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 811-3651
--------------------------------------------
Touchstone Strategic Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
221 East Fourth Street, Cincinnati, Ohio 45202
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(Address of principal executive offices) (Zip code)
Patrick T. Bannigan, 221 East Fourth Street, Cincinnati, Ohio 45202
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(Name and address of agent for service)
Registrant's telephone number, including area code: (513) 362-8000
----------------------------
Date of fiscal year end: 3/31/04
--------------------
Date of reporting period: 9/30/03
-------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
<page>
ITEM 1. REPORTS TO STOCKHOLDERS.
Semiannual Report
[GRAPHIC OMITTED]
SEPTEMBER 30, 2003 (UNAUDITED)
- --------------------------------------------------------------------------------
[LOGO] TOUCHSTONE
INVESTMENTS
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
TOUCHSTONE EMERGING GROWTH FUND
TOUCHSTONE ENHANCED 30 FUND
TOUCHSTONE GROWTH OPPORTUNITIES FUND
TOUCHSTONE LARGE CAP GROWTH FUND
TOUCHSTONE SMALL CAP GROWTH FUND
TOUCHSTONE VALUE PLUS FUND
RESEARCH o DESIGN o SELECT o MONITOR
- --------------------------------------------------------------------------------
CAPITAL APPRECIATION o TOTAL RETURN
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TABLE OF CONTENTS
================================================================================
Page
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Statements of Assets and Liabilities 3-6
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Statements of Operations 7-8
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Statements of Changes in Net Assets 9-11
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Financial Highlights 12-29
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Notes to Financial Statements 30-41
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Portfolios of Investments:
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Emerging Growth Fund 42-46
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Enhanced 30 Fund 47-48
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Growth Opportunities Fund 49-50
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Large Cap Growth Fund 51-52
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Small Cap Growth Fund 53-55
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Value Plus Fund 56-58
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2
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost .................................. $ 420,902,940 $ 9,349,918 $ 162,930,382
======================================================
At market value - including $33,397,467 and
$14,032,409 of securities loaned for
the Emerging Growth Fund and the Growth
Opportunities Fund, respectively ....... $ 480,597,690 $ 9,459,200 $ 151,818,493
Cash ....................................... 30,283,621 352,908 404
Dividends and interest receivable .......... 72,994 13,442 24,696
Receivable for capital shares sold ......... 5,183,870 72,398 302,218
Receivable for securities sold ............. 4,695,371 -- --
Receivable from Adviser .................... -- 4,431 --
Other assets ............................... 44,496 13,519 27,226
------------------------------------------------------
TOTAL ASSETS ............................... 520,878,042 9,915,898 152,173,037
------------------------------------------------------
LIABILITIES
Payable for securities loaned .............. 35,552,758 -- 14,541,900
Dividends payable .......................... -- 234 --
Payable for securities purchased ........... 2,994,434 -- --
Payable for capital shares redeemed ........ 1,129,982 280 275,833
Payable to Adviser ......................... 305,433 -- 107,493
Payable to affiliates ...................... 56,863 7,081 46,775
Other accrued expenses and liabilities ..... 354,910 15,872 132,232
------------------------------------------------------
TOTAL LIABILITIES .......................... 40,394,380 23,467 15,104,233
------------------------------------------------------
NET ASSETS ................................. $ 480,483,662 $ 9,892,431 $ 137,068,804
======================================================
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 454,856,188 $ 11,524,953 $ 215,811,668
Accumulated net investment income (loss) ... (2,669,290) -- (1,008,179)
Accumulated net realized losses from
security transactions .................... (31,397,986) (1,741,804) (64,622,796)
Net unrealized appreciation (depreciation)
on investments ........................... 59,694,750 109,282 (13,111,889)
------------------------------------------------------
NET ASSETS ................................. $ 480,483,662 $ 9,892,431 $ 137,068,804
======================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares .. $ 271,366,373 $ 7,345,284 $ 107,611,503
======================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ............................ 14,830,809 908,207 6,870,560
======================================================
Net asset value and redemption
price per share .......................... $ 18.30 $ 8.09 $ 15.66
======================================================
Maximum offering price per share ........... $ 19.42 $ 8.58 $ 16.62
======================================================
3
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
============================================================================================================
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares .. $ 45,686,116 $ 1,152,599 $ 3,122,185
======================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ............................ 2,699,618 143,092 208,060
======================================================
Net asset value, offering price and
redemption price per share ............... $ 16.92 $ 8.05 $ 15.01
======================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares .. $ 163,431,173 $ 1,394,548 $ 26,335,116
======================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ............................ 9,648,804 172,271 1,748,558
======================================================
Net asset value, offering price and
redemption price per share ............... $ 16.94 $ 8.10 $ 15.06
======================================================
See accompanying notes to financial statements.
4
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================
LARGE CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost .................................. $ 39,182,613 $ 40,155,879 $ 54,609,430
======================================================
At market value - Including $6,771,341 of
securities loaned for the Small Cap
Growth Fund .............................. $ 38,984,352 $ 49,356,376 $ 54,943,321
Cash ....................................... 967 1,712,077 2,851,822
Dividends and interest receivable .......... 29,181 29,284 65,920
Receivable for capital shares sold ......... 13,487 479,320 18,701
Receivable for securities sold ............. -- 414,009 --
Other assets ............................... 29,347 26,141 13,707
------------------------------------------------------
TOTAL ASSETS ............................... 39,057,334 52,017,207 57,893,471
------------------------------------------------------
LIABILITIES
Payable for securities loaned .............. -- 7,074,596 --
Dividends payable .......................... -- -- 9,351
Payable for securities purchased ........... -- 1,351,884 192,836
Payable for capital shares redeemed ........ 6,659 50,681 30,698
Payable to Adviser ......................... 23,100 44,282 35,369
Payable to affiliates ...................... 9,405 7,993 10,446
Other accrued expenses and liabilities ..... 37,527 45,875 48,658
------------------------------------------------------
TOTAL LIABILITIES .......................... 76,691 8,575,311 327,358
------------------------------------------------------
NET ASSETS ................................. $ 38,980,643 $ 43,441,896 $ 57,566,113
======================================================
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 74,552,604 $ 33,852,067 $ 73,964,391
Accumulated net investment income (loss) ... (75,558) (231,933) 84,216
Accumulated net realized gains (losses) from
security transactions .................... (35,298,142) 621,265 (16,816,385)
Net unrealized appreciation (depreciation)
on investments ........................... (198,261) 9,200,497 333,891
------------------------------------------------------
NET ASSETS ................................. $ 38,980,643 $ 43,441,896 $ 57,566,113
======================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares .. $ 37,803,265 $ 30,732,924 $ 55,203,237
======================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ............................ 4,152,030 2,179,906 6,250,366
======================================================
Net asset value and redemption price per
share .................................... $ 9.10 $ 14.10 $ 8.83
======================================================
Maximum offering price per share ........... $ 9.66 $ 14.96 $ 9.37
======================================================
See accompanying notes to financial statements.
5
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
============================================================================================================
LARGE CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ------------------------------------------------------------------------------------------------------------
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares .. $ 168,578 $ 4,638,153 $ 612,502
======================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ............................ 19,779 330,657 72,152
======================================================
Net asset value, offering price and
redemption price per share ............... $ 8.52 $ 14.03 $ 8.49
======================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares .. $ 1,008,800 $ 8,070,819 $ 1,750,374
======================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ............................ 118,577 575,658 205,114
======================================================
Net asset value, offering price and
redemption price per share ............... $ 8.51 $ 14.02 $ 8.53
======================================================
See accompanying notes to financial statements.
6
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends .................................. $ 800,476 $ 76,793 $ 225,973
Interest ................................... 69,287 339 16,312
------------------------------------------------------
TOTAL INVESTMENT INCOME .................... 869,763 77,132 242,285
------------------------------------------------------
EXPENSES
Investment advisory fees ................... 1,546,380 29,949 593,690
Distribution expenses, Class A ............. 270,183 8,896 126,083
Distribution expenses, Class B ............. 184,527 4,975 14,740
Distribution expenses, Class C ............. 667,717 6,185 129,028
Transfer agent fees, Class A ............... 159,147 6,000 106,657
Transfer agent fees, Class B ............... 39,601 6,000 6,246
Transfer agent fees, Class C ............... 100,255 6,000 65,302
Sponsor fees ............................... 386,599 9,349 --
Postage and supplies ....................... 178,471 4,645 90,793
Custodian fees ............................. 35,819 4,638 17,158
Accounting services fees ................... 33,500 19,500 25,500
Administration fees ........................ 91,791 2,929 34,911
Reports to shareholders .................... 16,184 1,221 12,979
Registration fees, Class A ................. 10,262 3,669 6,785
Registration fees, Class B ................. 6,263 3,487 4,656
Registration fees, Class C ................. 10,214 4,127 5,698
Professional fees .......................... 6,110 3,312 4,884
Trustees' fees and expenses ................ 3,828 3,831 3,760
Other expenses ............................. 7,899 557 1,594
------------------------------------------------------
TOTAL EXPENSES ............................. 3,754,750 129,270 1,250,464
Sponsor fees waived ........................ (215,697) (9,349) --
Fees waived and/or expenses reimbursed
by the Adviser ........................... -- (64,878) --
------------------------------------------------------
NET EXPENSES ............................... 3,539,053 55,043 1,250,464
------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ............... (2,669,290) 22,089 (1,008,179)
------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from
security transactions .................... 15,851,935 (80,215) (1,321,588)
Net change in unrealized appreciation/
depreciation on investments .............. 85,733,460 1,690,753 26,802,529
------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS ........................... 101,585,395 1,610,538 25,480,941
------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 98,916,105 $ 1,632,627 $ 24,472,762
======================================================
See accompanying notes to financial statements.
7
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================
LARGE CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends .................................. $ 168,317 $ 58,599 $ 573,134
Interest ................................... 4,204 46,034 3,046
------------------------------------------------------
TOTAL INVESTMENT INCOME .................... 172,521 104,633 576,180
------------------------------------------------------
EXPENSES
Investment advisory fees ................... 144,756 194,635 209,844
Distribution expenses, Class A ............. 46,808 28,162 67,103
Distribution expenses, Class B ............. 587 15,217 2,643
Distribution expenses, Class C ............. 5,116 27,844 8,737
Sponsor fees ............................... -- 31,142 55,959
Accounting services fees ................... 19,500 19,500 22,500
Transfer agent fees, Class A ............... 10,839 6,344 18,104
Transfer agent fees, Class B ............... 6,000 6,000 6,000
Transfer agent fees, Class C ............... 6,000 6,000 6,000
Registration fees, Class A ................. 4,402 8,639 4,340
Registration fees, Class B ................. 3,819 8,870 3,496
Registration fees, Class C ................. 3,467 8,805 3,366
Custodian fees ............................. 8,607 12,684 9,485
Postage and supplies ....................... 13,914 8,796 13,395
Reports to shareholders .................... 2,859 1,424 2,856
Administration fees ........................ 12,185 8,564 15,388
Professional fees .......................... 8,139 3,789 4,264
Trustees' fees and expenses ................ 3,793 3,829 3,794
Other expenses ............................. 274 2,626 3,273
------------------------------------------------------
TOTAL EXPENSES ............................. 301,065 402,870 460,547
Sponsor fees waived ........................ -- (31,142) (55,959)
Fees waived and/or expenses reimbursed
by the Adviser ........................... (52,986) (35,162) (33,374)
------------------------------------------------------
NET EXPENSES ............................... 248,079 336,566 371,214
------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ............... (75,558) (231,933) 204,966
------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from
security transactions .................... (203,384) 1,668,950 (1,790,822)
Net change in unrealized appreciation/
depreciation on investments .............. 4,878,383 8,578,769 10,679,586
------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS ........................... 4,674,999 10,247,719 8,888,764
------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 4,599,441 $ 10,015,786 $ 9,093,730
======================================================
See accompanying notes to financial statements.
8
STATEMENTS OF CHANGES IN NET ASSETS
==============================================================================================================================
EMERGING GROWTH FUND ENHANCED 30 FUND
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2003 MARCH 31, 2003 MARCH 31,
(UNAUDITED) 2003 (UNAUDITED) 2003
- ------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ............ $ (2,669,290) $ (3,683,881) $ 22,089 $ 63,336
Net realized gains (losses) from
security transactions ................. 15,851,935 (47,063,902) (80,215) (1,537,329)
Net change in unrealized appreciation/
depreciation on investments ........... 85,733,460 (45,404,160) 1,690,753 (1,241,619)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM OPERATIONS ............ 98,916,105 (96,151,943) 1,632,627 (2,715,612)
-----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ..... -- -- (22,089) (70,665)
From net investment income, Class B ..... -- -- -- (254)
From net investment income, Class C ..... -- -- -- (977)
From net realized gains on
security transactions, Class A ........ (11) (2,200,015) -- --
From net realized gains on
security transactions, Class B ........ -- (368,104) -- --
From net realized gains on
security transactions, Class C ........ -- (1,412,057) -- --
-----------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS
TO SHAREHOLDERS ....................... (11) (3,980,176) (22,089) (71,896)
-----------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ............... 110,609,982 153,227,453 344,498 2,116,692
Reinvested distributions ................ -- 1,662,500 21,666 67,181
Payments for shares redeemed ............ (45,513,997) (112,900,182) (378,261) (1,431,828)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ...... 65,095,985 41,989,771 (12,097) 752,045
-----------------------------------------------------------------------
CLASS B
Proceeds from shares sold ............... 11,631,399 23,072,337 371,071 510,318
Reinvested distributions ................ -- 281,399 -- 177
Payments for shares redeemed ............ (2,042,429) (4,171,405) (102,315) (370,643)
-----------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CLASS B
SHARE TRANSACTIONS .................... 9,588,970 19,182,331 268,756 139,852
-----------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............... 40,497,683 82,033,404 392,800 936,253
Reinvested distributions ................ -- 795,733 -- 648
Payments for shares redeemed ............ (10,831,050) (19,116,468) (126,156) (603,826)
-----------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS ............ 29,666,633 63,712,669 266,644 333,075
-----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS . 203,267,682 24,752,652 2,133,841 (1,562,536)
NET ASSETS
Beginning of period ..................... 277,215,980 252,463,328 7,758,590 9,321,126
-----------------------------------------------------------------------
End of period ........................... $ 480,483,662 $ 277,215,980 $ 9,892,431 $ 7,758,590
=======================================================================
See accompanying notes to financial statements.
9
STATEMENTS OF CHANGES IN NET ASSETS
==============================================================================================================================
GROWTH OPPORTUNITIES FUND LARGE CAP GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2003 MARCH 31, 2003 MARCH 31,
(UNAUDITED) 2003 (UNAUDITED) 2003
- ------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment loss ..................... $ (1,008,179) $ (1,981,977) $ (75,558) $ (331,606)
Net realized losses from
security transactions ................. (1,321,588) (26,776,581) (203,384) (17,826,641)
Net change in unrealized appreciation/
depreciation on investments ........... 26,802,529 (20,227,956) 4,878,383 (3,787,802)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ....................... 24,472,762 (48,986,514) 4,599,441 (21,946,049)
-----------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ............... 27,698,873 61,144,588 1,815,938 4,505,442
Payments for shares redeemed ............ (23,293,055) (63,343,223) (1,965,917) (17,162,070)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ....... 4,405,818 (2,198,635) (149,979) (12,656,628)
-----------------------------------------------------------------------
CLASS B
Proceeds from shares sold ............... 282,862 948,542 85,898 67,768
Payments for shares redeemed ............ (197,818) (696,286) (3,037) (7,791)
-----------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CLASS B
SHARE TRANSACTIONS .................... 85,044 252,256 82,861 59,977
-----------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............... 1,975,572 3,276,197 64,701 259,541
Payments for shares redeemed ............ (2,532,925) (9,818,401) (162,443) (535,013)
-----------------------------------------------------------------------
NET DECREASE IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS ....... (557,353) (6,542,204) (97,742) (275,472)
-----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS . 28,406,271 (57,475,097) 4,434,581 (34,818,172)
NET ASSETS
Beginning of period ..................... 108,662,533 166,137,630 34,546,062 69,364,234
-----------------------------------------------------------------------
End of period ........................... $ 137,068,804 $ 108,662,533 $ 38,980,643 $ 34,546,062
=======================================================================
See accompanying notes to financial statements.
10
STATEMENTS OF CHANGES IN NET ASSETS
==============================================================================================================================
SMALL CAP VALUE PLUS
GROWTH FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2003 MARCH 31, 2003 MARCH 31,
(UNAUDITED) 2003(A) (UNAUDITED) 2003
- ------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ............ $ (231,933) $ (120,954) $ 204,966 $ 358,000
Net realized gains (losses) from
security transactions ................. 1,668,950 (1,047,685) (1,790,822) (14,294,879)
Net change in unrealized appreciation/
depreciation on investments ........... 8,578,769 621,728 10,679,586 (10,053,000)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ....................... 10,015,786 (546,911) 9,093,730 (23,989,879)
-----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ..... -- -- (200,347) (290,370)
From net investment income, Class B ..... -- -- (1,118) (2,133)
From net investment income, Class C ..... -- -- (3,497) --
-----------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS ......... -- -- (204,962) (292,503)
-----------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ............... 9,994,776 16,109,642 2,640,298 6,839,769
Reinvested distributions ................ -- -- 198,205 287,400
Payments for shares redeemed ............ (1,819,711) (485,209) (2,284,792) (30,766,383)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ....... 8,175,065 15,624,433 553,711 (23,639,214)
-----------------------------------------------------------------------
CLASS B
Proceeds from shares sold ............... 2,482,957 1,485,272 202,877 349,616
Reinvested distributions ................ -- -- 978 1,748
Payments for shares redeemed ............ (183,902) (46,685) (33,500) (18,628)
-----------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS B SHARE TRANSACTIONS ............ 2,299,055 1,438,587 170,355 332,736
-----------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............... 3,855,275 3,452,483 95,573 274,722
Reinvested distributions ................ -- -- 3,109 --
Payments for shares redeemed ............ (560,211) (311,666) (137,441) (585,691)
-----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS ............ 3,295,064 3,140,817 (38,759) (310,969)
-----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS . 23,784,970 19,656,926 9,574,075 (47,899,829)
NET ASSETS
Beginning of period ..................... 19,656,926 -- 47,992,038 95,891,867
-----------------------------------------------------------------------
End of period ........................... $ 43,441,896 $ 19,656,926 $ 57,566,113 $ 47,992,038
=======================================================================
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
See accompanying notes to financial statements.
11
EMERGING GROWTH FUND-CLASS A
FINANCIAL HIGHLIGHTS
=================================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR MONTHS YEAR YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31, DEC. 31,
(UNAUDITED) 2003 2002 2001(A) 2000 1999 1998
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96 $ 13.40 $ 13.85
--------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment loss ....... (0.08) (0.14) (0.14) -- (0.06) (0.09) (0.04)
Net realized and unrealized
gains (losses) on
investments ............. 4.49 (5.29) 3.76 (1.97) 4.16 6.18 0.37
--------------------------------------------------------------------------------------------------
Total from investment
operations ................ 4.41 (5.43) 3.62 (1.97) 4.10 6.09 0.33
--------------------------------------------------------------------------------------------------
Distributions from
net realized gains ........ -- (0.20) (0.06) -- (3.13) (2.53) (0.78)
--------------------------------------------------------------------------------------------------
Net asset value at
end of period ............. $ 18.30 $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96 $ 13.40
==================================================================================================
Total return(B) ............. 31.75%(C) (27.90%) 22.72% (10.99%)(C) 25.92% 45.85% 2.57%
==================================================================================================
Net assets at end of
period (000's) ............ $271,367 $153,247 $169,781 $ 19,141 $ 15,304 $ 10,743 $ 8,335
==================================================================================================
Ratio of net expenses to
average net assets ........ 1.50%(D) 1.50% 1.50% 1.50%(D) 1.50% 1.50% 1.50%
Ratio of net investment loss to
average net assets ........ (1.06%)(D) (1.07%) (1.02%) (0.10%)(D) (0.40%) (0.66%) (0.41%)
Portfolio turnover .......... 70%(D) 62% 73% 68%(D) 98% 97% 78%
(A) Effective after the close of business on March 31, 2001, the Fund changed
its fiscal year-end to March 31.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
12
EMERGING GROWTH FUND-CLASS B
FINANCIAL HIGHLIGHTS
=============================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2003 MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002(A)
- ---------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 12.53 $ 18.25 $ 16.45
---------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.12) (0.14) (0.09)
Net realized and unrealized gains (losses)
on investments ......................... 4.51 (5.38) 1.95
---------------------------------------------
Total from investment operations ........... 4.39 (5.52) 1.86
---------------------------------------------
Distributions from net realized gains ...... -- (0.20) (0.06)
---------------------------------------------
Net asset value at end of period ........... $ 16.92 $ 12.53 $ 18.25
=============================================
Total return(B) ............................ 35.04%(C) (30.34%) 11.35%(C)
=============================================
Net assets at end of period (000's) ........ $ 45,686 $ 26,226 $ 15,335
=============================================
Ratio of net expenses to average net assets 2.25%(D) 2.25% 2.25%(D)
Ratio of net investment loss to average
net assets ............................... (1.78%)(D) (1.77%) (1.90%)(D)
Portfolio turnover rate .................... 70%(D) 62% 73%(D)
(A) Represents the period from commencement of operations (May 1, 2001) through
March 31, 2002.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
13
EMERGING GROWTH FUND-CLASS C
FINANCIAL HIGHLIGHTS
===============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR MONTHS YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31,
(UNAUDITED) 2003 2002 2001(A) 2000 1999(B)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning
of period ........................... $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29 $ 13.04
------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income (loss) ........ (0.12) (0.13) 0.01 (0.02) (0.17) (0.19)
Net realized and unrealized gains
(losses) on investments ........... 4.51 (5.38) 3.30 (1.84) 3.88 5.97
------------------------------------------------------------------------------------
Total from investment operations ...... 4.39 (5.51) 3.31 (1.86) 3.71 5.78
------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income ............................ -- -- -- -- (3.13) (2.53)
Distributions from net realized gains -- (0.20) (0.06) -- -- --
------------------------------------------------------------------------------------
Total distributions ................... -- (0.20) (0.06) -- (3.13) (2.53)
------------------------------------------------------------------------------------
Net asset value at end of period ...... $ 16.94 $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29
====================================================================================
Total return(C) ....................... 34.98%(D) (30.27%) 22.09% (11.03%)(D) 24.58% 44.86%
====================================================================================
Net assets at end of period (000's) ... $163,431 $ 97,743 $ 67,347 $ 7,600 $ 5,466 $ 3,964
====================================================================================
Ratio of net expenses to
average net assets .................. 2.25%(E) 2.25% 2.25% 2.25%(E) 2.25% 2.25%
Ratio of net investment loss to
average net assets .................. (1.78%)(E) (1.77%) (1.61%) (0.63%)(E) (1.15%) (1.41%)
Portfolio turnover .................... 70%(E) 62% 73% 68%(E) 98% 97%
(A) Effective after the close of business on March 31, 2001, the Fund changed
its fiscal year-end to March 31.
(B) Represents the period from the commencement of operations (January 1, 1999)
through December 31, 1999.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
14
ENHANCED 30 FUND-CLASS A
FINANCIAL HIGHLIGHTS
============================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002 2001(A)
- ------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 6.71 $ 9.19 $ 8.90 $ 10.00
-------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................... 0.02 0.06 0.06 0.05
Net realized and unrealized gains
(losses) on investments ............... 1.38 (2.46) 0.28 (1.10)
-------------------------------------------------------------
Total from investment operations .......... 1.40 (2.40) 0.34 (1.05)
-------------------------------------------------------------
Dividends from net investment income ...... (0.02) (0.08) (0.05) (0.05)
-------------------------------------------------------------
Net asset value at end of period .......... $ 8.09 $ 6.71 $ 9.19 $ 8.90
=============================================================
Total return(B) ........................... 20.93%(C) (26.19%) 3.86% (10.57%)(C)
=============================================================
Net assets at end of period (000's) ....... $ 7,345 $ 6,109 $ 7,561 $ 6,208
=============================================================
Ratio of net expenses to average net assets 1.00%(D) 1.00% 1.00% 1.00%(D)
Ratio of net investment income to
average net assets ...................... 0.65%(D) 0.90% 0.70% 0.54%(D)
Portfolio turnover rate ................... 4%(D) 29% 9% 3%(D)
(A) Represents the period from the commencement of operations (May 1, 2000)
through March 31, 2001.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
15
ENHANCED 30 FUND-CLASS B
FINANCIAL HIGHLIGHTS
=============================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2003 MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002(A)
- ---------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 6.69 $ 9.13 $ 9.50
=============================================
Income (loss) from investment operations:
Net investment income .................... --(B) 0.01 0.02
Net realized and unrealized gains
(losses) on investments ................ 1.36 (2.45) (0.37)
---------------------------------------------
Total from investment operations ........... 1.36 (2.44) (0.35)
---------------------------------------------
Dividends from net investment income ....... -- --(B) (0.02)
---------------------------------------------
Net asset value at end of period ........... $ 8.05 $ 6.69 $ 9.13
=============================================
Total return(C) ............................ 20.33%(D) (26.70%) (3.60%)(D)
=============================================
Net assets at end of period (000's) ........ $ 1,153 $ 729 $ 860
=============================================
Ratio of net expenses to average net
assets ................................... 1.75%(E) 1.75% 1.75%(E)
Ratio of net investment income (loss) to
average net assets ....................... (0.09%)(E) 0.18% 0.03%(E)
Portfolio turnover rate .................... 4%(E) 29% 9%(E)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
16
ENHANCED 30 FUND-CLASS C
FINANCIAL HIGHLIGHTS
============================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002 2001(A)
- ------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 6.72 $ 9.13 $ 8.88 $ 10.00
-------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................... --(B) 0.01 0.01 0.01
Net realized and unrealized gains
(losses) on investments ............... 1.38 (2.41) 0.25 (1.12)
-------------------------------------------------------------
Total from investment operations .......... 1.38 (2.40) 0.26 (1.11)
-------------------------------------------------------------
Dividends from net investment income ...... -- (0.01) (0.01) (0.01)
-------------------------------------------------------------
Net asset value at end of period .......... $ 8.10 $ 6.72 $ 9.13 $ 8.88
=============================================================
Total return(C) ........................... 20.54%(D) (26.32%) 3.00% (11.12%)(D)
=============================================================
Net assets at end of period (000's) ....... $ 1,394 $ 920 $ 900 $ 128
=============================================================
Ratio of net expenses to average net assets 1.75%(E) 1.74% 1.75% 1.73%(E)
Ratio of net investment income (loss) to
average net assets ...................... (0.09%)(E) 0.18% (0.05%) (0.46%)(E)
Portfolio turnover rate ................... 4%(E) 29% 9% 3%(E)
(A) Represents the period from the commencement of operations (May 16, 2000)
through March 31, 2001.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
17
GROWTH OPPORTUNITIES FUND-CLASS A
FINANCIAL HIGHLIGHTS
===============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2003 -------------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 12.70 $ 18.18 $ 19.97 $ 32.43 $ 17.50 $ 16.30
------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................. (0.10) (0.19) (0.18) (0.13) (0.16) (0.17)
Net realized and unrealized gains
(losses) on investments ........... 3.06 (5.29) (1.61) (12.33) 15.51 4.84
------------------------------------------------------------------------------------
Total from investment operations ...... 2.96 (5.48) (1.79) (12.46) 15.35 4.67
------------------------------------------------------------------------------------
Distributions from net realized gains . -- -- -- -- (0.42) (3.47)
------------------------------------------------------------------------------------
Net asset value at end of period ...... $ 15.66 $ 12.70 $ 18.18 $ 19.97 $ 32.43 $ 17.50
====================================================================================
Total return(A) ....................... 23.31%(B) (30.14%) (8.96%) (38.42%) 88.88% 29.89%
====================================================================================
Net assets at end of period (000's) ... $107,612 $ 84,472 $121,791 $107,435 $ 79,066 $ 24,664
====================================================================================
Ratio of net expenses to
average net assets .................. 1.68%(C) 1.83% 1.49% 1.54% 1.52% 1.66%
Ratio of net investment loss to
average net assets .................. (1.31%)(C) (1.40%) (0.98%) (0.66%) (1.05%) (0.93%)
Portfolio turnover rate ............... 75%(C) 39% 52% 35% 44% 59%
Amount of debt outstanding at
end of period (000's) ............... n/a $ -- $ -- n/a n/a n/a
Average daily amount of debt
outstanding during the
period (000's)(D) ................... n/a $ 242 $ 24 n/a n/a n/a
Average daily number of capital
shares outstanding during
the period (000's)(D) ............... n/a 8,916 8,481 n/a n/a n/a
Average amount of debt per share
during the period(D) ................ n/a $ 0.03 $ --(E) n/a n/a n/a
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Based on fund level shares outstanding.
(E) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
18
GROWTH OPPORTUNITIES FUND-CLASS B
FINANCIAL HIGHLIGHTS
=============================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2003 MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002(A)
- ---------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 12.13 $ 17.78 $ 22.74
---------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.18) (0.36) (0.17)
Net realized and unrealized gains (losses)
on investments ......................... 3.06 (5.29) (4.79)
---------------------------------------------
Total from investment operations ........... 2.88 (5.65) (4.96)
---------------------------------------------
Net asset value at end of period ........... $ 15.01 $ 12.13 $ 17.78
=============================================
Total return(B) ............................ 23.74%(C) (31.78%) (21.81%)(C)
=============================================
Net assets at end of period (000's) ........ $ 3,122 $ 2,463 $ 3,380
=============================================
Ratio of net expenses to average net
assets ................................... 2.96%(D) 3.16% 2.37%(D)
Ratio of net investment loss to average
net assets ............................... (2.57%)(D) (2.71%) (1.93%)(D)
Portfolio turnover rate .................... 75%(D) 39% 52%(D)
Amount of debt outstanding at end of
period (000's) ........................... n/a $ -- $ --
Average daily amount of debt outstanding
during the period (000's)(E) ............. n/a $ 242 $ 24
Average daily number of capital shares
outstanding during the period (000's)(E) . n/a 8,916 8,481
Average amount of debt per share during the
period(E) ................................ n/a $ 0.03 $ --(F)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Based on fund level shares outstanding.
(F) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
19
GROWTH OPPORTUNITIES FUND-CLASS C
FINANCIAL HIGHLIGHTS
==========================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002 2001 2000(A)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 12.17 $ 17.78 $ 19.74 $ 32.30 $ 18.65
-----------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................... (0.18) (0.36) (0.32) (0.19) (0.11)
Net realized and unrealized gains
(losses) on investments ............. 3.07 (5.25) (1.64) (12.37) 14.18
-----------------------------------------------------------------------------
Total from investment operations ........ 2.89 (5.61) (1.96) (12.56) 14.07
-----------------------------------------------------------------------------
Dividends from net investment income .... -- -- -- -- (0.42)
-----------------------------------------------------------------------------
Net asset value at end of period ........ $ 15.06 $ 12.17 $ 17.78 $ 19.74 $ 32.30
=============================================================================
Total return(B) ......................... 23.75%(C) (31.55%) (9.93%) (38.89%) 76.52%(C)
=============================================================================
Net assets at end of period (000's) ..... $ 26,335 $ 21,727 $ 40,967 $ 36,475 $ 10,794
=============================================================================
Ratio of net expenses to
average net assets .................... 2.77%(D) 2.87% 2.31% 2.19% 2.33%(D)
Ratio of net investment loss to
average net assets .................... (2.38%)(D) (2.42%) (1.78%) (1.31%) (1.77%)(D)
Portfolio turnover rate ................. 75%(D) 39% 52% 35% 44%(D)
Amount of debt outstanding at
end of period (000's) ................. n/a $ -- $ -- n/a n/a
Average daily amount of debt outstanding
during the period (000's)(E) .......... n/a $ 242 $ 24 n/a n/a
Average daily number of capital shares
outstanding during the
period (000's)(E) ..................... n/a 8,916 8,481 n/a n/a
Average amount of debt per share
during the period(E) .................. n/a $ 0.03 $ --(F) n/a n/a
(A) Represents the period from the commencement of operations (August 2, 1999)
through March 31, 2000.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Based on fund level shares outstanding.
(F) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
20
LARGE CAP GROWTH FUND-CLASS A
FINANCIAL HIGHLIGHTS
===============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2003 -------------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 8.03 $ 12.11 $ 12.69 $ 22.93 $ 22.12 $ 19.38
------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) ........ (0.01) (0.07) (0.10) (0.18) (0.05) 0.04
Net realized and unrealized gains
(losses) on investments ........... 1.08 (4.01) (0.48) (9.14) 4.60 2.73
------------------------------------------------------------------------------------
Total from investment operations ...... 1.07 (4.08) (0.58) (9.32) 4.55 2.77
------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income ............................ -- -- -- -- -- (0.03)
Distributions from net realized gains -- -- -- (0.92) (3.74) --
------------------------------------------------------------------------------------
Total distributions ................... -- -- -- (0.92) (3.74) (0.03)
------------------------------------------------------------------------------------
Net asset value at end of period ...... $ 9.10 $ 8.03 $ 12.11 $ 12.69 $ 22.93 $ 22.12
====================================================================================
Total return(A) ....................... 13.33%(B) (33.69%) (4.57%) (41.73%) 20.60% 14.30%
====================================================================================
Net assets at end of period (000's) ... $ 37,803 $ 33,484 $ 67,461 $ 24,634 $ 65,274 $ 55,561
====================================================================================
Ratio of net expenses to average
net assets .......................... 1.25%(C) 1.30% 1.30% 1.25% 1.26% 1.31%
Ratio of net investment income (loss)
to average net assets ............... (0.36%)(C) (0.73%) (0.82%) (0.61%) (0.24%) 0.18%
Portfolio turnover rate ............... 50%(C) 81% 85% 99% 78% 10%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
21
LARGE CAP GROWTH FUND-CLASS B
FINANCIAL HIGHLIGHTS
=============================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------
SIX MONTHS YEAR PERIOD
SEPT. 30, ENDED ENDED
2003 MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002(A)
- ---------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 7.55 $ 11.55 $ 13.60
---------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.04) (0.09) (0.08)
Net realized and unrealized gains (losses)
on investments ......................... 1.01 (3.91) (1.97)
---------------------------------------------
Total from investment operations ........... 0.97 (4.00) (2.05)
---------------------------------------------
Net asset value at end of period ........... $ 8.52 $ 7.55 $ 11.55
=============================================
Total return(B) ............................ 12.85%(C) (34.63%) (15.07%)(C)
=============================================
Net assets at end of period (000's) ........ $ 169 $ 77 $ 34
=============================================
Ratio of net expenses to average net assets 2.40%(D) 2.42% 2.43%(D)
Ratio of net investment loss to average
net assets ............................... (1.48%)(D) (1.75%) (1.97%)(D)
Portfolio turnover rate .................... 50%(D) 81% 85%(D)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
22
LARGE CAP GROWTH FUND-CLASS C
FINANCIAL HIGHLIGHTS
===============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2003 -------------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 7.56 $ 11.50 $ 12.19 $ 22.32 $ 21.86 $ 19.34
------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................. (0.07) (0.17) (0.26) (0.30) (0.28) (0.19)
Net realized and unrealized gains
(losses) on investments ........... 1.02 (3.77) (0.43) (8.91) 4.48 2.71
------------------------------------------------------------------------------------
Total from investment operations ...... 0.95 (3.94) (0.69) (9.21) 4.20 2.52
------------------------------------------------------------------------------------
Distributions from net realized gains . -- -- -- (0.92) (3.74) --
------------------------------------------------------------------------------------
Net asset value at end of period ...... $ 8.51 $ 7.56 $ 11.50 $ 12.19 $ 22.32 $ 21.86
====================================================================================
Total return(A) ....................... 12.57%(B) (34.26%) (5.66%) (42.39%) 19.24% 13.03%
====================================================================================
Net assets at end of period (000's) ... $ 1,009 $ 985 $ 1,869 $ 2,178 $ 3,618 $ 3,146
====================================================================================
Ratio of net expenses to average
net assets .......................... 2.41%(C) 2.43% 2.51% 2.32% 2.68% 2.41%
Ratio of net investment loss
to average net assets ............... (1.52%)(C) (1.81%) (2.05%) (1.68%) (1.34%) (0.92%)
Portfolio turnover rate ............... 50%(C) 81% 85% 99% 78% 10%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
23
SMALL CAP GROWTH FUND-CLASS A
FINANCIAL HIGHLIGHTS
===========================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2003 MARCH 31,
(UNAUDITED) 2003(A)
- ---------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 9.78 $ 10.00
---------------------------
Loss from investment operations:
Net investment loss ...................... (0.07) (0.06)
Net realized and unrealized gains (losses)
on investments ........................ 4.39 (0.16)
---------------------------
Total from investment operations ........... 4.32 (0.22)
---------------------------
Net asset value at end of period ........... $ 14.10 $ 9.78
===========================
Total return(B) ............................ 44.17% (2.20%)
===========================
Net assets at end of period (000's) ........ $ 30,733 $ 15,230
===========================
Ratio of net expenses to average net assets 1.95%(C) 1.95%(C)
Ratio of net investment loss to average
net assets ............................... (1.27%)(C) (1.61%)(C)
Portfolio turnover ......................... 162%(C) 128%(C)
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annulized.
(C) Annualized.
See accompanying notes to financial statements.
24
SMALL CAP GROWTH FUND-CLASS B
FINANCIAL HIGHLIGHTS
===========================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2003 MARCH 31,
(UNAUDITED) 2003(A)
- ---------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 9.75 $ 10.00
---------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.09) (0.06)
Net realized and unrealized gains (losses)
on investments ........................ 4.37 (0.19)
---------------------------
Total from investment operations ........... 4.28 (0.25)
---------------------------
Net asset value at end of period ........... $ 14.03 $ 9.75
===========================
Total return(B) ............................ 43.90% (2.50%)
===========================
Net assets at end of period (000's) ........ $ 4,638 $ 1,399
===========================
Ratio of net expenses to average net assets 2.70%(C) 2.69%(C)
Ratio of net investment loss to average
net assets ............................... (2.03%)(C) (2.38%)(C)
Portfolio turnover ......................... 162%(C) 128%(C)
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annulized.
(C) Annualized.
See accompanying notes to financial statements.
25
SMALL CAP GROWTH FUND-CLASS C
FINANCIAL HIGHLIGHTS
===========================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2003 MARCH 31,
(UNAUDITED) 2003(A)
- ---------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 9.74 $ 10.00
---------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.10) (0.07)
Net realized and unrealized gains (losses)
on investments ........................ 4.38 (0.19)
---------------------------
Total from investment operations ........... 4.28 (0.26)
---------------------------
Net asset value at end of period ........... $ 14.02 $ 9.74
===========================
Total return(B) ............................ 43.94% (2.60%)
===========================
Net assets at end of period (000's) ........ $ 8,071 $ 3,029
===========================
Ratio of net expenses to average net assets 2.70%(C) 2.69%(C)
Ratio of net investment loss to average
net assets ............................... (2.03%)(C) (2.39%)(C)
Portfolio turnover ......................... 162%(C) 128%(C)
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annulized.
(C) Annualized.
See accompanying notes to financial statements.
26
VALUE PLUS FUND-CLASS A
FINANCIAL HIGHLIGHTS
=================================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR MONTHS YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31, DEC. 31,
(UNAUDITED) 2003 2002 2001(A) 2000 1999 1998(B)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77 $ 10.41 $ 10.00
------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income ..... 0.03 0.05 0.02 0.01 0.06 0.01 0.02
Net realized and unrealized
gains (losses) on
investments ............. 1.38 (3.05) 0.22 (0.47) 0.12 1.60 0.41
------------------------------------------------------------------------------------------------
Total from investment
operations ................ 1.41 (3.00) 0.24 (0.46) 0.18 1.61 0.43
------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income ....... (0.03) (0.04) (0.02) (0.01) (0.06) (0.01) (0.02)
Distributions from
net realized gains ...... -- -- -- -- (0.92) (0.24) --
Return of capital ......... -- -- -- -- (0.23) -- --(C)
------------------------------------------------------------------------------------------------
Total distributions ......... (0.03) (0.04) (0.02) (0.01) (1.21) (0.25) (0.02)
------------------------------------------------------------------------------------------------
Net asset value at
end of period ............. $ 8.83 $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77 $ 10.41
================================================================================================
Total return(D) ............. 18.96%(E) (28.59%) 2.34% (4.29%)(E) 1.91% 15.51% 4.29%(E)
================================================================================================
Net assets at end of period
(000's) ................... $ 55,203 $ 46,113 $ 93,214 $ 51,442 $ 49,807 $ 31,808 $ 27,068
================================================================================================
Ratio of net expenses to
average net assets ........ 1.30%(F) 1.30% 1.30% 1.30%(F) 1.30% 1.30% 1.30%(F)
Ratio of net investment
income to average
net assets ................ 0.76%(F) 0.58% 0.23% 0.37%(F) 0.51% 0.08% 0.25%(F)
Portfolio turnover .......... 46%(F) 58% 33% 48%(F) 83% 60% 34%(F)
(A) Effective after the close of business on March 31, 2001, the Fund changed
its fiscal year-end to March 31.
(B) The Fund commenced operations May 1, 1998.
(C) Amount rounds to less than $0.01 per share.
(D) Total returns shown exclude the effect of applicable sales loads.
(E) Not annualized.
(F) Annualized.
See accompanying notes to financial statements.
27
VALUE PLUS FUND-CLASS B
FINANCIAL HIGHLIGHTS
=============================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2003 MARCH 31, MARCH 31,
(UNAUDITED) 2003 2002(A)
- ---------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 7.18 $ 10.18 $ 10.72
----------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) ............. --(B) --(B) (0.01)
Net realized and unrealized gains (losses)
on investments ......................... 1.33 (2.96) (0.53)
----------------------------------------------
Total from investment operations ........... 1.33 (2.96) (0.54)
----------------------------------------------
Dividends from net investment income ....... (0.02) (0.04) --
----------------------------------------------
Net asset value at end of period ........... $ 8.49 $ 7.18 $ 10.18
==============================================
Total return(C) ............................ 18.50%(D) (29.05%) (5.01%)(D)
==============================================
Net assets at end of period (000's) ........ $ 613 $ 367 $ 130
==============================================
Ratio of net expenses to average net assets 2.05%(E) 2.05% 2.05%(E)
Ratio of net investment loss to average
net assets ............................... (0.02%)(E) (0.06%) (0.77%)(E)
Portfolio turnover rate .................... 46%(E) 58% 33%(E)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
28
VALUE PLUS FUND-CLASS C
FINANCIAL HIGHLIGHTS
===============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR MONTHS YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED
2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31,
(UNAUDITED) 2003 2002 2001(A) 2000 1999(B)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning
of period ........................... $ 7.22 $ 10.18 $ 10.02 $ 10.50 $ 11.48 $ 10.26
------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income (loss) ........ 0.08 (0.02) (0.04) (0.01) (0.02) (0.07)
Net realized and unrealized gains
(losses) on investments ........... 1.25 (2.94) 0.20 (0.47) 0.19 1.53
------------------------------------------------------------------------------------
Total from investment operations ...... 1.33 (2.96) 0.16 (0.48) 0.17 1.46
------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income ............................ (0.02) -- -- -- -- --
Distributions from net realized gains -- -- -- -- (0.92) (0.24)
Return of capital ................... -- -- -- -- (0.23) --
------------------------------------------------------------------------------------
Total distributions ................... (0.02) -- -- -- (1.15) (0.24)
------------------------------------------------------------------------------------
Net asset value at end of period ...... $ 8.53 $ 7.22 $ 10.18 $ 10.02 $ 10.50 $ 11.48
====================================================================================
Total return(C) ....................... 18.38%(D) (29.08%) 1.60% (4.57%)(D) 1.87% 14.24%
====================================================================================
Net assets at end of period (000's) ... $ 1,750 $ 1,512 $ 2,548 $ 1,705 $ 2,011 $ 548
====================================================================================
Ratio of net expenses to
average net assets .................. 2.05%(E) 2.05% 2.05% 2.05%(E) 2.05% 2.05%
Ratio of net investment loss to
average net assets .................. 0.02%(E) (0.15%) (0.51%) (0.33%)(E) (0.21%) (0.65%)
Portfolio turnover .................... 46%(E) 58% 33% 48%(E) 83% 60%
(A) Effective after the close of business on March 31, 2001, the Fund changed
its fiscal year-end to March 31.
(B) Represents the period from the commencement of operations (January 1, 1999)
through December 31, 1999.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
29
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
1. ORGANIZATION
The Emerging Growth Fund, Enhanced 30 Fund, Growth Opportunities Fund, Large Cap
Growth Fund, Small Cap Growth Fund and Value Plus Fund (individually, a Fund,
and collectively, the Funds) are each a series of Touchstone Strategic Trust
(the Trust). The Trust is registered under the Investment Company Act of 1940,
as amended (the Act), as an open-end management investment company. The Trust
was established as a Massachusetts business trust under a Declaration of Trust
dated November 18, 1982. The Declaration of Trust, as amended, permits the
Trustees to issue an unlimited number of shares of each Fund. Effective May 1,
2001, Class B shares commenced operations for the Funds. Small Cap Growth Fund
Class A, B and C shares commenced operations October 21, 2002.
Prior to May 1, 2000, the Emerging Growth Fund and Value Plus Fund were part of
the Touchstone Series Trust, a Massachusetts business trust organized on
February 7, 1994 and registered under the Act as an open-end management
investment company. Effective May 1, 2000, the Funds were merged into separate
series of the Trust and their fiscal year ends were subsequently changed from
December 31 to March 31.
The Emerging Growth Fund seeks to increase the value of Fund shares as a primary
goal and to earn income as a secondary goal by investing primarily (at least 65%
of its assets) in emerging growth companies.
The Enhanced 30 Fund seeks to achieve a total return that is higher than the
total return of the Dow Jones Industrial Average. The Fund's portfolio is based
on the 30 stocks that comprise the Dow Jones Industrial Average.
The Growth Opportunities Fund seeks long-term capital appreciation primarily
through equity investments in companies whose valuation may not reflect the
prospects for accelerated earnings/cash flow growth. The Fund invests primarily
in stocks of mid to large cap domestic growth companies that the portfolio
manager believes have a demonstrated record of achievement with excellent
prospects for earnings and/or cash flow growth over a 3 to 5 year period.
The Large Cap Growth Fund seeks long-term growth of capital. Under normal
circumstances, the Fund will invest at least 80% of its assets in a diversified
portfolio of common stocks of large cap companies. Effective October 6, 2003,
the Fund will invest at least 80% of its assets in a non-diversified portfolio
of common stocks of large cap companies. See Note 8.
The Small Cap Growth Fund seeks long-term growth of capital. Under normal
circumstances, the Fund will invest at least 80% of its assets in equity
securities of small cap companies.
The Value Plus Fund seeks to increase the value of Fund shares over the
long-term by investing primarily (at least 65% of its assets) in common stocks
of larger companies that the portfolio manager believes are undervalued.
Each Fund offers three classes of shares: Class A shares (currently sold subject
to a maximum front-end sales load of 5.75% and a maximum distribution fee of up
to 0.25%), Class B shares (sold subject to a maximum contingent deferred sales
load of 5.00% for a one-year period and incrementally reduced over time and a
maximum distribution fee of up to 1.00% of average daily net assets) and Class C
shares (effective May 1, 2001 sold subject to a 1.00% contingent deferred sales
load for a one-year period and a maximum distribution fee of up to 1.00% of
average daily net assets). Each Class A, Class B and Class C share of a Fund
represents identical interests in the investment portfolio of such Fund and has
the same rights, except that (i) Class B and Class C shares bear the expenses of
higher distribution fees,
30
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
which is expected to cause Class B and Class C shares to have a higher expense
ratio and to pay lower dividends than Class A shares; (ii) certain other class
specific expenses will be borne solely by the class to which such expenses are
attributable; and (iii) each class has exclusive voting rights with respect to
matters relating to its own distribution arrangements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Funds' significant accounting policies:
Security valuation - The Funds' portfolio securities are valued as of the close
of the regular session of trading on the New York Stock Exchange (currently 4:00
p.m., Eastern time). Portfolio securities traded on stock exchanges or quoted by
NASDAQ are valued at the NASDAQ official closing price. Securities quoted in
foreign currencies are translated into U.S. dollars at the current exchange
rate. Securities not traded on a particular day, or for which the last sale
price is not readily available, are valued at their last broker-quoted bid
prices as obtained from one or more of the major market makers for such
securities by an independent pricing service. Securities for which market
quotations are not readily available are valued at their fair value as
determined in good faith in accordance with consistently applied procedures
established by and under the general supervision of the Board of Trustees.
Portfolio Securities Loaned - As of September 30, 2003, the Emerging Growth
Fund, Growth Opportunities Fund and the Small Cap Growth Fund loaned common
stocks having a fair value of approximately $33,397,467, $14,032,409 and
$6,771,341 and received collateral of $35,552,758, $14,541,900 and $7,074,596
for the loans, respectively. All collateral received as cash and securities is
received, held and administered by the Fund's Custodian for the benefit of the
Funds in the applicable custody account or other account established for the
purpose of holding collateral.
The Emerging Growth Fund, Growth Opportunities Fund and the Small Cap Growth
Fund receive compensation in the form of fees, or retain a portion of interest
on the investment of any cash received as collateral. The Funds also continue to
receive interest or dividends on the securities loaned. The loans are secured by
collateral at least equal, at all times, to the fair value of the securities
loaned plus accrued interest. Gain or loss in the fair value of the securities
loaned that may occur during the term of the loan will be for the account of the
Funds. The Funds have the right under the lending agreement to recover the
securities from the borrower on demand.
Foreign currency value translation - The accounting records of the Funds are
maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward contracts denominated in foreign currencies
are translated into U.S. dollars at the prevailing exchange rates at the end of
the period. Purchases and sales of securities, income receipts and expense
payments are translated at the exchange rate prevailing on the respective dates
of such transactions. Reported net realized gains and losses on foreign currency
transactions represent net gains and losses from sales and maturities of forward
currency contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions and
the difference between the amount of net investment income accrued and the U.S.
dollar amount actually received.
Forward foreign currency and spot contracts - The Emerging Growth Fund and Value
Plus Fund may enter into forward foreign currency and spot contracts to protect
securities and related receivables and payables against fluctuations in foreign
currency rates. A forward contract is an agreement to buy or sell currencies of
different countries on a specified future date at a specified rate.
31
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
Risks associated with such contracts include the movement in the value of the
foreign currency relative to the U.S. dollar and the ability of the counterparty
to perform. The market value of the contract will fluctuate with changes in
currency exchange rates. Contracts are valued daily based on procedures
established by and under the general supervision of the Board of Trustees of the
Trust and the change in the market value is recorded by the Funds as unrealized
appreciation and depreciation of forward foreign currency contracts.
Repurchase agreements - Repurchase agreements, which are collateralized by U.S.
Government obligations, are valued at cost, which, together with accrued
interest, approximates market. At the time each Fund enters into a repurchase
agreement, the seller agrees that the value of the underlying securities,
including accrued interest, will at all times be equal to or exceed the face
amount of the repurchase agreement.
Share valuation - The net asset value per share of each class of shares of each
Fund is calculated daily by dividing the total value of a Fund's assets
attributable to that class, less liabilities attributable to that class, by the
number of outstanding shares of that class.
The maximum offering price per share of Class A shares of the Funds is equal to
the net asset value per share plus a sales load equal to 6.10% of the net asset
value (or 5.75% of the offering price). The maximum offering price per share of
Class B and Class C shares of the Funds is equal to the net asset value per
share.
The redemption price per share of each class of shares of the Funds equal to the
net asset value per share. However, Class B and Class C shares of the Funds are
subject to a contingent deferred sales load of 5% and 1%, respectively, of the
original purchase price if redeemed within a one-year period from the date of
purchase. The contingent deferred sales load for Class B shares will be
incrementally reduced over time. After the 6th year, there is no contingent
deferred sales load for Class B shares.
Investment income - Interest income is accrued as earned. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities purchased
are amortized in accordance with income tax regulations, which approximate
generally accepted accounting principles.
Distributions to shareholders - Dividends arising from net investment income, if
any, are declared and paid to shareholders quarterly for the Enhanced 30 Fund,
Large Cap Growth Fund, and Value Plus Fund and annually for the Emerging Growth
Fund, Growth Opportunities Fund, and Small Cap Growth Fund. With respect to each
Fund, net realized short-term capital gains, if any, may be distributed
throughout the year and net realized long-term capital gains, if any, are
distributed at least once each year. Income dividends and capital gain
distributions are determined in accordance with income tax regulations.
Allocations - Investment income earned, realized capital gains and losses, and
unrealized appreciation and depreciation for the Funds are allocated daily to
each class of shares based upon its proportionate share of total net assets of
the Fund. Class specific expenses are charged directly to the class incurring
the expense. Common expenses, which are not attributable to a specific class,
are allocated daily to each class of shares based upon its proportionate share
of total net assets of the Fund. Expenses not directly billed to a Fund are
allocated proportionally among all Funds daily in relation to net assets of each
Fund or another reasonable measure.
Security transactions - Security transactions are accounted for on the trade
date. Securities sold are determined on a specific identification basis.
32
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
Estimates - The preparation of financial statements in conformity with
accounting principles generally accepted in the United States 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 income and
expenses during the reporting period. Actual results could differ from those
estimates.
Federal income tax - It is each Fund's policy to comply with the special
provisions of the Internal Revenue Code applicable to regulated investment
companies. As provided therein, in any fiscal year in which a Fund so qualifies
and distributes at least 90% of its taxable net income, the Fund (but not the
shareholders) will be relieved of federal income tax on the income distributed.
Accordingly, no provision for income taxes has been made.
In order to avoid imposition of the excise tax applicable to regulated
investment companies, it is also each Fund's intention to declare and pay as
dividends in each calendar year at least 98% of its net investment income
(earned during the calendar year) and 98% of its net realized capital gains
(earned during the twelve months ending October 31) plus undistributed amounts
from prior years.
The tax character of distributions paid for the years ended March 31, 2003 and
2002 was as follows:
- ---------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2003 2002 2003 2002 2003 2002
- ---------------------------------------------------------------------------------------------------------------------
From ordinary income .......... $3,671,302 $ 30,646 $ 71,896 $ 38,704 $ -- $ --
From long-term capital gains .. 308,874 391,279 -- -- -- --
--------------------------------------------------------------------------------
$3,980,176 $ 421,925 $ 71,896 $ 38,704 $ -- $ --
================================================================================
- ---------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
LARGE CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2003 2002 2003 2003 2002
- -------------------------------------------------------------------------------------------------------
From ordinary income .......... $ -- $ -- $ -- $ 292,503 $ 151,108
From long-term capital gains .. -- -- -- -- --
------------------------------------------------------------------
$ -- $ -- $ -- $ 29,250 $ 151,108
==================================================================
- -------------------------------------------------------------------------------------------------------
33
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
The following information is computed on a tax basis for each item as of March
31, 2003:
- ----------------------------------------------------------------------------------------------
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- ----------------------------------------------------------------------------------------------
Cost of portfolio investments .......... $ 290,648,232 $ 9,338,002 $ 148,959,255
==================================================
Gross unrealized appreciation .......... 18,269,910 333,454 6,064,847
Gross unrealized depreciation .......... (47,231,050) (1,998,728) (45,979,265)
--------------------------------------------------
Net unrealized appreciation/depreciation (28,961,140) (1,665,274) (39,914,418)
==================================================
Post October losses .................... (20,172,400) (1,038,798) (16,871,671)
==================================================
Capital loss carryforward .............. (24,155,186) (538,988) (46,429,008)
==================================================
Undistributed ordinary income .......... -- 342 --
==================================================
Accumulated earnings (deficit) ....... $ (73,288,726) $ (3,242,718) $ (103,215,097)
==================================================
- ----------------------------------------------------------------------------------------------
34
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- ----------------------------------------------------------------------------------------------
LARGE CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- ----------------------------------------------------------------------------------------------
Cost of portfolio investments .......... $ 40,366,529 $ 17,997,642 $ 60,146,174
==================================================
Gross unrealized appreciation .......... 1,110,731 1,429,277 1,567,822
Gross unrealized depreciation .......... (6,815,918) (890,978) (14,514,174)
--------------------------------------------------
Net unrealized appreciation/depreciation (5,705,187) 538,299 (12,946,352)
==================================================
Post October losses .................... (3,175,121) (922,934) (6,389,522)
==================================================
Capital loss carryforward .............. (31,291,094) (41,322) (6,035,382)
==================================================
Undistributed ordinary income .......... -- -- 84,212
==================================================
Accumulated earnings (deficit) ....... $ (40,171,402) $ (425,957) $ (25,287,044)
==================================================
- ----------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial
statement cost is primarily due to wash sales.
As of March 31, 2003, the Funds had the following capital loss carryforwards for
federal income tax purposes.
- --------------------------------------------------------------------------------
EXPIRES
FUND AMOUNT MARCH 31,
- --------------------------------------------------------------------------------
Emerging Growth Fund ......... $ 24,155,186 2011
============
Enhanced 30 Fund ............. $ 99,480 2009
24,780 2010
414,728 2011
------------
538,988
============
Growth Opportunities Fund .... $ 2,005,441 2009
22,448,509 2010
21,975,058 2011
------------
46,429,008
============
Large Cap Growth Fund ........ $ 12,172,049 2010
19,119,045 2011
------------
31,291,094
============
Small Cap Growth Fund ........ $ 41,322 2011
============
Value Plus Fund .............. $ 209,088 2009
5,826,294 2011
------------
6,035,382
============
- --------------------------------------------------------------------------------
The capital loss carryforwards may be utilized in the current and future years
to offset net realized capital gains, if any, prior to distributing such gains
to shareholders.
35
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) were as follows for
the period ended September 30, 2003:
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- ----------------------------------------------------------------------------------------------
Purchases of investment securities ..... $ 208,913,878 $ 358,861 $ 49,992,198
--------------------------------------------------
Proceeds from sales and maturities
of investment securities ............. $ 127,141,434 $ 182,927 $ 47,144,507
--------------------------------------------------
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
LARGE CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- ----------------------------------------------------------------------------------------------
Purchases of investment securities ..... $ 9,386,251 $ 37,555,140 $ 12,338,648
--------------------------------------------------
Proceeds from sales and maturities
of investment securities ............. $ 9,979,003 $ 24,057,020 $ 13,483,913
--------------------------------------------------
- ----------------------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES
Certain officers of the Trust are also officers of Touchstone Advisors, Inc.
(the Adviser), the Trust's investment adviser, or Touchstone Securities, Inc.
(the Underwriter), the Trust's principal underwriter, and Integrated Fund
Services, Inc. (Integrated), the Trust's administrator, transfer agent and
accounting services agent. The Adviser, the Underwriter and Integrated are each
wholly-owned, indirect subsidiaries of The Western and Southern Life Insurance
Company.
MANAGEMENT AGREEMENTS
The Adviser provides general investment supervisory services for the Funds,
under the terms of a Management Agreement. Under the Management Agreement, the
Enhanced 30 Fund pays the Adviser a fee, which is computed and accrued daily and
paid monthly, at an annual rate of 0.65% on the first $100 million of average
daily net assets; 0.60% of the next $100 million of average daily net assets;
0.55% of the next $100 million of average daily net assets; and 0.50% of such
assets in excess of $300 million. The Growth Opportunities Fund pays the Adviser
a fee, which is computed and accrued daily and paid monthly, at an annual rate
of 1.00% on the first $50 million of average daily net assets; 0.90% of the next
$50 million of average daily net assets; 0.80% of the next $100 million of
average daily net assets; and 0.75% of such assets in excess of $200 million.
The Large Cap Growth Fund pays the Adviser a fee, which is computed and accrued
daily and paid monthly, at an annual rate of 0.75% on the first $200 million of
average daily net assets; 0.70% of the next $300 million of average daily net
assets; and 0.50% of such assets in excess of $500 million. The Value Plus Fund
pays the Adviser a fee, which is computed and accrued daily and paid monthly, at
an annual rate of 0.75% on the first $100 million of average daily net assets;
0.70% of the next $100 million of average daily net assets; 0.65% of the next
$100 million of average daily net assets; and 0.60% of such assets in excess of
$300 million. The Emerging Growth Fund and Small Cap Growth Fund each pay the
Adviser a fee, which is
36
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
computed and accrued daily and paid monthly, at an annual rate of 0.80% and
1.25%, respectively, of average daily net assets.
TCW Investment Management Company (TCW) and Westfield Capital Management
Company, Inc. (Westfield) have been retained by the Adviser to manage the
investments of the Emerging Growth Fund. The Adviser (not the Fund) pays TCW and
Westfield a fee for these services.
Todd Investment Advisors, Inc. (Todd) has been retained by the Adviser to manage
the investments of the Enhanced 30 Fund. The Adviser (not the Fund) pays Todd a
fee for these services.
Mastrapasqua Asset Management, Inc. (Mastrapasqua) has been retained by the
Adviser to manage the investments of the Growth Opportunities Fund. The Adviser
(not the Fund) pays Mastrapasqua a fee for these services.
Fort Washington Investment Advisors, Inc. (Fort Washington) has been retained by
the Adviser to manage the investments of the Large Cap Growth Fund and Value
Plus Fund. The Adviser (not the Funds) pays Fort Washington a fee for these
services.
Longwood Investment Advisors, Inc. (Longwood) and Bjurman, Barry & Associates
(Bjurman) have been retained by the Adviser to manage the investments of the
Small Cap Growth Fund. The Adviser (not the Fund) pays Longwood and Bjurman a
fee for these services.
The Adviser has entered into an agreement to contractually limit operating
expenses of certain Funds. The maximum operating expense limit in any year with
respect to a Fund is based on a percentage of the average daily net assets of
the Fund. The Adviser has agreed to waive advisory fees and reimburse expenses
in order to maintain expense limitations for the Large Cap Growth Fund as
follows: 1.30% for Class A shares, 2.25% for Class B shares, and 2.25% for Class
C shares. These expense limitations shall remain in effect until October 6,
2005.
Pursuant to a Sponsor Agreement, between the Adviser and the Trust, the Adviser
has agreed to waive its fees and reimburse expenses in order to limit certain
Fund's annual expenses as follows: Emerging Growth Fund - 1.50% for Class A
shares, 2.25% for Class B and Class C shares; Enhanced 30 Fund - 1.00% for Class
A shares, 1.75% for Class B and Class C shares; Small Cap Growth Fund - 1.95%
for Class A shares, 2.70% for Class B and Class C shares; Value Plus Fund -
1.30% for Class A shares, 2.05% for Class B and Class C shares. These fee
waivers and expense limitations shall remain in effect until March 31, 2004.
ADMINISTRATION AGREEMENT
Under the terms of an Administration Agreement, Integrated supplies executive
and regulatory compliance services, supervises the preparation of tax returns,
and coordinates the preparation of reports to shareholders and reports to and
filings with the Securities and Exchange Commission and state securities
authorities and materials for meetings of the Board of Trustees. For these
services, Integrated receives a monthly fee from each Fund.
TRANSFER AGENT AGREEMENT
Under the terms of the Transfer Agent Agreement between the Trust and
Integrated, Integrated maintains the records of each shareholder's account,
answers shareholders' inquiries concerning their accounts, processes purchases
and redemptions of each Fund's shares, acts as dividend and distribution
disbursing agent and performs other shareholder service functions. For these
services, Integrated receives a monthly fee per shareholder account from each
Fund, subject to a minimum monthly fee for each Fund, or for each class of
shares of a Fund, as applicable. In addition, each Fund pays Integrated
out-of-pocket expenses including, but not limited to, postage and supplies.
37
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
ACCOUNTING SERVICES AGREEMENT
Under the terms of the Accounting Services Agreement between the Trust and
Integrated, Integrated calculates the daily net asset value per share and
maintains the financial books and records. For these services, Integrated
receives a monthly fee, based on current net asset levels from each Fund. In
addition, each Fund pays Integrated certain out-of-pocket expenses incurred by
Integrated in obtaining valuations of such Fund's portfolio securities.
UNDERWRITING AGREEMENT
The Underwriter is the Funds' principal underwriter and, as such, acts as the
exclusive agent for distribution of the Funds' shares. Under the terms of the
Underwriting Agreement between the Trust and Underwriter, the Underwriter earned
$89,252, $1,133, $7,061, $754, $11,656, and $1,489 from underwriting and broker
commissions on the sale of shares of the Emerging Growth Fund, Enhanced 30 Fund,
Growth Opportunities Fund, Large Cap Growth Fund, Small Cap Growth Fund, and
Value Plus Fund, respectively, during the period ended September 30, 2003. In
addition, the Underwriter collected $61,985, $2,827, $6,564, $3, $4,736, and
$285 of contingent deferred sales loads on the redemption of Class B and Class C
shares of the Emerging Growth Fund, Enhanced 30 Fund, Growth Opportunities Fund,
Large Cap Growth Fund, Small Cap Growth Fund and Value Plus Fund, respectively.
PLANS OF DISTRIBUTION
The Trust has a Plan of Distribution (Class A Plan) under which Class A shares
of each Fund may directly incur or reimburse the Adviser for expenses related to
the distribution and promotion of shares. The annual limitation for payment of
such expenses under the Class A Plan is 0.25% of average daily net assets
attributable to such shares.
The Trust also has a Plan of Distribution (Class B and Class C Plan) under which
Class B and Class C shares of each Fund may directly incur or reimburse the
Adviser for expenses related to the distribution and promotion of shares. The
annual limitation for payment of such expenses under the Class B and Class C
Plan is 1.00% of average daily net assets attributable to Class B and Class C
shares.
SPONSOR AGREEMENT
The Trust, on behalf of the Emerging Growth Fund, Enhanced 30 Fund, Small Cap
Growth Fund, and Value Plus Fund, has entered into a Sponsor Agreement with the
Adviser. The Adviser provides oversight of the various service providers to the
Funds, including the Funds' administrator, custodian and transfer agent. The
Adviser receives a fee from each Fund equal on an annual basis to 0.20% of the
average daily net assets of that Fund. The Adviser agreed to waive all fees
until March 31, 2004, as needed to maintain each Fund's expenses at a set level.
The Sponsor Agreement may be terminated by the Adviser, the Board of Trustees or
the vote of a majority of the outstanding voting securities of each Fund with 30
days written notice.
38
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
5. CAPITAL SHARE TRANSACTIONS
Proceeds and payments on capital shares as shown in the Statements of Changes in
Net Assets are the result of the following capital share transactions for the
periods shown:
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH
GROWTH ENHANCED 30 OPPORTUNITIES
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED
2003 MARCH 31, 2003 MARCH 31, 2003 MARCH 31,
(UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold ................................. 6,528,175 9,611,435 43,322 286,492 1,826,273 4,692,700
Shares reinvested ........................... -- 110,981 2,700 9,547 -- --
Shares redeemed ............................. (2,729,575) (7,387,223) (47,728) (209,119) (1,606,873) (4,740,449)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 3,798,600 2,335,193 (1,706) 86,920 219,400 (47,749)
Shares outstanding, beginning of period ..... 11,032,209 8,697,016 909,913 822,993 6,651,160 6,698,909
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 14,830,809 11,032,209 908,207 909,913 6,870,560 6,651,160
==================================================================================
CLASS B
Shares sold ................................. 737,194 1,551,627 48,379 67,375 19,403 67,258
Shares reinvested ........................... -- 20,616 -- 26 -- --
Shares redeemed ............................. (130,278) (319,901) (14,217) (52,640) (14,390) (54,304)
----------------------------------------------------------------------------------
Net increase in shares outstanding .......... 606,916 1,252,342 34,162 14,761 5,013 12,954
Shares outstanding, beginning of period ..... 2,092,702 840,360 108,930 94,169 203,047 190,093
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 2,699,618 2,092,702 143,092 108,930 208,060 203,047
==================================================================================
CLASS C
Shares sold ................................. 2,567,957 5,488,550 51,254 131,520 137,156 240,662
Shares reinvested ........................... -- 58,253 -- 93 -- --
Shares redeemed ............................. (709,324) (1,445,076) (15,829) (93,364) (173,419) (759,693)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 1,858,633 4,101,727 35,425 38,249 (36,263) (519,031)
Shares outstanding, beginning of period ..... 7,790,171 3,688,444 136,846 98,597 1,784,821 2,303,852
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 9,648,804 7,790,171 172,271 136,846 1,748,558 1,784,821
==================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
39
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED
2003 MARCH 31, 2003 MARCH 31, 2003 MARCH 31,
(UNAUDITED) 2003 (UNAUDITED) 2003(A) (UNAUDITED) 2003
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold ................................. 202,820 511,005 761,479 1,605,827 304,286 819,488
Shares reinvested ........................... -- -- -- -- 22,692 37,132
Shares redeemed ............................. (218,410) (1,912,165) (139,276) (48,124) (263,971) (3,553,400)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (15,590) 1,401,160 622,203 1,557,703 63,007 (2,696,780)
Shares outstanding, beginning of period ..... 4,167,620 5,568,780 1,557,703 -- 6,187,359 8,884,139
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 4,152,030 4,167,620 2,179,906 1,557,703 6,250,366 6,187,359
==================================================================================
CLASS B
Shares sold ................................. 9,998 8,051 195,402 148,131 24,794 40,736
Shares reinvested ........................... -- -- -- -- 116 233
Shares redeemed ............................. (350) (890) (8,178) (4,698) (3,904) (2,533)
----------------------------------------------------------------------------------
Net increase in shares outstanding .......... 9,648 7,161 187,224 143,433 21,006 38,436
Shares outstanding, beginning of period ..... 10,131 2,970 143,433 -- 51,146 12,710
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 19,779 10,131 330,657 143,433 72,152 51,146
==================================================================================
CLASS C
Shares sold ................................. 7,610 32,199 310,929 341,792 11,407 34,029
Shares reinvested ........................... -- -- -- -- 368 --
Shares redeemed ............................. (19,469) (64,219) (46,063) (31,000) (16,159) (74,724)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (11,859) (32,020) 264,866 310,792 (4,384) (40,695)
Shares outstanding, beginning of period ..... 130,436 162,456 310,792 -- 209,498 250,193
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 118,577 130,436 575,658 310,792 205,114 209,498
==================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
(A) Represents the period from commencement of operations (October 31, 2002)
through March 31, 2003.
40
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
6. RISKS ASSOCIATED WITH FOREIGN SECURITIES
Investments in securities of foreign issuers carry certain risks not ordinarily
associated with investments in securities of domestic issuers. Such risks
include future political and economic developments and the possible imposition
of exchange controls or other foreign governmental laws and restrictions. In
addition, with respect to certain countries, there is the possibility of
expropriation of assets, confiscatory taxation, political or social instability
or diplomatic developments, which could adversely affect investments in those
countries.
Certain countries may also impose substantial restrictions on investments in
their capital markets by foreign entities, including restrictions on investments
in issuers or industries deemed sensitive to relevant national interests. These
factors may limit the investment opportunities available to a Funds or result in
a lack of liquidity and high price volatility with respect to securities of
issuers from developing countries.
7. RISKS ASSOCIATED WITH SMALL CAPITALIZATION INVESTING
Emerging growth funds and small cap funds typically carry additional risks since
smaller companies generally have a higher risk of failure. Historically, smaller
companies have experienced a greater degree than average of market volatility.
8. SUBSEQUENT EVENTS
On April 3, 2003, the Board of Trustees of the Trust approved the proposal of an
Agreement and Plan of Reorganization between the Navellier Millennium Large Cap
Growth Portfolio, the Navellier Performance Large Cap Growth Portfolio (the
'Navellier Portfolios') and the Large Cap Growth Fund series of the Touchstone
Strategic Trust, whereby the Navellier Portfolios would transfer to the Large
Cap Growth Fund all of their assets, subject to their liabilities, in exchange
for shares of the Large Cap Growth Fund. On October 3, 2003 the Navellier
Millennium Large Cap Growth Portfolio and the Navellier Performance Large Cap
Growth Portfolio merged into the Touchstone Large Cap Growth Fund. The Navellier
Performance Large Cap Growth Fund's performance and accounting history was
carried forward and the Large Cap Growth Fund's historical tax information was
carried forward.
The Board of Trustees also approved the Large Cap Growth Fund change its status
from a diversified to a non-diversified series.
41
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS - 92.6% SHARES VALUE
- --------------------------------------------------------------------------------
MEDICAL SUPPLIES - 9.5%
Apogent Technologies Inc.* ...................... 295,900 $ 6,172,474
Beckman Coulter Inc. ............................ 90,400 4,116,816
C. R. Bard, Inc. ................................ 18,900 1,341,900
Integra LifeSciences Holdings* .................. 89,300 2,526,297
PolyMedica Corp. ................................ 113,600 3,010,400
Quest Diagnostics Inc.* ......................... 68,800 4,172,032
Quinton Cardiology Systems Inc.* ................ 172,300 1,245,729
Tektronix Inc. .................................. 223,200 5,524,200
Teradyne Inc.* .................................. 424,700 7,899,420
Thermo Electron* ................................ 61,800 1,341,060
Waters Corp* .................................... 107,500 2,948,725
Wright Medical Group Inc.* ...................... 236,800 5,986,304
------------
46,285,357
------------
ELECTRONICS - 8.3%
Arrow Electronics Inc.* ......................... 188,300 3,462,837
Celestica, Inc.* ................................ 243,000 3,853,980
KLA-Tencor Corp.* ............................... 21,600 1,110,240
LSI Logic* ...................................... 559,300 5,028,107
National Semiconductor Corp.* ................... 187,400 6,051,146
Power Integrations Inc.* ........................ 75,500 2,509,620
Semtech Corp.* .................................. 238,600 4,404,556
Synopsys, Inc.* ................................. 43,800 1,347,726
Varian Semiconductor Equipment Associates Inc.* . 125,100 4,684,995
Vishay Intertechnology Inc.* .................... 389,500 6,824,040
White Electronic Designs Corp.* ................. 113,400 1,219,050
------------
40,496,297
------------
BANKING - 7.1%
Banknorth Group Inc. ............................ 195,800 5,525,476
East West Bancorp Inc. .......................... 75,400 3,223,350
Investors Financial Services Corp.* ............. 122,800 3,855,920
North Fork Bancorporation ....................... 128,600 4,468,850
Silicon Valley Bancshares* ...................... 83,500 2,307,105
Southwest Bancorp of Texas ...................... 97,500 3,559,725
UCBH Holdings Inc. .............................. 168,200 5,084,686
Valley National Bancorp ......................... 57,923 1,612,576
Zions Bancorporation ............................ 85,000 4,747,250
------------
34,384,938
------------
COMMERCIAL SERVICES - 6.3%
Alexander & Baldwin Inc. ........................ 105,400 2,959,632
Anixter International Inc.* ..................... 125,300 2,853,081
Career Education Corp.* ......................... 131,200 5,943,360
Navigant Consulting, Inc.* ...................... 182,000 2,240,420
PerkinElmer Inc. ................................ 617,610 9,455,609
Sylvan Learning Systems Inc.* ................... 201,300 5,491,464
University of Phoenix Online* ................... 24,400 1,624,552
------------
30,568,118
------------
42
EMERGING GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
OIL & GAS - 6.3%
Chesapeake Energy Corp. ......................... 495,900 $ 5,345,802
Copper Cameron Corp.* ........................... 82,100 3,793,841
Devon Energy Corp. .............................. 47,800 2,303,482
ENSCO International Inc. ........................ 75,100 2,014,182
Helmerich & Payne Inc. .......................... 126,100 3,296,254
Pride International Inc.* ....................... 118,000 2,000,100
Superior Energy Services* ....................... 361,100 3,538,780
Transocean Inc.* ................................ 213,600 4,272,000
Varco International Inc.* ....................... 68,100 1,151,571
W-H Energy Services, Inc.* ...................... 131,100 2,333,580
------------
30,049,592
------------
COMPUTERS & INFORMATION - 5.8%
Emulex Corp.* ................................... 195,000 4,966,650
Maxtor Corp.* ................................... 280,900 3,418,553
Polycom Inc.* ................................... 246,600 4,096,026
RSA Security Inc.* .............................. 111,900 1,597,932
Symbol Technologies Inc. ........................ 190,400 2,275,280
The Reynolds & Reynolds Company - Class A ....... 117,500 3,237,125
Unisys Corp.* ................................... 272,100 3,681,513
Verint Systems Inc.* ............................ 89,100 1,906,740
Verity, Inc.* ................................... 190,000 2,483,300
------------
27,663,119
------------
RETAILERS - 5.3%
Cost Plus Inc.* ................................. 114,700 4,234,724
Dollar Tree Stores, Inc.* ....................... 38,500 1,289,750
Guitar Center Inc.* ............................. 154,100 4,955,856
J.C. Penny Company Inc. ......................... 296,800 6,342,616
Tech Data Corp.* ................................ 73,600 2,270,560
Tiffany & Co. ................................... 37,500 1,399,875
Williams-Sonoma Inc.* ........................... 176,900 4,772,762
------------
25,266,143
------------
HEALTH CARE PROVIDERS - 4.5%
Cross Country Healthcare, Inc.* ................. 192,500 2,712,325
Express Scripts, Inc. - Class A* ................ 18,100 1,106,815
Health Management Associates, Inc. - Class A .... 167,900 3,661,899
Health Net Inc.* ................................ 147,550 4,672,909
Humana, Inc.* ................................... 80,800 1,458,440
Manor Care ...................................... 213,200 6,396,000
PSS World Medical Inc.* ......................... 170,900 1,515,883
------------
21,524,271
------------
HEAVY MACHINERY - 3.3%
Dover Corp. ..................................... 120,800 4,272,696
Pall Corp. ...................................... 117,400 2,634,456
Phelps Dodge Corp.* ............................. 103,600 4,848,480
York International Corp. ........................ 120,200 4,157,718
------------
15,913,350
------------
43
EMERGING GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE & PROCESSING - 3.1%
Aspen Technology, Inc.* ......................... 536,600 $ 2,092,740
CheckFree Corp.* ................................ 159,200 3,184,000
Macromedia Inc.* ................................ 121,850 3,014,569
Network Associates Inc.* ........................ 467,100 6,427,296
------------
14,718,605
------------
APPAREL RETAILERS - 3.0%
Abercrombie & Fitch Co.* ........................ 40,600 1,125,026
American Eagle Outfitters Inc.* ................. 260,700 3,874,002
Chico's FAS Inc.* ............................... 167,800 5,141,392
The Talbots Inc.* ............................... 122,300 4,262,155
------------
14,402,575
------------
PHARMACEUTICALS - 2.9%
Caremark Rx, Inc.* .............................. 51,600 1,166,160
Celgene Corp.* .................................. 83,600 3,622,388
Elan Corp. plc* ................................. 861,500 4,557,335
QLT Inc.* ....................................... 177,500 2,834,675
United Therapeutics Corp.* ...................... 70,600 1,594,854
------------
13,775,412
------------
TECHNOLOGY - 2.8%
ASM International N.V.* ......................... 79,200 1,168,200
Concur Technologies, Inc.* ...................... 122,200 1,449,292
Keane, Inc. ..................................... 292,400 3,736,872
Lam Research Corp.* ............................. 207,000 4,585,050
SkillSoft PLC - ADR* ............................ 328,400 2,446,580
------------
13,385,994
------------
ADVERTISING - 2.2%
DoubleClick, Inc.* .............................. 373,600 4,023,672
Monster Worldwide Inc.* ......................... 64,400 1,621,592
The Interpublic Group of Companies, Inc.* ....... 341,800 4,826,216
------------
10,471,480
------------
INSURANCE - 1.9%
Philadelphia Consolidated Holding Corp.* ........ 88,900 4,107,180
Platinum Underwriters Holdings Ltd. ............. 129,300 3,633,330
RenaissanceRe Holdings Ltd. ..................... 34,700 1,583,361
------------
9,323,871
------------
MEDIA - BROADCASTING & PUBLISHING - 1.7%
E.W. Scripps Co. ................................ 15,900 1,353,090
Entravision Communications Corp. - Class A* ..... 234,200 2,224,900
Meredith Corp. .................................. 41,200 1,902,204
Readers Digest Association, Inc. - Class A ...... 179,300 2,508,407
------------
7,988,601
------------
WASTE DISPOSAL - 1.7%
Republic Services Inc. .......................... 144,600 3,273,744
Waste Connections Inc.* ......................... 134,100 4,705,569
------------
7,979,313
------------
APPAREL AND ACCESSORIES - 1.5%
Jones Apparel Group, Inc. ....................... 235,030 7,034,448
------------
44
EMERGING GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.5%
Leggett & Platt, Inc. ........................... 116,200 $ 2,513,406
Maytag Corp. .................................... 85,500 2,134,935
Rohm and Haas Company ........................... 71,200 2,381,640
------------
7,029,981
------------
COMMUNICATIONS - 1.4%
Advanced Fibre Communication, Inc.* ............. 192,900 4,045,113
Openwave Systems, Inc.* ......................... 596,200 2,515,964
------------
6,561,077
------------
BIOTECHNOLOGY - 1.4%
Biogen, Inc.* ................................... 32,000 1,223,360
Charles River Laboratories International, Inc.* . 112,500 3,452,625
Transkaryotic Therapies, Inc.* .................. 175,700 1,836,065
------------
6,512,050
------------
FINANCIAL SERVICES - 1.1%
Countrywide Financial Corp. ..................... 47,800 3,741,784
The Corporate Executive Board Company* .......... 35,100 1,647,945
------------
5,389,729
------------
DATA PROCESSING SCHOOLS - 1.1%
NDCHealth Corp. ................................. 252,100 5,281,495
------------
CONSTRUCTION - 1.1%
Hovnanian Enterprises, Inc.* .................... 78,400 5,046,608
------------
AIRLINES - 0.9%
Southwest Airlines Co. .......................... 247,800 4,386,060
------------
AEROSPACE & DEFENSE - 0.9%
Alliant Techsystems Inc.* ....................... 70,700 3,397,135
Teledyne Technologies Inc.* ..................... 67,000 974,850
------------
4,371,985
------------
ENGINEERING SERVICES - 0.9%
EMCOR Group, Inc.* .............................. 100,600 4,280,530
------------
ENTERTAINMENT & LEISURE - 0.8%
Metro-Goldwyn-Mayer Inc.* ....................... 266,100 4,081,974
------------
CHEMICALS - 0.8%
Agrium Inc. ..................................... 307,300 3,859,688
------------
ELECTRICAL EQUIPMENT - 0.8%
Wilson Greatbatch Technologies, Inc.* ........... 102,200 3,684,310
------------
DATA PROCESSING SERVICES - 0.6%
Ceridian Corp.* ................................. 72,700 1,353,674
SRA International, Inc. - Class A* .............. 40,000 1,497,200
------------
2,850,874
------------
COSMETICS & TOILETRIES - 0.5%
Estee Lauder Companies - Class A ................ 76,000 2,591,600
------------
45
EMERGING GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TOYS - 0.5%
Leapfrog Enterprises Inc.* ...................... 44,200 $ 1,679,600
Mattel, Inc. .................................... 38,700 733,752
------------
2,413,352
------------
COTTON - 0.4%
Delta and Pine Land Co. ......................... 90,200 2,075,502
------------
RESTAURANTS - 0.4%
P.F. Chang's China Bistro, Inc.* ................ 39,400 1,786,790
------------
DEEP SEA PASSENGER TRANSPORTATION - 0.3%
Royal Caribbean Cruises Ltd. .................... 51,800 1,456,098
------------
RAILROAD EQUIPMENT - 0.0%
Wabtec Corp. .................................... 9,700 153,745
------------
TOTAL COMMON STOCKS (Cost $385,350,182) ......... $445,044,932
------------
CASH EQUIVALENTS - 7.4%
Brown Brothers Security Lending Investment Fund . 35,552,758 35,552,758
------------
TOTAL INVESTMENT SECURITIES - 100%
(Cost $420,902,940) ........................... $480,597,690
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% .... (114,028)
------------
NET ASSETS - 100.0% ............................. $480,483,662
============
* Non-income producing security.
ADR - American Depository Receipt
See accompanying notes to financial statements.
46
ENHANCED 30 FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS - 95.6% SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 20.2%
Cisco Systems, Inc.* ............................ 18,300 $ 357,582
Computer Sciences Corp.* ........................ 8,000 300,560
Hewlett-Packard Co. ............................. 13,700 265,232
Intel Corp. ..................................... 13,800 379,638
International Business Machines Corp. (IBM) ..... 3,800 335,654
Microsoft Corp. ................................. 13,000 361,270
------------
1,999,936
------------
INDUSTRIAL - 16.2%
3M Co. .......................................... 5,000 345,350
Boeing Co. ...................................... 8,300 284,939
General Electric Co. ............................ 10,600 315,986
Honeywell International, Inc. ................... 11,800 310,930
United Technologies Corp. ....................... 4,400 340,032
------------
1,597,237
------------
CONSUMER STAPLES - 15.3%
Altria Group, Inc. .............................. 7,400 324,120
Coca-Cola Co. ................................... 6,400 274,944
Kimberly-Clark Corp. ............................ 5,700 292,524
Procter & Gamble Co. ............................ 3,500 324,870
Wal-Mart Stores, Inc. ........................... 5,400 301,590
------------
1,518,048
------------
CONSUMER DISCRETIONARY - 14.1%
Best Buy Co., Inc.* ............................. 7,400 351,648
Home Depot, Inc. ................................ 10,800 343,980
McDonald's Corp. ................................ 15,800 371,932
The Walt Disney Co. ............................. 16,300 328,771
------------
1,396,331
------------
HEALTH - 11.3%
Cardinal Health, Inc. ........................... 4,600 268,594
Johnson & Johnson ............................... 6,000 297,120
Merck & Co., Inc. ............................... 4,900 248,038
WellPoint Health Networks, Inc.* ................ 4,000 308,320
------------
1,122,072
------------
FINANCIAL SERVICES - 10.0%
American Express Co. ............................ 7,500 337,950
Bank of America Corp. ........................... 3,900 304,356
Citigroup, Inc. ................................. 7,516 342,053
------------
984,359
------------
ENERGY - 3.0%
Exxon Mobil Corp. ............................... 8,000 292,800
------------
TELECOMMUNICATION SERVICE - 2.8%
SBC Communications, Inc. ........................ 12,600 280,350
------------
MATERIALS - 2.7%
Du Pont (E.I.) DE Nemours ....................... 6,700 268,067
------------
47
ENHANCED 30 FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 95.6% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $9,349,918) ........... $ 9,459,200
------------
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.4% .... 433,231
------------
NET ASSETS - 100.0% ............................. $ 9,892,431
============
* Non-income producing security.
See accompanying notes to financial statements.
48
GROWTH OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS - 99.3% SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - 32.2%
Analog Devices, Inc.* ........................... 90,000 $ 3,421,800
Cephalon Inc.* .................................. 60,000 2,755,200
EMC Corp.* ...................................... 366,500 4,628,895
Intel Corp. ..................................... 145,000 3,988,950
Jabil Circuit, Inc.* ............................ 150,000 3,907,500
Novellus Systems, Inc.* ......................... 80,000 2,700,000
Oracle Corp.* ................................... 353,000 3,960,660
Seagate Technology .............................. 150,000 4,080,000
Sun Microsystems, Inc.* ......................... 650,000 2,151,500
Symantec Corp.* ................................. 74,000 4,663,481
Texas Instruments, Inc. ......................... 153,000 3,488,400
VERITAS Software Corp.* ......................... 138,000 4,333,200
------------
44,079,586
------------
HEALTH - 26.6%
Affymetrix, Inc.* ............................... 150,000 3,148,500
Alcon Inc. ...................................... 33,000 1,852,950
Amgen, Inc.* .................................... 68,700 4,435,959
Fisher Scientific International Inc.* ........... 91,000 3,611,790
Genentech, Inc.* ................................ 67,100 5,377,394
Genzyme Corp.* .................................. 85,000 3,931,250
IDEC Pharmaceuticals Corp.* ..................... 100,000 3,315,000
Invitrogen Corp.* ............................... 80,765 4,683,562
MedImmune, Inc.* ................................ 87,000 2,871,870
Waters Corp.* ................................... 118,000 3,236,740
------------
36,465,015
------------
TRANSPORTATION - 9.7%
Carnival Corp. .................................. 95,000 3,124,550
Expeditors International of Washington, Inc. .... 105,000 3,613,050
FedEx Corp. ..................................... 50,000 3,221,500
Ryder Systems, Inc. ............................. 115,000 3,371,800
------------
13,330,900
------------
RETAIL - 8.0%
Home Depot, Inc. ................................ 122,000 3,885,700
Target Corp. .................................... 100,000 3,763,000
The Gap, Inc. ................................... 195,000 3,338,400
------------
10,987,100
------------
MEDIA - 7.3%
Comcast Corp. - Class A* ........................ 105,000 3,101,700
Fox Entertainment Group, Inc. - Class A* ........ 120,000 3,358,800
Walt Disney Company ............................. 176,000 3,549,920
------------
10,010,420
------------
FINANCIAL SERVICES - 4.9%
Goldman Sachs Group, Inc. ....................... 32,000 2,684,800
Merrill Lynch & Co., Inc. ....................... 74,000 3,961,220
------------
6,646,020
------------
49
GROWTH OPPORTUNITIES FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 99.3% SHARES/UNIT VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 3.9%
Cisco Systems, Inc.* ............................ 272,000 $ 5,314,880
------------
RESTAURANTS - 2.6%
Wendy's International, Inc. ..................... 112,000 3,617,600
------------
TELEVISION BROADCASTING STATIONS- 2.2%
Interactive Corp.* .............................. 90,000 2,974,500
------------
OIL & GAS - 1.9%
Enbridge Energy Management, LLC ................. 1 44
Schlumberger Limited ............................ 55,000 2,662,000
------------
2,662,044
------------
TOTAL COMMON STOCKS (Cost $149,199,954) ......... $136,088,065
------------
CASH EQUIVALENTS - 11.5%
Merrill Lynch Premier Money Market -
Institutional ................................. 1,188,528 1,188,528
Brown Brothers Security Lending Investment Fund . 14,541,900 14,541,900
------------
TOTAL CASH EQUIVALENTS .......................... 15,730,428
------------
TOTAL INVESTMENT SECURITIES - 110.8%
(Cost $150,388,482) ............................. $151,818,493
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.8%) . (14,749,689)
------------
NET ASSETS- 100.0% .............................. $137,068,804
============
* Non-income producing security.
See accompanying notes to financial statements.
50
LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS - 97.7% SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - 28.3%
Affliated Computer Services, Inc. - Class A* .... 28,675 $ 1,396,186
Cisco Systems, Inc.* ............................ 92,900 1,815,266
Dell Computer Corp* ............................. 29,900 998,361
First Data Corp. ................................ 15,000 599,400
Intel Corp. ..................................... 52,300 1,438,773
Microsoft Corp. ................................. 71,000 1,973,089
QLogic Corp.* ................................... 16,950 796,820
STMicroelectronics N.V .......................... 25,400 610,870
SunGard Data Systems, Inc.* ..................... 26,550 698,531
VERITAS Software Corp.* ......................... 23,000 722,200
------------
11,049,496
------------
HEALTH - 24.5%
Amgen* .......................................... 16,900 1,091,233
Boston Scientific Corp. ......................... 5,800 370,040
Eli Lilly & Company ............................. 8,850 525,690
Forest Laboratories, Inc.* ...................... 13,325 685,571
Johnson & Johnson ............................... 31,025 1,536,358
MedImmune, Inc.* ................................ 28,500 940,785
Medtronic, Inc. ................................. 18,450 865,674
Merck & Co., Inc. ............................... 17,500 885,850
Pfizer, Inc. .................................... 72,700 2,208,626
Zimmer Holdings, Inc.* .......................... 7,650 421,515
------------
9,531,342
------------
CONSUMER, CYCLICAL - 16.2%
Comcast Corp. - Class A Special* ................ 53,375 1,576,698
Home Depot, Inc. ................................ 19,925 634,611
Kohl's Corp.* ................................... 14,700 786,450
Lowe's Companies, Inc. .......................... 4,800 249,120
Staples, Inc.* .................................. 38,500 914,375
Viacom, Inc. - Class A .......................... 12,500 480,000
Wal-Mart Stores, Inc. ........................... 29,825 1,665,726
------------
6,306,980
------------
FINANCIAL SERVICES - 10.5%
American International Group, Inc. .............. 13,950 804,915
Bank of New York Co., Inc. ...................... 28,800 838,368
Fifth Third Bancorp ............................. 15,300 845,631
Freddie Mac ..................................... 16,950 887,333
Goldman Sachs Group, Inc. ....................... 8,750 734,125
------------
4,110,372
------------
CAPITAL GOODS - 10.1%
3M Co. .......................................... 5,000 345,350
General Electric Co. ............................ 88,340 2,633,415
Ingersoll-Rand Co. - Class A .................... 17,850 953,904
------------
3,932,669
------------
51
LARGE CAP GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 97.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER, NON-CYCLICAL - 6.2%
Anheuser-Busch Companies, Inc. .................. 7,500 $ 370,050
Colgate-Palmolive Co. ........................... 6,875 384,244
PepsiCo, Inc. ................................... 8,850 405,596
Procter & Gamble Co. ............................ 8,750 812,174
Whole Foods Market, Inc.* ....................... 7,750 427,645
------------
2,399,709
------------
OIL & GAS - 1.9%
Noble Drilling Corp.* ........................... 10,900 370,491
Weatherford International Ltd.* ................. 10,050 379,689
------------
750,180
------------
TOTAL COMMON STOCKS (Cost $38,279,009) .......... $ 38,080,748
------------
MONEY MARKETS - 2.3%
Merrill Lynch Premier Money Market -
Institutional ................................. 903,604 903,604
------------
TOTAL INVESTMENT SECURITIES - 100.0%
(Cost $39,182,613) ............................ $ 38,984,352
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% .... (3,709)
------------
NET ASSETS - 100.0% ............................. $ 38,980,643
============
* Non-income producing security.
See accompanying notes to financial statements.
52
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS - 97.3% SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - 19.3%
Ask Jeeves, Inc* ................................ 14,400 $ 250,560
CIBER, Inc.* .................................... 48,450 368,220
CNET Networks, Inc.* ............................ 90,900 643,572
Entrust, Inc.* .................................. 89,450 439,200
Epicor Software Corp.* .......................... 28,000 250,320
Evolving Systems, Inc.* ......................... 20,000 235,000
F5 Networks, Inc.* .............................. 14,000 269,360
GlobespanVirata, Inc.* .......................... 122,200 882,283
Magma Design Automation, Inc.* .................. 12,900 253,098
Maxtor Corp.* ................................... 94,800 1,153,715
Network Equipment Technologies, Inc.* ........... 50,150 458,873
OmniVision Technologies, Inc.* .................. 7,200 304,128
Perceptron, Inc.* ............................... 32,300 174,420
SafeNet, Inc.* .................................. 7,100 256,523
SkillSoft PLC* .................................. 78,409 584,147
SS & C Technologies, Inc. ....................... 15,000 299,850
Stratasys, Inc.* ................................ 9,000 383,580
Taser International, Inc.* ...................... 14,800 388,944
TranSwitch Corp.* ............................... 142,250 352,780
Verint Systems Inc.* ............................ 7,000 149,800
Zygo Corp.* ..................................... 17,900 293,560
------------
8,391,933
------------
INDUSTRIAL PRODUCTS & SERVICES - 13.8%
BorgWarner, Inc. ................................ 9,050 614,043
Crown Holdings, Inc.* ........................... 88,650 598,388
FindWhat.com* ................................... 13,000 224,640
Fuel-Tech N.V.* ................................. 31,676 169,467
Gevity HR, Inc. ................................. 13,000 190,840
Harris Interactive Inc.* ........................ 46,200 325,248
Impact Energy Inc.* ............................. 330,350 313,348
Laidlaw International Inc.* ..................... 55,250 544,213
Matrix Service Company* ......................... 10,200 181,152
Rofin-Sinar Technologies, Inc.* ................. 12,000 251,880
SupportSoft, Inc.* .............................. 88,250 987,517
ValueClick, Inc.* ............................... 87,150 732,931
Veeco Instruments Inc.* ......................... 33,050 659,677
World Fuel Services Corp. ....................... 8,000 224,560
------------
6,017,904
------------
COMMUNICATIONS - 11.8%
Comtech Telecommunications Corp* ................ 12,000 286,920
Crown Castle International Corp.* ............... 68,853 647,907
Foundry Networks, Inc.* ......................... 50,900 1,094,859
j2 Global Communications, Inc.* ................. 10,000 378,300
McDATA Corp.* ................................... 73,100 875,007
NII Holdings, Inc. - Class B* ................... 19,450 1,160,970
Sierra Wireless* ................................ 37,100 481,187
Standard Microsystems Corporation* .............. 8,000 215,840
------------
5,140,990
------------
53
SMALL CAP GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 97.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
AIRLINES - 7.3%
Airtran Holdings, Inc.* ......................... 96,750 $ 1,620,562
America West Holdings Corp. - Class B* .......... 70,500 685,965
AMR Corp.* ...................................... 75,215 861,212
------------
3,167,739
------------
OIL & GAS - 7.0%
Brigham Exploration Company* .................... 30,500 207,400
Hydril Company* ................................. 29,350 594,631
KCS Energy, Inc.* ............................... 47,900 325,720
Varco International, Inc.* ...................... 48,553 821,031
Westport Resources Corp.* ....................... 46,200 1,087,548
------------
3,036,330
------------
FINANCIAL SERVICES - 5.5%
Friedman, Billings, Ramsey Group, Inc. .......... 66,300 1,143,675
Raymond James Financial, Inc. ................... 35,050 1,274,068
------------
2,417,743
------------
MEDICAL SUPPLIES - 5.4%
Advanced Neuromodulation Systems, Inc.* ......... 6,000 239,400
Candela Corp.* .................................. 14,000 178,640
Exactech, Inc.* ................................. 14,000 228,900
Fisher Scientific International Inc.* ........... 9,500 377,055
Interpore International Inc.* ................... 16,600 254,976
Kensey Nash Corp.* .............................. 8,000 187,840
Synovis Life Technologies, Inc.* ................ 10,300 251,835
The Cooper Companies, Inc. ...................... 15,350 625,513
------------
2,344,159
------------
PHARMACEUTICALS - 5.0%
Bradley Pharmaceuticals, Inc.* .................. 11,000 299,750
Columbia Laboratories, Inc.* .................... 42,250 510,380
Flamel Technologies S.A. - SP ADR* .............. 19,850 669,144
Maxim Pharmaceuticals, Inc.* .................... 67,900 432,523
The Medicines Company* .......................... 10,286 267,436
------------
2,179,233
------------
HEALTHCARE - 4.1%
American Healthways, Inc.* ...................... 6,500 272,935
Centene Corp.* .................................. 9,000 273,510
eResearch Technology, Inc.* ..................... 13,500 470,205
Horizon Health Corp.* ........................... 11,200 220,080
VistaCare, Inc. - Class A* ...................... 9,000 281,700
Vital Images, Inc.* ............................. 14,000 262,066
------------
1,780,496
------------
CONSUMER NON-DURABLES - 4.1%
Central European Distribution Corp.* ............ 7,950 217,433
Peet's Coffee & Tea Inc.* ....................... 10,000 195,500
Sylvan Learning Systems, Inc.* .................. 39,350 1,073,468
USANA Health Sciences, Inc.* .................... 5,700 275,025
------------
1,761,426
------------
PRODUCER MANUFACTURING - 3.2%
Gundle/SLT Environmental, Inc.* ................. 10,500 161,175
Nam Tai Electronics, Inc.* ...................... 15,900 431,367
54
SMALL CAP GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 97.3% (CONTINUED) SHARES/UNIT VALUE
- --------------------------------------------------------------------------------
PRODUCER MANUFACTURING - 3.2% (CONTINUED)
Stake Technology Ltd.* .......................... 32,300 $ 299,098
Ultralife Batteries, Inc.* ...................... 19,700 282,695
White Elecronic Designs Corp.* .................. 20,000 215,000
------------
1,389,335
------------
MEDIA - 2.9%
Avocent Corp.* .................................. 40,900 1,238,861
------------
BIOTECHNOLOGY - 2.8%
Gen-Probe Inc.* ................................. 22,700 1,229,659
------------
CONSUMER DURABLES - 1.9%
Concord Camera Corp.* ........................... 20,300 216,195
Keystone Automotive Industries, Inc.* ........... 14,000 303,800
Select Comfort Corp.* ........................... 12,000 318,000
------------
837,995
------------
RETAIL - 0.9%
The Bombay Company, Inc.* ....................... 10,600 104,410
The Finish Line, Inc.* .......................... 10,400 273,520
------------
377,930
------------
ELECTRONIC TECHNOLOGY - 0.9%
Metrologic Instruments, Inc.* ................... 10,500 377,895
------------
BASIC MATERIALS - 0.7%
Ceradyne, Inc.* ................................. 11,000 284,570
------------
AEROPSACE/DEFENSE - 0.6%
KVH Industries, Inc.* ........................... 9,700 244,537
------------
CONSUMER SERVICES - 0.1%
Concorde Career Colleges, Inc.* ................. 2,700 63,045
------------
TOTAL COMMON STOCKS (Cost $33,081,283) .......... $ 42,281,780
------------
CASH EQUIVALENTS -16.3%
Brown Brothers Security Lending Investment Fund . 7,074,596 7,074,596
------------
TOTAL INVESTMENT SECURITIES - 113.6%
(Cost $40,155,879) ............................ $ 49,356,376
LIABILITIES IN EXCESS OF OTHER ASSETS - 13.6% ... (5,914,480)
------------
NET ASSETS - 100.0% ............................. $ 43,441,896
============
* Non-income producing security.
ADR - American Depository Receipt
See accompanying notes to financial statements.
55
VALUE PLUS FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2003 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS - 95.4% SHARES VALUE
- --------------------------------------------------------------------------------
BANKING - 9.6%
Bank of America ................................. 20,465 $ 1,597,088
Bank One Corp. .................................. 29,820 1,152,543
Citigroup ....................................... 33,677 1,532,640
JP Morgan Chase ................................. 36,670 1,258,881
------------
5,541,152
------------
OIL & GAS - 8.6%
Baker Hughes, Inc. .............................. 17,935 530,697
ChevronTexaco ................................... 14,320 1,023,164
ConocoPhillips .................................. 26,188 1,433,792
Exxon Mobil ..................................... 33,738 1,234,811
Noble Corp.* .................................... 21,895 744,211
------------
4,966,675
------------
PHARMACEUTICALS - 8.4%
Bristol-Myers Squibb ............................ 31,955 819,965
Merck ........................................... 24,575 1,243,987
Pfizer .......................................... 47,730 1,450,036
WellPoint Health Networks* ...................... 17,525 1,350,827
------------
4,864,815
------------
BEVERAGES, FOOD & TOBACCO - 7.2%
Anheuser Busch .................................. 27,540 1,358,824
Darden Restaurants .............................. 48,530 922,070
McDonald's ...................................... 79,600 1,873,784
------------
4,154,678
------------
COMPUTERS & INFORMATION - 6.2%
Hewlett-Packard ................................. 91,785 1,776,958
International Business Machines ................. 7,530 665,125
Lexmark International Group, Class A* ........... 18,145 1,143,316
------------
3,585,399
------------
RETAILERS - 5.9%
CVS ............................................. 45,595 1,416,181
Federated Department Stores ..................... 8,160 341,904
Home Depot ...................................... 50,870 1,620,209
------------
3,378,294
------------
INDUSTRIAL - DIVERSIFIED - 5.9%
General Electric ................................ 31,145 928,432
Ingersoll-Rand .................................. 25,900 1,384,097
Tyco International .............................. 52,110 1,064,607
------------
3,377,136
------------
INSURANCE - 5.6%
Chubb ........................................... 18,635 1,209,039
Lincoln National ................................ 32,415 1,146,843
Radian Group, Inc. .............................. 19,395 861,138
------------
3,217,020
------------
ELECTRONICS - 4.8%
Analog Devices* ................................. 16,955 644,629
Flextronics International* ...................... 59,785 847,751
56
VALUE PLUS FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 95.4% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONICS - 4.8% (CONTINUED)
Intel ........................................... 34,420 $ 946,895
STMicroelectronics N.V .......................... 13,260 318,903
------------
2,758,178
------------
FINANCIAL SERVICES - 4.4%
Fannie Mae ...................................... 14,920 1,047,384
Freddie Mac ..................................... 13,195 690,758
Lehman Brothers Holdings ........................ 11,600 801,328
------------
2,539,470
------------
TELEPHONE SYSTEMS - 4.3%
Alltell ......................................... 21,400 991,676
SBC Communications .............................. 38,280 851,730
Verizon Communications .......................... 18,855 611,656
------------
2,455,062
------------
ELECTRIC UTILITIES - 4.1%
Cinergy ......................................... 21,830 801,161
Dominion Resources .............................. 25,020 1,548,738
------------
2,349,899
------------
FOREST PRODUCTS AND PAPER - 2.6%
Kimberly-Clark .................................. 28,835 1,479,812
------------
TRANSPORTATION - 2.5%
Union Pacific Corp.* ............................ 25,150 1,462,976
------------
BUILDING PRODUCTS - 2.5%
Masco ........................................... 58,100 1,422,288
------------
HEAVY MACHINERY - 2.0%
Caterpiller ..................................... 16,860 1,160,642
------------
MEDIA - BROADCASTING & PUBLISHING - 1.9%
AOL Time Warner* ................................ 73,980 1,117,838
------------
AUTOMOTIVE - 1.9%
Magna International, Class A .................... 15,470 1,116,161
------------
HEALTH CARE - 1.7%
HCA Inc. ........................................ 25,800 950,988
------------
HOUSEHOLD PRODUCTS- 1.6%
International Paper Company ..................... 23,480 916,190
------------
CHEMICALS - 1.5%
Du Pont (E.I.) DE Nemours ....................... 21,490 859,815
------------
METALS - 1.3%
Alcoa ........................................... 28,125 735,750
------------
57
VALUE PLUS FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS - 95.4% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MEDICAL SUPPLIES- 0.9%
Johnson & Johnson ............................... 10,765 $ 533,083
------------
TOTAL COMMON STOCKS - 95.4%(Cost $54,609,430) ... $ 54,943,321
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% .... 2,622,792
------------
NET ASSETS - 100.0% ............................. $ 57,566,113
============
* Non-income producing security.
See accompanying notes to financial statements.
58
<page>
TOUCHSTONE INVESTMENTS
DISTRIBUTOR
Touchstone Securities, Inc.
221 East Fourth Street
Cincinnati, Ohio 45202-4094
800.638.8194
www.touchstoneinvestments.com
INVESTMENT ADVISOR
Touchstone Advisors, Inc.
221 East Fourth Street
Cincinnati, Ohio 45202-4094
TRANSFER AGENT
Integrated Fund Services, Inc.
P.O. Box 5354
Cincinnati, Ohio 45201-5354
SHAREHOLDER SERVICE
800.543.0407
A Member of Western & Southern Financial Group(R)
<page>
ITEM 2. CODE OF ETHICS.
Not required for Semiannual Reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required for Semiannual Reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to Semiannual Reports for the period ended September 30, 2003.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. RESERVED
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. RESERVED
ITEM 9. CONTROLS AND PROCEDURES.
(a) Based on an evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the 1940 Act) the
registrant's principal executive officer and principal financial
officer have concluded that the registrant's disclosures and
procedures are effective as of a date within 90 days of the filing
date of this report.
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the registrant's last fiscal half-year that have
materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
Item 10. EXHIBITS.
(a)(2) Certifications required by Item 10(a)(2) of Form N-CSR are filed
herewith.
(b) Certification required by Item 10(b) of Form N-CSR is filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Touchstone Strategic Trust
-------------------------------------------------------------------
By (Signature and Title)
/s/ Patrick T. Bannigan
- ------------------------------------------------------------------------------
Patrick T. Bannigan
President
Date: December 5, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)
/s/ Patrick T. Bannigan
- -------------------------------------------------------------------------------
Patrick T. Bannigan
President
Date: December 5, 2003
/s/ Terrie A. Wiedenheft
- ------------------------------------------------------------------------------
Terrie A. Wiedenheft
Controller & Treasurer
Date: December 5, 2003