<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number 811-07538
Lord Abbett Securities Trust
(Exact name of Registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
- --------------------------------------------------------------------------------
(Address of principal executive offices) (zip code)
Christina T. Simmons, Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 201-6984
--------------
Date of fiscal year end: 10/31
Date of reporting period: 10/31/2005
<Page>
ITEM 1: REPORT TO SHAREHOLDERS.
<Page>
[LORD ABBETT LOGO]
2005
ANNUAL
REPORT
LORD ABBETT
ALL VALUE FUND
ALPHA STRATEGY FUND
INTERNATIONAL CORE EQUITY
FUND
INTERNATIONAL OPPORTUNITIES
FUND
LARGE-CAP VALUE FUND
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2005
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT SECURITIES TRUST
ANNUAL REPORT
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2005
DEAR SHAREHOLDERS: We are pleased to provide you with this overview of Lord
Abbett Securities Trust's strategies and performance for the fiscal year ended
October 31, 2005. On this and the following pages, we discuss the major factors
that influenced the funds' performance.
Thank you for investing in Lord Abbett mutual funds. We value the trust that
you place in us and look forward to serving your investment needs in the years
to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE FISCAL YEAR ENDED OCTOBER 31,
2005?
A: Despite sharply higher energy prices, continued short-term interest rate
hikes by the Federal Reserve Board (the Fed), and a devastating hurricane season
for the Gulf Coast region, U.S. real (i.e., after inflation) gross domestic
product (GDP) continued to grow at a strong, if not robust, pace. Americans'
real disposable personal income also grew, while real consumer spending rose
even more. Durable goods orders surged largely due to high discounts offered by
American car manufacturers.
Meanwhile, 10-year Treasury yields were volatile, reflecting investors'
shifting perceptions about the health of the U.S. economy. Yields on the
benchmark Treasury note began the fiscal year ended October 31, 2005, at 4.1
percent, reaching 4.5 percent by March 2005. However, this trend was disrupted
in the spring and summer of 2005, amid investors' concerns about an economic
slowdown, with the 10-year yield touching 4.0 percent in June. The yield then
rose again in the last month of the fiscal year, driven by inflation worries; in
October 2005, a strong surge in the Consumer Price Index drove the yield on the
10-year Treasury to above 4.5 percent.
Against this backdrop of steady economic output and sharply rising
short-term interest rates, equity markets rose, with the S&P 500(R) Index(1)
gaining 8.7 percent in the fiscal year ended October 31, 2005. Driven by the
sharp rise in oil prices, the strongest performing sectors of the S&P 500 Index
in the fiscal year ended October 31, 2005, were energy stocks, recording a
return of 33.7 percent, and utilities, rising 23.9 percent. "Defensive" stocks,
such as the consumer staples and healthcare sectors, also outperformed the S&P
500 Index, while economically sensitive sectors, such as materials,
industrials, telecommunication services, and consumer discretionary,
underperformed.
1
<Page>
- --------------------------------------------------------------------------------
Foreign equity markets, as measured by the MSCI EAFE(R) Index(2) in U.S.
dollars, rose 18.6 percent, outperforming the U.S. equity markets, as measured
by the S&P 500 Index, for the fiscal year ended October 31, 2005. Overseas
markets had a strong year, with double-digit returns posted by the majority of
developed market indexes. Japan and the United Kingdom, which together made up
roughly half of the MSCI EAFE at year-end, gained 22.2 percent and 14.2 percent,
respectively, when measured in U.S. dollar terms. Global emerging markets also
performed well. The MSCI Emerging Market Index(3) rose more than 30 percent in
U.S. dollar terms over the fiscal year, reflecting the willingness of global
investors to turn toward risky assets to look for growth opportunities. This
trend also was evident in the small-cap sector. Foreign small-cap stocks, up
25.1 percent as measured by the S&P/Citigroup EMI World ex-US Index(4) in U.S.
dollars, outperformed foreign large-cap stocks over the fiscal year ended
October 31, 2005.
While world economic growth has slowed from the torrid pace of 2003-2004,
the current expansion continues unabated, and broadened out substantially over
the course of 2005. Strength in both developing countries and in North America
buoyed many European and Asian economies through exports, thus making up for
some of the slack demand seen in their domestic economies. This stimulus was
supported by low interest rates in all but the Anglo-Saxon economies and
supported strong corporate profit and dividend growth, which in turn led to
better equity-market returns. This economic backdrop continues, and is beginning
to broaden out to the domestic sector in both Japan and Europe, which may help
to provide another boost to the equity markets in the future.
LORD ABBETT ALL VALUE FUND
Q: HOW DID THE ALL VALUE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31,
2005?
A: The fund returned 10.2 percent, reflecting performance at the net asset value
(NAV) of Class A shares with all distributions reinvested, compared with its
benchmark, the Russell 3000(R) Value Index,(5) which returned 12.0 percent over
the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT
PERFORMANCE AT THE MAXIMUM 5.75 PERCENT SALES CHARGE APPLICABLE TO CLASS A SHARE
INVESTMENTS AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR: 3.88
PERCENT, 5 YEARS: 4.50 PERCENT, AND SINCE INCEPTION (JULY 15, 1996): 11.42
PERCENT. Class A shares purchased subject to a front-end sales charge have no
contingent deferred sales charge (CDSC). However, certain purchases of Class A
shares made without a front-end sales charge may be subject to a CDSC of 1
percent if the shares are
2
<Page>
- --------------------------------------------------------------------------------
redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest detractor to fund performance relative to its benchmark for
the fiscal year ended October 31, 2005, was an overweight position and stock
selection within the materials and processing sector. Alcoa, Inc., an aluminum
products producer, and International Paper Co., a producer of paper, packaging,
and forest products, underperformed, as high energy costs reduced profits.
Stock selection within the utilities sector also took away from relative
fund performance. Two regional Bell holdings, Verizon Communications Inc. and
SBC Communications, Inc., underperformed during the fiscal year ended October
31, 2005. These companies have been under pressure due to the continued loss of
wirelines and competition from cable companies as they enter telephony. Also,
Comcast Corp., a provider of cable, entertainment, and communications products
and services, disappointed for the fiscal year ended October 31, 2005.
The other energy sector was the greatest positive contributor to the fund's
relative performance for the fiscal year ended October 31, 2005. These sectors
made a strong contribution to base return. Outperformance was primarily driven
by stocks within the oil services sector, including Grant Prideco, Inc., and
Helmerich & Payne, Inc. Increases in oil and gas drilling and the portfolio's
overweight position in other energy holdings helped the portfolio.
Selection of stocks and an overweight position within the technology sector
also aided fund performance relative to the benchmark for the fiscal year ended
October 31, 2005. Motorola, Inc., a communications technology and electronics
company, benefited from new cellular phone products and a successful management
transition. Apple Computer, Inc., a personal computer company, strongly
outperformed, as consumer demand for its products continued to exceed
expectations. UNOVA, Inc., an industrial technologies company providing supply
chain solutions and wired and wireless automated data collection, outperformed
due to strong products and the resolution of a
3
<Page>
- --------------------------------------------------------------------------------
prolonged legal dispute with a competitor regarding patents.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT ALPHA STRATEGY FUND
(FORMERLY LORD ABBETT ALPHA FUND)
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2005?
A: The fund is a strategic asset allocation fund using a "fund of funds"
approach. Assets are currently distributed among Lord Abbett Developing Growth
Fund, Lord Abbett Securities Trust - International Opportunities Fund, and Lord
Abbett Research Fund, Inc. - Small-Cap Value Fund. As a result, the fund's
performance is directly related to the performance of its underlying funds.
The fund returned 20.5 percent, reflecting performance at the net asset
value (NAV) of Class A shares with all distributions reinvested, compared with
its benchmark, the S&P/Citigroup Small Cap World Index,(4) which returned 21.4
percent over the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH
REFLECT PERFORMANCE AT THE MAXIMUM 5.75 PERCENT SALES CHARGE APPLICABLE TO CLASS
A SHARE INVESTMENTS AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1
YEAR: 13.56 PERCENT, 5 YEARS: 2.64 PERCENT, AND SINCE INCEPTION (MARCH 18,
1998): 3.56 PERCENT. Class A shares purchased subject to a front-end sales
charge have no contingent deferred sales charge (CDSC). However, certain
purchases of Class A shares made without a front-end sales charge may be subject
to a CDSC of 1 percent if the shares are redeemed within 12 months of the
purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
LORD ABBETT DEVELOPING GROWTH FUND COMPONENT
(APPROXIMATELY 28.9 PERCENT OF ALPHA STRATEGY FUND PORTFOLIO)
Q: HOW DID THE DEVELOPING GROWTH FUND PERFORM OVER THE TWELVE-MONTH PERIOD ENDED
OCTOBER 31, 2005?
A: The fund returned 15.3 percent, reflecting performance at the net asset value
(NAV) of Class Y shares with all distributions reinvested, compared with its
benchmark, the Russell 2000(R) Growth Index,(6) which returned 10.9 percent over
the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT
PERFORMANCE OF CLASS Y SHARE INVESTMENTS
4
<Page>
- --------------------------------------------------------------------------------
AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR: 15.28 PERCENT, 5
YEARS: -0.05 PERCENT, AND SINCE INCEPTION (DECEMBER 30, 1997): 3.59 PERCENT.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The largest contributor to the fund's performance for the 12-month period
ended October 31, 2005, was stock selection within the healthcare sector.
Intuitive Surgical, Inc., a provider of robotic surgical devices, outperformed
when it sold more of its da Vinci(R) Surgical System than expected. Kos
Pharmaceuticals, Inc., a specialty pharmaceuticals company, benefited from a
favorable settlement agreement with a competitor regarding the manufacturing of
one of its major drugs.
Selection of stocks within the technology sector also had a positive impact
on fund performance for the 12-month period ended October 31, 2005. Blue Coat
Systems, Inc., a supplier of hardware and software designed to make corporate
computer networks more secure, reported strong returns, as its revenue and
earnings growth exceeded expectations. Another technology holding, Red Hat,
Inc., a supplier of open-source solutions to enterprises, was also a positive
contributor. This company's June and September quarterly revenue and earnings
growth reports, as well as its forecasted revenue and earnings growth, exceeded
expectations.
The greatest detractor to fund performance for the 12-month period ended
October 31, 2005, was stock selection within the consumer discretionary sector.
This sector includes stocks in the consumer durables, apparel, media, hotel, and
leisure industries. Fossil, Inc., a producer of watches and related accessories,
suffered when reduced demand caused a buildup of inventories, resulting in a
slowdown in the company's growth. Overstock.com, Inc., an online retailer of
closed-out merchandise, underperformed when its losses widened more than
expected. Navigant Consulting, Inc., an independent consulting firm providing
litigation, financial, healthcare, energy, and operational consulting services
disappointed during the 12-month period ended October 31, 2005. When the company
preannounced its June quarter, it noted that its revenue growth would be less
than market expectations. This was attributed to a
5
<Page>
- --------------------------------------------------------------------------------
slowdown in business following the completion of many Sarbanes-Oxley-related
projects.
Stock selection within the materials and processing sector also hurt fund
performance for the 12-month period ended October 31, 2005. Dycom Industries,
Inc., a service provider to the telecommunications industry, performed poorly
during the 12-month period ended October 31, 2005 when orders from large
telephone companies ramped up slower than expected.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND COMPONENT
(APPROXIMATELY 39.4 PERCENT OF ALPHA STRATEGY FUND PORTFOLIO)
Q: HOW DID THE INTERNATIONAL OPPORTUNITIES FUND PERFORM OVER THE TWELVE-MONTH
PERIOD ENDED OCTOBER 31, 2005?
A: The fund returned 25.1 percent, reflecting performance at the net asset value
(NAV) of Class Y shares with all distributions reinvested, compared with its
benchmark, the S&P/Citigroup U.S. $500 Million - U.S. $2.5 Billion World ex-U.S.
Index,(4) which returned 28.2 percent over the same period. STANDARDIZED AVERAGE
ANNUAL TOTAL RETURNS, WHICH REFLECT PERFORMANCE OF CLASS Y SHARES AND INCLUDE
THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR: 25.06 PERCENT, 5 YEARS:
- -2.77 PERCENT, AND SINCE INCEPTION (DECEMBER 30, 1997): 2.47 PERCENT.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
SEE DISCUSSION ABOUT LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND ON PAGES
10 AND 11.
LORD ABBETT SMALL-CAP VALUE FUND COMPONENT
(APPROXIMATELY 29.1 PERCENT OF ALPHA STRATEGY FUND PORTFOLIO)
Q: HOW DID THE SMALL-CAP VALUE FUND PERFORM OVER THE TWELVE-MONTH PERIOD ENDED
OCTOBER 31, 2005?
A: The fund returned 22.1 percent, reflecting performance at the net asset value
(NAV) of Class Y shares with all distributions reinvested, compared with its
benchmark, the Russell 2000(R) Value Index,(7) which returned 13.0 percent over
the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT
PERFORMANCE OF CLASS Y SHARE INVESTMENTS AND INCLUDE THE REINVESTMENT OF ALL
6
<Page>
- --------------------------------------------------------------------------------
DISTRIBUTIONS, ARE: 1 YEAR: 22.06 PERCENT, 5 YEARS: 15.78 PERCENT, AND SINCE
INCEPTION (DECEMBER 30, 1997): 12.76 PERCENT.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest contributors to fund performance relative to its benchmark for
the 12-month period ended October 31, 2005, were stock selection and an
overweight position within the materials and processing sector. Quanex Corp., a
manufacturer of value-added engineered materials and components for the
vehicular products and building products markets, outperformed due to
homebuilding and remodeling demand, as well as acquisitions. The Shaw Group,
Inc., a global provider of technology, engineering, procurement, construction,
maintenance, fabrication, manufacturing, consulting, remediation, and facilities
management services for government and private sector clients in the energy,
chemical, environmental, infrastructure, and emergency response markets,
reported strong performance, driven by the company's technological capabilities,
the addition of new projects, and continued opportunities in the energy
industry. Shaw's returns were also helped as a result of its work with
environmental cleanup, as well as levee and dam repairs following the recent
hurricanes.
An underweight position and stock selection within the technology sector
also helped fund performance relative to its benchmark. UNOVA, Inc., an
industrial technologies company providing supply chain solutions and wired and
wireless automated data collection, outperformed due to strong products and the
resolution of a prolonged legal dispute with a competitor regarding patents.
MICROS Systems, Inc., a developer of enterprise applications serving the
hospitality and specialty retail industries, performed well during the 12-month
period ended October 31, 2005. The company's positive performance was driven by
demand for its products and services, as well as its dominance in its market.
The largest detractor to fund performance relative to its benchmark was an
underweight position within the utilities sector. While this sector produced
strong returns for the 12-month period ended October 31, 2005, the fact that
utility holdings were underrepresented worked against relative performance. Few
utility
7
<Page>
- --------------------------------------------------------------------------------
stocks met the fund's valuation criteria during the 12-month period ended
October 31, 2005.
Stock selection within the consumer staples sector also hurt fund
performance relative to its benchmark. American Italian Pasta Co., the biggest
maker of dry pasta in North America, reported poor performance. The company was
hurt by the low-carbohydrate diet trend and by accounting inconsistencies. The
fund sold the holding before the end of the 12-month period ended October 31,
2005. Another consumer staples holding that was affected by the trend toward
low-carbohydrate diets was John B. Sanfilippo & Son, Inc., a processor,
packager, marketer, and distributor of nuts and extruded snacks. High nut prices
and management problems took a toll on performance.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT INTERNATIONAL CORE EQUITY FUND
Q: HOW DID THE INTERNATIONAL CORE EQUITY FUND PERFORM OVER THE FISCAL YEAR ENDED
OCTOBER 31, 2005?
A: The fund returned 18.8 percent, reflecting performance at the net asset value
(NAV) of Class A shares with all distributions reinvested, compared with its
benchmark, the MSCI EAFE(R) Index,(2) which returned 18.6 percent over the same
period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT PERFORMANCE AT
THE MAXIMUM 5.75 PERCENT SALES CHARGE APPLICABLE TO CLASS A SHARE INVESTMENTS
AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR: 11.93 PERCENT
AND SINCE INCEPTION (DECEMBER 31, 2003): 7.88 PERCENT. Class A shares purchased
subject to a front-end sales charge have no contingent deferred sales charge
(CDSC). However, certain purchases of Class A shares made without a front-end
sales charge may be subject to a CDSC of 1 percent if the shares are redeemed
within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection and an overweight position within the energy sector were the
greatest contributors to fund performance for the fiscal year ended October 31,
2005.
8
<Page>
- --------------------------------------------------------------------------------
The fund benefited from its holdings in three areas of the energy sector,
including fast-growing, smaller exploration and production companies, Asian
refineries, and oil services companies. OPTI Canada Inc., a Canadian energy
exploration and production company, outperformed as it reached significant
milestones in building Canada's fourth and fifth integrated oil sands project.
Thai Oil plc, Thailand's major refiner, posted strong returns, which were driven
by its diversification efforts and strong performance by its affiliates. SBM
Offshore, a Dutch-based provider of floating production and storage vessels
serving the offshore oil industry, helped fund returns. The company won two,
large new orders during the fiscal year ended October 31, 2005.
Stock selection within the telecommunications sector also had a positive
impact on fund performance relative to its benchmark for the fiscal year ended
October 31, 2005. O2 plc, the second largest wireless company in the United
Kingdom, outperformed for the fiscal year ended October 31, 2005. The company's
cash flow and profitability grew throughout the fiscal year ended October 31,
2005. In addition, a favorable takeover offer on the last day of the fiscal year
ended October 31, 2005, boosted performance. China Mobile (Hong Kong) Ltd., one
of China's largest wireless companies, was a strong performer, as its subscriber
base grew rapidly.
The largest detractor to fund performance for the fiscal year ended October
31, 2005, was stock selection within the healthcare sector. Smith & Nephew plc,
a global medical technology company specializing in orthopedics, endoscopy, and
advanced wound care products, reported disappointing earnings, and issued a
profit warning because of the impact of Hurricane Katrina on the company's U.S.
business. Astellas Pharma Inc., a Japanese pharmaceutical company,
underperformed in the fiscal year ended October 31, 2005. Astellas is the
product of a merger between two large Japanese pharmaceutical companies in April
2005, and its poor returns were driven by its failure to aggressively
restructure following the merger.
In addition, poor stock selection and an underweight position within the
strongly performing materials sector were negative for the fund's relative
performance. Two European paper companies, Stora Enso Oyj and UPM-Kymmene Corp.,
hurt performance, as paper prices and demand did not increase as strongly as
anticipated. Lafarge S.A., a French building materials company, reported poor
third quarter earnings and a cautious outlook because of slowing demand in the
United States and difficult pricing in some of its emerging markets.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR
9
<Page>
- --------------------------------------------------------------------------------
PARTICULAR SECTOR AS A PERCENTAGE OF PORTFOLIO ASSETS ARE SUBJECT TO CHANGE.
SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND
Q: HOW DID THE INTERNATIONAL OPPORTUNITIES FUND PERFORM OVER THE FISCAL YEAR
ENDED OCTOBER 31, 2005?
A: The fund returned 24.6 percent, reflecting performance at the net asset value
(NAV) of Class A shares with all distributions reinvested, compared with its
benchmark, the S&P/Citigroup U.S. $500 Million - U.S. $2.5 Billion World ex-U.S.
Index,(4) which returned 28.2 percent over the same period. STANDARDIZED AVERAGE
ANNUAL TOTAL RETURNS, WHICH REFLECT PERFORMANCE AT THE MAXIMUM 5.75 PERCENT
SALES CHARGE APPLICABLE TO CLASS A SHARE INVESTMENTS AND INCLUDE THE
REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR: 17.35 PERCENT, 5 YEARS: -4.24
PERCENT, AND SINCE INCEPTION (DECEMBER 13, 1996): 3.27 PERCENT. Class A shares
purchased subject to a front-end sales charge have no contingent deferred sales
charge (CDSC). However, certain purchases of Class A shares made without a
front-end sales charge may be subject to a CDSC of 1 percent if the shares are
redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest detractor to fund performance relative to its benchmark for the
fiscal year ended October 31, 2005, was stock selection within the industrials
sector. Japan Cash Machine, Co. Ltd., a developer of currency management
machines, such as the cashing technology used in slot machines, disappointed due
to slowing growth. Weichai Power Co., Ltd., a Chinese developer of diesel
engines for trucks, suffered because of Chinese regulatory changes and
technology modifications. Selection of stocks within the telecommunications
services sector also hurt performance. FASTWEB S.p.A., an Italian
telecommunications provider, underperformed in the fiscal year ended October 31,
2005. The company was considering a takeover perceived by the market to be
dilutive. It then executed a substantial equity offering equal to about 40
percent of its market capitalization. Market reaction to this strategy was not
favorable during the fiscal year ended October 31, 2005.
10
<Page>
- --------------------------------------------------------------------------------
The greatest contributor to fund performance relative to its benchmark
during the fiscal year ended October 31, 2005, was stock selection within the
consumer discretionary sector. Yamada Denki Co., Ltd. and Don Quijote, two
Japanese specialty retailers, reported strong performance, as they enjoyed the
benefits of high market share, expanded margins, and increased buying
opportunities. In addition, two real estate holdings in this sector helped
performance. Joint Corp., a Japanese condominium developer, outperformed due to
its sizable land bank and improvement in the Japanese real estate market. The
largest homebuilder in Spain, Fadesa Inmobiliaria, S.p.A., also did well during
the fiscal year ended October 31, 2005. This company has been growing at a rate
disproportionate to the market.
In addition, stock selection within the information technology sector aided
fund performance relative to the benchmark for the fiscal year ended October 31,
2005. Based in the United Kingdom, CSR plc is the leading global provider of
Bluetooth technology used in handsets, headsets, notebooks, and other popular
electronic devices. The company has about a 50 percent market share in this fast
growing market. Shinko Electric Industries Co., Ltd., a Japanese manufacturer of
electronic components, benefited from a competitive product cycle and increased
market share at Intel Corp. Also, NHN Corp., Korea's largest Internet search
engine, was a strong performer and became the leader in its market, which has
been growing at about 100 percent per year.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT LARGE-CAP VALUE FUND
Q: HOW DID THE LARGE-CAP VALUE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER
31, 2005?
A: The fund returned 7.2 percent, reflecting performance at the net asset value
(NAV) of Class A shares with all distributions reinvested, compared with its
benchmark, the Russell 1000(R) Value Index,(8) which returned 11.9 percent over
the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT
PERFORMANCE AT THE MAXIMUM 5.75 PERCENT SALES CHARGE APPLICABLE TO CLASS A SHARE
INVESTMENTS AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR: 1.07
PERCENT AND SINCE INCEPTION (JUNE 30, 2003): 8.63 PERCENT. Class A shares
purchased subject to a front-end sales charge have no contingent deferred sales
charge (CDSC). However, certain purchases of Class A shares made without a
front-end sales charge may be subject to a CDSC of 1 percent if the shares are
redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY
11
<Page>
- --------------------------------------------------------------------------------
BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT SHARES, ON
ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END BY
CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR WEBSITE AT
www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest detractor to the fund's performance relative to its benchmark
for the fiscal year ended October 31, 2005, was stock selection within the
consumer staples sector. Consumer staples companies include those that produce
or sell regularly consumed goods, such as food, beverages, tobacco, prescription
drugs, and household products. The fund was hurt because it did not own certain
strong performing holdings that were held by the benchmark during the fiscal
year ended October 31, 2005. In addition, the fund's investment in Kraft Foods
Inc., a global provider of branded foods and beverages, took away from
performance. The company suffered due to the continuation of overall high dairy
costs, which affected profit margins.
An underweight position and stock selection within the integrated oils
sector also negatively affected the fund's relative performance for the fiscal
year ended October 31, 2005. Exxon Mobil Corp., a provider of energy and
petrochemicals, produced solid returns, but underperformed its peers. Because
the company is broadly diversified, it was less influenced by changes in oil
prices than were other corporations in its sector.
Selection of stocks and an overweight position within the technology sector
were the largest contributors to fund performance relative to its benchmark for
the fiscal year ended October 31, 2005. Apple Computer, Inc., a personal
computer company, strongly outperformed, as consumer demand for its products
continued to exceed expectations. Motorola, Inc., a communications technology
and electronics company, benefited from good products and a successful
management transition. Another technology holding, Hewlett-Packard Co., a
provider of personal computers, printers, and related products, reported strong
performance, as the company showed improvement under a new CEO.
Although an overweight position within the healthcare sector had a negative
impact on performance, it was more than offset by strong stock selection within
that sector. Cardinal Health, Inc., a provider of products, services, and
technologies supporting the healthcare industry, was a strong performer, as it
successfully transitioned its business model. Also, four large pharmaceutical
company holdings -- Baxter International Inc., Novartis AG, Wyeth and
GlaxoSmithKline -- contributed strong returns, as their drug development
pipelines were filled with potential opportunities.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
THE WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
12
<Page>
- --------------------------------------------------------------------------------
A PROSPECTUS CONTAINS IMPORTANT INFORMATION ABOUT A FUND, INCLUDING ITS
INVESTMENT OBJECTIVES, RISKS, CHARGES, AND ONGOING EXPENSES, WHICH AN INVESTOR
SHOULD CAREFULLY CONSIDER BEFORE INVESTING. TO OBTAIN A PROSPECTUS ON ANY LORD
ABBETT MUTUAL FUND, PLEASE CONTACT YOUR INVESTMENT PROFESSIONAL OR LORD ABBETT
DISTRIBUTOR LLC AT 800-874-3733 OR VISIT OUR WEBSITE AT www.LordAbbett.com. READ
THE PROSPECTUS CAREFULLY BEFORE INVESTING.
(1) The S&P 500(R) Index is widely regarded as the standard for measuring
large-cap U.S. stock market performance. This popular index includes a
representative sample of leading companies in leading industries.
(2) The MSCI Europe, Australasia, and Far East (EAFE)(R) Index is an unmanaged
capitalization index representing the industry composition and a sampling of
small, medium, and large capitalization companies from the aforementioned global
markets. It is a Morgan Stanley International Index that includes stocks traded
on 21 exchanges in Europe, Australasia, and the Far East.
(3) The MSCI Emerging Market Free Index is a free float-adjusted market
capitalization index that is designed to measure equity market performance in
the global emerging markets. As of May 2005, the MSCI Emerging Markets Index
consisted of the following 26 emerging market country indexes: Argentina,
Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Hungary, India,
Indonesia, Israel, Jordan, Korea, Malaysia, Mexico, Morocco, Pakistan, Peru,
Philippines, Poland, Russia, South Africa, Taiwan, Thailand, Turkey, and
Venezuela.
(4) S&P/Citigroup Global Equity Index System(SM) and the names of each of the
indexes and subindexes that it comprises (GEIS and such indexes and subindexes,
each an "Index" and collectively, the "Indexes") are service marks of Citigroup.
The S&P/Citigroup EMI World ex-U.S. Index is a subset of the Global Citigroup
Extended Market Index (EMI). The S&P/Citigroup Small Cap World Index is a subset
of the Global Citigroup Broad Market Index (BMI). The S&P/Citigroup U.S. $500
Million - U.S. $2.5 Billion World ex-U.S. Index is a subset of the Global
S&P/Citigroup Broad Market Index (BMI). The World ex-U.S. composite includes all
developed countries except the United States.
(5) The Russell 3000(R) Value Index measures the performance of those Russell
3000 companies with lower price-to-book ratios and lower forecasted growth
values. The stocks in this index are also members of either the Russell 1000(R)
Value or the Russell 2000(R) Value indexes.
(6) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values.
(7) The Russell 2000(R) Value Index measures the performance of those Russell
2000 companies with lower price-to-book ratios and lower forecasted growth
values.
(8) The Russell 1000(R) Value Index measures the performance of those Russell
1000 companies with lower price-to-book ratios and lower forecasted growth
values.
Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are
not available for direct investment.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
The views of the funds' management and the portfolio holdings described in this
report are as of October 31, 2005; these views and portfolio holdings may have
changed subsequent to this date, and they do not guarantee the future
performance of the markets or the fund. Information provided in this report
should not be considered a recommendation to purchase or sell securities.
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with
the funds, please see the funds' prospectuses.
PERFORMANCE: Because of ongoing market volatility, fund performance may be
subject to substantial fluctuation. Except where noted, comparative fund
performance does not account for the deduction of sales charges and would be
different if sales charges were included. The fund offers additional classes of
shares with distinct pricing options. For a full description of the differences
in pricing alternatives, please see the funds' prospectuses.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
13
<Page>
ALL VALUE FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class C shares with the same
investment in the Russell 3000(R) Value Index, and S&P 500/Barra Value Index
assuming reinvestment of all dividends and distributions. The performance of
other classes will be greater than or less than the performance shown in the
graph below due to different sales loads and expenses applicable to such
classes. The graph and performance table below do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS C SHARES) AT NET ASSET VALUE RUSSELL 3000(R) VALUE INDEX(1) S&P 500/BARRA VALUE INDEX(1)
11/1/95 $ 10,000 $ 10,000 $ 10,000
10/31/96 $ 12,003 $ 12,328 $ 12,461
10/31/97 $ 15,118 $ 16,468 $ 16,163
10/31/98 $ 16,772 $ 18,541 $ 18,061
10/31/99 $ 20,629 $ 21,374 $ 21,494
10/31/2000 $ 22,845 $ 22,723 $ 23,575
10/31/2001 $ 21,086 $ 20,316 $ 19,232
10/31/2002 $ 19,310 $ 18,399 $ 16,197
10/31/2003 $ 23,694 $ 22,825 $ 20,218
10/31/2004 $ 26,779 $ 26,395 $ 23,141
10/31/2005 $ 29,339 $ 29,552 $ 25,494
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
1 YEAR 5 YEARS 10 YEARS LIFE OF CLASS
CLASS A(2) 3.88% 4.50% -- 11.42%
CLASS B(3) 5.52% 4.91% -- 9.07%
CLASS C(4) 9.56% 5.13% 11.36% --
CLASS P(5) 10.09% -- -- 6.20%
CLASS Y(6) 10.61% -- -- 20.07%
</Table>
(1) Performance for each unmanaged index does not reflect any transaction costs,
management fees or sales charges. The performance of each index is not
necessarily representative of the Fund's performance.
(2) Class A shares commenced operations on July 15, 1996. Total return, which is
the percentage change in net asset value, after deduction of the maximum initial
sales charge of 5.75% applicable to Class A Shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2005, is
calculated using the SEC-required uniform method to compute such return.
(3) Class B shares commenced operations on June 5, 1997. Performance reflects
the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for the life of
the class.
(4) Class C shares commenced operations on January 3, 1994. The 1% CDSC for
Class C shares normally applies before the first anniversary of the purchase
date. Performance is at net asset value.
(5) Class P shares commenced operations on August 15, 2001. Performance is at
net asset value.
(6) Class Y shares commenced operations on March 31, 2003. Performance is at net
asset value.
14
<Page>
ALPHA STRATEGY FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class A shares with the same
investment in the S&P/Citigroup Small-Cap World Index and Lipper Global
Small/Mid-Cap Core Funds Average assuming reinvestment of all dividends and
distributions. The performance of other classes will be greater than or less
than the performance shown in the graph below due to different sales loads and
expenses applicable to such classes. The graph and performance table below do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. PAST PERFORMANCE IS NO GUARANTEE
OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS A SHARES) THE FUND (CLASS A SHARES) S&P/CITIGROUP SMALL-CAP LIPPER GLOBAL SMALL/MID-CAP
AT NET ASSET VALUE AT MAXIMUM OFFERING PRICE(1) WORLD INDEX(2) CORE FUNDS AVERAGE(2)
3/18/98 $ 10,000 $ 9,425 $ 10,000 $ 10,000
10/31/98 $ 8,308 $ 7,830 $ 8,484 $ 8,095
10/31/99 $ 9,788 $ 9,226 $ 10,140 $ 10,538
10/31/2000 $ 11,463 $ 10,804 $ 10,983 $ 13,411
10/31/2001 $ 8,865 $ 8,355 $ 9,572 $ 9,889
10/31/2002 $ 7,587 $ 7,151 $ 9,069 $ 8,699
10/31/2003 $ 10,363 $ 9,767 $ 13,112 $ 12,050
10/31/2004 $ 11,502 $ 10,841 $ 15,514 $ 13,605
10/31/2005 $ 13,856 $ 13,059 $ 18,827 $ 16,065
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
1 YEAR 5 YEARS LIFE OF CLASS
CLASS A(3) 13.56% 2.64% 3.56%
CLASS B(4) 15.73% 3.01% 3.70%
CLASS C(5) 19.73% 3.21% 3.70%
CLASS Y(6) 20.91% -- 22.71%
</Table>
(1) Reflects the deduction of the maximum initial sales charge of 5.75%.
(2) Performance for each unmanaged index and average does not reflect
transaction costs, management fees or sales charges. The performance of each
index and average is not necessarily representative of the Fund's performance.
Performance for each index and average begins on March 31, 1998.
(3) Class A shares commenced operations on March 18, 1998. Total return, which
is the percentage change in net asset value, after deduction of the maximum
initial sales charge of 5.75% applicable to Class A Shares, with all dividends
and distributions reinvested for the periods shown ended October 31, 2005, is
calculated using the SEC-required uniform method to compute such return.
(4) Class B shares commenced operations on March 18, 1998. Performance reflects
the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for the life of
the class.
(5) Class C shares commenced operations on March 18, 1998. The 1% CDSC for Class
C shares normally applies before the first anniversary of the purchase date.
Performance is at net asset value.
(6) Class Y shares commenced operations on October 19, 2004. Performance is at
net asset value.
15
<Page>
INTERNATIONAL CORE EQUITY FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class A shares with the same
investment in the Morgan Stanley Capital International (MSCI) Europe,
Australasia, Far East (EAFE(R)) Index ("With Gross Dividends") and the MSCI
EAFE(R) Index ("With Net Dividends"), assuming reinvestment of all dividends and
distributions. "With Net Dividends" reflects a reduction in dividends after
taking into account withholding of taxes by certain foreign countries
represented in the MSCI EAFE(R) Index. The performance of other classes will be
greater than or less than the performance shown in the graph below due to
different sales loads and expenses applicable to such classes. The graph and
performance table below do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS A SHARES) THE FUND (CLASS A SHARES) MSCI EAFE(R) INDEX MSCI EAFE(R) INDEX
AT NET ASSET VALUE AT MAXIMUM OFFERING PRICE(1) ("WITH GROSS DIVIDENDS")(2) ("WITH NET DIVIDENDS")(2)
1/1/2004 $ 10,000 $ 9,425 $ 10,000 $ 10,000
3/31/2004 $ 10,108 $ 9,527 $ 10,440 $ 10,434
6/30/2004 $ 10,010 $ 9,434 $ 10,486 $ 10,457
9/30/2004 $ 9,941 $ 9,369 $ 10,462 $ 10,428
12/31/2004 $ 11,417 $ 10,761 $ 12,069 $ 12,025
3/31/2005 $ 11,447 $ 10,789 $ 12,057 $ 12,005
6/30/2005 $ 11,477 $ 10,817 $ 11,966 $ 11,884
9/30/2005 $ 12,501 $ 11,783 $ 13,216 $ 13,117
10/31/2005 $ 12,196 $ 11,495 $ 12,831 $ 12,734
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
1 YEAR LIFE OF CLASS
CLASS A(3) 11.93% 7.88%
CLASS B(4) 14.15% 8.72%
CLASS C(5) 18.03% 10.74%
CLASS P(6) 18.73% 11.33%
CLASS Y(7) 19.23% 11.82%
</Table>
(1) Reflects the deduction of the maximum initial sales charge of 5.75%.
(2) Performance for each unmanaged index does not reflect transaction costs,
management fees or sales charges. The performance of each index is not
necessarily representative of the Fund's performance. Performance for each index
begins on December 31, 2003.
(3) Class A shares commenced operations on December 15, 2003. Performance for
the class begins on December 31, 2003, the SEC effective date for the Fund.
Total return, which is the percentage change in net asset value, after deduction
of the maximum initial sales charge of 5.75% applicable to Class A shares, with
all dividends and distributions reinvested for the periods shown ended October
31, 2005, is calculated using the SEC-required uniform method to compute such
return.
(4) Class B shares commenced operations on December 15, 2003. Performance for
the class begins on December 31, 2003, the SEC effective date for the Fund.
Performance reflects the deduction of a CDSC of 4% for 1 year and the life of
the class.
(5) Class C shares commenced operations on December 15, 2003. Performance for
the class begins on December 31, 2003, the SEC effective date for the Fund. The
1% CDSC for Class C shares normally applies before the first anniversary of the
purchase date.
(6) Class P shares commenced operations on December 15, 2003. Performance for
the class begins on December 31, 2003, the SEC effective date for the Fund.
Performance is at net asset value.
(7) Class Y shares commenced operations on December 15, 2003. Performance for
the class begins on December 31, 2003, the SEC effective date for the Fund.
Performance is at net asset value.
16
<Page>
INTERNATIONAL OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class A shares with the same
investment in the S&P/Citigroup Extended Market World ex-U.S. Index, the MSCI
EAFE(R) Index, and S&P/Citigroup U.S. $500 Million - U.S. $2.5 Billion World
ex-U.S. Index, assuming reinvestment of all dividends and distributions. The
Fund is adding the performance of the S&P/Citigroup Extended Market World
ex-U.S. Index, and will remove in the next Annual Report the MSCI EAFE(R) Index
and the S&P/Citigroup U.S. $500 Million - U.S. $2.5 Billion World ex-U.S. Index
because the Fund believes that the S&P/Citigroup Extended Market World ex-U.S.
Index is a more appropriate benchmark for this Fund based on the Fund's
investment objective. The performance of other classes will be greater than or
less than the performance shown in the graph below due to different sales loads
and expenses applicable to such classes. The graph and performance table below
do not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. PAST PERFORMANCE IS NO GUARANTEE
OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
S&P/CITIGROUP U.S.
$500 MILLION- U.S.
THE FUND (CLASS A SHARES) THE FUND (CLASS A SHARES) S&P/CITIGROUP EXTENDED MSCI EAFE(R) $2.5 BILLION WORLD
AT NET ASSET VALUE AT MAXIMUM OFFERING PRICE(1) MARKET WORLD EX-U.S. INDEX(2) INDEX(2) EX-U.S. INDEX(2)
12/13/1996 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
10/31/1997 $ 11,516 $ 10,854 $ 9,639 $ 10,217 $ 9,300
10/31/1998 $ 13,169 $ 12,411 $ 9,554 $ 11,234 $ 8,800
10/31/1999 $ 14,902 $ 14,045 $ 11,314 $ 13,859 $ 10,728
10/31/2000 $ 16,536 $ 15,585 $ 11,190 $ 13,490 $ 10,417
10/31/2001 $ 8,943 $ 8,429 $ 9,069 $ 10,161 $ 8,754
10/31/2002 $ 7,219 $ 6,804 $ 8,556 $ 8,847 $ 8,418
10/31/2003 $ 9,750 $ 9,190 $ 12,465 $ 11,286 $ 12,660
10/31/2004 $ 11,340 $ 10,688 $ 15,310 $ 13,461 $ 15,461
10/31/2005 $ 14,126 $ 13,313 $ 19,149 $ 15,963 $ 19,825
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
1 YEAR 5 YEARS LIFE OF CLASS
CLASS A(3) 17.35% (4.24)% 3.27%
CLASS B(4) 19.69% (3.95)% 2.45%
CLASS C(5) 23.82% (3.65)% 2.51%
CLASS P(6) 24.72% (3.00)% 0.65%
CLASS Y(7) 25.06% (2.77)% 2.47%
</Table>
(1) Reflects the deduction of the maximum initial sales charge of 5.75%.
(2) Performance for each unmanaged index does not reflect transaction costs,
management fees or sales charges. The performance of each index is not
necessarily representative of the Fund's performance. Performance for each index
begins on December 31, 1996.
(3) Class A shares commenced operations on December 13, 1996. Total return,
which is the percentage change in net asset value, after deduction of the
maximum initial sales charge of 5.75% applicable to Class A shares, with all
dividends and distributions reinvested for the periods shown ended October 31,
2005, is calculated using the SEC-required uniform method to compute such
return.
(4) Class B shares commenced operations on June 2, 1997. Performance reflects
the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for the life of
the class.
(5) Class C shares commenced operations on June 2, 1997. The 1% CDSC for Class C
shares normally applies before the first anniversary of the purchase date.
Performance is at net asset value.
(6) Class P shares commenced operations on March 8, 1999. Performance is at net
asset value.
(7) Class Y shares commenced operations on December 30, 1997. Performance is at
net asset value.
17
<Page>
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class A shares with the same
investment in the Russell 1000(R) Value Index and the S&P 500/Barra Value Index,
assuming reinvestment of all dividends and distributions. The performance of
other classes will be greater than or less than the performance shown in the
graph below due to different sales loads and expenses applicable to such
classes. The graph and performance table below do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND THE FUND
AT NET ASSET VALUE AT MAXIMUM OFFERING PRICE(1) RUSSELL 1000(R) VALUE INDEX(2) S&P 500/BARRA VALUE INDEX(2)
7/1/2003 $ 10,000 $ 9,425 $ 10,000 $ 10,000
9/30/2003 $ 10,201 $ 9,614 $ 10,142 $ 10,254
12/31/2003 $ 11,570 $ 10,905 $ 11,505 $ 11,736
3/31/2004 $ 11,813 $ 11,134 $ 11,786 $ 12,129
6/30/2004 $ 11,955 $ 11,267 $ 11,820 $ 12,226
9/30/2004 $ 11,701 $ 11,028 $ 11,929 $ 12,353
12/31/2004 $ 12,976 $ 12,229 $ 13,167 $ 13,580
3/31/2005 $ 12,643 $ 11,916 $ 13,179 $ 13,250
6/30/2005 $ 12,581 $ 11,858 $ 13,399 $ 13,592
9/30/2005 $ 13,058 $ 12,307 $ 13,919 $ 14,059
10/31/2005 $ 12,830 $ 12,092 $ 13,565 $ 13,813
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
1 YEAR LIFE OF CLASS
CLASS A(3) 1.07% 8.63%
CLASS B(4) 2.49% 9.46%
CLASS C(5) 6.50% 10.66%
CLASS P(6) 7.07% 11.30%
CLASS Y(7) 7.58% 11.79%
</Table>
(1) Reflects the deduction of the maximum initial sales charge of 5.75%.
(2) Performance for each unmanaged index does not reflect transaction costs,
management fees or sales charges. The performance of each index, particularly
that of the S&P 500 Index, is not necessarily representative of the Fund's
performance. Performance for each index begins on June 30, 2003.
(3) Class A shares commenced operations on June 23, 2003. Performance for the
class begins on June 30, 2003, the SEC effective date for the Fund. Total
return, which is the percentage change in net asset value, after deduction of
the maximum initial sales charge of 5.75% applicable to Class A shares, with all
dividends and distributions reinvested for the periods shown ended October 31,
2005, is calculated using the SEC-required uniform method to compute such
return.
(4) Class B shares commenced operations on June 23, 2003. Performance for the
class begins on June 30, 2003, the SEC effective date for the Fund. Performance
reflects the deduction of a CDSC of 4% for 1 year, and 3% for the life of the
class.
(5) Class C shares commenced operations on June 23, 2003. Performance for the
class begins on June 30, 2003, the SEC effective date for the Fund. The 1% CDSC
for Class C shares normally applies before the first anniversary of the purchase
date. Performance is at net asset value.
(6) Class P shares commenced operations on June 23, 2003. Performance for the
class begins on June 30, 2003, the SEC effective date for the Fund. Performance
is at net asset value.
(7) Class Y shares commenced operations on June 23, 2003. Performance for the
class begins on June 30, 2003, the SEC effective date for the Fund. Performance
is at net asset value.
18
<Page>
- --------------------------------------------------------------------------------
EXPENSE EXAMPLES
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges on purchase payments (these charges vary among
the share classes) and redemption fees (International Core Equity Fund and
International Opportunties Fund only); and (2) ongoing costs, including
management fees; distribution and service (12b-1) fees (these charges vary among
the share classes); and other Fund expenses. These Examples are intended to help
you understand your ongoing costs (in dollars) of investing in each Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (May 1, 2005 through October 31,
2005).
ACTUAL EXPENSES
For each class of the Fund, the first line of the table on the following
page provides information about actual account values and actual expenses. You
may use the information in this line, together with the amount you invested, to
estimate the expenses that you paid over the period. Simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),
then multiply the result by the number in the first line under the heading
entitled "Expenses Paid During the Period 5/1/05 - 10/31/05" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of the Fund, the second line of the table on the following
page provides information about hypothetical account values and hypothetical
expenses based on each Fund's actual expense ratio and an assumed rate of return
of 5% per year before expenses, which is not the Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
19
<Page>
ALL VALUE FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,066.80 $ 6.09
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,019.31 $ 5.95
CLASS B
Actual $ 1,000.00 $ 1,063.40 $ 9.41
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.08 $ 9.20
CLASS C
Actual $ 1,000.00 $ 1,063.60 $ 9.42
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.08 $ 9.20
CLASS P
Actual $ 1,000.00 $ 1,066.40 $ 6.56
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,018.85 $ 6.41
CLASS Y
Actual $ 1,000.00 $ 1,069.30 $ 4.22
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,021.12 $ 4.13
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (1.17% for Class A, 1.81% for Classes B and C, 1.26%
for Class P and 0.81% for Class Y) multiplied by the average account value
over the period, multiplied by 184/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
OCTOBER 31, 2005
<Table>
<Caption>
SECTOR* %**
Auto & Transportation 2.39%
Consumer Discretionary 9.59%
Consumer Staples 5.34%
Financial Services 11.89%
Healthcare 10.65%
Integrated Oils 4.39%
Materials & Processing 17.48%
Other 6.84%
Other Energy 4.06%
Producer Durables 7.10%
Short-Term Investment 2.74%
Technology 11.60%
Utilities 5.93%
Total 100.00%
</Table>
* A sector may comprise several industries.
** Represents percent of total investments.
20
<Page>
ALPHA STRATEGY FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,155.40 $ 1.90
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,023.44 $ 1.78
CLASS B
Actual $ 1,000.00 $ 1,151.80 $ 5.42
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,020.16 $ 5.09
CLASS C
Actual $ 1,000.00 $ 1,151.10 $ 5.42
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,020.16 $ 5.09
CLASS Y
Actual $ 1,000.00 $ 1,157.40 $ 0.00
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,025.21 $ 0.00
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (0.35% for Class A, 1.00% for Classes B and C, and
0.00% for Class Y) multiplied by the average account value over the period,
multiplied by 184/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY INVESTMENT OBJECTIVE
OCTOBER 31, 2005
<Table>
<Caption>
INVESTMENT OBJECTIVE %*
Long-Term Growth of Capital** 28.95%
Long-Term Capital Appreciation** 68.51%
Short-Term Investment 2.54%
Total 100.00%
</Table>
* Represents percent of total investments.
** Alpha Strategy Fund invests in other funds ("Underlying Funds") managed by
Lord, Abbett & Co. LLC. The category shown represents the investment
objective of these Underlying Funds.
21
<Page>
INTERNATIONAL CORE EQUITY FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges or redemption fees. Therefore, the second line of the table is useful in
comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds. In addition, if these transactional costs were
included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,085.10 $ 8.93
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.64 $ 8.64
CLASS B
Actual $ 1,000.00 $ 1,082.20 $ 12.28
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,013.41 $ 11.88
CLASS C
Actual $ 1,000.00 $ 1,081.30 $ 12.28
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,013.41 $ 11.88
CLASS P
Actual $ 1,000.00 $ 1,084.20 $ 9.30
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.28 $ 8.99
CLASS Y
Actual $ 1,000.00 $ 1,086.50 $ 7.15
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,018.35 $ 6.92
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (1.70% for Class A, 2.34% for Classes B and C, 1.77%
for Class P and 1.36% for Class Y) multiplied by the average account value
over the period, multiplied by 184/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
OCTOBER 31, 2005
<Table>
<Caption>
SECTOR* %**
Auto 3.44%
Capital Goods 1.44%
Consumer Cyclicals 1.70%
Consumer Discretionary 1.10%
Consumer Services 3.81%
Consumer Staples 6.66%
Energy 4.32%
Financial Services 28.66%
Healthcare 9.37%
Integrated Oils 3.69%
Materials & Processing 6.57%
Other 4.34%
Producer Durables 4.43%
Short-Term Investment 3.23%
Technology 5.96%
Telecommunications 8.90%
Transportation 0.79%
Utilities 1.59%
Total 100.00%
</Table>
* A sector may comprise several industries.
** Represents percent of total investments.
22
<Page>
INTERNATIONAL OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges or redemption fees. Therefore, the second line of the table is useful in
comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds. In addition, if these transactional costs were
included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,141.10 $ 9.44
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.38 $ 8.89
CLASS B
Actual $ 1,000.00 $ 1,136.30 $ 12.93
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,013.11 $ 12.18
CLASS C
Actual $ 1,000.00 $ 1,138.10 $ 12.94
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,013.11 $ 12.18
CLASS P
Actual $ 1,000.00 $ 1,140.30 $ 9.55
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,016.28 $ 8.99
CLASS Y
Actual $ 1,000.00 $ 1,143.30 $ 7.56
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,018.15 $ 7.12
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (1.75% for Class A, 2.40% for Classes B and C, 1.77%
for Class P and 1.40% for Class Y) multiplied by the average account value
over the period, multiplied by 184/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
OCTOBER 31, 2005
<Table>
<Caption>
SECTOR* %**
Auto & Transportation 1.37%
Consumer Discretionary 6.76%
Consumer Staples 14.52%
Financial Services 13.30%
Healthcare 17.62%
Integrated Oils 4.96%
Materials & Processing 8.83%
Other 3.22%
Other Energy 3.41%
Producer Durables 6.37%
Short-Term Investment 4.99%
Technology 7.50%
Utilities 7.15%
Total 100.00%
</Table>
* A sector may comprise several industries.
** Represents percent of total investments.
23
<Page>
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,032.50 $ 4.86
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,020.42 $ 4.84
CLASS B
Actual $ 1,000.00 $ 1,028.70 $ 8.18
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,017.14 $ 8.14
CLASS C
Actual $ 1,000.00 $ 1,029.50 $ 8.19
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,017.14 $ 8.14
CLASS P
Actual $ 1,000.00 $ 1,031.70 $ 5.38
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,019.91 $ 5.34
CLASS Y
Actual $ 1,000.00 $ 1,034.10 $ 3.08
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,022.18 $ 3.06
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (0.95% for Class A, 1.60% for Classes B and C, 1.05%
for Class P and 0.60% for Class Y) multiplied by the average account value
over the period, multiplied by 184/365 (to reflect one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
OCTOBER 31, 2005
<Table>
<Caption>
SECTOR* %**
Basic Materials 5.51%
Conglomerates 2.30%
Consumer Cyclicals 14.62%
Consumer Non-Cyclicals 5.76%
Energy 6.47%
Healthcare 6.61%
Industrial Goods & Services 20.69%
Non-Property Financials 12.03%
Property & Property Services 7.10%
Short-Term Investment 3.32%
Technology 10.04%
Telecommunications 2.56%
Utilities 2.99%
Total 100.00%
</Table>
* A sector may comprise several industries.
** Represents percent of total investments.
24
<Page>
SCHEDULE OF INVESTMENTS
ALL VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS 97.58%
ADVERTISING AGENCY 0.36%
Interpublic Group Of
Cos., Inc. (The)* 892,100 $ 9,215
-----------
AEROSPACE 0.23%
Moog, Inc. Class A* 195,000 5,782
-----------
AIR TRANSPORTATION 0.08%
Frontier Airlines, Inc.* 225,200 2,128
-----------
AUTO COMPONENTS 0.11%
Modine
Manufacturing Co. 85,000 2,810
-----------
AUTO PARTS: AFTER MARKET 0.26%
Genuine Parts Co. 151,300 6,713
-----------
BANKS: NEW YORK CITY 1.17%
Bank of New York Co.,
Inc. (The) 650,000 20,339
JPMorgan Chase & Co. 260,000 9,521
-----------
TOTAL 29,860
-----------
BANKS: OUTSIDE NEW YORK CITY 4.17%
Bank of America Corp. 582,686 25,487
Cullen/Frost Bankers,
Inc. 790,000 41,728
Marshall & Ilsley Corp. 390,000 16,754
Mellon Financial Corp. 580,000 18,380
TCF Financial Corp. 137,800 3,734
-----------
TOTAL 106,083
-----------
BEVERAGE: SOFT DRINKS 2.41%
PepsiCo, Inc. 1,035,000 61,148
-----------
BIOTECHNOLOGY RESEARCH &
PRODUCTION 0.73%
Baxter Int'l., Inc. 484,500 18,522
-----------
BUILDING: MATERIALS 1.66%
Hughes Supply, Inc. 850,000 $ 28,432
Simpson Manufacturing
Co., Inc. 345,300 13,626
-----------
TOTAL 42,058
-----------
CHEMICALS 3.61%
Cabot Corp. 494,900 16,881
E.I. du Pont de
Nemours & Co. 520,000 21,679
Eastman Chemical Co. 220,000 11,607
Praxair, Inc. 843,300 41,668
-----------
TOTAL 91,835
-----------
COMMUNICATIONS TECHNOLOGY 5.12%
ADC Telecommunications,
Inc.* 569,820 9,943
Anixter Int'l., Inc. 235,000 8,714
Avaya, Inc.* 1,621,100 18,675
McAfee, Inc.* 1,100,000 33,033
Motorola, Inc. 2,075,000 45,982
Tellabs, Inc.* 1,450,054 13,863
-----------
TOTAL 130,210
-----------
COMPUTER SERVICES, SOFTWARE &
SYSTEMS 4.44%
Cadence Design
Systems, Inc.* 3,000,000 47,940
Computer Sciences
Corp.* 250,000 12,813
Microsoft Corp. 2,025,000 52,042
-----------
TOTAL 112,795
-----------
CONTAINERS & PACKAGING: METAL &
GLASS 1.09%
Crown Holdings, Inc.* 1,705,000 27,655
-----------
CONTAINERS & PACKAGING: PAPER &
PLASTIC 0.54%
Pactiv Corp.* 697,400 13,739
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
ALL VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES 1.29%
Citigroup, Inc. 715,000 $ 32,733
-----------
DIVERSIFIED MANUFACTURING 0.64%
Ball Corp. 415,000 16,339
-----------
DRUG & GROCERY STORE CHAINS 1.86%
CVS Corp. 439,300 10,723
Kroger Co. (The)* 1,840,000 36,616
-----------
TOTAL 47,339
-----------
DRUGS & PHARMACEUTICALS 9.80%
GlaxoSmithKline
plc ADR 670,071 34,837
Johnson & Johnson 200,000 12,524
MedImmune, Inc.* 360,055 12,595
Mylan Laboratories,
Inc. 1,875,000 36,019
Novartis AG ADR 1,010,000 54,358
Pfizer, Inc. 840,000 18,261
Schering-Plough Corp. 1,535,000 31,222
Wyeth 1,105,000 49,239
-----------
TOTAL 249,055
-----------
ELECTRICAL EQUIPMENT &
COMPONENTS 1.61%
AMETEK, Inc. 89,300 3,637
Emerson Electric Co. 535,496 37,244
-----------
TOTAL 40,881
-----------
ELECTRONICS 1.55%
Avx Corp. 1,172,100 14,511
Vishay Intertechnology,
Inc.* 2,200,000 24,948
-----------
TOTAL 39,459
-----------
ELECTRONICS: SEMI-CONDUCTORS/
COMPONENTS 0.53%
MEMC Electronic
Materials, Inc.* 748,300 13,425
-----------
ENERGY MISCELLANEOUS 0.32%
GlobalSantaFe Corp.(a) 180,000 8,019
-----------
ENGINEERING & CONTRACTING
SERVICES 0.52%
Jacobs Engineering
Group Inc.* 206,600 $ 13,171
-----------
ENTERTAINMENT 1.01%
Viacom, Inc. Class B 340,800 10,554
Walt Disney Co. (The) 624,200 15,212
-----------
TOTAL 25,766
-----------
FINANCIAL DATA PROCESSING
SERVICES & SYSTEMS 1.01%
Automatic Data
Processing, Inc. 550,000 25,663
-----------
FOODS 0.20%
Campbell Soup Co. 171,700 4,996
-----------
FOREST PRODUCTS 0.99%
Georgia-Pacific Corp. 770,000 25,048
-----------
GOLD 3.43%
Barrick Gold Corp.(a) 790,000 19,948
Newmont Mining Corp. 1,575,000 67,095
-----------
TOTAL 87,043
-----------
HOUSEHOLD FURNISHINGS 0.75%
Ethan Allen Interiors
Inc. 565,000 19,108
-----------
IDENTIFICATION CONTROL &
FILTER DEVICES 2.89%
Hubbell, Inc. 495,000 23,839
IDEX Corp. 176,300 7,056
Parker Hannifin Corp. 680,000 42,622
-----------
TOTAL 73,517
-----------
INSURANCE: MULTI-LINE 2.14%
Aflac Inc. 290,000 13,856
Cincinnati Financial
Corp. 35,800 1,523
Genworth Financial, Inc.
Class A 710,000 22,500
Safeco Corp. 295,000 16,432
-----------
TOTAL 54,311
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
ALL VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
INSURANCE: PROPERTY-CASUALTY 0.51%
ACE Ltd.(a) 250,000 $ 13,025
-----------
MACHINERY: AGRICULTURAL 0.71%
Deere & Co. 299,100 18,149
-----------
MACHINERY: INDUSTRIAL/SPECIALTY 0.51%
Illinois Tool Works, Inc. 72,600 6,154
Woodward Governor Co. 84,400 6,743
-----------
TOTAL 12,897
-----------
MACHINERY: OIL WELL EQUIPMENT &
SERVICES 3.50%
Baker Hughes, Inc. 104,800 5,760
Grant Prideco, Inc.* 675,000 26,251
Halliburton Co. 268,400 15,862
Helmerich & Payne, Inc. 175,070 9,699
Key Energy Services,
Inc.* 725,700 9,797
Patterson-UTI Energy,
Inc. 203,800 6,956
Schlumberger Ltd.(a) 162,500 14,750
-----------
TOTAL 89,075
-----------
MACHINERY: SPECIALTY 0.21%
JLG Industries, Inc. 141,500 5,428
-----------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 0.16%
Bausch & Lomb, Inc. 54,200 4,021
-----------
METAL FABRICATING 2.70%
Quanex Corp. 620,000 35,904
Shaw Group, Inc. (The)* 192,200 5,151
Timken Co. (The) 971,700 27,558
-----------
TOTAL 68,613
-----------
MILLING: FRUIT & GRAIN PROCESSING 1.21%
Archer Daniels
Midland Co. 1,260,000 30,706
-----------
MISCELLANEOUS EQUIPMENT 0.96%
W.W. Grainger, Inc. 365,000 24,448
-----------
MISCELLANEOUS MATERIALS &
PROCESSING 0.14%
Rogers Corp.* 95,000 $ 3,548
-----------
MULTI-SECTOR COMPANIES 6.86%
Carlisle Cos., Inc. 376,600 25,115
Eaton Corp. 520,000 30,592
General Electric Co. 2,160,900 73,276
Honeywell Int'l., Inc. 390,000 13,338
Trinity Industries, Inc. 843,300 32,088
-----------
TOTAL 174,409
-----------
OIL: CRUDE PRODUCERS 0.26%
Grey Wolf, Inc.* 850,000 6,528
-----------
OIL: INTEGRATED INTERNATIONAL 4.41%
Exxon Mobil Corp. 1,995,012 112,000
-----------
PAPER 0.30%
MeadWestvaco Corp. 295,000 7,735
-----------
PUBLISHING: MISCELLANEOUS 1.38%
R.R. Donnelley &
Sons Co. 1,000,000 35,020
-----------
RADIO & TV BROADCASTERS 0.29%
Westwood One, Inc. 400,000 7,400
-----------
RAILROADS 0.56%
Union Pacific Corp. 205,000 14,182
-----------
REAL ESTATE INVESTMENT TRUSTS 1.12%
Host Marriott Corp. 1,700,000 28,543
-----------
RESTAURANTS 1.12%
Brinker Int'l., Inc.* 744,700 28,388
-----------
RETAIL 3.91%
Barnes & Noble, Inc. 140,000 5,062
Federated Department
Stores, Inc. 602,418 36,970
Foot Locker, Inc. 717,700 13,952
OfficeMax, Inc. 275,500 7,720
Wal-Mart Stores, Inc. 755,000 35,719
-----------
TOTAL 99,423
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
ALL VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
SAVINGS & LOAN 0.51%
Webster Financial Corp. 281,500 $ 12,997
-----------
SERVICES: COMMERCIAL 0.29%
Sabre Holdings Corp.
Class A 380,000 7,421
-----------
SOAPS & HOUSEHOLD CHEMICALS 0.89%
Procter & Gamble
Co. (The) 403,050 22,567
-----------
STEEL 0.71%
Steel Dynamics, Inc. 585,000 18,117
-----------
TEXTILES APPAREL MANUFACTURERS 0.50%
VF Corp. 243,700 12,733
-----------
TRUCKERS 1.39%
Heartland Express, Inc. 680,000 13,430
Werner Enterprises, Inc. 1,215,000 21,773
-----------
TOTAL 35,203
-----------
UTILITIES: CABLE TV & RADIO 1.23%
Comcast Corp. Class A* 1,140,075 31,249
-----------
UTILITIES: ELECTRICAL 2.10%
Ameren Corp. 407,200 21,418
CMS Energy Corp.* 1,300,000 19,383
NiSource, Inc. 529,800 12,530
-----------
TOTAL 53,331
-----------
UTILITIES: GAS DISTRIBUTORS 0.38%
AGL Resources Inc. 131,300 4,621
Nicor Inc. 128,200 5,025
-----------
TOTAL 9,646
-----------
UTILITIES: TELECOMMUNICATIONS 2.24%
Sprint Nextel Corp. 485,000 11,305
Verizon Communications,
Inc. 1,450,000 45,690
-----------
TOTAL 56,995
-----------
TOTAL COMMON STOCKS
(cost $2,260,035,652) 2,480,223
===========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT 2.74%
REPURCHASE AGREEMENT 2.74%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$71,275,000 of
Federal Home Loan
Mortgage Corp. at
4.50% due 11/15/2011;
value: $71,185,906;
proceeds: $69,792,543
(cost $69,786,147) $ 69,786 $ 69,786
===========
TOTAL INVESTMENTS IN
SECURITIES 100.32%
(cost $2,329,821,799) 2,550,009
===========
LIABILITIES IN EXCESS OF
CASH AND OTHER ASSETS (0.32%) (8,236)
-----------
NET ASSETS 100.00% $ 2,541,773
===========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR American Depositary Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
SCHEDULE OF INVESTMENTS
ALPHA STRATEGY FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
INVESTMENTS IN UNDERLYING FUNDS 97.63%
Lord Abbett Developing
Growth Fund, Inc. -
Class Y*(a) 2,804,775 $ 48,242
Lord Abbett Research
Fund, Inc. - Small-Cap
Value Fund - Class Y(b) 1,568,426 48,558
Lord Abbett Securities
Trust - International
Opportunities Fund -
Class Y(b) 5,373,209 65,607
-----------
TOTAL INVESTMENTS IN
UNDERLYING FUNDS
(cost $132,663,357) 162,407
===========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT 2.54%
REPURCHASE AGREEMENT 2.54%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$4,315,000 of
Federal National
Mortgage Assoc.
at 5.60% due 7/27/2015;
value: $4,318,625;
proceeds: $4,231,350
(cost $4,230,962) $ 4,231 $ 4,231
===========
TOTAL INVESTMENTS IN
SECURITIES 100.17%
(cost $136,894,319) 166,638
===========
LIABILITIES IN EXCESS OF
OTHER ASSETS (0.17%) (282)
-----------
NET ASSETS 100.00% $ 166,356
===========
</Table>
* Non-income producing security.
(a) Fund investment objective is long-term growth of capital through a
diversified and actively managed portfolio consisting of developing growth
companies, many of which are traded over the counter.
(b) Fund investment objective is long-term capital appreciation.
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
SCHEDULE OF INVESTMENTS
INTERNATIONAL CORE EQUITY FUND OCTOBER 31, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS 95.05%
AUSTRALIA 1.26%
Downer EDI Ltd. 331,000 $ 1,505
Qantas Airways Ltd. 936,451 2,395
-----------
TOTAL 3,900
-----------
AUSTRIA 1.56%
Telekom Austria AG 232,194 4,811
-----------
BELGIUM 1.49%
InBev NV/SA 114,931 4,594
-----------
CANADA 1.74%
Alcan Inc. 82,820 2,624
OPTI Canada, Inc.* 88,600 2,751
-----------
TOTAL 5,375
-----------
CHINA 1.63%
China Construction
Bank* 9,745,400 2,954
China Petroleum &
Chemical Corp. 5,250,021 2,100
-----------
TOTAL 5,054
-----------
FRANCE 10.84%
AXA 139,194 4,030
BNP Paribas 72,749 5,515
France Telecom S.A. 92,269 2,397
Lafarge S.A. 44,969 3,697
PSA Peugeot
Citroen S.A. 50,445 3,065
Sanofi-Aventis 59,881 4,794
TOTAL S.A. 15,386 3,861
VINCI 29,278 2,288
Vivendi Universal S.A. 123,022 3,875
-----------
TOTAL 33,522
-----------
GERMANY 5.40%
Allianz AG Registered
Shares 33,685 4,757
Deutsche Bank AG
Registered Shares 39,509 3,699
Fresenius Medical
Care AG 47,946 $ 4,313
IVG Immobilien AG 76,012 1,466
Siemens AG 33,173 2,467
-----------
TOTAL 16,702
-----------
GREECE 1.96%
National Bank of
Greece S. A. 155,550 6,062
-----------
HONG KONG 1.59%
China Mobile
(Hong Kong) Ltd. 664,200 2,956
China Unicom Ltd. 2,543,000 1,952
-----------
TOTAL 4,908
-----------
HUNGARY 1.31%
Richter Gedeon Rt.~ 24,863 4,050
-----------
INDIA 0.98%
Reliance Industries Ltd. 178,477 3,028
-----------
IRELAND 3.12%
DEPFA BANK plc 291,479 4,541
Irish Life &
Permanent plc 290,100 5,111
-----------
TOTAL 9,652
-----------
ITALY 2.13%
Enel S.p.A. 283,649 2,288
Mediaset S.p.A. 258,460 2,837
Saipem S.p.A. 103,009 1,474
-----------
TOTAL 6,599
-----------
JAPAN 23.59%
Aiful Corp. 48,250 3,593
Astellas Pharma Inc. 96,400 3,437
Don Quijote Co., Ltd. 46,100 3,311
East Japan Railway Co. 595 3,527
Fanuc Ltd. 49,700 3,885
Hoya Corp. 5,100 178
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND OCTOBER 31, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Hoya Corp.*(a) 15,300 $ 534
Inpex Corp. 244 1,710
Jupiter Telecommunications
Co., Ltd.* 6,060 4,857
Mizuho Financial
Group, Inc. 800 5,305
Murata Manufacturing
Co., Ltd. 72,100 3,574
Nitto Denko Corp. 36,039 2,170
Nomura Holdings,
Inc. ADR 68,900 1,067
Nomura Securities Co.,
Ltd. (The) 254,904 3,867
ORIX Corp. 13,371 2,489
Shionogi & Co., Ltd. 113,100 1,370
Sony Corp. 44,100 1,424
Sumitomo Corp. 524,000 5,807
Sumitomo Electric
Industries, Ltd. 293,088 3,832
Taiyo Yuden Co., Ltd. 227,000 2,235
Takefuji Corp. 93,430 6,509
Toyota Motor Corp. 107,700 4,913
Yamada Denki Co., Ltd. 38,362 3,351
-----------
TOTAL 72,945
-----------
NETHERLANDS 2.28%
ING Groep N.V. 164,510 4,742
SBM Offshore N.V. 29,810 2,304
-----------
TOTAL 7,046
-----------
RUSSIA 1.82%
Mobile TeleSystems ADR 63,900 2,364
OAO Novatek GDR*+ 148,100 3,258
-----------
TOTAL 5,622
-----------
SINGAPORE 1.20%
DBS Group Holdings Ltd. 410,000 3,704
-----------
SOUTH KOREA 3.87%
Hana Bank 100,100 3,595
LG Chem, Ltd. 106,150 4,647
Samsung Electronics
Co., Ltd. 7,060 $ 3,733
-----------
TOTAL 11,975
-----------
SWITZERLAND 5.83%
Nestle S.A. Registered
Shares 18,062 5,379
Novartis AG Registered
Shares 68,498 3,684
Roche Holding
Ltd. AG 24,689 3,688
UBS AG Registered
Shares 62,146 5,278
-----------
TOTAL 18,029
-----------
TAIWAN 1.34%
AU Optronics
Corp. ADR 114,155 1,455
China Trust Financial
Holding Co., Ltd. 641 1
MediaTek, Inc. 311,271 2,686
-----------
TOTAL 4,142
-----------
THAILAND 1.65%
Thai Oil Co. Ltd.~ 2,956,689 5,111
-----------
UNITED KINGDOM 18.46%
BAE SYSTEMS plc 951,466 5,566
BP plc 179,913 1,987
British American
Tobacco plc 223,879 4,926
Cadbury
Schweppes plc 232,976 2,293
National Grid plc 279,106 2,552
O2 plc 1,906,626 6,944
Prudential plc 386,320 3,241
Royal Bank of Scotland
Group (The) plc 199,336 5,518
Smith & Nephew plc 369,660 3,128
Smiths Group plc 237,683 3,839
Tesco plc 571,891 3,044
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
INTERNATIONAL CORE EQUITY FUND OCTOBER 31, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Tullow Oil plc 482,963 $ 2,073
Vodafone Group plc 2,140,026 5,615
Wm Morrison
Supermarkets plc 639,429 1,850
WPP Group plc 459,009 4,509
-----------
TOTAL 57,085
-----------
TOTAL COMMON STOCKS
(cost $279,421,780) 293,916
===========
<Caption>
PRINCIPAL U.S. $
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT 3.17%
REPURCHASE AGREEMENT 3.17%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$10,105,000 of
Federal National
Mortgage Assoc.
at 4.90% due 6/1/2015;
value: $10,010,013;
proceeds: $9,810,920
(cost $9,810,021) $ 9,810 $ 9,810
===========
TOTAL INVESTMENTS IN
SECURITIES 98.22%
(cost $289,231,801) 303,726
===========
FOREIGN CASH AND OTHER ASSETS
IN EXCESS OF LIABILITIES 1.78% 5,516
-----------
NET ASSETS 100.00% $ 309,242
===========
</Table>
* Non-income producing security.
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions exempt from
registration normally to qualified institutional buyers.
~ Fair Valued Security - See Note 2.
(a) Security purchased on a when-issued basis.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
SCHEDULE OF INVESTMENTS
INTERNATIONAL OPPORTUNITIES FUND OCTOBER 31, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS 95.49%
AUSTRALIA 2.03%
Downer Edi Ltd. 444,724 $ 2,022
Newcrest Mining Ltd. 152,994 2,082
-----------
TOTAL 4,104
-----------
AUSTRIA 2.41%
Telekom Austria AG 113,772 2,358
Wienerberger AG 65,047 2,514
-----------
TOTAL 4,872
-----------
CANADA 1.36%
OPTI Canada Inc.* 53,618 1,665
RONA, Inc.* 57,834 1,074
-----------
TOTAL 2,739
-----------
CHINA 0.68%
Shanghai Forte Land
Co., Ltd. 4,460,000 1,367
-----------
DENMARK 1.09%
GN Store Nord A/S 183,400 2,209
-----------
FRANCE 3.08%
Ipsos S.A. 18,055 2,142
Neopost S.A. 42,241 4,075
-----------
TOTAL 6,217
-----------
GERMANY 6.54%
Fresenius Medical
Care AG ADR 96,600 2,927
IVG Immobilien AG 117,363 2,263
Puma AG Rudolf
Dassler Sport 9,903 2,507
Q-Cells AG* 5,123 281
Rheinmetall AG 44,075 2,711
Techem AG* 63,048 2,509
-----------
TOTAL 13,198
-----------
GREECE 1.73%
Piraeus Bank S.A. 171,932 3,482
-----------
HONG KONG 5.82%
AAC Acoustic
Technology Holdings,
Inc.* 5,262,909 $ 2,648
China Merchants
Holdings (Int'l.)
Co. Ltd. 1,388,800 2,696
Dah Sing Financial
Group 195,822 1,190
Hong Kong Exchanges &
Clearing Ltd. 766,900 2,562
Hong Kong Land
Holdings Ltd. 454,372 1,299
Techtronic Industries
Co. Ltd. 544,000 1,337
-----------
TOTAL 11,732
-----------
HUNGARY 0.86%
Richter Gedeon GDR 10,602 1,728
-----------
IRELAND 1.74%
DEPFA BANK plc 193,485 3,015
FBD Holdings plc 13,208 486
-----------
TOTAL 3,501
-----------
ITALY 6.17%
Davide Campari-Milano
S.p.A. 387,000 2,625
Hera S.p.A. 738,446 1,892
Milano Assicurazioni
S.p.A. 535,800 3,352
Pirelli & C. Real Estate
S.p.A 48,797 2,672
Societa Iniziative
Autostradali e Servizi
S.p.A. 164,281 1,905
-----------
TOTAL 12,446
-----------
JAPAN 23.70%
ARRK Corp. 50,200 2,764
Avex Group
Holdings, Inc. 109,100 2,320
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND OCTOBER 31, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Diamond City Co., Ltd. 62,500 $ 2,529
Don Quijote Co., Ltd. 41,700 2,995
J-OIL MILLS, INC. 374,000 1,587
Japan Cash Machine
Co., Ltd. 87,600 1,791
Joint Corp. 35,900 1,937
Jupiter
Telecommunications
Co., Ltd.* 2,906 2,329
K.K. daVinci Advisors* 475 2,224
Matsumotokiyoshi
Co., Ltd. 68,000 2,039
MISUMI Group Inc. 53,400 2,087
Mitsui Mining &
Smelting Co., Ltd. 517,200 2,932
Nitori Co., Ltd. 28,750 2,173
Park24 Co., Ltd. 106,400 2,504
Shinko Electric
Industries Co., Ltd. 44,600 2,762
Sumitomo Real Estate
Sales Co., Ltd. 31,500 1,818
Sumitomo Rubber
Industries, Ltd. 125,700 1,536
Thk Co., Ltd. 92,600 2,076
Tokuyama Corp. 132,900 1,313
Yamada Denki Co., Ltd. 38,600 3,372
ZEON Corp. 231,000 2,719
-----------
TOTAL 47,807
-----------
LUXEMBOURG 1.26%
Gemplus Int'l. S.A.* 1,032,322 2,536
-----------
NETHERLANDS 2.77%
Aalberts Industries N.V. 45,300 2,203
LMA Int'l. N.V.* 3,767,621 1,824
SBM Offshore N.V. 20,081 1,552
-----------
TOTAL 5,579
-----------
RUSSIA 1.36%
Vimpel-Communications
ADR* 68,600 2,744
-----------
SINGAPORE 0.93%
Keppel Corp. Ltd. 275,000 $ 1,883
-----------
SOUTH KOREA 2.45%
Hana Bank 67,306 2,417
NHN Corp.* 15,229 2,531
-----------
TOTAL 4,948
-----------
SPAIN 5.19%
ACS, Actividades de
Construccion y
Servicios, S.A. 65,148 1,862
Corporacion Mapfre S.A. 176,399 3,089
Fadesa Inmobiliaria, S.A. 70,626 2,374
Prosegur Compania de
Seguridad, S.A. 128,797 3,147
-----------
TOTAL 10,472
-----------
SWEDEN 1.10%
Getinge AB Class B 177,900 2,223
-----------
SWITZERLAND 3.37%
Actelion Ltd.* 22,479 2,528
Geberit AG 3,350 2,320
Nobel Biocare
Holding AG 8,448 1,948
-----------
TOTAL 6,796
-----------
TAIWAN 1.25%
Chi Mei Optoelectronics
Corp. 1,679,927 1,688
Motech Industries Inc. 76,000 829
-----------
TOTAL 2,517
-----------
THAILAND 1.02%
Thai Oil Co., Ltd.~ 1,186,122 2,051
-----------
TURKEY 1.07%
Akbank T.A.S 112,330 698
Turkiye Is Bankasi A.S.
(Isbank) GDR Registered
Shares 211,200 1,461
-----------
TOTAL 2,159
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
INTERNATIONAL OPPORTUNITIES FUND OCTOBER 31, 2005
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
UNITED KINGDOM 16.51%
Abbot Group plc 432,650 $ 1,907
AWG plc 127,285 2,166
Balfour Beatty plc 477,634 2,576
Cairn Energy plc* 84,468 2,582
CSR plc* 376,386 4,793
Intertek Group plc 320,825 4,046
Michael Page Int'l. plc 536,800 2,195
Northgate plc 72,398 1,282
Paladin Resources plc 461,490 2,857
Peter Hambro
Mining plc* 139,984 1,933
Punch Taverns plc 203,635 2,635
RHM plc* 591,004 2,709
Slough Estates plc 181,527 1,629
-----------
TOTAL 33,310
-----------
TOTAL COMMON STOCKS
(cost $149,793,889) 192,620
===========
<Caption>
PRINCIPAL U.S. $
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT 3.28%
REPURCHASE AGREEMENT 3.28%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$6,740,000 of Federal
National Mortgage Assoc.
at 5.60% due 7/27/2015;
value: $6,745,662;
proceeds: $6,610,525
(cost $6,609,919) $ 6,610 $ 6,610
===========
TOTAL INVESTMENTS IN
SECURITIES 98.77%
(cost $156,403,808) 199,230
===========
FOREIGN CASH AND OTHER ASSETS
IN EXCESS OF LIABILITIES 1.23% 2,484
-----------
NET ASSETS 100.00% $ 201,714
===========
</Table>
* Non-income producing security.
~ Fair Valued Security - See Note 2.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
SCHEDULE OF INVESTMENTS
LARGE-CAP VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS 94.83%
AEROSPACE 0.40%
Boeing Co. (The) 2,330 $ 151
-----------
AGRICULTURE, FISHING & RANCHING 1.06%
Monsanto Co. 6,466 407
-----------
AUTOMOBILES 0.24%
Honda Motor Co.
Ltd. ADR 3,300 92
-----------
BANKS 0.15%
Mitsubishi UFJ Financial
Group, Inc. ADR 4,580 58
-----------
BANKS: NEW YORK CITY 3.36%
Bank of New York Co.,
Inc. (The) 18,781 588
JPMorgan Chase & Co. 19,050 697
-----------
TOTAL 1,285
-----------
BANKS: OUTSIDE NEW YORK CITY 2.49%
Bank of America Corp. 10,740 470
Marshall & Ilsley Corp. 4,300 185
PNC Financial Services
Group, Inc. (The) 2,560 155
Wachovia Corp. 2,840 143
-----------
TOTAL 953
-----------
BEVERAGE: SOFT DRINKS 2.00%
Coca-Cola Co. (The) 3,500 149
PepsiCo, Inc. 10,422 616
-----------
TOTAL 765
-----------
BIOTECHNOLOGY RESEARCH &
PRODUCTION 2.02%
Baxter Int'l., Inc. 18,293 699
Biogen Idec, Inc.* 1,840 75
-----------
TOTAL 774
-----------
CHEMICALS 1.46%
E.I. du Pont de
Nemours & Co. 3,697 $ 154
Praxair, Inc. 8,174 404
-----------
TOTAL 558
-----------
COMMUNICATIONS TECHNOLOGY 1.89%
Motorola, Inc. 32,595 722
-----------
COMPUTER SERVICES, SOFTWARE &
SYSTEMS 1.66%
Microsoft Corp. 24,650 634
-----------
COMPUTER TECHNOLOGY 1.91%
Electronic Data
Systems Corp. 8,210 191
EMC Corp.* 5,430 76
Hewlett-Packard Co. 16,480 462
-----------
TOTAL 729
-----------
CONSUMER PRODUCTS 1.45%
Kimberly-Clark Corp. 9,790 556
-----------
DIVERSIFIED FINANCIAL SERVICES 1.39%
Citigroup Inc. 11,589 531
-----------
DRUG & GROCERY STORE CHAINS 2.64%
CVS Corp. 12,880 314
Kroger Co. (The)* 34,975 696
-----------
TOTAL 1,010
-----------
DRUGS & PHARMACEUTICALS 14.53%
Bristol-Myers Squibb Co. 11,570 245
GlaxoSmithKline plc ADR 12,310 640
Johnson & Johnson 6,330 396
MedImmune, Inc.* 9,780 342
Merck & Co., Inc. 11,534 326
Novartis AG ADR 17,963 967
Pfizer, Inc. 44,820 974
Schering-Plough Corp. 19,336 393
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
LARGE-CAP VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Teva Pharmaceutical
Industries Ltd. ADR 10,220 $ 390
Wyeth 19,865 885
-----------
TOTAL 5,558
-----------
ELECTRICAL EQUIPMENT & COMPONENTS 1.75%
Emerson Electric Co. 9,601 668
-----------
ELECTRONICS: MEDICAL SYSTEMS 0.89%
Medtronic, Inc. 6,030 342
-----------
ELECTRONICS: TECHNOLOGY 2.04%
General Dynamics Corp. 3,670 427
Raytheon Co. 9,530 352
-----------
TOTAL 779
-----------
ENGINEERING & CONTRACTING SERVICES 1.01%
Fluor Corp. 6,080 387
-----------
ENTERTAINMENT 0.99%
Walt Disney Co. (The) 15,503 378
-----------
FERTILIZERS 0.27%
Potash Corp. of
Saskatchewan Inc.(a) 1,246 103
-----------
FINANCIAL DATA PROCESSING SERVICES &
SYSTEMS 1.82%
Automatic Data
Processing, Inc. 14,910 696
-----------
FOODS 4.37%
Campbell Soup Co. 18,510 538
General Mills, Inc. 2,150 104
H.J. Heinz Co. 6,415 228
Kraft Foods, Inc. Class A 28,365 803
-----------
TOTAL 1,673
-----------
GOLD 3.00%
Barrick Gold Corp.(a) 18,700 472
Newmont Mining Corp. 15,822 674
-----------
TOTAL 1,146
-----------
IDENTIFICATION CONTROL & FILTER
DEVICES 2.09%
Pall Corp. 8,400 $ 220
Parker Hannifin Corp. 9,269 581
-----------
TOTAL 801
-----------
INSURANCE: MULTI-LINE 3.39%
Aflac, Inc. 7,750 370
American Int'l
Group, Inc. 8,312 539
Hartford Financial
Services Group, Inc. (The) 4,876 389
-----------
TOTAL 1,298
-----------
INSURANCE: PROPERTY-CASUALTY 0.67%
ACE Ltd.(a) 4,920 256
-----------
MACHINERY: AGRICULTURAL 1.44%
Deere & Co. 9,086 551
-----------
MACHINERY: CONSTRUCTION & HANDLING 0.64%
Caterpillar, Inc. 4,650 245
-----------
MACHINERY: OIL WELL EQUIPMENT &
SERVICES 3.00%
Baker Hughes, Inc. 6,852 377
Schlumberger, Ltd.(a) 8,474 769
-----------
TOTAL 1,146
-----------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 0.14%
Guidant Corp. 830 52
-----------
MISC. CONSUMER STAPLES 1.19%
Diageo plc ADR 7,665 456
-----------
MULTI-SECTOR COMPANIES 3.21%
Eaton Corp. 2,242 132
General Electric Co. 22,740 771
Honeywell Int'l., Inc. 9,540 326
-----------
TOTAL 1,229
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
LARGE-CAP VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
OFFICE FURNITURE & BUSINESS EQUIPMENT 0.04%
Xerox Corp.* 1,210 $ 16
-----------
OIL: INTEGRATED INTERNATIONAL 4.95%
Exxon Mobil Corp. 33,711 1,893
-----------
PAPER 2.02%
International Paper Co. 26,475 773
-----------
PUBLISHING: NEWSPAPERS 1.11%
Tribune Co. 13,477 425
-----------
RAILROADS 1.12%
Union Pacific Corp. 6,220 430
-----------
RETAIL 2.10%
RadioShack Corp. 6,350 140
Wal-Mart Stores, Inc. 13,990 662
-----------
TOTAL 802
-----------
SERVICES: COMMERCIAL 1.10%
Expedia, Inc.* 3,065 58
IAC/InterActiveCorp* 3,065 78
Waste Management, Inc. 9,620 284
-----------
TOTAL 420
-----------
SOAPS & HOUSEHOLD CHEMICALS 4.29%
Clorox Co. (The) 6,420 348
Procter & Gamble
Co. (The) 23,119 1,294
-----------
TOTAL 1,642
-----------
UTILITIES: CABLE TV & RADIO 1.10%
Comcast Corp. Class A* 15,308 420
-----------
UTILITIES: ELECTRICAL 1.09%
Ameren Corp. 5,030 264
Southern Co. 4,390 154
-----------
TOTAL 418
-----------
UTILITIES: GAS PIPELINES 0.41%
El Paso Corp. 13,260 157
-----------
UTILITIES: TELECOMMUNICATIONS 4.94%
BellSouth Corp. 12,720 $ 331
SBC Communications
Inc. 26,440 630
Sprint Nextel Corp. 14,850 346
Verizon Communications,
Inc. 18,525 584
-----------
TOTAL 1,891
-----------
TOTAL COMMON STOCKS
(cost $35,877,863) 36,276
===========
<Caption>
PRINCIPAL
AMOUNT
(000)
-----------
SHORT-TERM INVESTMENT 4.98%
REPURCHASE AGREEMENT 4.98%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$1,985,000 of Federal
Home Loan Mortgage
Corp. at 5.45%
due 3/29/2019;
value: $1,945,300;
proceeds: $1,905,525
(cost $1,905,350) $ 1,905 1,905
===========
TOTAL INVESTMENTS IN
SECURITIES 99.81%
(cost $37,783,213) 38,181
===========
OTHER ASSETS IN EXCESS OF
LIABILITIES 0.19% 74
-----------
NET ASSETS 100.00% $ 38,255
===========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR American Depositary Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2005
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA STRATEGY CORE EQUITY
FUND FUND FUND
ASSETS:
Investment in securities, at cost $ 2,329,821,799 $ 136,894,319 $ 289,231,801
- ---------------------------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 2,550,009,426 $ 166,638,436 $ 303,725,560
Cash 237 - -
Foreign cash, at value (cost $9,280,202) - - 9,146,638
Receivables:
Interest and dividends 1,318,884 388 574,822
Investment securities sold 13,115,775 - 4,606,402
Capital shares sold 5,779,056 210,506 3,271,765
From affiliates - 13,583 -
Prepaid expenses and other assets 150,919 32,275 21,431
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 2,570,374,297 166,895,188 321,346,618
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 21,922,839 132,633 11,490,573
Capital shares reacquired 2,988,146 192,495 121,084
Management fees 1,123,898 - 180,482
12b-1 distribution fees 1,356,691 104,191 143,479
Fund administration 83,762 - 9,626
Trustees' fees 249,743 12,602 7,777
To affiliate - - 708
Accrued expenses and other liabilities 876,354 97,346 150,970
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 28,601,433 539,267 12,104,699
===========================================================================================================================
NET ASSETS $ 2,541,772,864 $ 166,355,921 $ 309,241,919
===========================================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 2,138,589,341 $ 143,788,964 $ 284,745,302
Undistributed (distributions in excess of)
net investment income 5,129,588 (12,602) 923,004
Accumulated net realized gain (loss) on investments
and foreign currency related transactions 177,866,308 (7,164,558) 9,208,402
Net unrealized appreciation on investments
and translation of assets and liabilities
denominated in foreign currencies 220,187,627 29,744,117 14,365,211
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets $ 2,541,772,864 $ 166,355,921 $ 309,241,919
===========================================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 1,771,119,705 $ 90,640,640 $ 235,562,612
Class B Shares $ 240,976,938 $ 45,178,530 $ 17,471,918
Class C Shares $ 513,752,375 $ 29,998,148 $ 44,240,149
Class P Shares $ 13,278,598 - $ 15,628
Class Y Shares $ 2,645,248 $ 538,603 $ 11,951,612
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF
AUTHORIZED SHARES OF BENEFICIAL INTEREST):
Class A Shares 146,036,583 4,743,177 19,041,902
Class B Shares 20,525,304 2,440,843 1,427,826
Class C Shares 43,891,395 1,620,507 3,614,967
Class P Shares 1,102,028 - 1,264
Class Y Shares 217,037 28,173 961,512
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 12.13 $ 19.11 $ 12.37
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 12.87 $ 20.28 $ 13.12
Class B Shares-Net asset value $ 11.74 $ 18.51 $ 12.24
Class C Shares-Net asset value $ 11.71 $ 18.51 $ 12.24
Class P Shares-Net asset value $ 12.05 - $ 12.36
Class Y Shares-Net asset value $ 12.19 $ 19.12 $ 12.43
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (CONCLUDED)
OCTOBER 31, 2005
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 156,403,808 $ 37,783,213
- ---------------------------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 199,229,665 $ 38,180,870
Foreign cash, at value (cost $3,763,141) 3,742,357 -
Receivables:
Interest and dividends 227,773 43,073
Investment securities sold 1,057,139 156,678
Capital shares sold 210,159 113,652
From advisor - 54,269
Prepaid expenses and other assets 36,566 32,243
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 204,503,659 38,580,785
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 2,118,302 199,114
Capital shares reacquired 229,652 20,594
Management fees 126,871 12,190
12b-1 distribution fees 79,583 8,382
Fund administration 6,722 1,219
Trustees' fees 18,928 2,060
To affiliate 5,433 -
Accrued expenses and other liabilities 203,906 82,172
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 2,789,397 325,731
===========================================================================================================================
NET ASSETS $ 201,714,262 $ 38,255,054
===========================================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 244,422,187 $ 36,774,254
Undistributed (distributions in excess of) net investment income (18,928) 292,055
Accumulated net realized gain (loss) on investments and foreign
currency related transactions (85,496,916) 791,088
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 42,807,919 397,657
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 201,714,262 $ 38,255,054
===========================================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 89,401,508 $ 13,762,603
Class B Shares $ 27,114,513 $ 1,748,780
Class C Shares $ 17,620,517 $ 3,154,843
Class P Shares $ 3,404 $ 12,712
Class Y Shares $ 67,574,320 $ 19,576,116
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF
AUTHORIZED SHARES OF BENEFICIAL INTEREST):
Class A Shares 7,467,307 1,111,889
Class B Shares 2,338,527 143,463
Class C Shares 1,527,413 258,684
Class P Shares 281 1,027
Class Y Shares 5,534,714 1,573,433
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 11.97 $ 12.38
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 12.70 $ 13.14
Class B Shares-Net asset value $ 11.59 $ 12.19
Class C Shares-Net asset value $ 11.54 $ 12.20
Class P Shares-Net asset value $ 12.11 $ 12.38
Class Y Shares-Net asset value $ 12.21 $ 12.44
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2005
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA STRATEGY CORE EQUITY
FUND FUND FUND
INVESTMENT INCOME:
Dividends $ 39,072,104 $ 320,359 $ 4,469,549
Interest and other 2,445,558 110,282 127,393
Foreign withholding tax (116,185) - (430,587)
- ---------------------------------------------------------------------------------------------------------------------------
Total investment income 41,401,477 430,641 4,166,355
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 12,491,562 152,487 1,266,749
12b-1 distribution plan-Class A 5,735,008 281,688 470,898
12b-1 distribution plan-Class B 2,254,633 441,637 93,383
12b-1 distribution plan-Class C 4,768,636 282,507 239,856
12b-1 distribution plan-Class P 43,730 - 55
Shareholder servicing 4,157,254 457,888 421,413
Professional 92,847 31,001 57,330
Reports to shareholders 581,694 43,289 56,905
Fund administration 923,319 - 67,560
Custody 111,281 6,081 237,329
Trustees' fees 116,229 8,111 8,950
Registration 211,015 21,905 46,897
Offering - - 12,152
Subsidy (See Note 3) - - 31,149
Other 35,635 4,039 6,450
- ---------------------------------------------------------------------------------------------------------------------------
Gross expenses 31,522,843 1,730,633 3,017,076
Expense reductions (See Note 7) (39,882) (2,457) (3,553)
Expenses assumed by advisor (See Note 3) - - (231)
Expenses assumed by Underlying Funds (See Note 3) - (569,857) -
Management fee waived (See Note 3) - (152,487) -
- ---------------------------------------------------------------------------------------------------------------------------
NET EXPENSES 31,482,961 1,005,832 3,013,292
- ---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 9,918,516 (575,191) 1,153,063
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Capital gains received from Underlying Funds - 3,446,887 -
Net realized gain (loss) on investments
and foreign currency related transactions
(net of foreign capital gains tax) 179,115,531 (41,326) 10,807,813
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies 9,681,086 24,800,109 10,523,691
===========================================================================================================================
NET REALIZED AND UNREALIZED GAIN 188,796,617 28,205,670 21,331,504
===========================================================================================================================
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 198,715,133 $ 27,630,479 $ 22,484,567
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
STATEMENTS OF OPERATIONS (CONCLUDED)
FOR THE YEAR ENDED OCTOBER 31, 2005
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 3,163,212 $ 566,176
Interest and other 79,321 39,834
Securities lending-net 22,578 -
Foreign withholding tax (320,049) (2,737)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 2,945,062 603,273
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 1,362,386 118,027
12b-1 distribution plan-Class A 277,234 41,931
12b-1 distribution plan-Class B 251,098 17,191
12b-1 distribution plan-Class C 153,926 25,388
12b-1 distribution plan-Class P 8 56
Shareholder servicing 600,467 37,700
Professional 55,894 45,169
Reports to shareholders 47,153 44,689
Fund administration 72,661 11,803
Custody 104,537 56,898
Trustees' fees 9,629 1,540
Registration 34,673 26,086
Subsidy (See Note 3) 230,004 -
Other 5,606 2,647
- ---------------------------------------------------------------------------------------------------------------------------
Gross expenses 3,205,276 429,125
Expense reductions (See Note 7) (4,238) (544)
Expenses assumed by advisor (See Note 3) - (167,222)
- ---------------------------------------------------------------------------------------------------------------------------
NET EXPENSES 3,201,038 261,359
- ---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) (255,976) 341,914
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments and foreign
currency related transactions 28,362,604 798,733
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies 10,816,111 (5,834)
===========================================================================================================================
NET REALIZED AND UNREALIZED GAIN 39,178,715 792,899
===========================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 38,922,739 $ 1,134,813
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED OCTOBER 31, 2005
<Table>
<Caption>
ALPHA INTERNATIONAL
ALL VALUE STRATEGY CORE EQUITY
INCREASE IN NET ASSETS FUND FUND FUND
OPERATIONS:
Net investment income (loss) $ 9,918,516 $ (575,191) $ 1,153,063
Capital gains received from Underlying Funds - 3,446,887 -
Net realized gain (loss) on investment and
foreign currency related transactions 179,115,531 (41,326) 10,807,813
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies 9,681,086 24,800,109 10,523,691
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 198,715,133 27,630,479 22,484,567
===========================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (7,886,462) (454,589) (54,718)
Class B (231,659) - -
Class C (543,840) - -
Class P (33,338) - -
Class Y (15,527) (3,899) (8,050)
Net realized gain
Class A (13,311,767) - -
Class B (2,003,914) - -
Class C (4,200,086) - -
Class P (54,527) - -
Class Y (18,323) - -
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (28,299,443) (458,488) (62,768)
===========================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 819,312,378 31,360,997 230,154,419
Reinvestment of distributions 24,894,762 429,563 55,743
Cost of shares reacquired (322,715,700) (32,433,304) (17,203,797)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS 521,491,440 (642,744) 213,006,365
===========================================================================================================================
NET INCREASE IN NET ASSETS 691,907,130 26,529,247 235,428,164
===========================================================================================================================
NET ASSETS:
Beginning of year 1,849,865,734 139,826,674 73,813,755
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 2,541,772,864 $ 166,355,921 $ 309,241,919
===========================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $ 5,129,588 $ (12,602) $ 923,004
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
FOR THE YEAR ENDED OCTOBER 31, 2005
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND VALUE FUND
OPERATIONS:
Net investment income (loss) $ (255,976) $ 341,914
Net realized gain (loss) on investment and foreign
currency related transactions 28,362,604 798,733
Net change in unrealized appreciation (depreciation)
on investments and translation of assets and liabilities
denominated in foreign currencies 10,816,111 (5,834)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 38,922,739 1,134,813
===========================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (89,997)
Class B - (9,409)
Class C - (11,671)
Class P - (89)
Class Y (39,769) (24,772)
Net realized gain
Class A - (134,641)
Class B - (20,541)
Class C - (21,775)
Class P - (161)
Class Y - (28,334)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (39,769) (341,390)
===========================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 36,796,502 28,634,282
Reinvestment of distributions 39,769 295,506
Cost of shares reacquired (33,191,474) (6,560,508)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 3,644,797 22,369,280
===========================================================================================================================
NET INCREASE IN NET ASSETS 42,527,767 23,162,703
===========================================================================================================================
NET ASSETS:
Beginning of year 159,186,495 15,092,351
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 201,714,262 $ 38,255,054
===========================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $ (18,928) $ 292,055
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED OCTOBER 31, 2004
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA STRATEGY CORE EQUITY
INCREASE IN NET ASSETS FUND FUND FUND*
OPERATIONS:
Net investment income $ 4,432,625 $ 452,060 $ 141,544
Capital gains received from Underlying Funds - 2,192,549 -
Net realized gain (loss) on investment and
foreign currency related transactions 19,574,189 (2,072,933) (1,992,691)
Net change in unrealized appreciation
(depreciation) on investments and translation
of assets and liabilities denominated in
foreign currencies 126,594,624 13,375,938 3,841,520
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 150,601,438 13,947,614 1,990,373
===========================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (564,577) - -
Class P (791) - -
Class Y (36) - -
Net realized gain
Class A (5,324,535) - -
Class B (1,049,372) - -
Class C (2,125,180) - -
Class P (13,578) - -
Class Y (123)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,078,192) - -
===========================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,104,267,626 20,645,973 79,753,827
Reinvestment of distributions 7,831,700 - -
Cost of shares reacquired (157,444,389) (28,461,786) (7,930,445)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS 954,654,937 (7,815,813) 71,823,382
===========================================================================================================================
NET INCREASE IN NET ASSETS 1,096,178,183 6,131,801 73,813,755
===========================================================================================================================
NET ASSETS:
Beginning of year 753,687,551 133,694,873 -
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 1,849,865,734 $ 139,826,674 $ 73,813,755
===========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 3,921,898 $ 452,060 $ 61,958
===========================================================================================================================
</Table>
*For the period December 15, 2003 (commencement of investment operations) to
October 31, 2004.
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
FOR THE YEAR ENDED OCTOBER 31, 2004
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND VALUE FUND
OPERATIONS:
Net investment income $ 388,842 $ 66,295
Net realized gain on investment and foreign
currency related transactions 18,816,479 198,549
Net change in unrealized appreciation
on investments and translation of assets and liabilities
denominated in foreign currencies 3,110,081 275,213
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 22,315,402 540,057
===========================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (964,614) (19,175)
Class B (207,009) (1,026)
Class C (160,464) (1,139)
Class P (12) (67)
Class Y (992,387) (83)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,324,486) (21,490)
===========================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 29,640,763 15,420,584
Reinvestment of distributions 2,290,948 20,347
Cost of shares reacquired (29,504,937) (3,419,287)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 2,426,774 12,021,644
===========================================================================================================================
NET INCREASE IN NET ASSETS 22,417,690 12,540,211
===========================================================================================================================
NET ASSETS:
Beginning of year 136,768,805 2,552,140
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 159,186,495 $ 15,092,351
===========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 28,433 $ 86,064
===========================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
FINANCIAL HIGHLIGHTS
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 11.18 $ 9.93 $ 8.22 $ 9.83 $ 11.53
============ ============ ============ ============ ============
Investment operations:
Net investment income(a) .07 .06 .02 .01 .04
Net realized and unrealized gain (loss) 1.06 1.30 1.87 (.67) (.83)
------------ ------------ ------------ ------------ ------------
Total from investment operations 1.13 1.36 1.89 (.66) (.79)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income (.07) (.01) - (.02) (.03)
Net realized gain (.11) (.10) (.18) (.93) (.88)
------------ ------------ ------------ ------------ ------------
Total distributions (.18) (.11) (.18) (.95) (.91)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 12.13 $ 11.18 $ 9.93 $ 8.22 $ 9.83
============ ============ ============ ============ ============
Total Return(b) 10.19% 13.80% 23.46% (7.95)% (7.26)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.17% 1.24% 1.38% 1.42% 1.42%
Expenses, excluding expense
reductions 1.17% 1.24% 1.38% 1.42% 1.43%
Net investment income .62% .53% .25% .13% .40%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 1,771,120 $ 1,268,285 $ 452,098 $ 189,698 $ 166,406
Portfolio turnover rate 52.24% 21.92% 36.39% 79.39% 103.11%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 10.84 $ 9.69 $ 8.07 $ 9.70 $ 11.42
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) -(e) (.01) (.03) (.04) (.03)
Net realized and unrealized gain (loss) 1.02 1.26 1.83 (.66) (.81)
------------ ------------ ------------ ------------ ------------
Total from investment operations 1.02 1.25 1.80 (.70) (.84)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income (.01) - - - -(e)
Net realized gain (.11) (.10) (.18) (.93) (.88)
------------ ------------ ------------ ------------ ------------
Total distributions (.12) (.10) (.18) (.93) (.88)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 11.74 $ 10.84 $ 9.69 $ 8.07 $ 9.70
============ ============ ============ ============ ============
Total Return(b) 9.52% 12.98% 22.77% (8.51)% (7.86)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.81% 1.87% 2.00% 2.03% 2.03%
Expenses, excluding expense
reductions 1.81% 1.87% 2.00% 2.03% 2.04%
Net investment loss (.01)% (.10)% (.37)% (.48)% (.27)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 240,977 $ 185,775 $ 100,272 $ 47,423 $ 39,188
Portfolio turnover rate 52.24% 21.92% 36.39% 79.39% 103.11%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 10.81 $ 9.66 $ 8.05 $ 9.67 $ 11.38
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) -(e) (.01) (.03) (.03) (.01)
Net realized and unrealized gain (loss) 1.02 1.26 1.82 (.66) (.82)
------------ ------------ ------------ ------------ ------------
Total from investment operations 1.02 1.25 1.79 (.69) (.83)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income (.01) - - - -(e)
Net realized gain (.11) (.10) (.18) (.93) (.88)
------------ ------------ ------------ ------------ ------------
Total distributions (.12) (.10) (.18) (.93) (.88)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 11.71 $ 10.81 $ 9.66 $ 8.05 $ 9.67
============ ============ ============ ============ ============
Total Return(b) 9.56% 13.02% 22.70% (8.42)% (7.70)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.81% 1.87% 2.00% 1.89% 1.98%
Expenses, excluding expense
reductions 1.81% 1.87% 2.00% 1.89% 1.99%
Net investment loss (.01)% (.10)% (.37)% (.34)% (.14)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 513,752 $ 389,161 $ 200,025 $ 112,052 $ 112,299
Portfolio turnover rate 52.24% 21.92% 36.39% 79.39% 103.11%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31 8/15/2001(c)
-------------------------------------------------------- TO
2005 2004 2003 2002 10/31/2001
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.12 $ 9.88 $ 8.19 $ 9.83 $ 10.85
========== ========== ========== ========== ============
Investment operations:
Net investment income(a) .06 .05 .01 -(e) -(e)
Net realized and unrealized gain (loss) 1.05 1.30 1.86 (.66) (1.02)
---------- ---------- ---------- ---------- ------------
Total from investment operations 1.11 1.35 1.87 (.66) (1.02)
---------- ---------- ---------- ---------- ------------
Distributions to shareholders from:
Net investment income (.07) (.01) - (.05) -
Net realized gain (.11) (.10) (.18) (.93) -
---------- ---------- ---------- ---------- ------------
Total distributions (.18) (.11) (.18) (.98) -
---------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.05 $ 11.12 $ 9.88 $ 8.19 $ 9.83
========== ========== ========== ========== ============
Total Return(b) 10.09% 13.71% 23.30% (8.04)% (9.40)%(d)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.26% 1.32%+ 1.45% 1.48% .31%(d)
Expenses, excluding expense
reductions 1.26% 1.32%+ 1.45% 1.48% .31%(d)
Net investment income (loss) .47% .45%+ .18% .07% (.01)%(d)
<Caption>
YEAR ENDED 10/31 8/15/2001(c)
-------------------------------------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 2003 2002 10/31/2001
============================================================================================================================
Net assets, end of period (000) $ 13,279 $ 4,895 $ 1,280 $ 368 $ 1
Portfolio turnover rate 52.24% 21.92% 36.39% 79.39% 103.11%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 3/31/2003(c)
------------------------- TO
2005 2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.22 $ 9.95 $ 7.83
========== ========== ============
Investment operations:
Net investment income(a) .12 .10 .03
Net realized and unrealized gain 1.06 1.30 2.09
---------- ---------- ------------
Total from investment operations 1.18 1.40 2.12
---------- ---------- ------------
Distributions to shareholders from:
Net investment income (.10) (.03) -
Net realized gain (.11) (.10) -
---------- ---------- ------------
Total distributions (.21) (.13) -
---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.19 $ 11.22 $ 9.95
========== ========== ============
Total Return(b) 10.61% 14.18% 27.08%(d)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions .81% .87%+ 1.00%(d)+
Expenses, excluding expense reductions .81% .87%+ 1.00%(d)+
Net investment income .97% .90%+ .63%(d)+
<Caption>
YEAR ENDED 3/31/2003(c)
------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 10/31/2003
==============================================================================================
Net assets, end of period (000) $ 2,645 $ 1,750 $ 13
Portfolio turnover rate 52.24% 21.92% 36.39%
==============================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount represents less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
FINANCIAL HIGHLIGHTS
ALPHA STRATEGY FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 15.96 $ 14.38 $ 10.62 $ 12.96 $ 17.46
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(b) (.01) .10 .02 (.05) (.05)
Net realized and unrealized gain (loss) 3.26 1.48 3.83 (1.70) (3.82)
------------ ------------ ------------ ------------ ------------
Total from investment operations 3.25 1.58 3.85 (1.75) (3.87)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income (.10) - - - (.30)
Net realized gain - - (.09) (.59) (.33)
------------ ------------ ------------ ------------ ------------
Total distributions (.10) - (.09) (.59) (.63)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 19.11 $ 15.96 $ 14.38 $ 10.62 $ 12.96
============ ============ ============ ============ ============
Total Return(c) 20.46% 10.99% 36.59% (14.41)% (22.67)%
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense
reductions and expenses assumed
and waived .35% .36% .39% .37% .36%
Expenses, excluding expense
reductions and expenses assumed
and waived .83% 1.03% 1.45% 1.37% 1.34%
Net investment income (loss) (.08)% .63% .13% (.34)% (.32)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 90,641 $ 69,957 $ 62,383 $ 53,121 $ 70,785
Portfolio turnover rate 6.94% 2.59% 2.47% 1.75% 15.34%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA STRATEGY FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 15.46 $ 14.02 $ 10.43 $ 12.81 $ 17.27
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(b) (.12) .01 (.06) (.12) (.14)
Net realized and unrealized gain (loss) 3.17 1.43 3.74 (1.67) (3.79)
------------ ------------ ------------ ------------ ------------
Total from investment operations 3.05 1.44 3.68 (1.79) (3.93)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income - - - - (.20)
Net realized gain - - (.09) (.59) (.33)
------------ ------------ ------------ ------------ ------------
Total distributions - - (.09) (.59) (.53)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 18.51 $ 15.46 $ 14.02 $ 10.43 $ 12.81
============ ============ ============ ============ ============
Total Return(c) 19.73% 10.27% 35.62% (14.91)% (23.21)%
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense
reductions and expenses assumed
and waived 1.00% 1.01% 1.04% 1.00% 1.00%
Expenses, excluding expense
reductions and expenses assumed
and waived 1.47% 1.68% 2.10% 2.00% 1.98%
Net investment income (loss) (.71)% .03% (.52)% (.97)% (.96)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 45,179 $ 41,771 $ 42,342 $ 35,661 $ 50,377
Portfolio turnover rate 6.94% 2.59% 2.47% 1.75% 15.34%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA STRATEGY FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 15.46 $ 14.02 $ 10.43 $ 12.80 $ 17.25
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(b) (.12) .01 (.06) (.10) (.14)
Net realized and unrealized gain (loss) 3.17 1.43 3.74 (1.68) (3.78)
------------ ------------ ------------ ------------ ------------
Total from investment operations 3.05 1.44 3.68 (1.78) (3.92)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income - - - - (.20)
Net realized gain - - (.09) (.59) (.33)
------------ ------------ ------------ ------------ ------------
Total distributions - - (.09) (.59) (.53)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 18.51 $ 15.46 $ 14.02 $ 10.43 $ 12.80
============ ============ ============ ============ ============
Total Return(c) 19.73% 10.27% 35.62% (14.77)% (23.25)%
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense
reductions and expenses assumed
and waived 1.00% 1.01% 1.04% .89% 1.00%
Expenses, excluding expense
reductions and expenses assumed
and waived 1.47% 1.68% 2.10% 1.89% 1.98%
Net investment income (loss) (.71)% .03% (.52)% (.86)% (.97)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 29,998 $ 27,701 $ 28,970 $ 24,690 $ 35,395
Portfolio turnover rate 6.94% 2.59% 2.47% 1.75% 15.34%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
ALPHA STRATEGY FUND
<Table>
<Caption>
10/20/2004(a)
YEAR ENDED TO
10/31/2005 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.96 $ 15.65
========== =============
Investment operations:
Net investment income(b) .05 -(e)
Net realized and unrealized gain 3.27 .31
---------- -------------
Total from investment operations 3.32 .31
---------- -------------
Distributions to shareholders from:
Net investment income (.16) -
---------- -------------
NET ASSET VALUE, END OF PERIOD $ 19.12 $ 15.96
========== =============
Total Return(c) 20.91% 2.18%(d)
RATIOS TO AVERAGE NET ASSETS:*
Expenses, including expense reductions and
expenses assumed and waived .00% .00%(d)
Expenses, excluding expense reductions and
expenses assumed and waived .48% .00%(d)
Net investment income .27% .00%(d)(f)
<Caption>
10/20/2004(a)
YEAR ENDED TO
SUPPLEMENTAL DATA: 10/31/2005 10/31/2004
===============================================================================
Net assets, end of period (000) $ 539 $ 398
Portfolio turnover rate 6.94% 2.59%
===============================================================================
</Table>
* Does not include expenses of the Underlying Funds in which the Fund invests.
(a) Commencement of offering of class shares.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Amount is less than $.01.
(f) Amount is less than .01%.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
YEAR ENDED TO
10/31/2005 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.42 $ 10.00
========== =============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations:
Net investment income(b) .09 .04
Net realized and unrealized gain 1.87 .23
---------- -------------
Total from investment operations 1.96 .27
---------- -------------
Distributions to shareholders from:
Net investment income (.01) -
Net realized gain - -
---------- -------------
Total distributions (.01) -
---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.37 $ 10.42
========== =============
Total Return(c) 1.50%(d)(e)
Total Return(c) 18.80% 2.66%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.66% 1.50%(d)
Expenses, excluding expense reductions and
expenses assumed 1.66% 2.13%(d)
Net investment income .79% .40%(d)
<Caption>
12/15/2003(a)
YEAR ENDED TO
SUPPLEMENTAL DATA: 10/31/2005 10/31/2004
===============================================================================
Net assets, end of period (000) $ 235,563 $ 58,484
Portfolio turnover rate 100.87% 142.16%
===============================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
YEAR ENDED TO
10/31/2005 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.36 $ 10.00
========== =============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations:
Net investment income (loss)(b) .03 (.01)
Net realized and unrealized gain 1.85 .22
---------- -------------
Total from investment operations 1.88 .21
---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.24 $ 10.36
========== =============
Total Return(c) 1.50%(d)(e)
Total Return(c) 18.15% 2.07%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 2.30% 2.04%(d)
Expenses, excluding expense reductions and
expenses assumed 2.30% 2.67%(d)
Net investment income (loss) .22% (.14)%(d)
<Caption>
12/15/2003(a)
YEAR ENDED TO
SUPPLEMENTAL DATA: 10/31/2005 10/31/2004
==============================================================================
Net assets, end of period (000) $ 17,472 $ 2,937
Portfolio turnover rate 100.87% 142.16%
==============================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
YEAR ENDED TO
10/31/2005 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.37 $ 10.00
========== =============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations:
Net investment income (loss)(b) .02 (.01)
Net realized and unrealized gain 1.85 .23
---------- -------------
Total from investment operations 1.87 .22
---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.24 $ 10.37
========== =============
Total Return(c) 1.50%(d)(e)
Total Return(c) 18.03% 2.17%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 2.30% 2.04%(d)
Expenses, excluding expense reductions and
expenses assumed 2.30% 2.67%(d)
Net investment income (loss) .19% (.14)%(d)
<Caption>
12/15/2003(a)
YEAR ENDED TO
SUPPLEMENTAL DATA: 10/31/2005 10/31/2004
==============================================================================
Net assets, end of period (000) $ 44,240 $ 9,291
Portfolio turnover rate 100.87% 142.16%
==============================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
YEAR ENDED TO
10/31/2005 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.41 $ 10.00
========== =============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations:
Net investment income(b) .07 .04
Net realized and unrealized gain 1.88 .22
---------- -------------
Total from investment operations 1.95 .26
---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.36 $ 10.41
========== =============
Total Return(c) 1.50%(d)(e)
Total Return(c) 18.73% 2.56%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.71% 1.55%(d)+
Expenses, excluding expense reductions and
expenses assumed 1.71% 2.18%(d)+
Net investment income .63% .35%(d)+
<Caption>
12/15/2003(a)
YEAR ENDED TO
SUPPLEMENTAL DATA: 10/31/2005 10/31/2004
==============================================================================
Net assets, end of period (000) $ 16 $ 11
Portfolio turnover rate 100.87% 142.16%
==============================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
YEAR ENDED TO
10/31/2005 10/31/2004
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.45 $ 10.00
========== =============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations:
Net investment income(b) .12 .08
Net realized and unrealized gain 1.89 .22
---------- -------------
Total from investment operations 2.01 .30
---------- -------------
Distributions to shareholders from:
Net investment income (.03) -
---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.43 $ 10.45
========== =============
Total Return(c) 1.50%(d)(e)
Total Return(c) 19.23% 2.96%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.30% 1.16%(d)
Expenses, excluding expense reductions and
expenses assumed 1.30% 1.79%(d)
Net investment income 1.01% .74%(d)
<Caption>
12/15/2003(a)
YEAR ENDED TO
SUPPLEMENTAL DATA: 10/31/2005 10/31/2004
===============================================================================
Net assets, end of period (000) $ 11,952 $ 3,091
Portfolio turnover rate 100.87% 142.16%
===============================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Commencement of investment operations is December 15, 2003; SEC effective
date is December 31, 2003; date shares became available to the public is
January 2, 2004.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return is for the period 12/15/2003 through 12/31/2003.
(f) Total return is for the period 12/31/2003 through 10/31/2004.
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 9.61 $ 8.41 $ 6.29 $ 7.78 $ 14.48
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) (.01) .02 .08 .03 (.06)
Net realized and unrealized gain (loss) 2.37 1.33 2.09 (1.52) (6.56)
------------ ------------ ------------ ------------ ------------
Total from investment operations 2.36 1.35 2.17 (1.49) (6.62)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income - (.15) (.05) - -
Net realized gain - - - - (.08)
------------ ------------ ------------ ------------ ------------
Total distributions - (.15) (.05) - (.08)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 11.97 $ 9.61 $ 8.41 $ 6.29 $ 7.78
============ ============ ============ ============ ============
Total Return(b) 24.56% 16.31% 35.07% (19.16)% (45.92)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.74% 1.83% 2.11% 1.89% 2.07%
Expenses, excluding expense
reductions 1.74% 1.83% 2.11% 1.89% 2.08%
Net investment income (loss) (.11)% .26% 1.11% .50% (.55)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 89,402 $ 67,314 $ 55,230 $ 44,975 $ 71,591
Portfolio turnover rate 78.65% 75.56% 72.36% 82.38% 65.26%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 9.37 $ 8.20 $ 6.13 $ 7.65 $ 14.31
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) (.08) (.04) .03 (.02) (.11)
Net realized and unrealized gain (loss) 2.30 1.30 2.05 (1.50) (6.47)
------------ ------------ ------------ ------------ ------------
Total from investment operations 2.22 1.26 2.08 (1.52) (6.58)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income - (.09) (.01) - -
Net realized gain - - - - (.08)
------------ ------------ ------------ ------------ ------------
Total distributions - (.09) (.01) - (.08)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 11.59 $ 9.37 $ 8.20 $ 6.13 $ 7.65
============ ============ ============ ============ ============
Total Return(b) 23.69% 15.61% 33.89% (19.87)% (46.19)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 2.38% 2.48% 2.73% 2.69% 2.59%
Expenses, excluding expense
reductions 2.39% 2.48% 2.73% 2.69% 2.60%
Net investment income (loss) (.76)% (.39)% .49% (.30)% (1.07)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 27,115 $ 21,962 $ 17,978 $ 13,174 $ 17,743
Portfolio turnover rate 78.65% 75.56% 72.36% 82.38% 65.26%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 9.32 $ 8.19 $ 6.12 $ 7.61 $ 14.30
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) (.08) (.04) .07 -(c) (.13)
Net realized and unrealized gain (loss) 2.30 1.30 2.04 (1.49) (6.48)
------------ ------------ ------------ ------------ ------------
Total from investment operations 2.22 1.26 2.11 (1.49) (6.61)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income - (.13) (.04) - -
Net realized gain - - - - (.08)
------------ ------------ ------------ ------------ ------------
Total distributions - (.13) (.04) - (.08)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 11.54 $ 9.32 $ 8.19 $ 6.12 $ 7.61
============ ============ ============ ============ ============
Total Return(b) 23.82% 15.61% 34.67% (19.58)% (46.43)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 2.38% 2.48% 2.73% 2.36% 2.83%
Expenses, excluding expense
reductions 2.39% 2.48% 2.73% 2.36% 2.84%
Net investment income (loss) (.75)% (.39)% .99% .03% (1.32)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 17,621 $ 12,766 $ 10,323 $ 7,823 $ 11,399
Portfolio turnover rate 78.65% 75.56% 72.36% 82.38% 65.26%
===============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
------------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 9.71 $ 8.47 $ 6.31 $ 7.82 $ 14.51
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) (.01) .01 .10 .03 (.06)
Net realized and unrealized gain (loss) 2.41 1.35 2.10 (1.54) (6.55)
------------ ------------ ------------ ------------ ------------
Total from investment operations 2.40 1.36 2.20 (1.51) (6.61)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income - (.12) (.04) - -
Net realized gain - - - - (.08)
------------ ------------ ------------ ------------ ------------
Total distributions - (.12) (.04) - (.08)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 12.11 $ 9.71 $ 8.47 $ 6.31 $ 7.82
============ ============ ============ ============ ============
Total Return(b) 24.72% 16.37% 35.17% (19.31)% (45.75)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.69% 1.93%+ 2.18%+ 2.14% 2.04%
Expenses, excluding expense
reductions 1.69% 1.93%+ 2.18%+ 2.14% 2.05%
Net investment income (loss) (.06)% .16%+ 1.00%+ .25% (.55)%
<Caption>
YEAR ENDED 10/31
------------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
=================================================================================================================================
Net assets, end of year (000) $ 3 $ 1 $ 1 $ 1 $ 1
Portfolio turnover rate 78.65% 75.56% 72.36% 82.38% 65.26%
=================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 9.77 $ 8.53 $ 6.39 $ 7.90 $ 14.61
============ ============ ============ ============ ============
Investment operations:
Net investment income (loss)(a) .02 .06 .10 .06 (.01)
Net realized and unrealized gain (loss) 2.43 1.34 2.12 (1.57) (6.62)
------------ ------------ ------------ ------------ ------------
Total from investment operations 2.45 1.40 2.22 (1.51) (6.63)
------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income (.01) (.16) (.08) - -
Net realized gain - - - - (.08)
------------ ------------ ------------ ------------ ------------
Total distributions (.01) (.16) (.08) - (.08)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF YEAR $ 12.21 $ 9.77 $ 8.53 $ 6.39 $ 7.90
============ ============ ============ ============ ============
Total Return(b) 25.06% 16.73% 35.22% (19.11)% (45.58)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions 1.38% 1.48% 1.74% 1.69% 1.59%
Expenses, excluding expense
reductions 1.39% 1.48% 1.74% 1.69% 1.60%
Net investment income (loss) .22% .61% 1.47% .70% (.06)%
<Caption>
YEAR ENDED 10/31
----------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
===============================================================================================================================
Net assets, end of year (000) $ 67,574 $ 57,143 $ 53,237 $ 45,748 $ 60,227
Portfolio turnover rate 78.65% 75.56% 72.36% 82.38% 65.26%
===============================================================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the year.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
FINANCIAL HIGHLIGHTS
LARGE-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
2005 2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 10.73 $ 10.00
========== ========== =============
Unrealized depreciation on investments (.10)
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30,
2003 $ 9.90
=============
Investment operations:
Net investment income(b) .14 .09 .03
Net realized and unrealized gain .71 1.05 .80
---------- ---------- -------------
Total from investment operations .85 1.14 .83
---------- ---------- -------------
Distributions to shareholders from:
Net investment income (.11) (.07) -
Net realized gain (.16) - -
---------- ---------- -------------
Total distributions (.27) (.07) -
---------- ---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.38 $ 11.80 $ 10.73
========== ========== =============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 7.23% 10.74% 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed .95% .95% .33%(d)+
Expenses, excluding expense reductions and
expenses assumed 1.50% 2.59% 7.12%(d)+
Net investment income 1.14% .75% .27%(d)+
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 10/31/2003
==============================================================================================
Net assets, end of period (000) $ 13,763 $ 10,102 $ 2,271
Portfolio turnover rate 54.12% 30.53% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
2005 2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.67 $ 10.68 $ 10.00
========== ========== =============
Unrealized depreciation on investments (.11)
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30,
2003 $ 9.89
=============
Investment operations:
Net investment income(b) .06 .01 -(g)
Net realized and unrealized gain .69 1.05 .79
---------- ---------- -------------
Total from investment operations .75 1.06 .79
---------- ---------- -------------
Distributions to shareholders from:
Net investment income (.07) (.07) -
Net realized gain (.16) - -
---------- ---------- -------------
Total distributions (.23) (.07) -
---------- ---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.19 $ 11.67 $ 10.68
========== ========== =============
Total Return(c) (1.10)%(d)(e)
Total Return(c) 6.49% 10.02% 7.99%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.60% 1.60% .56%(d)+
Expenses, excluding expense reductions and
expenses assumed 2.11% 3.24% 7.35%(d)+
Net investment income .49% .10% .04%(d)+
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 10/31/2003
==============================================================================================
Net assets, end of period (000) $ 1,749 $ 1,445 $ 111
Portfolio turnover rate 54.12% 30.53% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
2005 2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.69 $ 10.69 $ 10.00
========== ========== =============
Unrealized depreciation on investments (.11)
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30,
2003 $ 9.89
=============
Investment operations:
Net investment income(b) .06 .01 -(g)
Net realized and unrealized gain .70 1.06 .80
---------- ---------- -------------
Total from investment operations .76 1.07 .80
---------- ---------- -------------
Distributions to shareholders from:
Net investment income (.09) (.07) -
Net realized gain (.16) - -
---------- ---------- -------------
Total distributions (.25) (.07) -
---------- ---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.20 $ 11.69 $ 10.69
========== ========== =============
Total Return(c) (1.10)%(d)(e)
Total Return(c) 6.50% 10.07% 8.09%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.60% 1.60% .56%(d)+
Expenses, excluding expense reductions and
expenses assumed 2.18% 3.24% 7.35%(d)+
Net investment income .46% .10% .04%(d)+
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 10/31/2003
==============================================================================================
Net assets, end of period (000) $ 3,155 $ 1,490 $ 148
Portfolio turnover rate 54.12% 30.53% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
2005 2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 10.73 $ 10.00
========== ========== =============
Unrealized depreciation on investments (.10)
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30,
2003 $ 9.90
=============
Investment operations:
Net investment income(b) .13 .07 .02
Net realized and unrealized gain .70 1.07 .81
---------- ---------- -------------
Total from investment operations .83 1.14 .83
---------- ---------- -------------
Distributions to shareholders from:
Net investment income (.09) (.07) -
Net realized gain (.16) - -
---------- ---------- -------------
Total distributions (.25) (.07) -
---------- ---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.38 $ 11.80 $ 10.73
========== ========== =============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 7.07% 10.65% 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed 1.05% 1.05% .37%(d)+
Expenses, excluding expense reductions and
expenses assumed 1.52% 2.69% 7.16%(d)+
Net investment income 1.06% .65% .23%(d)+
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 10/31/2003
==============================================================================================
Net assets, end of period (000) $ 13 $ 12 $ 11
Portfolio turnover rate 54.12% 30.53% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
2005 2004 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.85 $ 10.75 $ 10.00
========== ========== =============
Unrealized depreciation on investments (.10)
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30,
2003 $ 9.90
=============
Investment operations:
Net investment income(b) .17 .13 .04
Net realized and unrealized gain .72 1.05 .81
---------- ---------- -------------
Total from investment operations .89 1.18 .85
---------- ---------- -------------
Distributions to shareholders from:
Net investment income (.14) (.08) -
Net realized gain (.16) - -
---------- ---------- -------------
Total distributions (.30) (.08) -
---------- ---------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.44 $ 11.85 $ 10.75
========== ========== =============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 7.58% 11.09% 8.59%(d)(f)
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense reductions and
expenses assumed .60% .60% .21%(d)+
Expenses, excluding expense reductions and
expenses assumed 1.18% 2.24% 7.00%(d)+
Net investment income 1.37% 1.10% .39%(d)+
<Caption>
YEAR ENDED 6/23/2003(a)
------------------------- TO
SUPPLEMENTAL DATA: 2005 2004 10/31/2003
==============================================================================================
Net assets, end of period (000) $ 19,576 $ 2,043 $ 11
Portfolio turnover rate 54.12% 30.53% 8.87%
==============================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Commencement of investment operations; SEC effective date and date shares
first became available to the public was 6/30/2003.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return for the period 6/23/2003 through 6/30/2003.
(f) Total return for the period 6/30/2003 through 10/31/2003.
(g) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as a diversified open-end management investment
company organized as a Delaware business trust on February 26, 1993. The Trust
currently consists of seven funds. This report covers the following five funds
and their respective classes (separately, a "Fund" and collectively, the
"Funds"): Lord Abbett All Value Series ("All Value Fund"), Classes A, B, C, P,
and Y shares; Alpha Strategy Fund ("Alpha Fund" formerly known as "Alpha
Series"), Classes A, B, C, and Y shares; Lord Abbett International Core Equity
Fund ("International Core Equity Fund"), Classes A, B, C, P, and Y shares; Lord
Abbett International Opportunities Fund ("International Opportunities Fund"),
Classes A, B, C, P, and Y shares; and Lord Abbett Large-Cap Value Fund
("Large-Cap Value Fund"), Classes A, B, C, P, and Y shares.
All Value Fund's investment objective is long-term growth of capital and income
without excessive fluctuations in market value. Alpha Fund's, International Core
Equity Fund's, and International Opportunities Fund's investment objective is
long-term capital appreciation. Alpha Fund invests in other funds ("Underlying
Funds") managed by Lord, Abbett & Co. LLC ("Lord Abbett"). Large-Cap Value
Fund's investment objective is to seek a high level of total return.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the Net Asset Value ("NAV") for Class A shares.
There is no front-end sales charge in the case of the Classes B, C, P, and Y
shares, although there may be a contingent deferred sales charge ("CDSC") as
follows: certain redemptions of Class A shares made within 24 months (12 months
if shares were purchased on or after November 1, 2004) following certain
purchases made without a sales charge; Class B shares redeemed before the sixth
anniversary of purchase; and Class C shares redeemed before the first
anniversary of purchase. Class B shares will convert to Class A shares on the
eighth anniversary of the original purchase of Class B shares.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
certain estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sale price or official
closing price on the exchange or system on which they are principally
traded. Events occurring after the close of trading on non-U.S. exchanges
may result in adjustments to the valuation of foreign securities to more
accurately reflect their fair value as of the close of regular trading on
the New York Stock Exchange. The Fund may rely on an independent fair
valuation service in adjusting the valuations of foreign securities.
Unlisted equity securities are valued at last quoted sale price or, if no
sale price is available, at the mean between the most recently quoted bid
and asked prices. Fixed income securities are valued at the mean between
the bid and asked price on the basis of prices supplied by independent
pricing services, which reflect broker/dealer supplied valuations and
electronic data processing techniques. Exchange-traded options and
71
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
futures contracts are valued at the last sale price in the market where
they are principally traded. If no sale has occurred, the mean between the
most recently quoted bid and asked price is used. Securities for which
market quotations are not readily available are valued at fair value as
determined by management and approved in good faith by the Board of
Trustees. Short-term securities with 60 days or less remaining to maturity
are valued using the amortized cost method, which approximates current
market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date
that the securities are purchased or sold (trade date). Realized gains and
losses on sales of portfolio securities are calculated using the
identified-cost method. Realized and unrealized gains (losses) are
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted
and premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all taxable income and
capital gains to its shareholders. Therefore, no Federal income tax
provision is required.
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are generally allocated to the Funds within the Trust on
a pro rata basis. Expenses, excluding class specific expenses, are
generally allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day. Classes A, B, C, and
P shares bear all expenses and fees relating to their respective 12b-1
Distribution Plans.
(f) FOREIGN TRANSACTIONS-The books and records of International Core Equity
Fund and International Opportunities Fund are maintained in U.S. dollars
and transactions denominated in foreign currencies are recorded in each
Fund's records at the rate prevailing when earned or recorded. Asset and
liability accounts that are denominated in foreign currencies are adjusted
to reflect current exchange rates. The resultant exchange gains and losses
are included in Net Realized Gain (Loss) on Investments and Foreign
Currency Related Transactions on each Fund's Statement of Operations. Each
Fund does not isolate that portion of the results of operations arising as
a result of changes in the foreign exchange rates from the changes in
market prices of the securities.
(g) OFFERING COSTS-Lord Abbett incurred initial offering costs on behalf of
International Core Equity Fund, which were reimbursed by the Fund in the
full amount thereof. Such expenses were deferred and amortized on the
straight-line method over a period of one year from the commencement of
investment operations.
(h) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS-International Core Equity Fund
and International Opportunities Fund may enter into forward foreign
currency exchange contracts in order to reduce their exposure to changes in
foreign currency exchange rates on their foreign portfolio holdings and to
lock in the U.S. dollar cost of firm purchase and sale commitments for
securities denominated in foreign currencies. A forward foreign currency
exchange contract is a commitment to purchase or sell a foreign currency at
a future date at a negotiated rate. The contracts are valued daily at
forward exchange rates and any unrealized
72
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
gain (loss) is included in Net Change in Unrealized Appreciation
(Depreciation) on Investments and Translation of Assets and Liabilities
Denominated in Foreign Currencies on each Fund's Statement of Operations.
The gain (loss) arising from the difference between the U.S. dollar cost of
the original contract and the value of the foreign currency in U.S. dollars
upon closing of such contracts is included in Net Realized Gain (Loss) on
Investments and Foreign Currency Related Transactions on each Fund's
Statement of Operations. As of October 31, 2005, there were no open forward
foreign currency exchange contracts outstanding.
(i) SECURITIES LENDING-Each Fund may lend securities to member banks of the
Federal Reserve System and to registered broker/dealers approved by the
Fund. The loans are collateralized at all times by cash and/or U.S.
Government securities in an amount at least equal to 102% of the market
value of securities loaned (105% in the case of foreign securities loaned)
as determined at the close of business on the preceding business day. The
dividend and interest income earned on the securities loaned is accounted
for in the same manner as other dividend and interest income. Lending
portfolio securities could result in a loss or delay in recovering the
Fund's securities if the borrower defaults. At its October 21, 2004
meeting, the Board of Trustees voted to discontinue, as soon as
practicable, the Funds' securities lending program. State Street Bank &
Trust Company ("SSB") received fees of $9,676 for the year ended October
31, 2005, which are netted against Securities Lending Income on the
Statement of Operations. As of October 31, 2005, there were no securities
on loan.
(j) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed-upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash, or by securities of the U.S.
Government, its agencies, its instrumentalities, or U.S. Government
sponsored enterprises having a value equal to, or in excess of, the value
of the repurchase agreement (including accrued interest). If the seller of
the agreement defaults on its obligation to repurchase the underlying
securities at a time when the value of these securities has declined, the
Fund may incur a loss upon disposition of the securities.
(k) WHEN-ISSUED OR FORWARD TRANSACTIONS-Each Fund may purchase portfolio
securities on a when-issued or forward basis. When-issued or forward
transactions involve a commitment by the Fund to purchase securities, with
payment and delivery ("settlement") to take place in the future, in order
to secure what is considered to be an advantageous price or yield at the
time of entering into the transaction. During the period between purchase
and settlement, the value of the securities will fluctuate and assets
consisting of cash and/or marketable securities (normally short-term U.S.
Government or U.S. Government sponsored enterprises securities) marked to
market daily in an amount sufficient to make payment at settlement will be
segregated at a Fund's custodian in order to pay for the commitment. At the
time the Fund makes the commitment to purchase a security on a when-issued
basis, it will record the transaction and reflect the liability for the
purchase and the value of the security in determining its net asset value.
Each Fund, generally, has the ability to close out a purchase obligation on
or before the settlement date rather than take delivery of the security.
Under no circumstances will settlement for such securities take place more
than 120 days after the purchase date.
(l) REDEMPTION FEES-Until March 31, 2005 International Core Equity Fund and
International Opportunities Fund imposed a 2.00% redemption fee of the NAV
of the shares being redeemed or exchanged within ten business days or less
after such shares were acquired. This did not include shares acquired
through the reinvestment of dividends or other distributions or certain
73
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
automatic or systematic investment, exchange or withdrawal plans. The fees
were retained by each Fund and included as Paid-in Capital on the Statement
of Assets and Liabilities. During the year ended October 31, 2005, the
Fund's collected the following redemption fees:
<Table>
<Caption>
FUND REDEMPTION FEES
-----------------------------------------------------------
International Core Equity Fund $ 1,448
International Opportunities Fund 199
</Table>
3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord Abbett pursuant to which Lord
Abbett supplies the Trust with investment management services and executive and
other personnel, pays the remuneration of officers, provides office space and
pays for ordinary and necessary office and clerical expenses relating to
research and statistical work and supervision of the Trust's investment
portfolios.
The management fees are based on average daily net assets at the following
annual rates:
<Table>
<Caption>
MANAGEMENT CONTRACTUAL
FEES WAIVER
- ----------------------------------------------------------------------------
All Value Fund .54%(1) -
Alpha Fund .10% .10%(2)
International Core Equity Fund .75%(3) -
International Opportunities Fund .75% -
Large-Cap Value Fund .40%(4) -
</Table>
(1) The management fee for All Value Fund is based on average daily net assets
at the following annual rates:
<Table>
First $200 million .75%
Next $300 million .65%
Over $500 million .50%
</Table>
(2) For the fiscal year ended October 31, 2005, Lord Abbett contractually
agreed to waive its management fee.
(3) The management fee for International Core Equity Fund is based on average
daily net assets at the following annual rates:
<Table>
First $1 billion .75%
Next $1 billion .70%
Over $2 billion .65%
</Table>
(4) The management fee for Large-Cap Value Fund is based on average daily net
assets at the following annual rates:
<Table>
First $2 billion .40%
Next $3 billion .375%
Over $5 billion .35%
</Table>
For the fiscal year ended October 31, 2005, Lord Abbett contractually agreed to
reimburse the International Core Equity Fund to the extent necessary so that
each class' total annual operating expenses did not exceed the following annual
rates:
<Table>
<Caption>
CLASS % OF AVERAGE DAILY NET ASSETS
- -------------------------------------------
A 1.75%
B 2.40%
C 2.40%
P 1.85%
Y 1.40%
</Table>
74
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the fiscal year ended October 31, 2005, Lord Abbett contractually agreed to
reimburse the Large-Cap Value Fund to the extent necessary so that each class'
total annual operating expenses did not exceed the following annual rates:
<Table>
<Caption>
CLASS % OF AVERAGE DAILY NET ASSETS
- -------------------------------------------
A .95%
B 1.60%
C 1.60%
P 1.05%
Y .60%
</Table>
Lord Abbett provides certain administrative services to the Funds pursuant to an
Administrative Services Agreement at an annual rate of .04% of each Fund's
average daily net assets. This fee is not charged to the Alpha Fund.
Alpha Fund has entered into a Servicing Arrangement with the Underlying Funds in
which it invests (Lord Abbett Developing Growth Fund, Inc., Lord Abbett Research
Fund, Inc. - Lord Abbett Small-Cap Value Fund and Lord Abbett Securities Trust -
Lord Abbett International Opportunities Fund) pursuant to which each Underlying
Fund will pay a portion of the expenses (excluding management fees and
distribution and service fees) of Alpha Fund in proportion to the average daily
value of total Underlying Fund shares owned by Alpha Fund. The expenses assumed
by the Underlying Funds are reflected in Expenses Assumed by Underlying Funds on
Alpha Fund's Statement of Operations.
In addition, Lord Abbett International Core Equity Fund and Lord Abbett
International Opportunities Fund, along with certain other funds managed by Lord
Abbett (the Underlying Funds) have entered into a Servicing Arrangement with
Lord Abbett World Growth & Income Strategy Fund and Lord Abbett Alpha Strategy
Fund, respectively, (the "Fund of Funds"), pursuant to which each Underlying
Fund pays a portion of the expenses of the Fund of Funds in proportion to the
average daily value of Underlying Fund shares owned by the Fund of Funds.
Amounts paid pursuant to the Servicing Arrangement are included in Subsidy
Expense on each Fund's Statement of Operations.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan with respect to one or more classes of
shares pursuant to Rule 12b-1 of the Act, which provides for the payment of
ongoing distribution and service fees to Lord Abbett Distributor LLC
("Distributor"), an affiliate of Lord Abbett. The fees are accrued daily at
annual rates based upon average daily net assets as follows:
<Table>
<Caption>
FEES CLASS A CLASS B CLASS C CLASS P(2)
- --------------------------------------------------------------------------------
Service .25% .25% .25% .20%
Distribution .10%(1) .75% .75% .25%
</Table>
(1) The amount of CDSC collected by each Fund for the year ended October 31,
2005 was as follows:
<Table>
<Caption>
CDSC COLLECTED
- -----------------------------------------------------------------
All Value Fund $ 31,826
Alpha Fund 3,553
International Core Equity Fund 25,284
International Opportunities Fund 2,832
Large-Cap Value Fund 8
</Table>
(2) All Value Fund, International Core Equity Fund, International Opportunities
Fund, and Large-Cap Value Fund only.
Class Y does not have a distribution plan.
75
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
COMMISSIONS
The Distributor received the following commissions on sales of shares of the
Funds, after concessions were paid to authorized dealers, for the year ended
October 31, 2005:
<Table>
<Caption>
DISTRIBUTOR DEALERS'
COMMISSIONS CONCESSIONS
- -------------------------------------------------------------------------------
All Value Fund $ 2,628,158 $ 14,275,165
Alpha Fund 61,964 332,423
International Core Equity Fund 667,498 3,570,237
International Opportunities Fund 65,769 354,840
Large-Cap Value Fund 31,820 173,770
</Table>
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARD
Dividends from net investment income, if any, are declared and paid semiannually
for All Value Fund, and annually for Alpha Fund, International Core Equity Fund,
International Opportunities Fund, and Large-Cap Value Fund. Taxable net realized
gains from investment transactions, reduced by capital loss carryforwards, if
any, are declared and distributed to shareholders at least annually. The capital
loss carryforward amount, if any, is available to offset future net capital
gains. Dividends and distributions to shareholders are recorded on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined in accordance with Federal
income tax regulations which may differ from accounting principles generally
accepted in the United States of America. These book/tax differences are either
considered temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the components of net
assets based on their federal tax basis treatment; temporary differences do not
require reclassification. Dividends and distributions which exceed earnings and
profits for tax purposes are reported as a tax return of capital.
The following distributions were declared on November 15, 2005, and paid on
November 22, 2005 to shareholders of record on November 21, 2005:
<Table>
<Caption>
ORDINARY SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN
- --------------------------------------------------------------------------------
All Value Fund $ 8,384,888 $ 19,056,501 $ 158,909,525
Large-Cap Value Fund 391,877 155,757 760,633
</Table>
On December 15, 2005, distributions of $1,378,447, $7,552,491, and $2,327,384 of
net investment income, short-term capital gains, and long-term capital gains,
respectively, were declared by the International Core Equity Fund. The
distributions were paid on December 20, 2005 to shareholders of record on
December 19, 2005.
76
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The tax character of distributions paid during the years ended October 31, 2005
and 2004 are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- ---------------------------------------------------------------------------------------------------
10/31/2005 10/31/2004 10/31/2005 10/31/2004
- ---------------------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ 8,710,826 $ 565,404 $ 458,488 $ -
Net long-term capital gains 19,588,617 8,512,788 - -
- ---------------------------------------------------------------------------------------------------
Total distributions paid $ 28,299,443 $ 9,078,192 $ 458,488 $ -
- ---------------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL INTERNATIONAL
CORE EQUITY FUND OPPORTUNITIES FUND
- ---------------------------------------------------------------------------------------------------
10/31/2005 10/31/2004 10/31/2005 10/31/2004
- ---------------------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ 62,768 $ - $ 39,769 $ 2,324,486
- ---------------------------------------------------------------------------------------------------
Total distributions paid $ 62,768 $ - $ 39,769 $ 2,324,486
- ---------------------------------------------------------------------------------------------------
<Caption>
LARGE-CAP VALUE FUND
- ---------------------------------------------------------------------
10/31/2005 10/31/2004
- ---------------------------------------------------------------------
Distributions paid from:
Ordinary income $ 243,210 $ 21,490
Net long-term capital gains 98,180 -
- ---------------------------------------------------------------------
Total distributions paid $ 341,390 $ 21,490
=====================================================================
</Table>
As of October 31, 2005, the components of accumulated earnings (losses) on a tax
basis are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- -----------------------------------------------------------------------------------------------
Undistributed ordinary income - net $ 24,435,832 $ -
Undistributed long-term capital gains 158,909,525 -
- -----------------------------------------------------------------------------------------------
Total undistributed earnings $ 183,345,357 $ -
Capital loss carryforwards* - (6,445,723)
Temporary differences (249,743) (12,602)
Unrealized gains - net 220,087,909 29,025,282
- -----------------------------------------------------------------------------------------------
Total accumulated earnings - net $ 403,183,523 $ 22,566,957
===============================================================================================
<Caption>
INTERNATIONAL INTERNATIONAL
CORE EQUITY FUND OPPORTUNITIES FUND
- -----------------------------------------------------------------------------------------------
Undistributed ordinary income - net $ 8,930,938 $ -
Undistributed long-term capital gains 2,327,384 -
- -----------------------------------------------------------------------------------------------
Total undistributed earnings $ 11,258,322 $ -
Capital loss carryforwards* - (85,228,886)
Temporary differences (7,777) (18,928)
Unrealized gains - net 13,246,072 42,539,889
- -----------------------------------------------------------------------------------------------
Total accumulated earnings (losses) - net $ 24,496,617 $ (42,707,925)
===============================================================================================
</Table>
77
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<Table>
<Caption>
LARGE-CAP
VALUE FUND
- -------------------------------------------------------------------------
Undistributed ordinary income - net $ 449,872
Undistributed long-term capital gains 760,634
- -------------------------------------------------------------------------
Total undistributed earnings $ 1,210,506
Temporary differences (2,060)
Unrealized gains - net 272,354
- -------------------------------------------------------------------------
Total accumulated earnings - net $ 1,480,800
=========================================================================
</Table>
* As of October 31, 2005, the capital loss carryforwards, along with the related
expiration dates, are as follows:
<Table>
<Caption>
2009 2010 2011 TOTAL
- ----------------------------------------------------------------------------------------
Alpha Fund $ - $ - $ 6,445,723 $ 6,445,723
International Opportunities Fund 39,350,246 37,966,698 7,911,942 85,228,886
</Table>
As of October 31, 2005, the aggregate unrealized security gains and losses based
on cost for U.S. Federal income tax purposes are as follows:
<Table>
<Caption>
INTERNATIONAL
ALL VALUE FUND ALPHA FUND CORE EQUITY FUND
- -----------------------------------------------------------------------------------------
Tax cost $ 2,329,921,517 $ 137,613,154 $ 290,350,940
- -----------------------------------------------------------------------------------------
Gross unrealized gain 277,078,644 29,025,282 20,542,314
Gross unrealized loss (56,990,735) - (7,167,694)
- -----------------------------------------------------------------------------------------
Net unrealized security gain $ 220,087,909 $ 29,025,282 $ 13,374,620
=========================================================================================
<Caption>
INTERNATIONAL
OPPORTUNITIES FUND LARGE-CAP VALUE FUND
- -------------------------------------------------------------------------------------
Tax cost $ 156,671,838 $ 37,908,516
- -------------------------------------------------------------------------------------
Gross unrealized gain 45,640,984 1,789,934
Gross unrealized loss (3,083,157) (1,517,580)
- -------------------------------------------------------------------------------------
Net unrealized security gain (loss) $ 42,557,827 $ 272,354
=====================================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and other temporary tax adjustments.
Permanent items identified during the year ended October 31, 2005 have been
reclassified among the components of net assets based on their tax-basis
treatment as follows:
<Table>
<Caption>
UNDISTRIBUTED
(DISTRIBUTIONS
IN EXCESS OF) ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME LOSS PAID-IN CAPITAL
- --------------------------------------------------------------------------------------
Alpha Fund $ 569,017 $ - $ (569,017)
International Core Equity Fund (229,249) 229,249 -
International Opportunities Fund 248,384 (38,696) (209,688)
Large-Cap Value Fund 15 (15) -
</Table>
The permanent differences are primarily attributable to the tax treatment of tax
net investment loss, foreign currency transactions and the tax treatment of
certain foreign securities.
78
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments)
for the year ended October 31, 2005 were as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------------
All Value Fund $ 1,705,261,551 $ 1,150,388,041
Alpha Fund 10,305,177 11,500,000
International Core Equity Fund 366,788,882 165,361,880
International Opportunities Fund 140,461,127 136,809,098
Large-Cap Value Fund 31,055,645 15,203,163
</Table>
There were no purchases or sales of U.S. Government securities for the year
ended October 31, 2005.
6. TRUSTEES' REMUNERATION
The Trust's officers and the one trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity based plan available to all
outside Trustees under which outside Trustees must defer receipt of a portion
of, and may elect to defer receipt of an additional portion of Trustees' fees.
The deferred amounts are treated as though equivalent dollar amounts have been
invested proportionately in the funds. Such amounts and earnings accrued thereon
are included in Trustees' Fees on the Statement of Operations and in Trustees'
Fees Payable on the Statement of Assets and Liabilities and are not deductible
for U.S. Federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of each Fund's expenses.
8. LINE OF CREDIT
All Value Fund, International Core Equity Fund, International Opportunities Fund
and Large-Cap Value Fund along with certain other funds managed by Lord Abbett,
have available a $200,000,000 unsecured revolving credit facility ("Facility")
from a consortium of banks, to be used for temporary or emergency purposes as an
additional source of liquidity to fund redemptions of investor shares. Any
borrowings under this Facility will bear interest at current market rates as
defined in the agreement. For the period November 1, 2004 through December 9,
2004, the fee for this Facility was at an annual rate of .09%. Effective
December 10, 2004, the Facility was renewed at an annual rate of .08%. At
October 31, 2005, there were no loans outstanding pursuant to this Facility nor
was the Facility utilized at any time during the year ended October 31, 2005.
9. CUSTODIAN AND ACCOUNTING AGENT
SSB is the Trust's custodian and accounting agent. SSB performs custodial,
accounting and recordkeeping functions relating to portfolio transactions and
calculating each Fund's NAV.
79
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
10. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
equity investing. The value of an investment will fluctuate in response to
movements in the stock market in general, and to the changing prospects of
individual companies in which the Funds invest.
Large company value stocks, in which All Value Fund and Large-Cap Value Fund
invest, may perform differently than the market as a whole and other types of
stocks, such as small company stocks and growth stocks. This is because
different types of stocks tend to shift in and out of favor depending on market
and economic conditions. The market may fail to recognize the intrinsic value of
a particular value stock for a long time. In addition, if a Fund's assessment of
a company's value or prospects for exceeding earnings expectations or market
conditions is wrong, the Fund could suffer losses or produce poor performance
relative to other funds, even in a rising market.
In addition, although All Value Fund invests a significant portion of its assets
in large-cap company stocks, it also invests in mid-cap and small-cap company
stocks which may be more volatile and less liquid than large-cap stocks.
International Core Equity Fund is subject to the risks of investing in foreign
securities and in the securities of large foreign companies. Foreign securities
may pose greater risks than domestic securities, including greater price
fluctuations and higher transaction costs. Foreign investments also may be
affected by changes in currency rates or currency controls.
International Opportunities Fund is also subject to the risks of investing in
foreign securities and in the securities of small-cap companies. Foreign
securities may pose greater risks than domestic securities, including greater
price fluctuations and higher transaction costs. Foreign investments also may be
affected by changes in currency rates or currency controls. Investing in
small-cap companies generally involves greater risks than investing in the
stocks of large-cap companies, including more volatility and less liquidity.
Alpha Fund's investments are concentrated in the Underlying Funds and, as a
result, the Fund's performance is directly related to their performance and
subject to their risks, including those associated with foreign investments and
small-cap companies.
Due to their investments in multinational companies, All Value Fund, Large-Cap
Value Fund, and Alpha Fund may experience increased market, liquidity, currency,
political, information and other risks.
These factors can affect each Fund's performance.
80
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
11. SUMMARY OF CAPITAL TRANSACTIONS
Transactions in shares of beneficial interest are as follows:
ALL VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004
- ----------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
Shares sold 49,755,701 $ 589,022,978 77,238,255 $ 820,475,828
Reinvestment of distributions 1,706,988 19,800,667 551,426 5,492,414
Shares reacquired (18,915,487) (224,478,733) (9,831,040) (105,162,568)
- ----------------------------------------------------------------------------------------------------
Increase 32,547,202 $ 384,344,912 67,958,641 $ 720,805,674
- ----------------------------------------------------------------------------------------------------
CLASS B SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 5,602,734 $ 64,321,570 8,518,633 $ 88,599,964
Reinvestment of distributions 161,354 1,823,346 89,021 865,287
Shares reacquired (2,375,843) (27,464,066) (1,823,012) (18,892,791)
- ----------------------------------------------------------------------------------------------------
Increase 3,388,245 $ 38,680,850 6,784,642 $ 70,572,460
- ----------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 13,636,576 $ 156,210,154 18,336,210 $ 189,969,707
Reinvestment of distributions 279,805 3,150,601 150,641 1,459,709
Shares reacquired (6,025,241) (69,402,400) (3,196,194) (33,142,806)
- ----------------------------------------------------------------------------------------------------
Increase 7,891,140 $ 89,958,355 15,290,657 $ 158,286,610
- ----------------------------------------------------------------------------------------------------
CLASS P SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 751,140 $ 8,846,473 332,094 $ 3,537,085
Reinvestment of distributions 7,509 86,656 1,424 14,131
Shares reacquired (96,998) (1,151,912) (22,700) (246,224)
- ----------------------------------------------------------------------------------------------------
Increase 661,651 $ 7,781,217 310,818 $ 3,304,992
- ----------------------------------------------------------------------------------------------------
CLASS Y SHARES
Shares sold 76,545 $ 911,203 154,694 $ 1,685,042
Reinvestment of distributions 2,882 33,492 16 159
Shares reacquired (18,377) (218,589) - -
- ----------------------------------------------------------------------------------------------------
Increase 61,050 $ 726,106 154,710 $ 1,685,201
- ----------------------------------------------------------------------------------------------------
</Table>
81
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
ALPHA STRATEGY FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004
- ----------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
Shares sold 1,148,948 $ 20,637,437 842,543 $ 12,914,133
Reinvestment of distributions 24,791 425,664 - -
Shares reacquired (814,877) (14,436,194) (796,821) (12,237,203)
- ----------------------------------------------------------------------------------------------------
Increase 358,862 $ 6,626,907 45,722 $ 676,930
- ----------------------------------------------------------------------------------------------------
CLASS B SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 310,878 $ 5,360,233 250,831 $ 3,761,163
Shares reacquired (571,696) (9,858,951) (568,522) (8,525,182)
- ----------------------------------------------------------------------------------------------------
Decrease (260,818) $ (4,498,718) (317,691) $ (4,764,019)
- ----------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 304,429 $ 5,259,619 237,978 $ 3,579,134
Shares reacquired (475,248) (8,091,124) (512,272) (7,699,401)
- ----------------------------------------------------------------------------------------------------
Decrease (170,819) $ (2,831,505) (274,294) $ (4,120,267)
- ----------------------------------------------------------------------------------------------------
<Caption>
PERIOD ENDED
OCTOBER 31, 2004*
- ----------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 5,730 $ 103,708 24,945 $ 391,543
Reinvestment of distributions 227 3,899 - -
Shares reacquired (2,729) (47,035) - -
- ----------------------------------------------------------------------------------------------------
Increase 3,228 $ 60,572 24,945 $ 391,543
- ----------------------------------------------------------------------------------------------------
</Table>
*For the period October 20, 2004 (commencement of offering of share class) to
October 31, 2004.
82
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED PERIOD ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004**
- ----------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
Shares sold 14,548,050 $ 172,536,589 6,334,498 $ 64,068,547
Reinvestment of distributions 4,409 49,654 - -
Shares reacquired (1,121,364) (13,202,915) (723,691) (7,319,356)
- ----------------------------------------------------------------------------------------------------
Increase 13,431,095 $ 159,383,328 5,610,807 $ 56,749,191
- ----------------------------------------------------------------------------------------------------
CLASS B SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 1,227,027 $ 14,391,580 310,399 $ 3,147,471
Shares reacquired (82,565) (974,017) (27,035) (269,461)
- ----------------------------------------------------------------------------------------------------
Increase 1,144,462 $ 13,417,563 283,364 $ 2,878,010
- ----------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 2,944,113 $ 34,662,208 930,102 $ 9,477,115
Shares reacquired (225,173) (2,640,273) (34,075) (341,628)
- ----------------------------------------------------------------------------------------------------
Increase 2,718,940 $ 32,021,935 896,027 $ 9,135,487
- ----------------------------------------------------------------------------------------------------
CLASS P SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 359 $ 4,440 1,000 $ 10,000
Shares reacquired (95) (1,209) - -
- ----------------------------------------------------------------------------------------------------
Increase 264 $ 3,231 1,000 $ 10,000
- ----------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 697,220 $ 8,559,602 295,774 $ 3,050,694
Reinvestment of distributions 540 6,089 - -
Shares reacquired (32,022) (385,383) - -
- ----------------------------------------------------------------------------------------------------
Increase 665,738 $ 8,180,308 295,774 $ 3,050,694
- ----------------------------------------------------------------------------------------------------
</Table>
**For the period December 15, 2003 (commencement of investment operations) to
October 31, 2004.
83
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004
- ----------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
Shares sold 1,978,216 $ 21,941,094 2,068,789 $ 18,950,733
Reinvestment of distributions - - 116,074 951,166
Shares reacquired (1,516,058) (16,761,499) (1,744,796) (15,957,567)
- ----------------------------------------------------------------------------------------------------
Increase 462,158 $ 5,179,595 440,067 $ 3,944,332
- ----------------------------------------------------------------------------------------------------
CLASS B SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 610,029 $ 6,542,545 629,605 $ 5,630,954
Reinvestment of distributions - - 24,183 194,187
Shares reacquired (616,632) (6,599,972) (500,148) (4,480,281)
- ----------------------------------------------------------------------------------------------------
Increase (decrease) (6,603) $ (57,427) 153,640 $ 1,344,860
- ----------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 493,985 $ 5,258,334 430,000 $ 3,865,434
Reinvestment of distributions - - 19,174 153,200
Shares reacquired (336,909) (3,575,746) (338,548) (3,057,232)
- ----------------------------------------------------------------------------------------------------
Increase 157,076 $ 1,682,588 110,626 $ 961,402
- ----------------------------------------------------------------------------------------------------
CLASS P SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 185 $ 2,090 1.36 $ 13
Reinvestment of distributions - - 1.35 11
- ----------------------------------------------------------------------------------------------------
Increase 185 $ 2,090 2.71 $ 24
- ----------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 271,763 $ 3,052,439 123,690 $ 1,193,629
Reinvestment of distributions 3,895 39,769 119,564 992,384
Shares reacquired (589,616) (6,254,257) (632,072) (6,009,857)
- ----------------------------------------------------------------------------------------------------
Decrease (313,958) $ (3,162,049) (388,818) $ (3,823,844)
- ----------------------------------------------------------------------------------------------------
</Table>
84
<Page>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004
- ----------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
Shares sold 552,637 $ 6,781,190 908,712 $ 10,502,711
Reinvestment of distributions 17,676 213,347 1,753 18,773
Shares reacquired (314,249) (3,839,323) (266,208) (3,056,762)
- ----------------------------------------------------------------------------------------------------
Increase 256,064 $ 3,155,214 644,257 $ 7,464,722
- ----------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares sold 56,903 $ 689,423 123,718 $ 1,405,471
Reinvestment of distributions 1,589 18,999 63 673
Shares reacquired (38,841) (471,694) (10,398) (118,370)
- ----------------------------------------------------------------------------------------------------
Increase 19,651 $ 236,728 113,383 $ 1,287,774
- ----------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 202,061 $ 2,452,265 134,831 $ 1,533,110
Reinvestment of distributions 1,894 22,678 70 751
Shares reacquired (72,732) (878,307) (21,321) (244,155)
- ----------------------------------------------------------------------------------------------------
Increase 131,223 $ 1,596,636 113,580 $ 1,289,706
- ----------------------------------------------------------------------------------------------------
CLASS P SHARES
- ----------------------------------------------------------------------------------------------------
Reinvestment of distributions 21 $ 250 6 $ 67
- ----------------------------------------------------------------------------------------------------
Increase 21 $ 250 6 $ 67
- ----------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ----------------------------------------------------------------------------------------------------
Shares sold 1,509,198 $ 18,711,404 171,369 $ 1,979,292
Reinvestment of distributions 3,325 40,232 8 83
Shares reacquired (111,467) (1,371,184) - -
- ----------------------------------------------------------------------------------------------------
Increase 1,401,056 $ 17,380,452 171,377 $ 1,979,375
- ----------------------------------------------------------------------------------------------------
</Table>
12. SUBSEQUENT EVENTS
Effective November 1, 2005, the annual management fee rate for the International
Opportunities Fund was changed from a flat fee rate of .75% to the following
annual rates:
..75% of the first $1 billion of average daily net assets;
..70% of the next $1 billion of average daily net assets;
..65% of average daily net assets over $2 billion.
Effective December 9, 2005, the Facility for All Value Fund, International Core
Equity Fund, International Opportunities Fund and Large-Cap Value Fund, along
with certain other funds managed by Lord Abbett, was increased from $200,000,000
to $250,000,000. The fee for this Facility remains at an annual rate of .08%.
85
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS,
LORD ABBETT SECURITIES TRUST - LORD ABBETT ALL VALUE FUND, LORD ABBETT ALPHA
STRATEGY FUND, LORD ABBETT INTERNATIONAL CORE EQUITY FUND, LORD ABBETT
INTERNATIONAL OPPORTUNITIES FUND, AND LORD ABBETT LARGE-CAP VALUE FUND:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Lord Abbett Securities Trust - Lord Abbett All
Value Fund, Lord Abbett Alpha Strategy Fund (formerly known as Alpha Series),
Lord Abbett International Core Equity Fund, Lord Abbett International
Opportunities Fund, and Lord Abbett Large-Cap Value Fund (the "Funds") as of
October 31, 2005, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the periods
presented. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with 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 and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
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, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2005 by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Lord
Abbett Securities Trust - Lord Abbett All Value Fund, Lord Abbett Alpha Strategy
Fund, Lord Abbett International Core Equity, Lord Abbett International
Opportunities Fund, and Lord Abbett Large-Cap Value Fund as of October 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 each of the periods presented, in conformity with
accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
New York, New York
December 29, 2005
86
<Page>
UNDERLYING FUND INFORMATION (UNAUDITED)
Alpha Fund invests in other funds ("Underlying Funds") managed by Lord Abbett,
As of October 31, 2005, Alpha Fund's long-term investments were allocated among
the Underlying Funds as follows:
<Table>
<Caption>
UNDERLYING FUND NAME % OF INVESTMENTS
-----------------------------------------------------------------------
Lord Abbett Developing Growth Fund, Inc. - Class Y 29.70%
Lord Abbett Research Fund, Inc. - Lord Abbett
Small-Cap Value Fund - Class Y 29.90%
Lord Abbett Securities Trust - Lord Abbett
International Opportunities Fund - Class Y 40.40%
</Table>
The Ten Largest Holdings and the Holdings by Sector, as of October 31, 2005, for
Lord Abbett Developing Growth Fund, Inc., Lord Abbett Securities Trust - Lord
Abbett International Opportunities Fund, and Lord Abbett Research Fund, Inc. -
Lord Abbett Small-Cap Value Fund are presented below.
LORD ABBETT DEVELOPING GROWTH FUND, INC.
<Table>
<Caption>
TEN LARGEST HOLDINGS % OF INVESTMENTS
- -----------------------------------------------------------
Repurchase Agreement 2.74%
NeuStar, Inc. 2.01%
Bright Horizons Family Solutions Inc. 1.61%
SFBC Int'l., Inc. 1.55%
TODCO Class A 1.53%
ArthroCare Corp. 1.52%
Scientific Games Corp. Class A 1.52%
Resources Connection, Inc. 1.51%
SVB Financial Group 1.44%
Psychiatric Solutions, Inc. 1.41%
- -----------------------------------------------------------
<Caption>
HOLDINGS BY SECTOR % OF INVESTMENTS
- -----------------------------------------------------------
Auto & Transportation 2.45%
Consumer Discretionary 23.39%
Consumer Staples 1.27%
Financial Services 12.12%
Healthcare 21.86%
Integrated Oils 0.46%
Materials & Processing 1.92%
Other Energy 9.34%
Producer Durables 3.67%
Short-Term Investment 2.74%
Technology 18.77%
Utilities 2.01%
- -----------------------------------------------------------
Total 100.00%
- -----------------------------------------------------------
</Table>
87
<Page>
UNDERLYING FUND INFORMATION (UNAUDITED) (CONTINUED)
LORD ABBETT SECURITIES TRUST - LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
TEN LARGEST HOLDINGS % OF INVESTMENTS
- -----------------------------------------------------------
Repurchase Agreement 3.32%
CSR plc 2.41%
Neopost S.A. 2.05%
Intertek Group plc 2.03%
Piraeus Bank S.A. 1.75%
Yamada Denki Co., Ltd. 1.69%
Milano Assicurazioni S.p.A. 1.68%
Prosegur Compania de Seguridad S.A. 1.58%
Corporacion Mapfre S.A. 1.55%
DEPFA BANK plc 1.51%
- -----------------------------------------------------------
<Caption>
HOLDINGS BY SECTOR % OF INVESTMENTS
- -----------------------------------------------------------
Basic Materials 5.51%
Conglomerates 2.30%
Consumer Cyclicals 14.62%
Consumer Non-Cyclicals 5.76%
Energy 6.47%
Healthcare 6.61%
Industrial Goods & Services 20.69%
Non-Property Financials 12.03%
Property & Property Services 7.10%
Short-Term Investment 3.32%
Technology 10.04%
Telecommunications 2.56%
Utilities 2.99%
- -----------------------------------------------------------
Total 100.00%
- -----------------------------------------------------------
</Table>
88
<Page>
UNDERLYING FUND INFORMATION (UNAUDITED) (CONCLUDED)
LORD ABBETT RESEARCH FUND, INC. - LORD ABBETT SMALL-CAP VALUE FUND
<Table>
<Caption>
TEN LARGEST HOLDINGS % OF INVESTMENTS
- -----------------------------------------------------------
Repurchase Agreement 7.04%
Quanex Corp. 3.49%
Trinity Industries, Inc. 3.09%
Hughes Supply, Inc. 2.17%
Universal Forest Products, Inc. 2.05%
Simpson Manufacturing Co., Inc. 2.04%
Carlisle Cos. Inc. 1.88%
Werner Enterprises, Inc. 1.88%
NCI Building Systems, Inc. 1.81%
Ethan Allen Interiors, Inc. 1.76%
- -----------------------------------------------------------
<Caption>
HOLDINGS BY SECTOR % OF INVESTMENTS
- -----------------------------------------------------------
Auto & Transportation 13.71%
Consumer Discretionary 6.75%
Consumer Staples 1.40%
Financial Services 13.48%
Healthcare 3.26%
Integrated Oils 1.05%
Materials & Processing 24.74%
Other 4.97%
Other Energy 3.18%
Producer Durables 11.57%
Short-Term Investment 7.04%
Technology 5.68%
Utilities 3.17%
- -----------------------------------------------------------
Total 100.00%
- -----------------------------------------------------------
</Table>
89
<Page>
BASIC INFORMATION ABOUT MANAGEMENT
The Board of Trustees (the "Board") is responsible for the management of the
business and affairs of each Trust in accordance with the laws of the State of
Delaware. The Board appoints officers who are responsible for the day-to-day
operations of each Trust and who execute policies authorized by the Board. The
Board also approves an investment adviser to each Trust and continues to monitor
the cost and quality of the services provided by the investment adviser, and
annually considers whether to renew the contract with the adviser. Generally,
each Trustee holds office until his/her successor is elected and qualified or
until his/her earlier resignation or removal, as provided in the Trust's
organizational documents.
Lord, Abbett & Co. LLC ("Lord Abbett"), a Delaware limited liability company, is
the Trust's investment adviser.
INTERESTED TRUSTEE
The following Trustee is the Managing Partner of Lord Abbett and is an
"interested person" as defined in the Act. Mr. Dow is also an officer, director,
or trustee of each of the fourteen Lord Abbett-sponsored funds, which consist of
54 portfolios or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
YEAR OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ----------------------------------------------------------------------------------------------------
ROBERT S. DOW Trustee since Managing Partner and Chief N/A
Lord, Abbett & Co. LLC 1993; Chairman Executive Officer of
90 Hudson Street since 1996 Lord Abbett since 1996.
Jersey City, NJ 07302
(1945)
</Table>
----------
INDEPENDENT TRUSTEES
The following independent or outside Trustees are also directors or trustees of
each of the fourteen Lord Abbett-sponsored funds, which consist of 54 portfolios
or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
YEAR OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ----------------------------------------------------------------------------------------------------
E. THAYER BIGELOW Trustee since 1994 Managing General Partner, Currently serves as
Lord, Abbett & Co. LLC Bigelow Media, LLC (since director of Adelphia
c/o Legal Dept. 2000); Senior Adviser, Communications, Inc.,
90 Hudson Street Time Warner Inc. (1998 - Crane Co., and Huttig
Jersey City, NJ 07302 2000); Acting Chief Building Products Inc.
(1941) Executive Officer of
Courtroom Television
Network (1997 - 1998);
President and Chief
Executive Officer of Time
Warner Cable Programming,
Inc. (1991 - 1997).
WILLIAM H.T. BUSH Trustee since 1998 Co-founder and Chairman of Currently serves as
Lord, Abbett & Co. LLC the Board of the financial director of WellPoint,
c/o Legal Dept. advisory firm of Inc. (since 2002), and
90 Hudson Street Bush-O'Donnell & Company Engineered Support
Jersey City, NJ 07302 (since 1986). Systems, Inc. (since
(1938) 2000).
</Table>
90
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
YEAR OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ----------------------------------------------------------------------------------------------------
ROBERT B. CALHOUN, JR. Trustee since 1998 Managing Director of Currently serves as
c/o Legal Dept. Monitor Clipper Partners director of Avondale,
Lord, Abbett & Co. LLC (since 1997) and President Inc. and Interstate
90 Hudson Street of Clipper Asset Bakeries Corp.
Jersey City, NJ 07302 Management Corp. (since
(1942) 1991), both private equity
investment funds.
JULIE A. HILL Trustee since 2004 Owner and CEO of the Currently serves as
Lord, Abbett & Co. LLC Hillsdale Companies, a director of WellPoint,
c/o Legal Dept. business consulting firm Inc.; Resources
90 Hudson Street (since 1998); Founder, Connection Inc.; and
Jersey City, NJ 07302 President and Owner of the Holcim (US) Inc. (a
(1946) Hiram-Hill and Hillsdale subsidiary of Holcim
Development Companies Ltd.).
(1998 - 2000).
FRANKLIN W. HOBBS Trustee since 2001 Former Chief Executive Currently serves as
Lord, Abbett & Co. LLC Officer of Houlihan Lokey director of Adolph Coors
c/o Legal Dept. Howard & Zukin, an Company.
90 Hudson Street investment bank (January
Jersey City, NJ 07302 2002 - April 2003);
(1947) Chairman of Warburg Dillon
Read (1999 - 2001); Global
Head of Corporate Finance
of SBC Warburg Dillon Read
(1997 - 1999); Chief
Executive Officer of
Dillon, Read & Co. (1994 -
1997).
C. ALAN MACDONALD Trustee since 1993 Retired - General Business Currently serves as
Lord, Abbett & Co. LLC and Governance Consulting director of H.J. Baker
c/o Legal Dept. (since 1992); formerly (since 2003).
90 Hudson Street President and CEO of
Jersey City, NJ 07302 Nestle Foods.
(1933)
THOMAS J. NEFF Trustee since 1993 Chairman of Spencer Stuart Currently serves as
Lord, Abbett & Co. LLC (U.S.), an executive director of Ace, Ltd.
c/o Legal Dept. search-consulting firm (since 1997) and Hewitt
90 Hudson Street (since 1996); President of Associates, Inc.
Jersey City, NJ 07302 Spencer Stuart (1979 -
(1937) 1996).
</Table>
91
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
OFFICERS
None of the officers listed below have received compensation from the Trust. All
the officers of the Trust may also be officers of the other Lord
Abbett-sponsored funds and maintain offices at 90 Hudson Street, Jersey City, NJ
07302.
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------
ROBERT S. DOW Chief Executive Elected in 1993 Managing Partner and
(1945) Officer and Chief Executive Officer
President of Lord Abbett (since
1996).
SHOLOM DINSKY Executive Vice Elected in 2003 Partner and Large Cap
(1944) President Value Investment Manager,
joined Lord Abbett in
2000.
LESLEY-JANE DIXON Vice President Elected in 1999 Partner and Investment
(1964) Manager, joined Lord
Abbett in 1995.
ROBERT P. FETCH Executive Vice Elected in 1999 Partner and Small-Cap
(1953) President Value Senior Investment
Manager, joined Lord
Abbett in 1995.
KENNETH G. FULLER Executive Vice Elected in 2003 Investment Manager -
(1945) President Large Cap Value, joined
Lord Abbett in 2002;
formerly Portfolio
Manager and Senior Vice
President at Pioneer
Investment Management,
Inc.
ROBERT I. GERBER Executive Vice Elected in 2005 Partner and Director of
(1954) President Taxable Fixed Income
Management, joined Lord
Abbett in 1997.
HOWARD E. HANSEN Executive Vice Elected in 2003 Partner and Investment
(1961) President Manager, joined Lord
Abbett in 1995.
GERARD S. E. HEFFERNAN, JR. Executive Vice Elected in 1999 Partner and Research
(1963) President Analyst, joined Lord
Abbett in 1998.
TODD D. JACOBSON Executive Vice Elected in 2005 Investment Manager,
(1966) President International Core
Equity, joined Lord
Abbett in 2003; formerly
Director and Portfolio
Manager at Warburg Pincus
Asset Management and
Credit Suisse Asset
Management (2002 - 2003);
prior thereto Associate
Portfolio Manager of
Credit Suisse Asset
Management.
</Table>
92
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------
VINCENT J. MCBRIDE Executive Vice Elected in 2003 Senior Investment
(1964) President Manager, International
Core Equity, joined Lord
Abbett in 2003; formerly
Managing Director and
Portfolio Manager at
Warburg Pincus Asset
Management and Credit
Suisse Asset Management.
STEVEN MCBOYLE Executive Vice Elected in 2005 Senior Investment
(1969) President Manager, Value
Opportunities Fund;
formerly Vice President,
Mergers and Acquisitions,
at Morgan Stanley, joined
Lord Abbett in 2001.
ROBERT G. MORRIS Executive Vice Elected in 1998 Partner and Chief
(1944) President Investment Officer,
joined Lord Abbett in
1991.
ELI M. SALZMANN Executive Vice Elected in 2003 Partner and Director of
(1964) President Institutional Equity
Investments, joined Lord
Abbett in 1997.
HAROLD E. SHARON Executive Vice Elected in 2003 Investment Manager and
(1960) President Director, International
Core Equity, joined Lord
Abbett in 2003; formerly
Financial Industry
Consultant for Venture
Capitalist (2001 - 2003);
prior thereto Managing
Director of Warburg
Pincus Asset Management
and Credit Suisse Asset
Management.
CHRISTOPHER J. TOWLE Executive Vice Elected in 2005 Partner and Investment
(1957) President Manager, joined Lord
Abbett in 1987.
YAREK ARANOWICZ Vice President Elected in 2004 Investment Manager,
(1963) joined Lord Abbett in
2003; formerly Vice
President, Head of Global
Emerging Markets Funds of
Warburg Pincus Asset
Management and Credit
Suisse Asset Management.
</Table>
93
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------
JAMES BERNAICHE Chief Compliance Elected in 2004 Chief Compliance Officer,
(1956) Officer joined Lord Abbett in
2001; formerly Vice
President and Chief
Compliance Officer with
Credit Suisse Asset
Management.
JOAN A. BINSTOCK Chief Financial Elected in 1999 Partner and Chief
(1954) Officer and Vice Operations Officer,
President joined Lord Abbett in
1999.
DAVID G. BUILDER Vice President Elected in 2001 Equity Analyst joined
(1954) Lord Abbett in 1998.
JOHN K. FORST Vice President and Elected in 2005 Deputy General Counsel,
(1960) Assistant joined Lord Abbett in
Secretary 2004; prior thereto
Managing Director and
Associate General Counsel
at New York Life
Investment Management LLC
(2002 - 2003); formerly
Attorney at Dechert LLP
(2000 - 2002).
LAWRENCE H. KAPLAN Vice President and Elected in 1997 Partner and General
(1957) Secretary Counsel, joined Lord
Abbett in 1997.
CHARLES P. MASSARE Vice President Elected in 2005 Partner and Director of
(1948) Quantitative Research &
Risk Management, joined
Lord Abbett in 1998.
A. EDWARD OBERHAUS, III Vice President Elected in 1993 Partner and Manager of
(1959) Equity Trading, joined
Lord Abbett in 1983.
F. THOMAS O'HALLORAN Executive Vice Elected in 2003 Partner and Investment
(1955) President Manager, joined Lord
Abbett in 2001; formerly
Executive Director/Senior
Research Analyst at
Dillon Read/UBS Warburg.
TODOR PETROV Vice President Elected in 2003 Investment Manager,
(1974) joined Lord Abbett in
2003; formerly Associate
Portfolio Manager of
Credit Suisse Asset
Management.
CHRISTINA T. SIMMONS Vice President and Elected in 2000 Assistant General
(1957) Assistant Counsel, joined Lord
Secretary Abbett in 1999.
</Table>
94
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONCLUDED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------
BERNARD J. GRZELAK Treasurer Elected in 2003 Director of Fund
(1971) Administration joined
Lord Abbett in 2003;
formerly Vice President,
Lazard Asset Management
LLC (2000 - 2003); prior
thereto Manager of
Deloitte & Touche LLP.
</Table>
Please call 888-522-2388 for a copy of the Statement of Additional Information
(SAI), which contains further information about the Trust's Trustees. It is
available free upon request.
95
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' Prospectus, proxy material, annual report and semiannual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219336, Kansas City, MO 64121.
PROXY VOTING POLICIES, PROCEDURES AND RECORD
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to each Fund's portfolio securities, and information on as to
how Lord Abbett voted each Fund's proxies during the 12-month period ended June
30, 2005 are available without charge, upon request, (i) by calling
888-522-2388; (ii) on Lord Abbett's website at www.LordAbbett.com; and (iii) on
the Securities and Exchange Commission's ("SEC") website at www.sec.gov.
SHAREHOLDER REPORTS AND QUARTERLY PORTFOLIO DISCLOSURE
The Funds are required to file their complete schedule of portfolio holdings
with the SEC for their first and third fiscal quarters on Form N-Q. Copies of
the filings are available without charge, upon request on the SEC's website at
www.sec.gov and may be available by calling Lord Abbett at 800-821-5129. You can
also obtain copies of Form N-Q by (i) visiting the SEC's Public Reference Room
in Washington, DC (information on the operation of the Public Reference Room may
be obtained by calling 800-SEC-0330); (ii) sending your request and duplicating
fee to the SEC's Public Reference Room, Washington, DC 20549-0102; or (iii)
sending your request electronically to publicinfo@sec.gov.
TAX INFORMATION
The percentages below reflect the portion of ordinary income distributions
that are eligible for the corporate dividend received deduction (DRD) and
qualified dividend income (QDI) for individual shareholders.
<Table>
<Caption>
FUND NAME DRD QDI
--------------------------------------------------------------
All Value Fund 100% 100%
Alpha Strategy Fund 38 100
International Core Equity Fund - 100
International Opportunities Fund - 100
Large-Cap Value Fund 85 85
</Table>
Additionally, of the distributions paid to shareholders during the fiscal
year ended October 31, 2005, $19,588,617 and $98,180 for the All Value Fund
and Large-Cap Value Fund, respectively, represent long-term capital gains.
The International Core Equity Fund intends to pass through foreign source
income of $4,469,550 and foreign taxes of $498,688.
96
<Page>
[LORD ABBETT(R) LOGO]
<Table>
This report when not used for the general Lord Abbett Securities Trust
information of shareholders of the fund, is to be Lord Abbett All Value Fund
distributed only if preceded or accompanied by a Lord Abbett Alpha Strategy Fund
current fund prospectus. Lord Abbett International Core Equity Fund
Lord Abbett International Opportunities Fund LST-2-1005
Lord Abbett mutual fund shares are distributed by Lord Abbett Large-Cap Value Fund (12/05)
LORD ABBETT DISTRIBUTOR LLC
</Table>
<Page>
[LORD ABBETT LOGO]
2005
ANNUAL
REPORT
LORD ABBETT
MICRO-CAP GROWTH FUND
MICRO-CAP VALUE FUND
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2005
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH FUND AND MICRO-CAP VALUE FUND
ANNUAL REPORT
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2005
DEAR SHAREHOLDERS: We are pleased to provide you with this overview of Lord
Abbett Micro-Cap Growth Fund's and Lord Abbett Micro-Cap Value Fund's strategies
and performance for the fiscal year ended October 31, 2005. On this and the
following pages, we discuss the major factors that influenced the funds'
performance.
Thank you for investing in Lord Abbett mutual funds. We value the trust that
you place in us and look forward to serving your investment needs in the years
to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE FISCAL YEAR ENDED OCTOBER 31,
2005?
A: Despite sharply higher energy prices, continued short-term interest rate
hikes by the Federal Reserve Board (the Fed), and a devastating hurricane season
for the Gulf Coast region, U.S. real (i.e., after inflation) gross domestic
product (GDP) continued to grow at a strong, if not robust, pace. Americans'
real disposable personal income also grew, while real consumer spending rose
even more. Durable goods orders surged largely due to high discounts offered by
American car manufacturers.
Meanwhile, 10-year Treasury yields were volatile, reflecting investors'
shifting perceptions about the health of the U.S. economy. Yields on the
benchmark Treasury note began the fiscal year ended October 31, 2005, at 4.1
percent, reaching 4.5 percent by March 2005. However, this trend was disrupted
in the spring and summer of 2005, amid investors' concerns about an economic
slowdown, with the 10-year yield touching 4.0 percent in June. The yield then
rose again in the last month of the fiscal year, driven by inflation worries; in
October 2005, a strong surge in the Consumer Price Index drove the yield on the
10-year Treasury to above 4.5 percent.
Against this backdrop of steady economic output and sharply rising
short-term interest rates, equity markets rose, with the S&P 500(R) Index(1)
gaining 8.7 percent in the fiscal year ended October 31, 2005. Driven by the
sharp rise in oil prices, the strongest performing sectors of the S&P 500 Index
in the fiscal year ended October 31, 2005, were energy stocks, recording a
return of 33.7 percent, and utilities, rising 23.9 percent. "Defensive" stocks,
such as the consumer staples and healthcare sectors, also outperformed the S&P
500 Index, while economically sensitive sectors, such as materials, industrials,
telecommunication services, and consumer discretionary, underperformed.
1
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2005?
A: The fund returned 23.2 percent, reflecting performance at the net asset value
(NAV) of Class A shares with all distributions reinvested, compared with its
benchmark, the Russell 2000(R) Growth Index,(2) which returned 10.9 percent over
the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT
PERFORMANCE AT THE MAXIMUM 5.75 PERCENT SALES CHARGE APPLICABLE TO CLASS A SHARE
INVESTMENTS AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR:
16.17 PERCENT, 5 YEARS: 5.24 PERCENT, AND SINCE INCEPTION (MAY 1, 2000): 0.27
PERCENT. Class A shares purchased subject to a front-end sales charge have no
contingent deferred sales charge (CDSC). However, certain purchases of Class A
shares made without a front-end sales charge may be subject to a CDSC of 1
percent if the shares are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The largest contributor to fund performance for the fiscal year ended October
31, 2005, relative to the benchmark was stock selection within the healthcare
sector. Kendle International Inc., a global clinical research organization,
posted strong returns, as Kendle provided large pharmaceutical and biotechnology
companies with an efficient source for clinical research. BioCryst
Pharmaceuticals, Inc., a company that designs, optimizes, and develops novel
small-molecule drugs that treat cancer, cardiovascular and autoimmune diseases,
and viral infections, outperformed when fear of an avian flu epidemic revived
interest in Peramivir, a drug that failed in past clinical trials.
Selection of stocks within the consumer discretionary sector also helped
relative fund performance for the fiscal year ended October 31, 2005. This
sector includes stocks within the consumer durables, apparel, media, hotel, and
leisure industries. True Religion Apparel, Inc., a high-fashion denim clothing
company, did well due to increased consumer interest in purchasing higher-end
denim jeans. Citi Trends, Inc., a value-priced retailer of urban fashion apparel
and accessories, also reported strong performance since its initial public
offering in May 2005.
2
<Page>
- --------------------------------------------------------------------------------
The greatest detractor to fund performance for the fiscal year ended October
31, 2005, relative to its benchmark, was stock selection within the producer
durables sector, which includes capital goods and industrials. TurboChef
Technologies, Inc., a company that specializes in rapid-cook technology used in
the fast food industry, disappointed when the company's stock fell after its
February 2005 equity offering.
The portfolio's underweight position in the other energy sector also took
away from relative performance for the fiscal year. Appropriate micro-cap
opportunities are relatively rare in the other energy sector.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
LORD ABBETT MICRO-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2005?
A: The fund returned 26.5 percent, reflecting performance at the net asset value
(NAV) of Class A shares with all distributions reinvested, compared with its
benchmark, the Russell 2000(R) Value Index,(3) which returned 13.0 percent over
the same period. STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS, WHICH REFLECT
PERFORMANCE AT THE MAXIMUM 5.75 PERCENT SALES CHARGE APPLICABLE TO CLASS A SHARE
INVESTMENTS AND INCLUDE THE REINVESTMENT OF ALL DISTRIBUTIONS, ARE: 1 YEAR:
19.16 PERCENT, 5 YEARS: 20.21 PERCENT, AND SINCE INCEPTION (MAY 1, 2000): 22.40
PERCENT. Class A shares purchased subject to a front-end sales charge have no
contingent deferred sales charge (CDSC). However, certain purchases of Class A
shares made without a front-end sales charge may be subject to a CDSC of 1
percent if the shares are redeemed within 12 months of the purchase.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END BY CALLING
3
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The largest contributor to fund performance for the fiscal year ended October
31, 2005, relative to its benchmark, was stock selection within the producer
durables sector, which includes capital goods and industrials. Ladish Co., Inc.,
a provider of components for the jet engine, aerospace, and general industrial
markets, performed well, as it benefited from a strong aerospace market.
Selection of stocks within the healthcare sector also aided relative
performance for the fiscal year ended October 31, 2005. American Dental
Partners, Inc., a business partner to dental group practices, was a strong
performer. The company benefited from the increased popularity of cosmetic
dentistry among American consumers, which resulted in increases in profits for
dentists. Another healthcare company, Meridian Bioscience Inc., a company that
provides medical testing products so doctors can perform rapid in-office testing
for common maladies, also helped fund performance. The holding was undervalued
by the market and gained strength after making a couple of acquisitions linking
the company to homeland security issues and the ability to rapidly test water
and people quickly in the event of a bio-terrorism threat. The company also
benefited from its ability to test for influenza and SARS (severe acute
respiratory syndrome), as well as its test kit for bacteria linked to the cause
of ulcers.
The greatest detractor to fund performance relative to its benchmark for the
fiscal year ended October 31, 2005, was the portfolio's underweight position
within the utilities sector. Appropriate micro-cap opportunities are relatively
rare in the utilities sector.
Stock selection within the consumer staples sector also had a negative
impact on the fund's relative performance for the fiscal year ended October 31,
2005. Consumer staples companies include those that produce or sell regularly
consumed goods, such as food, beverages, tobacco, prescription drugs, and
household products. Alliance One International, Inc., an independent leaf
tobacco merchant serving the world's multinational cigarette manufacturers,
underperformed due to volatile moves in the price of tobacco around the world
over the past few years. It was also hurt by adverse judgments against tobacco
brokers for inappropriate business practices in two countries. The company cut
its dividend by 60 percent in August, which led the fund to sell the holding by
the end of the fiscal year ended October 31, 2005.
THE FUND'S PORTFOLIO IS ACTIVELY MANAGED AND, THEREFORE, ITS HOLDINGS AND
WEIGHTINGS OF A PARTICULAR ISSUER OR PARTICULAR SECTOR AS A PERCENTAGE OF
PORTFOLIO ASSETS ARE SUBJECT TO CHANGE. SECTORS MAY INCLUDE MANY INDUSTRIES.
4
<Page>
- --------------------------------------------------------------------------------
A PROSPECTUS CONTAINS IMPORTANT INFORMATION ABOUT A FUND, INCLUDING ITS
INVESTMENT OBJECTIVES, RISKS, CHARGES, AND ONGOING EXPENSES, WHICH AN INVESTOR
SHOULD CAREFULLY CONSIDER BEFORE INVESTING. TO OBTAIN A PROSPECTUS ON ANY LORD
ABBETT MUTUAL FUND, PLEASE CONTACT YOUR INVESTMENT PROFESSIONAL OR LORD ABBETT
DISTRIBUTOR LLC AT 800-874-3733 OR VISIT OUR WEBSITE AT www.LordAbbett.com. READ
THE PROSPECTUS CAREFULLY BEFORE INVESTING.
(1) S&P 500(R) Index is widely regarded as the standard for measuring large-cap
U.S. stock market performance. This popular index includes a representative
sample of leading companies in leading industries.
(2) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values.
(3) The Russell 2000(R) Value Index measures the performance of those Russell
2000 companies with lower price-to-book ratios and lower forecasted growth
values.
Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are
not available for direct investment.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
The views of each fund's management and the portfolio holdings described in this
report are as of October 31, 2005; these views and portfolio holdings may have
changed subsequent to this date, and they do not guarantee the future
performance of the markets or the funds. Information provided in this report
should not be considered a recommendation to purchase or sell securities.
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with a
fund, please see the fund's prospectuses.
PERFORMANCE: BECAUSE OF ONGOING MARKET VOLATILITY, A FUND'S PERFORMANCE MAY BE
SUBJECT TO SUBSTANTIAL FLUCTUATION. Except where noted, comparative fund
performance does not account for the deduction of sales charges, and would be
different if sales charges were included. Each fund offers additional classes of
shares with distinct pricing options. For a full description of the differences
in pricing alternatives, please see the fund's prospectuses.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY, BANKS, AND ARE SUBJECT TO INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
5
<Page>
MICRO-CAP GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class Y shares with the same
investment in the Center for Research Security Prices Index ("CRSP 9-10 Index")
and the Russell 2000(R) Growth Index, assuming reinvestment of all dividends and
distributions. The Fund will remove in the next Annual Report, the CRSP 9-10
Index because the Fund believes that the CRSP 9-10 Index is not as widely
available to the public as the Russell 2000(R) Growth Index. The performance of
the other class will be greater than or less than the performance shown in the
graph below due to different sales loads and expenses applicable to such class.
The graph and performance table below do not reflect the deduction of taxes that
a shareholder would pay on fund distributions or the redemption of fund shares.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS Y SHARES) RUSSELL 2000(R)
AT NET ASSET VALUE CRSP 9-10 INDEX(1) GROWTH INDEX(1)
7/9/1999 $ 10,000 $ 10,000 $ 10,000
10/31/1999 $ 9,175 $ 9,381 $ 10,063
10/31/2000 $ 10,504 $ 11,452 $ 11,689
10/31/2001 $ 9,348 $ 11,351 $ 8,007
10/31/2002 $ 7,439 $ 10,742 $ 6,280
10/31/2003 $ 10,800 $ 19,048 $ 9,203
10/31/2004 $ 11,824 $ 20,955 $ 9,712
10/31/2005 $ 14,611 $ 23,733 $ 10,772
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
LIFE OF
1 YEAR 5 YEARS CLASS
CLASS A(2) 16.17% 5.24% 0.27%
CLASS Y(3) 23.57% 6.82% 6.19%
</Table>
(1) Performance for each unmanaged index does not reflect transaction costs,
management fees or sales charges. The performance of each index is not
necessarily representative of the Fund's performance. Performance for each index
begins on July 31, 1999.
(2) Class A shares commenced operations on May 1, 2000. Total return, which is
the percent change in net asset value, after deduction of the maximum initial
sales charge of 5.75% applicable to Class A shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2005, is
calculated using the SEC-required uniform method to compute such return.
(3) Class Y shares commenced operations on July 9, 1999. Performance is at net
asset value.
6
<Page>
MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class Y shares with the same
investment in the Center for Research Security Prices Index ("CRSP 9-10 Index")
and the Russell 2000(R) Value Index, assuming reinvestment of all dividends and
distributions. The Fund will remove in the next Annual Report the CRSP 9-10
Index because the Fund believes that the CRSP 9-10 Index is not as widely
available to the public as the Russell 2000(R) Value Index. The performance of
the other class will be greater than or less than the performance shown in the
graph below due to different sales loads and expenses applicable to such class.
The graph and performance table below do not reflect the deduction of taxes that
a shareholder would pay on fund distributions or the redemption of fund shares.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS Y SHARES) RUSSELL 2000(R)
AT NET ASSET VALUE CRSP 9-10 INDEX(1) VALUE INDEX(1)
7/9/1999 $ 10,000 $ 10,000 $ 10,000
10/31/1999 $ 9,065 $ 9,381 $ 9,253
10/31/2000 $ 13,608 $ 11,452 $ 10,854
10/31/2001 $ 15,987 $ 11,351 $ 11,803
10/31/2002 $ 16,708 $ 10,742 $ 11,505
10/31/2003 $ 24,118 $ 19,048 $ 16,140
10/31/2004 $ 29,029 $ 20,955 $ 19,044
10/31/2005 $ 36,803 $ 23,733 $ 21,527
</Table>
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2005
<Table>
<Caption>
LIFE OF
1 YEAR 5 YEARS CLASS
Class A(2) 19.16% 20.21% 22.40%
Class Y(3) 26.78% 22.01% 22.93%
</Table>
(1) Performance for each unmanaged index does not reflect transaction costs,
management fees or sales charges. The performance of each index is not
necessarily representative of the Fund's performance. Performance for each index
begins on July 31, 1999.
(2) Class A shares commenced operations on May 1, 2000. Total return, which is
the percent change in net asset value, after deduction of the maximum initial
sales charge of 5.75% applicable to Class A shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2005, is
calculated using the SEC-required uniform method to compute such return.
(3) Class Y shares commenced operations on July 9, 1999. Performance is at net
asset value.
7
<Page>
- --------------------------------------------------------------------------------
EXPENSE EXAMPLES
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges on purchase payments (these charges vary among
the share classes); and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees (these charges vary among the share
classes); and other Fund expenses. The Examples are intended to help you
understand your ongoing costs (in dollars) of investing in the Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (May 1, 2005 through October 31,
2005).
ACTUAL EXPENSES
For each class of each Fund, the first line of the tables on the following
pages provides information about actual account values and actual expenses. You
may use the information in this line, together with the amount you invested, to
estimate the expenses that you paid over the period. Simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),
then multiply the result by the number in the first line under the heading
entitled "Expenses Paid During the Period 5/1/05 - 10/31/05" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of each Fund, the second line of the tables on the following
pages provides information about hypothetical account values and hypothetical
expenses based on each Fund's actual expense ratio and an assumed rate of return
of 5% per year before expenses, which is not each Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in each Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
8
<Page>
MICRO-CAP GROWTH FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,192.60 $ 11.60
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,014.62 $ 10.66
CLASS Y
Actual $ 1,000.00 $ 1,194.50 $ 10.23
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,015.88 $ 9.40
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (2.10% for Class A, and 1.85% for Class Y) multiplied by
the average account value over the period, multiplied by 184/365 (to reflect
one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
OCTOBER 31, 2005
<Table>
<Caption>
SECTOR* %**
Consumer Discretionary 25.56%
Financial Services 13.15%
Healthcare 25.74%
Materials & Processing 3.92%
Producer Durables 4.74%
Short-Term Investment 5.91%
Technology 20.98%
Total 100.00%
</Table>
* A sector may comprise several industries.
** Represents percent of total investments.
9
<Page>
MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges. Therefore, the second line of the table is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. In addition, if these transactional costs were included, your
costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE PERIOD+
----- ----- -------
5/1/05 -
5/1/05 10/31/05 10/31/05
------ -------- --------
CLASS A
Actual $ 1,000.00 $ 1,181.40 $ 11.54
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,014.62 $ 10.66
CLASS Y
Actual $ 1,000.00 $ 1,182.80 $ 10.18
Hypothetical (5% Return Before Expenses) $ 1,000.00 $ 1,015.88 $ 9.40
</Table>
+ For each class of the Fund, expenses are equal to the annualized expense
ratio for such class (2.10% for Class A, and 1.85% for Class Y) multiplied by
the average account value over the period, multiplied by 184/365 (to reflect
one-half year period).
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS PRESENTED BY SECTOR
OCTOBER 31, 2005
<Table>
<Caption>
SECTOR* %**
Auto & Transportation 6.51%
Consumer Discretionary 24.71%
Consumer Staples 0.56%
Financial Services 16.63%
Healthcare 8.78%
Materials & Processing 11.13%
Other Energy 3.46%
Producer Durables 18.48%
Short-Term Investment 3.12%
Technology 6.08%
Utilities 0.54%
Total 100.00%
</Table>
* A sector may comprise several industries.
** Represents percent of total investments.
10
<Page>
SCHEDULE OF INVESTMENTS
MICRO-CAP GROWTH FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------------
COMMON STOCKS 96.08%
BANKS: OUTSIDE NEW YORK CITY 3.74%
Community Bancorp* 8,200 $ 268
---------
BIOTECHNOLOGY RESEARCH & PRODUCTION 7.26%
Kendle Int'l., Inc.* 10,200 245
Matrixx Initiatives, Inc.* 12,600 211
Regeneration
Technologies, Inc.* 8,700 63
---------
TOTAL 519
---------
CASINOS & GAMBLING 5.19%
Mikohn Gaming Corp.* 15,600 164
Youbet.com, Inc.* 34,300 208
---------
TOTAL 372
---------
CHEMICALS 4.00%
Medis Technologies Ltd.* 9,500 160
Ultralife Batteries, Inc.* 10,400 126
---------
TOTAL 286
---------
COMMUNICATIONS TECHNOLOGY 2.91%
ClearOne
Communications, Inc.* 264 1
Telkonet, Inc.* 42,500 207
---------
TOTAL 208
---------
COMPUTER SERVICES, SOFTWARE &
SYSTEMS 14.47%
Aladdin Knowledge
Systems Ltd.*(a) 5,900 104
eCollege.com* 9,300 148
Knot, Inc. (The)* 12,160 146
LivePerson, Inc.* 32,230 143
Nestor, Inc.* 22,500 149
Online Resources Corp.* 19,900 239
TechTeam Global, Inc.* 11,500 107
---------
TOTAL 1,036
---------
COMPUTER TECHNOLOGY 0.85%
Digital Recorders, Inc.* 30,400 61
---------
CONSUMER PRODUCTS 4.36%
Citi Trends, Inc.* 6,800 $ 195
Orange 21 Inc.* 32,700 117
---------
TOTAL 312
---------
DRUGS & PHARMACEUTICALS 2.39%
SFBC Int'l., Inc.* 4,000 170
---------
ELECTRONICS: INSTRUMENTS, GAUGES &
METERS 2.77%
Measurement
Specialties, Inc.* 8,300 198
---------
ELECTRONICS: MEDICAL SYSTEMS 8.53%
Cutera, Inc.* 8,200 225
IntraLase Corp.* 10,100 156
PhotoMedex, Inc.* 60,800 131
RITA Medical Systems, Inc.* 29,700 99
---------
TOTAL 611
---------
ELECTRONICS: SEMI-CONDUCTORS/
COMPONENTS 3.19%
International
DisplayWorks, Inc.* 23,450 138
Windsortech, Inc.* 64,600 91
---------
TOTAL 229
---------
FINANCE COMPANIES 2.54%
Asta Funding, Inc. 6,700 182
---------
FINANCIAL DATA PROCESSING SERVICES &
SYSTEMS 3.23%
CyberSource Corp.* 34,500 231
---------
FINANCIAL MISCELLANEOUS 2.07%
Electronic Clearing
House, Inc.* 14,400 148
---------
HEALTH & PERSONAL CARE 2.44%
NovaMed, Inc.* 25,000 175
---------
INSURANCE: PROPERTY-CASUALTY 1.86%
Brooke Corp. 9,500 133
---------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
MICRO-CAP GROWTH FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------------
JEWELRY WATCHES & GEMSTONES 1.91%
LJ Int'l., Inc.*(a) 44,200 $ 137
---------
MACHINERY: SPECIALTY 2.07%
TurboChef
Technologies, Inc.* 10,900 148
---------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 5.67%
MEDTOX Scientific, Inc.* 10,900 71
Molecular Devices Corp.* 9,500 213
Neogen Corp.* 6,650 122
---------
TOTAL 406
---------
PRINTING & COPYING SERVICES 1.15%
TRM Corp.* 6,100 82
---------
RADIO & TV BROADCASTERS 0.76%
WPT Enterprises, Inc.* 7,600 55
---------
RETAIL 5.30%
Bon-Ton Stores, Inc. (The) 9,700 195
Cache, Inc.* 11,600 185
---------
TOTAL 380
---------
SERVICES: COMMERCIAL 2.25%
Exponent, Inc.* 5,600 161
---------
TEXTILES APPAREL MANUFACTURERS 5.17%
Oxford Industries, Inc. 5,400 266
True Religion Apparel, Inc.* 8,300 104
---------
TOTAL 370
---------
TOTAL COMMON STOCKS
(cost $5,969,092) 6,878
=========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 6.03%
REPURCHASE AGREEMENT 6.03%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$445,000 of Federal
Home Loan Mortgage
Corp. at 4.50%
due 11/15/2011;
value: $444,444;
proceeds: $431,921
(cost $431,882) $ 432 $ 432
---------
TOTAL INVESTMENTS IN
SECURITIES 102.11%
(cost $6,400,974) 7,310
=========
LIABILITIES IN EXCESS OF
OTHER ASSETS (2.11%) (151)
=========
NET ASSETS 100.00% $ 7,159
=========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
SCHEDULE OF INVESTMENTS
MICRO-CAP VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------------
COMMON STOCKS 96.35%
AEROSPACE 5.54%
Allied Defense
Group, Inc. (The)* 11,900 $ 265
Ladish Co., Inc.* 39,400 788
---------
TOTAL 1,053
---------
AGRICULTURE, FISHING & RANCHING 1.10%
Andersons, Inc. (The) 6,000 209
---------
AIR TRANSPORTATION 1.06%
Frontier Airlines, Inc.* 21,300 201
---------
AUTO PARTS: AFTER MARKET 1.61%
Keystone Automotive
Industries, Inc.* 10,700 306
---------
BANKS 0.48%
North Bay Bancorp 3,400 91
---------
BANKS: OUTSIDE NEW YORK CITY 6.66%
CoBiz, Inc. 10,150 180
Columbia Bancorp 10,700 225
Dearborn Bancorp, Inc.* 9,220 231
Franklin Bank Corp.* 14,200 245
Pennsylvania Commerce
Bancorp, Inc.* 4,800 166
Southwest Bancorp, Inc. 9,400 220
---------
TOTAL 1,267
---------
CHEMICALS 1.54%
NuCO2, Inc.* 8,200 188
Quaker Chemical Corp. 6,600 105
---------
TOTAL 293
---------
COMMUNICATIONS TECHNOLOGY 1.20%
Bel Fuse Inc. Class A 9,700 228
---------
COMPUTER SERVICES, SOFTWARE &
SYSTEMS 1.46%
Moldflow Corp.* 19,000 278
---------
COMPUTER TECHNOLOGY 2.35%
Fargo Electronics, Inc.* 13,800 $ 260
Mobility Electronics, Inc.* 20,600 186
---------
TOTAL 446
---------
CONSTRUCTION 1.90%
Modtech Holdings, Inc.* 35,700 362
---------
CONTAINERS & PACKAGING: METAL &
GLASS 1.55%
Mobile Mini, Inc.* 6,300 294
---------
DIVERSIFIED FINANCIAL SERVICES 0.76%
American Physicians
Services Group, Inc. 12,100 145
---------
ELECTRICAL EQUIPMENT &
COMPONENTS 2.82%
Azz, inc.* 14,400 254
Powell Industries, Inc.* 13,500 283
---------
TOTAL 537
---------
ELECTRICAL: HOUSEHOLD APPLIANCE 1.19%
Emerson Radio Corp.* 67,800 227
---------
ELECTRONICS:
SEMI-CONDUCTORS/COMPONENTS 1.04%
SBS Technologies, Inc.* 20,200 197
---------
FINANCIAL MISCELLANEOUS 1.16%
Federal Agricultural
Mortgage Corp. Class C 3,600 94
Financial Federal Corp. 3,300 126
---------
TOTAL 220
---------
FOODS 0.56%
Tasty Baking Co. 13,100 106
---------
FUNERAL PARLORS & CEMETERY 2.41%
Carriage Services, Inc.* 48,500 293
Rock of Ages Corp. 30,400 165
---------
TOTAL 458
---------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
MICRO-CAP VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------------
HEALTHCARE FACILITIES 1.68%
Capital Senior Living Corp.* 39,900 $ 319
---------
HEALTHCARE MANAGEMENT SERVICES 1.19%
American Dental
Partners, Inc.* 10,700 227
---------
HOTEL/MOTEL 1.30%
Interstate
Hotels & Resorts, Inc.* 55,400 247
---------
IDENTIFICATION CONTROL & FILTER
DEVICES 0.78%
Robbins & Myers, Inc. 6,900 149
---------
INSURANCE: PROPERTY-CASUALTY 3.42%
Donegal Group Inc. 15,200 337
Navigators Group, Inc. (The)* 8,100 314
---------
TOTAL 651
---------
MACHINERY: INDUSTRIAL/SPECIALTY 3.36%
Tennant Co. 6,000 261
Twin Disc, Inc. 10,200 377
---------
TOTAL 638
---------
MACHINERY: OIL WELL EQUIPMENT &
SERVICES 1.44%
Lufkin Industries, Inc. 5,900 274
---------
MACHINERY: SPECIALTY 1.68%
Key Technology, Inc.* 21,800 320
---------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 4.72%
ICU Medical, Inc.* 4,900 171
Medical Action
Industries Inc.* 14,980 281
Meridian Bioscience Inc. 6,250 131
Molecular Devices Corp.* 14,000 314
---------
TOTAL 897
---------
METAL FABRICATING 1.03%
NN, Inc. 18,700 196
---------
METALS & MINERALS MISCELLANEOUS 2.06%
A.M. Castle & Co.* 19,600 $ 391
---------
MISCELLANEOUS MATERIALS &
COMMODITIES 1.07%
Lydall, Inc.* 22,700 203
---------
MISCELLANEOUS SERVICE 1.14%
Psychemedics Corp. 16,800 217
---------
OIL: CRUDE PRODUCERS 2.00%
Bronco Drilling Co., Inc.* 5,600 136
Pioneer Drilling Co.* 14,300 245
---------
TOTAL 381
---------
POLLUTION CONTROL & ENVIRONMENTAL
SERVICES 2.33%
Team, Inc.* 17,400 442
---------
REAL ESTATE INVESTMENT TRUSTS 0.82%
Agree Realty Corp. 5,800 156
---------
RENTAL & LEASING SERVICES:
COMMERCIAL 1.89%
McGrath RentCorp 12,600 360
---------
RETAIL 1.37%
Rush Enterprises,
Inc. Class B* 17,900 260
---------
SAVINGS & LOAN 1.34%
Beverly Hills Bancorp Inc. 24,900 254
---------
SERVICES: COMMERCIAL 15.14%
Ambassadors Int'l., Inc. 9,300 242
Collectors Universe, Inc.* 22,300 340
Exponent, Inc.* 17,700 510
Hudson Highland
Group, Inc.* 12,100 290
Integrated Alarm Services
Group, Inc.* 50,400 144
Monro Muffler Brake, Inc. 14,700 440
SM&A* 46,500 395
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
MICRO-CAP VALUE FUND OCTOBER 31, 2005
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ----------------------------------------------------------------------------------------
Waste Industries USA, Inc. 17,900 $ 246
World Fuel Services Corp. 8,500 271
---------
TOTAL 2,878
---------
STEEL 0.83%
Steel Technologies Inc. 6,000 157
---------
TELECOMMUNICATIONS EQUIPMENT 1.86%
C-COR Inc.* 47,700 254
Radyne Corp.* 8,500 100
---------
TOTAL 354
---------
TEXTILES APPAREL MANUFACTURERS 3.17%
Hartmarx Corp.* 23,800 166
Lakeland Industries, Inc.* 23,300 436
---------
TOTAL 602
---------
TRANSPORTATION MISCELLANEOUS 1.46%
Quixote Corp. 13,700 277
---------
TRUCKERS 2.35%
Frozen Food Express
Industries, Inc.* 24,200 273
P.A.M. Transportation
Services, Inc.* 10,200 173
---------
TOTAL 446
---------
UTILITIES: GAS DISTRIBUTORS 0.53%
Chesapeake Utilities Corp. 3,100 101
---------
TOTAL COMMON STOCKS
(cost $14,023,873) 18,315
---------
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 3.10%
REPURCHASE AGREEMENT 3.10%
Repurchase Agreement
dated 10/31/2005,
3.30% due 11/1/2005
with State Street
Bank & Trust Co.
collateralized by
$615,000 of Federal
Home Loan Mortgage
Corp. at 5.45%
due 3/29/2019;
value: $602,700;
proceeds: $590,017
(cost $589,963) $ 590 $ 590
---------
TOTAL INVESTMENTS IN
SECURITIES 99.45%
(cost $14,613,836) 18,905
=========
OTHER ASSETS IN EXCESS OF
LIABILITIES 0.55% 105
=========
NET ASSETS 100.00% $ 19,010
=========
</Table>
* Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2005
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 6,400,974 $ 14,613,836
- -----------------------------------------------------------------------------------------
Investment in securities, at value $ 7,310,186 $ 18,904,888
Receivables:
Interest and dividends 274 2,450
Investment securities sold - 129,316
Capital shares sold 3,895 10,181
From advisor 9,845 16,630
Prepaid expenses and other assets 19,142 30,105
- -----------------------------------------------------------------------------------------
TOTAL ASSETS 7,343,342 19,093,570
- -----------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 142,581 8,036
Management fees 8,799 22,679
12b-1 distribution fees 1,493 3,938
Fund administration 235 605
Trustees' fees 583 924
Accrued expenses and other liabilities 30,739 46,896
- -----------------------------------------------------------------------------------------
TOTAL LIABILITIES 184,430 83,078
=========================================================================================
NET ASSETS $ 7,158,912 $ 19,010,492
=========================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 5,292,038 $ 12,536,369
Accumulated net investment loss (583) (924)
Accumulated net realized gain on investments 958,245 2,183,995
Net unrealized appreciation on investments 909,212 4,291,052
- -----------------------------------------------------------------------------------------
NET ASSETS $ 7,158,912 $ 19,010,492
=========================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 5,937,920 $ 15,383,551
Class Y Shares $ 1,220,992 $ 3,626,941
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF AUTHORIZED
SHARES OF BENEFICIAL INTEREST):
Class A Shares 416,855 570,503
Class Y Shares 84,622 133,468
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 14.24 $ 26.96
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 15.11 $ 28.60
Class Y Shares-Net asset value $ 14.43 $ 27.17
=========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2005
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 5,329 $ 109,244
Interest 6,588 16,040
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 11,917 125,284
- -----------------------------------------------------------------------------------------
EXPENSES:
Management fees 101,142 236,210
12b-1 distribution plan-Class A 13,859 33,024
Shareholder servicing 5,985 10,349
Professional 30,610 37,608
Reports to shareholders 9,557 28,130
Fund administration 2,697 6,299
Custody 2,041 8,112
Trustees' fees 342 993
Registration 355 3,498
Other 117 262
- -----------------------------------------------------------------------------------------
Gross expenses 166,705 364,485
Expense reductions (See Note 7) (207) (265)
Expenses assumed by advisor (See Note 3) (27,865) (39,790)
- -----------------------------------------------------------------------------------------
NET EXPENSES 138,633 324,430
- -----------------------------------------------------------------------------------------
NET INVESTMENT LOSS (126,716) (199,146)
- -----------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments 1,084,736 2,387,903
Net change in unrealized appreciation (depreciation)
on investments 388,706 1,466,377
=========================================================================================
NET REALIZED AND UNREALIZED GAIN 1,473,442 3,854,280
=========================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,346,726 $ 3,655,134
=========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED OCTOBER 31, 2005
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (126,716) $ (199,146)
Net realized gain (loss) on investments 1,084,736 2,387,903
Net change in unrealized appreciation (depreciation)
on investments 388,706 1,466,377
- -----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 1,346,726 3,655,134
=========================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain
Class A (145,059) (1,261,565)
Class Y (29,179) (202,569)
- -----------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (174,238) (1,464,134)
=========================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 709,557 3,061,628
Reinvestment of distributions 173,991 1,463,981
Cost of shares reacquired (640,634) (307,012)
- -----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 242,914 4,218,597
=========================================================================================
NET INCREASE IN NET ASSETS 1,415,402 6,409,597
=========================================================================================
NET ASSETS:
Beginning of year 5,743,510 12,600,895
- -----------------------------------------------------------------------------------------
END OF YEAR $ 7,158,912 $ 19,010,492
=========================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (583) $ (924)
=========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED OCTOBER 31, 2004
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (104,644) $ (131,931)
Net realized gain on investments 595,487 1,589,792
Net change in unrealized appreciation (depreciation)
on investments (66,499) 457,431
- -----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 424,344 1,915,292
=========================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (122,771)
Class Y - (351)
Net realized gain
Class A - (532,495)
Class Y - (1,280)
- -----------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (656,897)
=========================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,784,611 3,926,178
Reinvestment of distributions - 656,897
Cost of shares reacquired (1,128,485) (2,153,835)
- -----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 656,126 2,429,240
=========================================================================================
NET INCREASE IN NET ASSETS 1,080,470 3,687,635
=========================================================================================
NET ASSETS:
Beginning of year 4,663,040 8,913,260
- -----------------------------------------------------------------------------------------
END OF YEAR $ 5,743,510 $ 12,600,895
=========================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (326) $ (76)
=========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP GROWTH FUND
<Table>
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 11.88 $ 10.87 $ 7.51 $ 9.49 $ 13.18
======== ======== ======== ======== ========
Investment operations:
Net investment income (loss)(a) (.25) (.23) (.14) (.02) -(c)
Net realized and unrealized gain (loss) 2.96 1.24 3.50 (1.95) (1.34)
-------- -------- -------- -------- --------
Total from investment operations 2.71 1.01 3.36 (1.97) (1.34)
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.01) (.01)
Net realized gain (.35) - - - (2.34)
-------- -------- -------- -------- --------
Total distributions (.35) - - (.01) (2.35)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 14.24 $ 11.88 $ 10.87 $ 7.51 $ 9.49
======== ======== ======== ======== ========
Total Return(b) 23.21% 9.29% 44.74% (20.81)% (11.30)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions and expenses assumed 2.10% 2.10% 1.75% .38% .38%
Expenses, excluding expense
reductions and expenses assumed 2.51% 2.52% 2.84% 2.99% 4.02%
Net investment income (loss) (1.92)% (1.91)% (1.60)% (.24)% .04%
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 5,938 $ 4,726 $ 4,655 $ 2,698 $ 2,266
Portfolio turnover rate 64.79% 79.07% 126.71% 34.08% 80.17%
============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP GROWTH FUND
<Table>
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 12.00 $ 10.96 $ 7.55 $ 9.52 $ 13.21
======== ======== ======== ======== ========
Investment operations:
Net investment income (loss)(a) (.22) (.20) (.11) .01 .04
Net realized and unrealized gain (loss) 3.00 1.24 3.52 (1.95) (1.35)
-------- -------- -------- -------- --------
Total from investment operations 2.78 1.04 3.41 (1.94) (1.31)
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.03) (.04)
Net realized gain (.35) - - - (2.34)
-------- -------- -------- -------- --------
Total distributions (.35) - - (.03) (2.38)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 14.43 $ 12.00 $ 10.96 $ 7.55 $ 9.52
======== ======== ======== ======== ========
Total Return(b) 23.57% 9.49% 45.17% (20.42)% (11.00)%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions and expenses assumed 1.85% 1.85%+ 1.42% .00% .00%
Expenses, excluding expense
reductions and expenses assumed 2.25% 2.27%+ 2.51% 2.61% 3.64%
Net investment income (loss) (1.67)% (1.66)%+ (1.27)% .14% .42%
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 1,221 $ 1,018 $ 8 $ 6 $ 7
Portfolio turnover rate 64.79% 79.07% 126.71% 34.08% 80.17%
============================================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the year.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Amount represents less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 23.89 $ 21.43 $ 15.56 $ 15.68 $ 15.90
======== ======== ======== ======== ========
Investment operations:
Net investment income (loss)(a) (.32) (.27) (.14) .05 .10
Net realized and unrealized gain 6.12 4.31 6.69 .60 2.20
-------- -------- -------- -------- --------
Total from investment operations 5.80 4.04 6.55 .65 2.30
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - (.30) (.05) (.05) (.14)
Net realized gain (2.73) (1.28) (.63) (.72) (2.38)
-------- -------- -------- -------- --------
Total distributions (2.73) (1.58) (.68) (.77) (2.52)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 26.96 $ 23.89 $ 21.43 $ 15.56 $ 15.68
======== ======== ======== ======== ========
Total Return(b) 26.45% 20.08% 43.80% 4.12% 17.16%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions and expenses assumed 2.10% 2.10% 1.73% .38% .38%
Expenses, excluding expense
reductions and expenses assumed 2.35% 2.27% 2.18% 2.76% 3.08%
Net investment income (loss) (1.30)% (1.22)% (.84)% .31% .64%
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 15,384 $ 10,838 $ 8,892 $ 5,442 $ 4,889
Portfolio turnover rate 34.59% 36.97% 48.55% 36.02% 52.63%
============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
2005 2004 2003 2002 2001
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 24.00 $ 21.53 $ 15.63 $ 15.72 $ 15.92
======== ======== ======== ======== ========
Investment operations:
Net investment income (loss)(a) (.26) (.22) (.09) .12 .16
Net realized and unrealized gain 6.16 4.32 6.73 .59 2.19
-------- -------- -------- -------- --------
Total from investment operations 5.90 4.10 6.64 .71 2.35
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - (.35) (.11) (.08) (.17)
Net realized gain (2.73) (1.28) (.63) (.72) (2.38)
-------- -------- -------- -------- --------
Total distributions (2.73) (1.63) (.74) (.80) (2.55)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 27.17 $ 24.00 $ 21.53 $ 15.63 $ 15.72
======== ======== ======== ======== ========
Total Return(b) 26.78% 20.36% 44.35% 4.51% 17.48%
RATIOS TO AVERAGE NET ASSETS:
Expenses, including expense
reductions and expenses assumed 1.85% 1.85%+ 1.41% .00% .00%
Expenses, excluding expense
reductions and expenses assumed 2.11% 2.02%+ 1.86% 2.38% 2.70%
Net investment income (loss) (1.06)% (.97)%+ (.52)% .69% 1.02%
<Caption>
YEAR ENDED 10/31
--------------------------------------------------------
SUPPLEMENTAL DATA: 2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 3,627 $ 1,763 $ 21 $ 15 $ 14
Portfolio turnover rate 34.59% 36.97% 48.55% 36.02% 52.63%
============================================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the year.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as an open-end management investment company
organized as a Delaware business trust on February 26, 1993. The Trust currently
consists of seven funds. This report covers the following two funds and their
respective classes (separately, a "Fund" and collectively, the "Funds"): Lord
Abbett Micro-Cap Growth Fund ("Micro-Cap Growth Fund"), Class A and Y shares and
Lord Abbett Micro-Cap Value Fund ("Micro-Cap Value Fund"), Class A and Y shares.
The investment objective of both Micro-Cap Growth Fund and Micro-Cap Value Fund
is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the Net Asset Value ("NAV") for Class A shares.
There is no front-end sales charge in the case of Class Y shares, although there
may be a contingent deferred sales charge ("CDSC") for certain redemptions of
Class A shares made within 24 months (12 months if shares were purchased on or
after November 1, 2004) following certain purchases made without a sales charge.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sale price or official
closing price on the exchange or system on which they are principally
traded. Unlisted equity securities are valued at the last quoted sale price
or, if no sale price is available, at the mean between the most recently
quoted bid and asked prices. Securities for which market quotations are not
readily available are valued at fair value as determined by management and
approved in good faith by the Board of Trustees. Short-term securities with
60 days or less remaining to maturity are valued using the amortized cost
method, which approximates current market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date
that the securities are purchased or sold (trade date). Realized gains and
losses on sales of portfolio securities are calculated using the
identified-cost method. Realized and unrealized gains (losses) are
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted
and premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all taxable income and
capital gains to its shareholders. Therefore, no Federal income tax
provision is required.
24
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are generally allocated to the Funds within the Trust on
a pro rata basis. Expenses, excluding class specific expenses, are
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day. Class A shares bear all expenses and
fees relating to the Class A 12b-1 Distribution Plan.
(f) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed-upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash or by securities of the U.S.
Government, its agencies, its instrumentalities, or U.S. Government
sponsored enterprises having a value equal to, or in excess of, the value
of the repurchase agreement (including accrued interest). If the seller of
the agreement defaults on its obligation to repurchase the underlying
securities at a time when the value of these securities has declined, the
Fund may incur a loss upon disposition of the securities.
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord, Abbett & Co. LLC ("Lord Abbett")
pursuant to which Lord Abbett supplies the Trust with investment management
services and executive and other personnel, pays the remuneration of officers,
provides office space and pays for ordinary and necessary office and clerical
expenses relating to research and statistical work and supervision of the
Trust's investment portfolios.
The management fee is based on average daily net assets at an annual rate of
1.50%.
For the fiscal year ended October 31, 2005, Lord Abbett contractually agreed to
reimburse each Fund to the extent necessary so that each class' net operating
expenses did not exceed the following annual rates:
<Table>
<Caption>
CLASS % OF AVERAGE DAILY NET ASSETS
- --------------------------------------
A 2.10%
Y 1.85%
</Table>
Lord Abbett provides certain administrative services to the Funds pursuant to an
Administrative Services Agreement at an annual rate of .04% of each Fund's
average daily net assets.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan with respect to the Class A shares of
the Micro-Cap Growth Fund and Micro-Cap Value Fund pursuant to Rule 12b-1 of the
Act, which provides for the payment of ongoing distribution and service fees to
Lord Abbett Distributor LLC ("Distributor"), an affiliate of Lord Abbett. The
service fees are accrued daily based upon the average daily net assets
attributable to Class A at an annual rate of .25%.
Class Y does not have a distribution plan.
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
25
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS
Dividends from net investment income, if any, are declared and paid at least
annually. Taxable net realized gains from investment transactions, reduced by
capital loss carryforwards, if any, are declared and distributed to shareholders
at least annually. The capital loss carryforward amount, if any, is available to
offset future net capital gains. Dividends and distributions to shareholders are
recorded on the ex-dividend date. The amount of dividends and distributions from
net investment income and net realized capital gains are determined in
accordance with Federal income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These book/tax
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the components of net assets based on their federal tax basis treatment;
temporary differences do not require reclassification. Dividends and
distributions, which exceed earnings and profits for tax purposes, are reported
as a tax return of capital.
The following distributions were declared on November 15, 2005, and paid on
November 22, 2005 to shareholders of record on November 21, 2005:
<Table>
<Caption>
SHORT-TERM LONG-TERM
CAPITAL GAIN CAPITAL GAIN
- --------------------------------------------------------------------------------
Micro-Cap Growth $ 303,120 $ 655,125
Micro-Cap Value 63,271 2,124,085
</Table>
The tax character of distributions paid during the fiscal years ended October
31, 2005 and 2004 were as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
10/31/2005 10/31/2004 10/31/2005 10/31/2004
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ - $ - $ 276,855 $ 123,122
Net long-term capital gains 174,238 - 1,187,279 533,775
- --------------------------------------------------------------------------------
Total distributions paid $ 174,238 $ - $ 1,464,134 $ 656,897
================================================================================
</Table>
As of October 31, 2005, the components of accumulated earnings (losses) on a
tax-basis were as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
Undistributed ordinary income - net $ 303,120 $ 63,271
Undistributed long-term capital gains 655,125 2,124,085
- --------------------------------------------------------------------------------
Total undistributed earnings $ 958,245 $ 2,187,356
Temporary differences (583) (924)
Unrealized gains - net 909,212 4,287,691
- --------------------------------------------------------------------------------
Total accumulated earnings - net $ 1,866,874 $ 6,474,123
================================================================================
</Table>
As of October 31, 2005, the aggregate unrealized security gains and losses based
on cost for U.S. Federal income tax purposes are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
Tax cost $ 6,400,974 $ 14,617,197
- --------------------------------------------------------------------------------
Gross unrealized gain 1,487,035 4,772,763
Gross unrealized loss (577,823) (485,072)
- --------------------------------------------------------------------------------
Net unrealized security gain $ 909,212 $ 4,287,691
================================================================================
</Table>
26
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
Permanent items identified during the year ended October 31, 2005 have been
reclassified among the components of net assets based on their tax-basis
treatment as follows:
<Table>
<Caption>
ACCUMULATED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAIN (LOSS)
- ----------------------------------------------------------------------
Micro-Cap Growth Fund $ 126,459 $ (126,459)
Micro-Cap Value Fund 198,298 (198,298)
</Table>
The permanent differences are primarily attributable to the tax treatment of net
operating losses and short-term capital gains.
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments)
for the year ended October 31, 2005 were as follows:
<Table>
<Caption>
PURCHASES SALES
- ------------------------------------------------------
Micro-Cap Growth Fund $ 4,249,950 $ 4,219,816
Micro-Cap Value Fund 7,671,133 5,253,533
</Table>
There were no purchases or sales of U.S. Government securities for the year
ended October 31, 2005.
6. TRUSTEES' REMUNERATION
The Trust's officers and the one Trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities. Fees
paid to outside Trustees are allocated among all Lord Abbett-sponsored funds
based on the net assets of each fund. There is an equity based plan available to
all outside Trustees under which outside Trustees must defer receipt of a
portion of, and may elect to defer receipt of an additional portion of Trustees'
fees. The deferred amounts are treated as though equivalent dollar amounts have
been invested proportionately in the funds. Such amounts and earnings accrued
thereon are included in Trustees' Fees on the Statement of Operations and in
Trustees' Fees Payable on the Statement of Assets and Liabilities and are not
deductible for U.S. Federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of each Fund's expenses.
8. CUSTODIAN AND ACCOUNTING AGENT
State Street Bank & Trust Company ("SSB") is the Trust's custodian and
accounting agent. SSB performs custodial, accounting and recordkeeping functions
relating to portfolio transactions and calculating each Fund's NAV.
27
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
equity investing, as well as the particular risks associated with micro-cap
growth or value stocks. The value of an investment will fluctuate in response to
movements in the stock market in general and to the changing prospects of
individual companies in which the Funds invest. Micro-cap companies may be
subject to greater risks and may be more sensitive to changes in economic
conditions than larger, more established companies. There may be less liquidity
in micro-cap company stocks, subjecting them to greater price fluctuations than
larger company stocks. In the case of Micro-Cap Growth Fund, the growth stocks
in which it generally invests may add to the Fund's volatility. In the case of
the Micro-Cap Value Fund, the intrinsic value of particular value stocks may not
be recognized for a long time.
These factors can affect each Fund's performance.
10. SUMMARY OF CAPITAL TRANSACTIONS
Transactions in shares of beneficial interest are as follows:
MICRO-CAP GROWTH FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004
- ------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------
Shares sold 28,392 $ 365,550 66,459 $ 794,315
Reinvestment of distributions 11,457 144,812 - -
Shares reacquired (20,850) (268,526) (96,743) (1,128,485)
- ------------------------------------------------------------------------------------------
Increase (decrease) 18,999 $ 241,836 (30,284) $ (334,170)
- ------------------------------------------------------------------------------------------
CLASS Y SHARES
- ------------------------------------------------------------------------------------------
Shares sold 25,479 $ 344,007 84,132 $ 990,296
Reinvestment of distributions 2,285 29,179 - -
Shares reacquired (28,014) (372,108) - -
- ------------------------------------------------------------------------------------------
Increase (decrease) (250) $ 1,078 84,132 $ 990,296
- ------------------------------------------------------------------------------------------
</Table>
MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------
Shares sold 67,201 $ 1,619,376 99,668 $ 2,225,860
Reinvestment of distributions 55,594 1,261,412 32,042 655,266
Shares reacquired (6,018) (142,627) (92,812) (2,153,835)
- ------------------------------------------------------------------------------------------
Increase 116,777 $ 2,738,161 38,898 $ 727,291
- ------------------------------------------------------------------------------------------
CLASS Y SHARES
- ------------------------------------------------------------------------------------------
Shares sold 57,922 $ 1,442,252 72,362 $ 1,700,318
Reinvestment of distributions 8,881 202,569 80 1,631
Shares reacquired (6,776) (164,385) - -
- ------------------------------------------------------------------------------------------
Increase 60,027 $ 1,480,436 72,442 $ 1,701,949
- ------------------------------------------------------------------------------------------
</Table>
All of the outstanding capital shares of Micro-Cap Growth Fund and Micro-Cap
Value Fund are held by Lord Abbett and partners and employees of Lord Abbett.
28
<Page>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
11. SUBSEQUENT EVENT
Effective January 31, 2006, the Funds will have available a $250,000,000
unsecured revolving credit facility ("Facility") from a consortium of banks, to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Any borrowings under this Facility will
bear interest at current market rates as defined in the agreement. The fee for
this Facility will be at an annual rate of .08%.
29
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS,
LORD ABBETT SECURITIES TRUST - LORD ABBETT MICRO-CAP GROWTH FUND AND LORD ABBETT
MICRO-CAP VALUE FUND:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Lord Abbett Securities Trust - Lord Abbett
Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund (the "Funds") as of
October 31, 2005, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with 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 and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
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, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2005 by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Lord
Abbett Securities Trust - Lord Abbett Micro-Cap Growth Fund and Lord Abbett
Micro-Cap Value Fund as of October 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 each of the five
years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America.
Deloitte & Touche LLP
New York, New York
December 29, 2005
30
<Page>
BASIC INFORMATION ABOUT MANAGEMENT
The Board of Trustees (the "Board") is responsible for the management of the
business and affairs of each Trust in accordance with the laws of the State of
Delaware. The Board appoints officers who are responsible for the day-to-day
operations of each Trust and who execute policies authorized by the Board. The
Board also approves an investment adviser to each Trust and continues to monitor
the cost and quality of the services provided by the investment adviser, and
annually considers whether to renew the contract with the adviser. Generally,
each Trustee holds office until his/her successor is elected and qualified or
until his/her earlier resignation or removal, as provided in the Trust's
organizational documents.
Lord, Abbett & Co. LLC ("Lord Abbett"), a Delaware limited liability company, is
the Trust's investment adviser.
INTERESTED TRUSTEE
The following Trustee is the Managing Partner of Lord Abbett and is an
"interested person" as defined in the Act. Mr. Dow is also an officer, director,
or trustee of each of the fourteen Lord Abbett-sponsored funds, which consist of
54 portfolios or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
YEAR OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- --------------------------------------------------------------------------------------------------------
ROBERT S. DOW Trustee since 1993; Managing Partner and Chief N/A
Lord, Abbett & Co. LLC Chairman since 1996 Executive Officer of Lord
90 Hudson Street Abbett since 1996.
Jersey City, NJ 07302
(1945)
</Table>
----------
INDEPENDENT TRUSTEES
The following independent or outside Trustees are also directors or trustees of
each of the fourteen Lord Abbett-sponsored funds, which consist of 54 portfolios
or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
YEAR OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- --------------------------------------------------------------------------------------------------------
E. THAYER BIGELOW Trustee since 1994 Managing General Partner, Currently serves as
Lord, Abbett & Co. LLC Bigelow Media, LLC (since director of Adelphia
c/o Legal Dept. 2000); Senior Adviser, Time Communications, Inc.,
90 Hudson Street Warner Inc. (1998 - 2000); Crane Co., and Huttig
Jersey City, NJ 07302 Acting Chief Executive Building Products Inc.
(1941) Officer of Courtroom
Television Network (1997 -
1998); President and Chief
Executive Officer of Time
Warner Cable Programming,
Inc. (1991 - 1997).
WILLIAM H.T. BUSH Trustee since 1998 Co-founder and Chairman Currently serves as
Lord, Abbett & Co. LLC of the Board of the financial director of WellPoint,
c/o Legal Dept. advisory firm of Bush- Inc. (since 2002), and
90 Hudson Street O'Donnell & Company (since Engineered Support
Jersey City, NJ 07302 1986). Systems, Inc. (since
(1938) 2000).
</Table>
31
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
YEAR OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- --------------------------------------------------------------------------------------------------------
ROBERT B. CALHOUN, JR. Trustee since 1998 Managing Director of Currently serves as
c/o Legal Dept. Monitor Clipper Partners director of Avondale,
Lord, Abbett & Co. LLC (since 1997) and President Inc. and Interstate
90 Hudson Street of Clipper Asset Management Bakeries Corp.
Jersey City, NJ 07302 Corp. (since 1991), both
(1942) private equity investment
funds.
JULIE A. HILL Trustee since 2004 Owner and CEO of the Currently serves as
Lord, Abbett & Co. LLC Hillsdale Companies, a director of WellPoint,
c/o Legal Dept. business consulting firm Inc.; Resources
90 Hudson Street (since 1998); Founder, Connection Inc.;
Jersey City, NJ 07302 President and Owner of the and Holcim (US) Inc.
(1946) Hiram-Hill and Hillsdale (a subsidiary of
Development Companies Holcim Ltd.).
(1998 - 2000).
FRANKLIN W. HOBBS Trustee since 2001 Former Chief Executive Currently serves as
Lord, Abbett & Co. LLC Officer of Houlihan Lokey director of Adolph
c/o Legal Dept. Howard & Zukin, an Coors Company.
90 Hudson Street investment bank
Jersey City, NJ 07302 (January 2002 - April 2003);
(1947) Chairman of Warburg Dillon
Read (1999 - 2001); Global
Head of Corporate Finance of
SBC Warburg Dillon Read (1997
- 1999); Chief Executive
Officer of Dillon, Read & Co.
(1994 - 1997).
C. ALAN MACDONALD Trustee since 1993 Retired - General Business Currently serves as
Lord, Abbett & Co. LLC and Governance Consulting director of H.J. Baker
c/o Legal Dept. (since 1992); formerly (since 2003).
90 Hudson Street President and CEO of Nestle
Jersey City, NJ 07302 Foods.
(1933)
THOMAS J. NEFF Trustee since 1993 Chairman of Spencer Stuart Currently serves as
Lord, Abbett & Co. LLC (U.S.), an executive search- director of Ace, Ltd.
c/o Legal Dept. consulting firm (since 1996); (since 1997) and
90 Hudson Street President of Spencer Stuart Hewitt Associates,
Jersey City, NJ 07302 (1979 - 1996). Inc.
(1937)
</Table>
OFFICERS
None of the officers listed below have received compensation from the Trust. All
the officers of the Trust may also be officers of the other Lord
Abbett-sponsored funds and maintain offices at 90 Hudson Street, Jersey City, NJ
07302.
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
ROBERT S. DOW Chief Executive Elected in 1993 Managing Partner and
(1945) Officer and President Chief Executive Officer
of Lord Abbett (since
1996).
</Table>
32
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
SHOLOM DINSKY Executive Vice Elected in 2003 Partner and Large Cap
(1944) President Value Investment
Manager, joined Lord
Abbett in 2000.
LESLEY-JANE DIXON Vice President Elected in 1999 Partner and Investment
(1964) Manager, joined Lord
Abbett in 1995.
ROBERT P. FETCH Executive Vice Elected in 1999 Partner and Small-Cap
(1953) President Value Senior Investment
Manager, joined Lord
Abbett in 1995.
KENNETH G. FULLER Executive Vice Elected in 2003 Investment Manager -
(1945) President Large Cap Value, joined
Lord Abbett in 2002;
formerly Portfolio
Manager and Senior
Vice President at Pioneer
Investment Management,
Inc.
ROBERT I. GERBER Executive Vice Elected in 2005 Partner and Director of
(1954) President Taxable Fixed Income
Management, joined
Lord Abbett in 1997.
HOWARD E. HANSEN Executive Vice Elected in 2003 Partner and Investment
(1961) President Manager, joined Lord
Abbett in 1995.
GERARD S. E. HEFFERNAN, Executive Vice Elected in 1999 Partner and Research
JR. President Analyst, joined Lord
(1963) Abbett in 1998.
TODD D. JACOBSON Executive Vice Elected in 2005 Investment Manager,
(1966) President International Core
Equity, joined Lord
Abbett in 2003; formerly
Director and Portfolio
Manager at Warburg
Pincus Asset
Management and Credit
Suisse Asset
Management (2002 -
2003); prior thereto
Associate Portfolio
Manager of Credit
Suisse Asset
Management.
VINCENT J. MCBRIDE Executive Vice Elected in 2003 Senior Investment
(1964) President Manager, International
Core Equity, joined
Lord Abbett in 2003;
formerly Managing
Director and Portfolio
Manager at Warburg
Pincus Asset
Management and Credit
Suisse Asset
Management.
</Table>
33
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
STEVEN MCBOYLE Executive Vice Elected in 2005 Senior Investment
(1969) President Manager, Value
Opportunities Fund;
formerly Vice
President, Mergers and
Acquisitions, at
Morgan Stanley, joined
Lord Abbett in 2001.
ROBERT G. MORRIS Executive Vice Elected in 1998 Partner and Chief
(1944) President Investment Officer,
joined Lord Abbett in
1991.
ELI M. SALZMANN Executive Vice Elected in 2003 Partner and Director
(1964) President of Institutional
Equity Investments,
joined Lord Abbett in
1997.
HAROLD E. SHARON Executive Vice Elected in 2003 Investment Manager and
(1960) President Director, International
Core Equity, joined
Lord Abbett in 2003;
formerly Financial
Industry Consultant
for Venture Capitalist
(2001 - 2003); prior
thereto Managing
Director of Warburg
Pincus Asset
Management and Credit
Suisse Asset
Management.
CHRISTOPHER J. TOWLE Executive Vice Elected in 2005 Partner and Investment
(1957) President Manager, joined Lord
Abbett in 1987.
YAREK ARANOWICZ Vice President Elected in 2004 Investment Manager,
(1963) joined Lord Abbett in
2003; formerly Vice
President, Head of Global
Emerging Markets Funds
of Warburg Pincus Asset
Management and Credit
Suisse Asset Management.
JAMES BERNAICHE Chief Compliance Elected in 2004 Chief Compliance Officer,
(1956) Officer joined Lord Abbett in
2001; formerly Vice
President and Chief
Compliance Officer with
Credit Suisse Asset
Management.
JOAN A. BINSTOCK Chief Financial Elected in 1999 Partner and Chief
(1954) Officer and Vice Operations Officer,
President joined Lord Abbett in
1999.
DAVID G. BUILDER Vice President Elected in 2001 Equity Analyst; joined
(1954) Lord Abbett in 1998.
</Table>
34
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONCLUDED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
YEAR OF BIRTH WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
JOHN K. FORST Vice President and Elected in 2005 Deputy General Counsel,
(1960) Assistant Secretary joined Lord Abbett in
2004; prior thereto
Managing Director and
Associate General
Counsel at New York
Life Investment
Management LLC (2002 -
2003); formerly
Attorney at Dechert
LLP (2000 - 2002).
LAWRENCE H. KAPLAN Vice President and Elected in 1997 Partner and General
(1957) Secretary Counsel, joined Lord
Abbett in 1997.
CHARLES P. MASSARE Vice President Elected in 2005 Partner and Director of
(1948) Quantitative Research &
Risk Management, joined
Lord Abbett in 1998.
A. EDWARD OBERHAUS, III Vice President Elected in 1993 Partner and Manager of
(1959) Equity Trading, joined
Lord Abbett in 1983.
F. THOMAS O'HALLORAN Executive Vice Elected in 2003 Partner and Investment
(1955) President Manager, joined Lord
Abbett in 2001;
formerly Executive
Director/Senior
Research Analyst at
Dillon Read/UBS
Warburg.
TODOR PETROV Vice President Elected in 2003 Investment Manager,
(1974) joined Lord Abbett in
2003; formerly Associate
Portfolio Manager of
Credit Suisse Asset
Management.
CHRISTINA T. SIMMONS Vice President and Elected in 2000 Assistant General Counsel,
(1957) Assistant Secretary joined Lord Abbett in
1999.
BERNARD J. GRZELAK Treasurer Elected in 2003 Director of Fund
(1971) Administration joined
Lord Abbett in 2003;
formerly Vice
President, Lazard
Asset Management LLC
(2000 - 2003); prior
thereto Manager of
Deloitte & Touche LLP.
</Table>
Please call 888-522-2388 for a copy of the Statement of Additional Information
(SAI), which contains further information about the Trust's Trustees. It is
available free upon request.
35
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' Prospectus, proxy material, annual report and semiannual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219100, Kansas City, MO 64121.
PROXY VOTING POLICIES, PROCEDURES AND RECORD
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to each Fund's portfolio securities, and information on as to
how Lord Abbett voted each Fund's proxies during the 12-month period ended June
30, 2005 are available without charge, upon request, (i) by calling
888-522-2388; (ii) on Lord Abbett's website at www.LordAbbett.com; and (iii) on
the Securities and Exchange Commission's ("SEC") website at www.sec.gov.
SHAREHOLDER REPORTS AND QUARTERLY PORTFOLIO DISCLOSURE
The Funds are required to file their complete schedule of portfolio holdings
with the SEC for their first and third fiscal quarters on Form N-Q. Copies of
the filings available without charge, upon request on the SEC's website at
www.sec.gov and may be available by calling Lord Abbett at 800-821-5129. You can
also obtain copies of Form N-Q by (i) visiting the SEC's Public Reference Room
in Washington, DC (information on the operation of the Public Reference Room may
be obtained by calling 800-SEC-0330); (ii) sending your request and duplicating
fee to the SEC's Public Reference Room, Washington, DC 20549-0102; or (iii)
sending your request electronically to publicinfo@sec.gov.
TAX INFORMATION
26.2% of the ordinary income distribution paid by the Micro-Cap Value Fund
during fiscal 2005 is qualifying dividend income. For corporate shareholders,
25.2% of Micro-Cap Value Fund's ordinary income distribution qualified for the
dividends received deduction.
Additionally, of the distributions paid by the Micro-Cap Growth Fund and
Micro-Cap Value Fund to shareholders during the fiscal year ended October 31,
2005, $174,238 and $1,187,279, respectively, represent long-term capital gains.
36
<Page>
[LORD ABBETT(R) LOGO]
<Table>
This report when not used for the
general information of shareholders of
the fund, is to be distributed only if Lord Abbett Securities Trust
preceded or accompanied by a current Lord Abbett Micro-Cap Growth Fund
fund prospectus. Lord Abbett Micro-Cap Value Fund
Lord Abbett mutual fund shares are distributed by LAMCVF-2-1005
LORD ABBETT DISTRIBUTOR LLC (12/05)
</Table>
<Page>
ITEM 2: CODE OF ETHICS.
(a) In accordance with applicable requirements, the Registrant
adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that
applies to the principal executive officer and senior financial
officers of the Registrant ("Code of Ethics"). The Code of
Ethics was in effect during the fiscal year ended October 31,
2005 (the "Period").
(b) Not applicable.
(c) The Registrant has not amended the Code of Ethics as described
in Form N-CSR during the Period.
(d) The Registrant has not granted any waiver, including an implicit
waiver, from a provision of the Code of Ethics as described in
Form N-CSR during the Period.
(e) Not applicable.
(f) See Item 12(a)1 concerning the filing of the Code of Ethics. The
Registrant will provide a copy of the Code of Ethics to any
person without charge, upon request. To obtain a copy, please
call Lord Abbett at 800-821-5129.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that each of
the following independent Trustees who are members of the audit
committee are audit committee financial experts: E. Thayer
Bigelow, Robert B. Calhoun, and Franklin W. Hobbs. Each of these
persons is independent within the meaning of the Form N-CSR.
ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES.
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees
billed to the Registrant for the fiscal years ended October 31, 2005 and 2004 by
the Registrant's principal accounting firm, Deloitte & Touche LLP, the member
firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively,
"Deloitte") were as follows:
<Table>
<Caption>
FISCAL YEAR ENDED:
2005 2004
Audit Fees {a} $ 227,000 $ 212,000
Audit-Related Fees {b} 308 332
-----------------------------------------------------------
Total audit and audit-related fees 227,308 212,332
-----------------------------------------------------------
Tax Fees {c} 43,057 41,169
All Other Fees -0- -0-
-----------------------------------------------------------
Total Fees $ 270,365 $ 253,501
-----------------------------------------------------------
</Table>
- ----------
{a} Consists of fees for audits of the Registrant's annual financial
statements.
{b} Consists of the Registrant's proportionate share of fees for performing
certain agreed-upon procedures regarding compliance with the provisions of
Rule 17a-7 of the Investment Company Act of 1940 and related Board approved
procedures.
{c} Fees for the fiscal year ended October 31, 2005 and 2004 consist of
fees for preparing the U.S. Income Tax Return for Regulated Investment
Companies, New Jersey Corporation Business Tax Return, New Jersey Annual
Report Form, U.S. Return of Excise Tax on Undistributed Income of
Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and
Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant's Audit
Committee has adopted pre-approval policies and procedures. Such policies and
procedures generally provide that the Audit Committee must pre-approve:
- any audit, audit-related, tax, and other services to be provided
to the Lord Abbett Funds, including the Registrant, and
- any audit-related, tax, and other services to be provided to the
Registrant's investment adviser and any entity controlling,
controlled by or under common control with the investment adviser
that provides ongoing services to one or more Funds comprising
the Registrant if the engagement relates directly to operations
and financial reporting of a Fund, by the independent
<Page>
auditor to assure that the provision of such services does not
impair the auditor's independence.
The Audit Committee has delegated pre-approval authority to its Chairman,
subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually.
The Chairman will report any pre-approval decisions to the Audit Committee at
its next scheduled meeting. Unless a type of service to be provided by the
independent auditor has received general pre-approval, it must be pre-approved
by the Audit Committee. Any proposed services exceeding pre-approved cost levels
will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant's Audit Committee has approved 100% of the services
described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the
Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as
"All Other Fees".
The aggregate non-audit fees billed by Deloitte for services rendered to the
Registrant's investment adviser, Lord, Abbett & Co. LLC ("Lord Abbett"), for the
fiscal years ended October 31, 2005 and 2004 were:
<Table>
<Caption>
FISCAL YEAR ENDED:
2005 2004
All Other Fees {a} $ 165,650 $ 81,900
</Table>
- ----------
{a} Consist of fees for Independent Services Auditors' Report on Controls
Placed in Operation and Tests of Operating Effectiveness related to Lord
Abbett's Asset Management Services ("SAS 70 Report").
The aggregate non-audit fees billed by Deloitte for services rendered to
entities under the common control of Lord Abbett (i.e., Lord Abbett Distributor
LLC, the Registrant's principal underwriter) for the fiscal years ended October
31, 2005 and 2004 were:
<Table>
<Caption>
FISCAL YEAR ENDED:
2005 2004
All Other Fees $ - 0 - $ - 0-
</Table>
- ----------
(h) The Registrant's Audit Committee has considered the provision of non-audit
services that were rendered to the Registrant's investment adviser, and any
entity controlling,
<Page>
controlled by or under common control with the investment adviser that provides
ongoing services to the Registrant, that were not pre-approved pursuant to Rule
2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such
services is compatible with maintaining Deloitte's independence.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6: SCHEDULE OF INVESTMENTS.
Not applicable.
<Page>
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.
Not applicable.
ITEM 11: CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940) as of a date within 90 days
prior to the filing date of this report, the Chief Executive
Officer and Chief Financial Officer of the Registrant have
concluded that such disclosure controls and procedures are
reasonably designed and effective to ensure that material
information relating to the Registrant, including its
consolidated subsidiaries, is made known to them by others
within those entities.
(b) There were no significant changes in the Registrant's internal
control over financial reporting (as defined in Rule 30a-3(d)
under the Investment Company Act of 1940) that occurred during
the second fiscal quarter of the period covered by this report
that have materially affected, or are reasonably likely to
materially affect, the Registrant's internal control over
financial reporting.
ITEM 12: EXHIBITS.
(a)(1) Amendments to Code of Ethics - Not applicable.
(a)(2) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Rule 30a-2
under the Act (17 CFR 270.30a-2) is attached hereto as a part of
EX-99.CERT.
(a)(3) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Section 906
of the Sarbanes-Oxley Act of 2002 is attached hereto as a part
of EX-99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Lord Abbett Securities Trust
/s/ Robert S. Dow
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ Joan A. Binstock
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: December 21, 2005
<Page>
Pursuant to the requirements of the Securities and Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
Lord Abbett Securities Trust
/s/ Robert S. Dow
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ Joan A. Binstock
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: December 21, 2005