp. 18,800 1,569,048
Storage Technology Corp. (a) 300 11,019
-------------
3,807,083
-------------
Electronic Equipment & Instruments (0.3%)
Agilent Technologies, Inc. (a) 4,400 115,456
Jabil Circuit, Inc. (a) 4,400 137,236
-------------
252,692
-------------
Internet Software & Services (0.3%)
Yahoo!, Inc. (a) 7,800 260,052
-------------
IT Services (0.7%)
Affiliated Computer Services, Inc., Class A (a) 1,800 89,946
Computer Sciences Corp. (a) 10,700 489,846
Fiserv, Inc. (a) 2,100 93,177
-------------
672,969
-------------
Office Electronics (0.1%)
Xerox Corp. (a) 7,100 93,791
-------------
</Table>
See Accompanying Notes to Financial Statements.
63
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (3.7%)
Broadcom Corp., Class A (a) 2,500 $ 106,925
Freescale Semiconductor, Inc., Class B (a) 6,100 157,075
Intel Corp. 66,500 1,804,810
Linear Technology Corp. 14,100 547,926
Texas Instruments, Inc. 24,500 778,120
-------------
3,394,856
-------------
Software (3.7%)
Adobe Systems, Inc. 16,000 474,240
Autodesk, Inc. 3,700 126,503
Citrix Systems, Inc. (a) 4,700 112,001
Computer Associates International, Inc. 4,700 129,015
Microsoft Corp. 76,500 1,959,165
Oracle Corp. (a) 34,000 461,720
Symantec Corp. (a) 4,800 105,456
-------------
3,368,100
-------------
Materials (3.1%)
Chemicals (1.1%)
Dow Chemical Co. 2,100 100,695
E.I. du Pont de Nemours & Co. 2,200 93,896
Eastman Chemical Co. 2,400 132,936
Monsanto Co. 8,900 599,593
PPG Industries, Inc. 1,500 97,545
-------------
1,024,665
-------------
Metals & Mining (1.3%)
Freeport-McMoRan Copper & Gold, Inc., Class B 13,200 531,696
Phelps Dodge Corp. 5,400 574,830
United States Steel Corp. 1,500 63,975
-------------
1,170,501
-------------
Paper & Forest Products (0.7%)
Georgia-Pacific Corp. 15,000 512,250
Weyerhaeuser Co. 1,400 96,572
-------------
608,822
-------------
Telecommunication Services (3.1%)
Diversified Telecommunication Services (2.8%)
ALLTEL Corp. 2,300 152,950
AT&T Corp. 6,400 126,720
BellSouth Corp. 31,100 858,360
SBC Communications, Inc. 26,500 647,925
Sprint Corp. 4,600 123,740
Verizon Communications, Inc. 18,600 636,678
-------------
2,546,373
-------------
Wireless Telecommunication Services (0.3%)
Nextel Communications, Inc., Class A (a) 8,800 306,240
-------------
</Table>
See Accompanying Notes to Financial Statements.
64
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Utilities (3.4%)
Electric Utilities (0.8%)
American Electric Power Co., Inc. 14,900 $ 576,630
Exelon Corp. 1,900 101,688
FirstEnergy Corp. 1,600 79,648
-------------
757,966
-------------
Independent Power Producers & Energy Traders (1.7%)
Constellation Energy Group, Inc. 8,700 523,827
Duke Energy Corp. 23,000 679,420
TXU Corp. 3,900 337,896
-------------
1,541,143
-------------
Multi-Utilities (0.9%)
Dominion Resources, Inc. 5,100 376,686
PG&E Corp. 11,400 428,982
-------------
805,668
-------------
Total Common Stocks
(Cost of $78,990,915) 91,090,544
-------------
<Caption>
PAR
-------------
Short-Term Obligation (0.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Bond
maturing 08/15/21, market value of $480,150
(repurchase proceeds $467,123) $ 467,000 467,000
-------------
Total Short-Term Obligation
(Cost of $467,000) 467,000
-------------
Total Investments (99.9%)
(Cost of $79,457,915) (b) 91,557,544
Other Assets & Liabilities, Net (0.1%) 75,523
-------------
Net Assets (100.0%) $ 91,633,067
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $80,115,208.
See Accompanying Notes to Financial Statements.
65
<Page>
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ -----------
Financials 19.8%
Information Technology 15.4
Health Care 13.2
Consumer Discretionary 11.5
Industrials 11.1
Consumer Staples 9.9
Energy 8.9
Utilities 3.4
Telecommunication Services 3.1
Materials 3.1
Short-Term Obligation 0.5
Other Assets & Liabilities, Net 0.1
-----------
100.0%
===========
</Table>
See Accompanying Notes to Financial Statements.
66
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Funds Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (95.2%)
Consumer Discretionary (16.7%)
Hotels, Restaurants & Leisure (3.0%)
Carnival Corp. 7,350 $ 385,140
Marriott International, Inc., Class A 6,230 426,568
Starbucks Corp. (a) 3,200 168,160
Starwood Hotels & Resorts Worldwide, Inc. 3,500 221,620
-------------
1,201,488
-------------
Internet & Catalog Retail (1.2%)
eBay, Inc. (a) 11,700 488,826
-------------
Multiline Retail (1.8%)
Kohl's Corp. (a) 3,600 202,860
Nordstrom, Inc. 5,560 205,776
Target Corp. 5,600 329,000
-------------
737,636
-------------
Specialty Retail (8.3%)
Bed Bath & Beyond, Inc. (a) 16,200 743,579
Best Buy Co., Inc. 3,800 291,080
Chico's FAS, Inc. (a) 4,150 166,457
Home Depot, Inc. 15,870 690,504
Lowe's Companies, Inc. 9,470 627,103
Sherwin-Williams Co. 4,200 199,962
Staples, Inc. 26,740 608,870
-------------
3,327,555
-------------
Textiles, Apparel & Luxury Goods (2.4%)
Coach, Inc. (a) 16,260 570,889
NIKE, Inc., Class B 4,670 391,346
-------------
962,235
-------------
Consumer Staples (13.4%)
Beverages (2.9%)
Coca-Cola Co. 13,290 581,570
PepsiCo, Inc. 10,660 581,290
-------------
1,162,860
-------------
Food & Staples Retailing (4.4%)
CVS Corp. 19,500 605,085
Wal-Mart Stores, Inc. 17,160 846,846
Walgreen Co. 6,800 325,448
-------------
1,777,379
-------------
Food Products (0.5%)
Kellogg Co. 4,500 203,895
-------------
Household Products (2.9%)
Colgate-Palmolive Co. 7,800 412,932
Procter & Gamble Co. 13,560 754,343
-------------
1,167,275
-------------
</Table>
See Accompanying Notes to Financial Statements.
67
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Personal Products (1.7%)
Gillette Co. 12,860 $ 690,196
-------------
Tobacco (1.0%)
Altria Group, Inc. 5,730 383,681
-------------
Energy (1.2%)
Energy Equipment & Services (1.2%)
National-Oilwell Varco, Inc. (a) 6,100 319,335
Smith International, Inc. 2,470 167,812
-------------
487,147
-------------
Financials (6.9%)
Capital Markets (1.0%)
Goldman Sachs Group, Inc. 1,800 193,464
Merrill Lynch & Co., Inc. 4,100 240,998
-------------
434,462
-------------
Commercial Banks (1.7%)
Wells Fargo & Co. 6,790 416,498
Zions Bancorporation 3,700 264,476
-------------
680,974
-------------
Consumer Finance (0.4%)
MBNA Corp. 6,270 157,753
-------------
Diversified Financial Services (0.9%)
Citigroup, Inc. 8,390 364,965
-------------
Insurance (2.9%)
American International Group, Inc. 14,280 859,656
Prudential Financial, Inc. 4,530 303,057
-------------
1,162,713
-------------
Health Care (20.8%)
Biotechnology (2.7%)
Amgen, Inc. (a) 8,310 662,723
Amylin Pharmaceuticals, Inc. (a) 10,200 190,332
Protein Design Labs, Inc. (a) 9,900 225,621
-------------
1,078,676
-------------
Health Care Equipment & Supplies (4.6%)
Alcon, Inc. 1,820 208,481
Baxter International, Inc. 7,300 286,671
Medtronic, Inc. 7,500 404,550
Thermo Electron Corp. (a) 16,030 478,656
Varian Medical Systems, Inc. (a) 12,030 472,298
-------------
1,850,656
-------------
</Table>
See Accompanying Notes to Financial Statements.
68
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care Providers & Services (2.6%)
Caremark Rx, Inc. (a) 8,510 $ 379,376
UnitedHealth Group, Inc. 13,000 679,900
-------------
1,059,276
-------------
Pharmaceuticals (10.9%)
Abbott Laboratories 15,940 743,282
Eli Lilly & Co. 6,800 382,976
IVAX Corp. (a) 10,090 257,093
Johnson & Johnson 25,040 1,601,558
Novartis AG, ADR 12,980 632,256
Pfizer, Inc. 7,600 201,400
Teva Pharmaceutical Industries Ltd., ADR 11,750 368,950
Wyeth 4,300 196,725
-------------
4,384,240
-------------
Industrials (9.6%)
Aerospace & Defense (1.1%)
Honeywell International, Inc. 10,830 425,402
-------------
Building Products (1.0%)
American Standard Companies, Inc. 9,260 410,033
-------------
Electrical Equipment (1.1%)
Rockwell Automation, Inc. 8,680 447,107
-------------
Industrial Conglomerates (5.1%)
3M Co. 5,200 390,000
General Electric Co. 48,800 1,683,600
-------------
2,073,600
-------------
Machinery (1.3%)
ITT Industries, Inc. 2,770 294,728
Pentair, Inc. 5,820 233,789
-------------
528,517
-------------
Information Technology (24.9%)
Communications Equipment (2.8%)
Cisco Systems, Inc. (a) 40,580 777,107
Juniper Networks, Inc. (a) 8,000 191,920
Nokia Oyj, ADR 9,130 145,624
-------------
1,114,651
-------------
Computers & Peripherals (5.6%)
Dell, Inc. (a) 20,040 811,019
EMC Corp. (a) 11,260 154,149
Hewlett-Packard Co. 16,700 411,154
International Business Machines Corp. 10,300 859,638
-------------
2,235,960
-------------
Internet Software & Services (0.9%)
Yahoo!, Inc. (a) 11,220 374,075
-------------
</Table>
See Accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
IT Services (0.3%)
Cognizant Technology Solutions Corp., Class A (a) 2,560 $ 125,645
-------------
Semiconductors & Semiconductor Equipment (6.2%)
Altera Corp. (a) 10,030 219,355
Fairchild Semiconductor International, Inc. (a) 10,100 170,286
Intel Corp. 29,010 787,331
MEMC Electronic Materials, Inc. (a) 12,300 208,977
Microchip Technology, Inc. 7,550 234,579
Taiwan Semiconductor Manufacturing Co., Ltd., ADR 25,158 216,107
Texas Instruments, Inc. 20,610 654,574
-------------
2,491,209
-------------
Software (9.1%)
Autodesk, Inc. 6,320 216,081
Electronic Arts, Inc. (a) 5,200 299,520
Microsoft Corp. 71,920 1,841,871
NAVTEQ Corp. (a) 3,960 174,121
Oracle Corp. (a) 15,300 207,774
SAP AG, ADR 14,500 620,890
Symantec Corp. (a) 14,820 325,595
-------------
3,685,852
-------------
Materials (1.7%)
Chemicals (1.7%)
Air Products & Chemicals, Inc. 4,900 292,824
Praxair, Inc. 8,400 414,876
-------------
707,700
-------------
Total Common Stocks
(Cost of $34,630,489) 38,383,639
-------------
</Table>
See Accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligation (4.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 08/15/22, market value of $1,665,300
(repurchase proceeds $1,628,430) $ 1,628,000 $ 1,628,000
-------------
Total Short-Term Obligation
(Cost of $1,628,000) 1,628,000
-------------
Total Investments (99.3%)
(Cost of $36,258,489) (b) 40,011,639
Other Assets & Liabilities, Net (0.7%) 299,882
-------------
Net Assets (100.0%) $ 40,311,521
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $36,507,709.
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Information Technology 24.9%
Health Care 20.8
Consumer Discretionary 16.7
Consumer Staples 13.4
Industrials 9.6
Financials 6.9
Materials 1.7
Energy 1.2
Short-Term Obligation 4.1
Other Assets & Liabilities, Net 0.7
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
- ------------------ ---------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
71
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (96.4%)
Consumer Discretionary (9.2%)
Hotels, Restaurants & Leisure (1.5%)
Harrah's Entertainment, Inc. 1,976 $ 155,590
McDonald's Corp. 13,066 407,267
-------------
562,857
-------------
Media (3.3%)
Clear Channel Communications, Inc. 2,863 93,448
Comcast Corp., Class A (a) 5,767 177,220
McGraw-Hill Companies, Inc. 9,816 451,634
Time Warner, Inc. (a) 24,632 419,237
Viacom, Inc., Class A 4,435 149,149
-------------
1,290,688
-------------
Multiline Retail (2.1%)
Federated Department Stores, Inc. 7,016 532,304
J.C. Penney Co., Inc. 5,176 290,581
-------------
822,885
-------------
Specialty Retail (2.3%)
Home Depot, Inc. 11,362 494,361
Limited Brands 9,275 226,124
Sherwin-Williams Co. 3,096 147,401
-------------
867,886
-------------
Consumer Staples (9.8%)
Beverages (2.3%)
Diageo PLC, ADR 4,199 233,758
PepsiCo, Inc. 11,658 635,711
-------------
869,469
-------------
Food Products (1.7%)
Hershey Co. 5,355 342,024
Kraft Foods, Inc., Class A 10,380 317,109
-------------
659,133
-------------
Household Products (2.4%)
Clorox Co. 6,633 370,453
Kimberly-Clark Corp. 5,810 370,446
Procter & Gamble Co. 3,496 194,482
-------------
935,381
-------------
Personal Products (1.2%)
Gillette Co. 8,658 464,675
-------------
Tobacco (2.2%)
Altria Group, Inc. 10,329 691,630
UST, Inc. 3,615 166,362
-------------
857,992
-------------
</Table>
See Accompanying Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Energy (12.8%)
Energy Equipment & Services (1.2%)
Halliburton Co. 4,177 $ 234,121
Schlumberger Ltd. 2,725 228,191
-------------
462,312
-------------
Oil, Gas & Consumable Fuels (11.6%)
BP PLC, ADR 12,041 793,261
Chevron Corp. 5,685 329,787
ConocoPhillips 20,032 1,253,803
Exxon Mobil Corp. 27,435 1,611,806
Marathon Oil Corp. 5,064 295,535
Royal Dutch Petroleum Co., N.Y. Registered Shares 26 1,595
Royal Dutch Shell PLC, Class A, ADR (a) 3,085 189,049
-------------
4,474,836
-------------
Financials (28.0%)
Capital Markets (4.9%)
A.G. Edwards, Inc. 2,202 97,549
Bank of New York Co., Inc. 15,695 483,092
Franklin Resources, Inc. 2,719 219,750
Goldman Sachs Group, Inc. 4,355 468,075
Janus Capital Group, Inc. 11,786 177,026
Merrill Lynch & Co., Inc. 4,780 280,968
Morgan Stanley 3,480 184,614
-------------
1,911,074
-------------
Commercial Banks (7.4%)
Marshall & Ilsley Corp. 2,320 106,534
National City Corp. 5,509 203,337
North Fork Bancorporation, Inc. 3,322 90,990
PNC Financial Services Group, Inc. 3,400 186,388
U.S. Bancorp 25,646 770,919
Wachovia Corp. 14,186 714,691
Wells Fargo & Co. 12,628 774,601
-------------
2,847,460
-------------
Consumer Finance (0.8%)
MBNA Corp. 11,844 297,995
-------------
Diversified Financial Services (5.7%)
Citigroup, Inc. 33,785 1,469,647
JPMorgan Chase & Co. 21,500 755,510
-------------
2,225,157
-------------
Insurance (6.5%)
Allstate Corp. 3,714 227,520
Ambac Financial Group, Inc. 3,835 275,506
American International Group, Inc. 4,951 298,050
Chubb Corp. 2,801 248,785
Hartford Financial Services Group, Inc. 4,955 399,224
Lincoln National Corp. 10,376 501,161
</Table>
See Accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Insurance (continued)
Willis Group Holdings Ltd. 5,232 $ 173,493
XL Capital Ltd., Class A 5,491 394,364
-------------
2,518,103
-------------
Real Estate (2.2%)
Archstone-Smith Trust, REIT 6,755 287,087
AvalonBay Communities, Inc., REIT 3,251 284,658
Kimco Realty Corp., REIT 4,418 290,086
-------------
861,831
-------------
Thrifts & Mortgage Finance (0.5%)
Countrywide Financial Corp. 5,294 190,584
-------------
Health Care (5.8%)
Health Care Equipment & Supplies (0.3%)
Bausch & Lomb, Inc. 1,345 113,854
-------------
Health Care Providers & Services (1.6%)
Aetna, Inc. 5,172 400,313
CIGNA Corp. 2,252 240,401
-------------
640,714
-------------
Pharmaceuticals (3.9%)
GlaxoSmithKline PLC, ADR 3,865 183,355
Johnson & Johnson 4,634 296,391
Merck & Co., Inc. 10,127 314,545
Novartis AG, ADR 4,748 231,275
Pfizer, Inc. 17,862 473,343
-------------
1,498,909
-------------
Industrials (12.2%)
Aerospace & Defense (3.2%)
General Dynamics Corp. 4,587 528,377
United Technologies Corp. 14,196 719,737
-------------
1,248,114
-------------
Commercial Services & Supplies (1.8%)
Cendant Corp. 8,692 185,661
Republic Services, Inc. 3,469 125,751
Waste Management, Inc. 13,763 387,016
-------------
698,428
-------------
Industrial Conglomerates (5.7%)
General Electric Co. 43,655 1,506,097
Textron, Inc. 9,315 690,894
-------------
2,196,991
-------------
Machinery (1.5%)
Deere & Co. 4,047 297,576
Eaton Corp. 4,391 286,908
-------------
584,484
-------------
</Table>
See Accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Information Technology (5.6%)
Communications Equipment (0.8%)
Cisco Systems, Inc. (a) 5,459 $ 104,540
Nokia Oyj, ADR 12,624 201,353
-------------
305,893
-------------
Computers & Peripherals (1.5%)
International Business Machines Corp. 4,136 345,190
Lexmark International, Inc., Class A (a) 3,908 245,032
-------------
590,222
-------------
IT Services (1.6%)
Accenture Ltd., Class A (a) 17,569 439,928
Automatic Data Processing, Inc. 4,442 197,269
-------------
637,197
-------------
Office Electronics (0.6%)
Xerox Corp. (a) 17,753 234,517
-------------
Semiconductors & Semiconductor Equipment (0.3%)
Intel Corp. 4,153 112,712
-------------
Software (0.8%)
Microsoft Corp. 11,645 298,229
-------------
Materials (4.0%)
Chemicals (2.0%)
Air Products & Chemicals, Inc. 10,879 650,129
PPG Industries, Inc. 2,156 140,205
-------------
790,334
-------------
Paper & Forest Products (2.0%)
MeadWestvaco Corp. 15,226 444,903
Weyerhaeuser Co. 4,754 327,931
-------------
772,834
-------------
Telecommunication Services (4.4%)
Diversified Telecommunication Services (4.4%)
BellSouth Corp. 10,895 300,702
SBC Communications, Inc. 33,157 810,689
Verizon Communications, Inc. 16,870 577,460
-------------
1,688,851
-------------
Utilities (4.6%)
Electric Utilities (2.7%)
American Electric Power Co., Inc. 4,983 192,842
Entergy Corp. 3,773 294,068
Exelon Corp. 6,751 361,313
FPL Group, Inc. 4,982 214,824
-------------
1,063,047
-------------
</Table>
See Accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Independent Power Producers & Energy Traders (0.8%)
TXU Corp. 3,386 $ 293,363
-------------
Multi-Utilities (1.1%)
Dominion Resources, Inc. 2,647 195,507
PG&E Corp. 6,433 242,074
-------------
437,581
-------------
Total Common Stocks
(Cost of $32,045,097) 37,326,592
-------------
Investment Company (2.6%)
iShares Russell 1000 Value Index Fund 14,943 1,026,584
-------------
Total Investment Company
(Cost of $963,228) 1,026,584
-------------
<Caption>
PAR
-------------
Short-Term Obligation (0.9%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Bond
maturing 08/15/19, market value of $347,807
(repurchase proceeds $338,089) $ 338,000 338,000
-------------
Total Short-Term Obligation
(Cost of $338,000) 338,000
-------------
Total Investments (99.9%)
(Cost of $33,346,325) (b) 38,691,176
Other Assets & Liabilities, Net (0.1%) 40,049
-------------
Net Assets (100.0%) $ 38,731,225
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $33,449,797.
See Accompanying Notes to Financial Statements.
76
<Page>
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ -----------
Financials 28.0%
Energy 12.8
Industrials 12.2
Consumer Staples 9.8
Consumer Discretionary 9.2
Health Care 5.8
Information Technology 5.6
Utilities 4.6
Telecommunication Services 4.4
Materials 4.0
Investment Company 2.6
Short-Term Obligation 0.9
Other Assets & Liabilities, Net 0.1
-----------
100.0%
===========
</Table>
<Table>
<Caption>
ACRONYM NAME
- ------------------ ----------------------------
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
77
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.3%)
Consumer Discretionary (22.0%)
Auto Components (0.5%)
Autoliv, Inc. 2,800 $ 124,740
-------------
Diversified Consumer Services (0.8%)
Career Education Corp. (a) 2,790 108,224
Education Management Corp. (a) 2,920 101,470
-------------
209,694
-------------
Hotels, Restaurants & Leisure (6.3%)
Applebee's International, Inc. 6,790 180,003
Brinker International, Inc. (a) 2,620 107,158
Cheesecake Factory, Inc. (a) 6,320 226,003
Four Seasons Hotels, Inc. 910 60,515
Harrah's Entertainment, Inc. 1,695 133,464
Hilton Hotels Corp. 8,190 202,703
International Game Technology 5,090 139,262
Marriott International, Inc., Class A 2,170 148,580
Wendy's International, Inc. 2,020 104,434
Yum! Brands, Inc. 4,860 254,421
-------------
1,556,543
-------------
Household Durables (2.8%)
Centex Corp. 860 63,623
D.R. Horton, Inc. 2,873 118,023
Fortune Brands, Inc. 1,650 156,007
Tempur-Pedic International, Inc. (a) 20,620 354,870
-------------
692,523
-------------
Internet & Catalog Retail (0.3%)
Netflix, Inc. (a) 4,370 81,107
-------------
Leisure Equipment & Products (1.0%)
Marvel Enterprises, Inc. (a) 7,020 136,118
SCP Pool Corp. 2,850 103,854
-------------
239,972
-------------
Media (3.3%)
Getty Images, Inc. (a) 1,570 126,778
Grupo Televisa SA, ADR 2,350 155,029
Lamar Advertising Co., Class A (a) 2,040 89,780
XM Satellite Radio Holdings, Inc., Class A (a) 12,720 453,214
-------------
824,801
-------------
Specialty Retail (5.6%)
Abercrombie & Fitch Co., Class A 3,200 230,560
Chico's FAS, Inc. (a) 12,030 482,523
Children's Place Retail Stores, Inc. (a) 2,060 94,142
PETCO Animal Supplies, Inc. (a) 2,180 60,757
PETsMART, Inc. 4,960 147,560
Urban Outfitters, Inc. (a) 6,420 389,758
-------------
1,405,300
-------------
</Table>
See Accompanying Notes to Financial Statements.
78
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (1.4%)
Coach, Inc. (a) 9,870 $ 346,536
-------------
Consumer Staples (4.2%)
Food & Staples Retailing (0.9%)
Rite Aid Corp. (a) 20,190 90,653
Whole Foods Market, Inc. 1,010 137,875
-------------
228,528
-------------
Food Products (2.2%)
Bunge Ltd. 1,000 61,390
Corn Products International, Inc. 12,230 294,376
H.J. Heinz Co. 2,740 100,778
Tyson Foods, Inc., Class A 5,130 95,623
-------------
552,167
-------------
Personal Products (0.7%)
Alberto-Culver Co. 1,940 87,533
Estee Lauder Companies, Inc., Class A 1,870 73,192
-------------
160,725
-------------
Tobacco (0.4%)
UST, Inc. 2,170 99,863
-------------
Energy (10.0%)
Energy Equipment & Services (3.5%)
Diamond Offshore Drilling, Inc. 2,000 114,120
FMC Technologies, Inc. (a) 5,160 187,050
Grant Prideco, Inc. (a) 1,900 60,990
Nabors Industries Ltd. (a) 2,010 131,555
National-Oilwell Varco, Inc. (a) 3,230 169,090
Smith International, Inc. 2,870 194,988
-------------
857,793
-------------
Oil, Gas & Consumable Fuels (6.5%)
Chesapeake Energy Corp. 5,280 137,861
EOG Resources, Inc. 4,290 262,119
Massey Energy Co. 4,650 201,112
Peabody Energy Corp. 2,440 160,406
Southwestern Energy Co. (a) 3,910 215,480
Teekay Shipping Corp. 5,230 240,632
Ultra Petroleum Corp. (a) 4,470 169,502
XTO Energy, Inc. 6,884 241,560
-------------
1,628,672
-------------
Financials (6.0%)
Capital Markets (3.5%)
Affiliated Managers Group, Inc. (a) 2,690 191,797
E*TRADE Financial Corp. (a) 8,280 128,423
Lazard Ltd., Class A (a) 8,070 192,550
</Table>
See Accompanying Notes to Financial Statements.
79
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Capital Markets (continued)
Legg Mason, Inc. 1,520 $ 155,268
T. Rowe Price Group, Inc. 2,900 192,415
-------------
860,453
-------------
Commercial Banks (1.8%)
East West Bancorp, Inc. 2,960 102,120
North Fork Bancorporation, Inc. 6,440 176,392
Zions Bancorporation 2,540 181,559
-------------
460,071
-------------
Insurance (0.5%)
Ambac Financial Group, Inc. 1,735 124,642
-------------
Real Estate (0.2%)
St. Joe Co. 620 50,462
-------------
Health Care (17.0%)
Biotechnology (1.4%)
Amylin Pharmaceuticals, Inc. (a) 11,220 209,365
Neurocrine Biosciences, Inc. (a) 2,590 128,412
-------------
337,777
-------------
Health Care Equipment & Supplies (5.4%)
Beckman Coulter, Inc. 1,720 93,465
Biomet, Inc. 3,230 123,160
DENTSPLY International, Inc. 1,770 98,677
Gen-Probe, Inc. (a) 4,130 182,092
Kinetic Concepts, Inc. (a) 2,090 125,337
Nektar Therapeutics (a) 6,120 114,811
ResMed, Inc. (a) 1,930 129,310
Thermo Electron Corp. (a) 5,920 176,771
Varian Medical Systems, Inc. (a) 4,860 190,804
Waters Corp. (a) 2,600 117,728
-------------
1,352,155
-------------
Health Care Providers & Services (6.7%)
Cerner Corp. (a) 1,690 127,460
Community Health Systems, Inc. (a) 3,465 133,784
Coventry Health Care, Inc. (a) 2,440 172,581
DaVita, Inc. (a) 6,197 292,746
Health Management Associates, Inc., Class A 4,670 111,146
Henry Schein, Inc. (a) 2,450 105,767
Laboratory Corp. of America Holdings (a) 3,650 184,945
Medco Health Solutions, Inc. (a) 1,890 91,552
Quest Diagnostics, Inc. 2,050 105,247
United Surgical Partners International, Inc. (a) 2,390 86,064
WellPoint, Inc. (a) 3,600 254,664
-------------
1,665,956
-------------
</Table>
See Accompanying Notes to Financial Statements.
80
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Pharmaceuticals (3.5%)
Allergan, Inc. 2,460 $ 219,850
Endo Pharmaceuticals Holdings, Inc. (a) 4,220 120,101
Forest Laboratories, Inc. (a) 3,430 136,926
Medicis Pharmaceutical Corp., Class A 8,230 279,162
Teva Pharmaceutical Industries Ltd., ADR 3,860 121,204
-------------
877,243
-------------
Industrials (12.4%)
Aerospace & Defense (1.9%)
Armor Holdings, Inc. (a) 2,710 110,785
L-3 Communications Holdings, Inc. 2,880 225,302
Rockwell Collins, Inc. 2,660 129,808
-------------
465,895
-------------
Air Freight & Logistics (1.3%)
C.H. Robinson Worldwide, Inc. 3,110 194,593
UTI Worldwide, Inc. 1,780 127,021
-------------
321,614
-------------
Airlines (0.4%)
Southwest Airlines Co. 7,990 113,378
-------------
Commercial Services & Supplies (4.4%)
ChoicePoint, Inc. (a) 5,405 235,658
Cintas Corp. 2,220 98,412
Corporate Executive Board Co. 5,375 433,655
Robert Half International, Inc. 9,820 332,800
-------------
1,100,525
-------------
Construction & Engineering (1.2%)
Jacobs Engineering Group, Inc. (a) 4,940 290,867
-------------
Electrical Equipment (0.6%)
Rockwell Automation, Inc. 2,940 151,439
-------------
Machinery (2.1%)
Joy Global, Inc. 5,570 228,760
Terex Corp. (a) 6,010 291,004
-------------
519,764
-------------
Road & Rail (0.5%)
Landstar System, Inc. 3,730 124,284
-------------
Information Technology (19.5%)
Communications Equipment (1.7%)
Comverse Technology, Inc. (a) 10,080 254,923
F5 Networks, Inc. (a) 1,200 50,616
Harris Corp. 3,110 115,288
-------------
420,827
-------------
</Table>
See Accompanying Notes to Financial Statements.
81
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Computers & Peripherals (1.4%)
Network Appliance, Inc. (a) 4,020 $ 102,550
SanDisk Corp. (a) 7,290 246,548
-------------
349,098
-------------
Internet Software & Services (0.4%)
VeriSign, Inc. (a) 3,310 87,086
-------------
IT Services (3.8%)
Affiliated Computer Services, Inc., Class A (a) 2,390 119,428
Alliance Data Systems Corp. (a) 5,370 228,601
Cognizant Technology Solutions Corp., Class A (a) 5,230 256,688
Fiserv, Inc. (a) 2,800 124,236
Global Payments, Inc. 1,900 125,856
Paychex, Inc. 2,290 79,944
-------------
934,753
-------------
Semiconductors & Semiconductor Equipment (6.5%)
Advanced Micro Devices, Inc. (a) 3,520 70,682
Altera Corp. (a) 5,710 124,878
Broadcom Corp., Class A (a) 5,690 243,361
KLA-Tencor Corp. 2,150 111,155
Lam Research Corp. (a) 2,210 62,875
Linear Technology Corp. 4,930 191,580
Marvell Technology Group Ltd. (a) 10,360 452,628
MEMC Electronic Materials, Inc. (a) 7,660 130,143
Microchip Technology, Inc. 2,140 66,490
National Semiconductor Corp. 3,610 89,203
NVIDIA Corp. (a) 3,140 84,968
-------------
1,627,963
-------------
Software (5.7%)
Amdocs Ltd. (a) 4,550 135,090
Check Point Software Technologies Ltd. (a) 6,080 136,982
Citrix Systems, Inc. (a) 7,680 183,015
Hyperion Solutions Corp. (a) 3,190 150,121
Macromedia, Inc. (a) 1,580 63,437
McAfee, Inc. (a) 2,750 86,350
Mercury Interactive Corp. (a) 4,375 172,244
NAVTEQ Corp. (a) 6,300 277,011
Symantec Corp. (a) 9,993 219,549
-------------
1,423,799
-------------
Materials (3.9%)
Chemicals (2.0%)
Airgas, Inc. 2,670 78,765
Potash Corp. of Saskatchewan, Inc. 4,010 427,306
-------------
506,071
-------------
</Table>
See Accompanying Notes to Financial Statements.
82
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Metals & Mining (1.9%)
Freeport-McMoRan Copper & Gold, Inc., Class B 3,290 $ 132,521
Inco Ltd. 3,020 123,760
Phelps Dodge Corp. 1,970 209,706
-------------
465,987
-------------
Telecommunication Services (3.4%)
Wireless Telecommunication Services (3.4%)
American Tower Corp., Class A (a) 7,890 181,312
Crown Castle International Corp. (a) 9,500 206,720
Millicom International Cellular SA (a) 10,100 214,524
SpectraSite, Inc. (a) 2,090 170,753
VimpelCom, ADR (a) 2,030 77,912
-------------
851,221
-------------
Utilities (0.9%)
Independent Power Producers & Energy Traders (0.9%)
AES Corp. (a) 13,600 218,280
-------------
Total Common Stocks
(Cost of $20,605,084) 24,710,574
-------------
<Caption>
PAR
-------------
Short-Term Obligation (0.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 02/15/10, market value of $128,863
(repurchase proceeds $124,033) $ 124,000 124,000
-------------
Total Short-Term Obligation
(Cost of $124,000) 124,000
-------------
Total Investments (99.8%)
(Cost of $20,729,084) (b) 24,834,574
Other Assets & Liabilities, Net (0.2%) 46,134
-------------
Net Assets (100.0%) $ 24,880,708
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $20,951,508.
See Accompanying Notes to Financial Statements.
83
<Page>
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ -----------
Consumer Discretionary 22.0%
Information Technology 19.5
Health Care 17.0
Industrials 12.4
Energy 10.0
Financials 6.0
Consumer Staples 4.2
Materials 3.9
Telecommunication Services 3.4
Utilities 0.9
Short-Term Obligation 0.5
Other Assets & Liabilities, Net 0.2
-----------
100.0%
===========
</Table>
<Table>
<Caption>
ACRONYM NAME
- ------------------ ---------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
84
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (97.9%)
Consumer Discretionary (10.5%)
Auto Components (1.5%)
BorgWarner, Inc. 2,200 $ 127,974
Johnson Controls, Inc. 3,200 183,808
-------------
311,782
-------------
Hotels, Restaurants & Leisure (2.2%)
Brinker International, Inc. (a) 4,100 167,690
Harrah's Entertainment, Inc. 2,400 188,976
Outback Steakhouse, Inc. 2,500 116,450
-------------
473,116
-------------
Media (0.8%)
Dow Jones & Co., Inc. 4,400 165,132
-------------
Multiline Retail (3.2%)
Dollar General Corp. 9,000 182,880
Federated Department Stores, Inc. 1,800 136,566
J.C. Penney Co., Inc. 3,200 179,648
May Department Stores Co. 4,200 172,410
-------------
671,504
-------------
Specialty Retail (2.3%)
Office Depot, Inc. (a) 4,200 119,196
Sherwin-Williams Co. 3,600 171,396
TJX Companies, Inc. 8,900 209,239
-------------
499,831
-------------
Textiles, Apparel & Luxury Goods (0.5%)
Reebok International Ltd. 2,500 105,750
-------------
Consumer Staples (4.5%)
Beverages (1.0%)
Pepsi Bottling Group, Inc. 7,100 207,036
-------------
Food & Staples Retailing (1.8%)
Kroger Co. (a) 8,900 176,665
SUPERVALU, Inc. 5,900 208,860
-------------
385,525
-------------
Food Products (1.4%)
Dean Foods Co. (a) 6,800 242,760
Tyson Foods, Inc., Class A 3,500 65,240
-------------
308,000
-------------
Tobacco (0.3%)
UST, Inc. 1,400 64,428
-------------
</Table>
See Accompanying Notes to Financial Statements.
85
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Energy (9.7%)
Energy Equipment & Services (4.4%)
BJ Services Co. 2,350 $ 143,327
National-Oilwell Varco, Inc. (a) 3,100 162,285
Noble Corp. 2,850 191,463
Technip SA, ADR 3,100 166,315
Transocean, Inc. (a) 3,200 180,576
Weatherford International Ltd. (a) 1,550 98,084
-------------
942,050
-------------
Oil, Gas & Consumable Fuels (5.3%)
Amerada Hess Corp. 2,100 247,506
EOG Resources, Inc. 1,900 116,090
Marathon Oil Corp. 615 35,870
Murphy Oil Corp. 1,300 68,952
Peabody Energy Corp. 3,100 203,794
Williams Companies, Inc. 9,200 195,408
XTO Energy, Inc. 7,266 254,964
-------------
1,122,584
-------------
Financials (23.7%)
Capital Markets (1.8%)
Bear Stearns Companies, Inc. 1,800 183,798
Janus Capital Group, Inc. 13,600 204,272
-------------
388,070
-------------
Commercial Banks (6.5%)
City National Corp. 2,950 215,556
Cullen/Frost Bankers, Inc. 4,650 232,965
Marshall & Ilsley Corp. 5,600 257,152
Mercantile Bankshares Corp. 3,200 178,048
North Fork Bancorporation, Inc. 7,750 212,273
UnionBanCal Corp. 2,600 185,484
Zions Bancorporation 1,400 100,072
-------------
1,381,550
-------------
Diversified Financial Services (0.9%)
CIT Group, Inc. 4,200 185,388
-------------
Insurance (6.4%)
Ace Ltd. 3,200 147,872
Ambac Financial Group, Inc. 3,250 233,480
Endurance Specialty Holdings Ltd. 5,000 195,000
Genworth Financial, Inc., Class A 3,500 109,760
Hartford Financial Services Group, Inc. 1,300 104,741
Lincoln National Corp. 3,600 173,880
Loews Corp. 2,700 225,801
Old Republic International Corp. 6,800 178,568
-------------
1,369,102
-------------
</Table>
See Accompanying Notes to Financial Statements.
86
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Real Estate (4.5%)
Archstone-Smith Trust, REIT 3,200 $ 136,000
Boston Properties, Inc., REIT 1,600 121,840
Equity Office Properties Trust, REIT 5,100 180,795
Host Marriott Corp., REIT 14,400 268,560
ProLogis, REIT 5,300 241,468
-------------
948,663
-------------
Thrifts & Mortgage Finance (3.6%)
Golden West Financial Corp. 4,500 293,040
PMI Group, Inc. 5,800 237,510
Sovereign Bancorp, Inc. 10,100 242,299
-------------
772,849
-------------
Health Care (3.9%)
Health Care Equipment & Supplies (1.2%)
Millipore Corp. (a) 2,300 140,921
Varian, Inc. (a) 2,800 104,916
-------------
245,837
-------------
Health Care Providers & Services (1.7%)
CIGNA Corp. 1,500 160,125
Community Health Systems, Inc. (a) 3,800 146,718
Universal Health Services, Inc., Class B 900 46,836
-------------
353,679
-------------
Pharmaceuticals (1.0%)
IVAX Corp. (a) 4,500 114,660
Shire Pharmaceuticals Group PLC, ADR 3,100 108,500
-------------
223,160
-------------
Industrials (13.4%)
Aerospace & Defense (1.9%)
Goodrich Corp. 5,000 221,200
Northrop Grumman Corp. 3,200 177,440
-------------
398,640
-------------
Building Products (0.6%)
American Standard Companies, Inc. 2,900 128,412
-------------
Commercial Services & Supplies (1.7%)
Avery Dennison Corp. 2,700 153,009
Manpower, Inc. 2,400 114,720
Pitney Bowes, Inc. 2,400 106,992
-------------
374,721
-------------
Construction & Engineering (1.3%)
Fluor Corp. 1,900 121,220
Jacobs Engineering Group, Inc. (a) 2,600 153,088
-------------
274,308
-------------
Electrical Equipment (1.3%)
AMETEK, Inc. 4,600 189,520
Hubbell, Inc., Class B 2,000 90,800
-------------
280,320
-------------
</Table>
See Accompanying Notes to Financial Statements.
87
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Machinery (4.5%)
AGCO Corp. (a) 5,800 $ 120,002
Dover Corp. 3,850 158,851
Eaton Corp. 2,600 169,884
Ingersoll-Rand Co., Ltd., Class A 2,700 211,059
Kennametal, Inc. 2,700 128,331
Parker Hannifin Corp. 2,550 167,586
-------------
955,713
-------------
Road & Rail (1.6%)
Burlington Northern Santa Fe Corp. 1,800 97,650
Norfolk Southern Corp. 6,600 245,586
-------------
343,236
-------------
Trading Companies & Distributors (0.5%)
United Rentals, Inc. (a) 5,300 98,580
-------------
Information Technology (7.6%)
Communications Equipment (0.6%)
Andrew Corp. (a) 12,600 138,474
-------------
Computers & Peripherals (0.3%)
ATI Technologies, Inc. (a) 5,300 66,727
-------------
Electronic Equipment & Instruments (5.1%)
Agilent Technologies, Inc. (a) 4,600 120,704
Amphenol Corp., Class A 1,700 75,718
Arrow Electronics, Inc. (a) 7,300 219,146
AVX Corp. 8,400 114,744
Flextronics International Ltd. (a) 8,300 112,382
Ingram Micro, Inc., Class A (a) 7,600 141,664
Mettler-Toledo International, Inc. (a) 3,400 178,500
Tektronix, Inc. 4,700 117,782
-------------
1,080,640
-------------
IT Services (0.4%)
Affiliated Computer Services, Inc., Class A (a) 1,500 74,955
-------------
Semiconductors & Semiconductor Equipment (0.4%)
MEMC Electronic Materials, Inc. (a) 5,000 84,950
-------------
Software (0.8%)
Activision, Inc. (a) 3,100 63,054
Cadence Design Systems, Inc. (a) 3,900 62,751
Electronic Arts, Inc. (a) 900 51,840
-------------
177,645
-------------
</Table>
See Accompanying Notes to Financial Statements.
88
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Materials (11.9%)
Chemicals (7.1%)
Agrium, Inc. 7,600 $ 173,812
Air Products & Chemicals, Inc. 3,000 179,280
Ashland, Inc. 2,400 147,480
Celanese Corp., Series A 5,800 109,156
Eastman Chemical Co. 1,800 99,702
Engelhard Corp. 3,500 100,415
Lubrizol Corp. 4,500 198,000
Nalco Holding Co. (a) 7,800 167,310
PPG Industries, Inc. 2,250 146,317
Rohm and Haas Co. 4,100 188,846
-------------
1,510,318
-------------
Construction Materials (1.1%)
Martin Marietta Materials, Inc. 3,000 218,070
-------------
Containers & Packaging (1.2%)
Bemis Co. 6,100 164,700
Crown Holdings, Inc. (a) 5,400 85,266
-------------
249,966
-------------
Metals & Mining (1.2%)
Freeport-McMoRan Copper & Gold, Inc., Class B 2,300 92,644
Nucor Corp. 3,000 166,350
-------------
258,994
-------------
Paper & Forest Products (1.3%)
Georgia-Pacific Corp. 6,700 228,805
MeadWestvaco Corp. 1,800 52,596
-------------
281,401
-------------
Telecommunication Services (1.5%)
Wireless Telecommunication Services (1.5%)
Telephone & Data Systems, Inc. 4,000 159,400
Telephone & Data Systems, Inc., Special Shares 4,000 152,800
-------------
312,200
-------------
Utilities (11.2%)
Electric Utilities (6.1%)
Edison International 7,200 294,336
Entergy Corp. 3,650 284,481
Exelon Corp. 6,000 321,120
FPL Group, Inc. 2,700 116,424
PPL Corp. 2,650 163,187
Reliant Energy, Inc. (a) 8,800 116,688
-------------
1,296,236
-------------
Gas Utilities (0.5%)
AGL Resources, Inc. 3,000 115,350
-------------
</Table>
See Accompanying Notes to Financial Statements.
89
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Independent Power Producers & Energy Traders (1.7%)
AES Corp. (a) 7,100 $ 113,955
Constellation Energy Group, Inc. 4,200 252,882
-------------
366,837
-------------
Multi-Utilities (2.9%)
Energy East Corp. 7,100 197,877
PG&E Corp. 7,800 293,514
Sempra Energy 2,700 114,750
-------------
606,141
-------------
Total Common Stocks
(Cost of $16,853,452) 20,817,870
-------------
<Caption>
PAR
-------------
Convertible Bond (0.4%)
Communications (0.4%)
Telecommunications (0.4%)
Lucent Technologies, Inc.,
2.750% 06/15/25 $ 81,164 91,343
-------------
Total Convertible Bond
(Cost of $92,737) 91,343
-------------
<Caption>
SHARES
-------------
Convertible Preferred Stock (0.1%)
Materials (0.1%)
Chemicals (0.1%)
Celanese Corp., 4.250% 800 22,280
-------------
Total Convertible Preferred Stock
(Cost of $20,000) 22,280
-------------
Total Investments (98.4%)
(Cost of $16,966,189) (b) 20,931,493
Other Assets & Liabilities, Net (1.6%) 345,802
-------------
Net Assets (100.0%) $ 21,277,295
=============
</Table>
See Accompanying Notes to Financial Statements.
90
<Page>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $16,973,941.
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Financials 23.7%
Industrials 13.4
Materials 12.0
Utilities 11.2
Consumer Discretionary 10.5
Energy 9.7
Information Technology 8.0
Consumer Staples 4.5
Health Care 3.9
Telecommunication Services 1.5
Other Assets & Liabilities, Net 1.6
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
- ------------------ ----------------------------
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
91
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (96.1%)
Consumer Discretionary (16.2%)
Hotels, Restaurants & Leisure (3.7%)
Benihana, Inc., Class A (a) 3,133 $ 62,221
Gaylord Entertainment Co. (a) 9,600 460,224
Pinnacle Entertainment, Inc. (a) 20,500 442,800
Scientific Games Corp., Class A (a) 16,600 454,508
-------------
1,419,753
-------------
Leisure Equipment & Products (1.0%)
Marvel Enterprises, Inc. (a) 19,500 378,105
-------------
Media (4.8%)
Citadel Broadcasting Co. (a) 18,000 221,040
Cumulus Media, Inc., Class A (a) 21,800 275,116
Harris Interactive, Inc. (a) 49,400 199,082
Lin TV Corp., Class A (a) 15,800 224,676
Lions Gate Entertainment Corp. (a) 41,700 427,425
Radio One, Inc., Class D (a) 19,800 261,558
TiVo, Inc. (a) 37,600 235,000
-------------
1,843,897
-------------
Multiline Retail (0.8%)
Fred's, Inc. 16,400 316,520
-------------
Specialty Retail (4.5%)
Bombay Co., Inc. (a) 41,000 205,000
Cost Plus, Inc. (a) 10,500 236,565
Design Within Reach, Inc. (a) 14,800 276,020
Golf Galaxy, Inc. (a) 1,100 20,471
Jarden Corp. (a) 12,625 484,295
Pacific Sunwear of California, Inc. (a) 13,600 331,704
Party City Corp. (a) 13,200 192,192
-------------
1,746,247
-------------
Textiles, Apparel & Luxury Goods (1.4%)
Ashworth, Inc. (a) 36,400 302,484
Jos. A. Bank Clothiers, Inc. (a) 4,100 187,370
Maidenform Brands, Inc. (a) 3,800 69,350
-------------
559,204
-------------
Energy (7.4%)
Energy Equipment & Services (2.1%)
Dawson Geophysical Co. (a) 9,300 239,289
Maverick Tube Corp. (a) 7,400 245,458
Unit Corp. (a) 6,800 323,000
-------------
807,747
-------------
Oil, Gas & Consumable Fuels (5.3%)
Bois d'Arc Energy, Inc. (a) 16,895 257,818
Edge Petroleum Corp. (a) 13,400 235,036
Energy Partners Ltd. (a) 8,900 235,494
</Table>
See Accompanying Notes to Financial Statements.
92
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Oil, Gas & Consumable Fuels (continued)
InterOil Corp. (a) 9,100 $ 223,860
Petrohawk Energy Corp. (a) 25,111 276,221
Pioneer Drilling Co. (a) 17,200 259,376
Spinnaker Exploration Co. (a) 5,800 227,592
Western Gas Resources, Inc. 8,400 336,336
-------------
2,051,733
-------------
Financials (8.0%)
Capital Markets (1.0%)
Jefferies Group, Inc. 9,100 376,103
-------------
Commercial Banks (2.3%)
Boston Private Financial Holdings, Inc. 9,800 280,770
East West Bancorp, Inc. 8,000 276,000
Prosperity Bancshares, Inc. 11,400 351,120
-------------
907,890
-------------
Diversified Financial Services (2.1%)
ACE Cash Express, Inc. (a) 8,200 192,946
Greenhill & Co., Inc. 9,700 372,092
National Financial Partners Corp. 5,400 244,350
-------------
809,388
-------------
Insurance (1.7%)
Infinity Property & Casualty Corp. 10,900 386,296
Philadelphia Consolidated Holding Co. (a) 3,100 257,362
-------------
643,658
-------------
Real Estate (0.9%)
HouseValues, Inc. (a) 20,100 355,971
-------------
Health Care (19.5%)
Biotechnology (4.2%)
Cytogen Corp. (a) 20,700 101,430
Enzo Biochem, Inc. (a) 13,600 228,208
Isolagen, Inc. (a) 21,800 121,862
NeoPharm, Inc. (a) 18,221 213,003
Neurocrine Biosciences, Inc. (a) 6,600 327,228
Protein Design Labs, Inc. (a) 16,600 378,314
QLT, Inc. (a) 22,000 187,660
Telik, Inc. (a) 3,808 64,736
-------------
1,622,441
-------------
Health Care Equipment & Supplies (5.9%)
Conceptus, Inc. (a) 19,300 154,207
I-Flow Corp. (a) 13,500 201,150
Immucor, Inc. (a) 7,100 195,037
Integra LifeSciences Holdings Corp. (a) 9,900 300,960
Medical Action Industries, Inc. (a) 19,200 363,072
Nektar Therapeutics (a) 16,500 309,540
Palomar Medical Technologies, Inc. (a) 5,300 155,873
</Table>
See Accompanying Notes to Financial Statements.
93
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care Equipment & Supplies (continued)
SonoSite, Inc. (a) 11,600 $ 388,600
Syneron Medical Ltd. (a) 5,100 196,605
-------------
2,265,044
-------------
Health Care Providers & Services (4.1%)
Advisory Board Co. (a) 9,500 495,710
America Service Group, Inc. (a) 8,916 192,407
Hythiam, Inc. (a) 52,300 307,524
LHC Group, Inc. (a) 7,408 130,233
LifePoint Hospitals, Inc. (a) 6,800 317,968
U.S. Physical Therapy, Inc. (a) 8,300 151,558
-------------
1,595,400
-------------
Pharmaceuticals (5.3%)
Adams Respiratory Therapeutics, Inc. (a) 7,215 212,843
BioSante Pharmaceuticals, Inc. (a) 16,300 66,015
Caraco Pharmaceutical Laboratories Ltd. (a) 6,900 57,960
Cardiome Pharma Corp. (a) 28,000 197,400
DepoMed, Inc. (a) 43,500 225,765
DOV Pharmaceutical, Inc. (a) 16,700 353,205
Neurochem, Inc. (a) 17,600 196,064
Noven Pharmaceuticals, Inc. (a) 14,500 245,195
Salix Pharmaceuticals Ltd. (a) 18,050 348,365
Taro Pharmaceuticals Industries Ltd. (a) 6,800 159,732
-------------
2,062,544
-------------
Industrials (9.3%)
Aerospace & Defense (0.6%)
DRS Technologies, Inc. 4,500 234,000
-------------
Air Freight & Logistics (1.5%)
EGL, Inc. (a) 12,300 247,599
UTI Worldwide, Inc. 4,800 342,528
-------------
590,127
-------------
Commercial Services & Supplies (3.6%)
Educate, Inc. (a) 21,800 336,919
Intersections, Inc. (a) 11,800 147,500
Laureate Education, Inc. (a) 6,800 308,040
MDC Partners, Inc., Class A (a) 21,800 189,224
Navigant Consulting, Inc. (a) 10,700 214,000
NCO Group, Inc. (a) 9,900 201,762
-------------
1,397,445
-------------
Electrical Equipment (0.8%)
Plug Power, Inc. (a) 43,000 307,450
-------------
Machinery (0.7%)
Wabash National Corp. 12,300 264,573
-------------
</Table>
See Accompanying Notes to Financial Statements.
94
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Road & Rail (1.6%)
Genesee & Wyoming, Inc., Class A (a) 10,082 $ 305,182
Heartland Express, Inc. 14,350 298,624
-------------
603,806
-------------
Trading Companies & Distributors (0.5%)
Aceto Corp. 25,800 206,400
-------------
Information Technology (32.3%)
Communications Equipment (4.2%)
Audiovox Corp., Class A (a) 12,600 226,989
Finisar Corp. (a) 61,600 67,144
Foundry Networks, Inc. (a) 36,800 435,712
Inter-Tel, Inc. 12,821 319,243
NICE Systems Ltd., ADR (a) 9,900 416,493
NMS Communications Corp. (a) 51,600 173,892
-------------
1,639,473
-------------
Computers & Peripherals (1.3%)
Applied Films Corp. (a) 10,900 286,343
SimpleTech, Inc. (a) 48,000 203,520
-------------
489,863
-------------
Electronic Equipment & Instruments (3.3%)
Anixter International, Inc. (a) 7,000 290,920
Global Imaging Systems, Inc. (a) 13,459 466,489
Itron, Inc. (a) 7,100 343,995
Photon Dynamics, Inc. (a) 9,500 179,882
-------------
1,281,286
-------------
Internet Software & Services (3.8%)
Corillian Corp. (a) 87,600 288,204
Digital River, Inc. (a) 8,800 351,780
Digitas, Inc. (a) 36,800 415,104
Equinix, Inc. (a) 7,000 310,590
TeleCommunication Systems, Inc., Class A (a) 29,800 87,612
-------------
1,453,290
-------------
IT Services (1.8%)
MAXIMUS, Inc. 8,100 309,258
MTC Technologies, Inc. (a) 12,000 375,599
-------------
684,857
-------------
Semiconductors & Semiconductor Equipment (9.7%)
Brooks Automation, Inc. (a) 23,000 381,800
Cypress Semiconductor Corp. (a) 24,100 346,076
DSP Group, Inc. (a) 7,500 187,125
Entegris, Inc. (a) 37,200 437,844
FEI Co. (a) 13,500 306,315
Integrated Circuit Systems, Inc. (a) 10,200 223,176
IXYS Corp. (a) 28,600 334,906
Leadis Technology, Inc. (a) 17,200 108,790
Mykrolis Corp. (a) 17,600 286,880
</Table>
See Accompanying Notes to Financial Statements.
95
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (continued)
Silicon Image, Inc. (a) 17,100 $ 202,122
Silicon Storage Technology, Inc. (a) 33,600 158,592
Ultratech, Inc. (a) 19,800 431,838
Zoran Corp. (a) 22,600 325,440
-------------
3,730,904
-------------
Software (8.2%)
Captiva Software Corp. (a) 23,200 374,912
Epicor Software Corp. (a) 21,000 311,430
FileNET Corp. (a) 8,100 228,987
Magma Design Automation, Inc. (a) 27,500 264,000
Manhattan Associates, Inc. (a) 13,700 283,590
Micromuse, Inc. (a) 55,100 311,315
OpenTV Corp., Class A (a) 76,100 252,652
Phoenix Technologies Ltd. (a) 33,176 225,597
Quest Software, Inc. (a) 15,700 223,725
ScanSoft, Inc. (a) 40,500 166,455
SeaChange International, Inc. (a) 13,897 105,339
Verint Systems, Inc. (a) 7,300 284,554
Verity, Inc. (a) 14,900 150,043
-------------
3,182,599
-------------
Materials (3.4%)
Chemicals (2.2%)
Landec Corp. (a) 32,400 197,316
UAP Holding Corp. 22,900 444,260
Zoltek Companies, Inc. (a) 16,600 178,948
-------------
820,524
-------------
Metals & Mining (1.2%)
AMCOL International Corp. 13,000 258,050
Steel Technologies, Inc. 10,000 214,300
-------------
472,350
-------------
Total Common Stocks
(Cost of $32,017,737) 37,120,592
-------------
</Table>
See Accompanying Notes to Financial Statements.
96
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligation (3.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Bond
maturing 11/15/21, market value of $1,391,807
(repurchase proceeds $1,361,360) $ 1,361,000 $ 1,361,000
-------------
Total Short-Term Obligation
(Cost of $1,361,000) 1,361,000
-------------
Total Investments (99.6%)
(Cost of $33,378,737) (b) 38,481,592
Other Assets & Liabilities, Net (0.4%) 163,240
-------------
Net Assets (100.0%) $ 38,644,832
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $33,393,378.
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ -----------
Information Technology 32.3%
Health Care 19.5
Consumer Discretionary 16.2
Industrials 9.3
Financials 8.0
Energy 7.4
Materials 3.4
Short-Term Obligation 3.5
Other Assets & Liabilities, Net 0.4
-----------
100.0%
===========
</Table>
<Table>
<Caption>
ACRONYM NAME
- ------------------ ---------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
97
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.8%)
Consumer Discretionary (13.3%)
Auto Components (0.9%)
BorgWarner, Inc. 3,800 $ 221,046
Modine Manufacturing Co. 2,900 104,603
-------------
325,649
-------------
Distributors (0.8%)
Building Material Holding Corp. 3,800 315,780
-------------
Hotels, Restaurants & Leisure (3.3%)
Bob Evans Farms, Inc. 3,561 90,307
Dave & Buster's, Inc. (a) 7,700 145,376
Landry's Restaurants, Inc. 6,300 196,245
Lone Star Steakhouse & Saloon, Inc. 8,500 255,510
Marcus Corp. 8,000 171,840
Scientific Games Corp., Class A (a) 11,500 314,870
Vail Resorts, Inc. (a) 2,500 71,025
-------------
1,245,173
-------------
Household Durables (1.7%)
American Greetings Corp., Class A 13,900 353,616
CSS Industries, Inc. 4,000 150,960
Kimball International, Inc., Class B 8,500 114,580
-------------
619,156
-------------
Media (2.2%)
4Kids Entertainment, Inc. (a) 7,500 150,750
Journal Communications, Inc., Class A 6,960 111,360
Liberty Corp. 3,600 139,140
Media General, Inc., Class A 2,200 150,700
Reader's Digest Association, Inc. 5,300 86,072
Scholastic Corp. (a) 4,600 170,062
-------------
808,084
-------------
Specialty Retail (2.6%)
GameStop Corp., Class A (a) 9,200 316,020
Monro Muffler, Inc. (a) 8,320 240,448
Movie Gallery, Inc. 5,800 145,464
Pier 1 Imports, Inc. 6,200 88,164
TBC Corp. (a) 2,400 68,088
Zale Corp. (a) 3,000 102,000
-------------
960,184
-------------
Textiles, Apparel & Luxury Goods (1.8%)
Delta Apparel, Inc. 4,800 66,240
Hampshire Group Ltd. (a) 8,900 200,695
Kellwood Co. 2,850 69,284
Russell Corp. 6,200 117,304
Stride Rite Corp. 7,800 109,200
Wolverine World Wide, Inc. 4,600 101,200
-------------
663,923
-------------
</Table>
See Accompanying Notes to Financial Statements.
98
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Consumer Staples (3.7%)
Food & Staples Retailing (1.4%)
BJ's Wholesale Club, Inc. (a) 3,400 $ 108,426
Performance Food Group Co. (a) 3,200 96,096
Weis Markets, Inc. 7,670 312,936
-------------
517,458
-------------
Food Products (2.3%)
Central Garden & Pet Co. (a) 1,800 90,306
Corn Products International, Inc. 7,112 171,186
Flowers Foods, Inc. 9,739 245,325
J&J Snack Foods Corp. 2,095 123,270
Lancaster Colony Corp. 2,240 99,075
Lance, Inc. 6,200 112,096
-------------
841,258
-------------
Energy (7.0%)
Energy Equipment & Services (1.9%)
Lufkin Industries, Inc. 10,200 492,660
Superior Well Services, Inc. (a) 1,800 32,976
Universal Compression Holdings, Inc. (a) 4,500 182,475
-------------
708,111
-------------
Oil, Gas & Consumable Fuels (5.1%)
Bill Barrett Corp. (a) 1,513 48,401
Bois d'Arc Energy, Inc. (a) 5,298 80,847
Cimarex Energy Co. (a) 6,918 290,141
Energy Partners Ltd. (a) 7,500 198,450
Harvest Natural Resources, Inc. (a) 11,100 101,343
Houston Exploration Co. (a) 2,310 133,495
InterOil Corp. (a) 3,200 78,720
Peabody Energy Corp. 3,290 216,285
Range Resources Corp. 7,800 238,212
Stone Energy Corp. (a) 4,400 234,124
Western Gas Resources, Inc. 6,400 256,256
-------------
1,876,274
-------------
Financials (27.3%)
Capital Markets (0.4%)
Piper Jaffray Companies, Inc. (a) 3,640 125,253
-------------
Commercial Banks (11.8%)
BancFirst Corp. 990 84,437
BancorpSouth, Inc. 7,700 179,256
BancTrust Financial Group, Inc. 4,000 84,320
Bank of Granite Corp. 5,700 119,415
Bryn Mawr Bank Corp. 6,676 141,731
Capitol Bancorp Ltd. 6,000 212,760
Chemical Financial Corp. 5,875 196,225
Chittenden Corp. 8,050 235,785
</Table>
See Accompanying Notes to Financial Statements.
99
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Commercial Banks (continued)
Citizens Banking Corp. 3,390 $ 107,327
City Holding Co. 2,150 82,453
Columbia Banking System, Inc. 4,500 124,560
Community Trust Bancorp, Inc. 3,836 128,544
Corus Bankshares, Inc. 5,300 332,522
First Citizens BancShares, Inc., Class A 900 151,200
First Financial Bankshares, Inc. 3,766 135,124
First Financial Corp. 4,100 127,100
Greater Bay Bancorp 5,790 151,872
Hancock Holding Co. 3,373 126,724
ITLA Capital Corp. (a) 2,800 162,372
Merchants Bancshares, Inc. 4,600 126,914
Mid-State Bancshares 8,100 250,128
Northrim BanCorp, Inc. 4,200 101,514
Sterling Bancshares, Inc. 13,600 213,656
TriCo Bancshares 9,182 222,939
TrustCo Bank Corp. 10,390 138,499
UMB Financial Corp. 3,700 237,725
Whitney Holding Corp. 6,100 202,032
-------------
4,377,134
-------------
Consumer Finance (0.6%)
Cash America International, Inc. 10,500 218,610
-------------
Diversified Financial Services (1.8%)
Advance America Cash Advance Centers, Inc. 10,000 157,300
Metris Companies, Inc. (a) 17,200 255,420
MFC Bancorp Ltd. (a) 13,900 258,401
-------------
671,121
-------------
Insurance (6.3%)
AmerUs Group Co. 3,100 159,898
Argonaut Group, Inc. (a) 5,156 123,899
Baldwin & Lyons, Inc., Class B 4,800 130,800
CNA Surety Corp. (a) 10,420 151,090
Commerce Group, Inc. 1,600 99,760
Delphi Financial Group, Inc., Class A 5,100 247,401
Harleysville Group, Inc. 6,900 152,145
Horace Mann Educators Corp. 6,800 135,864
Navigators Group, Inc. (a) 6,244 230,279
Phoenix Companies, Inc. 14,400 181,440
ProCentury Corp. 10,500 105,105
Quanta Capital Holdings Ltd. (a) 14,830 98,619
RLI Corp. 3,722 177,167
UICI 6,120 188,802
United America Indemnity Ltd., Class A (a) 7,900 144,807
-------------
2,327,076
-------------
</Table>
See Accompanying Notes to Financial Statements.
100
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Real Estate (6.4%)
Alexandria Real Estate Equities, Inc., REIT 2,130 $ 171,359
BioMed Realty Trust, Inc., REIT 4,750 120,793
Brandywine Realty Trust, REIT 5,530 179,172
Cousins Properties, Inc., REIT 4,590 149,634
EastGroup Properties, Inc., REIT 5,200 225,680
Equity One, Inc., REIT 6,800 161,840
Getty Realty Corp., REIT 5,500 165,165
Mid-America Apartment Communities, Inc., REIT 5,800 279,270
Nationwide Health Properties, Inc., REIT 9,000 225,720
PS Business Parks, Inc., REIT 6,000 278,580
Tanger Factory Outlet Centers, Inc., REIT 6,300 181,440
Universal Health Realty Income Trust, REIT 3,000 105,660
Urstadt Biddle Properties, Inc., Class A, REIT 6,600 123,420
-------------
2,367,733
-------------
Health Care (9.2%)
Health Care Equipment & Supplies (3.2%)
Bio-Rad Laboratories, Inc., Class A (a) 2,700 162,081
Greatbatch, Inc. (a) 6,100 147,681
Haemonetics Corp. (a) 3,900 164,697
Invacare Corp. 3,850 162,278
STERIS Corp. 7,850 213,284
Sybron Dental Specialties, Inc. (a) 4,450 163,538
Varian, Inc. (a) 2,310 86,556
Viasys Healthcare, Inc. (a) 3,700 91,908
-------------
1,192,023
-------------
Health Care Providers & Services (5.7%)
Cross Country Healthcare, Inc. (a) 6,500 128,310
Genesis HealthCare Corp. (a) 5,100 229,347
Gentiva Health Services, Inc. (a) 9,000 173,610
Hooper Holmes, Inc. 17,100 71,820
Kindred Healthcare, Inc. (a) 9,200 338,008
OCA, Inc. (a) 13,400 22,244
Owens & Minor, Inc. 4,600 136,344
PAREXEL International Corp. (a) 8,400 166,908
Pediatrix Medical Group, Inc. (a) 4,200 329,364
RehabCare Group, Inc. (a) 4,000 93,200
Res-Care, Inc. (a) 8,016 118,877
Symbion, Inc. (a) 5,900 142,839
United Surgical Partners International, Inc. (a) 4,550 163,845
-------------
2,114,716
-------------
Pharmaceuticals (0.3%)
Perrigo Co. 6,606 91,823
-------------
</Table>
See Accompanying Notes to Financial Statements.
101
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Industrials (15.2%)
Aerospace & Defense (2.6%)
AAR Corp. (a) 9,635 $ 173,141
Esterline Technologies Corp. (a) 6,600 282,084
Kaman Corp., Class A 4,050 78,975
Moog, Inc., Class A (a) 2,240 70,717
Precision Castparts Corp. 3,900 350,922
-------------
955,839
-------------
Air Freight & Logistics (0.3%)
Ryder System, Inc. 3,100 120,869
-------------
Airlines (0.5%)
MAIR Holdings, Inc. (a) 4,997 45,173
Skywest, Inc. 7,200 149,400
-------------
194,573
-------------
Building Products (0.5%)
NCI Building Systems, Inc. (a) 5,200 200,824
-------------
Commercial Services & Supplies (4.3%)
ABM Industries, Inc. 7,100 139,160
Angelica Corp. 3,700 93,462
Casella Waste Systems, Inc., Class A (a) 15,000 202,650
CBIZ, Inc. (a) 9,042 41,141
Consolidated Graphics, Inc. (a) 6,700 285,420
Healthcare Services Group, Inc. 12,875 235,870
Imagistics International, Inc. (a) 7,400 222,888
NCO Group, Inc. (a) 4,600 93,748
Sourcecorp, Inc. (a) 4,600 101,154
TeleTech Holdings, Inc. (a) 11,100 90,465
United Stationers, Inc. (a) 1,570 81,405
-------------
1,587,363
-------------
Construction & Engineering (1.4%)
Dycom Industries, Inc. (a) 6,700 163,480
EMCOR Group, Inc. (a) 2,200 113,300
Washington Group International, Inc. (a) 4,300 231,942
-------------
508,722
-------------
Electrical Equipment (1.3%)
Genlyte Group, Inc. (a) 5,100 262,038
Woodward Governor Co. 2,500 224,275
-------------
486,313
-------------
Machinery (2.1%)
Briggs & Stratton Corp. 4,800 179,376
EnPro Industries, Inc. (a) 7,200 218,880
Harsco Corp. 5,100 307,275
Kadant, Inc. (a) 3,163 72,274
-------------
777,805
-------------
</Table>
See Accompanying Notes to Financial Statements.
102
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Road & Rail (0.6%)
Dollar Thrifty Automotive Group, Inc. (a) 2,200 $ 68,860
Werner Enterprises, Inc. 7,600 144,172
-------------
213,032
-------------
Trading Companies & Distributors (1.6%)
Hughes Supply, Inc. 7,110 202,066
Watsco, Inc. 7,900 374,144
-------------
576,210
-------------
Information Technology (12.1%)
Communications Equipment (1.1%)
Anaren, Inc. (a) 9,100 131,495
Belden CDT, Inc. 4,350 96,570
Black Box Corp. 2,800 122,640
Tollgrade Communications, Inc. (a) 7,300 72,343
-------------
423,048
-------------
Computers & Peripherals (1.0%)
Electronics for Imaging, Inc. (a) 4,990 105,139
Imation Corp. 3,600 156,060
Intergraph Corp. (a) 2,656 101,008
-------------
362,207
-------------
Electronic Equipment & Instruments (2.8%)
Agilysys, Inc. 5,600 108,304
Anixter International, Inc. (a) 2,800 116,368
Benchmark Electronics, Inc. (a) 4,950 158,400
Brightpoint, Inc. (a) 10,500 254,625
MTS Systems Corp. 5,100 202,215
Vishay Intertechnology, Inc. (a) 15,200 213,104
-------------
1,053,016
-------------
Internet Software & Services (0.5%)
Digitas, Inc. (a) 5,720 64,522
Keynote Systems, Inc. (a) 8,800 116,248
-------------
180,770
-------------
IT Services (1.5%)
Acxiom Corp. 6,700 135,072
MAXIMUS, Inc. 3,110 118,740
MPS Group, Inc. (a) 25,000 296,500
-------------
550,312
-------------
Semiconductors & Semiconductor Equipment (1.9%)
ATMI, Inc. (a) 3,100 98,673
Exar Corp. (a) 8,600 136,955
Fairchild Semiconductor International, Inc. (a) 5,630 94,922
MEMC Electronic Materials, Inc. (a) 10,800 183,492
Standard Microsystems Corp. (a) 7,700 196,042
-------------
710,084
-------------
</Table>
See Accompanying Notes to Financial Statements.
103
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Software (3.3%)
Captaris, Inc. (a) 17,700 $ 64,959
Internet Security Systems, Inc. (a) 6,500 148,005
Lawson Software, Inc. (a) 8,700 47,937
MSC.Software Corp. (a) 11,300 164,415
Phoenix Technologies Ltd. (a) 7,490 50,932
PLATO Learning, Inc. (a) 13,100 106,765
SeaChange International, Inc. (a) 3,500 26,530
Sybase, Inc. (a) 7,200 153,216
Take-Two Interactive Software, Inc. (a) 4,650 114,436
THQ, Inc. (a) 3,100 108,438
Transaction Systems Architects, Inc. (a) 8,400 224,700
-------------
1,210,333
-------------
Materials (7.3%)
Chemicals (2.5%)
Cytec Industries, Inc. 4,000 181,520
H.B. Fuller Co. 6,000 207,180
Minerals Technologies, Inc. 3,000 186,720
Schulman (A.), Inc. 8,000 151,040
Sensient Technologies Corp. 5,200 98,852
Stepan Co. 4,300 114,165
-------------
939,477
-------------
Construction Materials (0.9%)
Eagle Materials, Inc. 3,300 338,910
-------------
Containers & Packaging (1.3%)
AptarGroup, Inc. 3,000 149,550
Greif, Inc., Class A 5,000 315,000
-------------
464,550
-------------
Metals & Mining (1.9%)
Alpha Natural Resources, Inc. (a) 5,730 160,440
AMCOL International Corp. 4,700 93,295
Carpenter Technology Corp. 1,800 112,752
Metal Management, Inc. 5,000 117,950
RTI International Metals, Inc. (a) 4,500 154,890
Worthington Industries, Inc. 4,620 81,682
-------------
721,009
-------------
Paper & Forest Products (0.7%)
Glatfelter 10,800 137,700
Mercer International, Inc. (a) 15,400 113,960
-------------
251,660
-------------
Telecommunication Services (0.8%)
Diversified Telecommunication Services (0.5%)
North Pittsburgh Systems, Inc. 5,400 113,184
TALK America Holdings, Inc. (a) 5,354 46,794
-------------
159,978
-------------
</Table>
See Accompanying Notes to Financial Statements.
104
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Wireless Telecommunication Services (0.3%)
Price Communications Corp. (a) 6,930 $ 122,176
-------------
Utilities (3.9%)
Electric Utilities (3.2%)
ALLETE, Inc. 3,100 149,792
Central Vermont Public Service Corp. 7,500 139,500
CH Energy Group, Inc. 5,100 250,665
El Paso Electric Co. (a) 8,500 183,940
Maine & Maritimes Corp. 1,700 41,395
MGE Energy, Inc. 3,000 111,090
Otter Tail Corp. 4,300 124,270
Puget Energy, Inc. 7,400 173,012
-------------
1,173,664
-------------
Gas Utilities (0.7%)
Cascade Natural Gas Corp. 3,200 69,856
Northwest Natural Gas Co. 2,500 96,475
WGL Holdings, Inc. 2,600 89,570
-------------
255,901
-------------
Total Investments (99.8%)
(Cost of $25,832,071) (b) 36,905,184
Other Assets & Liabilities, Net (0.2%) 84,093
-------------
Net Assets (100.0%) $ 36,989,277
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $25,931,888.
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Financials 27.3%
Industrials 15.2
Consumer Discretionary 13.3
Information Technology 12.1
Health Care 9.2
Materials 7.3
Energy 7.0
Utilities 3.9
Consumer Staples 3.7
Telecommunication Services 0.8
Other Assets & Liabilities, Net 0.2
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
- -------------- -------------------------------------
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
105
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.2%)
Consumer Discretionary (17.4%)
Auto Components (0.5%)
Autoliv, Inc. 4,170 $ 185,773
-------------
Diversified Consumer Services (0.9%)
Career Education Corp. (a) 4,200 162,918
Education Management Corp. (a) 5,590 194,252
-------------
357,170
-------------
Hotels, Restaurants & Leisure (4.4%)
Applebee's International, Inc. 10,760 285,247
Brinker International, Inc. (a) 5,600 229,040
Harrah's Entertainment, Inc. 2,530 199,212
Hilton Hotels Corp. 10,640 263,340
P.F. Chang's China Bistro, Inc. (a) 5,870 334,531
RARE Hospitality International, Inc. (a) 7,910 246,476
Scientific Games Corp., Class A (a) 5,020 137,448
-------------
1,695,294
-------------
Household Durables (1.7%)
Tempur-Pedic International, Inc. (a) 37,980 653,636
-------------
Internet & Catalog Retail (0.5%)
Netflix, Inc. (a) 6,290 116,742
Provide Commerce, Inc. (a) 2,990 70,714
-------------
187,456
-------------
Leisure Equipment & Products (0.9%)
Marvel Enterprises, Inc. (a) 6,940 134,567
SCP Pool Corp. 6,280 228,843
-------------
363,410
-------------
Media (2.7%)
Getty Images, Inc. (a) 2,570 207,528
Grupo Televisa SA, ADR 4,330 285,650
XM Satellite Radio Holdings, Inc., Class A (a) 15,600 555,828
-------------
1,049,006
-------------
Specialty Retail (5.8%)
Abercrombie & Fitch Co., Class A 4,250 306,212
Aeropostale, Inc. (a) 5,670 169,250
Chico's FAS, Inc. (a) 5,230 209,775
Children's Place Retail Stores, Inc. (a) 4,660 212,962
Maidenform Brands, Inc. (a) 4,000 73,000
PETCO Animal Supplies, Inc. (a) 4,810 134,055
PETsMART, Inc. 7,770 231,158
Ross Stores, Inc. 5,370 142,305
Urban Outfitters, Inc. (a) 12,803 777,270
-------------
2,255,987
-------------
</Table>
See Accompanying Notes to Financial Statements.
106
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Consumer Staples (3.3%)
Food & Staples Retailing (0.3%)
Rite Aid Corp. (a) 24,810 $ 111,397
-------------
Food Products (1.6%)
Corn Products International, Inc. 19,200 462,144
Tyson Foods, Inc., Class A 7,800 145,392
-------------
607,536
-------------
Household Products (0.4%)
Central Garden & Pet Co. (a) 3,110 156,029
-------------
Personal Products (0.5%)
Elizabeth Arden, Inc. (a) 9,110 219,460
-------------
Tobacco (0.5%)
UST, Inc. 4,050 186,381
-------------
Energy (8.6%)
Energy Equipment & Services (3.2%)
Atwood Oceanics, Inc. (a) 1,710 116,571
FMC Technologies, Inc. (a) 5,880 213,150
Grant Prideco, Inc. (a) 3,000 96,300
Nabors Industries Ltd. (a) 4,500 294,525
National-Oilwell Varco, Inc. (a) 5,840 305,724
Tetra Technologies, Inc. (a) 5,570 222,076
-------------
1,248,346
-------------
Oil, Gas & Consumable Fuels (5.4%)
Arch Coal, Inc. 5,500 313,060
Cheniere Energy, Inc. (a) 7,870 267,501
EOG Resources, Inc. 3,200 195,520
KFx, Inc. (a) 7,650 132,116
Massey Energy Co. 4,610 199,382
Peabody Energy Corp. 5,480 360,255
Southwestern Energy Co. (a) 4,500 247,995
Teekay Shipping Corp. 7,910 363,939
-------------
2,079,768
-------------
Financials (6.2%)
Capital Markets (3.0%)
Affiliated Managers Group, Inc. (a) 9,200 655,960
E*TRADE Financial Corp. (a) 12,410 192,479
Lazard Ltd., Class A (a) 12,290 293,239
-------------
1,141,678
-------------
Commercial Banks (0.7%)
Signature Bank (a) 8,960 269,069
-------------
</Table>
See Accompanying Notes to Financial Statements.
107
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Consumer Finance (0.3%)
First Cash Financial Services, Inc. (a) 5,560 $ 132,606
-------------
Insurance (2.2%)
Allmerica Financial Corp. (a) 7,370 287,430
Ambac Financial Group, Inc. 2,660 191,094
ProAssurance Corp. (a) 8,690 373,323
-------------
851,847
-------------
Health Care (19.2%)
Biotechnology (3.3%)
Alexion Pharmaceuticals, Inc. (a) 6,870 178,895
Amylin Pharmaceuticals, Inc. (a) 24,880 464,261
Digene Corp. (a) 11,010 320,281
Neurocrine Biosciences, Inc. (a) 3,830 189,891
Rigel Pharmaceuticals, Inc. (a) 6,140 132,900
-------------
1,286,228
-------------
Health Care Equipment & Supplies (5.2%)
Gen-Probe, Inc. (a) 7,030 309,953
Haemonetics Corp. (a) 5,530 233,532
Kinetic Concepts, Inc. (a) 3,890 233,283
Nektar Therapeutics (a) 11,210 210,300
Possis Medical, Inc. (a) 12,800 149,760
ResMed, Inc. (a) 5,610 375,870
Thermo Electron Corp. (a) 8,300 247,838
Varian Medical Systems, Inc. 6,000 235,560
-------------
1,996,096
-------------
Health Care Providers & Services (7.0%)
AMERIGROUP Corp. (a) 1,730 59,945
AmSurg Corp. (a) 7,000 196,070
Centene Corp. (a) 2,160 63,288
Cerner Corp. (a) 2,530 190,813
Community Health Systems, Inc. (a) 4,090 157,915
DaVita, Inc. (a) 9,247 436,828
HealthExtras, Inc. (a) 31,160 619,772
IDX Systems Corp. (a) 8,830 282,560
Laboratory Corp. of America Holdings (a) 4,420 223,961
LHC Group, Inc. (a) 13,100 230,298
Matria Healthcare, Inc. (a) 3,200 113,088
United Surgical Partners International, Inc. (a) 3,705 133,417
-------------
2,707,955
-------------
Pharmaceuticals (3.7%)
Endo Pharmaceuticals Holdings, Inc. (a) 4,740 134,900
First Horizon Pharmaceutical Corp. (a) 6,940 147,683
Medicis Pharmaceutical Corp., Class A 13,420 455,207
NitroMed, Inc. (a) 6,510 151,292
Salix Pharmaceuticals Ltd. (a) 28,190 544,067
-------------
1,433,149
-------------
</Table>
See Accompanying Notes to Financial Statements.
108
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Industrials (14.2%)
Aerospace & Defense (2.6%)
Armor Holdings, Inc. (a) 4,650 $ 190,092
BE Aerospace, Inc. (a) 18,100 317,293
Engineered Support Systems, Inc. 7,850 290,293
Rockwell Collins, Inc. 3,990 194,712
-------------
992,390
-------------
Air Freight & Logistics (1.2%)
C.H. Robinson Worldwide, Inc. 2,140 133,900
UTI Worldwide, Inc. 4,950 353,232
-------------
487,132
-------------
Commercial Services & Supplies (3.2%)
ChoicePoint, Inc. (a) 5,266 229,598
Huron Consulting Group, Inc. (a) 16,960 471,488
Resources Connection, Inc. (a) 9,880 296,400
Robert Half International, Inc. 7,200 244,008
-------------
1,241,494
-------------
Construction & Engineering (0.5%)
Jacobs Engineering Group, Inc. (a) 3,320 195,482
-------------
Electrical Equipment (0.8%)
Rockwell Automation, Inc. 2,860 147,319
Roper Industries, Inc. 2,070 158,872
-------------
306,191
-------------
Industrial Conglomerates (0.4%)
Raven Industries, Inc. 6,000 158,520
-------------
Machinery (5.0%)
Donaldson Co., Inc. 11,950 389,331
ESCO Technologies, Inc. (a) 720 78,926
IDEX Corp. 4,560 199,181
Joy Global, Inc. 11,090 455,466
Terex Corp. (a) 11,150 539,883
Wabtec Corp. 11,160 272,639
-------------
1,935,426
-------------
Road & Rail (0.5%)
Landstar System, Inc. 5,610 186,925
-------------
Information Technology (23.0%)
Communications Equipment (5.3%)
Comverse Technology, Inc. (a) 11,920 301,457
F5 Networks, Inc. (a) 9,370 395,226
Ixia (a) 15,440 304,786
Packeteer, Inc. (a) 28,960 350,705
SiRF Technology Holdings, Inc. (a) 32,440 708,814
-------------
2,060,988
-------------
</Table>
See Accompanying Notes to Financial Statements.
109
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Computers & Peripherals (0.6%)
Komag, Inc. (a) 7,000 $ 248,360
-------------
Electronic Equipment & Instruments (0.7%)
Amphenol Corp., Class A 4,250 189,295
Itron, Inc. (a) 1,970 95,446
-------------
284,741
-------------
Internet Software & Services (1.1%)
Digital River, Inc. (a) 6,500 259,838
Equinix, Inc. (a) 3,420 151,745
-------------
411,583
-------------
IT Services (5.3%)
Affiliated Computer Services, Inc., Class A (a) 2,920 145,913
Alliance Data Systems Corp. (a) 8,030 341,837
Anteon International Corp. (a) 6,600 309,870
CACI International, Inc., Class A (a) 3,670 241,449
Cognizant Technology Solutions Corp., Class A (a) 6,620 324,910
DST Systems, Inc. (a) 2,340 118,778
Euronet Worldwide, Inc. (a) 13,270 390,337
Global Payments, Inc. 2,620 173,549
-------------
2,046,643
-------------
Semiconductors & Semiconductor Equipment (3.6%)
Broadcom Corp., Class A (a) 4,330 185,194
ChipMOS Technologies (Bermuda) Ltd. (a) 14,210 98,902
Hittite Microwave Corp. (a) 15,500 300,390
Marvell Technology Group Ltd. (a) 7,590 331,607
MEMC Electronic Materials, Inc. (a) 9,630 163,614
Microchip Technology, Inc. 3,710 115,270
PortalPlayer, Inc. (a) 5,910 141,840
Volterra Semiconductor Corp. (a) 4,240 49,226
-------------
1,386,043
-------------
Software (6.4%)
Amdocs Ltd. (a) 6,850 203,377
Autodesk, Inc. 3,530 120,691
Check Point Software Technologies Ltd. (a) 8,130 183,169
Epicor Software Corp. (a) 22,700 336,641
Hyperion Solutions Corp. (a) 2,520 118,591
Macromedia, Inc. (a) 5,480 220,022
Mercury Interactive Corp. (a) 5,250 206,692
Micromuse, Inc. (a) 30,000 169,500
NAVTEQ Corp. (a) 9,990 439,260
Parametric Technology Corp. (a) 46,870 323,403
Serena Software, Inc. (a) 7,810 160,269
-------------
2,481,615
-------------
</Table>
See Accompanying Notes to Financial Statements.
110
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Materials (4.2%)
Chemicals (3.0%)
Airgas, Inc. 5,460 $ 161,070
OM Group, Inc. (a) 15,490 362,930
Potash Corp. of Saskatchewan, Inc. 6,130 653,213
-------------
1,177,213
-------------
Metals & Mining (1.2%)
Century Aluminum Co. (a) 4,830 118,190
Freeport-McMoRan Copper & Gold, Inc., Class B 3,890 156,689
Inco Ltd. 4,480 183,591
-------------
458,470
-------------
Telecommunication Services (3.1%)
Wireless Telecommunication Services (3.1%)
Crown Castle International Corp. (a) 7,060 153,626
Dobson Communications Corp., Class A (a) 18,210 128,380
Millicom International Cellular SA (a) 15,000 318,600
NII Holdings, Inc. (a) 1,700 126,548
SBA Communications Corp., Class A (a) 9,900 164,241
SpectraSite, Inc. (a) 1,930 157,681
VimpelCom, ADR (a) 3,850 147,763
-------------
1,196,839
-------------
Total Common Stocks
(Cost of $32,203,525) 38,431,332
-------------
<Caption>
PAR
-------------
Short-Term Obligation (0.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 02/15/10, market value of $14,869
(repurchase proceeds $10,003) $ 10,000 10,000
-------------
Total Short-Term Obligation
(Cost of $10,000) 10,000
-------------
Total Investments (99.2%)
(Cost of $32,213,525) (b) 38,441,332
Other Assets & Liabilities, Net (0.8%) 313,547
-------------
Net Assets (100.0%) $ 38,754,879
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $32,387,362.
See Accompanying Notes to Financial Statements.
111
<Page>
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Information Technology 23.0%
Health Care 19.2
Consumer Discretionary 17.4
Industrials 14.2
Energy 8.6
Financials 6.2
Materials 4.2
Consumer Staples 3.3
Telecommunication Services 3.1
Short-Term Obligation 0.0
Other Assets & Liabilities, Net 0.8
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
- ---------------- ------------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
112
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (96.6%)
Consumer Discretionary (11.9%)
Auto Components (1.3%)
Compagnie Generale des Etablissements Michelin, Class B 7,800 $ 480,051
Continental AG 7,200 557,874
Denso Corp. 27,900 674,262
-------------
1,712,187
-------------
Automobiles (2.2%)
Nissan Motor Co., Ltd. 33,800 351,353
Renault SA 7,970 729,100
Toyota Motor Corp. 50,400 1,912,030
-------------
2,992,483
-------------
Hotels, Restaurants & Leisure (1.0%)
Accor SA 11,200 569,381
Carnival Corp. 9,600 503,040
Compass Group PLC 61,800 267,101
-------------
1,339,522
-------------
Household Durables (2.7%)
Daiwa House Industry Co., Ltd. 42,000 472,143
Koninklijke (Royal) Phillips Electronics NV 39,300 1,064,533
Matsushita Electric Industrial Co., Ltd. 49,000 796,156
Pioneer Corp. 13,100 191,648
Sekisui Chemical Co., Ltd. 60,000 387,187
Sharp Corp. 31,000 469,212
Sony Corp. 7,500 245,220
-------------
3,626,099
-------------
Leisure Equipment & Products (0.9%)
Fuji Photo Film Co., Ltd. 28,000 873,098
Sega Sammy Holdings, Inc. 6,200 383,554
-------------
1,256,652
-------------
Media (2.6%)
British Sky Broadcasting Group PLC 70,000 656,615
JC Decaux SA (a) 18,000 420,150
News Corp., Class B 20,800 360,672
Pearson PLC 124,220 1,483,755
Reed Elsevier PLC 27,800 256,644
Vivendi Universal SA 10,900 345,976
-------------
3,523,812
-------------
Specialty Retail (0.4%)
Kingfisher PLC 44,400 200,531
Yamada Denki Co., Ltd. 6,500 367,359
-------------
567,890
-------------
Textiles, Apparel & Luxury Goods (0.8%)
Burberry Group PLC 75,986 563,991
Swatch Group AG, Registered Shares 19,900 586,661
-------------
1,150,652
-------------
</Table>
See Accompanying Notes to Financial Statements.
113
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Consumer Staples (9.6%)
Beverages (1.5%)
Diageo PLC 93,626 $ 1,291,406
SABMiller PLC 18,089 315,148
Scottish & Newcastle PLC 55,211 443,932
-------------
2,050,486
-------------
Food & Staples Retailing (0.9%)
FamilyMart Co., Ltd. 6,800 198,092
Lawson, Inc. 5,400 193,815
Tesco PLC 143,626 820,732
-------------
1,212,639
-------------
Food Products (3.9%)
Cadbury Schweppes PLC 33,900 326,051
Nestle SA, Registered Shares 11,304 3,098,212
Royal Numico NV (a) 17,234 726,356
Unilever PLC 113,520 1,096,699
-------------
5,247,318
-------------
Household Products (1.4%)
Kao Corp. 38,000 869,323
Reckitt Benckiser PLC 34,768 1,043,279
-------------
1,912,602
-------------
Tobacco (1.9%)
British American Tobacco PLC 42,453 847,624
Imperial Tobacco Group PLC 49,596 1,273,515
Japan Tobacco, Inc. 37 527,064
-------------
2,648,203
-------------
Energy (9.3%)
Energy Equipment & Services (1.0%)
Saipem S.p.A. 50,400 748,225
Stolt Offshore SA (a) 56,200 647,146
-------------
1,395,371
-------------
Oil, Gas & Consumable Fuels (8.3%)
BG Group PLC 120,001 991,239
BP PLC, ADR 44,380 2,923,754
CNOOC Ltd. 1,087,000 754,811
EnCana Corp. 30,600 1,262,214
ENI S.p.A. 53,530 1,519,027
OMV AG 14,000 652,185
Royal Dutch Shell PLC, Class B 23,762 754,832
Total SA 9,730 2,433,716
-------------
11,291,778
-------------
Financials (23.7%)
Capital Markets (2.2%)
Credit Suisse Group, Registered Shares 22,100 923,254
Deutsche Bank AG, Registered Shares 8,629 746,545
Nomura Holdings, Inc. 38,500 456,358
UBS AG, Registered Shares 10,100 828,498
-------------
2,954,655
-------------
</Table>
See Accompanying Notes to Financial Statements.
114
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Commercial Banks (14.5%)
ABN AMRO Holding NV 16,976 $ 423,892
Anglo Irish Bank Corp., PLC 63,520 855,412
Australia & New Zealand Banking Group Ltd. 56,700 919,506
Banco Bilbao Vizcaya Argentaria SA 54,900 924,045
Banco de Sabadell SA 30,915 788,478
Banco Popolare di Verona e Novara 31,300 559,784
Banco Popular Espanol SA 77,800 928,612
Bank of Ireland 46,073 763,695
Barclays PLC 109,790 1,072,891
BNP Paribas SA 13,037 940,800
DNB NOR ASA 99,000 1,032,894
HBOS PLC 38,300 582,290
HSBC Holdings PLC 131,600 2,134,198
KBC Groep NV 4,335 345,107
Mitsubishi Tokyo Financial Group, Inc. 96 806,610
Mitsui Trust Holdings, Inc. 20,000 201,389
Mizuho Financial Group, Inc. 201 902,074
National Bank of Greece SA 16,687 610,881
Resona Holdings, Inc. (a)(b) 142,000 249,101
Royal Bank of Scotland Group PLC 64,460 1,916,729
Skandinaviska Enskilda Banken AB, Class A 33,800 599,981
Sumitomo Mitsui Financial Group, Inc. 138 910,265
UFJ Holdings, Inc. (a) 51 261,894
United Overseas Bank Ltd. 113,000 1,025,348
-------------
19,755,876
-------------
Consumer Finance (0.9%)
Aiful Corp. 6,250 451,125
ORIX Corp. 2,800 414,257
Takefuji Corp. 5,200 337,018
-------------
1,202,400
-------------
Diversified Financial Services (1.3%)
Fortis 15,553 454,307
ING Groep NV 30,150 911,306
Suncorp-Metway Ltd. 25,500 394,690
-------------
1,760,303
-------------
Insurance (3.0%)
Aegon NV 22,173 317,048
Allianz AG, Registered Shares 5,032 637,758
AXA 22,100 602,194
Irish Life & Permanent PLC 24,311 439,410
Mitsui Sumitomo Insurance Co., Ltd. 82,000 725,096
Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares 3,600 419,405
QBE Insurance Group Ltd. 31,400 401,571
Sampo Oyj, Class A 31,000 474,633
-------------
4,017,115
-------------
Real Estate (1.8%)
CapitaLand Ltd. 127,000 215,885
Sun Hung Kai Properties Ltd. 65,000 669,884
</Table>
See Accompanying Notes to Financial Statements.
115
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Real Estate (continued)
Swire Pacific Ltd., Class A 126,500 $ 1,206,023
Wharf Holdings Ltd. 114,000 425,279
-------------
2,517,071
-------------
Health Care (10.7%)
Health Care Equipment & Supplies (1.4%)
GN Store Nord A/S 41,000 455,817
Smith & Nephew PLC 116,454 1,105,260
Terumo Corp. 12,500 350,470
-------------
1,911,547
-------------
Pharmaceuticals (9.3%)
Astellas Pharma, Inc. 9,700 315,355
AstraZeneca PLC 51,148 2,315,737
Eisai Co., Ltd. 12,400 421,015
GlaxoSmithKline PLC 120,454 2,836,341
Novartis AG, Registered Shares 25,357 1,231,902
Roche Holding AG, Genusschein 6,961 945,180
Sanofi-Aventis 19,762 1,707,752
Schering AG 4,500 282,774
Shire Pharmaceuticals Group PLC 52,700 610,843
Takeda Pharmaceutical Co., Ltd. 22,600 1,156,791
Teva Pharmaceutical Industries Ltd., ADR 28,700 901,180
-------------
12,724,870
-------------
Industrials (10.7%)
Aerospace & Defense (0.4%)
Singapore Technologies Engineering Ltd. 307,000 485,218
-------------
Air Freight & Logistics (0.3%)
Deutsche Post AG, Registered Shares 16,700 413,958
-------------
Building Products (0.7%)
Nippon Sheet Glass Co., Ltd. 111,000 458,472
Wienerberger AG 12,266 569,187
-------------
1,027,659
-------------
Commercial Services & Supplies (0.4%)
Randstad Holding NV 6,600 268,687
Securitas AB, Class B 20,600 348,185
-------------
616,872
-------------
Construction & Engineering (1.7%)
Shimizu Corp. 128,000 610,594
Vinci SA 20,556 1,665,841
-------------
2,276,435
-------------
Electrical Equipment (0.9%)
ABB Ltd. (a) 79,100 537,152
Mitsubishi Electric Corp. 141,000 740,095
-------------
1,277,247
-------------
</Table>
See Accompanying Notes to Financial Statements.
116
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Industrial Conglomerates (2.4%)
Hutchison Whampoa Ltd. 97,000 $ 944,609
Keppel Corp., Ltd. 47,000 354,609
SembCorp Industries Ltd. 250,040 412,826
Siemens AG, Registered Shares 6,845 527,705
Smiths Group PLC 58,425 982,590
-------------
3,222,339
-------------
Machinery (1.2%)
Atlas Copco AB, Class B 39,300 603,772
Komatsu Ltd. 110,000 1,038,623
-------------
1,642,395
-------------
Marine (0.2%)
Kawasaki Kisen Kaisha Ltd. 44,000 270,172
-------------
Road & Rail (1.6%)
Canadian National Railway Co. 5,245 347,866
Canadian Pacific Railway Ltd. 16,900 656,083
ComfortDelGro Corp., Ltd. 594,000 559,405
East Japan Railway Co. 121 592,646
-------------
2,156,000
-------------
Trading Companies & Distributors (0.6%)
Mitsubishi Corp. 54,300 776,179
-------------
Transportation Infrastructure (0.3%)
BAA PLC 34,040 360,683
-------------
Information Technology (7.0%)
Communications Equipment (1.6%)
Nokia Oyj 64,050 1,022,198
Tandberg ASA 27,100 307,116
Telefonaktiebolaget LM Ericsson, ADR 23,900 821,204
-------------
2,150,518
-------------
Computers & Peripherals (0.5%)
Toshiba Corp. 164,000 637,852
-------------
Electronic Equipment & Instruments (0.7%)
HOYA Corp. 4,200 518,180
TDK Corp. 6,200 426,336
-------------
944,516
-------------
Internet Software & Services (0.2%)
NIWS Co., Ltd. 250 318,200
-------------
Office Electronics (0.4%)
Canon, Inc. 11,500 566,153
-------------
</Table>
See Accompanying Notes to Financial Statements.
117
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (1.7%)
Advantest Corp. 4,400 $ 350,451
ARM Holdings PLC 178,200 371,932
Marvell Technology Group Ltd. (a) 10,500 458,745
Samsung Electronics Co., Ltd. 1,520 835,561
Taiwan Semiconductor Manufacturing Co., Ltd., ADR 41,265 354,465
-------------
2,371,154
-------------
Software (1.9%)
Cognos, Inc. (a) 17,600 688,512
Sage Group PLC 224,300 910,963
SAP AG 5,761 991,093
-------------
2,590,568
-------------
Materials (3.2%)
Chemicals (3.2%)
BASF AG 6,102 432,699
Bayer AG 13,200 471,195
Novozymes A/S, Class B 8,650 441,248
Shin-Etsu Chemical Co., Ltd. 15,400 583,944
Solvay SA, Class A 3,600 388,680
Sumitomo Chemical Co., Ltd. 146,000 741,518
Syngenta AG (a) 8,230 857,397
Teijin Ltd. 103,000 470,387
-------------
4,387,068
-------------
Telecommunication Services (6.0%)
Diversified Telecommunication Services (2.7%)
Deutsche Telekom AG, Registered Shares 63,009 1,250,006
France Telecom SA 27,920 860,280
Koninklijke (Royal) KPN NV 33,594 292,090
Nippon Telegraph & Telephone Corp. 101 444,062
Portugal Telecom, SGPS, SA, Registered Shares 27,400 261,642
Singapore Telecommunications Ltd. 296,000 492,605
-------------
3,600,685
-------------
Wireless Telecommunication Services (3.3%)
China Mobile (Hong Kong) Ltd. 195,000 785,512
NTT DoCoMo, Inc. 267 413,479
O2 PLC (a) 138,900 339,582
Vodafone Group PLC 1,161,350 2,986,587
-------------
4,525,160
-------------
Utilities (4.5%)
Electric Utilities (2.1%)
E.ON AG 10,198 944,746
Fortum Oyj 39,800 727,471
Scottish & Southern Energy PLC 19,500 335,016
Tokyo Electric Power Co., Inc. 38,400 919,054
-------------
2,926,287
-------------
</Table>
See Accompanying Notes to Financial Statements.
118
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Gas Utilities (0.5%)
Tokyo Gas Co., Ltd. 176,000 $ 640,872
-------------
Multi-Utilities (1.9%)
National Grid PLC 80,800 742,811
RWE AG 10,000 668,236
Veolia Environnement 31,500 1,219,976
-------------
2,631,023
-------------
Total Common Stocks
(Cost of $114,712,230) 131,586,744
-------------
Investment Companies (0.8%)
iShares MSCI Malaysia Index Fund 48,500 360,840
iShares MSCI Taiwan Index Fund 59,400 727,650
-------------
Total Investment Companies
(Cost of $1,056,486) 1,088,490
-------------
Preferred Stock (0.6%)
Consumer Discretionary (0.6%)
Automobiles (0.6%)
Porsche AG 1,054 834,073
-------------
Total Preferred Stock
(Cost of $672,317) 834,073
-------------
<Caption>
PAR
-------------
Short-Term Obligation (1.8%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 02/15/10, market value of $2,448,388
(repurchase proceeds $2,400,634) $ 2,400,000 2,400,000
-------------
Total Short-Term Obligation
(Cost of $2,400,000) 2,400,000
-------------
Total Investments (99.8%)
(Cost of $118,841,033) (c) 135,909,307
Other Assets & Liabilities, Net (0.2%) 234,921
-------------
Net Assets (100.0%) $ 136,144,228
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Represents fair value as determined in good faith under procedures approved
by the Board of Trustees.
(c) Cost for federal income tax purposes is $118,955,011.
See Accompanying Notes to Financial Statements.
119
<Page>
The Fund invested in the following countries at July 31, 2005:
<Table>
<Caption>
SUMMARY OF SECURITIES % OF TOTAL
BY COUNTRY (UNAUDITED) VALUE INVESTMENTS
-------------------------- ------------- -------------
United Kingdom $ 35,161,302 25.8%
Japan 28,387,600 20.9
France 11,975,217 8.8
Germany 9,178,069 6.7
Switzerland 9,008,257 6.6
Hong Kong 4,786,118 3.5
United States** 4,307,907 3.2
Netherlands 4,003,911 2.9
Singapore 3,545,895 2.6
Canada 2,954,675 2.2
Italy 2,827,036 2.1
Spain 2,641,135 1.9
Sweden 2,373,142 1.7
Finland 2,224,302 1.6
Ireland 2,058,517 1.5
Australia 1,715,767 1.3
Norway 1,340,010 1.0
Austria 1,221,372 0.9
Belgium 1,188,095 0.9
Israel 901,180 0.7
Denmark 897,065 0.7
South Korea 835,561 0.6
Luxembourg 647,146 0.5
Greece 610,881 0.5
Panama 503,040 0.4
Taiwan 354,465 0.3
Portugal 261,642 0.2
------------- -------------
$ 135,909,307 100.0%
============= =============
</Table>
** Includes short-term obligation.
Certain securities are listed by country of underlying exposure but may trade
predominantly on other exchanges.
<Table>
<Caption>
ACRONYM NAME
---------------- ---------------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
120
<Page>
This page is intentionally left blank.
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
July 31, 2005
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) LARGE CAP LARGE CAP
INDEX FUND GROWTH FUND VALUE FUND
-------------- -------------- --------------
ASSETS:
Investments, at identified cost $ 79,457,915 $ 36,258,489 $ 33,346,325
-------------- -------------- --------------
Investments, at value $ 91,557,544 $ 40,011,639 $ 38,691,176
Cash 633 258 192
Foreign currency (cost of $83 and $41,792, respectively) - - -
Receivable for:
Investments sold - 820,841 -
Interest 123 430 89
Dividends 104,590 19,403 71,472
Foreign tax reclaims - 1,243 -
Expense reimbursement due from Investment Advisor 8,799 8,337 8,468
Reimbursements due from Investment Advisor - - 1,054
Deferred Trustees' compensation plan 1,715 1,464 1,500
Other assets 1,761 911 732
-------------- -------------- --------------
Total assets 91,675,165 40,864,526 38,774,683
-------------- -------------- --------------
LIABILITIES:
Payable to custodian bank - - -
Payable for:
Investments purchased - 508,724 -
Fund shares repurchased - - -
Investment advisory fee 18,585 16,809 16,160
Trustees' fees - - -
Audit fee 21,388 25,798 25,798
Trustee legal counsel fees 410 210 -
Deferred Trustees' fees 1,715 1,464 1,500
-------------- -------------- --------------
Total liabilities 42,098 553,005 43,458
-------------- -------------- --------------
NET ASSETS $ 91,633,067 $ 40,311,521 $ 38,731,225
============== ============== ==============
NET ASSETS consist of:
Paid-in-capital $ 76,296,892 $ 35,236,737 $ 30,163,829
Undistributed net investment income 821,661 140,220 482,730
Accumulated net investment loss - - -
Accumulated net realized gain 2,414,885 1,181,414 2,739,815
Net unrealized appreciation (depreciation) on:
Investments 12,099,629 3,753,150 5,344,851
Foreign currency translations - - -
-------------- -------------- --------------
NET ASSETS $ 91,633,067 $ 40,311,521 $ 38,731,225
============== ============== ==============
Shares of capital stock outstanding 6,790,910 3,458,931 3,088,670
============== ============== ==============
Net asset value, offering and redemption price per share $ 13.49 $ 11.65 $ 12.54
============== ============== ==============
</Table>
See Accompanying Notes to Financial Statements.
122
<Page>
<Table>
<Caption>
CMG CMG CMG
MID CAP MID CAP SMALL CAP
GROWTH FUND VALUE FUND GROWTH FUND
-------------- -------------- --------------
ASSETS:
Investments, at identified cost $ 20,729,084 $ 16,966,189 $ 33,378,737
-------------- -------------- --------------
Investments, at value $ 24,834,574 $ 20,931,493 $ 38,481,592
Cash 546 - -
Foreign currency (cost of $83 and $41,792, respectively) - - -
Receivable for:
Investments sold 157,847 589,590 449,198
Interest 33 285 360
Dividends 4,600 11,940 1,106
Foreign tax reclaims - 138 -
Expense reimbursement due from Investment Advisor 7,286 9,690 8,419
Reimbursements due from Investment Advisor - - -
Deferred Trustees' compensation plan 1,407 1,390 1,481
Other assets 781 793 903
-------------- -------------- --------------
Total assets 25,007,074 21,545,319 38,943,059
-------------- -------------- --------------
LIABILITIES:
Payable to custodian bank - 13,940 38,036
Payable for:
Investments purchased 85,546 213,464 208,420
Fund shares repurchased - - -
Investment advisory fee 13,505 13,292 24,282
Trustees' fees - - -
Audit fee 25,798 25,798 25,798
Trustee legal counsel fees 110 140 210
Deferred Trustees' fees 1,407 1,390 1,481
-------------- -------------- --------------
Total liabilities 126,366 268,024 298,227
-------------- -------------- --------------
NET ASSETS $ 24,880,708 $ 21,277,295 $ 38,644,832
============== ============== ==============
NET ASSETS consist of:
Paid-in-capital $ 20,753,608 $ 15,277,539 $ 31,856,852
Undistributed net investment income - 86,708 -
Accumulated net investment loss (1,732) - (1,969)
Accumulated net realized gain 23,342 1,947,732 1,687,094
Net unrealized appreciation (depreciation) on:
Investments 4,105,490 3,965,304 5,102,855
Foreign currency translations - 12 -
NET ASSETS $ 24,880,708 $ 21,277,295 $ 38,644,832
============== ============== ==============
Shares of capital stock outstanding 1,757,997 1,402,163 2,850,072
============== ============== ==============
Net asset value, offering and redemption price per share $ 14.15 $ 15.17 $ 13.56
============== ============== ==============
<Caption>
CMG CMG CMG
SMALL CAP SMALL/MID INTERNATIONAL
VALUE FUND CAP FUND STOCK FUND
-------------- -------------- --------------
ASSETS:
Investments, at identified cost $ 25,832,071 $ 32,213,525 $ 118,841,033
-------------- -------------- --------------
Investments, at value $ 36,905,184 $ 38,441,332 $ 135,909,307
Cash 7,911 191,945 808
Foreign currency (cost of $83 and $41,792, respectively) - 84 41,880
Receivable for:
Investments sold 204,418 1,161,228 454,050
Interest - 3 634
Dividends 23,918 1,987 131,878
Foreign tax reclaims - - 58,066
Expense reimbursement due from Investment Advisor 14,491 1,238 6,084
Reimbursements due from Investment Advisor - - -
Deferred Trustees' compensation plan 1,530 1,716 2,439
Other assets 1,727 168 944
-------------- -------------- --------------
Total assets 37,159,179 39,799,701 136,606,090
-------------- -------------- --------------
LIABILITIES:
Payable to custodian bank - - -
Payable for:
Investments purchased 115,154 992,408 344,108
Fund shares repurchased - - 4,154
Investment advisory fee 24,128 24,091 84,348
Trustees' fees - 248 -
Audit fee 29,036 25,030 25,319
Trustee legal counsel fees 54 1,329 1,494
Deferred Trustees' fees 1,530 1,716 2,439
-------------- -------------- --------------
Total liabilities 169,902 1,044,822 461,862
-------------- -------------- --------------
NET ASSETS $ 36,989,277 $ 38,754,879 $ 136,144,228
============== ============== ==============
NET ASSETS consist of:
Paid-in-capital $ 22,968,248 $ 32,231,547 $ 109,105,431
Undistributed net investment income 169,604 - 1,525,484
Accumulated net investment loss - (2,107) -
Accumulated net realized gain 2,778,312 297,632 8,451,522
Net unrealized appreciation (depreciation) on:
Investments 11,073,113 6,227,807 17,068,274
Foreign currency translations - - (6,483)
-------------- -------------- --------------
NET ASSETS $ 36,989,277 $ 38,754,879 $ 136,144,228
============== ============== ==============
Shares of capital stock outstanding 2,302,585 3,372,256 9,895,613
============== ============== ==============
Net asset value, offering and redemption price per share $ 16.06 $ 11.49 $ 13.76
============== ============== ==============
</Table>
See Accompanying Notes to Financial Statements.
123
<Page>
STATEMENTS OF OPERATIONS
For the Year Ended July 31, 2005
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) LARGE CAP LARGE CAP
INDEX FUND GROWTH FUND VALUE FUND
-------------- -------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 2,138,419 $ 606,373 $ 1,144,820
Interest 11,826 31,987 9,875
Foreign taxes withheld - (5,620) (6,900)
-------------- -------------- --------------
Total income 2,150,245 632,740 1,147,795
-------------- -------------- --------------
Expenses:
Investment advisory fee 248,671 201,910 231,616
Trustees' fees 6,130 6,206 6,333
Audit fee 31,146 21,278 22,978
Trustee legal counsel fees 3,998 1,567 1,850
Non-recurring costs (See Note 10) 1,828 720 839
-------------- -------------- --------------
Total expenses 291,773 231,681 263,616
Expense reimbursement from Investment Advisor (41,274) (29,051) (31,161)
Reimbursement due from Investment Advisor (see Note 9) - - (1,054)
Non-recurring costs assumed by Investment Advisor
(See Note 10) (1,828) (720) (839)
-------------- -------------- --------------
Net expenses 248,671 201,910 230,562
-------------- -------------- --------------
Net investment income (loss) 1,901,574 430,830 917,233
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 2,731,812 2,173,562 2,822,819
Foreign currency transactions - - -
-------------- -------------- --------------
Net realized gain 2,731,812 2,173,562 2,822,819
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments 9,378,890 2,991,580 2,693,045
Foreign currency translations - - -
Foreign capital gains tax - - -
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) 9,378,890 2,991,580 2,693,045
-------------- -------------- --------------
Net gain 12,110,702 5,165,142 5,515,864
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 14,012,276 $ 5,595,972 $ 6,433,097
-------------- -------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
124
<Page>
<Table>
<Caption>
CMG CMG CMG
MID CAP MID CAP SMALL CAP
GROWTH FUND VALUE FUND GROWTH FUND
-------------- -------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 80,513 $ 327,291 $ 70,657
Interest 21,132 10,788 17,142
Foreign taxes withheld (911) (522) (110)
-------------- -------------- --------------
Total income 100,734 337,557 87,689
-------------- -------------- --------------
Expenses:
Investment advisory fee 142,975 160,130 297,930
Trustees' fees 5,790 5,841 6,134
Audit fee 35,955 37,656 37,656
Trustee legal counsel fees 478 621 1,417
Non-recurring costs (See Note 10) 369 419 672
-------------- -------------- --------------
Total expenses 185,567 204,667 343,809
Expense reimbursement from Investment Advisor (42,271) (44,218) (45,275)
Reimbursement due from Investment Advisor (see Note 9) - - -
Non-recurring costs assumed by Investment Advisor
(See Note 10) (369) (419) (672)
-------------- -------------- --------------
Net expenses 142,927 160,030 297,862
-------------- -------------- --------------
Net investment income (loss) (42,193) 177,527 (210,173)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 1,198,457 2,034,375 2,188,414
Foreign currency transactions - (18) -
-------------- -------------- --------------
Net realized gain 1,198,457 2,034,357 2,188,414
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments 3,842,377 2,345,264 4,715,850
Foreign currency translations - 12 -
Foreign capital gains tax - - -
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) 3,842,377 2,345,276 4,715,850
-------------- -------------- --------------
Net gain 5,040,834 4,379,633 6,904,264
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 4,998,641 $ 4,557,160 $ 6,694,091
-------------- -------------- --------------
<Caption>
CMG CMG CMG
SMALL CAP SMALL/MID INTERNATIONAL
VALUE FUND CAP FUND STOCK FUND
-------------- -------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 637,803 $ 130,778 $ 3,602,641
Interest 3,682 38,092 86,097
Foreign taxes withheld - (1,369) (295,581)
-------------- -------------- --------------
Total income 641,485 167,501 3,393,157
-------------- -------------- --------------
Expenses:
Investment advisory fee 327,139 329,249 1,143,795
Trustees' fees 6,978 7,587 7,727
Audit fee 40,894 27,740 32,361
Trustee legal counsel fees 1,317 2,304 7,499
Non-recurring costs (See Note 10) 748 802 2,779
-------------- -------------- --------------
Total expenses 377,076 367,682 1,194,161
Expense reimbursement from Investment Advisor (49,189) (37,358) (47,587)
Reimbursement due from Investment Advisor (see Note 9) - - -
Non-recurring costs assumed by Investment Advisor
(See Note 10) (748) (802) (2,779)
-------------- -------------- --------------
Net expenses 327,139 329,522 1,143,795
-------------- -------------- --------------
Net investment income (loss) 314,346 (162,021) 2,249,362
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 3,348,725 12,002,485 13,316,946
Foreign currency transactions - - (358,520)
-------------- -------------- --------------
Net realized gain 3,348,725 12,002,485 12,958,426
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments 5,239,285 (736,986) 9,026,289
Foreign currency translations - - (9,628)
Foreign capital gains tax - - 53,956
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) 5,239,285 (736,986) 9,070,617
-------------- -------------- --------------
Net gain 8,588,010 11,265,499 22,029,043
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 8,902,356 $ 11,103,478 $ 24,278,405
-------------- -------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
125
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG ENHANCED
S&P 500(R)
INDEX FUND
--------------------------------
YEAR ENDED JULY 31,
--------------------------------
2005 2004
-------------- --------------
Operations:
Net investment income $ 1,901,574 $ 885,309
Net realized gain on investments 2,731,812 582,070
Net change in unrealized appreciation (depreciation) on investments 9,378,890 2,619,440
-------------- --------------
Net increase from operations 14,012,276 4,086,819
Distributions declared to shareholders:
From net investment income (1,713,416) (232,474)
From net realized gains (896,196) (40,302)
-------------- --------------
Total distributions declared to shareholders (2,609,612) (272,776)
Share transactions:
Subscriptions 17,245,602 94,353,306
Distributions reinvested 408,128 29,758
Redemptions (35,670,610) (9,084,292)
-------------- --------------
Net increase (decrease) in share transactions (18,016,880) 85,298,772
-------------- --------------
Net increase (decrease) in net assets (6,614,216) 89,112,815
NET ASSETS:
Beginning of period 98,247,283 9,134,468
-------------- --------------
End of period $ 91,633,067 $ 98,247,283
============== ==============
Undistributed net investment income, at end of period $ 821,661 $ 665,116
============== ==============
Change in shares:
Subscriptions 1,353,553 8,102,596
Issued for distributions reinvested 31,274 2,509
Redemptions (2,804,223) (746,472)
-------------- --------------
Net increase (decrease) (1,419,396) 7,358,633
-------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
126
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
LARGE CAP LARGE CAP
GROWTH FUND VALUE FUND
-------------------------------- --------------------------------
YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2005 2004 (a) 2005 2004 (a)
-------------- -------------- -------------- --------------
Operations:
Net investment income $ 430,830 $ 91,165 $ 917,233 $ 572,398
Net realized gain (loss) on
investments 2,173,562 (998,388) 2,822,819 43,501
Net change in unrealized
appreciation (depreciation)
on investments 2,991,580 761,570 2,693,045 2,651,806
-------------- -------------- -------------- --------------
Net increase (decrease) from
operations 5,595,972 (145,653) 6,433,097 3,267,705
Distributions declared to shareholders:
From net investment income (349,571) (25,964) (908,008) (82,818)
From net realized gains - - (142,837) -
-------------- -------------- -------------- --------------
Total distributions declared
to shareholders (349,571) (25,964) (1,050,845) (82,818)
Share transactions:
Subscriptions 4,995,496 45,852,862 2,725,323 49,285,154
Distributions reinvested 60,880 4,175 327,447 14,274
Redemptions (10,674,833) (5,001,843) (17,558,515) (4,629,597)
-------------- -------------- -------------- --------------
Net increase (decrease) in share
transactions (5,618,457) 40,855,194 (14,505,745) 44,669,831
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets (372,056) 40,683,577 (9,123,493)
47,854,718
NET ASSETS:
Beginning of period 40,683,577 - 47,854,718 -
-------------- -------------- -------------- --------------
End of period $ 40,311,521 $ 40,683,577 $ 38,731,225 $ 47,854,718
============== ============== ============== ==============
Undistributed net investment
income, at end of period $ 140,220 $ 65,201 $ 482,730 $ 489,677
============== ============== ============== ==============
Change in shares:
Subscriptions 458,901 4,440,392 227,396 4,742,377
Issued for distributions reinvested 5,349 399 27,061
1,333
Redemptions (974,348) (471,762) (1,480,049) (429,448)
-------------- -------------- -------------- --------------
Net increase (decrease) (510,098) 3,969,029 (1,225,592) 4,314,262
-------------- -------------- -------------- --------------
</Table>
(a) The Fund commenced investment operations on September 10, 2003.
See Accompanying Notes to Financial Statements.
127
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
MID CAP MID CAP
GROWTH FUND VALUE FUND
-------------------------------- --------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
-------------------------------- --------------------------------
2005 2004 2005 2004
-------------- -------------- -------------- --------------
Operations:
Net investment income (loss) $ (42,193) $ (51,797) $ 177,527 $ 80,641
Net realized gain (loss) on
investments and foreign
currency transactions 1,198,457 (1,172,749) 2,034,357 75,700
Net change in unrealized
appreciation (depreciation)
on investments and foreign
currency translations 3,842,377 146,764 2,345,276 1,512,473
-------------- -------------- -------------- --------------
Net increase (decrease) from
operations 4,998,641 (1,077,782) 4,557,160 1,668,814
Distributions declared to shareholders:
From net investment income - - (147,310) (25,250)
From net realized gains - (6,844) (163,069) (2,382)
-------------- -------------- -------------- --------------
Total distributions declared
to shareholders - (6,844) (310,379) (27,632)
Share transactions:
Subscriptions 6,916,364 20,789,926 1,333,206 21,123,853
Distributions reinvested - 2,911 93,631 4,042
Redemptions (6,317,811) (2,585,860) (6,390,522) (3,425,821)
-------------- -------------- -------------- --------------
Net increase (decrease) in share
transactions 598,553 18,206,977 (4,963,685) 17,702,074
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets 5,597,194 17,122,351 (716,904) 19,343,256
NET ASSETS:
Beginning of period 19,283,514 2,161,163 21,994,199 2,650,943
-------------- -------------- -------------- --------------
End of period $ 24,880,708 $ 19,283,514 $ 21,277,295 $ 21,994,199
============== ============== ============== ==============
Undistributed net investment
income, at end of period $ - $ - $ 86,708 $ 57,377
============== ============== ============== ==============
Accumulated net investment loss,
at end of period $ (1,732) $ (2,391) $ - $ -
============== ============== ============== ==============
Change in shares:
Subscriptions 523,196 1,764,371 99,662 1,773,133
Issued for distributions reinvested - 241 6,769 336
Redemptions (511,129) (216,392) (452,689) (273,086)
-------------- -------------- -------------- --------------
Net increase (decrease) 12,067 1,548,220 (346,258) 1,500,383
-------------- -------------- -------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
128
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
-------------------------------- --------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
-------------------------------- --------------------------------
2005 2004 2005 2004
-------------- -------------- -------------- --------------
Operations:
Net investment income (loss) $ (210,173) $ (186,093) $ 314,346 $ 282,800
Net realized gain on investments 2,188,414 3,236,594 3,348,725 2,739,432
Net change in unrealized
appreciation (depreciation)
on investments 4,715,850 (1,228,396) 5,239,285 3,889,062
-------------- -------------- -------------- --------------
Net increase from operations 6,694,091 1,822,105 8,902,356 6,911,294
Distributions declared to shareholders:
From net investment income - - (284,580) (146,373)
From net realized gains (2,288,048) (1,853,636) (2,878,862) (557,335)
-------------- -------------- -------------- --------------
Total distributions declared
to shareholders (2,288,048) (1,853,636) (3,163,442) (703,708)
Share transactions:
Subscriptions 7,038,718 20,340,250 4,687,869 22,163,080
Distributions reinvested 1,423,106 1,248,755 1,901,545 445,442
Redemptions (9,950,497) (6,836,214) (15,695,410) (9,816,077)
-------------- -------------- -------------- --------------
Net increase (decrease) in share
transactions (1,488,673) 14,752,791 (9,105,996) 12,792,445
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets 2,917,370 14,721,260 (3,367,082) 19,000,031
NET ASSETS:
Beginning of period 35,727,462 21,006,202 40,356,359 21,356,328
-------------- -------------- -------------- --------------
End of period $ 38,644,832 $ 35,727,462 $ 36,989,277 $ 40,356,359
============== ============== ============== ==============
Undistributed net investment
income, at end of period $ - $ - $ 169,604 $ 148,785
============== ============== ============== ==============
Accumulated net investment loss,
at end of period $ (1,969) $ (510) $ - $ -
============== ============== ============== ==============
Change in shares:
Subscriptions 556,247 1,583,555 322,487 1,716,774
Issued for distributions reinvested 108,303 100,382 124,773 33,618
Redemptions (793,968) (526,058) (1,045,818) (740,106)
-------------- -------------- -------------- --------------
Net increase (decrease) (129,418) 1,157,879 (598,558) 1,010,286
-------------- -------------- -------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
129
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
SMALL/MID INTERNATIONAL
CAP FUND STOCK FUND
-------------------------------- --------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
-------------------------------- --------------------------------
2005 2004 2005 2004
-------------- -------------- -------------- --------------
Operations:
Net investment income (loss) $ (162,021) $ (369,067) $ 2,249,362 $ 1,329,857
Net realized gain on investments,
foreign currency transactions
and foreign capital gains tax 12,002,485 12,174,435 12,958,426 7,546,165
Net change in unrealized
appreciation (depreciation) on
investments, foreign currency
translations and foreign capital
gains tax (736,986) (6,374,728) 9,070,617 3,816,938
-------------- -------------- -------------- --------------
Net increase from operations 11,103,478 5,430,640 24,278,405 12,692,960
Distributions declared to shareholders:
From net investment income - - (1,284,092) (529,435)
From net realized gains - - (3,640,598) -
-------------- -------------- -------------- --------------
Total distributions declared
to shareholders - - (4,924,690) (529,435)
Share transactions:
Subscriptions 4,646,441 4,155,162 15,229,078 89,977,364
Distributions reinvested - - 2,823,586 330,247
Redemptions (27,656,623) (32,850,066) (53,513,076) (8,707,904)
-------------- -------------- -------------- --------------
Net increase (decrease) in share
transactions (23,010,182) (28,694,904) (35,460,412) 81,599,707
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets (11,906,704) (23,264,264) (16,106,697)
93,763,232
NET ASSETS:
Beginning of period 50,661,583 73,925,847 152,250,925 58,487,693
-------------- -------------- -------------- --------------
End of period $ 38,754,879 $ 50,661,583 $ 136,144,228 $ 152,250,925
============== ============== ============== ==============
Undistributed net investment
income, at end of period $ - $ - $ 1,525,484 $ 706,196
============== ============== ============== ==============
Accumulated net investment loss,
at end of period $ (2,107) $ (597) $ - $ -
============== ============== ============== ==============
Change in shares:
Subscriptions 439,948 455,080 1,177,932 7,516,797
Issued for distributions reinvested - - 209,932 27,705
Redemptions (2,842,595) (3,586,319) (3,998,529) (698,471)
-------------- -------------- -------------- --------------
Net increase (decrease) (2,402,647) (3,131,239) (2,610,665) 6,846,031
-------------- -------------- -------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
130
<Page>
NOTES TO FINANCIAL STATEMENTS
July 31, 2005
NOTE 1. ORGANIZATION:
CMG Fund Trust (the "Trust") is an Oregon business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. Information presented in these financial statements pertains to the
following diversified funds (individually referred to as a "Fund", collectively
referred to as the "Funds"):
CMG Enhanced S&P 500(R) Index Fund
CMG Large Cap Growth Fund
CMG Large Cap Value Fund
CMG Mid Cap Growth Fund
CMG Mid Cap Value Fund
CMG Small Cap Growth Fund
CMG Small Cap Value Fund
CMG Small/Mid Cap Fund
CMG International Stock Fund
INVESTMENT GOALS. The CMG Enhanced S&P 500(R) Index Fund seeks to outperform the
total return, over the long run, of the Standard & Poor's 500 Composite Stock
Index (the "S&P 500(R)"). The CMG Large Cap Growth Fund and CMG Large Cap Value
Fund seek long-term growth by investing primarily in large capitalization
equities. The CMG Mid Cap Growth Fund and CMG Mid Cap Value Fund seek long-term
growth by investing primarily in middle capitalization equities. The CMG Small
Cap Growth Fund and CMG Small Cap Value Fund seek long-term growth by investing
primarily in small capitalization equities. The CMG Small/Mid Cap Fund seeks
long-term capital appreciation by investing in small and middle capitalization
equities. The CMG International Stock Fund seeks long-term capital appreciation.
FUND SHARES. Each Fund may issue an unlimited number of shares of no par value
capital stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements.
SECURITY VALUATION. Equity securities, exchange traded funds and securities of
certain investment companies are valued at the last sale price on the principal
exchange on which they trade, except for securities traded on the NASDAQ, which
are valued at the NASDAQ official close price. Unlisted securities or listed
securities for which there were no sales during the day are valued at the
closing bid price on such exchanges or over-the-counter markets.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Foreign securities are generally valued at the last sale price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
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<Page>
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Funds'
shares are determined as of such times. Foreign currency exchange rates are
generally determined at 2:00 p.m. Eastern (U.S.) time. Events affecting the
values of such foreign securities and such exchange rates may occur between the
times at which they are determined and the close of the customary trading
session of the NYSE, which would not be reflected in the computation of the
Funds' net asset value. If events materially affecting the values of such
foreign securities occur and it is determined that market quotations are not
reliable, then these foreign securities will be valued at their fair value using
procedures approved by the Board of Trustees. The CMG International Stock Fund
may use a systematic fair valuation model provided by an independent third party
to value securities principally traded in foreign markets in order to adjust for
possible stale pricing that may occur between the close of the foreign exchanges
and the time for valuation. If a security is valued at a "fair value", such
value is likely to be different from the last quoted market price for the
security.
Investments for which market quotations are not readily available, or that have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. Each Fund may engage in repurchase agreement transactions
with institutions that the Funds' investment advisor has determined are
creditworthy. Each Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon each Fund's ability to dispose of the underlying securities
and a possible decline in the value of the underlying securities during the
period while the Funds seek to assert their rights.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Funds become
aware of such, net of non-reclaimable tax withholdings. The Funds estimate
components of distributions from real estate investment trusts (REITs).
Distributions received in excess of income are recorded as a reduction of the
cost of the related investments. If the Funds no longer own the applicable
securities, any distributions received in excess of income are recorded as
realized gains.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
For financial statement purposes, the Funds do not distinguish that portion of
gains (losses) on investments which is due to changes in foreign exchange rates
from that which is due to changes in market prices of the investments. Such
fluctuations are included with the net realized and unrealized gains (losses) on
investments.
FEDERAL INCOME TAX STATUS. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code,
as amended, and will distribute substantially all of its taxable income, if any,
for its tax year, and as such will not be subject to federal income taxes. In
addition, each Fund intends to distribute in each calendar year substantially
all of its net investment income, capital gains and certain other amounts, if
any, such that each Fund should not be subject to federal excise tax. Therefore,
no federal income or excise tax provision is recorded.
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<Page>
FOREIGN CAPITAL GAINS TAX. Realized gains in certain countries may be subject to
foreign taxes at the fund level, at rates ranging from approximately 10% to 15%.
The Funds accrue for such foreign taxes on net realized and unrealized gains at
the appropriate rate for each jurisdiction.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
NOTE 3. FEDERAL TAX INFORMATION:
The timing and character of income and capital gain distributions are determined
in accordance with income tax regulations, which may differ from GAAP.
Reclassifications are made to the Funds' capital accounts for permanent tax
differences to reflect income and gains available for distribution (or available
capital loss carryforwards) under income tax regulations.
For the year ended July 31, 2005, permanent book and tax basis differences
resulting primarily from differing treatments for net operating losses,
distribution reclassifications, return of capital distributions, foreign capital
gains tax, foreign currency transactions and REIT dividends were identified and
reclassified among the components of the Funds' net assets as follows:
<Table>
<Caption>
UNDISTRIBUTED OR
ACCUMULATED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME (LOSS) GAIN (LOSS) PAID-IN CAPITAL
---------------- --------------- ---------------
CMG Enhanced S&P 500(R) Index Fund $ (31,613) $ 31,613 $ --
CMG Large Cap Growth Fund (6,240) 6,240 --
CMG Large Cap Value Fund (16,172) 16,172 --
CMG Mid Cap Growth Fund 42,852 -- (42,852)
CMG Mid Cap Value Fund (886) 886 --
CMG Small Cap Growth Fund 208,714 (208,713) (1)
CMG Small Cap Value Fund (8,947) 8,947 --
CMG Small/Mid Cap Fund 160,511 2 (160,513)
CMG International Stock Fund (145,982) 145,982 --
</Table>
Net investment income and net realized gains (losses), as disclosed on the
Statements of Operations, and net assets were not affected by these
reclassifications.
The tax character of distributions paid during the years ended July 31, 2005 and
July 31, 2004 was as follows:
<Table>
<Caption>
JULY 31, 2005
-------------------------------
ORDINARY LONG-TERM
INCOME* CAPITAL GAINS
--------------- --------------
CMG Enhanced S&P 500(R) Index Fund $ 2,576,992 $ 32,620
CMG Large Cap Growth Fund 349,571 -
CMG Large Cap Value Fund 1,050,685 160
CMG Mid Cap Growth Fund -- --
CMG Mid Cap Value Fund 303,737 6,642
CMG Small Cap Growth Fund 1,856,510 431,538
CMG Small Cap Value Fund 2,640,925 522,517
CMG Small/Mid Cap Fund -- --
CMG International Stock Fund 1,263,220 3,661,470
</Table>
* For tax purposes short-term capital gains distributions, if any, are
considered ordinary income distributions.
133
<Page>
<Table>
<Caption>
JULY 31, 2004
-------------------------------
ORDINARY LONG-TERM
INCOME* CAPITAL GAINS
-------------- --------------
CMG Enhanced S&P 500(R) Index Fund $ 272,776 $ --
CMG Large Cap Growth Fund 25,964 --
CMG Large Cap Value Fund 82,818 --
CMG Mid Cap Growth Fund 6,844 --
CMG Mid Cap Value Fund 27,632 --
CMG Small Cap Growth Fund 1,853,636 --
CMG Small Cap Value Fund 703,708 --
CMG Small/Mid Cap Fund -- --
CMG International Stock Fund 529,435 --
</Table>
* For tax purposes short-term capital gains distributions, if any, are
considered ordinary income distributions.
As of July 31, 2005, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED NET
ORDINARY LONG-TERM UNREALIZED
INCOME CAPITAL GAINS APPRECIATION*
---------------- --------------- ---------------
CMG Enhanced S&P 500(R) Index Fund $ 2,899,982 $ 996,011 $ 11,442,336
CMG Large Cap Growth Fund 205,873 1,366,750 3,503,930
CMG Large Cap Value Fund 1,214,045 2,113,833 5,241,379
CMG Mid Cap Growth Fund -- 245,766 3,883,066
CMG Mid Cap Value Fund 680,720 1,363,286 3,957,564
CMG Small Cap Growth Fund 1,462,422 239,312 5,088,214
CMG Small Cap Value Fund 1,132,762 1,916,829 10,973,296
CMG Small/Mid Cap Fund -- 471,469 6,053,970
CMG International Stock Fund 2,274,045 10,959,423 16,954,296
</Table>
* The differences between book-basis and tax-basis net unrealized appreciation
are primarily due to deferral of losses from wash sales.
Unrealized appreciation and depreciation at July 31, 2005, based on cost of
investments for federal income tax purposes, excluding any unrealized
appreciation and depreciation from changes in the value of other assets and
liabilities resulting from changes in exchange rates, was:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
---------------- --------------- ---------------
CMG Enhanced S&P 500(R) Index Fund $ 12,920,175 $ (1,477,839) $ 11,442,336
CMG Large Cap Growth Fund 3,893,216 (389,286) 3,503,930
CMG Large Cap Value Fund 5,889,439 (648,060) 5,241,379
CMG Mid Cap Growth Fund 4,111,371 (228,305) 3,883,066
CMG Mid Cap Value Fund 4,078,763 (121,211) 3,957,552
CMG Small Cap Growth Fund 8,324,024 (3,235,810) 5,088,214
CMG Small Cap Value Fund 11,430,393 (457,097) 10,973,296
CMG Small/Mid Cap Fund 6,483,477 (429,507) 6,053,970
CMG International Stock Fund 18,999,214 (2,044,918) 16,954,296
</Table>
134
<Page>
The following capital loss carryforwards may be available to reduce taxable
income arising from future net realized gains on investments, if any, to the
extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF EXPIRATION
---------------------------------------------
2010 2011 TOTAL
------------- ------------- -------------
CMG International Stock Fund $ 2,719,144 $ 420,427 $ 3,139,571
</Table>
The following capital loss carryforwards were utilized during the year ended
July 31, 2005:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARD
UTILIZED
------------
CMG Large Cap Growth Fund $ 67,035
CMG Mid Cap Growth Fund 49,708
CMG Small/Mid Cap Fund 11,273,642
CMG International Stock Fund 1,646,856
1,646,856
</Table>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Funds. Each Fund's investment advisory fee is a
unified fee. Effective on or about September 30, 2005, Columbia Management
Advisors, Inc. will undergo a name change to Columbia Management Advisors, LLC.
Columbia, out of the unified fee it receives from the Funds, pays all accounting
fees, legal fees, transfer agent fees, custody fees and miscellaneous expenses
of the Funds. The unified fee does not include brokerage fees, taxes, Trustees'
fees, Trustee legal counsel fees, audit fees, interest expense associated with
any borrowings by the Funds or extraordinary expenses, if any. The unified fees
are paid monthly to Columbia based on each Fund's average daily net assets at
the following annual rates:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Large Cap Growth Fund 0.50%
CMG Large Cap Value Fund 0.50%
CMG Mid Cap Growth Fund 0.70%
CMG Mid Cap Value Fund 0.70%
CMG Small Cap Growth Fund 0.80%
CMG Small Cap Value Fund 0.80%
CMG Small/Mid Cap Fund 0.75%
CMG International Stock Fund 0.75%
</Table>
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to each Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). As a result, Columbia pays fees to State Street
under the Outsourcing Agreement. The pricing and bookkeeping fees for the Funds
are included in the unified fee.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Funds and has
contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer
agent. The transfer agent fees for the Funds are included in the unified fee.
Effective on or about September 30, 2005, Columbia Funds Services, Inc. will
undergo a name change to Columbia Management Services, Inc.
EXPENSE LIMITS AND FEE WAIVERS. Columbia has contractually agreed to reimburse
the Funds through March 1, 2009 for certain expenses so that the expenses
incurred by the Funds, including the investment advisory fees, will not exceed
the following annual rates based on each Fund's average daily net assets:
<Table>
<Caption>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Large Cap Growth Fund 0.50%
</Table>
135
<Page>
<Table>
CMG Large Cap Value Fund 0.50%
CMG Mid Cap Growth Fund 0.70%
CMG Mid Cap Value Fund 0.70%
CMG Small Cap Growth Fund 0.80%
CMG Small Cap Value Fund 0.80%
CMG Small/Mid Cap Fund 0.75%
CMG International Stock Fund 0.75%
</Table>
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Funds are employees of Columbia or its affiliates and receive no
compensation from the Funds. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Funds in accordance with federal
securities regulations. Each Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Chief Compliance Officer
position. Each Fund's fee, which is included in the unified fee, will not exceed
$15,000 per year.
The Funds' Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Funds' assets.
OTHER. Columbia provides certain services to the Funds related to Sarbanes-Oxley
compliance. The fees for such services are included in the unified fee.
NOTE 5. PORTFOLIO INFORMATION:
For the year ended July 31, 2005, the cost of purchases and proceeds from sales
of securities, excluding short-term obligations, were as follows:
<Table>
<Caption>
PURCHASES SALES
-------------- --------------
CMG Enhanced S&P 500(R) Index Fund $ 48,278,747 $ 67,042,356
CMG Large Cap Growth Fund 46,391,689 53,277,965
CMG Large Cap Value Fund 20,495,677 34,656,393
CMG Mid Cap Growth Fund 29,140,525 27,787,781
CMG Mid Cap Value Fund 13,122,670 17,404,169
CMG Small Cap Growth Fund 17,448,196 21,481,586
CMG Small Cap Value Fund 16,498,460 28,239,806
CMG Small/Mid Cap Fund 72,552,788 94,140,237
CMG International Stock Fund 100,728,063 137,140,368
</Table>
NOTE 6. OTHER RELATED PARTY TRANSACTIONS:
During the year ended July 31, 2005, the CMG Small Cap Growth Fund used Bank of
America Securities, a wholly-owned subsidiary of BOA, as a broker. Total
commissions paid to Bank of America Securities during the period were $330.
NOTE 7. LINE OF CREDIT:
The Funds and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum
136
<Page>
equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of
0.10% per annum is accrued and apportioned among the participating funds based
on their pro-rata portion of the unutilized line of credit. The commitment fee
is included in the unified fee.
For the year ended July 31, 2005, the Funds did not borrow under this
arrangement.
NOTE 8. SHARES OF BENEFICIAL INTEREST:
As of July 31, 2005, the Funds had shareholders whose shares were beneficially
owned by participant accounts over which Bank of America and/or its affiliates
had either sole or joint investment discretion. Subscription and redemption
activity of these accounts may have a significant effect on the operations of
the Funds. The numbers of accounts and the percentages of shares of beneficial
interest outstanding held therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
---------------- ----------------
CMG Enhanced S&P 500(R) Index Fund 1 100.0%
CMG Large Cap Growth Fund 1 100.0%
CMG Large Cap Value Fund 1 100.0%
CMG Mid Cap Growth Fund 1 100.0%
CMG Mid Cap Value Fund 1 100.0%
CMG Small Cap Growth Fund 1 97.4%
CMG Small Cap Value Fund 1 97.2%
CMG International Stock Fund 1 91.2%
</Table>
As of July 31, 2005, two of the Funds had shareholders that held greater than 5%
of the shares outstanding. Subscription and redemption activity of these
shareholders may have a material effect on the Funds. The number of accounts and
the percentage of shares of beneficial interest outstanding held therein are as
follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
---------------- ----------------
CMG Small/Mid Cap Fund 8 89.3%
CMG International Stock Fund 1 5.6%
</Table>
NOTE 9. OTHER
During the year ended July 31, 2005 the CMG Large Cap Value Fund experienced a
loss of $1,054 due to a violation of borrowing limitations. The CMG Large Cap
Value Fund is in the process of being reimbursed by Columbia.
NOTE 10. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
FOREIGN SECURITIES. There are certain additional risks involved when investing
in foreign securities that are not inherent with investments in domestic
securities. These risks may involve foreign currency exchange rate fluctuations,
adverse political and economic developments and the possible prevention of
currency exchange or other foreign governmental laws or restrictions. In
addition, the liquidity of foreign securities may be more limited than that of
domestic securities.
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<Page>
Investments in emerging market countries are subject to additional risk. The
risk of foreign investments is typically increased in less developed countries.
These countries are also more likely to experience high levels of inflation,
deflation or currency devaluation which could hurt their economies and
securities markets.
INDUSTRY FOCUS. The Funds may focus their investments in certain industries,
subjecting them to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia and Columbia Funds Distributor,
Inc. (collectively, the "Columbia Group") entered into an Assurance of
Discontinuance with the New York Attorney General ("NYAG") (the "NYAG
Settlement") and consented to the entry of a cease-and-desist order by the
Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and
the NYAG Settlement are referred to collectively as the "Settlements." The
Settlements contain substantially the same terms and conditions as outlined in
the agreements in principle which Columbia Group entered into with the SEC and
NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also undertaken to implement certain
governance measures designed to maintain the independence of their boards of
trustees. The NYAG Settlement also, among other things, requires Columbia and
its affiliates, Banc of America Capital Management, LLC and BACAP Distributors,
LLC to reduce certain Columbia Funds, Nations Funds and other mutual funds
management fees collectively by $32 million per year for five years, for a
projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Funds' independent trustees and not unacceptable to
the staff of the SEC. At this time, the distribution plan is still under
development. As such, any gain to the Funds or its shareholders cannot currently
be determined.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in detail above, various parties have
filed suit against certain funds, the Trustees of the Columbia Funds,
FleetBoston Financial Corporation and its affiliated entities and/or Bank of
America and its affiliated entities. More than 300 cases including those filed
against entities unaffiliated with the funds, their Boards, FleetBoston
Financial Corporation and its affiliated entities and/or Bank of America and its
affiliated entities have been transferred to the Federal District Court in
Maryland and consolidated in a multi-district proceeding (the "MDL").
The derivative cases purportedly brought on behalf of the Columbia Funds in the
MDL have been consolidated under the lead case. The fund derivative plaintiffs
allege that the funds were harmed by market timing and late trading activity and
seek, among other things, the removal of the trustees of the Columbia Funds,
removal of the Columbia Group, disgorgement of all management fees and monetary
damages.
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<Page>
On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts
state court alleging that the conduct, including market timing, entitles Class B
shareholders in certain Columbia Funds to an exemption from contingent deferred
sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has
been removed to federal court in Massachusetts and the federal Judicial Panel
has transferred the CDSC Lawsuit to the MDL.
The MDL is ongoing. Accordingly, an estimate of the financial impact of this
litigation on any Fund, if any, cannot currently be made.
On January 11, 2005, a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the
Columbia Funds and Columbia. The lawsuit alleges that defendants violated common
law duties to fund shareholders as well as sections of the Investment Company
Act of 1940, by failing to ensure that the Funds and other affiliated funds
participated in securities class action settlements for which the funds were
eligible. Specifically, plaintiffs allege that defendants failed to submit proof
of claims in connection with settlements of securities class action lawsuits
filed against companies in which the funds held positions.
In 2004, certain Columbia Funds, advisers and affiliated entities were named as
defendants in certain purported shareholder class and derivative actions making
claims, including claims under the Investment Company and the Investment
Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees
and expenses paid by the funds are excessive and that the advisers and their
affiliates inappropriately used fund assets to distribute the funds and for
other improper purpose. On March 2, 2005, the actions were consolidated in the
Massachusetts federal court as IN RE COLUMBIA ENTITIES LITIGATION. The
plaintiffs filed a consolidated amended complaint on June 9, 2005.
The Funds and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the Funds.
For the year ended July 31, 2005, Columbia has assumed legal, consulting
services and Trustees' fees incurred by the Funds in connection with these
matters as follows:
<Table>
<Caption>
CMG Enhanced S&P 500(R) Index Fund $ 1,828
CMG Large Cap Growth Fund 720
CMG Large Cap Value Fund 839
CMG Mid Cap Growth Fund 369
CMG Mid Cap Value Fund 419
CMG Small Cap Growth Fund 672
CMG Small Cap Value Fund 748
CMG Small/Mid Cap Fund 802
CMG International Stock Fund 2,779
</Table>
139
<Page>
Report of Independent Registered Public Accounting Firm
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG ENHANCED S&P 500(R)
Index Fund, CMG LARGE CAP GROWTH FUND, CMG LARGE CAP VALUE FUND, CMG MID CAP
GROWTH FUND, CMG MID CAP VALUE FUND, CMG SMALL CAP GROWTH FUND, CMG SMALL CAP
VALUE FUND, CMG SMALL/MID CAP FUND AND CMG INTERNATIONAL STOCK FUND
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Enhanced S&P 500(R) Index Fund,
CMG Large Cap Growth Fund, CMG Large Cap Value Fund, CMG Mid Cap Growth Fund,
CMG Mid Cap Value Fund, CMG Small Cap Growth Fund, CMG Small Cap Value Fund, CMG
Small/Mid Cap Fund and CMG International Stock Fund (the "Funds") (each a series
of CMG Fund Trust), at July 31, 2005, the results of their operations for the
year then ended, the changes in their net assets for each of the two years in
the period then ended, and their financial highlights for the periods indicated,
in conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audits to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at July
31, 2005 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 23, 2005
140
<Page>
Unaudited Information
FEDERAL INCOME TAX INFORMATION
CMG ENHANCED S&P 500(R) Index Fund
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $1,004,277.
48.71% of the ordinary income distributed by the Fund, for the year ended July
31, 2005, qualifies for the corporate dividends received deduction.
For non-corporate shareholders 54.80%, or the maximum amount allowable under the
Jobs and Growth Tax Relief Reconciliation Act of 2003, of income earned by the
Fund for the period August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
CMG LARGE CAP GROWTH FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $1,366,750.
100.00% of the ordinary income distributed by the Fund, for the year ended July
31, 2005, qualifies for the corporate dividends received deduction.
For non-corporate shareholders 100.00%, or the maximum amount allowable under
the Jobs and Growth Tax Relief Reconciliation Act of 2003, of income earned by
the Fund for the period August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
CMG LARGE CAP VALUE FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $2,113,833.
78.11% of the ordinary income distributed by the Fund, for the year ended July
31, 2005, qualifies for the corporate dividends received deduction.
For non-corporate shareholders 83.03%, or the maximum amount allowable under the
Jobs and Growth Tax Relief Reconciliation Act of 2003, of income earned by the
Fund for the period August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
CMG MID CAP GROWTH FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $245,766.
CMG MID CAP VALUE FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $1,363,973.
66.23% of the ordinary income distributed by the Fund, for the year ended July
31, 2005, qualifies for the corporate dividends received deduction.
For non-corporate shareholders 66.75%, or the maximum amount allowable under the
Jobs and Growth Tax Relief Reconciliation Act of 2003, of income earned by the
Fund for the period August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
141
<Page>
CMG SMALL CAP GROWTH FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $406,725.
CMG SMALL CAP VALUE FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $2,159,155.
18.21% of the ordinary income distributed by the Fund, for the year ended July
31, 2005, qualifies for the corporate dividends received deduction.
For non-corporate shareholders 18.05%, or the maximum amount allowable under the
Jobs and Growth Tax Relief Reconciliation Act of 2003, of income earned by the
Fund for the period August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
CMG SMALL/MID CAP FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $471,469.
CMG INTERNATIONAL STOCK FUND
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $10,959,423.
Foreign taxes paid during the fiscal year ended July 31, 2005, amounting to
$360,171 ($0.04 per share) are expected to be passed through to shareholders as
100.00% allowable foreign tax credits on your 2005 1099-Div Form.
Gross income derived from sources within foreign countries amounted to
$3,302,177 ($0.33 per share) for the fiscal year ended July 31, 2005.
For non-corporate shareholders 100.00%, or the maximum amount allowable under
the Jobs and Growth Tax Relief Reconciliation Act of 2003, of income earned by
the Fund for the period August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
142
<Page>
Trustees
The Trustees/Directors serve terms of indefinite duration. The names, addresses
and ages of the Trustees/Directors and officers of the Funds in the Columbia
Funds Complex, the year each was first elected or appointed to office, their
principal business occupations during at least the last five years, the number
of portfolios overseen by each Trustee/Director and other directorships they
hold are shown below. Each officer listed below serves as an officer of each
Fund in the Columbia Funds Complex.
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------ ---------------------------------------------------------------
DISINTERESTED TRUSTEES
Douglas A. Hacker (age 49) Executive Vice President-Strategy of United Airlines (airline)
P.O. Box 66100 since December, 2002 (formerly President of UAL Loyalty
Chicago, IL 60666 Services (airline) from September, 2001 to December, 2002;
Trustee (since 1996) Executive Vice President and Chief Financial Officer of United
Airlines from July, 1999 to September, 2001; Senior Vice
President-Finance from March, 1993 to July, 1999). Oversees
101, Nash Finch Company (food distributor)
Janet Langford Kelly (age 47) Partner, Zelle, Hofmann, Voelbel, Mason & Gette LLP (law firm);
9534 W. Gull Lake Drive Adjunct Professor of Law, Northwestern University, since
Richland, MI 49083-8530 September, 2004 (formerly Chief Administrative Officer and
Trustee (since 1996) Senior Vice President, Kmart Holding Corporation (consumer
goods), from September, 2003 to March, 2004; Executive Vice
President-Corporate Development and Administration, General
Counsel and Secretary, Kellogg Company (food manufacturer),
from September, 1999 to August, 2003; Senior Vice President,
Secretary and General Counsel, Sara Lee Corporation (branded,
packaged, consumer-products manufacturer) from January, 1995 to
September, 1999). Oversees 101, None
Richard W. Lowry (age 69) Private Investor since August, 1987 (formerly Chairman and
10701 Charleston Drive Chief Executive Officer, U.S. Plywood Corporation (building
Vero Beach, FL 32963 products manufacturer)). Oversees 103(3), None
Trustee (since 1995)
Charles R. Nelson (age 62) Professor of Economics, University of Washington, since
Department of Economics January, 1976; Ford and Louisa Van Voorhis Professor of
University of Washington Political Economy, University of Washington, since September,
Seattle, WA 98195 1993 (formerly Director, Institute for Economic Research,
Trustee (since 1981) University of Washington from September, 2001 to June, 2003)
Adjunct Professor of Statistics, University of Washington,
since September, 1980; Associate Editor, Journal of Money
Credit and Banking, since September, 1993; consultant on
econometric and statistical matters. Oversees 101, None
John J. Neuhauser (age 63) Academic Vice President and Dean of Faculties since August,
84 College Road 1999, Boston College (formerly Dean, Boston College School of
Chestnut Hill, MA 02467-3838 Management from September, 1977 to August, 1999). Oversees
Trustee (since 1985) 1033, Saucony, Inc. (athletic footwear)
Patrick J. Simpson (age 61) Partner, Perkins Coie L.L.P. (law firm). Oversees 101, None
1120 N.W. Couch Street
Tenth Floor
Portland, OR 97209-4128
Trustee (since 2000)
</Table>
143
<Page>
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------ ---------------------------------------------------------------
DISINTERESTED TRUSTEES
Thomas E. Stitzel (age 69) Business Consultant since 1999 (formerly Professor of Finance
2208 Tawny Woods Place from 1975 to 1999, College of Business, Boise State
Boise, ID 83706 University); Chartered Financial Analyst. Oversees 101, None
Trustee (since 1998)
Thomas C. Theobald (age 68) Partner and Senior Advisor, Chicago Growth Partners (private
8 Sound Shore Drive, equity investing) since September, 2004 (formerly Managing
Suite 285 Director, William Blair Capital Partners (private equity
Greenwich, CT 06830 investing) from September, 1994 to September, 2004). Oversees
Trustee and Chairman of the Board(4) (since 1996) 101, Anixter International (network support equipment
distributor); Ventas, Inc. (real estate investment trust);
Jones Lang LaSalle (real estate management services)
and Ambac Financial Group (financial guaranty insurance)
Anne-Lee Verville (age 59) Retired since 1997 (formerly General Manager, Global Education
359 Stickney Hill Road Industry, IBM Corporation (computer and technology) from 1994
Hopkinton, NH 03229 to 1997). Oversees 101, Chairman of the Board of Directors,
Trustee (since 1998) Enesco Group, Inc. (designer, importer and distributor of
giftware and collectibles)
Richard L. Woolworth (age 64) Retired since December 2003 (formerly Chairman and Chief
100 S.W. Market Street #1500 Executive Officer, The Regence Group (regional health insurer);
Portland, OR 97207 Chairman and Chief Executive Officer, BlueCross BlueShield of
Trustee (since 1991) Oregon; Certified Public Accountant, Arthur Young & Company).
Oversees 101, Northwest Natural Gas Co. (natural gas service
provider)
INTERESTED TRUSTEE
William E. Mayer(2) (age 65) Partner, Park Avenue Equity Partners (private equity) since
399 Park Avenue February, 1999 (formerly Partner, Development Capital LLC from
Suite 3204 November 1996 to February, 1999). Oversees 103(3), Lee
New York, NY 10022 Enterprises (print media), WR Hambrecht + Co. (financial
Trustee (since 1994) service provider); Reader's Digest (publishing); OPENFIELD
Solutions (retail industry technology provider)
</Table>
- ----------
(1) In December 2000, the boards of each of the former Liberty Funds and
former Stein Roe Funds were combined into one board of trustees
responsible for the oversight of both fund groups (collectively, the
"Liberty Board"). In October 2003, the trustees on the Liberty Board were
elected to the boards of the Columbia Funds (the "Columbia Board") and of
the CMG Fund Trust (the "CMG Funds Board"); simultaneous with that
election, Patrick J. Simpson and Richard L. Woolworth, who had been
directors on the Columbia Board and trustees on the CMG Funds Board, were
appointed to serve as trustees of the Liberty Board. The date shown is the
earliest date on which a trustee/director was elected or appointed to the
board of a Fund in the Columbia Funds Complex.
(2) Mr. Mayer is an "interested person" (as defined in the Investment Company
Act of 1940 (1940 Act)) by reason of his affiliation with WR
Hambrecht + Co.
(3) Messrs. Lowry, Neuhauser and Mayer also serve as directors/trustees of the
Liberty All-Star Funds, currently consisting of 2 funds, which are advised
by an affiliate of the Advisor.
(4) Mr. Theobald was appointed as Chairman of the Board effective December 10,
2003.
The Statement of Additional Information Includes additional information about
the Trustees of the Funds and is available, without charge, upon request by
calling 800-426-3750.
144
<Page>
Officers
<Table>
<Caption>
NAME, ADDRESS AND AGE, POSITION WITH
COLUMBIA FUNDS, YEAR FIRST ELECTED OR
APPOINTED TO OFFICE PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- ------------------------------------------------------ ---------------------------------------------------------------
Christopher L. Wilson (Age 48) Head of Mutual Funds since August, 2004 and Senior Vice
One Financial Center President of the Advisor since January, 2005; President of the
Boston, MA 02111 Columbia Funds, Liberty Funds and Stein Roe Funds since
President (since 2004) October, 2004; President and Chief Executive Officer of the
Nations Funds since January, 2005; President of the Galaxy
Funds since April 2005; Director of Bank of America Global
Liquidity Funds, plc since May 2005; Director of Banc of
America Capital Management (Ireland), Limited since May 2005;
Senior Vice President of BACAP Distributors LLC since January,
2005; Director of FIM Funding, Inc. since January, 2005; Senior
Vice President of Columbia Funds Distributor, Inc. since
January, 2005; Director of Columbia Funds Services, Inc. since
January, 2005 (formerly President and Chief Executive Officer,
CDC IXIS Asset Management Services, Inc. from September, 1998
to August, 2004).
J. Kevin Connaughton (Age 41) Treasurer of the Columbia Funds since October, 2003 and of the
One Financial Center Liberty Funds, Stein Roe Funds and All-Star Funds since
Boston, MA 02111 December, 2000; Vice President of the Advisor since April, 2003
Treasurer (since 2000) (formerly President of the Columbia Funds, Liberty Funds and
Stein Roe Funds from February, 2004 to October, 2004; Chief
Accounting Officer and Controller of the Liberty Funds and
All-Star Funds from February, 1998 to October, 2000); Treasurer
of the Galaxy Funds since September, 2002 (formerly Treasurer
from December, 2002 to December, 2004 and President from
February, 2004 to December, 2004 of the Columbia Management
Multi-Strategy Hedge Fund, LLC; Vice President of Colonial
Management Associates, Inc. from February, 1998 to October,
2000).
Mary Joan Hoene (Age 54) Senior Vice President and Chief Compliance Officer of the
40 West 57th Street Columbia Funds, Liberty Funds, Stein Roe Funds and All-Star
New York, NY 10005 Funds since August, 2004 (formerly Partner, Carter, Ledyard &
Senior Vice President and Milburn LLP from January, 2001 to August, 2004; Counsel,
Chief Compliance Officer (since 2004) Carter, Ledyard & Milburn LLP from November, 1999 to December,
2000; Vice President and Counsel, Equitable Life Assurance
Society of the United States from April, 1998 to November,
1999).
Michael G. Clarke (Age 35) Chief Accounting Officer of the Columbia Funds, Liberty Funds,
One Financial Center Stein Roe Funds and All-Star Funds since October, 2004
Boston, MA 02111 (formerly Controller of the Columbia Funds, Liberty Funds,
Chief Accounting Officer (since 2004) Stein Roe Funds and All-Star Funds from May, 2004 to October,
2004; Assistant Treasurer from June, 2002 to May, 2004; Vice
President, Product Strategy & Development of the Liberty Funds
and Stein Roe Funds from February, 2001 to June, 2002;
Assistant Treasurer of the Liberty Funds, Stein Roe Funds and
the All-Star Funds from August, 1999 to February, 2001; Audit
Manager, Deloitte & Touche LLP from May, 1997 to August, 1999).
Jeffrey R. Coleman (Age 35) Controller of the Columbia Funds, Liberty Funds, Stein Roe
One Financial Center Funds and All-Star Funds since October, 2004 (formerly Vice
Boston, MA 02111 President of CDC IXIS Asset Management Services, Inc. and
Controller (since 2004) Deputy Treasurer of the CDC Nvest Funds and Loomis Sayles Funds
from February, 2003 to September, 2004; Assistant Vice
President of CDC IXIS Asset Management Services, Inc. and
Assistant Treasurer of the CDC Nvest Funds from August, 2000 to
February, 2003; Tax Manager of PFPC, Inc. from November, 1996
to August, 2000).
R. Scott Henderson (Age 46) Secretary of the Columbia Funds, Liberty Funds and Stein Roe
One Financial Center Funds since December, 2004 (formerly Of Counsel, Bingham
Boston, MA 02111 McCutchen from April, 2001 to September, 2004; Executive
Secretary (since 2004) Director and General Counsel, Massachusetts Pension Reserves
Investment Management Board from September, 1997 to March,
2001).
</Table>
145
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MA 02110-2624
- TRANSFER AGENT -
COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
SHC-42/89632-0805 (09/05) 05/7658
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30 is available from
the SEC's website. Information regarding how the fund voted proxies relating to
portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA MANAGEMENT
DISTRIBUTORS, INC. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Management Distributors, Inc., One Financial
Center, Boston, MA 02111-2621
<Page>
[COLUMBIA MANAGEMENT(R) LOGO]
CMG SMALL CAP FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2005
MAY LOSE VALUE
NOT FDIC -----------------
INSURED NO BANK GUARANTEE
Advised by Columbia Management Advisors, Inc.
Columbia Management is the primary investment management division of Banc of
America Corporation. Columbia Management entities furnish investment management
services and advise institutional and mutual fund portfolios.
Columbia Management Advisors, Inc. will combine with Banc of America Capital
Management, LLC on or about September 30, 2005. At that time, the newly combined
advisor will undergo a name change to Columbia Management Advisors, LLC and will
continue to operate as a SEC-registered investment advisor, wholly owned
subsidiary of Bank of America, N.A. and part of Columbia Management.
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small Cap Fund returned 29.59% for the 12-month period ended July 31, 2005.
The fund outperformed the Russell 2000(1) Growth Index and the Russell 2000(1)
Index, which returned 22.58% and 24.78%, respectively, for the same period. The
fund also surpassed the Lipper Small Cap Growth Funds Category average, which
was 22.12% for the period.(2) Strong stock selection in the information
technology, industrials and health care sectors drove the fund's outperformance.
Last summer, we restructured the information technology portion of the portfolio
to eliminate commodity-type businesses in favor of those with greater
intellectual property content, as reflected in companies with higher gross
margins. We believe these changes helped to lead the strong performance
throughout the period, led by communication-related stocks Ixia and F5 Networks
(1.3% and 1.0% of net assets, respectively). SiRF Technology Holdings, a
supplier of chipsets for global positioning systems for consumer and business
applications, performed well (1.7% of net assets). CACI International advanced
on steady demand for systems integration services geared to the government
marketplace (1.7% of net assets). Finally, Macromedia (0.9% of net assets)
appreciated on news that it is being acquired.
The fund's holdings in the industrials sector outperformed the index, gaining
45% in the reporting period. United Defense Industries' stock price rocketed on
news of its acquisition by BAE Systems, and the stock was sold from the
portfolio. Joy Global reported significantly higher- than-expected earnings
driven by a long-term replacement cycle for mining equipment (1.1% of net
assets). URS experienced strength in the commercial and government sectors it
provides with engineering design services (1.4% of net assets). Finally, Wabtec
benefited from an upturn in demand for rail cars, and BE Aerospace experienced
increased demand for airline interiors due to a rebound in the global airline
market (1.7% and 1.3% of net assets, respectively).
Despite some difficulties in early 2005, the health care sector was a top
contributor in the period and the fund's holdings outperformed health care
stocks in the index. DaVita (1.4% of net assets) and Renal Care Group, both
dialysis service providers, benefited from consolidation in the industry.
Investors reacted positively to news that DaVita would acquire Gambro's US
dialysis operations and Renal Care Group was acquired. Another beneficiary of
consolidation was Accredo Health which agreed to be acquired. The fund did
experience some disappointments in pharmaceutical stocks. For instance,
Connetics struggled as the FDA denied approval to one of its pipeline drugs. We
eventually liquidated the fund's position since the company's risk profile had
increased beyond our comfort level.
Although the energy and consumer discretionary sectors made solid contributions
to the fund's return, the fund's holdings underperformed their counterparts in
the index. In energy, stock selection hurt relative performance. In the consumer
discretionary sector, a lack of exposure to casino gaming operators and housing
stocks hurt relative performance. Stock selection in the materials sector also
held back results. One disappointment was OM Group, a cobalt refiner that has
benefited from strength in the battery market (1.1% of net assets). While the
stock struggled during the period, we remain patient since we believe that its
long-term prospects are favorable.
1
<Page>
In general, we believe that the economy is growing at a healthy rate and the
portfolio is positioned accordingly. We are bullish longer term on energy.
Earnings are currently very strong in the materials and industrials sectors, but
we are watchful for signs of decelerating growth. At the margin, we have taken
profits from the most cyclical parts of the portfolio and redeployed these
assets into more traditional growth segments. We believe the Federal Reserve
Board is reaching the latter innings of increasing the fed fund rate, and expect
that traditional growth stocks -- many of which may be found in the health care,
information technology and consumer discretionary sectors -- should do quite
well. In addition, value stocks have been in favor for the past five years, and
we believe many growth names are reasonably priced by comparison.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Salix Pharmaceuticals 1.9
Corporate Executive Board 1.8
SiRF Technology Holdings 1.7
Affiliated Managers Group 1.7
Wabtec 1.7
CACI International 1.7
HealthExtras 1.5
Tempur-Pedic International 1.5
URS 1.4
DaVita 1.4
</Table>
We appreciate your continued confidence in the CMG Small Cap Fund.
Kenneth A. Korngiebel has managed the CMG Small Cap Fund since July 2004 and has
been with the advisor or its predecessors or affiliate organizations since 1996.
/s/ Kenneth A. Korngiebel
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in growth stocks incurs the possibility of losses because their prices
are sensitive to changes in current or expected earnings.
Investments in small-cap stocks may be subject to greater volatility and price
fluctuations because small companies often have narrower markets and limited
financial resources and their stocks tend to be thinly traded and less liquid
than investments in larger companies.
(1) The Russell 2000 Index is an unmanaged index that tracks the performance of
the 2,000 smallest of the 3,000 largest U.S. companies based on market
capitalization. The Russell 2000 Growth Index is also an unmanaged index
that measures the performance of those Russell 2000 Index companies with
higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indexes are not investments, do not incur fees or expenses and are
not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
2
<Page>
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee that the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 29.59 1.48 11.97
Russell 2000 Index 24.78 7.71 9.96
Russell 2000 Growth Index 22.58 -1.46 5.08
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 11.49 -1.36 12.00
Russell 2000 Index 9.45 5.71 9.90
Russell 2000 Growth Index 4.29 -4.51 5.16
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, AUGUST 1, 1995 TO JULY 31, 2005
<Table>
<Caption>
CMG SMALL CAP FUND RUSSELL 2000 INDEX RUSSELL 2000 GROWTH INDEX
8/1/95 $ 10,000 $ 10,000 $ 10,000
8/31/95 $ 10,143 $ 10,207 $ 10,123
9/30/95 $ 10,495 $ 10,390 $ 10,332
10/31/95 $ 10,276 $ 9,925 $ 9,823
11/30/95 $ 10,846 $ 10,342 $ 10,256
12/31/95 $ 11,290 $ 10,615 $ 10,484
1/31/96 $ 11,284 $ 10,604 $ 10,397
2/29/96 $ 11,802 $ 10,934 $ 10,871
3/31/96 $ 11,991 $ 11,157 $ 11,086
4/30/96 $ 13,136 $ 11,754 $ 11,938
5/31/96 $ 13,937 $ 12,217 $ 12,550
6/30/96 $ 13,092 $ 11,715 $ 11,735
7/31/96 $ 11,982 $ 10,693 $ 10,302
8/31/96 $ 12,841 $ 11,314 $ 11,064
9/30/96 $ 13,637 $ 11,756 $ 11,634
10/31/96 $ 13,388 $ 11,575 $ 11,132
11/30/96 $ 13,720 $ 12,052 $ 11,442
12/31/96 $ 13,753 $ 12,368 $ 11,665
1/31/97 $ 14,317 $ 12,615 $ 11,957
2/28/97 $ 13,535 $ 12,310 $ 11,235
3/31/97 $ 12,621 $ 11,729 $ 10,441
4/30/97 $ 12,688 $ 11,762 $ 10,320
5/31/97 $ 14,095 $ 13,070 $ 11,871
6/30/97 $ 14,800 $ 13,630 $ 12,274
7/31/97 $ 15,929 $ 14,264 $ 12,902
8/31/97 $ 16,595 $ 14,591 $ 13,289
9/30/97 $ 17,961 $ 15,659 $ 14,350
10/31/97 $ 16,998 $ 14,971 $ 13,487
11/30/97 $ 16,604 $ 14,874 $ 13,166
12/31/97 $ 16,767 $ 15,134 $ 13,174
1/31/98 $ 16,120 $ 14,895 $ 12,999
2/28/98 $ 17,201 $ 15,996 $ 14,147
3/31/98 $ 18,507 $ 16,655 $ 14,740
4/30/98 $ 18,660 $ 16,747 $ 14,830
5/31/98 $ 17,085 $ 15,844 $ 13,751
6/30/98 $ 17,463 $ 15,877 $ 13,892
7/31/98 $ 16,723 $ 14,591 $ 12,732
8/31/98 $ 12,913 $ 11,758 $ 9,793
9/30/98 $ 13,944 $ 12,678 $ 10,786
10/31/98 $ 14,193 $ 13,195 $ 11,349
11/30/98 $ 15,016 $ 13,887 $ 12,230
12/31/98 $ 16,589 $ 14,746 $ 13,337
1/31/99 $ 16,411 $ 14,943 $ 13,937
2/28/99 $ 14,576 $ 13,732 $ 12,662
3/31/99 $ 14,865 $ 13,946 $ 13,113
4/30/99 $ 15,347 $ 15,196 $ 14,270
5/31/99 $ 15,697 $ 15,418 $ 14,293
6/30/99 $ 17,161 $ 16,115 $ 15,046
7/31/99 $ 17,614 $ 15,673 $ 14,582
8/31/99 $ 17,214 $ 15,093 $ 14,036
9/30/99 $ 17,521 $ 15,096 $ 14,307
10/31/99 $ 19,406 $ 15,158 $ 14,673
11/30/99 $ 22,105 $ 16,063 $ 16,224
12/31/99 $ 26,546 $ 17,882 $ 19,085
1/31/2000 $ 26,716 $ 17,594 $ 18,907
2/29/2000 $ 33,978 $ 20,498 $ 23,307
3/31/2000 $ 32,826 $ 19,148 $ 20,857
4/30/2000 $ 28,798 $ 17,995 $ 18,751
5/31/2000 $ 27,335 $ 16,946 $ 17,108
6/30/2000 $ 31,348 $ 18,423 $ 19,319
7/31/2000 $ 28,768 $ 17,830 $ 17,663
8/31/2000 $ 32,142 $ 19,191 $ 19,521
9/30/2000 $ 30,728 $ 18,626 $ 18,551
10/31/2000 $ 29,204 $ 17,796 $ 17,045
11/30/2000 $ 25,644 $ 15,968 $ 13,949
12/31/2000 $ 27,613 $ 17,340 $ 14,803
1/31/2001 $ 27,992 $ 18,243 $ 16,000
2/28/2001 $ 24,929 $ 17,046 $ 13,807
3/31/2001 $ 22,903 $ 16,213 $ 12,552
4/30/2001 $ 25,495 $ 17,481 $ 14,088
5/31/2001 $ 25,684 $ 17,911 $ 14,415
6/30/2001 $ 26,249 $ 18,529 $ 14,808
7/31/2001 $ 24,881 $ 17,526 $ 13,545
8/31/2001 $ 23,043 $ 16,960 $ 12,699
9/30/2001 $ 19,413 $ 14,677 $ 10,649
10/31/2001 $ 20,780 $ 15,536 $ 11,674
11/30/2001 $ 22,241 $ 16,738 $ 12,648
12/31/2001 $ 23,802 $ 17,771 $ 13,436
1/31/2002 $ 23,048 $ 17,586 $ 12,958
2/28/2002 $ 21,776 $ 17,104 $ 12,120
3/31/2002 $ 23,285 $ 18,478 $ 13,173
4/30/2002 $ 22,530 $ 18,646 $ 12,888
5/31/2002 $ 21,681 $ 17,818 $ 12,134
6/30/2002 $ 20,267 $ 16,934 $ 11,105
7/31/2002 $ 17,391 $ 14,377 $ 9,398
8/31/2002 $ 17,769 $ 14,341 $ 9,394
9/30/2002 $ 16,967 $ 13,312 $ 8,716
10/31/2002 $ 17,296 $ 13,739 $ 9,157
11/30/2002 $ 18,333 $ 14,965 $ 10,064
12/31/2002 $ 17,390 $ 14,131 $ 9,370
1/31/2003 $ 17,343 $ 13,740 $ 9,115
2/28/2003 $ 17,107 $ 13,325 $ 8,871
3/31/2003 $ 17,438 $ 13,497 $ 9,005
4/30/2003 $ 18,805 $ 14,776 $ 9,857
5/31/2003 $ 20,501 $ 16,361 $ 10,968
6/30/2003 $ 21,020 $ 16,658 $ 11,180
7/31/2003 $ 21,774 $ 17,700 $ 12,025
8/31/2003 $ 23,046 $ 18,511 $ 12,671
9/30/2003 $ 22,387 $ 18,169 $ 12,350
10/31/2003 $ 24,601 $ 19,695 $ 13,417
11/30/2003 $ 25,167 $ 20,394 $ 13,855
12/31/2003 $ 25,119 $ 20,808 $ 13,917
1/31/2004 $ 26,674 $ 21,711 $ 14,648
2/29/2004 $ 26,580 $ 21,906 $ 14,626
3/31/2004 $ 26,298 $ 22,110 $ 14,694
4/30/2004 $ 24,978 $ 20,982 $ 13,957
5/31/2004 $ 25,450 $ 21,316 $ 14,234
6/30/2004 $ 26,252 $ 22,213 $ 14,708
7/31/2004 $ 23,895 $ 20,719 $ 13,388
8/31/2004 $ 22,953 $ 20,613 $ 13,100
9/30/2004 $ 24,367 $ 21,580 $ 13,824
10/31/2004 $ 25,074 $ 22,005 $ 14,160
11/30/2004 $ 26,628 $ 23,913 $ 15,357
12/31/2004 $ 27,805 $ 24,620 $ 15,908
1/31/2005 $ 26,437 $ 23,594 $ 15,192
2/28/2005 $ 27,238 $ 23,992 $ 15,400
3/31/2005 $ 26,721 $ 23,306 $ 14,823
4/30/2005 $ 25,024 $ 21,971 $ 13,880
5/31/2005 $ 27,381 $ 23,410 $ 14,859
6/30/2005 $ 29,265 $ 24,313 $ 15,338
7/31/2005 $ 30,971 $ 25,854 $ 16,414
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the period, and does not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG SMALL CAP FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,171.08 1,020.38 4.79 4.46 0.89
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.89%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED YEAR ENDED OCTOBER 31,
------------------------- JULY 31, ---------------------------------------
2005 2004 2003(a) 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.07 $ 4.62 $ 3.67 $ 4.41 $ 18.78 $ 13.59
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)(b) (0.03)(b) (0.02)(b) (0.02)(b) (0.01) (0.09)
Net realized and unrealized gain
(loss) on investments 1.53 0.48 0.97 (0.72) (2.18) 6.80
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 1.50 0.45 0.95 (0.74) (2.19) 6.71
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS DECLARED TO
SHAREHOLDERS:
From net realized gains - - - -(c) (12.18) (1.52)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 6.57 $ 5.07 $ 4.62 $ 3.67 $ 4.41 $ 18.78
========== ========== ========== ========== ========== ==========
Total return (d) 29.59% 9.74% 25.89%(e) (16.76)% (28.84)% 50.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 30,317 $ 292,028 $ 293,924 $ 227,874 $ 283,521 $ 258,480
Ratio of net expenses to average net
assets (f) 0.85% 0.79% 0.81%(g) 0.79% 0.82% 0.79%
Ratio of net investment loss to
average net assets (f) (0.61)% (0.62)% (0.55)%(g) (0.49)% (0.22)% (0.39)%
Portfolio turnover rate 119% 123% 89%(e) 120% 160% 163%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
See Accompanying Notes to Financial Statements.
6
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (97.6%)
Consumer Discretionary (12.9%)
Diversified Consumer Services (0.9%)
Education Management Corp. (a) 7,792 $ 270,772
---------------
Hotels, Restaurants & Leisure (5.3%)
Applebee's International, Inc. 8,090 214,466
Buffalo Wild Wings, Inc. (a) 2,420 79,303
Cheesecake Factory, Inc. (a) 4,610 164,854
Cosi, Inc. (a) 9,090 76,992
P.F. Chang's China Bistro, Inc. (a) 5,750 327,693
RARE Hospitality International, Inc. (a) 11,390 354,912
Scientific Games Corp., Class A (a) 14,210 389,070
---------------
1,607,290
---------------
Household Durables (1.5%)
Tempur-Pedic International, Inc. (a) 26,250 451,762
---------------
Internet & Catalog Retail (1.0%)
Blue Nile, Inc. (a) 3,690 122,729
Netflix, Inc. (a) 5,010 92,986
Provide Commerce, Inc. (a) 3,710 87,742
---------------
303,457
---------------
Leisure Equipment & Products (1.1%)
Marvel Enterprises, Inc. (a) 8,830 171,213
SCP Pool Corp. 4,920 179,285
---------------
350,498
---------------
Media (1.2%)
Getty Images, Inc. (a) 3,040 245,480
Radio One, Inc., Class D (a) 8,260 109,115
---------------
354,595
---------------
Specialty Retail (1.9%)
Aeropostale, Inc. (a) 3,980 118,803
Children's Place Retail Stores, Inc. (a) 3,140 143,498
Maidenform Brands, Inc. (a) 3,200 58,400
PETCO Animal Supplies, Inc. (a) 8,890 247,764
---------------
568,465
---------------
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Consumer Staples (1.9%)
Food Products (0.9%)
Corn Products International, Inc. 11,980 $ 288,358
---------------
Household Products (0.4%)
Central Garden & Pet Co. (a) 2,440 122,415
---------------
Personal Products (0.6%)
Elizabeth Arden, Inc. (a) 7,380 177,784
---------------
Energy (7.1%)
Energy Equipment & Services (3.7%)
Atwood Oceanics, Inc. (a) 4,150 282,905
Cal Dive International, Inc. (a) 3,167 187,550
Core Laboratories NV (a) 5,580 179,676
FMC Technologies, Inc. (a) 5,330 193,213
Grey Wolf, Inc. (a) 37,400 286,858
---------------
1,130,202
---------------
Oil, Gas & Consumable Fuels (3.4%)
Arch Coal, Inc. 4,353 247,773
Carrizo Oil & Gas, Inc. (a) 8,150 163,815
Cheniere Energy, Inc. (a) 7,630 259,343
KFx, Inc. (a) 7,760 134,015
Southwestern Energy Co. (a) 3,600 198,396
Warren Resources, Inc. (a) 2,610 28,397
---------------
1,031,739
---------------
Financials (5.7%)
Capital Markets (1.7%)
Affiliated Managers Group, Inc. (a) 7,100 506,230
---------------
Commercial Banks (1.5%)
Signature Bank (a) 6,790 203,904
UCBH Holdings, Inc. 12,220 223,259
Umpqua Holdings Corp. 1,210 30,165
---------------
457,328
---------------
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Consumer Finance (0.6%)
First Cash Financial Services, Inc. (a) 7,170 $ 171,005
---------------
Insurance (1.4%)
Allmerica Financial Corp. (a) 3,220 125,580
ProAssurance Corp. (a) 7,130 306,305
---------------
431,885
---------------
Thrifts & Mortgage Finance (0.5%)
Sterling Financial Corp. (a) 4,200 163,926
---------------
Health Care (21.0%)
Biotechnology (4.6%)
Alexion Pharmaceuticals, Inc. (a) 5,110 133,064
Alkermes, Inc. (a) 6,480 100,440
CV Therapeutics, Inc. (a) 4,590 129,300
Digene Corp. (a) 9,130 265,592
Nabi Biopharmaceuticals (a) 13,850 207,612
Neurocrine Biosciences, Inc. (a) 3,000 148,740
Rigel Pharmaceuticals, Inc. (a) 9,740 210,822
United Therapeutics Corp. (a) 3,500 186,725
---------------
1,382,295
---------------
Health Care Equipment & Supplies (4.2%)
ArthroCare Corp. (a) 7,430 271,715
Haemonetics Corp. (a) 2,840 119,933
Kyphon, Inc. (a) 5,832 237,013
Nektar Therapeutics (a) 9,420 176,719
Possis Medical, Inc. (a) 11,660 136,422
ResMed, Inc. (a) 4,892 327,764
---------------
1,269,566
---------------
Health Care Providers & Services (8.7%)
AmSurg Corp. (a) 5,180 145,092
Cerner Corp. (a) 3,690 278,300
Chemed Corp. 2,290 98,470
DaVita, Inc. (a) 8,839 417,554
HealthExtras, Inc. (a) 22,890 455,282
ICON PLC, ADR (a) 10,360 405,594
IDX Systems Corp. (a) 6,860 219,520
LHC Group, Inc. (a) 10,230 179,844
Matria Healthcare, Inc. (a) 2,560 90,470
United Surgical Partners International, Inc. (a) 9,735 350,557
---------------
2,640,683
---------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Pharmaceuticals (3.5%)
Adams Respiratory Therapeutics, Inc. (a) 1,800 $ 53,100
MGI Pharma, Inc. (a) 9,670 263,991
NitroMed, Inc. (a) 7,770 180,575
Salix Pharmaceuticals Ltd. (a) 30,115 581,220
---------------
1,078,886
---------------
Industrials (17.1%)
Aerospace & Defense (2.5%)
Armor Holdings, Inc. (a) 3,670 150,030
BE Aerospace, Inc. (a) 21,630 379,174
Engineered Support Systems, Inc. 6,040 223,359
---------------
752,563
---------------
Air Freight & Logistics (0.5%)
UTI Worldwide, Inc. 1,860 132,730
---------------
Commercial Services & Supplies (4.4%)
Corporate Executive Board Co. 6,663 537,571
Huron Consulting Group, Inc. (a) 9,840 273,552
Kenexa Corp. (a) 13,540 172,364
Resources Connection, Inc. (a) 11,970 359,100
---------------
1,342,587
---------------
Construction & Engineering (1.8%)
Dycom Industries, Inc. (a) 5,260 128,344
URS Corp. (a) 11,280 422,436
---------------
550,780
---------------
Electrical Equipment (0.4%)
Roper Industries, Inc. 1,710 131,243
---------------
Industrial Conglomerates (0.5%)
Raven Industries, Inc. 5,070 133,949
---------------
Machinery (5.9%)
ESCO Technologies, Inc. (a) 1,470 161,141
IDEX Corp. 5,650 246,792
Joy Global, Inc. 8,380 344,167
Kennametal, Inc. 3,050 144,966
Terex Corp. (a) 7,940 384,455
Wabtec Corp. 20,640 504,235
---------------
1,785,756
---------------
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Marine (0.4%)
Dryships, Inc. 8,990 $ 128,557
---------------
Road & Rail (0.7%)
Landstar System, Inc. 6,350 211,582
---------------
Information Technology (26.9%)
Communications Equipment (5.0%)
F5 Networks, Inc. (a) 7,320 308,758
Ixia (a) 20,360 401,906
Packeteer, Inc. (a) 22,930 277,682
SiRF Technology Holdings, Inc. (a) 24,240 529,644
---------------
1,517,990
---------------
Computers & Peripherals (1.3%)
Komag, Inc. (a) 5,500 195,140
Stratasys, Inc. (a) 5,980 181,912
---------------
377,052
---------------
Electronic Equipment & Instruments (1.6%)
Benchmark Electronics, Inc. (a) 4,910 157,120
Dolby Laboratories, Inc., Class A (a) 3,640 69,269
Itron, Inc. (a) 2,450 118,703
Trimble Navigation Ltd. (a) 3,620 141,035
---------------
486,127
---------------
Internet Software & Services (1.6%)
Digital River, Inc. (a) 4,390 175,490
Equinix, Inc. (a) 6,850 303,935
---------------
479,425
---------------
IT Services (5.8%)
Anteon International Corp. (a) 8,830 414,568
CACI International, Inc., Class A (a) 7,630 501,978
Cognizant Technology Solutions Corp., Class A (a) 3,960 194,357
Euronet Worldwide, Inc. (a) 10,400 305,916
Global Payments, Inc. 5,124 339,414
---------------
1,756,233
---------------
Semiconductors & Semiconductor Equipment (6.4%)
ATMI, Inc. (a) 7,410 235,860
Cambridge Display Technology, Inc. (a) 11,080 91,742
ChipMOS TECHNOLOGIES (Bermuda) Ltd. (a) 11,430 79,553
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (continued)
FEI Co. (a) 7,050 $ 159,965
FormFactor, Inc. (a) 14,610 381,905
Hittite Microwave Corp. (a) 12,430 240,893
Microsemi Corp. (a) 18,550 396,043
PortalPlayer, Inc. (a) 2,880 69,120
Trident Microsystems, Inc. (a) 7,280 237,619
Volterra Semiconductor Corp. (a) 3,900 45,279
---------------
1,937,979
---------------
Software (5.2%)
Agile Software Corp. (a) 15,640 101,504
Embarcadero Technologies, Inc. (a) 38,640 241,500
Epicor Software Corp. (a) 18,960 281,177
Hyperion Solutions Corp. (a) 2,950 138,827
Macromedia, Inc. (a) 6,530 262,179
Micromuse, Inc. (a) 23,500 132,775
Parametric Technology Corp. (a) 34,740 239,706
Serena Software, Inc. (a) 3,850 79,002
The9 Ltd., ADR (a) 4,750 108,490
---------------
1,585,160
---------------
Materials (2.4%)
Chemicals (1.5%)
Airgas, Inc. 4,280 126,260
OM Group, Inc. (a) 14,810 346,998
---------------
473,258
---------------
Metals & Mining (0.9%)
Allegheny Technologies, Inc. 5,280 153,490
Century Aluminum Co. (a) 4,570 111,828
---------------
265,318
---------------
Telecommunication Services (2.6%)
Diversified Telecommunication Services (0.4%)
Premiere Global Services, Inc. (a) 12,530 128,056
---------------
Wireless Telecommunication Services (2.2%)
Dobson Communications Corp., Class A (a) 14,950 105,397
InPhonic, Inc. (a) 6,180 98,880
Millicom International Cellular SA (a) 11,620 246,809
SBA Communications Corp., Class A (a) 12,640 209,698
---------------
660,784
---------------
Total Common Stocks
(Cost of $22,944,182) 29,596,270
---------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Short-Term Obligation (1.4%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 02/15/10, market value of $431,194
(repurchase proceeds $420,111) $ 420,000 $ 420,000
---------------
Total Short-Term Obligation
(Cost of $420,000) 420,000
---------------
Total Investments (99.0%)
(Cost of $23,364,182) (b) 30,016,270
Other Assets & Liabilities, Net (1.0%) 300,560
---------------
Net Assets (100.0%) $ 30,316,830
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $24,212,643.
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ---------------
Information Technology 26.9%
Health Care 21.0
Industrials 17.1
Consumer Discretionary 12.9
Energy 7.1
Financials 5.7
Telecommunication Services 2.6
Materials 2.4
Consumer Staples 1.9
Short-Term Obligation 1.4
Other Assets & Liabilities, Net 1.0
---------------
100.0%
===============
</Table>
<Table>
<Caption>
ACRONYM NAME
- ------- ----
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2005
<Table>
ASSETS:
Investments, at identified cost $ 23,364,182
---------------
Investments, at value $ 30,016,270
Cash 163,884
Receivable for:
Investments sold 868,868
Interest 111
Dividends 292
Deferred Trustees' compensation plan 4,748
---------------
Total assets 31,054,173
---------------
LIABILITIES:
Payable for:
Investments purchased 665,247
Investment advisory fee 24,351
Transfer agent fee 34
Trustees' fees 79
Chief compliance officer expenses and fees 269
Audit fee 25,240
Custody fee 1,137
Deferred Trustees' fees 4,748
Other liabilities 16,238
---------------
Total liabilities 737,343
---------------
NET ASSETS $ 30,316,830
===============
NET ASSETS consist of:
Paid-in capital $ 16,802,530
Accumulated net investment loss (5,022)
Accumulated net realized gain 6,867,234
Net unrealized appreciation on investments 6,652,088
---------------
NET ASSETS $ 30,316,830
===============
Shares of capital stock outstanding 4,614,495
===============
Net asset value, offering and redemption price per share $ 6.57
===============
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2005
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 205,923
Interest 60,365
Foreign taxes withheld (683)
---------------
Total income 265,605
---------------
Expenses:
Investment advisory fee 837,140
Transfer agent fee 500
Trustees' fees 11,318
Custody fee 24,796
Chief compliance officer expenses and fees (See Note 4) 3,001
Non-recurring costs (See Note 8) 1,855
Other expenses 66,441
---------------
Total expenses 945,051
Non-recurring costs assumed by Investment Advisor (See Note 8) (1,855)
---------------
Net expenses 943,196
---------------
Net investment loss (677,591)
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments 46,457,512
Net change in unrealized appreciation (depreciation) on investments (25,488,632)
---------------
Net gain 20,968,880
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 20,291,289
===============
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED JULY 31,
----------------------------------
2005 2004
--------------- ---------------
Operations:
Net investment loss $ (677,591) $ (2,093,298)
Net realized gain on investments 46,457,512 59,673,743
Net change in unrealized appreciation (depreciation) on investments (25,488,632) (26,262,756)
--------------- ---------------
Net increase from operations 20,291,289 31,317,689
--------------- ---------------
Share Transactions:
Subscriptions 4,562,259 36,596,397
Redemptions (286,564,984) (69,810,079)
--------------- ---------------
Net decrease from share transactions (282,002,725) (33,213,682)
--------------- ---------------
Total decrease in net assets (261,711,436) (1,895,993)
--------------- ---------------
NET ASSETS:
Beginning of period 292,028,266 293,924,259
--------------- ---------------
End of period $ 30,316,830 $ 292,028,266
=============== ===============
Accumulated net investment loss $ (5,022) $ (2,269)
=============== ===============
Changes in shares:
Subscriptions 801,259 7,088,643
Redemptions (53,836,059) (13,033,571)
--------------- ---------------
Net decrease (53,034,800) (5,944,928)
=============== ===============
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2005
NOTE 1. ORGANIZATION:
CMG Small Cap Fund (the "Fund"), a series of CMG Fund Trust (the "Trust"), is a
diversified portfolio. The Trust is an Oregon business trust registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company.
INVESTMENT GOAL. The Fund seeks to provide investors with long-term capital
appreciation, by investing primarily in smaller capitalization companies.
FUND SHARES. The Fund may issue an unlimited number of shares of no par value
capital stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
SECURITY VALUATION. Equity securities are valued at the last sale price on the
principal exchange on which they trade, except for securities traded on the
NASDAQ, which are valued at the NASDAQ official close price. Unlisted securities
or listed securities for which there were no sales during the day are valued at
the closing bid price on such exchanges or over-the-counter markets.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Investments for which market quotations are not readily available, or quotations
which management believes are not appropriate, are valued at fair value as
determined in good faith under consistently applied procedures established by
and under the general supervision of the Board of Trustees. If a security is
valued at a "fair value", such value is likely to be different from the last
quoted market price for the security.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions
with institutions that the Fund's investment advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon the Fund's ability to dispose of the underlying securities and
a possible decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights.
17
<Page>
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date. Awards from class
action litigation are recorded as a reduction of cost if the Fund still owns the
applicable securities on the payment date. If the Fund no longer owns the
applicable securities, the proceeds are recorded as realized gains.
FEDERAL INCOME TAX STATUS. The Fund intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and will distribute substantially all of its taxable income, if any, for its tax
year, and as such will not be subject to federal income taxes. In addition, the
Fund intends to distribute in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, such that
the Fund should not be subject to federal excise tax. Therefore, no federal
income or excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
NOTE 3. FEDERAL TAX INFORMATION:
The timing and character of income and capital gain distributions, if any, are
determined in accordance with income tax regulations, which may differ from
GAAP. Reclassifications are made to the Fund's capital accounts for permanent
tax differences to reflect income and gains available for distribution (or
available capital loss carryforwards) under income tax regulations.
For the year ended July 31, 2005, permanent book and tax basis differences
resulting primarily from differing treatments for net operating losses were
identified and reclassified among the components of the Fund's net assets as
follows:
<Table>
<Caption>
ACCUMULATED ACCUMULATED
NET INVESTMENT LOSS NET REALIZED GAIN PAID-IN CAPITAL
------------------- ----------------- ---------------
$ 674,838 $ - $ (674,838)
</Table>
Net investment income and net realized gains (losses), as disclosed on the
Statement of Operations, and net assets were not affected by this
reclassification.
As of July 31, 2005, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM NET UNREALIZED
INCOME CAPITAL GAINS APPRECIATION*
------------------- ----------------- ---------------
$ - $ 7,715,695 $ 5,803,627
</Table>
* The differences between book-basis and tax-basis net unrealized
appreciation are primarily due to deferral of losses from wash sales.
Unrealized appreciation and depreciation at July 31, 2005, based on cost of
investments for federal income tax purposes was:
<Table>
Unrealized appreciation $ 6,175,093
Unrealized depreciation (371,466)
------------
Net unrealized appreciation $ 5,803,627
============
</Table>
18
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Capital loss carryforwards of $38,443,526 were utilized during the year ended
July 31, 2005 for the Fund.
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Fund and provides administrative and other services to
the Fund. Effective on or about September 30, 2005, Columbia Management
Advisors, Inc. will undergo a name change to Columbia Management Advisors, LLC.
Columbia receives a monthly investment advisory fee at the annual rate of 0.75%
of the Fund's average daily net assets.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing services to
the Fund under a pricing, bookkeeping and fund administration agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of those functions to State Street Corporation ("State Street"). As a result,
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Fund and has
subcontracted with Boston Financial Data Services ("BFDS") to serve as
sub-transfer agent. For such services, the Transfer Agent receives a fee, paid
monthly, at the annual rate of $28.00 per open account.
Effective on or about September 30, 2005, Columbia Funds Services, Inc. will
undergo a name change to Columbia Management Services, Inc.
For the year ended July 31, 2005, the Fund's effective transfer agent fee rate
was less than 0.01%.
CUSTODY CREDITS. The Fund has an agreement with its custodian bank under which
custody fees may be reduced by balance credits. These credits are recorded as a
reduction of total expenses on the Statement of Operations. The Fund could have
invested a portion of the assets utilized in connection with the expense offset
arrangement in an income-producing asset if it had not entered into such an
agreement. For the year ended July 31, 2005, there were no such credits.
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Fund are employees of Columbia or its affiliates and receive no
compensation from the Fund. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Fund in accordance with federal
securities regulations. The Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Office of the Chief
Compliance Officer. The Fund's fee will not exceed $15,000 per year.
OTHER. Columbia provides certain services to the Fund related to Sarbanes-Oxley
compliance. For the year ended July 31, 2005, the Fund paid $1,613 to Columbia
for such services. This amount is included in "Other expenses" on the Statement
of Operations.
NOTE 5. PORTFOLIO INFORMATION:
For the year ended July 31, 2005, the cost of purchases and proceeds from sales
of securities, excluding short-term obligations, were $131,866,343 and
$409,289,597, respectively.
19
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NOTE 6. LINE OF CREDIT:
The Fund and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in "Other expenses" on the Statement
of Operations.
For the year ended July 31, 2005, the Fund did not borrow under this
arrangement.
NOTE 7. SHARES OF BENEFICIAL INTEREST:
As of July 31, 2005, the Fund had shareholders whose shares were beneficially
owned by participant accounts over which Bank of America and/or its affiliates
had either sole or joint investment discretion. Subscription and redemption
activity of these accounts may have a significant effect on the operations of
the Fund. The number of such accounts and the percentage of shares of beneficial
interest outstanding held therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
1 16.2%
</Table>
As of July 31, 2005, the Fund also had other shareholders that held greater than
5% of the shares outstanding. Subscription and redemption activity of these
accounts may have a significant effect on the operations of the Fund. The number
of such accounts and the percentage of shares of beneficial interest outstanding
held therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
5 73.7%
</Table>
NOTE 8. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
INDUSTRY FOCUS. The Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia and the Distributor
(collectively, the "Columbia Group") entered into an Assurance of Discontinuance
with the New York Attorney General ("NYAG") (the "NYAG Settlement") and
consented to the entry of a cease-and-desist order by the Securities and
Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and the NYAG
Settlement are referred to collectively as the "Settlements." The Settlements
contain substantially the same terms and conditions as outlined in the
agreements in principle which Columbia Group entered into with the SEC and NYAG
in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds
20
<Page>
have also undertaken to implement certain governance measures designed to
maintain the independence of their boards of trustees. The NYAG Settlement also,
among other things, requires Columbia and its affiliates, Banc of America
Capital Management, LLC and BACAP Distributors, LLC to reduce certain Columbia
Funds, Nations Funds and other mutual funds management fees collectively by $32
million per year for five years, for a projected total of $160 million in
management fee reductions.
Pursuant to the procedures set forth in the SEC order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Fund's independent trustees and not unacceptable to
the staff of the SEC. At this time, the distribution plan is still under
development. As such, any gain to the Fund or its shareholders can not currently
be determined.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in detail above, various parties have
filed suit against certain funds, the Trustees of the Columbia Funds,
FleetBoston Financial Corporation and its affiliated entities and/or Bank of
America and its affiliated entities. More than 300 cases including those filed
against entities unaffiliated with the funds, their Boards, FleetBoston
Financial Corporation and its affiliated entities and/or Bank of America and its
affiliated entities have been transferred to the Federal District Court in
Maryland and consolidated in a multi-district proceeding (the "MDL").
The derivative cases purportedly brought on behalf of the Columbia Funds in the
MDL have been consolidated under the lead case. The fund derivative plaintiffs
allege that the funds were harmed by market timing and late trading activity and
seek, among other things, the removal of the trustees of the Columbia Funds,
removal of the Columbia Group, disgorgement of all management fees and monetary
damages.
On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts
state court alleging that the conduct, including market timing, entitles Class B
shareholders in certain Columbia Funds to an exemption from contingent deferred
sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has
been removed to federal court in Massachusetts and the federal Judicial Panel
has transferred the CDSC Lawsuit to the MDL.
The MDL is ongoing. Accordingly, an estimate of the financial impact of this
litigation on any Fund, if any, cannot currently be made.
On January 11, 2005, a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the
Columbia Funds and Columbia. The lawsuit alleges that defendants violated common
law duties to fund shareholders as well as sections of the Investment Company
Act of 1940, by failing to ensure that the Fund and other affiliated funds
participated in securities class action settlements for which the funds were
eligible. Specifically, plaintiffs allege that defendants failed to submit proof
of claims in connection with settlements of securities class action lawsuits
filed against companies in which the funds held positions.
In 2004, certain Columbia Funds, advisers and affiliated entities were named as
defendants in certain purported shareholder class and derivative actions making
claims, including claims under the Investment Company and the Investment
Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees
and expenses paid by the funds
21
<Page>
are excessive and that the advisers and their affiliates inappropriately used
fund assets to distribute the funds and for other improper purpose. On March 2,
2005, the actions were consolidated in the Massachusetts federal court as IN RE
COLUMBIA ENTITIES LITIGATION. The plaintiffs filed a consolidated amended
complaint on June 9, 2005.
The Fund and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the Fund.
For the year ended July 31, 2005, Columbia has assumed $1,855 of legal,
consulting services and Trustees' fees incurred by the Fund in connection with
these matters.
22
<Page>
Report of Independent Registered Public Accounting Firm
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG SMALL CAP FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Small Cap Fund (the "Fund"), a
portfolio of CMG Fund Trust, at July 31, 2005, and the results of its
operations, the changes in its net assets, and its financial highlights for the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States), which require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at July 31, 2005 by correspondence with the custodian and brokers,
provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 23, 2005
23
<Page>
Unaudited Information
FEDERAL INCOME TAX INFORMATION
For the fiscal year ended July 31, 2005, the Fund designates long-term capital
gains of $7,715,695.
24
<Page>
Trustees
The Trustees/Directors serve terms of indefinite duration. The names, addresses
and ages of the Trustees/Directors and officers of the Funds in the Columbia
Funds Complex, the year each was first elected or appointed to office, their
principal business occupations during at least the last five years, the number
of portfolios overseen by each Trustee/Director and other directorships they
hold are shown below. Each officer listed below serves as an officer of each
Fund in the Columbia Funds Complex.
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- -------------------------------------------------------- ---------------------------------------------------------------------
DISINTERESTED TRUSTEES
Douglas A. Hacker (age 49) Executive Vice President--Strategy of United Airlines (airline) since
P.O. Box 66100 December, 2002 (formerly President of UAL Loyalty Services (airline)
Chicago, IL 60666 from September, 2001 to December, 2002; Executive Vice President and
Trustee (since 2003) Chief Financial Officer of United Airlines from July, 1999 to
September, 2001; Senior Vice President--Finance from March, 1993 to
July, 1999). Oversees 101, Nash Finch Company (food distributor)
Janet Langford Kelly (age 47) Partner, Zelle, Hofmann, Voelbel, Mason & Gette LLP (law firm);
9534 W. Gull Lake Drive Adjunct Professor of Law, Northwestern University, since September,
Richland, MI 49083-8530 2004 (formerly Chief Administrative Officer and Senior Vice President,
Trustee (since 2003) Kmart Holding Corporation (consumer goods), from September, 2003 to
March, 2004; Executive Vice President--Corporate Development and
Administration, General Counsel and Secretary, Kellogg Company (food
manufacturer), from September, 1999 to August, 2003; Senior Vice
President, Secretary and General Counsel, Sara Lee Corporation
(branded, packaged, consumer-products manufacturer) from January, 1995
to September, 1999). Oversees 101, None
Richard W. Lowry (age 69) Private Investor since August, 1987 (formerly Chairman and Chief
10701 Charleston Drive Executive Officer, U.S. Plywood Corporation (building products
Vero Beach, FL 32963 manufacturer)). Oversees 103(3), None
Trustee (since 2003)
Charles R. Nelson (age 62) Professor of Economics, University of Washington, since January, 1976;
Department of Economics Ford and Louisa Van Voorhis Professor of Political Economy, University
University of Washington of Washington, since September, 1993 (formerly Director, Institute for
Seattle, WA 98195 Economic Research, University of Washington from September, 2001 to
Trustee (since 2003) June, 2003) Adjunct Professor of Statistics, University of Washington,
since September, 1980; Associate Editor, Journal of Money Credit and
Banking, since September, 1993; consultant on econometric and
statistical matters. Oversees 101, None
John J. Neuhauser (age 63) Academic Vice President and Dean of Faculties since August, 1999,
84 College Road Boston College (formerly Dean, Boston College School of Management
Chestnut Hill, MA 02467-3838 from September, 1977 to August, 1999). Oversees 103(3), Saucony, Inc.
Trustee (since 2003) (athletic footwear)
Patrick J. Simpson (age 61) Partner, Perkins Coie L.L.P. (law firm). Oversees 101, None
1120 N.W. Couch Street
Tenth Floor
Portland, OR 97209-4128
Trustee (since 2000)
</Table>
25
<Page>
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- -------------------------------------------------------- ---------------------------------------------------------------------
DISINTERESTED TRUSTEES
Thomas E. Stitzel (age 69) Business Consultant since 1999 (formerly Professor of Finance from
2208 Tawny Woods Place 1975 to 1999, College of Business, Boise State University); Chartered
Boise, ID 83706 Financial Analyst. Oversees 101, None
Trustee (since 2003)
Thomas C. Theobald (age 68) Partner and Senior Advisor, Chicago Growth Partners (private equity
8 Sound Shore Drive, investing) since September, 2004 (formerly Managing Director, William
Suite 285 Blair Capital Partners (private equity investing) from September, 1994
Greenwich, CT 06830 to September, 2004). Oversees 101, Anixter International (network
Trustee and Chairman of the Board(4) (since 2003) support equipment distributor); Ventas, Inc. (real estate investment
trust); Jones Lang LaSalle (real estate management services) and Ambac
Financial Group (financial guaranty insurance)
Anne-Lee Verville (age 59) Retired since 1997 (formerly General Manager, Global Education
359 Stickney Hill Road Industry, IBM Corporation (computer and technology) from 1994 to
Hopkinton, NH 03229 1997). Oversees 101, Chairman of the Board of Directors, Enesco Group,
Trustee (since 2003) Inc. (designer, importer and distributor of giftware and collectibles)
Richard L. Woolworth (age 64) Retired since December 2003 (formerly Chairman and Chief Executive
100 S.W. Market Street Officer, The Regence Group (regional health insurer); Chairman and
#1500 Portland, OR 97207 Chief Executive Officer, BlueCross BlueShield of Oregon; Certified
Trustee (since 1992) Public Accountant, Arthur Young & Company). Oversees 101, Northwest
Natural Gas Co. (natural gas service provider)
INTERESTED TRUSTEE
William E. Mayer(2) (age 65) Partner, Park Avenue Equity Partners (private equity) since February,
399 Park Avenue 1999 (formerly Partner, Development Capital LLC from November 1996 to
Suite 3204 February, 1999). Oversees 103(3), Lee Enterprises (print media), WR
New York, NY 10022 Hambrecht + Co. (financial service provider); Reader's Digest
Trustee (since 2003) (publishing); OPENFIELD Solutions (retail industry technology
provider)
</Table>
- ----------
(1) In December 2000, the boards of each of the former Liberty Funds and former
Stein Roe Funds were combined into one board of trustees responsible for
the oversight of both fund groups (collectively, the "Liberty Board"). In
October 2003, the trustees on the Liberty Board were elected to the boards
of the Columbia Funds (the "Columbia Board") and of the CMG Fund Trust (the
"CMG Funds Board"); simultaneous with that election, Patrick J. Simpson and
Richard L. Woolworth, who had been directors on the Columbia Board and
trustees on the CMG Funds Board, were appointed to serve as trustees of the
Liberty Board. The date shown is the earliest date on which a
trustee/director was elected or appointed to the board of a Fund in the
Columbia Funds Complex.
(2) Mr. Mayer is an "interested person" (as defined in the Investment Company
Act of 1940 (1940 Act)) by reason of his affiliation with WR Hambrecht +
Co.
(3) Messrs. Lowry, Neuhauser and Mayer also serve as directors/trustees of the
Liberty All-Star Funds, currently consisting of 2 funds, which are advised
by an affiliate of the Advisor.
(4) Mr. Theobald was appointed as Chairman of the Board effective December 10,
2003.
The Statement of Additional Information includes additional information about
the Trustees of the Funds and is available, without charge, upon request by
calling 800-426-3750.
26
<Page>
Officers
<Table>
<Caption>
NAME, ADDRESS AND AGE, POSITION WITH
COLUMBIA FUNDS, YEAR FIRST ELECTED OR
APPOINTED TO OFFICE PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- -------------------------------------------------------- ---------------------------------------------------------------------
Christopher L. Wilson (age 48) Head of Mutual Funds since August, 2004 and Senior Vice President of
One Financial Center the Advisor since January, 2005; President of the Columbia Funds,
Boston, MA 02111 Liberty Funds and Stein Roe Funds since October, 2004; President and
President (since 2004) Chief Executive Officer of the Nations Funds since January, 2005;
President of the Galaxy Funds since April 2005; Director of Bank of
America Global Liquidity Funds, plc since May 2005; Director of Banc
of America Capital Management (Ireland), Limited since May 2005;
Senior Vice President of BACAP Distributors LLC since January, 2005;
Director of FIM Funding, Inc. since January, 2005; Senior Vice
President of Columbia Funds Distributor, Inc. since January, 2005;
Director of Columbia Funds Services, Inc. since January, 2005
(formerly President and Chief Executive Officer, CDC IXIS Asset
Management Services, Inc. from September, 1998 to August, 2004).
J. Kevin Connaughton (age 41) Treasurer of the Columbia Funds since October, 2003 and of the Liberty
One Financial Center Funds, Stein Roe Funds and All-Star Funds since December, 2000; Vice
Boston, MA 02111 President of the Advisor since April, 2003 (formerly President of the
Treasurer (since 2000) Columbia Funds, Liberty Funds and Stein Roe Funds from February, 2004
to October, 2004; Chief Accounting Officer and Controller of the
Liberty Funds and All-Star Funds from February, 1998 to October,
2000); Treasurer of the Galaxy Funds since September, 2002 (formerly
Treasurer from December, 2002 to December, 2004 and President from
February, 2004 to December, 2004 of the Columbia Management
Multi-Strategy Hedge Fund, LLC; Vice President of Colonial Management
Associates, Inc. from February, 1998 to October, 2000).
Mary Joan Hoene (age 54) Senior Vice President and Chief Compliance Officer of the Columbia
40 West 57th Street Funds, Liberty Funds, Stein Roe Funds and All-Star Funds since August,
New York, NY 10005 2004 (formerly Partner, Carter, Ledyard & Milburn LLP from January,
Senior Vice President and Chief Compliance 2001 to August, 2004; Counsel, Carter, Ledyard & Milburn LLP from
Officer (since 2004) November, 1999 to December, 2000; Vice President and Counsel,
Equitable Life Assurance Society of the United States from April, 1998
to November, 1999).
Michael G. Clarke (age 35) Chief Accounting Officer of the Columbia Funds, Liberty Funds, Stein
One Financial Center Roe Funds and All-Star Funds since October, 2004 (formerly Controller
Boston, MA 02111 of the Columbia Funds, Liberty Funds, Stein Roe Funds and All-Star
Chief Accounting Officer (since 2004) Funds from May, 2004 to October, 2004; Assistant Treasurer from June,
2002 to May, 2004; Vice President, Product Strategy & Development of
the Liberty Funds and Stein Roe Funds from February, 2001 to June,
2002; Assistant Treasurer of the Liberty Funds, Stein Roe Funds and
the All-Star Funds from August, 1999 to February, 2001; Audit Manager,
Deloitte & Touche LLP from May, 1997 to August, 1999).
Jeffrey R. Coleman (age 35) Controller of the Columbia Funds, Liberty Funds, Stein Roe Funds and
One Financial Center All-Star Funds since October, 2004 (formerly Vice President of CDC
Boston, MA 02111 IXIS Asset Management Services, Inc. and Deputy Treasurer of the CDC
Controller (since 2004) Nvest Funds and Loomis Sayles Funds from February, 2003 to September,
2004; Assistant Vice President of CDC IXIS Asset Management Services,
Inc. and Assistant Treasurer of the CDC Nvest Funds from August, 2000
to February, 2003; Tax Manager of PFPC, Inc. from November, 1996 to
August, 2000).
R. Scott Henderson (age 46) Secretary of the Columbia Funds, Liberty Funds and Stein Roe Funds
One Financial Center since December, 2004 (formerly Of Counsel, Bingham McCutchen from
Boston, MA 02111 April, 2001 to September, 2004; Executive Director and General
Secretary (since 2004) Counsel, Massachusetts Pension Reserves Investment Management Board
from September, 1997 to March, 2001).
</Table>
27
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MA 02110-2624
- TRANSFER AGENT -
COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
SHC-42/89539-0805 (09/05) 05/7659
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30 is available from
the SEC's website. Information regarding how the fund voted proxies relating to
portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA MANAGEMENT
DISTRIBUTORS, INC. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Management Distributors, Inc., One Financial
Center, Boston, Massachusetts 02111-2621
<Page>
[COLUMBIA MANAGEMENT(R) LOGO]
CMG STRATEGIC EQUITY FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2005
NOT FDIC MAY LOSE VALUE
INSURED -------------------
NO BANK GUARANTEE
Advised by Columbia Management Advisors, Inc.
Columbia Management is the primary investment management division of Banc of
America Corporation. Columbia Management entities furnish investment management
services and advise institutional and mutual fund portfolios.
Columbia Management Advisors, Inc. will combine with Banc of America Capital
Management, LLC on or about September 30, 2005. At that time, the newly combined
advisor will undergo a name change to Columbia Management Advisors, LLC and will
continue to operate as a SEC-registered investment advisor, wholly-owned
subsidiary of Bank of America, N.A. and part of Columbia Management.
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Strategic Equity Fund returned 16.77% for the 12-month period ended July 31,
2005. The fund outperformed the S&P 500 Index(1) and the Lipper Multi-Cap Core
Funds average(2), which returned 14.05% and 16.39%, respectively. The fund's
performance was driven by strong stock selection, particularly in the materials,
consumer discretionary and health care sectors. In addition, the energy sector
made the greatest overall contribution to the fund's return. The fund's
defensive stance and larger-than-average cash position reined in performance.
Throughout the reporting period, we focused on the potential beneficiaries of
rising commodity prices. We believe that emerging markets have propelled demand
for energy and raw materials, and companies in these sectors benefited as prices
were driven upward by increased demand and limited supply. In the energy sector,
the fund's oil service and offshore exploration holdings benefited from
heightened demand. Transocean, TGS Nopec Geophysical and Newfield Exploration
were all strong contributors. One disappointment in this sector was
Input/Output, which suffered revenue disappointments and was sold. In the
materials sector, Potash Corp. of Saskatchewan gained nearly 121% for the fund
as a result of higher prices and greater demand for Potash. Companhia Vale do
Rio Doce, a leading iron ore miner, was up 85% for the fund as it benefited from
strong demand for iron ore. Our focus on commodities extended to the industrials
sector, where we targeted capital equipment producers that appeared well
positioned in the favorable environment. Caterpillar and Bucyrus International
were two such companies and gained 50% and 79% for the fund, respectively. Not
all industrials names were winners, however: 3M's decline in stock price
detracted from performance.(3)
The consumer discretionary sector was a strong area for the portfolio, with
several foreign holdings leading performance. Finnish companies Nokian Renkaat
Oyj, a tire company, and Stockmann Oyj Abp, a department store retailer,
benefited from growth in Eastern European markets. Grupo Televisa SA, a large
Mexican media company, advanced in a better business climate. The fund's
holdings in the health care sector generally performed well, and the sector was
another strong contributor to the portfolio's return. However, some large
pharmaceutical companies detracted from the group's return. Eli Lilly declined
on poor sales reports, and Pfizer struggled with risks associated with a popular
pain management drug, litigation and patent expiration. Also on the downside,
Biogen Idec and Elan declined on the announcement of a voluntary suspension in
the marketing of Tysabri, a treatment for multiple sclerosis.
Various other sectors contributed to results. Among consumer staples stocks,
Walgreen benefited from robust sales and Gillette from being aquired by Procter
& Gamble. Avon Products, however, hurt performance due to disappointing earnings
and concerns about the company's distribution model in Asian markets. The fund's
information technology stocks also outperformed the index, as did holdings in
the utilities sector.
We continued to shift the fund's emphasis from small- and mid-cap stocks and
value names toward large-cap companies with higher growth potential. As the
current economic recovery matures, we plan to seek out companies with less
sensitivity to economic cycles and an ability to maintain stable growth.
However, we remain cautious about putting cash to work too quickly, as we
believe that recent interest rate increases could result in some slowing in
2006.
1
<Page>
In addition, we will continue to evaluate investment opportunities overseas,
considering areas with compelling growth trends and reasonable prices.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were:
<Table>
<Caption>
(%)
Schlumberger 1.1
Samsung Electronics 1.1
Potash Corp. of Saskatchewan 1.0
Berkshire Hathaway 0.9
Walgreen 0.9
Microsoft 0.8
Coca-Cola 0.8
Nokian Renkaat Oyj 0.8
Gillette 0.8
Transocean 0.7
</Table>
We appreciate your continued confidence in CMG Strategic Equity Fund.
Robert A. Unger has managed or co-managed the CMG Strategic Equity Fund since
its inception and has been with the advisor or its predecessors or affiliate
organizations since 1984.
/s/ Robert A. Unger
Emil A. Gjester has co-managed the fund since January 2004 and has been with the
advisor or its predecessors or affiliate organizations since 1996.
/s/ Emil A. Gjester
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
International investing may involve certain risks, including foreign taxation,
currency fluctuations, risks associated with possible differences in financial
standards and other monetary and political risks.
- ----------
(1) The Standard & Poor's (S&P) 500 Index is an unmanaged index that tracks the
performance of 500 widely held, large-capitalization U.S. stocks. Unlike
the fund, indices are not investments, do not incur fees or expenses and
are not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
(3) Holdings are disclosed as a percentage of net assets on July 31, 2005, and
are subject to change: Transocean (0.7%), TGS Nopec Geophysical (0.4%),
Newfield Exploration (0.7%), Potash Corp. of Saskatchewan (1.0%), Companhia
Vale do Rio Doce (0.4%), Caterpillar (0.7%), Bucyrus International (0.1%) ,
3M (0.4%), Nokian Renkaat Oyj (0.8%), Stockmann Oyj Abp (0.5%), Grupo
Televisa SA (0.4%), Eli Lilly (0.5%), Pfizer (0.5%), Biogen Idec (0.5%),
Elan (0.2%), Walgreen (0.9%), Gillette (0.8%), Avon Products (0.2%).
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee that the
fund will continue to maintain the holdings breakdown listed. The fund's
holdings and their weighting within the portfolio may change as market
conditions change.
2
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 16.77 14.13
S&P 500 Index 14.05 5.95
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 7.35 13.24
S&P 500 Index 6.32 5.05
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, OCTOBER 9, 2001 TO JULY 31, 2005
<Table>
<Caption>
CMG STRATEGIC EQUITY FUND S&P 500 INDEX
10/9/2001 $ 10,000 $ 10,000
10/31/2001 $ 10,100 $ 10,033
11/30/2001 $ 11,040 $ 10,803
12/31/2001 $ 11,386 $ 10,898
1/31/2002 $ 11,315 $ 10,738
2/28/2002 $ 11,295 $ 10,531
3/31/2002 $ 11,956 $ 10,927
4/30/2002 $ 11,816 $ 10,265
5/31/2002 $ 11,836 $ 10,189
6/30/2002 $ 11,286 $ 9,464
7/31/2002 $ 10,494 $ 8,726
8/31/2002 $ 10,565 $ 8,783
9/30/2002 $ 9,633 $ 7,828
10/31/2002 $ 10,154 $ 8,517
11/30/2002 $ 11,025 $ 9,019
12/31/2002 $ 10,357 $ 8,490
1/31/2003 $ 10,105 $ 8,267
2/28/2003 $ 9,954 $ 8,143
3/31/2003 $ 9,924 $ 8,222
4/30/2003 $ 10,800 $ 8,900
5/31/2003 $ 11,606 $ 9,369
6/30/2003 $ 11,757 $ 9,489
7/31/2003 $ 12,150 $ 9,656
8/31/2003 $ 12,603 $ 9,844
9/30/2003 $ 12,462 $ 9,739
10/31/2003 $ 13,137 $ 10,291
11/30/2003 $ 13,398 $ 10,381
12/31/2003 $ 14,009 $ 10,925
1/31/2004 $ 14,256 $ 11,126
2/29/2004 $ 14,513 $ 11,281
3/31/2004 $ 14,543 $ 11,111
4/30/2004 $ 14,338 $ 10,936
5/31/2004 $ 14,430 $ 11,086
6/30/2004 $ 14,799 $ 11,301
7/31/2004 $ 14,163 $ 10,927
8/31/2004 $ 14,214 $ 10,971
9/30/2004 $ 14,542 $ 11,089
10/31/2004 $ 14,676 $ 11,259
11/30/2004 $ 15,455 $ 11,715
12/31/2004 $ 15,962 $ 12,113
1/31/2005 $ 15,571 $ 11,818
2/28/2005 $ 15,984 $ 12,066
3/31/2005 $ 15,734 $ 11,852
4/30/2005 $ 15,322 $ 11,627
5/31/2005 $ 15,757 $ 11,997
6/30/2005 $ 15,888 $ 12,014
7/31/2005 $ 16,540 $ 12,462
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the period, and does not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
Index performance is from October 9, 2001.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG STRATEGIC EQUITY FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) FUND'S ANNUALIZED
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL EXPENSE RATIO (%)
1,000.00 1,000.00 1,062.09 1,022.81 2.05 2.01 0.40
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.40%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
4
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD YEAR PERIOD
YEAR ENDED JULY 31, ENDED ENDED ENDED
------------------------------ JULY 31, OCTOBER 31, OCTOBER 31,
2005 2004 2003 (a) 2002 2001 (b)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.80 $ 12.06 $ 10.14 $ 10.10 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.19(c)(d) 0.12(c) 0.10(c) 0.11(c) -(e)
Net realized and unrealized gain (loss)
on investments and foreign currency 2.09 1.87 1.88 (0.05) 0.10
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.28 1.99 1.98 0.06 0.10
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.14) (0.09) (0.06) (0.02) -
From net realized gains (0.72) (0.16) - - -
----------- ----------- ----------- ----------- -----------
Total distributions declared to
shareholders (0.86) (0.25) (0.06) (0.02) -
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 15.22 $ 13.80 $ 12.06 $ 10.14 $ 10.10
=========== =========== =========== =========== ===========
Total return (f)(g) 16.77% 16.58% 19.66%(h) 0.53% 1.00%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 755,860 $ 618,714 $ 370,620 $ 188,179 $ 36,942
Ratio of net expenses to
average net assets (i) 0.40% 0.40% 0.40%(j) 0.40% 0.40%(j)
Ratio of net investment income to
average net assets (i) 1.31% 0.88% 1.22%(j) 1.01% 0.04%(j)
Waiver/reimbursement 0.03% 0.05% 0.05%(j) 0.07% 0.80%(j)
Portfolio turnover rate 64% 81% 78%(h) 172% 14%(h)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on October 9, 2001. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Net investment income per share reflects a special dividend. The effect of
this dividend amounted to $0.02 per share.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the Investment Advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
5
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (82.5%)
Consumer Discretionary (9.6%)
Auto Components (1.1%)
Modine Manufacturing Co. 75,350 $ 2,717,874
Nokian Renkaat Oyj 287,600 5,834,504
Proliance International, Inc. (a) 17,759 111,701
--------------
8,664,079
--------------
Diversified Consumer Services (0.6%)
Career Education Corp. (a) 50,000 1,939,500
Weight Watchers International, Inc. (a) 40,000 2,272,800
--------------
4,212,300
--------------
Hotels, Restaurants & Leisure (0.7%)
Bob Evans Farms, Inc. 30,000 760,800
Fairmont Hotels & Resorts, Inc. 40,000 1,293,600
Yum! Brands, Inc. 60,000 3,141,000
--------------
5,195,400
--------------
Household Durables (0.7%)
Matsushita Electric Industrial Co., Ltd., ADR 125,000 2,027,500
Snap-On, Inc. 60,000 2,200,800
Sony Corp., ADR 27,500 894,025
--------------
5,122,325
--------------
Internet & Catalog Retail (0.7%)
1-800-FLOWERS.COM, Inc., Class A (a) 50,000 373,000
eBay, Inc. (a) 62,500 2,611,250
IAC/InterActiveCorp (a) 82,500 2,202,750
--------------
5,187,000
--------------
Leisure Equipment & Products (0.2%)
Amer Sports Oyj 80,000 1,561,639
--------------
Media (3.1%)
Comcast Corp., Class A (a) 105,000 3,150,000
DIRECTV Group, Inc. (a) 75,000 1,155,000
Discovery Holding Co., Class A (a) 17,000 242,590
Entravision Communications Corp., Class A (a) 90,000 769,500
Grupo Televisa SA, ADR 50,000 3,298,500
John Wiley & Sons, Inc., Class A 30,000 1,285,500
Liberty Global, Inc., Class A (a) 7,500 355,800
Liberty Media Corp., Class A (a) 170,000 1,494,300
Media General, Inc., Class A 52,500 3,596,250
News Corp., Class A 136,828 2,241,243
Pixar (a) 10,000 430,100
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Media (continued)
Time Warner, Inc. 163,315 $ 2,779,621
Viacom, Inc., Class B 80,310 2,689,582
--------------
23,487,986
--------------
Multiline Retail (1.9%)
Dillard's, Inc., Class A 30,000 685,800
Fred's, Inc. 82,500 1,592,250
Kohl's Corp. (a) 50,000 2,817,500
May Department Stores Co. 82,500 3,386,625
Saks, Inc. (a) 100,000 2,122,000
Stockmann Oyj Abp, Class B 100,000 4,025,796
--------------
14,629,971
--------------
Specialty Retail (0.6%)
Blockbuster, Inc., Class A 125,000 1,083,750
Blockbuster, Inc., Class B 50,000 407,500
CarMax, Inc. (a) 40,000 1,168,800
PETsMART, Inc. 30,000 892,500
Restoration Hardware, Inc. (a) 100,000 812,000
--------------
4,364,550
--------------
72,425,250
--------------
Consumer Staples (9.1%)
Beverages (1.8%)
Coca-Cola Co. 137,500 6,017,000
Coca-Cola Femsa, SA de CV, ADR 90,000 2,565,900
Coca-Cola Hellenic Bottling Co., SA 90,000 2,539,893
PepsiCo, Inc. 50,000 2,726,500
--------------
13,849,293
--------------
Food & Staples Retailing (1.8%)
United Natural Foods, Inc. (a) 75,000 2,529,000
Wal-Mart Stores, Inc. 92,500 4,564,875
Walgreen Co. 137,500 6,580,750
--------------
13,674,625
--------------
Food Products (2.6%)
Campbell Soup Co. 40,000 1,234,000
Delta & Pine Land Co. 40,000 1,070,000
General Mills, Inc. 40,000 1,896,000
Hain Celestial Group, Inc. (a) 60,000 1,189,800
Kellogg Co. 20,000 906,200
Nestle SA, Registered Shares 17,250 4,727,898
Tyson Foods, Inc., Class A 57,500 1,071,800
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Food Products (continued)
Unilever NV, NY Registered Shares 62,500 $ 4,181,875
Wm. Wrigley Jr. Co. 47,500 3,379,150
--------------
19,656,723
--------------
Household Products (0.5%)
Kimberly-Clark Corp. 22,500 1,434,600
Procter & Gamble Co. 40,000 2,225,200
--------------
3,659,800
--------------
Personal Products (1.7%)
Avon Products, Inc. 52,500 1,717,275
Gillette Co. 108,050 5,799,043
L'Oreal SA 32,500 2,566,696
Natura Cosmeticos SA 37,800 1,266,332
NBTY, Inc. (a) 80,000 1,936,000
--------------
13,285,346
--------------
Tobacco (0.7%)
Altria Group, Inc. 75,000 5,022,000
--------------
69,147,787
--------------
Energy (8.2%)
Energy Equipment & Services (4.2%)
Cooper Cameron Corp. (a) 55,000 3,903,900
Core Laboratories NV (a) 40,000 1,288,000
GlobalSantaFe Corp. 40,275 1,811,972
National-Oilwell Varco, Inc. (a) 75,000 3,926,250
Schlumberger Ltd. 102,500 8,583,350
TGS Nopec Geophysical Co., ASA (a) 100,000 2,999,489
Transocean, Inc. (a) 100,000 5,643,000
Weatherford International Ltd. (a) 20,000 1,265,600
Willbros Group, Inc. (a) 150,000 2,520,000
--------------
31,941,561
--------------
Oil, Gas & Consumable Fuels (4.0%)
Alpha Natural Resources, Inc. (a) 45,000 1,260,000
Anadarko Petroleum Corp. 15,000 1,325,250
BP PLC, ADR 47,500 3,129,300
Cameco Corp. 22,500 1,056,375
ConocoPhillips 70,000 4,381,300
Exxon Mobil Corp. 77,500 4,553,125
McMoRan Exploration Co. (a) 120,000 2,119,200
Newfield Exploration Co. (a) 125,000 5,311,250
Petroleo Brasileiro SA, ADR 30,000 1,577,100
Plains Exploration & Production Co. (a) 40,000 1,542,000
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Oil, Gas & Consumable Fuels (continued)
Royal Dutch Shell PLC, Class A, ADR (a) 30,000 $ 1,838,400
Williams Companies, Inc. 100,000 2,124,000
--------------
30,217,300
--------------
62,158,861
--------------
Financials (10.4%)
Capital Markets (1.6%)
Bank of New York Co., Inc. 75,000 2,308,500
Charles Schwab Corp. 150,000 2,055,000
Lazard Ltd., Class A (a) 75,000 1,789,500
Morgan Stanley 92,500 4,907,125
Nikko Cordial Corp. 100,000 425,864
Nomura Holdings, Inc., ADR 60,000 713,400
--------------
12,199,389
--------------
Commercial Banks (2.3%)
Allied Irish Banks PLC, ADR 30,000 1,299,300
HSBC Holdings PLC, ADR 42,500 3,442,075
Mitsubishi Tokyo Financial Group, Inc., ADR 325,000 2,697,500
Mizuho Financial Group, Inc. 400 1,795,172
SunTrust Banks, Inc. 32,500 2,363,400
U.S. Bancorp 72,500 2,179,350
Wachovia Corp. 20,000 1,007,600
Zions Bancorporation 37,500 2,680,500
--------------
17,464,897
--------------
Consumer Finance (0.7%)
American Express Co. 76,700 4,218,500
MBNA Corp. 40,000 1,006,400
--------------
5,224,900
--------------
Diversified Financial Services (1.5%)
Asset Acceptance Capital Corp. (a) 68,222 1,865,190
Citigroup, Inc. 103,283 4,492,810
JPMorgan Chase & Co. 147,026 5,166,494
--------------
11,524,494
--------------
Insurance (3.4%)
American International Group, Inc. 72,724 4,377,985
Axis Capital Holdings Ltd. 50,000 1,440,000
Berkshire Hathaway, Inc., Class B (a) 2,500 6,955,000
Chubb Corp. 20,000 1,776,400
Cincinnati Financial Corp. 22,375 922,297
Hannover Rueckversicherung AG, Registered
Shares 92,500 3,493,812
Jefferson-Pilot Corp. 20,000 1,003,400
Marsh & McLennan Companies, Inc. 60,000 1,738,200
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Insurance (continued)
PartnerRe Ltd. 10,000 $ 648,200
St. Paul Travelers Companies, Inc. 72,510 3,191,890
--------------
25,547,184
--------------
Real Estate (0.3%)
Mitsubishi Estate Co., Ltd. 100,000 1,107,533
Post Properties, Inc., REIT 30,000 1,197,300
--------------
2,304,833
--------------
Thrifts & Mortgage Finance (0.6%)
Fannie Mae 30,000 1,675,800
Freddie Mac 42,500 2,689,400
--------------
4,365,200
--------------
78,630,897
--------------
Health Care (14.7%)
Biotechnology (2.4%)
Abgenix, Inc. (a) 125,000 1,296,250
Amgen, Inc. (a) 62,500 4,984,375
Applera Corp. - Applied Biosystems Group 125,000 2,602,500
Biogen Idec, Inc. (a) 87,500 3,437,875
ICOS Corp. (a) 20,000 504,200
MedImmune, Inc. (a) 62,500 1,775,625
Millennium Pharmaceuticals, Inc. (a) 100,000 1,033,000
Pharmion Corp. (a) 22,500 554,400
Qiagen NV (a) 150,000 1,992,000
--------------
18,180,225
--------------
Health Care Equipment & Supplies (4.2%)
Alcon, Inc. 30,000 3,436,500
Baxter International, Inc. 132,500 5,203,275
Haemonetics Corp. (a) 40,000 1,689,200
Hospira, Inc. (a) 127,850 4,890,262
Kyphon, Inc. (a) 30,000 1,219,200
Medtronic, Inc. 102,500 5,528,850
Millipore Corp. (a) 30,000 1,838,100
STERIS Corp. 40,000 1,086,800
Viasys Healthcare, Inc. (a) 82,500 2,049,300
Waters Corp. (a) 30,000 1,358,400
Zimmer Holdings, Inc. (a) 40,000 3,294,400
--------------
31,594,287
--------------
Health Care Providers & Services (3.2%)
Community Health Systems, Inc. (a) 77,500 2,992,275
Health Management Associates, Inc., Class A 40,000 952,000
HEALTHSOUTH Corp. (a) 100,000 536,000
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Health Care Providers & Services (continued)
Henry Schein, Inc. (a) 80,000 $ 3,453,600
LifePoint Hospitals, Inc. (a) 25,000 1,169,000
McKesson Corp. 100,000 4,500,000
Omnicare, Inc. 82,500 3,803,250
Quest Diagnostics, Inc. 40,000 2,053,600
Tenet Healthcare Corp. (a) 135,000 1,638,900
UnitedHealth Group, Inc. 30,000 1,569,000
WebMD Corp. (a) 150,000 1,591,500
--------------
24,259,125
--------------
Pharmaceuticals (4.9%)
Abbott Laboratories 98,500 4,593,055
Andrx Corp. (a) 100,000 1,855,000
Dr. Reddy's Laboratories Ltd., ADR 60,000 1,134,600
Elan Corp. PLC, ADR (a) 157,500 1,178,100
Eli Lilly & Co. 65,000 3,660,800
Gedeon Richter Ltd. 20,000 3,162,630
Merck & Co., Inc. 47,500 1,475,350
Novartis AG, ADR 75,000 3,653,250
Pfizer, Inc. 152,592 4,043,688
Schering-Plough Corp. 150,000 3,123,000
Shire Pharmaceuticals Group PLC, ADR 40,000 1,400,000
Taro Pharmaceuticals Industries Ltd. (a) 62,500 1,468,125
Valeant Pharmaceuticals International 100,000 1,973,000
Watson Pharmaceuticals, Inc. (a) 60,000 2,004,000
Wyeth 47,500 2,173,125
--------------
36,897,723
--------------
110,931,360
--------------
Industrials (9.1%)
Aerospace & Defense (0.2%)
Raytheon Co. 30,000 1,179,900
--------------
Air Freight & Logistics (1.0%)
United Parcel Service, Inc., Class B 75,000 5,472,750
Yamato Transport Co., Ltd. 160,000 2,120,130
--------------
7,592,880
--------------
Airlines (0.4%)
AMR Corp. (a) 100,000 1,405,000
Southwest Airlines Co. 100,000 1,419,000
--------------
2,824,000
--------------
Building Products (0.2%)
American Standard Cos., Inc. 32,500 1,439,100
--------------
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Commercial Services & Supplies (1.4%)
Avery Dennison Corp. 82,500 $ 4,675,275
Cendant Corp. 100,000 2,136,000
Central Parking Corp. 40,000 580,000
ChoicePoint, Inc. (a) 40,000 1,744,000
Labor Ready, Inc. (a) 20,000 474,200
Waste Management, Inc. 50,000 1,406,000
--------------
11,015,475
--------------
Construction & Engineering (0.3%)
Insituform Technologies, Inc., Class A (a) 100,000 1,925,000
--------------
Electrical Equipment (0.6%)
ABB Ltd. (a) 75,000 509,310
ABB Ltd. ADR (a) 100,000 681,000
Thomas & Betts Corp. (a) 100,000 3,377,000
--------------
4,567,310
--------------
Industrial Conglomerates (1.2%)
3M Co. 42,500 3,187,500
General Electric Co. 117,550 4,055,475
Siemens AG, ADR 25,000 1,924,250
--------------
9,167,225
--------------
Machinery (2.6%)
AGCO Corp. (a) 50,000 1,034,500
Bucyrus International, Inc., Class A 22,500 958,950
Caterpillar, Inc. 100,000 5,391,000
Deere & Co. 25,000 1,838,250
Eaton Corp. 50,000 3,267,000
Hitachi Construction Machinery Co., Ltd. 125,000 1,706,023
Kaydon Corp. 40,000 1,234,400
OSG Corp. 93,000 1,208,706
Pall Corp. 50,000 1,548,500
Timken Co. 40,000 1,058,800
ZENON Environmental, Inc. (a) 30,000 659,556
--------------
19,905,685
--------------
Marine (0.6%)
A.P. Moller - Maersk A/S 275 2,676,737
Finnlines Oyj 130,000 2,154,458
--------------
4,831,195
--------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Road & Rail (0.1%)
Kansas City Southern (a) 30,000 $ 676,800
--------------
Trading Companies & Distributors (0.5%)
Fastenal Co. 20,000 1,312,800
GATX Corp. 72,500 2,740,500
--------------
4,053,300
--------------
69,177,870
--------------
Information Technology (12.9%)
Communications Equipment (3.1%)
Cisco Systems, Inc. (a) 225,680 4,321,772
Corning, Inc. (a) 200,000 3,810,000
Foundry Networks, Inc. (a) 125,000 1,480,000
Motorola, Inc. 50,400 1,067,472
Nokia Oyj, ADR 150,000 2,392,500
Packeteer, Inc. (a) 60,000 726,600
Plantronics, Inc. 75,000 2,562,000
QUALCOMM, Inc. 122,500 4,837,525
Tandberg ASA 220,000 2,493,191
--------------
23,691,060
--------------
Computers & Peripherals (1.0%)
EMC Corp. (a) 151,650 2,076,089
Hewlett-Packard Co. 100,000 2,462,000
International Business Machines Corp. 27,500 2,295,150
Sun Microsystems, Inc. (a) 175,000 672,000
--------------
7,505,239
--------------
Electronic Equipment & Instruments (0.4%)
Celestica, Inc. (a) 75,000 873,750
Murata Manufacturing Co., Ltd. 18,000 871,294
Solectron Corp. (a) 125,000 480,000
Symbol Technologies, Inc. 82,500 960,300
--------------
3,185,344
--------------
Internet Software & Services (0.4%)
Yahoo!, Inc. (a) 100,000 3,334,000
--------------
IT Services (1.7%)
Automatic Data Processing, Inc. 50,000 2,220,500
DST Systems, Inc. (a) 92,500 4,695,300
First Data Corp. 70,000 2,879,800
Iron Mountain, Inc. (a) 20,000 685,800
Paychex, Inc. 62,500 2,181,875
--------------
12,663,275
--------------
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Office Electronics (0.2%)
Canon, Inc., ADR 15,000 $ 737,550
Zebra Technologies Corp., Class A (a) 10,000 390,000
--------------
1,127,550
--------------
Semiconductors & Semiconductor Equipment (3.4%)
Advanced Micro Devices, Inc. (a) 87,500 1,757,000
Analog Devices, Inc. 57,500 2,254,000
Applied Materials, Inc. 100,000 1,846,000
FEI Co. (a) 50,000 1,134,500
Intel Corp. 130,300 3,536,342
Intersil Corp., Class A 50,000 968,500
Micron Technology, Inc. (a) 105,000 1,247,400
Samsung Electronics Co., Ltd., GDR (b) 30,000 8,272,500
Taiwan Semiconductor Manufacturing Co.,
Ltd., ADR 105,000 901,947
Texas Instruments, Inc. 121,650 3,863,604
--------------
25,781,793
--------------
Software (2.7%)
Business Objects SA, ADR (a) 30,000 990,300
Cadence Design Systems, Inc. (a) 50,000 804,500
Check Point Software Technologies Ltd. (a) 75,000 1,689,750
Intuit, Inc. (a) 20,000 960,000
Microsoft Corp. 248,120 6,354,353
Novell, Inc. (a) 100,000 608,000
Oracle Corp. (a) 189,230 2,569,744
Quest Software, Inc. (a) 100,000 1,425,000
SAP AG, ADR 30,000 1,284,600
Symantec Corp. (a) 100,000 2,197,000
Wind River Systems, Inc. (a) 100,000 1,709,000
--------------
20,592,247
--------------
97,880,508
--------------
Materials (4.1%)
Chemicals (2.0%)
Air Products & Chemicals, Inc. 57,500 3,436,200
Dow Chemical Co. 30,000 1,438,500
E.I. du Pont de Nemours & Co. 30,000 1,280,400
International Flavors & Fragrances, Inc. 30,000 1,137,600
Potash Corp. of Saskatchewan, Inc. 70,000 7,459,200
--------------
14,751,900
--------------
Construction Materials (0.3%)
Vulcan Materials Co. 30,000 2,107,200
--------------
Containers & Packaging (0.1%)
Smurfit-Stone Container Corp. (a) 50,000 606,500
--------------
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Metals & Mining (1.4%)
Alumina Ltd., ADR 67,500 $ 1,186,650
Barrick Gold Corp. 50,000 1,225,000
Companhia Vale do Rio Doce, ADR 100,000 3,256,000
Inco Ltd. 57,500 2,356,350
Newmont Mining Corp. 47,500 1,783,625
Placer Dome, Inc. 75,000 1,040,250
--------------
10,847,875
--------------
Paper & Forest Products (0.3%)
International Paper Co. 40,000 1,264,000
Votorantim Celulose e Papel SA, ADR 100,000 1,205,000
--------------
2,469,000
--------------
30,782,475
--------------
Telecommunication Services (1.7%)
Diversified Telecommunication Services (1.3%)
AFK Sistema (a) 50,000 886,000
BellSouth Corp. 67,500 1,863,000
Philippine Long Distance Telephone Co., ADR 36,800 1,069,776
SBC Communications, Inc. 50,000 1,222,500
Telekomunikasi Indonesia, ADR 110,000 2,544,300
Verizon Communications, Inc. 50,000 1,711,500
--------------
9,297,076
--------------
Wireless Telecommunication Services (0.4%)
Crown Castle International Corp. (a) 75,000 1,632,000
Telemig Celular Participacoes SA 50,000 1,588,500
--------------
3,220,500
--------------
12,517,576
--------------
Utilities (2.7%)
Electric Utilities (1.1%)
Edison International 100,000 4,088,000
Entergy Corp. 20,800 1,621,152
Exelon Corp. 40,000 2,140,800
Westar Energy, Inc. 30,000 729,900
--------------
8,579,852
--------------
Gas Utilities (0.2%)
ONEOK, Inc. 50,000 1,747,500
--------------
Independent Power Producers & Energy
Traders (0.2%) Duke Energy Corp. 50,000 1,477,000
--------------
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Multi-Utilities (1.0%)
Dominion Resources, Inc. 20,000 $ 1,477,200
NiSource, Inc. 125,000 3,036,250
TECO Energy, Inc. 137,500 2,607,000
--------------
7,120,450
--------------
Water Utilities (0.2%)
American States Water Co. 37,500 1,166,250
--------------
20,091,052
--------------
Total Common Stocks
(Cost of $479,235,480) 623,743,636
--------------
Investment Company (0.3%)
iShares MSCI Japan Index Fund
(Cost of $1,543,000) 200,000 2,048,000
--------------
<Caption>
Par
--------------
Short-Term Obligation (16.9%)
Repurchase agreement with State Street Bank
& Trust Co., dated 07/29/05, due 08/01/05
at 3.170%, collateralized by a U.S.
Treasury Bond maturing 05/15/13, market
value of $130,169,354 (repurchase proceeds
$127,646,711)
(Cost of $127,613,000) $ 127,613,000 127,613,000
--------------
Total Investments (99.7%)
(Cost of $608,391,480) (c) 753,404,636
Other Assets & Liabilities, Net (0.3%) 2,455,112
--------------
Net Assets (100.0%) $ 755,859,748
==============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing security.
(b) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. This security may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
July 31, 2005, the value of this security represents 1.1% of net assets.
(c) Cost for federal income tax purposes is $612,078,747.
See Accompanying Notes to Financial Statements.
16
<Page>
At July 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Health Care 14.7%
Information Technology 12.9
Financials 10.4
Consumer Discretionary 9.6
Consumer Staples 9.1
Industrials 9.1
Energy 8.2
Materials 4.1
Utilities 2.7
Telecommunication Services 1.7
Investment Company 0.3
Short-Term Obligation 16.9
Other Assets & Liabilities, Net 0.3
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
-------------- ----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2005
<Table>
ASSETS:
Investments, at identified cost (including repurchase agreement) $ 608,391,480
-------------
Investments, at value $ 625,791,636
Repurchase agreement 127,613,000
Cash 738
Receivable for:
Investments sold 3,885,529
Capital stock sold 8,106
Interest 33,711
Dividends 789,583
Foreign tax reclaims 54,972
Expense reimbursement due from Investment Advisor 3,735
Deferred Trustees' compensation plan 4,658
-------------
Total Assets 758,185,668
-------------
LIABILITIES:
Payable for:
Investments purchased 1,546,114
Capital stock redeemed 465,334
Investment advisory fee 253,917
Transfer agent fee 205
Trustees' fees 33
Custody fee 7,101
Chief compliance officer fees and expenses 576
Deferred Trustees' fees 4,658
Other liabilities 47,982
-------------
Total Liabilities 2,325,920
-------------
NET ASSETS $ 755,859,748
=============
NET ASSETS consist of:
Paid-in capital $ 575,704,327
Undistributed net investment income 5,520,856
Accumulated net realized gain 29,623,085
Net unrealized appreciation (depreciation) on:
Investments 145,013,156
Foreign currency translations (1,676)
-------------
NET ASSETS $ 755,859,748
=============
Shares of capital stock outstanding 49,664,049
=============
Net asset value, offering and redemption price per share $ 15.22
=============
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2005
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 9,805,169
Interest 2,544,563
Foreign withholding tax (290,496)
-------------
Total Investment Income 12,059,236
-------------
Expenses:
Investment advisory fee 2,812,400
Transfer agent fee 2,099
Trustees' fees 20,046
Custody fee 67,005
Chief compliance officer fees and expenses (See Note 4) 6,181
Non-recurring costs (See Note 8) 12,981
Other expenses 132,790
-------------
Total Expenses 3,053,502
Expense reimbursement by Investment Advisor (228,462)
Non-recurring costs assumed by Investment Advisor (See Note 8) (12,981)
Custody earnings credit (1,518)
-------------
Net Expenses 2,810,541
-------------
Net Investment Income 9,248,695
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY:
Net realized gain (loss) on:
Investments 34,895,782
Foreign currency transactions (106,216)
-------------
Net realized gain 34,789,566
-------------
Net change in unrealized appreciation (depreciation) on:
Investments 62,846,727
Foreign currency translations (2,135)
-------------
Net change in unrealized appreciation (depreciation) 62,844,592
-------------
Net Gain 97,634,158
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 106,882,853
=============
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED JULY 31,
------------------------------
2005 2004
------------- -------------
Operations:
Net investment income $ 9,248,695 $ 5,021,621
Net realized gain on investments and foreign currency transactions 34,789,566 42,218,753
Net change in unrealized appreciation (depreciation) on investments
and foreign currency translations 62,844,592 30,946,840
------------- -------------
Net increase from operations 106,882,853 78,187,214
Distributions declared to shareholders:
From net investment income (6,517,434) (3,979,500)
From net realized gains (33,081,757) (6,937,177)
------------- -------------
Total distributions declared to shareholders (39,599,191) (10,916,677)
------------- -------------
Share Transactions:
Subscriptions 107,867,251 236,903,542
Distributions reinvested 38,913,285 10,729,185
Redemptions (76,918,698) (66,809,077)
------------- -------------
Net increase in share transactions 69,861,838 180,823,650
------------- -------------
Net increase in net assets 137,145,500 248,094,187
NET ASSETS:
Beginning of period 618,714,248 370,620,061
------------- -------------
End of period $ 755,859,748 $ 618,714,248
============= =============
Undistributed net investment income $ 5,520,856 $ 2,983,567
============= =============
Changes in Shares:
Subscriptions 7,444,993 18,201,135
Issued for distributions reinvested 2,670,781 795,344
Redemptions (5,281,801) (4,903,233)
------------- -------------
Net increase 4,833,973 14,093,246
------------- -------------
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2005
NOTE 1. ORGANIZATION
CMG Strategic Equity Fund (the "Fund"), a series of CMG Fund Trust (the
"Trust"), is a diversified portfolio. The Trust is an Oregon business trust
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company.
INVESTMENT GOAL. The Fund seeks long-term growth of capital and total returns
greater than those of the market over time.
FUND SHARES. The Fund may issue an unlimited number of shares of no par value
capital stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
Equity securities and certain investment companies are valued at the last sale
price on the principal exchange on which they trade, except for securities
traded on the NASDAQ, which are valued at the NASDAQ official close price.
Unlisted securities or listed securities for which there were no sales during
the day are valued at the closing bid price on such exchanges or
over-the-counter markets.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Foreign securities are generally valued at the last sale price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Fund's
shares are determined as of such times. Foreign currency exchange rates are
generally determined at 2:00 p.m. Eastern (U.S.) time. Events affecting the
values of such foreign securities and such exchange rates may occur between the
times at which they are determined and the close of the customary trading
session of the NYSE, which would not be reflected in the computation of the
Fund's net asset value. If events materially affecting the values of such
foreign securities occur and it is determined that market quotations are not
reliable, then these foreign securities will be valued at their fair value using
procedures approved by the Board of Trustees.
Investments for which market quotations are not readily available, or have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. If a
security is valued at a "fair value", such value is likely to be different from
the last quoted market price for the security.
21
<Page>
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions
with institutions that the Fund's investment advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon the Fund's ability to dispose of the underlying securities and
a possible decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Fund becomes
aware of such, net of non-reclaimable tax withholdings. The Fund estimates
components of distributions from real estate investment trusts (REITs).
Distributions received in excess of income are recorded as a reduction of the
cost of the related investments. If the Fund no longer owns the applicable
securities, any distributions received in excess of income are recorded as
realized gains.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of
gains (losses) on investments which is due to changes in foreign exchange rates
from that which is due to changes in market prices of the investments. Such
fluctuations are included with the net realized and unrealized gains (losses) on
investments.
FEDERAL INCOME TAX STATUS. The Fund intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and will distribute substantially all of its taxable income, if any, for its tax
year, and as such will not be subject to federal income taxes. In addition, the
Fund intends to distribute in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, such that
the Fund should not be subject to federal excise tax. Therefore, no federal
income or excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
NOTE 3. FEDERAL TAX INFORMATION
The timing and character of income and capital gain distributions are determined
in accordance with income tax regulations, which may differ from GAAP.
Reclassifications are made to the Fund's capital accounts for permanent tax
differences to reflect income and gains available for distribution (or available
capital loss carryforwards) under income tax regulations.
22
<Page>
For the year ended July 31, 2005, permanent book and tax basis differences
resulting primarily from differing treatments for foreign currency transactions
and REIT adjustments were identified and reclassified among the components of
the Fund's net assets as follows:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT INCOME NET REALIZED GAIN PAID-IN CAPITAL
--------------------- ----------------- ---------------
$ (193,972) $ 193,972 $ -
</Table>
Net investment income and net realized gains (losses), as disclosed on the
Statement of Operations, and net assets were not affected by this
reclassification.
The tax character of distributions paid during the years ended July 31, 2005 and
July 31, 2004 was as follows:
<Table>
<Caption>
JULY 31, 2005 JULY 31, 2004
------------- -------------
DISTRIBUTIONS PAID FROM:
Ordinary income* $ 20,070,000 $ 8,312,541
Long-term capital gains 19,529,191 2,604,136
</Table>
*For tax purposes short-term capital gains distributions, if any, are considered
ordinary income distributions.
As of July 31, 2005, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED NET UNREALIZED
ORDINARY INCOME LONG-TERM CAPITAL GAINS APPRECIATION*
--------------- ----------------------- --------------
$ 11,177,991 $ 27,659,707 $ 141,325,889
</Table>
*The differences between book-basis and tax-basis net unrealized appreciation
are primarily due to deferral of losses from wash sales and REIT adjustments.
Unrealized appreciation and depreciation at July 31, 2005, based on cost of
investments for federal income tax purposes was:
<Table>
Unrealized appreciation $ 147,543,976
Unrealized depreciation (6,218,087)
-------------
Net unrealized appreciation $ 141,325,889
=============
</Table>
23
<Page>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Fund and provides administrative and other services to
the Fund. Effective on or about September 30, 2005, Columbia Management
Advisors, Inc. will undergo a name change to Columbia Management Advisors, LLC.
Columbia receives a monthly investment advisory fee at the annual rate of 0.40%
of the Fund's average daily net assets.
In addition to the investment advisory fee, each shareholder pays an annual fee
calculated as a percentage of the shareholder's net assets in the Fund. The
annual fee ranges between 0.20% on the first $25 million of the shareholder's
net assets in the Fund, to 0.00% on the shareholder's net assets in the Fund in
excess of $25 million.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing services to
the Fund under a pricing, bookkeeping and fund administration agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of those functions to State Street Corporation ("State Street"). As a result,
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for pricing and bookkeeping services.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Fund and has
contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer
agent. For such services, the Transfer Agent receives a fee, paid monthly, at
the annual rate of $28.00 per open account.
Effective on or about September 30, 2005, Columbia Funds Services, Inc. will
undergo a name change to Columbia Management Services, Inc.
For the year ended July 31, 2005, the Fund's effective transfer agent fee rate
was less than 0.01%.
EXPENSE LIMITS AND FEE REIMBURSEMENTS. Columbia has contractually agreed to
reimburse the Fund through November 30, 2005 for certain expenses so that the
expenses incurred by the Fund, including the investment advisory fee, will not
exceed 0.40% of the Fund's average daily net assets.
CUSTODY CREDITS. The Fund has an agreement with its custodian bank under which
custody fees may be reduced by balance credits. These credits are recorded as a
reduction of total expenses on the Statement of Operations. The Fund could have
invested a portion of the assets utilized in connection with the expense offset
arrangement in an income-producing asset if it had not entered into such an
agreement.
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Fund are employees of Columbia or its affiliates and receive no
compensation from the Fund. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Fund in accordance with federal
securities regulations. The Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Chief Compliance Officer
position. The Fund's fee will not exceed $15,000 per year.
The Fund's Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Fund's assets.
OTHER. Columbia provides certain services to the Fund related to Sarbanes-Oxley
compliance. For the year ended July 31, 2005, the Fund paid $2,215 to Columbia
for such services. This amount is included in "Other expenses" on the Statement
of Operations.
24
<Page>
NOTE 5. PORTFOLIO INFORMATION
For the year ended July 31, 2005, the cost of purchases and proceeds from sales
of securities, excluding short-term obligations, were $399,228,913 and
$377,288,655, respectively.
NOTE 6. LINE OF CREDIT
The Fund and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in "Other expenses" on the Statement
of Operations.
For the year ended July 31, 2005, the Fund did not borrow under this
arrangement.
NOTE 7. SHARES OF BENEFICIAL INTEREST
As of July 31, 2005, 42.5% of the outstanding shares of the Fund were held by 5
shareholders, each of which owns in excess of 5% of the Fund's shares
outstanding. Subscription and redemption activity of these shareholders may have
a material effect on the Fund.
NOTE 8. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES
INDUSTRY FOCUS. The Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
FOREIGN SECURITIES. There are certain additional risks involved when investing
in foreign securities that are not inherent with investments in domestic
securities. These risks may involve foreign currency exchange rate fluctuations,
adverse political and economic developments and the possible prevention of
currency exchange or other foreign governmental laws or restrictions. In
addition, the liquidity of foreign securities may be more limited than that of
domestic securities.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia and Columbia Funds Distributor,
Inc. (collectively, the "Columbia Group") entered into an Assurance of
Discontinuance with the New York Attorney General ("NYAG") (the "NYAG
Settlement") and consented to the entry of a cease-and-desist order by the
Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and
the NYAG Settlement are referred to collectively as the "Settlements." The
Settlements contain substantially the same terms and conditions as outlined in
the agreements in principle which Columbia Group entered into with the SEC and
NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
25
<Page>
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also undertaken to implement certain
governance measures designed to maintain the independence of their boards of
trustees. The NYAG Settlement also, among other things, requires Columbia and
its affiliates, Banc of America Capital Management, LLC and BACAP Distributors,
LLC to reduce certain Columbia Funds, Nations Funds and other mutual funds
management fees collectively by $32 million per year for five years, for a
projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Fund's independent trustees and not unacceptable to
the staff of the SEC. At this time, the distribution plan is still under
development. As such, any gain to the Fund or its shareholders can not currently
be determined.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in detail above, various parties have
filed suit against certain funds, the Trustees off the Columbia Funds,
FleetBoston Financial Corporation and its affiliated entities and/or Bank of
America and its affiliated entities. More than 300 cases including those filed
against entities unaffiliated with the funds, their Boards, FleetBoston
Financial Corporation and its affiliated entities and/or Bank of America and its
affiliated entities have been transferred to the Federal District Court in
Maryland and consolidated in a multi-district proceeding (the "MDL").
The derivative cases purportedly brought on behalf of the Columbia Funds in the
MDL have been consolidated under the lead case. The fund derivative plaintiffs
allege that the funds were harmed by market timing and late trading activity and
seek, among other things, the removal of the trustees of the Columbia Funds,
removal of the Columbia Group, disgorgement of all management fees and monetary
damages.
On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts
state court alleging that the conduct, including market timing, entitles Class B
shareholders in certain Columbia Funds to an exemption from contingent deferred
sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has
been removed to federal court in Massachusetts and the federal Judicial Panel
has transferred the CDSC Lawsuit to the MDL.
The MDL is ongoing. Accordingly, an estimate of the financial impact of this
litigation on any Fund, if any, cannot currently be made.
On January 11, 2005, a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the
Columbia Funds and Columbia. The lawsuit alleges that defendants violated common
law duties to fund shareholders as well as sections of the Investment Company
Act of 1940, by failing to ensure that the Fund and other affiliated funds
participated in securities class action settlements for which the funds were
eligible. Specifically, plaintiffs allege that defendants failed to submit proof
of claims in connection with settlements of securities class action lawsuits
filed against companies in which the funds held positions.
26
<Page>
In 2004, certain Columbia Funds, advisers and affiliated entities were named as
defendants in certain purported shareholder class and derivative actions making
claims, including claims under the Investment Company and the Investment
Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees
and expenses paid by the funds are excessive and that the advisers and their
affiliates inappropriately used fund assets to distribute the funds and for
other improper purpose. On March 2, 2005, the actions were consolidated in the
Massachusetts federal court as IN RE COLUMBIA ENTITIES LITIGATION. The
plaintiffs filed a consolidated amended complaint on June 9, 2005.
The Fund and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the Fund.
For the year ended July 31, 2005, Columbia has assumed $12,981 of legal,
consulting services and Trustees' fees incurred by the Fund in connection with
these matters.
27
<Page>
Report of Independent Registered Public Accounting Firm
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG STRATEGIC EQUITY FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Strategic Equity Fund (the
"Fund"), a portfolio of CMG Fund Trust, at July 31, 2005, and the results of its
operations, the changes in its net assets and its financial highlights for the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at July 31, 2005 by correspondence with the custodian
and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 23, 2005
28
<Page>
Unaudited Information
FEDERAL INCOME TAX INFORMATION
23.34% of the ordinary income distributed by the Fund, for the year ended July
31, 2005, qualifies for the corporate dividends received deduction.
For non-corporate shareholders, 31.77%, or the maximum amount allowable under
the Jobs and Growth Tax Relief Reconciliation Act of 2003, of the income earned
by the Fund for the year August 1, 2004 to July 31, 2005 may represent qualified
dividend income. Final information will be provided in your 2005 1099-Div Form.
For the fiscal year ended July 31, 2005, the Fund designated long-term capital
gains of $29,413,986.
29
<Page>
Trustees
The Trustees/Directors serve terms of indefinite duration. The names, addresses
and ages of the Trustees/Directors and officers of the Funds in the Columbia
Funds Complex, the year each was first elected or appointed to office, their
principal business occupations during at least the last five years, the number
of portfolios overseen by each Trustee/Director and other directorships they
hold are shown below. Each officer listed below serves as an officer of each
Fund in the Columbia Funds Complex.
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- -------------------------------------------------------- --------------------------------------------------------------
DISINTERESTED TRUSTEES
Douglas A. Hacker (age 49) Executive Vice President--Strategy of United Airlines
P.O.Box 66100 (airline) since December, 2002 (formerly President of UAL
Chicago, IL 60666 Loyalty Services (airline) from September, 2001 to December,
Trustee (since 1996) 2002; Executive Vice President and Chief Financial Officer of
United Airlines from July, 1999 to September, 2001; Senior
Vice President--Finance from March, 1993 to July, 1999).
Oversees 101, Nash Finch Company (food distributor)
Janet Langford Kelly (age 47) Partner, Zelle, Hofmann, Voelbel, Mason & Gette LLP (law firm);
9534 W. Gull Lake Drive Adjunct Professor of Law, Northwestern University, since
Richland, MI 49083-8530 September, 2004 (formerly Chief Administrative Officer and
Trustee (since 1996) Senior Vice President, Kmart Holding Corporation (consumer
goods), from September, 2003 to March, 2004; Executive Vice
President--Corporate Development and Administration, General
Counsel and Secretary, Kellogg Company (food manufacturer),
from September, 1999 to August, 2003; Senior Vice President,
Secretary and General Counsel, Sara Lee Corporation (branded,
packaged, consumer-products manufacturer) from January, 1995
to September, 1999). Oversees 101, None
Richard W. Lowry (age 69) Private Investor since August, 1987 (formerly Chairman and
10701 Charleston Drive Chief Executive Officer, U.S. Plywood Corporation (building
Vero Beach, FL 32963 products manufacturer)). Oversees 103(3), None
Trustee (since 1995)
Charles R. Nelson (age 62) Professor of Economics, University of Washington, since
Department of Economics January, 1976; Ford and Louisa Van Voorhis Professor of
University of Washington Political Economy, University of Washington, since September,
Seattle, WA 98195 1993 (formerly Director, Institute for Economic Research,
Trustee (since 1981) University of Washington from September, 2001 to June, 2003)
Adjunct Professor of Statistics, University of Washington,
since September, 1980; Associate Editor, Journal of Money
Credit and Banking, since September, 1993; consultant on
econometric and statistical matters. Oversees 101, None
John J. Neuhauser (age 63) Academic Vice President and Dean of Faculties since August,
84 College Road 1999, Boston College (formerly Dean, Boston College School of
Chestnut Hill, MA 02467-3838 Management from September, 1977 to August, 1999). Oversees
Trustee (since 1985) 103(3), Saucony, Inc. (athletic footwear)
Patrick J. Simpson (age 61) Partner, Perkins Coie L.L.P. (law firm). Oversees 101, None
1120 N.W. Couch Street
Tenth Floor
Portland, OR 97209-4128
Trustee (since 2000)
</Table>
30
<Page>
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- -------------------------------------------------------- --------------------------------------------------------------
DISINTERESTED TRUSTEES
Thomas E. Stitzel (age 69) Business Consultant since 1999 (formerly Professor of Finance
2208 Tawny Woods Place from 1975 to 1999, College of Business, Boise State
Boise, ID 83706 University); Chartered Financial Analyst. Oversees 101, None
Trustee (since 1998)
Thomas C. Theobald (age 68) Partner and Senior Advisor, Chicago Growth Partners (private
8 Sound Shore Drive, equity investing) since September, 2004 (formerly Managing
Suite 285 Director, William Blair Capital Partners (private equity
Greenwich, CT 06830 investing) from September, 1994 to September, 2004). Oversees
Trustee and Chairman of the Board(4) (since 1996) 101, Anixter International (network support equipment
distributor); Ventas, Inc. (real estate investment trust);
Jones Lang LaSalle (real estate management services) and Ambac
Financial Group (financial guaranty insurance)
Anne-Lee Verville (age 59) Retired since 1997 (formerly General Manager, Global Education
359 Stickney Hill Road Industry, IBM Corporation (computer and technology) from 1994
Hopkinton, NH 03229 to 1997). Oversees 101, Chairman of the Board of Directors,
Trustee (since 1998) Enesco Group, Inc. (designer, importer and distributor of
giftware and collectibles)
Richard L. Woolworth (age 64) Retired since December 2003 (formerly Chairman and Chief
100 S.W. Market Street Executive Officer, The Regence Group (regional health
#1500 Portland, OR 97207 insurer); Chairman and Chief Executive Officer, BlueCross
Trustee (since 1991) BlueShield of Oregon; Certified Public Accountant, Arthur
Young & Company). Oversees 101, Northwest Natural Gas Co.
(natural gas service provider)
INTERESTED TRUSTEE
William E. Mayer(2) (age 65) Partner, Park Avenue Equity Partners (private equity) since
399 Park Avenue February, 1999 (formerly Partner, Development Capital LLC from
Suite 3204 November 1996 to February, 1999). Oversees 103(3), Lee
New York, NY 10022 Enterprises (print media), WR Hambrecht + Co. (financial
Trustee (since 1994) service provider); Reader's Digest (publishing); OPENFIELD
Solutions (retail industry technology provider)
</Table>
- ----------
(1) In December 2000, the boards of each of the former Liberty Funds and former
Stein Roe Funds were combined into one board of trustees responsible for
the oversight of both fund groups (collectively, the "Liberty Board"). In
October 2003, the trustees on the Liberty Board were elected to the boards
of the Columbia Funds (the "Columbia Board") and of the CMG Fund Trust (the
"CMG Funds Board"); simultaneous with that election, Patrick J. Simpson and
Richard L. Woolworth, who had been directors on the Columbia Board and
trustees on the CMG Funds Board, were appointed to serve as trustees of the
Liberty Board. The date shown is the earliest date on which a
trustee/director was elected or appointed to the board of a Fund in the
Columbia Funds Complex.
(2) Mr. Mayer is an "interested person" (as defined in the Investment Company
Act of 1940 (1940 Act)) by reason of his affiliation with WR Hambrecht +
Co.
(3) Messrs. Lowry, Neuhauser and Mayer also serve as directors/trustees of the
Liberty All-Star Funds, currently consisting of 2 funds, which are advised
by an affiliate of the Advisor.
(4) Mr. Theobald was appointed as Chairman of the Board effective December 10,
2003.
The Statement of Additional Information Includes additional information about
the Trustees of the Funds and is available, without charge, upon request by
calling 800-426-3750.
31
<Page>
Officers
<Table>
<Caption>
NAME, ADDRESS AND AGE, POSITION WITH
COLUMBIA FUNDS, YEAR FIRST ELECTED OR
APPOINTED TO OFFICE PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- -------------------------------------------------------- --------------------------------------------------------------
Christopher L. Wilson (age 48) Head of Mutual Funds since August, 2004 and Senior Vice
One Financial Center President of the Advisor since January, 2005; President of the
Boston, MA 02111 Columbia Funds, Liberty Funds and Stein Roe Funds since
President (since 2004) October, 2004; President and Chief Executive Officer of the
Nations Funds since January, 2005; President of the Galaxy
Funds since April 2005; Director of Bank of America Global
Liquidity Funds, plc since May 2005; Director of Banc of
America Capital Management (Ireland), Limited since May 2005;
Senior Vice President of BACAP Distributors LLC since January,
2005; Director of FIM Funding, Inc. since January, 2005;
Senior Vice President of Columbia Funds Distributor, Inc.
since January, 2005; Director of Columbia Funds Services, Inc.
since January, 2005 (formerly President and Chief Executive
Officer, CDC IXIS Asset Management Services, Inc. from
September, 1998 to August, 2004).
J. Kevin Connaughton (age 41) Treasurer of the Columbia Funds since October, 2003 and of the
One Financial Center Liberty Funds, Stein Roe Funds and All-Star Funds since
Boston, MA 02111 December, 2000; Vice President of the Advisor since April,
Treasurer (since 2000) 2003 (formerly President of the Columbia Funds, Liberty Funds
and Stein Roe Funds from February, 2004 to October, 2004;
Chief Accounting Officer and Controller of the Liberty Funds
and All-Star Funds from February, 1998 to October, 2000);
Treasurer of the Galaxy Funds since September, 2002 (formerly
Treasurer from December, 2002 to December, 2004 and President
from February, 2004 to December, 2004 of the Columbia
Management Multi-Strategy Hedge Fund, LLC; Vice President of
Colonial Management Associates, Inc. from February, 1998 to
October, 2000).
Mary Joan Hoene (age 54) Senior Vice President and Chief Compliance Officer of the
40 West 57th Street Columbia Funds, Liberty Funds, Stein Roe Funds and All-Star
New York, NY 10005 Funds since August, 2004 (formerly Partner, Carter, Ledyard &
Senior Vice President and Chief Compliance Milburn LLP from January, 2001 to August, 2004; Counsel,
Officer (since 2004) Carter, Ledyard & Milburn LLP from November, 1999 to December,
2000; Vice President and Counsel, Equitable Life Assurance
Society of the United States from April, 1998 to November,
1999).
Michael G. Clarke (age 35) Chief Accounting Officer of the Columbia Funds, Liberty Funds,
One Financial Center Stein Roe Funds and All-Star Funds since October, 2004
Boston, MA 02111 (formerly Controller of the Columbia Funds, Liberty Funds,
Chief Accounting Officer (since 2004) Stein Roe Funds and All-Star Funds from May, 2004 to October,
2004; Assistant Treasurer from June, 2002 to May, 2004; Vice
President, Product Strategy & Development of the Liberty Funds
and Stein Roe Funds from February, 2001 to June, 2002;
Assistant Treasurer of the Liberty Funds, Stein Roe Funds and
the All-Star Funds from August, 1999 to February, 2001; Audit
Manager, Deloitte & Touche LLP from May, 1997 to August, 1999).
Jeffrey R. Coleman (age 35) Controller of the Columbia Funds, Liberty Funds, Stein Roe
One Financial Center Funds and All-Star Funds since October, 2004 (formerly Vice
Boston, MA 02111 President of CDC IXIS Asset Management Services, Inc. and
Controller (since 2004) Deputy Treasurer of the CDC Nvest Funds and Loomis Sayles
Funds from February, 2003 to September, 2004; Assistant Vice
President of CDC IXIS Asset Management Services, Inc. and
Assistant Treasurer of the CDC Nvest Funds from August, 2000
to February, 2003; Tax Manager of PFPC, Inc. from November,
1996 to August, 2000).
R. Scott Henderson (age 46) Secretary of the Columbia Funds, Liberty Funds and Stein Roe
One Financial Center Funds since December, 2004 (formerly Of Counsel, Bingham
Boston, MA 02111 McCutchen from April, 2001 to September, 2004; Executive
Secretary (since 2004) Director and General Counsel, Massachusetts Pension Reserves
Investment Management Board from September, 1997 to March,
2001).
</Table>
32
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MASSACHUSETTS 02110-2624
- TRANSFER AGENT -
COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
SHC-42/89540-0805 (09/05) 05/7532
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30 is available from
the SEC's website. Information regarding how the fund voted proxies relating to
portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA MANAGEMENT
DISTRIBUTORS, INC. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Management Distributors, Inc., One Financial
Center, Boston, MA 02111-2621
<Page>
[COLUMBIA MANAGEMENT(R) LOGO]
CMG CORE BOND FUND
CMG SHORT TERM BOND FUND
CMG ULTRA SHORT TERM BOND FUND
CMG HIGH YIELD FUND
PORTFOLIOS OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2005
NOT FDIC MAY LOSE VALUE
INSURED -----------------
NO BANK GUARANTEE
Advised by Columbia Management Advisors, Inc.
Columbia Management is the primary investment management division of Banc of
America Corporation. Columbia Management entities furnish investment management
services and advise institutional and mutual fund portfolios.
Columbia Management Advisors, Inc. will combine with Banc of America Capital
Management, LLC on or about September 30, 2005. At that time, the newly combined
advisor will undergo a name change to Columbia Management Advisors, LLC and will
continue to operate as a SEC-registered investment advisor, wholly owned
subsidiary of Bank of America, N.A. and part of Columbia Management.
<Page>
TABLE OF CONTENTS
<Table>
Management Discussion of Fund Performance
CMG Core Bond Fund 1
CMG Short Term Bond Fund 6
CMG Ultra Short Term Bond Fund 11
CMG High Yield Fund 16
Financial Statements
Financial Highlights 21
Schedule of Investments 25
Statements of Assets and Liabilities 59
Statements of Operations 60
Statements of Changes in Net Assets 61
Notes to Financial Statements 63
Report of Independent Registered Public Accounting Firm 71
Unaudited Information 72
Trustees 73
Officers 75
</Table>
The views expressed in the Portfolio Commentaries reflect the current views of
the respective parties. These views are not guarantees of future performance and
involve certain risks, uncertainties and assumptions that are difficult to
predict so actual outcomes and results may differ significantly from the views
expressed. These views are subject to change at any time based upon economic,
market or other conditions and the respective parties disclaim any
responsibility to update such views. These views may not be relied on as
investment advice and, because investment decisions for a CMG Fund are based on
numerous factors, may not be relied on as an indication of trading intent on
behalf of any particular Columbia Fund. References to specific company
securities should not be constructed as a recommendation or investment advice.
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 12-month period ended July 31, 2005, the CMG Core Bond Fund returned
4.98%. The fund outperformed both the Lehman Brothers Aggregate Bond Index,(1)
which returned 4.79%, and the Lipper Corporate Debt Funds A-Rated Category,
which averaged 4.71% over the same period.(2) Investments in corporate bonds and
mortgage-backed securities aided performance relative to the fund's benchmark.
We believe these same holdings helped the fund exceed its peer group average.
AN UNUSUAL ENVIRONMENT FOR BONDS
Fixed-income investors faced an unusual combination of circumstances during the
past 12 months. Seldom, if ever, has the Federal Reserve's (the Fed's) sustained
effort to raise short-term interest rates higher been accompanied by such a
persistent decline in long-term rates. The Fed raised the federal funds rate a
total of eight times during the period, reflecting a backdrop of steady yet
unspectacular growth in the national economy.(3)
However, long-term rates were insulated from the Fed's efforts. While yields on
2-year Treasury obligations rose by 134 basis points over the past year, yields
on 10-year and 30-year bonds fell by 20 and 73 basis points, respectively.
Because we expected long-term rates to rise along with short-term rates, in
keeping with historical precedent, we kept the portfolio's duration relatively
short during the period. This strategy hampered returns during the period as
long-term bonds exhibited unexpected strength.
CORPORATE BONDS AND MORTGAGES PROVE THEIR WORTH
We believe that the ultimate reason for the fund's above-average showing during
the period was our willingness to move outside the Treasury market into
corporate bonds, mortgage-backed securities and asset-backed securities. Each of
these sectors outperformed Treasury securities of comparable maturities, aided
by the combination of rising corporate profits and stable-to-lower long-term
rates.
Our security selection within these sectors also added to our returns. Within
the corporate bond market, we overweighted strong-performing industries such as
energy, capital goods and consumer non-cyclicals. Within the mortgage arena, our
exposure to 15-year mortgage collateral was especially helpful to overall
performance. These securities did better than longer-term mortgage obligations.
LOOKING AHEAD
As the trends of the past year unfolded, we took steps to position the portfolio
to take advantage of the prevailing economic environment. Two particular aspects
of this positioning are worth highlighting, because we believe they remain
relevant for the year ahead. First, we reduced our commitment to corporate
bonds, noting that their yield advantage over Treasuries has declined to
historically low levels and that the steady rise in short-term rates may begin
to
1
<Page>
crimp corporate profits. In addition, we maintained a position in TIPS (Treasury
Inflation Protected Securities) in case the economy experiences
higher-than-expected inflation in the year ahead. The ability of the economy to
weather higher energy prices has been impressive, but recent trends suggest
potential benefits for securities that peg their rates to inflation.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were (%):
<Table>
Federal National Mortgage Association, TBA 5.000% 09/14/2035 9.1
U.S. Treasury Bond, 6.250% 08/15/2023 7.3
Federal National Mortgage Association, 5.000% 04/01/2020 5.2
Federal National Mortgage Association, 5.500% 12/01/2032 3.4
U.S. Treasury Inflation Index Note 3.625% 01/15/2008 3.0
Federal National Mortgage Association Discount, 3.174% 09/14/2005 2.8
Federal National Mortgage Association 5.000% 01/25/2031 2.5
AmeriCredit Automobile Receivables Trust 3.220% 07/06/2008 2.0
Federal Home Loan Mortgage Corp. 4.500% 03/15/2018 2.0
Federal National Mortgage Association 5.000%, 02/01/2020 1.8
</Table>
We appreciate your continued confidence in the CMG Core Bond Fund.
Leonard A. Aplet has co-managed the CMG Core Bond Fund since September 2000 and
has been with the advisor or its predecessors or affiliate organizations since
1987.
/s/ Leonard A. Aplet
Richard R. Cutts has co-managed the Fund since November 2000 and has been with
the advisor or its predecessors or affiliate organizations since 1994.
/s/ Richard R. Cutts
Investing in fixed-income securities may involve certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
- ----------
(1) The Lehman Brothers Aggregate Bond Index is a market value-weighted index
that tracks the daily price, coupon, pay-downs, and total return
performance of fixed-rate, publicly placed, dollar-denominated, and
non-convertible investment grade debt issues with at least $250 million par
amount outstanding and with at least one year to final maturity. Unlike the
fund, indices are not investments, they do not incur fees or expenses and
are not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
(3) The federal funds rate was increased again on August 9, 2005.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
2
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Core Bond Fund 9/1/00 4.98 6.38
Lehman Brothers Aggregate Bond Index 4.79 6.83
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Core Bond Fund 9/1/00 6.93 6.67
Lehman Brothers Aggregate Bond Index 6.80 7.15
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 1, 2000 TO JULY 31, 2005
<Table>
<Caption>
CMG CORE BOND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX
9/1/2000 $ 10,000 $ 10,000
9/30/2000 $ 10,075 $ 10,063
10/31/2000 $ 10,130 $ 10,129
11/30/2000 $ 10,309 $ 10,296
12/31/2000 $ 10,522 $ 10,487
1/31/2001 $ 10,681 $ 10,659
2/28/2001 $ 10,786 $ 10,752
3/31/2001 $ 10,844 $ 10,806
4/30/2001 $ 10,784 $ 10,760
5/31/2001 $ 10,850 $ 10,825
6/30/2001 $ 10,897 $ 10,866
7/31/2001 $ 11,144 $ 11,109
8/31/2001 $ 11,264 $ 11,237
9/30/2001 $ 11,424 $ 11,368
10/31/2001 $ 11,651 $ 11,606
11/30/2001 $ 11,503 $ 11,446
12/31/2001 $ 11,445 $ 11,373
1/31/2002 $ 11,499 $ 11,465
2/28/2002 $ 11,605 $ 11,576
3/31/2002 $ 11,426 $ 11,384
4/30/2002 $ 11,636 $ 11,605
5/31/2002 $ 11,736 $ 11,703
6/30/2002 $ 11,823 $ 11,804
7/31/2002 $ 11,911 $ 11,947
8/31/2002 $ 12,114 $ 12,149
9/30/2002 $ 12,295 $ 12,345
10/31/2002 $ 12,114 $ 12,289
11/30/2002 $ 12,093 $ 12,285
12/31/2002 $ 12,281 $ 12,539
1/31/2003 $ 12,292 $ 12,551
2/28/2003 $ 12,473 $ 12,724
3/31/2003 $ 12,458 $ 12,714
4/30/2003 $ 12,554 $ 12,819
5/31/2003 $ 12,776 $ 13,058
6/30/2003 $ 12,731 $ 13,031
7/31/2003 $ 12,330 $ 12,594
8/31/2003 $ 12,399 $ 12,677
9/30/2003 $ 12,730 $ 13,013
10/31/2003 $ 12,609 $ 12,892
11/30/2003 $ 12,633 $ 12,923
12/31/2003 $ 12,741 $ 13,054
1/31/2004 $ 12,846 $ 13,159
2/29/2004 $ 12,988 $ 13,301
3/31/2004 $ 13,090 $ 13,401
4/30/2004 $ 12,767 $ 13,052
5/31/2004 $ 12,699 $ 13,000
6/30/2004 $ 12,773 $ 13,074
7/31/2004 $ 12,907 $ 13,204
8/31/2004 $ 13,129 $ 13,456
9/30/2004 $ 13,178 $ 13,492
10/31/2004 $ 13,296 $ 13,605
11/30/2004 $ 13,181 $ 13,497
12/31/2004 $ 13,319 $ 13,621
1/31/2005 $ 13,399 $ 13,704
2/28/2005 $ 13,330 $ 13,623
3/31/2005 $ 13,265 $ 13,554
4/30/2005 $ 13,443 $ 13,737
5/31/2005 $ 13,583 $ 13,885
6/30/2005 $ 13,659 $ 13,961
7/31/2005 $ 13,550 $ 13,834
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from September 1, 2000.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG CORE BOND FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,011.31 1,023.55 1.25 1.25 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Short Term Bond Fund returned 2.47% for the 12-month period ended July 31,
2005. The fund outperformed the Merrill Lynch 1-3 Year Treasury Index,(1) which
returned 1.22% during the period. The fund also outperformed its peer group, the
Lipper Short Investment Grade Debt Funds Category, whose average return was
1.76%.(2) The maturity structure of the portfolio was well matched to
interest-rate movements during the period, which aided performance.
THE BARBELL MEETS A FLATTENING YIELD CURVE
Throughout the past 12 months, we maintained a "barbell" structure that
emphasized the short and long ends of the fund's maturity spectrum while
de-emphasizing intermediate maturities. This strategy was a good fit with a
Treasury yield curve that flattened over the course of the year. The yield curve
"flattens" when short-term rates rise and long-term rates decline. Normally, the
yield curve, which displays the progression of yields from short to long-term,
is positively sloped.
In particular, the fund benefited from the Federal Reserve's (the Fed's)
repeated short-term interest rate increases. The Fed raised the federal funds
rate eight times during the reporting period.(3) As short-term securities
matured, we were able to reinvest the proceeds at higher rates than those
available during the past two years. In addition, the coupons on the fund's
floating-rate notes were reset at steadily higher levels as the year went on.
ADDED VALUE OUTSIDE THE TREASURY MARKET
The fund's performance was enhanced by positions in corporate bonds, which
outperformed Treasury bonds for the period as a whole. Industry selection was
generally favorable. The fund was overweight in energy and consumer non-cyclical
sectors, which were strong performers during the period. The fund's exposure to
the auto manufacturers sector proved to be a slight detriment. The entire sector
came under pressure in the spring when General Motors and Ford bonds were
downgraded. We eliminated the fund's General Motors Acceptance holdings and
elected to retain small positions in Ford Motor Credit and DaimlerChrysler N.A.
Holding (0.6% and 0.3%, respectively).
Positions in mortgage-backed and asset-backed securities also aided our
performance, as bonds in these sectors outperformed Treasury securities with
comparable maturities. Our ability to make significant investments in these
longer-term sectors was made possible by the barbell approach, whose short-term
component kept the portfolio's overall duration in check. Duration is a measure
of interest-rate sensitivity.
LOOKING AHEAD
As the trends of the past year unfolded, we took steps to position the portfolio
to take advantage of the prevailing economic environment. Two particular aspects
of this positioning are worth highlighting because we believe they remain
relevant for the year ahead. First, we reduced the fund's commitment to
corporate bonds, noting that their yield advantage over
6
<Page>
Treasuries has declined to historically low levels and that the steady rise in
short-term interest rates could begin to crimp corporate profits. Second, we
maintained a position in TIPS (Treasury Inflation Protected Securities) in case
the economy experiences higher-than-expected inflation in the year ahead. The
ability of the economy to weather higher energy prices has been impressive, but
recent trends suggest potential benefits from securities that peg their rates to
inflation.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were (%):
<Table>
U.S. Treasury Note, 3.375% 10/15/2009 5.0
U.S. Treasury Inflation Index Note, 3.625% 01/15/2008 3.9
SLM Student Loan Trust, 4.080% 01/25/2013 3.4
Federal Home Loan Mortgage Corp., 4.000% 10/15/2026 2.4
Countrywide Home Loans, 3.860% 08/25/2018 2.3
Prudential Securities Secured Financing, 6.480% 11/01/2031 2.1
Federal Home Loan Mortgage Corp., 3.000% 06/15/2009 2.0
Federal National Mortgage Association, 4.500% 01/01/2020 2.0
Residential Asset Securitization Trust, 3.910% 02/25/2034 1.9
Federal Home Loan Mortgage Corp., 4.000% 05/01/2011 1.8
</Table>
We appreciate your continued confidence in the CMG Short Term Bond Fund.
Leonard A. Aplet has co-managed the CMG Short Term Bond Fund since February 1998
and has been with the advisor or its predecessors or affiliate organizations
since 1987.
/s/ Leonard A. Aplet
Richard R. Cutts has co-managed the Fund since November 2000 and has been with
the advisor or its predecessors or affiliate organizations since 1994.
/s/ Richard R. Cutts
Investing in fixed-income securities may involve certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
- ----------
(1) The Merrill Lynch 1-3 Year Treasury Index is an unmanaged index that
measures the return of Treasury bills with maturities of 1-3 years. Unlike
the fund, indices are not investments, do not incur fees or expenses and
are not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
(3) The federal funds rate was increased again on August 9, 2005.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
7
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR LIFE
CMG Short Term Bond Fund 2/2/98 2.47 4.98 5.02
Merrill Lynch 1-3 Year Treasury Index 1.22 4.30 4.57
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR LIFE
CMG Short Term Bond Fund 2/2/98 3.11 5.18 5.11
Merrill Lynch 1-3 Year Treasury Index 1.87 4.49 4.66
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 2, 1998 TO JULY 31, 2005
<Table>
<Caption>
CMG SHORT TERM BOND FUND MERRILL LYNCH 1-3 YEAR TREASURY INDEX
2/2/98 $ 10,000 $ 10,000
2/28/98 $ 10,005 $ 10,010
3/31/98 $ 10,040 $ 10,051
4/30/98 $ 10,099 $ 10,098
5/31/98 $ 10,168 $ 10,152
6/30/98 $ 10,236 $ 10,205
7/31/98 $ 10,279 $ 10,253
8/31/98 $ 10,425 $ 10,382
9/30/98 $ 10,563 $ 10,519
10/31/98 $ 10,536 $ 10,570
11/30/98 $ 10,561 $ 10,561
12/31/98 $ 10,612 $ 10,598
1/31/99 $ 10,691 $ 10,640
2/28/99 $ 10,608 $ 10,588
3/31/99 $ 10,688 $ 10,661
4/30/99 $ 10,723 $ 10,695
5/31/99 $ 10,687 $ 10,689
6/30/99 $ 10,704 $ 10,722
7/31/99 $ 10,695 $ 10,756
8/31/99 $ 10,705 $ 10,787
9/30/99 $ 10,815 $ 10,858
10/31/99 $ 10,847 $ 10,887
11/30/99 $ 10,875 $ 10,908
12/31/99 $ 10,886 $ 10,923
1/31/2000 $ 10,879 $ 10,918
2/29/2000 $ 10,956 $ 10,992
3/31/2000 $ 11,046 $ 11,060
4/30/2000 $ 11,040 $ 11,088
5/31/2000 $ 11,075 $ 11,134
6/30/2000 $ 11,233 $ 11,250
7/31/2000 $ 11,316 $ 11,321
8/31/2000 $ 11,431 $ 11,404
9/30/2000 $ 11,543 $ 11,487
10/31/2000 $ 11,598 $ 11,549
11/30/2000 $ 11,743 $ 11,658
12/31/2000 $ 11,929 $ 11,797
1/31/2001 $ 12,094 $ 11,944
2/28/2001 $ 12,197 $ 12,022
3/31/2001 $ 12,295 $ 12,122
4/30/2001 $ 12,301 $ 12,155
5/31/2001 $ 12,386 $ 12,223
6/30/2001 $ 12,440 $ 12,264
7/31/2001 $ 12,639 $ 12,402
8/31/2001 $ 12,734 $ 12,473
9/30/2001 $ 12,918 $ 12,679
10/31/2001 $ 13,064 $ 12,800
11/30/2001 $ 12,973 $ 12,772
12/31/2001 $ 12,945 $ 12,777
1/31/2002 $ 13,010 $ 12,802
2/28/2002 $ 13,080 $ 12,864
3/31/2002 $ 12,995 $ 12,776
4/30/2002 $ 13,104 $ 12,919
5/31/2002 $ 13,205 $ 12,971
6/30/2002 $ 13,284 $ 13,080
7/31/2002 $ 13,352 $ 13,240
8/31/2002 $ 13,464 $ 13,285
9/30/2002 $ 13,588 $ 13,395
10/31/2002 $ 13,456 $ 13,426
11/30/2002 $ 13,452 $ 13,384
12/31/2002 $ 13,581 $ 13,511
1/31/2003 $ 13,599 $ 13,510
2/28/2003 $ 13,699 $ 13,567
3/31/2003 $ 13,724 $ 13,591
4/30/2003 $ 13,774 $ 13,617
5/31/2003 $ 13,888 $ 13,669
6/30/2003 $ 13,900 $ 13,689
7/31/2003 $ 13,713 $ 13,615
8/31/2003 $ 13,743 $ 13,625
9/30/2003 $ 13,919 $ 13,749
10/31/2003 $ 13,863 $ 13,698
11/30/2003 $ 13,866 $ 13,691
12/31/2003 $ 13,949 $ 13,770
1/31/2004 $ 14,008 $ 13,798
2/29/2004 $ 14,082 $ 13,864
3/31/2004 $ 14,133 $ 13,907
4/30/2004 $ 14,018 $ 13,774
5/31/2004 $ 13,997 $ 13,761
6/30/2004 $ 14,022 $ 13,760
7/31/2004 $ 14,085 $ 13,809
8/31/2004 $ 14,184 $ 13,905
9/30/2004 $ 14,201 $ 13,892
10/31/2004 $ 14,241 $ 13,935
11/30/2004 $ 14,212 $ 13,865
12/31/2004 $ 14,269 $ 13,895
1/31/2005 $ 14,278 $ 13,889
2/28/2005 $ 14,272 $ 13,857
3/31/2005 $ 14,259 $ 13,858
4/30/2005 $ 14,345 $ 13,936
5/31/2005 $ 14,408 $ 13,989
6/30/2005 $ 14,460 $ 14,017
7/31/2005 $ 14,435 $ 13,974
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from February 2, 1998.
8
<Page>
UNDERSTANDING YOUR EXPENSES - CMG SHORT TERM BOND FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,010.91 1,023.55 1.25 1.25 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
9
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
10
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES.
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Ultra Short Term Bond Fund returned 1.83% for the 12-month period ended July
31, 2005. The fund outperformed both the Citigroup One-Year U.S. Treasury Bill
Index,(1) which returned 1.46% for the period, and the average return of the
Lipper Short Investment Grade Debt Funds Category, which was 1.76%.(2) The fund
had more exposure to corporate bonds and asset backed securities than the index.
We believe that this overweight accounted for its strong relative performance.
Short-term bonds faced a challenging environment over the past 12 months. Their
difficulties were driven primarily by the monetary policy of the Federal Reserve
Board (the Fed), which raised a key short term interest rate--the federal funds
rate--eight times during the period. These actions resulted in a two
percentage-point rise in short-term interest rates, which negatively affected
the fund's fixed income holdings as bond yields and prices move in opposite
directions.(3)
However, the positive economic growth that sparked the Fed's rate-raising cycle
aided returns from the fund's corporate bond positions as the yield spread
between them and US Treasuries narrowed. These corporate securities outperformed
short-term Treasuries, providing a boost to performance. In addition,
floating-rate bonds performed particularly well. Because their yields are reset
periodically, the fund was able to capture the positive effect of increases in
short-term rates.
The search for income (yield) is central to the fund's efforts to offset the
negative impact of rising rates on the principal value of short-term bonds. To
improve the portfolio's overall yield while maintaining a high average credit
quality, we emphasized short-term corporate bonds rated A and AA by Moody's,
particularly floating-rate bonds. Corporate securities represented 42% of the
portfolio at the end of the period. We also increased the fund's holdings in
asset-backed securities, which are secured by an issuing company's
income-producing assets, to 13%. We intend to maintain this exposure as long as
these bonds continued to perform well. Mortgage-backed securities, which are
secured by pools of mortgage loans, have also done well and we plan to add to
the fund's position (11% of the portfolio as of 7/31/05) as individual values
merit.
We expect the Fed to continue to raise short-term interest rates until early
2006. To take advantage of this environment, we plan to maintain the fund's
position in floating-rate issues. Should the Fed take a breather from its
rate-raising cycle, we are prepared to increase the fund's fixed-rate corporate
exposure and to extend the fund's duration in order to enhance return by
reducing the portfolio's exposure to floating rate corporate bonds. Duration is
a measure of interest rate sensitivity. We raise duration when we expect
interest rates to decline. If we are right in our judgment, this move has the
potential to increase return. If we are wrong, and interest rates continue to
increase, a longer duration can hurt performance.
11
<Page>
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2005
were (%):
<Table>
U.S. Treasury Notes, 2.500% 10/31/2006 2.5
Federal National Mortgage Association, TBA 5.500% 12/01/2020 2.5
Federal National Mortgage Association, 3.250% 06/28/2006 2.4
Federal Home Loan Mortgage Corp., 5.000% 12/01/2019 2.3
Federal National Mortgage Association, 6.000% 09/01/2019 2.2
SLM Corp., 3.610% 09/15/2006 1.9
Goldman Sachs Group, Inc., 3.833% 10/27/2006 1.8
Morgan Stanley, 3.440% 11/24/2006 1.8
Emerson Electric, 6.300% 11/01/2005 1.8
Federal Home Loan Mortgage Corp., 2.750% 10/15/2006 1.8
</Table>
We appreciate your continued confidence in the CMG Ultra Short Term Bond Fund.
Guy C. Holbrook has managed the Fund since its inception and has been with the
advisor or its predecessors or affiliate organizations since 1998.
/s/ Guy C. Holbrook
Investing in fixed-income securities offers the potential for attractive current
income and total returns, but also involves certain risks. The value and return
of your investment may fluctuate as a result of changes in interest rates, the
financial strength of issuers of lower-rated bonds or political and economic
developments.
- ----------
(1) The Citigroup One-Year U.S. Treasury Bill Index consists of a single 1-year
U.S. Treasury Bill whose return is tracked until its maturity. Unlike the
fund, indices are not investments, do not incur fees or expenses and are
not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
(3) The federal funds rate was increased again on August 9, 2005.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
12
<Page>
CUMULATIVE TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Ultra Short Term Bond Fund 3/8/04 1.83 1.24
Citigroup One-Year U.S. Treasury Bill Index 1.46 1.00
</Table>
CUMULATIVE TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR LIFE
CMG Ultra Short Term Bond Fund 3/8/04 2.02 1.32
Citigroup One-Year U.S. Treasury Bill Index 1.69 1.08
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, MARCH 8, 2004 TO JULY 31, 2005
<Table>
<Caption>
CMG ULTRA SHORT TERM BOND FUND CITIGROUP ONE-YEAR U.S. TREASURY BILL INDEX
3/8/2004 $ 10,000 $ 10,000
3/31/2004 $ 9,999 $ 10,006
4/30/2004 $ 9,977 $ 9,979
5/31/2004 $ 9,972 $ 9,977
6/30/2004 $ 9,972 $ 9,974
7/31/2004 $ 9,991 $ 9,996
8/31/2004 $ 10,015 $ 10,025
9/30/2004 $ 10,021 $ 10,022
10/31/2004 $ 10,046 $ 10,039
11/30/2004 $ 10,042 $ 10,022
12/31/2004 $ 10,079 $ 10,038
1/31/2005 $ 10,067 $ 10,045
2/28/2005 $ 10,074 $ 10,044
3/31/2005 $ 10,069 $ 10,059
4/30/2005 $ 10,111 $ 10,095
5/31/2005 $ 10,153 $ 10,127
6/30/2005 $ 10,174 $ 10,144
7/31/2005 $ 10,175 $ 10,141
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
Index performance is from March 8, 2004.
13
<Page>
UNDERSTANDING YOUR EXPENSES - CMG ULTRA SHORT TERM BOND FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,010.61 1,023.55 1.25 1.25 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
14
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
15
<Page>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT www.columbiamanagement.com FOR
DAILY AND MOST RECENT MONTH-END PERFORMANCE UPDATES. CMG HIGH YIELD FUND A
Portfolio of CMG Fund Trust MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 12-month period ended July 31, 2005, the CMG High Yield Fund returned
7.98%. That was slightly lower than the Merrill Lynch Intermediate BB Index,(1)
which returned 8.53%. It was also below the average return of the Lipper High
Current Yields Category, which was 9.55% for the period.(2) Generally speaking,
performance of the fund, the index and the fund's peer group reflected their
relative commitments to lower quality issues. The fund's average credit quality
is higher than its peer group average, a strategy that we believe is prudent for
the longer term.
Macroeconomic conditions were favorable for the high-yield marketplace over the
past 12 months. The economy's steady growth enabled corporate issuers to improve
their balance sheets, a special boon to lower-quality issuers. The Merrill Lynch
Cash Pay CCC Index advanced 14.02% for the year, mirroring the 14% advance in
the S&P 500 and outpacing the Intermediate BB Index by over five percentage
points.
Our preference for higher quality investments led us to underweight the electric
utility and telecommunications sectors, both of which outperformed the overall
market. However, the fund established a small position in electric utilities,
including an investment in AES, which was a strong performer for the fund during
the period (1.2% of net assets). We also increased the fund's exposure to
energy-related investments from 13.2% to 15.3%. Energy is one of the largest
sectors weightings within the portfolio.
In terms of individual holdings, the fund benefited from the strong operating
performance of its holdings in the entertainment and leisure sector, notably
Royal Caribbean and Speedway Motorsports (1.8% and 1.1% of net assets,
respectively). Peabody Energy, the nation's largest coal enterprise, was another
stronger performer (2.1% of net assets). Although customer deliveries were
affected by a series of rail disruptions, Peabody was nonetheless a major
beneficiary of high coal prices.
Poor performers included paper and forest products and packaging concerns Boise
Cascade and Smurfit-Stone Container. Both companies were hurt by stiff price
competition within their primary markets (1.0% and 1.0% of net assets,
respectively). Cinemark was also a weak performer, held back by a spate of
disappointing Hollywood releases that dampened theater attendance nationwide
(1.1% of net assets).
We continue to believe that high-yield investments offer attractive prospects.
The absence of meaningful inflationary pressures outside of the energy sector is
likely to keep long-term bond yields in check, a plus for fixed-income
investments in general. While it is possible that persistently high energy
prices could restrain economic growth and bring inflation back into play, the
fund's heavy weight in the energy sector should help insulate the portfolio from
that scenario. Finally, from the standpoint of relative performance, the yield
advantage of lower quality issues has narrowed considerably over the past two
years, making it less likely that CCC and other low-rated bonds will continue to
outperform. In that regard, we plan to continue the fund's emphasis on higher
quality bonds.
16
<Page>
The fund's top ten issuers (as a percentage of net assets) as of July 31, 2005
were (%):
<Table>
Peabody Energy 2.1
Cott Beverages 2.1
Lamar Media 2.1
Chesapeake Energy 2.1
Ball 2.0
HCA 2.0
Constellation Brands 2.0
Station Casinos 1.9
Caesars Entertainment 1.9
MGM Mirage 1.9
</Table>
We appreciate your continued confidence in the CMG High Yield Fund.
Jeffrey L. Rippey has managed or co-managed the CMG High Yield Fund since its
inception in 1994 and has been with the advisor or its predecessors or affiliate
organizations since 1981.
/s/ Jeffrey L. Rippey
Kurt M. Havnaer has co-managed the Fund since February 2000. He has been with
the advisor or its predecessors or affiliate organizations since 1996.
/s/ Kurt M. Havnaer
Effective September 20, 2005 Stephen Peacher, Kevin L. Cronk and Thomas A.
LaPoint began co-managing CMG High Yield Fund, replacing Jeffrey L. Rippey and
Kurt M. Havnaer. Stephen Peacher, a managing director of Columbia Management, is
the lead manager for the Fund and has been associated with Columbia Management
since April, 2005. Kevin L. Cronk and Thomas A. LaPoint have been with the
advisor or its predecessors or affiliate organization since 1999.
Investing in fixed-income securities may involve certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
Investments in high yield or "junk" bonds offer the potential for higher income
than investments in investment-grade bonds but they also have a higher degree of
risk. Changes in economic conditions or other circumstances may adversely affect
a high-yield bond issuer's ability to make timely principal and interest
payments.
- ----------
(1) The Merrill Lynch Intermediate BB Index is a market-weighted index,
consisting of BB cash pay bonds, which are US dollar denominated bonds
issued in the US domestic market with maturities between 1 and 10 years.
The Merrill Lynch U.S. High Yield, Cash Pay Index is an unmanaged index
that tracks the performance of non-investment-grade corporate bonds. Unlike
the fund, indices are not investments, they do not incur fees or expenses
and are not professionally managed. It is not possible to invest directly
in an index. Securities in the fund may not match those in an index.
(2) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return (assuming reinvestment of distributions) for mutual
funds with investment objectives similar to those of the fund. Lipper makes
no adjustment for the effect of sales loads.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
17
<Page>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR 10-YEAR
CMG High Yield Fund 7/6/94 7.98 7.09 7.60
Merrill Lynch Intermediate BB Index 8.53 7.06 7.03
Merrill Lynch U.S. High Yield, Cash Pay Index 10.85 8.01 7.34
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2005 (%)
<Table>
<Caption>
INCEPTION 1-YEAR 5-YEAR 10-YEAR
CMG High Yield Fund 7/6/94 8.79 7.10 7.65
Merrill Lynch Intermediate BB Index 8.97 7.09 6.97
Merrill Lynch U.S. High Yield, Cash Pay Index 10.64 7.83 7.29
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
PERFORMANCE RESULTS REFLECT ANY VOLUNTARY WAIVERS OR REIMBURSEMENT OF FUND
EXPENSES BY THE ADVISOR OR ITS AFFILIATES. ABSENT THESE WAIVERS OR REIMBURSEMENT
ARRANGEMENTS, PERFORMANCE RESULTS WOULD HAVE BEEN LOWER. ALL RESULTS SHOWN
ASSUME REINVESTMENT OF DISTRIBUTIONS.
[CHART]
GROWTH OF A $10,000 INVESTMENT, AUGUST 1, 1995 TO JULY 31, 2005
<Table>
<Caption>
CMG HIGH YIELD FUND MERRILL LYNCH INTERMEDIATE BB INDEX MERRILL LYNCH U.S. HIGH YIELD, CASH PAY INDEX
8/1/95 $ 10,000 $ 10,000 $ 10,000
8/31/95 $ 10,026 $ 10,077 $ 10,061
9/30/95 $ 10,171 $ 10,188 $ 10,176
10/31/95 $ 10,324 $ 10,286 $ 10,248
11/30/95 $ 10,445 $ 10,426 $ 10,348
12/31/95 $ 10,620 $ 10,576 $ 10,515
1/31/96 $ 10,776 $ 10,724 $ 10,681
2/29/96 $ 10,833 $ 10,690 $ 10,697
3/31/96 $ 10,696 $ 10,621 $ 10,668
4/30/96 $ 10,676 $ 10,573 $ 10,674
5/31/96 $ 10,689 $ 10,602 $ 10,750
6/30/96 $ 10,704 $ 10,702 $ 10,815
7/31/96 $ 10,794 $ 10,761 $ 10,888
8/31/96 $ 10,998 $ 10,848 $ 11,001
9/30/96 $ 11,192 $ 11,033 $ 11,237
10/31/96 $ 11,316 $ 11,206 $ 11,361
11/30/96 $ 11,571 $ 11,425 $ 11,590
12/31/96 $ 11,649 $ 11,444 $ 11,679
1/31/97 $ 11,743 $ 11,538 $ 11,769
2/28/97 $ 11,900 $ 11,660 $ 11,934
3/31/97 $ 11,723 $ 11,551 $ 11,802
4/30/97 $ 11,838 $ 11,675 $ 11,936
5/31/97 $ 12,139 $ 11,862 $ 12,177
6/30/97 $ 12,289 $ 12,028 $ 12,362
7/31/97 $ 12,620 $ 12,317 $ 12,659
8/31/97 $ 12,600 $ 12,279 $ 12,638
9/30/97 $ 12,782 $ 12,454 $ 12,847
10/31/97 $ 12,774 $ 12,532 $ 12,932
11/30/97 $ 12,911 $ 12,613 $ 13,055
12/31/97 $ 13,062 $ 12,729 $ 13,179
1/31/98 $ 13,283 $ 12,884 $ 13,375
2/28/98 $ 13,350 $ 12,913 $ 13,430
3/31/98 $ 13,430 $ 12,984 $ 13,546
4/30/98 $ 13,480 $ 13,065 $ 13,609
5/31/98 $ 13,552 $ 13,169 $ 13,705
6/30/98 $ 13,650 $ 13,257 $ 13,773
7/31/98 $ 13,822 $ 13,343 $ 13,852
8/31/98 $ 13,357 $ 13,063 $ 13,253
9/30/98 $ 13,616 $ 13,305 $ 13,280
10/31/98 $ 13,541 $ 13,156 $ 13,062
11/30/98 $ 14,003 $ 13,440 $ 13,656
12/31/98 $ 14,018 $ 13,534 $ 13,661
1/31/99 $ 14,178 $ 13,622 $ 13,796
2/28/99 $ 14,101 $ 13,559 $ 13,691
3/31/99 $ 14,230 $ 13,701 $ 13,809
4/30/99 $ 14,339 $ 13,849 $ 14,024
5/31/99 $ 14,176 $ 13,710 $ 13,927
6/30/99 $ 14,149 $ 13,701 $ 13,901
7/31/99 $ 14,156 $ 13,731 $ 13,922
8/31/99 $ 14,033 $ 13,674 $ 13,780
9/30/99 $ 14,034 $ 13,729 $ 13,727
10/31/99 $ 14,055 $ 13,665 $ 13,646
11/30/99 $ 14,270 $ 13,795 $ 13,802
12/31/99 $ 14,354 $ 13,871 $ 13,874
1/31/2000 $ 14,290 $ 13,804 $ 13,804
2/29/2000 $ 14,321 $ 13,784 $ 13,817
3/31/2000 $ 14,227 $ 13,691 $ 13,623
4/30/2000 $ 14,328 $ 13,674 $ 13,627
5/31/2000 $ 14,313 $ 13,571 $ 13,477
6/30/2000 $ 14,640 $ 13,870 $ 13,708
7/31/2000 $ 14,764 $ 14,037 $ 13,807
8/31/2000 $ 15,034 $ 14,238 $ 13,975
9/30/2000 $ 15,018 $ 14,157 $ 13,894
10/31/2000 $ 14,898 $ 13,865 $ 13,487
11/30/2000 $ 14,702 $ 13,846 $ 13,065
12/31/2000 $ 15,123 $ 14,112 $ 13,348
1/31/2001 $ 15,707 $ 14,668 $ 14,144
2/28/2001 $ 15,851 $ 14,889 $ 14,367
3/31/2001 $ 15,766 $ 15,013 $ 14,178
4/30/2001 $ 15,728 $ 15,113 $ 14,023
5/31/2001 $ 15,806 $ 15,361 $ 14,292
6/30/2001 $ 15,601 $ 15,249 $ 13,998
7/31/2001 $ 15,751 $ 15,511 $ 14,215
8/31/2001 $ 15,995 $ 15,688 $ 14,353
9/30/2001 $ 15,334 $ 14,905 $ 13,433
10/31/2001 $ 15,929 $ 15,269 $ 13,828
11/30/2001 $ 16,390 $ 15,662 $ 14,277
12/31/2001 $ 16,229 $ 15,522 $ 14,176
1/31/2002 $ 16,341 $ 15,516 $ 14,255
2/28/2002 $ 16,205 $ 15,414 $ 14,118
3/31/2002 $ 16,416 $ 15,737 $ 14,454
4/30/2002 $ 16,542 $ 16,033 $ 14,684
5/31/2002 $ 16,511 $ 16,049 $ 14,605
6/30/2002 $ 16,080 $ 14,839 $ 13,566
7/31/2002 $ 15,818 $ 14,237 $ 13,026
8/31/2002 $ 16,117 $ 14,506 $ 13,352
9/30/2002 $ 16,041 $ 14,448 $ 13,139
10/31/2002 $ 16,025 $ 14,417 $ 13,028
11/30/2002 $ 16,554 $ 14,944 $ 13,805
12/31/2002 $ 16,683 $ 15,151 $ 14,014
1/31/2003 $ 16,857 $ 15,427 $ 14,418
2/28/2003 $ 17,028 $ 15,558 $ 14,604
3/31/2003 $ 17,332 $ 15,748 $ 14,982
4/30/2003 $ 17,770 $ 16,291 $ 15,824
5/31/2003 $ 17,793 $ 16,430 $ 15,995
6/30/2003 $ 18,035 $ 16,747 $ 16,432
7/31/2003 $ 17,734 $ 16,465 $ 16,197
8/31/2003 $ 17,863 $ 16,587 $ 16,409
9/30/2003 $ 18,262 $ 17,024 $ 16,847
10/31/2003 $ 18,464 $ 17,270 $ 17,191
11/30/2003 $ 18,616 $ 17,464 $ 17,428
12/31/2003 $ 18,836 $ 17,728 $ 17,832
1/31/2004 $ 19,015 $ 17,923 $ 18,111
2/29/2004 $ 19,098 $ 18,046 $ 18,103
3/31/2004 $ 19,304 $ 18,265 $ 18,230
4/30/2004 $ 19,129 $ 17,987 $ 18,099
5/31/2004 $ 18,756 $ 17,733 $ 17,809
6/30/2004 $ 18,958 $ 17,927 $ 18,069
7/31/2004 $ 19,258 $ 18,190 $ 18,317
8/31/2004 $ 19,643 $ 18,521 $ 18,648
9/30/2004 $ 19,947 $ 18,743 $ 18,908
10/31/2004 $ 20,227 $ 18,993 $ 19,267
11/30/2004 $ 20,267 $ 19,021 $ 19,461
12/31/2004 $ 20,352 $ 19,206 $ 19,751
1/31/2005 $ 20,336 $ 19,223 $ 19,736
2/28/2005 $ 20,574 $ 19,398 $ 20,014
3/31/2005 $ 20,006 $ 18,911 $ 19,470
4/30/2005 $ 19,942 $ 18,917 $ 19,267
5/31/2005 $ 20,329 $ 19,235 $ 19,622
6/30/2005 $ 20,622 $ 19,538 $ 19,994
7/31/2005 $ 20,806 $ 19,750 $ 20,298
</Table>
The chart above shows the growth in value of a hypothetical $10,000 investment
in the fund compared to the index during the stated time period, and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
18
<Page>
UNDERSTANDING YOUR EXPENSES - CMG High Yield Fund
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
FEBRUARY 1, 2005 - JULY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,022.51 1,022.81 2.01 2.01 0.40
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.40%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
19
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual funds are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
20
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD PERIOD
YEAR ENDED JULY 31, ENDED YEAR ENDED OCTOBER 31, ENDED
--------------------- JULY 31, ------------------------ OCTOBER 31,
2005 2004 2003 (a) 2002 2001 2000 (b)
-------- -------- -------- -------- -------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.36 $ 10.38 $ 10.52 $ 10.83 $ 10.02 $ 10.00
-------- -------- -------- -------- -------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.42(c) 0.37(c) 0.31(c) 0.56(c)(d) 0.65 0.11
Net realized and unrealized gain (loss)
on investments and futures contracts 0.09 0.11 (0.12) (0.15)(d) 0.81 0.02
-------- -------- -------- -------- -------- -----------
Total from investment operations 0.51 0.48 0.19 0.41 1.46 0.13
-------- -------- -------- -------- -------- -----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.45) (0.41) (0.33) (0.58) (0.65) (0.11)
From net realized gains - (0.09) - (0.14) -(e) -
-------- -------- -------- -------- -------- -----------
Total distributions (0.45) (0.50) (0.33) (0.72) (0.65) (0.11)
-------- -------- -------- -------- -------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.42 $ 10.36 $ 10.38 $ 10.52 $ 10.83 $ 10.02
======== ======== ======== ======== ======== ===========
TOTAL RETURN (f)(g) 4.98% 4.67% 1.76%(h) 3.97% 15.01% 1.31%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 79,102 $ 32,810 $ 30,512 $ 27,412 $ 28,774 $ 10,866
Ratio of net expenses to average
net assets (i) 0.25% 0.35% 0.40%(j) 0.40% 0.40% 0.40%(j)
Ratio of investment income to average
net assets (i) 4.01% 3.54% 3.95%(j) 5.34%(d) 6.14% 6.57%(j)
Waiver/reimbursement 0.06% 0.25% 0.29%(j) 0.16% 0.25% 1.06%(j)
Portfolio turnover rate 130% 231% 181%(h) 147% 140% 103%(h)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on September 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.02, decrease net realized and unrealized loss per
share by $0.02 and decrease the ratio of net investment income to average
net assets from 5.53% to 5.34%. Per share data and ratios for periods prior
to October 31, 2002 have not been restated to reflect this change in
presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
21
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED YEAR ENDED OCTOBER 31,
---------------------- JULY 31, -------------------------------------
2005 2004 2003 (a) 2002 2001 2000
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.95 $ 12.01 $ 12.15 $ 12.41 $ 11.73 $ 11.72
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.40(b) 0.35(b) 0.34(b) 0.59(b)(c) 0.76 0.77
Net realized and unrealized gain (loss)
on investments (0.11) (0.03) (0.11) (0.22)(c) 0.68 0.01
--------- --------- --------- --------- --------- ---------
Total from investment operations 0.29 0.32 0.23 0.37 1.44 0.78
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.45) (0.38) (0.37) (0.63) (0.76) (0.77)
From net realized gains - - - - - -
--------- --------- --------- --------- --------- ---------
Total distributions (0.45) (0.38) (0.37) (0.63) (0.76) (0.77)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 11.79 $ 11.95 $ 12.01 $ 12.15 $ 12.41 $ 11.73
========= ========= ========= ========= ========= =========
TOTAL RETURN (d)(e) 2.47% 2.72% 1.91%(f) 3.12% 12.62% 6.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 95,842 $ 119,125 $ 113,193 $ 140,757 $ 89,791 $ 82,809
Ratio of net expenses to average
net assets (g) 0.25% 0.25% 0.25%(h) 0.25% 0.25% 0.25%
Ratio of interest expense to average
net assets - - -(h)(i) - - -
Ratio of net investment income to average
net assets (g) 3.38% 2.91% 3.79%(h) 4.73%(c) 6.27% 6.56%
Waiver/reimbursement 0.04% 0.10% 0.08%(h) 0.05% 0.08% 0.08%
Portfolio turnover rate 51% 79% 93%(f) 132% 82% 86%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.04, decrease net realized and unrealized loss per
share by $0.04 and decrease the ratio of net investment income to average
net assets from 5.08% to 4.73%. Per share data and ratios for periods prior
to October 31, 2002 have not been restated to reflect this change in
presentation.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage agreements,
if applicable, had an impact of less than 0.01%.
(h) Annualized.
(i) Rounds to less than 0.01%.
See Accompanying Notes to Financial Statements.
22
<Page>
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
YEAR PERIOD
ENDED ENDED
JULY 31, JULY 31,
2005 2004 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.88 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.24 0.07
Net realized and unrealized loss on investments (0.06) (0.08)
------------ ------------
Total from investment operations 0.18 (0.01)
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.36) (0.11)
Return of capital (0.03) -
------------ ------------
Total distributions (0.39) (0.11)
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 9.67 $ 9.88
============ ============
TOTAL RETURN (c)(d) 1.83% (0.08)%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 81,575 $ 67,235
Ratio of net expenses to average net assets 0.25% 0.25%(f)
Ratio of net investment income to average net assets 2.44% 1.69%(f)
Waiver/reimbursement 0.05% 0.22%(f)
Portfolio turnover rate 75% 12%(e)
</Table>
(a) The Fund commenced investment operations on March 8, 2004. Per share data,
total return and portfolio turnover reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
23
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
YEAR ENDED JULY 31, ENDED YEAR ENDED OCTOBER 31,
------------------------ JULY 31, ------------------------------------
2005 2004 2003(a) 2002 2001 2000
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.00 $ 7.90 $ 7.55 $ 8.14 $ 8.30 $ 8.54
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.51(b) 0.53(b) 0.43(b) 0.64(b)(c) 0.72 0.73
Net realized and unrealized gain (loss)
on investments 0.11 0.14 0.37 (0.58)(c) (0.16) (0.24)
--------- --------- --------- --------- --------- ---------
Total from investment operations 0.62 0.67 0.80 0.06 0.56 0.49
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.54) (0.57) (0.45) (0.65) (0.72) (0.73)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.08 $ 8.00 $ 7.90 $ 7.55 $ 8.14 $ 8.30
========= ========= ========= ========= ========= =========
TOTAL RETURN (d) 7.98%(e) 8.60%(e) 10.67%(e)(f) 0.60% 6.92% 6.01%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 269,243 $ 382,157 $ 429,042 $ 286,228 $ 348,979 $ 319,985
Ratio of net expenses to average
net assets (g) 0.40% 0.40% 0.42%(h) 0.42% 0.44% 0.43%
Ratio of investment income to average
net assets (g) 6.26% 6.64% 7.32%(h) 7.98%(c) 8.63% 8.70%
Waiver/reimbursement 0.02% 0.02% 0.01%(h) - - -
Portfolio turnover rate 39% 47% 47%(f) 62% 59% 56%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.01, decrease net realized and unrealized loss per
share by $0.01 and decrease the ratio of net investment income to average
net assets from 8.11% to 7.98%. Per share data and ratios for periods prior
to October 31, 2002 have not been restated to reflect this change in
presentation.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
See Accompanying Notes to Financial Statements.
24
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
PAR VALUE
-------------- --------------
Mortgage-Backed Securities (43.0%)
Agency Collateralized Mortgage Obligations (14.6%)
Federal Home Loan Mortgage Corp.
4.000% 07/15/14 - 10/15/26 $ 3,955,000 $ 3,840,762
4.500% 03/15/18 - 08/15/28 3,730,000 3,680,385
6.500% 10/15/23 100,000 105,468
Federal National Mortgage Association
4.500% 11/25/14 900,000 896,365
5.000% 01/25/31 2,000,000 1,984,844
6.500% 07/25/30 22,495 22,589
Government National Mortgage Association
4.500% 04/16/28 1,000,000 993,843
--------------
11,524,256
--------------
Mortgage-Backed Securities (28.4%)
Federal Home Loan Mortgage Corp.
3.500% 10/01/18 321,211 299,960
4.000% 07/01/19 285,000 275,381
5.000% 01/01/19 - 07/01/19 2,623,997 2,632,716
5.500% 11/01/17 - 09/01/34 547,928 554,535
6.000% 05/01/17 185,175 191,206
TBA,
5.000% 08/16/20 (a) 908,000 892,110
Federal National Mortgage Association
5.000% 02/01/20 - 06/01/20 6,478,112 6,495,753
5.500% 12/01/32 - 12/01/33 3,820,149 3,843,044
TBA,
5.000% 09/14/35 (a) 7,298,000 7,192,003
Government National Mortgage Association
7.000% 01/15/32 - 03/15/32 63,473 67,049
--------------
22,443,757
--------------
Total Mortgage-Backed Securities
(Cost of $34,092,300) 33,968,013
--------------
Corporate Fixed-Income Bonds & Notes (28.0%)
Basic Materials (0.8%)
Forest Products & Paper (0.4%)
International Paper Co.
4.250% 01/15/09 350,000 342,006
--------------
Metals & Mining (0.4%)
Alcan, Inc.
4.500% 05/15/13 325,000 313,875
--------------
655,881
--------------
Communications (3.2%)
Media (1.0%)
Jones Intercable, Inc.
7.625% 04/15/08 375,000 402,476
Time Warner, Inc.
6.625% 05/15/29 325,000 355,527
--------------
758,003
--------------
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Telecommunications (2.2%)
Cingular Wireless Services, Inc.
8.750% 03/01/31 $ 275,000 $ 379,863
Deutsche Telekom International Finance
8.500% 06/15/10 325,000 370,094
Sprint Capital Corp.
6.875% 11/15/28 200,000 225,720
Verizon Global Funding Corp.
7.250% 12/01/10 500,000 556,740
Vodafone Group PLC
7.750% 02/15/10 175,000 196,880
--------------
1,729,297
--------------
2,487,300
--------------
Consumer Cyclical (0.9%)
Auto Manufacturers (0.3%)
DaimlerChrysler NA Holding Corp.
8.500% 01/18/31 150,000 192,140
--------------
Retail (0.6%)
Lowe's Companies, Inc.
6.500% 03/15/29 175,000 201,397
Wal-Mart Stores, Inc.
4.000% 01/15/10 300,000 293,481
--------------
494,878
--------------
687,018
--------------
Consumer Non-Cyclical (3.4%)
Beverages (0.9%)
Anheuser-Busch Companies, Inc.
5.750% 04/01/10 50,000 52,048
Bottling Group LLC
2.450% 10/16/06 400,000 391,656
Diageo Capital PLC
3.375% 03/20/08 250,000 243,332
--------------
687,036
--------------
Food (1.2%)
General Mills, Inc.
2.625% 10/24/06 400,000 391,956
Kroger Co.
6.200% 06/15/12 335,000 353,797
Safeway, Inc.
4.950% 08/16/10 170,000 168,844
--------------
914,597
--------------
Healthcare Services (1.0%)
UnitedHealth Group, Inc.
3.375% 08/15/07 400,000 391,004
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Healthcare Services (continued)
WellPoint, Inc.
6.375% 01/15/12 $ 300,000 $ 327,045
6.800% 08/01/12 100,000 111,538
--------------
829,587
--------------
Household Products/Wares (0.3%)
Fortune Brands, Inc.
2.875% 12/01/06 225,000 220,372
--------------
2,651,592
--------------
Energy (1.8%)
Oil & Gas (1.3%)
ChevronTexaco Capital Co.
3.500% 09/17/07 200,000 197,022
Devon Energy Corp.
7.950% 04/15/32 175,000 225,887
Marathon Oil Corp.
6.800% 03/15/32 350,000 399,469
Occidental Petroleum Corp.
4.250% 03/15/10 225,000 220,700
--------------
1,043,078
--------------
Pipelines (0.5%)
Kinder Morgan Energy Partners LP
7.300% 08/15/33 350,000 417,025
--------------
1,460,103
--------------
Financials (11.2%)
Banks (2.7%)
Marshall & Ilsley Corp.
4.375% 08/01/09 400,000 398,360
U.S. Bank N.A
6.375% 08/01/11 275,000 300,671
Wachovia Corp.
4.875% 02/15/14 700,000 697,522
Wells Fargo & Co.
3.419% 03/10/08 (b) 730,000 725,175
--------------
2,121,728
--------------
Diversified Financial Services (6.4%)
American Express Credit Corp.
3.000% 05/16/08 300,000 288,636
American General Finance Corp.
5.375% 09/01/09 50,000 51,148
Bear Stearns Co., Inc.
6.500% 05/01/06 200,000 203,310
Capital One Financial Corp.
5.500% 06/01/15 210,000 211,787
CIT Group, Inc.
4.125% 02/21/06 150,000 150,081
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (continued)
Citigroup, Inc.
5.000% 09/15/14 $ 430,000 $ 433,866
Countrywide Home Loans, Inc.
2.875% 02/15/07 425,000 415,089
Credit Suisse First Boston USA, Inc.
4.625% 01/15/08 400,000 401,368
Goldman Sachs Group, Inc.
6.345% 02/15/34 325,000 345,995
HSBC Finance Corp.
6.400% 06/17/08 455,000 477,404
JPMorgan Chase Capital XV
5.875% 03/15/35 625,000 626,675
Lehman Brothers Holdings, Inc.
4.000% 01/22/08 225,000 222,554
Merrill Lynch & Co., Inc.
4.125% 01/15/09 400,000 393,528
Morgan Stanley
4.750% 04/01/14 200,000 194,508
Pitney Bowes Credit Corp.
5.750% 08/15/08 225,000 233,084
SLM Corp.
5.125% 08/27/12 425,000 430,687
--------------
5,079,720
--------------
Insurance (1.2%)
Allstate Financial Global Funding II
2.625% 10/22/06 (c) 150,000 146,788
American International Group, Inc.
2.875% 05/15/08 625,000 596,644
Genworth Financial, Inc.
4.750% 06/15/09 200,000 200,984
--------------
944,416
--------------
Real Estate Investment Trusts (REITs) (0.4%)
Health Care Property Investors, Inc.
6.450% 06/25/12 300,000 319,047
--------------
Savings & Loans (0.5%)
Washington Mutual, Inc.
4.200% 01/15/10 400,000 391,604
--------------
8,856,515
--------------
Industrials (4.4%)
Aerospace & Defense (0.4%)
Lockheed Martin Corp.
8.500% 12/01/29 160,000 223,792
United Technologies Corp.
7.125% 11/15/10 100,000 111,395
--------------
335,187
--------------
</Table>
See Accompanying Notes to Financial Statements.
28
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Auto Manufacturers (0.7%)
Ford Motor Credit Co.
7.375% 10/28/09 $ 550,000 $ 548,471
--------------
Environmental Control (0.4%)
Waste Management, Inc.
7.375% 08/01/10 325,000 358,072
--------------
Machinery (0.9%)
Caterpillar Financial Services Corp.
3.625% 11/15/07 350,000 343,742
John Deere Capital Corp.
4.625% 04/15/09 375,000 374,936
--------------
718,678
--------------
Miscellaneous Manufacturing (1.0%)
General Electric Co.
5.000% 02/01/13 750,000 760,477
--------------
Transportation (1.0%)
Canadian National Railway Co.
7.195% 01/02/16 74,295 87,075
CSX Corp.
6.750% 03/15/11 275,000 299,846
Union Pacific Corp.
3.875% 02/15/09 385,000 375,198
--------------
762,119
--------------
3,483,004
--------------
Technology (0.3%)
Computers (0.3%)
International Business Machines Corp.
5.875% 11/29/32 250,000 271,165
--------------
Utilities (2.0%)
Electric (1.9%)
CenterPoint Energy Houston Electric LLC
5.750% 01/15/14 350,000 367,017
Exelon Generation Co. LLC
6.950% 06/15/11 325,000 358,101
Scottish Power PLC
4.910% 03/15/10 400,000 400,504
Virginia Electric and Power Co.
5.375% 02/01/07 350,000 354,221
--------------
1,479,843
--------------
</Table>
See Accompanying Notes to Financial Statements.
29
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Gas (0.1%)
Sempra Energy
4.750% 05/15/09 $ 100,000 $ 99,555
--------------
1,579,398
--------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $22,192,874) 22,131,976
--------------
Government Agencies & Obligations (14.5%)
Foreign Government Bonds (1.5%)
Province of Ontario
3.500% 09/17/07 350,000 344,173
Province of Quebec
6.500% 01/17/06 275,000 278,143
Republic of Italy
2.500% 03/31/06 300,000 296,799
United Mexican States
7.500% 04/08/33 230,000 262,660
--------------
1,181,775
--------------
U.S. Government Agencies & Obligations (13.0%)
Federal Home Loan Bank
2.250% 09/13/05 375,000 374,363
3.000% 05/15/06 (d) 100,000 99,192
U.S. Treasury Bond
6.250% 08/15/23 4,810,000 5,799,994
U.S. Treasury Inflation Index Note
3.625% 01/15/08 2,250,265 2,358,559
U.S. Treasury Notes
4.250% 11/15/13 950,000 949,889
3.500% 11/15/06 740,000 735,924
--------------
10,317,921
--------------
Total Government Agencies & Obligations
(Cost of $11,520,234) 11,499,696
--------------
Collateralized Mortgage Obligations (6.0%)
Bear Stearns Asset Backed Securities, Inc.
5.000% 01/25/34 371,046 366,074
Countrywide Alternative Loan Trust
3.860% 03/25/34 (b) 219,530 219,309
5.250% 03/25/35 - 08/25/35 2,173,179 2,167,378
Countrywide Home Loans Mortgage Pass Through Trust
4.599% 12/19/33 (b) 278,871 269,923
Residential Funding Mortgage Securities I, Inc.
3.860% 07/25/18 (b) 395,423 395,953
Structured Asset Securities Corp.
5.500% 07/25/33 1,291,987 1,297,845
--------------
Total Collateralized Mortgage Obligations
(Cost of $4,742,123) 4,716,482
--------------
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Commercial Mortgage-Backed Securities (1.4%)
Asset Securitization Corp.
7.400% 10/13/26 $ 529,848 $ 544,472
CS First Boston Mortgage Securities Corp.
4.512% 07/15/37 500,000 495,083
Nationslink Funding Corp.
6.888% 11/10/30 90,000 93,749
--------------
Total Commercial Mortgage-Backed Securities
(Cost of $1,149,618) 1,133,304
--------------
Asset-Backed Securities (2.7%)
ABFS Mortgage Loan Trust
4.428% 12/15/33 327,179 312,773
AmeriCredit Automobile Receivables Trust
3.220% 07/06/08 1,575,000 1,562,857
IMC Home Equity Loan Trust
7.310% 11/20/28 67,553 67,549
7.520% 08/20/28 34,617 34,587
New Century Home Equity Loan Trust
2.940% 11/25/33 95,748 95,502
7.320% 07/25/29 7,195 7,291
Wilshire Mortgage Loan Trust
7.255% 05/25/28 76,831 76,648
--------------
Total Asset-Backed Securities
(Cost of $2,190,179) 2,157,207
--------------
Short-Term Obligations (16.2%)
Repurchase Agreement (13.4%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Government Agency Obligation
maturing 05/15/13, market value of $10,791,040
(repurchase proceeds $10,579,794) 10,577,000 10,577,000
--------------
U.S. Government Agency & Obligation (2.8%)
Federal National Mortgage Association
3.174% 09/14/05 (e) 2,225,000 2,216,461
--------------
Total Short-Term Obligations
(Cost of $12,793,461) 12,793,461
--------------
Total Investments (111.8%)
(Cost of $88,680,789) (f) 88,400,139
Other Assets & Liabilities, Net (-11.8%) (9,297,675)
--------------
Net Assets (100.0%) $ 79,102,464
==============
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
Notes to Schedule of Investments:
(a) Security purchased on a delayed delivery basis.
(b) The interest rate shown on floating rate or variable rate securities
reflects the rate at July 31, 2005.
(c) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. This security may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
July 31, 2005, this security, which is not illiquid, represents 0.2% of
net assets.
(d) Security pledged as collateral for open futures contracts.
(e) The rate shown represents the annualized yield at the date of purchase.
(f) Cost for federal income tax purposes is $88,864,347.
At July 31, 2005, the Fund held the following open short futures contracts:
<Table>
<Caption>
NUMBER OF AGGREGATE FACE EXPIRATION UNREALIZED
TYPE CONTRACTS VALUE VALUE DATE APPRECIATION
- ----------------------------------------------------------------------------------------------
2-Year
U.S. Treasury Notes 30 $ 6,194,531 $ 6,244,219 Sept-2005 $ 49,688
<Caption>
ACRONYM NAME
------- ----
TBA To Be Announced
</Table>
At July 31, 2005, the asset allocation of the Fund is as follows:
<Table>
<Caption>
% OF
ASSET ALLOCATION NET ASSETS
---------------- ----------
Mortgage-Backed Securities 43.0%
Corporate Fixed-Income Bonds & Notes 28.0
Government Agencies & Obligations 14.5
Collateralized Mortgage Obligations 6.0
Asset-Backed Securities 2.7
Commercial Mortgage-Backed Securities 1.4
Short-Term Obligations 16.2
Other Assets & Liabilities, Net (11.8)
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (33.8%)
Basic Materials (0.6%)
Forest Products & Paper (0.6%)
International Paper Co.
4.250% 01/15/09 $ 550,000 $ 537,438
--------------
Communications (3.9%)
Media (1.1%)
Jones Intercable, Inc.
7.625% 04/15/08 500,000 536,635
Time Warner, Inc.
6.125% 04/15/06 565,000 572,690
--------------
1,109,325
--------------
Telecommunications (2.8%)
AT&T Wireless Services, Inc.
7.500% 05/01/07 300,000 315,501
Deutsche Telekom International Finance BV
8.500% 06/15/10 350,000 398,562
SBC Communications, Inc.
5.750% 05/02/06 450,000 454,855
Sprint Capital Corp.
6.375% 05/01/09 345,000 364,379
Verizon Global Funding Corp.
7.600% 03/15/07 825,000 864,592
Vodafone Group PLC
7.750% 02/15/10 225,000 253,132
--------------
2,651,021
--------------
3,760,346
--------------
Consumer Cyclical (1.2%)
Auto Manufacturers (0.3%)
DaimlerChrysler N.A. Holding Corp.
4.750% 01/15/08 265,000 265,119
--------------
Retail (0.9%)
Costco Wholesale Corp.
5.500% 03/15/07 400,000 406,868
Wal-Mart Stores, Inc.
4.000% 01/15/10 500,000 489,135
--------------
896,003
--------------
1,161,122
--------------
Consumer Non-Cyclical (4.0%)
Beverages (0.5%)
Coca-Cola Enterprises, Inc.
5.750% 11/01/08 475,000 492,998
--------------
</Table>
See Accompanying Notes to Financial Statements.
33
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Food (1.2%)
General Mills, Inc.
2.625% 10/24/06 $ 625,000 $ 612,431
Kroger Co.
7.650% 04/15/07 275,000 287,826
Safeway, Inc.
4.950% 08/16/10 280,000 278,096
--------------
1,178,353
--------------
Healthcare Services (1.5%)
WellPoint, Inc.
4.875% 08/01/05 475,000 474,952
6.375% 06/15/06 500,000 508,920
UnitedHealth Group, Inc.
3.375% 08/15/07 500,000 488,755
--------------
1,472,627
--------------
Household Products/Wares (0.8%)
Fortune Brands, Inc.
2.875% 12/01/06 725,000 710,087
--------------
3,854,065
--------------
Energy (2.2%)
Oil & Gas (1.6%)
ChevronTexaco Capital Co.
3.500% 09/17/07 500,000 492,555
Devon Energy Corp.
2.750% 08/01/06 550,000 540,947
Marathon Oil Corp.
5.375% 06/01/07 500,000 507,170
--------------
1,540,672
--------------
Pipelines (0.6%)
Kinder Morgan Energy Partners LP
6.750% 03/15/11 500,000 542,710
--------------
2,083,382
--------------
Financials (15.7%)
Banks (3.1%)
Marshall & Ilsley Corp.
4.375% 08/01/09 600,000 597,540
U.S. Bancorp
3.125% 03/15/08 600,000 580,842
Wachovia Corp.
3.500% 08/15/08 850,000 827,322
Wells Fargo & Co.
3.419% 03/10/08 (a) 1,000,000 993,390
--------------
2,999,094
--------------
Diversified Financial Services (9.2%)
American Express Credit Corp.
3.000% 05/16/08 500,000 481,060
American General Finance Corp.
3.000% 11/15/06 250,000 246,205
Bear Stearns Companies, Inc.
6.500% 05/01/06 300,000 304,965
</Table>
See Accompanying Notes to Financial Statements.
34
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (continued)
Capital One Bank
4.875% 05/15/08 $ 225,000 $ 226,530
CIT Group, Inc.
4.125% 02/21/06 350,000 350,189
Citigroup, Inc.
6.750% 12/01/05 950,000 959,576
Countrywide Home Loans, Inc.
2.875% 02/15/07 500,000 488,340
Credit Suisse First Boston USA, Inc.
4.625% 01/15/08 350,000 351,197
General Electric Capital Corp.
4.250% 01/15/08 1,450,000 1,444,330
Goldman Sachs Group, Inc.
4.125% 01/15/08 325,000 322,423
HSBC Finance Corp.
6.400% 06/17/08 475,000 498,389
JPMorgan Chase & Co.
3.800% 10/02/09 750,000 726,960
Lehman Brothers Holdings, Inc.
4.000% 01/22/08 550,000 544,022
Merrill Lynch & Co., Inc.
4.125% 01/15/09 425,000 418,124
Morgan Stanley
3.875% 01/15/09 650,000 633,912
Pitney Bowes Credit Corp.
5.750% 08/15/08 350,000 362,576
USA Education, Inc.
5.625% 04/10/07 400,000 407,768
--------------
8,766,566
--------------
Insurance (1.8%)
Allstate Financial Global Funding II
2.625% 10/22/06 (b) 600,000 587,154
American International Group, Inc.
2.875% 05/15/08 650,000 620,509
Genworth Financial, Inc.
4.750% 06/15/09 500,000 502,460
--------------
1,710,123
--------------
Real Estate Investment Trusts (0.4%)
Health Care Properties Investors, Inc.
7.500% 01/15/07 400,000 415,764
--------------
Savings & Loans (1.2%)
Washington Mutual, Inc.
4.200% 01/15/10 650,000 636,357
World Savings Bank
4.125% 03/10/08 500,000 496,400
--------------
1,132,757
--------------
15,024,304
--------------
</Table>
See Accompanying Notes to Financial Statements.
35
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Industrials (3.8%)
Aerospace & Defense (0.6%)
Boeing Co.
8.100% 11/15/06 $ 525,000 $ 549,229
--------------
Auto Manufacturers (0.6%)
Ford Motor Credit Co.
7.375% 10/28/09 575,000 573,401
--------------
Environmental Control (0.3%)
Waste Management, Inc.
7.125% 10/01/07 300,000 314,763
--------------
Machinery (1.0%)
Caterpillar Financial Services Corp.
3.625% 11/15/07 600,000 589,272
John Deere Capital Corp.
4.625% 04/15/09 400,000 399,932
--------------
989,204
--------------
Transportation (1.3%)
Canadian National Railway Co.
6.450% 07/15/06 600,000 611,442
CSX Corp.
6.750% 03/15/11 325,000 354,364
Union Pacific Corp.
3.875% 02/15/09 325,000 316,725
--------------
1,282,531
--------------
3,709,128
--------------
Technology (0.6%)
Computers (0.6%)
International Business Machines Corp.
4.250% 09/15/09 580,000 575,267
--------------
Utilities (1.8%)
Electric (1.5%)
Exelon Generation Co. LLC
6.950% 06/15/11 350,000 385,647
Scottish Power PLC
4.910% 03/15/10 550,000 550,693
Virginia Electric & Power Co.
5.375% 02/01/07 500,000 506,030
--------------
1,442,370
--------------
Gas (0.3%)
Sempra Energy
4.750% 05/15/09 250,000 248,888
--------------
1,691,258
--------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $32,626,079) 32,396,310
--------------
</Table>
See Accompanying Notes to Financial Statements.
36
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Collateralized Mortgage Obligations (17.5%)
Bear Stearns Adjustable Rate Mortgage Trust
3.515% 06/25/34 (a) $ 1,000,000 $ 1,043,850
Bear Stearns Asset Backed Securities, Inc.
5.000% 01/25/34 928,893 916,446
Countrywide Alternative Loan Trust
3.860% 03/25/34 (a) 1,226,337 1,225,107
5.250% 08/25/35 1,500,110 1,509,005
Countrywide Home Loans
3.860% 08/25/18 (a) 2,236,917 2,225,665
3.960% 03/25/34 (a) 1,334,166 1,335,460
First Horizon Asset Securities, Inc.
3.960% 03/25/18 (a) 1,183,968 1,189,900
3.910% 06/25/18 (a) 1,051,493 1,055,794
IMPAC CMB Trust
3.840% 12/25/33 (a) 481,865 483,614
Ocwen Residential MBS Corp.
7.000% 10/25/40 (b) 102,417 102,766
PNC Mortgage Securities Corp.
0.000% 04/28/27 (a)(b) 9,542 9,000
Residential Accredit Loans, Inc.
3.860% 06/25/34 (a) 981,190 981,190
Residential Asset Securitization Trust
5.500% 07/25/33 265,354 265,152
3.910% 02/25/34 (a) 1,828,379 1,829,933
SACO I, Inc.
7.000% 08/25/36 (b) 270,483 271,429
Structured Asset Securities Corp.
5.750% 04/25/33 1,006,941 1,001,664
Washington Mutual Mortgage Securities Corp.
3.960% 03/25/18 - 06/25/18 (a) 1,305,766 1,312,516
--------------
Total Collateralized Mortgage Obligations
(Cost of $16,697,481) 16,758,491
--------------
Commercial Mortgage-Backed Securities (4.0%)
LB-UBS Commercial Mortgage Trust
5.642% 12/15/25 795,321 809,605
Nationslink Funding Corp.
6.888% 11/10/30 500,000 520,825
Nomura Asset Securities Corp.
7.120% 04/13/39 530,000 538,045
Prudential Securities Secured Financing Corp.
6.480% 11/01/31 1,948,577 2,022,370
--------------
Total Commercial Mortgage-Backed Securities
(Cost of $3,971,065) 3,890,845
--------------
</Table>
See Accompanying Notes to Financial Statements.
37
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Asset-Backed Securities (16.6%)
AmeriCredit Automobile Receivables Trust
2.970% 03/06/07 $ 209,607 $ 209,276
Ameriquest Mortgage Securities, Inc.
3.810% 05/25/33 (a) 259,960 260,023
CIT Equipment Collateral
2.200% 03/20/08 143,598 141,616
Cityscape Home Equity Loan Trust
7.410% 05/25/28 63,597 63,521
7.650% 09/25/25 448,155 447,140
7.940% 10/25/18 122,214 122,028
ContiMortgage Home Loan Equity Trust
7.580% 08/15/28 486,787 487,776
Countrywide Asset-Backed Certificates
3.550% 08/25/35 (a) 945,210 945,380
IMC Home Equity Loan Trust
7.500% 04/25/26 584,099 590,488
7.520% 08/20/28 82,549 82,477
KeyCorp Student Loan Trust
3.490% 08/27/25 (a) 857,979 861,922
3.930% 01/27/23 (a)(b) 1,005,004 1,012,130
Long Beach Auto Receivables Trust
4.050% 04/15/11 1,700,000 1,679,855
New Century Home Equity Loan Trust
3.830% 01/25/34 (a) 821,086 825,118
SLM Student Loan Trust
3.630% 01/25/10 (a) 751,278 752,214
3.960% 07/25/11 (a) 1,400,000 1,400,644
4.080% 01/25/13 (a) 3,140,000 3,234,855
UCFC Home Equity Loan
6.315% 04/15/30 294,833 299,738
Volkswagen Auto Lease Trust
3.940% 10/20/10 1,500,000 1,497,660
WFS Financial Owner Trust
2.810% 08/22/11 1,000,000 978,320
--------------
Total Asset-Backed Securities
(Cost of $15,841,315) 15,892,181
--------------
Mortgage-Backed Securities (14.6%)
Agency Collateralized Mortgage Obligations (5.6%)
Federal Home Loan Mortgage Corp.
3.000% 06/15/09 1,913,704 1,904,863
4.000% 09/15/15 - 10/15/26 2,970,000 2,926,978
6.500% 11/15/30 158,888 160,837
Federal National Mortgage Association
4.010% 09/25/18 (a) 342,202 342,434
--------------
5,335,112
--------------
</Table>
See Accompanying Notes to Financial Statements.
38
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Mortgage-Backed Securities (continued)
Mortgage-Backed Securities (9.0%)
Federal Home Loan Mortgage Corp.
4.000% 05/01/11 $ 1,768,461 $ 1,736,053
4.500% 11/01/07 695,318 694,770
5.500% 12/01/17 348,440 355,505
Federal National Mortgage Association
4.500% 01/01/20 1,911,795 1,881,706
5.000% 08/01/19 - 05/01/20 1,822,553 1,827,564
5.500% 11/01/18 821,500 838,121
6.000% 03/01/09 - 05/01/09 414,163 420,381
Small Business Administration
3.875% 10/25/21 - 06/25/22 (a) 566,313 570,674
4.000% 07/25/21 - 11/25/21 (a) 109,407 109,418
4.375% 01/25/17 (a) 229,656 229,610
--------------
8,663,802
--------------
Total Mortgage-Backed Securities
(Cost of $14,129,310) 13,998,914
--------------
Government Agencies & Obligations (11.8%)
Foreign Government Bonds (2.3%)
Province of Ontario
6.000% 02/21/06 350,000 353,808
Province of Quebec
6.500% 01/17/06 600,000 606,858
7.000% 01/30/07 85,000 88,550
Republic of Italy
2.500% 03/31/06 750,000 741,998
United Mexican States
4.625% 10/08/08 400,000 398,000
--------------
2,189,214
--------------
U.S. Government Agencies & Obligations (9.5%)
A.I.D. Morocco
3.875% 05/01/23 (a) 360,000 357,588
Federal Home Loan Bank
3.000% 05/15/06 125,000 123,990
U.S. Treasury Inflation Index Note
3.625% 01/15/08 3,610,050 3,783,784
U.S. Treasury Note
3.375% 10/15/09 4,980,000 4,831,960
--------------
9,097,322
--------------
Total Government Agencies & Obligations
(Cost of $11,494,504) 11,286,536
--------------
</Table>
See Accompanying Notes to Financial Statements.
39
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Short-Term Obligation (3.4%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 05/15/13, market value of $3,301,591
(repurchase proceeds $3,235,855) $ 3,235,000 $ 3,235,000
--------------
Total Short-Term Obligation
(Cost of $3,235,000) 3,235,000
--------------
Total Investments (101.7%)
(Cost of $97,994,754) (c) 97,458,277
Other Assets & Liabilities, Net (-1.7%) (1,616,233)
--------------
Net Assets (100.0%) $ 95,842,044
==============
</Table>
Notes to Schedule of Investments:
(a) The interest rate shown on floating rate or variable rate securities
reflects the rate at July 31, 2005.
(b) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
July 31, 2005, these securities, which did not include any illiquid
securities, amounted to $1,982,479, which represents 2.1% of net assets.
(c) Cost for federal income tax purposes is $98,563,051.
At July 31, 2005, the Fund held the following open short futures contract:
<Table>
<Caption>
AGGREGATE FACE EXPIRATION UNREALIZED
TYPE CONTRACTS VALUE VALUE DATE APPRECIATION
- -----------------------------------------------------------------------------------------------
2-Year
U.S. Treasury Notes 30 $ 6,194,531 $ 6,244,218 Sep-2005 $ 49,687
</Table>
On July 31, 2005, cash of $12,000 was pledged as collateral for open futures
contracts and was being held by the broker of the futures contracts.
At July 31, 2005, the asset allocation of the Fund is as follows:
<Table>
<Caption>
% OF
ASSET ALLOCATION NET ASSETS
---------------- ----------
Corporate Fixed-Income Bonds & Notes 33.8%
Collateralized Mortgage Obligations 17.5
Asset-Backed Securities 16.6
Mortgage-Backed Securities 14.6
Government Agencies & Obligations 11.8
Commercial Mortgage-Backed Securities 4.0
Short-Term Obligations 3.4
Other Assets & Liabilities, Net (1.7)
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
40
<Page>
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (41.9%)
Communications (1.2%)
Telecommunications (1.2%)
France Telecom SA
7.450% 03/01/06 $ 400,000 $ 407,400
Verizon Global Funding Corp.
6.750% 12/01/05 536,000 541,012
--------------
948,412
--------------
Consumer Cyclical (6.0%)
Apparel (1.2%)
Jones Apparel Group, Inc.
7.875% 06/15/06 500,000 514,535
Nike, Inc.
5.500% 08/15/06 500,000 506,170
--------------
1,020,705
--------------
Auto Manufacturers (1.3%)
DaimlerChrysler North America Holding Corp.
3.890% 05/24/06 (a) 600,000 600,324
6.400% 05/15/06 455,000 462,444
--------------
1,062,768
--------------
Retail (2.6%)
Lowe's Companies, Inc.
7.500% 12/15/05 570,000 576,994
McDonald's Corp.
5.375% 04/30/07 610,000 620,077
Target Corp.
5.950% 05/15/06 885,000 897,133
--------------
2,094,204
--------------
Textiles (0.9%)
Cintas Corp.
5.125% 06/01/07 750,000 759,735
--------------
4,937,412
--------------
Consumer Non-Cyclical (3.6%)
Agriculture (0.6%)
Cargill, Inc.
6.250% 05/01/06 (b) 500,000 507,630
--------------
Beverages (1.5%)
Coca-Cola Enterprises, Inc.
5.375% 08/15/06 550,000 556,264
Bottling Group LLC
2.450% 10/16/06 700,000 685,398
--------------
1,241,662
--------------
Healthcare Services (0.6%)
WellPoint, Inc.
3.750% 12/14/07 500,000 489,800
--------------
</Table>
See Accompanying Notes to Financial Statements.
41
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Pharmaceuticals (0.6%)
Eli Lilly & Co.
3.340% 08/24/07 (a) $ 500,000 $ 499,875
--------------
Tobacco (0.3%)
Altria Group, Inc.
6.375% 02/01/06 200,000 202,088
--------------
2,941,055
--------------
Energy (0.9%)
Oil & Gas (0.5%)
Ras Laffan Liquefied Natural Gas Co., Ltd.
3.437% 09/15/09 (b) 457,050 433,041
--------------
Pipelines (0.4%)
Duke Energy Field Services LLC
7.500% 08/16/05 300,000 300,369
--------------
733,410
--------------
Financials (24.7%)
Banks (1.9%)
Bank of Scotland
3.500% 11/30/07 (b) 1,000,000 979,950
Bank One Corp.
3.494% 02/27/06 (a) 545,000 544,978
--------------
1,524,928
--------------
Diversified Financial Services (20.0%)
Caterpillar Financial Services Corp.
3.400% 09/08/06 (a) 1,000,000 999,430
CIT Group, Inc.
3.468% 02/15/07 (a) 1,000,000 1,001,350
6.500% 02/07/06 360,000 364,396
Countrywide Home Loans, Inc.
3.250% 05/21/08 1,500,000 1,445,790
Credit Suisse First Boston USA, Inc.
3.768% 02/15/07 (a) 1,000,000 1,006,320
Education Loans, Inc.
3.380% 12/01/36 (a) 900,000 900,000
Ford Motor Credit Co.
4.950% 01/15/08 350,000 338,114
6.875% 02/01/06 150,000 151,473
General Electric Capital Corp.
5.350% 03/30/06 500,000 504,250
6.500% 12/10/07 500,000 522,905
Goldman Sachs Group, Inc.
3.833% 10/27/06 (a) 1,500,000 1,502,235
Household Financial Corp.
7.650% 05/15/07 1,400,000 1,474,998
</Table>
See Accompanying Notes to Financial Statements.
42
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (continued)
John Deere Capital Corp.
3.625% 05/25/07 $ 500,000 $ 493,430
JPMorgan & Co., Inc.
6.250% 12/15/05 500,000 504,165
MBNA America Bank NA
7.750% 09/15/05 280,000 281,246
Merrill Lynch & Co.
3.600% 06/06/06 (a) 700,000 701,218
3.684% 05/22/06 (a) 800,000 804,971
Morgan Stanley
3.440% 11/24/06 (a) 1,500,000 1,501,170
National Rural Utilities
6.650% 10/01/05 325,000 326,371
SLM Corp.
3.610% 09/15/06 (a) 1,510,000 1,510,725
--------------
16,334,557
--------------
Insurance (2.2%)
Berkshire Hathaway Finance Corp.
3.330% 05/16/08 (a)(b) 500,000 499,920
Genworth Financial, Inc.
3.560% 06/15/07 (a) 1,100,000 1,101,595
Prudential Financial, Inc.
4.104% 11/15/06 225,000 224,391
--------------
1,825,906
--------------
Savings & Loans (0.6%)
World Savings Bank FSB
4.125% 03/10/08 500,000 496,400
--------------
20,181,791
--------------
Industrials (2.3%)
Electrical Components & Equipment (1.8%)
Emerson Electric Co.
6.300% 11/01/05 1,470,000 1,478,893
--------------
Transportation (0.5%) CSX Corp.
4.010% 08/03/06 (a) 387,000 387,000
--------------
1,865,893
--------------
Technology (0.4%)
Software (0.4%)
First Data Corp.
4.700% 11/01/06 300,000 301,404
--------------
Utilities (2.8%)
Electric (2.2%)
Alabama Power Co.
2.650% 02/15/06 400,000 396,984
</Table>
See Accompanying Notes to Financial Statements.
43
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Electric (continued)
Consolidated Edison Co.
6.625% 12/15/05 $ 329,000 $ 332,014
Georgia Power Co.
6.200% 02/01/06 300,000 302,949
Wisconsin Electric Power Co.
3.500% 12/01/07 750,000 732,195
--------------
1,764,142
--------------
Gas (0.6%)
Sempra Energy
6.950% 12/01/05 500,000 504,670
--------------
2,268,812
--------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $34,339,764) 34,178,189
--------------
Asset-Backed Securities (13.3%)
AmeriCredit Automobile Receivables Trust
3.930% 10/06/11 500,000 489,645
Ameriquest Mortgage Securities, Inc.
5.000% 06/25/06 I.O. (c) 7,100,000 227,342
Chase Funding Mortgage Loan Asset-Backed Certificates
7.140% 09/25/28 239,767 240,849
Citibank Credit Card Issuance Trust
2.700% 01/15/08 310,000 308,363
Credit-Based Asset Servicing & Securitization
3.630% 05/25/35 (a) 26,382 26,382
DaimlerChrysler Auto Trust
3.090% 01/08/08 300,000 298,509
Franklin Auto Trust
3.130% 11/15/11 500,000 489,100
Harley-Davidson Motorcycle Trust
2.630% 11/15/10 251,089 246,712
Long Beach Mortgage Loan Trust
4.500% 12/25/06 I.O. (c) 4,921,392 196,167
MBNA Credit Card Master Note Trust
5.750% 10/15/08 439,000 444,698
Nissan Auto Lease Trust
2.570% 06/15/09 510,816 505,272
Onyx Acceptance Grantor Trust
2.400% 12/15/07 153,538 152,806
3.090% 09/15/08 500,000 495,710
Providian Gateway Master Trust
3.350% 09/15/11 (b) 1,500,000 1,465,275
Residential Asset Mortgage Products, Inc.
3.420% 10/25/27 1,237,000 1,218,136
3.640% 04/25/24 (a) 334,249 334,269
3.810% 01/25/26 700,000 690,774
Soundview Home Equity Loan Trust
3.450% 04/25/35 (a) 478,734 478,854
</Table>
See Accompanying Notes to Financial Statements.
44
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Asset-Backed Securities (continued)
Triad Auto Receivables Owner Trust
1.400% 09/12/07 $ 66,779 $ 66,588
USAA Auto Owner Trust
2.930% 07/16/07 261,776 260,472
Volkswagen Auto Loan Enhanced Trust
2.270% 10/22/07 185,080 183,425
Wells Fargo Financial Auto Owner Trust
3.390% 06/15/06 448,211 448,023
WFS Financial Owner Trust
1.760% 01/21/08 118,424 117,925
2.850% 09/22/08 500,000 494,965
3.020% 05/20/11 998,691 982,373
--------------
Total Asset-Backed Securities
(Cost of $11,004,311) 10,862,634
--------------
Government Agencies & Obligations (13.2%)
Foreign Government Bonds (1.2%)
Italy Government International Bond
4.000% 06/16/08 1,000,000 989,790
--------------
U.S. Government Agencies & Obligations (12.0%)
Federal Home Loan Bank
2.500% 11/15/05 500,000 498,286
5.375% 02/15/07 1,250,000 1,271,177
Federal Home Loan Mortgage Corp.
2.750% 10/15/06 1,500,000 1,475,725
2.810% 02/02/06 1,000,000 994,402
3.750% 11/15/06 1,000,000 994,959
Federal National Mortgage Association
3.250% 06/28/06 2,000,000 1,983,904
U.S. Treasury Notes
2.500% 10/31/06 2,100,000 2,063,168
3.125% 01/31/07 500,000 493,789
--------------
9,775,410
--------------
Total Government Agencies & Obligations
(Cost of $10,883,233) 10,765,200
--------------
Mortgage-Backed Securities (10.7%)
Agency Collateralized Mortgage Obligations (3.3%)
Federal Home Loan Mortgage Corp.
4.000% 05/15/14 - 07/15/24 739,638 733,107
4.250% 03/15/17 1,050,000 1,047,748
Federal National Mortgage Association
5.000% 01/25/23 885,662 889,582
--------------
2,670,437
--------------
Mortgage-Backed Securities (7.4%)
Federal Home Loan Mortgage Corp.
5.000% 12/01/19 1,863,077 1,869,000
--------------
</Table>
See Accompanying Notes to Financial Statements.
45
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Mortgage-Backed Securities (continued)
Federal National Mortgage Association
6.000% 09/01/19 $ 1,722,634 $ 1,779,604
6.500% 07/01/34 375,097 388,612
TBA,
5.500% 12/01/20 (d) 2,000,000 2,040,000
--------------
6,077,216
--------------
Total Mortgage-Backed Securities
(Cost of $8,842,440) 8,747,653
--------------
Municipal Bonds (6.3%)
CA El Dorado Irrigation District Certificates of Participation
Series 2004 B,
2.950% 03/01/34 (e) 500,000 498,870
IL Midwestern University Foundation Education Loan Revenue
Series 2002 A,
3.380% 10/01/37 (e) 1,000,000 1,000,000
KS Wyandotte County Kansas City Unified Government
Special Obligation Revenue
1st Lien,
Series 2005,
4.670% 12/01/09 (e) 500,000 499,175
MO Higher Education Loan Authority
Series 1995 D,
3.380% 02/15/25 (e) 500,000 500,000
NJ Camden County Improvement Authority
Series 2005,
4.220% 08/03/06 (e) 500,000 500,000
NY City
Series 2005 L,
4.000% 12/01/06 (e) 300,000 299,058
NY State Urban Development Corp. Revenue
Series 2004 B-3,
3.580% 12/15/07 (e) 800,000 786,000
OH Knowledge Works Foundation Student Loan Revenue
Series 2000 A-3,
3.500% 11/01/35 (e) 500,000 500,000
OK State Student Loan Authority
Series 2000 A-1,
3.440% 06/01/30 (e) 500,000 500,000
--------------
Total Municipal Bonds
(Cost of $5,100,888) 5,083,103
--------------
Collateralized Mortgage Obligation (0.5%)
Washington Mutual
3.624% 04/25/35 425,533 424,852
--------------
Total Collateralized Mortgage Obligation
(Cost of $425,533) 424,852
--------------
</Table>
See Accompanying Notes to Financial Statements.
46
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Short-Term Obligations (25.6%)
Repurchase Agreement (11.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Bond maturing 05/15/16,
market value of $9,149,292 (repurchase proceeds $8,967,368) $ 8,965,000 $ 8,965,000
--------------
U.S. Government Agency & Obligation (14.6%)
Government & Agency Discount Note (14.6%)
Federal National Mortgage Association
3.480% 12/13/05 (f) 3,000,000 2,961,118
3.225% 10/19/05 (f) 9,000,000 8,936,306
--------------
11,897,424
--------------
Total Short-Term Obligations
(Cost of $20,862,424) 20,862,424
--------------
Total Investments (111.5%)
(Cost of $91,458,593) (g) 90,924,055
Other Assets & Liabilities, Net (-11.5%) (9,348,852)
--------------
Net Assets (100.0%) $ 81,575,203
==============
</Table>
Notes to Schedule of Investments:
(a) The interest rate shown on floating rate or variable rate securities
reflects the rate at July 31, 2005.
(b) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
July 31, 2005, these securities, which did not include any illiquid
securities, amounted to $3,885,816, which represents 4.8% of net assets.
(c) Accrued interest accumulates in the value of this security and is payable
at redemption.
(d) Security purchased on a delayed delivery basis.
(e) Auction rate security. A debt security in which the interest rate is
reset periodically, at intervals established at the time of issuance.
(f) The rate shown represents the annualized yield at the date of purchase.
(g) Cost for federal income tax purposes is $91,783,509.
See Accompanying Notes to Financial Statements.
47
<Page>
At July 31, 2005, the asset allocation of the Fund is as follows:
<Table>
<Caption>
% OF
ASSET ALLOCATION NET ASSETS
---------------- ----------
Corporate Fixed Income Bonds & Notes 41.9%
Asset-Backed Securities 13.3
Government Agencies & Obligations 13.2
Mortgage-Backed Securities 10.7
Municipal Bonds 6.3
Collateralized Mortgage Obligation 0.5
Short-Term Obligations 25.6
Other Assets & Liabilities, Net (11.5)
------
100.0%
======
</Table>
<Table>
<Caption>
ACRONYM NAME
------- ----
I.O. Interest only securitiy
TBA To Be Announced
</Table>
See Accompanying Notes to Financial Statements.
48
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2005
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (93.2%)
Basic Materials (4.0%)
Chemicals (2.3%)
Chemicals-Diversified (0.6%)
EquiStar Chemicals LP
10.125% 09/01/08 $ 950,000 $ 1,052,125
10.625% 05/01/11 585,000 652,275
--------------
1,704,400
--------------
Chemicals-Specialty (0.6%)
Nalco Co.
7.750% 11/15/11 1,385,000 1,475,025
--------------
Industrial-Gases (1.1%)
Airgas, Inc.
6.250% 07/15/14 155,000 158,875
9.125% 10/01/11 2,570,000 2,775,600
--------------
2,934,475
--------------
6,113,900
--------------
Forest Products & Paper (1.0%)
Paper & Related Products (1.0%)
Boise Cascade LLC
7.125% 10/15/14 2,660,000 2,620,100
--------------
Iron/Steel (0.7%)
Steel-Producers (0.7%)
Russel Metals, Inc.
6.375% 03/01/14 1,260,000 1,215,900
United States Steel Corp.
9.750% 05/15/10 750,000 821,250
--------------
2,037,150
--------------
10,771,150
--------------
Communications (14.0%)
Advertising (2.1%)
Advertising Sales (2.1%)
Lamar Media Corp.
7.250% 01/01/13 5,265,000 5,580,900
--------------
Media (9.0%)
Cable TV (4.9%)
DirecTV Holdings LLC
6.375% 06/15/15 (a) 575,000 575,000
8.375% 03/15/13 3,409,000 3,775,467
EchoStar DBS Corp.
5.750% 10/01/08 2,985,000 2,962,612
6.625% 10/01/14 1,270,000 1,262,063
</Table>
See Accompanying Notes to Financial Statements.
49
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Media (continued)
Rogers Cable, Inc.
6.250% 06/15/13 $ 2,550,000 $ 2,562,750
7.875% 05/01/12 1,880,000 2,053,900
--------------
13,191,792
--------------
Multimedia (0.5%)
Emmis Operating Co.
6.875% 05/15/12 1,495,000 1,495,000
--------------
Publishing-Periodicals (3.1%)
Dex Media West LLC
5.875% 11/15/11 3,995,000 3,965,038
R.H. Donnelley Finance Corp.
10.875% 12/15/12 (a) 3,770,000 4,373,200
--------------
8,338,238
--------------
Television (0.5%)
LIN Television Corp.
6.500% 05/15/13 1,350,000 1,306,125
--------------
24,331,155
--------------
Telecommunications (2.9%)
Cellular Telecommunications (2.9%)
Nextel Communications, Inc.
5.950% 03/15/14 120,000 124,200
6.875% 10/31/13 605,000 645,838
7.375% 08/01/15 4,110,000 4,428,525
Rogers Wireless, Inc.
7.500% 03/15/15 850,000 933,937
8.000% 12/15/12 1,485,000 1,603,800
--------------
7,736,300
--------------
37,648,355
--------------
Consumer Cyclical (21.7%)
Auto Parts & Equipment (0.7%)
Auto/Truck Parts & Equipment-Original (0.7%)
Accuride Corp.
8.500% 02/01/15 1,075,000 1,118,000
TRW Automotive, Inc.
9.375% 02/15/13 750,000 841,875
--------------
1,959,875
--------------
Entertainment (3.0%)
Music (0.8%)
Warner Music Group
7.375% 04/15/14 2,035,000 2,096,050
--------------
</Table>
See Accompanying Notes to Financial Statements.
50
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Entertainment (continued)
Racetracks (1.1%)
Speedway Motorsports, Inc.
6.750% 06/01/13 $ 2,740,000 $ 2,829,050
--------------
Theaters (1.1%)
Cinemark USA, Inc.
9.000% 02/01/13 2,855,000 2,997,750
--------------
7,922,850
--------------
Home Builders (2.5%)
Building-Residential/Commercial (2.5%)
Beazer Homes USA, Inc.
6.875% 07/15/15 (a) 1,350,000 1,356,750
K. Hovnanian Enterprises, Inc.
6.000% 01/15/10 875,000 870,625
6.375% 12/15/14 750,000 755,625
6.500% 01/15/14 1,050,000 1,068,375
KB Home
7.750% 02/01/10 225,000 239,063
8.625% 12/15/08 2,160,000 2,359,800
--------------
6,650,238
--------------
Leisure Time (2.4%)
Cruise Lines (1.8%)
Royal Caribbean Cruises Ltd.
6.750% 03/15/08 525,000 547,969
6.875% 12/01/13 1,300,000 1,391,000
8.750% 02/02/11 2,530,000 2,896,850
--------------
4,835,819
--------------
Leisure & Recreational Products (0.6%)
Leslie's Poolmart
7.750% 02/01/13 1,605,000 1,637,100
--------------
6,472,919
--------------
Lodging (9.3%)
Casino Hotels (8.2%)
CCM Merger, Inc.
8.000% 08/01/13 (a) 1,240,000 1,267,900
Caesars Entertainment, Inc.
7.875% 03/15/10 2,995,000 3,320,706
8.875% 09/15/08 800,000 888,000
9.375% 02/15/07 955,000 1,018,269
Kerzner International Ltd.
8.875% 08/15/11 2,805,000 3,001,350
MGM Mirage, Inc.
6.000% 10/01/09 4,010,000 4,020,025
8.500% 09/15/10 1,090,000 1,203,087
</Table>
See Accompanying Notes to Financial Statements.
51
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Lodging (continued)
Station Casinos, Inc.
6.500% 02/01/14 $ 2,620,000 $ 2,688,775
6.875% 03/01/16 2,465,000 2,542,031
Wynn Las Vegas LLC
6.625% 12/01/14 2,105,000 2,049,744
--------------
21,999,887
--------------
Hotels & Motels (1.1%)
Starwood Hotels & Resorts Worldwide, Inc.
7.375% 05/01/07 325,000 338,000
7.875% 05/01/12 2,360,000 2,643,200
--------------
2,981,200
--------------
24,981,087
--------------
Retail (3.8%)
Retail-Automobiles (1.7%)
AutoNation, Inc.
9.000% 08/01/08 2,745,000 3,026,362
Group 1 Automotive, Inc.
8.250% 08/15/13 1,390,000 1,407,375
--------------
4,433,737
--------------
Retail-Convenience Store (1.1%)
Couche-Tard US
7.500% 12/15/13 2,855,000 3,040,575
--------------
Retail-Propane Distributors (0.5%)
Suburban Propane Partners LP
6.875% 12/15/13 1,460,000 1,416,200
--------------
Retail-Restaurants (0.5%)
Domino's, Inc.
8.250% 07/01/11 1,300,000 1,397,500
--------------
10,288,012
--------------
58,274,981
--------------
Consumer Non-Cyclical (17.2%)
Beverages (4.0%)
Beverages-Non-Alcoholic (2.1%)
Cott Beverages, Inc.
8.000% 12/15/11 5,285,000 5,602,100
--------------
Beverages-Wine/Spirits (1.9%)
Constellation Brands, Inc.
8.000% 02/15/08 1,468,000 1,556,080
8.125% 01/15/12 3,455,000 3,705,487
--------------
5,261,567
--------------
10,863,667
--------------
</Table>
See Accompanying Notes to Financial Statements.
52
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Commercial Services (4.0%)
Commercial Services (1.5%)
Iron Mountain, Inc.
7.750% 01/15/15 $ 1,850,000 $ 1,887,000
8.625% 04/01/13 2,175,000 2,289,188
--------------
4,176,188
--------------
Consulting Services (0.1%)
FTI Consulting
7.625% 06/15/13 (a) 275,000 279,469
--------------
Funeral Services & Related Items (0.3%)
Stewart Enterprises, Inc.
6.250% 02/15/13 (a) 730,000 719,050
--------------
Private Corrections (1.6%)
Corrections Corp. of America
6.250% 03/15/13 765,000 759,262
7.500% 05/01/11 3,330,000 3,471,525
--------------
4,230,787
--------------
Rental Auto/Equipment (0.5%)
United Rentals, Inc.
7.000% 02/15/14 600,000 565,500
7.750% 11/15/13 725,000 706,875
--------------
1,272,375
--------------
10,677,869
--------------
Food (0.5%)
Food-Miscellaneous/Diversified (0.5%)
Del Monte Corp.
6.750% 02/15/15 (a) 1,275,000 1,303,688
--------------
Healthcare Services (6.3%)
Medical-HMO (1.1%)
Coventry Health Care, Inc.
5.875% 01/15/12 2,925,000 2,976,187
--------------
Medical-Hospitals (3.1%)
Community Health Systems, Inc.
6.500% 12/15/12 200,000 202,750
HCA, Inc.
6.950% 05/01/12 5,000,000 5,263,650
Triad Hospitals, Inc.
7.000% 05/15/12 2,700,000 2,835,000
--------------
8,301,400
--------------
</Table>
See Accompanying Notes to Financial Statements.
53
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Healthcare Services (continued)
Medical-Nursing Homes (0.5%)
Extendicare Health Services, Inc.
6.875% 05/01/14 $ 1,200,000 $ 1,194,000
9.500% 07/01/10 255,000 275,400
--------------
1,469,400
--------------
Medical-Outpatient/Home Medical (0.5%)
Select Medical Corp.
7.625% 02/01/15 1,465,000 1,446,688
--------------
Medical Products (1.1%)
Fisher Scientific International, Inc.
6.750% 08/15/14 2,730,000 2,869,912
--------------
17,063,587
--------------
Household Products/Wares (1.0%)
Consumer Products-Miscellaneous (1.0%)
Scotts Co.
6.625% 11/15/13 2,680,000 2,760,400
--------------
Pharmaceuticals (1.4%)
Medical-Wholesale Drug Distribution (0.8%)
AmerisourceBergen Corp.
8.125% 09/01/08 2,055,000 2,224,538
--------------
Pharmacy Services (0.6%)
Omnicare, Inc.
8.125% 03/15/11 1,365,000 1,433,250
--------------
3,657,788
--------------
46,326,999
--------------
Energy (15.3%)
Coal (3.6%)
Arch Western Finance LLC
6.750% 07/01/13 3,875,000 3,981,563
Peabody Energy Corp.
6.875% 03/15/13 5,435,000 5,761,100
--------------
9,742,663
--------------
Oil & Gas (7.1%)
Oil & Gas Drilling (0.6%)
Pride International, Inc.
7.375% 07/15/14 1,410,000 1,551,000
--------------
Oil Companies-Exploration & Production (6.5%)
Chesapeake Energy Corp.
6.375% 06/15/15 2,960,000 3,041,400
7.500% 09/15/13 2,315,000 2,500,200
</Table>
See Accompanying Notes to Financial Statements.
54
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Oil & Gas (continued)
Newfield Exploration Co.
6.625% 09/01/14 $ 4,080,000 $ 4,289,100
Plains Exploration & Production Co.
7.125% 06/15/14 2,535,000 2,737,800
Pogo Producing Co.
6.625% 03/15/15 (a) 2,025,000 2,070,562
Vintage Petroleum, Inc.
7.875% 05/15/11 2,800,000 2,940,000
--------------
17,579,062
--------------
19,130,062
--------------
Oil & Gas Services (2.3%)
Oil-Field Services (1.7%)
Hornbeck Offshore Services, Inc.
6.125% 12/01/14 1,480,000 1,491,100
Universal Compression, Inc.
7.250% 05/15/10 2,845,000 2,973,025
--------------
4,464,125
--------------
Oil Field Machinery & Equipment (0.6%)
Grant Prideco, Inc.
6.125% 08/15/15 (a) 1,595,000 1,624,906
--------------
6,089,031
--------------
Pipelines (2.3%)
Pipelines (2.3%)
MarkWest Energy Partners LP
6.875% 11/01/14 (a) 1,560,000 1,579,500
Williams Companies, Inc.
7.125% 09/01/11 1,440,000 1,564,200
8.125% 03/15/12 2,740,000 3,164,700
--------------
6,308,400
--------------
41,270,156
--------------
Financials (0.8%)
Real Estate Investment Trusts (REITs) (0.8%)
REITs-Diversified (0.3%)
iStar Financial, Inc.
5.125% 04/01/11 735,000 726,672
--------------
REITs-Hotels (0.5%)
Host Marriott LP
6.375% 03/15/15 1,515,000 1,503,638
--------------
2,230,310
--------------
</Table>
See Accompanying Notes to Financial Statements.
55
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Industrials (15.3%)
Aerospace & Defense (2.9%)
Aerospace/Defense-Equipment (1.2%)
TransDigm, Inc.
8.375% 07/15/11 $ 2,875,000 $ 3,040,313
--------------
Electronics-Military (1.7%)
L-3 Communications Corp.
6.125% 07/15/13 260,000 262,600
6.375% 10/15/15 (a) 1,600,000 1,620,000
7.625% 06/15/12 2,570,000 2,749,900
--------------
4,632,500
--------------
7,672,813
--------------
Environmental Control (1.0%)
Non-Hazardous Waste Disposal (1.0%)
Allied Waste North America, Inc.
6.375% 04/15/11 2,725,000 2,656,875
6.500% 11/15/10 30,000 29,550
--------------
2,686,425
--------------
Hand/Machine Tools (1.0%)
Machine Tools & Related Products (1.0%)
Kennametal, Inc.
7.200% 06/15/12 2,560,000 2,800,358
--------------
Machinery-Diversified (1.5%)
Machinery-General Industry (1.5%)
Manitowoc Co., Inc.
7.125% 11/01/13 1,195,000 1,260,725
Westinghouse Air Brake Technologies Corp.
6.875% 07/31/13 2,590,000 2,693,600
--------------
3,954,325
--------------
Packaging & Containers (6.0%)
Containers-Metal/Glass (5.0%)
Ball Corp.
6.875% 12/15/12 5,030,000 5,306,650
Owens-Brockway Glass Container
6.750% 12/01/14 735,000 747,863
8.875% 02/15/09 1,115,000 1,181,900
Owens-Illinois, Inc.
7.500% 05/15/10 1,900,000 1,990,250
Silgan Holdings, Inc.
6.750% 11/15/13 4,050,000 4,166,437
--------------
13,393,100
--------------
</Table>
See Accompanying Notes to Financial Statements.
56
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Corporate Fixed-Income Bonds & Notes (continued)
Packaging & Containers (continued)
Containers-Paper/Plastic (1.0%)
Smurfit-Stone Container Corp.
7.375% 07/15/14 $ 75,000 $ 70,125
8.375% 07/01/12 1,555,000 1,582,212
9.750% 02/01/11 980,000 1,036,350
--------------
2,688,687
--------------
16,081,787
--------------
Transportation (2.9%)
Transportation-Marine (2.0%)
Overseas Shipholding Group
8.250% 03/15/13 810,000 860,625
Teekay Shipping Corp.
8.875% 07/15/11 4,030,000 4,574,050
--------------
5,434,675
--------------
Transportation-Services (0.9%)
Offshore Logistics, Inc.
6.125% 06/15/13 2,570,000 2,486,475
--------------
7,921,150
--------------
41,116,858
--------------
Technology (1.1%)
Semiconductors (1.1%)
Electronic Components-Semiconductors (1.1%)
Freescale Semiconductor, Inc.
6.875% 07/15/11 2,815,000 2,976,863
--------------
Utilities (3.8%)
Electric (3.8%)
Electric-Generation (2.3%)
AES Corp.
7.750% 03/01/14 3,035,000 3,308,150
Texas Genco LLC
6.875% 12/15/14 (a) 2,885,000 3,036,463
--------------
6,344,613
--------------
Electric-Integrated (1.5%)
Nevada Power Co.
5.875% 01/15/15 (a) 705,000 719,100
6.500% 04/15/12 735,000 765,319
NorthWestern Corp.
5.875% 11/01/14 (a) 175,000 179,812
TECO Energy, Inc.
6.750% 05/01/15 (a) 1,280,000 1,366,400
7.000% 05/01/12 840,000 903,000
--------------
3,933,631
--------------
10,278,244
--------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $247,172,843) 250,893,916
--------------
</Table>
See Accompanying Notes to Financial Statements.
57
<Page>
<Table>
<Caption>
PAR VALUE
-------------- --------------
Short-Term Obligation (5.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/29/05, due 08/01/05 at 3.170%,
collateralized by a U.S. Treasury Note
maturing 02/15/10, market value of $14,006,363
(repurchase proceeds $13,730,626) $ 13,727,000 $ 13,727,000
--------------
Total Short-Term Obligation
(Cost of $13,727,000) 13,727,000
--------------
Total Investments (98.3%)
(Cost of $260,899,843) (b) 264,620,916
Other Assets & Liabilities, Net (1.7%) 4,621,695
--------------
Net Assets (100.0%) $ 269,242,611
==============
</Table>
Notes to Schedule of Investments:
(a) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
July 31, 2005, these securities, which did not include any illiquid
securities, amounted to $22,071,800, which represents 8.2% of net assets.
(b) Cost for federal income tax purposes is $262,266,765.
At July 31, 2005, the asset allocation of the Fund is as follows:
<Table>
<Caption>
% OF
ASSET ALLOCATION NET ASSETS
---------------- ----------
Consumer Cyclical 21.7%
Consumer Non-Cyclical 17.2
Energy 15.3
Industrials 15.3
Communications 14.0
Basic Materials 4.0
Utilities 3.8
Technology 1.1
Financials 0.8
Short-Term Obligation 5.1
Other Assets & Liabilities, Net 1.7
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
58
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
July 31, 2005
<Table>
<Caption>
CMG CMG CMG CMG
CORE BOND SHORT TERM ULTRA SHORT TERM HIGH YIELD
FUND BOND FUND BOND FUND FUND
--------------- --------------- ---------------- ---------------
ASSETS:
Investments, at identified cost
(including repurchase agreements) $ 88,680,789 $ 97,994,754 $ 91,458,593 $ 260,899,843
--------------- --------------- ---------------- ---------------
Investments, at value $ 77,823,139 $ 94,223,277 $ 81,959,055 $ 250,893,916
Repurchase agreement 10,577,000 3,235,000 8,965,000 13,727,000
Cash 436 - 206,141 -
Cash at broker - 12,000 - -
Receivable for:
Investments sold - - 1,400,000 1,181,989
Investments sold on a delayed
delivery basis 1,187,448 - - -
Capital stock sold - - 688,000 133,285
Interest 641,632 642,809 589,794 4,550,740
Futures variation margin 6,094 6,093 - -
Expense reimbursement due from
Investment Advisor 2,434 4,158 1,807 7,233
Deferred Trustees' compensation plan 1,595 2,489 788 3,695
Other assets 342 - 843 553
--------------- --------------- ---------------- ---------------
Total Assets 90,240,120 98,125,826 93,811,428 270,498,411
--------------- --------------- ---------------- ---------------
LIABILITIES:
Payable for:
Payable to custodian bank - 4,774 - 4,733
Investments purchased 1,437,997 2,021,955 5,271,999 575,000
Investments purchased on a delayed
delivery basis 9,363,460 - - -
Fund shares repurchased 16,110 11,221 6,649,433 4,949
Distributions 273,201 194,480 270,563 546,427
Investment advisory fee 17,793 22,507 17,774 90,486
Audit fee 27,500 26,011 25,668 30,510
Deferred Trustees' fees 1,595 2,489 788 3,695
Other liabilities - 345 - -
--------------- --------------- ---------------- ---------------
Total liabilities 11,137,656 2,283,782 12,236,225 1,255,800
--------------- --------------- ---------------- ---------------
NET ASSETS $ 79,102,464 $ 95,842,044 $ 81,575,203 $ 269,242,611
=============== =============== ================ ===============
NET ASSETS consist of:
Paid-in capital $ 79,511,215 $ 100,272,925 $ 83,251,631 $ 312,282,489
Overdistributed net investment income (129,609) (402,571) (596,700) (1,346,465)
Accumulated net realized loss (48,180) (3,541,520) (545,190) (45,414,486)
Net unrealized appreciation
(depreciation) on:
Investments (280,650) (536,477) (534,538) 3,721,073
Futures contracts 49,688 49,687 - -
--------------- --------------- ---------------- ---------------
NET ASSETS $ 79,102,464 $ 95,842,044 $ 81,575,203 $ 269,242,611
=============== =============== ================ ===============
Shares of capital stock outstanding 7,591,527 8,132,385 8,434,875 33,329,839
=============== =============== ================ ===============
Net asset value, offering and redemption
price per share $ 10.42 $ 11.79 $ 9.67 $ 8.08
=============== =============== ================ ===============
</Table>
See Accompanying Notes to Financial Statements.
59
<Page>
STATEMENTS OF OPERATIONS
For the Year Ended July 31, 2005
<Table>
<Caption>
CMG CMG CMG CMG
CORE BOND SHORT TERM ULTRA SHORT TERM HIGH YIELD
FUND BOND FUND BOND FUND FUND
--------------- --------------- ---------------- ---------------
NET INVESTMENT INCOME:
Income:
Interest $ 2,532,395 $ 3,868,165 $ 1,982,911 $ 22,642,204
--------------- --------------- ---------------- ---------------
Expenses:
Investment advisory fee 148,407 265,538 184,575 1,358,810
Trustees' fees 6,517 7,974 4,744 14,566
Audit fee 29,400 30,731 29,868 37,441
Non-recurring costs (See Note 8) 1,150 1,929 973 6,213
Other expenses 1,832 4,849 2,618 12,727
--------------- --------------- ---------------- ---------------
Total expenses 187,306 311,021 222,778 1,429,757
Expense reimbursement from
Investment Advisor (37,749) (42,554) (37,230) (63,511)
Non-recurring costs assumed by
Investment Advisor (See Note 8) (1,150) (1,929) (973) (6,213)
--------------- --------------- ---------------- ---------------
Net expenses 148,407 266,538 184,575 1,360,033
--------------- --------------- ---------------- ---------------
Net investment income 2,383,988 3,601,627 1,798,336 21,282,171
--------------- --------------- ---------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 200,146 (153,941) (23,356) 8,588,241
Futures contracts (23,876) (22,959) - -
--------------- --------------- ---------------- ---------------
Net realized gain (loss) 176,270 (176,900) (23,356) 8,588,241
--------------- --------------- ---------------- ---------------
Net change in unrealized appreciation/
depreciation on:
Investments (279,008) (927,258) (366,837) (3,213,339)
Futures contracts 62,438 49,687 - -
--------------- --------------- ---------------- ---------------
Net change in unrealized
appreciation/depreciation (216,570) (877,571) (366,837) (3,213,339)
--------------- --------------- ---------------- ---------------
Net gain (loss) (40,300) (1,054,471) (390,193) 5,374,902
--------------- --------------- ---------------- ---------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 2,343,688 $ 2,547,156 $ 1,408,143 $ 26,657,073
=============== =============== ================ ===============
</Table>
See Accompanying Notes to Financial Statements.
60
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
CORE SHORT TERM
BOND FUND BOND FUND
---------------------------------- ----------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
---------------------------------- ----------------------------------
2005 2004 2005 2004
--------------- --------------- ---------------- ---------------
Operations:
Net investment income $ 2,383,988 $ 1,476,947 $ 3,601,627 $ 3,613,606
Net realized gain (loss) on
investments and futures contracts 176,270 58,772 (176,900) 141,676
Net change in unrealized
appreciation/depreciation on
investments and futures contracts (216,570) (28,286) (877,571) (513,208)
--------------- --------------- --------------- ---------------
Net increase from operations 2,343,688 1,507,433 2,547,156 3,242,074
--------------- --------------- --------------- ---------------
Distributions declared to shareholders:
From net investment income (2,560,924) (1,618,453) (4,015,551) (3,965,886)
From net realized gains - (424,522) - -
--------------- --------------- --------------- ---------------
Total distributions declared
to shareholders (2,560,924) (2,042,975) (4,015,551) (3,965,886)
--------------- --------------- --------------- ---------------
Share transactions:
Subscriptions 58,926,891 45,285,510 26,264,611 59,951,561
Distributions reinvested 329,461 1,214,069 2,577,783 3,016,948
Redemptions (12,746,687) (43,666,147) (50,657,075) (56,312,517)
--------------- --------------- --------------- ---------------
Net increase (decrease) in share
transactions 46,509,665 2,833,432 (21,814,681) 6,655,992
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets 46,292,429 2,297,890 (23,283,076) 5,932,180
NET ASSETS:
Beginning of period 32,810,035 30,512,145 119,125,120 113,192,940
--------------- --------------- --------------- ---------------
End of period $ 79,102,464 $ 32,810,035 $ 95,842,044 $ 119,125,120
=============== =============== =============== ===============
Overdistributed net investment
income $ (129,609) $ (75,858) $ (402,571) $ (426,314)
=============== =============== =============== ===============
Changes in shares:
Subscriptions 5,606,416 4,306,892 2,196,838 4,971,382
Issued for distributions reinvested 31,434 115,771 216,646 250,706
Redemptions (1,214,434) (4,193,418) (4,251,192) (4,673,216)
--------------- --------------- --------------- ---------------
Net increase (decrease) 4,423,416 229,245 (1,837,708) 548,872
</Table>
See Accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
CMG CMG
ULTRA SHORT TERM HIGH YIELD
BOND FUND FUND
---------------------------------- ----------------------------------
YEAR ENDED PERIOD ENDED YEAR ENDED JULY 31,
JULY 31, JULY 31, ----------------------------------
2005 2004 (a) 2005 2004
--------------- --------------- --------------- ---------------
Operations:
Net investment income $ 1,798,336 $ 207,140 $ 21,282,171 $ 28,629,074
Net realized gain (loss) on
investments (23,356) (19,498) 8,588,241 11,465,251
Net change in unrealized
appreciation/depreciation
on investments (366,837) (167,701) (3,213,339) (3,719,002)
--------------- --------------- --------------- ---------------
Net increase from operations 1,408,143 19,941 26,657,073 36,375,323
--------------- --------------- --------------- ---------------
Distributions declared to shareholders:
From net investment income (2,717,420) (387,092) (22,727,424) (30,204,485)
Return of capital (206,594) - - -
--------------- --------------- --------------- ---------------
Total distributions declared
to shareholders (2,924,014) (387,092) (22,727,424) (30,204,485)
--------------- --------------- --------------- ---------------
Share transactions:
Subscriptions 36,802,190 72,925,807 32,168,726 118,229,818
Distributions reinvested 1,256,886 110,468 17,597,737 24,159,735
Redemptions (22,203,245) (5,433,881) (166,610,851) (195,444,715)
--------------- --------------- --------------- ---------------
Net increase (decrease) in share
transactions 15,855,831 67,602,394 (116,844,388) (53,055,162)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets 14,339,960 67,235,243 (112,914,739) (46,884,324)
NET ASSETS:
Beginning of period 67,235,243 - 382,157,350 429,041,674
--------------- --------------- --------------- ---------------
End of period $ 81,575,203 $ 67,235,243 $ 269,242,611 $ 382,157,350
=============== =============== =============== ===============
Overdistributed net investment
income $ (596,700) $ (169,810) $ (1,346,465) $ (1,401,331)
=============== =============== =============== ===============
Changes in shares:
Subscriptions 3,774,819 7,343,456 3,950,673 14,671,669
Issued for distributions reinvested 128,653 11,162 2,166,477 2,996,559
Redemptions (2,274,518) (548,697) (20,573,327) (24,196,101)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,628,954 6,805,921 (14,456,177) (6,527,873)
</Table>
(a) The Fund commenced investment operations on March 8, 2004.
See Accompanying Notes to Financial Statements.
62
<Page>
NOTES TO FINANCIAL STATEMENTS
July 31, 2005
NOTE 1. ORGANIZATION:
CMG Fund Trust (the "Trust") is an Oregon business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. Information presented in these financial statements pertains to the
following diversified funds (individually referred to as a "Fund", collectively
referred to as the "Funds"):
CMG Core Bond Fund
CMG Short Term Bond Fund
CMG Ultra Short Term Bond Fund
CMG High Yield Fund
INVESTMENT GOALS. The CMG Core Bond Fund seeks a high level of current income
consistent with capital preservation. The CMG Short Term Bond Fund seeks a high
level of current income consistent with a high degree of stability of principal.
The CMG Ultra Short Term Bond Fund seeks a high level of current income
consistent with the maintenance of liquidity and the preservation of principal.
The CMG High Yield Fund seeks a high level of current income. Capital
appreciation is a secondary objective when consistent with a high level of
current income.
FUND SHARES. Each Fund may issue an unlimited number of shares of no par value
capital stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements.
SECURITY VALUATION. Debt securities generally are valued by pricing services
approved by the Trust's Board of Trustees, based upon market transactions for
normal, institutional-size trading units of similar securities. The services may
use various pricing techniques which take into account appropriate factors such
as yield, quality, coupon rate, maturity, type of issue, trading characteristics
and other data, as well as broker quotes. Debt securities for which quotations
are readily available are valued at an over-the-counter or exchange bid
quotation. Certain debt securities, which tend to be more thinly traded and of
lesser quality, are priced based on fundamental analysis of the financial
condition of the issuer and the estimated value of any collateral. Valuations
developed through pricing techniques may vary from the actual amounts realized
upon sale of the securities, and the potential variation may be greater for
those securities valued using fundamental analysis.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
63
<Page>
Investments for which market quotations are not readily available, or have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. If a
security is valued at a "fair value", such value is likely to be different from
the last quoted market price for the security.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
FUTURES CONTRACTS. Each Fund may invest in municipal and U.S. Treasury futures
contracts. The Funds will invest in these instruments to hedge against the
effects of changes in the value of portfolio securities due to anticipated
changes in interest rates and/or market conditions, for duration management, or
when the transactions are economically appropriate to the reduction of risk
inherent in the management of the Funds and not for trading purposes. The use of
futures contracts involves certain risks, which include: (1) imperfect
correlation between the price movement of the instruments and the underlying
securities, (2) inability to close out positions due to differing trading hours,
or the temporary absence of a liquid market, for either the instrument or the
underlying securities, or (3) an inaccurate prediction by Columbia Management
Advisors, Inc. of the future direction of interest rates. Any of these risks may
involve amounts exceeding the variation margin recorded in the Funds' Statement
of Assets and Liabilities at any given time.
Upon entering into a futures contract, each Fund deposits cash or securities
with the broker in an amount sufficient to meet the initial margin requirement.
Subsequent payments are made or received by the Funds equal to the daily change
in the contract value and are recorded as variation margin receivable or payable
and offset in unrealized gains or losses. Each Fund also identifies portfolio
securities as segregated with the custodian in a separate account in an amount
equal to the futures contract. The Funds recognize a realized gain or loss when
the contract is closed or expires.
REPURCHASE AGREEMENTS. Each Fund may engage in repurchase agreement transactions
with institutions that the Funds' investment advisor has determined are
creditworthy. Each Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon each Fund's ability to dispose of the underlying securities
and a possible decline in the value of the underlying securities during the
period while the Funds seek to assert their rights.
DELAYED DELIVERY SECURITIES. The Funds may trade securities on other than normal
settlement terms, including securities purchased or sold on a "when-issued"
basis. This may increase the risk if the other party to the transaction fails to
deliver and causes the Funds to subsequently invest at less advantageous prices.
The Funds identify cash or liquid portfolio securities as segregated with the
custodian in an amount equal to the delayed delivery commitment.
TREASURY INFLATION INDEXED SECURITIES. The Fund may invest in Treasury
Inflation-Indexed Securities ("TIPS"). The principal amount of TIPS is adjusted
periodically for inflation based on a monthly published index. Interest payments
are based on the inflation-adjusted principal at the time the interest is paid.
INTEREST ONLY SECURITIES. The Fund may invest in Interest Only Securities
("IO"). Interest Only securities are stripped mortgage backed securities
entitled to receive all of the security's interest, but none of its principal.
Interest is accrued daily. The daily accrual factor is adjusted each month to
reflect the pay down of principal.
64
<Page>
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Premium
and discount are amortized and accreted, respectively, on all debt securities.
FEDERAL INCOME TAX STATUS. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code,
as amended, and will distribute substantially all of its taxable income, if any,
for its tax year, and as such will not be subject to federal income taxes. In
addition, each Fund intends to distribute in each calendar year substantially
all of its net investment income, capital gains and certain other amounts, if
any, such that each Fund should not be subject to federal excise tax. Therefore,
no federal income or excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment income are declared
daily and paid monthly. Net realized capital gains, if any, are distributed at
least annually.
NOTE 3. FEDERAL TAX INFORMATION:
The timing and character of income and capital gain distributions are determined
in accordance with income tax regulations, which may differ from GAAP.
Reclassifications are made to the Funds' capital accounts for permanent tax
differences to reflect income and gains available for distribution (or available
capital loss carryforwards) under income tax regulations.
For the year ended July 31, 2005, permanent book and tax basis differences
resulting primarily from differing treatments for amortization/accretion
adjustments and paydown gain/loss reclasses were identified and reclassified
among the components of the Funds' net assets as follows:
<Table>
<Caption>
(OVERDISTRIBUTED) ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME LOSS PAID-IN CAPITAL
----------------- ------------- ---------------
CMG Core Bond Fund $ 123,185 $ (123,185) $ -
CMG Short Term Bond Fund 437,667 (437,667) -
CMG Ultra Short Term Bond Fund 492,194 (492,194) -
CMG High Yield Fund 1,500,119 (2,199,873) 699,754
</Table>
Net investment income and net realized gains (losses), as disclosed on the
Statements of Operations, and net assets were not affected by these
reclassifications.
The tax character of distributions paid during the years ended July 31, 2005 and
July 31, 2004 was as follows:
<Table>
<Caption>
JULY 31, 2005
-----------------------------------------------
TAX
ORDINARY LONG-TERM RETURN
INCOME* CAPITAL GAINS OF CAPITAL
------------ ------------- ----------
CMG Core Bond Fund $ 2,560,924 $ - $ -
CMG Short Term Bond Fund 4,015,551 - -
CMG Ultra Short Term Bond Fund 2,717,420 - 206,594
CMG High Yield Fund 22,727,424 - -
</Table>
65
<Page>
<Table>
<Caption>
JULY 31, 2004
-----------------------------------------------
TAX
ORDINARY LONG-TERM RETURN
INCOME* CAPITAL GAINS OF CAPITAL
------------ ------------- ----------
CMG Core Bond Fund $ 1,801,868 $ 241,107 $ -
CMG Short Term Bond Fund 3,965,886 - -
CMG Ultra Short Term Bond Fund 387,092 - -
CMG High Yield Fund 30,204,485 - -
</Table>
*For tax purposes short-term capital gains distributions, if any, are considered
ordinary income distributions.
As of July 31, 2005, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
NET
UNDISTRIBUTED UNDISTRIBUTED UNREALIZED
ORDINARY LONG-TERM APPRECIATION
INCOME CAPITAL GAINS (DEPRECIATION)*
------------- ------------- ---------------
CMG Core Bond Fund $ 319,658 $ 19,258 $ (464,208)
CMG Short Term Bond Fund 350,722 - (1,104,774)
CMG Ultra Short Term Bond Fund - - (859,454)
CMG High Yield Fund 551,010 - 2,354,151
</Table>
*The differences between book-basis and tax-basis net unrealized
appreciation/(depreciation) are primarily due to deferral of losses from wash
sales and amortization/accretion adjustments.
Unrealized appreciation and depreciation at July 31, 2005, based on cost of
investments for federal income tax purposes, was:
<Table>
<Caption>
NET
UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
CMG Core Bond Fund $ 422,890 $ (887,098) $ (464,208)
CMG Short Term Bond Fund 258,217 (1,362,991) (1,104,774)
CMG Ultra Short Term Bond Fund 6,092 (865,546) (859,454)
CMG High Yield Fund 4,731,878 (2,377,727) 2,354,151
</Table>
The following capital loss carryforwards may be available to reduce taxable
income arising from future net realized gains on investments, if any, to the
extent permitted by the Internal Revenue Code:
<Table>
<Caption>
2008 2009 2010 2012 2013 TOTAL
--------- ------------ ----------- -------- -------- ------------
CMG Short Term Bond Fund $ 537,548 $ - $ 2,365,257 $ 19,156 $ 25,391 $ 2,947,352
CMG Ultra Short Term Bond Fund - - - 29,640 47,961 77,601
CMG High Yield Fund - 20,199,377 25,194,365 - - 45,393,742
</Table>
66
<Page>
Capital loss carryforwards of $6,361,581, for CMG High Yield Fund, were utilized
during the year ended 2005. Any capital loss carryforwards acquired as part of a
merger that are permanently lost due to provisions under Internal Revenue Code
are included as being expired. Expired capital loss carryforwards are recorded
as a reduction of paid-in capital.
Utilization of these losses could be subject to limitations imposed by the
Internal Revenue Code.
Under current tax rules, certain capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following fiscal year.
As of July 31, 2005, post-October capital losses of $532,109 and $467,588
attributed to security transactions were deferred to August 1, 2005 for the CMG
Short Term Bond Fund and CMG Ultra Short Term Bond Fund, respectively.
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Funds. Each Fund's investment advisory fee is a
unified fee. Effective on or about September 30, 2005, Columbia Management
Advisors, Inc. will undergo a name change to Columbia Management Advisors, LLC.
Columbia, out of the unified fee it receives from the Funds, pays all accounting
fees, legal fees, transfer agent fees, custody fees and miscellaneous expenses
of the Funds. The unified fee does not include brokerage fees, taxes, Trustees'
fees, Trustee legal counsel fees, audit fees, interest expense associated with
any borrowings by the Funds or extraordinary expenses, if any. The unified fees
are paid monthly to Columbia based on each Fund's average daily net assets at
the following annual rates:
<Table>
CMG Core Bond Fund 0.25%
CMG Short Term Bond Fund 0.25%
CMG Ultra Short Term Bond Fund 0.25%
CMG High Yield Fund 0.40%
</Table>
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to each Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). As a result, Columbia pays fees to State Street
under the Outsourcing Agreement. The pricing and bookkeeping fees for the Funds
are included in the unified fee.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Funds and has
contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer
agent. The transfer agent fees for the Funds are included in the unified fee.
Effective on or about September 30, 2005, Columbia Funds Services, Inc. will
undergo a name change to Columbia Management Services, Inc.
FEE WAIVERS. Columbia has contractually agreed to reimburse the Funds through
March 1, 2009 for certain expenses so that the expenses incurred by the Funds,
including the investment advisory fees, will not exceed the following annual
rates based on each Fund's average daily net assets:
<Table>
CMG Core Bond Fund 0.25%
CMG Short Term Bond Fund 0.25%
CMG Ultra Short Term Bond Fund 0.25%
CMG High Yield Fund 0.40%
</Table>
67
<Page>
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Funds are employees of Columbia or its affiliates and receive no
compensation from the Funds. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Fund in accordance with federal
securities regulations. Each Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Chief Compliance Officer
position. Each Fund's fee, which is included in the unified fee, will not exceed
$15,000 per year.
The Funds' Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Funds' assets.
OTHER. Columbia provides certain services to the Funds related to Sarbanes-Oxley
compliance. The fees for such services are included in the unified fee.
NOTE 5. PORTFOLIO INFORMATION:
For the year ended July 31, 2005, the cost of purchases and proceeds from sales
of securities, excluding short-term obligations, were as follows:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
---------------------------- -----------------------------
PURCHASES SALES PURCHASES SALES
------------ ------------ ------------- -------------
CMG Core Bond Fund $ 91,382,826 $ 60,074,341 $ 26,289,392 $ 12,746,913
CMG Short Term Bond Fund 27,852,915 17,552,360 27,376,296 32,589,623
CMG Ultra Short Term Bond Fund 24,382,390 14,845,275 54,233,847 33,365,523
CMG High Yield Fund - - 125,137,231 199,282,042
</Table>
Sales of securities for the CMG High Yield Fund includes the value of securities
delivered through an in-kind redemption of certain fund shares on July 31, 2005.
Any realized gain on securities delivered through an in-kind redemption of fund
shares is not taxable to the CMG High Yield Fund. The value of securities and
realized gain on securities delivered through an in-kind redemption of Fund
shares aggregated $43,127,993 and $699,754, respectively. Prior to the in-kind
redemption, the shareholder owned 14.1% of the Fund.
NOTE 6. LINE OF CREDIT:
The Funds and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in "Other expenses" on the Statements
of Operations.
For the year ended July 31, 2005, the Funds did not borrow under this
arrangement.
68
<Page>
NOTE 7. SHARES OF BENEFICIAL INTEREST
As of July 31, 2005, the Funds had shareholders whose shares were beneficially
owned by participant accounts over which Bank of America and/or its affiliates
had either sole or joint investment discretion. Subscription and redemption
activity of these accounts may have a significant effect on the operations of
the Funds. The numbers of accounts and the percentages of shares of beneficial
interest outstanding held therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Core Bond Fund 1 98.6%
CMG Short Term Bond Fund 1 60.3%
CMG Ultra Short Term Bond Fund 1 99.6%
CMG High Yield Fund 1 32.8%
</Table>
As of July 31, 2005, two of the Funds had shareholders that held greater than 5%
of the shares outstanding. Subscription and redemption activity of these
shareholders may have a material effect on the Funds. The number of accounts and
the percentage of shares of beneficial interest outstanding held therein are as
follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Short Term Bond Fund 1 27.4%
CMG High Yield Fund 2 22.7%
</Table>
NOTE 8. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
HIGH-YIELD SECURITIES. Investing in high-yield securities may involve greater
credit risk and considerations not typically associated with investing in U.S.
government bonds and other higher quality fixed income securities. These
securities are non-investment grade securities, often referred to as "junk"
bonds. Economic downturns may disrupt the high yield market and impair the
ability of issuers to repay principal and interest. Also, an increase in
interest rates would likely have an adverse impact on the value of such
obligations. Moreover, high-yield securities may be less liquid to the extent
that there is no established secondary market.
INDUSTRY FOCUS. The Funds may focus their investments in certain industries,
subjecting them to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia and the Distributor
(collectively, the "Columbia Group") entered into an assurance of Discontinuance
with the New York Attorney General ("NYAG") the NYAG Settlement") and consented
to the entry of a cease-and-desist order by the Securities and Exchange
Commission ("SEC") (the "SEC Order"). The SEC Order and the NYAG Settlement are
referred to collectively as the "Settlements". The Settlements contain
substantially the same terms and conditions as outlined in the agreements in
principle which Columbia Group entered into with the SEC and NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
69
<Page>
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also voluntarily undertaken to implement
certain governance measures designed to maintain the independence of their
boards of trustees. The NYAG Settlement also, among other things, requires
Columbia and its affiliates, Banc of America Capital Management, LLC and BACAP
Distributors, LLC to reduce certain Columbia Funds, Nations Funds and other
mutual funds management fees collectively by $32 million per year for five
years, for a projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Funds' independent trustees and not unacceptable to
the staff of the SEC. At this time, the distribution plan is still under
development. As such, any gain to the Funds or their shareholders cannot
currently be determined.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with events described in detail above, various parties have filed
suit against certain funds, the Trustees of the Columbia Funds, FleetBoston
Financial Corporation and its affiliated entities and/or Bank of America
Corporation and its affiliated entities. More than 300 cases including those
filed against entities unaffiliated with the funds, their Boards, FleetBoston
Financial Corporation and its affiliated entities and/or Bank of America
Corporation and its affiliated entities have been transferred to the Federal
District Court in Maryland and consolidated in a multi-district proceeding (the
"MDL").
The derivative cases purportedly brought on behalf of the Columbia Funds in the
MDL have been consolidated under the lead case. The fund derivative plaintiffs
allege that the funds were harmed by market timing and late trading activity and
seek, among other things, removal of the trustees of the Columbia Funds, removal
of the Columbia Group, disgorgement of all management fees and monetary damages.
On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts
state court alleging that the conduct, including market timing, entitles Class B
shareholders in certain Columbia funds to an exemption from contingent deferred
sales charges upon early redemption (the "CDSC Lawsuit"). The CDSC Lawsuit has
been removed to federal court in Massachusetts and the federal Judicial Panel
has transferred the CDSC Lawsuit to the MDL.
The MDL is ongoing. Accordingly, an estimate of the financial impact of this
litigation on any fund, if any, cannot currently be made.
On January 11, 2005, a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the
Columbia Funds and Columbia. The lawsuit alleges that defendants violated common
law duties to fund shareholders as well as sections of the Investment Company
Act of 1940, by failing to ensure that the
70
<Page>
Fund and other affiliated funds participated in securities class action
settlements for which the funds were eligible. Specifically, plaintiffs allege
that defendants failed to submit proof of claims in connection with settlements
of securities class action lawsuits filed against companies in which the funds
held positions.
In 2004, certain Columbia funds, advisers and affiliated entities were named as
defendants in certain purported shareholder class and derivative actions making
claims, including claims under the Investment Company and the Investment
Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees
and expenses paid by the funds are excessive and that the advisers and their
affiliates inappropriately used fund assets to distribute the funds and for
other improper purpose. On March 2, 2005, the actions were consolidated in the
Massachusetts federal court as IN RE COLUMBIA ENTITIES LITIGATION. The
plaintiffs filed a consolidated amended complaint on June 9, 2005.
The Funds and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the Funds.
For the year ended July 31, 2005, Columbia has assumed legal, consulting
services and Trustees' fees incurred by the Fund in connection with these
matters as follows:
<Table>
CMG Core Bond Fund $ 1,150
CMG Short Term Bond Fund 1,929
CMG Ultra Short Term Bond Fund 973
CMG High Yield Fund 6,213
</Table>
71
<Page>
Report of Independent Registered Public Accounting Firm
TO THE TRUSTEES OF THE CMG FUND TRUST AND THE SHAREHOLDERS OF CMG CORE BOND
FUND, CMG SHORT TERM BOND FUND, CMG ULTRA SHORT TERM BOND FUND AND CMG HIGH
YIELD FUND
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Core Bond Fund, CMG Short Term
Bond Fund, CMG Ultra Short Term Bond Fund and CMG High Yield Fund (the "Funds")
(each a series of CMG Fund Trust), at July 31, 2005, the results of their
operations for the year then ended, the changes in their net assets for each of
the two years in the period then ended, and their financial highlights for the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audits to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at July 31, 2005 by correspondence with the custodian
and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 29, 2005
72
<Page>
Unaudited Information
For the fiscal year ended July 31, 2005, the CMG Core Bond Fund designates long
term capital gains of $19,258.
73
<Page>
Trustees
The Trustees/Directors serve terms of indefinite duration. The names, addresses
and ages of the Trustees/Directors and officers of the Funds in the Columbia
Funds Complex, the year each was first elected or appointed to office, their
principal business occupations during at least the last five years, the number
of portfolios overseen by each Trustee/Director and other directorships they
hold are shown below. Each officer listed below serves as an officer of each
Fund in the Columbia Funds Complex.
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------ ---------------------------------------------------------------------------
DISINTERESTED TRUSTEES
Douglas A. Hacker (age 49) Executive Vice President--Strategy of United Airlines (airline) since
P.O. Box 66100 December, 2002 (formerly President of UAL Loyalty Services (airline) from
Chicago, IL 60666 September, 2001 to December, 2002; Executive Vice President and Chief
Trustee (since 1996) Financial Officer of United Airlines from July, 1999 to September, 2001;
Senior Vice President--Finance from March, 1993 to July, 1999). Oversees
101, Nash Finch Company (food distributor)
Janet Langford Kelly (age 47) Partner, Zelle, Hofmann, Voelbel, Mason & Gette LLP (law firm); Adjunct
9534 W. Gull Lake Drive Professor of Law, Northwestern University, since September, 2004 (formerly
Richland, MI 49083-8530 Chief Administrative Officer and Senior Vice President, Kmart Holding
Trustee (since 1996) Corporation (consumer goods), from September, 2003 to March, 2004;
Executive Vice President--Corporate Development and Administration, General
Counsel and Secretary, Kellogg Company (food manufacturer), from September,
1999 to August, 2003; Senior Vice President, Secretary and General Counsel,
Sara Lee Corporation (branded, packaged, consumer-products manufacturer)
from January, 1995 to September, 1999). Oversees 101, None
Richard W. Lowry (age 69) Private Investor since August, 1987 (formerly Chairman and Chief Executive
10701 Charleston Drive Officer, U.S. Plywood Corporation (building products manufacturer)).
Vero Beach, FL 32963 Oversees 103(3), None
Trustee (since 1995)
Charles R. Nelson (age 62) Professor of Economics, University of Washington, since January, 1976; Ford
Department of Economics and Louisa Van Voorhis Professor of Political Economy, University of
University of Washington Washington, since September, 1993 (formerly Director, Institute for
Seattle, WA 98195 Economic Research, University of Washington from September, 2001 to June,
Trustee (since 1981) 2003) Adjunct Professor of Statistics, University of Washington, since
September, 1980; Associate Editor, Journal of Money Credit and Banking,
since September, 1993; consultant on econometric and statistical matters.
Oversees 101, None
John J. Neuhauser (age 63) Academic Vice President and Dean of Faculties since August, 1999, Boston
84 College Road College (formerly Dean, Boston College School of Management from September,
Chestnut Hill, MA 02467-3838 1977 to August, 1999). Oversees 1063, Saucony, Inc. (athletic footwear)
Trustee (since 1985)
Patrick J. Simpson (age 61) Partner, Perkins Coie L.L.P. (law firm). Oversees 101, None
1120 N.W. Couch Street
Tenth Floor
Portland, OR 97209-4128
Trustee (since 2000)
</Table>
74
<Page>
<Table>
<Caption>
PRINCIPAL OCCUPATION(S)
DURING PAST FIVE YEARS, NUMBER OF PORTFOLIOS IN
NAME, ADDRESS AND AGE, POSITION WITH FUNDS, YEAR FIRST COLUMBIA FUNDS COMPLEX OVERSEEN BY TRUSTEE/DIRECTOR,
ELECTED OR APPOINTED TO OFFICE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------ ---------------------------------------------------------------------------
DISINTERESTED TRUSTEES
Thomas E. Stitzel (age 69) Business Consultant since 1999 (formerly Professor of Finance from 1975 to
2208 Tawny Woods Place 1999, College of Business, Boise State University); Chartered Financial
Boise, ID 83706 Analyst. Oversees 101, None
Trustee (since 1998)
Thomas C. Theobald (age 68) Partner and Senior Advisor, Chicago Growth Partners (private equity
8 Sound Shore Drive, investing) since September, 2004 (formerly Managing Director, William Blair
Suite 285 Capital Partners (private equity investing) from September, 1994 to
Greenwich, CT 06830 September, 2004). Oversees 101, Anixter International (network support
Trustee and Chairman of the Board(4) (since 1996) equipment distributor); Ventas, Inc. (real estate investment trust); Jones
Lang LaSalle (real estate management services) and Ambac Financial Group
(financial guaranty insurance)
Anne-Lee Verville (age 59) Retired since 1997 (formerly General Manager, Global Education Industry,
359 Stickney Hill Road IBM Corporation (computer and technology) from 1994 to 1997). Oversees 101,
Hopkinton, NH 03229 Chairman of the Board of Directors, Enesco Group, Inc. (designer, importer
Trustee (since 1998) and distributor of giftware and collectibles)
Richard L. Woolworth (age 64) Retired since December 2003 (formerly Chairman and Chief Executive Officer,
100 S.W. Market Street The Regence Group (regional health insurer); Chairman and Chief Executive
#1500 Portland, OR 97207 Officer, BlueCross BlueShield of Oregon; Certified Public Accountant,
Trustee (since 1991) Arthur Young & Company). Oversees 101, Northwest Natural Gas Co. (natural
gas service provider)
INTERESTED TRUSTEE
William E. Mayer(2) (age 65) Partner, Park Avenue Equity Partners (private equity) since February, 1999
399 Park Avenue (formerly Partner, Development Capital LLC from November 1996 to February,
Suite 3204 1999). Oversees 103(3), Lee Enterprises (print media), WR Hambrecht + Co.
New York, NY 10022 (financial service provider); Reader's Digest (publishing); OPENFIELD
Trustee (since 1994) Solutions (retail industry technology provider)
</Table>
- ---------
(1) In December 2000, the boards of each of the former Liberty Funds and
former Stein Roe Funds were combined into one board of trustees
responsible for the oversight of both fund groups (collectively, the
"Liberty Board"). In October 2003, the trustees on the Liberty Board
were elected to the boards of the Columbia Funds (the "Columbia
Board") and of the CMG Fund Trust (the "CMG Funds Board");
simultaneous with that election, Patrick J. Simpson and Richard L.
Woolworth, who had been directors on the Columbia Board and trustees
on the CMG Funds Board, were appointed to serve as trustees of the
Liberty Board. The date shown is the earliest date on which a
trustee/director was elected or appointed to the board of a Fund in
the Columbia Funds Complex.
(2) Mr. Mayer is an "interested person" (as defined in the Investment
Company Act of 1940 (1940 Act)) by reason of his affiliation with WR
Hambrecht + Co.
(3) Messrs. Lowry, Neuhauser and Mayer also serve as directors/trustees
of the Liberty All-Star Funds, currently consisting of 2 funds, which
are advised by an affiliate of the Advisor.
(4) Mr. Theobald was appointed as Chairman of the Board effective
December 10, 2003.
The Statement of Additional Information Includes additional information about
the Trustees of the Funds and is available, without charge, upon request by
calling 800-426-3750.
75
<Page>
Officers
<Table>
<Caption>
NAME, ADDRESS AND AGE, POSITION WITH
COLUMBIA FUNDS, YEAR FIRST ELECTED OR
APPOINTED TO OFFICE PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
- ------------------------------------------------------ ---------------------------------------------------------------------------
Christopher L. Wilson (age 48) Head of Mutual Funds since August, 2004 and Senior Vice President of the
One Financial Center Advisor since January, 2005; President of the Columbia Funds, Liberty Funds
Boston, MA 02111 and Stein Roe Funds since October, 2004; President and Chief Executive
President (since 2004) Officer of the Nations Funds since January, 2005; President of the Galaxy
Funds since April 2005; Director of Bank of America Global Liquidity Funds,
plc since May 2005; Director of Banc of America Capital Management
(Ireland), Limited since May 2005; Senior Vice President of BACAP
Distributors LLC since January, 2005; Director of FIM Funding, Inc. since
January, 2005; Senior Vice President of Columbia Funds Distributor, Inc.
since January, 2005; Director of Columbia Funds Services, Inc. since
January, 2005 (formerly President and Chief Executive Officer, CDC IXIS
Asset Management Services, Inc. from September, 1998 to August, 2004).
J. Kevin Connaughton (age 41) Treasurer of the Columbia Funds since October, 2003 and of the Liberty
One Financial Center Funds, Stein Roe Funds and All-Star Funds since December, 2000; Vice
Boston, MA 02111 President of the Advisor since April, 2003 (formerly President of the
Treasurer (since 2000) Columbia Funds, Liberty Funds and Stein Roe Funds from February, 2004 to
October, 2004; Chief Accounting Officer and Controller of the Liberty Funds
and All-Star Funds from February, 1998 to October, 2000); Treasurer of the
Galaxy Funds since September, 2002 (formerly Treasurer from December, 2002
to December, 2004 and President from February, 2004 to December, 2004 of
the Columbia Management Multi-Strategy Hedge Fund, LLC; Vice President of
Colonial Management Associates, Inc. from February, 1998 to October, 2000).
Mary Joan Hoene (age 54) Senior Vice President and Chief Compliance Officer of the Columbia Funds,
40 West 57th Street Liberty Funds, Stein Roe Funds and All-Star Funds since August, 2004
New York, NY 10005 (formerly Partner, Carter, Ledyard & Milburn LLP from January, 2001 to
Senior Vice President and Chief Compliance August, 2004; Counsel, Carter, Ledyard & Milburn LLP from November, 1999 to
Officer (since 2004) December, 2000; Vice President and Counsel, Equitable Life Assurance
Society of the United States from April, 1998 to November, 1999).
Michael G. Clarke (age 35) Chief Accounting Officer of the Columbia Funds, Liberty Funds, Stein Roe
One Financial Center Funds and All-Star Funds since October, 2004 (formerly Controller of the
Boston, MA 02111 Columbia Funds, Liberty Funds, Stein Roe Funds and All-Star Funds from May,
Chief Accounting Officer (since 2004) 2004 to October, 2004; Assistant Treasurer from June, 2002 to May, 2004;
Vice President, Product Strategy & Development of the Liberty Funds and
Stein Roe Funds from February, 2001 to June, 2002; Assistant Treasurer of
the Liberty Funds, Stein Roe Funds and the All-Star Funds from August, 1999
to February, 2001; Audit Manager, Deloitte & Touche LLP from May, 1997 to
August, 1999).
Jeffrey R. Coleman (age 35) Controller of the Columbia Funds, Liberty Funds, Stein Roe Funds and
One Financial Center All-Star Funds since October, 2004 (formerly Vice President of CDC IXIS
Boston, MA 02111 Asset Management Services, Inc. and Deputy Treasurer of the CDC Nvest Funds
Controller (since 2004) and Loomis Sayles Funds from February, 2003 to September, 2004; Assistant
Vice President of CDC IXIS Asset Management Services, Inc. and Assistant
Treasurer of the CDC Nvest Funds from August, 2000 to February, 2003; Tax
Manager of PFPC, Inc. from November, 1996 to August, 2000).
R. Scott Henderson (age 46) Secretary of the Columbia Funds, Liberty Funds and Stein Roe Funds since
One Financial Center December, 2004 (formerly Of Counsel, Bingham McCutchen from April, 2001 to
Boston, MA 02111 September, 2004; Executive Director and General Counsel, Massachusetts
Secretary (since 2004) Pension Reserves Investment Management Board from September, 1997 to March,
2001).
</Table>
76
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MASSACHUSETTS 02110-2624
- TRANSFER AGENT -
COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
SHC-42/89541-08/05 (09/05) 05/7535
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30 is available from
the SEC's website. Information regarding how the fund voted proxies relating to
portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA MANAGEMENT
DISTRIBUTORS, INC. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Management Distributors, Inc., One Financial
Center, Boston, MA 02111-2621
<Page>
ITEM 2. CODE OF ETHICS.
(a) The registrant has, as of the end of the period covered by this report,
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or
a third party.
(b) During the period covered by this report, there were not any amendments
to a provision of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, there were not any waivers or
implicit waivers to a provision of the code of ethics adopted in 2(a)
above.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that Douglas A. Hacker, Thomas
E. Stitzel, Anne-Lee Verville and Richard L. Woolworth, each of whom are members
of the registrant's Board of Trustees and Audit Committee, each qualify as an
audit committee financial expert. Mr. Hacker, Mr. Stitzel, Ms. Verville and Mr.
Woolworth are each independent trustees, as defined in paragraph (a)(2) of this
item's instructions and collectively constitute the entire Audit Committee.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fee information below is disclosed for the series of the registrant whose report
to stockholders is included in this annual filing.
(a) Aggregate Audit Fees billed by the principal accountant for professional
services rendered during the fiscal years ended July 31, 2005 and July 31, 2004
are approximately as follows:
<Table>
<Caption>
2005 2004
$ 390,300 $ 357,600
</Table>
Audit Fees include amounts related to the audit of the registrant's annual
financial statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
<Page>
(b) Aggregate Audit-Related Fees billed by the principal accountant for
professional services rendered during the fiscal years ended July 31, 2005 and
July 31, 2004 are approximately as follows:
<Table>
<Caption>
2005 2004
$ 55,500 $ 49,000
</Table>
Audit-Related Fees include amounts for assurance and related services by the
principal accountant that are reasonably related to the performance of the audit
of the registrant's financial statements and are not reported in Audit Fees
above. In both fiscal years 2005 and 2004, Audit-Related Fees include certain
agreed-upon procedures performed for semi-annual shareholder reports. Fiscal
year 2005 represents 15 series of the registrant, while fiscal year 2004
includes 14 series of the registrant.
(c) Aggregate Tax Fees billed by the principal accountant for professional
services rendered during the fiscal years ended July 31, 2005 and July 31, 2004
are approximately as follows:
<Table>
<Caption>
2005 2004
$ 48,800 $ 43,500
</Table>
Tax Fees in both fiscal years 2005 and 2004 consist primarily of the review of
annual tax returns (15 series in fiscal year 2005 and 12 series in fiscal year
2004) and include amounts for professional services by the principal accountant
for tax compliance, tax advice and tax planning. Fiscal year 2005 also includes
review of compliance documents and consultation and assistance with foreign tax
filings, while fiscal year 2004 includes the review of calculations of required
shareholder distributions for seven series, tax research and consultation and
assistance with foreign tax filings.
(d) Aggregate All Other Fees billed by the principal accountant for professional
services rendered during the fiscal years ended July 31, 2005 and July 31, 2004
are approximately as follows:
<Table>
<Caption>
2005 2004
$ 0 $ 0
</Table>
All Other Fees include amounts for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through
(c) above.
None of the amounts described in paragraphs (a) through (d) above were approved
pursuant to the "de minimus" exception under paragraph (c)(7)(i)(C) of Rule 2-01
of Regulation S-X.
(e)(1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES
<Page>
I. GENERAL OVERVIEW
The Audit Committee of the registrant has adopted a formal policy (the "Policy")
which sets forth the procedures and the conditions pursuant to which the Audit
Committee will pre-approve (i) all audit and non-audit (including audit related,
tax and all other) services provided by the registrant's independent auditor to
the registrant and individual funds (collectively "Fund Services"), and (ii) all
non-audit services provided by the registrant's independent auditor to the
funds' adviser or a control affiliate of the adviser, that relate directly to
the funds' operations and financial reporting (collectively "Fund-related
Adviser Services"). A "control affiliate" is an entity controlling, controlled
by, or under common control with the adviser that provides ongoing services to
the funds, and the term "adviser" is deemed to exclude any unaffiliated
sub-adviser whose role is primarily portfolio management and is sub-contracted
or overseen by another investment adviser. The adviser and control affiliates
are collectively referred to as "Adviser Entities."
The Audit Committee uses a combination of specific (on a case-by-case basis as
potential services are contemplated) and general (pre-determined list of
permitted services) pre-approvals. Unless a type of service has received general
pre-approval, it will require specific pre-approval by the Audit Committee if it
is to be provided by the independent auditor.
The Policy does not delegate the Audit Committee's responsibilities to
pre-approve services performed by the independent auditor to management.
II. GENERAL PROCEDURES
On an annual basis, the Fund Treasurer and/or Director of Trustee Administration
shall submit to the Audit Committee a schedule of the types of Fund Services and
Fund-related Adviser Services that are subject to general pre-approval.
These schedules will provide a description of each type of service that is
subject to general pre-approval and, where possible, will provide estimated fees
for each instance of providing each service. This general pre-approval and
related fees (where provided) will generally cover a one-year period (for
example, from June 1 through May 31 of the following year). The Audit Committee
will review and approve the types of services and review the projected fees for
the next one-year period and may add to, or subtract from, the list of general
pre-approved services from time to time, based on subsequent determinations.
This approval acknowledges that the Audit Committee is in agreement with the
specific types of services that the independent auditor will be permitted to
perform. The fee amounts will be updated to the extent necessary at other
regularly scheduled meetings of the Audit Committee.
In addition to the fees for each individual service, the Audit Committee has the
authority to implement a fee cap on the aggregate amount of non-audit services
provided to an individual fund.
<Page>
If, subsequent to general pre-approval, a fund, its investment adviser or a
control affiliate determines that it would like to engage the independent
auditor to perform a service that requires pre-approval and that is not included
in the general pre-approval list, the specific pre-approval procedure shall be
as follows:
- A brief written request shall be prepared by management detailing the
proposed engagement with explanation as to why the work is proposed to
be performed by the independent auditor;
- The request should be addressed to the Audit Committee with copies to
the Fund Treasurer and/or Director of Trustee Administration;
- The Fund Treasurer and/or Director of Trustee Administration will
arrange for a discussion of the service to be included on the agenda
for the next regularly scheduled Audit Committee meeting, when the
Committee will discuss the proposed engagement and approve or deny the
request.
- If the timing of the project is critical and the project needs to
commence before the next regularly scheduled meeting, the Chairperson
of the Audit Committee may approve or deny the request on behalf of
the Audit Committee, or, in the Chairperson's discretion, determine to
call a special meeting of the Audit Committee for the purpose of
considering the proposal. Should the Chairperson of the Audit
Committee be unavailable, any other member of the Audit Committee may
serve as an alternate for the purpose of approving or denying the
request. Discussion with the Chairperson (or alternate, if necessary)
will be arranged by the Fund Treasurer and/or Director of Trustee
Administration. The independent auditor will not commence any such
project unless and until specific approval has been given.
III. CERTAIN OTHER SERVICES PROVIDED TO ADVISER ENTITIES
The Audit Committee recognizes that there are cases where services proposed to
be provided by the independent auditor to the adviser or control affiliates are
not Fund-related Adviser Services within the meaning of the Policy, but
nonetheless may be relevant to the Audit Committee's ongoing evaluation of the
auditor's independence and objectivity with respect to its audit services to the
funds. As a result, in all cases where an Adviser Entity engages the independent
auditor to provide audit or non-audit services that are not Fund Services or
Fund-related Adviser Services, were not subject to pre-approval by the Audit
Committee, and the projected fees for any such engagement (or the aggregate of
all such engagements during the period covered by the Policy) exceeds a
pre-determined threshold established by the Audit Committee; the independent
auditor, Fund Treasurer and/or Director of Trustee Administration will notify
the Audit Committee not later than its next meeting. Such notification shall
include a general description of the services provided, the entity that is to be
the recipient of such services, the timing of the engagement, the entity's
reasons for selecting the independent auditor, and the projected fees. Such
information will allow the Audit Committee to consider whether non-audit
services provided to the adviser and Adviser Entities, which were not subject to
Audit Committee pre-approval, are compatible with maintaining the auditor's
independence with respect to the Funds.
<Page>
IV. REPORTING TO THE AUDIT COMMITTEE
The Fund Treasurer or Director of Trustee Administration shall report to the
Audit Committee at each of its regular meetings regarding all Fund Services or
Fund-related Adviser Services initiated since the last such report was rendered,
including:
- A general description of the services, and
- Actual billed and projected fees, and
- The means by which such Fund Services or Fund-related Adviser Services
were pre-approved by the Audit Committee.
In addition, the independent auditor shall report to the Audit Committee
annually, and no more than 90 days prior to the filing of audit reports with the
SEC, all non-audit services provided to entities in the funds' "investment
company complex," as defined by SEC rules, that did not require pre-approval
under the Policy.
V. AMENDMENTS; ANNUAL APPROVAL BY AUDIT COMMITTEE
The Policy may be amended from time to time by the Audit Committee. Prompt
notice of any amendments will be provided to the independent auditor, Fund
Treasurer and Director of Trustee Administration. The Policy shall be reviewed
and approved at least annually by the Audit Committee.
*****
(e)(2) The percentage of services described in paragraphs (b) through (d) of
this Item approved pursuant to the "de minimis" exception under paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X during both fiscal years ended July
31, 2005 and July 31, 2004 was zero.
(f) Not applicable.
(g) All non-audit fees billed by the registrant's accountant for services
rendered to the registrant for the fiscal years ended July 31, 2005 and July 31,
2004 are disclosed in (b) through (d) of this Item.
During the fiscal years ended July 31, 2005 and July 31, 2004, there were no
Audit-Related Fees or Tax Fees that were approved for services to the investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser)
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant under paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X. During the fiscal years ended July
31, 2005 and July 31, 2004, All Other Fees that were approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X were approximately
<Page>
$95,500 and $95,000, respectively. For both fiscal years, All Other Fees consist
primarily of internal controls reviews of the registrant's transfer agent.
The percentage of Audit-Related Fees, Tax Fees and All Other Fees required to be
approved under paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X that were
approved under the "de minimis" exception during both fiscal years ended July
31, 2005 and July 31, 2004 was zero.
(h) The registrant's Audit Committee of the Board of Directors has considered
whether the provision of non-audit services that were rendered to the
registrant's adviser (not including any sub-adviser whose role is primarily
portfolio management and is subcontracted with or overseen by another investment
adviser), and any entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X, is compatible with maintaining the principal accountant's
independence. The Audit Committee determined that the provision of such services
is compatible with maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
The registrant's "Schedule I - Investments in securities of unaffiliated
issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form
N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have not been any material changes to the procedures by which shareholders
may recommend nominees to the registrant's board of directors, since those
procedures were
<Page>
last disclosed in response to requirements of Item 7(d)(2)(ii)(G) of Schedule
14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officers, based on their evaluation of the registrant's disclosure
controls and procedures as of a date within 90 days of the filing of this
report, has concluded that such controls and procedures are adequately
designed to ensure that information required to be disclosed by the
registrant in Form N-CSR is accumulated and communicated to the
registrant's management, including the principal executive officer and
principal financial officer, or persons performing similar functions, as
appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes in the registrant's internal control over financial
reporting that occurred during the registrant's second fiscal quarter of
the period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR
attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of
1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) CMG Fund Trust
----------------------------------------------------------------
By (Signature and Title) /s/ Christopher L. Wilson
----------------------------------------------------
Christopher L. Wilson, President
Date September 26, 2005
------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Christopher L. Wilson
----------------------------------------------------
Christopher L. Wilson, President
Date September 26, 2005
------------------------------------------------------------------------
By (Signature and Title) /s/ J. Kevin Connaughton
----------------------------------------------------
J. Kevin Connaughton, Treasurer
Date September 26, 2005
------------------------------------------------------------------------