UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21587
Old Mutual Advisor Funds
(Exact name of registrant as specified in charter)
--------
4643 South Ulster Street, Suite 600
Denver, CO 80237
(Address of principal executive offices)
Julian F. Sluyters
4643 South Ulster Street, Suite 600, Denver, CO 80237
(Name and address of agent for service)
Copies to:
Jay G. Baris, Esq. Andra C. Ozols, Esq.
Kramer Levin Naftalis & Frankel LLP Old Mutual Capital, Inc.
1177 Avenue of the Americas 4643 South Ulster Street, Suite 600
New York, New York 10036 Denver, CO 80237
(212) 715-9100 (888) 744-5050
Registrant's telephone number, including area code: 1-888-744-5050
Date of fiscal year end: July 31
Date of reporting period: July 31, 2006
Item 1. Reports to Stockholders.
[OLD MUTUAL LOGO OMITTED]
ANNUAL REPORT July 31, 2006
[PHOTO OMITTED]
Asset Allocation Portfolios
Old Mutual Asset Allocation Conservative Portfolio
Old Mutual Asset Allocation Balanced Portfolio
Old Mutual Asset Allocation Moderate Growth Portfolio
Old Mutual Asset Allocation Growth Portfolio
Equity Funds
Old Mutual Analytic Defensive Equity Fund
Old Mutual Analytic Global Defensive Equity Fund
Old Mutual Clay Finlay China Fund
Old Mutual Clay Finlay Emerging Markets Fund
Old Mutual Copper Rock Emerging Growth Fund
Old Mutual International Equity Fund
[BLANK PAGE]
<page>
TABLE OF CONTENTS
About This Report 1
Message to Shareholders 3
Management Discussion of Fund Performance
and Statements of Net Assets/Schedules of Investments
ASSET ALLOCATION PORTFOLIOS
Old Mutual Asset Allocation Conservative Portfolio
Class A (OMCAX), Class C (OMCCX), Class Z (OMCZX), Institutional Class (OMCIX) 4
Old Mutual Asset Allocation Balanced Portfolio
Class A (OMABX), Class C (OMBCX), Class Z (OMBZX), Institutional Class (OMBLX) 22
Old Mutual Asset Allocation Moderate Growth Portfolio
Class A (OMMAX), Class C (OMMCX), Class Z (OMMZX), Institutional Class (OMMIX) 44
Old Mutual Asset Allocation Growth Portfolio
Class A (OMGAX), Class C (OMCGX), Class Z (OMGZX), Institutional Class (OMGIX) 66
EQUITY FUNDS
Old Mutual Analytic Defensive Equity Fund
Class A (ANAEX), Class C (ANCEX), Class Z (ANDEX), Institutional Class (ANIEX) 84
Old Mutual Analytic Global Defensive Equity Fund
Class A (ANGAX), Class C (ANGCX), Class Z (ANGZX), Institutional Class (ANGIX) 94
Old Mutual Clay Finlay China Fund
Class A (OMNAX), Class C (OMNCX), Class Z (OMNZX), Institutional Class (OMINX) 102
Old Mutual Clay Finlay Emerging Markets Fund
Class A (OMRAX), Class C (OMRCX), Class Z (OMRZX), Institutional Class (OMRIX) 107
Old Mutual Copper Rock Emerging Growth Fund
Class A (OMARX), Class C (OMCRX), Class Z (OMZRX), Institutional Class (OMIRX) 112
Old Mutual International Equity Fund
Class A (OMXAX), Class C (OMXCX), Class Z (OMXZX), Institutional Class (OMXIX) 118
TABLE OF CONTENTS -- concluded
Statements of Assets and Liabilities 125
Statements of Operations 126
Statements of Changes in Net Assets 128
Financial Highlights 132
Notes to Financial Statements 135
Report of Independent Registered Public Accounting Firm 148
Notice to Shareholders 149
Proxy Voting and Portfolio Holdings 150
Fund Expenses Example 151
Activities and Composition of the Board of Trustees
and Officers of the Trust 153
Considerations of the Board in Approving
Investment Advisory and Sub-Advisory Agreements 155
Shareholder Proxy Results 162
ABOUT THIS REPORT
HISTORICAL RETURNS
- --------------------------------------------------------------------------------
All total returns mentioned in this report account for the change in a Fund's
per-share price and the reinvestment of any dividends and capital gain
distributions. If your account is set up to receive Fund distributions in cash
rather than reinvest them, your actual return may differ from these figures. The
Funds' performance results do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or on the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Performance results represent
past performance, and current performance may be higher or lower. Please call
1-888-744-5050 toll-free or visit www.oldmutualcapital.com for performance
results current to the most recent month-end.
The since inception returns for periods less than a year have not been
annualized. Performance results for short periods of time may not be
representative of longer-term results. Performance without load assumes that no
front-end or contingent deferred sales charge applied or the investment was not
redeemed. Performance with load assumes that a front-end or contingent deferred
sales charge applied to the extent applicable. The Funds each offer Class A,
Class C, Class Z and Institutional Class shares. Class A shares have a current
maximum up-front sales charge of 5.75% and are subject to an annual service fee
of 0.25%. Class C shares are subject to aggregate annual distribution and
service fees of 1.00% and will be subject to a contingent deferred sales charge
of 1.00% if redeemed within the first 12 months of purchase. Class Z and
Institutional Class shares are only available to eligible shareholders. The
returns for certain periods may reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance would
have been lower.
FUND DATA
- --------------------------------------------------------------------------------
This report reflects views, opinions and Fund holdings as of July 31, 2006, the
end of the report period, and are subject to change. The information is not a
complete analysis of every aspect of any sector, industry, security or the
Funds.
Opinions and forecasts regarding industries, companies and/or themes and Fund
composition and holdings, are subject to change at any time based on market and
other conditions, and should not be construed as a recommendation of any
specific security or as investment advice. Percentage holdings as of July 31,
2006 are included in each Fund's Statement of Net Assets or Schedule of
Investments. There is no assurance that the securities purchased remain in a
Fund or that securities sold have not been repurchased.
There are risks associated with mutual fund investing, including the risk of
loss of principal. There is no assurance that the investment process will
consistently lead to successful results. There are also risks associated with
small- and mid-cap investing, including limited product lines, less liquidity
and small market share. Investments in foreign securities may entail unique
risks, including political, market and currency risks. An investment in a region
fund may involve greater risk and volatility than a more diversified investment.
Investing in fixed income securities such as bonds involves interest rate risk.
When interest rates rise, the value of fixed income securities generally
decreases. High-yield bonds involve a greater risk of default and price
volatility than U.S. Government and other higher-quality bonds.
Call options involve certain risks, such as limited gains and lack of liquidity
of the underlying securities, and are not suitable for all investors. There are
risks associated with short selling, including the risk that a Fund may have to
cover the short position at a higher price than the short price, resulting in a
loss. A Fund's loss on a short sale is potentially unlimited as a loss occurs
when the value of a security sold short increases. Derivatives are often more
volatile than other investments and may magnify a Fund's gains or losses. A Fund
could be negatively affected if the change in market value of the securities
fails to correlate with the value of the derivatives purchased or sold.
1
ABOUT THIS REPORT -- concluded
COMPARATIVE INDEXES
- --------------------------------------------------------------------------------
The comparative indexes discussed in this report are meant to provide a basis
for judging the Funds' performance against specific benchmarks. Each index shown
accounts for both changes in security price and reinvestment of dividends and
distributions, but does not reflect the cost of managing a mutual fund. The
total return figures for the Morgan Stanley Capital International (MSCI) indexes
assume change in security prices and the deduction of local taxes. The Funds may
significantly differ in holdings and composition from an index. Individuals
cannot invest directly in an index.
INDEXES:
Lehman Brothers U.S. Aggregate Index
The unmanaged Lehman Brothers U.S. Aggregate Index is a widely recognized
measure of the aggregate bond market. The unmanaged index is market
value-weighted inclusive of accrued interest.
MSCI China Index
The unmanaged MSCI China Index is a market capitalization-weighted index of
Chinese equities that includes Red Chips and H shares listed on the Hong Kong
Stock Exchange and B shares listed on the Shanghai and Shenzhen Exchanges. Red
Chips are Mainland Chinese companies listed on the Hong Kong Stock Exchange that
are incorporated in Hong Kong. H Shares are Mainland Chinese companies listed on
the Hong Kong Stock Exchange that are incorporated in Mainland China and
approved by the China Securities Regulatory Commission for a listing in Hong
Kong. B Shares are Mainland Chinese stocks listed on the Shanghai and Shenzhen
stock exchanges, available to Chinese and foreign investors.
MSCI EAFE(R) Index
The unmanaged MSCI EAFE(R) Index is a market capitalization-weighted index that
measures the performance of stock markets in various countries in Europe,
Australasia and the Far East. The MSCI EAFE Index contains a representative
sampling of over 900 small-, medium- and large-capitalization stocks from
countries in these regions.
MSCI Emerging Markets Index
The unmanaged MSCI Emerging Markets Index is a market capitalization-weighted
index of over 650 stocks traded in 27 of the world's emerging equity markets.
MSCI World Index
The unmanaged MSCI World Index is a market capitalization-weighted index that
measures the performance of major world stock markets, including the United
States.
Russell 2000(R) Growth Index
The Russell 2000(R) Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth rates.
Standard & Poor's 500 Index
The unmanaged Standard & Poor's 500 ("S&P 500") Index is a market value-weighted
index of large-cap common stocks considered representative of the broad market.
Standard & Poor's SuperComposite 1500 Index
The unmanaged Standard & Poor's SuperComposite 1500 ("S&P 1500") Index is a
broad-based, capitalization-weighted index comprising 1,500 stocks of large-cap,
mid-cap and small-cap U.S. companies.
Index returns and statistical data included in this report are provided by
Bloomberg, FactSet and Lehman Brothers.
2
MESSAGE TO SHAREHOLDERS
Dear Fellow Shareholder:
As investors, the last 12 months have provided us intervals of healthy markets
and optimistic outlooks, interrupted occasionally by far more challenging
environments. The important challenges of the period included concerns over
rising interest rates, inflation, political unrest, and skyrocketing oil prices.
Against all this, most broad indexes managed to remain positive for the year.
On the whole, international stocks and real estate investments were the standout
performers for the period. Indeed, international equities, as measured by the
MSCI EAFE(R) Index, posted a 24.51% gain for the one-year period ended July 31,
2006 and real estate, as measured by the Dow Jones Wilshire Real Estate
Securities Index, gained 17.33%. On the U.S. front, stocks in small- and
mid-capitalization companies saw better growth than large caps this period, and
value style equity investments outperformed growth.
We believe that the experience and skill of the institutional managers who
sub-advise the Old Mutual Advisor Funds was instrumental in delivering
competitive results for the one-year period ended July 31, 2006. I invite you to
review the pages that follow for complete performance discussions regarding each
Fund.
We are also pleased to announce the addition of the Old Mutual Analytic Global
Defensive Equity Fund to the Old Mutual Advisor Funds lineup. The Fund, managed
by Analytic Investors, Inc. provides unique retail access to the expertise of a
firm that is highly specialized in alternative investment strategies.
On behalf of everyone at Old Mutual Capital, thank you for your continued
support. We value your investment in the Old Mutual Advisor Funds and remain
committed to serving your long-term investment needs.
Sincerely,
/S/ DAVID J. BULLOCK [PHOTO OMITTED]
David J. Bullock
PRESIDENT
OLD MUTUAL ADVISOR FUNDS
3
OLD MUTUAL ASSET ALLOCATION CONSERVATIVE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
PERFORMANCE HIGHLIGHTS
O FOR THE ONE-YEAR PERIOD ENDED JULY 31, 2006, THE OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO'S CLASS A SHARES GAINED 3.39% AT NET ASSET VALUE,
WHILE THE S&P 1500 INDEX RETURNED 5.24% AND THE LEHMAN BROTHERS U.S.
AGGREGATE INDEX RETURNED 1.45%.
O THE FUND'S 63% STRATEGIC ALLOCATION TO FIXED-INCOME SECURITIES, WHILE
CONSISTENT WITH THE FUND'S MORE CONSERVATIVE APPROACH, MADE ONLY A SLIGHT
CONTRIBUTION TO OVERALL PERFORMANCE FOR THE PERIOD.
O THE FUND'S 30% ALLOCATION TO EQUITIES, HOWEVER, DID MAKE SOLID CONTRIBUTIONS
TO PERFORMANCE DURING THE PERIOD.
Q. How did the Fund perform relative to its benchmarks?
A. For the one-year period ended July 31, 2006, the Old Mutual Asset Allocation
Conservative Portfolio's Class A shares gained 3.39% at net asset value,
while the S&P 1500 Index returned 5.24% and the Lehman Brothers U.S.
Aggregate Index returned 1.45%. Performance for all share classes can be
found on page 6.
Q. What investment environment did the Fund face during the past year?
A. The one-year period ended July 31, 2006 consisted of intervals where markets
were healthy and investors' outlooks were optimistic, interrupted
occasionally by more challenging environments. The important challenges of
the period included concerns over rising interest rates, inflation,
political unrest, and skyrocketing oil prices. Most broad indexes managed to
remain positive for the year, however.
Q. Which market factors influenced the Fund's relative performance?
A. The Federal Reserve ("Fed") continued to pursue a less accommodative
monetary policy during the period. Any lingering doubts whether new Fed
Chairman Ben Bernanke would stay the course of current Fed policy were
quelled. At the same time, U.S. Treasury yields, which remained range-bound
for much of the period, ultimately tracked the upward trend, as strong
economic reports and inflationary pressures pushed yields higher.
Despite waves of challenging economic periods and events that made a
significant impact on the U.S. economy, economic conditions generally
remained positive during the one-year period. At different times throughout
the period, rising energy prices, increasing inflationary pressures,
concerns over geopolitical instability and war, and devastating hurricanes
that hit the Gulf Coast in August of 2005 all threatened to slow the U.S.
economy.
U.S. equities have remained under pressure from rising energy costs,
inflation and interest rates. Stocks proved to be very susceptible to
gyrations in oil prices and supply. Unique challenges during the period
included continued war in the Middle East and two devastating and very
costly hurricanes.
Q. How did portfolio composition affect Fund performance?
A The Fund's 63% strategic allocation to fixed-income securities, while
consistent with the Fund's more conservative approach, made only a slight
contribution to overall performance for the period. Barrow, Hanley,
Mewhinney & Strauss, Inc.'s ("Barrow Hanley") core bond strategy and
intermediate-term bond strategy added to performance during the period.
Meanwhile Dwight Asset Management Company's high-yield bond strategy and
Rogge Global Partners PLC's international bond strategy detracted marginally
from relative performance. The Fund's 30% allocation to equities, however,
did make solid contributions to performance during the period. Provident
Investment Counsel Inc.'s mid-capitalization growth strategy and Thompson,
Siegel & Walmsley, Inc.'s mid-capitalization value strategy were the top
performing mandates during the period on a relative basis. Acadian Asset
Management, Inc.'s international equity strategy was a standout performer on
an absolute basis. The Fund's allocation to the Barrow Hanley
large-capitalization value strategy was a slight drag on relative
performance despite producing strong absolute performance. Liberty Ridge
Capital, Inc.'s large-capitalization growth strategy and
small-capitalization blend strategy also detracted from relative results
during the period.
Asset Allocation Conservative Portfolio
4
Top performing individual holdings during the period included Nucor, a steel
manufacturer; Mizuho Financial Group; and information technology firm, MEMC
Electronic Materials, a producer of wafers for the semiconductor industry
worldwide. Holdings that detracted from the Fund's performance during the
one-year period included private label clothing and gift item retailer,
Chico's FAS; power protection and management solution provider, American
Power Conversion; and health care service provider, UnitedHealth Group.
Q. What is the investment outlook?
A. Ibbotson Associates Advisors, LLC ("Ibbotson"), the Fund's strategic asset
allocation consultant, believes that the Federal Reserve may continue to
increase short-term interest rates, but the firm notes that there is not a
clear near-term direction for long-term yields. Over the longer term,
however, Ibbotson expects an increase in long-term yields.
The firm believes that the persistent outperformance of U.S.
small-capitalization stocks appears to be fading, thus giving way to a phase
of large-capitalization stock outperformance.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
U.S. Treasury Note,
3.875%, 07/15/10 4.7%
- -----------------------------------------
U.S. Treasury Bond,
5.125%, 05/15/16 3.4%
- -----------------------------------------
U.S. Treasury Bond,
5.375%, 02/15/31 1.6%
- -----------------------------------------
Federal National
Mortgage Association,
6.500%, 05/01/36 1.5%
- -----------------------------------------
Federal National
Mortgage Association,
6.000%, 07/01/36 1.4%
- -----------------------------------------
Federal National
Mortgage Association,
4.500%, 08/04/08 1.2%
- -----------------------------------------
U.S. Treasury Note,
2.875%, 11/30/06 1.2%
- -----------------------------------------
Federal Home Loan
Mortgage Corporation-Gold,
6.000%, 08/01/30 1.2%
- -----------------------------------------
Countrywide Alternative
Loan Trust,
Ser 2005-53-T2, Cl 2A1
6.000%, 11/25/35 1.1%
- -----------------------------------------
Federal Home Loan
Mortgage Corporation,
5.000%, 05/01/20 1.0%
- -----------------------------------------
As a % of Total
Fund Investments 18.3%
- -----------------------------------------
Asset Allocation Conservative Portfolio
5
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Since Inception
- ---------------------------------------------------------------------------------------------------------------------------
Class A with front-end load 9/30/04 (2.53)% 1.98%
Class A without load 9/30/04 3.39% 5.32%
Class C with deferred sales load 9/30/04 1.63% 4.57%
Class C without deferred sales load 9/30/04 2.63% 4.57%
Class Z 12/09/05 n/a 2.63% 1
Institutional Class 9/30/04 3.64% 5.59%
S&P 1500 Index 9/30/04 5.24% 10.23%
S&P 500 Index 2 9/30/04 5.38% 9.66%
Lehman Brothers U.S. Aggregate Index 9/30/04 1.45% 2.19%
- ---------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative indexes can be found on pages 1 and 2.
1 Not annualized.
2 The Fund's performance will no longer be compared to the S&P 500 Index, as the
S&P 1500 Index, which is invested in a broader range of securities, better
reflects the Fund's investment strategy.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM
ASSET ALLOCATION ASSET ALLOCATION ASSET ALLOCATION
CONSERVATIVE PORTFOLIO, CONSERVATIVE PORTFOLIO, CONSERVATIVE PORTFOLIO,
CLASS A CLASS C INSTITUTIONAL CLASS
9/30/2004 $ 9425 $10000 $10000
7/31/2005 10025 10574 10660
7/31/2006 10364 10852 11048
LEHMAN BROTHERS
S&P US AGGREGATE
1500 INDEX BOND INDEX S&P 500 INDEX
9/30/2004 $10000 $10000 $10000
7/31/2005 11359 10256 11237
7/31/2006 11954 10404 11842
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Fund's Class A, C and Institutional shares on the
inception date of 9/30/04 to an investment made in unmanaged securities indexes
on that date. The performance of the Fund's Class A shares shown in the line
graph takes into account the maximum initial sales charge. The Fund's
performance in this chart and the performance table assumes reinvestment of
dividends and capital gain distributions but does not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or on the redemption of
Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS}
Investment Companies (0.1%)
Asset-Backed Securities (1.0%)
Foreign Preferred Stock (0.0%)
Foreign Bonds (2.1%)
Mortgage Related (4.5%)
Foreign Common Stock (6.9%)
Repurchase Agreement (11.7%)
U.S. Treasury Obligations (13.2%)
U.S. Government Agency Mortgage-Backed Obligations (17.8%)
Corporate Bonds (17.7%)
Common Stock (25.0%)
6
<page>
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 25.2%
Advertising Services -- 0.0%
Getty Images* 330 $ 15
-----------
Total Advertising Services 15
- --------------------------------------------------------------------------------
Aerospace/Defense -- 0.3%
Boeing 817 63
Rockwell Collins 640 34
-----------
Total Aerospace/Defense 97
- --------------------------------------------------------------------------------
Aerospace/Defense-Equipment -- 0.1%
Alliant Techsystems* 500 40
Goodrich 40 2
-----------
Total Aerospace/Defense-Equipment 42
- --------------------------------------------------------------------------------
Agricultural Chemicals -- 0.3%
Agrium 1,500 36
Monsanto 1,480 64
-----------
Total Agricultural Chemicals 100
- --------------------------------------------------------------------------------
Agricultural Operations -- 0.1%
Archer-Daniels-Midland 928 41
Tejon Ranch* 5 --
-----------
Total Agricultural Operations 41
- --------------------------------------------------------------------------------
Airlines -- 0.1%
AMR* 1,000 22
-----------
Total Airlines 22
- --------------------------------------------------------------------------------
Applications Software -- 0.0%
Citrix Systems* 65 2
Nuance Communications* 90 1
Satyam Computer Services ADR 70 2
-----------
Total Applications Software 5
- --------------------------------------------------------------------------------
Beverages-Non-Alcoholic -- 0.1%
Coca-Cola Enterprises 1,700 36
-----------
Total Beverages-Non-Alcoholic 36
- --------------------------------------------------------------------------------
Beverages-Wine/Spirits -- 0.0%
Brown-Forman, Cl B 127 9
-----------
Total Beverages-Wine/Spirits 9
- --------------------------------------------------------------------------------
Brewery -- 0.1%
Molson Coors Brewing, Cl B 450 32
-----------
Total Brewery 32
- --------------------------------------------------------------------------------
Building Products-Cement/Aggregate -- 0.2%
Eagle Materials 10 --
Martin Marietta Materials 770 62
-----------
Total Building Products-Cement/Aggregate 62
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Building Products-Light Fixtures -- 0.1%
Genlyte Group* 500 $ 35
-----------
Total Building Products-Light Fixtures 35
- --------------------------------------------------------------------------------
Casino Hotels -- 0.1%
Harrah's Entertainment 550 33
-----------
Total Casino Hotels 33
- --------------------------------------------------------------------------------
Casino Services -- 0.3%
International Game Technology 740 29
Scientific Games, Cl A* 1,600 54
-----------
Total Casino Services 83
- --------------------------------------------------------------------------------
Cellular Telecommunications -- 0.2%
NII Holdings* 1,462 77
-----------
Total Cellular Telecommunications 77
- --------------------------------------------------------------------------------
Chemicals-Diversified -- 0.2%
E.I. du Pont de Nemours 400 16
Lyondell Chemical 449 10
Nova Chemicals 900 26
-----------
Total Chemicals-Diversified 52
- --------------------------------------------------------------------------------
Chemicals-Specialty -- 0.2%
Ashland 966 64
Chemtura 150 1
Hercules* 208 3
-----------
Total Chemicals-Specialty 68
- --------------------------------------------------------------------------------
Circuit Boards -- 0.0%
Multi-Fineline Electronix* 30 1
-----------
Total Circuit Boards 1
- --------------------------------------------------------------------------------
Coal -- 0.2%
Consol Energy 900 37
Peabody Energy 560 28
-----------
Total Coal 65
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- 0.0%
North Fork Bancorporation 20 1
-----------
Total Commercial Banks-Eastern US 1
- --------------------------------------------------------------------------------
Commercial Banks-Southern US -- 0.2%
Colonial BancGroup 2,000 51
-----------
Total Commercial Banks-Southern US 51
- --------------------------------------------------------------------------------
Commercial Services -- 0.0%
ChoicePoint* 75 3
-----------
Total Commercial Services 3
- --------------------------------------------------------------------------------
7
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Commercial Services-Finance -- 0.0%
H&R Block 75 $ 2
-----------
Total Commercial Services-Finance 2
- --------------------------------------------------------------------------------
Computer Services -- 0.3%
Ceridian* 950 23
Cognizant Technology Solutions, Cl A* 890 58
Manhattan Associates* 80 2
-----------
Total Computer Services 83
- --------------------------------------------------------------------------------
Computers -- 0.5%
Apple Computer* 890 60
Hewlett-Packard 1,811 58
International Business Machines 589 46
-----------
Total Computers 164
- --------------------------------------------------------------------------------
Computers-Integrated Systems -- 0.1%
NCR* 546 18
-----------
Total Computers-Integrated Systems 18
- --------------------------------------------------------------------------------
Computers-Memory Devices -- 0.2%
Network Appliance* 670 20
Seagate Technology 1,500 35
-----------
Total Computers-Memory Devices 55
- --------------------------------------------------------------------------------
Consumer Products-Miscellaneous -- 0.0%
Kimberly-Clark 26 2
-----------
Total Consumer Products-Miscellaneous 2
- --------------------------------------------------------------------------------
Containers-Paper/Plastic -- 0.1%
Pactiv* 263 7
Sealed Air 700 33
-----------
Total Containers-Paper/Plastic 40
- --------------------------------------------------------------------------------
Cruise Lines -- 0.0%
Carnival 403 16
-----------
Total Cruise Lines 16
- --------------------------------------------------------------------------------
Data Processing/Management -- 0.0%
Dun & Bradstreet* 30 2
MasterCard, Cl A* 30 1
NAVTEQ* 50 2
SEI Investments 25 1
-----------
Total Data Processing/Management 6
- --------------------------------------------------------------------------------
Decision Support Software -- 0.0%
Cognos* 430 13
-----------
Total Decision Support Software 13
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Diagnostic Equipment -- 0.1%
Cytyc* 740 $ 18
Gen-Probe* 533 28
-----------
Total Diagnostic Equipment 46
- --------------------------------------------------------------------------------
Dialysis Centers -- 0.0%
DaVita* 30 2
-----------
Total Dialysis Centers 2
- --------------------------------------------------------------------------------
Disposable Medical Products -- 0.1%
C.R. Bard 300 21
-----------
Total Disposable Medical Products 21
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 0.1%
Fastenal 470 17
-----------
Total Distribution/Wholesale 17
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- 0.2%
3M 200 14
Dover 35 2
Honeywell International 371 14
Illinois Tool Works 698 32
Parker Hannifin 70 5
Trinity Industries 15 1
-----------
Total Diversified Manufacturing Operations 68
- --------------------------------------------------------------------------------
Electric Products-Miscellaneous -- 0.1%
Emerson Electric 259 20
-----------
Total Electric Products-Miscellaneous 20
- --------------------------------------------------------------------------------
Electric-Generation -- 0.1%
AES* 1,583 31
-----------
Total Electric-Generation 31
- --------------------------------------------------------------------------------
Electric-Integrated -- 0.6%
Dominion Resources 200 16
Duke Energy 1,088 33
Edison International 74 3
Entergy 467 36
OGE Energy 1,800 68
PPL 1,200 41
Public Service Enterprise Group 12 1
-----------
Total Electric-Integrated 198
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 0.0%
Flextronics International* 285 3
-----------
Total Electronic Components-Miscellaneous 3
- --------------------------------------------------------------------------------
8
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 0.3%
Advanced Micro Devices* 800 $ 15
Freescale Semiconductor, Cl B* 415 12
MEMC Electronic Materials* 700 21
Nvidia* 1,050 23
QLogic* 40 1
Semtech* 50 1
Silicon Laboratories* 570 21
-----------
Total Electronic Components-Semiconductors 94
- --------------------------------------------------------------------------------
Electronic Forms -- 0.2%
Adobe Systems* 1,770 50
-----------
Total Electronic Forms 50
- --------------------------------------------------------------------------------
Electronic Parts Distribution -- 0.0%
Avnet* 90 2
-----------
Total Electronic Parts Distribution 2
- --------------------------------------------------------------------------------
Engineering/R&D Services -- 0.1%
Fluor 290 25
-----------
Total Engineering/R&D Services 25
- --------------------------------------------------------------------------------
Enterprise Software/Services -- 0.2%
BMC Software* 1,100 26
Lawson Software* 440 3
Sybase* 1,500 31
-----------
Total Enterprise Software/Services 60
- --------------------------------------------------------------------------------
Entertainment Software -- 0.1%
Activision* 1,420 17
Electronic Arts* 30 1
-----------
Total Entertainment Software 18
- --------------------------------------------------------------------------------
Fiduciary Banks -- 0.1%
Northern Trust 850 49
-----------
Total Fiduciary Banks 49
- --------------------------------------------------------------------------------
Finance-Commercial -- 0.1%
CIT Group 772 35
-----------
Total Finance-Commercial 35
- --------------------------------------------------------------------------------
Finance-Consumer Loans -- 0.3%
First Marblehead 40 2
SLM 1,611 81
-----------
Total Finance-Consumer Loans 83
- --------------------------------------------------------------------------------
Finance-Credit Card -- 0.2%
American Express 721 38
Capital One Financial 364 28
-----------
Total Finance-Credit Card 66
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 0.7%
Citigroup 809 $ 39
Goldman Sachs Group 254 39
Greenhill 20 1
JPMorgan Chase 2,276 104
Lehman Brothers Holdings 395 26
TD Ameritrade Holdings 2,580 42
-----------
Total Finance-Investment Banker/Broker 251
- --------------------------------------------------------------------------------
Finance-Other Services -- 0.1%
Asset Acceptance Capital* 80 1
Cbot Holdings, Cl A* 180 23
-----------
Total Finance-Other Services 24
- --------------------------------------------------------------------------------
Financial Guarantee Insurance -- 0.2%
AMBAC Financial Group 540 45
MGIC Investment 350 20
-----------
Total Financial Guarantee Insurance 65
- --------------------------------------------------------------------------------
Food-Dairy Products -- 0.1%
Dean Foods* 1,150 43
-----------
Total Food-Dairy Products 43
- --------------------------------------------------------------------------------
Food-Miscellaneous/Diversified -- 0.0%
ConAgra Foods 713 15
-----------
Total Food-Miscellaneous/Diversified 15
- --------------------------------------------------------------------------------
Food-Retail -- 0.2%
Kroger 1,730 40
Whole Foods Market 420 24
-----------
Total Food-Retail 64
- --------------------------------------------------------------------------------
Forestry -- 0.2%
Plum Creek Timber 1,500 51
-----------
Total Forestry 51
- --------------------------------------------------------------------------------
Gas-Distribution -- 0.1%
Energen 950 40
WGL Holdings 30 1
-----------
Total Gas-Distribution 41
- --------------------------------------------------------------------------------
Gold Mining -- 0.1%
Goldcorp 1,100 32
-----------
Total Gold Mining 32
- --------------------------------------------------------------------------------
Golf -- 0.0%
Callaway Golf 100 1
-----------
Total Golf 1
- --------------------------------------------------------------------------------
9
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Hazardous Waste Disposal -- 0.1%
Stericycle* 550 $ 37
-----------
Total Hazardous Waste Disposal 37
- --------------------------------------------------------------------------------
Health Care Cost Containment -- 0.2%
McKesson 1,187 60
-----------
Total Health Care Cost Containment 60
- --------------------------------------------------------------------------------
Hotels & Motels -- 0.2%
InterContinental Hotels ADR 80 1
Marriott International, Cl A 1,980 70
-----------
Total Hotels & Motels 71
- --------------------------------------------------------------------------------
Human Resources -- 0.3%
Hewitt Associates, Cl A* 1,400 31
Manpower 750 45
Monster Worldwide* 650 26
-----------
Total Human Resources 102
- --------------------------------------------------------------------------------
Identification Systems/Development -- 0.0%
Symbol Technologies 255 3
-----------
Total Identification Systems/Development 3
- --------------------------------------------------------------------------------
Independent Power Producer -- 0.0%
Mirant* 50 1
Reliant Energy* 165 2
-----------
Total Independent Power Producer 3
- --------------------------------------------------------------------------------
Industrial Automation/Robot -- 0.0%
Cognex 30 1
-----------
Total Industrial Automation/Robot 1
- --------------------------------------------------------------------------------
Industrial Gases -- 0.1%
Air Products & Chemicals 30 2
Praxair 840 46
-----------
Total Industrial Gases 48
- --------------------------------------------------------------------------------
Instruments-Scientific -- 0.1%
PerkinElmer 1,600 29
-----------
Total Instruments-Scientific 29
- --------------------------------------------------------------------------------
Insurance Brokers -- 0.3%
AON 788 27
Brown & Brown 1,800 56
-----------
Total Insurance Brokers 83
- --------------------------------------------------------------------------------
Internet Connective Services -- 0.1%
NDS ADR* 900 43
-----------
Total Internet Connective Services 43
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Internet Infrastructure Equipment -- 0.0%
Avocent* 65 $ 2
-----------
Total Internet Infrastructure Equipment 2
- --------------------------------------------------------------------------------
Internet Security -- 0.0%
Symantec* 105 2
-----------
Total Internet Security 2
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- 0.1%
Legg Mason 460 38
-----------
Total Investment Management/Advisory Services 38
- --------------------------------------------------------------------------------
Life/Health Insurance -- 0.3%
Cigna 450 41
Prudential Financial 581 46
UnumProvident 70 1
-----------
Total Life/Health Insurance 88
- --------------------------------------------------------------------------------
Machine Tools & Related Products -- 0.1%
Kennametal 700 37
-----------
Total Machine Tools & Related Products 37
- --------------------------------------------------------------------------------
Machinery-Construction & Mining -- 0.3%
Caterpillar 998 71
Terex* 550 24
-----------
Total Machinery-Construction & Mining 95
- --------------------------------------------------------------------------------
Machinery-Print Trade -- 0.0%
Zebra Technologies, Cl A* 75 2
-----------
Total Machinery-Print Trade 2
- --------------------------------------------------------------------------------
Medical Information Systems -- 0.0%
Eclipsys* 40 1
IMS Health 180 5
-----------
Total Medical Information Systems 6
- --------------------------------------------------------------------------------
Medical Instruments -- 0.2%
Boston Scientific* 59 1
St. Jude Medical* 1,490 55
-----------
Total Medical Instruments 56
- --------------------------------------------------------------------------------
Medical Labs & Testing Services -- 0.3%
Covance* 580 37
Laboratory Corp of America Holdings* 700 45
-----------
Total Medical Labs & Testing Services 82
- --------------------------------------------------------------------------------
Medical Products -- 0.3%
Baxter International 769 32
Becton Dickinson 10 1
Henry Schein* 430 20
- --------------------------------------------------------------------------------
10
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical Products -- continued
Johnson & Johnson 160 $ 10
Mentor 20 1
Zimmer Holdings* 470 30
-----------
Total Medical Products 94
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- 0.5%
Amgen* 750 52
Biogen Idec* 470 20
Celgene* 555 26
Genzyme* 800 55
Invitrogen* 30 2
PDL BioPharma* 1,093 20
-----------
Total Medical-Biomedical/Genetic 175
- --------------------------------------------------------------------------------
Medical-Drugs -- 0.5%
Allergan 210 23
Angiotech Pharmaceuticals* 200 2
Bristol-Myers Squibb 985 24
Forest Laboratories* 420 20
Pfizer 1,628 42
Schering-Plough 1,195 24
Wyeth 317 15
-----------
Total Medical-Drugs 150
- --------------------------------------------------------------------------------
Medical-Generic Drugs -- 0.0%
Barr Pharmaceuticals* 20 1
-----------
Total Medical-Generic Drugs 1
- --------------------------------------------------------------------------------
Medical-HMO -- 0.5%
UnitedHealth Group 2,118 101
WellPoint* 628 47
-----------
Total Medical-HMO 148
- --------------------------------------------------------------------------------
Medical-Outpatient/Home Medical -- 0.0%
AmSurg* 40 1
Lincare Holdings* 85 3
-----------
Total Medical-Outpatient/Home Medical 4
- --------------------------------------------------------------------------------
Medical-Wholesale Drug
Distributors -- 0.4%
AmerisourceBergen 1,495 64
Cardinal Health 1,130 76
-----------
Total Medical-Wholesale
Drug Distributors 140
- --------------------------------------------------------------------------------
Metal Processors & Fabricators -- 0.2%
Commercial Metals 1,600 36
Precision Castparts 570 34
-----------
Total Metal Processors & Fabricators 70
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Metal-Copper -- 0.1%
Phelps Dodge 500 $ 44
-----------
Total Metal-Copper 44
- --------------------------------------------------------------------------------
Metal-Diversified -- 0.2%
Freeport-McMoRan Copper & Gold, Cl B 922 50
-----------
Total Metal-Diversified 50
- --------------------------------------------------------------------------------
Motion Pictures & Services -- 0.0%
DreamWorks Animation, SKG, Cl A* 35 1
-----------
Total Motion Pictures & Services 1
- --------------------------------------------------------------------------------
Multi-Line Insurance -- 0.6%
Allstate 605 34
American International Group 840 51
Cincinnati Financial 1,050 50
Hartford Financial Services Group 447 38
XL Capital, Cl A 440 28
-----------
Total Multi-Line Insurance 201
- --------------------------------------------------------------------------------
Multimedia -- 0.1%
News, Cl A 971 19
Walt Disney 213 6
-----------
Total Multimedia 25
- --------------------------------------------------------------------------------
Non-Ferrous Metals -- 0.1%
Cameco 810 32
USEC 70 1
-----------
Total Non-Ferrous Metals 33
- --------------------------------------------------------------------------------
Non-Hazardous Waste Disposal -- 0.0%
Allied Waste Industries* 140 1
-----------
Total Non-Hazardous Waste Disposal 1
- --------------------------------------------------------------------------------
Office Automation & Equipment -- 0.0%
Pitney Bowes 60 3
-----------
Total Office Automation & Equipment 3
- --------------------------------------------------------------------------------
Office Supplies & Forms -- 0.1%
Avery Dennison 600 35
-----------
Total Office Supplies & Forms 35
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 0.5%
Diamond Offshore Drilling 310 24
Nabors Industries* 1,500 53
Pride International* 1,510 45
Rowan 50 2
Todco 20 1
Transocean* 640 49
-----------
Total Oil & Gas Drilling 174
- --------------------------------------------------------------------------------
11
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 0.4%
Anadarko Petroleum 162 $ 7
Denbury Resources* 420 15
Kerr-McGee 8 1
Newfield Exploration* 700 32
Pogo Producing 15 1
Southwestern Energy* 680 23
Ultra Petroleum* 350 21
XTO Energy 540 25
-----------
Total Oil Companies-
Exploration & Production 125
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 1.1%
BP ADR 343 25
Chevron 923 61
ConocoPhillips 722 50
Exxon Mobil 1,926 130
Hess 700 37
Marathon Oil 187 17
Occidental Petroleum 487 52
-----------
Total Oil Companies-Integrated 372
- --------------------------------------------------------------------------------
Oil Field Machinery & Equipment -- 0.2%
Grant Prideco* 620 28
National Oilwell Varco* 530 36
-----------
Total Oil Field Machinery & Equipment 64
- --------------------------------------------------------------------------------
Oil Refining & Marketing -- 0.1%
Frontier Oil 700 25
-----------
Total Oil Refining & Marketing 25
- --------------------------------------------------------------------------------
Oil-Field Services -- 0.3%
Halliburton 1,540 52
Hanover Compressor* 70 1
Helix Energy Solutions* 750 29
Tidewater 20 1
-----------
Total Oil-Field Services 83
- --------------------------------------------------------------------------------
Oil-US Royalty Trusts -- 0.0%
Hugoton Royalty Trust 31 1
-----------
Total Oil-US Royalty Trusts 1
- --------------------------------------------------------------------------------
Optical Supplies -- 0.2%
Alcon 460 51
-----------
Total Optical Supplies 51
- --------------------------------------------------------------------------------
Paper & Related Products -- 0.0%
Abitibi-Consolidated 530 2
MeadWestvaco 50 1
Smurfit-Stone Container* 285 3
-----------
Total Paper & Related Products 6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Pharmacy Services -- 0.2%
Express Scripts* 502 $ 39
Medco Health Solutions* 364 21
-----------
Total Pharmacy Services 60
- --------------------------------------------------------------------------------
Physical Practice Management -- 0.1%
Pediatrix Medical Group* 700 30
-----------
Total Physical Practice Management 30
- --------------------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers -- 0.0%
Psychiatric Solutions* 200 6
-----------
Total Physical Therapy/Rehabilitation Centers 6
- --------------------------------------------------------------------------------
Pipelines -- 0.3%
El Paso 170 3
National Fuel Gas 1,250 46
Questar 550 49
-----------
Total Pipelines 98
- --------------------------------------------------------------------------------
Power Conversion/Supply Equipment -- 0.1%
American Power Conversion 1,051 18
-----------
Total Power Conversion/
Supply Equipment 18
- --------------------------------------------------------------------------------
Printing-Commercial -- 0.0%
RR Donnelley & Sons 50 1
-----------
Total Printing-Commercial 1
- --------------------------------------------------------------------------------
Property/Casualty Insurance -- 0.5%
Arch Capital Group* 850 52
Safeco 950 51
WR Berkley 1,650 59
-----------
Total Property/Casualty Insurance 162
- --------------------------------------------------------------------------------
Publishing-Books -- 0.0%
Scholastic* 60 2
-----------
Total Publishing-Books 2
- --------------------------------------------------------------------------------
Publishing-Newspapers -- 0.1%
Gannett 317 17
-----------
Total Publishing-Newspapers 17
- --------------------------------------------------------------------------------
Quarrying -- 0.2%
Vulcan Materials 753 50
-----------
Total Quarrying 50
- --------------------------------------------------------------------------------
Real Estate Management/Services -- 0.2%
CB Richard Ellis Group, Cl A* 2,270 53
-----------
Total Real Estate Management/Services 53
- --------------------------------------------------------------------------------
12
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Reinsurance -- 0.2%
Allied World Assurance Holdings* 40 $ 1
Aspen Insurance Holdings 115 3
Axis Capital Holdings 100 3
Everest Re Group 20 2
Montpelier Re Holdings 110 2
Odyssey Re Holdings 55 1
PartnerRe 700 44
-----------
Total Reinsurance 56
- --------------------------------------------------------------------------------
REITs-Hotels -- 0.0%
Host Hotels & Resorts 65 1
-----------
Total REITs-Hotels 1
- --------------------------------------------------------------------------------
REITs-Office Property -- 0.2%
American Financial Realty Trust 170 2
Boston Properties 700 69
-----------
Total REITs-Office Property 71
- --------------------------------------------------------------------------------
REITs-Regional Malls -- 0.1%
CBL & Associates Properties 900 35
-----------
Total REITs-Regional Malls 35
- --------------------------------------------------------------------------------
REITs-Storage -- 0.0%
Public Storage 10 1
-----------
Total REITs-Storage 1
- --------------------------------------------------------------------------------
Respiratory Products -- 0.1%
Resmed* 610 28
-----------
Total Respiratory Products 28
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 0.2%
Chico's FAS* 940 21
Claire's Stores 1,100 28
Talbots 50 1
Urban Outfitters* 760 11
-----------
Total Retail-Apparel/Shoe 61
- --------------------------------------------------------------------------------
Retail-Building Products -- 0.3%
Lowe's 3,099 88
-----------
Total Retail-Building Products 88
- --------------------------------------------------------------------------------
Retail-Computer Equipment -- 0.1%
GameStop, Cl A* 760 32
-----------
Total Retail-Computer Equipment 32
- --------------------------------------------------------------------------------
Retail-Discount -- 0.1%
Costco Wholesale 75 4
Dollar General 751 10
Target 540 25
-----------
Total Retail-Discount 39
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Drug Store -- 0.2%
CVS 2,350 $ 77
-----------
Total Retail-Drug Store 77
- --------------------------------------------------------------------------------
Retail-Major Department Store -- 0.1%
Saks 1,300 21
Sears Holdings* 6 1
-----------
Total Retail-Major Department Store 22
- --------------------------------------------------------------------------------
Retail-Office Supplies -- 0.0%
OfficeMax 45 2
-----------
Total Retail-Office Supplies 2
- --------------------------------------------------------------------------------
Retail-Pet Food & Supplies -- 0.0%
PETCO Animal Supplies* 80 2
-----------
Total Retail-Pet Food & Supplies 2
- --------------------------------------------------------------------------------
Retail-Regional Department Store -- 0.1%
Kohl's* 750 42
-----------
Total Retail-Regional Department Store 42
- --------------------------------------------------------------------------------
Retail-Restaurants -- 0.0%
OSI Restaurant Partners 30 1
-----------
Total Retail-Restaurants 1
- --------------------------------------------------------------------------------
Retirement/Aged Care -- 0.0%
Sunrise Senior Living* 60 2
-----------
Total Retirement/Aged Care 2
- --------------------------------------------------------------------------------
S&L/Thrifts-Eastern US -- 0.0%
NewAlliance Bancshares 100 1
-----------
Total S&L/Thrifts-Eastern US 1
- --------------------------------------------------------------------------------
S&L/Thrifts-Western US -- 0.2%
Golden West Financial 16 1
Washington Federal 1,740 39
Washington Mutual 791 35
-----------
Total S&L/Thrifts-Western US 75
- --------------------------------------------------------------------------------
Schools -- 0.0%
ITT Educational Services* 140 9
-----------
Total Schools 9
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 0.1%
Cypress Semiconductor* 110 2
Integrated Device Technology* 1,410 22
Marvell Technology Group* 620 11
-----------
Total Semiconductor Components-
Integrated Circuits 35
- --------------------------------------------------------------------------------
13
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Steel-Producers -- 0.1%
Nucor 600 $ 32
-----------
Total Steel-Producers 32
- --------------------------------------------------------------------------------
Super-Regional Banks-US -- 0.4%
Bank of America 1,914 99
PNC Financial Services Group 45 3
Wells Fargo 412 30
-----------
Total Super-Regional Banks-US 132
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 0.1%
Arris Group* 60 1
Comverse Technology* 1,161 23
Plantronics 80 1
Tellabs* 30 --
-----------
Total Telecommunications Equipment 25
- --------------------------------------------------------------------------------
Telecommunications Equipment-
Fiber Optics -- 0.1%
Corning* 1,680 32
-----------
Total Telecommunications
Equipment-Fiber Optics 32
- --------------------------------------------------------------------------------
Telecommunications Services -- 0.3%
Amdocs* 1,725 63
Embarq* 89 4
Time Warner Telecom, Cl A* 1,750 29
-----------
Total Telecommunications Services 96
- --------------------------------------------------------------------------------
Telephone-Integrated -- 0.3%
BellSouth 203 8
Sprint Nextel 2,199 43
Verizon Communications 1,294 44
-----------
Total Telephone-Integrated 95
- --------------------------------------------------------------------------------
Therapeutics -- 0.2%
CV Therapeutics* 115 1
Gilead Sciences* 1,120 69
Medicines* 130 3
-----------
Total Therapeutics 73
- --------------------------------------------------------------------------------
Tobacco -- 0.5%
Altria Group 973 78
Imperial Tobacco ADR 706 46
UST 605 30
-----------
Total Tobacco 154
- --------------------------------------------------------------------------------
Tools-Hand Held -- 0.1%
Stanley Works 530 24
-----------
Total Tools-Hand Held 24
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Toys -- 0.1%
Mattel 1,142 $ 21
-----------
Total Toys 21
- --------------------------------------------------------------------------------
Transport-Equipment & Leasing -- 0.0%
GATX 25 1
-----------
Total Transport-Equipment & Leasing 1
- --------------------------------------------------------------------------------
Transport-Marine -- 0.0%
Tsakos Energy Navigation 304 14
-----------
Total Transport-Marine 14
- --------------------------------------------------------------------------------
Transport-Rail -- 0.3%
Burlington Northern Santa Fe 393 27
Canadian Pacific Railway 800 38
CSX 600 37
-----------
Total Transport-Rail 102
- --------------------------------------------------------------------------------
Transport-Services -- 0.2%
FedEx 421 44
UTI Worldwide 940 22
-----------
Total Transport-Services 66
- --------------------------------------------------------------------------------
Transport-Truck -- 0.1%
JB Hunt Transport Services 1,550 32
-----------
Total Transport-Truck 32
- --------------------------------------------------------------------------------
Veterinary Diagnostics -- 0.1%
VCA Antech* 910 32
-----------
Total Veterinary Diagnostics 32
- --------------------------------------------------------------------------------
Vitamins & Nutrition Products -- 0.1%
Herbalife* 1,080 39
-----------
Total Vitamins & Nutrition Products 39
- --------------------------------------------------------------------------------
Web Portals/ISP -- 0.3%
Google, Cl A* 259 100
-----------
Total Web Portals/ISP 100
- --------------------------------------------------------------------------------
Wireless Equipment -- 0.5%
American Tower, Cl A* 2,550 86
Nokia ADR 2,174 43
Qualcomm 1,250 44
-----------
Total Wireless Equipment 173
-----------
Total Common Stock (Cost $7,670) 8,188
- --------------------------------------------------------------------------------
14
<page>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- 17.6%
Abbott Laboratories
5.600%, 05/15/11 $ 20 $ 20
Advanta Capital Trust, Ser B
8.990%, 12/17/26 45 45
Ahern Rentals
9.250%, 08/15/13 40 40
Allegheny Energy Supply 144A
8.250%, 04/15/12 30 32
America Movil
6.375%, 03/01/35 10 9
American General Finance, Ser G MTN
5.375%, 09/01/09 50 50
Ameriprise Financial
5.350%, 11/15/10 35 35
Amerisourcebergen
5.875%, 09/15/15 70 66
Amgen
4.000%, 11/18/09 20 19
AOL Time Warner
7.700%, 05/01/32 30 33
6.875%, 05/01/12 75 78
Appalachian Power
5.550%, 04/01/11 65 64
AT&T Wireless
8.750%, 03/01/31 45 56
7.875%, 03/01/11 60 65
Bank One
5.900%, 11/15/11 35 35
5.250%, 01/30/13 80 78
BCPLU Crystal US Holdings
9.625%, 06/15/14 30 32
Beazer Homes USA, Callable:
04/15/07 @ 104.188,
04/15/08 @ 102.791
8.375%, 04/15/12 40 39
Canadian National Railway
5.800%, 06/01/16 65 65
Capital One Financial
4.800%, 02/21/12 60 57
Carnival
3.750%, 11/15/07 35 34
Cascades, Callable:
02/15/08 @ 103.625,
02/15/09 @ 102.417
7.250%, 02/15/13 30 28
Caterpillar Financial Services
5.050%, 12/01/10 50 49
Chesapeake Energy
6.500%, 08/15/17 90 84
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
ChevronTexaco
3.500%, 09/17/07 $ 90 $ 88
Chubb
4.934%, 11/16/07 100 99
Cisco Systems
5.500%, 02/22/16 90 88
5.250%, 02/22/11 30 30
Clayton Williams Energy
7.750%, 08/01/13 40 37
Columbus Southern Power, Ser C
5.500%, 03/01/13 40 39
Comcast
7.625%, 02/15/08 20 21
6.500%, 01/15/15 75 76
5.300%, 01/15/14 20 19
Countrywide Home Loan MTN
4.125%, 09/15/09 65 62
DaimlerChrysler
4.750%, 01/15/08 30 30
Deutsche Telekom
8.000%, 06/15/10 60 65
Drummond 144A
7.375%, 02/15/16 50 47
E*Trade Financial
7.875%, 12/01/15 60 62
Echostar DBS 144A
7.125%, 02/01/16 75 74
ERP Operating
5.125%, 03/15/16 45 42
Ford Motor Credit
7.375%, 10/28/09 70 66
General Cable
9.500%, 11/15/10 55 59
General Electric Capital, Ser A MTN
6.875%, 11/15/10 70 74
4.375%, 03/03/12 50 47
General Motors Acceptance
7.000%, 02/01/12 35 34
Georgia Power, Ser J
4.875%, 07/15/07 20 20
Gregg Appliances
9.000%, 02/01/13 40 37
HCA
6.375%, 01/15/15 25 20
Healthsouth 144A
10.750%, 06/15/16 100 95
Hewlett-Packard
5.750%, 12/15/06 50 50
- --------------------------------------------------------------------------------
15
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Hines Nurseries, Callable:
10/01/2007 @ 105.12
10.250%, 10/01/11 $ 45 $ 40
Home Depot
5.400%, 03/01/16 85 83
HSBC Finance
5.500%, 01/19/16 75 73
4.750%, 04/15/10 25 24
Hudbay Mining
9.625%, 01/15/12 30 33
Intelsat
10.484%, 01/15/12 28 28
Interline Brands
8.125%, 06/15/14 100 101
J.C. Penney
8.125%, 04/01/27 30 31
John Deere Capital
5.400%, 04/07/10 30 30
John Deere Capital, Ser D MTN
4.400%, 07/15/09 25 24
K. Hovnanian
8.875%, 04/01/12 50 48
K. Hovnanian Enterprises
6.250%, 01/15/16 30 26
Lockheed Martin
7.200%, 05/01/36 20 23
Merrill Lynch
5.450%, 07/15/14 80 78
Metlife
5.375%, 12/15/12 30 29
5.000%, 06/15/15 90 85
MGM Mirage
6.625%, 07/15/15 35 33
5.875%, 02/27/14 35 32
Midamerican Energy Holdings 144A
5.875%, 10/01/12 125 125
Morgan Stanley
4.000%, 01/15/10 75 71
Motorola
8.000%, 11/01/11 25 28
Neenah Paper
7.375%, 11/15/14 38 35
Nextel Communications, Ser C,
Callable: 10/31/2011 @100
6.875%, 10/31/13 90 91
Norampac
6.750%, 06/01/13 50 46
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Northwest Pipeline 144A
7.000%, 06/15/16 $100 $ 100
Pemex Project
8.500%, 02/15/08 105 109
PNC Funding
4.200%, 03/10/08 85 83
Prologis Trust
7.100%, 04/15/08 20 20
Prudential Financial MTN
3.750%, 05/01/08 25 24
Prudential Financial, Ser B MTN
5.100%, 09/20/14 20 19
PSE&G Power
7.750%, 04/15/11 75 81
6.950%, 06/01/12 35 37
PSI Energy
6.050%, 06/15/16 20 20
PXRE
8.850%, 02/15/27 25 27
Quebecor World Capital 144A
8.750%, 03/15/16 100 92
Qwest
8.875%, 03/15/12 70 75
Residential Capital 144A
7.337%, 04/17/09 80 80
Rogers Cable
6.750%, 03/15/15 20 19
Rogers Wireless
8.000%, 12/15/12 20 21
Royal Caribbean Cruises
7.250%, 03/15/18 57 56
SBC Communications
5.100%, 09/15/14 90 84
Schering-Plough
6.750%, 12/01/33 50 52
Shell International
5.625%, 06/27/11 65 66
SLM
5.450%, 04/25/11 75 74
Southern Company Capital Funding, Ser A
5.300%, 02/01/07 20 20
Stater Brothers Holdings
8.125%, 06/15/12 35 35
STATS ChipPAC
6.750%, 11/15/11 20 19
Telecom Italia Capital
4.000%, 11/15/08 65 63
TFM SA De CV
9.375%, 05/01/12 25 27
- --------------------------------------------------------------------------------
16
<page>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Town Sports International
9.625%, 04/15/11 $ 13 $ 13
Toys R Us
7.875%, 04/15/13 30 24
Universal City Florida
9.899%, 05/01/10 20 21
Uno Restaurant 144A
10.000%, 02/15/11 25 19
Verizon Global
4.000%, 01/15/08 30 29
Verizon Wireless Capital
5.375%, 12/15/06 55 55
Verso Paper Holdings, Callable:
08/01/2011 @ 105.69 (B)
11.375%, 08/01/16 80 80
Viacom 144A
6.250%, 04/30/16 90 87
Wachovia
5.700%, 08/01/13 100 100
Washington Mutual Financial
6.875%, 05/15/11 25 26
Wellpoint
3.750%, 12/14/07 30 29
Weyerhaeuser
5.950%, 11/01/08 10 10
Wyeth
5.500%, 02/01/14 35 34
Xcel Energy
7.000%, 12/01/10 105 110
Xerox Capital Trust I
8.000%, 02/01/27 75 76
-----------
Total Corporate Bonds (Cost $5,870) 5,727
- --------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed
Obligations -- 18.0%
Federal Home Loan Mortgage Corporation
6.500%, 04/01/35 7 7
6.000%, 08/01/29 25 25
5.875%, 03/21/11 20 20
5.500%, 09/01/17 25 25
5.500%, 09/01/19 37 37
5.500%, 07/01/20 54 54
5.500%, 08/01/20 156 155
5.500%, 10/01/34 79 77
5.500%, 01/01/35 165 160
5.500%, 02/01/35 180 175
5.500%, 03/01/35 63 61
5.500%, 06/01/35 328 319
5.000%, 07/01/19 121 118
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation -- continued
5.000%, 05/01/20 $ 338 $ 328
5.000%, 07/01/20 123 120
4.400%, 07/28/08 90 89
Federal Home Loan Mortgage
Corporation-Gold TBA
6.000%, 08/01/36 390 388
Federal Home Loan Mortgage
Corporation-Gold
5.000%, 12/01/20 47 46
Federal National Mortgage Association
6.500%, 03/01/35 145 147
6.500%, 05/01/36 497 503
6.500%, 05/01/36 195 197
6.250%, 02/01/11 250 258
6.000%, 01/01/29 47 47
6.000%, 08/01/32 56 56
6.000%, 07/01/36 170 169
6.000%, 07/01/36 465 462
6.000%, 08/01/36 100 99
5.500%, 03/01/20 72 71
5.500%, 09/01/34 150 146
5.500%, 06/01/35 210 204
5.500%, 07/01/35 158 153
5.500%, 09/01/35 41 40
5.500%, 04/01/36 132 128
5.125%, 01/02/14 35 34
5.000%, 04/01/19 49 47
5.000%, 10/01/19 40 39
5.000%, 09/01/20 9 9
5.000%, 03/01/21 93 90
5.000%, 08/01/34 139 138
4.500%, 08/04/08 415 409
4.500%, 09/01/35 192 177
-----------
Total U.S. Government Agency
Mortgage-Backed Obligations (Cost $5,909) 5,827
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 13.3% U.S. Treasury Bonds
5.375%, 02/15/31 495 512
5.125%, 05/15/16 1,100 1,111
4.875%, 05/31/08 95 95
4.500%, 02/15/16 145 140
3.375%, 09/15/09 100 96
U.S. Treasury Notes
4.875%, 05/15/09 35 35
4.875%, 05/31/11 44 44
4.500%, 02/28/11 155 152
3.875%, 07/31/07 175 173
3.875%, 07/15/10 1,610 1,552
2.875%, 11/30/06 400 397
-----------
Total U.S. Treasury Obligations (Cost $4,369) 4,307
- --------------------------------------------------------------------------------
17
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Foreign Common Stock -- 7.0%
Australia -- 0.6%
Aristocrat Leisure 4,058 $ 37
BHP Billiton 2,360 50
Coles Myer 328 3
Commonwealth Bank of Australia 150 5
CSL 205 8
Insurance Australia Group 2,070 8
QBE Insurance Group 650 11
Rinker Group 96 1
Rio Tinto 328 19
Santos 5,181 46
Telstra Corp 1,700 5
Woolworths 200 3
-----------
Total Australia 196
- --------------------------------------------------------------------------------
Austria -- 0.1%
Andritz 100 17
Telekom Austria 200 5
-----------
Total Austria 22
- --------------------------------------------------------------------------------
Belgium -- 0.1%
Dexia 625 16
Fortis 200 7
-----------
Total Belgium 23
- --------------------------------------------------------------------------------
Canada -- 0.2%
Bank of Nova Scotia 600 24
EnCana 200 11
Gerdau Ameristeel 300 3
IPSCO 90 9
Metro 100 3
Petro-Canada 100 4
TELUS 700 29
-----------
Total Canada 83
- --------------------------------------------------------------------------------
Denmark -- 0.1%
Auriga Industries 200 5
Jyske Bank* 400 22
-----------
Total Denmark 27
- --------------------------------------------------------------------------------
Finland -- 0.0%
Rautaruukki 400 12
-----------
Total Finland 12
- --------------------------------------------------------------------------------
France -- 0.6%
BNP Paribas 585 57
Bouygues 534 27
CNP Assurances 190 18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
France -- continued
Compagnie Generale des
Etablissements Michelin, Cl B 806 $ 49
France Telecom 100 2
Societe Generale 290 43
Total 176 12
Vivendi 83 3
-----------
Total France 211
- --------------------------------------------------------------------------------
Germany -- 0.6%
Allianz 140 22
BASF 104 8
Deutsche Bank 14 2
Deutsche Lufthansa 2,986 56
E.ON 54 6
Freenet.de 54 1
Heidelberger Druckmaschinen 861 35
MAN 94 7
Muenchener Rueckversicherungs 85 12
Salzgitter 517 41
ThyssenKrupp 233 8
-----------
Total Germany 198
- --------------------------------------------------------------------------------
Greece -- 0.0%
Intracom Holdings 200 1
-----------
Total Greece 1
- --------------------------------------------------------------------------------
Hong Kong -- 0.1%
CLP Holdings 500 3
VTech Holdings 3,326 19
-----------
Total Hong Kong 22
- --------------------------------------------------------------------------------
Italy -- 0.2%
Banca Intesa 2,500 14
ENI 1,500 46
IFIL Investments 101 1
Milano Assicurazioni 745 5
-----------
Total Italy 66
- --------------------------------------------------------------------------------
Japan -- 1.5%
All Nippon Airways 2,000 8
Bosch 1,015 5
Canon 700 33
Chiba Bank 3,000 29
Daito Trust Construction 100 5
East Japan Railway 5 37
Eizo Nanao 200 6
Fujikura 3,000 37
Fujitsu Frontech 200 2
Kawasaki Kisen Kaisha 600 4
KDDI 3 20
- --------------------------------------------------------------------------------
18
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Japan -- continued
Komatsu 2,000 $ 40
Mizuho Financial Group 6 50
Nippon Steel 700 3
Nissan Diesel Motor 8,000 33
Nissin Kogyo 300 6
ORIX 130 34
Ricoh Leasing 100 3
Santen Pharmaceutical 250 6
Sega Sammy Holdings 200 7
Sony 400 18
Sumisho Lease 700 37
Sumitomo Trust & Banking 2,000 21
Tokyo Electron 400 25
Tokyo Steel Manufacturing 100 2
Yamazen 1,000 5
-----------
Total Japan 476
- --------------------------------------------------------------------------------
Netherlands -- 0.5%
ABN AMRO Holding 254 7
Aegon 3,216 55
Boskalis Westminster 102 6
ING Groep 480 20
Koninklijke (Royal) KPN 300 3
Royal Dutch Shell, Cl A 2,177 77
-----------
Total Netherlands 168
- --------------------------------------------------------------------------------
New Zealand -- 0.2%
Fletcher Building 5,885 32
Sky Network Television 5,576 20
-----------
Total New Zealand 52
- --------------------------------------------------------------------------------
Norway -- 0.1%
Statoil ASA 900 27
-----------
Total Norway 27
- --------------------------------------------------------------------------------
Portugal -- 0.1%
Banco Comercial Portugues 6,004 17
-----------
Total Portugal 17
- --------------------------------------------------------------------------------
Spain -- 0.3%
Banco Bilbao Vizcaya Argentaria 950 20
Banco Santander Central Hispano 4,619 70
Telefonica 312 6
-----------
Total Spain 96
- --------------------------------------------------------------------------------
Sweden -- 0.3%
JM 2,000 29
Nordea Bank 4,500 56
TeliaSonera 2,400 14
-----------
Total Sweden 99
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Switzerland -- 0.4%
Credit Suisse Group 1,258 $ 70
Syngenta 50 7
UBS 120 7
Xstrata 741 32
Zurich Financial Services 80 18
-----------
Total Switzerland 134
- --------------------------------------------------------------------------------
United Kingdom -- 1.0%
Antofagasta 6,190 48
Ashtead 4,590 12
AstraZeneca 457 28
Barclays 900 11
BHP Billiton 393 7
British American Tobacco 300 8
British Energy Group* 366 5
Corus Group 1,395 11
Drax Group* 917 15
Gallaher Group 169 3
HBOS 280 5
HSBC Holdings 600 11
Imperial Tobacco Group 123 4
International Power 2,100 12
Lloyds TSB Group 200 2
Marks & Spencer 439 5
NETeller* 209 1
Next 153 5
Rio Tinto 400 21
Royal Bank of Scotland 815 27
Royal Dutch Shell, Cl B 578 21
SABMiller 800 16
Shire 400 6
Standard Chartered 400 10
Tesco 1,600 11
Unilever 278 7
Vodafone Group (C) 1,838 4
Vodafone Group, Cl B* (C) 2,100 1
Wolseley 616 13
-----------
Total United Kingdom 330
-----------
Total Foreign Common Stock (Cost $1,904) 2,260
- --------------------------------------------------------------------------------
Foreign Bonds -- 2.3%
Canada (CAD)
5.750%, 06/01/33 20 21
5.250%, 06/01/13 90 84
Citigroup (JPY)
2.400%, 10/31/25 6,000 50
Deutschland (EUR)
3.750%, 07/04/13 124 158
Deutschland Republic (EUR)
3.500%, 01/04/16 20 25
- --------------------------------------------------------------------------------
19
<page>
OLD MUTUAL ASSET ALLOCATION
CONSERVATIVE PORTFOLIO -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Foreign Bonds -- continued
Netherlands Government (EUR)
4.250%, 07/15/13 66 $ 87
Norwegian Government (NOK)
6.500%, 05/15/13 437 81
5.000%, 05/15/15 160 27
United Kingdom Gilt (GBP)
4.000%, 09/07/16 120 213
-----------
Total Foreign Bonds (Cost $739) 746
- --------------------------------------------------------------------------------
Asset-Backed Securities -- 1.0%
Home Equity Loans -- 1.0%
Citigroup Commercial Mortgage,
Ser 2004-C2, Cl A3
4.380%, 10/15/41 $ 145 138
JP Morgan Chase CMO,
Ser 2005-LDP1, Cl A2
4.625%, 03/15/46 112 109
JP Morgan Chase Commercial Mortgage,
Ser 2004-CBX, Cl A4
4.529%, 01/12/37 55 53
Residential Asset Mortgage Program,
Ser 2004-RS12, Cl AI2
3.767%, 02/25/27 22 21
-----------
Total Asset-Backed Securities (Cost $330) 321
- --------------------------------------------------------------------------------
Investment Companies -- 0.2%
Index Fund-Large Cap -- 0.1%
SPDR Trust Series 1 150 19
-----------
Total Index Fund-Large Cap 19
Index Fund-Midcap -- 0.1%
iShares Russell Midcap Value Index Fund 200 26
-----------
Total Index Fund-Midcap 26
-----------
Total Investment Companies (Cost $44) 45
- --------------------------------------------------------------------------------
Foreign Preferred Stock -- 0.0%
Germany -- 0.0%
Porsche 4 4
-----------
Total Foreign Preferred Stock (Cost $3) 4
- --------------------------------------------------------------------------------
Mortgage Related -- 4.5%
Banc of America Mortgage CMO,
Ser 2004-8, Cl 3A1
5.250%, 10/25/19 $ 109 107
Bear Stearns ARM CMO,
Ser 2005-11, Cl 2A1
4.760%, 12/25/35 269 264
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Mortgage Related -- continued
Bear Stearns CMO,
Ser 2006-T22, Cl A2
5.467%, 04/12/38 $ 140 $ 140
Bear Stearns Commercial Mortgage,
Ser 2004-PWR5, Cl A4
4.831%, 07/11/42 85 81
Bear Stearns Commercial Mortgage,
Ser 2005-T20, Cl A2
5.127%, 10/12/42 100 98
Chase Mortgage Finance CMO,
Ser 2004-S1, Cl A3
5.500%, 02/25/19 99 98
Countrywide Alternative Loan Trust,
Ser 2005-53-T2, Cl 2A1
6.000%, 11/25/35 376 369
Countrywide Home Loans CMO,
Ser 2005-HYB8, Cl 2A1
5.376%, 12/20/35 124 123
FPL Group Capital
5.551%, 02/16/08 25 25
Prime Mortgage Trust CMO,
Ser 2005-2, Cl 1A3
5.250%, 07/25/20 162 159
-----------
Total Mortgage Related (Cost $1,483) 1,464
- --------------------------------------------------------------------------------
Repurchase Agreement -- 11.8%
Deutsche Bank
5.250%, dated 07/31/06, to be
repurchased on 08/01/06, repurchase
price $3,839,679 (collateralized by a
U.S. Government obligation, par value
$3,944,000, 2.700%, 03/16/07,
total market value $3,916,136)(A) 3,839 3,839
-----------
Total Repurchase Agreement (Cost $3,839) 3,839
- --------------------------------------------------------------------------------
Total Investments -- 100.9% (Cost $32,160) 32,728
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- (0.9)%
Payable for Investment Advisory Fees (19)
Payable for Administration Fees (3)
Payable for Distribution Fees (17)
Payable for Investment Securities Purchased (870)
Other Assets and Liabilities, Net 611
- --------------------------------------------------------------------------------
Total Other Assets and Liabilities (298)
- --------------------------------------------------------------------------------
Net Assets -- 100.0% $ 32,430
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-capital ($0.001 par value,
unlimited authorization) $ 31,686
Undistributed net investment income 137
Accumulated net realized gain on investments 69
Unrealized appreciation on investments 568
Unrealized depreciation on forward foreign
currency contracts and translation of
other assets and liabilities denominated
in foreign currency (30)
-----------
Net Assets $ 32,430
- --------------------------------------------------------------------------------
20
<page>
- --------------------------------------------------------------------------------
Description Value (000)
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($8,588,125 / 807,151 shares) $10.64
- --------------------------------------------------------------------------------
Maximum Offering
Price Per Share -- Class A
($10.64/94.25%) $11.29
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class C+
($18,252,278 / 1,721,346 shares) $10.60
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class Z
($1,026 / 96 shares)** $10.65
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($5,588,233 / 524,582 shares) $10.65
- --------------------------------------------------------------------------------
* Non-income producing security.
** Net assets divided by shares do not calculate to the stated NAV because these
amounts are shown rounded.
+ Class C shares have a contingent deferred sales charge. For a description of
a possible sales charge, please see the Fund's prospectus.
(A) -- Tri-party repurchase agreement
(B) -- Security purchased on a when-issued basis.
(C) -- Securities fair valued using methods determined in good faith according
to procedures adopted by the Fair Valuation Committee of the Board
of Trustees. At July 31, 2006, the total value of these securities
was $5 (000), representing 0.0% of the net assets of the Fund.
144A -- Security sold within the terms of a private placement memorandum, which
is exempt from registration under Sections 3a-4 or 4(2) of the
Securities Act of 1933, as amended or Rule 144A thereunder, and may be
sold only to dealers in that program or other accredited investors.
On July 31, 2006, the value of these securities amounted to $751 (000),
representing 2.3% of the net assets of the Fund.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
CAD -- Canadian Dollar
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
GBP -- British Pound
HMO -- Health Maintenance Organization
ISP -- Internet Service Provider
JPY -- Japanese Yen
MTN -- Medium-Term Note
NOK -- Norwegian Krone
R&D -- Research and Development
REITs -- Real Estate Investment Trusts
S&L -- Savings and Loan
Ser -- Series
SPDR -- Standard & Poor's Depositary Receipt
TBA -- To be Announced
Cost figures are shown with "000's" omitted.
Amounts designated as "--" are either 0 or have been rounded to 0.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
As of July 31, 2006, the Fund had the following forward foreign currency
contracts outstanding
Unrealized
Settlement Currency Currency Contract Appreciation/
Date to Deliver to Receive Value (Depreciation)
- --------- ---------------- ---------------- ---------- --------------
8/16/06 AUD 34,890 EUR 20,172 $ 25,794 $ (923)
8/16/06 AUD 122,657 USD 90,820 93,926 (3,106)
8/16/06 CAD 97,850 USD 85,984 86,531 (547)
8/16/06 DKK 835,052 EUR 111,931 143,128 (1)
8/16/06 EUR 14,887 CAD 21,314 18,848 (188)
8/16/06 EUR 94,889 DKK 707,790 121,316 (19)
8/16/06 EUR 372,230 JPY 53,712,831 469,768 (6,207)
8/16/06 EUR 73,362 SEK 676,393 94,059 251
8/16/06 EUR 59,836 USD 75,593 76,513 (920)
8/16/06 GBP 66,674 AUD 166,963 127,854 3,273
8/16/06 GBP 64,192 EUR 92,805 118,671 (1,271)
8/16/06 GBP 59,670 USD 110,000 111,494 (1,494)
8/16/06 JPY 13,111,390 USD 113,827 114,671 (844)
8/16/06 NOK 445,660 EUR 57,209 73,154 622
8/16/06 SEK 591,173 USD 82,677 82,208 469
8/16/06 USD 116,023 CAD 130,743 115,620 (404)
8/16/06 USD 48,155 DKK 278,911 47,806 (349)
8/16/06 USD 1,569,897 EUR 1,219,786 1,560,218 (9,679)
8/16/06 USD 307,450 GBP 165,620 309,462 2,012
8/16/06 USD 498,051 JPY 55,854,720 488,501 (9,550)
10/10/06 USD 30,000 JPY 3,398,154 29,946 (54)
8/16/06 USD 51,509 NOK 311,113 50,634 (875)
--------
TOTAL $(29,804)
========
AUD -- Australian Dollar
CAD -- Canadian Dollar
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
NOK -- Norwegian Krone
SEK -- Swedish Krona
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
21
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
PERFORMANCE HIGHLIGHTS
O FOR THE ONE-YEAR PERIOD ENDED JULY 31, 2006, THE OLD MUTUAL ASSET ALLOCATION
BALANCED PORTFOLIO'S CLASS A SHARES GAINED 5.76% AT NET ASSET VALUE, WHILE
THE S&P 1500 INDEX RETURNED 5.24% AND THE LEHMAN BROTHERS U.S. AGGREGATE
INDEX RETURNED 1.45%.
O THE FUND'S 60% STRATEGIC ALLOCATION TO EQUITIES BENEFITED FROM ITS
INTERNATIONAL COMPONENT DURING THE PERIOD AS BOTH DEVELOPED AND EMERGING-
MARKET COUNTRIES' STOCK PRODUCED STRONG GAINS.
O STRATEGIC ALLOCATION AMONG ASSET CLASSES ENABLED THE FUND TO CAPTURE MOST OF
THE ADVANCES IN THE MARKET AND OUTPERFORM ITS INDEXES.
Q. How did the Fund perform relative to its benchmarks?
A. For the one-year period ended July 31, 2006, the Old Mutual Asset Allocation
Balanced Portfolio's Class A shares gained 5.76% at net asset value, while
the S&P 1500 Index returned 5.24% and the Lehman Brothers U.S. Aggregate
Index returned 1.45%. Performance for all share classes can be found on page
24.
Q. What investment environment did the Fund face during the past year?
A. The one-year period covered by this Annual Report experienced both intervals
of healthy markets and optimistic outlooks and far more challenging
environments. Important challenges of the period included concerns over
rising interest rates, inflation, political unrest, and skyrocketing oil
prices. Against this backdrop, most broad indexes managed to remain positive
for the year.
Q. Which market factors influenced the Fund's relative performance?
A. International stocks and real estate investments were the standout
performers for the period. The Fund's strategic allocation to international
stocks of developed and emerging-market countries was a significant
contributor to performance, while a relative underweight to Real Estate
Investment Trusts ("REITs") detracted from performance. On the U.S. front,
stocks in small- and mid-capitalization companies saw better performance
than large caps, and value style equity investments outperformed growth.
Dynamic decisions to overweight large-cap value stocks in the Fund's
portfolio contributed positively to performance.
Q. How did portfolio composition affect Fund performance?
A. The Fund's 60% strategic allocation to equities benefited from its
international component during the period as both developed and
emerging-market countries' stock produced strong gains. Strategic allocation
among asset classes enabled the Fund to capture most of the advances in the
market and outperform the benchmarks. The international equity mandate
sub-advised by Acadian Asset Management, Inc. ("Acadian") and the emerging
markets equity mandate sub-advised by Clay Finlay Inc. ("Clay Finlay")
produced strong absolute returns during the year ended July 31, 2006.
Despite the strong absolute gains posted by the international equity
component, Provident Investment Counsel, Inc.'s mid-capitalization growth
strategy and Thompson, Siegel & Walmsley, Inc.'s mid-capitalization value
strategy and small-capitalization value strategy were the top performing
mandates during the period on a relative basis. The Fund's allocation to the
Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow Hanley")
large-capitalization value strategy was a slight drag on relative
performance despite producing strong absolute performance. Liberty Ridge
Capital, Inc's ("LRC") large-capitalization growth strategy and
small-capitalization blend strategy also detracted from relative results
during the period.
Among the Fund's three largest individual contributors to performance were
Mizuho Financial Group; materials company, Antofagasta; and business
software and services provider, Cognizant Technology Solutions. Detracting
from Fund performance during the period were Chico's FAS, a private label
clothing and gift item retailer; UnitedHealth Group, a health care service
provider; and American Power Conversion, a power protection and management
solution provider.
Asset Allocation Balanced Portfolio
22
<page>
On the fixed-income side, the Barrow Hanley intermediate bond and U.S. core
bond strategies contributed to performance during the period. Rogge Global
Partners PLC's international bond strategy and Dwight Asset Management
Company's high-yield bond mandate detracted marginally from relative
performance during the period.
Q. What is the investment outlook?
A. Ibbotson Associates Advisors, LLC ("Ibbotson"), the Fund's strategic asset
allocation consultant, is forecasting a slowdown in returns for the real
estate sector. The firm notes that the effects of the increase in borrowing
costs have begun to affect the valuations of the real estate market. From an
equity capitalization perspective, Ibbotson believes that the persistent
outperformance of U.S. small-capitalization stocks appears to be fading,
thus giving way to a phase of large-capitalization stock outperformance.
And, on the fixed-income front, Ibbotson believes that the Federal Reserve
may continue to increase short-term interest rates, but the firm notes that
there is not a clear near-term direction for long-term yields. Over the
longer term, however, Ibbotson expects an increase in long-term yields.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
- -----------------------------------------------------------------
U.S. Treasury Note, 3.875%, 07/15/10 2.8%
- -----------------------------------------------------------------
U.S. Treasury Bond, 5.125%, 05/15/16 1.7%
- -----------------------------------------------------------------
Federal National Mortgage Association,
6.000%, 07/01/36 1.2%
- -----------------------------------------------------------------
U.S. Treasury Note, 2.875%, 11/30/06 1.2%
- -----------------------------------------------------------------
U.S. Treasury Bond, 5.375%, 02/15/31 0.9%
- -----------------------------------------------------------------
U.S. Treasury Note, 4.875%, 05/31/11 0.7%
- -----------------------------------------------------------------
Federal Home Loan Mortgage Corporation-Gold,
6.000%, 08/01/30 0.7%
- -----------------------------------------------------------------
Exxon Mobil 0.7%
- -----------------------------------------------------------------
Federal National Mortgage Association,
4.500%, 08/04/08 0.6%
- -----------------------------------------------------------------
Federal National Mortgage Association,
6.500%, 05/01/36 0.6%
- -----------------------------------------------------------------
As a % of Total Fund Investments 11.1%
- -----------------------------------------------------------------
Asset Allocation Balanced Portfolio
23
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Since Inception
- ---------------------------------------------------------------------------------------------------------------------------
Class A with front-end load 9/30/04 (0.30)% 5.58%
Class A without load 9/30/04 5.76% 9.05%
Class C with deferred sales load 9/30/04 4.00% 8.34%
Class C without deferred sales load 9/30/04 5.00% 8.34%
Class Z 12/09/05 n/a 3.57% 1
Institutional Class 9/30/04 5.91% 9.31%
S&P 1500 Index 9/30/04 5.24% 10.23%
S&P 500 Index 2 9/30/04 5.38% 9.66%
Lehman Brothers U.S. Aggregate Index 9/30/04 1.45% 2.19%
- ----------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative indexes can be found on pages 1 and 2.
1 Not annualized.
2 The Fund's performance will no longer be compared to the S&P 500 Index, as the
S&P 1500 Index, which is invested in a broader range of securities, better
reflects the Fund's investment strategy.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM
ASSET ALLOCATION ASSET ALLOCATION ASSET ALLOCATION
BALANCED PORTFOLIO, BALANCED PORTFOLIO, BALANCED PORTFOLIO,
CLASS A CLASS C INSTITUTIONAL CLASS
9/30/2004 $ 9425 $10000 $10000
7/31/2005 10447 11033 11114
7/31/2006 11049 11584 11771
LEHMAN BROTHERS
S&P US AGGREGATE
1500 INDEX BOND INDEX S&P 500 INDEX
9/30/2004 $10000 $10000 $10000
7/31/2005 11359 10256 11237
7/31/2006 11954 10404 11842
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Fund's Class A, C and Institutional shares on the
inception date of 9/30/04 to an investment made in unmanaged securities indexes
on that date. The performance of the Fund's Class A shares shown in the line
graph takes into account the maximum initial sales charge. The Fund's
performance in this chart and the performance table assumes reinvestment of
dividends and capital gain distributions but does not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or on the redemption of
Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
Investment Companies (0.1%)
Warrants (0.2%)
Foreign Preferred Stock (0.3%)
Asset-Backed Securities (0.4%)
Foreign Bonds (1.3%)
Mortgage Related (2.0%)
Repurchase Agreement (8.6%)
U.S. Treasury Obligations (8.9%)
Corporate Bonds (9.0%)
U.S. Government Agency Mortgage-Backed Obligations (10.0%)
Foreign Common Stock (12.4%)
Common Stock (46.8%)
24
<page>
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 47.0%
Advertising Services -- 0.0%
Getty Images* 1,030 $ 48
-----------
Total Advertising Services 48
- --------------------------------------------------------------------------------
Aerospace/Defense -- 0.6%
Boeing 4,639 359
Empresa Brasileira de Aeronautica ADR 2,000 69
Lockheed Martin 113 9
Rockwell Collins 3,895 208
Teledyne Technologies* 1,490 57
-----------
Total Aerospace/Defense 702
- --------------------------------------------------------------------------------
Aerospace/Defense-Equipment -- 0.3%
Alliant Techsystems* 1,700 136
BE Aerospace* 1,300 32
Curtiss-Wright 1,600 47
DRS Technologies 1,400 65
Goodrich 530 21
-----------
Total Aerospace/Defense-Equipment 301
- --------------------------------------------------------------------------------
Agricultural Chemicals -- 0.4%
Agrium 4,600 112
Monsanto 9,030 388
-----------
Total Agricultural Chemicals 500
- --------------------------------------------------------------------------------
Agricultural Operations -- 0.3%
Archer-Daniels-Midland 5,477 241
Delta & Pine Land 1,605 55
Tejon Ranch* 1,775 72
-----------
Total Agricultural Operations 368
- --------------------------------------------------------------------------------
Airlines -- 0.1%
AMR* 3,200 70
Mesa Air Group* 4,500 38
Republic Airways Holdings* 2,820 47
-----------
Total Airlines 155
- --------------------------------------------------------------------------------
Apparel Manufacturers -- 0.1%
Maidenform Brands* 4,120 55
-----------
Total Apparel Manufacturers 55
- --------------------------------------------------------------------------------
Applications Software -- 0.1%
Citrix Systems* 720 23
Nuance Communications* 920 9
Satyam Computer Services ADR 695 24
-----------
Total Applications Software 56
- --------------------------------------------------------------------------------
Auction House/Art Dealer -- 0.0%
Sotheby's* 1,800 50
-----------
Total Auction House/Art Dealer 50
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
B2B/E-Commerce -- 0.0%
i2 Technologies* 1,990 $ 25
-----------
Total B2B/E-Commerce 25
- --------------------------------------------------------------------------------
Batteries/Battery Systems -- 0.1%
Greatbatch* 2,255 55
-----------
Total Batteries/Battery Systems 55
- --------------------------------------------------------------------------------
Beverages-Non-Alcoholic -- 0.1%
Coca-Cola Enterprises 5,300 114
-----------
Total Beverages-Non-Alcoholic 114
- --------------------------------------------------------------------------------
Beverages-Wine/Spirits -- 0.0%
Brown-Forman, Cl B 654 48
-----------
Total Beverages-Wine/Spirits 48
- --------------------------------------------------------------------------------
Brewery -- 0.2%
Cia Cervecerias Unidas ADR 2,900 66
Grupo Modelo ADR, Cl C 900 40
Molson Coors Brewing, Cl B 1,400 100
-----------
Total Brewery 206
- --------------------------------------------------------------------------------
Broadcast Services/Programming -- 0.2%
Grupo Televisa ADR 7,000 129
Nexstar Broadcasting Group, Cl A* 18,945 78
-----------
Total Broadcast Services/Programming 207
- --------------------------------------------------------------------------------
Building & Construction-Miscellaneous -- 0.0%
Insituform Technologies, Cl A* 1,355 29
-----------
Total Building & Construction-Miscellaneous 29
- --------------------------------------------------------------------------------
Building Products-Cement/Aggregate -- 0.2%
Eagle Materials 70 3
Martin Marietta Materials 2,390 192
Texas Industries 1,100 54
-----------
Total Building Products-Cement/Aggregate 249
- --------------------------------------------------------------------------------
Building Products-Light Fixtures -- 0.1%
Genlyte Group* 1,700 118
-----------
Total Building Products-Light Fixtures 118
- --------------------------------------------------------------------------------
Building-Heavy Construction -- 0.1%
Chicago Bridge & Iron 3,150 77
Granite Construction 1,450 63
Washington Group International 450 24
-----------
Total Building-Heavy Construction 164
- --------------------------------------------------------------------------------
Building-Mobile Home/Manufactured Housing -- 0.0%
Williams Scotsman International* 1,480 32
-----------
Total Building-Mobile Home/
Manufactured Housing 32
- --------------------------------------------------------------------------------
Cable TV -- 0.2%
Mediacom Communications, Cl A* 28,610 180
-----------
Total Cable TV 180
- --------------------------------------------------------------------------------
25
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Casino Hotels -- 0.1%
Harrah's Entertainment 1,700 $ 102
-----------
Total Casino Hotels 102
- --------------------------------------------------------------------------------
Casino Services -- 0.3%
International Game Technology 2,270 88
Scientific Games, Cl A* 6,165 209
-----------
Total Casino Services 297
- --------------------------------------------------------------------------------
Cellular Telecommunications -- 0.4%
NII Holdings* 7,340 387
Turkcell Iletism ADR 9,014 103
-----------
Total Cellular Telecommunications 490
- --------------------------------------------------------------------------------
Chemicals-Diversified -- 0.2%
E.I. du Pont de Nemours 2,400 95
Lyondell Chemical 2,731 61
Nova Chemicals 2,850 84
Olin 1,765 29
-----------
Total Chemicals-Diversified 269
- --------------------------------------------------------------------------------
Chemicals-Specialty -- 0.3%
Ashland 4,222 281
Chemtura 1,660 14
Hercules* 2,110 29
-----------
Total Chemicals-Specialty 324
- --------------------------------------------------------------------------------
Circuit Boards -- 0.1%
Multi-Fineline Electronix* 330 8
Park Electrochemical 2,460 61
-----------
Total Circuit Boards 69
- --------------------------------------------------------------------------------
Coal -- 0.2%
Consol Energy 2,900 119
Peabody Energy 1,620 81
-----------
Total Coal 200
- --------------------------------------------------------------------------------
Commercial Banks Non-US -- 0.1%
ICICI Bank ADR 3,300 86
-----------
Total Commercial Banks Non-US 86
- --------------------------------------------------------------------------------
Commercial Banks-Central US -- 0.0%
Wintrust Financial 1,050 50
-----------
Total Commercial Banks-Central US 50
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- 0.0%
North Fork Bancorporation 124 4
-----------
Total Commercial Banks-Eastern US 4
- --------------------------------------------------------------------------------
Commercial Banks-Southern US -- 0.1%
Colonial BancGroup 6,400 163
-----------
Total Commercial Banks-Southern US 163
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Commercial Banks-Western US -- 0.2%
CVB Financial 3,062 $ 46
Hanmi Financial 2,550 48
SVB Financial Group* 1,100 49
UCBH Holdings 3,100 52
-----------
Total Commercial Banks-Western US 195
- --------------------------------------------------------------------------------
Commercial Services -- 0.0%
ChoicePoint* 720 25
-----------
Total Commercial Services 25
- --------------------------------------------------------------------------------
Commercial Services-Finance -- 0.2%
H&R Block 1,785 41
Paychex 2,530 86
Wright Express* 2,065 62
-----------
Total Commercial Services-Finance 189
- --------------------------------------------------------------------------------
Computer Aided Design -- 0.0%
Ansys* 1,100 50
-----------
Total Computer Aided Design 50
- --------------------------------------------------------------------------------
Computer Services -- 0.5%
Ceridian* 3,800 91
Cognizant Technology Solutions, Cl A* 4,650 305
Manhattan Associates* 825 17
Perot Systems, Cl A* 7,800 104
-----------
Total Computer Services 517
- --------------------------------------------------------------------------------
Computers -- 0.9%
Apple Computer* 5,460 371
Hewlett-Packard 10,691 341
International Business Machines 3,382 262
-----------
Total Computers 974
- --------------------------------------------------------------------------------
Computers-Integrated Systems -- 0.2%
MTS Systems 1,750 64
NCR* 3,289 106
-----------
Total Computers-Integrated Systems 170
- --------------------------------------------------------------------------------
Computers-Memory Devices -- 0.2%
Imation 1,700 69
Network Appliance* 2,170 64
Seagate Technology 4,600 107
-----------
Total Computers-Memory Devices 240
- --------------------------------------------------------------------------------
Computers-Voice Recognition -- 0.0%
Talx 2,050 42
-----------
Total Computers-Voice Recognition 42
- --------------------------------------------------------------------------------
Consumer Products-Miscellaneous -- 0.0%
Kimberly-Clark 30 2
Yankee Candle 1,900 46
-----------
Total Consumer Products-Miscellaneous 48
- --------------------------------------------------------------------------------
26
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Containers-Paper/Plastic-- 0.1%
Pactiv* 1,472 $ 36
Sealed Air 2,350 111
-----------
Total Containers-Paper/Plastic 147
- --------------------------------------------------------------------------------
Cruise Lines-- 0.1%
Carnival 2,715 106
-----------
Total Cruise Lines 106
- --------------------------------------------------------------------------------
Data Processing/Management-- 0.1%
CSG Systems International* 1,900 49
Dun & Bradstreet* 275 18
MasterCard, Cl A* 320 15
MoneyGram International 810 25
NAVTEQ* 500 14
SEI Investments 215 11
-----------
Total Data Processing/Management 132
- --------------------------------------------------------------------------------
Decision Support Software-- 0.1%
Cognos* 1,190 37
SPSS* 1,200 33
-----------
Total Decision Support Software 70
- --------------------------------------------------------------------------------
Diagnostic Equipment-- 0.1%
Cytyc* 2,080 51
Gen-Probe* 1,640 85
-----------
Total Diagnostic Equipment 136
- --------------------------------------------------------------------------------
Dialysis Centers-- 0.0%
DaVita* 310 16
-----------
Total Dialysis Centers 16
- --------------------------------------------------------------------------------
Direct Marketing-- 0.0%
Catalina Marketing 240 7
-----------
Total Direct Marketing 7
- --------------------------------------------------------------------------------
Disposable Medical Products-- 0.1%
C.R. Bard 930 66
-----------
Total Disposable Medical Products 66
- --------------------------------------------------------------------------------
Distribution/Wholesale-- 0.1%
Esprit Holdings 5,000 38
Fastenal 1,460 52
-----------
Total Distribution/Wholesale 90
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations-- 0.5%
3M 1,200 84
A.O. Smith 1,600 69
Dover 390 18
ESCO Technologies* 900 47
Honeywell International 2,069 80
Illinois Tool Works 3,976 182
Parker Hannifin 962 70
Trinity Industries 135 5
-----------
Total Diversified Manufacturing Operations 555
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Diversified Minerals -- 0.1%
Cia Vale do Rio Doce ADR 2,400 $ 56
-----------
Total Diversified Minerals 56
- --------------------------------------------------------------------------------
Diversified Operations -- 0.1%
China Resources Enterprise 24,000 53
-----------
Total Diversified Operations 53
- --------------------------------------------------------------------------------
Drug Delivery Systems -- 0.0%
Conor Medsystems* 1,170 32
-----------
Total Drug Delivery Systems 32
- --------------------------------------------------------------------------------
E-Commerce/Products -- 0.0%
Amazon.com* 61 1
Submarino GDR 144A 900 34
-----------
Total E-Commerce/Products 35
- --------------------------------------------------------------------------------
E-Services/Consulting -- 0.1%
Digital Insight* 200 5
Keynote Systems* 7,210 76
-----------
Total E-Services/Consulting 81
- --------------------------------------------------------------------------------
Electric Products-Miscellaneous -- 0.2%
Emerson Electric 1,682 133
Lamson & Sessions* 2,300 64
-----------
Total Electric Products-Miscellaneous 197
- --------------------------------------------------------------------------------
Electric-Generation -- 0.2%
AES* 9,924 197
-----------
Total Electric-Generation 197
- --------------------------------------------------------------------------------
Electric-Integrated -- 0.9%
Dominion Resources 1,500 118
Duke Energy 6,564 199
Edison International 152 6
El Paso Electric* 4,500 99
Entergy 2,833 218
OGE Energy 5,800 219
PPL 3,700 126
Public Service Enterprise Group 84 6
-----------
Total Electric-Integrated 991
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 0.2%
Flextronics International* 2,915 33
Hon Hai Precision GDR 2,400 28
Hon Hai Precision GDR 144A 9,013 107
International DisplayWorks* 12,270 58
NAM TAI Electronics 2,550 44
-----------
Total Electronic Components-Miscellaneous 270
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 0.6%
Advanced Micro Devices* 2,300 44
Freescale Semiconductor, Cl B* 2,445 70
MEMC Electronic Materials* 2,300 70
- --------------------------------------------------------------------------------
27
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- continued
MIPS Technologies* 6,330 $ 40
Nvidia* 3,280 72
QLogic* 440 8
Samsung Electronics GDR 144A 620 198
Semtech* 510 6
Silicon Laboratories* 1,750 65
Skyworks Solutions* 10,910 48
-----------
Total Electronic Components-Semiconductors 621
- --------------------------------------------------------------------------------
Electronic Design Automation -- 0.1%
Synplicity* 12,310 70
-----------
Total Electronic Design Automation 70
- --------------------------------------------------------------------------------
Electronic Forms -- 0.3%
Adobe Systems* 10,810 308
-----------
Total Electronic Forms 308
- --------------------------------------------------------------------------------
Electronic Parts Distribution -- 0.0%
Avnet* 910 17
-----------
Total Electronic Parts Distribution 17
- --------------------------------------------------------------------------------
Electronic Security Devices -- 0.1%
American Science & Engineering* 1,100 56
-----------
Total Electronic Security Devices 56
- --------------------------------------------------------------------------------
Energy-Alternate Sources -- 0.0%
Headwaters* 1,250 29
-----------
Total Energy 29
- --------------------------------------------------------------------------------
Engineering/R&D Services -- 0.1%
Fluor 933 82
-----------
Total Engineering/R&D Services 82
- --------------------------------------------------------------------------------
Enterprise Software/Services -- 0.2%
BMC Software* 3,400 80
Lawson Software* 13,800 92
Sybase* 4,600 97
-----------
Total Enterprise Software/Services 269
- --------------------------------------------------------------------------------
Entertainment Software -- 0.1%
Activision* 5,790 69
Electronic Arts* 370 18
THQ* 2,600 59
-----------
Total Entertainment Software 146
- --------------------------------------------------------------------------------
Fiduciary Banks -- 0.1%
Northern Trust 2,700 154
-----------
Total Fiduciary Banks 154
- --------------------------------------------------------------------------------
Filtration/Separation Products -- 0.1%
Clarcor 1,900 54
-----------
Total Filtration/Separation Products 54
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Finance-Commercial -- 0.1%
CIT Group 3,261 $ 150
-----------
Total Finance-Commercial 150
- --------------------------------------------------------------------------------
Finance-Consumer Loans -- 0.8%
Asta Funding 1,750 58
Encore Capital Group* 2,650 33
First Marblehead 2,910 133
Portfolio Recovery Associates* 1,500 64
SLM 9,902 498
World Acceptance* 1,750 73
-----------
Total Finance-Consumer Loans 859
- --------------------------------------------------------------------------------
Finance-Credit Card -- 0.3%
American Express 4,223 220
Capital One Financial 2,048 158
-----------
Total Finance-Credit Card 378
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 1.4%
Citigroup 6,575 318
Goldman Sachs Group 2,021 309
Greenhill 190 11
JPMorgan Chase 13,645 622
Lehman Brothers Holdings 764 49
TD Ameritrade Holdings 13,545 222
-----------
Total Finance-Investment Banker/Broker 1,531
- --------------------------------------------------------------------------------
Finance-Other Services -- 0.1%
Asset Acceptance Capital* 4,270 78
CBOT Holdings, Cl A* 510 64
-----------
Total Finance-Other Services 142
- --------------------------------------------------------------------------------
Financial Guarantee Insurance -- 0.2%
AMBAC Financial Group 1,600 133
MGIC Investment 1,939 110
-----------
Total Financial Guarantee Insurance 243
- --------------------------------------------------------------------------------
Food-Dairy Products -- 0.2%
Dean Foods* 4,726 177
-----------
Total Food-Dairy Products 177
- --------------------------------------------------------------------------------
Food-Miscellaneous/Diversified -- 0.1%
ConAgra Foods 4,065 87
-----------
Total Food-Miscellaneous/Diversified 87
- --------------------------------------------------------------------------------
Food-Retail -- 0.3%
Kroger 10,161 233
Whole Foods Market 2,700 155
-----------
Total Food-Retail 388
- --------------------------------------------------------------------------------
Forestry -- 0.1%
Plum Creek Timber 4,600 157
-----------
Total Forestry 157
- --------------------------------------------------------------------------------
28
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Gambling (Non-Hotel) -- 0.1%
Isle of Capri Casinos* 2,630 $ 62
-----------
Total Gambling (Non-Hotel) 62
- --------------------------------------------------------------------------------
Gas-Distribution -- 0.2%
Energen 5,000 213
WGL Holdings 300 9
-----------
Total Gas-Distribution 222
- --------------------------------------------------------------------------------
Gold Mining -- 0.3%
Goldcorp 3,500 102
Randgold Resources ADR* 6,600 147
Royal Gold 2,700 80
-----------
Total Gold Mining 329
- --------------------------------------------------------------------------------
Golf -- 0.0%
Callaway Golf 995 13
-----------
Total Golf 13
- --------------------------------------------------------------------------------
Hazardous Waste Disposal -- 0.1%
Stericycle* 1,640 110
-----------
Total Hazardous Waste Disposal 110
- --------------------------------------------------------------------------------
Health Care Cost Containment -- 0.3%
McKesson 7,003 353
-----------
Total Health Care Cost Containment 353
- --------------------------------------------------------------------------------
Home Furnishings -- 0.1%
Tempur-Pedic International* 3,720 54
-----------
Total Home Furnishings 54
- --------------------------------------------------------------------------------
Hospital Beds/Equipment -- 0.0%
Kinetic Concepts* 860 38
-----------
Total Hospital Beds/Equipment 38
- --------------------------------------------------------------------------------
Hotels & Motels -- 0.3%
InterContinental Hotels ADR 830 14
Lodgian* 2,685 32
Marriott International, Cl A 8,870 312
Starwood Hotels & Resorts Worldwide 358 19
-----------
Total Hotels & Motels 377
- --------------------------------------------------------------------------------
Human Resources -- 0.3%
Hewitt Associates, Cl A* 4,300 96
Manpower 2,300 137
Monster Worldwide* 2,000 80
-----------
Total Human Resources 313
- --------------------------------------------------------------------------------
Identification Systems/Development -- 0.1%
Symbol Technologies 6,610 73
-----------
Total Identification Systems/Development 73
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Independent Power Producer -- 0.1%
Imax* 5,460 $ 59
Mirant* 510 13
Reliant Energy* 1,810 23
-----------
Total Independent Power Producer 95
- --------------------------------------------------------------------------------
Industrial Automation/Robot -- 0.0%
Cognex 270 6
-----------
Total Industrial Automation/Robot 6
- --------------------------------------------------------------------------------
Industrial Gases -- 0.4%
Air Products & Chemicals 325 21
Airgas 2,350 85
Praxair 5,225 287
-----------
Total Industrial Gases 393
- --------------------------------------------------------------------------------
Instruments-Scientific -- 0.1%
PerkinElmer 5,200 94
-----------
Total Instruments-Scientific 94
- --------------------------------------------------------------------------------
Insurance Brokers -- 0.4%
AON 4,653 159
Brown & Brown 5,800 182
Hilb Rogal & Hobbs 1,750 71
-----------
Total Insurance Brokers 412
- --------------------------------------------------------------------------------
Internet Connective Services -- 0.1%
NDS Group ADR* 2,900 137
-----------
Total Internet Connective Services 137
- --------------------------------------------------------------------------------
Internet Infrastructure Equipment -- 0.0%
Avocent* 635 16
-----------
Total Internet Infrastructure Equipment 16
- --------------------------------------------------------------------------------
Internet Infrastructure Software -- 0.1%
Radware* 4,600 55
-----------
Total Internet Infrastructure Software 55
- --------------------------------------------------------------------------------
Internet Security -- 0.0%
Ipass* 4,570 23
Symantec* 1,016 18
-----------
Total Internet Security 41
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- 0.2%
Affiliated Managers Group* 330 30
Legg Mason 2,100 176
W. P. Stewart & Co. 3,030 32
-----------
Total Investment Management/
Advisory Services 238
- --------------------------------------------------------------------------------
Life/Health Insurance -- 0.5%
China Life Insurance ADR 700 47
Cigna 1,400 128
KMG America* 6,060 50
- --------------------------------------------------------------------------------
29
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Life/Health Insurance -- continued
Prudential Financial 3,549 $ 279
UnumProvident 715 12
-----------
Total Life/Health Insurance 516
- --------------------------------------------------------------------------------
Machine Tools & Related Products -- 0.1%
Kennametal 2,300 122
-----------
Total Machine Tools & Related Products 122
- --------------------------------------------------------------------------------
Machinery-Construction & Mining -- 0.5%
Bucyrus International, Cl A 1,250 61
Caterpillar 5,889 417
JLG Industries 3,000 54
Terex* 1,800 81
-----------
Total Machinery-Construction & Mining 613
- --------------------------------------------------------------------------------
Machinery-Farm -- 0.0%
AGCO* 2,250 52
-----------
Total Machinery-Farm 52
- --------------------------------------------------------------------------------
Machinery-Print Trade -- 0.0%
Zebra Technologies, Cl A* 690 22
-----------
Total Machinery-Print Trade 22
- --------------------------------------------------------------------------------
Medical Information Systems -- 0.0%
Eclipsys* 400 8
IMS Health 1,315 36
-----------
Total Medical Information Systems 44
- --------------------------------------------------------------------------------
Medical Instruments -- 0.4%
Boston Scientific* 382 7
Cambridge Heart* 34,890 83
Natus Medical* 5,000 61
St. Jude Medical* 9,135 337
-----------
Total Medical Instruments 488
- --------------------------------------------------------------------------------
Medical Labs & Testing Services -- 0.2%
Covance* 1,800 115
Laboratory Corp of America Holdings* 2,300 148
-----------
Total Medical Labs & Testing Services 263
- --------------------------------------------------------------------------------
Medical Products -- 0.5%
Baxter International 4,392 185
Becton Dickinson 145 10
Henry Schein* 1,330 63
Johnson & Johnson 1,852 116
Mentor 210 9
Zimmer Holdings* 2,900 183
-----------
Total Medical Products 566
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- 0.9%
Amgen* 4,525 315
Barrier Therapeutics* 13,740 92
Biogen Idec* 1,330 56
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- continued
Cambrex 2,380 $ 51
Celgene* 1,730 83
Enzon Pharmaceuticals* 3,840 31
Genzyme* 4,890 334
Invitrogen* 360 22
PDL BioPharma* 3,390 61
-----------
Total Medical-Biomedical/Genetic 1,045
- --------------------------------------------------------------------------------
Medical-Drugs -- 0.9%
Allergan 1,275 137
Angiotech Pharmaceuticals* 7,670 92
Aspreva Pharmaceuticals* 1,490 36
Bristol-Myers Squibb 6,039 145
Forest Laboratories* 2,550 118
Pfizer 9,531 248
Schering-Plough 6,912 141
Wyeth 1,898 92
-----------
Total Medical-Drugs 1,009
- --------------------------------------------------------------------------------
Medical-Generic Drugs -- 0.3%
Barr Pharmaceuticals* 220 11
Perrigo 5,060 80
Teva Pharmaceutical ADR 5,600 185
Zentiva GDR 800 42
-----------
Total Medical-Generic Drugs 318
- --------------------------------------------------------------------------------
Medical-HMO -- 0.9%
Sierra Health Services* 1,400 61
UnitedHealth Group 12,991 621
WellPoint* 3,626 270
-----------
Total Medical-HMO 952
- --------------------------------------------------------------------------------
Medical-Outpatient/Home Medical -- 0.1%
Amedisys* 1,600 61
AmSurg* 470 10
Lincare Holdings* 880 31
-----------
Total Medical-Outpatient/Home Medical 102
- --------------------------------------------------------------------------------
Medical-Wholesale Drug Distributors -- 0.6%
AmerisourceBergen 6,483 279
Cardinal Health 6,673 447
-----------
Total Medical-Wholesale Drug Distributors 726
- --------------------------------------------------------------------------------
Metal Processors & Fabricators -- 0.2%
Commercial Metals 5,200 118
Precision Castparts 1,750 104
-----------
Total Metal Processors & Fabricators 222
- --------------------------------------------------------------------------------
Metal-Aluminum -- 0.0%
Century Aluminum* 1,400 43
-----------
Total Metal-Aluminum 43
- --------------------------------------------------------------------------------
30
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Metal-Copper -- 0.1%
Phelps Dodge 1,620 $ 141
-----------
Total Metal-Copper 141
- --------------------------------------------------------------------------------
Metal-Diversified -- 0.2%
Freeport-McMoRan Copper & Gold, Cl B 3,863 211
-----------
Total Metal-Diversified 211
- --------------------------------------------------------------------------------
Motion Pictures & Services -- 0.0%
DreamWorks Animation SKG, Cl A* 350 7
-----------
Total Motion Pictures & Services 7
- --------------------------------------------------------------------------------
Multi-Line Insurance -- 1.0%
Allstate 3,761 214
American International Group 4,880 296
Cincinnati Financial 3,400 160
Hartford Financial Services Group 1,755 149
Metlife 2,446 127
XL Capital, Cl A 2,646 169
-----------
Total Multi-Line Insurance 1,115
- --------------------------------------------------------------------------------
Multimedia -- 0.2%
Entravision Communications, Cl A* 6,160 48
Gemstar-TV Guide International* 22,850 66
News, Cl A 7,358 141
Walt Disney 223 7
-----------
Total Multimedia 262
- --------------------------------------------------------------------------------
Networking Products -- 0.2%
Foundry Networks* 4,230 44
Netgear* 6,760 131
-----------
Total Networking Products 175
- --------------------------------------------------------------------------------
Non-Ferrous Metals -- 0.2%
Cameco 4,905 195
USEC 740 8
-----------
Total Non-Ferrous Metals 203
- --------------------------------------------------------------------------------
Non-Hazardous Waste Disposal -- 0.1%
Allied Waste Industries* 1,460 15
WCA Waste* 10,830 76
-----------
Total Non-Hazardous Waste Disposal 91
- --------------------------------------------------------------------------------
Office Automation & Equipment -- 0.0%
Pitney Bowes 640 26
-----------
Total Office Automation & Equipment 26
- --------------------------------------------------------------------------------
Office Supplies & Forms -- 0.2%
Avery Dennison 2,000 117
John H. Harland 1,500 59
-----------
Total Office Supplies & Forms 176
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 0.7%
Diamond Offshore Drilling 960 $ 76
Nabors Industries* 4,600 162
Pride International* 5,240 156
Rowan 530 18
Todco 200 8
Transocean* 4,000 309
-----------
Total Oil & Gas Drilling 729
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 0.7%
Anadarko Petroleum 1,100 50
Berry Petroleum 1,900 64
Denbury Resources* 1,300 45
GMX Resources* 1,300 44
Kerr-McGee 49 3
Newfield Exploration* 2,300 107
Penn Virginia 1,250 85
Pogo Producing 195 9
Southwestern Energy* 2,090 72
Stone Energy* 1,375 64
Ultra Petroleum* 1,100 64
Unit* 1,100 65
XTO Energy 3,355 158
-----------
Total Oil Companies-Exploration & Production 830
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 2.2%
BP ADR 2,296 167
Chevron 5,159 339
ConocoPhillips 4,049 278
Exxon Mobil 11,370 770
Hess 2,100 111
LUKOIL ADR 800 69
Marathon Oil 1,147 104
Occidental Petroleum 2,866 309
PetroChina ADR 300 34
Petroleo Brasileiro ADR 2,200 202
Surgutneftegaz ADR 1,000 74
-----------
Total Oil Companies-Integrated 2,457
- --------------------------------------------------------------------------------
Oil Field Machinery & Equipment -- 0.2%
Grant Prideco* 1,930 88
Gulf Island Fabrication 1,300 32
National Oilwell Varco* 1,535 103
-----------
Total Oil Field Machinery & Equipment 223
- --------------------------------------------------------------------------------
Oil Refining & Marketing -- 0.1%
Frontier Oil 2,300 81
Giant Industries* 1,100 79
-----------
Total Oil Refining & Marketing 160
- --------------------------------------------------------------------------------
Oil-Field Services -- 0.5%
Core Laboratories* 395 29
Halliburton 9,350 312
Hanover Compressor* 740 14
- --------------------------------------------------------------------------------
31
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Oil-Field Services -- continued
Helix Energy Solutions* 3,420 $ 133
Tidewater 260 13
Universal Compression Holdings* 1,000 64
W-H Energy Services* 825 45
-----------
Total Oil-Field Services 610
- --------------------------------------------------------------------------------
Oil-US Royalty Trusts -- 0.0%
Hugoton Royalty Trust 188 6
-----------
Total Oil-US Royalty Trusts 6
- --------------------------------------------------------------------------------
Optical Supplies -- 0.3%
Alcon 2,815 311
-----------
Total Optical Supplies 311
- --------------------------------------------------------------------------------
Paper & Related Products -- 0.4%
Abitibi-Consolidated 41,050 104
Bowater 3,540 72
Caraustar Industries* 13,360 94
Domtar 2,690 17
Klabin ADR 1,400 31
MeadWestvaco 550 14
Neenah Paper 2,400 71
Smurfit-Stone Container* 2,940 30
-----------
Total Paper & Related Products 433
- --------------------------------------------------------------------------------
Pharmacy Services -- 0.3%
Express Scripts* 2,965 228
Medco Health Solutions* 1,314 78
-----------
Total Pharmacy Services 306
- --------------------------------------------------------------------------------
Physical Practice Management -- 0.1%
Pediatrix Medical Group* 2,300 98
-----------
Total Physical Practice Management 98
- --------------------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers -- 0.1%
Psychiatric Solutions* 620 20
RehabCare Group* 2,800 52
-----------
Total Physical Therapy/Rehabilitation Centers 72
- --------------------------------------------------------------------------------
Pipelines -- 0.3%
El Paso 1,680 27
National Fuel Gas 4,050 150
Questar 1,750 155
-----------
Total Pipelines 332
- --------------------------------------------------------------------------------
Power Conversion/Supply Equipment -- 0.2%
American Power Conversion 5,953 100
Delta Electronics GDR 5,040 68
-----------
Total Power Conversion/Supply Equipment 168
- --------------------------------------------------------------------------------
Printing-Commercial -- 0.0%
RR Donnelley & Sons 690 20
-----------
Total Printing-Commercial 20
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Property/Casualty Insurance -- 0.7%
Arch Capital Group* 2,800 $ 171
FPIC Insurance Group* 1,350 52
Philadelphia Consolidated Holding* 2,750 93
PMA Capital, Cl A* 4,850 48
Safeco 2,850 153
Selective Insurance Group 1,600 82
WR Berkley 5,200 187
-----------
Total Property/Casualty Insurance 786
- --------------------------------------------------------------------------------
Publishing-Books -- 0.1%
Scholastic* 5,415 156
-----------
Total Publishing-Books 156
- --------------------------------------------------------------------------------
Publishing-Newspapers -- 0.1%
Gannett 1,709 89
-----------
Total Publishing-Newspapers 89
- --------------------------------------------------------------------------------
Publishing-Periodicals -- 0.0%
Playboy Enterprises, Cl B* 4,600 45
-----------
Total Publishing-Periodicals 45
- --------------------------------------------------------------------------------
Quarrying -- 0.3%
Vulcan Materials 4,509 302
-----------
Total Quarrying 302
- --------------------------------------------------------------------------------
Radio -- 0.1%
Radio One, Cl D* 14,015 100
Spanish Broadcasting System* 10,785 50
-----------
Total Radio 150
- --------------------------------------------------------------------------------
Real Estate Management/Services -- 0.2%
CB Richard Ellis Group, Cl A* 7,280 171
Jones Lang LaSalle 1,250 102
-----------
Total Real Estate Management/Services 273
- --------------------------------------------------------------------------------
Real Estate Operation/Development -- 0.0%
Brookfield Properties 1,083 36
-----------
Total Real Estate Operation/Development 36
- --------------------------------------------------------------------------------
Reinsurance -- 0.6%
Allied World Assurance Holdings* 420 15
Aspen Insurance Holdings 5,785 136
Axis Capital Holdings 900 27
Endurance Specialty Holdings 2,870 87
Everest Re Group 180 17
Montpelier Re Holdings 6,130 111
Odyssey Re Holdings 625 17
PartnerRe 2,350 146
Platinum Underwriters Holdings 2,140 60
-----------
Total Reinsurance 616
- --------------------------------------------------------------------------------
32
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
REITs-Apartments -- 0.2%
Archstone-Smith Trust 931 $ 49
AvalonBay Communities 297 35
Camden Property Trust 292 22
Equity Residential 947 44
GMH Communities Trust 1,101 14
Post Properties 700 34
United Dominion Realty Trust 869 24
-----------
Total REITs-Apartments 222
- --------------------------------------------------------------------------------
REITs-Diversified -- 0.1%
Digital Realty Trust 570 16
PS Business Parks 1,128 68
Spirit Finance 636 7
Vornado Realty Trust 474 49
-----------
Total REITs-Diversified 140
- --------------------------------------------------------------------------------
REITs-Health Care -- 0.0%
Omega Healthcare Investors 3,700 49
-----------
Total REITs-Health Care 49
- --------------------------------------------------------------------------------
REITs-Hotels -- 0.2%
Ashford Hospitality Trust 6,070 71
DiamondRock Hospitality 1,485 24
Hersha Hospitality Trust 371 4
Highland Hospitality 303 4
Host Hotels & Resorts 2,297 49
LaSalle Hotel Properties 2,349 97
Sunstone Hotel Investors 436 12
-----------
Total REITs-Hotels 261
- --------------------------------------------------------------------------------
REITs-Manufactured Homes -- 0.0%
Equity Lifestyle Properties 200 9
-----------
Total REITs-Manufactured Homes 9
- --------------------------------------------------------------------------------
REITs-Mortgage -- 0.0%
HomeBanc 4,130 34
-----------
Total REITs-Mortgage 34
- --------------------------------------------------------------------------------
REITs-Office Property -- 0.6%
Alexandria Real Estate Equities 236 22
American Financial Realty Trust 9,980 116
BioMed Realty Trust 841 25
Boston Properties 2,763 271
Columbia Equity Trust 543 8
Corporate Office Properties Trust 1,677 76
Mack-Cali Realty 473 23
Parkway Properties 1,350 61
SL Green Realty 121 14
-----------
Total REITs-Office Property 616
- --------------------------------------------------------------------------------
REITs-Regional Malls -- 0.2%
CBL & Associates Properties 2,900 114
General Growth Properties 656 30
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
REITs-Regional Malls -- continued
Simon Property Group 951 $ 81
Taubman Centers 332 14
-----------
Total REITs-Regional Malls 239
- --------------------------------------------------------------------------------
REITs-Shopping Centers -- 0.1%
Acadia Realty Trust 571 14
Kimco Realty 849 33
Regency Centers 366 24
Tanger Factory Outlet Centers 345 11
-----------
Total REITs-Shopping Centers 82
- --------------------------------------------------------------------------------
REITs-Storage -- 0.1%
Public Storage 455 36
U-Store-It Trust 817 16
-----------
Total REITs-Storage 52
- --------------------------------------------------------------------------------
REITs-Warehouse/Industrial -- 0.1%
EastGroup Properties 258 12
Prologis 774 43
-----------
Total REITs-Warehouse/Industrial 55
- --------------------------------------------------------------------------------
Rental Auto/Equipment -- 0.1%
Aaron Rents 3,550 86
Dollar Thrifty Automotive Group* 1,650 74
-----------
Total Rental Auto/Equipment 160
- --------------------------------------------------------------------------------
Research & Development -- 0.1%
Kendle International* 2,400 70
-----------
Total Research & Development 70
- --------------------------------------------------------------------------------
Resorts/Theme Parks -- 0.0%
Intrawest 1,800 50
-----------
Total Resorts/Theme Parks 50
- --------------------------------------------------------------------------------
Respiratory Products -- 0.1%
Resmed* 1,870 87
Respironics* 1,700 60
-----------
Total Respiratory Products 147
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 0.4%
Charming Shoppes* 4,300 44
Chico's FAS* 2,650 60
Childrens Place Retail Stores* 1,800 101
Claire's Stores 3,500 88
Footstar* 9,920 44
JOS A Bank Clothiers* 2,161 54
Talbots 480 10
Urban Outfitters* 2,345 34
-----------
Total Retail-Apparel/Shoe 435
- --------------------------------------------------------------------------------
Retail-Building Products -- 0.5%
Home Depot 3,287 114
Lowe's 14,692 417
-----------
Total Retail-Building Products 531
- --------------------------------------------------------------------------------
33
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Computer Equipment -- 0.1%
GameStop, Cl A* 2,350 $ 98
-----------
Total Retail-Computer Equipment 98
- --------------------------------------------------------------------------------
Retail-Convenience Store -- 0.1%
Casey's General Stores 2,950 67
-----------
Total Retail-Convenience Store 67
- --------------------------------------------------------------------------------
Retail-Discount -- 0.2%
Costco Wholesale 446 23
Dollar General 4,239 57
Target 3,325 153
Wal-Mart Stores 109 5
-----------
Total Retail-Discount 238
- --------------------------------------------------------------------------------
Retail-Drug Store -- 0.4%
CVS 14,215 465
-----------
Total Retail-Drug Store 465
- --------------------------------------------------------------------------------
Retail-Hypermarkets -- 0.1%
Wal-Mart de Mexico ADR, Cl V 2,700 84
-----------
Total Retail-Hypermarkets 84
- --------------------------------------------------------------------------------
Retail-Major Department Store -- 0.1%
Saks 4,000 65
-----------
Total Retail-Major Department Store 65
- --------------------------------------------------------------------------------
Retail-Office Supplies -- 0.0%
OfficeMax 535 22
-----------
Total Retail-Office Supplies 22
- --------------------------------------------------------------------------------
Retail-Pawn Shops -- 0.1%
Cash America International 1,800 62
Ezcorp, Cl A* 1,450 60
-----------
Total Retail-Pawn Shops 122
- --------------------------------------------------------------------------------
Retail-Pet Food & Supplies -- 0.0%
PETCO Animal Supplies* 790 22
-----------
Total Retail-Pet Food & Supplies 22
- --------------------------------------------------------------------------------
Retail-Petroleum Products -- 0.1%
World Fuel Services 1,950 92
-----------
Total Retail-Petroleum Products 92
- --------------------------------------------------------------------------------
Retail-Propane Distribution -- 0.1%
Star Gas Partners* 25,930 65
-----------
Total Retail-Propane Distribution 65
- --------------------------------------------------------------------------------
Retail-Regional Department Store -- 0.2%
Kohl's* 4,645 263
-----------
Total Retail-Regional Department Store 263
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Restaurants -- 0.1%
Jack in the Box* 1,300 $ 51
Morton's Restaurant Group* 4,300 65
OSI Restaurant Partners 270 8
-----------
Total Retail-Restaurants 124
- --------------------------------------------------------------------------------
Retail-Video Rental -- 0.1%
Blockbuster, Cl A* 27,075 111
-----------
Total Retail-Video Rental 111
- --------------------------------------------------------------------------------
Retirement/Aged Care -- 0.0%
Sunrise Senior Living* 580 17
-----------
Total Retirement/Aged Care 17
- --------------------------------------------------------------------------------
S&L/Thrifts-Eastern US -- 0.0%
NewAlliance Bancshares 1,200 17
WSFS Financial 400 25
-----------
Total S&L/Thrifts-Eastern US 42
- --------------------------------------------------------------------------------
S&L/Thrifts-Western US -- 0.3%
Golden West Financial 101 7
Washington Federal 5,640 126
Washington Mutual 4,558 204
-----------
Total S&L/Thrifts-Western US 337
- --------------------------------------------------------------------------------
Satellite Telecom -- 0.1%
Loral Space & Communications* 2,430 67
-----------
Total Satellite Telecom 67
- --------------------------------------------------------------------------------
Schools -- 0.0%
ITT Educational Services* 450 30
-----------
Total Schools 30
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 0.3%
Cypress Semiconductor* 1,060 16
Integrated Device Technology* 4,340 67
Marvell Technology Group* 3,760 70
Standard Microsystems* 1,600 43
United Microelectronics ADR 28,617 87
-----------
Total Semiconductor Components-
Integrated Circuits 283
- --------------------------------------------------------------------------------
Semiconductor Equipment -- 0.1%
Brooks Automation* 3,200 36
Cabot Microelectronics* 2,390 71
Credence Systems* 11,430 33
-----------
Total Semiconductor Equipment 140
- --------------------------------------------------------------------------------
Software Tools -- 0.0%
Borland Software* 5,620 31
-----------
Total Software Tools 31
- --------------------------------------------------------------------------------
Steel-Producers -- 0.2%
Evraz Group GDR 2,600 62
Evraz Group GDR 144A 600 15
- --------------------------------------------------------------------------------
34
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Steel-Producers -- continued
Nucor 1,900 $ 101
Olympic Steel 900 32
Schnitzer Steel Industries, Cl A 1,800 61
-----------
Total Steel-Producers 271
- --------------------------------------------------------------------------------
Super-Regional Banks-US -- 0.6%
Bank of America 7,979 411
PNC Financial Services Group 1,455 103
Wells Fargo 2,354 171
-----------
Total Super-Regional Banks-US 685
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 0.2%
Arris Group* 580 6
CommScope* 1,900 59
Comtech Telecommunications* 2,300 64
Comverse Technology* 3,570 69
Plantronics 320 5
Tellabs* 360 4
-----------
Total Telecommunications Equipment 207
- --------------------------------------------------------------------------------
Telecommunications Equipment-Fiber Optics -- 0.2%
Corning* 10,225 195
-----------
Total Telecommunications
Equipment-Fiber Optics 195
- --------------------------------------------------------------------------------
Telecommunications Services -- 0.3%
Amdocs* 5,830 212
Embarq* 579 26
Iowa Telecommunications Services 2,625 51
Time Warner Telecom, Cl A* 5,380 90
-----------
Total Telecommunications Services 379
- --------------------------------------------------------------------------------
Telephone-Integrated -- 0.6%
BellSouth 1,240 48
IDT, Cl B* 4,170 56
Philippine Long Distance
Telephone ADR 1,400 55
Sprint Nextel 11,913 236
Verizon Communications 7,426 251
Windstream 6,150 77
-----------
Total Telephone-Integrated 723
- --------------------------------------------------------------------------------
Television -- 0.1%
Sinclair Broadcast Group, Cl A* 17,255 145
-----------
Total Television 145
- --------------------------------------------------------------------------------
Therapeutics -- 0.4%
CV Therapeutics* 1,180 15
Gilead Sciences* 6,835 420
Medicines* 1,390 29
-----------
Total Therapeutics 464
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Tobacco -- 0.7%
Altria Group 4,972 $ 398
Imperial Tobacco ADR 3,931 256
UST 3,654 185
-----------
Total Tobacco 839
- --------------------------------------------------------------------------------
Tools-Hand Held -- 0.1%
Stanley Works 3,330 151
-----------
Total Tools-Hand Held 151
- --------------------------------------------------------------------------------
Toys -- 0.1%
Mattel 6,484 117
-----------
Total Toys 117
- --------------------------------------------------------------------------------
Transactional Software -- 0.1%
Transaction Systems Architects* 1,500 56
-----------
Total Transactional Software 56
- --------------------------------------------------------------------------------
Transport-Equipment & Leasing -- 0.2%
GATX 4,580 179
Greenbrier 1,640 46
-----------
Total Transport-Equipment & Leasing 225
- --------------------------------------------------------------------------------
Transport-Marine -- 0.1%
Kirby* 1,900 61
Tsakos Energy Navigation 625 28
-----------
Total Transport-Marine 89
- --------------------------------------------------------------------------------
Transport-Rail -- 0.4%
Burlington Northern Santa Fe 2,248 155
Canadian Pacific Railway 2,500 120
CSX 1,900 115
-----------
Total Transport-Rail 390
- --------------------------------------------------------------------------------
Transport-Services -- 0.4%
Bristow Group* 2,000 68
FedEx 2,488 261
UTI Worldwide 2,890 67
-----------
Total Transport-Services 396
- --------------------------------------------------------------------------------
Transport-Truck -- 0.2%
Celadon Group* 3,762 66
JB Hunt Transport Services 4,900 101
-----------
Total Transport-Truck 167
- --------------------------------------------------------------------------------
Veterinary Diagnostics -- 0.2%
VCA Antech* 4,940 173
-----------
Total Veterinary Diagnostics 173
- --------------------------------------------------------------------------------
Vitamins & Nutrition Products -- 0.1%
Herbalife* 3,335 119
-----------
Total Vitamins & Nutrition Products 119
- --------------------------------------------------------------------------------
35
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Web Portals/ISP -- 0.6%
Google, Cl A* 1,587 $ 614
Netease.com ADR* 1,800 31
-----------
Total Web Portals/ISP 645
- --------------------------------------------------------------------------------
Wire & Cable Products -- 0.0%
General Cable* 785 28
-----------
Total Wire & Cable Products 28
- --------------------------------------------------------------------------------
Wireless Equipment -- 0.8%
American Tower, Cl A* 11,635 394
Nokia ADR 12,933 257
Qualcomm 7,660 270
-----------
Total Wireless Equipment 921
-----------
Total Common Stock (Cost $50,376) 52,792
- --------------------------------------------------------------------------------
Foreign Common Stock -- 12.3%
Australia -- 0.9%
Aristocrat Leisure 5,093 47
BHP Billiton 9,318 197
Commonwealth Bank of Australia 4,015 138
Leighton Holdings 3,028 45
MacArthur Coal 900 3
Oxiana 48,475 113
QBE Insurance Group 3,656 62
Rio Tinto 2,351 134
Santos 35,488 313
Zinifex 2,567 21
-----------
Total Australia 1,073
- --------------------------------------------------------------------------------
Austria -- 0.1%
Andritz 200 35
Telekom Austria 500 11
Wiener Staedtische Versicherung 972 57
-----------
Total Austria 103
- --------------------------------------------------------------------------------
Belgium -- 0.4%
Belgacom 200 7
Dexia 8,102 199
Fortis 5,574 198
-----------
Total Belgium 404
- --------------------------------------------------------------------------------
Bermuda -- 0.0%
Catlin Group 1,606 13
-----------
Total Bermuda 13
- --------------------------------------------------------------------------------
Canada -- 0.2%
EnCana 1,000 54
Gerdau Ameristeel 500 5
IPSCO 669 63
Teck Cominco, Cl B 600 40
TELUS 1,300 55
-----------
Total Canada 217
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Denmark -- 0.1%
DSV 37 $ 6
Jyske Bank* 1,900 106
Sydbank 1,150 39
-----------
Total Denmark 151
- --------------------------------------------------------------------------------
Finland -- 0.2%
Metso 6,300 227
Rautaruukki 800 23
-----------
Total Finland 250
- --------------------------------------------------------------------------------
France -- 1.0%
Air France-KLM 5,635 139
BNP Paribas 2,465 240
Bouygues 6,487 324
CNP Assurances 845 81
France Telecom 600 13
Lafarge 70 8
Societe Generale 215 32
Total 924 63
Vivendi 5,750 195
-----------
Total France 1,095
- --------------------------------------------------------------------------------
Germany -- 0.9%
Allianz 459 72
Balda 129 1
BASF 211 17
Commerzbank 1,442 50
Continental 741 76
Deutsche Lufthansa 2,286 43
E.ON 155 19
Heidelberger Druckmaschinen 1,634 67
MAN 2,738 198
Puma 533 193
Salzgitter 2,422 191
Techem 139 6
ThyssenKrupp 3,800 133
-----------
Total Germany 1,066
- --------------------------------------------------------------------------------
Hong Kong -- 0.3%
ASM Pacific Technology 1,948 10
CNOOC 140,000 120
Hong Kong Exchanges and Clearing 10,000 65
Lee & Man Paper Manufacturing 18,000 27
Orient Overseas International 2,200 9
Shanghai Real Estate 130,000 27
Television Broadcasts 6,000 37
VTech Holdings 3,326 19
Wumart Stores, Cl H 9,000 27
Zijin Mining Group, Cl H 58,000 31
-----------
Total Hong Kong 372
- --------------------------------------------------------------------------------
36
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Hungary -- 0.0%
OTP Bank 1,300 $ 39
-----------
Total Hungary 39
- --------------------------------------------------------------------------------
Indonesia -- 0.1%
Bakrie and Brothers* 1,392,000 26
Bank Niaga 576,000 41
Perusahaan Gas Negara 31,000 40
Ramayana Lestari Sentosa 431,000 37
-----------
Total Indonesia 144
- --------------------------------------------------------------------------------
Italy -- 0.6%
Banca Intesa 5,400 32
ENI 12,655 388
Fondiaria-Sai 3,694 149
Milano Assicurazioni 8,780 60
-----------
Total Italy 629
- --------------------------------------------------------------------------------
Japan -- 2.2%
ABILIT 900 5
Advantest 600 58
All Nippon Airways 13,000 50
Bosch 1,034 5
Canon 2,700 129
Central Japan Railway 34 376
Century Leasing System 900 13
Chiba Bank 14,000 137
Fuji Heavy Industries 17,000 105
Fujitsu Frontech 300 2
Haseko* 1,500 5
Kawasaki Kisen Kaisha 700 4
Mitsui OSK Lines 500 3
Mitsui Trust Holdings 4,000 44
Mizuho Financial Group 32 269
Nissan Diesel Motor 12,000 50
ORIX 1,740 454
Pacific Metals 3,000 22
SBI Holdings 61 24
Sega Sammy Holdings 2,300 76
Sumisho Lease 700 37
Sumitomo Metal Mining 8,000 113
Suzuki Motor 7,600 186
Tokyo Electron 1,900 121
Toshiba TEC 2,000 9
Towa Real Estate Development* 6,000 27
Yamaha Motor 4,700 123
Yamato Kogyo 1,600 35
Yamazen 2,000 11
-----------
Total Japan 2,493
- --------------------------------------------------------------------------------
Malaysia -- 0.0%
Transmile Group 8,000 28
-----------
Total Malaysia 28
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Mexico -- 0.1%
GEO SA de CV, Ser B* 24,000 $ 95
-----------
Total Mexico 95
- --------------------------------------------------------------------------------
Netherlands -- 0.7%
ABN AMRO Holding 132 4
Aegon 4,041 69
Akzo Nobel 73 4
Boskalis Westminster 205 13
ING Groep 9,367 380
Koninklijke KPN 300 3
Royal Dutch Shell, Cl A 9,215 326
-----------
Total Netherlands 799
- --------------------------------------------------------------------------------
Norway -- 0.1%
Statoil 4,800 144
-----------
Total Norway 144
- --------------------------------------------------------------------------------
Philippines -- 0.1%
Universal Robina 155,000 57
-----------
Total Philippines 57
- --------------------------------------------------------------------------------
Singapore -- 0.1%
Singapore Telecommunications 49,000 80
United Test and Assembly Center* 8,000 4
-----------
Total Singapore 84
- --------------------------------------------------------------------------------
South Africa -- 0.1%
Network Healthcare Holdings 21,000 30
Standard Bank Group 3,200 35
-----------
Total South Africa 65
- --------------------------------------------------------------------------------
South Korea -- 0.4%
Amorepacific* 1 --
Daegu Bank 6,800 123
Hanmi Pharm 1,000 100
Korea Investment Holdings 1,510 57
Korean Reinsurance 5,652 65
NHN* 240 27
Shinsegae 140 69
-----------
Total South Korea 441
- --------------------------------------------------------------------------------
Spain -- 0.8%
ACS Actividades Cons y Serv 1,002 44
Banco Bilbao Vizcaya Argentaria 5,854 125
Banco Santander Central Hispano 28,414 430
Telefonica 16,273 275
-----------
Total Spain 874
- --------------------------------------------------------------------------------
Sweden -- 0.4%
JM 5,068 74
Nordea Bank 31,000 389
-----------
Total Sweden 463
- --------------------------------------------------------------------------------
37
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Switzerland -- 0.5%
Actelion* 799 $ 101
Xstrata 1,000 43
Zurich Financial Services 1,663 373
-----------
Total Switzerland 517
- --------------------------------------------------------------------------------
Thailand -- 0.1%
Amata 68,000 29
Bangkok Bank 34,000 95
Italian-Thai Development 290,000 40
-----------
Total Thailand 164
- --------------------------------------------------------------------------------
United Kingdom -- 1.9%
Antofagasta 44,225 345
Ashtead 6,039 16
AstraZeneca 4,935 301
Aviva 300 4
BHP Billiton 10,113 192
British Airways* 6,354 46
British Energy Group* 10,394 143
British Sky Broadcasting 2,900 30
BT Group 11,726 52
Corus Group 684 6
Hays 16,784 42
HBOS 6,800 124
HSBC Holdings 900 16
International Power 7,500 41
Kazakhmys 3,354 78
Lloyds TSB Group 10,500 106
Marks & Spencer Group 3,507 39
Michael Page International 5,146 32
Next 527 17
Royal Dutch Shell, Cl B 4,999 185
SABMiller 3,000 60
Sage Group 687 3
Scottish & Southern Energy 3,100 70
Scottish Power 396 4
Shire 400 6
Sportingbet 17,204 79
Standard Chartered 1,099 28
Tesco 1,784 12
Ultra Electronics Holdings 700 13
-----------
Total United Kingdom 2,090
-----------
Total Foreign Common Stock (Cost $12,198) 13,870
- --------------------------------------------------------------------------------
Foreign Preferred Stock -- 0.2%
Germany -- 0.2%
Porsche 253 248
-----------
Total Foreign Preferred Stock (Cost $196) 248
- --------------------------------------------------------------------------------
Investment Companies -- 0.1%
Index Fund-Small Cap -- 0.0%
iShares Russell 2000 Value Index Fund 700 50
-----------
Total Index Fund-Small Cap 50
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Index Fund-Midcap -- 0.1%
iShares Russell Midcap Value Index Fund 500 $ 66
-----------
Total Index Fund-Midcap 66
- --------------------------------------------------------------------------------
Total Investment Companies (Cost $115) 116
- --------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed
Obligations -- 10.1%
Federal Home Loan Mortgage Corporation
6.500%, 04/01/35 $ 14 14
6.000%, 08/01/29 32 32
5.875%, 03/21/11 40 41
5.500%, 09/01/17 79 79
5.500%, 09/01/19 73 73
5.500%, 08/01/20 337 334
5.500%, 02/01/21 244 241
5.500%, 02/01/21 14 14
5.500%, 10/01/34 94 92
5.500%, 01/01/35 42 41
5.500%, 02/01/35 242 235
5.500%, 03/01/35 83 81
5.500%, 06/01/35 467 454
5.000%, 02/01/19 28 27
5.000%, 07/01/19 76 74
5.000%, 05/01/20 412 400
5.000%, 07/01/20 229 222
5.000%, 10/01/20 317 308
4.400%, 07/28/08 170 167
Federal Home Loan Mortgage
Corporation-Gold TBA
6.000%, 08/01/36 810 805
Federal Home Loan Mortgage
Corporation-Gold
5.000%, 12/01/20 208 201
Federal National Mortgage Association
6.500%, 03/01/35 273 276
6.500%, 05/01/36 375 379
6.500%, 05/01/36 708 717
6.250%, 02/01/11 400 413
6.000%, 01/01/29 92 92
6.000%, 08/01/32 106 106
6.000%, 07/01/36 255 253
6.000%, 07/01/36 1,390 1,381
6.000%, 08/01/36 45 45
5.500%, 03/01/20 90 89
5.500%, 05/01/21 58 58
5.500%, 09/01/34 321 313
5.500%, 03/01/35 251 244
5.500%, 06/01/35 316 307
5.500%, 07/01/35 447 434
5.500%, 09/01/35 18 18
5.500%, 10/01/35 14 13
5.500%, 03/01/36 326 316
5.500%, 04/01/36 181 176
5.125%, 01/02/14 95 93
5.000%, 04/01/19 98 95
- --------------------------------------------------------------------------------
38
<page>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Federal National Mortgage Association -- continued
5.000%, 10/01/19 $ 120 $ 117
5.000%, 09/01/20 129 125
5.000%, 08/01/34 264 262
4.500%, 08/04/08 740 729
4.500%, 09/01/35 379 349
-----------
Total U.S. Government Agency Mortgage-
Backed Obligations (Cost $11,460) 11,335
- --------------------------------------------------------------------------------
Corporate Bonds -- 8.9%
Abbott Laboratories
5.600%, 05/15/11 45 45
Advanta Capital Trust, Ser B
8.990%, 12/17/26 75 76
Ahern Rentals
9.250%, 08/15/13 60 61
Allegheny Energy Supply 144A
8.250%, 04/15/12 50 53
America Movil
6.375%, 03/01/35 25 23
American General Finance,
Ser G MTN
5.375%, 09/01/09 90 90
Ameriprise Financial
5.350%, 11/15/10 65 64
Amerisourcebergen
5.875%, 09/15/15 100 95
Amgen
4.000%, 11/18/09 40 38
AOL Time Warner
7.700%, 05/01/32 60 65
6.875%, 05/01/12 130 134
Appalachian Power
5.550%, 04/01/11 110 109
AT&T Wireless
8.750%, 03/01/31 75 93
7.875%, 03/01/11 90 98
Bank One
5.900%, 11/15/11 70 71
5.250%, 01/30/13 145 142
BCPLU Crystal US Holdings
9.625%, 06/15/14 50 54
Beazer Homes USA, Callable:
04/15/07 @ 104.188,
04/15/08 @ 102.791
8.375%, 04/15/12 60 59
Canadian National Railway
5.800%, 06/01/16 125 126
Capital One Financial
4.800%, 02/21/12 85 81
Carnival
3.750%, 11/15/07 70 68
Cascades, Callable:
02/15/08 @ 103.625,
02/15/09 @ 102.417
7.250%, 02/15/13 70 65
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Caterpillar Financial Services
5.050%, 12/01/10 $ 75 $ 74
Chesapeake Energy
6.500%, 08/15/17 150 139
ChevronTexaco
3.500%, 09/17/07 140 137
Chubb
4.934%, 11/16/07 160 159
Cisco Systems
5.500%, 02/22/16 160 156
5.250%, 02/22/11 60 59
Clayton Williams Energy
7.750%, 08/01/13 60 56
Columbus Southern Power, Ser C
5.500%, 03/01/13 80 78
Comcast
7.625%, 02/15/08 30 31
6.500%, 01/15/15 130 132
5.300%, 01/15/14 50 48
Countrywide Home Loan MTN
4.125%, 09/15/09 100 96
DaimlerChrysler
4.750%, 01/15/08 45 44
Deutsche Telekom
8.000%, 06/15/10 90 97
Drummond 144A
7.375%, 02/15/16 125 117
E*Trade Financial
7.875%, 12/01/15 90 93
Echostar DBS 144A
7.125%, 02/01/16 125 123
ERP Operating
5.125%, 03/15/16 75 70
Ford Motor Credit
7.375%, 10/28/09 100 94
General Cable
9.500%, 11/15/10 100 106
General Electric Capital, Ser A MTN
6.875%, 11/15/10 115 121
4.375%, 03/03/12 90 85
General Motors Acceptance
7.000%, 02/01/12 65 63
Georgia Power, Ser J
4.875%, 07/15/07 25 25
Gregg Appliances
9.000%, 02/01/13 110 101
HCA
6.375%, 01/15/15 55 44
Healthsouth 144A
10.750%, 06/15/16 200 191
Hewlett-Packard
5.750%, 12/15/06 75 75
- --------------------------------------------------------------------------------
39
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Hines Nurseries, Callable:
10/01/11 @ 105.12
10.250%, 10/01/11 $ 60 $ 54
Home Depot
5.400%, 03/01/16 150 146
HSBC Finance
5.500%, 01/19/16 115 111
4.750%, 04/15/10 55 53
Hudbay Mining
9.625%, 01/15/12 50 55
Intelsat
10.484%, 01/15/12 100 101
Interline Brands
8.125%, 06/15/14 150 151
J.C. Penney
8.125%, 04/01/27 50 52
John Deere Capital
5.400%, 04/07/10 60 60
John Deere Capital, Ser D MTN
4.400%, 07/15/09 25 24
K. Hovnanian
8.875%, 04/01/12 120 115
K. Hovnanian Enterprises
6.250%, 01/15/16 50 43
Lockheed Martin
7.200%, 05/01/36 40 45
Merrill Lynch
5.450%, 07/15/14 145 142
Metlife
5.375%, 12/15/12 60 59
5.000%, 06/15/15 135 127
MGM Mirage
6.625%, 07/15/15 45 42
5.875%, 02/27/14 55 50
Midamerican Energy Holdings 144A
5.875%, 10/01/12 240 240
Morgan Stanley
4.000%, 01/15/10 115 109
Motorola
8.000%, 11/01/11 50 55
Neenah Paper
7.375%, 11/15/14 52 48
Nextel Communications, Ser C,
Callable: 10/31/11 @100
6.875%, 10/31/13 135 136
Norampac
6.750%, 06/01/13 75 69
Northwest Pipeline 144A
7.000%, 06/15/16 200 200
Omnicare
6.750%, 12/15/13 100 96
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Pemex Project
8.500%, 02/15/08 $ 185 $ 192
PNC Funding
4.200%, 03/10/08 140 137
Prologis Trust
7.100%, 04/15/08 35 36
Prudential Financial MTN
3.750%, 05/01/08 25 24
Prudential Financial, Ser B MTN
5.100%, 09/20/14 40 38
PSE&G Power
7.750%, 04/15/11 120 129
6.950%, 06/01/12 60 63
PSI Energy
6.050%, 06/15/16 45 45
PXRE
8.850%, 02/15/27 35 38
Quebecor World Capital 144A, Callable:
3/15/11 @ 104.38
8.750%, 03/15/16 150 138
Qwest
8.875%, 03/15/12 100 108
Residential Capital 144A
7.337%, 04/17/09 170 170
Rogers Cable
6.750%, 03/15/15 30 29
Rogers Wireless
8.000%, 12/15/12 30 31
Royal Caribbean Cruises
7.250%, 03/15/18 94 92
SBC Communications
5.100%, 09/15/14 170 160
Schering-Plough
6.750%, 12/01/33 85 89
Shell International
5.625%, 06/27/11 120 121
SLM
5.450%, 04/25/11 150 149
Southern Company Capital
Funding, Ser A
5.300%, 02/01/07 40 40
Stater Brothers Holdings
8.125%, 06/15/12 50 50
STATS ChipPAC
6.750%, 11/15/11 75 70
Telecom Italia Capital
4.000%, 11/15/08 100 96
TFM SA De CV
9.375%, 05/01/12 50 53
Town Sports International
9.625%, 04/15/11 26 27
- --------------------------------------------------------------------------------
40
<page>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Toys R Us
7.875%, 04/15/13 $ 50 $ 40
Universal City Florida
9.899%, 05/01/10 30 31
Uno Restaurant 144A
10.000%, 02/15/11 25 19
Verizon Global
4.000%, 01/15/08 60 59
Verizon Wireless Capital
5.375%, 12/15/06 80 80
Verso Paper Holdings, Callable:
08/01/11 @ 105.69
11.375%, 08/01/16 170 169
Viacom 144A
6.250%, 04/30/16 155 150
Wachovia
5.700%, 08/01/13 185 186
Washington Mutual Financial
6.875%, 05/15/11 55 58
Wellpoint
3.750%, 12/14/07 40 39
Weyerhaeuser
5.950%, 11/01/08 20 20
Wyeth
5.500%, 02/01/14 80 78
Xcel Energy
7.000%, 12/01/10 170 178
Xerox Capital Trust I
8.000%, 02/01/27 150 151
-----------
Total Corporate Bonds (Cost $10,333) 10,090
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 9.0%
U.S. Treasury Bonds
5.375%, 02/15/31 1,000 1,034
5.125%, 05/15/16 1,915 1,935
4.875%, 05/31/08 420 419
4.500%, 02/15/16 475 458
3.375%, 09/15/09 500 478
U.S. Treasury Notes
4.875%, 05/15/09 35 35
4.875%, 05/31/11 824 822
4.500%, 02/28/11 385 379
3.875%, 07/31/07 60 59
3.875%, 07/15/10 3,252 3,135
2.875%, 11/30/06 1,320 1,310
-----------
Total U.S. Treasury Obligations
(Cost $10,181) 10,064
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Foreign Bonds -- 1.4%
Canada (CAD)
5.750%, 06/01/33 120 $ 129
5.250%, 06/01/13 139 130
Citigroup (JPY)
2.400%, 10/31/25 8,000 66
Deutschland (EUR)
3.750%, 07/04/13 199 253
Deutschland Republic (EUR)
3.500%, 01/04/16 110 136
Netherlands Government (EUR)
4.250%, 07/15/13 95 125
Norwegian Government (NOK)
6.500%, 05/15/13 675 124
5.000%, 05/15/15 730 125
United Kingdom Gilt (GBP)
4.000%, 09/07/16 220 391
-----------
Total Foreign Bonds (Cost $1,471) 1,479
- --------------------------------------------------------------------------------
Asset-Backed Securities -- 0.4%
Home Equity Loans -- 0.4%
Citigroup Commercial Mortgage,
Ser 2004-C2, Cl A3 $ 270 256
JP Morgan Chase CMO,
Ser 2005-LDP1, Cl A2 150 146
JP Morgan Chase Commercial
Mortgage, Ser 2004-CBX, Cl A4 70 67
Residential Asset Mortgage Program,
Ser 2004-RS12, Cl AI2 30 30
-----------
Total Asset-Backed Securities (Cost $511) 499
- --------------------------------------------------------------------------------
Mortgage Related -- 2.1%
Banc of America Mortgage CMO,
Ser 2004-8, Cl 3A1
5.250%, 10/25/19 467 458
Bear Stearns ARM CMO,
Ser 2005-11, Cl 2A1
4.760%, 12/25/35 292 287
Bear Stearns CMO,
Ser 2006-T22, Cl A2
5.467%, 04/12/38 260 260
Bear Stearns Commercial Mortgage,
Ser 2004-PWR5, Cl A4
4.831%, 07/11/42 145 138
Bear Stearns Commercial Mortgage,
Ser 2005-T20, Cl A2
5.127%, 10/12/42 175 172
Chase Mortgage Finance CMO,
Ser 2004-S1, Cl A3
5.500%, 02/25/19 14 14
Countrywide Alternative Loan Trust,
Ser 2005-53-T2, Cl 2A1
6.000%, 11/25/35 354 347
- --------------------------------------------------------------------------------
41
<page>
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Mortgage Related -- continued
Countrywide Home Loans CMO,
Ser 2005-HYB8, Cl 2A1
5.376%, 12/20/35 $ 243 $ 241
FPL Group Capital
5.551%, 02/16/08 40 40
Prime Mortgage Trust CMO,
Ser 2005-2, Cl 1A3
5.250%, 07/25/20 360 355
-----------
Total Mortgage Related (Cost $2,333) 2,312
- --------------------------------------------------------------------------------
Repurchase Agreement -- 8.6%
Deutsche Bank
5.250%, dated 07/31/06, to be
repurchased on 08/01/06, repurchase
price $9,659,897 (collateralized by a
U.S. Government obligation, par value
$9,747,000, 5.125%, 10/24/07, total
market value $9,852,551)(A) 9,658 9,658
-----------
Total Repurchase Agreement (Cost $9,658) 9,658
- --------------------------------------------------------------------------------
Warrants -- 0.2%
Alpha Networks 144A, expires
4/27/09 (B)* 78,100 74
Indiabulls Financial Services 144A,
expires 6/15/09 (B)* 15,900 84
LVRCL Infrastructures & Projects 144A,
expires 11/17/08 (B)* 6,000 24
Test-Rite International 144A, expires
3/30/09 (B)* 96,000 62
Unimicron Technology 144A, expires
3/30/09 (B)* 23,000 28
-----------
Total Warrants (Cost $289) 272
- --------------------------------------------------------------------------------
Total Investments -- 100.3% (Cost $109,121) 112,735
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- (0.3)%
Payable for Investment Advisory Fees (70)
Payable for Administration Fees (11)
Payable for Distribution Fees (59)
Due to Custodian (42)
Payable for Investment Securities Purchased (2,520)
Other Assets and Liabilities, Net 2,382
-----------
Total Other Assets and Liabilities (320)
-----------
Net Assets -- 100.0% $ 112,415
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Value
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-Capital ($0.001 par value, unlimited
authorization) $ 107,094
Undistributed net investment income 186
Accumulated net realized gain on investments 1,573
Unrealized appreciation on investments 3,614
Unrealized depreciation on forward foreign
currency contracts and translation of other
assets and liabilities denominated in foreign
currency (52)
-----------
Net Assets $ 112,415
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($37,678,594 / 3,291,522 shares) $11.45
- --------------------------------------------------------------------------------
Maximum Offering
Price Per Share -- Class A
($11.45/94.25%) $12.15
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class C+
($61,845,168 / 5,416,510 shares) $11.42
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class Z**
($1,036 / 90 shares) $11.46
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($12,889,931 / 1,124,315 shares) $11.46
- --------------------------------------------------------------------------------
42
<page>
* Non-income producing security.
** Net assets divided by shares do not calculate to the stated NAV because these
amounts are shown rounded.
+ Class C Shares have a contingent deferred sales charge. For a description of
a possible sales charge, please see the Fund's prospectus.
144A -- Security sold within the terms of a private placement memorandum, which
is exempt from registration under Sections 3a-4 or 4(2) of the
Securities Act of 1933, as amended or Rule 144A thereunder, and may be
sold only to dealers in that program or other accredited investors.
On July 31, 2006, the value of these securities amounted to
$2,027 (000), representing 1.8% of the net assets of the Fund.
(A) -- Tri-party repurchase agreement
(B) -- Securities fair valued using methods determined in good faith according
to procedures adopted by the Fair Valuation Committee of the Board of
Trustees. At July 31, 2006, the total value of these securities was $272
(000), representing 0.2% of the net assets of the Fund.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
B2B -- Business to Business
CAD -- Canadian Dollar
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
GBP -- British Pound
GDR -- Global Depositary Receipt
HMO -- Health Maintenance Organization
ISP -- Internet Service Provider
JPY -- Japanese Yen
MTN -- Medium-Term Note
NOK -- Norwegian Krone
R&D -- Research and Development
REITs -- Real Estate Investment Trusts
S&L -- Savings and Loan
Ser -- Series
TBA -- To be Announced
Cost figures are shown with "000's" omitted.
Amounts designated as "--" are either 0 or have been rounded to 0.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
As of July 31, 2006, the Fund had the following forward foreign currency
contracts outstanding:
Unrealized
Settlement Currency Currency Contract Appreciation/
Date to Deliver to Receive Value (Depreciation)
- ---------- --------------- --------------- --------- ---------
8/16/06 AUD 62,285 EUR 36,011 $ 46,048 $ (1,648)
8/16/06 AUD 262,563 USD 194,616 201,060 (6,445)
8/16/06 CAD 184,864 USD 162,446 163,480 (1,034)
8/16/06 DKK 1,591,368 EUR 213,309 272,761 (1)
8/16/06 EUR 23,077 CAD 33,040 29,218 (291)
8/16/06 EUR 213,421 DKK 1,591,942 288,221 (44)
8/16/06 EUR 545,358 JPY 78,695,141 688,262 (9,094)
8/16/06 EUR 108,376 SEK 999,229 138,952 370
8/16/06 EUR 66,353 USD 83,827 84,846 (1,020)
8/16/06 GBP 138,155 AUD 345,963 264,925 6,782
8/16/06 GBP 148,102 EUR 214,423 274,185 (2,545)
8/16/06 GBP 54,810 USD 101,040 102,412 (1,372)
8/16/06 JPY 31,875,928 USD 276,732 278,785 (2,052)
8/16/06 NOK 701,793 EUR 90,089 115,198 980
8/16/06 SEK 868,446 USD 121,454 121,454 688
8/16/06 USD 162,639 CAD 183,966 162,687 48
8/16/06 USD 49,896 DKK 288,997 49,534 (362)
8/16/06 USD 2,858,605 EUR 2,220,333 2,839,463 (19,242)
8/16/06 USD 579,265 GBP 312,101 583,163 3,898
8/16/06 USD 1,185,161 JPY 132,911,602 1,162,435 (22,725)
10/10/06 USD 114,000 JPY 12,912,985 113,795 (205)
8/16/06 USD 30,563 NOK 184,603 30,044 (519)
----------
TOTAL $ (55,833)
=========
AUD -- Australian Dollar
CAD -- Canadian Dollar
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
NOK -- Norwegian Krone
SEK -- Swedish Krona
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
43
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
PERFORMANCE HIGHLIGHTS
O FOR THE ONE-YEAR PERIOD ENDED JULY 31, 2006, THE OLD MUTUAL ASSET
ALLOCATION MODERATE GROWTH PORTFOLIO OUTPERFORMED THE S&P 1500 INDEX AND
THE LEHMAN BROTHERS U.S. AGGREGATE INDEX.
O THE FUND BENEFITED SIGNIFICANTLY FROM ITS INTERNATIONAL EQUITY ALLOCATION
DURING THE PERIOD.
O A RELATIVE UNDERWEIGHT TO REAL ESTATE INVESTMENT TRUSTS ("REITS") DETRACTED
FROM PERFORMANCE.
Q. How did the Fund perform relative to its benchmarks?
A. For the one-year period ended July 31, 2006, the Old Mutual Asset Allocation
Moderate Growth Portfolio outperformed the S&P 1500 Index and the Lehman
Brothers U.S. Aggregate Index. The Fund's Class A shares gained 7.58% at net
asset value for the one-year time frame, while the S&P 1500 Index returned
5.24% and the Lehman Brothers U.S. Aggregate Index returned 1.45%.
Performance for all share classes can be found on page 46.
Q. What investment environment did the Fund face during the past year?
A. Volatile markets and conflicting fears made for a rough ride during the
fiscal year, even as stocks showed great resilience in climbing a proverbial
wall of worry. While monetary tightening, natural disasters, rising energy
prices, war, the flattening yield curve, and inflationary pressures fueled
potent crosscurrents, economic growth and corporate earnings, both
considered key drivers of stock market performance, remained robust.
Continued growth in corporate profits also provided companies with necessary
cash to spruce up balance sheets, boost dividends, repurchase stock, fund
expansion, and target acquisitions. These outward signs of corporate health
proved positive for stocks in which the Fund invests.
On the fixed-income side, the Federal Reserve ("Fed") continued to pursue a
less accommodative monetary policy during the period. Any lingering doubts
whether new Fed Chairman Ben Bernanke would stay the course of current Fed
policy were quickly quelled. At the same time, U.S. Treasury yields, which
remained range-bound for much of the period, ultimately tracked the upward
trend, as strong economic reports and inflationary pressures pushed yields
higher.
Q. Which market factors influenced the Fund's relative performance?
A. International stocks and real estate investments were the standout
performers for the period. The Fund's strategic allocation to international
stocks of developed and emerging-market countries contributed significantly
to performance, while a relative underweight to Real Estate Investment
Trusts ("REITs") detracted from performance. On the U.S. front, stocks in
small- and mid-capitalization companies saw stronger performance than large
caps, and value style equity investments outperformed growth. Dynamic
decisions to overweight large-cap value stocks in the Fund's portfolio
contributed positively to performance.
Q. How did portfolio composition affect Fund performance?
A. The Fund benefited significantly from its international equity allocation
during the period. The international equity mandate sub-advised by Acadian
Asset Management, Inc. ("Acadian") and the emerging markets equity mandate
sub-advised by Clay Finlay Inc. ("Clay Finlay") produced strong absolute
returns during the year ended July 31, 2006. Despite the strong absolute
gains posted by the international equity component, Provident Investment
Counsel, Inc.'s mid-capitalization growth strategy and Thompson, Siegel &
Walmsley, Inc.'s mid-capitalization value strategy and small-capitalization
value strategy were the top performing mandates during the period on a
relative basis. The Fund's allocation to the Barrow, Hanley, Mewhinney &
Strauss, Inc. ("Barrow Hanley") large-capitalization value strategy was a
slight drag on relative performance despite producing strong absolute
performance. Liberty Ridge Capital, Inc's ("LRC") large-capitalization
growth strategy and small-capitalization blend strategy also detracted from
relative results during the period.
Asset Allocation
Moderate Growth Portfolio
44
<page>
The Fund's three largest individual contributors to performance were
materials company, Antofagasta; Mizuho Financial Group; and financial
services company, ING Groep. Detracting from Fund performance during the
period were Chico's FAS, a private label clothing and gift item retailer;
PXRE Group (no longer a Fund holding), a property and casualty insurance
company; and UnitedHealth Group, a health care service provider.
On the fixed-income side, the Barrow Hanley intermediate-term bond and U.S.
core bond strategies detracted from performance as did the Rogge Global
Partners PLC international bond strategy.
Q. What is the investment outlook?
A. Ibbotson Associates Advisors, LLC ("Ibbotson"), the Fund's strategic asset
allocation consultant, is forecasting a slowdown in returns for the real
estate sector. The firm notes the effects of the increase in borrowing costs
have begun to affect the valuations of the real estate market. From an
equity capitalization perspective, Ibbotson believes that the persistent
outperformance of U.S. small-capitalization stocks appears to be fading,
thus giving way to a phase of large-capitalization stock outperformance.
And, on the fixed-income front, Ibbotson believes that the Federal Reserve
may continue to increase short-term interest rates, but the firm notes that
there is not a clear near-term direction for long-term yields. Over the
longer term, however, Ibbotson expects an increase in long-term yields
TOP TEN HOLDINGS
AS OF JULY 31, 2006
- ---------------------------------------------
U.S. Treasury Note, 3.875%, 07/15/10 1.4%
- ---------------------------------------------
U.S. Treasury Bond, 5.125%, 05/15/16 1.1%
- ---------------------------------------------
Federal National Mortgage Association,
6.000%, 07/01/36 0.8%
- ---------------------------------------------
Exxon Mobil 0.8%
- ---------------------------------------------
UnitedHealth Group 0.7%
- ---------------------------------------------
U.S. Treasury Note,
2.875%, 11/30/06 0.7%
- ---------------------------------------------
JPMorgan Chase 0.7%
- ---------------------------------------------
Royal Dutch Shell, Cl A 0.6%
- ---------------------------------------------
Google, Cl A 0.6%
- ---------------------------------------------
Bank of America 0.6%
- ---------------------------------------------
As a % of Total Fund Investments 8.0%
- ---------------------------------------------
Asset Allocation
Moderate Growth Portfolio
45
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Since Inception
- ---------------------------------------------------------------------------------------------------------------------------
Class A with front-end load 9/30/04 1.39% 7.76%
Class A without load 9/30/04 7.58% 11.30%
Class C with deferred sales load 9/30/04 5.80% 10.50%
Class C without deferred sales load 9/30/04 6.80% 10.50%
Class Z 12/09/05 n/a 4.45% 1
Institutional Class 9/30/04 7.86% 11.63%
S&P 1500 Index 9/30/04 5.24% 10.23%
S&P 500 Index 2 9/30/04 5.38% 9.66%
Lehman Brothers U.S. Aggregate Index 9/30/04 1.45% 2.19%
- ---------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative indexes can be found on pages 1 and 2.
1 Not annualized.
2 The Fund's performance will no longer be compared to the S&P 500 Index, as the
S&P 1500 Index, which is invested in a broader range of securities, better
reflects the Fund's investment strategy.
Fund Performance
- --------------------------------------------------------------------------------
CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM
ASSET ALLOCATION ASSET ALLOCATION ASSET ALLOCATION
MODERATE GROWTH MODERATE GROWTH MODERATE GROWTH
PORTFOLIO, PORTFOLIO, PORTFOLIO,
CLASS A CLASS C INSTITUTIONAL CLASS
9/30/2004 $ 9425 $10000 $10000
7/31/2005 10662 11245 11342
7/31/2006 11470 12009 12233
LEHMAN BROTHERS
S&P US AGGREGATE
1500 INDEX INDEX S&P 500 INDEX
9/30/2004 $10000 $10000 $10000
7/31/2005 11359 10256 11237
7/31/2006 11954 10404 11842
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Fund's Class A, C and Institutional shares on the
inception date of 9/30/04 to an investment made in unmanaged securities indexes
on that date. The performance of the Fund's Class A shares shown in the line
graph takes into account the maximum initial sales charge. The Fund's
performance in this chart and the performance table assumes reinvestment of
dividends and capital gain distributions but does not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or on the redemption of
Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
Investment Companies (0.1%)
Asset-Backed Securities (0.2%)
Foreign Preferred Stock (0.3%)
Warrants (0.3%)
Foreign Bonds (0.6%)
Mortgage Related (1.2%)
Corporate Bonds (3.2%)
Repurchase Agreement (3.9%)
U.S. Treasury Obligations (5.9%)
U.S. Government Agency Mortgage-Backed Obligations (6.2%)
Foreign Common Stock (17.6%)
Common Stock (60.5%)
46
<page>
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 60.5%
Advertising Services -- 0.0%
Getty Images* 1,455 $ 68
-----------
Total Advertising Services 68
- --------------------------------------------------------------------------------
Aerospace/Defense -- 0.8%
Boeing 7,038 545
Empresa Brasileira de Aeronautica ADR 3,400 117
Lockheed Martin 1,298 104
Rockwell Collins 6,450 344
Teledyne Technologies* 2,730 104
-----------
Total Aerospace/Defense 1,214
- --------------------------------------------------------------------------------
Aerospace/Defense-Equipment -- 0.3%
Alliant Techsystems* 2,550 204
BE Aerospace* 2,335 58
Curtiss-Wright 3,100 90
DRS Technologies 2,800 130
Goodrich 935 38
-----------
Total Aerospace/Defense-Equipment 520
- --------------------------------------------------------------------------------
Agricultural Chemicals -- 0.5%
Agrium 6,900 167
Monsanto 14,940 643
-----------
Total Agricultural Chemicals 810
- --------------------------------------------------------------------------------
Agricultural Operations -- 0.4%
Archer-Daniels-Midland 8,457 372
Delta & Pine Land 3,520 120
Tejon Ranch* 3,150 129
-----------
Total Agricultural Operations 621
- --------------------------------------------------------------------------------
Airlines -- 0.2%
AMR* 4,700 103
Mesa Air Group* 8,800 75
Republic Airways Holdings* 5,840 97
-----------
Total Airlines 275
- --------------------------------------------------------------------------------
Apparel Manufacturers -- 0.1%
Maidenform Brands* 9,260 124
-----------
Total Apparel Manufacturers 124
- --------------------------------------------------------------------------------
Applications Software -- 0.1%
Citrix Systems* 1,275 41
Nuance Communications* 1,560 14
Satyam Computer Services ADR 1,220 43
-----------
Total Applications Software 98
- --------------------------------------------------------------------------------
Auction House/Art Dealer -- 0.1%
Sotheby's* 3,500 97
-----------
Total Auction House/Art Dealer 97
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
B2B/E-Commerce -- 0.0%
i2 Technologies* 4,110 $ 51
-----------
Total B2B/E-Commerce 51
- --------------------------------------------------------------------------------
Batteries/Battery Systems -- 0.1%
Greatbatch* 4,840 119
-----------
Total Batteries/Battery Systems 119
- --------------------------------------------------------------------------------
Beverages-Non-Alcoholic -- 0.1%
Coca-Cola Enterprises 7,900 170
-----------
Total Beverages-Non-Alcoholic 170
- --------------------------------------------------------------------------------
Beverages-Wine/Spirits -- 0.1%
Brown-Forman, Cl B 1,192 88
-----------
Total Beverages-Wine/Spirits 88
- --------------------------------------------------------------------------------
Brewery -- 0.2%
Cia Cervecerias Unidas ADR 5,000 114
Grupo Modelo ADR, Cl C 1,600 70
Molson Coors Brewing, Cl B 2,100 150
-----------
Total Brewery 334
- --------------------------------------------------------------------------------
Broadcast Services/Programming -- 0.3%
Grupo Televisa ADR 12,000 222
Nexstar Broadcasting Group, Cl A* 40,600 167
-----------
Total Broadcast Services/Programming 389
- --------------------------------------------------------------------------------
Building & Construction-Miscellaneous -- 0.0%
Insituform Technologies, Cl A* 3,090 67
-----------
Total Building & Construction-Miscellaneous 67
- --------------------------------------------------------------------------------
Building Products-Cement/Aggregate -- 0.3%
Eagle Materials 125 4
Martin Marietta Materials 3,500 282
Texas Industries 2,100 104
-----------
Total Building Products-Cement/Aggregate 390
- --------------------------------------------------------------------------------
Building Products-Light Fixtures -- 0.1%
Genlyte Group* 2,600 181
-----------
Total Building Products-Light Fixtures 181
- --------------------------------------------------------------------------------
Building-Heavy Construction -- 0.2%
Chicago Bridge & Iron 6,150 149
Granite Construction 2,800 122
Washington Group International 990 53
-----------
Total Building-Heavy Construction 324
- --------------------------------------------------------------------------------
Building-Mobile Home/Manufactured Housing -- 0.1%
Williams Scotsman International* 3,770 80
-----------
Total Building-Mobile Home/
Manufactured Housing 80
- --------------------------------------------------------------------------------
47
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Cable TV -- 0.3%
Mediacom Communications, Cl A* 59,695 $ 376
-----------
Total Cable TV 376
- --------------------------------------------------------------------------------
Casino Hotels -- 0.1%
Harrah's Entertainment 2,600 156
-----------
Total Casino Hotels 156
- --------------------------------------------------------------------------------
Casino Services -- 0.3%
International Game Technology 3,205 124
Scientific Games, Cl A* 9,440 321
-----------
Total Casino Services 445
- --------------------------------------------------------------------------------
Cellular Telecommunications -- 0.5%
NII Holdings* 11,465 605
Turkcell Iletism ADR 15,418 176
-----------
Total Cellular Telecommunications 781
- --------------------------------------------------------------------------------
Chemicals-Diversified -- 0.3%
E.I. du Pont de Nemours 4,100 163
Lyondell Chemical 4,727 105
Nova Chemicals 4,300 127
Olin 3,445 55
-----------
Total Chemicals-Diversified 450
- --------------------------------------------------------------------------------
Chemicals-Specialty -- 0.4%
Ashland 6,801 452
Chemtura 2,870 25
Hercules* 7,249 101
-----------
Total Chemicals-Specialty 578
- --------------------------------------------------------------------------------
Circuit Boards -- 0.1%
Multi-Fineline Electronix* 500 12
Park Electrochemical 5,020 124
-----------
Total Circuit Boards 136
- --------------------------------------------------------------------------------
Coal -- 0.2%
Consol Energy 4,300 177
Peabody Energy 2,400 120
-----------
Total Coal 297
- --------------------------------------------------------------------------------
Commercial Banks Non-US -- 0.1%
ICICI Bank ADR 5,600 146
-----------
Total Commercial Banks Non-US 146
- --------------------------------------------------------------------------------
Commercial Banks-Central US -- 0.1%
Wintrust Financial 2,050 98
-----------
Total Commercial Banks-Central US 98
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- 0.0%
North Fork Bancorporation 102 3
-----------
Total Commercial Banks-Eastern US 3
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Commercial Banks-Southern US -- 0.2%
Colonial BancGroup 9,450 $ 240
-----------
Total Commercial Banks-Southern US 240
- --------------------------------------------------------------------------------
Commercial Banks-Western US -- 0.3%
CVB Financial 5,983 89
Hanmi Financial 5,000 95
SVB Financial Group* 2,490 112
UCBH Holdings 6,200 103
-----------
Total Commercial Banks-Western US 399
- --------------------------------------------------------------------------------
Commercial Services -- 0.0%
ChoicePoint* 1,260 43
-----------
Total Commercial Services 43
- --------------------------------------------------------------------------------
Commercial Services-Finance -- 0.2%
H&R Block 2,713 62
Paychex 2,435 83
Wright Express* 4,505 135
-----------
Total Commercial Services-Finance 280
- --------------------------------------------------------------------------------
Computer Aided Design -- 0.1%
Ansys* 2,200 101
-----------
Total Computer Aided Design 101
- --------------------------------------------------------------------------------
Computer Services -- 0.6%
Ceridian* 4,600 111
Cognizant Technology Solutions, Cl A* 7,500 491
Manhattan Associates* 1,445 30
Perot Systems* 15,400 205
-----------
Total Computer Services 837
- --------------------------------------------------------------------------------
Computers -- 1.0%
Apple Computer* 9,020 613
Hewlett-Packard 16,508 527
International Business Machines 4,247 329
-----------
Total Computers 1,469
- --------------------------------------------------------------------------------
Computers-Integrated Systems -- 0.2%
MTS Systems 3,400 125
NCR* 5,131 165
-----------
Total Computers-Integrated Systems 290
- --------------------------------------------------------------------------------
Computers-Memory Devices -- 0.2%
Imation 3,200 130
Network Appliance* 2,925 87
Seagate Technology 6,900 160
-----------
Total Computers-Memory Devices 377
- --------------------------------------------------------------------------------
Computers-Voice Recognition -- 0.1%
Talx 4,050 83
-----------
Total Computers-Voice Recognition 83
- --------------------------------------------------------------------------------
48
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Consumer Products-Miscellaneous -- 0.1%
Yankee Candle 3,700 $ 90
-----------
Total Consumer Products-Miscellaneous 90
- --------------------------------------------------------------------------------
Containers-Paper/Plastic -- 0.1%
Pactiv* 2,540 62
Sealed Air 3,450 163
-----------
Total Containers-Paper/Plastic 225
- --------------------------------------------------------------------------------
Cruise Lines -- 0.1%
Carnival 4,714 184
-----------
Total Cruise Lines 184
- --------------------------------------------------------------------------------
Data Processing/Management -- 0.2%
CSG Systems International* 3,700 96
Dun & Bradstreet* 485 33
MasterCard, Cl A* 570 26
MoneyGram International 1,770 54
NAVTEQ* 865 25
SEI Investments 370 18
-----------
Total Data Processing/Management 252
- --------------------------------------------------------------------------------
Decision Support Software -- 0.1%
Cognos* 1,960 61
SPSS* 2,500 68
-----------
Total Decision Support Software 129
- --------------------------------------------------------------------------------
Diagnostic Equipment -- 0.1%
Cytyc* 3,205 79
Gen-Probe* 2,315 120
-----------
Total Diagnostic Equipment 199
- --------------------------------------------------------------------------------
Dialysis Centers -- 0.0%
DaVita* 545 27
-----------
Total Dialysis Centers 27
- --------------------------------------------------------------------------------
Direct Marketing -- 0.0%
Catalina Marketing 570 17
-----------
Total Direct Marketing 17
- --------------------------------------------------------------------------------
Disposable Medical Products -- 0.1%
C.R. Bard 1,270 90
-----------
Total Disposable Medical Products 90
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 0.0%
Fastenal 2,045 73
-----------
Total Distribution/Wholesale 73
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- 0.7%
3M 2,200 155
AO Smith 3,050 131
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- continued
Dover 670 $ 32
ESCO Technologies* 1,800 95
Honeywell International 3,597 139
Illinois Tool Works 7,008 320
Parker Hannifin 1,773 128
Trinity Industries 243 8
-----------
Total Diversified Manufacturing Operations 1,008
- --------------------------------------------------------------------------------
Diversified Minerals -- 0.1%
Cia Vale do Rio Doce ADR 4,100 95
-----------
Total Diversified Minerals 95
- --------------------------------------------------------------------------------
Drug Delivery Systems -- 0.0%
Conor Medsystems* 2,270 63
-----------
Total Drug Delivery Systems 63
- --------------------------------------------------------------------------------
E-Commerce/Products -- 0.0%
Submarino GDR 144A 1,600 60
-----------
Total E-Commerce/Products 60
- --------------------------------------------------------------------------------
E-Services/Consulting -- 0.1%
Digital Insight* 400 10
Keynote Systems* 15,050 159
-----------
Total E-Services/Consulting 169
- --------------------------------------------------------------------------------
Electric Products-Miscellaneous -- 0.2%
Emerson Electric 2,971 235
Lamson & Sessions* 4,500 126
-----------
Total Electric Products-Miscellaneous 361
- --------------------------------------------------------------------------------
Electric-Generation -- 0.2%
AES* 15,619 310
-----------
Total Electric-Generation 310
- --------------------------------------------------------------------------------
Electric-Integrated -- 1.1%
Dominion Resources 2,500 196
Duke Energy 11,559 350
Edison International 93 4
El Paso Electric* 8,300 182
Entergy 4,971 383
OGE Energy 8,600 326
PPL 5,400 184
Public Service Enterprise Group 131 9
-----------
Total Electric-Integrated 1,634
- --------------------------------------------------------------------------------
49
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 0.3%
Flextronics International* 5,125 $ 58
Hon Hai Precision GDR 5,800 69
Hon Hai Precision GDR 144A 13,125 156
International DisplayWorks* 27,620 131
NAM TAI Electronics 5,050 86
-----------
Total Electronic Components-Miscellaneous 500
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 0.7%
Advanced Micro Devices* 3,400 66
Freescale Semiconductor, Cl B* 4,534 129
MEMC Electronic Materials* 3,500 106
MIPS Technologies* 13,430 85
Nvidia* 4,460 99
QLogic* 780 14
Samsung Electronics GDR 144A 1,060 338
Semtech* 905 12
Silicon Laboratories* 2,480 92
Skyworks Solutions* 23,130 101
-----------
Total Electronic Components-Semiconductors 1,042
- --------------------------------------------------------------------------------
Electronic Design Automation -- 0.1%
Synplicity* 26,420 151
-----------
Total Electronic Design Automation 151
- --------------------------------------------------------------------------------
Electronic Forms -- 0.3%
Adobe Systems* 17,940 511
-----------
Total Electronic Forms 511
- --------------------------------------------------------------------------------
Electronic Parts Distribution -- 0.0%
Avnet* 1,620 29
-----------
Total Electronic Parts Distribution 29
- --------------------------------------------------------------------------------
Electronic Security Devices -- 0.1%
American Science & Engineering* 2,200 112
-----------
Total Electronic Security Devices 112
- --------------------------------------------------------------------------------
Energy-Alternate Sources -- 0.0%
Headwaters* 2,400 55
-----------
Total Energy-Alternate Sources 55
- --------------------------------------------------------------------------------
Engineering/R&D Services -- 0.1%
Fluor 1,665 146
-----------
Total Engineering/R&D Services 146
- --------------------------------------------------------------------------------
Enterprise Software/Services -- 0.3%
BMC Software* 5,000 117
Lawson Software* 27,365 184
Sybase* 6,900 145
-----------
Total Enterprise Software/Services 446
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Entertainment Software -- 0.2%
Activision* 9,636 $ 115
Electronic Arts* 630 30
THQ* 4,875 110
-----------
Total Entertainment Software 255
- --------------------------------------------------------------------------------
Fiduciary Banks -- 0.2%
Northern Trust 4,000 228
-----------
Total Fiduciary Banks 228
- --------------------------------------------------------------------------------
Filtration/Separation Products -- 0.1%
Clarcor 3,650 104
-----------
Total Filtration/Separation Products 104
- --------------------------------------------------------------------------------
Finance-Commercial -- 0.1%
CIT Group 4,619 212
-----------
Total Finance-Commercial 212
- --------------------------------------------------------------------------------
Finance-Consumer Loans -- 1.1%
Asta Funding 3,400 114
Encore Capital Group* 6,590 81
First Marblehead 6,135 281
Portfolio Recovery Associates* 3,455 148
SLM 16,549 832
World Acceptance* 3,400 141
-----------
Total Finance-Consumer Loans 1,597
- --------------------------------------------------------------------------------
Finance-Credit Card -- 0.4%
American Express 6,922 360
Capital One Financial 3,684 285
-----------
Total Finance-Credit Card 645
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 1.6%
Citigroup 12,005 580
Goldman Sachs Group 2,898 443
Greenhill 335 19
JPMorgan Chase 21,650 988
Lehman Brothers Holdings 1,117 73
TD Ameritrade Holdings 21,570 353
-----------
Total Finance-Investment Banker/Broker 2,456
- --------------------------------------------------------------------------------
Finance-Other Services -- 0.2%
Asset Acceptance Capital* 8,890 162
Cbot Holdings, Cl A* 755 94
-----------
Total Finance-Other Services 256
- --------------------------------------------------------------------------------
Financial Guarantee Insurance -- 0.3%
AMBAC Financial Group 2,305 192
MGIC Investment 3,311 188
-----------
Total Financial Guarantee Insurance 380
- --------------------------------------------------------------------------------
50
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Food-Dairy Products -- 0.2%
Dean Foods* 6,943 $ 261
-----------
Total Food-Dairy Products 261
- --------------------------------------------------------------------------------
Food-Miscellaneous/Diversified -- 0.1%
ConAgra Foods 7,114 153
-----------
Total Food-Miscellaneous/Diversified 153
- --------------------------------------------------------------------------------
Food-Retail -- 0.4%
Kroger 15,772 362
Whole Foods Market 4,250 244
-----------
Total Food-Retail 606
- --------------------------------------------------------------------------------
Forestry -- 0.2%
Plum Creek Timber 6,900 235
-----------
Total Forestry 235
- --------------------------------------------------------------------------------
Gambling (Non-Hotel) -- 0.1%
Isle of Capri Casinos* 6,220 147
-----------
Total Gambling (Non-Hotel) 147
- --------------------------------------------------------------------------------
Gas-Distribution -- 0.2%
Energen 8,250 352
WGL Holdings 510 15
-----------
Total Gas-Distribution 367
- --------------------------------------------------------------------------------
Gold Mining -- 0.4%
Goldcorp 5,100 149
Randgold Resources ADR* 11,200 249
Royal Gold 5,150 153
-----------
Total Gold Mining 551
- --------------------------------------------------------------------------------
Golf -- 0.0%
Callaway Golf 1,670 21
-----------
Total Golf 21
- --------------------------------------------------------------------------------
Hazardous Waste Disposal -- 0.1%
Stericycle* 2,370 159
-----------
Total Hazardous Waste Disposal 159
- --------------------------------------------------------------------------------
Health Care Cost Containment -- 0.4%
McKesson 10,814 545
-----------
Total Health Care Cost Containment 545
- --------------------------------------------------------------------------------
Home Furnishings -- 0.1%
Tempur-Pedic International* 7,930 115
-----------
Total Home Furnishings 115
- --------------------------------------------------------------------------------
Hospital Beds/Equipment -- 0.1%
Kinetic Concepts* 1,790 80
-----------
Total Hospital Beds/Equipment 80
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Hotels & Motels -- 0.4%
InterContinental Hotels ADR 1,420 $ 23
Lodgian* 5,265 63
Marriott International, Cl A 13,373 471
Starwood Hotels & Resorts Worldwide 1,428 75
-----------
Total Hotels & Motels 632
- --------------------------------------------------------------------------------
Human Resources -- 0.3%
Hewitt Associates, Cl A* 6,400 144
Manpower 3,400 202
Monster Worldwide* 2,830 113
-----------
Total Human Resources 459
- --------------------------------------------------------------------------------
Identification Systems/Development -- 0.1%
Symbol Technologies 12,850 142
-----------
Total Identification Systems/Development 142
- --------------------------------------------------------------------------------
Independent Power Producer -- 0.0%
Mirant* 880 23
Reliant Energy* 3,150 40
-----------
Total Independent Power Producer 63
- --------------------------------------------------------------------------------
Industrial Audio & Video Production -- 0.1%
Imax* 11,790 127
-----------
Total Industrial Audio & Video Production 127
- --------------------------------------------------------------------------------
Industrial Automation/Robot -- 0.0%
Cognex 480 11
-----------
Total Industrial Automation/Robot 11
- --------------------------------------------------------------------------------
Industrial Gases -- 0.4%
Air Products & Chemicals 575 37
Airgas 4,700 170
Praxair 8,410 461
-----------
Total Industrial Gases 668
- --------------------------------------------------------------------------------
Instruments-Scientific -- 0.1%
PerkinElmer 7,700 139
-----------
Total Instruments-Scientific 139
- --------------------------------------------------------------------------------
Insurance Brokers -- 0.4%
AON 7,184 246
Brown & Brown 8,600 270
Hilb Rogal & Hobbs 3,400 138
-----------
Total Insurance Brokers 654
- --------------------------------------------------------------------------------
Internet Connective Services -- 0.1%
NDS ADR* 4,300 204
-----------
Total Internet Connective Services 204
- --------------------------------------------------------------------------------
51
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Internet Infrastructure Equipment -- 0.0%
Avocent* 1,105 $ 28
-----------
Total Internet Infrastructure Equipment 28
- --------------------------------------------------------------------------------
Internet Infrastructure Software -- 0.1%
Radware* 8,300 100
-----------
Total Internet Infrastructure Software 100
- --------------------------------------------------------------------------------
Internet Security -- 0.1%
Ipass* 9,830 50
Symantec* 1,676 29
-----------
Total Internet Security 79
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- 0.3%
Affiliated Managers Group* 720 66
Legg Mason 3,210 268
W. P. Stewart & Co. 7,210 77
-----------
Total Investment Management/
Advisory Services 411
- --------------------------------------------------------------------------------
Life/Health Insurance -- 0.6%
China Life Insurance ADR 1,400 95
Cigna 2,100 192
KMG America* 12,125 101
Prudential Financial 5,887 463
UnumProvident 1,255 20
-----------
Total Life/Health Insurance 871
- --------------------------------------------------------------------------------
Machine Tools & Related Products -- 0.1%
Kennametal 3,400 181
-----------
Total Machine Tools & Related Products 181
- --------------------------------------------------------------------------------
Machinery-Construction & Mining -- 0.7%
Bucyrus International 2,450 119
Caterpillar 9,092 644
JLG Industries 5,900 107
Terex* 2,600 117
-----------
Total Machinery-Construction & Mining 987
- --------------------------------------------------------------------------------
Machinery-Farm -- 0.1%
AGCO* 4,300 99
-----------
Total Machinery-Farm 99
- --------------------------------------------------------------------------------
Machinery-Print Trade -- 0.0%
Zebra Technologies, Cl A* 1,195 37
-----------
Total Machinery-Print Trade 37
- --------------------------------------------------------------------------------
Medical Information Systems -- 0.1%
Eclipsys* 700 14
IMS Health 2,265 62
-----------
Total Medical Information Systems 76
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical Instruments -- 0.6%
Boston Scientific* 614 $ 11
Cambridge Heart* 75,670 179
Natus Medical* 10,500 129
St. Jude Medical* 15,130 558
-----------
Total Medical Instruments 877
- --------------------------------------------------------------------------------
Medical Labs & Testing Services -- 0.3%
Covance* 2,535 162
Laboratory Corp of America Holdings* 3,400 219
-----------
Total Medical Labs & Testing Services 381
- --------------------------------------------------------------------------------
Medical Products -- 0.6%
Baxter International 7,725 324
Becton Dickinson 250 17
Henry Schein* 1,880 89
Johnson & Johnson 2,519 158
Mentor 385 17
Zimmer Holdings* 4,790 303
-----------
Total Medical Products 908
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- 1.2%
Amgen* 7,490 522
Barrier Therapeutics* 29,690 199
Biogen Idec* 2,035 86
Cambrex 5,120 109
Celgene* 2,370 114
Enzon Pharmaceuticals* 7,800 62
Genzyme* 8,080 552
Invitrogen* 590 36
PDL BioPharma* 4,765 86
-----------
Total Medical-Biomedical/Genetic 1,766
- --------------------------------------------------------------------------------
Medical-Drugs -- 1.2%
Allergan 2,130 230
Angiotech Pharmaceuticals* 15,590 187
Aspreva Pharmaceuticals* 3,960 95
Bristol-Myers Squibb 10,542 253
Forest Laboratories* 4,200 194
Pfizer 16,703 434
Schering-Plough 11,990 245
Wyeth 3,296 160
-----------
Total Medical-Drugs 1,798
- --------------------------------------------------------------------------------
Medical-Generic Drugs -- 0.4%
Barr Pharmaceuticals* 405 20
Perrigo 10,545 167
Teva Pharmaceutical Industries ADR 9,500 315
Zentiva GDR 1,300 67
-----------
Total Medical-Generic Drugs 569
- --------------------------------------------------------------------------------
52
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical-HMO -- 1.1%
Sierra Health Services* 2,700 $ 117
UnitedHealth Group 21,510 1,029
WellPoint* 6,311 470
-----------
Total Medical-HMO 1,616
- --------------------------------------------------------------------------------
Medical-Outpatient/Home Medical -- 0.1%
Amedisys* 3,200 122
AmSurg* 825 18
Lincare Holdings* 1,560 55
-----------
Total Medical-Outpatient/Home Medical 195
- --------------------------------------------------------------------------------
Medical-Wholesale Drug Distributors -- 0.7%
AmerisourceBergen 9,958 428
Cardinal Health 10,303 690
-----------
Total Medical-Wholesale Drug Distributors 1,118
- --------------------------------------------------------------------------------
Metal Processors & Fabricators -- 0.2%
Commercial Metals 7,700 175
Precision Castparts 2,480 148
-----------
Total Metal Processors & Fabricators 323
- --------------------------------------------------------------------------------
Metal-Aluminum -- 0.1%
Century Aluminum* 2,800 86
-----------
Total Metal-Aluminum 86
- --------------------------------------------------------------------------------
Metal-Copper -- 0.1%
Phelps Dodge 2,420 211
-----------
Total Metal-Copper 211
- --------------------------------------------------------------------------------
Metal-Diversified -- 0.2%
Freeport-McMoRan Copper & Gold, Cl B 4,858 265
-----------
Total Metal-Diversified 265
- --------------------------------------------------------------------------------
Motion Pictures & Services -- 0.0%
DreamWorks Animation SKG, Cl A* 610 13
-----------
Total Motion Pictures & Services 13
- --------------------------------------------------------------------------------
Multi-Line Insurance -- 1.2%
Allstate 6,586 374
American International Group 8,250 501
Cincinnati Financial 5,000 236
Hartford Financial Services Group 2,690 228
Loews 2,745 102
Metlife 1,562 81
XL Capital, Cl A 4,694 299
-----------
Total Multi-Line Insurance 1,821
- --------------------------------------------------------------------------------
Multimedia -- 0.3%
Entravision Communications, Cl A* 13,105 102
Gemstar-TV Guide International* 49,130 141
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Multimedia -- continued
News, Cl A 1,601 $ 31
Walt Disney 6,290 187
-----------
Total Multimedia 461
- --------------------------------------------------------------------------------
Networking Products -- 0.2%
Foundry Networks* 9,165 95
Netgear* 14,370 278
-----------
Total Networking Products 373
- --------------------------------------------------------------------------------
Non-Ferrous Metals -- 0.2%
Cameco 8,120 324
USEC 1,290 14
-----------
Total Non-Ferrous Metals 338
- --------------------------------------------------------------------------------
Non-Hazardous Waste Disposal -- 0.1%
Allied Waste Industries* 2,580 26
WCA Waste* 21,480 152
-----------
Total Non-Hazardous Waste Disposal 178
- --------------------------------------------------------------------------------
Office Automation & Equipment -- 0.0%
Pitney Bowes 1,090 45
-----------
Total Office Automation & Equipment 45
- --------------------------------------------------------------------------------
Office Supplies & Forms -- 0.2%
Avery Dennison 3,000 176
John H. Harland Company 3,000 118
-----------
Total Office Supplies & Forms 294
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 0.8%
Diamond Offshore Drilling 1,350 106
Nabors Industries* 6,900 244
Pride International* 8,005 239
Rowan 925 31
Todco 360 14
Transocean* 6,510 503
-----------
Total Oil & Gas Drilling 1,137
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 0.9%
Anadarko Petroleum 1,924 88
Berry Petroleum, Cl A 3,800 128
Denbury Resources* 1,830 63
GMX Resources* 2,500 85
Kerr-McGee 75 5
Newfield Exploration* 3,400 158
Penn Virginia 2,400 164
Pogo Producing 335 15
Southwestern Energy* 2,960 102
Stone Energy* 2,980 139
Ultra Petroleum* 1,545 91
- --------------------------------------------------------------------------------
53
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- continued
Unit* 2,200 $ 129
XTO Energy 5,470 257
-----------
Total Oil Companies-Exploration &
Production 1,424
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 2.6%
BP ADR 3,974 288
Chevron 6,839 450
ConocoPhillips 7,012 481
Exxon Mobil 17,558 1,190
Hess 3,200 169
LUKOIL ADR 1,400 122
Marathon Oil 2,306 209
Occidental Petroleum 4,912 529
PetroChina ADR 400 46
Petroleo Brasileiro ADR 3,700 340
Surgutneftegaz ADR 1,800 132
-----------
Total Oil Companies-Integrated 3,956
- --------------------------------------------------------------------------------
Oil Field Machinery & Equipment -- 0.2%
Grant Prideco* 2,710 123
Gulf Island Fabrication 2,600 65
National Oilwell Varco* 2,230 149
-----------
Total Oil Field Machinery & Equipment 337
- --------------------------------------------------------------------------------
Oil Refining & Marketing -- 0.2%
Frontier Oil 3,500 123
Giant Industries* 2,150 154
-----------
Total Oil Refining & Marketing 277
- --------------------------------------------------------------------------------
Oil-Field Services -- 0.7%
Core Laboratories* 860 63
Halliburton 15,460 516
Hanover Compressor* 1,310 25
Helix Energy Solutions* 5,460 213
Tidewater 470 22
Universal Compression Holdings* 1,900 121
W-H Energy Services* 1,755 97
-----------
Total Oil-Field Services 1,057
- --------------------------------------------------------------------------------
Oil-US Royalty Trusts -- 0.0%
Hugoton Royalty Trust 319 10
-----------
Total Oil-US Royalty Trusts 10
- --------------------------------------------------------------------------------
Optical Supplies -- 0.3%
Alcon 4,680 517
-----------
Total Optical Supplies 517
- --------------------------------------------------------------------------------
Paper & Related Products -- 0.6%
Abitibi-Consolidated 85,230 216
Bowater 7,840 159
Caraustar Industries* 28,590 202
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Paper & Related Products -- continued
Domtar 5,660 $ 36
Klabin ADR 2,400 53
MeadWestvaco 985 26
Neenah Paper 4,780 141
Smurfit-Stone Container* 5,090 52
-----------
Total Paper & Related Products 885
- --------------------------------------------------------------------------------
Pharmacy Services -- 0.2%
Express Scripts* 4,578 353
Medco Health Solutions* 345 20
-----------
Total Pharmacy Services 373
- --------------------------------------------------------------------------------
Physical Practice Management -- 0.1%
Pediatrix Medical Group* 3,400 144
-----------
Total Physic Practice Management 144
- --------------------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers -- 0.1%
Psychiatric Solutions* 885 28
RehabCare Group* 6,080 114
-----------
Total Physical Therapy/Rehabilitation
Centers 142
- --------------------------------------------------------------------------------
Pipelines -- 0.3%
El Paso 2,940 47
National Fuel Gas 5,950 221
Questar 2,550 226
-----------
Total Pipelines 494
- --------------------------------------------------------------------------------
Power Conversion/Supply Equipment -- 0.2%
American Power Conversion 10,422 176
Delta Electronics GDR 8,925 120
-----------
Total Power Conversion/Supply Equipment 296
- --------------------------------------------------------------------------------
Printing-Commercial -- 0.0%
RR Donnelley & Sons 1,205 35
-----------
Total Printing-Commercial 35
- --------------------------------------------------------------------------------
Property/Casualty Insurance -- 0.9%
Arch Capital Group* 4,100 250
FPIC Insurance Group* 2,650 102
Philadelphia Consolidated Holding* 5,450 185
PMA Capital, Cl A* 9,450 94
Safeco 4,300 231
Selective Insurance Group 3,100 158
WR Berkley 7,750 279
-----------
Total Property/Casualty Insurance 1,299
- --------------------------------------------------------------------------------
Publishing-Books -- 0.2%
Scholastic* 11,395 328
-----------
Total Publishing-Books 328
- --------------------------------------------------------------------------------
54
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Publishing-Newspapers -- 0.1%
Gannett 3,012 $ 157
-----------
Total Publishing-Newspapers 157
- --------------------------------------------------------------------------------
Publishing-Periodicals -- 0.1%
Playboy Enterprises, Cl B* 10,630 104
-----------
Total Publishing-Periodicals 104
- --------------------------------------------------------------------------------
Quarrying -- 0.3%
Vulcan Materials 6,844 458
-----------
Total Quarrying 458
- --------------------------------------------------------------------------------
Radio -- 0.2%
Radio One, Cl D* 31,020 223
Spanish Broadcasting System, Cl A* 22,265 102
-----------
Total Radio 325
- --------------------------------------------------------------------------------
Real Estate Management/Services -- 0.3%
CB Richard Ellis Group, Cl A* 10,665 251
Jones Lang LaSalle 2,500 204
-----------
Total Real Estate Management/Services 455
- --------------------------------------------------------------------------------
Real Estate Operation/Development -- 0.1%
Brookfield Properties 4,326 144
-----------
Total Real Estate Operation/Development 144
- --------------------------------------------------------------------------------
Reinsurance -- 0.8%
Allied World Assurance Holdings* 740 26
Aspen Insurance Holdings 11,920 281
Axis Capital Holdings 1,580 47
Endurance Specialty Holdings 6,110 186
Everest Re Group 310 29
Montpelier Re Holdings 12,900 233
Odyssey Re Holdings 1,085 29
PartnerRe 3,450 214
Platinum Underwriters Holdings 5,040 143
-----------
Total Reinsurance 1,188
- --------------------------------------------------------------------------------
REITs-Apartments -- 0.5%
Archstone-Smith Trust 3,286 172
AvalonBay Communities 1,178 138
Camden Property Trust 1,163 89
Equity Residential 4,253 198
GMH Communities Trust 4,369 55
Post Properties 1,200 57
United Dominion Realty Trust 3,454 96
-----------
Total REITs-Apartments 805
- --------------------------------------------------------------------------------
REITs-Diversified -- 0.3%
Digital Realty Trust 2,260 62
PS Business Parks 2,712 162
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
REITs-Diversified -- continued
Spirit Finance 2,549 $ 28
Vornado Realty Trust 1,939 203
-----------
Total REITs-Diversified 455
- --------------------------------------------------------------------------------
REITs-Health Care -- 0.1%
Omega Healthcare Investors 7,100 95
-----------
Total REITs-Health Care 95
- --------------------------------------------------------------------------------
REITs-Hotels -- 0.5%
Ashford Hospitality Trust 12,945 152
DiamondRock Hospitality 3,090 50
Hersha Hospitality Trust 1,484 14
Highland Hospitality 1,212 16
Host Hotels & Resorts 7,573 161
LaSalle Hotel Properties 5,831 241
Sunstone Hotel Investors 1,748 49
-----------
Total REITs-Hotels 683
- --------------------------------------------------------------------------------
REITs-Manufactured Homes -- 0.0%
Equity Lifestyle Properties 800 34
-----------
Total REITs-Manufactured Homes 34
- --------------------------------------------------------------------------------
REITs-Mortgage -- 0.0%
HomeBanc 9,045 74
-----------
Total REITs-Mortgage 74
- --------------------------------------------------------------------------------
REITs-Office Property -- 1.0%
Alexandria Real Estate Equities 1,039 98
American Financial Realty Trust 20,845 241
BioMed Realty Trust 3,364 100
Boston Properties 5,250 516
Columbia Equity Trust 2,178 33
Corporate Office Properties Trust 4,257 192
Mack-Cali Realty 1,878 91
Parkway Properties 2,650 120
SL Green Realty 486 56
-----------
Total REITs-Office Property 1,447
- --------------------------------------------------------------------------------
REITs-Regional Malls -- 0.4%
CBL & Associates Properties 4,300 168
General Growth Properties 2,608 119
Simon Property Group 3,780 323
Taubman Centers 1,317 55
-----------
Total REITs-Regional Malls 665
- --------------------------------------------------------------------------------
REITs-Shopping Centers -- 0.2%
Acadia Realty Trust 2,266 54
Kimco Realty 3,372 132
Regency Centers 1,453 93
Tanger Factory Outlet Centers 1,383 46
-----------
Total REITs-Shopping Centers 325
- --------------------------------------------------------------------------------
55
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
REITs-Storage -- 0.1%
Public Storage 1,653 $ 133
U-Store-It Trust 3,319 63
-----------
Total REITs-Storage 196
- --------------------------------------------------------------------------------
REITs-Warehouse/Industrial -- 0.1%
EastGroup Properties 1,025 48
Prologis 3,069 170
-----------
Total REITs-Warehouse/Industrial 218
- --------------------------------------------------------------------------------
Rental Auto/Equipment -- 0.2%
Aaron Rents 6,950 168
Dollar Thrifty Automotive Group* 3,200 143
-----------
Total Rental Auto/Equipment 311
- --------------------------------------------------------------------------------
Research & Development -- 0.1%
Kendle International* 4,700 137
-----------
Total Research & Development 137
- --------------------------------------------------------------------------------
Resorts/Theme Parks -- 0.1%
Intrawest 3,600 100
-----------
Total Resorts/Theme Parks 100
- --------------------------------------------------------------------------------
Respiratory Products -- 0.2%
Resmed* 2,645 123
Respironics* 3,300 117
-----------
Total Respiratory Products 240
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 0.5%
Charming Shoppes* 8,400 87
Chico's FAS* 4,075 92
Childrens Place Retail Stores* 3,500 195
Claire's Stores 5,100 128
Footstar* 20,770 93
JOS A Bank Clothiers* 4,300 108
Talbots 860 18
Urban Outfitters* 3,310 48
-----------
Total Retail-Apparel/Shoe 769
- --------------------------------------------------------------------------------
Retail-Building Products -- 0.6%
Home Depot 2,669 93
Lowe's 30,026 851
-----------
Total Retail-Building Products 944
- --------------------------------------------------------------------------------
Retail-Computer Equipment -- 0.1%
GameStop, Cl A* 3,325 138
-----------
Total Retail-Computer Equipment 138
- --------------------------------------------------------------------------------
Retail-Convenience Store -- 0.1%
Casey's General Stores 5,800 131
-----------
Total Retail-Convenience Store 131
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Discount -- 0.2%
Costco Wholesale 377 $ 20
Dollar General 7,397 99
Target 5,450 250
-----------
Total Retail-Discount 369
- --------------------------------------------------------------------------------
Retail-Drug Store -- 0.5%
CVS 23,540 770
-----------
Total Retail-Drug Store 770
- --------------------------------------------------------------------------------
Retail-Hypermarkets -- 0.1%
Wal-Mart de Mexico ADR, Cl V 3,400 105
-----------
Total Retail-Hypermarkets 105
- --------------------------------------------------------------------------------
Retail-Major Department Store -- 0.1%
Saks 6,000 97
Sears Holdings* 51 7
-----------
Total Retail-Major Department Store 104
- --------------------------------------------------------------------------------
Retail-Office Supplies -- 0.0%
OfficeMax 930 38
-----------
Total Retail-Office Supplies 38
- --------------------------------------------------------------------------------
Retail-Pawn Shops -- 0.2%
Cash America International 3,650 125
Ezcorp, Cl A* 2,750 114
-----------
Total Retail-Pawn Shops 239
- --------------------------------------------------------------------------------
Retail-Pet Food & Supplies -- 0.0%
Petco Animal Supplies* 1,380 39
-----------
Total Retail-Pet Food & Supplies 39
- --------------------------------------------------------------------------------
Retail-Petroleum Products -- 0.1%
World Fuel Services 3,850 182
-----------
Total Retail-Petroleum Products 182
- --------------------------------------------------------------------------------
Retail-Propane Distribution -- 0.1%
Star Gas Partners* 55,910 140
-----------
Total Retail-Propane Distribution 140
- --------------------------------------------------------------------------------
Retail-Regional Department Store -- 0.3%
Kohl's* 7,520 426
-----------
Total Retail-Regional Department Store 426
- --------------------------------------------------------------------------------
Retail-Restaurants -- 0.2%
Darden Restaurants 174 6
Jack in the Box* 2,600 102
Morton's Restaurant* 9,370 141
OSI Restaurant Partners 485 14
-----------
Total Retail-Restaurants 263
- --------------------------------------------------------------------------------
56
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Video Rental -- 0.2%
Blockbuster, Cl A 58,400 $ 239
-----------
Total Retail-Video Rental 239
- --------------------------------------------------------------------------------
Retirement/Aged Care -- 0.0%
Sunrise Senior Living* 1,030 30
-----------
Total Retirement/Aged Care 30
- --------------------------------------------------------------------------------
S&L/Thrifts-Eastern US -- 0.1%
NewAlliance Bancshares 1,880 27
WSFS Financial 800 49
-----------
Total S&L/Thrifts-Eastern US 76
- --------------------------------------------------------------------------------
S&L/Thrifts-Western US -- 0.4%
Golden West Financial 158 12
Washington Federal 8,425 188
Washington Mutual 7,910 354
-----------
Total S&L/Thrifts-Western US 554
- --------------------------------------------------------------------------------
Satellite Telecom -- 0.1%
Loral Space & Communications* 5,060 140
-----------
Total Satellite Telecom 140
- --------------------------------------------------------------------------------
Schools -- 0.0%
ITT Educational Services* 635 43
-----------
Total Schools 43
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 0.3%
Cypress Semiconductor* 1,840 28
Integrated Device Technology* 6,130 95
Marvell Technology Group* 6,200 115
Standard Microsystems* 3,500 93
United Microelectronics ADR 49,823 152
-----------
Total Semiconductor Components-
Integrated Circuits 483
- --------------------------------------------------------------------------------
Semiconductor Equipment -- 0.2%
Brooks Automation* 6,900 78
Cabot Microelectronics* 5,330 159
Credence Systems* 24,360 68
-----------
Total Semiconductor Equipment 305
- --------------------------------------------------------------------------------
Software Tools -- 0.0%
Borland Software* 11,470 64
-----------
Total Software Tools 64
- --------------------------------------------------------------------------------
Steel-Producers -- 0.3%
Evraz Group GDR 3,600 87
Evraz Group GDR 144A 800 19
Nucor 2,600 138
Olympic Steel 1,900 67
Schnitzer Steel Industries, Cl A 3,600 122
-----------
Total Steel-Producers 433
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Super-Regional Banks-US -- 0.8%
Bank of America 17,968 $ 926
Wells Fargo 4,168 301
-----------
Total Super-Regional Banks-US 1,227
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 0.2%
Arris Group* 1,030 11
CommScope* 3,700 115
Comtech Telecommunications* 4,550 126
Comverse Technology* 5,050 98
Plantronics 565 9
Tellabs* 600 6
-----------
Total Telecommunications Equipment 365
- --------------------------------------------------------------------------------
Telecommunications Equipment-Fiber Optics -- 0.2%
Corning* 16,900 322
-----------
Total Telecommunications
Equipment-Fiber Optics 322
- --------------------------------------------------------------------------------
Telecommunications Services -- 0.4%
Amdocs* 8,625 313
Embarq* 984 44
Iowa Telecommunications Services 5,630 110
Time Warner Telecom, Cl A* 7,600 127
-----------
Total Telecommunications Services 594
- --------------------------------------------------------------------------------
Telephone-Integrated -- 0.9%
BellSouth 1,839 72
IDT, Cl B* 8,960 120
Philippine Long Distance
Telephone ADR 3,100 121
Sprint Nextel 19,960 395
Verizon Communications 12,980 439
Windstream 12,195 153
-----------
Total Telephone-Integrated 1,300
- --------------------------------------------------------------------------------
Television -- 0.2%
Sinclair Broadcast Group, Cl A* 36,950 311
-----------
Total Television 311
- --------------------------------------------------------------------------------
Therapeutics -- 0.5%
CV Therapeutics* 2,070 25
Gilead Sciences* 11,310 695
Medicines* 2,470 52
-----------
Total Therapeutics 772
- --------------------------------------------------------------------------------
Tobacco -- 0.9%
Altria Group 7,694 615
Imperial Tobacco ADR 6,793 443
UST 6,321 320
-----------
Total Tobacco 1,378
- --------------------------------------------------------------------------------
57
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Tools-Hand Held -- 0.2%
Stanley Works 5,808 $ 263
-----------
Total Tools-Hand Held 263
- --------------------------------------------------------------------------------
Toys -- 0.1%
Mattel 11,306 204
-----------
Total Toys 204
- --------------------------------------------------------------------------------
Transactional Software -- 0.1%
Transaction Systems Architects* 2,900 107
-----------
Total Transactional Software 107
- --------------------------------------------------------------------------------
Transport-Equipment & Leasing -- 0.3%
GATX 9,150 359
Greenbrier 3,610 100
-----------
Total Transport-Equipment & Leasing 459
- --------------------------------------------------------------------------------
Transport-Marine -- 0.1%
Kirby* 3,800 122
Tsakos Energy Navigation 627 28
-----------
Total Transport-Marine 150
- --------------------------------------------------------------------------------
Transport-Rail -- 0.4%
Burlington Northern Santa Fe 3,915 270
Canadian Pacific Railway 3,700 177
CSX 2,800 170
-----------
Total Transport-Rail 617
- --------------------------------------------------------------------------------
Transport-Services -- 0.4%
Bristow Group* 3,900 132
FedEx 3,842 403
UTI Worldwide 4,085 95
-----------
Total Transport-Services 630
- --------------------------------------------------------------------------------
Transport-Truck -- 0.2%
Celadon Group* 7,362 129
JB Hunt Transport Services 7,300 150
-----------
Total Transport-Truck 279
- --------------------------------------------------------------------------------
Veterinary Diagnostics -- 0.2%
VCA Antech* 8,195 287
-----------
Total Veterinary Diagnostics 287
- --------------------------------------------------------------------------------
Vitamins & Nutrition Products -- 0.1%
Herbalife* 4,710 168
-----------
Total Vitamins & Nutrition Products 168
- --------------------------------------------------------------------------------
Web Portals/ISP -- 0.7%
Google, Cl A* 2,435 941
Netease.com ADR* 3,100 54
-----------
Total Web Portals/ISP 995
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Wire & Cable Products -- 0.0%
General Cable* 1,775 $ 63
-----------
Total Wire & Cable Products 63
- --------------------------------------------------------------------------------
Wireless Equipment -- 1.0%
American Tower, Cl A* 18,035 610
Nokia ADR 22,658 450
Qualcomm 12,660 446
-----------
Total Wireless Equipment 1,506
-----------
Total Common Stock (Cost $87,780) 90,908
- --------------------------------------------------------------------------------
Foreign Common Stock -- 17.7%
Australia -- 1.6%
BHP Billiton 9,716 205
CSL 2,182 88
CSR 39,307 102
Insurance Australia Group 2,487 10
Leighton Holdings 14,150 209
Oxiana 124,048 290
Promina Group 26,659 112
QBE Insurance Group 6,015 102
Rio Tinto 10,871 619
Santos 54,512 482
St George Bank 7,689 169
-----------
Total Australia 2,388
- --------------------------------------------------------------------------------
Austria -- 0.1%
Andritz 200 35
Voestalpine 1,127 167
-----------
Total Austria 202
- --------------------------------------------------------------------------------
Belgium -- 0.6%
Belgacom 200 7
Colruyt* 113 18
Dexia 17,479 428
Fortis 6,700 239
KBC Groep 2,422 264
-----------
Total Belgium 956
- --------------------------------------------------------------------------------
Bermuda -- 0.0%
Catlin Group 1,644 13
-----------
Total Bermuda 13
- --------------------------------------------------------------------------------
Canada -- 0.4%
EnCana 1,800 97
Husky Energy 500 34
Imperial Oil 4,200 152
IPSCO 700 66
Teck Cominco, Cl B 100 7
TELUS 5,200 219
-----------
Total Canada 575
- --------------------------------------------------------------------------------
58
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Denmark -- 0.1%
D/S Torm A/S 250 $ 12
Jyske Bank* 1,500 84
-----------
Total Denmark 96
- --------------------------------------------------------------------------------
Finland -- 0.3%
Fortum 7,000 190
Metso 900 32
Rautaruukki 600 17
Sampo, Cl A 9,100 172
-----------
Total Finland 411
- --------------------------------------------------------------------------------
France -- 1.6%
Assurances Generales de France 200 24
AXA 1,000 34
BNP Paribas 6,296 613
Bouygues 9,693 484
Compagnie Generale des
Etablissements Michelin, Cl B 4,818 293
Credit Agricole 3,048 123
France Telecom 650 14
PagesJaunes Groupe 350 10
Societe Generale 3,864 577
Total 1,060 72
Vallourec 955 208
-----------
Total France 2,452
- --------------------------------------------------------------------------------
Germany -- 1.5%
Allianz 112 18
BASF 110 9
Beiersdorf 1,905 100
Commerzbank 545 19
Deutsche Bank 1,707 196
Deutsche Boerse 1,854 263
Deutsche Lufthansa 31,327 585
Deutz* 3,029 26
Freenet.de 194 4
Hochtief 973 51
MAN 4,647 336
Puma 387 140
Salzgitter 3,566 281
Solarworld 2,890 157
ThyssenKrupp 1,779 62
-----------
Total Germany 2,247
- --------------------------------------------------------------------------------
Greece -- 0.0%
Intracom Holdings 990 6
-----------
Total Greece 6
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Hong Kong -- 0.4%
ASM Pacific Technology 7,000 $ 35
China Resources Enterprise 40,000 88
CNOOC 238,000 204
Lee & Man Paper Manufacturing 30,000 46
Shanghai Real Estate 224,000 47
Solomon Systech International 98,000 24
Television Broadcasts 6,000 37
VTech Holdings 4,326 24
Wumart Stores, Cl H 15,000 46
Zijin Mining Group, Cl H 98,000 52
-----------
Total Hong Kong 603
- --------------------------------------------------------------------------------
Hungary -- 0.0%
OTP Bank 2,200 66
-----------
Total Hungary 66
- --------------------------------------------------------------------------------
Indonesia -- 0.2%
Bakrie and Brothers* 2,371,000 44
Bank Niaga 980,000 69
Perusahaan Gas Negara 49,000 64
Ramayana Lestari Sentosa 750,000 65
-----------
Total Indonesia 242
- --------------------------------------------------------------------------------
Italy -- 0.6%
Banca Intesa 2,671 15
Capitalia 716 6
ENI 25,329 777
IFIL Investments 17,427 102
UniCredito Italiano 1,136 9
-----------
Total Italy 909
- --------------------------------------------------------------------------------
Japan -- 3.2%
ABILIT 2,300 12
Advantest 2,300 221
Bosch 4,000 20
Canon 4,600 220
Chiba Bank 14,000 137
Diamond Lease 1,000 47
Fujitsu Frontech 3,200 24
Haseko* 5,500 19
Hitachi 41,000 260
JFE Holdings 2,800 112
JFE Shoji Holdings 3,000 13
Kansai Electric Power 3,900 90
Kawasaki Kisen Kaisha 75 --
KDDI 75 487
Marubeni 39,000 207
Mitsui OSK Lines 600 4
Mitsui Trust Holdings 3,000 33
Mizuho Financial Group 50 420
- --------------------------------------------------------------------------------
59
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Japan -- continued
Nippon Steel 400 $ 2
ORIX 3,180 830
Santen Pharmaceutical 1,535 37
SBI Holdings 175 69
Sega Sammy Holdings 800 27
Sharp 11,000 186
Shinko Electric Industries 4,600 137
Sumisho Lease 2,700 141
Sumitomo Metal Mining 12,000 169
Suzuki Motor 12,800 314
Tokyo Electron 3,600 229
Tokyo Steel Manufacturing 5,200 97
Towa Real Estate Development* 6,000 27
UFJ Central Leasing 300 15
Yamaha Motor 6,100 159
Yamato Kogyo 1,600 35
Yamazen 2,000 11
-----------
Total Japan 4,811
- --------------------------------------------------------------------------------
Malaysia -- 0.0%
Transmile Group BHD 17,000 59
-----------
Total Malaysia 59
- --------------------------------------------------------------------------------
Mexico -- 0.1%
GEO SA de CV, Ser B* 42,000 166
-----------
Total Mexico 166
- --------------------------------------------------------------------------------
Netherlands -- 1.5%
ABN AMRO Holding 6,902 191
Aegon 17,962 304
ING Groep 17,735 720
Mittal Steel 1,854 63
Nutreco Holding 117 7
Royal Dutch Shell, Cl A 27,366 970
Unilever* 684 16
-----------
Total Netherlands 2,271
- --------------------------------------------------------------------------------
New Zealand -- 0.2%
Fletcher Building 43,888 236
-----------
Total New Zealand 236
- --------------------------------------------------------------------------------
Philippines -- 0.1%
Universal Robina 250,000 92
-----------
Total Philippines 92
- --------------------------------------------------------------------------------
Portugal -- 0.0%
Banco Comercial Portugues 9,600 28
-----------
Total Portugal 28
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Singapore -- 0.2%
Singapore Telecommunications 68,000 $ 111
United Overseas Bank 20,000 198
-----------
Total Singapore 309
- --------------------------------------------------------------------------------
South Africa -- 0.1%
Network Healthcare Holdings 36,000 50
Standard Bank Group 5,600 62
-----------
Total South Africa 112
- --------------------------------------------------------------------------------
South Korea -- 0.5%
Amorepacific* 1 --
Daegu Bank 11,600 210
Hanmi Pharm 1,700 171
Korea Investment Holdings 2,810 105
Korean Reinsurance 9,888 114
NHN* 390 43
Shinsegae 220 109
-----------
Total South Korea 752
- --------------------------------------------------------------------------------
Spain -- 0.8%
Banco Santander Central Hispano 52,261 792
Fomento de Construcciones y Contratas 1,797 140
Obrascon Huarte Lain 900 17
Telefonica 16,199 274
-----------
Total Spain 1,223
- --------------------------------------------------------------------------------
Sweden -- 0.5%
JM 2,616 38
Lindex 3,200 43
Nordea Bank 58,500 734
-----------
Total Sweden 815
- --------------------------------------------------------------------------------
Switzerland -- 0.5%
Compagnie Financiere Richemont 277 13
Converium Holding 3,683 41
Credit Suisse Group 3,360 188
Geberit 10 11
Swiss Life Holding* 80 19
Xstrata 2,500 107
Zurich Financial Services 1,391 313
-----------
Total Switzerland 692
- --------------------------------------------------------------------------------
Thailand -- 0.2%
Amata 119,000 50
Bangkok Bank 59,000 165
Italian-Thai Development 421,000 59
-----------
Total Thailand 274
- --------------------------------------------------------------------------------
United Kingdom -- 2.4%
Antofagasta 69,910 546
Ashtead 34,661 90
- --------------------------------------------------------------------------------
60
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
United Kingdom -- continued
AstraZeneca 5,465 $ 334
Aviva 1,000 13
Barclays 11,605 136
BHP Billiton 7,599 144
BP 500 6
British Airways* 5,100 37
British American Tobacco 2,448 66
BT Group 2,168 10
Diageo 664 12
Drax Group* 8,020 134
Gallaher Group 8,875 148
Group 4 Securicor 6,498 20
Halfords Group 1,900 10
Hays 59,219 148
HBOS 8,670 158
HSBC Holdings 1,533 28
Imperial Tobacco Group 3,183 104
International Power 17,000 93
Kazakhmys 4,890 114
Kelda 1,400 22
Marks & Spencer 26,450 295
National Express 5,800 89
NETeller* 10,959 78
Next 466 15
Photo-me International 6,000 12
Reckitt Benckiser 582 23
Rio Tinto 500 26
Royal Dutch Shell, Cl B 3,447 127
SABMiller 641 13
Scottish & Southern Energy 3,100 70
Sheffield Insulation 1,600 28
Shire 188 3
Sportingbet 10,641 49
Standard Chartered 12,714 322
Tate & Lyle 7,799 100
Unilever 345 8
Vodafone Group (B) 2,398 5
Vodafone Group, Cl B* (B) 2,741 1
-----------
Total United Kingdom 3,637
-----------
Total Foreign Common Stock (Cost $23,921) 26,643
- --------------------------------------------------------------------------------
Foreign Preferred Stock -- 0.3%
Germany -- 0.3%
Porsche 408 400
-----------
Total Foreign Preferred Stock (Cost $309) 400
- --------------------------------------------------------------------------------
Investment Companies -- 0.1%
Index Fund-Small Cap -- 0.1%
iShares Russell 2000 Value Index Fund 1,400 100
-----------
Total Index Fund-Small Cap 100
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Index Fund-Midcap -- 0.0%
iShares Russell Midcap Value Index Fund 700 $ 92
-----------
Total Index Fund-Mid Cap 92
- --------------------------------------------------------------------------------
Total Investment Companies (Cost $190) 192
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 5.9%
U.S. Treasury Bonds
5.375%, 02/15/31 $ 755 781
5.125%, 05/15/16 1,620 1,637
4.875%, 05/31/08 535 534
4.500%, 02/15/16 430 414
3.375%, 09/15/09 600 573
U.S. Treasury Notes
4.875%, 05/15/09 35 35
4.875%, 05/31/11 904 902
4.500%, 02/28/11 460 452
4.500%, 11/15/15 275 265
3.875%, 07/31/07 155 153
3.875%, 07/15/10 2,260 2,179
2.875%, 11/30/06 1,000 993
-----------
Total U.S. Treasury Obligations
(Cost $9,010) 8,918
- --------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Obligations -- 6.2%
Federal Home Loan Mortgage Corporation
6.500%, 04/01/35 7 7
6.000%, 08/01/29 11 11
5.875%, 03/21/11 25 25
5.500%, 09/01/17 14 14
5.500%, 09/01/19 52 51
5.500%, 08/01/20 296 293
5.500%, 02/01/21 47 46
5.500%, 02/01/21 244 241
5.500%, 05/01/21 88 87
5.500%, 10/01/34 24 23
5.500%, 01/01/35 42 41
5.500%, 02/01/35 77 75
5.500%, 03/01/35 83 81
5.500%, 06/01/35 282 274
5.000%, 05/01/20 528 512
5.000%, 07/01/20 293 284
5.000%, 10/01/20 112 109
4.400%, 07/28/08 150 148
Federal Home Loan Mortgage
Corporation-Gold TBA
6.000%, 08/01/36 530 527
Federal Home Loan Mortgage
Corporation-Gold
5.000%, 06/01/18 55 53
5.000%, 12/01/20 132 128
Federal National Mortgage Association
6.500%, 03/01/35 152 154
6.500%, 05/01/36 307 310
6.500%, 05/01/36 516 522
- --------------------------------------------------------------------------------
61
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Federal National Mortgage Association -- continued
6.250%, 02/01/11 $ 275 $ 284
6.000%, 01/01/29 79 79
6.000%, 08/01/32 86 87
6.000%, 07/01/36 325 323
6.000%, 07/01/36 1,250 1,242
6.000%, 08/01/36 60 60
5.500%, 03/01/20 36 36
5.500%, 12/01/33 119 116
5.500%, 09/01/34 236 230
5.500%, 03/01/35 105 102
5.500%, 06/01/35 201 196
5.500%, 07/01/35 679 660
5.500%, 09/01/35 172 168
5.500%, 10/01/35 14 14
5.500%, 03/01/36 276 268
5.500%, 04/01/36 191 185
5.125%, 01/02/14 100 97
5.000%, 04/01/19 83 80
5.000%, 10/01/19 48 47
5.000%, 09/01/20 5 5
5.000%, 08/01/34 220 218
4.500%, 08/04/08 475 468
4.500%, 09/01/35 307 282
-----------
Total U.S. Government Agency Mortgage-
Backed Obligations (Cost $9,345) 9,263
- --------------------------------------------------------------------------------
Corporate Bonds -- 3.2%
Abbott Laboratories
5.600%, 05/15/11 40 40
America Movil
6.375%, 03/01/35 20 18
American General Finance, Ser G MTN
5.375%, 09/01/09 70 70
Ameriprise Financial
5.350%, 11/15/10 55 54
Amgen
4.000%, 11/18/09 35 33
AOL Time Warner
7.700%, 05/01/32 50 54
6.875%, 05/01/12 90 93
Appalachian Power
5.550%, 04/01/11 75 74
AT&T Wireless
8.750%, 03/01/31 40 49
7.875%, 03/01/11 65 70
Bank One
5.900%, 11/15/11 65 66
5.250%, 01/30/13 90 88
Canadian National Railway
5.800%, 06/01/16 100 101
Capital One Financial
4.800%, 02/21/12 80 76
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Carnival
3.750%, 11/15/07 $ 65 $ 63
Caterpillar Financial Services
5.050%, 12/01/10 50 49
ChevronTexaco
3.500%, 09/17/07 100 98
Chubb
4.934%, 11/16/07 150 149
Cisco Systems
5.500%, 02/22/16 120 117
5.250%, 02/22/11 50 49
Columbus Southern Power, Ser C
5.500%, 03/01/13 65 64
Comcast
7.625%, 02/15/08 20 21
6.500%, 01/15/15 90 91
5.300%, 01/15/14 45 43
Countrywide Home Loan MTN
4.125%, 09/15/09 60 57
DaimlerChrysler
4.750%, 01/15/08 25 25
Deutsche Telekom
8.000%, 06/15/10 60 65
ERP Operating
5.125%, 03/15/16 50 47
General Electric Capital, Ser A MTN
6.875%, 11/15/10 80 84
4.375%, 03/03/12 75 71
Georgia Power, Ser J
4.875%, 07/15/07 25 25
Hewlett-Packard
5.750%, 12/15/06 60 60
Home Depot
5.400%, 03/01/16 110 107
HSBC Finance
5.500%, 01/19/16 85 82
4.750%, 04/15/10 45 44
John Deere Capital
5.400%, 04/07/10 55 55
John Deere Capital,
Ser D MTN
4.400%, 07/15/09 15 15
Lockheed Martin
7.200%, 05/01/36 35 40
Merrill Lynch
5.450%, 07/15/14 105 103
Metlife
5.375%, 12/15/12 50 49
5.000%, 06/15/15 85 80
Midamerican Energy Holdings 144A
5.875%, 10/01/12 200 200
Morgan Stanley
4.000%, 01/15/10 85 81
- --------------------------------------------------------------------------------
62
<page>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Bonds -- continued
Motorola
8.000%, 11/01/11 $ 50 $ 55
Nextel Communications, Ser C,
Callable: 10/31/11 @ 100
6.875%, 10/31/13 105 106
Pemex Project
8.500%, 02/15/08 140 145
PNC Funding
4.200%, 03/10/08 115 113
Prologis Trust
7.100%, 04/15/08 30 31
Prudential Financial MTN
3.750%, 05/01/08 25 24
Prudential Financial, Ser B MTN
5.100%, 09/20/14 45 43
PSE&G Power
7.750%, 04/15/11 85 91
6.950%, 06/01/12 55 58
PSI Energy
6.050%, 06/15/16 40 40
SBC Communications
5.100%, 09/15/14 115 108
Schering-Plough
6.750%, 12/01/33 70 73
Shell International
5.625%, 06/27/11 100 101
SLM
5.450%, 04/25/11 110 109
Southern Company Capital Funding, Ser A
5.300%, 02/01/07 35 35
Telecom Italia Capital
4.000%, 11/15/08 65 63
Verizon Global
4.000%, 01/15/08 50 49
Verizon Wireless Capital
5.375%, 12/15/06 45 45
Viacom 144A
6.250%, 04/30/16 115 111
Wachovia
5.700%, 08/01/13 150 151
Washington Mutual Financial
6.875%, 05/15/11 40 42
Wellpoint
3.750%, 12/14/07 40 39
Weyerhaeuser
5.950%, 11/01/08 15 15
Wyeth
5.500%, 02/01/14 70 69
Xcel Energy
7.000%, 12/01/10 135 142
-----------
Total Corporate Bonds (Cost $4,877) 4,778
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Foreign Bonds -- 0.6%
Canada (CAD)
5.750%, 06/01/33 70 $ 75
5.250%, 06/01/13 86 80
Citigroup (JPY)
2.400%, 10/31/25 5,000 41
Deutschland (EUR)
3.750%, 07/04/13 121 154
Deutschland Republic (EUR)
3.500%, 01/04/16 70 87
Netherlands Government (EUR)
4.250%, 07/15/13 60 79
Norwegian Government (NOK)
6.500%, 05/15/13 414 76
5.000%, 05/15/15 450 77
United Kingdom Gilt (GBP)
4.000%, 09/07/16 170 302
-----------
Total Foreign Bonds (Cost $964) 971
- --------------------------------------------------------------------------------
Asset-Backed Securities -- 0.2%
Citigroup Commercial Mortgage,
Ser 2004-C2, Cl A3
4.380%, 10/15/41 $ 225 213
JP Morgan Chase CMO,
Ser 2005-LDP1, Cl A2
4.625%, 03/15/46 108 105
JP Morgan Chase Commercial Mortgage,
Ser 2004-CBX, Cl A4
4.529%, 01/12/37 25 24
Residential Asset Mortgage Program,
Ser 2004-RS12, Cl AI2
3.767%, 02/25/27 9 8
-----------
Total Asset-Backed Securities (Cost $358) 350
- --------------------------------------------------------------------------------
Mortgage Related -- 1.2%
Banc of America Mortgage CMO,
Ser 2004-8, Cl 3a1
5.250%, 10/25/19 437 428
Bear Stearns ARM CMO,
Ser 2005-11, Cl 2a1
4.760%, 12/25/35 111 109
Bear Stearns CMO,
Ser 2006-T22, Cl A2
5.467%, 04/12/38 215 215
Bear Stearns Commercial Mortgage,
Ser 2004-PWR5, Cl A4
4.831%, 07/11/42 100 95
Bear Stearns Commercial Mortgage,
Ser 2005-t20, Cl A2
5.127%, 10/12/42 130 128
Chase Mortgage Finance CMO,
Ser 2004-s1, Cl A3
5.500%, 02/25/19 14 14
- --------------------------------------------------------------------------------
63
<page>
OLD MUTUAL ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Face Amount
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Mortgage Related -- continued
Countrywide Alternative Loan Trust,
Ser 2005-53-t2, Cl 2a1
6.000%, 11/25/35 $ 239 $ 235
Countrywide Home Loans CMO,
Ser 2005-hyb8, Cl 2a1
5.376%, 12/20/35 210 208
FPL Group Capital
5.551%, 02/16/08 35 35
Prime Mortgage Trust CMO,
Ser 2005-2, Cl 1a3
5.250%, 07/25/20 335 330
-----------
Total Mortgage Related (Cost $1,809) 1,797
- --------------------------------------------------------------------------------
Repurchase Agreement -- 3.9%
Deutsche Bank
5.250%, dated 07/31/06, to be
repurchased 08/01/06, repurchase
price $5,810,407 (collateralized by a
U.S. Government obligation, par value
$5,947,000, 4.250%, 11/30/07, total
market value $5,926,384) (A) 5,810 5,810
-----------
Total Repurchase Agreement (Cost $5,810) 5,810
- --------------------------------------------------------------------------------
Warrants -- 0.3%
Alpha Networks 144A, expires
4/27/09 (B)* 110,000 104
Indiabulls Financial Services 144A,
expires 6/15/09 (B)* 26,600 140
IVRCL Infrastructures & Projects
144A, expires 11/17/08 (B)* 10,500 42
Test-Rite International 144A,
expires 3/30/09 (B)* 167,000 108
Unimicron Technology 144A, expires
3/30/09 (B)* 39,000 48
-----------
Total Warrants (Cost $485) 442
- --------------------------------------------------------------------------------
Total Investments -- 100.1% (Cost $144,858) 150,472
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- (0.1)%
Payable for Investment Advisory Fees (63)
Payable for Administration Fees (15)
Payable for Distribution Fees (89)
Payable for Investment Securities Purchased (1,635)
Other Assets and Liabilities, Net 1,693
- --------------------------------------------------------------------------------
Total Other Assets and Liabilities (109)
- --------------------------------------------------------------------------------
Net Assets -- 100.0% $ 150,363
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-Capital ($0.001 par value, unlimited
authorization) $ 142,328
Undistributed net investment income 296
Accumulated net realized gain on investments 2,170
Unrealized appreciation on investments 5,614
Unrealized depreciation on forward foreign currency
contracts and translation of other assets and
liabilities denominated in foreign currency (45)
-----------
Net Assets $ 150,363
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($46,241,865 / 3,832,180 shares) $12.07
- --------------------------------------------------------------------------------
Maximum Offering Price Per Share -- Class A
($12.07/94.25%) $12.81
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class C+
($95,983,765 / 8,031,376 shares) $11.95
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class Z**
($1,045 / 86 shares) $12.12
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($8,136,655 / 671,540 shares) $12.12
- --------------------------------------------------------------------------------
64
<page>
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security
** Net assets divided by shares do not calculate to the stated NAV because these
amounts are shown rounded.
+ Class C shares have a contingent deferred sales
charge. For a description of a possible sales charge, please see the
Fund's prospectus.
144A -- Security sold within the terms of a private placement memorandum,
which is exempt from registration under Sections 3a-4 or 4(2) of the
Securities Act of 1933, as amended or Rule 144A thereunder, and may be
sold only to dealers in that program or other accredited investors. On
July 31, 2006, the value of these securities amounted to $1,326 (000),
representing 0.9% of the net assets of the Fund.
(A) -- Tri-party repurchase agreement
(B) -- Securities fair valued using methods determined in good faith according
to procedures adopted by the Fair Valuation Committee of the Board of
Trustees. At July 31, 2006, the total value of these securities was $448
(000), representing 0.3% of the net assets of the Fund.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
B2B -- Business to Business
CAD -- Canadian Dollar
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
GBP -- British Pound
GDR -- Global Depositary Receipt
HMO -- Health Maintenance Organization
ISP -- Internet Service Provider
JPY -- Japanese Yen
MTN -- Medium-Term Note
NOK -- Norwegian Krone
R&D -- Research and Development
REITs -- Real Estate Investment Trusts
S&L -- Savings and Loan
Ser -- Series
TBA -- To be Announced
Amounts designated as "--" are either 0 or have been rounded to 0.
Cost figures are shown with "000's" omitted.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
As of July 31, 2006, the Fund had the following forward foreign currency
contracts outstanding:
Unrealized
Settlement Currency Currency Contract Appreciation/
Date to Deliver to Receive Value (Depreciation)
- ---------- --------------- ---------------- --------- --------------
8/16/06 GBP 89,395 AUD 223,859 $171,422 $ 4,388
8/16/06 AUD 59,918 EUR 34,642 44,297 (1,585)
8/16/06 AUD 175,5818 USD 130,000 134,453 (4,453)
8/16/06 CAD 142,7258 USD 125,417 126,216 (799)
8/16/06 DKK 1,217,770 EUR 163,231 208,726 (1)
8/16/06 EUR 14,489 CAD 20,744 18,345 (183)
8/16/06 EUR 129,521 DKK 966,111 165,592 (28)
8/16/06 EUR 325,563 JPY 46,978,680 410,872 (5,429)
8/16/06 EUR 46,592 SEK 429,577 59,737 159
8/16/06 EUR 55,048 USD 69,544 70,391 (847)
8/16/06 GBP 88,022 EUR 127,258 162,726 (1,743)
8/16/06 GBP 72,000 USD 132,802 134,532 (1,730)
8/16/06 JPY 18,783,774 USD 163,072 164,282 (1,210)
8/16/06 NOK 455,002 EUR 58,409 74,688 636
8/16/06 SEK 352,814 USD 49,342 49,062 280
8/16/06 USD 18,187 AUD 24,412 18,694 507
8/16/06 USD 177,158 CAD 199,524 176,444 (714)
8/16/06 USD 83,569 DKK 484,029 82,963 (606)
8/16/06 USD 2,042,292 EUR 1,586,828 2,029,696 (12,596)
8/16/06 USD 435,084 GBP 234,417 438,010 2,926
8/16/06 USD 1,079,284 JPY 121,087,390 1,059,353 (19,931)
8/16/06 USD 49,279 NOK 297,644 48,442 (837)
---------
TOTAL $(43,796)
=========
AUD -- Australian Dollar
CAD -- Canadian Dollar
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
NOK -- Norwegian Krone
SEK -- Swedish Krona
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
65
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
PERFORMANCE HIGHLIGHTS
O FOR THE ONE-YEAR PERIOD ENDED JULY 31, 2006, THE OLD MUTUAL ASSET ALLOCATION
GROWTH PORTFOLIO OUTPERFORMED THE S&P 1500 INDEX.
O THE FUND BENEFITED SIGNIFICANTLY FROM ITS INTERNATIONAL EQUITY ALLOCATION
DURING THE PERIOD.
O A RELATIVE UNDERWEIGHT TO REAL ESTATE INVESTMENT TRUSTS ("REITS") DETRACTED
FROM PERFORMANCE.
Q. How did the Fund perform relative to its benchmark?
A. For the one-year period ended July 31, 2006, the Old Mutual Asset Allocation
Growth Portfolio outperformed the S&P 1500 Index. The Fund's Class A shares
gained 9.75% at net asset value for the one-year time frame, while the S&P
1500 Index returned 5.24%. Performance for all share classes can be found on
page 68.
Q. What investment environment did the Fund face during the past year?
A. Volatile markets and conflicting fears made for a rough ride during the
fiscal year, even as stocks showed great resilience in climbing a proverbial
wall of worry. While monetary tightening, natural disasters, rising energy
prices, war, the flattening yield curve, and inflationary pressures fueled
potent crosscurrents, economic growth and corporate earnings, both
considered key drivers of stock market performance, remained robust.
Continued growth in corporate profits also provided companies with necessary
cash to spruce up balance sheets, boost dividends, repurchase stock, fund
expansion, and target acquisitions. These outward signs of corporate health
proved positive for stocks in which the Fund invests.
Q. Which market factors influenced the Fund's relative performance?
A. International stocks and real estate investments were the standout
performers for the period. The Fund's strategic allocation to international
stocks of developed and emerging-market countries contributed significantly
to performance, while a relative underweight to Real Estate Investment
Trusts ("REITs") detracted from performance. On the U.S. front, stocks in
small- and mid-capitalization companies saw stronger performance than large
caps, and value style equity investments outperformed growth. Dynamic
decisions to overweight large-cap value stocks in the Fund's portfolio
contributed positively to performance.
Q. How did portfolio composition affect Fund performance?
A. The Fund benefited significantly from its international equity allocation
during the period. The international equity mandate sub-advised by Acadian
Asset Management, Inc. and the emerging markets equity mandate sub-advised
by Clay Finlay Inc. produced strong returns during the year ended July 31,
2006. Despite the strong absolute gains posted by the international equity
component, Provident Investment Counsel, Inc.'s mid-capitalization growth
strategy and Thompson, Siegel & Walmsley, Inc.'s mid-capitalization value
strategy and small-capitalization value strategy were the top performing
mandates during the period on a relative basis. The Fund's allocation to the
Barrow, Hanley, Mewhinney & Strauss, Inc. large-capitalization value
strategy was a slight drag on relative performance despite producing strong
absolute performance. Liberty Ridge Capital, Inc.'s large-capitalization
growth strategy and small-capitalization blend strategy also detracted from
relative results during the period.
The Fund's three largest individual contributors to performance were Mizuho
Financial Group; materials company, Antofagasta; and international financial
marketplace operator, Deutsche Boerse. Detracting from Fund performance
during the period were Chico's FAS, a private label clothing and gift item
retailer; American Power Conversion, a power protection and management
solution provider; and UnitedHealth Group, a health care service provider.
Asset Allocation Growth Portfolio
66
<page>
Q. What is the investment outlook for the global stock market?
A. Ibbotson Associates Advisors, LLC ("Ibbotson"), the Fund's strategic asset
allocation consultant, is forecasting a slowdown in returns for the real
estate sector. The firm notes that the effects of the increase in borrowing
costs have begun to affect the valuations of the real estate market. From an
equity capitalization perspective, Ibbotson believes that the persistent
outperformance of U.S. small-capitalization stocks appears to be fading,
thus giving way to a phase of large-capitalization stock outperformance.
And, on the fixed-income front, Ibbotson believes that the Federal Reserve
may continue to increase short-term interest rates, but the firm notes that
there is not a clear near-term direction for long-term yields. Over the
longer term, however, Ibbotson expects an increase in long-term yields.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
Exxon Mobil 1.0%
- --------------------------------------
UnitedHealth Group 0.9%
- --------------------------------------
Citigroup 0.9%
- --------------------------------------
JPMorgan Chase 0.8%
- --------------------------------------
ENI 0.8%
- --------------------------------------
Google, Cl A 0.7%
- --------------------------------------
Lowe's 0.7%
- --------------------------------------
Royal Dutch Shell, Cl A 0.7%
- --------------------------------------
SLM 0.7%
- --------------------------------------
CVS 0.7%
- --------------------------------------
As a % of Total
Fund Investments 7.9%
- --------------------------------------
Asset Allocation Growth Portfolio
67
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Since Inception
- ---------------------------------------------------------------------------------------------------------------------------
Class A with front-end load 9/30/04 3.47% 10.93%
Class A without load 9/30/04 9.75% 14.57%
Class C with deferred sales load 9/30/04 7.97% 13.71%
Class C without deferred sales load 9/30/04 8.97% 13.71%
Class Z 12/09/05 n/a 5.23% 1
Institutional Class 9/30/04 10.08% 14.87%
S&P 500 Index 2 9/30/04 5.38% 9.66%
S&P 1500 Index 9/30/04 5.24% 10.23%
- ---------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative indexes can be found on pages 1 and 2.
1 Not annualized.
2 The Fund's performance will no longer be compared to the S&P 500 Index, as the
S&P 1500 Index, which is invested in a broader range of securities, better
reflects the Fund's investment strategy.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM
ASSET ALLOCATION ASSET ALLOCATION ASSET ALLOCATION
GROWTH PORTFOLIO, GROWTH PORTFOLIO, GROWTH PORTFOLIO, S&P
CLASS A CLASS C INSTITUTIONAL CLASS 1500 INDEX S&P 500 INDEX
7/31/2006 $ 9425 $10000 $10000 $10000 $10000
9/30/2004 11019 11615 11711 11359 11237
7/31/2005 12093 12657 12892 11954 11842
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Fund's Class A, C and Institutional shares on the
inception date of 9/30/04 to an investment made in unmanaged securities indexes
on that date. The performance of the Fund's Class A shares shown in the line
graph takes into account the maximum initial sales charge. The Fund's
performance in this chart and the performance table assumes reinvestment of
dividends and capital gain distributions but does not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or on the redemption of
Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
Investment Companies (0.1%)
Warrants (0.4%)
Repurchase Agreement (2.4%)
Foreign Common Stock (21.8%)
Common Stock (75.3%)
68
<page>
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 75.2%
Advertising Services -- 0.1%
Getty Images* 1,060 $ 49
-----------
Total Advertising Services 49
- --------------------------------------------------------------------------------
Aerospace/Defense -- 1.0%
Boeing 5,940 460
Empresa Brasileira de Aeronautica ADR 2,400 83
Lockheed Martin 431 34
Rockwell Collins 5,400 288
Teledyne Technologies* 1,510 58
-----------
Total Aerospace/Defense 923
- --------------------------------------------------------------------------------
Aerospace/Defense-Equipment -- 0.4%
Alliant Techsystems* 1,750 140
BE Aerospace* 1,270 32
Curtiss-Wright 2,900 84
DRS Technologies 2,600 120
Goodrich 640 26
-----------
Total Aerospace/Defense-Equipment 402
- --------------------------------------------------------------------------------
Agricultural Chemicals -- 0.7%
Agrium 4,700 114
Monsanto 12,480 536
-----------
Total Agricultural Chemicals 650
- --------------------------------------------------------------------------------
Agricultural Operations -- 0.5%
Archer-Daniels-Midland 6,967 307
Delta & Pine Land 1,970 67
Tejon Ranch* 1,930 79
-----------
Total Agricultural Operations 453
- --------------------------------------------------------------------------------
Airlines -- 0.2%
AMR* 3,200 70
Mesa Air Group* 8,100 69
Republic Airways Holdings* 3,630 60
-----------
Total Airlines 199
- --------------------------------------------------------------------------------
Apparel Manufacturers -- 0.1%
Maidenform Brands* 5,030 67
-----------
Total Apparel Manufacturers 67
- --------------------------------------------------------------------------------
Applications Software -- 0.1%
Citrix Systems* 895 28
Nuance Communications* 1,080 10
Satyam Computer Services ADR 850 30
-----------
Total Applications Software 68
- --------------------------------------------------------------------------------
Auction House/Art Dealer -- 0.1%
Sotheby's* 3,200 88
-----------
Total Auction House/Art Dealer 88
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
B2B/E-Commerce -- 0.0%
i2 Technologies* 2,460 $ 31
-----------
Total B2B/E-Commerce 31
- --------------------------------------------------------------------------------
Batteries/Battery Systems -- 0.1%
Greatbatch* 2,715 67
-----------
Total Batteries/Battery Systems 67
- --------------------------------------------------------------------------------
Beverages-Non-Alcoholic -- 0.1%
Coca-Cola Enterprises 5,400 116
-----------
Total Beverages-Non-Alcoholic 116
- --------------------------------------------------------------------------------
Beverages-Wine/Spirits -- 0.0%
Brown-Forman, Cl B 581 43
-----------
Total Beverages-Wine/Spirits 43
- --------------------------------------------------------------------------------
Brewery -- 0.3%
Anheuser-Busch 442 21
Cia Cervecerias Unidas ADR 4,000 91
Grupo Modelo ADR, Cl C 1,200 53
Molson Coors Brewing, Cl B 1,500 107
-----------
Total Brewery 272
- --------------------------------------------------------------------------------
Broadcast Services/Programming -- 0.3%
Grupo Televisa ADR 8,900 165
Nexstar Broadcasting Group, Cl A* 22,510 92
-----------
Total Broadcast Services/Programming 257
- --------------------------------------------------------------------------------
Building & Construction-Miscellaneous -- 0.0%
Insituform Technologies, Cl A* 1,485 32
-----------
Total Building & Construction-Miscellaneous 32
- --------------------------------------------------------------------------------
Building Products-Cement/Aggregate -- 0.3%
Eagle Materials 90 3
Martin Marietta Materials 2,520 203
Texas Industries 2,000 99
-----------
Total Building Products-Cement/Aggregate 305
- --------------------------------------------------------------------------------
Building Products-Light Fixtures -- 0.1%
Genlyte Group* 1,800 125
-----------
Total Building Products-Light Fixtures 125
- --------------------------------------------------------------------------------
Building-Heavy Construction -- 0.3%
Chicago Bridge & Iron 5,700 138
Granite Construction 2,600 113
Washington Group International 550 30
-----------
Total Building-Heavy Construction 281
- --------------------------------------------------------------------------------
Building-Mobile Home/Manufactured Housing -- 0.0%
Williams Scotsman International* 2,140 46
-----------
Total Building-Mobile Home/
Manufactured Housing 46
- --------------------------------------------------------------------------------
69
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Cable TV -- 0.2%
Mediacom Communications, Cl A* 33,295 $ 210
-----------
Total Cable TV 210
- --------------------------------------------------------------------------------
Casino Hotels -- 0.1%
Harrah's Entertainment 1,800 108
-----------
Total Casino Hotels 108
- --------------------------------------------------------------------------------
Casino Services -- 0.4%
International Game Technology 2,340 90
Scientific Games, Cl A* 7,230 246
-----------
Total Casino Services 336
- --------------------------------------------------------------------------------
Cellular Telecommunications -- 0.6%
NII Holdings* 9,218 487
Turkcell Iletism ADR 9,962 113
-----------
Total Cellular Telecommunications 600
- --------------------------------------------------------------------------------
Chemicals-Diversified -- 0.4%
E.I. Du Pont de Nemours 3,300 131
Lyondell Chemical 3,818 85
Nova Chemicals 2,950 87
Olin 2,005 32
-----------
Total Chemicals-Diversified 335
- --------------------------------------------------------------------------------
Chemicals-Specialty -- 0.3%
Ashland 3,903 260
Chemtura 1,990 17
Hercules* 2,550 35
-----------
Total Chemicals-Specialty 312
- --------------------------------------------------------------------------------
Circuit Boards -- 0.1%
Multi-Fineline Electronix* 360 9
Park Electrochemical 2,830 70
-----------
Total Circuit Boards 79
- --------------------------------------------------------------------------------
Coal -- 0.2%
Consol Energy 2,900 120
Peabody Energy 1,670 83
-----------
Total Coal 203
- --------------------------------------------------------------------------------
Commercial Banks Non-US -- 0.1%
ICICI Bank ADR 4,200 110
-----------
Total Commercial Banks Non-US 110
- --------------------------------------------------------------------------------
Commercial Banks-Central US -- 0.1%
Wintrust Financial 1,850 89
-----------
Total Commercial Banks-Central US 89
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- 0.0%
North Fork Bancorporation 83 2
-----------
Total Commercial Banks-Eastern US 2
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Commercial Banks-Southern US -- 0.2%
Colonial BancGroup 6,400 $ 163
-----------
Total Commercial Banks-Southern US 163
- --------------------------------------------------------------------------------
Commercial Banks-Western US -- 0.3%
CVB Financial 5,521 82
Hanmi Financial 4,600 88
SVB Financial Group* 1,250 56
UCBH Holdings 5,700 95
-----------
Total Commercial Banks-Western US 321
- --------------------------------------------------------------------------------
Commercial Services -- 0.0%
ChoicePoint* 875 30
-----------
Total Commercial Services 30
- --------------------------------------------------------------------------------
Commercial Services-Finance -- 0.1%
Paychex 1,670 57
Wright Express* 2,620 79
-----------
Total Commercial Services-Finance 136
- --------------------------------------------------------------------------------
Computer Aided Design -- 0.1%
Ansys* 1,950 89
-----------
Total Computer Aided Design 89
- --------------------------------------------------------------------------------
Computer Services -- 0.7%
Ceridian* 3,200 77
Cognizant Technology Solutions, Cl A* 6,260 410
Manhattan Associates* 1,000 21
Perot Systems, Cl A* 12,040 160
-----------
Total Computer Services 668
- --------------------------------------------------------------------------------
Computers -- 1.3%
Apple Computer* 7,560 514
Hewlett-Packard 13,598 434
International Business Machines 4,284 331
-----------
Total Computers 1,279
- --------------------------------------------------------------------------------
Computers-Integrated Systems -- 0.3%
MTS Systems 3,150 116
NCR* 3,950 127
-----------
Total Computers-Integrated Systems 243
- --------------------------------------------------------------------------------
Computers-Memory Devices -- 0.3%
Imation 3,000 122
Network Appliance* 2,143 64
Seagate Technology 4,700 109
-----------
Total Computers-Memory Devices 295
- --------------------------------------------------------------------------------
Computers-Voice Recognition -- 0.1%
Talx 3,675 76
-----------
Total Computers-Voice Recognition 76
- --------------------------------------------------------------------------------
70
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Consumer Products-Miscellaneous -- 0.1%
Kimberly-Clark 37 $ 2
Yankee Candle 3,400 83
-----------
Total Consumer Products-Miscellaneous 85
- --------------------------------------------------------------------------------
Containers-Paper/Plastic -- 0.2%
Pactiv* 2,609 64
Sealed Air 2,350 111
-----------
Total Containers-Paper/Plastic 175
- --------------------------------------------------------------------------------
Cruise Lines -- 0.2%
Carnival, Cl A 3,783 147
-----------
Total Cruise Lines 147
- --------------------------------------------------------------------------------
Data Processing/Management -- 0.2%
CSG Systems International* 3,400 88
Dun & Bradstreet* 370 25
MasterCard, Cl A* 390 18
MoneyGram International 990 30
NAVTEQ* 610 17
SEI Investments 260 13
-----------
Total Data Processing/Management 191
- --------------------------------------------------------------------------------
Decision Support Software -- 0.1%
Cognos* 1,350 42
SPSS* 2,200 60
-----------
Total Decision Support Software 102
- --------------------------------------------------------------------------------
Diagnostic Equipment -- 0.2%
Cytyc* 2,500 61
Gen-Probe* 1,690 88
-----------
Total Diagnostic Equipment 149
- --------------------------------------------------------------------------------
Dialysis Centers -- 0.0%
DaVita* 380 19
-----------
Total Dialysis Centers 19
- --------------------------------------------------------------------------------
Direct Marketing -- 0.0%
Catalina Marketing 370 11
-----------
Total Direct Marketing 11
- --------------------------------------------------------------------------------
Disposable Medical Products -- 0.1%
C.R. Bard 970 69
-----------
Total Disposable Medical Products 69
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 0.1%
Fastenal 1,495 53
-----------
Total Distribution/Wholesale 53
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- 0.8%
3M 1,800 127
AO Smith 2,800 120
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- continued
Dover 460 $ 22
ESCO Technologies* 1,700 89
Honeywell International 2,921 113
Illinois Tool Works 5,746 263
Trinity Industries 190 6
-----------
Total Diversified Manufacturing Operations 740
- --------------------------------------------------------------------------------
Diversified Minerals -- 0.1%
Cia Vale do Rio Doce ADR 3,300 77
-----------
Total Diversified Minerals 77
- --------------------------------------------------------------------------------
Diversified Operations- 0.1%
China Resources Enterprise 32,000 71
-----------
Total Diversified Operations 71
- --------------------------------------------------------------------------------
Drug Delivery Systems -- 0.0%
Conor Medsystems* 1,230 34
-----------
Total Drug Delivery Systems 34
- --------------------------------------------------------------------------------
E-Commerce/Products -- 0.1%
Amazon.com* 3,063 82
Submarino GDR 144A 1,200 45
-----------
Total E-Commerce/Products 127
- --------------------------------------------------------------------------------
E-Services/Consulting -- 0.1%
Digital Insight* 300 7
Keynote Systems* 8,490 90
-----------
Total E-Services/Consulting 97
- --------------------------------------------------------------------------------
Electric Products-Miscellaneous -- 0.3%
Emerson Electric 2,424 191
Lamson & Sessions* 4,200 118
-----------
Total Electric Products-Miscellaneous 309
- --------------------------------------------------------------------------------
Electric-Generation -- 0.3%
AES* 12,873 256
-----------
Total Electric-Generation 256
- --------------------------------------------------------------------------------
Electric-Integrated -- 1.3%
Dominion Resources 2,100 165
Duke Energy 9,344 283
Edison International 72 3
El Paso Electric* 7,600 167
Entergy 4,026 311
OGE Energy 5,900 223
PPL 3,700 126
Public Service Enterprise Group 108 7
-----------
Total Electric-Integrated 1,285
- --------------------------------------------------------------------------------
71
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 0.4%
Flextronics International* 3,510 $ 40
Hon Hai Precision GDR 6,200 74
Hon Hai Precision GDR 144A 8,096 96
International DisplayWorks* 15,840 75
NAM TAI Electronics 4,700 80
-----------
Total Electronic Components-Miscellaneous 365
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 0.7%
Advanced Micro Devices* 2,300 45
Freescale Semiconductor, Cl B* 2,441 70
MEMC Electronic Materials* 2,300 70
MIPS Technologies* 7,510 48
Nvidia* 3,300 73
QLogic* 540 9
Samsung Electronics GDR 144A 730 233
Semtech* 630 8
Silicon Laboratories* 1,810 67
Skyworks Solutions* 13,290 58
Texas Instruments 687 20
-----------
Total Electronic Components-Semiconductors 701
- --------------------------------------------------------------------------------
Electronic Design Automation -- 0.1%
Synplicity* 15,720 90
-----------
Total Electronic Design Automation 90
- --------------------------------------------------------------------------------
Electronic Forms -- 0.5%
Adobe Systems* 15,020 428
-----------
Total Electronic Forms 428
- --------------------------------------------------------------------------------
Electronic Parts Distribution -- 0.0%
Avnet* 1,130 21
-----------
Total Electronic Parts Distribution 21
- --------------------------------------------------------------------------------
Electronic Security Devices -- 0.1%
American Science & Engineering* 2,000 101
-----------
Total Electronic Security Devices 101
- --------------------------------------------------------------------------------
Energy-Alternate Sources -- 0.1%
Headwaters* 2,250 52
-----------
Total Energy-Alternate Sources 52
- --------------------------------------------------------------------------------
Engineering/R&D Services -- 0.1%
Fluor 930 82
-----------
Total Engineering/R&D Services 82
- --------------------------------------------------------------------------------
Enterprise Software/Services -- 0.3%
BMC Software* 3,500 82
Lawson Software* 16,490 110
Sybase* 4,700 99
-----------
Total Enterprise Software/Services 291
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Entertainment Software -- 0.2%
Activision* 5,862 $ 70
Electronic Arts* 430 20
THQ* 3,650 83
-----------
Total Entertainment Software 173
- --------------------------------------------------------------------------------
Fiduciary Banks -- 0.2%
Northern Trust 2,800 160
-----------
Total Fiduciary Banks 160
- --------------------------------------------------------------------------------
Filtration/Separation Products -- 0.1%
Clarcor 3,400 97
-----------
Total Filtration/Separation Products 97
- --------------------------------------------------------------------------------
Finance-Commercial -- 0.2%
CIT Group 4,353 200
-----------
Total Finance-Commercial 200
- --------------------------------------------------------------------------------
Finance-Consumer Loans -- 1.3%
Asta Funding 3,100 103
Encore Capital Group* 3,230 40
First Marblehead 3,520 161
Portfolio Recovery Associates* 1,905 81
SLM 13,650 687
World Acceptance* 3,100 129
-----------
Total Finance-Consumer Loans 1,201
- --------------------------------------------------------------------------------
Finance-Credit Card -- 0.4%
American Express 3,373 176
Capital One Financial 2,954 228
-----------
Total Finance-Credit Card 404
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 2.5%
Citigroup 16,899 816
Goldman Sachs Group 2,931 448
Greenhill 240 14
JPMorgan Chase 17,727 809
TD Ameritrade Holding 17,730 290
-----------
Total Finance-Investment Banker/Broker 2,377
- --------------------------------------------------------------------------------
Finance-Other Services -- 0.2%
Asset Acceptance Capital* 5,195 94
Cbot Holdings, Cl A* 555 70
-----------
Total Finance-Other Services 164
- --------------------------------------------------------------------------------
Financial Guarantee Insurance -- 0.3%
AMBAC Financial Group 1,650 137
MGIC Investment 2,679 153
-----------
Total Financial Guarantee Insurance 290
- --------------------------------------------------------------------------------
72
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Food-Dairy Products -- 0.3%
Dean Foods* 7,362 $ 276
-----------
Total Food-Dairy Products 276
- --------------------------------------------------------------------------------
Food-Miscellaneous/Diversified -- 0.1%
ConAgra Foods 5,805 125
-----------
Total Food-Miscellaneous/Diversified 125
- --------------------------------------------------------------------------------
Food-Retail -- 0.5%
Kroger 12,978 298
Whole Foods Market 3,570 205
-----------
Total Food-Retail 503
- --------------------------------------------------------------------------------
Forestry -- 0.2%
Plum Creek Timber 4,700 160
-----------
Total Forestry 160
- --------------------------------------------------------------------------------
Gambling (Non-Hotel) -- 0.1%
Isle of Capri Casinos* 4,600 109
-----------
Total Gambling (Non-Hotel) 109
- --------------------------------------------------------------------------------
Gas-Distribution -- 0.3%
Energen 6,500 277
WGL Holdings 350 11
-----------
Total Gas-Distribution 288
- --------------------------------------------------------------------------------
Gold Mining -- 0.5%
Goldcorp 3,500 103
Newmont Mining 273 14
Randgold Resources ADR* 8,100 180
Royal Gold 4,800 142
-----------
Total Gold Mining 439
- --------------------------------------------------------------------------------
Golf -- 0.0%
Callaway Golf 1,150 15
-----------
Total Golf 15
- --------------------------------------------------------------------------------
Hazardous Waste Disposal -- 0.1%
Stericycle* 1,690 114
-----------
Total Hazardous Waste Disposal 114
- --------------------------------------------------------------------------------
Health Care Cost Containment -- 0.5%
McKesson 8,908 449
-----------
Total Health Care Cost Containment 449
- --------------------------------------------------------------------------------
Home Furnishings -- 0.1%
Tempur-Pedic International* 4,420 64
-----------
Total Home Furnishings 64
- --------------------------------------------------------------------------------
Hospital Beds/Equipment -- 0.0%
Kinetic Concepts* 1,010 45
-----------
Total Hospital Beds/Equipment 45
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Hotels & Motels -- 0.6%
InterContinental Hotels ADR 1,020 $ 17
Lodgian* 2,950 36
Marriott International, Cl A 10,613 373
Starwood Hotels & Resorts Worldwide 2,042 107
-----------
Total Hotels & Motels 533
- --------------------------------------------------------------------------------
Human Resources -- 0.3%
Hewitt Associates, Cl A* 4,400 99
Manpower 2,350 140
Monster Worldwide* 2,060 82
-----------
Total Human Resources 321
- --------------------------------------------------------------------------------
Identification Systems/Development -- 0.1%
Symbol Technologies 8,280 91
-----------
Total Identification Systems/Development 91
- --------------------------------------------------------------------------------
Independent Power Producer -- 0.0%
Mirant* 610 16
Reliant Energy* 2,170 28
-----------
Total Independent Power Producer 44
- --------------------------------------------------------------------------------
Industrial Audio & Video Production -- 0.1%
Imax* 6,600 71
-----------
Total Industrial Audio & Video Production 71
- --------------------------------------------------------------------------------
Industrial Automation/Robot -- 0.0%
Cognex 330 8
-----------
Total Industrial Automation/Robot 8
- --------------------------------------------------------------------------------
Industrial Gases -- 0.6%
Air Products & Chemicals 390 25
Airgas 4,350 158
Praxair 7,050 386
-----------
Total Industrial Gases 569
- --------------------------------------------------------------------------------
Instruments-Scientific -- 0.1%
PerkinElmer 5,300 96
-----------
Total Instruments-Scientific 96
- --------------------------------------------------------------------------------
Insurance Brokers -- 0.5%
AON 5,919 203
Brown & Brown 5,900 185
Hilb Rogal & Hobbs 3,050 123
-----------
Total Insurance Brokers 511
- --------------------------------------------------------------------------------
Internet Connective Services -- 0.1%
NDS ADR* 2,900 137
-----------
Total Internet Connective Services 137
- --------------------------------------------------------------------------------
73
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Internet Infrastructure Equipment -- 0.0%
Avocent* 765 $ 20
-----------
Total Internet Infrastructure Equipment 20
- --------------------------------------------------------------------------------
Internet Infrastructure Software -- 0.1%
Radware* 7,200 86
-----------
Total Internet Infrastructure Software 86
- --------------------------------------------------------------------------------
Internet Security -- 0.1%
Ipass* 5,520 28
Symantec* 1,201 21
-----------
Total Internet Security 49
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- 0.3%
Affiliated Managers Group* 380 35
Legg Mason 2,600 217
W. P. Stewart & Co. 4,000 42
-----------
Total Investment Management/
Advisory Services 294
- --------------------------------------------------------------------------------
Life/Health Insurance -- 0.7%
China Life Insurance, Cl H 1,000 68
Cigna 1,500 137
KMG America* 6,445 54
Prudential Financial 4,621 363
UnumProvident 880 14
-----------
Total Life/Health Insurance 636
- --------------------------------------------------------------------------------
Machine Tools & Related Products -- 0.1%
Kennametal 2,300 122
-----------
Total Machine Tools & Related Products 122
- --------------------------------------------------------------------------------
Machinery-Construction & Mining -- 0.9%
Bucyrus International 2,200 107
Caterpillar 7,490 531
JLG Industries 5,400 98
Terex* 1,800 80
-----------
Total Machinery-Construction & Mining 816
- --------------------------------------------------------------------------------
Machinery-Farm -- 0.1%
AGCO* 4,150 95
-----------
Total Machinery-Farm 95
- --------------------------------------------------------------------------------
Machinery-Print Trade -- 0.0%
Zebra Technologies, Cl A* 840 26
-----------
Total Machinery-Print Trade 26
- --------------------------------------------------------------------------------
Medical Information Systems -- 0.1%
Eclipsys* 490 10
IMS Health 1,680 46
-----------
Total Medical Information Systems 56
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical Instruments -- 0.7%
Boston Scientific* 507 $ 9
Cambridge Heart* 41,640 99
Natus Medical* 5,800 71
St. Jude Medical* 12,670 467
-----------
Total Medical Instruments 646
- --------------------------------------------------------------------------------
Medical Labs & Testing Services -- 0.3%
Covance* 1,850 118
Laboratory Corp of America Holdings* 2,300 148
-----------
Total Medical Labs & Testing Services 266
- --------------------------------------------------------------------------------
Medical Products -- 0.7%
Baxter International 6,312 265
Becton Dickinson 180 12
Henry Schein* 1,370 65
Johnson & Johnson 747 47
Mentor 270 12
Zimmer Holdings* 4,010 253
-----------
Total Medical Products 654
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- 1.4%
Amgen* 6,280 438
Barrier Therapeutics* 16,450 111
Biogen Idec* 1,520 64
Cambrex 2,870 61
Celgene* 1,720 82
Enzon Pharmaceuticals* 4,480 36
Genzyme* 6,760 462
Invitrogen* 410 25
PDL BioPharma* 3,496 63
-----------
Total Medical-Biomedical/Genetic 1,342
- --------------------------------------------------------------------------------
Medical-Drugs -- 1.5%
Allergan 1,760 190
Angiotech Pharmaceuticals* 9,060 109
Aspreva Pharmaceuticals* 2,270 55
Bristol-Myers Squibb 8,559 205
Forest Laboratories* 3,510 162
Pfizer 13,588 353
Schering-Plough 9,703 198
Wyeth 2,616 127
-----------
Total Medical-Drugs 1,399
- --------------------------------------------------------------------------------
Medical-Generic Drugs -- 0.4%
Barr Pharmaceuticals* 295 15
Perrigo 5,940 94
Teva Pharmaceutical Industries ADR 6,800 225
Zentiva GDR 1,200 62
-----------
Total Medical-Generic Drugs 396
- --------------------------------------------------------------------------------
74
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical-HMO -- 1.4%
Sierra Health Services* 2,500 $ 108
UnitedHealth Group 18,004 861
WellPoint* 5,156 384
-----------
Total Medical-HMO 1,353
- --------------------------------------------------------------------------------
Medical-Outpatient/Home Medical -- 0.2%
Amedisys* 2,950 113
AmSurg* 570 12
Lincare Holdings* 1,090 38
-----------
Total Medical-Outpatient/Home Medical 163
- --------------------------------------------------------------------------------
Medical-Wholesale Drug Distributors -- 0.9%
AmerisourceBergen 7,596 326
Cardinal Health 8,487 569
-----------
Total Medical-Wholesale Drug Distributors 895
- --------------------------------------------------------------------------------
Metal Processors & Fabricators -- 0.2%
Commercial Metals 5,300 120
Precision Castparts 1,810 108
-----------
Total Metal Processors & Fabricators 228
- --------------------------------------------------------------------------------
Metal-Aluminum -- 0.1%
Century Aluminum* 2,600 80
-----------
Total Metal-Aluminum 80
- --------------------------------------------------------------------------------
Metal-Copper -- 0.1%
Phelps Dodge 1,620 141
-----------
Total Metal-Copper 141
- --------------------------------------------------------------------------------
Metal-Diversified -- 0.3%
Freeport-McMoRan Copper & Gold, Cl B 4,930 269
-----------
Total Metal-Diversified 269
- --------------------------------------------------------------------------------
Motion Pictures & Services -- 0.0%
DreamWorks Animation SKG, Cl A* 420 9
-----------
Total Motion Pictures & Services 9
- --------------------------------------------------------------------------------
Multi-Line Insurance -- 1.5%
Allstate 5,325 302
American International Group 6,720 408
Cincinnati Financial 3,400 160
Hartford Financial Services Group 2,190 186
Metlife 2,533 132
XL Capital, Cl A 3,673 234
-----------
Total Multi-Line Insurance 1,422
- --------------------------------------------------------------------------------
Multimedia -- 0.3%
Entravision Communications, Cl A* 7,380 57
Gemstar-TV Guide International* 27,480 79
News, Cl A 3,496 67
Walt Disney 3,961 118
-----------
Total Multimedia 321
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Networking Products -- 0.2%
Foundry Networks* 5,130 $ 53
Netgear* 8,070 156
-----------
Total Networking Products 209
- --------------------------------------------------------------------------------
Non-Ferrous Metals -- 0.3%
Cameco 6,800 271
USEC 900 10
-----------
Total Non-Ferrous Metals 281
- --------------------------------------------------------------------------------
Non-Hazardous Waste Disposal -- 0.1%
Allied Waste Industries* 1,810 18
WCA Waste* 12,730 90
-----------
Total Non-Hazardous Waste Disposal 108
- --------------------------------------------------------------------------------
Office Automation & Equipment -- 0.0%
Pitney Bowes 770 32
-----------
Total Office Automation & Equipment 32
- --------------------------------------------------------------------------------
Office Supplies & Forms -- 0.2%
Avery Dennison 2,100 123
John H. Harland Company 2,800 110
-----------
Total Office Supplies & Forms 233
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 0.9%
Diamond Offshore Drilling 990 78
Nabors Industries* 4,700 166
Pride International* 5,465 163
Rowan 640 22
Todco 230 9
Transocean* 5,450 421
-----------
Total Oil & Gas Drilling 859
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 1.2%
Anadarko Petroleum 1,602 73
Berry Petroleum, Cl A 3,500 118
Denbury Resources* 1,340 46
GMX Resources* 2,300 79
Kerr-McGee 62 4
Newfield Exploration* 2,300 107
Penn Virginia 2,250 154
Pogo Producing 220 10
Southwestern Energy* 2,160 74
Stone Energy* 1,450 68
Ultra Petroleum* 1,130 66
Unit* 2,000 117
XTO Energy 4,580 215
-----------
Total Oil Companies-Exploration &
Production 1,131
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 3.2%
BP ADR 3,200 232
Chevron 5,952 391
- --------------------------------------------------------------------------------
75
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- continued
ConocoPhillips 5,649 $ 388
Exxon Mobil 14,463 980
Hess 2,150 114
LUKOIL ADR 1,100 95
Marathon Oil 2,004 182
Occidental Petroleum 3,987 430
PetroChina ADR 300 34
Petroleo Brasileiro ADR 2,800 257
Surgutneftegaz ADR 1,400 103
-----------
Total Oil Companies-Integrated 3,206
- --------------------------------------------------------------------------------
Oil Field Machinery & Equipment -- 0.3%
Grant Prideco* 2,000 91
Gulf Island Fabrication 2,400 59
National Oilwell Varco* 1,560 105
-----------
Total Oil Field Machinery & Equipment 255
- --------------------------------------------------------------------------------
Oil Refining & Marketing -- 0.2%
Frontier Oil 2,400 84
Giant Industries* 2,000 143
-----------
Total Oil Refining & Marketing 227
- --------------------------------------------------------------------------------
Oil-Field Services -- 0.8%
Core Laboratories* 445 33
Halliburton 12,930 431
Hanover Compressor* 910 17
Helix Energy Solutions* 3,380 132
Tidewater 320 15
Universal Compression Holdings* 1,800 115
W-H Energy Services* 985 54
-----------
Total Oil-Field Services 797
- --------------------------------------------------------------------------------
Oil-US Royalty Trusts -- 0.0%
Hugoton Royalty Trust 257 8
-----------
Total Oil-US Royalty Trusts 8
- --------------------------------------------------------------------------------
Optical Supplies -- 0.5%
Alcon 3,920 433
-----------
Total Optical Supplies 433
- --------------------------------------------------------------------------------
Paper & Related Products -- 0.5%
Abitibi-Consolidated 49,200 125
Bowater 4,320 88
Caraustar Industries* 15,910 112
Domtar 3,170 20
Klabin ADR 1,900 42
MeadWestvaco 670 18
Neenah Paper 2,665 78
Smurfit-Stone Container* 3,460 35
-----------
Total Paper & Related Products 518
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Pharmacy Services -- 0.5%
Express Scripts* 3,771 $ 290
Medco Health Solutions* 2,982 177
-----------
Total Pharmacy Services 467
- --------------------------------------------------------------------------------
Physical Practice Management -- 0.1%
Pediatrix Medical Group* 2,300 98
-----------
Total Physical Practice Management 98
- --------------------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers -- 0.1%
Psychiatric Solutions* 640 20
RehabCare Group* 3,430 64
-----------
Total Physical Therapy/Rehabilitation
Centers 84
- --------------------------------------------------------------------------------
Pipelines -- 0.4%
El Paso 2,035 33
National Fuel Gas 4,150 154
Questar 1,800 159
-----------
Total Pipelines 346
- --------------------------------------------------------------------------------
Power Conversion/Supply Equipment -- 0.2%
American Power Conversion 8,468 143
Delta Electronics GDR 6,720 91
-----------
Total Power Conversion/Supply Equipment 234
- --------------------------------------------------------------------------------
Printing-Commercial -- 0.0%
RR Donnelley & Sons 830 24
-----------
Total Printing-Commercial 24
- --------------------------------------------------------------------------------
Property/Casualty Insurance -- 1.1%
Arch Capital Group* 2,800 170
FPIC Insurance Group* 2,500 97
Philadelphia Consolidated Holding* 5,050 171
PMA Capital, Cl A* 8,800 88
Safeco 2,950 159
Selective Insurance Group 2,850 145
WR Berkley 5,250 189
-----------
Total Property/Casualty Insurance 1,019
- --------------------------------------------------------------------------------
Publishing-Books -- 0.2%
Scholastic* 6,475 186
-----------
Total Publishing-Books 186
- --------------------------------------------------------------------------------
Publishing-Newspapers -- 0.1%
Gannett 2,421 126
-----------
Total Publishing-Newspapers 126
- --------------------------------------------------------------------------------
Publishing-Periodicals -- 0.1%
Playboy Enterprises, Cl B* 5,450 53
-----------
Total Publishing-Periodicals 53
- --------------------------------------------------------------------------------
76
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Quarrying -- 0.4%
Vulcan Materials 5,657 $ 379
-----------
Total Quarrying 379
- --------------------------------------------------------------------------------
Radio -- 0.2%
Radio One, Cl D* 16,790 120
Spanish Broadcasting System, Cl A* 12,725 59
-----------
Total Radio 179
- --------------------------------------------------------------------------------
Real Estate Management/Services -- 0.4%
CB Richard Ellis Group, Cl A* 7,460 176
Jones Lang LaSalle 2,350 192
-----------
Total Real Estate Management/Services 368
- --------------------------------------------------------------------------------
Real Estate Operation/Development -- 0.2%
Brookfield Properties 6,187 206
-----------
Total Real Estate Operation/Development 206
- --------------------------------------------------------------------------------
Reinsurance -- 0.7%
Allied World Assurance Holdings* 510 18
Aspen Insurance Holdings 6,975 165
Axis Capital Holdings 1,095 32
Endurance Specialty Holdings 3,510 107
Everest Re Group 220 21
Montpelier Re Holdings 7,200 130
Odyssey Re Holdings 760 20
PartnerRe 2,350 146
Platinum Underwriters Holdings 2,620 74
-----------
Total Reinsurance 713
- --------------------------------------------------------------------------------
REITs-Apartments -- 1.2%
Archstone-Smith Trust 4,625 243
AvalonBay Communities 1,685 197
Camden Property Trust 1,662 127
Equity Residential 5,805 270
GMH Communities Trust 6,195 78
Post Properties 1,100 53
United Dominion Realty Trust 4,939 137
-----------
Total REITs-Apartments 1,105
- --------------------------------------------------------------------------------
REITs-Diversified -- 0.6%
Digital Realty Trust 3,231 88
PS Business Parks 2,997 180
Spirit Finance 3,391 38
Vornado Realty Trust 2,762 289
-----------
Total REITs-Diversified 595
- --------------------------------------------------------------------------------
REITs-Health Care -- 0.1%
Omega Healthcare Investors 6,900 92
-----------
Total REITs-Health Care 92
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
REITs-Hotels -- 0.7%
Ashford Hospitality Trust 7,270 $ 86
DiamondRock Hospitality 1,640 26
Hersha Hospitality Trust 1,944 18
Highland Hospitality 1,733 23
Host Hotels & Resorts 9,909 210
LaSalle Hotel Properties 6,312 261
Sunstone Hotel Investors 2,478 70
-----------
Total REITs-Hotels 694
- --------------------------------------------------------------------------------
REITs-Manufactured Homes -- 0.1%
Equity Lifestyle Properties 1,100 47
-----------
Total REITs-Manufactured Homes 47
- --------------------------------------------------------------------------------
REITs-Mortgage -- 0.0%
HomeBanc 5,070 42
-----------
Total REITs-Mortgage 42
- --------------------------------------------------------------------------------
REITs-Office Property -- 1.5%
Alexandria Real Estate Equities 1,399 132
American Financial Realty Trust 12,040 139
BioMed Realty Trust 4,810 143
Boston Properties 4,945 486
Columbia Equity Trust 3,024 46
Corporate Office Properties Trust 4,569 206
Mack-Cali Realty 2,693 130
Parkway Properties 2,500 114
SL Green Realty 693 79
-----------
Total REITs-Office Property 1,475
- --------------------------------------------------------------------------------
REITs-Regional Malls -- 0.9%
CBL & Associates Properties 2,900 114
General Growth Properties 3,729 170
Simon Property Group 5,406 462
Taubman Centers 1,904 79
-----------
Total REITs-Regional Malls 825
- --------------------------------------------------------------------------------
REITs-Shopping Centers -- 0.5%
Acadia Realty Trust 3,219 77
Kimco Realty 4,822 189
Regency Centers 2,077 133
Tanger Factory Outlet Centers 1,961 65
-----------
Total REITs-Shopping Centers 464
- --------------------------------------------------------------------------------
REITs-Storage -- 0.3%
Public Storage 2,302 185
U-Store-It Trust 4,769 91
-----------
Total REITs-Storage 276
- --------------------------------------------------------------------------------
REITs-Warehouse/Industrial -- 0.3%
EastGroup Properties 1,468 69
Prologis 4,389 243
-----------
Total REITs-Warehouse/Industrial 312
- --------------------------------------------------------------------------------
77
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Rental Auto/Equipment -- 0.3%
Aaron Rents 6,400 $ 155
Dollar Thrifty Automotive Group* 2,950 132
-----------
Total Rental Auto/Equipment 287
- --------------------------------------------------------------------------------
Research & Development -- 0.1%
Kendle International* 4,300 125
-----------
Total Research & Development 125
- --------------------------------------------------------------------------------
Resorts/Theme Parks -- 0.1%
Intrawest 3,300 92
-----------
Total Resorts/Theme Parks 92
- --------------------------------------------------------------------------------
Respiratory Products -- 0.2%
Resmed* 1,925 90
Respironics* 3,100 110
-----------
Total Respiratory Products 200
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 0.7%
Charming Shoppes* 7,700 79
Chico's FAS* 3,140 71
Childrens Place Retail Stores* 3,300 184
Claire's Stores 3,500 88
Footstar* 11,900 53
JOS A Bank Clothiers* 3,912 99
Talbots 600 12
Urban Outfitters* 2,520 37
-----------
Total Retail-Apparel/Shoe 623
- --------------------------------------------------------------------------------
Retail-Building Products -- 0.9%
Home Depot 4,472 155
Lowe's 24,595 697
-----------
Total Retail-Building Products 852
- --------------------------------------------------------------------------------
Retail-Computer Equipment -- 0.1%
GameStop, Cl A* 2,420 101
-----------
Total Retail-Computer Equipment 101
- --------------------------------------------------------------------------------
Retail-Convenience Store -- 0.1%
Casey's General Stores 5,400 122
-----------
Total Retail-Convenience Store 122
- --------------------------------------------------------------------------------
Retail-Discount -- 0.3%
Costco Wholesale 314 17
Dollar General 6,035 81
Target 4,560 209
Wal-Mart Stores 92 4
-----------
Total Retail-Discount 311
- --------------------------------------------------------------------------------
Retail-Drug Store -- 0.7%
CVS 19,710 645
-----------
Total Retail-Drug Store 645
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Hypermarkets -- 0.1%
Wal-Mart de Mexico ADR, Cl V 2,600 $ 81
-----------
Total Retail-Hypermarkets 81
- --------------------------------------------------------------------------------
Retail-Major Department Store -- 0.1%
Saks 4,100 66
Sears Holdings* 15 2
-----------
Total Retail-Major Department Store 68
- --------------------------------------------------------------------------------
Retail-Office Supplies -- 0.0%
OfficeMax 640 26
-----------
Total Retail-Office Supplies 26
- --------------------------------------------------------------------------------
Retail-Pawn Shops -- 0.2%
Cash America International 3,350 115
Ezcorp, Cl A* 2,550 106
-----------
Total Retail-Pawn Shops 221
- --------------------------------------------------------------------------------
Retail-Pet Food & Supplies -- 0.0%
PETCO Animal Supplies* 960 27
-----------
Total Retail-Pet Food & Supplies 27
- --------------------------------------------------------------------------------
Retail-Petroleum Products -- 0.2%
World Fuel Services 3,600 170
-----------
Total Retail-Petroleum Products 170
- --------------------------------------------------------------------------------
Retail-Propane Distribution -- 0.1%
Star Gas Partners* 31,090 78
-----------
Total Retail-Propane Distribution 78
- --------------------------------------------------------------------------------
Retail-Regional Department Store -- 0.4%
Kohl's* 6,300 357
-----------
Total Retail-Regional Department Store 357
- --------------------------------------------------------------------------------
Retail-Restaurants -- 0.2%
Jack in the Box* 2,400 95
Morton's Restaurant* 5,350 80
OSI Restaurant Partners 330 9
-----------
Total Retail-Restaurants 184
- --------------------------------------------------------------------------------
Retail-Video Rental -- 0.1%
Blockbuster, Cl A* 33,105 135
-----------
Total Retail-Video Rental 135
- --------------------------------------------------------------------------------
Retirement/Aged Care -- 0.0%
Sunrise Senior Living* 720 21
-----------
Total Retirement/Aged Care 21
- --------------------------------------------------------------------------------
S&L/Thrifts-Eastern US -- 0.1%
NewAlliance Bancshares 1,425 20
WSFS Financial 700 43
-----------
Total S&L/Thrifts-Eastern US 63
- --------------------------------------------------------------------------------
78
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
S&L/Thrifts-Western US -- 0.4%
Golden West Financial 129 $ 10
Washington Federal 5,725 128
Washington Mutual 6,476 289
-----------
Total S&L/Thrifts-Western US 427
- --------------------------------------------------------------------------------
Satellite Telecom -- 0.1%
Loral Space & Communications* 2,990 83
-----------
Total Satellite Telecom 83
- --------------------------------------------------------------------------------
Schools -- 0.0%
ITT Educational Services* 460 31
-----------
Total Schools 31
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 0.4%
Cypress Semiconductor* 1,280 19
Integrated Device Technology* 4,480 69
Marvell Technology Group* 5,200 97
Standard Microsystems* 2,000 53
United Microelectronics ADR 36,617 112
-----------
Total Semiconductor Components-
Integrated Circuits 350
- --------------------------------------------------------------------------------
Semiconductor Equipment -- 0.2%
Brooks Automation* 3,900 44
Cabot Microelectronics* 3,110 93
Credence Systems* 13,620 38
-----------
Total Semiconductor Equipment 175
- --------------------------------------------------------------------------------
Software Tools -- 0.0%
Borland Software* 6,700 38
-----------
Total Software Tools 38
- --------------------------------------------------------------------------------
Steel-Producers -- 0.4%
Evraz Group GDR 1,000 24
Evraz Group GDR 144A 2,400 58
Nucor 1,800 96
Olympic Steel 1,700 60
Schnitzer Steel Industries, Cl A 3,350 113
-----------
Total Steel-Producers 351
- --------------------------------------------------------------------------------
Super-Regional Banks-US -- 0.8%
Bank of America 7,651 394
PNC Financial Services Group 1,500 106
Wells Fargo 3,423 248
-----------
Total Super-Regional Banks-US 748
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 0.3%
Arris Group* 720 8
CommScope* 3,400 106
Comtech Telecommunications* 4,225 117
Comverse Technology* 3,687 71
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Telecommunications Equipment -- continued
Plantronics 380 $ 6
Tellabs* 400 4
-----------
Total Telecommunications Equipment 312
- --------------------------------------------------------------------------------
Telecommunications Equipment-Fiber Optics -- 0.3%
Corning* 14,150 270
-----------
Total Telecommunications
Equipment-Fiber Optics 270
- --------------------------------------------------------------------------------
Telecommunications Services -- 0.4%
Amdocs* 6,035 219
Embarq* 759 34
Iowa Telecommunications Services 3,205 63
Time Warner Telecom, Cl A* 5,550 93
-----------
Total Telecommunications Services 409
- --------------------------------------------------------------------------------
Telephone-Integrated -- 1.0%
BellSouth 1,527 60
IDT, Cl B* 5,040 68
Philippine Long Distance
Telephone ADR 2,300 90
Sprint Nextel 15,512 307
Verizon Communications 10,567 357
Windstream 6,700 84
-----------
Total Telephone-Integrated 966
- --------------------------------------------------------------------------------
Television -- 0.2%
Sinclair Broadcast Group, Cl A 20,615 174
-----------
Total Television 174
- --------------------------------------------------------------------------------
Therapeutics -- 0.7%
CV Therapeutics* 1,430 17
Gilead Sciences* 9,480 583
Medicines* 1,720 36
-----------
Total Therapeutics 636
- --------------------------------------------------------------------------------
Tobacco -- 1.1%
Altria Group 5,494 439
Imperial Tobacco ADR 5,501 359
UST 5,156 261
-----------
Total Tobacco 1,059
- --------------------------------------------------------------------------------
Tools-Hand Held -- 0.2%
Stanley Works 4,656 211
-----------
Total Tools-Hand Held 211
- --------------------------------------------------------------------------------
Toys -- 0.2%
Mattel 9,135 165
-----------
Total Toys 165
- --------------------------------------------------------------------------------
Transactional Software -- 0.1%
Transaction Systems Architects* 2,750 102
-----------
Total Transactional Software 102
- --------------------------------------------------------------------------------
79
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Transport-Equipment & Leasing -- 0.3%
GATX 6,880 $ 270
Greenbrier 2,030 56
-----------
Total Transport-Equipment & Leasing 326
- --------------------------------------------------------------------------------
Transport-Marine -- 0.1%
Kirby* 3,500 112
Tsakos Energy Navigation 329 15
-----------
Total Transport-Marine 127
- --------------------------------------------------------------------------------
Transport-Rail -- 0.5%
Burlington Northern Santa Fe 3,211 221
Canadian Pacific Railway 2,500 120
CSX 1,900 115
-----------
Total Transport-Rail 456
- --------------------------------------------------------------------------------
Transport-Services -- 0.5%
Bristow Group* 3,550 120
FedEx 3,165 331
UTI Worldwide 2,980 70
-----------
Total Transport-Services 521
- --------------------------------------------------------------------------------
Transport-Truck -- 0.2%
Celadon Group* 6,800 119
JB Hunt Transport Services 5,000 103
-----------
Total Transport-Truck 222
- --------------------------------------------------------------------------------
Veterinary Diagnostics -- 0.2%
VCA Antech* 6,780 237
-----------
Total Veterinary Diagnostics 237
- --------------------------------------------------------------------------------
Vitamins & Nutrition Products -- 0.1%
Herbalife* 3,440 123
-----------
Total Vitamins & Nutrition Products 123
- --------------------------------------------------------------------------------
Web Portals/ISP -- 0.8%
Google, Cl A* 1,835 709
Netease.com ADR* 2,300 40
-----------
Total Web Portals/ISP 749
- --------------------------------------------------------------------------------
Wire & Cable Products -- 0.0%
General Cable* 930 33
-----------
Total Wire & Cable Products 33
- --------------------------------------------------------------------------------
Wireless Equipment -- 1.3%
American Tower, Cl A* 14,680 496
Nokia ADR 18,336 364
Qualcomm 10,600 374
-----------
Total Wireless Equipment 1,234
-----------
Total Common Stock (Cost $69,819) 72,134
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Foreign Common Stock -- 21.7%
Australia -- 1.6%
Australian Stock Exchange 1,596 $ 40
BHP Billiton 4,835 102
BlueScope Steel 340 2
Commander Communications 3,400 5
Commonwealth Bank of Australia 3,276 112
Leighton Holdings 8,980 133
Oxiana 39,328 92
QBE Insurance Group 13,737 232
Rio Tinto 8,573 488
Santos 32,690 289
Telstra 6,848 20
-----------
Total Australia 1,515
- --------------------------------------------------------------------------------
Austria -- 0.1%
Andritz 300 52
OMV 404 25
Voestalpine 200 30
-----------
Total Austria 107
- --------------------------------------------------------------------------------
Belgium -- 0.7%
Belgacom 3,536 119
Dexia 15,536 381
Euronav 40 1
Fortis 1,362 49
KBC Groep 735 80
-----------
Total Belgium 630
- --------------------------------------------------------------------------------
Canada -- 0.4%
EnCana 3,800 205
Petro-Canada 200 9
Talisman Energy 900 15
Teck Cominco, Cl B 1,200 80
TELUS 1,400 59
-----------
Total Canada 368
- --------------------------------------------------------------------------------
Denmark -- 0.1%
Jyske Bank* 1,400 78
-----------
Total Denmark 78
- --------------------------------------------------------------------------------
Finland -- 0.2%
Metso 4,600 166
Rautaruukki 600 17
-----------
Total Finland 183
- --------------------------------------------------------------------------------
France -- 2.6%
Assurances Generales de France 50 6
BNP Paribas 4,160 405
Bouygues 9,570 478
Business Objects* 50 1
- --------------------------------------------------------------------------------
80
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
France -- continued
CNP Assurances 1,154 $ 110
Compagnie Generale des
Etablissements Michelin, Cl B 6,415 390
France Telecom 580 12
Neopost 235 26
Societe Generale 3,673 548
Total 1,772 121
Vivendi 11,919 405
-----------
Total France 2,502
- --------------------------------------------------------------------------------
Germany -- 2.1%
Allianz 581 91
BASF 1,114 90
Bayerische Motoren Werke 5,096 263
Deutsche Bank 61 7
Deutsche Boerse 2,253 319
Deutsche Lufthansa 13,560 253
MAN 3,118 225
Puma 378 137
Salzgitter 4,726 373
ThyssenKrupp 6,120 214
Volkswagen 614 46
-----------
Total Germany 2,018
- --------------------------------------------------------------------------------
Hong Kong -- 0.5%
ASM Pacific Technology 13,000 65
CNOOC 178,000 152
Lee & Man Paper Manufacturing 24,000 37
Orient Overseas International 5,000 20
Shanghai Real Estate 174,000 37
Solomon Systech International 156,000 38
Television Broadcasts 7,000 43
VTech Holdings 6,155 34
Wumart Stores, Cl H 12,000 37
Zijin Mining Group, Cl H 78,000 41
-----------
Total Hong Kong 504
- --------------------------------------------------------------------------------
Hungary -- 0.1%
OTP Bank 1,700 51
-----------
Total Hungary 51
- --------------------------------------------------------------------------------
Indonesia -- 0.2%
Bakrie and Brothers* 1,842,000 35
Bank Niaga 761,000 54
Perusahaan Gas Negara 38,000 49
Ramayana Lestari Sentosa 576,000 50
-----------
Total Indonesia 188
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Italy -- 1.1%
Banca Intesa 9,600 $ 56
Banche Popolari Unite 1,557 42
ENI 23,518 721
IFIL Investments 17,855 104
UniCredito Italiano 15,722 121
-----------
Total Italy 1,044
- --------------------------------------------------------------------------------
Japan -- 3.7%
ABILIT 5,000 27
Bosch 3,000 15
Canon 9,600 458
Chugai Pharmaceutical 200 4
Daito Trust Construction 3,400 185
Diamond Lease 1,400 66
Fujitsu General* 4,000 10
Haseko* 19,500 66
Hitachi 27,000 171
JFE Holdings 600 24
KDDI 41 266
Kyushu Electric Power 2,500 58
Marubeni 42,000 223
Mazda Motor* 2,000 13
Mitsui Trust Holdings 13,000 143
Mizuho Financial Group 31 261
Nippon Mining Holdings* 14,000 119
Nippon Steel 600 2
Nissan Diesel Motor 11,000 46
ORIX 840 219
Santen Pharmaceutical 425 10
SBI Holdings 195 77
Sega Sammy Holdings 4,700 156
Shinko Electric Industries 900 27
Sumisho Lease 2,000 105
Suzuki Motor 3,300 81
Tokyo Electron 4,500 286
Tokyo Steel Manufacturing 10,400 193
UFJ Central Leasing 200 10
Yamaha Motor 6,000 157
Yamato Kogyo 4,200 91
Yamazen 2,000 11
-----------
Total Japan 3,580
- --------------------------------------------------------------------------------
Malaysia -- 0.0%
Transmile Group BHD 11,000 38
-----------
Total Malaysia 38
- --------------------------------------------------------------------------------
Mexico -- 0.1%
GEO SA de CV, Ser B* 31,000 123
-----------
Total Mexico 123
- --------------------------------------------------------------------------------
81
<page>
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Netherlands -- 1.4%
Aegon 12,971 $ 220
ING Groep 11,419 463
Royal Dutch Shell, Cl A 19,546 692
-----------
Total Netherlands 1,375
- --------------------------------------------------------------------------------
New Zealand -- 0.2%
Fletcher Building 29,566 159
Telecom Corp of New Zealand 3,306 8
-----------
Total New Zealand 167
- --------------------------------------------------------------------------------
Norway -- 0.3%
Norsk Hydro 4,100 117
Statoil ASA 4,760 143
-----------
Total Norway 260
- --------------------------------------------------------------------------------
Philippines -- 0.1%
Universal Robina 251,000 93
-----------
Total Philippines 93
- --------------------------------------------------------------------------------
Portugal -- 0.2%
Banco Comercial Portugues 75,696 217
Energias de Portugal 3,700 15
-----------
Total Portugal 232
- --------------------------------------------------------------------------------
Singapore -- 0.4%
Singapore Airlines 19,000 156
Singapore Telecommunications 31,000 51
StarHub* 21,000 29
United Overseas Bank 20,000 198
-----------
Total Singapore 434
- --------------------------------------------------------------------------------
South Africa -- 0.1%
Network Healthcare Holdings 28,000 39
Standard Bank Group 4,400 49
-----------
Total South Africa 88
- --------------------------------------------------------------------------------
South Korea -- 0.6%
Amorepacific* 1 --
Daegu Bank 8,200 148
Hanmi Pharm 1,250 126
Korea Investment Holdings 1,710 64
Korean Reinsurance 7,692 89
NHN* 300 33
Shinsegae 180 89
-----------
Total South Korea 549
- --------------------------------------------------------------------------------
Spain -- 0.4%
Banco Espanol de Credito 3,887 72
Banco Santander Central Hispano 18,193 276
Telefonica 1,508 25
-----------
Total Spain 373
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Sweden -- 0.6%
Lindex 3,200 $ 43
Nordea Bank 42,000 527
-----------
Total Sweden 570
- --------------------------------------------------------------------------------
Switzerland -- 0.6%
Converium Holding 3,489 39
Credit Suisse Group 3,756 211
Serono 148 100
Swiss Life Holding* 850 196
Xstrata 1,400 60
Zurich Financial Services 71 16
-----------
Total Switzerland 622
- --------------------------------------------------------------------------------
Thailand -- 0.2%
Amata* 92,000 39
Bangkok Bank 45,000 126
Italian-Thai Development 325,000 45
-----------
Total Thailand 210
- --------------------------------------------------------------------------------
United Kingdom -- 3.1%
Amlin 2,603 12
Antofagasta 44,560 348
Ashtead 15,545 40
AstraZeneca 2,948 180
Aviva 1,242 17
Barclays 14,959 176
BG Group 8,828 119
BHP Billiton 3,770 71
British Airways* 12,029 87
British American Tobacco 4,649 125
Corus Group 8,698 70
HBOS 3,600 66
HSBC Holdings 12,110 220
IMI 7,206 68
Inchcape 10,896 96
International Power 14,600 80
Kazakhmys 5,083 119
Kelda 1,200 19
Man 1,238 57
Marks & Spencer 20,780 232
Michael Page International 24,404 150
National Express 800 12
NETeller* 4,431 31
Next 4,557 146
Royal Bank of Scotland 2,345 76
Royal Dutch Shell, Cl B 2,384 88
SABMiller 3,000 60
Scottish & Southern Energy 5,518 125
Scottish Power 396 4
Shire 900 15
- --------------------------------------------------------------------------------
82
<page>
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
United Kingdom -- continued
Sportingbet 5,491 $ 25
Tesco 258 2
-----------
Total United Kingdom 2,936
-----------
Total Foreign Common Stock (Cost $19,109) 20,838
- --------------------------------------------------------------------------------
Investment Companies -- 0.1%
Index Fund-Small Cap -- 0.1%
iShares Russell 2000 Value Index Fund 1,300 93
-----------
Total Index Fund-Small Cap 93
Index Fund-Midcap -- 0.0%
iShares Russell Midcap Value Index Fund 400 52
-----------
Total Index Fund-MidCap 52
- --------------------------------------------------------------------------------
Total Investment Companies (Cost $143) 145
- --------------------------------------------------------------------------------
Repurchase Agreement -- 2.4%
Deutsche Bank
5.250%, dated 07/31/06 to be
repurchased on 08/01/06, repurchase
price $2,263,545 (collateralized by a
U.S. Government obligation, par value
$2,286,000, 6.000%, 05/25/11, total
market value $2,308,997) (A) $ 2,263 2,263
-----------
Total Repurchase Agreement
(Cost $2,263) 2,263
- --------------------------------------------------------------------------------
Warrants -- 0.4%
Alpha Networks 144A, expires
4/27/09 (B)* 112,200 106
Indiabulls Financial Services 144A,
expires 6/15/09 (B)* 19,500 103
LVRCL Infrastructures & Projects 144A,
expires 11/17/08 (B)* 7,500 30
Test-Rite International 144A, expires
3/30/09 (B)* 128,000 83
Unimicron Technology 144A, expires
3/30/09 (B)* 29,000 35
-----------
Total Warrants (Cost $386) 357
- --------------------------------------------------------------------------------
Total Investments -- 99.8% (Cost $91,720) 95,737
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- 0.2%
Payable for Investment Advisory Fees (22)
Payable for Administration Fees (10)
Payable for Distribution Fees (47)
Payable for Investment Securities Purchased (976)
Other Assets and Liabilities, Net 1,234
- --------------------------------------------------------------------------------
Total Other Assets and Liabilities 179
- --------------------------------------------------------------------------------
Net Assets -- 100.0% $ 95,916
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-capital ($0.001 par value, unlimited
authorization) $ 90,347
Distributions in excess of net investment
income (21)
Accumulated net realized gain on investments 1,568
Unrealized appreciation on investments 4,017
Unrealized appreciation on translation of
other assets and liabilities denominated
in foreign currency 5
-----------
Net Assets $ 95,916
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($30,458,847 / 2,397,573 shares) $12.70
- --------------------------------------------------------------------------------
Maximum Offering
Price Per Share -- Class A
($12.70/94.25%) $13.47
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class C+
($50,151,619 / 3,994,659 shares) $12.55
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class Z**
($1,053 / 83 shares) $12.74
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($15,304,205 / 1,200,521 shares) $12.75
- --------------------------------------------------------------------------------
* Non-income producing security.
** Net assets divided by shares do not calculate to the stated NAV because these
amounts are shown rounded.
+ Class C shares have a contingent deferred sales charge. For a description of
a possible sales charge, please see the Fund's prospectus.
144A -- Security sold within the terms of a private placement memorandum, which
is exempt from registration under Sections 3a-4 or 4(2) of the
Securities Act of 1933, as amended or Rule 144A thereunder, and may be
sold only to dealers in that program or other accredited investors. On
July 31, 2006, the value of these securities amounted to $789 (000),
representing 0.8% of the net assets of the Fund.
(A) -- Tri-party repurchase agreement
(B) -- Securities fair valued using methods determined in good faith according
to procedures adopted by the Fair Valuation Committee of the Board of
Trustees. At July 31, 2006, the total value of these securities was $357
(000), representing 0.4% of the total net assets of the Fund.
ADR -- American Depositary Receipt
B2B -- Business to Business
Cl -- Class
GDR -- Global Depositary Receipt
HMO -- Health Maintenance Organization
ISP -- Internet Service Provider
R&D -- Research and Development
REITs -- Real Estate Investment Trusts
S&L -- Savings and Loan
Ser -- Series
Amounts designated as "--" are either 0, or have been rounded to 0.
Cost figures are shown with "000's" omitted.
The accompanying notes are an integral part of the financial statements.
83
<page>
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisor: Analytic Investors, Inc.
PERFORMANCE HIGHLIGHTS
O FOR THE ONE-YEAR PERIOD ENDED JULY 31, 2006, THE OLD MUTUAL ANALYTIC DEFENSIVE
EQUITY FUND UNDERPERFORMED ITS BENCHMARK, THE S&P 500 INDEX.
O EQUITIES CONTRIBUTED POSITIVELY TO FUND PERFORMANCE, BUT UNDERPERFORMED
RELATIVE TO THE S&P 500 INDEX.
O OPTIONS DETRACTED FROM FUND PERFORMANCE.
O GLOBAL ASSET ALLOCATION ADDED VALUE DURING THE PERIOD.
Q. How did the Fund perform relative to its benchmark?
A. For the one-year period ended July 31, 2006, the Old Mutual Analytic
Defensive Equity Fund underperformed its benchmark, the S&P 500 Index. The
Fund's Class A shares gained 4.08% at net asset value for the one-year
period, while the S&P 500 Index returned 5.38%. Performance for all share
classes can be found on page 86.
Q. What investment environment did the Fund face during the past year?
A. U.S. equities were in positive territory for the period with the S&P 500
Index returning 5.38%. The U.S. economy showed continued economic expansion
during the first half of the period, while slowing only slightly the second
half. It proved resilient despite growing inflation concerns and amid sharp
increases in the price of oil and short-term interest rates being raised
eight times by the Federal Reserve. Consumer confidence also increased
during the year, reaching a four-year high. Over the one-year period
large-capitalization stocks narrowly outperformed small-capitalization
stocks and value stocks vastly outperformed their growth counterparts.
Q. Which market factors influenced the Fund's relative performance?
A. Investor behavior observed was fairly consistent with that seen over recent
years. The Fund benefited from long positions established based on certain
valuation characteristics, such as sales to price and cash flow to price;
and growth characteristics such as recent earnings growth and projected
earnings growth. In addition, companies with positive earnings estimate
revisions performed well during the period. Short positions that were held
based on observed negative trends, such as individual stocks' trading
volume, high dividend yields and three-month returns also proved successful
overall. Positions held based on a company's return on equity and predicted
earnings to price negatively impacted results during the period.
Options experienced losses over the period as a result of the rising equity
market environment.
Global asset allocation as a whole added value over the period, with the
majority of performance attributed to the equity and fixed-income
components. The equity portion of the global asset allocation contributed
positively as the inflation environment and earnings yield minus bond yield
were factors that worked, whereas price momentum and earnings momentum
subtracted value during the year. The fixed-income portfolio also had
positive value added, with positive returns attributed to both real interest
rates and term structure. Currencies, however, detracted from performance
over the period with trade fundamentals and interest differential posting
negative returns.
Q. How did portfolio composition affect Fund performance?
A. Among the best performing stocks was a long position in
Archer-Daniels-Midland, the world's largest producer of ethanol, which
performed well after the company announced the expansion of its Hamburg oil
refinery and storage facility. Another strong performer was a long position
in TXU (no longer a Fund holding), a holding company that manages a
portfolio of competitive and regulated energy businesses in Texas. The stock
was up after announcing plans to spend $10 billion to build 11 new
coal-fired generation units in Texas by 2010. Also contributing positively
was a long position in Qwest Communications International, a
telecommunications services provider, which enjoyed positive performance
after the company signed a three-year, multimillion dollar contract with the
state of Arizona to provide more than 75 telecommunications products and
services.
Analytic Defensive Equity Fund
84
<page>
Among the worst performing stocks was a long position in Amazon.com, the
web-based provider of products and services, which declined after a court
ruled that the company breached a contract with Toys "R" Us over rights to
sell toys and baby products on its Website. Also detracting from performance
was a short position in Kinder Morgan, an energy infrastructure provider in
the United States, whose stock shot up on the news of a buyout offer led by
co-founder Richard Kinder. Additionally, a short position in OfficeMax (no
longer a Fund holding) hurt performance, as the stock rallied on the news
the company reported a first-quarter profit of $0.77 per share, beating the
$0.33 per share estimate.
Q. What is the investment outlook for U.S. large-cap stocks?
A. Analytic Investors, Inc.'s ("Analytic") investment process is based on the
belief that investor preferences change, but change slowly over time. As a
result, Analytic continues to emphasize stocks with above average
earnings-per-share growth as these companies continue to outperform. In
addition, Analytic continues to emphasize certain companies with attractive
sales and cash flow to price ratios, while deemphasizing companies with
higher-than-average dividend yields. Finally, Analytic continues to favor
companies with strong price momentum and avoid companies with
higher-than-average trading volumes.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
U.S. Treasury Bill,
5.100%, 01/11/07 5.0%
- --------------------------------
Exxon Mobil 4.8%
- --------------------------------
International
Business Machines 2.6%
- --------------------------------
JPMorgan Chase 2.2%
- --------------------------------
Cardinal Health 2.2%
- --------------------------------
Loews 2.2%
- --------------------------------
Hewlett-Packard 2.0%
- --------------------------------
McKesson 1.8%
- --------------------------------
Sprint Nextel 1.7%
- --------------------------------
Dean Foods 1.7%
- --------------------------------
As a % of Total
Fund Investments 26.2%
- --------------------------------
Analytic Defensive Equity Fund
85
<page>
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- --------------------------------------------------------------------------------------------------------------------
Inception 1 Year 5 Year 10 Year Since
Date Return Return Return Inception
- --------------------------------------------------------------------------------------------------------------------
Class A with load 03/31/05 (1.91)% n/a n/a 4.43%
Class A without load 03/31/05 4.08% n/a n/a 9.18%
Class C with load 03/31/05 2.19% n/a n/a 8.38%
Class C without load 03/31/05 3.18% n/a n/a 8.38%
Class Z 1 07/01/78 4.16% 6.68% 10.23% 10.74%
Institutional Class 12/09/05 n/a n/a n/a 2.34% 2
S&P 500 Index 07/01/78 5.38% 2.82% 8.88% 11.26%
- --------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative index can be found on pages 1 and 2. On
December 9, 2005, Old Mutual Analytic Defensive Equity Fund (the "Fund")
acquired substantially all the assets and liabilities of the Analytic Defensive
Equity Fund, a series of The Advisors' Inner Circle Fund (the "Predecessor
Fund"). On June 24, 2002, the Predecessor Fund acquired substantially all of the
assets and liabilities of the Analytic Defensive Equity Fund, a series of UAM
Funds, Inc. II. Substantially similar strategies and policies were used to
manage each of the funds. The Fund's Class Z shares are the successor class of
the Predecessor Fund's Institutional Class. The Fund's Institutional Class is
new.
1 Based on Predecessor Fund's inception date of July 1, 1978. Total returns are
annualized.
2 Not Annualized.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM
ANALYTIC DEFENSIVE
EQUITY FUND, S&P 500
CLASS Z INDEX
7/96 $ 10000 $ 10000
7/97 12677 15214
7/98 15493 18148
7/99 19320 21814
7/00 19544 23772
7/2001 19161 20365
7/2002 16812 15552
7/2003 18036 17209
7/2004 20671 19475
7/2005 25422 22212
7/2006 26479 23407
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Fund's Class Z shares on July 31, 1996 to an
investment made in an unmanaged securities index on that date. Performance for
the Fund's other shares will vary due to differences in sales charges and
expenses. The Fund's performance in this chart and the performance table assumes
reinvestment of dividends and capital gain distributions but does not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or on
the redemption of Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
Warrants (0.0%)
U.S. Treasury Bills (5.0%)
Cash Equivalents (7.0%)
Common Stock (88.0%)
86
<page>
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 105.3%
Aerospace/Defense -- 3.1%
Boeing (D) 133,412 $ 10,329
Lockheed Martin (C) 113,738 9,063
Raytheon 10,748 484
-----------
Total Aerospace/Defense 19,876
- --------------------------------------------------------------------------------
Agricultural Operations -- 1.5%
Archer-Daniels-Midland (D) 217,435 9,567
-----------
Total Agricultural Operations 9,567
- --------------------------------------------------------------------------------
Apparel Manufacturers -- 0.0%
VF 1,707 116
-----------
Total Apparel Manufacturers 116
- --------------------------------------------------------------------------------
Auto-Cars/Light Trucks -- 0.4%
General Motors (D) 73,678 2,375
-----------
Total Auto-Cars/Light Trucks 2,375
- --------------------------------------------------------------------------------
Beverages-Non-Alcoholic -- 0.6%
Coca-Cola Enterprises (D) 137,488 2,951
Pepsi Bottling Group 23,461 780
-----------
Total Beverages-Non-Alcoholic 3,731
- --------------------------------------------------------------------------------
Beverages-Wine/Spirits -- 0.3%
Brown-Forman, Cl B (D) 26,934 1,978
-----------
Total Beverages-Wine/Spirits 1,978
- --------------------------------------------------------------------------------
Cable TV -- 0.5%
Comcast, Cl A* (D) 94,335 3,243
-----------
Total Cable TV 3,243
- --------------------------------------------------------------------------------
Chemicals-Diversified -- 0.3%
Dow Chemical (D) 47,072 1,628
-----------
Total Chemicals-Diversified 1,628
- --------------------------------------------------------------------------------
Chemicals-Specialty -- 1.4%
Ashland (D) 82,239 5,470
Hercules* (C) 232,482 3,231
-----------
Total Chemicals-Specialty 8,701
- --------------------------------------------------------------------------------
Coatings/Paint -- 0.2%
Sherwin-Williams 21,030 1,064
-----------
Total Coatings/Paint 1,064
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- 0.0%
North Fork Bancorporation 5,155 146
-----------
Total Commercial Banks-Eastern US 146
- --------------------------------------------------------------------------------
Commercial Services -- 0.1%
Convergys* (D) 28,240 539
-----------
Total Commercial Services 539
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Computer Aided Design -- 0.4%
Autodesk* (D) 8,891 $ 303
Parametric Technology* 133,448 2,063
-----------
Total Computer Aided Design 2,366
- --------------------------------------------------------------------------------
Computer Services -- 1.5%
Computer Sciences* (D) 57,321 3,003
Electronic Data Systems (D) 290,673 6,947
-----------
Total Computer Services 9,950
- --------------------------------------------------------------------------------
Computers -- 6.3%
Apple Computer* (D) 16,896 1,148
Dell* (D) 181,851 3,942
Hewlett-Packard (C) 473,675 15,115
International Business Machines (C) 262,131 20,292
-----------
Total Computers 40,497
- --------------------------------------------------------------------------------
Computers-Integrated Systems -- 1.4%
NCR* (C) 286,951 9,223
-----------
Total Computers-Integrated Systems 9,223
- --------------------------------------------------------------------------------
Computers-Peripheral Equipment -- 0.1%
Lexmark International, Cl A* (C) 14,714 795
-----------
Total Computers-Peripheral Equipment 795
- --------------------------------------------------------------------------------
Containers-Paper/Plastic -- 0.3%
Pactiv* 83,175 2,039
-----------
Total Containers-Paper/Plastic 2,039
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 0.3%
W.W. Grainger (D) 28,976 1,799
-----------
Total Distribution/Wholesale 1,799
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- 2.9%
Cooper Industries, Cl A (D) 16,601 1,430
General Electric (D) 224,734 7,347
Parker Hannifin 136,471 9,859
-----------
Total Diversified Manufacturing Operations 18,636
- --------------------------------------------------------------------------------
E-Commerce/Products -- 0.6%
Amazon.com* (D) 150,008 4,034
-----------
Total E-Commerce/Products 4,034
- --------------------------------------------------------------------------------
Electric-Generation -- 0.6%
AES* (D) 196,648 3,905
-----------
Total Electric-Generation 3,905
- --------------------------------------------------------------------------------
Electric-Integrated -- 2.6%
Centerpoint Energy (D) 161,163 2,214
CMS Energy* (D) 27,420 384
Constellation Energy Group (D) 3,488 202
Edison International (D) 192,725 7,975
Entergy (D) 30,433 2,346
- --------------------------------------------------------------------------------
87
<page>
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electric-Integrated -- continued
FirstEnergy (D) 37,869 $ 2,121
Public Service Enterprise Group 4,780 322
Xcel Energy 48,386 970
-----------
Total Electric-Integrated 16,534
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 0.2%
Jabil Circuit (C) 42,145 974
-----------
Total Electronic Components-Miscellaneous 974
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 3.0%
Advanced Micro Devices* (D) 32,561 631
Freescale Semiconductor, Cl B* (D) 238,663 6,807
Intel (C) 641 12
Micron Technology* (C) 13,471 210
Nvidia* 106,617 2,359
Texas Instruments 313,198 9,327
-----------
Total Electronic Components-Semiconductors 19,346
- --------------------------------------------------------------------------------
Engineering/R&D Services -- 0.3%
Fluor (D) 24,887 2,186
-----------
Total Engineering/R&D Services 2,186
- --------------------------------------------------------------------------------
Fiduciary Banks -- 0.9%
State Street 100,231 6,020
-----------
Total Fiduciary Banks 6,020
- --------------------------------------------------------------------------------
Finance-Commercial -- 1.6%
CIT Group (D) 225,153 10,337
-----------
Total Finance-Commercial 10,337
- --------------------------------------------------------------------------------
Finance-Credit Card -- 0.5%
American Express (D) 39,548 2,059
Capital One Financial (D) 14,841 1,148
-----------
Total Finance-Credit Card 3,207
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 6.2%
Citigroup (D) 135,875 6,564
Goldman Sachs Group (D) 34,993 5,345
JPMorgan Chase (C) 371,297 16,939
Lehman Brothers Holdings (C) 59,038 3,834
Merrill Lynch (C) 30,041 2,188
Morgan Stanley (C) 80,131 5,329
-----------
Total Finance-Investment Banker/Broker 40,199
- --------------------------------------------------------------------------------
Food-Dairy Products -- 2.0%
Dean Foods* (D) 350,109 13,140
-----------
Total Food-Dairy Products 13,140
- --------------------------------------------------------------------------------
Food-Retail -- 0.9%
Kroger (C) 166,659 3,821
Safeway 75,633 2,124
-----------
Total Food-Retail 5,945
- ------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Food-Wholesale/Distribution -- 0.7%
Supervalu 5,934 $ 161
Sysco 153,337 4,232
-----------
Total Food-Wholesale/Distribution 4,393
- --------------------------------------------------------------------------------
Gold Mining -- 0.1%
Newmont Mining 15,092 773
-----------
Total Gold Mining 773
- --------------------------------------------------------------------------------
Health Care Cost Containment -- 2.1%
McKesson (C) 273,100 13,761
-----------
Total Health Care Cost Containment 13,761
- --------------------------------------------------------------------------------
Hotels & Motels -- 1.5%
Marriott International, Cl A (C) 279,747 9,841
-----------
Total Hotels & Motels 9,841
- --------------------------------------------------------------------------------
Instruments-Scientific -- 0.2%
Fisher Scientific International* (D) 14,476 1,073
-----------
Total Instruments-Scientific 1,073
- --------------------------------------------------------------------------------
Insurance Brokers -- 1.0%
AON (D) 177,148 6,064
Marsh & McLennan (C) 22,591 610
-----------
Total Insurance Brokers 6,674
- --------------------------------------------------------------------------------
Internet Security -- 0.0%
VeriSign* 3,643 65
-----------
Total Internet Security 65
- --------------------------------------------------------------------------------
Life/Health Insurance -- 0.9%
Cigna (D) 32,397 2,956
Prudential Financial 34,835 2,740
-----------
Total Life/Health Insurance 5,696
- --------------------------------------------------------------------------------
Machinery-Construction & Mining -- 1.5%
Caterpillar (D) 139,872 9,913
-----------
Total Machinery-Construction & Mining 9,913
- --------------------------------------------------------------------------------
Medical Instruments -- 0.0%
Boston Scientific* (D) 12,421 211
-----------
Total Medical Instruments 211
- --------------------------------------------------------------------------------
Medical Products -- 3.2%
Baxter International (D) 156,008 6,552
Becton Dickinson (D) 54,860 3,617
Johnson & Johnson (C) 166,079 10,388
-----------
Total Medical Products 20,557
- --------------------------------------------------------------------------------
Medical-Drugs -- 0.8%
Pfizer 56,122 1,459
Wyeth 76,918 3,728
-----------
Total Medical-Drugs 5,187
- --------------------------------------------------------------------------------
88
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical-HMO -- 0.2%
Humana* (C) 20,345 $ 1,138
-----------
Total Medical-HMO 1,138
- --------------------------------------------------------------------------------
Medical-Hospitals -- 0.1%
HCA (C) 12,500 614
-----------
Total Medical-Hospitals 614
- --------------------------------------------------------------------------------
Medical-Wholesale Drug Distributors -- 3.9%
AmerisourceBergen (D) 190,497 8,191
Cardinal Health (D) 252,256 16,901
-----------
Total Medical-Wholesale Drug Distributors 25,092
- --------------------------------------------------------------------------------
Multi-Line Insurance -- 6.3%
American International Group (D) 98,581 5,981
Hartford Financial Services Group (C) 60,762 5,155
Loews (C) 449,209 16,648
Metlife (C) 251,620 13,084
-----------
Total Multi-Line Insurance 40,868
- --------------------------------------------------------------------------------
Multimedia -- 1.7%
Meredith (C) 4,063 192
News, Cl A 187,378 3,605
Walt Disney (D) 247,028 7,334
-----------
Total Multimedia 11,131
- --------------------------------------------------------------------------------
Networking Products -- 0.2%
Cisco Systems* (D) 55,734 995
-----------
Total Networking Products 995
- --------------------------------------------------------------------------------
Non-Hazardous Waste Disposal -- 0.2%
Allied Waste Industries* (D) 104,087 1,057
-----------
Total Non-Hazardous Waste Disposal 1,057
- --------------------------------------------------------------------------------
Office Automation & Equipment -- 0.8%
Xerox* 360,985 5,086
-----------
Total Office Automation & Equipment 5,086
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 0.3%
Nabors Industries* (C) 63,576 2,245
-----------
Total Oil & Gas Drilling 2,245
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 0.5%
Kerr-McGee (C) 46,924 3,294
-----------
Total Oil Companies-Exploration &
Production 3,294
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 9.9%
Chevron (D) 65,436 4,304
ConocoPhillips (D) 135,403 9,294
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- continued
Exxon Mobil 546,630 $ 37,029
Marathon Oil (C) 143,186 12,978
-----------
Total Oil Companies-Integrated 63,605
- --------------------------------------------------------------------------------
Oil Refining & Marketing -- 0.5%
Sunoco 21,108 1,468
Valero Energy 26,049 1,756
-----------
Total Oil Refining & Marketing 3,224
- --------------------------------------------------------------------------------
Oil-Field Services -- 0.2%
Halliburton (C) 37,766 1,260
-----------
Total Oil-Field Services 1,260
- --------------------------------------------------------------------------------
Paper & Related Products -- 1.7%
International Paper (C) 322,642 11,076
-----------
Total Paper & Related Products 11,076
- --------------------------------------------------------------------------------
Pharmacy Services -- 2.3%
Express Scripts* (D) 104,949 8,084
Medco Health Solutions* (C) 109,872 6,519
-----------
Total Pharmacy Services 14,603
- --------------------------------------------------------------------------------
Photo Equipment & Supplies -- 0.4%
Eastman Kodak (D) 107,312 2,388
-----------
Total Photo Equipment & Supplies 2,388
- --------------------------------------------------------------------------------
Property/Casualty Insurance -- 0.7%
Progressive 42,709 1,033
Safeco 10,537 566
St Paul Travelers 62,185 2,848
-----------
Total Property/Casualty Insurance 4,447
- --------------------------------------------------------------------------------
Quarrying -- 1.5%
Vulcan Materials 148,896 9,972
-----------
Total Quarrying 9,972
- --------------------------------------------------------------------------------
REITs-Apartments -- 0.5%
Apartment Investment &
Management, Cl A (D) 69,153 3,326
-----------
Total REITs-Apartments 3,326
- --------------------------------------------------------------------------------
REITs-Regional Malls -- 0.5%
Simon Property Group 41,103 3,515
-----------
Total REITs-Regional Malls 3,515
- --------------------------------------------------------------------------------
REITs-Storage -- 0.0%
Public Storage 3,568 286
-----------
Total REITs-Storage 286
- --------------------------------------------------------------------------------
89
<page>
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 0.1%
Nordstrom (C) 27,002 $ 926
-----------
Total Retail-Apparel/Shoe 926
- --------------------------------------------------------------------------------
Retail-Automobile -- 0.2%
Autonation* (D) 49,937 984
-----------
Total Retail-Automobile 984
- --------------------------------------------------------------------------------
Retail-Building Products -- 2.1%
Home Depot (C) 268,917 9,334
Lowe's (C) 141,758 4,019
-----------
Total Retail-Building Products 13,353
- --------------------------------------------------------------------------------
Retail-Consumer Electronics -- 0.1%
Best Buy (D) 11,239 510
-----------
Total Retail-Consumer Electronics 510
- --------------------------------------------------------------------------------
Retail-Discount -- 1.5%
Costco Wholesale (D) 74,527 3,932
Target 90,282 4,146
Wal-Mart Stores 37,724 1,678
-----------
Total Retail-Discount 9,756
- --------------------------------------------------------------------------------
Retail-Major Department Store -- 0.6%
J.C. Penney (C) 57,035 3,591
-----------
Total Retail-Major Department Store 3,591
- --------------------------------------------------------------------------------
Retail-Regional Department Store -- 0.4%
Federated Department Stores (D) 76,620 2,690
-----------
Total Retail-Regional Department Store 2,690
- --------------------------------------------------------------------------------
Retail-Restaurants -- 0.6%
Darden Restaurants (D) 105,939 3,581
-----------
Total Retail-Restaurants 3,581
- --------------------------------------------------------------------------------
S&L/Thrifts-Western US -- 0.1%
Golden West Financial (D) 5,313 391
Washington Mutual 4,250 190
-----------
Total S&L/Thrifts-Western US 581
- --------------------------------------------------------------------------------
Super-Regional Banks-US -- 5.2%
Bank of America (D) 211,963 10,923
PNC Financial Services Group 161,063 11,410
Wachovia 73,093 3,920
Wells Fargo 96,481 6,979
-----------
Total Super-Regional Banks-US 33,232
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 0.1%
Lucent Technologies* (C) 179,417 382
-----------
Total Telecommunications Equipment 382
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Telecommunications Services -- 0.2%
Embarq* (D) 27,222 $ 1,232
-----------
Total Telecommunications Services 1,232
- --------------------------------------------------------------------------------
Telephone-Integrated -- 3.1%
BellSouth (D) 73,974 2,898
Qwest Communications International* 504,155 4,028
Sprint Nextel 674,506 13,355
-----------
Total Telephone-Integrated 20,281
- --------------------------------------------------------------------------------
Tobacco -- 1.2%
Altria Group (C) 100,170 8,011
-----------
Total Tobacco 8,011
- --------------------------------------------------------------------------------
Tools-Hand Held -- 0.3%
Black & Decker (D) 23,244 1,639
-----------
Total Tools-Hand Held 1,639
- --------------------------------------------------------------------------------
Toys -- 0.2%
Hasbro (C) 84,309 1,577
-----------
Total Toys 1,577
- --------------------------------------------------------------------------------
Transport-Rail -- 0.0%
CSX (D) 3,698 224
-----------
Total Transport-Rail 224
- --------------------------------------------------------------------------------
Transport-Services -- 2.6%
FedEx (D) 102,884 10,773
Ryder System 40,216 2,027
United Parcel Service, Cl B 57,942 3,993
-----------
Total Transport-Services 16,793
- --------------------------------------------------------------------------------
Web Portals/ISP -- 0.7%
Google, Cl A* (D) 11,869 4,589
-----------
Total Web Portals/ISP 4,589
- --------------------------------------------------------------------------------
Wireless Equipment -- 0.6%
Motorola (C) 183,686 4,181
-----------
Total Wireless Equipment 4,181
-----------
Total Common Stock (Cost $653,425) 679,575
- --------------------------------------------------------------------------------
Cash Equivalents -- 8.4%
HighMark Diversified Money
Market Fund, Fiduciary Class,
4.932% (E) 5,636,691 5,637
Union Bank of California Money
Market Unlimited Fund,
4.393% (E) 48,661,307 48,661
-----------
Total Cash Equivalents (Cost $54,298) 54,298
- --------------------------------------------------------------------------------
90
<page>
- --------------------------------------------------------------------------------
Face Amount
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Treasury Bill -- 5.9%
U.S. Treasury Bill (A)(B)
5.100%, 01/11/07 $39,240 $ 38,373
-----------
Total Treasury Bill (Cost $38,362) 38,373
- --------------------------------------------------------------------------------
Warrants -- 0.0%
Raytheon++ 528 7
-----------
Total Warrants (Cost $ --) 7
- --------------------------------------------------------------------------------
Total Investments -- 119.6%
(Cost $746,085) 772,253
- --------------------------------------------------------------------------------
Securities Sold Short -- (17.4)%
Auto-Medium & Heavy Duty Trucks -- (0.7)%
Paccar (60,749) (4,905)
-----------
Total Auto-Medium & Heavy Duty Trucks (4,905)
- --------------------------------------------------------------------------------
Casino Services -- (0.3)%
International Game Technology (47,977) (1,855)
-----------
Total Casino Services (1,855)
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- (0.3)%
Commerce Bancorp (61,026) (2,073)
-----------
Total Commercial Banks-Eastern US (2,073)
- --------------------------------------------------------------------------------
Commercial Services-Finance -- (0.9)%
Moody's (8,542) (469)
Paychex (151,075) (5,164)
-----------
Total Commercial Services-Finance (5,633)
- --------------------------------------------------------------------------------
Computers-Memory Devices -- (0.0)%
Sandisk* (4,068) (190)
-----------
Total Computers-Memory Devices (190)
- --------------------------------------------------------------------------------
Containers-Metal/Glass -- (0.1)%
Ball (18,754) (718)
-----------
Total Containers-Metal/Glass (718)
- --------------------------------------------------------------------------------
Electric-Integrated -- (0.9)%
Pinnacle West Capital (120,057) (5,164)
Teco Energy (31,078) (495)
-----------
Total Electric-Integrated (5,659)
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- (0.4)%
PMC-Sierra* (532,882) (2,723)
-----------
Total Electronic Components-
Semiconductors (2,723)
- --------------------------------------------------------------------------------
Financial Guarantee Insurance -- (1.0)%
Ambac Financial Group (12,306) (1,022)
MBIA (88,378) (5,198)
-----------
Total Financial Guarantee Insurance (6,220)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Food-Confectionery -- (0.1)%
Wm. Wrigley Jr. (9,826) $ (451)
-----------
Total Food-Confectionery (451)
- --------------------------------------------------------------------------------
Food-Retail -- (1.0)%
Whole Foods Market (110,394) (6,349)
-----------
Total Food-Retail (6,349)
- --------------------------------------------------------------------------------
Human Resources -- (0.2)%
Monster Worldwide* (30,891) (1,236)
-----------
Total Human Resources (1,236)
- --------------------------------------------------------------------------------
Independent Power Producer -- (0.3)%
Dynegy, Cl A* (334,659) (1,884)
-----------
Total Independent Power Producer (1,884)
- --------------------------------------------------------------------------------
Internet Security -- (1.0)%
Symantec* (371,781) (6,458)
-----------
Total Internet Security (6,458)
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- (0.6)%
Janus Capital Group (227,047) (3,676)
-----------
Total Investment Management/
Advisory Services (3,676)
- --------------------------------------------------------------------------------
Medical Instruments -- (0.4)%
St. Jude Medical* (70,580) (2,604)
-----------
Total Medical Instruments (2,604)
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- (0.2)%
Biogen Idec* (13,808) (582)
Medimmune* (28,934) (734)
-----------
Total Medical-Biomedical/Genetic (1,316)
- --------------------------------------------------------------------------------
Medical-Drugs -- (0.9)%
Allergan (52,960) (5,712)
-----------
Total Medical-Drugs (5,712)
- --------------------------------------------------------------------------------
Medical-Hospitals -- (0.5)%
Health Management Associates, Cl A (166,247) (3,380)
-----------
Total Medical-Hospitals (3,380)
- --------------------------------------------------------------------------------
Networking Products -- (0.4)%
Juniper Networks* (201,118) (2,705)
-----------
Total Networking Products (2,705)
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- (0.4)%
Chesapeake Energy (45,499) (1,497)
EOG Resources (15,925) (1,181)
-----------
Total Oil Companies-
Exploration & Production (2,678)
- --------------------------------------------------------------------------------
91
<page>
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Paper & Related Products -- (1.1)%
Louisiana-Pacific (339,399) $ (6,788)
MeadWestvaco (19,557) (511)
-----------
Total Paper & Related Products (7,299)
- --------------------------------------------------------------------------------
Pipelines -- (1.3)%
El Paso (160,583) (2,569)
Williams (252,464) (6,122)
-----------
Total Pipelines (8,691)
- --------------------------------------------------------------------------------
Power Conversion/Supply Equipment -- (0.3)%
American Power Conversion (96,569) (1,630)
-----------
Total Power Conversion/
Supply Equipment (1,630)
- --------------------------------------------------------------------------------
Publishing-Newspapers -- (0.5)%
Gannett (61,111) (3,185)
-----------
Total Publishing-Newspapers (3,185)
- --------------------------------------------------------------------------------
Retail-Consumer Electronics -- (0.1)%
RadioShack (29,315) (474)
-----------
Total Retail-Consumer Electronics (474)
- --------------------------------------------------------------------------------
Retail-Jewelry -- (1.0)%
Tiffany (202,479) (6,396)
-----------
Total Retail-Jewelry (6,396)
- --------------------------------------------------------------------------------
Semiconductor Equipment -- (0.5)%
KLA-Tencor (41,029) (1,731)
Teradyne* (114,665) (1,507)
-----------
Total Semiconductor Equipment (3,238)
- --------------------------------------------------------------------------------
Telecommunications Equipment -- (0.2)%
Comverse Technology* (64,065) (1,242)
-----------
Total Telecommunications Equipment (1,242)
- --------------------------------------------------------------------------------
Telecommunications Equipment-
Fiber Optics -- (0.2)%
Ciena* (250,670) (909)
JDS Uniphase* (220,549) (470)
-----------
Total Telecommunications
Equipment-Fiber Optics (1,379)
- --------------------------------------------------------------------------------
Telephone-Integrated -- (0.8)%
Centurytel (133,558) (5,151)
-----------
Total Telephone-Integrated (5,151)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/
Description Contracts Value (000)
- --------------------------------------------------------------------------------
Television -- (0.8)%
CBS, Cl B (195,376) $ (5,359)
-----------
Total Television (5,359)
-----------
Total Securities Sold Short
(Proceeds $(116,213)) (112,469)
- --------------------------------------------------------------------------------
Written Index Option Contracts -- (2.9)%
CBOE Technology Index
August 2006 540 Call (425) (1,368)
PHLX Bank Index
August 2006 108 Call (2,125) (808)
PHLX Gold/Silver Index
August 2006 135 Call (1,700) (1,564)
PHLX Semiconductor Index
August 2006 390 Call (600) (1,560)
S&P 500 Index
August 2006 1,230 Call (775) (3,914)
S&P 500 Index
August 2006 1,240 Call (2,200) (9,460)
-----------
Total Written Index Option Contracts
(Proceeds $(10,585)) (18,674)
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- 0.7%
Payable for Investment Advisory Fees (243)
Payable for Administration Fees (65)
Payable for Distribution Fees (225)
Other Assets and Liabilities, Net 4,912
- --------------------------------------------------------------------------------
Total Other Assets and Liabilities 4,379
- --------------------------------------------------------------------------------
Net Assets -- 100.0% $ 645,489
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-capital ($0.001 par value, unlimited
authorization) $ 621,431
Accumulated net investment loss (431)
Accumulated net realized loss on
investments, securities sold short,
futures contracts and written
option contracts (2,601)
Unrealized appreciation on investments,
securities sold short and written
option contracts 21,823
Unrealized appreciation on futures contracts 4,776
Unrealized appreciation on forward
foreign currency contracts and translation of
other assets and liabilities denominated in
foreign currency 491
-----------
Net Assets $ 645,489
- --------------------------------------------------------------------------------
92
<page>
- --------------------------------------------------------------------------------
Description Value
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($295,094,642 / 22,342,261 shares) $13.21
- --------------------------------------------------------------------------------
Maximum Offering
Price Per Share -- Class A
($13.21/94.25%) $14.02
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class C+
($202,765,929 / 15,461,530 shares) $13.11
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class Z
($140,795,105 / 10,658,740 shares) $13.21
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($6,832,932 / 517,331 shares) $13.21
- --------------------------------------------------------------------------------
* Non-income producing security.
+ Class C shares have a contingent deferred sales charge. For a description of
a possible sales charge, please see the Fund's prospectus.
++ Securities fair valued using methods determined in good faith according to
procedures adopted by the Fair Valuation Committee of the Board of Trustees.
At July 31, 2006, the total value of these securities was $7 (000),
representing 0.0% of the net assets of the Fund.
(A) -- All or a portion of this security has been pledged as collateral for open
future contracts.
(B) -- The rate reported is the effective yield at time of purchase.
(C) -- All or a portion of this security is held as collateral for short sales.
(D) -- All or a portion of this security has been pledged as collateral on open
written option contracts.
(E) -- Rate shown is the 7-day effective yield at July 31, 2006.
Cl -- Class
HMO -- Health Maintenance Organization
ISP -- Internet Service Provider
R&D -- Research and Development
REITs -- Real Estate Investment Trusts
S&L -- Savings and Loan
Cost figures are shown with "000's" omitted.
Amounts designated as "--" are either 0 or have been rounded to 0.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
The Fund had the following futures contracts open as of July 31, 2006:
Number Unrealized
of Contract Expiration Appreciation
Contract Description Contracts Value Date (Depreciation)
- -------------------- --------- ------------ ---------- --------------
Amsterdam Index 654 $ 75,251,430 08/18/06 $4,666,746
CAC40 Index 1,055 67,635,288 08/20/06 3,677,799
OMX Index 2,202 28,953,168 08/28/06 339,783
DJ Euro Stoxx 50 Index 224 10,571,166 09/15/06 742,183
FTSE 100 Index 229 25,304,246 09/15/06 1,573,852
S&P 500 Index (124) (39,735,800) 09/17/06 (480,500)
S&P/MIB Index (189) (44,387,095) 09/18/06 (2,307,381)
S&P/TSE 60 Index (621) (73,472,742) 09/20/06 (1,843,416)
SPI 200 Index (608) (57,878,481) 09/21/06 (1,205,804)
TOPIX Index 506 69,325,046 09/07/06 (387,303)
----------
$4,775,959
==========
The Fund had the following forward currency contracts open as
of July 31, 2006:
Unrealized
Settlement Currency Currency Contract Appreciation/
Date to Deliver to Receive Value Depreciation)
- ----------- --------------------- -------------------- ----------- -------------
09/20/06 USD 116,564,760 AUD $156,000,000 119,382,341 $ 2,817,581
09/20/06 USD 40,642,182 CAD 46,000,000 40,726,390 84,208
09/20/06 USD 112,367,553 NOK 710,000,000 115,830,888 3,463,335
09/20/06 USD 29,161,150 NZD 47,000,000 28,913,216 (247,934)
09/20/06 USD 66,938,373 SEK 490,000,000 68,335,686 1,397,313
09/20/06 CHF 80,000,000 USD 64,451,885 65,397,808 (945,923)
09/20/06 JPY 13,400,000,000 USD 115,417,743 117,766,825 (2,349,081)
09/20/06 GBP 61,000,000 USD 112,212,367 114,059,845 (1,847,478)
09/20/06 EUR 94,000,000 USD 118,585,418 120,466,715 (1,881,297)
------------
TOTAL $ 490,724
============
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krona
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
93
<page>
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisor: Analytic Investors, Inc.
PERFORMANCE HIGHLIGHTS
O THE OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND SLIGHTLY UNDERPERFORMED
ITS BENCHMARK, THE MSCI WORLD INDEX, FROM INCEPTION (MAY 31, 2006) THROUGH
PERIOD END.
O EQUITIES CONTRIBUTED POSITIVELY TO PERFORMANCE DURING THE PERIOD.
O OPTIONS PERFORMANCE WAS FLAT DURING THE PERIOD.
Q. How did the Fund perform relative to its benchmark?
A. The Old Mutual Analytic Global Defensive Equity Fund's inception date was
May 31, 2006. During the period since inception through the one-year period
ended July 31, 2006, the Fund's Class A shares gained 0.50% at net asset
value. The Fund slightly underperformed its benchmark, the MSCI World Index,
which returned 0.59% for the same time period. Performance for all share
classes can be found on page 96.
Q. What investment environment did the Fund face during the past year?
A. Global stock markets were virtually flat since the inception of the Fund,
with the MSCI World Index up 0.59% for the two-month period ended July 31,
2006. Although the return was moderate, markets were fairly volatile during
the period. For example, at one point during the period the MSCI World Index
lost nearly 6%. Additionally, the markets continued to suffer from high
energy prices due to fear of an oil supply disruption amid continued
violence in the Middle East, concerns over Iran's nuclear research, and
North Korea's promise to continue missile tests, which may threaten shipping
lines.
Q. Which market factors influenced the Fund's relative performance?
A. The Fund's equity selections contributed positively to performance relative
to the MSCI World Index during the period. Investor behavior observed was
fairly consistent with that seen over recent years. As a result, Analytic
Investors, Inc.'s ("Analytic") investment process benefited from long
positions based on certain valuation characteristics, such as
earnings-to-price and book-to-price; and technical characteristics such as
price momentum. Investing in short positions based on observed negative
trends, such as individual stocks' revenue growth and return on assets, also
proved successful overall. Positions held based on a company's dividend
payout and tax rate negatively impacted results during the period.
Options slightly added value over the period primarily as a result of the
relatively flat global markets.
Q. How did portfolio composition affect Fund performance?
A. A long position in Morgan Stanley, a U.S. financial services company,
contributed positively to the Fund's performance as the company reported a
strong second-quarter profit and beat analysts' estimates. In addition, a
long position in U.K.-based Tate & Lyle, a sugar manufacturer, contributed
positively as the stock rallied on news that the United States and Mexico
reached a key trade deal on sweeteners, raising hopes of better prices for
sales of its high-fructose corn syrup in the region. A short position in
Ivanhoe Mines, a U.S. mining company, also contributed positively as the
stock declined after posting a larger-than-expected first-quarter loss.
Analytic Global Defensive Equity Fund
94
<page>
Negative contributors to Fund performance during the period included
Westfield Group, Irish Life & Permanent (no longer a Fund holding) and CIT
Group. A short position in Australian firm, Westfield Group, detracted from
performance as the stock rallied when the company announced several large
expansion deals. Also detracting from performance was a long position in
Irish Life & Permanent (no longer a Fund holding), an Irish financial
services company, which declined after warning of a slowdown in the second
half of the year. In addition, a long position in CIT Group, a global
commercial and consumer finance company, detracted from performance as the
company reported a 5% decline in net income, missing analysts' earnings
estimates.
Q. What is the investment outlook for the global stock market?
A. Analytic's investment process is based on the belief that investor
preferences change, but change slowly over time. As a result, Analytic
continues to emphasize stocks with above-average earnings-to-price and
six-month returns as the sub-advisor believes these companies will continue
to outperform. In addition, Analytic continues to emphasize certain
companies with attractive book-to-price ratios, while deemphasizing
companies with higher than average return on assets. Finally, Analytic
continues to favor companies with strong price momentum and avoids companies
with higher than average revenue growth.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
Morgan Stanley 2.7%
- ----------------------------------------
Lincoln National 2.3%
- ----------------------------------------
Lehman Brothers Holdings 2.1%
- ----------------------------------------
Hitachi 2.0%
- ----------------------------------------
Akzo Nobel 2.0%
- ----------------------------------------
Federated Department Stores 1.8%
- ----------------------------------------
Singapore Telecommunications 1.7%
- ----------------------------------------
Chevron 1.7%
- ----------------------------------------
BHP Billiton 1.6%
- ----------------------------------------
Comcast, Cl A 1.6%
- ----------------------------------------
As a % of Total
Fund Investments 19.5%
- ----------------------------------------
Analytic Global Defensive Equity Fund
95
<page>
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- --------------------------------------------------------------------------------
Inception Since
Date Inception*
- --------------------------------------------------------------------------------
Class A with load 05/31/06 (5.28)%
Class A without load 05/31/06 0.50%
Class C with load 05/31/06 (0.70)%
Class C without load 05/31/06 0.30%
Class Z 05/31/06 0.40%
Institutional Class 05/31/06 0.50%
MSCI World Index 05/31/06 0.59%
- --------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative index can be found on pages 1 and 2.
*Not annualized.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM OM
ANALYTIC ANALYTIC ANALYTIC ANALYTIC
GLOBAL DEFENSIVE GLOBAL DEFENSIVE GLOBAL DEFENSIVE GLOBAL DEFENSIVE
EQUITY FUND, EQUITY FUND, EQUITY FUND, EQUITY FUND, MSCI
CLASS A CLASS C CLASS Z INSTITUTIONAL CLASS, WORLD INDEXS
5/31/06 $9425 $10000 $10000 $10000 $10000
7/31/2006 9472 9930 10040 10050 10059
Past performance is not a guarantee of future results. The graph above compares
an investment made in each of the Fund's share classes on the inception date of
05/31/06 to an investment made in an unmanaged securities index on that date.
The performance of the Fund's Class A shares shown in the line graph takes into
account the maximum initial sales charge. Performance for the Fund's Class C
shares assumes the payment of a contingent deferred sales load, which is charged
on investments held less than one year. The Fund's performance in this chart and
the performance table assumes reinvestment of dividends and capital gain
distributions but does not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or on the redemption of Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
Foreign Preferred Stock (0.3%)
Repurchase Agreement (6.8%)
Common Stock (40.6%)
Foreign Common Stock (52.3%)
96
<page>
SCHEDULE OF INVESTMENTS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 44.4%
Aerospace/Defense -- 1.5%
Northrop Grumman (C) 70 $ 5
Raytheon (C) 844 38
-----------
Total Aerospace/Defense 43
- --------------------------------------------------------------------------------
Auto-Cars/Light Trucks -- 0.1%
General Motors (C) 100 3
-----------
Total Auto-Cars/Light Trucks 3
- --------------------------------------------------------------------------------
Auto/Truck Parts & Equipment-Original -- 0.5%
Johnson Controls (C) 186 14
-----------
Total Auto/Truck Parts & Equipment-Original 14
- --------------------------------------------------------------------------------
Cable TV -- 2.1%
Comcast, Cl A* (C) 1,486 51
DIRECTV* (C) 517 9
-----------
Total Cable TV 60
- --------------------------------------------------------------------------------
Computer Services -- 1.8%
Computer Sciences* (C) 200 10
Electronic Data Systems (C) 1,797 43
-----------
Total Computer Services 53
- --------------------------------------------------------------------------------
Computers -- 1.2%
Hewlett-Packard (C) 1,118 36
-----------
Total Computers 36
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- 1.3%
General Electric (C) 1,000 33
Tyco 200 5
-----------
Total Diversified Manufacturing Operations 38
- --------------------------------------------------------------------------------
Electric-Integrated -- 1.4%
Duke Energy (C) 777 23
FirstEnergy (C) 303 17
-----------
Total Electric-Integrated 40
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 0.2%
Jabil Circuit (C) 200 5
-----------
Total Electronic Components-Miscellaneous 5
- --------------------------------------------------------------------------------
Finance-Commercial -- 1.2%
CIT Group (C) 746 34
-----------
Total Finance-Commercial 34
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 8.1%
E*Trade Financial* (C) 200 5
Goldman Sachs Group (C) 238 36
Lehman Brothers Holdings (C) 1,019 66
Merrill Lynch (C) 570 42
Morgan Stanley (C) 1,279 85
-----------
Total Finance-Investment Banker/Broker 234
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Finance-Mortgage Loan/Banker -- 0.5%
Countrywide Financial (C) 164 $ 6
Freddie Mac (C) 168 10
-----------
Total Finance-Mortgage Loan/Banker 16
- --------------------------------------------------------------------------------
Financial Guarantee Insurance -- 0.2%
Radian Group (C) 114 7
-----------
Total Financial Guarantee Insurance 7
- --------------------------------------------------------------------------------
Food-Miscellaneous/Diversified -- 1.5%
Kraft Foods, Cl A (C) 1,296 42
-----------
Total Food-Miscellaneous/Diversified 42
- --------------------------------------------------------------------------------
Gold Mining -- 0.2%
Newmont Mining (C) 124 6
-----------
Total Gold Mining 6
- --------------------------------------------------------------------------------
Human Resources -- 1.4%
Manpower (C) 650 39
-----------
Total Human Resources 39
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- 0.7%
Ameriprise Financial (C) 433 19
-----------
Total Investment Management/Advisory
Services 19
- --------------------------------------------------------------------------------
Life/Health Insurance -- 3.3%
Cigna (C) 79 7
Lincoln National (C) 1,257 71
Prudential Financial (C) 207 17
-----------
Total Life/Health Insurance 95
- --------------------------------------------------------------------------------
Machinery-Farm -- 0.6%
Deere (C) 227 16
-----------
Total Machinery-Farm 16
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- 0.1%
Biogen Idec* (C) 100 4
-----------
Total Medical-Biomedical/Genetic 4
- --------------------------------------------------------------------------------
Medical-Drugs -- 0.8%
Merck (C) 586 24
-----------
Total Medical-Drugs 24
- --------------------------------------------------------------------------------
Medical-Hospitals -- 0.3%
Triad Hospitals* (C) 200 8
-----------
Total Medical-Hospitals 8
- --------------------------------------------------------------------------------
Medical-Wholesale Drug Distributors -- 1.3%
AmerisourceBergen (C) 897 39
-----------
Total Medical-Wholesale Drug Distributors 39
- --------------------------------------------------------------------------------
97
<page>
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND -- continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Metal-Diversified -- 0.3%
Freeport-McMoRan Copper & Gold,
Cl B (C) 167 $ 9
-----------
Total Metal-Diversified 9
- --------------------------------------------------------------------------------
Networking Products -- 0.3%
Cisco Systems* (C) 500 9
-----------
Total Networking Products 9
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 0.2%
Nabors Industries* 100 4
Rowan (C) 100 3
-----------
Total Oil & Gas Drilling 7
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 0.6%
Chesapeake Energy (C) 100 3
Kerr-McGee (C) 138 10
Ultra Petroleum* (C) 47 3
-----------
Total Oil Companies-Exploration
& Production 16
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 3.3%
Chevron (C) 821 54
Exxon Mobil (C) 400 27
Occidental Petroleum (C) 134 15
-----------
Total Oil Companies-Integrated 96
- --------------------------------------------------------------------------------
Pharmacy Services -- 1.1%
Medco Health Solutions* (C) 499 30
Omnicare (C) 52 2
-----------
Total Pharmacy Services 32
- --------------------------------------------------------------------------------
Publishing-Newspapers -- 1.4%
Tribune (C) 1,357 40
-----------
Total Publishing-Newspapers 40
- --------------------------------------------------------------------------------
REITs-Apartments -- 0.3%
Apartment Investment &
Management, Cl A (C) 168 8
-----------
Total REITs-Apartments 8
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 0.3%
Abercrombie & Fitch, Cl A (C) 58 3
Limited Brands (C) 200 5
-----------
Total Retail-Apparel/Shoe 8
- --------------------------------------------------------------------------------
Retail-Automobile -- 1.0%
Autonation* (C) 1,430 28
-----------
Total Retail-Automobile 28
- --------------------------------------------------------------------------------
Retail-Consumer Electronics -- 0.1%
Circuit City Stores (C) 100 2
-----------
Total Retail-Consumer Electronics 2
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail-Major Department Store -- 0.3%
Sears Holdings* (C) 69 $ 9
-----------
Total Retail-Major Department Store 9
- --------------------------------------------------------------------------------
Retail-Regional Department Store -- 2.0%
Federated Department Stores (C) 1,652 58
-----------
Total Retail-Regional Department Store 58
- --------------------------------------------------------------------------------
Super-Regional Banks-US -- 0.4%
PNC Financial Services Group (C) 110 8
US Bancorp (C) 100 3
-----------
Total Super-Regional Banks-US 11
- --------------------------------------------------------------------------------
Telephone-Integrated -- 0.4%
AT&T (C) 374 11
-----------
Total Telephone-Integrated 11
- --------------------------------------------------------------------------------
Transport-Rail -- 1.9%
CSX (C) 451 27
Union Pacific (C) 312 27
-----------
Total Transport-Rail 54
- --------------------------------------------------------------------------------
Wireless Equipment -- 0.2%
Motorola (C) 200 5
-----------
Total Wireless Equipment 5
-----------
Total Common Stock (Cost $1,269) 1,278
- --------------------------------------------------------------------------------
Foreign Common Stock -- 57.2%
Australia -- 5.2%
BHP Billiton 2,428 51
Downer EDI 5,097 29
National Australia Bank 422 12
Rio Tinto 737 42
Santos 1,881 17
-----------
Total Australia 151
- --------------------------------------------------------------------------------
Austria -- 1.0%
Wiener Staedtische Versicherung 484 28
-----------
Total Austria 28
- --------------------------------------------------------------------------------
Belgium -- 0.4%
Barco 86 7
KBC Groep 37 4
-----------
Total Belgium 11
- --------------------------------------------------------------------------------
Canada -- 5.3%
ACE Aviation Holdings, Cl A* 200 5
Agrium 1,305 32
Algoma Steel 200 7
Bank of Montreal 124 7
Bank of Nova Scotia 271 11
Cott* 400 5
- --------------------------------------------------------------------------------
98
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Canada -- continued
Manulife Financial 1,200 $ 38
National Bank of Canada 200 10
Power Financial 300 9
Royal Bank of Canada 300 12
TELUS 400 17
-----------
Total Canada 153
- --------------------------------------------------------------------------------
Denmark -- 0.2%
Jyske Bank* 100 6
-----------
Total Denmark 6
- --------------------------------------------------------------------------------
Finland -- 1.4%
Fortum 1,343 36
Nokia 246 5
-----------
Total Finland 41
- --------------------------------------------------------------------------------
France -- 3.6%
Air France-KLM 461 11
AXA 111 4
BNP Paribas 85 8
Bouygues 763 38
PPR 164 22
Societe Generale 83 13
Suez* 168 7
-----------
Total France 103
- --------------------------------------------------------------------------------
Germany -- 1.7%
E.ON 64 7
Merck KGaA 404 37
TUI 186 4
-----------
Total Germany 48
- --------------------------------------------------------------------------------
Greece -- 0.5%
Intracom Holdings 891 6
Technical Olympic 1,877 7
-----------
Total Greece 13
- --------------------------------------------------------------------------------
Hong Kong -- 1.5%
Henderson Land Development 3,000 17
Henderson Land Development Rights* (A) 231 --
Hutchison Whampoa 3,000 27
-----------
Total Hong Kong 44
- --------------------------------------------------------------------------------
Ireland -- 1.0%
Allied Irish Banks 367 9
CRH 610 20
-----------
Total Ireland 29
- --------------------------------------------------------------------------------
Italy -- 1.7%
Banca Intesa 1,555 9
Banche Popolari Unite 267 7
Italcementi 1,375 34
-----------
Total Italy 50
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Japan -- 11.9%
Ajinomoto 1,000 $ 11
Bank of Yokohama 1,000 8
Canon 600 29
CSK Holdings* 100 4
Glory 400 7
Hitachi 10,000 63
Japan Tobacco 7 27
Kirin Brewery 1,000 15
Matsushita Electric Industrial 2,000 42
Mizuho Financial Group 1 8
NEC 1,000 5
NEC Electronics* 300 9
Nippon Telegraph & Telephone 5 26
Olympus 1,000 29
Park24* 200 6
Pioneer 400 7
Seiko Epson 300 8
Sumitomo 2,000 28
Terumo 300 11
-----------
Total Japan 343
- --------------------------------------------------------------------------------
Netherlands -- 2.2%
Akzo Nobel 1,111 62
-----------
Total Netherlands 62
- --------------------------------------------------------------------------------
New Zealand -- 0.1%
Fletcher Building 759 4
-----------
Total New Zealand 4
- --------------------------------------------------------------------------------
Norway -- 1.7%
Norsk Hydro 1,739 50
-----------
Total Norway 50
- --------------------------------------------------------------------------------
Portugal -- 0.6%
Cimpor Cimentos de Portugal 2,556 17
-----------
Total Portugal 17
- --------------------------------------------------------------------------------
Singapore -- 4.1%
Fraser and Neave 7,000 18
Singapore Telecommunications 33,000 54
UOL Group 25,000 46
-----------
Total Singapore 118
- --------------------------------------------------------------------------------
Spain -- 3.2%
Banco Santander Central Hispano (C) 1,103 17
Repsol YPF (C) 1,499 42
Telefonica (C) 1,663 28
Union Fenosa 94 4
-----------
Total Spain 91
- --------------------------------------------------------------------------------
99
<page>
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND -- concluded
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Sweden -- 1.4%
Ericsson, Cl B 1,000 $ 3
Nordea Bank 754 9
Skandinaviska Enskilda Banken, Cl A 310 8
Volvo, Cl B (C) 398 21
-----------
Total Sweden 41
- --------------------------------------------------------------------------------
Switzerland -- 1.5%
ABB 439 6
Adecco 106 6
Kuoni Reisen Holding 7 4
Roche Holding 37 7
Schindler Holding 172 9
Swatch Group 64 11
-----------
Total Switzerland 43
- --------------------------------------------------------------------------------
United Kingdom -- 7.0%
AstraZeneca (C) 216 13
Aviva 390 5
Barclays (C) 1,271 15
BG Group (C) 1,068 15
British Airways* 550 4
Corus Group 526 4
Dixons Group 1,035 4
GKN (C) 4,313 21
GlaxoSmithKline (C) 807 22
HSBC Holdings (C) 1,531 28
Mitchells & Butlers (C) 2,859 29
PartyGaming (C) 5,496 11
Tate & Lyle (C) 2,362 30
-----------
Total United Kingdom 201
-----------
Total Foreign Common Stock (Cost $1,619) 1,647
- --------------------------------------------------------------------------------
Foreign Preferred Stock -- 0.3%
Germany -- 0.3%
Henkel 87 10
-----------
Total Foreign Preferred Stock (Cost $10) 10
- --------------------------------------------------------------------------------
Repurchase Agreement -- 7.4%
Morgan Stanley
5.160%, dated 07/31/06, to be
repurchased 08/01/06, repurchase
price $212,394 (collateralized by a
U.S. Government obligation, par value
$235,000, 3.000%, 10/15/08, total
market value $224,372) (B) $212 212
-----------
Total Repurchase Agreement (Cost $212) 212
- --------------------------------------------------------------------------------
Total Investments -- 109.3%
(Cost $3,110) 3,147
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Securities Sold Short -- (2.6)%
Broadcast Services/Programming -- (0.7)%
Liberty Media Capital, Cl A* (228) $ (19)
-----------
Total Broadcast Services/Programming (19)
- --------------------------------------------------------------------------------
Cable TV -- (0.1)%
Cablevision Systems, Cl A (136) (3)
-----------
Total Cable TV (3)
- --------------------------------------------------------------------------------
Computer Services -- (0.6)%
Unisys* (3,163) (16)
-----------
Total Computer Services (16)
- --------------------------------------------------------------------------------
Containers-Metal/Glass -- (0.1)%
Owens-Illinois* (248) (4)
-----------
Total Containers-Metal/Glass (4)
- --------------------------------------------------------------------------------
Food-Wholesale/Distribution -- (0.2)%
Sysco (222) (6)
-----------
Total Food-Wholesale/Distribution (6)
- --------------------------------------------------------------------------------
Gold Mining -- (0.1)%
Meridian Gold* (100) (3)
-----------
Total Gold Mining (3)
- --------------------------------------------------------------------------------
Metal-Aluminum -- (0.3)%
Novelis (500) (10)
-----------
Total Metal-Aluminum (10)
- --------------------------------------------------------------------------------
Radio -- (0.1)%
Sirius Satellite Radio* (845) (4)
-----------
Total Radio (4)
- --------------------------------------------------------------------------------
Telecommunications Services -- (0.2)%
Embarq (141) (6)
-----------
Total Telecommunications Services (6)
- --------------------------------------------------------------------------------
Television -- (0.2)%
CBS, Cl B (200) (5)
-----------
Total Television (5)
-----------
Total Securities Sold Short
(Proceeds $(81)) (76)
- --------------------------------------------------------------------------------
Foreign Securities Sold Short -- (14.0)%
Australia -- (4.9)%
Alumina (3,057) (15)
Axa Asia Pacific Holdings (2,068) (10)
Macquarie Bank (71) (3)
Macquarie Communications
Infrastructure Group (5,873) (27)
Perpetual Trustees Australia (585) (31)
- --------------------------------------------------------------------------------
100
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Australia -- continued
Suncorp-metway (250) $ (4)
Westfield Group (3,635) (52)
-----------
Total Australia (142)
- --------------------------------------------------------------------------------
Austria -- (0.2)%
Flughafen Wien (68) (5)
-----------
Total Austria (5)
- --------------------------------------------------------------------------------
Bermuda -- (0.2)%
XL Capital, Cl A (100) (6)
-----------
Total Bermuda (6)
- --------------------------------------------------------------------------------
Canada -- (1.8)%
Imperial Oil (400) (14)
Ivanhoe Mines* (1,400) (8)
Shell Canada (800) (28)
-----------
Total Canada (50)
- --------------------------------------------------------------------------------
Denmark -- (0.3)%
Topdanmark* (75) (10)
-----------
Total Denmark (10)
- --------------------------------------------------------------------------------
Finland -- (0.1)%
Okobank, Cl A (200) (3)
-----------
Total Finland (3)
- --------------------------------------------------------------------------------
France -- (0.1)%
Thomson (241) (4)
-----------
Total France (4)
- --------------------------------------------------------------------------------
Germany -- (0.5)%
MLP (780) (15)
-----------
Total Germany (15)
- --------------------------------------------------------------------------------
Japan -- (1.2)%
Central Glass* (2,000) (11)
Daido Steel* (1,000) (8)
Kobe Steel (1,000) (3)
Mitsui Osk Lines* (1,000) (7)
Sumitomo Metal* (1,000) (4)
-----------
Total Japan (33)
- --------------------------------------------------------------------------------
New Zealand -- (0.3)%
Telecom Corp of New Zealand* (3,052) (8)
-----------
Total New Zealand (8)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/
Description Contracts Value (000)
- --------------------------------------------------------------------------------
Norway -- (0.5)%
Petroleum Geo Services* (70) $ (4)
Tandberg Television* (239) (3)
TGS-Nopec Geophysical* (300) (6)
-----------
Total Norway (13)
- --------------------------------------------------------------------------------
Singapore -- (2.1)%
Singapore Airlines (1,000) (8)
Singapore Exchange* (9,000) (21)
Singapore Post (7,000) (5)
Singapore Press Holdings (4,000) (10)
Singapore Tech Engineering (9,000) (16)
-----------
Total Singapore (60)
- --------------------------------------------------------------------------------
Spain -- (0.7)%
Altadis (448) (21)
-----------
Total Spain (21)
- --------------------------------------------------------------------------------
Sweden -- (0.2)%
Kungsleden (486) (6)
-----------
Total Sweden (6)
- --------------------------------------------------------------------------------
Switzerland -- (0.9)%
SIG Holding (50) (11)
Zurich Financial Services (68) (15)
-----------
Total Switzerland (26)
-----------
Total Foreign Securities Sold Short
(Proceeds $(397)) (402)
- --------------------------------------------------------------------------------
Written Index Option Contracts -- (2.2)%
S&P 500 Index
August 2006 1,245 Call (13) (49)
S&P 500 Index
August 2006 1,235 Call (3) (15)
-----------
Total Written Index Option Contracts
(Proceeds $(36)) $ (64)
- --------------------------------------------------------------------------------
Percentages are based on net assets of $2,879 (000).
* Non-income producing security.
(A) -- Security has been fair valued.
(B) -- Tri-Party Repurchase Agreement
(C) -- All or a portion of this security is held as collateral for short sales
or open written option contracts.
Cl -- Class
REITs -- Real Estate Investment Trusts
Amounts designated as "--" are either $0 or have been rounded to $0.
Cost figures are shown with "000's" omitted.
The accompanying notes are an integral part of the financial statements.
101
<page>
OLD MUTUAL CLAY FINLAY CHINA FUND
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisor: Clay Finlay Inc.
PERFORMANCE HIGHLIGHTS
O THE OLD MUTUAL CLAY FINLAY CHINA FUND OUTPERFORMED ITS BENCHMARK, THE MSCI
CHINA INDEX.
O RELATIVE RESULTS WERE ENHANCED BY STRONG PERFORMANCE OF THE FUND'S HOLDINGS IN
THE FINANCIALS, INDUSTRIALS AND MATERIALS SECTORS.
O ENERGY, TELECOMMUNICATIONS SERVICES AND CONSUMER DISCRETIONARY DETRACTED FROM
RELATIVE PERFORMANCE.
Q. How did the Fund perform relative to its benchmark?
A. The Old Mutual Clay Finlay China Fund's inception date was December 30,
2005. During the one-year period since inception through July 31, 2006, the
Fund's Class A shares gained 32.30% at net asset value. The Fund
outperformed its benchmark, the MSCI China Index, which returned 26.99% for
the same time period. Performance for all share classes can be found on page
104.
Q. What investment environment did the Fund face during the past year?
A. The acceleration of economic growth triggered a tightening of economic
policy by the Chinese government. Subsequently, interest rates were raised
at the end of April, banks' reserve requirement ratios increased from 7.5%
to 8.5%, and new measures were imposed to cool down the property market. The
ultimate goal of these measures was to reign in the overheating fixed-asset
investment market (which gained 31.3% in the first seven months of 2006) and
the risk of compounding overcapacity, as well as to limit the inflow of
foreign speculative money into the local currency. Domestic consumption
remained strong during the period and exports exceeded expectations. The
economy did not suffer from higher international oil prices as domestic
refined-product prices are still under control. Inflation was not a concern
during the period.
Q. Which market factors influenced the Fund's relative performance?
A. Strong liquidity in Hong Kong, the successful Bank of China IPO,
anticipations of further appreciation of the Chinese Yuan and the recovery
in China's domestic equity markets were supportive factors for Chinese
investors during the period. Strength in the oil sector and telecom giant
China Mobile boosted the index. Corporate earnings growth was generally
better than expected.
Q. How did portfolio composition affect Fund performance?
A. The Fund's overweight to the financials sector contributed to performance
led by insurance firm, China Life Insurance. Exposure to the industrials and
materials sectors also contributed to performance. Investment holding
company, Vision Grande Group Holdings (no longer a Fund holding), was a
strong performer during the period while CNOOC, a limited producer of
offshore crude oil and natural gas, also contributed to the Fund's
outperformance.
While relative results were enhanced by strong performance of the Fund's
holdings in industrials, materials and financials; consumer discretionary,
energy and telecommunications services detracted from relative performance.
Results in outperforming sectors helped the Fund offset the negative impact
of its underweight in energy and telecommunications services, which
outperformed the benchmark, and to overcome company-specific disappointments
in the consumer discretionary sector. Consumer discretionary holdings that
detracted from the Fund's performance during the period include, power tools
manufacturer, Techtronic Industries; auto parts manufacturer, Norstar
Founders Group (no longer a Fund holding); and silk textile company, China
Ting Group Holdings. These holdings were the Fund's main detractors during
the period.
Clay Finlay China Fund
102
<page>
Q. What is the investment outlook for the Chinese equity market?
A. Clay Finlay Inc. ("Clay Finlay") believes that economic growth will remain
steady in the second half of 2006. As the government begins to take the
tightening of economic policy more seriously through both administrative
measures and more global financial instruments, Clay Finlay expects a
moderate and gradual slow down in gross domestic product ("GDP") growth.
Clay Finlay forecasts that the country's GDP growth will decrease from
approximately 10% this year to between 8.5 and 9% in 2007 and 2008. It also
notes that exports are likely to decelerate in line with softer demand from
the United States. Chinese internal consumption, however, is forecasted to
maintain strong momentum due to a consistent rise in individual income and
the government's policy to favor personal expenditure as the major domestic
growth engine.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
CNOOC 8.4%
- -----------------------------------------
China Resources Enterprise 3.9%
- -----------------------------------------
Cheung Kong Holdings 3.6%
- -----------------------------------------
China Life Insurance, Cl H 3.4%
- -----------------------------------------
Kingboard Chemcial
Holdings 3.4%
- -----------------------------------------
PetroChina ADR 3.4%
- -----------------------------------------
China Petroleum &
Chemical 3.3%
- -----------------------------------------
Shun Tak Holdings 2.8%
- -----------------------------------------
Kingdee International
Software Group 2.8%
- -----------------------------------------
Shanghai Zenhua
Port Machinery 2.7%
- -----------------------------------------
As a % of Total
Fund Investments 37.7%
- -----------------------------------------
Clay Finlay China Fund
103
<page>
OLD MUTUAL CLAY FINLAY CHINA FUND -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- ------------------------------------------------------------------------------------------------------
Inception Date Since Inception*
- ------------------------------------------------------------------------------------------------------
Class A with front-end load 12/30/05 24.69%
Class A without load 12/30/05 32.30%
Class C with deferred sales load 12/30/05 30.80%
Class C without deferred sales load 12/30/05 31.80%
Class Z 12/30/05 32.50%
InstitutionalClass 12/30/05 32.70%
MSCI China Index 12/30/05 26.99%
- ------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative index can be found on pages 1 and 2.
* Not annualized.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM OM
CLAY FINLAY CLAY FINLAY CLAY FINLAY CLAY FINLAY
CHINA FUND, CHINA FUND, CHINA FUND, CHINA FUND, MSCI
CLASS A CLASS C CLASS Z INSTITUTIONAL CLASS CHINA INDEX
12/30/05 $ 9425 $10000 $10000 $10000 $10000
7/31/06 12469 13080 13250 13270 12698
Past performance is not a guarantee of future results. The graph above compares
an investment made in each of the Fund's share classes on the inception date of
12/30/05 to an investment made in an unmanaged securities index on that date.
The performance of the Fund's Class A shares shown in the line graph takes into
account the maximum initial sales charge. Performance for the Fund's Class C
shares assumes the payment of a contingent deferred sales load, which is charged
on investments held less than one year. The Fund's performance in this chart and
the performance table assumes reinvestment of dividends and capital gain
distributions but does not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or on the redemption of Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS][
Warrants (0.1%)
Repurchase Agreement (9.8%)
Foreign Common Stock (90.1%)
104
<page>
SCHEDULE OF INVESTMENTS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 87.9%
Airport Development/Maintenance -- 0.8%
Beijing Capital International
Airport 206,000 $ 128
-----------
Total Airport Development/Maintenance 128
- --------------------------------------------------------------------------------
Apparel Manufacturers -- 2.4%
China Ting Group Holdings 1,034,000 226
Ports Design 100,000 152
-----------
Total Apparel Manufacturers 378
- --------------------------------------------------------------------------------
Applications Software -- 2.7%
Kingdee International
Software Group 1,080,000 430
-----------
Total Applications Software 430
- --------------------------------------------------------------------------------
Brewery -- 0.7%
Kingway Brewery Holdings 278,000 111
-----------
Total Brewery 111
- --------------------------------------------------------------------------------
Cellular Telecommunications -- 1.8%
China Mobile 43,500 281
-----------
Total Cellular Telecommunications 281
- --------------------------------------------------------------------------------
Chemicals-Diversified -- 3.3%
Kingboard Chemical Holdings 181,000 530
-----------
Total Chemicals-Diversified 530
- --------------------------------------------------------------------------------
Coal -- 1.5%
China Shenhua Energy 130,000 234
-----------
Total Coal 234
- --------------------------------------------------------------------------------
Commercial Banks Non-US -- 1.5%
Bank of China* 547,000 242
-----------
Total Commercial Banks Non-US 242
- --------------------------------------------------------------------------------
Computers-Peripheral Equipment -- 1.7%
TPV Technology 278,000 276
-----------
Total Computers-Peripheral Equipment 276
- --------------------------------------------------------------------------------
Disposable Medical Products -- 1.9%
Shandong Weigao Group
Medical Polymer 504,000 304
-----------
Total Disposable Medical Products 304
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 1.7%
Esprit Holdings 35,000 267
-----------
Total Distribution/Wholesale 267
- --------------------------------------------------------------------------------
Diversified Operations/Commercial Services -- 3.8%
China Resources Enterprise 276,000 608
-----------
Total Diversified Operations/
Commercial Services 608
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 6.3%
AAC Acoustic Technology Holdings* 261,000 $ 252
Hon Hai Precision GDR 34,400 407
TXC 232,000 340
-----------
Total Electronic Components-Miscellaneous 999
- --------------------------------------------------------------------------------
Feminine Health Care Products -- 1.2%
Hengan International Group 124,000 192
-----------
Total Feminine Health Care Products 192
- --------------------------------------------------------------------------------
Food-Dairy Products -- 1.1%
China Mengniu Dairy 141,000 171
-----------
Total Food-Dairy Products 171
- --------------------------------------------------------------------------------
Footwear & Related Apparel -- 1.9%
Prime Success International Group 540,000 306
-----------
Total Footwear & Related Apparel 306
- --------------------------------------------------------------------------------
Gas-Distribution -- 0.8%
Xinao Gas Holdings 138,000 131
-----------
Total Gas-Distribution 131
- --------------------------------------------------------------------------------
Gold Mining -- 3.8%
Sino Gold* 77,300 291
Zijin Mining Group, Cl H 592,000 314
-----------
Total Gold Mining 605
- --------------------------------------------------------------------------------
Life/Health Insurance -- 3.3%
China Life Insurance 316,000 533
-----------
Total Life/Health Insurance 533
- --------------------------------------------------------------------------------
Machinery-General Industry -- 1.1%
Shanghai Prime Machinery* 484,000 173
-----------
Total Machinery-General Industry 173
- --------------------------------------------------------------------------------
Machinery-Material Handling -- 2.7%
Shanghai Zhenhua Port Machinery 366,000 424
-----------
Total Machinery-Material Handling 424
- --------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 1.7%
Peace Mark Holdings 530,000 272
-----------
Total Miscellaneous Manufacturing 272
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 8.2%
CNOOC 1,522,000 1,304
-----------
Total Oil Companies-
Exploration & Production 1,304
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 6.5%
China Petroleum & Chemical 902,000 515
PetroChina ADR 4,600 526
-----------
Total Oil Companies-Integrated 1,041
- --------------------------------------------------------------------------------
105
<page>
OLD MUTUAL CLAY FINLAY CHINA FUND -- concluded
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Paper & Related Products -- 2.3%
Lee & Man Paper Manufacturing 238,000 $ 364
-----------
Total Paper & Related Products 364
- --------------------------------------------------------------------------------
Protection-Safety -- 1.9%
GST Holdings 768,000 299
-----------
Total Protection-Safety 299
- --------------------------------------------------------------------------------
Public Throughfares -- 1.4%
Anhui Expressway 308,000 227
-----------
Total Public Throughfares 227
- --------------------------------------------------------------------------------
Real Estate Operation/Development -- 12.2%
Cheung Kong Holdings 52,000 564
China Overseas Land & Investment 450,000 263
Far East Consortium 452,000 191
Hopson Development Holdings 60,000 116
Shanghai Real Estate 1,854,000 389
Shun Tak Holdings 336,000 433
-----------
Total Real Estate Operation/Development 1,956
- --------------------------------------------------------------------------------
Rental Auto/Equipment -- 1.3%
COSCO Pacific 96,000 214
-----------
Total Rental Auto/Equipment 214
- --------------------------------------------------------------------------------
Retail-Hypermarkets -- 2.2%
Wumart Stores 117,000 357
-----------
Total Retail-Hypermarkets 357
- --------------------------------------------------------------------------------
Schools -- 0.8%
Raffles Education 85,000 129
-----------
Total Schools 129
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 1.8%
Vtech Holdings 51,000 285
-----------
Total Telecommunication Equipment 285
- --------------------------------------------------------------------------------
Web Portals/ISP -- 1.6%
Netease.com ADR* 7,100 123
Sina* 6,600 141
-----------
Total Web Portals/ISP 264
-----------
Total Common Stock (Cost $12,833) 14,035
- --------------------------------------------------------------------------------
Warrants -- 0.0%
China Overseas Land & Investment,
expires 7/20/07 (B)* 56,250 5
-----------
Total Warrants (Cost $--) 5
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Repurchase Agreement -- 9.6%
Morgan Stanley
5.160%, dated 07/31/06, to be
repurchased on 08/01/06,
repurchase price $1,528,778
(collateralized by various U.S.
Government obligations, par values
ranging from $90,000 to $900,000,
rates ranging from 6.060% to 6.400%,
maturity ranging from 10/09/07 to
05/28/13; total market
value $1,581,381)(A) $1,529 $ 1,529
-----------
Total Repurchase Agreement (Cost $1,529) 1,529
- --------------------------------------------------------------------------------
Total Investments -- 97.5% (Cost $14,362) $ 15,569
- --------------------------------------------------------------------------------
Percentages are based on net assets of $15,971 (000).
* Non-income producing security.
(A) -- Tri-party repurchase agreement
(B) -- Security fair valued using methods determined in good faith according to
procedures adopted by the Fair Valuation Committee of the Board of
Trustees. At July 31, 2006, the total value of these securities was $5
(000), representing 0.0% of the net assets of the Fund.
ADR -- American Depositary Receipt
Cl -- Class
GDR -- Global Depositary Receipt
ISP -- Internet Service Provider
Amounts designated as "--" are either $0 or have been rounded to $0.
Cost figures are shown with "000's" omitted.
The accompanying notes are an integral part of the financial statements.
106
<page>
OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisor: Clay Finlay Inc.
Q. How did the Fund perform relative to its benchmark?
A. The Old Mutual Clay Finlay Emerging Markets Fund's inception date was
December 30, 2005. During the one-year period since inception through July
31, 2006, the Fund's Class A shares gained 10.80% at net asset value,
outperforming the MSCI Emerging Markets Index, which returned 8.69% for the
same time period. Performance for all share classes can be found on page
109.
Q. What investment environment did the Fund face during the past year?
A. Emerging-market stocks experienced another period of strong absolute returns
despite a strong pullback in May and June. The sector experienced gains in
the beginning of 2006 supported by low valuations, robust earnings growth
and continued economic strength. In May, investor sentiment started to
change, however. Commodity prices moved higher and inflation data signaled
the need for additional monetary tightening. The prospects for higher rates
caused many investors to become more risk averse. The market bottomed in
June and then the focus started to shift from inflation data towards
economic growth. Confidence started to build again in emerging markets as a
global slowdown in economic growth unfolded. The Fund's sub-advisor, Clay
Finlay Inc. ("Clay Finlay"), believes that inflationary pressures will ease
over time as the economy slows.
Q. Which market factors influenced the Fund's relative performance?
A. Continued strength in China's economic growth was a key driver of the Fund's
outperformance. The portfolio's holdings in the Chinese retailing and
insurance sectors were the principal beneficiaries. High commodity prices
caused stocks in the energy and materials sectors to lead the market's
gains. While the Fund's underweight position in these sectors detracted from
performance, strong stock selection in the sectors more than offset the
negative effects of the allocation. Technology stocks lagged the market
during the period where the Fund's sub-advisor maintained an overweight
position. The sub-advisor was able to avoid or be underweight those
countries that proved to be the most vulnerable to the growing risk aversion
of May and June. Countries with budget and trade deficits were the most
vulnerable, with Turkey, Indonesia, South Africa and Egypt leading the
sell-off.
Q. How did portfolio composition affect Fund performance?
A. Stock selection in the energy sector was strong primarily due to the
portfolio's Russian oil stocks, Surgutneftegaz ADR and LUKOIL ADR, which
were among the best performing energy stocks in the index. Brazilian oil and
gas company, Petroleo Brasileiro ADR, was also a top contributing stock
holding during the period. The underweight to the Latin America and Europe,
Middle East and Africa ("EMEA") region contributed to performance as this
was the worst performing region in Emerging Markets. Chinese retailers,
Golden Eagle (no longer a Fund holding) and Wumart Stores, were among the
best performing stock holdings as China's economy continued to post
better-than-expected economic growth. Life insurance company, China Life
Insurance, also benefited from the rebound in the Chinese equity markets.
One of the largest negative contributors to Fund performance was the Israeli
generic pharmaceutical company, Teva Pharmaceutical Industries ADR ("Teva").
Teva declined after its earnings disappointed the market. Information
technology company, Radware, also underperformed as earnings expectations
continue to be revised downward.
PERFORMANCE HIGHLIGHTS
O THE OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND OUTPERFORMED THE MSCI
EMERGING MARKETS INDEX PRIMARILY DUE TO STRONG STOCK SELECTION IN THE FAR EAST
REGION.
O EMERGING-MARKET STOCKS EXPERIENCED ANOTHER PERIOD OF STRONG ABSOLUTE RETURNS
DESPITE A STRONG PULLBACK IN MAY AND JUNE.
O CONTINUED STRENGTH IN CHINA'S ECONOMIC GROWTH WAS A KEY DRIVER OF THE FUND'S
OUTPERFORMANCE.
O ONE OF THE LARGEST NEGATIVE CONTRIBUTORS TO FUND PERFORMANCE WAS THE ISRAELI
GENERIC PHARMACEUTICAL COMPANY, TEVA PHARMACEUTICAL.
Clay Finlay Emerging Markets Fund
107
<page>
OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND -- continued
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisor: Clay Finlay Inc.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
Petroleo Brasileiro ADR 5.5%
- ----------------------------------------
Samsung Electronics
GDR 144A 5.3%
- ----------------------------------------
Randgold Resources ADR 4.0%
- ----------------------------------------
Grupo Televisa ADR 3.2%
- ----------------------------------------
Hon Hai Precision GDR 3.1%
- ----------------------------------------
Daegu Bank 3.0%
- ----------------------------------------
Turkcell Iletism ADR 3.0%
- ----------------------------------------
Teva Pharmaceutical
Industries ADR 2.9%
- ----------------------------------------
CNOOC 2.7%
- ----------------------------------------
United Microelectronics ADR 2.4%
- ----------------------------------------
As a % of Total
Fund Investments 35.1%
- ----------------------------------------
Mexican home construction company, SARE Holdings (no longer a Fund holding),
was also a negative contributor as it was divested from the portfolio before
the July and August rebound in emerging markets over concerns relating to
the presidential election and the fear that the new government might cut
funding for homes. SARE Holdings was replaced by strong performing home
building company, GEO SA de CV.
Q. What is the investment outlook for the emerging markets equity market?
A. Clay Finlay believes that choppy markets are likely to be with us for a few
more months. Investors are becoming more risk averse. With the risk of
higher interest rates and inflation appearing to be priced-in, investors
need to be aware of the possible impact of decelerating global economic
growth on emerging-market stocks. Despite this warning, Clay Finlay notes
that sharp down swings are creating interesting entry points for certain
stocks. Clay Finlay will continue to look for these opportunities.
Emerging-market valuations had been moving closer to those of developed
markets but after the recent sell-off, emerging markets are, again, priced
at a significant discount to their developed market counterparts. Clay
Finlay believes that there is a potential for emerging market valuations to
converge with those of developed markets before this period of
outperformance ends.
Clay Finlay Emerging Markets Fund
108
<page>
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- --------------------------------------------------------------------------------
Inception Date Since Inception*
- -----------------------------------------------------------------------------------------------------
Class A with front-end load 12/30/05 4.43%
Class A without load 12/30/05 10.80%
Class C with deferred sales load 12/30/05 9.40%
Class C without deferred sales load 12/30/05 10.40%
Class Z 12/30/05 11.00%
Institutional Class 12/30/05 11.30%
MSCI Emerging Markets Index 12/30/05 8.69%
- -----------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative index can be found on pages 1 and 2.
* Not annualized.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM OM
CLAY FINLAY CLAY FINLAY CLAY FINLAY CLAY FINLAY MSCI
EMERGING MARKETS EMERGING MARKETS EMERGING MARKETS EMERGING MARKETS EMERGING
FUND, CLASS A FUND, CLASS C FUND, CLASS Z FUND, INSTITUTIONAL MARKETS INDEX
12/3/05 $ 9425 $10000 $10000 $10000 $10000
7/31/2006 10444 10940 11100 11130 10869
Past performance is not a guarantee of future results. The graph above compares
an investment made in each of the Fund's share classes on the inception date of
12/30/05 to an investment made in an unmanaged securities index on that date.
The performance of the Fund's Class A shares shown in the line graph takes into
account the maximum initial sales charge. Performance for the Fund's Class C
shares assumes the payment of a contingent deferred sales load, which is charged
on investments held less than one year. The Fund's performance in this chart and
the performance table assumes reinvestment of dividends and capital gain
distributions but does not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or on the redemption of Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
Foreign Preferred Stock (1.0%)
Warrants (2.8%)
Foreign Stock (42.8%)
Common Stock (53.4%)
109
<page>
OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND -- concluded
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 50.0%
Aerospace/Defense -- 1.9%
Empresa Brasileira de Aeronautica ADR 1,800 $ 62
-----------
Total Aerospace/Defense 62
- --------------------------------------------------------------------------------
Brewery -- 2.7%
Cia Cervecerias Unidas ADR 2,200 50
Grupo Modelo ADR, Cl C 800 35
-----------
Total Brewery 85
- --------------------------------------------------------------------------------
Broadcast Services/Programming -- 3.0%
Grupo Televisa ADR 5,200 96
-----------
Total Broadcast Services/Programming 96
- --------------------------------------------------------------------------------
Cellular Telecommunications -- 2.8%
Turkcell Iletism ADR 7,827 89
-----------
Total Cellular Telecommunications 89
- --------------------------------------------------------------------------------
Commercial Banks Non-US -- 1.4%
ICICI Bank ADR 1,700 45
-----------
Total Commercial Banks Non-US 45
- --------------------------------------------------------------------------------
Diversified Minerals -- 1.0%
Cia Vale do Rio Doce ADR 1,400 33
-----------
Total Diversified Minerals 33
- --------------------------------------------------------------------------------
Diversified Operations -- 0.8%
China Resources Enterprise 12,000 27
-----------
Total Diversified Operations 27
- --------------------------------------------------------------------------------
Electronic Components-Miscellaneous -- 4.2%
Hon Hai Precision GDR 7,800 92
TXC 30,000 44
-----------
Total Electronic Components-Miscellaneous 136
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 5.0%
Samsung Electronics GDR 144A 500 159
-----------
Total Electronic Components-Semiconductors 159
- --------------------------------------------------------------------------------
Gold Mining -- 3.7%
Randgold Resources ADR* 5,400 120
-----------
Total Gold Mining 120
- --------------------------------------------------------------------------------
Internet Infrastructure Software -- 1.2%
Radware* 3,300 40
-----------
Total Internet Infrastructure Software 40
- --------------------------------------------------------------------------------
Life/Health Insurance -- 0.9%
China Life Insurance, Cl H 17,000 29
-----------
Total Life/Health Insurance 29
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical-Generic Drugs -- 2.7%
Teva Pharmaceutical Industries ADR 2,600 $ 86
-----------
Total Medical-Generic Drugs 86
- --------------------------------------------------------------------------------
Oil Companies-Integrated -- 9.8%
LUKOIL ADR 700 61
PetroChina ADR 200 23
Petroleo Brasileiro ADR 1,800 165
Surgutneftegaz ADR 900 66
-----------
Total Oil Companies-Integrated 315
- --------------------------------------------------------------------------------
Paper & Related Products -- 0.8%
Lee & Man Paper Manufacturing 16,000 25
-----------
Total Paper & Related Products 25
- --------------------------------------------------------------------------------
Power Conversion/Supply Equipment -- 1.9%
Delta Electronics GDR 4,620 62
-----------
Total Power Conversion/Supply Equipment 62
- --------------------------------------------------------------------------------
Retail-Hypermarkets -- 1.4%
Wal-Mart de Mexico ADR, Cl V 1,400 43
-----------
Total Retail-Hypermarkets 43
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 2.3%
Taiwan Semiconductor
Manufacturing ADR 83 1
United Microelectronics ADR 24,000 73
-----------
Total Semiconductor Components-
Integrated Circuits 74
- --------------------------------------------------------------------------------
Steel-Producers -- 1.7%
Evraz Group GDR 2,300 55
-----------
Total Steel-Producers 55
- --------------------------------------------------------------------------------
Web Portals/ISP -- 0.8%
Netease.com ADR* 1,500 26
-----------
Total Web Portals/ISP 26
-----------
Total Common Stock (Cost $1,532) 1,607
- --------------------------------------------------------------------------------
Foreign Common Stock -- 40.1%
Brazil -- 1.9%
Porto Seguro 2,200 40
Submarino 1,100 21
-----------
Total Brazil 61
- --------------------------------------------------------------------------------
Hong Kong -- 4.5%
CNOOC 95,000 81
Shanghai Real Estate 118,000 25
Wumart Stores 4,000 12
Zijin Mining Group, Cl H 52,000 28
-----------
Total Hong Kong 146
- --------------------------------------------------------------------------------
110
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Hungary -- 1.0%
OTP Bank 1,100 $ 33
-----------
Total Hungary 33
- --------------------------------------------------------------------------------
Indonesia -- 3.6%
Bakrie and Brothers* 1,245,000 24
Bank Niaga 462,000 33
Perusahaan Gas Negara 25,000 32
Ramayana Lestari Sentosa 318,000 28
-----------
Total Indonesia 117
- --------------------------------------------------------------------------------
Israel -- 1.0%
Bank Hapoalim BM 7,000 31
-----------
Total Israel 31
- --------------------------------------------------------------------------------
Malaysia -- 0.8%
Transmile Group BHD 7,000 24
-----------
Total Malaysia 24
- --------------------------------------------------------------------------------
Mexico -- 1.8%
GEO SA de CV, Ser B* 15,000 59
-----------
Total Mexico 59
- --------------------------------------------------------------------------------
Philippines -- 3.0%
Ayala Land 89,000 24
Manila Water 254,000 42
Universal Robina 81,000 30
-----------
Total Philippines 96
- --------------------------------------------------------------------------------
Poland -- 1.1%
Agora 2,800 34
-----------
Total Poland 34
- --------------------------------------------------------------------------------
South Africa -- 2.9%
Impala Platinum Holdings 200 37
Network Healthcare Holdings 18,000 25
Standard Bank Group 2,800 31
-----------
Total South Africa 93
- --------------------------------------------------------------------------------
South Korea -- 10.0%
Daegu Bank 5,000 90
Hanmi Pharm 650 65
Korea Investment Holdings 1,110 42
Korean Reinsurance 3,840 44
NHN* 270 30
Shinsegae 100 50
-----------
Total South Korea 321
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Taiwan -- 4.9%
Alpha Networks 57,200 $ 54
Pihsiang Machinery Manufacturing 9,000 18
Test-Rite International 87,000 56
Unimicron Technology 25,000 30
-----------
Total Taiwan 158
- --------------------------------------------------------------------------------
Thailand -- 3.6%
Amata 56,000 23
Bangkok Bank 18,000 50
Italian-Thai Development 216,000 30
Kiatnakin Bank 17,000 13
-----------
Total Thailand 116
-----------
Total Foreign Common Stock (Cost $1,252) 1,289
- --------------------------------------------------------------------------------
Foreign Preferred Stock -- 1.0%
Brazil -- 1.0%
Klabin 14,000 31
-----------
Total Brazil 31
-----------
Total Foreign Preferred Stock (Cost $30) 31
- --------------------------------------------------------------------------------
Warrants -- 2.7%
Indiabulls Financial Services 144A,
expires 6/15/09 (A)* 11,500 61
LVRCL Infrastructures & Projects 144A,
expires 11/17/08 (A)* 6,000 24
-----------
Total Warrants (Cost $86) 85
- --------------------------------------------------------------------------------
Total Investments -- 93.8% (Cost $2,900) $ 3,012
- --------------------------------------------------------------------------------
Percentages are based on net assets of $3,211 (000).
* Non-income producing security.
144A -- Security sold within the terms of a private placement memorandum, which
is exempt from registration under Sections 3a-4 or 4(2) of the
Securities Act of 1933, as amended or Rule 144A thereunder, and may be
sold only to dealers in that program or other accredited investors. On
July 31, 2006, the value of these securities amounted to $244 (000),
representing 7.6% of the net assets of the Portfolio.
(A) -- Securities fair valued using methods determined in good faith according
to procedures adopted by the Fair Valuation Committee of the Board of
Trustees. At July 31, 2006, the total value of these securities was $85
(000), representing 2.7% of the total net assets of the Fund.
ADR -- American Depositary Receipt
Cl -- Class
GDR -- Global Depositary Receipt
ISP -- Internet Service Provider
Ser -- Series
Cost figures are shown with "000's" omitted.
The accompanying notes are an integral part of the financial statements.
111
<page>
OLD MUTUAL COPPER ROCK EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisor: Copper Rock Capital Partners, LLC
PERFORMANCE HIGHLIGHTS
O FOR THE ONE-YEAR PERIOD ENDED JULY 31, 2006, THE OLD MUTUAL COPPER ROCK
EMERGING GROWTH FUND OUTPERFORMED ITS BENCHMARK, THE RUSSELL 2000(R) GROWTH
INDEX.
O DURING THE ONE-YEAR PERIOD, THE TOP THREE PERFORMING SECTORS ON AN ABSOLUTE
BASIS WERE INFORMATION TECHNOLOGY, HEALTH CARE, AND FINANCIALS.
O UNDERPERFORMING SECTORS THAT DETRACTED FROM THE FUND'S PERFORMANCE DURING THE
PERIOD INCLUDED MATERIALS, CONSUMER DISCRETIONARY AND CONSUMER STAPLES.
Q. How did the Fund perform relative to its benchmarks?
A. For the one-year period ended July 31, 2006, the Old Mutual Copper Rock
Emerging Growth Fund outperformed its benchmark, the Russell 2000(R) Growth
Index. The Fund's Class A shares gained 5.20% at net asset value for the
one-year period while the Russell 2000(R) Growth Index returned 1.53%.
Performance for all share classes can be found on page 114.
Q. What investment environment did the Fund face during the past year?
A. The overall cloud of economic uncertainty hovered during the period,
creating opportunities for companies to surprise with both positive and
negative earnings reports. Skillful stock selection was critical during the
period. Late 2005 marked the end of a difficult year for the broad domestic
equity market, largely due to familiar concerns that continued into 2006:
rising energy prices, upward inflation pressure, rising interest rates, and
an anticipated slowdown in consumer spending. Those trends appeared to
dissipate in January, but resurfaced in February and lasted throughout much
of the second quarter of 2006. A slowdown in consumer spending finally
started to appear towards the latter half of the second quarter and now
appears to be evident in some of the more consumer-dependent sectors.
Q. Which market factors influenced the Fund's relative performance?
A. The Fund is managed via a disciplined, fundamental, bottom-up investment
approach. Market factors are considered when understanding the fundamentals
of a company and the environment in which it operates. Overarching
macroeconomic themes, however, do not play a significant role in the overall
construction of the Fund's portfolio.
Q. How did portfolio composition affect Fund performance?
A. Relative to the Russell 2000(R) Growth index, stock selection had the most
dramatic positive effect on performance. During the one-year period, the top
three performing sectors on an absolute basis were information technology,
health care, and financials. Two examples of companies in the information
technology sector that contributed positively to Fund performance were
diversified computer systems company, Rackable Systems, and business
software and services firm, Redback Networks (no longer a Fund holding).
Drug manufacturer, Adams Respiratory Therapeutics, in the health care
sector, also contributed to performance during the one-year period.
Underperforming sectors that detracted from the Fund's performance during
the period included materials, consumer discretionary and consumer staples.
An underweight relative to the index in the materials sector had a negative
impact on performance during the period. Within consumer staples, an
underweight coupled with stock selection detracted from performance on both
an absolute and relative basis. Individual companies that detracted from the
Fund's performance during the period include optics manufacturer for the
sporting goods industry, Oakley (no longer a Fund holding), health care plan
provider, Centene (no longer a Fund holding), and information technology
firm, Anadigics.
Copper Rock Emerging Growth Fund
112
<page>
Q. What is the investment outlook for the small-cap growth market?
A. The past six months have been increasingly difficult for fundamental
investment managers. The economic uncertainty that characterized much of the
first and second quarters of 2006 has created more volatility than managers
have seen in quite some time. However, Copper Rock will look to take
advantage of this volatility by identifying new ideas or by adding to
existing positions when the opportunities arise. Additionally, for the first
time in recent history, there is firm evidence that consumer spending has
slowed. Factors such as a higher cost of capital and higher energy prices
could lead to disappointing results for companies within the retail and
technology sectors. Thus, the Fund is currently positioned with a slight
underweight relative to the index in the consumer discretionary and consumer
staples sectors, but has found additional opportunities in the technology
sector, an area that has been beneficial to performance over time.
Finally, the annual reconstitution of the Russell 2000(R) Growth Index
occurred on June 30, 2006. While the actual rebalancing negatively impacted
fundamental small-cap managers on June 30, the index is now a more accurate
representation of the small-cap growth market, carrying more growth-like
companies as opposed to more value-like names.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
Affiliated Managers Group 4.4%
- ---------------------------------------
ESCO Technologies 4.3%
- ---------------------------------------
iShares Russell 2000
Growth Index Fund 4.0%
- ---------------------------------------
General Cable 3.8%
- ---------------------------------------
BE Aerospace 3.0%
- ---------------------------------------
Corporate Executive Board 2.8%
- ---------------------------------------
Adams Respiratory
Therapeutics 2.8%
- ---------------------------------------
Pinnacle Entertainment 2.6%
- ---------------------------------------
CommScope 2.5%
- ---------------------------------------
Radiation Therapy Services 2.4%
- ---------------------------------------
As a % of Total
Fund Investments 32.6%
- ---------------------------------------
Copper Rock Emerging Growth Fund
113
<page>
OLD MUTUAL COPPER ROCK EMERGING GROWTH FUND -- continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------
Inception 1 Year Since
Date Return Inception
- ---------------------------------------------------------------------------------------------------------------------------
Class A with front-end load 07/29/05 (0.85)% (0.84)%
Class A without load 07/29/05 5.20% 5.17%
Class C with deferred sales load 07/29/05 3.30% 4.28%
Class C without deferred sales load 07/29/05 4.30% 4.28%
Class Z 12/09/05 n/a 0.86%*
InstitutionalClass 07/29/05 5.60% 5.57%
Russell 2000(R) Growth Index 07/29/05 1.53% 1.53%
- ---------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative indexes can be found on pages 1 and 2.
* Not annualized.
Fund Performance
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM
COPPER ROCK COPPER ROCK COPPER ROCK
EMERGING GROWTH EMERGING GROWTH EMERGING GROWTH RUSSELL 2000(R)
FUND, CLASS A FUND, CLASS C FUND, INSTITUTIONAL CLASS GROWTH INDEX
7/29/05 $9425 $10000 $10000 $10000
7/31/2006 9915 10430 10560 10153
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Fund's Class A, C and Institutional shares on the
inception date of 7/29/05 to an investment made in an unmanaged securities index
on that date. The performance of the Fund's Class A shares shown in the line
graph takes into account the maximum initial sales charge. The Fund's
performance in this chart and the performance table assumes reinvestment of
dividends and capital gain distributions but does not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or on the redemption of
Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
Repurchase Agreement (2.1%)
Investment Company (4.0%)
Common Stock (93.9%)
114
<page>
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 93.5%
Aerospace/Defense-Equipment -- 3.0%
BE Aerospace* 85,776 $ 2,123
-----------
Total Aerospace/Defense-Equipment 2,123
- --------------------------------------------------------------------------------
Applications Software -- 2.4%
American Reprographics* 29,415 941
Nuance Communications* 78,795 729
-----------
Total Applications Software 1,670
- --------------------------------------------------------------------------------
Commercial Banks-Eastern US -- 2.3%
Signature Bank* 50,425 1,620
-----------
Total Commercial Banks-Eastern US 1,620
- --------------------------------------------------------------------------------
Commercial Banks-Western US -- 1.0%
Community Bancorp* 20,061 676
-----------
Total Commercial Banks-Western US 676
- --------------------------------------------------------------------------------
Commercial Services -- 3.4%
CoStar Group* 19,545 848
PeopleSupport* 29,400 353
Providence Service* 48,425 1,190
-----------
Total Commercial Services 2,391
- --------------------------------------------------------------------------------
Computers -- 1.0%
Rackable Systems* 33,895 723
-----------
Total Computers 723
- --------------------------------------------------------------------------------
Consulting Services -- 5.4%
Corporate Executive Board 21,250 1,998
Huron Consulting Group* 25,427 882
LECG* 50,772 935
-----------
Total Consulting Services 3,815
- --------------------------------------------------------------------------------
Diagnostic Kits -- 0.6%
Quidel* 41,550 396
-----------
Total Diagnostic Kits 396
- --------------------------------------------------------------------------------
Diversified Manufacturing Operations -- 4.3%
ESCO Technologies* 57,377 3,023
-----------
Total Diversified Manufacturing Operations 3,023
- --------------------------------------------------------------------------------
Electronic Components-Semiconductors -- 3.6%
Diodes* 35,138 1,261
Microsemi* 51,350 1,299
-----------
Total Electronic Components-Semiconductors 2,560
- --------------------------------------------------------------------------------
Electronic Measuring Instruments -- 0.6%
Itron* 9,120 424
-----------
Total Electronic Measuring Instruments 424
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Finance-Investment Banker/Broker -- 1.0%
Greenhill 12,800 $ 742
-----------
Total Finance-Investment Banker/Broker 742
- --------------------------------------------------------------------------------
Finance-Other Services -- 3.8%
GFI Group* 27,130 1,556
International Securities Exchange 27,404 1,115
-----------
Total Finance-Other Services 2,671
- --------------------------------------------------------------------------------
Firearms & Ammunition -- 0.2%
Smith & Wesson Holding* 13,620 112
-----------
Total Firearms & Ammunition 112
- --------------------------------------------------------------------------------
Gambling (Non-Hotel) -- 2.5%
Pinnacle Entertainment* 65,860 1,807
-----------
Total Gambling (Non-Hotel) 1,807
- --------------------------------------------------------------------------------
Human Resources -- 1.1%
Kenexa* 15,235 360
Labor Ready* 26,973 440
-----------
Total Human Resources 800
- --------------------------------------------------------------------------------
Import/Export -- 0.5%
Castle Brands* 51,300 354
-----------
Total Import/Export 354
- --------------------------------------------------------------------------------
Internet Application Software -- 1.3%
DealerTrack Holdings* 22,200 435
Vocus* 33,234 452
-----------
Total Internet Application Software 887
- --------------------------------------------------------------------------------
Internet Connective Services -- 1.0%
Cogent Communications Group* 77,550 696
-----------
Total Internet Connective Services 696
- --------------------------------------------------------------------------------
Intimate Apparel -- 0.6%
Tefron* 36,257 460
-----------
Total Intimate Apparel 460
- --------------------------------------------------------------------------------
Investment Management/Advisory Services -- 4.3%
Affiliated Managers Group* 33,865 3,100
-----------
Total Investment Management/
Advisory Services 3,100
- --------------------------------------------------------------------------------
Machinery-Construction & Mining -- 1.2%
Bucyrus International, Cl A 17,700 862
-----------
Total Machinery-Construction & Mining 862
- --------------------------------------------------------------------------------
Medical Information Systems -- 0.7%
Phase Forward* 43,551 487
-----------
Total Medical Information Systems 487
- --------------------------------------------------------------------------------
115
<page>
OLD MUTUAL COPPER ROCK EMERGING GROWTH FUND -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical Instruments -- 1.9%
Conceptus* 91,310 $ 1,380
-----------
Total Medical Instruments 1,380
- --------------------------------------------------------------------------------
Medical-Biomedical/Genetic -- 0.9%
Keryx Biopharmaceuticals* 53,960 621
-----------
Total Medical-Biomedical/Genetic 621
- --------------------------------------------------------------------------------
Medical-Drugs -- 4.7%
Adams Respiratory Therapeutics* 43,920 1,964
New River Pharmaceuticals* 33,605 822
Santarus* 105,440 584
-----------
Total Medical-Drugs 3,370
- --------------------------------------------------------------------------------
Medical-Outpatient/Home Medical -- 2.4%
Radiation Therapy Services* 62,205 1,728
-----------
Total Medical-Outpatient/Home Medical 1,728
- --------------------------------------------------------------------------------
Metal Processors & Fabricators -- 2.2%
Ladish* 46,762 1,590
-----------
Total Metal Processors & Fabricators 1,590
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 1.1%
Pioneer Drilling* 52,470 801
-----------
Total Oil & Gas Drilling 801
- --------------------------------------------------------------------------------
Oil Companies-Exploration & Production -- 3.1%
ATP Oil & Gas* 11,450 471
Berry Petroleum, Cl A 14,400 484
Cabot Oil & Gas 14,350 757
Parallel Petroleum* 19,900 497
-----------
Total Oil Companies-Exploration &
Production 2,209
- --------------------------------------------------------------------------------
Oil Field Machinery & Equipment -- 1.2%
Dresser-Rand Group* 36,050 821
-----------
Total Oil Field Machinery & Equipment 821
- --------------------------------------------------------------------------------
Oil-Field Services -- 3.7%
Hercules Offshore* 30,050 1,074
Trico Marine Services* 23,995 879
W-H Energy Services* 12,845 707
-----------
Total Oil-Field Services 2,660
- --------------------------------------------------------------------------------
Physical Practice Management -- 2.2%
Healthways* 28,930 1,554
-----------
Total Physical Practice Management 1,554
- --------------------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers -- 1.0%
Psychiatric Solutions* 22,207 699
-----------
Total Physical Therapy/
Rehabilitation Centers 699
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Real Estate Management/Services -- 1.0%
Trammell Crow* 19,700 $ 679
-----------
Total Real Estate Management/Services 679
- --------------------------------------------------------------------------------
Retail-Apparel/Shoe -- 3.1%
Aeropostale* 25,980 720
Charlotte Russe Holding* 35,700 935
Christopher & Banks 18,600 524
-----------
Total Retail-Apparel/Shoe 2,179
- --------------------------------------------------------------------------------
Retail-Arts & Crafts -- 0.7%
AC Moore Arts & Crafts* 28,900 497
-----------
Total Retail-Arts & Crafts 497
- --------------------------------------------------------------------------------
Retail-Sporting Goods -- 0.6%
Hibbett Sporting Goods* 21,350 422
-----------
Total Retail-Sporting Goods 422
- --------------------------------------------------------------------------------
Schools -- 2.6%
ITT Educational Services* 20,485 1,381
Strayer Education 4,200 455
-----------
Total Schools 1,836
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 1.0%
Anadigics* 64,700 357
Hittite Microwave* 9,216 376
-----------
Total Semiconductor Components-
Integrated Circuits 733
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 2.5%
CommScope* 57,200 1,786
-----------
Total Telecommunications Equipment 1,786
- --------------------------------------------------------------------------------
Telecommunications Services -- 0.9%
Cbeyond* 35,800 640
-----------
Total Telecommunications Services 640
- --------------------------------------------------------------------------------
Therapeutics -- 0.7%
Theravance* 19,665 466
-----------
Total Therapeutics 466
- --------------------------------------------------------------------------------
Transactional Software -- 2.2%
VeriFone Holdings* 55,780 1,576
-----------
Total Transactional Software 1,576
- --------------------------------------------------------------------------------
Web Hosting/Design -- 2.7%
Equinix* 23,230 1,217
NIC* 51,467 283
Website Pros* 46,307 429
-----------
Total Web Hosting/Design 1,929
- --------------------------------------------------------------------------------
116
<page>
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Wire & Cable Products -- 5.3%
General Cable* 74,900 $ 2,674
Superior Essex* 35,710 1,096
---------
Total Wire & Cable Products 3,770
---------
Total Common Stock (Cost $66,508) 66,345
- --------------------------------------------------------------------------------
Investment Company -- 4.0%
Index Fund-Small Cap -- 4.0%
iShares Russell 2000 Growth
Index Fund 40,450 2,837
---------
Total Index Fund-Small Cap 2,837
Total Investment Company (Cost $2,950) 2,837
- --------------------------------------------------------------------------------
Repurchase Agreement -- 2.1%
Morgan Stanley
5.160%, dated 07/31/06, to be
repurchased on 08/01/06, repurchase
price $1,452,876 (collateralized by
various U.S. Government obligations,
total par value of $1,470,000, par
values ranging from $70,000 to
$725,000, rates ranging from 5.830%
to 6.400%, maturity ranging from
10/09/07 to 08/07/08; total market
value $1,510,429)(A) $1,453 1,453
---------
Total Repurchase Agreement (Cost $1,453) 1,453
- --------------------------------------------------------------------------------
Total Investments -- 99.6% (Cost $70,911) 70,635
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- 0.4%
Payable for Investment Advisory Fees (17)
Payable for Administration Fees (8)
Payable for Distribution Fees (5)
Payable for Investment Securities Purchased (1,168)
Other Assets and Liabilities, Net 1,513
- --------------------------------------------------------------------------------
Total Other Assets and Liabilities 315
- --------------------------------------------------------------------------------
Net Assets -- 100.0% $ 70,950
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-Capital ($0.001 par value, unlimited
authorization) $ 75,973
Accumulated net realized loss on investments (4,747)
Unrealized depreciation on investments (276)
---------
Net Assets $ 70,950
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($20,814,306 / 1,979,233 shares) $10.52
- --------------------------------------------------------------------------------
Maximum Offering
Price Per Share -- Class A
($10.52/94.25%) $11.16
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class C+
($383,571 / 36,767 shares) $10.43
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class Z**
($1,008 / 96 shares) $10.55
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($49,751,581 / 4,712,403 shares) $10.56
- --------------------------------------------------------------------------------
* Non-income producing security.
** Net assets divided by shares do not calculate to the stated NAV because these
amounts are shown rounded.
+ Class C shares have a contingent deferred sales charge. For a description of
a possible sales charge, please see the Fund's prospectus.
(A) -- Tri-party repurchase agreement
Cl -- Class
Cost figures are shown with "000's" omitted.
The accompanying notes are an integral part of the financial statements.
117
<page>
OLD MUTUAL INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisors: Clay Finlay Inc. and Acadian Asset Management, Inc.
PERFORMANCE HIGHLIGHTS
O THE OLD MUTUAL INTERNATIONAL EQUITY FUND DEMONSTRATED STRONG PERFORMANCE SINCE
ITS INCEPTION, BUT UNDERPERFORMED ITS BENCHMARK, THE MSCI EAFE(R) INDEX.
O THE FUND DID NOT PARTICIPATE FULLY IN THE MARKET STRENGTH IN JANUARY 2006 DUE
TO ITS CASH POSITION.
O COUNTRY EXPOSURE IN AUSTRALIA, HONG KONG AND FRANCE DETRACTED FROM THE FUND'S
PERFORMANCE RELATIVE TO THE INDEX DURING THE PERIOD.
O OVERALL, LUXEMBOURG, JAPAN AND GERMANY WERE THE TOP CONTRIBUTING COUNTRIES TO
PERFORMANCE RELATIVE TO THE MSCI EAFE(R) INDEX DURING THE PERIOD.
Q. How did the Fund perform relative to its benchmark?
A. The Old Mutual International Equity Fund's inception date was December 30,
2005. During the period since inception through the end of the annual period
on July 31, 2006, the Fund's Class A shares gained 9.50% at net asset value.
While the Fund demonstrated strong performance since its inception, the Fund
underperformed its benchmark, the MSCI EAFE(R) Index, which returned 11.25%
for the same time period. Performance for all share classes can be found on
page 121.
Q. What investment environment did the Fund face during the past year?
A. Despite the correction seen in May and June, world equity markets remained
in firmly positive territory for the year-to-date period ended July 31,
2006, demonstrating resilience amid consistently elevated energy prices,
inflationary pressures and other global concerns. The dollar fell against
other major currencies. As measured by the MSCI Europe IndexSM,1, European
markets were up 15.3% overall in U.S. dollar terms and the outlook in this
region called for continued -- although moderate -- growth. As the period
ended, both the European Central Bank and the Bank of England were poised to
raise interest rates amid positive data and above-target inflation figures.
However, the move appeared to be expected by markets and did not affect them
adversely.
The European region's major markets performed well during the period, with
sound economic fundamentals sustaining the view that future growth can be
expected in 2006 and into 2007. Germany's equity market gained 13.0%, as
measured by the MSCI Germany Index2, amid record-high levels of business
confidence, encouraging employment data and strong corporate profits. German
consumer spending also got a boost from the World Cup in June. In France,
another country in which consumer spending and employment have shown signs
of a recovery, the equity market rose 16.8%, as measured by the MSCI France
Index2. Italy performed in line with Germany and France, gaining 13.8%
year-to-date, as measured by the MSCI Italy Index2. Italians are hopeful
that the center-left coalition government elected in April will introduce
much-needed economic reform and make progress on paying off the country's
massive debt levels. The growth picture for the United Kingdom is bright,
according to one of the Fund's sub-advisors, Acadian Asset Management, Inc.
("Acadian"), with consumer spending and domestic demand remaining firm and
showing evidence that they could strengthen further. The United Kingdom's
stock market rose by 16.2%, as measured by the MSCI UK Index2.
As measured by the MSCI Pacific Index, the Asia-Pacific region returned 3.4%
in U.S. dollar-stated terms. As measured by the MSCI Japan Index2 and the
MSCI New Zealand Index2, respectively, the Asia Pacific region's performance
was held back by tepid results in Japan (1.3%) and notable declines in New
Zealand (-11.3%). During the period, the Japanese recovery moderated to more
sustainable levels, the central bank ended its zero interest rate policy and
investors took profits following a surge of gains. Industrial production has
risen, while exports -- particularly in the technology sector -- are strong
and real estate has begun to climb. Some of the market unease arose from
speculation that the Bank of Japan may raise rates before 2006 year-end in
an effort to moderate the pace of economic growth and to combat the
persistent risk of inflation. Elsewhere in the region, Australia gained
11.1%, as measured by the MSCI Australia Index2, with commodity prices and
global demand holding up and sustaining growth. Hong Kong rose 8.8%, as
measured by the MSCI Hong Kong Index2, and Singapore gained 11.6%, as
measured by the MSCI Singapore Index2, showing solid growth year-to-date.
International Equity Fund
118
<page>
Q. Which market factors influenced the Fund's relative performance?
A. Clay Finlay Inc. ("Clay Finlay"), one of the Fund's sub-advisors, believes
that the period of extreme global liquidity is coming to an end. Clay Finlay
notes that the Bank of Japan has been draining excess reserves (the fuel for
global carry trades) since March, reducing the Japanese monetary base by
almost 20%. Monetary policy is tightening in all major regions, which
resulted in increased volatility and a strong correction in emerging markets
during the period.
Q. How did portfolio composition affect Fund performance?
A. The Fund did not participate fully in the market strength in January due to
its cash position. The fact that the Fund was not fully invested during this
strongly rising market, is a major contributor to its underperformance for
the period.
Overall, Luxembourg, Japan and Germany were the top contributing countries
to performance relative to the MSCI EAFE(R) Index during the period.
Overweighted allocations to key European markets added value during the
period, most notably Germany and Luxembourg. Contributing significantly to
value added in the Fund's portfolio was stock selection in Germany, where
positions in automaker, Porsche, and capital equipment holding, MAN, were
key drivers of excess relative returns. Luxembourg-based Arcelor (no longer
a Fund holding), a steel producer, also played a key role in contributing to
the Fund's positive performance during the period. The portfolio was
underweight relative to the index in Japan, which was positive for relative
return as a rocky equity market produced tepid results. Stock selection in
Japan also contributed to performance as holdings, including electronics
manufacturers, Matsushita (no longer a Fund holding) and KDDI, produced
strong returns after reporting record-high profits for 2005. Compagnie
Generale des Etablissements Michelin, a France-based tire manufacturer; SBI
Holdings, a Japan-based financial company and Techtronic Industries, an
electronic product manufacturer and trader, are examples of stocks that
detracted from relative performance during the one-year period.
Country exposure in France, Hong Kong Australia detracted from the Fund's
performance relative to the index during the period. Specific stock holdings
in these countries proved to be negative contributors. In Australia
positions in airline, Qantas (no longer a Fund holding), and materials
company, Rio Tinto, were the most costly. Stock selection and country
positioning in Hong Kong also cost the portfolio some value relative to the
index.
On a sector basis, overall, materials, telecommunication services and
industrials were the key contributors during the period. In the materials
sector, the steel industry drove performance as demand remained firm and
higher production costs drove up
- ------------------
1 The MSCI Europe IndexSM is a free float-adjusted market capitalization index
that is designed to measure developed market equity performance in Europe. As
of June 2006, the MSCI Europe Index consisted of the following 16 developed
market country indices: Austria, Belgium, Denmark, Finland, France, Germany,
Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden,
Switzerland and the United Kingdom.
2 To construct an MSCI Country Index, every listed security in the market is
identified. Securities are free float adjusted, classified in accordance with
the Global Industry Classification Standard (GICS(R)), and screened by size
and liquidity. MSCI then constructs its indices by targeting for index
inclusion 85% of the free float adjusted market capitalization in each
industry group, within each country. By targeting 85% of each industry group,
the MSCI Country Index captures 85% of the total country market capitalization
while it accurately reflects the economic diversity of the market.
TOP TEN HOLDINGS
AS OF JULY 31, 2006
ING Groep 2.8%
- -----------------------------------------
HSBC Holdings 2.3%
- -----------------------------------------
AstraZeneca 2.0%
- -----------------------------------------
BNP Paribas 1.8%
- -----------------------------------------
National Bank of Greece 1.8%
- -----------------------------------------
MAN 1.8%
- -----------------------------------------
BP 1.8%
- -----------------------------------------
Voestalpine 1.6%
- -----------------------------------------
National Grid 1.6%
- -----------------------------------------
Nintendo 1.6%
- -----------------------------------------
As a % of Total
Fund Investments 19.1%
- -----------------------------------------
International Equity Fund
119
<page>
OLD MUTUAL INTERNATIONAL EQUITY FUND -- continued
- --------------------------------------------------------------------------------
MARKET OVERVIEW
Sub-Advisors: Clay Finlay Inc. and Acadian Asset Management, Inc.
prices. Strong stock selection in materials and energy also added value to
Clay Finlay's portion of the Fund's portfolio while a lack of exposure to
utilities detracted from performance as this sector experienced strong
gains. Financials, consumer discretionary and consumer staples detracted
from performance during the period.
Q. What is the investment outlook for international stocks?
A. Acadian notes that outside of the United States economic growth is forecast
to be positive, corporate earnings are recovering and inflation is
contained. Acadian believes that these conditions typically represent a
supportive environment for international equities. Acadian also expects
continued outperformance from the energy sector as relative valuations in
this sector are still attractive as stock prices have not yet responded
fully to the sharp energy price increases seen this year. Acadian believes
energy companies may continue to produce solid earnings. Acadian also finds
the materials sector attractive, given the current environment of global
demand, which is not expected to taper off in the foreseeable future. It
notes that banking and finance stocks may also fair well in the
short-to-mid-term given the current interest rate environment and these
sectors' relationship to the economic cycle.
Clay Finlay believes that the Fund is well positioned to benefit from an
expected recovery in Japan and Germany and a general broadening-out of
global economic growth. Clay Finlay notes that the Fund is reasonably well
insulated from an expected modest slowdown in the United States and from
U.S. dollar weakness. In the long-term, Clay Finlay believes that the stocks
in the Fund are positioned to provide higher-than-average profit growth.
International Equity Fund
120
<page>
PERFORMANCE AND PORTFOLIO SUMMARY
Total Return as of July 31, 2006
- --------------------------------------------------------------------------------
Inception Date Since Inception*
- ------------------------------------------------------------------------------------------------------
Class A with front-end load 12/30/05 3.20%
Class A without load 12/30/05 9.50%
Class C with deferred sales load 12/30/05 8.10%
Class C without deferred sales load 12/30/05 9.10%
Class Z 12/30/05 9.70%
InstitutionalClass 12/30/05 9.80%
MSCI EAFE(R) Index 12/30/05 11.25%
- ------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Information about these
performance results and the comparative index can be found on pages 1 and 2.
* Not annualized.
Fund Performance
- --------------------------------------------------------------------------------
LINE CHART OMITTED, PLOT POINTS FOLLOWS]
OM OM OM OM MSCI
INTERNATIONAL EQUITY INTERNATIONAL EQUITY INTERNATIONAL EQUITY INTERNATIONAL EQUITY EAFE(R)
FUND, CLASS A FUND, CLASS C FUND, CLASS Z FUND, INSTITUTIONAL CLASS INDEX
12/30/05 $ 9425 $10000 $10000 $10000 $10000
7/31/06 10321 10810 10971 10980 11126
Past performance is not a guarantee of future results. The graph above compares
an investment made in each of the Fund's share classes on the inception date of
12/30/05 to an investment made in an unmanaged securities index on that date.
The performance of the Fund's Class A shares shown in the line graph takes into
account the maximum initial sales charge. Performance for the Fund's Class C
shares assumes the payment of a contingent deferred sales load, which is charged
on investments held less than one year. The Fund's performance in this chart and
the performance table assumes reinvestment of dividends and capital gain
distributions but does not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or on the redemption of Fund shares.
Asset Class Weightings as of July 31, 2006 -- % of Total Fund Investments
- --------------------------------------------------------------------------------
[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
Repurchase Agreement (0.7%)
Common Stock (1.6%)
Foreign Preferred Stock (1.7%)
Foreign Common Stock (96.0%)
121
<page>
OLD MUTUAL INTERNATIONAL EQUITY FUND -- continued
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stock -- 1.6%
Aerospace/Defense -- 0.5%
Empresa Brasileira de Aeronautica ADR 900 $ 31
-----------
Total Aerospace/Defense 31
- --------------------------------------------------------------------------------
Broadcast Services/Programming -- 0.6%
Grupo Televisa ADR 1,800 33
-----------
Total Broadcast Services/Programming 33
- --------------------------------------------------------------------------------
Semiconductor Components-Integrated Circuits -- 0.5%
United Microelectronics ADR 10,000 31
-----------
Total Semiconductor Components-
Integrated Circuits 31
-----------
Total Common Stock (Cost $106) 95
- --------------------------------------------------------------------------------
Foreign Common Stock -- 95.0%
Australia -- 4.3%
BHP Billiton 2,839 60
Caltex Australia 906 17
National Australia Bank 543 15
Oxiana 7,635 18
QBE Insurance Group 820 14
Rio Tinto 960 54
Santos 8,605 76
-----------
Total Australia 254
- --------------------------------------------------------------------------------
Austria -- 4.0%
Erste Bank der oesterreichischen
Sparkassen 984 57
Telekom Austria 1,486 34
Voestalpine 638 94
Wiener Staedtische Versicherung 900 52
-----------
Total Austria 237
- --------------------------------------------------------------------------------
Belgium -- 1.5%
KBC Groep 836 91
-----------
Total Belgium 91
- --------------------------------------------------------------------------------
Canada -- 1.4%
Bank of Montreal 900 51
Goldcorp 1,000 29
-----------
Total Canada 80
- --------------------------------------------------------------------------------
Denmark -- 0.1%
Sydbank 200 7
-----------
Total Denmark 7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Finland -- 0.1%
Metso 100 $ 4
Nokia 200 4
-----------
Total Finland 8
- --------------------------------------------------------------------------------
France -- 8.4%
Accor 500 30
AXA 2,666 92
BNP Paribas 1,108 108
Bouygues 806 40
Compagnie Generale des
Etablissements Michelin, Cl B 1,239 75
Sanofi-Aventis 900 85
Total 668 46
Vallourec 100 22
-----------
Total France 498
- --------------------------------------------------------------------------------
Germany -- 9.7%
BASF 82 7
Beiersdorf 1,023 54
Commerzbank 2,586 90
Deutsche Lufthansa 4,619 86
Hypo Real Estate Holding 700 39
IVG Immobilien 1,800 57
MAN 1,435 104
Patrizia Immobilien* 1,600 40
Puma 72 26
Salzgitter 62 5
Siemens 800 64
-----------
Total Germany 572
- --------------------------------------------------------------------------------
Greece -- 2.3%
National Bank of Greece 2,700 104
OPAP 800 29
-----------
Total Greece 133
- --------------------------------------------------------------------------------
Hong Kong -- 4.1%
ASM Pacific Technology 13,500 68
Cheung Kong Holdings 4,000 43
Kingboard Chemical Holdings 19,000 56
Shun Tak Holdings 40,000 52
Techtronic Industries 10,000 13
VTech Holdings 2,401 13
-----------
Total Hong Kong 245
- --------------------------------------------------------------------------------
Italy -- 1.1%
ENI 278 9
Fondiaria-Sai 1,412 57
-----------
Total Italy 66
- --------------------------------------------------------------------------------
122
<page>
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Japan -- 22.8%
ABILIT 1,200 $ 6
Advantest 600 58
Bank of Fukuoka 7,000 52
Canon 1,650 79
Central Japan Railway 8 89
Fujitsu General* 3,000 8
Haseko* 2,000 7
Juki 6,000 34
KDDI 2 13
Komatsu 4,000 81
Leopalace21 1,100 39
Mitsubishi UFJ Financial Group 6 84
Mizuho Financial Group 8 67
Mori Seiki 300 6
Nidec 800 57
Nintendo 500 93
Nippon Steel 5,000 19
Nissan Diesel Motor 3,000 12
Nissan Motor 7,600 82
ORIX 290 76
SBI Holdings 4 2
Sega Sammy Holdings 900 30
Sony 100 5
Sumisho Lease 1,300 68
Sumitomo Metal Mining 2,000 28
Sumitomo Trust & Banking 2,000 21
Tokyo Electron 300 19
Tokyo Steel Manufacturing 500 9
Toray Industries 7,000 59
Towa Real Estate Development* 1,500 7
Xebio 1,800 57
Yamada Denki 300 29
Yamaha Motor 1,300 34
Yamato Kogyo 800 17
-----------
Total Japan 1,347
- --------------------------------------------------------------------------------
Mexico -- 0.5%
GEO SA de CV, Ser B* 7,000 28
-----------
Total Mexico 28
- --------------------------------------------------------------------------------
Netherlands -- 4.9%
Aegon 4,945 84
Heineken 111 5
ING Groep 3,986 162
Royal Dutch Shell, Cl A 823 29
TNT 52 2
USG People 127 9
-----------
Total Netherlands 291
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------------------------
Portugal -- 0.5%
Banco Comercial Portugues 10,031 $ 29
-----------
Total Portugal 29
- --------------------------------------------------------------------------------
Singapore -- 2.5%
Keppel 9,000 87
Singapore Airlines 4,349 36
Singapore Telecommunications 11,000 18
United Test and Assembly Center* 14,000 6
-----------
Total Singapore 147
- --------------------------------------------------------------------------------
South Korea -- 1.1%
Daegu Bank 1,600 29
Samsung Electronics 60 38
-----------
Total South Korea 67
- --------------------------------------------------------------------------------
Spain -- 1.6%
Banco Bilbao Vizcaya Argentaria 3,800 81
Telefonica 890 15
-----------
Total Spain 96
- --------------------------------------------------------------------------------
Sweden -- 1.1%
Ericsson, Cl B 17,000 53
JM 800 12
-----------
Total Sweden 65
- --------------------------------------------------------------------------------
Switzerland -- 5.4%
Credit Suisse Group 1,631 91
Julius Baer Holding 700 65
Nestle 100 33
Novartis 500 28
Roche Holding 355 63
Swiss Life Holding* 115 27
Zurich Financial Services 53 12
-----------
Total Switzerland 319
- --------------------------------------------------------------------------------
Taiwan -- 0.5%
HON HAI Precision Industry 2,400 29
-----------
Total Taiwan 29
- --------------------------------------------------------------------------------
United Kingdom -- 17.1%
3i Group 3,554 62
3i Group, Cl B* 4,200 10
AstraZeneca 1,922 117
BP 8,501 104
British Energy Group* 3,012 41
BT Group 507 2
Collins Stewart Tullett 3,800 55
Corus Group 3,772 30
Gallaher Group 497 8
GlaxoSmithKline 2,900 80
- --------------------------------------------------------------------------------
123
<page>
OLD MUTUAL INTERNATIONAL EQUITY FUND -- concluded
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
AS OF JULY 31, 2006
- --------------------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
United Kingdom -- continued
HBOS 4,368 $ 80
HSBC Holdings 7,283 132
Imperial Tobacco Group 193 6
Marks & Spencer 1,546 17
Michael Page International 3,600 22
National Grid 8,276 94
Persimmon 904 22
Vedanta Resources 1,900 47
Vodafone Group (B) 32,375 70
Vodafone Group, Cl B* (B) 37,000 11
-----------
Total United Kingdom 1,010
-----------
Total Foreign Common Stock (Cost $5,349) 5,619
- --------------------------------------------------------------------------------
Foreign Preferred Stock -- 1.7%
Germany -- 1.7%
Fresenius 450 74
Porsche 27 26
-----------
Total Germany 100
-----------
Total Foreign Preferred Stock (Cost $96) 100
- --------------------------------------------------------------------------------
Repurchase Agreement -- 0.7%
Morgan Stanley
5.165%, dated 07/31/06, to be
repurchased on 08/01/06, repurchase
price $39,948 (collateralized by a
U.S. Government obligation, par
value $40,000, 6.400%, 10/09/07,
total market value $41,258) (A) $ 40 40
-----------
Total Repurchase Agreement (Cost $40) 40
- --------------------------------------------------------------------------------
Total Investments -- 99.0%
(Cost $5,591) 5,854
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- 1.0%
Payable for Investment Advisory Fees (1)
Payable for Administration Fees (1)
Other Assets and Liabilities, Net 60
- --------------------------------------------------------------------------------
Total Other Assets and Liabilities 58
- --------------------------------------------------------------------------------
Net Assets -- 100.0% $ 5,912
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Paid-in-Capital ($0.001 par value, unlimited
authorization) $ 5,429
Undistributed net investment income 22
Accumulated net realized gain on investments 198
Unrealized appreciation on investments 263
-----------
Net Assets $ 5,912
- --------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share -- Class A
($251,009 / 22,923 shares) $10.95
- --------------------------------------------------------------------------------
Maximum Offering
Price Per Share -- Class A
($10.95/94.25%) $11.62
- --------------------------------------------------------------------------------
Net Asset Value,
Offering and Redemption
Price Per Share -- Class C+
($170,113 / 15,597 shares) $10.91
- --------------------------------------------------------------------------------
Net Asset Value and Offering
Price Per Share -- Class Z
($1,097 / 100 shares) $10.97
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class
($5,489,309 / 499,896 shares) $10.98
- --------------------------------------------------------------------------------
* Non-income producing security.
+ Class C shares have a contingent deferred sales charge. For a description of a
possible sales charge, please see the Fund's prospectus.
(A) -- Tri-party repurchase agreement
(B) -- Securities fair valued using methods determined in good faith according
to procedures adopted by the Fair Valuation Committee of the Board
of Trustees. At July 31, 2006, the total value of these securities
was $81 (000), representing 1.4% of the net assets of the Fund.
ADR -- American Depositary Receipt
Cl -- Class
Ser -- Series
Cost figures are shown with "000's" omitted.
The accompanying notes are an integral part of the financial statements.
124
<page>
STATEMENTS OF ASSETS AND LIABILITIES (000, EXCLUDING SHARES)
AS OF JULY 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual
Analytic Old Mutual Clay Finlay
Global Clay Finlay Emerging
Defensive China Markets
Equity Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Assets:
Investment securities (including repurchase agreements), at cost $3,110 $14,362 $2,900
- ------------------------------------------------------------------------------------------------------------------------------------
Investment securities, at value $2,935 $14,040 $3,012
Repurchase Agreements 212 1,529 --
Cash 245 -- 58
Foreign currency (cost $2, $187 and $118, respectively) 2 187 118
Dividend Tax Reclaim -- -- --
Receivable for Capital Shares Sold 32 575 10
Receivable from Investment Advisor 8 -- --
Receivable from Investment Securities Sold -- 210 12
Dividends and interest receivable 1 6 4
Other Assets 4 30 33
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,439 16,577 3,247
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investment securities purchased 1 549 --
Written Index Option contracts, at value (proceeds received of
$(36), $(--) and $(--), respectively) 64 -- --
Securities sold short, at value (proceeds received of $(478),
$(--) and $--), respectively) 478 -- --
Payable for capital shares redeemed -- 4 --
Payable for investment advisory fees -- 11 1
Payable for administration fees -- 2 --
Payable for distribution fees -- 1 --
Other Payables 4 7 7
Accrued expenses 13 32 28
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 560 606 36
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $2,879 $15,971 $3,211
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid-in Capital 1 $2,861 $14,195 $2,955
Undistributed net investment income/(accumulated net investment loss) (8) 57 (7)
Accumulated net realized gain on investments 17 512 151
Net unrealized appreciation on investments, securities sold short
and written options 9 1,207 112
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,879 $15,971 $3,211
- ------------------------------------------------------------------------------------------------------------------------------------
Outstanding shares of beneficial interest -- Class A 25,591 191,493 31,231
Outstanding shares of beneficial interest -- Class C 11,117 60,163 7,661
Outstanding shares of beneficial interest -- Class Z 100 1,799 100
Outstanding shares of beneficial interest -- Institutional Class 249,700 950,957 249,700
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value and Redemption Price Per Share -- Class A $10.05 (a) $13.23 (b) $11.08 (c)
- ------------------------------------------------------------------------------------------------------------------------------------
Maximum Offering Price per Share -- Class A (Net Asset Value/94.25%) $10.66 $14.03 $11.76
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value and Offering Price Per Share -- Class C+ $10.03 (a) $13.18 (b) $11.04 (c)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class Z $10.04 (a) $13.25 (b) $11.10 (c)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Institutional Class $10.05 (a) $13.27 (b) $11.13 (c)
- ------------------------------------------------------------------------------------------------------------------------------------
1 Par Value of $0.001, unlimited authorization.
(a) Based on net assets of $257,190, $111,501, $1,004 and $2,509,525 of Class A
Shares, Class C Shares, Class Z Shares and Institutional Class Shares,
respectively.
(b) Based on net assets of $2,532,496, $792,774, $23,835 and
$12,621,761 of Class A Shares, Class C Shares, Class Z Shares and
Institutional Class Shares, respectively.
(c) Based on net assets of $346,181, $84,568, $1,110 and $2,779,161 of Class A
Shares, Class C Shares, Class Z Shares and Institutional Class Shares,
respectively.
+ Class C Shares have a contingent deferred sales charge. For a description of
a possible sales charge, please see the Fund's prospectus.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
125
<page>
STATEMENTS OF OPERATIONS (000)
FOR THE YEAR OR PERIOD ENDED JULY 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual Old Mutual Old Mutual
Asset Allocation Asset Allocation Asset Allocation Asset Allocation
Conservative Balanced Moderate Growth Growth
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
8/1/05 8/1/05 8/1/05 8/1/05
to 7/31/06 to 7/31/06 to 7/31/06 to 7/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $ 144 $ 800 $1,340 $1,001
Interest 945 1,709 1,097 112
Less: Foreign Taxes Withheld (7) (38) (76) (52)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 1,082 2,471 2,361 1,061
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment Advisory Fees 231 753 921 567
Administration fees 33 103 126 73
Trustees' fees 18 49 54 29
Custodian fees 60 133 156 132
Professional fees 12 9 27 16
Registration and SEC fees 48 60 60 56
Printing fees (5) (3) 15 18
Transfer Agent fees 97 185 271 198
Website fees 13 40 57 40
Offering costs 5 12 7 5
Distribution and Service fees
Class A Service fees 19 68 80 49
Class C Service fees 35 111 157 75
Class C Distribution (12b-1) fees 106 333 472 225
Insurance expense (43) (102) (76) (41)
Pricing expense 39 55 54 44
Dividend expense on securities sold short -- -- -- --
Interest expense on securities sold short -- -- -- --
Other expenses -- -- 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 668 1,806 2,382 1,487
- ------------------------------------------------------------------------------------------------------------------------------------
Less: Investment advisory waiver (168) (206) (342) (333)
Less: Reimbursement of other expenses by Advisor -- -- -- --
Less: Fees Paid Indirectly -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 500 1,600 2,040 1,154
- ------------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 582 871 321 (93)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Investment
Transactions (including securities sold short) 123 1,958 2,589 2,049
Net Realized Gain (Loss) on Written Option Contracts -- -- -- --
Net Realized Gain (Loss) on Futures Contracts -- -- -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions (16) (14) 39 (21)
Net Increase from Payments by Affiliate+ -- -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments (including securities sold short) 115 1,092 2,690 1,786
Net Change in Unrealized Appreciation (Depreciation)
on Written Option Contracts -- -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Futures Contracts -- -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Forward foreign currency contracts and
translation of other assets and liabilities
denominated in foreign currency (16) (38) (10) 5
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS 206 2,998 5,308 3,819
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Resulting from
Operations $ 788 $3,869 $5,629 $3,726
====================================================================================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual Old Mutual
Analytic Analytic Global Clay Finlay
Defensive Defensive China
Equity Fund** Equity Fund Fund
- ---------------------------------------------------------------------------------------------------------------------------------
1/1/06 1/1/05 5/31/06* 12/30/05*
to 7/31/06 to 12/31/05 to 7/31/06 to 7/31/06
- ---------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $ 4,788 $ 5,016 $ 6 $ 138
Interest 1,842 414 3 13
Less: Foreign Taxes Withheld -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 6,630 5,430 9 151
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment Advisory Fees 3,074 1,556 5 79
Administration fees 398 355 1 7
Trustees' fees 63 22 -- 1
Custodian fees 30 26 4 22
Professional fees 265 114 4 7
Registration and SEC fees 96 75 -- 24
Printing fees 117 65 3 2
Transfer Agent fees 488 582 4 20
Website fees 67 -- -- --
Offering costs -- -- 6 20
Distribution and Service fees
Class A Service fees 321 73 -- 1
Class C Service fees 229 178 -- --
Class C Distribution (12b-1) fees 687 -- -- 1
Insurance expense 149 -- -- 1
Pricing expense 13 -- 2 1
Dividend expense on securities sold short 1,023 650 3 --
Interest expense on securities sold short 292 -- -- --
Other expenses 1 221 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 7,313 3,917 32 186
- ---------------------------------------------------------------------------------------------------------------------------------
Less: Investment advisory waiver (2,003) (123) (5) (79)
Less: Reimbursement of other expenses by Advisor -- -- (18) (13)
Less: Fees Paid Indirectly -- (68)*** -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 5,310 3,726 9 94
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,320 1,704 -- 57
- ---------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Investment
Transactions (including securities sold short) 2,029 1,165 (12) 512
Net Realized Gain (Loss) on Written Option Contracts 9,614 (6,232) 31 --
Net Realized Gain (Loss) on Futures Contracts (483) 5,233 -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions 928 1,928 (10) --
Net Increase from Payments by Affiliate+ 65 -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments (including
securities sold short) 8,830 14,279 37 1,207
Net Change in Unrealized Appreciation
(Depreciation) on Written Option Contracts (12,618) 4,635 (28) --
Net Change in Unrealized Appreciation
(Depreciation) on Futures Contracts 4,340 (138) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Forward foreign currency
contracts and translation of other assets and
liabilities denominated in foreign currency 781 (338) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS 13,486 20,532 18 1,719
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Resulting from
Operations $14,806 $22,236 $ 18 $1,776
=================================================================================================================================
- ------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual
Clay Finlay Copper Rock Old Mutual
Emerging Emerging International
Markets Fund Growth Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------
12/30/05* 8/1/05 12/30/05*
to 7/31/06 to 7/31/06 to 7/31/06
- ------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $ 32 $ 15 $108
Interest 1 67 1
Less: Foreign Taxes Withheld (4) -- (11)
- ------------------------------------------------------------------------------------------------------------
Total Investment Income 29 82 98
- ------------------------------------------------------------------------------------------------------------
Expenses:
Investment Advisory Fees 20 186 32
Administration fees 2 25 4
Trustees' fees -- 3 1
Custodian fees 16 5 15
Professional fees 3 37 4
Registration and SEC fees 25 33 25
Printing fees 1 17 5
Transfer Agent fees 19 94 19
Website fees -- 16 --
Offering costs 21 54 20
Distribution and Service fees
Class A Service fees -- 24 --
Class C Service fees -- -- --
Class C Distribution (12b-1) fees -- 1 --
Insurance expense 1 2 1
Pricing expense 1 2 2
Dividend expense on securities sold short -- -- --
Interest expense on securities sold short -- -- --
Other expenses -- 2 --
- ------------------------------------------------------------------------------------------------------------
Total Expenses 109 501 128
- ------------------------------------------------------------------------------------------------------------
Less: Investment advisory waiver (20) (186) (32)
Less: Reimbursement of other expenses by Advisor (65) (42) (59)
Less: Fees Paid Indirectly -- -- --
- ------------------------------------------------------------------------------------------------------------
Net Expenses 24 273 37
- ------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 5 (191) 61
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Investment
Transactions (including securities sold short) 151 (4,747) 200
Net Realized Gain (Loss) on Written Option Contract -- -- --
Net Realized Gain (Loss) on Futures Contracts -- -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions (12) -- (41)
Net Increase from Payments by Affiliate+ -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments (including
securities sold short) 111 (276) 263
Net Change in Unrealized Appreciation
(Depreciation) on Written Option Contracts -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Futures Contracts -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Forward foreign currency
contracts and translation of other assets and
liabilities denominated in foreign currency 1 -- --
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS 251 (5,023) 422
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Resulting from
Operations $256 $(5,214) $483
============================================================================================================
* Inception date of the Fund
** On December 9, 2005, the Old Mutual Analytic Defensive Equity Fund (the
"Fund") acquired substantially all of the assets and liabilities of the
Analytic Defensive Equity Fund (the "Predecessor Fund"), a series of The
Advisors' Inner Circle Fund. The operations of the Fund prior to the
acquisition were those of the Predecessor Fund. The Fund changed its fiscal
year end from December 31 to July 31. See Note 1 in Notes to Financial
Statements.
*** See Note 3 in Notes to Financial Statements.
+ See Note 2 in Notes to Financial Statements.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
126 & 127
<page>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------------------------------------------
OLD MUTUAL OLD MUTUAL
ASSET ALLOCATION ASSET ALLOCATION
CONSERVATIVE PORTFOLIO BALANCED PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
8/1/05 9/30/04* 8/1/05 9/30/04*
to 7/31/06 to 7/31/05 to 7/31/06 to 7/31/05
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES:
Net Investment Income (Loss) $ 582 $ 147 $ 871 $ 204
Net Realized Gain (Loss) from
Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and Foreign
Currency Transactions 107 45 1,944 133
Net Increase from Payments
by Affiliates -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and
Foreign Currency Transactions 99 439 1,054 2,508
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 788 631 3,869 2,845
- --------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income
Class A (150) (32) (310) (61)
Class C (187) (24) (215) (29)
Class Z -- -- -- --
Institutional Class (115) (57) (158) (73)
Net Realized Gains from
Security Transactions
Class A (31) -- (178) --
Class C (57) -- (285) --
Class Z -- -- -- --
Institutional Class (22) -- (84) --
- --------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (562) (113) (1,230) (163)
- --------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A
Shares Issued 5,211 6,851 22,402 19,334
Shares Issued upon Reinvestment
of Distributions 137 24 349 44
Redemption Fees -- -- -- --
Shares Redeemed (3,517) (331) (5,439) (658)
- --------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 1,831 6,544 17,312 18,720
- --------------------------------------------------------------------------------------------------------------------
Class C
Shares Issued 14,123 7,931 41,520 24,281
Shares Issued upon Reinvestment
of Distributions 95 7 242 13
Redemption Fees -- -- -- --
Shares Redeemed (3,978) (160) (5,573) (856)
- --------------------------------------------------------------------------------------------------------------------
Total Class C Transactions 10,240 7,778 36,189 23,438
- --------------------------------------------------------------------------------------------------------------------
Class Z
Shares Issued 1 -- 1 --
Shares Issued upon Reinvestment
of Distributions -- -- -- --
Redemption Fees -- -- -- --
Shares Redeemed -- -- -- --
- --------------------------------------------------------------------------------------------------------------------
Total Class Z Transactions 1 -- 1 --
- --------------------------------------------------------------------------------------------------------------------
Institutional Class
Shares Issued 227 4,868 1,117 10,189
Shares Issued upon Reinvestment
of Distributions 137 58 242 73
Redemption Fees -- -- -- --
Shares Redeemed (23) -- (211) (1)
- --------------------------------------------------------------------------------------------------------------------
Total Institutional Class
Transactions 341 4,926 1,148 10,261
- --------------------------------------------------------------------------------------------------------------------
Increase in Net Assets
Derived from Capital
Share Transactions 12,413 19,248 54,650 52,419
- --------------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 12,639 19,766 57,289 55,101
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Period 19,791 25 55,126 25
- --------------------------------------------------------------------------------------------------------------------
End of Period $32,430 $19,791 $112,415 $55,126
====================================================================================================================
Undistributed (Distributions
in Excess of) Net Investment
Income/(accumulated
Net Investment Loss) $ 137 $ 8 $ 186 $ (16)
====================================================================================================================
- ----------------------------------------------------------------------------------------------------------------------
OLD MUTUAL OLD MUTUAL
ASSET ALLOCATION ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO GROWTH PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
8/1/05 9/30/04* 8/1/05 9/30/04*
to 7/31/06 to 7/31/05 to 7/31/06 to 7/31/05
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES:
Net Investment Income (Loss) $ 321 $ 72 $ (93) $ 16
Net Realized Gain (Loss) from
Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and Foreign
Currency Transactions 2,628 (46) 2,028 25
Net Increase from Payments
by Affiliates -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and
Foreign Currency Transactions 2,680 2,889 1,791 2,231
- ----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 5,629 2,915 3,726 2,272
- ----------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income
Class A (73) (3) (23) (1)
Class C (1) -- -- --
Class Z -- -- -- --
Institutional Class (25) (6) (14) (6)
Net Realized Gains from
Security Transactions
Class A (124) -- (133) --
Class C (248) -- (200) --
Class Z -- -- -- --
Institutional Class (29) -- (52) --
- ----------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (500) (9) (422) (7)
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A
Shares Issued 32,649 17,651 23,101 9,915
Shares Issued upon Reinvestment
of Distributions 135 2 95 1
Redemption Fees -- -- -- --
Shares Redeemed (5,916) (811) (4,377) (197)
- ----------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 26,868 16,842 18,819 9,719
- ----------------------------------------------------------------------------------------------------------------------
Class C
Shares Issued 67,934 29,814 37,384 12,967
Shares Issued upon Reinvestment
of Distributions 106 -- 107 --
Redemption Fees -- -- -- --
Shares Redeemed (6,007) (252) (2,207) (406)
- ----------------------------------------------------------------------------------------------------------------------
Total Class C Transactions 62,033 29,562 35,284 12,561
- ----------------------------------------------------------------------------------------------------------------------
Class Z
Shares Issued 1 -- 1 --
Shares Issued upon Reinvestment
of Distributions -- -- -- --
Redemption Fees -- -- -- --
Shares Redeemed -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Total Class Z Transactions 1 -- 1 --
- ----------------------------------------------------------------------------------------------------------------------
Institutional Class
Shares Issued 1,404 5,579 8,786 5,378
Shares Issued upon Reinvestment
of Distributions 54 6 67 6
Redemption Fees -- -- -- --
Shares Redeemed (46) -- (299) --
- ----------------------------------------------------------------------------------------------------------------------
Total Institutional Class
Transactions 1,412 5,585 8,554 5,384
- ----------------------------------------------------------------------------------------------------------------------
Increase in Net Assets
Derived from Capital
Share Transactions 90,314 51,989 62,658 27,664
- ----------------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 95,443 54,895 65,962 29,929
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Period 54,920 25 29,954 25
- ----------------------------------------------------------------------------------------------------------------------
End of Period $150,363 $54,920 $95,916 $29,954
======================================================================================================================
Undistributed (Distributions
in Excess of) Net Investment
Income/(accumulated
Net Investment Loss) $ 296 $ 3 $ (21) $ 9
======================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL
OLD MUTUAL ANALYTIC GLOBAL OLD MUTUAL
ANALYTIC DEFENSIVE DEFENSIVE CLAY FINLAY
EQUITY FUND** EQUITY FUND CHINA FUND
- ------------------------------------------------------------------------------------------------------------------------------------
1/1/06 1/1/05 1/1/04 5/31/06* 12/30/05*
to 7/31/06 to 12/31/05 to 12/31/04 to 7/31/06 to 7/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES:
Net Investment Income (Loss) $ 1,320 $ 1,704 $ 375 $ -- $ 57
Net Realized Gain (Loss) from
Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and Foreign
Currency Transactions 12,088 2,094 2,681 9 512
Net Increase from Payments
by Affiliates 65 -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and
Foreign Currency Transactions 1,333 18,438 1,840 9 1,207
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 14,806 22,236 4,896 18 1,776
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income
Class A -- (2,191) -- -- --
Class C -- (1,331) -- -- --
Class Z -- (5,290) (780) -- --
Institutional Class -- -- -- -- --
Net Realized Gains from
Security Transactions
Class A -- (2,788) -- -- --
Class C -- (1,852) -- -- --
Class Z -- (6,458) (1,583) -- --
Institutional Class -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions -- (19,910) (2,363) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A
Shares Issued 197,245 134,980 -- 253 2,606
Shares Issued upon Reinvestment
of Distributions (53) 2,925 -- -- --
Redemption Fees 5 -- -- -- --
Shares Redeemed (38,695) (4,611) -- -- (110)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 158,502 133,294(1) -- 253 2,496
- ------------------------------------------------------------------------------------------------------------------------------------
Class C
Shares Issued 119,793 90,979 -- 110 796
Shares Issued upon Reinvestment
of Distributions (6) 779 -- -- --
Redemption Fees -- -- -- -- --
Shares Redeemed (7,574) (2,623) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class C Transactions 112,213 89,135(1) -- 110 796
- ------------------------------------------------------------------------------------------------------------------------------------
Class Z
Shares Issued 10,934 312,540 15,241 1 23
Shares Issued upon Reinvestment
of Distributions -- 11,591 2,289 -- --
Redemption Fees 1 -- -- -- --
Shares Redeemed (101,658) (162,080) (7,585) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class Z Transactions (90,723) 162,051(2) 9,945 1 23
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional Class
Shares Issued 6,712 2 -- 2,497 10,880
Shares Issued upon Reinvestment
of Distributions -- -- -- -- --
Redemption Fees -- -- -- -- --
Shares Redeemed -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Institutional Class
Transactions 6,712 2(3) -- 2,497 10,880
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets
Derived from Capital
Share Transactions 186,704 384,482 9,945 2,861 14,195
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 201,510 386,808 12,478 2,879 15,971
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Period 443,979 57,171 44,693 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
End of Period $ 645,489 $ 443,979 $57,171 $2,879 $ 15,971
====================================================================================================================================
Undistributed (Distributions
in Excess of) Net Investment
Income/(accumulated
Net Investment Loss) $ (431) $ (4,433) $ 747 $ (8) $ 57
====================================================================================================================================
- -----------------------------------------------------------------------------------------------------------------------
OLD MUTUAL OLD MUTUAL
CLAY FINLAY COPPER ROCK OLD MUTUAL
EMERGING EMERGING INTERNATIONAL
MARKETS FUND GROWTH FUND EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------
12/30/05* 8/1/05 7/29/05* 12/30/05*
to 7/31/06 to 7/31/06 to 7/31/05 to 7/31/06
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES:
Net Investment Income (Loss) $ 5 $ (191) $ -- $ 61
Net Realized Gain (Loss) from
Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and Foreign
Currency Transactions 139 (4,747) -- 159
Net Increase from Payments
by Affiliates -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments (including
Securities Sold Short),
Written Options Contracts,
Futures Contracts and
Foreign Currency Transactions 112 (276) -- 263
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 256 (5,214) -- 483
- -----------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income
Class A -- -- -- --
Class C -- -- -- --
Class Z -- -- -- --
Institutional Class -- -- -- --
Net Realized Gains from
Security Transactions
Class A -- -- -- --
Class C -- -- -- --
Class Z -- -- -- --
Institutional Class -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A
Shares Issued 383 31,157 1 259
Shares Issued upon Reinvestment
of Distributions -- -- -- --
Redemption Fees -- 2 -- --
Shares Redeemed (21) (7,859) -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 362 23,300 1 259
- -----------------------------------------------------------------------------------------------------------------------
Class C
Shares Issued 123 482 1 175
Shares Issued upon Reinvestment
of Distributions -- -- -- --
Redemption Fees -- -- -- --
Shares Redeemed (28) (52) -- (5)
- -----------------------------------------------------------------------------------------------------------------------
Total Class C Transactions 95 430 1 170
- -----------------------------------------------------------------------------------------------------------------------
Class Z
Shares Issued 1 1 -- 1
Shares Issued upon Reinvestment
of Distributions -- -- -- --
Redemption Fees -- -- -- --
Shares Redeemed -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Class Z Transactions 1 1 -- 1
- -----------------------------------------------------------------------------------------------------------------------
Institutional Class
Shares Issued 2,497 56,756 2,498 4,999
Shares Issued upon Reinvestment
of Distributions -- -- -- --
Redemption Fees -- -- -- --
Shares Redeemed -- (6,823) -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Institutional Class
Transactions 2,497 49,933 2,498 4,999
- -----------------------------------------------------------------------------------------------------------------------
Increase in Net Assets
Derived from Capital
Share Transactions 2,955 73,664 2,500 5,429
- -----------------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 3,211 68,450 2,500 5,912
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Period -- 2,500 -- --
- -----------------------------------------------------------------------------------------------------------------------
End of Period $3,211 $70,950 $2,500 $5,912
=======================================================================================================================
Undistributed (Distributions
in Excess of) Net Investment
Income/(accumulated
Net Investment Loss) $ (7) $ -- $ -- $ 22
=======================================================================================================================
The accompanying notes are an integral part of the financial statements.
128 & 129
STATEMENTS OF CHANGES IN NET ASSETS (000) -- continued
- -----------------------------------------------------------------------------------------------------------------
OLD MUTUAL OLD MUTUAL OLD MUTUAL
ASSET ALLOCATION ASSET ALLOCATION ASSET ALLOCATION
CONSERVATIVE BALANCED MODERATE
PORTFOLIO PORTFOLIO GROWTH PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------
8/1/05 9/30/04* 8/1/05 9/30/04* 8/1/05 9/30/04*
to 7/31/06 to 7/31/05 to 7/31/06 to 7/31/05 to 7/31/06 to 7/31/05
- -----------------------------------------------------------------------------------------------------------------
SHARES ISSUED AND REDEEMED:
CLASS A
Shares Issued 490 664 1,973 1,825 2,744 1,645
Shares Issued upon
Reinvestment of
Distributions 13 3 31 4 12 --
Shares Redeemed (331) (32) (480) (62) (493) (76)
- -----------------------------------------------------------------------------------------------------------------
Total Class A Share Transactions 172 635 1,524 1,767 2,263 1,569
- -----------------------------------------------------------------------------------------------------------------
CLASS C
Shares Issued 1,336 768 3,676 2,292 5,782 2,772
Shares Issued upon
Reinvestment of
Distributions 9 1 21 1 9 --
Shares Redeemed (377) (16) (493) (81) (509) (23)
- -----------------------------------------------------------------------------------------------------------------
Total Class C Share Transactions 968 753 3,204 2,212 5,282 2,749
- -----------------------------------------------------------------------------------------------------------------
CLASS Z
Shares Issued -- -- -- -- -- --
Shares Issued upon
Reinvestment of
Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
Total Class Z Share Transactions -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
Shares Issued 21 487 97 1,017 116 553
Shares Issued upon
Reinvestment of
Distributions 13 6 21 7 5 1
Shares Redeemed (2) -- (18) -- (4) --
- -----------------------------------------------------------------------------------------------------------------
Total Institutional Class
Share Transactions 32 493 100 1,024 117 554
- -----------------------------------------------------------------------------------------------------------------
Net Increase in Shares
Outstanding 1,172 1,881 4,828 5,003 7,662 4,872
=================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL
OLD MUTUAL OLD MUTUAL ANALYTIC
ASSET ALLOCATION ANALYTIC GLOBAL OLD MUTUAL
GROWTH DEFENSIVE DEFENSIVE CLAY FINLAY
PORTFOLIO EQUITY FUND** EQUITY FUND CHINA FUND
- ------------------------------------------------------------------------------------------------------------------------------------
8/1/05 9/30/04* 1/1/06 1/1/05 1/1/04 5/31/06* 12/30/05*
to 7/31/06 to 7/31/05 to 7/31/06 to 12/31/05 to 12/31/04 to 7/31/06 to 7/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
SHARES ISSUED AND REDEEMED:
CLASS A
Shares Issued 1,845 915 15,217 10,244 -- 26 200
Shares Issued upon
Reinvestment of
Distributions 8 -- -- 227 -- -- --
Shares Redeemed (348) (22) (2,997) (349) -- -- (9)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Share Transactions 1,505 893 12,220 10,122(1) -- 26 191
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C
Shares Issued 3,022 1,179 9,281 6,911 -- 11 60
Shares Issued upon
Reinvestment of
Distributions 9 -- -- 61 -- -- --
Shares Redeemed (177) (38) (594) (197) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class C Share Transactions 2,854 1,141 8,687 6,775(1) -- 11 60
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS Z
Shares Issued -- -- 947 24,270 1,349 -- 2
Shares Issued upon
Reinvestment of
Distributions -- -- -- 895 198 -- --
Shares Redeemed -- -- (8,009) (12,346) (670) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class Z Share Transactions -- -- (7,062) 12,819(2) 877 -- 2
- ------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
Shares Issued 685 533 517 -- -- 250 951
Shares Issued upon
Reinvestment of
Distributions 5 1 -- -- -- -- --
Shares Redeemed (24) -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Institutional Class
Share Transactions 666 534 517 --(3) -- 250 951
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Shares
Outstanding 5,025 2,568 14,362 29,716 877 287 1,204
====================================================================================================================================
- ------------------------------------------------------------------------------------------------
OLD MUTUAL OLD MUTUAL
CLAY FINLAY COPPER ROCK OLD MUTUAL
EMERGING EMERGING INTERNATIONAL
MARKETS GROWTH EQUITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------
12/30/05* 8/1/05 7/29/05* 12/30/05*
to 7/31/06 to 7/31/06 to 7/31/05 to 7/31/06
- ------------------------------------------------------------------------------------------------
SHARES ISSUED AND REDEEMED:
CLASS A
Shares Issued 33 2,711 -- 23
Shares Issued upon
Reinvestment of
Distributions -- -- -- --
Shares Redeemed (2) (732) -- --
- ------------------------------------------------------------------------------------------------
Total Class A Share Transactions 31 1,979 -- 23
- ------------------------------------------------------------------------------------------------
CLASS C
Shares Issued 11 42 -- 16
Shares Issued upon
Reinvestment of
Distributions -- -- -- --
Shares Redeemed (3) (5) -- --
- ------------------------------------------------------------------------------------------------
Total Class C Share Transactions 8 37 -- 16
- ------------------------------------------------------------------------------------------------
CLASS Z
Shares Issued -- -- -- --
Shares Issued upon
Reinvestment of
Distributions -- -- -- --
Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------
Total Class Z Share Transactions -- -- -- --
- ------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
Shares Issued 250 5,065 250 500
Shares Issued upon
Reinvestment of
Distributions -- -- -- --
Shares Redeemed -- (602) -- --
- ------------------------------------------------------------------------------------------------
Total Institutional Class
Share Transactions 250 4,463 250 500
- ------------------------------------------------------------------------------------------------
Net Increase in Shares
Outstanding 289 6,479 250 539
================================================================================================
* Inception date of the Fund
** On December 9, 2005, the Old Mutual Analytic Defensive Equity Fund (the
"Fund") acquired substantially all of the assets of the Analytic Defensive
Equity Fund (the "Predecessor Fund"), a series of the Advisors' Inner
Circle Fund. The operations of the Fund prior to the acquisition were those
of the Predecessor Fund. The Fund changed its fiscal year end from December
31 to July 31 beginning in the fiscal year 2006. See Note 1 in Notes to
Financial Statements.
(1) Class A and Class C Shares commenced operations on March 31, 2005.
(2) The Fund's Z Class is the successor class of the Predecessor Fund's
Institutional Class; the Fund's Institutional Class is new.
(3) Institutional Class Shares commenced operations on December 9, 2005.
Amounts designated as "--" are either 0 or have been rounded to 0.
The accompanying notes are an integral part of the financial statements.
130 & 131
<page>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR OR PERIOD ENDED JULY 31,
(UNLESS OTHERWISE NOTED)
Net Realized
Asset Net and Dividends Distributions
Value, Investment Unrealized Total from Net from
Beginning Income Gains on Redemption from Investment Capital
of Period (Loss)* Securities* Fees Operations Income Gains
- ----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION CONSERVATIVE PORTFOLIO
CLASS A
2006 $10.53 $0.26 $0.10 $ -- $0.36 $(0.20) $(0.05)
2005** 10.00 0.16 0.47 -- 0.63 (0.10) --
CLASS C
2006 $10.50 $0.18 $0.10 $ -- $0.28 $(0.13) $(0.05)
2005** 10.00 0.10 0.47 -- 0.57 (0.07) --
CLASS Z
2006*** $10.60 $0.19 $0.09 $ -- $0.28 $(0.18) $(0.05)
INSTITUTIONAL CLASS
2006 $10.54 $0.29 $0.10 $ -- $0.39 $(0.23) $(0.05)
2005** 10.00 0.16 0.50 -- 0.66 (0.12) --
- ----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO
CLASS A
2006 $11.02 $0.16 $0.47 $ -- $0.63 $(0.12) $(0.08)
2005** 10.00 0.10 0.98 -- 1.08 (0.06) --
CLASS C
2006 $11.00 $0.07 $0.48 $ -- $0.55 $(0.05) $(0.08)
2005** 10.00 0.03 1.00 -- 1.03 (0.03) --
CLASS Z
2006*** $11.26 $0.12 $0.28 $ -- $0.40 $(0.12) $(0.08)
INSTITUTIONAL CLASS
2006 $11.04 $0.19 $0.46 $ -- $0.65 $(0.15) $(0.08)
2005** 10.00 0.10 1.01 -- 1.11 (0.07) --
- ----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION MODERATE GROWTH PORTFOLIO
CLASS A
2006 $11.30 $0.09 $0.76 $ -- $0.85 $(0.03) $(0.05)
2005** 10.00 0.06 1.25 -- 1.31 (0.01) --
CLASS C
2006 $11.24 $ -- $0.76 $ -- $0.76 $ -- $(0.05)
2005** 10.00 -- 1.24 -- 1.24 -- --
CLASS Z
2006*** $11.70 $0.08 $0.43 $ -- $0.51 $(0.04) $(0.05)
INSTITUTIONAL CLASS
2006 $11.33 $0.12 $0.76 $ -- $0.88 $(0.04) $(0.05)
2005** 10.00 0.07 1.27 -- 1.34 (0.01) --
- ----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO
CLASS A
2006 $11.68 $0.02 $1.12 $ -- $1.14 $(0.02) $(0.10)
2005** 10.00 0.03 1.66 -- 1.69 (0.01) --
CLASS C
2006 $11.61 $(0.07) $1.11 $ -- $1.04 $ -- $(0.10)
2005** 10.00 (0.04) 1.65 -- 1.61 -- --
CLASS Z
2006*** $12.23 $0.03 $0.61 $ -- $0.64 $(0.03) $(0.10)
INSTITUTIONAL CLASS
2006 $11.70 $0.06 $1.12 $ -- $1.18 $(0.03) $(0.10)
2005** 10.00 0.04 1.67 -- 1.71 (0.01) --
---------------------------------------------------------------------------------------------------------------------------------
Net Net Ratio of Net
Total Asset Assets Ratio of Investment
Dividends Value, End Expenses Income (Loss)
and End Total of Period to Average to Average
Distributions of Period Return+ (000) Net Assets++ Net Assets++
- -------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION CONSERVATIVE PORTFOLIO
CLASS A
2006 $(0.25) $10.64 3.39% $ 8,588 1.50% 2.46%
2005** (0.10) 10.53 6.36% 6,684 1.50% 1.87%
CLASS C
2006 $(0.18) $10.60 2.63% $18,253 2.25% 1.74%
2005** (0.07) 10.50 5.75% 7,914 2.25% 1.15%
CLASS Z
2006*** $(0.23) $10.65 2.63% $1 1.25% 2.80%
INSTITUTIONAL CLASS
2006 $(0.28) $10.65 3.64% $ 5,588 1.25% 2.71%
2005** (0.12) 10.54 6.60% 5,193 1.25% 1.82%
- -------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO
CLASS A
2006 $(0.20) $11.45 5.76% $37,679 1.55% 1.40%
2005** (0.06) 11.02 10.83% 19,481 1.55% 1.13%
CLASS C
2006 $(0.13) $11.42 5.00% $61,845 2.30% 0.66%
2005** (0.03) 11.00 10.31% 24,342 2.30% 0.38%
CLASS Z
2006*** $(0.20) $11.46 3.57% $ 1 1.30% 1.60%
INSTITUTIONAL CLASS
2006 $(0.23) $11.46 5.91% $12,890 1.30% 1.64%
2005** (0.07) 11.04 11.15% 11,303 1.30% 1.14%
- -------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION MODERATE GROWTH PORTFOLIO
CLASS A
2006 $(0.08) $12.07 7.58% $46,242 1.55% 0.76%
2005** (0.01) 11.30 13.11% 17,736 1.55% 0.70%
CLASS C
2006 $(0.05) $11.95 6.80% $95,984 2.30% 0.01%
2005** -- 11.24 12.44% 30,905 2.30% (0.03)%
CLASS Z
2006*** $(0.09) $12.12 4.45% $ 1 1.30% 0.98%
INSTITUTIONAL CLASS
2006 $(0.09) $12.12 7.86% $ 8,136 1.30% 1.00%
2005** (0.01) 11.33 13.43% 6,279 1.30% 0.79%
- -------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO
CLASS A
2006 $(0.12) $12.70 9.75% $30,459 1.60% 0.17%
2005** (0.01) 11.68 16.91% 10,443 1.60% 0.33%
CLASS C
2006 $(0.10) $12.55 8.97% $50,152 2.35% (0.58)%
2005** -- 11.61 16.15% 13,256 2.35% (0.44)%
CLASS Z
2006*** $(0.13) $12.74 5.23% $ 1 1.35% 0.39%
INSTITUTIONAL CLASS
2006 $(0.13) $12.75 10.08% $15,304 1.35% 0.47%
2005** (0.01) 11.70 17.13% 6,255 1.35% 0.43%
------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses to
to Average
Net Assets Portfolio
(Excluding Turnover
Waivers)++ Rate+
- ---------------------------------------------
OLD MUTUAL ASSET ALLOCATION CONSERVATIVE PORTFOLIO
CLASS A
2006 2.35% 146.84%
2005** 4.68% 170.31%
CLASS C
2006 2.75% 146.84%
2005** 4.92% 170.31%
CLASS Z
2006*** 757.79% 146.84%
INSTITUTIONAL CLASS
2006 1.75% 146.84%
2005** 6.95% 170.31%
- ---------------------------------------------
OLD MUTUAL ASSET ALLOCATION BALANCED PORTFOLIO
CLASS A
2006 1.82% 129.99%
2005** 4.42% 125.19%
CLASS C
2006 2.54% 129.99%
2005** 4.92% 125.19%
CLASS Z
2006*** 771.22% 129.99%
INSTITUTIONAL CLASS
2006 1.47% 129.99%
2005** 6.08% 125.19%
- ---------------------------------------------
OLD MUTUAL ASSET ALLOCATION MODERATE GROWTH PORTFOLIO
CLASS A
2006 1.91% 111.99%
2005** 4.92% 98.50%
CLASS C
2006 2.62% 111.99%
2005** 5.44% 98.50%
CLASS Z
2006*** 764.76% 111.99%
INSTITUTIONAL CLASS
2006 1.56% 111.99%
2005** 6.81% 98.50%
- ---------------------------------------------
OLD MUTUAL ASSET ALLOCATION GROWTH PORTFOLIO
CLASS A
2006 2.22% 94.12%
2005** 5.02% 59.93%
CLASS C
2006 2.93% 94.12%
2005** 5.63% 59.93%
CLASS Z
2006*** 758.31% 94.12%
INSTITUTIONAL CLASS
2006 1.68% 94.12%
2005** 7.19% 59.93%
---------------------------------------------
The accompanying notes are an integral part of the financial statements.
132
<page>
Net Realized
Asset Net and Dividends Distributions
Value, Investment Unrealized Total from Net from
Beginning Income Gains on Redemption from Investment Capital
of Period (Loss) Securities Fees Operations Income Gains
- -----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND(1)
CLASS A
2006(6) $12.84 $ 0.05* $0.32*# $ -- $0.37 $ -- $ --
2005(2) 12.30 0.05* 1.09* -- 1.14 (0.27) (0.33)
CLASS C
2006(6) $12.81 $(0.01)* $0.31*# $ -- $0.30 $ -- $ --
2005(2) 12.30 (0.01)* 1.09* -- 1.08 (0.24) (0.33)
CLASS Z(3)
2006(6) $12.82 $ 0.06* $0.33*# $ -- $0.39 $ -- $ --
2005 11.66 0.10* 1.69* -- 1.79 (0.30) (0.33)
2004 11.10 0.09* 0.99* -- 1.08 (0.19) (0.33)
2003 9.09 0.08* 2.01* -- 2.09 (0.08) --
2002(5) 10.46 0.09 (1.36) -- (1.27) (0.10)(4) --
2001(5) 10.80 0.08 (0.30) -- (0.22) (0.07) (0.05)
INSTITUTIONAL CLASS
2006(6) $12.82 $ 0.08* $0.31*# $ -- $0.39 $ -- $ --
2005*** 13.45 0.01* (0.10)* -- (0.09) (0.21) (0.33)
- -----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND^^
CLASS A
2006 $10.00 $(0.02)* $0.07* $ -- $0.05 $ -- $ --
CLASS C
2006 $10.00 $(0.03)* $0.06* $ -- $0.03 $ -- $ --
CLASS Z
2006 $10.00 $ --* $0.04* $ -- $0.04 $ -- $ --
INSTITUTIONAL CLASS
2006 $10.00 $ --* $0.05* $ -- $0.05 $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL CLAY FINLAY CHINA FUND^
CLASS A
2006 $10.00 $ 0.01* $3.22* $ -- $3.23 $ -- $ --
CLASS C
2006 $10.00 $(0.06)* $3.24* $ -- $3.18 $ -- $ --
CLASS Z
2006 $10.00 $(0.03)* $3.28* $ -- $3.25 $ -- $ --
INSTITUTIONAL CLASS
2006 $10.00 $ 0.08* $3.19* $ -- $3.27 $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND^
CLASS A
2006 $10.00 $(0.01)* $1.09* $ -- $1.08 $ -- $ --
CLASS C
2006 $10.00 $(0.07)* $1.11* $ -- $1.04 $ -- $ --
CLASS Z
2006 $10.00 $(0.01)* $1.11* $ -- $1.10 $ -- $ --
INSTITUTIONAL CLASS
2006 $10.00 $ 0.02* $1.11* $ -- $1.13 $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
Ratio
of Expenses
to Average
Net Net Net Assets
Total Asset Assets Ratio of (Excluding
Dividends Value, End Expenses Waivers and
and End Total of Period to Average Fees Paid
Distributions of Period Return+ (000) Net Assets++ Indirectly)++
- -----------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND(1)
CLASS A
2006(6) $ -- $13.21 2.88%# $295,095 1.51%(7) 2.18%
2005(2) (0.60) 12.84 9.27% 129,960 1.98%(7) 2.06%
CLASS C
2006(6) $ -- $13.11 2.34%# $202,766 2.26%(7) 2.86%
2005(2) (0.57) 12.81 8.78% 86,752 2.61%(7) 2.68%
CLASS Z(3)
2006(6) $ -- $13.21 3.04%# $140,795 1.26%(7) 1.82%
2005 (0.63) 12.82 15.36% 227,265 1.36%(7) 1.44%
2004 (0.52) 11.66 9.87% 57,171 1.17%(7) 1.70%
2003 (0.08) 11.10 23.13% 44,693 1.30%(7) 2.27%
2002(5) (0.10) 9.09 (12.22)% 35,131 1.09%(7) 1.94%
2001(5) (0.12) 10.46 (1.98)% 40,806 0.99%(7) 1.69%
INSTITUTIONAL CLASS
2006(6) $ -- $13.21 3.04%# $ 6,833 1.21%(7) 2.11%
2005*** (0.54) 12.82 (0.63)% 2 1.27%(7) 2.12%
- -----------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND^^
CLASS A
2006 $ -- $10.05 0.50% $ 257 2.80%+++ 12.44%
CLASS C
2006 $ -- $10.03 0.30% $ 111 3.55%+++ 24.73%
CLASS Z
2006 $ -- $10.04 0.40% $ 1 2.55%+++ 612.91%
INSTITUTIONAL CLASS
2006 $ -- $10.05 0.50% $ 2,510 2.26%+++ 6.77%
- -----------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL CLAY FINLAY CHINA FUND^
CLASS A
2006 $ -- $13.23 32.30% $ 2,532 2.10% 6.65%
CLASS C
2006 $ -- $13.18 31.80% $ 793 2.85% 11.53%
CLASS Z
2006 $ -- $13.25 32.50% $ 24 1.85% 259.40%
INSTITUTIONAL CLASS
2006 $ -- $13.27 32.70% $ 12,622 1.55% 2.58%
- -----------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND^
CLASS A
2006 $ -- $11.08 10.80% $ 346 2.10% 21.06%
CLASS C
2006 $ -- $11.04 10.40% $ 85 2.85% 55.88%
CLASS Z
2006 $ -- $11.10 11.00% $ 1 1.85% 1988.70%
INSTITUTIONAL CLASS
2006 $ -- $11.13 11.30% $ 2,779 1.35% 4.28%
- -----------------------------------------------------------------------------------------------------------------------------
Ratio of
Net
Investment
Income
(Loss) Portfolio
to Average Turnover
Net Assets++ Rate+
- -------------------------------------------------
OLD MUTUAL ANALYTIC DEFENSIVE EQUITY FUND(1)
CLASS A
2006(6) 0.57% 59.61%
2005(2) 0.64% 81.00%
CLASS C
2006(6) (0.17)% 59.61%
2005(2) (0.09)% 81.00%
CLASS Z(3)
2006(6) 0.72% 59.61%
2005 0.78% 81.00%
2004 0.75% 152.00%
2003 0.79% 241.00%
2002(5) 0.91% 233.00%
2001(5) 0.71% 216.00%
INSTITUTIONAL CLASS
2006(6) 0.97% 59.61%
2005*** 1.55% 81.00%
- -------------------------------------------------
OLD MUTUAL ANALYTIC GLOBAL DEFENSIVE EQUITY FUND^^
CLASS A
2006 (1.19)% 19.97%
CLASS C
2006 (1.87)% 19.97%
CLASS Z
2006 (0.27)% 19.97%
INSTITUTIONAL CLASS
2006 (0.01)% 19.97%
- -------------------------------------------------
OLD MUTUAL CLAY FINLAY CHINA FUND^
CLASS A
2006 0.12% 50.80%
CLASS C
2006 (0.76)% 50.80%
CLASS Z
2006 (0.46)% 50.80%
INSTITUTIONAL CLASS
2006 1.07% 50.80%
- -------------------------------------------------
OLD MUTUAL CLAY FINLAY EMERGING MARKETS FUND^
CLASS A
2006 (0.22)% 82.86%
CLASS C
2006 (1.05)% 82.86%
CLASS Z
2006 (0.18)% 82.86%
INSTITUTIONAL CLASS
2006 0.32% 82.86%
- -------------------------------------------------
The accompanying notes are an integral part of the financial statements.
133
<page>
FINANCIAL HIGHLIGHTS -- concluded
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR OR PERIOD ENDED JULY 31,
(UNLESS OTHERWISE NOTED)
Net Realized
Asset Net and Dividends Distributions
Value, Investment Unrealized Total from Net from
Beginning Income Gains on Redemption from Investment Capital
of Period (Loss)* Securities* Fees Operations Income Gains
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL COPPER ROCK EMERGING GROWTH FUND^^^
CLASS A
2006 $10.00 $(0.13) $0.65 $ -- $0.52 $ -- $ --
2005 $10.00 $ -- $ -- $ -- $ -- $ -- $ --
CLASS C
2006 $10.00 $(0.21) $0.64 $ -- $0.43 $ -- $ --
2005 $10.00 $ -- $ -- $ -- $ -- $ -- $ --
CLASS Z***
2006 $10.46 $(0.07) $0.16 $ -- $0.09 $ -- $ --
2005 $10.00 $ -- $ -- $ -- $ -- $ -- $ --
INSTITUTIONAL CLASS
2006 $10.00 $(0.08) $0.64 $ -- $0.56 $ -- $ --
2005 $10.00 $ -- $ -- $ -- $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL INTERNATIONAL EQUITY FUND^
CLASS A
2006 $10.00 $ 0.18 $0.77 $ -- $0.95 $ -- $ --
CLASS C
2006 $10.00 $ 0.12 $0.79 $ -- $0.91 $ -- $ --
CLASS Z
2006 $10.00 $ 0.10 $0.87 $ -- $0.97 $ -- $ --
INSTITUTIONAL CLASS
2006 $10.00 $ 0.12 $0.86 $ -- $0.98 $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Net Ratio of Net
Total Asset Assets Ratio of Investment
Dividends Value, End Expenses Income (Loss)
and End Total of Period to Average to Average
Distributions of Period Return+ (000) Net Assets++ Net Assets++
- ------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL COPPER ROCK EMERGING GROWTH FUND^^^
CLASS A
2006 $ -- $10.52 5.20% $20,814 1.55% (1.15)%
2005 $ -- $10.00 0.00% $ 2,500 +++++ +++++
CLASS C
2006 $ -- $10.43 4.30% $ 384 2.30% (1.89)%
2005 $ -- $10.00 0.00% $ -- +++++ +++++
CLASS Z***
2006 $ -- $10.55 0.86% $ 1 1.30% (0.93)%
2005 $ -- $10.00 0.00% $ -- +++++ +++++
INSTITUTIONAL CLASS
2006 $ -- $10.56 5.60% $49,751 1.10% (0.70)%
2005 $ -- $10.00 0.00% $ -- +++++ +++++
- ------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL INTERNATIONAL EQUITY FUND^
CLASS A
2006 $ -- $10.95 9.50% $ 251 1.70% 2.94%
CLASS C
2006 $ -- $10.91 9.10% $ 170 2.45% 1.88%
CLASS Z
2006 $ -- $10.97 9.70% $ 1 1.45% 1.59%
INSTITUTIONAL CLASS
2006 $ -- $10.98 9.80% $ 5,490 1.20% 1.85%
- ------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses to
to Average
Net Assets Portfolio
(Excluding Turnover
Waivers)++ Rate+
- ----------------------------------------------
OLD MUTUAL COPPER ROCK EMERGING GROWTH FUND^^^
CLASS A
2006 2.97% 282.22%
2005 +++++ +++++
CLASS C
2006 15.96% 282.22%
2005 +++++ +++++
CLASS Z***
2006 787.59% 282.22%
2005 +++++ +++++
INSTITUTIONAL CLASS
2006 1.71% 282.22%
2005 +++++ +++++
- ----------------------------------------------
OLD MUTUAL INTERNATIONAL EQUITY FUND^
CLASS A
2006 30.10% 48.74%
CLASS C
2006 39.12% 48.74%
CLASS Z
2006 1,776.73% 48.74%
INSTITUTIONAL CLASS
2006 2.96% 48.74%
- ----------------------------------------------
* Per share amounts for the year or period are calculated based on average
outstanding shares.
** Fund commenced operations September 30, 2004.
*** Class commenced operations on December 9, 2005.
# Impact of payment to affiliate was less than $0.01 per share and 0.01%,
respectively.
+ Total returns and portfolio turnover rates are for the period indicated
and have not been annualized. Total return would have been lower had
certain expenses not been waived by the Advisor during the year. Returns
shown do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns shown
exclude any applicable sales charges.
++ Ratios for periods less than one year have been annualized.
+++ The impact of dividend expense is 0.79% for all classes.
++++ Includes expense offset for fees paid indirectly.
+++++ This shareholder data is not being disclosed because the data is not
believed to be meaningful due to the short operational history.
^ Fund commenced operations December 30, 2005.
^^ Fund commenced operations May 31, 2006.
^^^ Fund commenced operations July 29, 2005.
(1) On December 9, 2005, the Old Mutual Analytic Defensive Equity Fund (the
"Fund") acquired substantially all of the assets and liabilities of the
Analytic Defensive Equity Fund (the "Predecessor Fund"), a series of The
Advisors' Inner Circle Fund. The operations of the Fund prior to the
acquisition were those of the Predecessor Fund.
(2) Commenced operations March 31, 2005.
(3) The Fund's Class Z is the successor class of the Predecessor Fund's
Institutional Class; the Fund's Institutional Class is new.
(4) Includes a return of capital of $(0.003).
(5) On June 24, 2002, the Predecessor Fund acquired the assets of the UAM
Analytic Defensive Equity Fund, a series of the UAM Funds, Inc. II. The
operations of the Predecessor Fund prior to acquisition were those of the
UAM Analytic Defensive Equity Fund.
(6) The Old Mutual Analytic Defensive Equity Fund changed its fiscal year end
from December 31 to July 31. 2006 amounts are for the period 1/1/06 to
7/31/06.
(7) Impact of Dividend Expense for Old Mutual Analytic Defensive Equity Fund
as a ratio to average net assets:
A C Z Institutional
- ----------------------------------------------------
2006 0.34% 0.34% 0.27% 0.39%
2005 0.41% 0.35% 0.24% n/a
2004 n/a n/a 0.18% n/a
2003 n/a n/a 0.31% n/a
2002 n/a n/a 0.10% n/a
2001 n/a n/a 0.00% n/a
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
134
<page>
Notes to Financial Statements
AS OF JULY 31, 2006
1. ORGANIZATION
- --------------------------------------------------------------------------------
Old Mutual Advisor Funds (the "Trust"), a Delaware statutory trust effective May
26, 2004, is registered under the Investment Company Act of 1940, as amended
("1940 Act"), as an open-end management investment company. The Trust currently
offers ten series portfolios, the Old Mutual Asset Allocation Conservative
Portfolio, the Old Mutual Asset Allocation Balanced Portfolio, the Old Mutual
Asset Allocation Moderate Growth Portfolio, the Old Mutual Asset Allocation
Growth Portfolio (collectively, the "Asset Allocation Funds"), the Old Mutual
Analytic Defensive Equity Fund ("Old Mutual Analytic Fund"), the Old Mutual
Analytic Global Defensive Equity Fund ("Old Mutual Analytic Global Fund"), the
Old Mutual Clay Finlay China Fund, the Old Mutual Clay Finlay Emerging Markets
Fund, the Old Mutual International Equity Fund (collectively, the "International
Funds") and the Old Mutual Copper Rock Emerging Growth Fund ("Copper Rock Fund")
(each a "Fund" and collectively, the "Funds"). The Asset Allocation Funds
commenced operations on September 30, 2004; the Old Mutual Analytic Fund
commenced operations on July 1, 1978; the International Funds commenced
operations on December 30, 2005, the Copper Rock Fund commenced operations on
July 29, 2005 and the Old Mutual Analytic Global Fund commenced operations on
May 31, 2006.
Shareholders may purchase shares of the Funds through four separate classes,
Class A, Class C, Class Z and Institutional Class shares. All classes have equal
rights as to earnings, assets and voting privileges, except that each class may
have different distribution costs, dividends, registration costs and shareholder
services costs and each class has exclusive voting rights with respect to its
distribution plan. Except for these differences, each share class of each Fund
represents an equal proportionate interest in that Fund. Each Fund is classified
as a diversified management investment company. The Funds' prospectuses provide
a description of each Fund's investment objective, policies and investment
strategies.
The Old Mutual Analytic Fund is the successor to the Analytic Defensive Equity
Fund, a series of The Advisors' Inner Circle Fund, (the "AIC Analytic Fund").
The AIC Analytic Fund and the Old Mutual Analytic Fund entered into an agreement
and plan of reorganization dated as of October 13, 2005. Under the plan of
reorganization, the AIC Analytic Fund transferred substantially all of its
assets and liabilities to the Old Mutual Analytic Fund on December 9, 2005. Each
shareholder received a number of shares of the Old Mutual Analytic Fund equal in
dollar value to the AIC Analytic Fund as of December 9, 2005. The Old Mutual
Analytic Fund has the same investment objectives and policies and substantially
the same risks, policies, restrictions and limitations as the AIC Analytic Fund.
The Old Mutual Analytic Fund has changed its fiscal year end from December 31 to
July 31 beginning with fiscal year 2006.
In the normal course of business, the Funds may enter into various agreements
that provide for general indemnifications. Each Fund's maximum exposure under
these arrangements is unknown as any potential exposure involves future claims
that may be made against each Fund. However, based on experience, the Funds
expect the risk of loss to be remote.
2. SIGNIFICANT ACCOUNTING POLICIES
- --------------------------------------------------------------------------------
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS -- The preparation
of financial statements, in conformity with accounting principles generally
accepted in the United States of America, requires management to make estimates
and assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities of a Fund, including securities sold
short, that are listed on a securities exchange, and for which market quotations
are readily available, are valued at the last quoted sales price at the close of
trading on the New York Stock Exchange ("NYSE") (normally 4:00 p.m., Eastern
Time) each day that the NYSE is open. Investment securities of a Fund that are
quoted on a national market system are valued at the official closing price
provided by NASDAQ, or if there is none, at the last sales price. The Funds use
pricing services to report the market value of securities in the portfolios; if
the pricing service is not able to provide a price, or the pricing service quote
of valuation is inaccurate or does not reflect the market value of the security,
prices may be obtained through market quotations from independent
broker/dealers. If market quotations from these sources are not readily
available, securities are valued in accordance with Fair Value Procedures
established by the Board of Trustees of the Trust (the "Board"). The Trust's
Fair Value Procedures are implemented through a Fair Value Committee (the
"Committee") designated by the Board. The valuation is assigned to Fair Valued
Securities for purposes of calculating a Fund's net asset value ("NAV"). Debt
securities (other than short-term obligations), including listed issues, are
valued on the basis of valuations furnished by a pricing service which utilizes
electronic data processing techniques to determine valuations for normal
institutional size trading units of debt securities, without exclusive reliance
upon exchange or over-the-counter prices. Short-term obligations with maturities
of 60 days or less may be valued at amortized cost, which approximates market
value. Under this valuation method, acquisition discounts and premiums are
accreted and amortized ratably to maturity and are included in interest income.
Foreign securities traded on the foreign exchanges in the Western Hemisphere are
valued based upon quotations from the primary market in which they are traded
and are translated from the local currency into U.S. dollars using current
exchange rates. In addition, if quotations are not readily available, or if the
values have been materially affected by events occurring after the closing of a
foreign market, assets may be valued by another method that the Board believes
accurately reflects fair value.
Foreign securities traded in countries outside the Western Hemisphere are fair
valued daily by utilizing the quotations of an independent pricing service,
unless the Fund's investment advisor, Old Mutual Capital, Inc. (the "Advisor")
determines that use of another valuation methodology is appropriate. The pricing
service uses statistical analyses and quantitative models to adjust local prices
using factors such as subsequent movement and changes in the prices of indexes,
securities and exchange rates in other markets in determining fair value as of
the time the Funds calculate the NAVs.
135
<page>
NOTES TO FINANCIAL STATEMENTS -- continued
AS OF JULY 31, 2006
VALUATION OF OPTIONS AND FUTURES -- Options are valued at the last quoted sales
price. If there is no such reported sale on the valuation date, long positions
are valued at the most recent bid price, and short positions are valued at the
most recent ask price. Futures are valued at the settlement price established
each day by the board of exchange on which they are traded. The daily settlement
prices for financial futures are provided by an independent source.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the date the securities are purchased or sold (trade date).
Dividend income, dividends on securities sold short and distributions to
shareholders are recognized on the ex-dividend date; interest income is
recognized on the accrual basis and includes amortization of premiums and
accretion of discounts on investments. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Costs used in determining realized capital gains and losses on the
sale of investment securities are those of the specific securities sold adjusted
for the accretion and amortization of acquisition discounts and premiums during
the respective holding periods, if applicable.
DIVIDENDS AND DISTRIBUTIONS -- Dividends from net investment income for the
Funds are declared at least annually, if available, except Old Mutual Asset
Allocation Conservative Portfolio and Old Mutual Asset Allocation Balanced
Portfolio for which dividends are declared at least quarterly, if available.
Distributions of net realized capital gains, for each Fund, are generally made
to shareholders annually, if available.
FOREIGN WITHHOLDING TAXES -- The Funds may be subject to taxes imposed by
countries in which they invest with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned. The Funds accrue such taxes when the related income is earned.
FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign
currency contracts as hedges against specific transactions, fund positions or
anticipated fund positions. All commitments are "marked-to-market" daily at the
applicable foreign exchange rate, and any resulting unrealized gains or losses
are recorded accordingly. The Funds realize gains and losses at the time the
forward contracts are extinguished. Unrealized gains or losses on outstanding
positions in forward foreign currency contracts held at the close of the period
are recognized as ordinary income or loss for Federal income tax purposes. The
Funds could be exposed to risk if the counterparties to the contracts are unable
to meet the terms of the contract and from unanticipated movements in the value
of a foreign currency relative to the U.S. dollar. Finally, the risk exists that
losses could exceed amounts disclosed on the Statements of Net Assets.
INVESTMENTS IN REAL ESTATE INVESTMENT TRUSTS ("REITS") -- Dividend income is
recorded based on the income included in distributions received from the REIT
investments using published REIT reclassifications including some management
estimates when actual amounts are not available. Distributions received in
excess of this estimated amount are recorded as a reduction of the cost of
investments or reclassified to capital gains. The actual amounts of income,
return of capital and capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
TRI-PARTY REPURCHASE AGREEMENTS -- Securities pledged as collateral for
repurchase agreements are held by a third party custodian bank until the
respective agreements mature. Provisions of the repurchase agreements and
procedures adopted by the Board requires that the market value of the collateral
including accrued interest thereon, is sufficient in the event of default by the
counterparty. If the counterparty defaults and the value of the collateral
declines, or if the counterparty enters into insolvency proceedings, realization
of the collateral by a Fund may be delayed or limited.
TBA PURCHASE COMMITMENTS -- The Funds may enter into "TBA" (to be announced)
purchase commitments to purchase securities for a fixed price at a future date,
typically not exceeding 45 days. TBA purchase commitments may be considered
securities in themselves, and involve a risk of loss if the value of the
security to be purchased declines prior to settlement date. This risk is in
addition to the risk of decline in the value of each Fund's other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
MORTGAGE DOLLAR ROLLS -- The Funds may enter into mortgage dollar rolls
(principally using TBA's) in which each Fund sells mortgage securities for
delivery in the current month and simultaneously contracts to repurchase
substantially similar securities at an agreed-upon price on a fixed date. Each
Fund accounts for such dollar rolls under the purchases and sales method and
receives compensation as consideration for entering into the commitment to
repurchase. Each Fund must maintain liquid securities having a value not less
than the repurchase price (including accrued interest) for such dollar rolls.
The market value of the securities that each Fund is required to purchase may
decline below the agreed upon repurchase price of those securities.
The counterparty receives all principal and interest payments, including
prepayments, made in respect of a security subject to such a contract while it
is the holder. Mortgage dollar rolls may be renewed with a new purchase and
repurchase price and a cash settlement made on settlement date without physical
delivery of the securities subject to the contract.
FOREIGN CURRENCY CONVERSION -- The books and records of the Funds are maintained
in U.S. dollars. Foreign currency amounts are converted into U.S. dollars on
the following basis:
(i) market value of investment securities, other assets and liabilities
at the current rate of exchange; and
(ii) purchases and sales of investment securities, income and expenses
at the relevant rates of exchange prevailing on the respective
dates of such transactions.
136
<page>
The funds do not isolate that portion of gains and losses on investment
securities that is due to changes in the foreign exchange rates from that which
is due to changes in market prices of such securities.
The Funds report gains and losses on foreign currency related transactions as
components of realized gains and losses for financial reporting purposes,
whereas such components are treated as ordinary income or loss for Federal
income tax purposes.
FUTURES CONTRACTS -- The Funds may utilize futures contracts primarily to hedge
against changes in security prices. Upon entering into a futures contract, the
Funds will deposit securities for the initial margin with its custodian in a
segregated account. Subsequent payments, which are dependent on the daily
fluctuations in the value of the underlying instrument, are made or received by
the Funds each day (daily variation margin) and are recorded as unrealized gains
or losses until the contracts are closed. When the contract is closed, the Funds
record a realized gain or loss equal to the difference between the proceeds from
(or cost of ) the closing transactions and the Fund's basis in the contract.
Risks of entering into futures contracts include the possibility that a change
in the value of the contract may not correlate with the changes in the value of
the underlying instruments. Second, it is possible that a lack of liquidity for
futures contracts could exist in the secondary market, resulting in an inability
to close a futures position prior to its maturity date. Third, the purchase of a
futures contract involves the risk that the Funds could lose more than the
original margin deposit required to initiate the futures transaction.
OPTIONS -- The Funds may write or purchase financial options contracts primarily
to hedge against changes in security prices, or securities that the Funds intend
to purchase, against fluctuations in fair value caused by changes in prevailing
market interest rates. When the Funds write or purchase an option, an amount
equal to the premium received or paid by the Funds is recorded as a liability or
an asset and is subsequently adjusted to the current market value of the option
written or purchased. Premiums received or paid from writing or purchasing
options which expire unexercised are treated by the Funds on the expiration date
as realized gains or losses. The difference between the premium and the amount
paid or received on effecting a closing purchase or sale transaction, including
brokerage commissions, is also treated as a realized gain or loss. If an option
is exercised, the premium paid or received is added to the cost of the purchase
or proceeds from the sale in determining whether the Funds have realized a gain
or a loss on investment transactions. The Funds, as writers of an option, may
have no control over whether the underlying securities may be sold (call) or
purchased (put) and as a result bear the market risk of an unfavorable change in
the price of the security underlying the written option.
COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS) -- CMOs are hybrids between
mortgage-backed bonds and mortgage pass-through securities. Similar to a bond,
CMOs usually pay interest monthly and have a more focused range of principal
payment dates than pass-through securities. While CMOs may be collateralized by
whole mortgage loans, CMOs are more typically collateralized by mortgage-backed
securities guaranteed by Government National Mortgage Association, Federal Home
Loan Mortgage Corporation or Federal National Mortgage Association and their
income streams.
A Real Estate Mortgage Investment Conduit (REMIC) is a CMO that qualifies for
special tax treatment under the Internal Revenue Code of 1986, as amended, and
invests in certain mortgages primarily secured by interests in real property and
other permitted investments.
CMOs are structured into multiple classes, each bearing a different stated
maturity. Each class of CMO or REMIC certificate, often referred to as a
"tranche," is issued at a specific interest rate and must be fully retired by
its final distribution date. Generally, all classes of CMOs or REMIC
certificates pay or accrue interest monthly. Investing in the lowest tranche of
CMOs and REMIC certificates involves risks similar to those associated with
investing in equity securities.
SHORT SALES -- As consistent with the Old Mutual Analytic Fund's and Old Mutual
Analytic Global Fund's investment objectives, the Old Mutual Analytic Fund and
the Old Mutual Analytic Global Fund may engage in short sales that are
"uncovered." Uncovered short sales are transactions under which a Fund sells a
security it does not own. To complete such a transaction, a Fund must borrow the
security to make delivery to the buyer. The Fund then is obligated to replace
the security borrowed by purchasing the security at the market price at the time
of the replacement. The price at such time may be more or less than the price at
which the security was sold by the Fund. Until the security is replaced, the
Fund is required to pay the lender amounts equal to any dividends or interest
that accrue during the period of the loan, which is recorded as an expense on
the Statement of Operations. To borrow the security, the Fund also may be
required to pay a premium, which would decrease proceeds of the security sold.
The proceeds of the short sale will be retained by the broker, to the extent
necessary to meet margin requirements, until the short position is closed out. A
gain, limited to the price at which the Fund sells the security short, or a
loss, unlimited in size, will be recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, it
will: (a) maintain a segregated account containing cash or liquid securities at
such a level that (i) the amount deposited in the account plus the amount
deposited with the broker as collateral will equal the current value of the
security sold short; and (ii) the amount deposited in the segregated account
plus the amount deposited with the broker as collateral will not be less than
the market value of the security at the time the security was sold short, or (b)
otherwise cover the Fund's short positions.
OFFERING COSTS -- All offering costs incurred with the start up of the Funds are
being amortized on a straight line basis over a period of twelve months from
commencement of operations. As of July 31, 2006, the Old Mutual Clay Finlay
China Fund, the Old Mutual Clay Finlay Emerging Markets Fund, the Old Mutual
International Equity Fund, (since their inception on December 30, 2005) and the
Old Mutual Analytic Global Fund (since its inception on May 31, 2006) have
accrued offering costs of $20,324, $20,274, $20,324 and $5,849, respectively. As
of July 31, 2006, the Asset Allocation Funds and the Copper Rock Fund have fully
amortized their offering costs.
137
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NOTES TO FINANCIAL STATEMENTS -- continued
AS OF JULY 31, 2006
PAYMENTS BY AFFILIATE -- During the fiscal year ended July 31, 2006, the
Analytic Defensive Equity Fund and the Copper Rock Emerging Growth Fund were
reimbursed by the Advisor, for net asset value errors of $65,161 and $211,
respectively.
OTHER -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses are prorated to the Funds on the
basis of relative net assets. Class specific expenses, such as 12b-1,
distribution and service fees, are borne by that class. Income, other expenses
and realized and unrealized gains and losses of a Fund are allocated to the
respective class on the basis of the relative net assets each day.
The Funds have an arrangement with the transfer agent, DST Systems, Inc.,
whereby interest earned on uninvested cash balances is used to offset a portion
of the transfer agent expense. The transfer agent expenses shown in the
Statements of Operations are in total and do not reflect the expense reductions,
if any, which are shown separately.
The Funds impose a 2% redemption/exchange fee on total redemption proceeds
(after applicable deferred sales charges) of any shareholder redeeming shares
(including redemption by exchange) of the Funds within 10 calendar days of their
purchase. The Funds charge the redemption/exchange fee to discourage market
timing by those shareholders initiating redemptions or exchanges to take
advantage of short-term market movements. The redemption fee will be imposed to
the extent that the number of Fund shares redeemed exceeds the number of Fund
shares that have been held for more than 10 calendar days. In determining how
long shares of the Fund have been held, shares held by the investor for the
longest period of time will be sold first. The Funds will retain the fee by
crediting Paid-in-Capital. For the period ended July 31, 2006, the following
redemption fees were collected by the Funds.
Class A Class C Class Z Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $ 120 $ 169 $ -- $ --
Old Mutual Asset Allocation Balanced Portfolio 41 12 -- --
Old Mutual Asset Allocation Moderate Growth Portfolio 214 183 -- 1
Old Mutual Asset Allocation Growth Portfolio 390 87 -- 1
Old Mutual Analytic Defensive Equity Fund 4,785 1 818 --
Old Mutual Analytic Global Defensive Equity Fund -- -- -- --
Old Mutual Clay Finlay China Fund 40 -- -- --
Old Mutual Clay Finlay Emerging Markets Fund -- -- -- --
Old Mutual Copper Rock Emerging Growth Fund 1,685 -- -- --
Old Mutual International Equity Fund -- 95 -- --
- ---------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0.
3. INVESTMENT ADVISORY FEES, ADMINISTRATIVE FEES
AND OTHER TRANSACTIONS WITH AFFILIATES
- --------------------------------------------------------------------------------
INVESTMENT ADVISOR -- Old Mutual Capital, Inc. is an indirect, wholly owned
subsidiary of Old Mutual (US) Holdings Inc. ("OMUSH"), which is a wholly owned
subsidiary of Old Mutual plc., a London-Exchange listed international financial
services firm. The Funds and the Advisor are parties to Investment Advisory
Agreements (the "Advisory Agreements"), under which the Advisor is paid a
monthly fee that is calculated daily and paid monthly, at an annual rate based
on the average daily net assets of each Fund, as follows:
Management Fee Asset Level
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio 0.850% Less than $1 billion
0.825% From $1 billion to $2 billion
0.800% From $2 billion to $3 billion
0.775% Greater than $3 billion
Old Mutual Asset Allocation Balanced Portfolio 0.900% Less than $1 billion
0.875% From $1 billion to $2 billion
0.850% From $2 billion to $3 billion
0.825% Greater than $3 billion
Old Mutual Asset Allocation Moderate Growth Portfolio 0.900% Less than $1 billion
0.875% From $1 billion to $2 billion
0.850% From $2 billion to $3 billion
0.825% Greater than $3 billion
138
<page>
Management Fee Asset Level
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Growth Portfolio 0.950% Less than $1 billion
0.925% From $1 billion to $2 billion
0.900% From $2 billion to $3 billion
0.875% Greater than $3 billion
Old Mutual Analytic Defensive Equity Fund 0.950% N/A
Old Mutual Analytic Global Defensive Equity Fund 1.150% Less than $1 billion
1.125% From $1 billion to $2 billion
1.100% From $2 billion to $3 billion
1.075% Greater than $3 billion
Old Mutual Clay Finlay China Fund 1.350% Less than $1 billion
1.325% From $1 billion to $2 billion
1.300% From $2 billion to $3 billion
1.275% Greater than $3 billion
Old Mutual Clay Finlay Emerging Markets Fund 1.150% Less than $1 billion
1.125% From $1 billion to $2 billion
1.100% From $2 billion to $3 billion
1.075% Greater than $3 billion
Old Mutual Copper Rock Emerging Growth Fund 0.900% N/A
Old Mutual International Equity Fund 1.000% Less than $1 billion
0.975% From $1 billion to $2 billion
0.950% From $2 billion to $3 billion
0.925% Greater than $3 billion
EXPENSE LIMITATION AGREEMENTS -- In the interest of limiting expenses of the
Funds, the Advisor has entered into expense limitation agreements ("Expense
Limitation Agreements") pursuant to which the Advisor has agreed, in writing, to
waive or limit its fees and to assume other expenses of the Funds to the extent
necessary to limit the total annual expenses to a specified percentage of the
Funds' average daily net assets through the dates specified below.
The expense limitations are as follows:
Institutional Expiration Date
Class A Class C Class Z Class of Expense Limitation
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio 1.50% 2.25% 1.25% 1.25% December 31, 2008
Old Mutual Asset Allocation Balanced Portfolio 1.55% 2.30% 1.30% 1.30% December 31, 2008
Old Mutual Asset Allocation Moderate Growth
Portfolio 1.55% 2.30% 1.30% 1.30% December 31, 2008
Old Mutual Asset Allocation Growth Portfolio 1.60% 2.35% 1.35% 1.35% December 31, 2008
Old Mutual Analytic Defensive Equity Fund 1.45% 2.20% 1.20% 1.15% December 8, 2007
Old Mutual Analytic Global Defensive Equity Fund 1.95% 2.70% 1.70% 1.40% December 31, 2008
Old Mutual Clay Finlay China Fund 2.10% 2.85% 1.85% 1.55% December 31, 2007
Old Mutual Clay Finlay Emerging Markets Fund 2.10% 2.85% 1.85% 1.35% December 31, 2007
Old Mutual Copper Rock Emerging Growth Fund 1.55% 2.30% 1.30% 1.10% July 31, 2007
Old Mutual International Equity Fund 1.70% 2.45% 1.45% 1.20% December 31, 2007
- ---------------------------------------------------------------------------------------------------------------------------
Reimbursement by the Asset Allocation Funds, Old Mutual Analytic Fund and Copper
Rock Fund of the advisory fees waived and other expenses paid by the Advisor
pursuant to the applicable Expense Limitation Agreements may be made at a later
date when a Fund has reached a sufficient asset size to permit reimbursement to
be made without causing the total annual expense rate of the Fund to exceed the
expense limitation. Consequently, no reimbursement by these Funds will be made
unless: (i) the Fund's assets exceed $75 million; (ii) the Fund's total annual
expense ratio is less than the expense limitation (excluding certain other
expenses such as brokerage commissions and extraordinary expenses); and (iii)
the payment of such reimbursement was approved by the Board on a quarterly
basis. Moreover, in accordance with the terms of agreements with the Advisor,
whereby, to the extent that the Advisor reimburses advisory fees or absorbs
operating expenses of a Fund, the Advisor may seek payment of such amounts
within two fiscal years after the fiscal year in which fees were reimbursed or
absorbed. Reimbursement by
139
<page>
NOTES TO FINANCIAL STATEMENTS -- continued
AS OF JULY 31, 2006
The International Funds and Old Mutual Analytic Global Fund of the advisory fees
waived and other expenses paid by the Advisor pursuant to Expense Limitation
Agreements with the International Funds and Old Mutual Analytic Global Fund may
be made up to three years after the expenses were reimbursed or absorbed. The
International Funds and Old Mutual Analytic Global Fund will make no such
payment, however, if the total Fund operating expenses exceed the expense limits
in effect at the time the expenses were reimbursed. At July 31, 2006, the
Advisor may seek reimbursement of previously waived and reimbursed fees as
follows:
Expires 2007 Expires 2008 Expires 2009 Total
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $374,843 $ 167,678 $ -- $ 542,521
Old Mutual Asset Allocation Balanced Portfolio 800,513 206,398 -- 1,006,911
Old Mutual Asset Allocation Moderate Growth Portfolio 678,477 342,419 -- 1,020,896
Old Mutual Asset Allocation Growth Portfolio 489,171 332,765 -- 821,936
Old Mutual Analytic Defensive Equity Fund -- 2,068,795 -- 2,068,795
Old Mutual Analytic Global Defensive Equity Fund -- -- 22,507 22,507
Old Mutual Clay Finlay China Fund -- -- 92,417 92,417
Old Mutual Clay Finlay Emerging Markets Fund -- -- 84,661 84,661
Old Mutual Copper Rock Emerging Growth Fund -- -- 228,745 228,745
Old Mutual International Equity -- -- 90,035 90,035
- ---------------------------------------------------------------------------------------------------------------------------
Prior to December 9, 2005, Analytic Investors, Inc. ("Analytic") served as
investment advisor to the AIC Analytic Fund pursuant to an investment advisory
agreement with The Advisors' Inner Circle Fund and was paid a management fee
equal to 0.60% of the AIC Analytic Fund's average daily net assets. For the
period January 1, 2005 to December 9, 2005, Analytic was paid $1,249,352 by the
AIC Analytic Fund for its services. Prior to December 9, 2005, Analytic limited
its advisory fees to limit the total annual fund operating expenses (excluding
dividend expense) to 1.60%, 2.35% and 1.35% for the Class A, Class C and
Institutional Class shares, respectively, of the AIC Analytic Fund. Prior to
April 1, 2005, Analytic limited its advisory fees to limit the total annual fund
operating expenses (excluding dividend expense) to 0.99% for Institutional Class
shares of the AIC Analytic Fund. The Old Mutual Analytic Defensive Equity Fund's
Class Z is the successor class of the AIC Analytic Fund's Institutional Class;
the Old Mutual Analytic Fund's Institutional Class is new.
SUB-ADVISORY AGREEMENTS -- The Trust, on behalf of the Asset Allocation Funds,
and the Advisor have entered into a sub-advisory agreement (the "Ibbotson
Sub-Advisory Agreement") with Ibbotson Associates Advisors, LLC ("Ibbotson").
Ibbotson is a wholly owned subsidiary of Ibbotson Associates, Inc., which is a
wholly owned subsidiary of Morningstar, Inc. For the services provided and
expenses incurred pursuant to the Ibbotson Sub-Advisory Agreement, Ibbotson is
entitled to receive from the Advisor a sub-advisory fee with respect to the
average daily net assets of each of the Asset Allocation Funds, which is
computed and paid monthly at an annual rate equal to the greater of (i) 0.08%
for average daily net assets up to $250 million, 0.07% for average daily net
assets from $250 million to $500 million, 0.06% for average daily net assets
from $500 million to $750 million, 0.05% for average daily net assets from $750
million to $1 billion, 0.04% for average daily net assets from $1 billion to $2
billion, and 0.03% for average daily net assets over $2 billion, and (ii)
$200,000.
The Trust, on behalf of the Asset Allocation Funds and the Old Mutual
International Equity Fund, and the Advisor have entered into sub-advisory
agreements (collectively, the "Acadian Sub-Advisory Agreement") with Acadian
Asset Management, Inc. ("Acadian"). Acadian is a wholly owned subsidiary of
OMUSH. For the services provided and expenses incurred pursuant to the Acadian
Sub-Advisory Agreement, Acadian is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the Funds managed by Acadian, which is computed and paid monthly at an annual
rate of 0.45% and 0.60%, for the Asset Allocation Funds and Old Mutual
International Equity Fund, respectively, of the average daily net assets so
managed.
The Trust, on behalf of the Asset Allocation Funds, the Old Mutual Analytic
Fund, and the Old Mutual Analytic Global Fund and the Advisor have entered into
sub-advisory agreements (collectively, the "Analytic Sub-Advisory Agreement")
with Analytic Investors, Inc. ("Analytic"). Analytic is a wholly owned
subsidiary of OMUSH. For the services provided and expenses incurred pursuant to
the Analytic Sub-Advisory Agreement, Analytic is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of such
portion of the Funds managed by Analytic, which is computed and paid monthly at
an annual rate of 0.35%, 0.70% and 0.80% for the Asset Allocation Funds, the Old
Mutual Analytic Fund and the Old Mutual Analytic Global Fund, respectively, of
the average daily net assets so managed. For the Old Mutual Analytic Global
Fund, Analytic is entitled to receive the sub-advisory fee, net of 50% of any
breakpoints, waivers, reimbursement payments, supermarket fees and alliance fees
waived, reimbursed or paid by the Advisor.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "BHMS Sub-Advisory Agreement") with Barrow,
Hanley, Mewhinney & Strauss, Inc. ("Barrow Hanley"). Barrow Hanley is a wholly
owned subsidiary of OMUSH. For the services provided and expenses incurred
pursuant to the BHMS Sub-Advisory Agreement, Barrow Hanley is entitled to
receive from the Advisor a sub-advisory fee with respect to the average daily
net assets of such portion of the Asset Allocation Funds managed by Barrow
Hanley, which is computed and paid monthly at an annual rate equal to a
percentage of the portion of each Asset Allocation Fund's average daily net
assets so managed, of 0.15% for the U.S. Intermediate Fixed Income mandate,
0.15% for the U.S. Core Fixed Income mandate, 0.35% for the U.S. Large Cap Value
mandate, 0.45% for the U.S. Mid Cap Value mandate and 0.50% for the U.S. Small
Cap Value mandate.
140
<page>
The Trust, on behalf of the Asset Allocation Funds and the International Funds,
and the Advisor have entered into sub-advisory agreements (collectively, the
"Clay Finlay Sub-Advisory Agreement") with Clay Finlay Inc. ("Clay Finlay").
Clay Finlay is a wholly owned subsidiary of OMUSH. For the services provided and
expenses incurred pursuant to the Clay Finlay Sub-Advisory Agreement, Clay
Finlay is entitled to receive from the Advisor a sub-advisory fee with respect
to the average daily net assets of such portion of the Asset Allocation Funds
managed by Clay Finlay, which is computed and paid monthly at an annual rate
equal to a percentage of the portion of each Asset Allocation Fund's average
daily net assets so managed, of 0.45% for the International Large Cap Equity
mandate and 0.50% for the Emerging Markets Equity mandate. Clay Finlay is
entitled to receive from the Advisor a sub-advisory fee with respect to the
average daily net assets of such portion of the International Funds managed by
Clay Finlay, which is computed and paid monthly at an annual rate equal to a
percentage of the portion of each of the International Funds average daily net
assets so managed, of 1.00%, 0.80% and 0.60% of the Old Mutual Clay Finlay China
Fund, Old Mutual Clay Finlay Emerging Markets Fund and Old Mutual International
Equity Fund, average daily net assets so managed, respectively. For the Old
Mutual International Equity Fund, Clay Finlay is entitled to receive the
sub-advisory fee net of 50% of any breakpoints, waivers, reimbursement payments,
supermarket fees and alliance fees waived reimbursed or paid by the Advisor.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "Dwight Sub-Advisory Agreement") with Dwight
Asset Management Company ("Dwight"). Dwight is a wholly owned subsidiary of
OMUSH. For the services provided and expenses incurred pursuant to the Dwight
Sub-Advisory Agreement, Dwight is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the Asset Allocation Funds managed by Dwight, which is computed and paid monthly
at an annual rate equal to a percentage of the portion of each Asset Allocation
Fund's average daily net assets so managed, of 0.10% for the Cash Management
mandate, 0.15% for the U.S. Intermediate Fixed Income mandate, 0.15% for the
U.S. Core Fixed Income mandate and 0.25% for the U.S. High Yield Fixed Income
mandate.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "THB Sub-Advisory Agreement") with Thomson
Horstmann & Byrant, Inc. ("THB"). THB is a wholly owned subsidiary of OMUSH. For
the services provided and expenses incurred pursuant to the THB Sub-Advisory
Agreement, THB is entitled to receive from the Advisor a sub-advisory fee with
respect to the average daily net assets of such portion of the Asset Allocation
Funds managed by THB, which is computed and paid monthly at an annual rate equal
to a percentage of the portion of each Asset Allocation Fund's average daily net
assets so managed of, 0.60% for the U.S. Small Cap Value mandate and 0.50% for
the U.S. Mid Cap Value mandate.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement, as amended (the "Heitman Sub-Advisory Agreement")
with Heitman Real Estate Securities LLC ("Heitman"). Heitman is a wholly owned
subsidiary of Heitman LLC, a Delaware limited liability company owned 50% by
Heitman senior executives and 50% by Old Mutual (HFL) Inc., a wholly owned
subsidiary of OMUSH. For the services provided and expenses incurred pursuant to
the Heitman Sub-Advisory Agreement, Heitman is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of such
portion of each Asset Allocation Fund's average daily net assets so managed,
which is computed and paid monthly at an annual rate of 0.40% of the average
daily net assets so managed.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "LRC Sub-Advisory Agreement") with Liberty
Ridge Capital, Inc. ("Liberty Ridge"). Liberty Ridge is a wholly owned
subsidiary of OMUSH. For the services provided and expenses incurred pursuant to
the LRC Sub-Advisory Agreement, Liberty Ridge is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of such
portion of the Asset Allocation Funds managed by Liberty Ridge, which is
computed and paid monthly at an annual rate equal to a percentage of the portion
of each Asset Allocation Fund's average daily net assets so managed, of 0.35%
for the U.S. Large Cap Blend mandate, 0.45% for the U.S. Mid Cap Equity mandate
and 0.50% for the U.S. Small Cap Blend mandate.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "Provident Sub-Advisory Agreement") with
Provident Investment Counsel ("Provident"). Provident is a wholly owned
subsidiary of OMUSH. For the services provided and expenses incurred pursuant to
the Provident Sub-Advisory Agreement, Provident is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of such
portion of the Asset Allocation Funds managed by Provident, which is computed
and paid monthly at an annual rate equal to a percentage of the portion of each
Asset Allocation Fund's average daily net assets so managed, of 0.35% for the
U.S. Large Cap Growth mandate and 0.45% for the U.S. Mid Cap Growth mandate.
The Trust, on behalf of the Asset Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "Rogge Sub-Advisory Agreement") with Rogge
Global Partners PLC ("Rogge"). Rogge is a majority owned subsidiary of OMUSH.
For the services provided and expenses incurred pursuant to the Rogge
Sub-Advisory Agreement for the Asset Allocation Funds, Rogge is entitled to
receive from the Advisor a sub-advisory fee with respect to the average daily
net assets of such portion of the Asset Allocation Funds managed by Rogge, which
is computed and paid monthly at an annual rate of 0.25% of each of the Asset
Allocation Funds' average daily net assets so managed.
The Trust, on behalf of the Asst Allocation Funds, and the Advisor have entered
into a sub-advisory agreement (the "TS&W Sub-Advisory Agreement") with Thompson,
Siegel & Walmsley, Inc. ("TS&W"). TS&W is a wholly owned subsidiary of OMUSH.
For the services provided and expenses incurred pursuant to the TS&W
Sub-Advisory Agreement, TS&W is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the Asset Allocation Funds managed by TS&W, which is computed and paid monthly
at an annual rate equal to a percentage of the portion of each Asset Allocation
Fund's average daily net assets so managed, of 0.35% for the U.S. Large Cap
Value mandate, 0.40% for the U.S. All Cap Value mandate, 0.45% for the U.S. Mid
Cap Value mandate, 0.475% for the U.S. Small/Mid Cap Value mandate and 0.50% for
the U.S. Small Cap Value mandate.
141
<page>
NOTES TO FINANCIAL STATEMENTS -- continued
AS OF JULY 31, 2006
The Trust, on behalf of the Asset Allocation Funds and the Old Mutual Copper
Rock Fund, and the Advisor have entered into sub-advisory agreements (the
"Copper Rock Sub-Advisory Agreement") with Copper Rock Capital Partners, LLC
("Copper Rock"). OMUSH owns 60% of the limited liability company interests of
Copper Rock. For the services provided and expenses incurred pursuant to the
Copper Rock Sub-Advisory Agreement, Copper Rock is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of the
portion of each Asset Allocation Fund's average daily net assets so managed, of
0.55% for the U.S. Small Cap Growth mandate. Copper Rock is entitled to receive
from the Advisor a sub-advisory fee with respect to the average daily net assets
of the Copper Rock Fund, which is computed and paid monthly at an annual rate
equal to 0.60% of the average daily net assets.
Each Sub-Advisory Agreement obligates the Sub-Advisor, other than Ibbotson, to:
(i) manage the investment operations of the assets managed by the sub-advisor
and the composition of the investment portfolio comprising such assets,
including the purchase, retention and disposition thereof in accordance with the
Fund's investment objective, policies and limitations; (ii) provide supervision
of the assets managed by the sub-advisor and to determine from time to time what
investment and securities will be purchased, retained or sold on behalf of the
Fund and what portion of the assets managed by the sub-advisor will be invested
or held uninvested in cash; and (iii) determine the securities to be purchased
or sold on behalf of the Fund in connection with such assets and to place orders
with or through such persons, brokers or dealers to carry out the policy with
respect to brokerage set forth in the Prospectus or as the Board or the Advisor
may direct from time to time, in conformity with federal securities laws. The
Ibbotson Sub-Advisory Agreement obligates Ibbotson to: (i) serve as the
strategic asset allocation consultant and sub-advisor to the Advisor for
investment model creation and maintenance of each Asset Allocation Fund,
consistent with the selection of sub-advisors, based upon Ibbotson's
recommendations related to appropriate market sectors and investment strategies;
(ii) recommend a continuous investment allocation program for each Asset
Allocation Fund in accordance with each Asset Allocation Fund's respective
investment objectives, policies and restrictions as stated in such Fund's
prospectus; and (iii) monitor and make recommendations to the Advisor regarding
possible changes to the sub-advisors and their investment strategies.
ADMINISTRATIVE SERVICES AGREEMENT -- The Trust and Old Mutual Fund Services (the
"Administrator"), an indirect, wholly owned subsidiary of OMUSH, entered into
the Administrative Services Agreement (the "Administrative Agreement"), pursuant
to which the Administrator oversees the administration of the Trust's and each
Fund's business and affairs, including regulatory reporting and all necessary
office space, equipment, personnel and facilities, as well as services performed
by various third parties. Prior to August 1, 2006, under the Administrative
Agreement, the Administrator was entitled to a fee from the Trust, which was
calculated daily and paid monthly at an annual rate of 0.123% of the average
daily net assets of each Fund. Effective August 1, 2006, the Administrator is
entitled to a fee from the Trust, which is calculated daily and paid monthly, as
follows:
Average Daily Net Assets Annual Fee Rate
- --------------------------------------------------------
$0 TO $500 MILLION 0.10%
> $500 million to $1 billion 0.09%
> $1 billion up to $1.5 billion 0.08%
> $1.5 billion 0.07%
- --------------------------------------------------------
The Administrative Agreement provides that the Administrator will not be liable
for any error of judgment or mistake of law or for any loss suffered by the
Trust in connection with the matters to which the Administrative Agreement
relates, except a loss resulting from willful misfeasance, bad faith or gross
negligence on the part of the Administrator in the performance of its duties.
The Administrative Agreement will continue in effect unless terminated by either
party upon not less than 90 days' prior written notice to the other party.
The Administrator and SEI Investments Global Funds Services (the
"Sub-Administrator") entered into a Sub-Administrative Services Agreement (the
"Sub-Administrative Agreement"), pursuant to which the Sub-Administrator assists
the Administrator in connection with the administration of the business and
affairs of the Trust. SEI Investments Management Corporation ("SEI
Investments"), which is a wholly-owned subsidiary of SEI Investments Company,
owns all beneficial interest in the Sub-Administrator. Under the
Sub-Administrative Agreement, the Administrator pays the Sub-Administrator fees
at an annual rate calculated as follows: the greater sum (higher value) which
results from making the following calculations (A) a fee based on the average
daily net assets of the Trust, the Old Mutual Advisor Funds II and the Old
Mutual Insurance Series Fund of: (i) 0.0165% of the first $10 billion, plus (ii)
0.0125% of the next $10 billion, plus (iii) 0.010% of the excess over $20
billion and (B) a fee based on the aggregate number of Funds of the Trust, Old
Mutual Advisor Funds II and Old Mutual Insurance Series Fund calculated at the
sum of between $50,000 and $60,000 per Fund, depending on the total number of
funds. The Sub-Administrative Agreement provides that the Sub-Administrator will
not be liable for any error of judgment or mistake of law or for any loss
suffered by the Trust in connection with the matters to which the
Sub-Administrative Agreement relates, except a loss resulting from willful
misfeasance, bad faith or negligence on the part of the Sub-Administrator in the
performance of its duties. The Sub-Administrative Agreement renews each year
unless terminated by either party upon not less than 90 days' prior written
notice to the other party.
From January 1, 2005 through December 9, 2005 the Sub-Administrator was the
administrator (the "Predecessor Administrator") of the AIC Analytic Fund and
provided administrative services to The Advisors' Inner Circle Fund (the
"Predeccessor Trust") under an Administration Agreement (the "Former
Administration Agreement"). Pursuant to the Former Administration Agreement, the
Predeccessor Trust paid the Predecessor Administrator an annual fee equal to the
higher of $125,000 for one fund, $250,000 for two funds, $350,000 for three
funds, plus $75,000 per additional fund, plus $20,000 per additional class or
0.12% of the first $250 million and 0.04% of any amount above $750 million of
the Predeccessor Trust's average daily net assets. From the time period January
1, 2005 through December 9, 2005, the Predecessor Administrator was paid
$321,863 by the AIC Analytic Fund.
142
<page>
DISTRIBUTION AGREEMENT -- Old Mutual Investment Partners (the "Distributor"), an
indirect, wholly owned subsidiary of OMUSH, and the Trust are parties to a
distribution agreement (the "Distribution Agreement"), pursuant to which the
Distributor serves as principal underwriter for the Trust's shares. The
Distributor receives no compensation for serving in such capacity, except as
provided in separate Distribution Plans and Service Plans.
The Distribution Agreement is renewable annually. The Distribution Agreement may
be terminated by the Distributor, by a majority vote of the Trustees who are not
"interested persons" (as defined in the 1940 Act) and have no financial interest
in the Distribution Agreement or by a majority vote of the outstanding
securities of the Trust upon not more than 90 days' written notice by either
party or upon assignment by the Distributor.
Prior to December 9, 2005, SEI Investments Distribution Co. served as
distributor to the AIC Analytic Fund and received $189,943 of compensation for
serving in such a capacity for the period from January 1, 2005 through December
9, 2005.
The Trust has adopted a Distribution Plan for each of Class A and Class C shares
pursuant to Rule 12b-1 under the 1940 Act to enable the Class A and Class C
shares of each Fund to directly and indirectly bear certain expenses relating to
the distribution of such shares. The Trust has also adopted a Service Plan to
enable the Class A and Class C shares of each Fund to directly and indirectly
bear certain expenses relating to the shareholder servicing and/or personal
account maintenance of the holders of such shares. Each of the Distribution
Plans and Service Plans are compensation plans, which means that they compensate
the Distributor or third-party broker-dealer or financial intermediary
regardless of the expenses actually incurred by such persons.
Pursuant to the Distribution Plans for Class A and Class C shares, the Trust
will pay to the Distributor a monthly fee at an annual aggregate rate not to
exceed (i) 0.25% of the average net asset value of the Class A shares of each
Fund and (ii) 0.75% of the average net asset value of the Class C shares of each
Fund, as determined at the close of each business day during the month, which is
to compensate the Distributor for services provided and expenses incurred by it
in connection with the offering and sale of Class A or Class C shares, which may
include, without limitation, the payment by the Distributor to investment
dealers of commissions on the sale of Class A or Class C shares, as set forth in
the then current prospectus or statement of additional information with respect
to Class A and Class C shares and interest and other financing costs.
The amount of such payments shall be determined by the Trust's disinterested
Trustees from time to time. Currently, Class A shares are not authorized to pay
distributor fees and Class C shares are authorized to pay the maximum amount of
distributor fees.
Pursuant to the Service Plans for Class A and Class C shares, the Trust will pay
to the Distributor or other third-party financial intermediaries a fee at an
annual aggregate rate not to exceed 0.25% of the average net asset value of
Class A and Class C shares, which is for maintaining or improving services
provided to shareholders by the Distributor and investment dealers, financial
institutions and 401(k) plan service providers. The amount of such payments
shall be determined by the Trust's disinterested Trustees from time to time.
Currently, both Class A and Class C shares are authorized to pay the maximum
amount of service fees.
The Distributor will prepare and deliver written reports to the Board on a
regular basis (at least quarterly) setting forth the payments made pursuant to
the Distribution Plans and the Service Plans, and the purposes for which such
expenditures were made, as well as any supplemental reports as the Board may
from time to time reasonably request.
Except to the extent that the Administrator, Sub-Administrator, Advisor or
sub-advisors may benefit through increased fees from an increase in the net
assets of the Trust which may have resulted in part from the expenditures, no
interested person of the Trust nor any Trustee of the Trust who is not an
"interested person" (as defined in the 1940 Act) of the Trust has a direct or
indirect financial interest in the operation of the Distribution or Service
Plans or any related agreement.
Of the service and distribution fees the Distributor received for the period
ended July 31, 2006, it retained the following:
Service Fees Distribution Fees
- ---------------------------------------------------------------------------------------------------------------------------
Class A Class C Class C
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $ 2,456 $ 32,018 $ 96,053
Old Mutual Asset Allocation Balanced Portfolio 3,495 101,107 303,322
Old Mutual Asset Allocation Moderate Growth Portfolio 11,376 144,295 432,884
Old Mutual Asset Allocation Growth Portfolio 7,947 68,981 206,942
Old Mutual Analytic Defensive Equity Fund 75,935 227,426 682,432
Old Mutual Analytic Global Defensive Equity Fund 39 15 45
Old Mutual Clay Finlay China Fund 433 315 946
Old Mutual Clay Finlay Emerging Markets Fund 88 49 148
Old Mutual Copper Rock Emerging Growth Fund 6,174 373 1,118
Old Mutual International Equity Fund 47 73 220
- ---------------------------------------------------------------------------------------------------------------------------
143
<page>
NOTES TO FINANCIAL STATEMENTS -- continued
AS OF JULY 31, 2006
DST Systems, Inc. serves as the transfer agent and dividend disbursing agent of
the Funds. From time to time, the Funds may pay amounts to third parties that
provide sub-transfer agency and other administrative services relating to the
Fund to persons who beneficially own interests in the Fund.
U.S. Bank, N.A. serves as the custodian for each of the Asset Allocation Funds
and the Copper Rock Fund. The Bank of New York serves as custodian of the
International Funds and Old Mutual Analytic Global Fund. Union Bank of
California serves as custodian of the Old Mutual Analytic Fund.
The Funds have entered into a shareholder servicing agreement with the
Administrator to provide shareholder support and other shareholder
account-related services. The Administrator has, in turn, contracted with Old
Mutual Shareholder Services, Inc. (formerly known as PBHG Shareholder Services,
Inc.), "OMSS", its wholly owned subsidiary, to assist in the provision of those
services. OMSS received no fees directly from the Funds. The shareholder service
fees are reviewed periodically and approved annually by the Board.
Shareholder service fees paid to Old Mutual Fund Services for the year or period
ended July 31, 2006 were as follows:
- -------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $ 6,073
Old Mutual Asset Allocation Balanced Portfolio 20,905
Old Mutual Asset Allocation Moderate Growth Portfolio 36,179
Old Mutual Asset Allocation Growth Portfolio 26,933
Old Mutual Analytic Defensive Equity Fund 75,372
Old Mutual Analytic Global Defensive Equity Fund 88
Old Mutual Clay Finlay China Fund 634
Old Mutual Clay Finlay Emerging Markets Fund 274
Old Mutual Copper Rock Emerging Growth Fund 14,475
Old Mutual International Equity Fund 203
- -------------------------------------------------------------------------------
On September 7, 2004, the Board approved an agreement between the Funds and the
Administrator to provide shareholder related web development and maintenance
services. For its services over the year ended July 31, 2006, Old Mutual Fund
Services received a fee of $239,041, which was allocated to each Fund quarterly
based on average net assets.
Prior to December 9, 2005, the AIC Analytic Fund was able to direct certain fund
trades to brokers who paid a portion of the AIC Analytic Fund's expenses. Under
this arrangement, the AIC Analytic Fund had expenses reduced by $67,511, which
was used to pay administration expenses. The effect on the Fund's expense ratio,
as a percentage of the Fund's average daily net assets for the year ended
December 31, 2005 was 0.03%
Officers and Trustees of the Funds who are or were officers of the Advisor,
Administrator, Sub-Administrator and the Distributor received no compensation
from the Funds.
4. INTERFUND LENDING
- --------------------------------------------------------------------------------
Pursuant to resolutions adopted by the Boards of Trustees of each of Old Mutual
Advisor Funds, Old Mutual Advisor Funds II and Old Mutual Insurance Series Fund
(together, the "Trusts"), on behalf of each series portfolio of the Trusts (the
"Funds"), each of the Funds may lend an amount up to its prospectus-defined
limitations to other Funds. All such lending shall be conducted pursuant to the
exemptive order granted by the Securities and Exchange Commission on August 12,
2003 to the Trusts.
The interest rate charged on the loan is the average of the overnight repurchase
agreement rate (highest rate available to the Funds from investments in
overnight repurchase agreements) and the bank loan rate (Federal Funds Rate plus
50 basis points). None of the Funds may borrow more than 10% of its assets.
The Funds had no outstanding borrowings or loans related to interfund lending at
any time during the year or period ended July 31, 2006.
144
<page>
5. INVESTMENT TRANSACTIONS
- --------------------------------------------------------------------------------
The cost of securities purchased and the proceeds from securities sold and
matured, other than short-term investments, for the Funds, for the year or
period ended July 31, 2006 were as follows:
Purchases (000) Sales and Maturities (000)
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Other U.S. Government Other
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $ 20,662 $24,967 $ 16,492 $ 17,877
Old Mutual Asset Allocation Balanced Portfolio 44,283 104,018 32,998 65,086
Old Mutual Asset Allocation Moderate Growth Portfolio 38,345 158,393 26,685 81,744
Old Mutual Asset Allocation Growth Portfolio -- 116,035 -- 54,252
Old Mutual Analytic Defensive Equity Fund -- 573,333 -- 377,712
Old Mutual Analytic Global Defensive Equity Fund -- 3,468 -- 573
Old Mutual Clay Finlay China Fund -- 17,390 -- 5,068
Old Mutual Clay Finlay Emerging Markets Fund -- 5,173 -- 2,423
Old Mutual Copper Rock Emerging Growth Fund -- 134,597 -- 60,393
Old Mutual International Equity Fund -- 8,030 -- 2,680
- ---------------------------------------------------------------------------------------------------------------------------
Transactions in option contracts written in the Old Mutual Analytic Fund and the
Old Mutual Analytic Global Fund for the year or period ended July 31, 2006, were
as follows:
Old Mutual Analytic Old Mutual Analytic
Defensive Equity Fund Global Defensive Equity Fund
- ---------------------------------------------------------------------------------------------------------------------------
Number of Number of
Contracts Premiums Contracts Premiums
- ---------------------------------------------------------------------------------------------------------------------------
Outstanding at December 31, 2005 and
May 31, 2006, respectively 5,175 $ 8,504,558 -- $ --
Options written 44,425 58,495,600 48 113,906
Options terminated in closing purchasing transactions (34,550) (49,914,651) (16) (55,852)
Options expired (7,225) (6,500,556) (16) (22,352)
- ---------------------------------------------------------------------------------------------------------------------------
Outstanding at July 31, 2006 7,825 $10,584,951 16 $ 35,702
- ---------------------------------------------------------------------------------------------------------------------------
6. FOREIGN HOLDINGS RISK
- --------------------------------------------------------------------------------
Each Fund may invest in foreign securities. Investing in the securities of
foreign issuers involves special risks and considerations not typically
associated with investing in U.S. companies. These risks and considerations
include differences in accounting, auditing and financial reporting standards,
generally higher commission rates on foreign portfolio transactions, the
possibility of expropriation or confiscatory taxation, adverse changes in
investment or exchange control regulations, political instability which could
affect U.S. investment in foreign countries and potential restrictions on the
flow of international capital and currencies. Foreign issuers may also be
subject to less government regulation than U.S. companies. Moreover, the
dividends and interest payable on foreign securities may be subject to foreign
withholding taxes, thus reducing the net amount of income available for
distribution to a Fund's shareholders. Further, foreign securities often trade
with less frequency and volume than domestic securities and, therefore, may
exhibit greater price volatility. Changes in foreign exchange rates will affect,
favorably or unfavorably, the value of those securities which are denominated or
quoted in currencies other than the U.S. dollar.
7. FEDERAL TAX INFORMATION
- --------------------------------------------------------------------------------
Each Fund has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code and to
distribute substantially all of its taxable income and net capital gains.
Accordingly, no provision has been made for Federal income taxes.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to Paid-in-Capital or accumulated net
realized gain, as appropriate, in the period that the differences arise.
145
NOTES TO FINANCIAL STATEMENTS -- concluded
AS OF JULY 31, 2006
Accordingly, the following permanent differences as of July 31, 2006, primarily
attributable to certain net operating losses, different treatment for gains and
losses on paydowns of mortgage- and asset-backed securities for tax purposes,
reclassifications of long-term capital gain distributions on Real Estate
Investment Trust securities and return of capital which, for tax purposes, are
not available to offset future income, were reclassified to the following
accounts.
Increase/(Decrease) Increase/(Decrease)
Accumulated Undistributed
Net Realized Net Investment Increase/(Decrease)
Gain Income Paid in Capital
(000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $ 1 $ (1) $ --
Old Mutual Asset Allocation Balanced Portfolio (14) 14 --
Old Mutual Asset Allocation Moderate Growth Portfolio (71) 71 --
Old Mutual Asset Allocation Growth Portfolio (100) 100 --
Old Mutual Analytic Defensive Equity Fund (1,013) 2,682 (1,669)
Old Mutual Analytic Global Defensive Equity Fund 8 (8) --
OLD Mutual Clay Finlay Emerging Markets FunD 12 (12) --
Old Mutual Copper Rock Emerging Growth Fund -- 191 (191)
Old Mutual International Equity Fund 39 (39) --
- ---------------------------------------------------------------------------------------------------------------------------
The tax character of dividends and distributions declared during the year or
periods ended July 31, 2006 and 2005 were as follows:
Ordinary Long Term
Income Capital Gain Total
(000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio
2006 $ 562 $ -- $ 562
2005 113 -- 113
Old Mutual Asset Allocation Balanced Portfolio
2006 1,230 -- 1,230
2005 163 -- 163
Old Mutual Asset Allocation Moderate Growth Portfolio
2006 500 -- 500
2005 9 -- 9
Old Mutual Asset Allocation Growth Portfolio
2006 419 3 422
2005 7 -- 7
Old Mutual Analytic Defensive Equity Fund
2006 -- -- --
2005* 16,715 3,195 19,910
2004* 780 1,583 2,363
- ---------------------------------------------------------------------------------------------------------------------------
* Based on previous fiscal year of December 31.
As of July 31, 2006, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
Undistributed Undistributed Capital Post Post October Unrealized Other
Ordinary Long Term Loss October Currency Appreciation/ Temporary
Income Capital Gain Carryforwards Losses Losses (Depreciation) Differences Total
(000) (000) (000)* (000) (000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation
Conservative Portfolio $ 150 $106 $ -- $ -- $ -- $ 508 $(20) $ 744
Old Mutual Asset Allocation
Balanced Portfolio 1,367 781 -- -- -- 3,219 (46) 5,321
Old Mutual Asset Allocation
Moderate Growth Portfolio 2,186 827 -- -- -- 5,048 (26) 8,035
Old Mutual Asset Allocation
Growth Portfolio 1,358 675 -- -- -- 3,572 (36) 5,569
- -----------------------------------------------------------------------------------------------------------------------------------
146
<page>
Undistributed Undistributed Capital Post Post October Unrealized Other
Ordinary Long Term Loss October Currency Appreciation/ Temporary
Income Capital Gain Carryforwards Losses Losses (Depreciation) Differences Total
(000) (000) (000)* (000) (000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic
Defensive Equity Fund $ 41 $ -- $(10,378) $ -- $ -- $34,395 $ -- $24,058
Old Mutual Analytic Global
Defensive Equity Fund 1 -- -- (10) (10) 37 -- 18
Old Mutual Clay Finlay
China Fund 580 -- -- -- -- 1,196 -- 1,776
Old Mutual Clay Finlay
Emerging Markets Fund 157 -- -- -- (12) 111 -- 256
Old Mutual Copper Rock
Emerging Growth Fund -- -- (100) (3,565) -- (1,358) -- (5,023)
Old Mutual International
Equity Fund 261 -- -- -- -- 263 (41) 483
- ------------------------------------------------------------------------------------------------------------------------------------
* Capital loss carryforwards expire in 2014.
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. Post-October losses represent
losses realized on investment transactions from November 1, 2005 through July
31, 2006 that, in accordance with Federal income tax regulations the Funds may
elect to defer and treat as having arisen in the following fiscal year.
The Federal tax cost, aggregate gross unrealized appreciation and depreciation
of investments, excluding securities sold short and written option contracts,
held by each Fund at July 31, 2006 were as follows:
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
(000) (000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio $ 32,220 $ 1,267 $ (759) $ 508
Old Mutual Asset Allocation Balanced Portfolio 109,519 6,671 (3,455) 3,216
Old Mutual Asset Allocation Moderate Growth Portfolio 145,421 10,439 (5,388) 5,051
Old Mutual Asset Allocation Growth Portfolio 92,169 7,537 (3,969) 3,568
Old Mutual Analytic Defensive Equity Fund 747,961 55,634 (31,342) 24,292
Old Mutual Analytic Global Defensive Equity Fund 3,110 109 (72) 37
Old Mutual Clay Finlay China Fund 14,373 1,483 (287) 1,196
Old Mutual Clay Finlay Emerging Markets Fund 2,901 273 (162) 111
Old Mutual Copper Rock Emerging Growth Fund 71,994 2,584 (3,943) (1,359)
Old Mutual International Equity Fund 5,591 450 (187) 263
- ---------------------------------------------------------------------------------------------------------------------------
8. NEW ACCOUNTING PRONOUNCEMENTS
- --------------------------------------------------------------------------------
In July 2006, the Financial Accounting Standards Board ("FASB") issued FASB
interpretation 48 ("FIN 48"), "ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES". This
standard defines the threshold for recognizing the benefits of tax-return
positions in the financial statements as "more-likely-than-not" to be sustained
by the taxing authority and requires measurement of a tax position meeting the
more-likely-than-not criterion, based on the largest benefit that is more than
50 percent likely to be realized. FIN 48 is effective as of the beginning of the
first fiscal year beginning after December 15, 2006. At adoption, companies must
adjust their financial statements to reflect only those tax positions that are
more-likely-than-not to be sustained as of the adoption date. As of July 31,
2006, the Funds have not evaluated the impact that will result from adopting FIN
48.
147
<page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Old Mutual Advisor Funds:
In our opinion, the accompanying statements of net assets or the statements of
assets and liabilities, including the schedules of investments, as applicable,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Old Mutual Asset Allocation Conservative Portfolio, Old Mutual Asset
Allocation Balanced Portfolio, Old Mutual Asset Allocation Moderate Growth
Portfolio, Old Mutual Asset Allocation Growth Portfolio, Old Mutual Analytic
Defensive Equity Fund, Old Mutual Analytic Global Defensive Equity Fund, Old
Mutual Clay Finlay China Fund, Old Mutual Clay Finlay Emerging Markets Fund, Old
Mutual Copper Rock Emerging Growth Fund and Old Mutual International Equity Fund
(constituting Old Mutual Advisor Funds, hereafter referred to as the "Funds") at
July 31, 2006 and the results of each of their operations and the changes in
each of their net assets and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at July
31, 2006 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
September 27, 2006
148
<page>
NOTICE TO SHAREHOLDERS (Unaudited)
For shareholders that do not have a July 31, 2006 tax year end, this notice is
for informational purposes only. For shareholders with a July 31, 2006 tax year
end, please consult your tax advisor as to the pertinance of this notice. For
the fiscal year ended July 31, 2006, each Fund is designating the following
items with regard to distributions paid during the year.
Qualifying for Foreign
Corporate Investors Qualified
Long Term Ordinary Dividends Qualifying U.S. Qualified Short-Term
Capital Gain Income Total Received Dividend Government Interest Capital
Distribution Distribution Distributions Deduction(1) Income(2) Interest(3) Income(4) Gain(5)
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation
Conservative Portfolio ..... 0.00% 100.00% 100.00% 19.66% 15.56% 15.81% 86.13% 18.90%
Old Mutual Asset Allocation
Balanced Portfolio ......... 0.00% 100.00% 100.00% 21.79% 31.42% 12.11% 85.09% 46.21%
Old Mutual Asset Allocation
Moderate Growth Portfolio .. 0.00% 100.00% 100.00% 34.85% 43.70% 10.63% 1.83% 64.81%
Old Mutual Asset Allocation
Growth Portfolio ........... 0.84% 99.16% 100.00% 33.93% 43.52% 0.00% 0.00% 69.52%
Old Mutual Analytic
Defensive Equity Fund ...... 0.00% 100.00% 100.00% 24.92% 0.00% 25.20% 0.00% 0.00%
Old Mutual Analytic Global
Defensive Equity Fund ...... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Old Mutual Clay Finlay
China Fund (6) ............. 0.00% 100.00% 100.00% 0.00% 6.28% 0.00% 100.00% 0.00%
Old Mutual Clay Finlay
Emerging Markets Fund (7) .. 0.00% 100.00% 100.00% 0.00% 6.95% 0.00% 16.73% 0.00%
Old Mutual Copper Rock
Emerging Growth Fund ....... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Old Mutual International
Equity Fund (8) ............... 0.00% 100.00% 100.00% 0.00% 36.11% 0.00% 7.11% 0.00%
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and are reflected as a percentage of ordinary
Income distributions (the total of short term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short term capital gain and net investment income distributions).
It is the intention of each of the aforementioned Funds to designate the
maximum amount permitted by law.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders of the Old Mutal Advisor Funds who are residents of
California, Connecticut and New York, the statutory threshhold requirements
were not satisified to permit exemption of these amounts from state income.
(4) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by the American Jobs Creation Act of 2004 and is
reflected as a percentage of net investment income distributions that is
exempt from U.S withholding tax when paid to foreign investors.
(5) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by the American Jobs Creation Act of
2004 and is reflected as a percentage of short-term capital gain
distributions that is exempt from U.S withholding tax when paid to foreign
investors.
(6) The Fund intends to pass through a foreign tax credit to the shareholders.
For fiscal year ended 2006, the total amount of foreign source income is
$108,385. The total amount of foreign tax to be paid is $18. Your allocable
share of the foreign tax credit will be reported on Form 1099 DIV.
(7) The Fund intends to pass through a foreign tax credit to the shareholders.
For fiscal year ended 2006 the total amount of foreign source income is
$27,806. The total amount of foreign tax to be paid is $4,054. Your
allocable share of the foreign tax credit will be reported on Form 1099
DIV.
(8) The Fund intends to pass through a foreign tax credit to the shareholders.
For fiscal year ended 2006, the total amount of foreign source income is
$92,136. The total amount of foreign tax to be paid is $7,927. Your
allocable share of the foreign tax credit will be reported on Form 1099
DIV.
149
<page>
PROXY VOTING AND PORTFOLIO HOLDINGS (Unaudited)
Proxy Voting
A description of the guidelines that the Trust uses to determine how to vote
proxies relating to portfolio securities is available (i) without charge, upon
request, by calling 1.888.744.5050 toll-free; (ii) on the Trust's website at
www.oldmutualcapital.com; and (iii) on the SEC's website at www.sec.gov.
Information about how the Funds voted proxies relating to portfolio securities
for the 12-month period ended June 30, 2006 is available on the Trust's website
at www.oldmutualcapital.com and on the SEC's website at www.sec.gov.
Portfolio Holdings
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year on Form N-Q. The Trust's Forms N-Q
are available on the SEC's website at www.sec.gov, or may be reviewed and copied
at the SEC's Public Reference Room in Washington D.C. Information on the
operation of the the Public Reference Room may be obtained by calling
1-800-SEC-0330 toll-free.
150
<page>
FUND EXPENSES EXAMPLE (Unaudited)
Six Month Hypothetical Expense Example July 31, 2006 (Unaudited)
Example. As a shareholder of a Fund you may pay two types of fees: transaction
fees and fund-related fees. Transaction fees may include transaction costs,
including sales charges (loads) on purchase payments, redemption fees, and
exchange fees. Fund-related fees may include ongoing expenses, including
management fees, distribution and/or service fees, and other fund expenses,
which are indirectly paid by shareholders and affect your investment return.
This Example is intended to help you understand your ongoing costs (in dollars)
of investing in the Funds and to compare these costs with the ongoing costs of
investing in other mutual funds. This Example is based on an investment of
$1,000 invested at the beginning of the period and held for the six-month period
ended July 31, 2006.
Actual Expenses. The first line for each share class in the following table
provides information about actual account values and actual expenses. The
Example includes, but is not limited to, management fees, 12b-1 fees, fund
accounting, custody and transfer agent fees. However, the Example does not
include client specific fees, such as the $10.00 fee charged to IRA accounts, or
the $10.00 fee charged for wire redemptions. The Example also does not include
portfolio trading commissions and related trading expenses. You may use this
information, together with the amount you invested, to estimate the expenses
that you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line for each share class under the heading
entitled "Expenses Paid During Six-Month Period" to estimate the expenses you
paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second line for each share
class in the table provides information about hypothetical account values and
hypothetical expenses based on each Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Funds' actual
return. The hypothetical account values and expenses may not be used to estimate
the actual ending account balance or expenses you paid for the period. You may
use this information to compare the ongoing costs of investing in each Fund and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, this information
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Annualized Expenses
Beginning Ending Expense Paid
Account Account Ratios During
Value Value For the Six Six Month
2/1/06 7/31/06 Month Period Period*
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return $1,000.00 $1,001.20 1.50% $ 7.44
Hypothetical 5% Return 1,000.00 1,017.34 1.50 7.50
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 996.80 2.25 11.14
Hypothetical 5% Return 1,000.00 1,013.64 2.25 11.23
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,002.40 1.25 6.21
Hypothetical 5% Return 1,000.00 1,018.62 1.25 6.26
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Conservative Portfolio -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,002.40 1.25 6.21
Hypothetical 5% Return 1,000.00 1,018.58 1.25 6.26
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Balanced Portfolio -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 996.90 1.55 7.67
Hypothetical 5% Return 1,000.00 1,017.10 1.55 7.75
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Balanced Portfolio -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 993.50 2.30 11.37
Hypothetical 5% Return 1,000.00 1,013.39 2.30 11.48
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Balanced Portfolio -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return $1,000.00 $ 998.00 1.30% $ 6.44
Hypothetical 5% Return 1,000.00 1,018.36 1.30 6.51
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Balanced Portfolio -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 997.20 1.30 6.44
Hypothetical 5% Return 1,000.00 1,018.33 1.30 6.51
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Moderate Growth Portfolio -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 996.70 1.55 7.67
Hypothetical 5% Return 1,000.00 1,017.11 1.55 7.75
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Moderate Growth Portfolio -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 992.50 2.30 11.36
Hypothetical 5% Return 1,000.00 1,013.39 2.30 11.48
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Moderate Growth Portfolio -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 997.50 1.30 6.44
Hypothetical 5% Return 1,000.00 1,018.35 1.30 6.51
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Moderate Growth Portfolio -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 998.40 1.30 6.44
Hypothetical 5% Return 1,000.00 1,018.33 1.30 6.51
- ---------------------------------------------------------------------------------------------------------------------------
151
<page>
FUND EXPENSES EXAMPLE -- concluded (Unaudited)
Annualized Expenses
Beginning Ending Expense Paid
Account Account Ratios During
Value Value For the Six Six Month
2/1/06 7/31/06 Month Period Period*
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Growth Portfolio -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return $1,000.00 $ 995.30 1.60% $ 7.92
Hypothetical 5% Return 1,000.00 1,016.86 1.60 8.00
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Growth Portfolio -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 991.30 2.35 11.60
Hypothetical 5% Return 1,000.00 1,013.14 2.35 11.73
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Growth Portfolio -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 996.10 1.35 6.68
Hypothetical 5% Return 1,000.00 1,018.12 1.35 6.76
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation Growth Portfolio -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 996.90 1.35 6.68
Hypothetical 5% Return 1,000.00 1,018.09 1.35 6.76
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Defensive Equity Fund -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,023.20 1.74 8.73
Hypothetical 5% Return 1,000.00 1,016.17 1.74 8.70
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Defensive Equity Fund -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,019.40 2.49 12.47
Hypothetical 5% Return 1,000.00 1,012.45 2.49 12.42
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Defensive Equity Fund -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,024.00 1.49 7.48
Hypothetical 5% Return 1,000.00 1,017.41 1.49 7.45
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Defensive Equity Fund -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,024.80 1.94 9.74
Hypothetical 5% Return 1,000.00 1,017.65 1.94 9.71
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Global Defensive Equity Fund -- Class A**
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,005.00 2.84 4.76
Hypothetical 5% Return 1,000.00 1,010.71 2.84 4.77
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Global Defensive Equity Fund -- Class C**
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,003.00 3.53 5.91
Hypothetical 5% Return 1,000.00 1,007.29 3.53 5.92
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Global Defensive Equity Fund- Class Z**
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,004.00 2.55 4.27
Hypothetical 5% Return 1,000.00 1,012.15 2.55 4.29
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Analytic Global Defensive Equity Fund -- INSTITUTIONAL CLASS**
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,005.00 2.25 3.77
Hypothetical 5% Return 1,000.00 1,013.64 2.25 3.79
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay China Fund -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,176.00 2.10 11.33
Hypothetical 5% Return 1,000.00 1,014.38 2.10 10.49
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay China Fund -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,171.60 2.85 15.35
Hypothetical 5% Return 1,000.00 1,010.66 2.85 14.21
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay China Fund -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return $1,000.00 $1,176.70 1.85% $ 9.98
Hypothetical 5% Return 1,000.00 1,015.62 1.85 9.25
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay China Fund -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,178.50 1.55 8.37
Hypothetical 5% Return 1,000.00 1,017.11 1.55 7.75
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay Emerging Markets Fund -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN 1,000.00 1,010.00 2.10 10.47
Hypothetical 5% Return 1,000.00 1,014.38 2.10 10.49
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay Emerging Markets Fund -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,007.30 2.85 14.18
Hypothetical 5% Return 1,000.00 1,010.66 2.85 14.21
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay Emerging Markets Fund -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,011.90 1.85 9.23
Hypothetical 5% Return 1,000.00 1,015.62 1.85 9.25
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Clay Finlay Emerging Markets Fund -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,014.60 1.35 6.74
Hypothetical 5% Return 1,000.00 1,018.10 1.35 6.76
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Copper Rock Emerging Growth Fund -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 906.10 1.55 7.33
Hypothetical 5% Return 1,000.00 1,017.11 1.55 7.75
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Copper Rock Emerging Growth Fund -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 903.00 2.30 10.85
Hypothetical 5% Return 1,000.00 1,011.41 2.30 11.47
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Copper Rock Emerging Growth Fund -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 907.10 1.30 6.15
Hypothetical 5% Return 1,000.00 1,016.38 1.30 6.50
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Copper Rock Emerging Growth Fund -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 908.00 1.10 5.20
Hypothetical 5% Return 1,000.00 1,017.85 1.10 5.50
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual International Equity Fund -- Class A
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,044.80 1.70 8.62
Hypothetical 5% Return 1,000.00 1,016.36 1.70 8.50
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual International Equity Fund -- Class C
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,042.00 2.45 12.40
Hypothetical 5% Return 1,000.00 1,012.65 2.45 12.23
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual International Equity Fund -- Class Z
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,046.80 1.45 7.36
Hypothetical 5% Return 1,000.00 1,017.61 1.45 7.25
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual International Equity Fund -- Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------
Actual Fund Return 1,000.00 1,046.70 1.20 6.09
Hypothetical 5% Return 1,000.00 1,018.84 1.20 6.01
- ---------------------------------------------------------------------------------------------------------------------------
* Unless otherwise noted, expenses are equal to the Fund's annualized expense
ratio multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
** Fund commenced operations on May 31, 2006. All Fund expense information is
from the period May 31, 2006 to July 31, 2006.
152
<page>
ACTIVITIES AND COMPOSITION OF THE BOARD OF TRUSTEES AND OFFICERS OF THE TRUST --
As of July 31, 2006 (Unaudited)
Trustees and Officers of the Trust The management and affairs of the Trust are
supervised by the Board under the laws of the State of Delaware. The Board has
approved contracts under which, as described above, certain companies provide
essential management services to the Trust. The Board and executive officers of
the Trust and their principal occupations for the last five years are set forth
below. Each may have held other positions with the named companies during that
period. The address for each of the Trustees and executive officers of the Trust
is 4643 South Ulster Street, Suite 600, Denver, Colorado 80237. The Funds'
Statements of Additional Information include additional information about the
Funds' Trustees and are available, without charge, upon request by calling
1-888-744-5050.
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees
- ------------------------------------------------------------------------------------------------------------------------------------
Number of Funds Other
Position(s) Term of Office* in the Old Mutual Directorships
Held with and Length of Principal Occupation(s) Fund Complex Overseen Held
Name and Age the Trust Time Served During Past 5 Years by Trustee by Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
John R. Bartholdson Trustee Trustee since Chief Financial Officer, 36 The Triumph Group, Inc.,
(Age: 61) 2004 The Triumph Group, Inc. Old Mutual Insurance
(manufacturing). Series Fund, Old Mutual
Advisor Funds II, ING
Clarion Real Estate
Income Fund, and ING
Clarion Global Real
Estate Income Fund.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert M. Hamje Trustee Trustee since Retired. President and 10 TS&W/Claymore Tax-
(Age: 64) 2004 Chief Investment Officer, Advantaged Balanced
TRW Investment Management Fund and Old Mutual/
Company (investment Claymore Long-Short
management), 1984 - 2003. Fund.
- ------------------------------------------------------------------------------------------------------------------------------------
Jarrett B. Kling Trustee Trustee since Managing Director, ING 10 Hirtle Callaghan Trust,
(Age: 63) 2004 Clarion Real Estate ING Clarion Real Estate
Securities (investment Income Fund, ING
advisor). Clarion Global Real
Estate Income Fund,
and ING Clarion.
- ------------------------------------------------------------------------------------------------------------------------------------
L. Kent Moore Chairman of Trustee since Partner, WillSource Enterprise, 10 TS&W/Claymore Tax-
(Age: 50) the Board and 2004 LLC (oil and gas exploration Advantaged Balanced
Trustee and production), 2005 - present. Fund and Old Mutual/
Managing Director, High Sierra Claymore Long Short
Energy, LP (holding company of Fund.
natural resource related
businesses), 2004 - 2005.
Portfolio Manager, Janus
Capital (money management),
2000 - 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustee and Advisory Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
David J. Bullock** Trustee, Trustee, Director, President, and 10 Old Mutual Capital,
(Age: 50) President, President, Chief Executive Officer, Inc.,Old Mutual Inc.
and Chief and Chief Old Mutual Capital, Inc., Inc., Partners, Old
Executive Executive since 2004. Trustee and MutualFund Services,
Officer Officer Chief Executive Officer, and Old Mutual
since 2004 Old Mutual Investment Shareholder Services,
Partners; Trustee, Old Inc.
Mutual Fund Services;
and Director, Old Mutual
Shareholder Services, Inc.,
since 2003. President,
Old Mutual Insurance Series
Fund, since 2003. Chief
Executive Officer, President,
and Director, Liberty
Ridge Capital, Inc.,
2003 - October 2005. Chief
Operating Officer, Liberty
Ridge Capital, Inc.,
July 2003 - March 2004.
President and Chief
Executive Officer, T
ransamerica Capital, Inc.,
1999 - 2003. President,
AEGON Distributors,
1998-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Walter W. Driver, Advisory Advisory Chairman - Southeast, 10 Total Systems
Jr. *** Trustee Trustee Goldman Sachs & Co., Services, Inc.
(Age: 61) since 2006 since January 2006.
Chairman, King & Spalding LLP
(law firm), 1970 - January
2006.
- ------------------------------------------------------------------------------------------------------------------------------------
* Trustee of the Trust until such time as his or her successor is duly
elected and appointed.
** Mr. Bullock is a Trustee who may be deemed to be an "interested person" of
the Trust, as that term is defined in the 1940 Act, because he is an
Officer and Director of the Advisor.
*** Mr. Driver commenced service as a Trustee in May 2005. Effective January
20, 2006, he resigned as a Trustee. Effective January 23, 2006, the Board
appointed Mr. Driver an Advisory Trustee of the Trust, with no voting
rights.
153
<page>
ACTIVITIES AND COMPOSITION OF THE BOARD OF TRUSTEES AND OFFICERS OF THE TRUST --
As of July 31, 2006 (concluded) (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- ------------------------------------------------------------------------------------------------------------------------------------
Positions(s) Term of Office* and
Held with Length of Principal Occupation(s)
Name and Age the Trust Time Served During Past 5 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Mark E. Black Treasurer, Since 2005 Chief Financial Officer, Chief Administrative Officer,
(Age: 46) Chief Financial Executive Vice President, and Treasurer, Old Mutual
Officer and Capital, Inc., since July 2004. Chief Financial Officer
Controller and Chief Administrative Officer, Old Mutual Investment
Partners, since 2004. Senior Vice President and Chief
Financial Officer, Transamerica Capital, Inc.,
April 2000- June 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Andra C. Ozols Vice President Since 2005 Executive Vice President, Secretary, and General Counsel,
(Age: 45) and Secretary Old Mutual Capital, Inc., since July 2005. Executive Vice
President (2004 - May 2005), General Counsel and Secretary
(2002 - May 2005 and January 1998 - October 1998), and
Vice President (2002 - 2004), ICON Advisers, Inc. Director
of ICON Management & Research Corporation (2003 - May 2005).
Executive Vice President (2004 - May 2005), General Counsel
and Secretary (2002 - May 2005), and Vice President (2002 -
2004), ICON Distributors, Inc.; Executive Vice President
and Secretary, ICON Insurance Agency, Inc. (2004 - May
2005). Vice President (1999 - 2002) and Assistant General
Counsel (1998 - 2002), Founders Asset Management LLC.
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth R. Naes Assistant Treasurer Since 2005 Vice President (since July 2005) and Director of Fund
(Age: 40) Services (since 2004), Old Mutual Fund Services. Senior
Vice President - Product Development, Transamerica Capital,
Inc., 2000 - 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
James Lummanick Vice President Since 2005 Senior Vice President and Chief Compliance Officer, Old
(Age: 58) and Chief Mutual Capital, Inc., Old Mutual Investment Partners,
Compliance Officer Old Mutual Fund Services, Inc., and Old Mutual
Shareholder Services, Inc., since 2005. Chief Compliance
Officer, Old Mutual Advisor Funds II and Old Mutual
Insurance Series Fund, since 2005. Senior Vice President
and Director of Compliance, Calamos Advisors LLC,
2004 - 2005. Vice President and Chief Compliance Officer,
Invesco Funds Group, Inc. 1996 - 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Karen S. Proc Assistant Secretary Since 2005 Associate General Counsel, Old Mutual Capital, Inc.,
(Age: 36) since October 2005. Associate General Counsel,
Founders Asset Management LLC, 2002 - 2005. Associate
Attorney, Myer, Swanson, Adams & Wolf, P.C., 1998 - 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
* Officer of the Trust until such time as his or her successor is duly elected
and qualified.
154
<page>
CONSIDERATIONS OF THE BOARD IN APPROVING INVESTMENT ADVISORY AND SUB-ADVISORY
AGREEMENTS (Unaudited)
Summary of Advisory and Sub-Advisory Agreements Approved by the Board
Old Mutual Asset Allocation Conservative Portfolio; Old Mutual Asset Allocation
Balanced Portfolio; Old Mutual Asset Allocation Moderate Growth Portfolio; and
Old Mutual Asset Allocation Growth Portfolio (the "Asset Allocation
Portfolios").
THOMSON HORSTMANN & BRYANT, INC. AND COPPER ROCK CAPITAL PARTNERS, LLC. On
November 16, 2005, the Board of Trustees (the "Board" or the "Trustees") of Old
Mutual Advisor Funds (the "Trust") approved an investment sub-advisory agreement
(the "THB Sub-Advisory Agreement"), among Old Mutual Capital, Inc. ("OMCAP" or
the "Advisor"), the Trust, and Thomson Horstmann & Bryant, Inc. ("THB"), and an
investment sub-advisory agreement (the "Copper Rock Asset Allocation
Sub-Advisory Agreement"), among OMCAP, the Trust, and Copper Rock Capital
Partners, LLC ("Copper Rock") for the provision of sub-advisory services by THB
and Copper Rock with respect to each of the Asset Allocation Portfolios. The
Board recommended that the THB Sub-Advisory Agreement and the Copper Rock Asset
Allocation Sub-Advisory Agreement be submitted to shareholders for approval, and
each was approved by shareholders and became effective as of July 14, 2006.
IBBOTSON ASSOCIATES ADVISORS, LLC. On February 28, 2006, the Board approved an
investment sub-advisory agreement among OMCAP, the Trust, and Ibbotson
Associates Advisors, LLC ("Ibbotson") for the provision by Ibbotson of
sub-advisory services as a strategic asset allocation consultant to OMCAP with
respect to each of the Asset Allocation Portfolios (the "Ibbotson Sub-Advisory
Agreement"). The Ibbotson Sub-Advisory Agreement replaced an existing
sub-advisory agreement with Ibbotson, dated August 2, 2004 (the "Initial
Ibbotson Sub-Advisory Agreement"), which terminated automatically pursuant to
Section 15(a) of the Investment Company Act of 1940, as amended (the "Act") as a
result of the purchase of Ibbotson by Morningstar, Inc. on March 1, 2006. The
Board recommended that the Ibbotson Sub-Advisory Agreement be submitted to
shareholders for approval. The Ibbotson Sub-Advisory Agreement was approved by
shareholders and became effective as of July 14, 2006.
In order to avoid disruption of the Asset Allocation Portfolios' investment
management program pending shareholder approval of the Ibbotson Sub-Advisory
Agreement, on February 28, 2006 the Board also approved an interim investment
sub-advisory agreement among OMCAP, the Trust, and Ibbotson (the "Interim
Ibbotson Sub-Advisory Agreement") for the provision by Ibbotson of sub-advisory
services as a strategic asset allocation consultant to OMCAP with respect to the
Asset Allocation Portfolios, in substantially the same form as the Initial
Ibbotson Sub-Advisory Agreement. The Interim Ibbotson Sub-Advisory Agreement
terminated on July 14, 2006, upon receipt of shareholder approval of the new
Ibbotson Sub-Advisory Agreement.
OLD MUTUAL CAPITAL, INC.; ACADIAN ASSET MANAGEMENT, INC.; ANALYTIC INVESTORS,
INC.; BARROW HANLEY MEWHINNEY & STRAUSS, INC.; CLAY FINLAY INC.; DWIGHT ASSET
MANAGEMENT COMPANY; HEITMAN REAL ESTATE SECURITIES LLC; LIBERTY RIDGE CAPITAL,
INC.; PROVIDENT INVESTMENT COUNSEL; ROGGE GLOBAL PARTNERS PLC; AND THOMPSON,
SEIGEL & WALMSLEY, INC. On June 29, 2006, the Board approved the renewal of the
investment advisory agreement (the "Asset Allocation Advisory Agreement")
between OMCAP and the Trust, on behalf of the Asset Allocation Portfolios, as
well as the renewal of the investment sub-advisory agreements among the Trust,
the Advisor, and the following Asset Allocation Portfolio sub-advisors
(collectively, the "Asset Allocation Sub-Advisory Agreements"): Acadian Asset
Management, Inc.; Analytic; Barrow Hanley Mewhinney & Strauss, Inc.; Clay Finlay
Inc.; Dwight Asset Management Company; Heitman Real Estate Securities LLC;
Liberty Ridge Capital, Inc.; Provident Investment Counsel; Rogge Global Partners
PLC; and Thompson, Siegel & Walmsley, Inc. (collectively, the "Asset Allocation
Portfolio Sub-Advisors").
Old Mutual Copper Rock Emerging Growth Fund (the "Emerging Growth Fund").
COPPER ROCK CAPITAL PARTNERS, LLC. On February 7, 2006, the Board approved an
investment sub-advisory agreement (the "Copper Rock Emerging Growth Sub-Advisory
Agreement") among OMCAP, the Trust, and Copper Rock for the provision of
sub-advisory services by Copper Rock with respect to the Emerging Growth Fund.
The Copper Rock Emerging Growth Sub-Advisory Agreement replaced an existing
sub-advisory agreement with Copper Rock, dated June 14, 2005 (the "Initial
Copper Rock Emerging Growth Sub-Advisory Agreement"), for the provision of
sub-advisory services to the Emerging Growth Fund, which terminated
automatically pursuant to Section 15(a) of the Investment Company Act of 1940,
as amended (the "Act"), as a result of the acquisition by Old Mutual (US)
Holdings Inc. ("OMUSH") of a majority ownership interest in Copper Rock on
February 9, 2006 (the "OMUSH Acquisition"). The Board recommended that the
Copper Rock Emerging Growth Sub-Advisory Agreement be submitted to shareholders
for approval, and it was approved by shareholders and became effective as of
June 16, 2006.
In order to avoid disruption of the investment management program of the
Emerging Growth Fund pending shareholder approval of the Copper Rock Emerging
Growth Sub-Advisory Agreement, on February 7, 2006 the Board also approved an
interim investment sub-advisory agreement among OMCAP, the Trust, and Copper
Rock (the "Interim Copper Rock Emerging Growth Sub-Advisory Agreement") for the
provision by Copper Rock of sub-advisory services with respect to the Emerging
Growth Fund, in substantially the same form as the Initial Copper Rock Emerging
Growth Sub-Advisory Agreement. The Interim Copper Rock Emerging Growth
Sub-Advisory Agreement terminated on June 16, 2006, upon receipt of shareholder
approval of the Copper Rock Emerging Growth Sub-Advisory Agreement.
Old Mutual Analytic Global Defensive Equity Fund (the "Analytic Global Fund").
ANALYTIC INVESTORS, INC. On February 28, 2006, the Board approved an investment
advisory agreement (the "Analytic Advisory Agreement") between OMCAP and the
Trust for the provision by OMCAP of advisory services with respect to the
Analytic Global Fund, and an investment sub-advisory agreement (the "Analytic
Global Sub-Advisory Agreement") among OMCAP, the Trust, and Analytic Investors,
Inc. ("Analytic") for the provision by Analytic of sub-advisory services with
respect to the Analytic Global Fund.
155
<page>
CONSIDERATIONS OF THE BOARD IN APPROVING INVESTMENT ADVISORY AND SUB-ADVISORY
AGREEMENTS -- continued (Unaudited)
Old Mutual VA Asset Allocation Conservative Portfolio; Old Mutual VA Asset
Allocation Balanced Portfolio; Old Mutual VA Asset Allocation Moderate Growth
Portfolio; Old Mutual VA Asset Allocation Growth Portfolio; Old Mutual Analytic
VA Defensive Equity Portfolio; and Old Mutual Analytic VA Global Defensive
Equity Portfolio (the "Insurance Portfolios")
On June 29, 2006, the Board approved the addition of the following six
portfolios as new series of the Trust, the shares of all of which are intended
to be offered for purchase through variable insurance products: Old Mutual VA
Asset Allocation Conservative Portfolio; Old Mutual VA Asset Allocation Balanced
Portfolio; Old Mutual VA Asset Allocation Moderate Growth Portfolio; Old Mutual
VA Asset Allocation Growth Portfolio; Old Mutual Analytic VA Defensive Equity
Portfolio; and Old Mutual Analytic VA Global Defensive Equity Portfolio. The
Board also approved, with respect to the Insurance Portfolios, an investment
advisory agreement between the Trust and OMCAP, and investment sub-advisory
agreements among the Trust, OMCAP and each of the following sub-advisors:
Acadian Asset Management, Inc.; Analytic; Barrow Hanley Mewhinney & Strauss,
Inc.; Clay Finlay Inc.; Copper Rock; Dwight Asset Management Company; Heitman
Real Estate Securities LLC; Liberty Ridge Capital, Inc.; Provident Investment
Counsel; Rogge Global Partners PLC; Thompson, Siegel & Walmsley, Inc.; and THB
(the Insurance Portfolios' investment advisory agreement and investment
sub-advisory agreements are referred to, collectively, as the "Insurance
Portfolio Agreements"). The discussion related to the Board's consideration of
the Insurance Portfolio Agreements will appear in a separate semi-annual report
relating specifically to the Insurance Portfolios.
The following discussion outlines the background of these proposals and the
Board's considerations.
Description of Advisor
Old Mutual Capital, Inc.
OMCAP was formed and registered as an investment advisor with the Securities and
Exchange Commission ("SEC") in May 2004. OMCAP is a wholly-owned subsidiary of
OMUSH, which in turn is a wholly-owned subsidiary of Old Mutual, plc, a United
Kingdom-based financial services company ("Old Mutual"). As of May 31, 2006,
OMCAP managed approximately $4.18 billion in mutual fund assets. OMCAP has
served as investment advisor to the Trust since its inception and is an
affiliate of the Sub-Advisors through common ownership by OMUSH. As Advisor to
the Asset Allocation Portfolios, OMCAP works with sub-advisor Ibbotson, who
serves as a strategic asset allocation consultant in determining each Asset
Allocation Portfolio's asset allocations. OMCAP oversees the investments of each
Sub-Advisor and conducts ongoing performance reviews.
Description of the Sub-Advisors
Strategic Asset Allocation Consultant
IBBOTSON ASSOCIATES ADVISORS, LLC, a Delaware limited liability company located
at 225 North Michigan Avenue, Chicago, IL 60601, serves as the strategic asset
allocation consultant and Sub-Advisor to the Advisor for investment model
creation and maintenance of each Asset Allocation Portfolio, consistent with the
second step in each Asset Allocation Portfolio's investment process. Ibbotson
also monitors and makes recommendations to the Advisor regarding possible
changes to the Sub-Advisors and their investment strategies. Ibbotson is a
wholly-owned subsidiary of Morningstar, Inc.
Asset Allocation Portfolio Sub-Advisors
Each of the Sub-Advisors to the Asset Allocation Portfolios identified below may
provide investment sub-advisory services to some or all of the Asset Allocation
Portfolios, depending on the allocation of assets to each such Sub-Advisor.
Descriptions of the Sub-Advisors and their respective investment mandates are as
follows:
ACADIAN ASSET MANAGEMENT, INC. ("Acadian"), a Massachusetts corporation located
at One Post Office Square, 20th Floor, Boston, Massachusetts 02109, has provided
investment management services since 1977. As of June 30, 2006, Acadian had
approximately $44.4 billion under management. Acadian is a wholly-owned
subsidiary of OMUSH. Acadian may invest a portion of an Asset Allocation
Portfolio's assets allocated to equity investments in the International Large
Cap Equity category.
ANALYTIC INVESTORS, INC., a California corporation located at 500 South Grand
Avenue, 23rd Floor, Los Angeles, California 90071, has provided investment
management services since 1970. As of June 30, 2006, Analytic had approximately
$12.4 billion under management. Its investment philosophy is founded on the
premise that the systematic application of quantitative techniques has the
potential to deliver consistent risk-adjusted performance, regardless of market
cycle. Analytic is a wholly-owned subsidiary of OMUSH. Analytic may invest a
portion of an Asset Allocation Portfolio's assets allocated to equity
investments in the U.S. Large Cap Blend category.
BARROW, HANLEY, MEWHINNEY & STRAUSS, INC. ("Barrow Hanley"), a Nevada
corporation located at 2200 Ross Avenue, 31st Floor, Dallas, Texas 75201, has
provided investment management services to institutional investors and mutual
funds since 1979. As of June 30, 2006, Barrow Hanley had approximately $57.8
billion under management. Barrow Hanley is one of the largest value-oriented
investment managers of institutional assets in the United States. Barrow Hanley
is a wholly-owned subsidiary of OMUSH. Barrow Hanley may invest a portion of an
156
Asset Allocation Portfolio's assets allocated to equity investments in one or
more of the following categories: U.S. Large Cap Value, U.S. Mid Cap Value, or
U.S. Small Cap Value. Barrow Hanley may also invest a portion of an Asset
Allocation Portfolio's assets allocated to fixed income investments in one or
more of the following categories: U.S. Intermediate-Term Fixed Income or U.S.
Core Fixed Income.
CLAY FINLAY INC. ("CLAY FINLAY"), a New York corporation located at 200 Park
Avenue, 56th Floor, New York, New York 10166, is a global equity management firm
founded in 1982 and headquartered in New York, with offices in London and Tokyo.
As of June 30, 2006, Clay Finlay had approximately $7.0 billion under
management. Clay Finlay manages a full range of multi-regional (global,
international and global ex-country of origin) and regional (Europe, Continental
Europe, Japan, Pacific Basin ex Japan, United States and Global Emerging
Markets) equity mandates on behalf of major corporations, financial
institutions, and governments sourced globally. Clay Finlay is a wholly-owned
subsidiary of OMUSH. Clay Finlay may invest a portion of an Asset Allocation
Portfolio's assets allocated to equity investments in one or more of the
following categories: International Large Cap Equity or Emerging Markets Equity.
COPPER ROCK CAPITAL PARTNERS, LLC ("Copper Rock"), a Delaware limited liability
company located at 200 Clarendon Street, 53rd Floor, Boston, Massachusetts
02116, has provided investment management services since 2005. As of June 30,
2006, Copper Rock held discretionary management authority with respect to
approximately $812 million in assets under management. OMUSH owns 60% of the
limited liability company interests of Copper Rock. Copper Rock may invest a
portion of an Asset Allocation Portfolio's assets allocated to equity
investments in the U.S. Small-Cap Growth category.
DWIGHT ASSET MANAGEMENT COMPANY ("Dwight"), a Delaware corporation located at
100 Bank Street, Suite 800, Burlington, Vermont, 05401, has provided investment
management services since 1975. As of June 30, 2006, Dwight had approximately
$56.1 billion under management. Dwight is a registered investment advisor
specializing in fixed income and stable value investment strategies. Dwight
offers a range of commingled funds and separate account investment management
services for Stable Value, Fixed Income, and Insurance clients. Dwight is a
wholly-owned subsidiary of OMUSH. Dwight may invest a portion of an Asset
Allocation Portfolio's assets allocated to fixed income investments in one or
more of the following categories: Cash Management, U.S. Intermediate Fixed
Income, U.S. Core Fixed Income, or U.S. High Yield Fixed Income.
HEITMAN REAL ESTATE SECURITIES LLC ("Heitman"), a Delaware limited liability
company located at 191 North Wacker Drive, Suite 2500, Chicago, Illinois 60606,
has provided investment management services to its clients since 1987. As of
June 30, 2006, Heitman had approximately $11.1 billion under management. Heitman
is a registered investment advisor specializing in publicly traded U.S. real
estate investment trust (REIT) securities. Heitman Real Estate Securities LLC is
a wholly-owned subsidiary of Heitman LLC, a Delaware limited liability company
owned 50% by senior executives within the Heitman organization and 50% by Old
Mutual (HFL) Inc., a wholly-owned subsidiary of OMUSH. Heitman may invest a
portion of an Asset Allocation Portfolio's assets allocated to equity
investments in the REITs category.
LIBERTY RIDGE CAPITAL, INC. ("Liberty Ridge Capital"), a Delaware corporation
located at 1205 West Lakes Drive, Berwyn, Pennsylvania 19312, has provided
investment management services since 1982. As of June 30, 2006, Liberty Ridge
Capital had approximately $676 million under management. Liberty Ridge Capital's
growth investment technique uses a quantitative and fundamental investment
process that is focused on business momentum, as demonstrated by earnings or
revenue and sales growth. Liberty Ridge Capital is a wholly-owned subsidiary of
OMUSH. Liberty Ridge Capital may invest a portion of an Asset Allocation
Portfolio's assets allocated to equity investments in one or more of the
following categories: U.S. All Cap Blend, U.S. Large Cap Blend, U.S. Small Cap
Blend, or U.S. Mid Cap Equity.
PROVIDENT INVESTMENT COUNSEL, INC. ("PIC"), a Massachusetts corporation located
at 300 North Lake Avenue, Penthouse Suite, Pasadena, California, 91101, has
provided investment management services since 1951. As of June 30, 2006, PIC had
approximately $3.5 billion under management. Growth Equity investing is the
cornerstone of PIC's investment philosophy, which emphasizes fundamental
research and a team approach to portfolio management. PIC is a wholly-owned
subsidiary of OMUSH. PIC may invest a portion of an Asset Allocation Portfolio's
assets allocated to equity investments in one or more of the following
categories: U.S. Large Cap Growth or U.S. Mid Cap Growth.
ROGGE GLOBAL PARTNERS PLC ("Rogge"), a United Kingdom corporation located at
Sion Hall, 56 Victoria Embankment, London, England, United Kingdom EC4Y ODZ, has
provided investment management services since 1984. As of June 30, 2006, Rogge
had approximately $7.3 billion under management. Rogge is a majority owned
subsidiary of OMUSH. Rogge may invest a portion of an Asset Allocation
Portfolio's assets allocated to fixed income investments in the International
Bond category.
THOMPSON, SIEGEL & WALMSLEY, INC. ("TS&W"), a Virginia corporation located at
6806 Paragon Place, Suite 300, Richmond, VA, 23230, has provided investment
management services since 1969, serving institutional investors, middle market
investors, and individuals in managing equity, fixed income, international, and
small cap equity investments. As of June 30, 2006, TS&W had approximately $7.3
billion under management. TS&W is a wholly-owned subsidiary of OMUSH. TS&W may
invest a portion of an Asset Allocation Portfolio's assets allocated to equity
investments in one or more of the following categories: U.S. Large Cap Value,
U.S. Small Cap Value, U.S. Small-Mid Cap Value, U.S. Mid Cap Value, or U.S. All
Cap Value.
THOMSON HORSTMANN & BRYANT, INC. ("THB"), a Delaware corporation located at Park
80 West/Plaza One, 5th Floor, Saddle Brook, New Jersey 07663, has provided
investment management services since 1982. As of June 30, 2006, THB had
approximately $2.3 billion under management. THB is a wholly-owned subsidiary of
OMUSH. THB may invest a portion of an Asset Allocation Portfolio's assets
allocated to equity investments in one or more of the following categories: U.S.
Small Cap Value or Mid Cap Value.
157
CONSIDERATIONS OF THE BOARD IN APPROVING INVESTMENT ADVISORY AND SUB-ADVISORY
AGREEMENTS -- continued (Unaudited)
Old Mutual Copper Rock Emerging Growth Fund Sub-Advisor
The Emerging Growth Fund is sub-advised by Copper Rock, whose description is set
forth, above, under "Asset Allocation Portfolio Sub-Advisors."
Old Mutual Analytic Global Defensive Equity Fund Sub-Advisor
The Analytic Global Fund is sub-advised by Analytic, whose description is set
forth, above, under "Asset Allocation Portfolio Sub-Advisors."
Considerations of the Board in Approving the Interim Advisory Agreements
Interim Copper Rock Emerging Growth Sub-Advisory Agreement
The Board, including a majority of the independent Trustees, voting at an
in-person meeting held on February 7, 2006, approved the Interim Copper Rock
Emerging Growth Sub-Advisory Agreement, pending shareholder approval of the new
Copper Rock Emerging Growth Sub-Advisory Agreement. In determining whether to
approve the Interim Copper Rock Emerging Growth Sub-Advisory Agreement, the
Board considered the following factors:
o The approval of the Interim Copper Rock Emerging Growth Sub-Advisory
Agreement was to occur prior to the assignment, and subsequent automatic
termination under Section 15(a) of the Act, of the Initial Copper Rock
Emerging Growth Sub-Advisory Agreement as a result of the OMUSH
Acquisition on February 9, 2006;
o The scope and quality of services to be provided to the Emerging Growth
Fund under the Interim Copper Rock Emerging Growth Sub-Advisory Agreement
were equivalent to the scope and quality of services provided under the
Initial Copper Rock Emerging Growth Sub-Advisory Agreement;
o The compensation under the Interim Copper Rock Emerging Growth
Sub-Advisory Agreement was the same as the compensation under the Initial
Copper Rock Emerging Growth Sub-Advisory Agreement;
o The Interim Copper Rock Emerging Growth Sub-Advisory Agreement could be
terminated by the Trust upon 10 calendar days' written notice to the
Advisor and Copper Rock;
o The Interim Copper Rock Emerging Growth Sub-Advisory Agreement contained
the same material terms and conditions as the Initial Copper Rock
Emerging Growth Sub-Advisory Agreement;
o The Interim Copper Rock Emerging Growth Sub-Advisory Agreement contained
provisions to escrow the investment sub-advisory fee until shareholders
approved the new Copper Rock Emerging Growth Sub-Advisory Agreement; and
o The duration of the Interim Copper Rock Emerging Growth Sub-Advisory
Agreement was to be either the earlier of 150 days from the assignment of
the Initial Copper Rock Emerging Growth Sub-Advisory Agreement or the
date on which the shareholders approved the new Copper Rock Emerging
Growth Sub-Advisory Agreement; and
o In approving the Initial Copper Rock Emerging Growth Sub-Advisory
Agreement, the Board had considered a number of factors, including the
following: (1) the nature, extent and quality of the services to be
provided by Copper Rock; (2) the investment performance of the Emerging
Growth Fund and Copper Rock; (3) the costs of the services to be provided
and profits to be realized by OMCAP and Copper Rock and their affiliates
from the relationship with the Emerging Growth Fund; (4) the extent to
which economies of scale would be realized as the Emerging Growth Fund
grows; and (5) whether fee levels reflected those economies of scale for
the benefit of Emerging Growth Fund investors.
Interim Ibbotson Sub-Advisory Agreement
The Board, including a majority of the independent trustees, voting in-person at
a meeting held on February 28, 2006, approved the Interim Ibbotson Sub-Advisory
Agreement, pending shareholder approval of the new Ibbotson Sub-Advisory
Agreement. In determining whether to approve the Interim Ibbotson Sub-Advisory
Agreement, the Board considered the following factors:
o The approval of the Interim Ibbotson Sub-Advisory Agreement was to occur
prior to the assignment, and subsequent automatic termination under
Section 15(a) of the Act, of the Initial Ibbotson Sub-Advisory Agreement
as a result of the acquisition of Ibbotson by Morningstar, Inc.;
o The scope and quality of services to be provided to the Asset Allocation
Portfolios under the Interim Ibbotson Sub-Advisory Agreement were
equivalent to the scope and quality of services provided under the
Initial Ibbotson Sub-Advisory Agreement;
o The compensation under the Interim Ibbotson Sub-Advisory Agreement was
the same as the compensation under the Initial Ibbotson Sub-Advisory
Agreement;
o The Interim Ibbotson Sub-Advisory Agreement could be terminated by the
Trust upon 10 calendar days' written notice to the Advisor and Ibbotson;
158
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o The Interim Ibbotson Sub-Advisory Agreement contained the same material
terms and conditions as the Initial Ibbotson Sub-Advisory Agreement;
o The Interim Ibbotson Sub-Advisory Agreement contained provisions to
escrow the investment sub-advisory fee until shareholders approved the
new Ibbotson Sub-Advisory Agreement; and
o The duration of the Interim Ibbotson Sub-Advisory Agreement was to be
either the earlier of 150 days from the assignment of the Initial
Ibbotson Sub-Advisory Agreement or the date on which the shareholders
approved the new Ibbotson Sub-Advisory Agreement; and
o In approving the Initial Ibbotson Sub-Advisory Agreement, the Board had
considered a number of factors, including the following: (1) the nature,
extent and quality of the services to be provided by Ibbotson; (2) the
investment performance of the Asset Allocation Portfolios and Ibbotson;
(3) the costs of the services to be provided and profits to be realized
by OMCAP and Ibbotson and their affiliates from the relationship with the
Asset Allocation Portfolios; (4) the extent to which economies of scale
would be realized as the Asset Allocation Portfolios grow; and (5)
whether fee levels reflected those economies of scale for the benefit of
Asset Allocation Portfolio investors.
Considerations of the Board in Approving the Investment Advisory Agreements and
the Investment Sub-Advisory Agreements.
The Board approved the THB Sub-Advisory Agreement and the Copper Rock Asset
Allocation Sub-Advisory Agreement on November 16, 2005, pending shareholder
approval. The Board approved the Copper Rock Emerging Growth Sub-Advisory
Agreement on February 7, 2006, pending shareholder approval. The Board approved
the Ibbotson Sub-Advisory Agreement on February 28, 2006, pending shareholder
approval. The Board approved the Analytic Global Advisory Agreement and the
Analytic Global Sub-Advisory Agreement on February 28, 2006. The Board approved
the renewal of the Asset Allocation Advisory Agreement and the renewal of the
Asset Allocation Sub-Advisory Agreements for each Asset Allocation Portfolio on
June 29, 2006. The Analytic Global Advisory Agreement, Asset Allocation Advisory
Agreement, THB Sub-Advisory Agreement, Copper Rock Asset Allocation Sub-Advisory
Agreement, Copper Rock Emerging Growth Sub-Advisory Agreement, Ibbotson
Sub-Advisory Agreement, Analytic Global Sub-Advisory Agreement, and Asset
Allocation Sub-Advisory Agreements are collectively referred to, below, as the
"Agreements." The Asset Allocation Portfolios, Analytic Global Fund, and
Emerging Growth Fund are referred to herein, collectively, as the "Portfolios."
In determining whether it was appropriate to approve the Agreements, the Board
requested information, provided by the Advisor and each Sub-Advisor, which it
believed to be reasonably necessary to reach its conclusion. The Board carefully
evaluated this information and was advised by independent legal counsel with
respect to its deliberations. The Board received reports either prepared by
Lipper, Inc. ("Lipper"), a mutual fund statistical service, detailing
comparative mutual fund advisory fees, expenses levels, and performance
rankings, where applicable, or prepared by the Advisor in consultation with
Lipper, (the "Lipper Reports"). In considering the fairness and reasonableness
of the Agreements, the Board reviewed numerous factors, with respect to each
applicable Portfolio separately, including the following:
o the nature of the services to be provided under the Agreements;
o the requirements of each Portfolio for the services provided by the
Advisor, where applicable, and the Sub-Advisors;
o the quality of the services provided, including, in connection with the
consideration of the renewal of the Asset Allocation Advisory and
Sub-Advisory Agreements at the June 2006 Board meeting, information
contained in a Lipper Report comparing the performance results of each
Asset Allocation Portfolio with those of similar types of funds, as well
as with those of appropriate market indexes, which indicated that each
Asset Allocation Portfolio's performance was above the median of its peer
group for the one-year period ended March 31, 2006;
o the fees payable for the services, noting in particular, with respect to
the Asset Allocation Portfolios, the pricing for a fund of managers
structure compared to a fund of funds structure;
o advisory fee levels compared to other similar investment accounts managed
by the Advisor and Sub-Advisors;
o the total expenses of each Portfolio, including, in connection with the
consideration of the renewal of the Asset Allocation Advisory and
Sub-Advisory Agreements at the June 2006 Board meeting, a proposed
reduction in administrative services fees paid to the Advisor's
affiliate, Old Mutual Fund Services ("OMFS"), as administrator, which
would result in a reduction of each Portfolio's total expenses;
o the commitment of the Advisor to cap certain Portfolio expenses through
the contractual deferral of advisory fees and/or reimbursement of
expenses, and the fact that the Advisor may seek payment of such deferred
fees or reimbursement of such absorbed expenses within two fiscal years
(three fiscal years for the Analytic Global Fund) after the fiscal year
in which fees were deferred or expenses were absorbed, subject to the
original contractual expense limitation in effect at the time;
o the profitability of the Advisor and Sub-Advisors with respect to their
relationship with each of the Portfolios;
o soft-dollar and other service benefits received by the Advisor, including
sources of revenue to affiliates of the Advisor from each Portfolio
through administration fees and website services fees;
159
CONSIDERATIONS OF THE BOARD IN APPROVING INVESTMENT ADVISORY AND SUB-ADVISORY
AGREEMENTS -- concluded (Unaudited)
o portfolio management statistics such as portfolio turnover and brokerage
commission expenses;
o the Advisor's role as investment advisor to the Trust, which may add to
its prestige and visibility in the investment community and make it more
attractive to potential clients;
o the economies of scale available to the Advisor and Sub-Advisors and the
resulting economies of scale passed on to shareholders;
o the capabilities of the Advisor and Sub-Advisors, including personnel
resources;
o the financial condition of the Advisor and the Sub-Advisors, including
financial statements and profitability analyses provided by each;
o fees charged by the Advisor to funds, other than those of the Trust,
which are managed by the Advisor;
o current economic and industry trends; and
o the overall balance of shareholder benefits versus Advisor and
Sub-Advisor benefits.
Current management fees and effective management fees after expense limitations
were reviewed in the context of the Advisor's costs of providing services and
its profitability. In addition, the Board reviewed the Lipper Reports, comparing
a Portfolio's expense ratio, advisory fee, and where applicable, performance
with comparable mutual funds. The Trustees noted that the Funds were relatively
new and that the Advisor had not yet realized a profit in each case. Similarly,
the Trustees reviewed the costs of each sub-Advisor in providing the services
and the profitability to each sub-Advisor with respect to each Fund.
In connection with the approval of the Analytic Global Advisory and Sub-Advisory
Agreements, the Board considered the fact that the total expenses of 1.95% of
the Analytic Global Fund's Class A shares at net asset value (after waiver or
reimbursement) were lower than 14 funds in the peer group and higher than 11
funds in the peer group. The Board considered that, since the Analytic Global
Fund had no assets to invest (other than seed capital that the Advisor would
supply), the Trustees did not need to address the Fund's performance at that
time.
In connection with the approval of the Copper Rock Emerging Growth Sub-Advisory
Agreement, the Board considered the fact that there would be no change in the
sub-advisory fee or portfolio management under the new Agreement.
In connection with the renewal of the Asset Allocation Advisory and Sub-Advisory
Agreements, the Board considered the fact that the total expenses of 1.247% of
the Old Mutual Asset Allocation Conservative Portfolio at net asset value (after
waiver or reimbursement) were lower than 6 funds in the peer group but higher
than 10 funds in the peer group. The Board considered the fact that, although
the total expenses for this Portfolio were above the median, the Lipper Report
noted that 11 of the 17 funds in the peer group were larger in assets than the
Portfolio. The Board considered the fact that the total return performance for
the Conservative Portfolio of 6.35% for the one-year period ended March 31, 2006
was better than 9 funds in the peer group but below 6 funds in the peer group.
The Board considered the fact that the total expenses of 1.297% of the Old
Mutual Asset Allocation Balanced Portfolio at net asset value (after waiver or
reimbursement) were lower than 6 funds in the peer group and higher than 2 funds
in the peer group. The Board considered the fact that the total return
performance for the Balanced Portfolio of 11.88% for the one-year period ended
March 31, 2006 was better than 6 funds in the peer group but below 1 fund in the
peer group.
The Board considered the fact that the total expenses of 1.296% of the Old
Mutual Asset Allocation Moderate Growth Portfolio at net asset value (after
waiver or reimbursement) were lower than 5 funds in the peer group but higher
than 1 fund in the peer group. The Board considered the fact that the total
return performance for the Moderate Growth Portfolio of 15.65% for the one-year
period ended March 31, 2006 was better than the other 6 funds in the peer group.
The Board considered the fact that the total expenses of 1.343% of the Old
Mutual Asset Allocation Growth Portfolio at net asset value (after waiver or
reimbursement) were lower than 9 funds in the peer group but higher than 5 funds
in the peer group. The Board considered the fact that the total return
performance for the Growth Portfolio of 20.52% for the one-year period ended
March 31, 2006 was better than the other 12 funds in the peer group.
The Board relied upon the Advisor's representation, based upon the advice of
Lipper, that each peer group discussed above was a fair, reasonable, and
balanced presentation of a comparable peer group for each Portfolio.
The Board reviewed additional information provided by the Advisor and the
Sub-Advisors. Following extended discussions concerning this information, the
Board determined that the Agreements were consistent with the best interests of
each Portfolio, as applicable, and shareholders. The Board, including all of the
Trustees who are not "interested persons" of the Trust, voting separately at
meetings held in-person, unanimously approved the Agreements on the basis of the
foregoing review and discussions. The Board concluded, among other things:
o that the level of fees to be charged to the Portfolios is comparable to
the fees charged by the Advisor to the other similar funds it manages, as
well as to fees charged by other investment advisors and investment
sub-advisors to other funds with similar investment or allocation
strategies, and is therefore reasonable, considering the services
provided by the Advisor and the Sub-Advisors;
o that each Asset Allocation Portfolio's performance was competitive with
that of its performance peer group;
160
o that each Sub-Advisor is under common control with the Advisor, which
allows for greater coordination and monitoring of the nature and quality
of sub-advisory services;
o that, with respect to the Asset Allocation Portfolios, the unique and
active asset allocation management structure supports the level of fees
being charged;
o that the Advisor's willingness to voluntarily defer its fees and
reimburse expenses to reduce Portfolio expenses indicates a high level of
commitment on the part of the Advisor;
o that the profitability of each Fund to the Advisor and each sub-Advisor,
when positive, was reasonable in light of all the circumstances;
o that the Asset Allocation Advisory Agreement and the Analytic Global
Advisory Agreement contain breakpoints, which will allow shareholders to
realize economies of scale as the Portfolios' assets increase;
o that the inception of the Emerging Growth Fund was relatively recent,
and that it would be premature to consider economies of scale as a
factor in approving the Agreement at the present time;
o that the Advisor and Sub-Advisors are experienced and possess significant
experience in managing particular asset classes;
o that the Advisor and the Sub-Advisors have demonstrated their commitment
to provide sufficient staffing resources and capabilities to manage the
Portfolios, including the retention of personnel with relevant investment
management experience; and
o that the Advisor and Sub-Advisors appear to have overall high quality in
terms of their personnel, operations, financial condition, investment
management capabilities, methodologies and performance.
161
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SHAREHOLDER PROXY RESULTS (Unaudited)
A special meeting of shareholders of Old Mutual Asset Allocation Conservative
Portfolio, Old Mutual Asset Allocation Balanced Portfolio, Old Mutual Asset
Allocation Moderate Growth Portfolio, and Old Mutual Asset Allocation Growth
Portfolio was held on July 14, 2006 to consider approving new investment
sub-advisory agreements for these funds.
The voting results were as follows:
Proposal 1.A. To approve an investment sub-advisory agreement with Copper Rock
Capital Partners, LLC
# Votes # Votes Against # of # of Broker
for Proposal Proposal Abstentions Non-Votes
- ---------------------------------------------------------------------------------------------------------------------------
Asset Allocation Conservative Portfolio 1,291,896 5,748 139,628 0
Asset Allocation Balanced Portfolio 4,004,916 48,602 319,831 0
Asset Allocation Moderate Growth Portfolio 4,347,090 85,325 442,682 0
Asset Allocation Growth Portfolio 2,617,936 19,106 137,698 0
- ---------------------------------------------------------------------------------------------------------------------------
Proposal 1.B. To approve an investment sub-advisory agreement with Ibbotson Associates Advisors, LLC
# Votes # Votes Against # of # of Broker
for Proposal Proposal Abstentions Non-Votes
- ---------------------------------------------------------------------------------------------------------------------------
Asset Allocation Conservative Portfolio 1,294,071 5,748 137,453 0
Asset Allocation Balanced Portfolio 4,001,987 48,602 322,760 0
Asset Allocation Moderate Growth Portfolio 4,348,151 94,248 432,698 0
Asset Allocation Growth Portfolio 2,629,269 18,120 82,680 0
- ---------------------------------------------------------------------------------------------------------------------------
Proposal 1.C. To approve an investment sub-advisory agreement with Thomson
Hortsmann & Bryant, Inc.
# Votes # Votes Against # of # of Broker
for Proposal Proposal Abstentions Non-Votes
- ---------------------------------------------------------------------------------------------------------------------------
Asset Allocation Conservative Portfolio 1,292,223 5,748 139,301 0
Asset Allocation Balanced Portfolio 4,002,335 48,602 322,412 0
Asset Allocation Moderate Growth Portfolio 4,354,114 87,483 433,499 0
Asset Allocation Growth Portfolio 2,617,976 17,896 138,868 0
- ---------------------------------------------------------------------------------------------------------------------------
A special meeting of shareholders of Old Mutual Copper Rock Emerging Growth Fund
was held on June 16, 2006 to consider approving a new investment sub-advisory
agreement for the fund.
The voting results were as follows:
Proposal: To approve an investment sub-advisory agreement with
Copper Rock Capital Partners, LLC
# Votes # Votes Against # of # of Broker
for Proposal Proposal Abstentions Non-Votes
- ---------------------------------------------------------------------------------------------------------------------------
Copper Rock Emerging Growth Fund 708,932 16,963 76,709 0
- ---------------------------------------------------------------------------------------------------------------------------
162
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<page>
OLD MUTUAL ADVISOR FUNDS
FOR MORE INFORMATION ABOUT THE OLD MUTUAL ADVISOR FUNDS, CONTACT US:
BY TELEPHONE
Shareholder Services 1-888-744-5050
Investment Professionals 1-888-772-2888
BY MAIL
Old Mutual Advisor Funds
P.O. Box 219398
Kansas City, MO 64121-7250
IN PERSON
Old Mutual Advisor Funds
4643 South Ulster Street, 6th Floor
Denver, CO 80237
ON THE INTERNET
www.oldmutualcapital.com
This annual report is intended for the information of Old Mutual Advisor Funds
shareholders, but may be used by prospective investors when preceded or
accompanied by a current prospectus. You may obtain a copy of the prospectus,
which contains important information about the objectives, risks, share classes,
charges and expenses of each Old Mutual Advisor Fund, by visiting
www.oldmutualcapital.com or by calling 1-888-744-5050. Please read the
prospectus carefully before investing.
Old Mutual Investment Partners, NASD Member Firm, distributor.
D-06-505 09/2006
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, Old Mutual Advisor
Funds (the "registrant") has adopted a code of ethics that applies to
the registrant's principal executive officer ("PEO") and principal
financial officer ("PFO").
(c) During the period covered by this report, no amendments have been made
to a provision of the registrant's code of ethics that applies to the
registrant's PEO or PFO, and that relates to any element of the "code
of ethics" definition enumerated in paragraph (b) of Item 2 of Form
N-CSR.
(d) During the period covered by this report, the registrant has not
granted a waiver, including an implicit waiver, from a provision of the
registrant's code of ethics to the registrant's PEO or PFO that relates
to one or more of the items set forth in paragraph (b) of Item 2 of
Form N-CSR.
(f)(1) A copy of the registrant's code of ethics is filed as an exhibit to
this report, pursuant to Item 12(a)(1) of Form N-CSR.
Item 3. Audit Committee Financial Expert.
(a)(1) The board of trustees of the registrant (the "board") has determined
that the registrant has an "audit committee financial expert" serving
on its audit committee, as that term is defined in paragraph (b) of
Item 3 of Form N-CSR.
(a)(2) The name of the audit committee financial expert is John R.
Bartholdson. Mr. Bartholdson is an "independent" member of the audit
committee as that term is defined in paragraph (a)(2) of Item 3 of Form
N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees - The aggregate fees billed to the registrant by its
principal accountant for professional services rendered for the audit
of the registrant's annual financial statements or services that are
normally provided by the accountant in connection with statutory and
regulatory filings or engagements for the fiscal years ending July 31,
2006 and 2005 were $365,000 and $86,000, respectively.
(b) Audit-Related Fees - The aggregate fees billed to the registrant by its
principal accountant for assurance and related services that are
reasonably related to the performance of the audit of the registrant's
financial statements and that are not reported under paragraph (a) of
this Item 4 for the fiscal years ending July 31, 2006 and 2005 were $0
and $0, respectively.
The aggregate fees billed for assurance and related services by the
registrant's principal accountant to the registrant's investment
adviser, and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the
registrant (collectively, the "Service Providers") that were reasonably
related to the performance of the audit of the registrant's financial
statements, which required pre-approval by the board's audit committee,
for the fiscal years ending July 31, 2006 and 2005 were $0 and $0,
respectively.
(c) Tax Fees - The aggregate fees billed to the registrant by its principal
accountant for professional services rendered by the accountant for tax
compliance, tax advice, and tax planning ("tax fees") for the fiscal
years ending July 31, 2006 and 2005 were $0 and $0, respectively.
The aggregate tax fees billed by the registrant's principal accountant
to the Service Providers, which required pre-approval by the board's
audit committee, for the fiscal years ending July 31, 2006 and 2005
were $0 and $0, respectively.
(d) All Other Fees - The aggregate fees billed to the registrant by its
principal accountant for products and services provided by the
accountant, other than the services reported in paragraphs (a), (b),
and (c) of this Item 4 ("all other fees"), for the fiscal years ending
July 31, 2006 and 2005 were $0 and $0, respectively.
The aggregate of all other fees billed by the registrant's principal
accountant to the Service Providers, which required pre-approval by the
board's audit committee, for the fiscal years ending July 31, 2006 and
2005 were $59,000 and $0, respectively. These fees were for the review
of the registration statement and semi-annual report of other
investment companies that utilize the same Service Providers as the
registrant.
(e)(1) The board's audit committee shall consider for preapproval all
permissible non-audit services that are proposed to be provided to the
registrant by its independent auditors and shall have preapproved any
such permissible non-audit services before they are provided to the
registrant. Such preapproval may be granted by one or more members of
the audit committee, so long as any such member's decision to
preapprove is presented to the full audit committee, solely for
information purposes, at its next scheduled meeting.
(e)(2) None of the services described in paragraphs (b) through (d) of this
Item 4 were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) For the fiscal years ending July 31, 2006 and 2005, the aggregate
non-audit fees billed by the registrant's principal accountant to the
registrant and the Service Providers were $59,000 and $0, respectively.
(h) The board's audit committee has considered whether the provision of
non-audit services by the registrant's principal accountant to the
Service Providers which were not pre-approved (not requiring
pre-approval) is compatible with maintaining the principal accountant's
independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
SCHEDULE I - INVESTMENTS IN SECURITIES OF UNAFFILIATED ISSUERS is
included as part of the reports to shareholders filed under Item 1 of
this report.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Company and
Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes have been made to the procedures by which
shareholders may recommend nominees to the board, where those changes were
implemented after the registrant last provided disclosure in response to the
requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item 10.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the Disclosure Controls and Procedures of the
registrant as of a date within 90 days of the filing date of this
report, except as discussed below, the registrant's PEO and PFO, or
persons performing similar functions, have concluded that the
Disclosure Controls and Procedures are effectively designed to ensure
that information required to be disclosed in this report is recorded,
processed, summarized, and reported within required time periods, and
accumulated and communicated to the registrant's management, including
the registrant's PEO and PFO, or persons performing similar functions,
as appropriate to allow timely decisions regarding required disclosure.
A material weakness in internal controls relating to the application of
daily fair value pricing by the registrant's sub-administrator for
certain international equity securities was identified. This weakness
has since been corrected.
(b) Except as discussed above, during the quarter ended July 31, 2006,
there has been no change in the registrant's internal control over
financial reporting that has materially affected, or that is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
Items 12. Exhibits.
(a)(1) Attached hereto as Exhibit EX-99.CODE ETH.
(a)(2) Attached hereto as Exhibit EX-99.CERT.
(a)(3) Not applicable.
(b) Attached hereto as Exhibit EX-99.906CERT.
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.
OLD MUTUAL ADVISOR FUNDS
By: /s/ Julian F. Sluyters
-----------------------------------
Julian F. Sluyters, President
Date: October 9, 2006
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: /s/ Julian F. Sluyters
------------------------------------------------
Julian F. Sluyters, Principal Executive Officer
Date: October 9, 2006
By: /s/ Mark E. Black
------------------------------------------
Mark E. Black, Principal Financial Officer
Date: October 9, 2006