UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3651
---------------------------------------------
Touchstone Strategic Trust
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(Exact name of registrant as specified in charter)
221 East Fourth Street, Cincinnati, Ohio 45202
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(Address of principal executive offices) (Zip code)
Jill T. McGruder, 221 East Fourth Street, Cincinnati, Ohio 45202
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(Name and address of agent for service)
Registrant's telephone number, including area code: (513) 362-8000
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Date of fiscal year end: 3/31/05
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Date of reporting period: 9/30/04
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Form N-CSR is to be used by management investment companies to file
reports with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Semiannual Report
September 30, 2004 (Unaudited)
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[LOGO] TOUCHSTONE
INVESTMENTS
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SEMI-ANNUAL REPORT
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Touchstone Emerging Growth Fund
Touchstone Growth Opportunities Fund
Touchstone Large Cap Core Equity Fund
Touchstone Large Cap Growth Fund
Touchstone Micro Cap Growth Fund
Touchstone Small Cap Growth Fund
Touchstone Value Plus Fund
RESEARCH o DESIGN o SELECT o MONITOR
TABLE OF CONTENTS
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Page
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Tabular Presentation of Portfolios of Investments 3
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Statements of Assets and Liabilities 4-7
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Statements of Operations 8-9
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Statements of Changes in Net Assets 10-14
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Financial Highlights 15-35
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Notes to Financial Statements 36-49
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Portfolios of Investments:
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Emerging Growth Fund 50-53
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Growth Opportunities Fund 54-55
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Large Cap Core Equity Fund 56-57
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Large Cap Growth Fund 58-59
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Micro Cap Growth Fund 60-62
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Small Cap Growth Fund 63-66
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Value Plus Fund 67-69
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Other Items 70-72
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2
TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
================================================================================
The illustrations below provide each Fund's sector allocation. We hope it will
be useful to shareholders as it summarizes key information about each Fund's
investments.
- -----------------------------------------------------
EMERGING GROWTH FUND
--------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 23.6
Health Care 21.3
Consumer Discretionary 13.8
Industrials 11.8
Energy 10.1
Financials 9.3
Materials 3.1
Investment Funds 11.4
Other Assets/Liabilities (Net) (4.4)
-----
TOTAL 100.0
-----
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- -----------------------------------------------------
GROWTH OPPORTUNITIES FUND
-------------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Health Care 33.5
Information Technology 32.2
Consumer Discretionary 12.9
Industrials 8.3
Financials 8.2
Energy 6.2
Investment Funds 6.7
Other Assets/Liabilities (Net) (8.0)
-----
TOTAL 100.0
-----
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- -----------------------------------------------------
LARGE CAP CORE EQUITY FUND
--------------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 18.0
Industrials 16.8
Financials 16.4
Consumer Staples 16.0
Consumer Discretionary 10.0
Health Care 9.6
Energy 3.9
Telecommunication 3.2
Materials 3.0
Other Assets/Liabilities (Net) 3.1
-----
TOTAL 100.0
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- -----------------------------------------------------
LARGE CAP GROWTH FUND
---------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 34.5
Energy 12.9
Consumer Staples 12.4
Health Care 11.7
Consumer Discretionary 10.5
Telecommunication 9.1
Industrials 3.6
Financials 2.0
Investment Funds 3.7
Other Assets/Liabilities (Net) (0.4)
-----
TOTAL 100.0
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MICRO CAP GROWTH FUND
---------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 28.3
Industrials 19.0
Consumer Discretionary 13.8
Health Care 11.9
Energy 8.1
Consumer Staples 6.0
Materials 5.2
Financials 3.2
Investment Funds 9.6
Other Assets/Liabilities (Net) (5.1)
-----
TOTAL 100.0
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SMALL CAP GROWTH FUND
---------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 28.5
Health Care 21.7
Industrials 10.4
Energy 8.0
Telecommunication 7.3
Financials 5.4
Materials 4.9
Consumer Discretionary 3.4
Various Other Holdings 1.6
Consumer Staples 1.1
Investment Funds 14.6
Other Assets/Liabilities (Net) (6.9)
-----
TOTAL 100.0
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- -----------------------------------------------------
VALUE PLUS FUND
---------------
SECTOR ALLOCATION (% OF NET ASSETS)
Financials 20.0
Information Technology 12.6
Consumer Discretionary 12.5
Industrials 12.4
Health Care 12.2
Energy 9.1
Consumer Staples 8.6
Materials 4.0
Telecommunication 3.7
Utilities 1.4
Other Assets/Liabilities (Net) 3.5
-----
TOTAL 100.0
-----
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3
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2004 (UNAUDITED)
================================================================================
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY LARGE CAP
FUND FUND FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost ................................. $ 831,916,454 $ 119,418,788 $ 10,926,927 $ 118,170,167
================================================================
At market value - including $83,993,828,
$7,106,475 and $4,832,565 of securities
loaned for the Emerging Growth Fund,
the Growth Opportunities Fund and the
Large Cap Growth Fund, respectively ... $ 871,314,545 $ 118,779,002 $ 11,955,216 $ 134,346,511
Cash ......................................... 53,785,514 -- 379,396 3,368,517
Dividends and interest receivable ............ 145,506 10,530 17,770 67,456
Receivable for capital shares sold ........... 3,350,498 31,358 1,940 1,420,173
Receivable for securities sold ............... 5,035,199 -- 312,923 --
Receivable for securities lending income ..... 6,356 353 -- 1,038
Receivable from Adviser ...................... -- -- 49 --
Other assets ................................. 60,262 18,654 22,652 33,263
----------------------------------------------------------------
TOTAL ASSETS ................................. 933,697,880 118,839,897 12,689,946 139,236,958
----------------------------------------------------------------
LIABILITIES
Bank overdrafts .............................. -- 1,078,591 -- --
Payable upon return of securities loaned ..... 94,937,869 7,410,000 -- 4,942,294
Payable for securities purchased ............. 719,837 -- 313,630 --
Payable for capital shares redeemed .......... 3,048,678 200,185 27,153 377,978
Payable to Adviser ........................... 542,849 84,200 -- 76,355
Payable to Trustees .......................... 1,467 1,380 1,367 2,145
Payable to affiliates ........................ 109,527 31,250 6,929 18,995
Other accrued expenses and liabilities ....... 457,971 56,616 8,407 54,869
----------------------------------------------------------------
TOTAL LIABILITIES ............................ 99,818,198 8,862,222 357,486 5,472,636
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NET ASSETS ................................... $ 833,879,682 $ 109,977,675 $ 12,332,460 $ 133,764,322
================================================================
NET ASSETS CONSIST OF:
Paid-in capital .............................. $ 761,064,362 $ 178,932,824 $ 13,015,342 $ 176,483,451
Accumulated net investment income (loss) ..... (4,774,788) (899,426) 46,466 (344,626)
Accumulated net realized gains (losses) from
security transactions ..................... 38,192,017 (67,415,937) (1,757,637) (58,550,847)
Net unrealized appreciation (depreciation)
on investments ............................ 39,398,091 (639,786) 1,028,289 16,176,344
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NET ASSETS ................................... $ 833,879,682 $ 109,977,675 $ 12,332,460 $ 133,764,322
================================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares .... $ 502,593,844 $ 83,006,832 $ 8,785,843 $ 113,694,796
================================================================
Shares of beneficial interest outstanding
(unlimited number of shares
authorized, no par value) ................. 24,740,011 4,992,206 987,946 6,536,864
================================================================
Net asset value and redemption price
per share ................................ $ 20.32 $ 16.63 $ 8.89 $ 17.39
================================================================
Maximum offering price per share ............. $ 21.56 $ 17.64 $ 9.43 $ 18.45
================================================================
4
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
================================================================================
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY LARGE CAP
FUND FUND FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares .... $ 65,703,417 $ 3,014,065 $ 1,708,580 $ 4,870,836
================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value).............................. 3,522,122 190,971 194,048 282,406
================================================================
Net asset value, offering price and
redemption price per share* ............... $ 18.65 $ 15.78 $ 8.80 $ 17.25
================================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares .... $ 265,582,421 $ 23,956,778 $ 1,838,037 $ 15,198,690
================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value).............................. 14,226,787 1,508,128 207,850 881,288
================================================================
Net asset value, offering price and
redemption price per share* ............... $ 18.67 $ 15.89 $ 8.84 $ 17.25
================================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
5
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2004 (UNAUDITED)
================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
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ASSETS
Investment securities:
At cost ........................................... $ 18,332,143 $ 89,339,057 $ 65,955,929
===================================================
At market value - including $1,700,239 and
$12,800,603 of securities loaned for the Micro
Cap Growth Fund and the Small Cap Growth
Fund, respectively ............................... $ 19,078,201 $ 100,242,498 $ 73,632,504
Cash ................................................ 1,190,512 6,677,140 2,711,373
Dividends and interest receivable ................... 1,874 51,671 104,773
Receivable for capital shares sold .................. 315,742 599,326 1,060
Receivable for securities sold ...................... 14,550 1,865,374 --
Receivable for securities lending income ............ 1,467 7,515 --
Other assets ........................................ 28,989 37,789 17,375
---------------------------------------------------
TOTAL ASSETS ........................................ 20,631,335 109,481,313 76,467,085
---------------------------------------------------
LIABILITIES
Payable upon return of securities loaned ............ 1,735,628 13,645,442 --
Payable for securities purchased .................... 706,916 1,788,087 --
Payable for capital shares redeemed ................. 8,859 183,860 93,082
Payable to Adviser .................................. 12,779 90,009 45,948
Payable to Trustees ................................. 1,102 1,248 1,356
Payable to affiliates ............................... 5,282 9,892 12,186
Other accrued expenses and liabilities .............. 9,534 33,813 35,046
---------------------------------------------------
TOTAL LIABILITIES ................................... 2,480,100 15,752,351 187,618
---------------------------------------------------
NET ASSETS .......................................... $ 18,151,235 $ 93,728,962 $ 76,279,467
===================================================
NET ASSETS CONSIST OF:
Paid-in capital ..................................... $ 18,171,769 $ 83,354,883 $ 84,498,405
Accumulated net investment income (loss) ............ (28,796) (563,906) 224,448
Accumulated net realized gains (losses) from
security transactions ............................ (737,796) 34,544 (16,119,961)
Net unrealized appreciation on investments .......... 746,058 10,903,441 7,676,575
---------------------------------------------------
NET ASSETS .......................................... $ 18,151,235 $ 93,728,962 $ 76,279,467
===================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ........... $ 13,735,214 $ 43,253,006 $ 73,524,975
===================================================
Shares of beneficial interest outstanding (unlimited
number of shares authorized, no par value) ....... 1,432,837 2,896,776 7,272,060
===================================================
Net asset value and redemption price per share ...... $ 9.59 $ 14.93 $ 10.11
===================================================
Maximum offering price per share .................... $ 10.18 $ 15.84 $ 10.73
===================================================
6
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
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PRICING OF CLASS B SHARES
Net assets attributable to Class B shares ............ $ -- $ 7,801,266 $ 861,244
===================================================
Shares of beneficial interest outstanding (unlimited
number of shares authorized, no par value) ........ -- 529,711 89,162
===================================================
Net asset value, offering price and redemption
price per share* ................................. $ -- $ 14.73 $ 9.66
===================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ............ $ 4,416,021 $ 16,988,644 $ 1,893,248
===================================================
Shares of beneficial interest outstanding (unlimited
number of shares authorized, no par value) ....... 461,382 1,152,914 194,910
===================================================
Net asset value, offering price and redemption
price per share* ................................. $ 9.57 $ 14.74 $ 9.71
===================================================
PRICING OF CLASS I SHARES
Net assets attributable to Class I shares ............ $ -- $ 25,686,046 $ --
===================================================
Shares of beneficial interest outstanding (unlimited
number of shares authorized, no par value) ........ -- 1,717,600 --
===================================================
Net asset value, offering price and redemption
price per share ................................... $ -- $ 14.95 $ --
===================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
7
STATEMENTS OF OPERATIONS
================================================================================
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY LARGE CAP
FUND FUND FUND GROWTH FUND
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SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2004 2004 2004 2004
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends ............................... $ 2,205,112 $ 278,394 $ 109,588 $ 327,619
Interest ................................ 132,621 5,177 932 7,733
Income from securities loaned ........... 31,624 4,978 -- 2,818
------------------------------------------------------------------
TOTAL INVESTMENT INCOME ................. 2,369,357 288,549 110,520 338,170
==================================================================
EXPENSES
Investment advisory fees ................ 3,212,426 600,681 41,052 368,119
Distribution expenses, Class A .......... 597,941 127,759 11,137 107,943
Distribution expenses, Class B .......... 325,766 16,496 7,908 16,445
Distribution expenses, Class C .......... 1,298,006 129,570 10,699 42,609
Transfer agent fees, Class A ............ 265,482 74,975 6,017 31,252
Transfer agent fees, Class B ............ 59,968 5,994 6,017 6,012
Transfer agent fees, Class C ............ 164,254 38,218 6,017 6,549
Sponsor fees ............................ 803,110 -- 12,631 --
Postage and supplies .................... 330,294 78,640 6,464 21,465
Custodian fees .......................... 44,652 17,102 5,388 7,088
Accounting services fees ................ 34,594 25,576 19,554 23,154
Administration fees ..................... 165,544 35,354 3,115 26,857
Reports to shareholders ................. 25,486 6,965 2,092 7,329
Registration fees ....................... 16,134 -- 134 1,771
Registration fees, Class A .............. 17,523 6,978 3,137 8,350
Registration fees, Class B .............. 6,397 4,550 2,626 6,192
Registration fees, Class C .............. 7,937 5,519 3,461 6,712
Professional fees ....................... 16,928 8,764 2,239 9,953
Trustees' fees and expenses ............. 3,894 3,366 3,276 4,211
Other expenses .......................... 3,221 1,468 652 1,711
------------------------------------------------------------------
TOTAL EXPENSES .......................... 7,399,557 1,187,975 153,616 703,722
Sponsor fees waived ..................... (139,263) -- (12,631) --
Fees waived and/or expenses reimbursed
by the Adviser ........................ -- -- (63,666) (7,171)
Fees from commission recapture .......... (116,149) -- -- (13,755)
------------------------------------------------------------------
NET EXPENSES ............................ 7,144,145 1,187,975 77,319 682,796
------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ............ (4,774,788) (899,426) 33,201 (344,626)
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REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from
security transactions ................. 23,328,377 (3,071,844) (27,741) (1,603,577)
Net change in unrealized appreciation/
depreciation on investments ........... (73,760,489) (8,831,219) (312,292) 3,473,647
------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS ............... (50,432,112) (11,903,063) (340,033) 1,870,070
------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ....................... $(55,206,900) $(12,802,489) $ (306,832) $ 1,525,444
==================================================================
See accompanying notes to financial statements.
8
STATEMENTS OF OPERATIONS
================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- --------------------------------------------------------------------------------------------------------------------
PERIOD SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2004(A) 2004 2004
(UNAUDITED) (UNAUDITED) (UNAUDITED)
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends ............................................ $ 37,340 $ 244,392 $ 640,724
Interest ............................................. 1,458 10,340 6,407
Income from securities loaned ........................ 1,529 41,163 439
-----------------------------------------------------
TOTAL INVESTMENT INCOME .............................. 40,327 295,895 647,570
=====================================================
EXPENSES
Investment advisory fees ............................. 40,911 509,766 279,784
Distribution expenses, Class A ....................... 6,502 58,679 89,972
Distribution expenses, Class B ....................... -- 38,156 3,995
Distribution expenses, Class C ....................... 6,722 78,243 9,161
Transfer agent fees, Class A ......................... 3,286 19,759 17,219
Transfer agent fees, Class B ......................... -- 6,571 6,017
Transfer agent fees, Class C ......................... 3,286 8,911 6,017
Transfer agent fees, Class I ......................... -- 4,214 --
Sponsor fees ......................................... 6,546 81,434 74,609
Postage and supplies ................................. 5,351 22,665 13,805
Custodian fees ....................................... 2,794 14,787 6,762
Accounting services fees ............................. 8,626 24,965 22,562
Administration fees .................................. 1,800 22,429 20,517
Reports to shareholders .............................. 789 4,246 2,870
Registration fees .................................... -- 9,491 142
Registration fees, Class A ........................... 202 10,972 4,918
Registration fees, Class B ........................... -- 6,007 4,488
Registration fees, Class C ........................... 200 5,801 3,645
Registration fees, Class I ........................... -- 247 --
Professional fees .................................... 5,674 6,015 6,972
Trustees' fees and expenses .......................... 2,979 3,355 3,264
Other expenses ....................................... 1,640 1,783 1,417
-----------------------------------------------------
TOTAL EXPENSES ....................................... 97,308 938,496 578,136
Sponsor fees waived .................................. (6,546) (76,299) (74,609)
Fees waived and/or expenses reimbursed by the Adviser. (21,639) -- (7,466)
Fees from commission recapture ....................... -- (2,396) --
-----------------------------------------------------
NET EXPENSES ......................................... 69,123 859,801 496,061
-----------------------------------------------------
NET INVESTMENT INCOME (LOSS) ......................... (28,796) (563,906) 151,509
-----------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security transactions (737,796) (2,581,195) 104,064
Net change in unrealized appreciation/
depreciation on investments ........................ 746,058 (2,245,694) (657,426)
-----------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS ..................................... 8,262 (4,826,889) (553,362)
-----------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS ........... $ (20,534) $(5,390,795) $ (401,853)
=====================================================
(A) Represents the period from commencement of operations (June 22, 2004)
through September 30, 2004.
See accompanying notes to financial statements.
9
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
EMERGING GROWTH FUND GROWTH OPPORTUNITIES FUND
- ------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED
2004 MARCH 31, 2004 MARCH 31,
(UNAUDITED) 2004 (UNAUDITED) 2004
- ------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment loss ................... $ (4,774,788) $ (6,515,881) $ (899,426) $ (2,014,033)
Net realized gains (losses) from
security transactions ............... 23,328,377 66,780,165 (3,071,844) (1,043,414)
Net change in unrealized appreciation/
depreciation on investments ......... (73,760,489) 139,197,290 (8,831,219) 48,105,851
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM OPERATIONS .......... (55,206,900) 199,461,574 (12,802,489) 45,048,404
----------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ............. 141,888,866 283,769,411 12,058,854 40,426,967
Payments for shares redeemed .......... (65,860,228) (90,112,906) (36,621,280) (42,137,146)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ..... 76,028,638 193,656,505 (24,562,426) (1,710,179)
----------------------------------------------------------------------
CLASS B
Proceeds from shares sold ............. 8,469,008 24,903,474 167,873 625,364
Payments for shares redeemed .......... (3,042,042) (5,065,669) (442,880) (531,905)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS ..... 5,426,966 19,837,805 (275,007) 93,459
----------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............. 50,982,370 110,372,876 767,408 3,525,808
Payments for shares redeemed .......... (18,814,183) (25,081,949) (2,833,306) (5,936,530)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS ..... 32,168,187 85,290,927 (2,065,898) (2,410,722)
----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 58,416,891 498,246,811 (39,705,820) 41,020,962
NET ASSETS
Beginning of period ................... 775,462,791 277,215,980 149,683,495 108,662,533
----------------------------------------------------------------------
End of period ......................... $ 833,879,682 $ 775,462,791 $ 109,977,675 $ 149,683,495
======================================================================
ACCUMULATED NET INVESTMENT LOSS ....... $ (4,774,788) $ -- $ (899,426) $ --
======================================================================
See accompanying notes to financial statements.
10
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
LARGE CAP CORE LARGE CAP
EQUITY FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS THREE
ENDED YEAR ENDED MONTHS YEAR
SEPT. 30, ENDED SEPT. 30, ENDED ENDED
2004 MARCH 31, 2004 MARCH 31, DEC. 31,
(UNAUDITED) 2004 (UNAUDITED) 2004(A) 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ........... $ 33,201 $ 65,652 $ (344,626) $ (147,203) $ (265,122)
Net realized gains (losses) from
security transactions ............... (27,741) (68,308) (1,603,577) 47,124 (389,478)
Net change in unrealized appreciation/
depreciation on investments ......... (312,292) 2,922,052 3,473,647 3,345,786 8,932,307
----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ..................... (306,832) 2,919,396 1,525,444 3,245,707 8,277,707
----------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A .... -- (46,333) -- -- --
From net investment income, Class B .... -- (2,433) -- -- --
From net investment income, Class C .... -- (3,621) -- -- --
----------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS ....... -- (52,387) -- -- --
----------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold .............. 847,931 1,024,567 51,018,807 7,063,457 13,006,843
Proceeds from shares issued in
connection with acquisitions
(Note 8) ............................ -- -- -- -- 39,611,752
Reinvested distributions -- 45,317 -- -- --
Payments for shares redeemed ........... (636,064) (577,409) (8,453,658) (2,425,623) (12,362,321)
----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS .......... 211,867 492,475 42,565,149 4,637,834 40,256,274
----------------------------------------------------------------------------
CLASS B
Proceeds from shares sold .............. 465,008 752,347 3,332,585 910,158 568,455
Proceeds from shares issued in
connection with acquisitions
(Note 8) ............................ -- -- -- -- 515,786
Reinvested distributions ............... -- 1,700 -- -- --
Payments for shares redeemed ........... (168,632) (325,712) (394,904) (78,324) (134,248)
----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS ..... 296,376 428,335 2,937,681 831,834 949,993
----------------------------------------------------------------------------
11
STATEMENTS OF CHANGES IN NET ASSETS
(CONTINUED)
================================================================================
LARGE CAP CORE LARGE CAP
EQUITY FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS THREE
ENDED YEAR ENDED MONTHS YEAR
SEPT. 30, ENDED SEPT. 30, ENDED ENDED
2004 MARCH 31, 2004 MARCH 31, DEC. 31,
(UNAUDITED) 2004 (UNAUDITED) 2004(A) 2003
- -----------------------------------------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............. 98,635 1,390,647 11,112,302 1,775,058 1,243,707
Proceeds from shares issued in
connection with acquisitions
(Note 8) ........................... -- -- -- -- 1,189,982
Reinvested distributions .............. -- 2,607 -- -- --
Payments for shares redeemed .......... (466,271) (440,978) (443,295) (76,996) (95,523)
---------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS .... (367,636) 952,276 10,669,007 1,698,062 2,338,166
---------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN
NET ASSETS .......................... (166,225) 4,740,095 57,697,281 10,413,437 51,822,140
NET ASSETS
Beginning of period ................... 12,498,685 7,758,590 76,067,041 65,653,604 13,831,464
---------------------------------------------------------------------------------
End of period ......................... $ 12,332,460 $ 12,498,685 $ 133,764,322 $ 76,067,041 $ 65,653,604
=================================================================================
ACCUMULATED NET INVESTMENT
INCOME (LOSS) ...................... $ 46,466 $ 13,265 $ (344,626) $ -- $ (265,122)
=================================================================================
(A) Effective after the close of business on December 31, 2003, the Fund
changed its fiscal year end to March 31.
See accompanying notes to financial statements.
12
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
PERIOD SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED YEAR
SEPT. 30, SEPT. 30, ENDED SEPT. 30, ENDED
2004(A) 2004 MARCH 31, 2004 MARCH 31,
(UNAUDITED) (UNAUDITED) 2004 (UNAUDITED) 2004
- ----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ......... $ (28,796) $ (563,906) $ (741,813) $ 151,509 $ 393,465
Net realized gains (losses) from
security transactions ............. (737,796) (2,581,195) 5,703,223 104,064 (1,198,463)
Net change in unrealized
appreciation/depreciation
on investments .................... 746,058 (2,245,694) 12,527,407 (657,426) 18,679,696
----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ................... (20,534) (5,390,795) 17,488,817 (401,853) 17,874,698
----------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A .. -- -- -- -- (396,752)
From net investment income, Class B .. -- -- -- -- (2,277)
From net investment income, Class C .. -- -- -- -- (5,708)
From net realized gains on
security transactions, Class A .... -- -- (893,115) -- --
From net realized gains on
security transactions, Class B .... -- -- (141,855) -- --
From net realized gains on
security transactions, Class C .... -- -- (263,016) -- --
----------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS ... -- -- (1,297,986) -- (404,737)
----------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ............ 13,884,427 12,722,484 32,002,458 11,474,774 5,305,222
Reinvested distributions ............. -- -- 809,297 -- 392,545
Payments for shares redeemed ......... (89,857) (18,444,638) (6,656,407) (2,177,800) (3,988,115)
----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ... 13,794,570 (5,722,154) 26,155,348 9,296,974 1,709,652
----------------------------------------------------------------------------
CLASS B
Proceeds from shares sold ............ -- 1,122,763 5,091,329 174,677 332,680
Reinvested distributions ............. -- -- 120,002 -- 1,984
Payments for shares redeemed ......... -- (553,233) (391,038) (62,167) (112,578)
----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS ... -- 569,530 4,820,293 112,510 222,086
----------------------------------------------------------------------------
13
STATEMENTS OF CHANGES IN NET ASSETS
(CONTINUED)
================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
PERIOD SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED YEAR
SEPT. 30, SEPT. 30, ENDED SEPT. 30, ENDED
2004(A) 2004 MARCH 31, 2004 MARCH 31,
(UNAUDITED) (UNAUDITED) 2004 (UNAUDITED) 2004
- ------------------------------------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............ 4,407,357 4,807,692 10,654,266 239,543 351,301
Reinvested distributions ............. -- -- 118,861 -- 5,056
Payments for shares redeemed ......... (30,158) (1,279,411) (2,105,797) (199,812) (517,989)
----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS ... 4,377,199 3,528,281 8,667,330 39,731 (161,632)
----------------------------------------------------------------------------
CLASS I
Proceeds from shares sold ............ -- 25,750,662 -- -- --
Payments for shares redeemed ......... -- (497,290) -- -- --
----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM CLASS I SHARE TRANSACTIONS ... -- 25,253,372 -- -- --
----------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS ......... 18,151,235 18,238,234 55,833,802 9,047,362 19,240,067
NET ASSETS
Beginning of period .................. -- 75,490,728 19,656,926 67,232,105 47,992,038
----------------------------------------------------------------------------
End of period ........................ $ 18,151,235 $ 93,728,962 $ 75,490,728 $ 76,279,467 $ 67,232,105
============================================================================
ACCUMULATED NET INVESTMENT
INCOME (LOSS) ..................... $ (28,796) $ (563,906) $ -- $ 224,448 $ 72,939
============================================================================
(A) Represents the period from commencement of operations (June 22, 2004)
through September 30, 2004. See accompanying notes to financial
statements.
14
EMERGING GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR MONTHS YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31,
(UNAUDITED) 2004 2003 2002 2001(A) 2000 1999
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ......... $ 21.73 $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96 $ 13.40
---------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment loss ......... (0.09) (0.13) (0.14) (0.14) -- (0.06) (0.09)
Net realized and unrealized
gains (losses) on
investments ............... (1.32) 7.97 (5.29) 3.76 (1.97) 4.16 6.18
---------------------------------------------------------------------------------------------
Total from investment
operations .................. (1.41) 7.84 (5.43) 3.62 (1.97) 4.10 6.09
---------------------------------------------------------------------------------------------
Distributions from net
realized gains .............. -- -- (0.20) (0.06) -- (3.13) (2.53)
---------------------------------------------------------------------------------------------
Net asset value at
end of period ............... $ 20.32 $ 21.73 $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96
=============================================================================================
Total return(B) ............... (6.49%)(C) 56.44% (27.90%) 22.72% (10.99%)(C) 25.92% 45.85%
=============================================================================================
Net assets at end of
period (000's) .............. $502,594 $458,524 $153,247 $169,781 $ 19,141 $ 15,304 $ 10,743
=============================================================================================
Ratio of net expenses to
average net assets .......... 1.47%(D) 1.49% 1.50% 1.50% 1.50%(D) 1.50% 1.50%
Ratio of net expense to average
net assets gross of voluntary
expense reimbursements ...... 1.50%(D) 1.50% NA NA NA NA NA
Ratio of net investment loss
to average net assets ....... (0.85%)(D) (0.93%) (1.07%) (1.02%) (0.10%)(D) (0.40%) (0.66%)
Ratio of net investment loss to
average net assets gross of
voluntary expense
reimbursements .............. (0.88%)(D) (0.94%) NA NA NA NA NA
Portfolio turnover ............ 115%(D) 79% 62% 73% 68%(D) 98% 97%
(A) Effective after the close of business on March 31, 2001, the Fund changed
its fiscal year-end to March 31.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
15
EMERGING GROWTH FUND--CLASS B
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPTEMBER 30, ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002(A)
- ---------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ........... $ 20.03 $ 12.53 $ 18.25 $ 16.45
----------------------------------------------------------
Income (loss) from investment operations:
Net investment loss .............................. (0.15) (0.25) (0.14) (0.09)
Net realized and unrealized gains (losses)
on investments ................................ (1.23) 7.75 (5.38) 1.95
----------------------------------------------------------
Total from investment operations .................. (1.38) 7.50 (5.52) 1.86
----------------------------------------------------------
Distributions from net realized gains ............. -- -- (0.20) (0.06)
----------------------------------------------------------
Net asset value at end of period .................. $ 18.65 $ 20.03 $ 12.53 $ 18.25
==========================================================
Total return(B) ................................... (6.89%)(C) 59.86% (30.34%) 11.35%(C)
==========================================================
Net assets at end of period (000's) ............... $65,703 $64,918 $26,226 $15,335
==========================================================
Ratio of net expenses to average net assets ....... 2.22%(D) 2.24% 2.25% 2.25%(D)
Ratio of net expense to average net assets gross
of voluntary expense reimbursements ........... 2.25%(D) 2.25% NA NA
Ratio of net investment loss to average net assets (1.61%)(D) (1.68%) (1.77%) (1.90%)(D)
Ratio of net investment loss to average net assets
gross of voluntary expense reimbursements ..... (1.63%)(D) (1.69%) NA NA
Portfolio turnover rate ........................... 115%(D) 79% 62% 73%(D)
(A) Represents the period from commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
16
EMERGING GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR MONTHS YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31,
(UNAUDITED) 2004 2003 2002 2001(A) 2000 1999(B)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ........ $ 20.04 $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29 $ 13.04
------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment
income (loss) ........... (0.15) (0.23) (0.13) 0.01 (0.02) (0.17) (0.19)
Net realized and unrealized
gains (losses) on
investments ............. (1.22) 7.72 (5.38) 3.30 (1.84) 3.88 5.97
------------------------------------------------------------------------------------------
Total from investment
operations ................. (1.37) 7.49 (5.51) 3.31 (1.86) 3.71 5.78
------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income ....... -- -- -- -- -- (3.13) (2.53)
Distributions from net
realized gains .......... -- -- (0.20) (0.06) -- -- --
------------------------------------------------------------------------------------------
Total distributions ........ -- -- (0.20) (0.06) -- (3.13) (2.53)
------------------------------------------------------------------------------------------
Net asset value at end
of period .................. $ 18.67 $ 20.04 $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29
==========================================================================================
Total return(C) ............... (6.84%)(D) 59.68% (30.27%) 22.09% (11.03%)(D) 24.58% 44.86%
==========================================================================================
Net assets at end of
period (000's) ............. $265,583 $252,021 $ 97,743 $ 67,347 $ 7,600 $ 5,466 $ 3,964
==========================================================================================
Ratio of net expenses
to average net assets ...... 2.22%(E) 2.24% 2.25% 2.25% 2.25%(E) 2.25% 2.25%
Ratio of net expenses to
average net assets gross
of voluntary expense
reimbursements ............. 2.25%(E) 2.25% NA NA NA NA NA
Ratio of net investment loss to
average net assets ......... (1.60%)(E) (1.68%) (1.77%) (1.61%) (0.63%)(E) (1.15%) (1.41%)
Ratio of net investment loss to
average net assets gross of
voluntary expense
reimbursements ............. (1.63%)(E) (1.69%) NA NA NA NA NA
Portfolio turnover ............ 115%(E) 79% 62% 73% 68%(E) 98% 97%
(A) Effective after the close of business on March 31, 2001, the Fund changed
its fiscal year-end to March 31.
(B) Represents the period from the commencement of operations (January 1,
1999) through December 31, 1999.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
17
GROWTH OPPORTUNITIES FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2004 -------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 18.06 $ 12.70 $ 18.18 $ 19.97 $ 32.43 $ 17.50
----------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss .................. (0.12) (0.21) (0.19) (0.18) (0.13) (0.16)
Net realized and unrealized gains
(losses) on investments ........... (1.31) 5.57 (5.29) (1.61) (12.33) 15.51
----------------------------------------------------------------------------
Total from investment operations ........ (1.43) 5.36 (5.48) (1.79) (12.46) 15.35
----------------------------------------------------------------------------
Distributions from net realized gains ... -- -- -- -- -- (0.42)
----------------------------------------------------------------------------
Net asset value at end of period ........ $ 16.63 $ 18.06 $ 12.70 $ 18.18 $ 19.97 $ 32.43
============================================================================
Total return(A) ......................... (7.92%)(B) 42.20% (30.14%) (8.96%) (38.42%) 88.88%
============================================================================
Net assets at end of period (000's) ..... $ 83,007 $117,605 $ 84,472 $121,791 $107,435 $ 79,066
============================================================================
Ratio of net expenses to
average net assets ................... 1.59%(C) 1.60% 1.83% 1.49% 1.54% 1.52%
Ratio of net investment loss to
average net assets ................... (1.16%)(C) (1.23%) (1.40%) (0.98%) (0.66%) (1.05%)
Portfolio turnover rate ................. 35%(C) 47% 39% 52% 35% 44%
Amount of debt outstanding at
end of period (000's) ................ NA NA $ -- $ -- NA NA
Average daily amount of debt
outstanding during the
period (000's)(D) .................... NA NA $ 242 $ 24 NA NA
Average daily number of capital shares
outstanding during the period
(000's)(D) ........................... NA NA 8,916 8,481 NA NA
Average amount of debt per share
during the period(D) ................. NA NA $ 0.03 $ --(E) NA NA
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Based on fund level shares outstanding.
(E) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
18
GROWTH OPPORTUNITIES FUND--CLASS B
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002(A)
- ------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ...... $ 17.31 $ 12.13 $ 17.78 $ 22.74
---------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.21) (0.38) (0.36) (0.17)
Net realized and unrealized gains (losses)
on investments ........................ (1.32) 5.56 (5.29) (4.79)
---------------------------------------------------------
Total from investment operations ............ (1.53) 5.18 (5.65) (4.96)
---------------------------------------------------------
Net asset value at end of period ............ $ 15.78 $ 17.31 $ 12.13 $ 17.78
=========================================================
Total return(B) ............................. (8.84%)(C) 42.70% (31.78%) (21.81%)(C)
=========================================================
Net assets at end of period (000's) ......... $ 3,014 $ 3,608 $ 2,463 $ 3,380
=========================================================
Ratio of net expenses to
average net assets ....................... 2.83%(D) 2.84% 3.16% 2.37%(D)
Ratio of net investment loss
to average net assets .................... (2.38%)(D) (2.45%) (2.71%) (1.93%)(D)
Portfolio turnover rate ..................... 35%(D) 47% 39% 52%(D)
Amount of debt outstanding at
end of period (000's) .................... NA NA $ -- $ --
Average daily amount of debt
outstanding during the period
(000's)(E) ............................... NA NA $ 242 $ 24
Average daily number
of capital shares outstanding
during the period (000's)(E) ............. NA NA 8,916 8,481
Average amount of debt per share
during the period(E) ..................... NA NA $ 0.03 $ --(F)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Based on fund level shares outstanding.
(F) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
19
GROWTH OPPORTUNITIES FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002 2001 2000(A)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 17.39 $ 12.17 $ 17.78 $ 19.74 $ 32.30 $ 18.65
-------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss .................. (0.18) (0.37) (0.36) (0.32) (0.19) (0.11)
Net realized and unrealized gains
(losses) on investments ........... (1.32) 5.59 (5.25) (1.64) (12.37) 14.18
-------------------------------------------------------------------------------
Total from investment operations ........ (1.50) 5.22 (5.61) (1.96) (12.56) 14.07
-------------------------------------------------------------------------------
Dividends from net investment income .... -- -- -- -- -- (0.42)
-------------------------------------------------------------------------------
Net asset value at end of period ........ $ 15.89 $ 17.39 $ 12.17 $ 17.78 $ 19.74 $ 32.30
===============================================================================
Total return(B) ......................... (8.63%)(C) 42.89% (31.55%) (9.93%) (38.89%) 76.52%(C)
===============================================================================
Net assets at end of period (000's) ..... $23,957 $28,470 $21,727 $40,967 $36,475 $10,794
===============================================================================
Ratio of net expenses to
average net assets ................... 2.53%(D) 2.60% 2.87% 2.31% 2.19% 2.33%(D)
Ratio of net investment loss to
average net assets ................... (2.07%)(D) (2.21%) (2.42%) (1.78%) (1.31%) (1.77%)(D)
Portfolio turnover rate ................. 35%(D) 47% 39% 52% 35% 44%(D)
Amount of debt outstanding at
end of period (000's) ................ NA NA $ -- $ -- NA NA
Average daily amount of debt
outstanding during the
period (000's)(E) .................... NA NA $ 242 $ 24 NA NA
Average daily number of
capital shares outstanding
during the period (000's)(E) ......... NA NA 8,916 8,481 NA NA
Average amount of debt per
share during the period(E) ........... NA NA $ 0.03 $ --(F) NA NA
(A) Represents the period from the commencement of operations (August 2, 1999)
through March 31, 2000.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Based on fund level shares outstanding.
(F) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
20
LARGE CAP CORE EQUITY FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002 2001(A)
- ----------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 9.10 $ 6.71 $ 9.19 $ 8.90 $10.00
----------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................ 0.03 0.07 0.06 0.06 0.05
Net realized and unrealized gains
(losses) on investments ........... (0.24) 2.37 (2.46) 0.28 (1.10)
----------------------------------------------------------------
Total from investment operations ........ (0.21) 2.44 (2.40) 0.34 (1.05)
----------------------------------------------------------------
Dividends from net investment income .... -- (0.05) (0.08) (0.05) (0.05)
----------------------------------------------------------------
Net asset value at end of period ........ $ 8.89 $ 9.10 $ 6.71 $ 9.19 $ 8.90
================================================================
Total return(B) ......................... (2.31%)(C) 36.41% (26.19%) 3.86% (10.57%)(C)
================================================================
Net assets at end of period (000's) ..... $8,786 $8,783 $6,109 $7,561 $6,208
================================================================
Ratio of net expenses to
average net assets ................... 1.00%(D) 0.97%(E) 1.00% 1.00% 1.00%(D)
Ratio of net investment income
to average net assets ................ 0.74%(D) 0.85%(E) 0.90% 0.70% 0.54%(D)
Portfolio turnover rate ................. 13%(D) 10% 29% 9% 3%(D)
(A) Represents the period from the commencement of operations (May 1, 2000)
through March 31, 2001.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.00% and the ratio of net investment
income to average net assets would have been 0.82%.
See accompanying notes to financial statements.
21
LARGE CAP CORE EQUITY FUND--CLASS B
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002(A)
- -----------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 9.04 $ 6.69 $ 9.13 $ 9.50
------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................ --(B) 0.01 0.01 0.02
Net realized and unrealized gains
(losses) on investments ........... (0.24) 2.36 (2.45) (0.37)
------------------------------------------------------------------
Total from investment operations ........ (0.24) 2.37 (2.44) (0.35)
------------------------------------------------------------------
Dividends from net investment income .... -- (0.02) --(B) (0.02)
------------------------------------------------------------------
Net asset value at end of period ........ $ 8.80 $ 9.04 $ 6.69 $ 9.13
==================================================================
Total return(C) ......................... (2.65%)(D) 35.37% (26.70%) (3.60%)(D)
==================================================================
Net assets at end of period (000's) ..... $ 1,708 $ 1,456 $ 729 $ 860
==================================================================
Ratio of net expenses to
average net assets ................... 1.75%(E) 1.72%(F) 1.75% 1.75%(E)
Ratio of net investment income
to average net assets ................ 0.01%(E) 0.10%(F) 0.18% 0.03%(E)
Portfolio turnover rate ................. 13%(E) 10% 29% 9%(E)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
(F) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.75% and the ratio of net investment
income to average net assets would have been 0.07%.
See accompanying notes to financial statements.
22
LARGE CAP CORE EQUITY FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002 2001(A)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 9.08 $ 6.72 $ 9.13 $ 8.88 $ 10.00
-------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................ --(B) 0.01 0.01 0.01 0.01
Net realized and unrealized gains
(losses) on investments ........... (0.24) 2.37 (2.41) 0.25 (1.12)
-------------------------------------------------------------------------
Total from investment operations ........ (0.24) 2.38 (2.40) 0.26 (1.11)
-------------------------------------------------------------------------
Dividends from net investment income .... -- (0.02) (0.01) (0.01) (0.01)
-------------------------------------------------------------------------
Net asset value at end of period ........ $ 8.84 $ 9.08 $ 6.72 $ 9.13 $ 8.88
=========================================================================
Total return(C) ......................... (2.64%)(D) 35.38% (26.32%) 3.00% (11.12%)(D)
=========================================================================
Net assets at end of period (000's) ..... $ 1,838 $ 2,260 $ 920 $ 900 $ 128
=========================================================================
Ratio of net expenses to
average net assets ................... 1.75%(E) 1.72%(F) 1.74% 1.75% 1.73%(E)
Ratio of net investment income
(loss) to average net assets ......... (0.01%)(E) 0.13%(F) 0.18% (0.05%) (0.46%)(E)
Portfolio turnover rate ................. 13%(E) 10% 29% 9% 3%(E)
(A) Represents the period from the commencement of operations (May 16, 2000)
through March 31, 2001.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
(F) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.75% and the ratio of net investment
income to average net assets would have been 0.10%.
See accompanying notes to financial statements.
23
LARGE CAP GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED MONTHS
SEPT. 30, ENDED YEAR ENDED DECEMBER 31,
2004 MARCH 31, -------------------------------------------------------------
(UNAUDITED) 2004(A) 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ........... $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73 $ 23.59 $ 14.47
---------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment loss ........... (0.04) (0.03) (0.07) (0.12) (0.13) (0.20) (0.12)
Net realized and unrealized
gains (losses) on
investments ................ 0.12 0.81 4.41 (4.32) (4.97) (1.61) 9.24
---------------------------------------------------------------------------------------------
Total from investment operations.. 0.08 0.78 4.34 (4.44) (5.10) (1.81) 9.12
---------------------------------------------------------------------------------------------
Distributions from net
realized gains ................ -- -- -- -- -- (0.05) --
---------------------------------------------------------------------------------------------
Net asset value at end of period.. $ 17.39 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73 $ 23.59
=============================================================================================
Total return(B) .................. 0.46%(C) 4.72%(C) 35.60% (26.70%) (23.47%) (7.66%) 63.03%
=============================================================================================
Net assets at end of
period (000's) ................ $113,695 $ 69,860 $ 62,187 $ 13,831 $ 20,835 $ 44,068 $ 12,667
=============================================================================================
Ratio of net expenses to
average net assets ............ 1.27%(D),(E) 1.30%(D) 1.39% 1.49% 1.49% 1.48% 1.49%
Ratio of net investment loss to
average net assets ............ (0.56%)(D),(E) (0.78%)(D) (0.93%) (0.82%) (0.62%) (1.14%) (0.99%)
Portfolio turnover ............... 114%(D) 60%(D) 60%(F) 115% 124% 54% 75%
(A) Effective after the close of business on December 31, 2003, the Fund
changed its fiscal year end to March 31.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.30% and the ratio of net investment
loss to average net assets would have been (0.58%).
(F) Reflects the portfolio turnover rate after realignment of the portfolio in
connection with the acquisitions described in Note 8.
See accompanying notes to financial statements.
24
LARGE CAP GROWTH FUND--CLASS B
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED MONTHS PERIOD
SEPTEMBER 30, ENDED ENDED
2004 MARCH 31, DECEMBER 31,
(UNAUDITED) 2004(A) 2003(B)
- ---------------------------------------------------------------------------------------------------
Net asset value at beginning of period .............. $ 17.24 $ 16.50 $ 15.45
------------------------------------------
Income (loss) from investment operations:
Net investment loss .............................. (0.09) (0.03) (0.06)
Net realized and unrealized gains
on investments ................................ 0.10 0.77 1.11
------------------------------------------
Total from investment operations .................... 0.01 0.74 1.05
------------------------------------------
Net asset value at end of period .................... $ 17.25 $ 17.24 $ 16.50
==========================================
Total return(C) ..................................... 0.06% 4.48% 6.80%
==========================================
Net assets at end of period (000's) ................. $ 4,871 $ 1,897 $ 1,003
==========================================
Ratio of net expenses to average net assets(D) ...... 2.22%(E) 2.25% 2.22%
Ratio of net investment loss to average net assets(D) (1.51%)(E) (1.71%) (1.80%)
Portfolio turnover rate(D) .......................... 114% 60% 60%(F)
(A) Effective after the close of business on December 31, 2003, the Fund
changed its fiscal year end to March 31.
(B) Represents the period from commencement of operations (October 4, 2003)
through December 31, 2003.
(C) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(D) Annualized.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 2.25% and the ratio of net investment
loss to average net assets would have been (1.54%).
(F) Reflects the portfolio turnover rate after realignment of the portfolio in
connection with the acquisitions described in Note 8.
See accompanying notes to financial statements.
25
LARGE CAP GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED MONTHS PERIOD
SEPTEMBER 30, ENDED ENDED
2004 MARCH 31, DECEMBER 31,
(UNAUDITED) 2004(A) 2003(B)
- ------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 17.24 $ 16.50 $ 15.45
---------------------------------------------
Income (loss) from investment operations:
Net investment loss .................. (0.08) (0.04) (0.05)
Net realized and unrealized gains
on investments .................... 0.09 0.78 1.10
---------------------------------------------
Total from investment operations ........ 0.01 0.74 1.05
---------------------------------------------
Net asset value at end of period ........ $ 17.25 $ 17.24 $ 16.50
=============================================
Total return(C) ......................... 0.06% 4.48% 6.80%
=============================================
Net assets at end of period (000's) ..... $ 15,198 $ 4,310 $ 2,465
=============================================
Ratio of net expenses to average
net assets(D) ........................ 2.21%(E) 2.25% 2.21%
Ratio of net investment loss to
average net assets(D) ................ (1.50%)(E) (1.70%) (1.78%)
Portfolio turnover rate(D) .............. 114% 60% 60%(F)
(A) Effective after the close of business on December 31, 2003, the Fund
changed its fiscal year end to March 31.
(B) Represents the period from commencement of operations (October 4, 2003)
through December 31, 2003.
(C) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(D) Annualized.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 2.25% and the ratio of net investment
loss to average net assets would have been (1.54%).
(F) Reflects the portfolio turnover rate after realignment of the portfolio in
connection with the acquisitions described in Note 8.
See accompanying notes to financial statements.
26
MICRO CAP GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ------------------------------------------------------------------------------
PERIOD
ENDED
SEPTEMBER 30,
2004(A)
(UNAUDITED)
- -------------------------------------------------------------------------------
Net asset value at beginning of period ........................ $ 10.00
----------
Loss from investment operations:
Net investment loss ........................................ (0.01)
Net realized and unrealized losses on investments .......... (0.40)
----------
Total from investment operations .............................. (0.41)
----------
Net asset value at end of period .............................. $ 9.59
==========
Total return(B) ............................................... (4.10%)
==========
Net assets at end of period (000's) ........................... $ 13,735
==========
Ratio of net expenses to average net assets(C) ................ 1.92%
Ratio of net investment loss to average net assets(C) ......... (0.69%)
Portfolio turnover rate(C) .................................... 106%
(A) Represents the period from commencement of operations (June 22, 2004)
through September 30, 2004.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
27
MICRO CAP GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- --------------------------------------------------------------------------------
PERIOD
ENDED
SEPTEMBER 30,
2004(A)
(UNAUDITED)
- ------------------------------------------------------------------------------
Net asset value at beginning of period .......................... $ 10.00
---------
Loss from investment operations:
Net investment loss .......................................... (0.02)
Net realized and unrealized losses on investments ............ (0.41)
---------
Total from investment operations ................................ (0.43)
---------
Net asset value at end of period ................................ $ 9.57
=========
Total return(B) ................................................. (4.30%)
=========
Net assets at end of period (000's) ............................. $ 4,416
=========
Ratio of net expenses to average net assets(C) .................. 2.65%
Ratio of net investment loss to average net assets(C) ........... (1.52%)
Portfolio turnover rate(C) ...................................... 106%
(A) Represents the period from commencement of operations (June 22, 2004)
through September 30, 2004.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
28
SMALL CAP GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPTEMBER 30, ENDED ENDED
2004 MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003(A)
- ---------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................. $ 16.05 $ 9.78 $ 10.00
---------------------------------------------
Income (loss) from investment operations:
Net investment loss ................................. (0.10) (0.14) (0.06)
Net realized and unrealized
gains (losses) on investments ..................... (1.02) 6.78 (0.16)
---------------------------------------------
Total from investment operations ....................... (1.12) 6.64 (0.22)
---------------------------------------------
Distributions from net realized gains .................. -- (0.37) --
---------------------------------------------
Net asset value at end of period ....................... $ 14.93 $ 16.05 $ 9.78
=============================================
Total return(B) ........................................ (6.98%)(C) 68.02% (2.20%)(C)
=============================================
Net assets at end of period (000's) .................... $ 43,253 $ 53,064 $ 15,230
=============================================
Ratio of net expenses to average net assets ............ 1.94%(D) 1.89% 1.95%(D)
Ratio of net expenses to average net assets gross
of voluntary expense reimbursements ................. 1.95%(D) 1.95% NA
Ratio of net investment loss to average net assets ..... (1.27%)(D) (1.34%) (1.61%)(D)
Ratio of net investment loss to average net assets gross
of voluntary expense reimbursements ................. (1.28%)(D) (1.40%) NA
Portfolio turnover ..................................... 121%(D) 133% 128%(D)
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
29
SMALL CAP GROWTH FUND--CLASS B
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPTEMBER 30, ENDED ENDED
2004 MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003(A)
- ------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................. $ 15.90 $ 9.75 $ 10.00
------------------------------------------
Income (loss) from investment operations:
Net investment loss ................................. (0.14) (0.21) (0.06)
Net realized and unrealized
gains (losses) on investments ..................... (1.03) 6.73 (0.19)
------------------------------------------
Total from investment operations ....................... (1.17) 6.52 (0.25)
------------------------------------------
Distributions from net realized gains .................. -- (0.37) --
------------------------------------------
Net asset value at end of period ....................... $ 14.73 $ 15.90 $ 9.75
==========================================
Total return(B) ........................................ (7.36%)(C) 66.99% (2.50%)(C)
==========================================
Net assets at end of period (000's) .................... $ 7,801 $ 7,831 $ 1,399
==========================================
Ratio of net expenses to average net assets ............ 2.69%(D) 2.63% 2.69%(D)
Ratio of net expenses to average net assets gross
of voluntary expense reimbursements ................. 2.70%(D) 2.70% NA
Ratio of net investment loss to average net assets ..... (1.98%)(D) (2.09%) (2.38%)(D)
Ratio of net investment loss to average net assets gross
of voluntary expense reimbursements ................. (1.98%)(D) (2.16%) NA
Portfolio turnover ..................................... 121%(D) 133% 128%(D)
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
30
SMALL CAP GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPTEMBER 30, ENDED ENDED
2004 MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003(A)
- -------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................. $ 15.91 $ 9.74 $ 10.00
-----------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................................. (0.13) (0.21) (0.07)
Net realized and unrealized gains
(losses) on investments .......................... (1.04) 6.75 (0.19)
-----------------------------------------------------
Total from investment operations ....................... (1.17) 6.54 (0.26)
-----------------------------------------------------
Distributions from net realized gains .................. -- (0.37) --
-----------------------------------------------------
Net asset value at end of period ....................... $ 14.74 $ 15.91 $ 9.74
=====================================================
Total return(B) ........................................ (7.35%)(C) 67.26% (2.60%)(C)
=====================================================
Net assets at end of period (000's) .................... $ 16,989 $ 14,596 $ 3,029
=====================================================
Ratio of net expenses to average net assets ............ 2.69%(D) 2.63% 2.69%(D)
Ratio of net expenses to average net assets gross
of voluntary expense reimbursements ................. 2.70%(D) 2.70% NA
Ratio of net investment loss to average net assets ..... (1.96%)(D) (2.09%) (2.39%)(D)
Ratio of net investment loss to average net assets gross
of voluntary expense reimbursements ................. (1.97%)(D) (2.16%) NA
Portfolio turnover ..................................... 121%(D) 133% 128%(D)
(A) Represents the period from commencement of operations (October 21, 2002)
through March 31, 2003.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
31
SMALL CAP GROWTH FUND--CLASS I
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- --------------------------------------------------------------------------------
PERIOD
ENDED
SEPTEMBER 30,
2004(A)
(UNAUDITED)
- --------------------------------------------------------------------------------
Net asset value at beginning of period ......................... $ 15.37
----------
Loss from investment operations:
Net investment loss ......................................... (0.02)
Net realized and unrealized losses on investments ........... (0.40)
----------
Total from investment operations ............................... (0.42)
----------
Net asset value at end of period ............................... $ 14.95
==========
Total return(B) ................................................ (2.73%)
==========
Net assets at end of period (000's) ............................ $ 25,686
==========
Ratio of net expenses to average net assets (C),(D) ............ 1.53%
Ratio of net investment loss to average net assets (C),(D) ..... (0.58%)
Portfolio turnover (C) ......................................... 121%
(A) Represents the period from commencement of operations (May 5, 2004)
through September 30, 2004.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
(D) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.53% and the ratio of net investments
loss to average net assets would have been (0.58%). The voluntary expense
reimbursement was less than 0.01%.
See accompanying notes to financial statements.
32
VALUE PLUS FUND--CLASS A
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR MONTHS YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31,
(UNAUDITED) 2004 2003 2002 2001(A) 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 10.14 $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77 $ 10.41
---------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income ..... 0.02 0.06 0.05 0.02 0.01 0.06 0.01
Net realized and unrealized
gains (losses) on
investments ............ (0.05) 2.69 (3.05) 0.22 (0.47) 0.12 1.60
---------------------------------------------------------------------------------------------
Total from investment
operations ................ (0.03) 2.75 (3.00) 0.24 (0.46) 0.18 1.61
---------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income ...... -- (0.06) (0.04) (0.02) (0.01) (0.06) (0.01)
Distributions from net
realized gains ......... -- -- -- -- -- (0.92) (0.24)
Return of capital ......... -- -- -- -- -- (0.23) --
---------------------------------------------------------------------------------------------
Total distributions .......... -- (0.06) (0.04) (0.02) (0.01) (1.21) (0.25)
---------------------------------------------------------------------------------------------
Net asset value at end
of period ................. $ 10.11 $ 10.14 $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77
=============================================================================================
Total return(B) .............. (0.30%)(C) 37.04% (28.59%) 2.34% (4.29%)(C) 1.91% 15.51%
=============================================================================================
Net assets at end of
period (000's) ............ $73,525 $64,612 $46,113 $93,214 $51,442 $49,807 $31,808
=============================================================================================
Ratio of net expenses to
average net assets ........ 1.30%(D) 1.30% 1.30% 1.30% 1.30%(D) 1.30% 1.30%
Ratio of net investment income
to average net assets ..... 0.43%(D) 0.68% 0.58% 0.23% 0.37%(D) 0.51% 0.08%
Portfolio turnover ........... 22%(D) 44% 58% 33% 48%(D) 83% 60%
(A) Effective after the close of business on December 31, 2000, the Fund
changed its fiscal year-end to March 31.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
33
VALUE PLUS FUND--CLASS B
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2004 2003 2002(A)
- ---------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ........... $ 9.73 $ 7.18 $ 10.18 $ 10.72
-------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ........................... (0.01) --(B) --(B) (0.01)
Net realized and unrealized
gains (losses) on investments .............. (0.06) 2.58 (2.96) (0.53)
-------------------------------------------------------
Total from investment operations ................. (0.07) 2.58 (2.96) (0.54)
-------------------------------------------------------
Dividends from net investment income ............. -- (0.03) (0.04) --
-------------------------------------------------------
Net asset value at end of period ................. $ 9.66 $ 9.73 $ 7.18 $ 10.18
=======================================================
Total return(C) .................................. (0.72%)(D) 36.04% (29.05%) (5.01%)(D)
=======================================================
Net assets at end of period (000's) .............. $ 861 $ 753 $ 367 $ 130
=======================================================
Ratio of net expenses to average net assets ...... 2.05%(E) 2.05% 2.05% 2.05%(E)
Ratio of net investment loss to average net assets (0.32%)(E) (0.09%) (0.06%) (0.77%)(E)
Portfolio turnover rate .......................... 22%(E) 44% 58% 33%(E)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
34
VALUE PLUS FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR MONTHS YEAR YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2004 MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31,
(UNAUDITED) 2004 2003 2002 2001(A) 2000 1999(B)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period .. $ 9.78 $ 7.22 $10.18 $10.02 $10.50 $11.48 $10.26
------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment loss .. (0.01) --(C) (0.02) (0.04) (0.01) (0.02) (0.07)
Net realized and
unrealized gains
(losses) on
investments ....... (0.06) 2.59 (2.94) 0.20 (0.47) 0.19 1.53
------------------------------------------------------------------------------------------------
Total from investment
operations ........... (0.07) 2.59 (2.96) 0.16 (0.48) 0.17 1.46
------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income . -- (0.03) -- -- -- -- --
Distributions from net
realized gains .... -- -- -- -- -- (0.92) (0.24)
Return of capital .... -- -- -- -- -- (0.23) --
------------------------------------------------------------------------------------------------
Total distributions .. -- (0.03) -- -- -- (1.15) (0.24)
------------------------------------------------------------------------------------------------
Net asset value at end
of period ............ $ 9.71 $ 9.78 $ 7.22 $10.18 $10.02 $10.50 $11.48
================================================================================================
Total return(D) ......... (0.72%)(E) 35.89% (29.08%) 1.60% (4.57%)(E) 1.87% 14.24%
================================================================================================
Net assets at end of
period (000's) ....... $1,893 $1,867 $1,512 $2,548 $1,705 $2,011 $ 548
================================================================================================
Ratio of net expenses
to average net assets 2.05%(F) 2.05% 2.05% 2.05% 2.05%(F) 2.05% 2.05%
Ratio of net investment
loss to average net
assets ............... (0.32%)(F) (0.05%) (0.15%) (0.51%) (0.33%)(F) (0.21%) (0.65%)
Portfolio turnover ...... 22%(F) 44% 58% 33% 48%(F) 83% 60%
(A) Effective after the close of business on December 31, 2000, the Fund
changed its fiscal year-end to March 31.
(B) Represents the period from the commencement of operations (January 1,
1999) through December 31, 1999.
(C) Amount rounds to less than $0.01 per share.
(D) Total returns shown exclude the effect of applicable sales loads.
(E) Not annualized.
(F) Annualized.
See accompanying notes to financial statements.
35
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
================================================================================
1. ORGANIZATION
The Emerging Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund
(formerly Enhanced 30 Fund), Large Cap Growth Fund, Micro Cap Growth Fund, Small
Cap Growth Fund and Value Plus Fund (individually, a Fund, and collectively, the
Funds) are each a series of Touchstone Strategic Trust (the Trust). The Trust is
registered under the Investment Company Act of 1940, as amended (the Act), as an
open-end management investment company. The Trust was established as a
Massachusetts business trust under a Declaration of Trust dated November 18,
1982. The Declaration of Trust, as amended, permits the Trustees to issue an
unlimited number of shares of each Fund.
Prior to May 1, 2000, the Emerging Growth Fund and Value Plus Fund were part of
the Touchstone Series Trust, a Massachusetts business trust organized on
February 7, 1994 and registered under the Act as an open-end management
investment company. Effective May 1, 2000, the Funds were merged into separate
series of the Trust and their fiscal year ends were subsequently changed from
December 31 to March 31.
Prior to October 4, 2003, the Large Cap Growth Fund was a series of the
Navellier Performance Funds. Effective October 4, 2003, the Navellier
Performance Large Cap Growth Portfolio and the Navellier Millennium Large Cap
Growth Portfolio were merged into the Large Cap Growth Fund. The accounting and
performance history of the Navellier Performance Large Cap Growth Portfolio was
carried forward. The Large Cap Growth Fund was the legal and tax survivor.
Effective January 1, 2004, the Fund changed its fiscal year end from December 31
to March 31.
The Emerging Growth Fund seeks to increase the value of Fund shares as a primary
goal and to earn income as a secondary goal by investing primarily (at least 65%
of its assets) in emerging growth companies.
The Growth Opportunities Fund seeks long-term capital appreciation primarily
through equity investments in companies whose valuation may not reflect the
prospects for accelerated earnings/cash flow growth. The Fund invests primarily
in stocks of mid to large cap domestic growth companies that the sub-adviser
believes have a demonstrated record of achievement with excellent prospects for
earnings and/or cash flow growth over a 3 to 5 year period.
The Large Cap Core Equity Fund seeks long-term capital appreciation as its
primary goal by investing at least 80% of its total assets in common stocks of
large cap companies. Income is a secondary goal.
The Large Cap Growth Fund seeks long-term growth of capital. Under normal
circumstances, the Fund will invest at least 80% of its assets in a portfolio of
common stocks of large cap companies.
The Micro Cap Growth Fund seeks long-term growth of capital. Under normal
circumstances, the Fund will invest at least 80% of its assets in the common
stocks of U.S. companies whose total market capitalization at the time of
investment is generally between $30 million and $300 million, referred to as
micro cap companies, and which, in the opinion of the sub-adviser, have superior
earnings growth characteristics.
The Small Cap Growth Fund seeks long-term growth of capital. Under normal
circumstances, the Fund will invest at least 80% of its assets in common stock
of small cap companies.
The Value Plus Fund seeks to increase the value of Fund shares over the
long-term by investing primarily (at least 65% of its assets) in common stocks
of larger companies that the sub-adviser believes are undervalued.
36
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
Each Fund, except the Small Cap Growth Fund, offers three classes of shares:
Class A shares (currently sold subject to a maximum front-end sales load of
5.75% and a maximum distribution fee of up to 0.25%), Class B shares (sold
subject to a maximum contingent deferred sales load of 5.00% for a one-year
period and incrementally reduced over time and a maximum distribution fee of up
to 1.00% of average daily net assets) and Class C shares sold subject to a 1.00%
contingent deferred sales load for a one-year period and a maximum distribution
fee of up to 1.00% of average daily net assets). The Small Cap Growth Fund
offers four classes of shares: Class A shares, Class B shares, Class C shares
(all described above) and effective May 5, 2004, Class I shares (sold without a
distribution fee or sales charge, but offered only through selected dealers and
subject to a higher minimum initial investment). Each Class A, Class B, Class C
and Class I share of a Fund represents identical interests in the investment
portfolio of such Fund and has the same rights, except that (i) Class B and
Class C shares bear the expenses of higher distribution fees, which is expected
to cause Class B and Class C shares to have a higher expense ratio and to pay
lower dividends than Class A and Class I shares; (ii) certain other class
specific expenses will be borne solely by the class to which such expenses are
attributable; and (iii) each class has exclusive voting rights with respect to
matters relating to its own distribution arrangements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Funds' significant accounting policies:
Security valuation -- The Funds' portfolio securities are valued as of the close
of the regular session of trading on the New York Stock Exchange (currently 4:00
p.m., Eastern time). Portfolio securities traded on stock exchanges are valued
at the last sale price and portfolio securities quoted by NASDAQ are valued at
the NASDAQ Official Closing Price (NOCP). Securities not traded on a particular
day, or for which the last sale price is not readily available, are valued at
their last broker-quoted bid prices as obtained from one or more of the major
market makers for such securities by an independent pricing service. Securities
for which market quotations or the NOCP are not readily available are valued
based on fair value as determined by or under the direction of the Board of
Trustees.
Portfolio Securities Loaned - As of September 30, 2004, the following Funds
loaned common stocks and received collateral as follows:
- --------------------------------------------------------------------------------
Fair Value of Common Value of
Stocks Loaned Collateral Received
- --------------------------------------------------------------------------------
Emerging Growth Fund $ 83,993,828 $ 94,937,869
Growth Opportunities Fund $ 7,106,475 $ 7,410,000
Large Cap Growth Fund $ 4,832,565 $ 4,942,294
Micro Cap Growth Fund $ 1,700,239 $ 1,735,628
Small Cap Growth Fund $ 12,800,603 $ 13,645,442
- --------------------------------------------------------------------------------
All collateral received as cash and securities is received, held and
administered by the Funds' custodian for the benefit of the Funds in the
applicable custody account or other account established for the purpose of
holding collateral.
Funds participating in securities lending receive compensation in the form of
fees, or retain a portion of interest or dividends on the investment of any cash
received as collateral. The Funds also continue to receive interest or dividends
on the securities loaned. The loans are secured by collateral valued at least
equal, at all times, to the fair value of the securities loaned plus accrued
interest. Unrealized gain or loss on the fair value of the securities loaned
that may occur during the
37
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
term of the loan are recognized by the Funds. The Funds have the right under the
lending agreement to recover the securities from the borrower on demand.
Repurchase agreements -- Repurchase agreements, which are collateralized by U.S.
Government obligations, are valued at cost, which, together with accrued
interest, approximates market. At the time each Fund enters into a repurchase
agreement, the seller agrees that the value of the underlying securities,
including accrued interest, will at all times, be equal to or exceed the face
amount of the repurchase agreement.
Share valuation -- The net asset value per share of each class of shares of each
Fund is calculated daily by dividing the total value of a Fund's assets
attributable to that class, less liabilities attributable to that class, by the
number of outstanding shares of that class.
The maximum offering price per share of Class A shares of the Funds is equal to
the net asset value per share plus a sales load equal to 6.10% of the net asset
value (or 5.75% of the offering price). The maximum offering price per share of
Class B, Class C and Class I shares of the Funds is equal to the net asset value
per share.
The redemption price per share of each class of shares of the Funds is equal to
the net asset value per share. However, Class B and Class C shares of the Funds
are subject to a contingent deferred sales load of 5% and 1%, respectively, of
the original purchase price if redeemed within a one-year period from the date
of purchase. The contingent deferred sales load for Class B shares will be
incrementally reduced over time. After the 6th year, there is no contingent
deferred sales load for Class B shares.
Investment income -- Interest income is accrued as earned. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities purchased
are recorded on an accrual basis.
Distributions to shareholders -- Dividends arising from net investment income,
if any, are declared and paid to shareholders annually for each Fund. With
respect to each Fund, net realized short-term capital gains, if any, may be
distributed throughout the year and net realized long-term capital gains, if
any, are distributed at least once each year. Income dividends and capital gain
distributions are determined in accordance with income tax regulations.
Allocations -- Investment income earned, realized capital gains and losses, and
unrealized appreciation and depreciation for the Funds are allocated daily to
each class of shares based upon its proportionate share of total net assets of
the Fund. Class specific expenses are charged directly to the class incurring
the expense. Common expenses, which are not attributable to a specific class,
are allocated daily to each class of shares based upon its proportionate share
of total net assets of the Fund. Expenses not directly billed to a Fund are
allocated proportionally among all Funds daily in relation to net assets of each
Fund or another reasonable measure.
Security transactions -- Security transactions are accounted for on the trade
date. Securities sold are determined on a specific identification basis.
Estimates -- The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
Federal income tax -- It is each Fund's policy to comply with the special
provisions of the Internal Revenue Code applicable to regulated investment
companies. As provided therein, in any fiscal
38
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
year in which a Fund so qualifies and distributes at least 90% of its taxable
net income, the Fund (but not the shareholders) will be relieved of federal
income tax on the income distributed. Accordingly, no provision for income taxes
has been made.
In order to avoid imposition of the excise tax applicable to regulated
investment companies, it is also each Fund's intention to declare and pay as
dividends in each calendar year at least 98% of its net investment income
(earned during the calendar year) and 98% of its net realized capital gains
(earned during the twelve months ending October 31) plus undistributed amounts
from prior years.
The tax character of distributions paid for the years ended March 31, 2004 and
2003 was as follows:
- --------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2004 2003 2004 2003 2004 2003
- --------------------------------------------------------------------------------------------------------------------
From ordinary income .......... $ -- $3,671,302 $ -- $ -- $ 52,387 $ 71,896
From long-term capital gains... -- 308,874 -- -- -- --
-----------------------------------------------------------------------------------
$ -- $3,980,176 $ -- $ -- $ 52,387 $ 71,896
===================================================================================
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2004 2003 2004 2003 2004 2003
- --------------------------------------------------------------------------------------------------------------------
From ordinary income .......... $ -- $ -- $1,229,562 $ -- $ 404,737 $ 292,503
From long-term capital gains... -- -- 68,424 -- -- --
-----------------------------------------------------------------------------------
$ -- $ -- $1,297,986 $ -- $ 404,737 $ 292,503
===================================================================================
- --------------------------------------------------------------------------------------------------------------------
The following information is computed on a tax basis for each item as of March
31, 2004:
- -------------------------------------------------------------------------------------------------------
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------
Cost of portfolio investments ............... $ 711,583,416 $ 148,899,989 $ 11,037,265
---------------------------------------------------
Gross unrealized appreciation ............... 127,352,635 29,483,979 1,915,593
Gross unrealized depreciation ............... (18,198,932) (21,292,546) (658,814)
---------------------------------------------------
Net unrealized appreciation ................. 109,153,703 8,191,433 1,256,779
Post-October losses ......................... -- (816,953) (81,328)
Capital loss carryforward ................... -- (63,527,140) (1,564,766)
Undistributed ordinary income ............... -- -- 13,265
Undistributed long-term capital gains ....... 18,868,517 -- --
---------------------------------------------------
Accumulated earnings (deficit) ............ $ 128,022,220 $ (56,152,660) $ (376,050)
===================================================
- -------------------------------------------------------------------------------------------------------
39
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- -------------------------------------------------------------------------------------------------------
LARGE CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------
Cost of portfolio investments ............... $ 66,031,167 $ 67,565,691 $ 59,434,717
===================================================
Gross unrealized appreciation ............... 12,905,727 16,176,941 9,403,856
Gross unrealized depreciation ............... (203,030) (3,452,449) (3,129,160)
---------------------------------------------------
Net unrealized appreciation ................. 12,702,697 12,724,492 6,274,696
Post-October losses ......................... (652,281) -- --
Capital loss carryforward ................... (56,294,989) -- (14,164,720)
Undistributed ordinary income ............... -- 1,709,786 72,939
Undistributed long-term capital gains ....... -- 1,330,596 --
===================================================
Accumulated earnings (deficit) ............ $(44,244,573) $ 15,764,874 $ (7,817,085)
===================================================
- -------------------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial
statement cost is primarily due to wash sales.
As of March 31, 2004, the Funds had the following capital loss carryforwards for
federal income tax purposes.
- -------------------------------------------------------------------
EXPIRES
FUND AMOUNT MARCH 31,
- -------------------------------------------------------------------
Growth Opportunities Fund ......... $ 2,005,441 2009
22,448,509 2010
21,975,058 2011
17,098,132 2012
------------
63,527,140
============
Large Cap Core Equity Fund ........ $ 99,480 2009
24,780 2010
414,728 2011
1,025,778 2012
------------
1,564,766
============
Large Cap Growth Fund* ............ $ 1,492,562 2008
17,152,661 2009
14,651,841 2010
19,675,611 2011
3,322,314 2012
------------
56,294,989
============
Value Plus Fund ................... $ 209,088 2009
5,826,294 2011
8,129,338 2012
------------
14,164,720
============
- -------------------------------------------------------------------
The capital loss carryforwards and Post-October losses may be utilized in the
current and future years to offset net realized capital gains, if any, prior to
distributing such gains to shareholders.
Certain reclassifications, the result of permanent differences between financial
statement and income tax reporting requirements may be made to the components of
capital. These reclassifications have no impact on the net assets or net asset
value per share of the Funds. No reclassifications of the components of capital
were made during the six months ended September 30, 2004.
* A portion of these capital loss carryforwards may be limited under tax
regulations.
40
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments and U.S. Government
securities) were as follows for the period ended September 30, 2004:
- --------------------------------------------------------------------------------------------------------------
EMERGING GROWTH LARGE CAP LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY GROWTH
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------
Purchases of investment securities ... $509,529,319 $ 23,243,360 $ 819,178 $108,266,800
---------------------------------------------------------------------
Proceeds from sales and maturities
of investment securities ........... $431,932,480 $ 47,111,747 $ 817,973 $ 55,124,317
---------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
MICRO CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- ----------------------------------------------------------------------------------------
Purchases of investment securities ... $20,762,762 $67,938,667 $16,429,336
-----------------------------------------------
Proceeds from sales and maturities
of investment securities ........... $ 3,428,451 $47,515,317 $ 7,952,883
-----------------------------------------------
- ----------------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES
Certain officers of the Trust are also officers of Touchstone Advisors, Inc.
(the Adviser), the Trust's investment adviser, or Touchstone Securities, Inc.
(the Underwriter), the Trust's principal underwriter, and Integrated Fund
Services, Inc. (Integrated), the Trust's administrator, transfer agent and
accounting services agent. The Adviser, the Underwriter and Integrated are each
wholly-owned, indirect subsidiaries of The Western and Southern Life Insurance
Company.
MANAGEMENT AGREEMENTS
The Adviser provides general investment supervisory services for the Funds,
under the terms of a Management Agreement. Under the Management Agreement, the
Funds pay the Adviser a fee, which is computed and accrued daily and paid
monthly, at an annual rate based on average daily net assets as follows:
- --------------------------------------------------------------------------------
Emerging Growth Fund 0.80%
- --------------------------------------------------------------------------------
Growth Opportunities Fund 1.00% on the first $50 million
0.90% on the next $50 million
0.80% on the next $100 million
0.75% of such assets in excess of $200 million
- --------------------------------------------------------------------------------
Large Cap Core Equity Fund 0.65% on the first $100 million
0.60% on the next $100 million
0.55% on the next $100 million
0.50% of such assets in excess of $300 million
- --------------------------------------------------------------------------------
Large Cap Growth Fund 0.75% on the first $200 million
0.70% on the next $300 million
0.50% of such assets in excess of $500 million
- --------------------------------------------------------------------------------
41
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- --------------------------------------------------------------------------------
Micro Cap Growth Fund 1.25%
- --------------------------------------------------------------------------------
Small Cap Growth Fund 1.25%
- --------------------------------------------------------------------------------
Value Plus Fund 0.75% on the first $100 million
0.70% on the next $100 million
0.65% on the next $100 million
0.60% of such assets in excess of $300 million
- --------------------------------------------------------------------------------
During the six months ended September 30, 2004, the Adviser waived investment
advisory fees as follows:
Large Cap Core Equity Fund $ 63,666
Large Cap Growth Fund $ 7,171
Micro Cap Growth Fund $ 21,639
Value Plus Fund $ 7,466
TCW Investment Management Company (TCW) and Westfield Capital Management
Company, Inc. (Westfield) have been retained by the Adviser to manage the
investments of the Emerging Growth Fund. The Adviser (not the Fund) pays TCW and
Westfield a fee for these services.
Mastrapasqua Asset Management, Inc. (Mastrapasqua) has been retained by the
Adviser to manage the investments of the Growth Opportunities Fund. The Adviser
(not the Fund) pays Mastrapasqua a fee for these services.
Todd Investment Advisors, Inc. (Todd), an Affiliate of the Adviser, has been
retained by the Adviser to manage the investments of the Large Cap Core Equity
Fund. The Adviser (not the Fund) pays Todd a fee for these services.
Navellier & Associates, Inc. (Navellier) has been retained by the Adviser to
manage the investments of the Large Cap Growth Fund. The Adviser (not the Fund)
pays Navellier a fee for these services.
Bjurman, Barry & Associates (Bjurman) has been retained by the Adviser to manage
the investments of the Micro Cap Growth Fund. The Adviser (not the Fund) pays
Bjurman a fee for these services.
Longwood Investment Advisors, Inc. (Longwood) and Bjurman have been retained by
the Adviser to manage the investments of the Small Cap Growth Fund. The Adviser
(not the Fund) pays Longwood and Bjurman a fee for these services.
Fort Washington Investment Advisors, Inc. (Fort Washington), an Affiliate of the
Adviser, has been retained by the Adviser to manage the investments of the Value
Plus Fund. The Adviser (not the Fund) pays Fort Washington a fee for these
services.
The Adviser has entered into an agreement to contractually limit operating
expenses of certain Funds. The maximum operating expense limit in any year with
respect to a Fund is based on a percentage of the average daily net assets of
the Fund. The Adviser has agreed to waive advisory fees and reimburse expenses
in order to maintain expense limitations for the Large Cap Growth Fund as
follows: 1.30% for Class A shares, 2.25% for Class B shares, and 2.25% for Class
C shares. These expense limitations shall remain in effect until October 6,
2005.
42
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
ADMINISTRATION AGREEMENT
Under the terms of an Administration Agreement, Integrated supplies executive
and regulatory compliance services, supervises the preparation of tax returns,
and coordinates the preparation of reports to shareholders and reports to and
filings with the Securities and Exchange Commission and state securities
authorities and materials for meetings of the Board of Trustees. For these
services, Integrated receives a monthly fee from each Fund.
TRANSFER AGENT AGREEMENT
Under the terms of the Transfer Agent Agreement between the Trust and
Integrated, Integrated maintains the records of each shareholder's account,
answers shareholders' inquiries concerning their accounts, processes purchases
and redemptions of each Fund's shares, acts as dividend and distribution
disbursing agent and performs other shareholder service functions. For these
services, Integrated receives a monthly fee per shareholder account from each
Fund, subject to a minimum monthly fee for each Fund, or for each class of
shares of a Fund, as applicable. In addition, each Fund pays Integrated
out-of-pocket expenses including, but not limited to, postage and supplies.
ACCOUNTING SERVICES AGREEMENT
Under the terms of the Accounting Services Agreement between the Trust and
Integrated, Integrated calculates the daily net asset value per share and
maintains the financial books and records. For these services, Integrated
receives a monthly fee, based on current net asset levels from each Fund. In
addition, each Fund pays Integrated certain out-of-pocket expenses incurred by
Integrated in obtaining valuations of such Fund's portfolio securities.
UNDERWRITING AGREEMENT
The Underwriter is the Funds' principal underwriter and, as such, acts as the
exclusive agent for distribution of the Funds' shares. Under the terms of the
Underwriting Agreement between the Trust and Underwriter, the Underwriter earned
the following from underwriting and broker commissions on the sale of shares of
the following Funds for the period ended September 30, 2004:
Emerging Growth Fund $ 102,511
Growth Opportunities Fund $ 5,248
Large Cap Core Equity Fund $ 4,815
Large Cap Growth Fund $ 49,874
Micro Cap Growth Fund $ 26,133
Small Cap Growth Fund $ 11,683
Value Plus Fund $ 1,757
In addition, the Underwriter collected the following contingent deferred sales
charges on the redemption of Class B and Class C shares of the following Funds
during the period ended September 30, 2004:
Emerging Growth Fund $ 80,464
Growth Opportunities Fund $ 9,720
Large Cap Core Equity Fund $ 3,782
Large Cap Growth Fund $ 11,976
Micro Cap Growth Fund $ 47
Small Cap Growth Fund $ 8,965
Value Plus Fund $ 211
43
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
PLANS OF DISTRIBUTION
The Trust has a Plan of Distribution (Class A Plan) under which Class A shares
of each Fund may directly incur or reimburse the Adviser or the Underwriter for
expenses related to the distribution and promotion of shares. The annual
limitation for payment of such expenses under the Class A Plan is 0.25% of
average daily net assets attributable to such shares.
The Trust also has a Plan of Distribution (Class B and Class C Plan) under which
Class B and Class C shares of each Fund may directly incur or reimburse the
Adviser or the Underwriter for expenses related to the distribution and
promotion of shares. The annual limitation for payment of such expenses under
the Class B and Class C Plan is 1.00% of average daily net assets attributable
to Class B and Class C shares.
SPONSOR AGREEMENT
The Trust, on behalf of the Emerging Growth Fund, Large Cap Core Equity Fund,
Micro Cap Growth Fund, Small Cap Growth Fund, and Value Plus Fund, has entered
into a Sponsor Agreement with the Adviser. The Adviser provides oversight of the
various service providers to the Funds, including the Funds' administrator,
custodian and transfer agent. The Adviser receives a fee from each Fund equal on
an annual basis to 0.20% of the average daily net assets of that Fund. The
Adviser agreed to waive all fees until March 31, 2005, as needed to maintain
each Fund's expenses at a set level. The Sponsor Agreement may be terminated by
the Adviser, the Board of Trustees or the vote of a majority of the outstanding
voting securities of each Fund with 30 days written notice.
Pursuant to a Sponsor Agreement, between the Adviser and the Trust, the Adviser
has agreed to waive its fees and reimburse expenses in order to limit certain
Fund's annual expenses as follows: Emerging Growth Fund - 1.50% for Class A
shares, 2.25% for Class B and Class C shares; Large Cap Core Equity Fund - 1.00%
for Class A shares, 1.75% for Class B and Class C shares; Micro Cap Growth Fund
- - 1.95% for Class A shares, 2.70% for Class C shares; Small Cap Growth Fund -
1.95% for Class A shares, 2.70% for Class B and Class C shares, 1.55% for Class
I shares; Value Plus Fund - 1.30% for Class A shares, 2.05% for Class B and
Class C shares. These fee waivers and expense limitations are in effect for all
Funds except the Micro Cap Growth Fund until March 31, 2005. The fee waivers and
expense limitations for the Micro Cap Growth Fund are in effect until March 31,
2006.
During the six months ended September 30, 2004, the Adviser waived Sponsor fees
as follows:
Emerging Growth Fund $ 139,263
Large Cap Core Equity Fund $ 12,631
Micro Cap Growth Fund $ 6,546
Small Cap Growth Fund $ 76,299
Value Plus Fund $ 74,609
44
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
5. CAPITAL SHARE TRANSACTIONS
Proceeds and payments on capital shares as shown in the Statements of Changes in
Net Assets are the result of the following capital share transactions for the
periods shown:
- --------------------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED SEPT. 30, ENDED
2004 MARCH 31, 2004 MARCH 31, 2004 MARCH 31,
(UNAUDITED) 2004 (UNAUDITED) 2004 (UNAUDITED) 2004
- --------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold .................................. 6,825,995 14,941,630 679,212 2,561,302 92,750 120,345
Shares reinvested ............................ -- -- -- -- -- 5,313
Shares redeemed .............................. (3,183,082) (4,876,741) (2,199,526) (2,699,942) (70,483) (69,892)
--------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding. 3,642,913 10,064,889 (1,520,314) (138,640) 22,267 55,766
Shares outstanding, beginning of period ...... 21,097,098 11,032,209 6,512,520 6,651,160 965,679 909,913
--------------------------------------------------------------------------------
Shares outstanding, end of period ............ 24,740,011 21,097,098 4,992,206 6,512,520 987,946 965,679
================================================================================
CLASS B
Shares sold .................................. 440,354 1,436,646 10,328 39,997 51,773 91,503
Shares reinvested ............................ -- -- -- -- -- 188
Shares redeemed .............................. (159,132) (288,448) (27,833) (34,568) (18,804) (39,542)
--------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding. 281,222 1,148,198 (17,505) 5,429 32,969 52,149
Shares outstanding, beginning of period ...... 3,240,900 2,092,702 208,476 203,047 161,079 108,930
--------------------------------------------------------------------------------
Shares outstanding, end of period ............ 3,522,122 3,240,900 190,971 208,476 194,048 161,079
================================================================================
CLASS C
Shares sold .................................. 2,642,660 6,236,733 46,357 230,034 10,926 162,890
Shares reinvested ............................ -- -- -- -- -- 288
Shares redeemed .............................. (988,646) (1,454,131) (175,787) (377,297) (51,972) (51,128)
--------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding. 1,654,014 4,782,602 (129,430) (147,263) (41,046) 112,050
Shares outstanding, beginning of period ...... 12,572,773 7,790,171 1,637,558 1,784,821 248,896 136,846
--------------------------------------------------------------------------------
Shares outstanding, end of period ............ 14,226,787 12,572,773 1,508,128 1,637,558 207,850 248,896
================================================================================
- --------------------------------------------------------------------------------------------------------------------------------
45
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- --------------------------------------------------------------------------------------------------
LARGE CAP
GROWTH
FUND
- --------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED THREE MONTHS YEAR
SEPT. 30, ENDED ENDED
2004 MARCH 31, DEC. 31,
(UNAUDITED) 2004 2003
- --------------------------------------------------------------------------------------------------
CLASS A
Shares sold ............................... 2,998,102 416,560 916,519
Shares reinvested ......................... -- -- 2,561,534
Shares redeemed ........................... (496,740) (143,232) (850,347)
-------------------------------------------------
Net increase in shares outstanding ........ 2,501,362 273,328 2,627,706
Shares outstanding, beginning of period ... 4,035,502 3,762,174 1,134,468
-------------------------------------------------
Shares outstanding, end of period ......... 6,536,864 4,035,502 3,762,174
=================================================
CLASS B
Shares sold ............................... 195,987 53,919 35,834
Shares reinvested ......................... -- -- 33,380
Shares redeemed ........................... (23,616) (4,649) (8,449)
-------------------------------------------------
Net increase in shares outstanding ........ 172,371 49,270 60,765
Shares outstanding, beginning of period ... 110,035 60,765 --
-------------------------------------------------
Shares outstanding, end of period ......... 282,406 110,035 60,765
=================================================
CLASS C
Shares sold ............................... 657,845 105,172 78,268
Shares reinvested ......................... -- -- 77,097
Shares redeemed ........................... (26,474) (4,615) (6,005)
-------------------------------------------------
Net increase in shares outstanding ........ 631,371 100,557 149,360
Shares outstanding, beginning of period ... 249,917 149,360 --
-------------------------------------------------
Shares outstanding, end of period ......... 881,288 249,917 149,360
=================================================
- --------------------------------------------------------------------------------------------------
46
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- ----------------------------------------------------------------------------------------------------------------------------
MICRO CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------
PERIOD SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED YEAR
SEPT.30, SEPT. 30, ENDED SEPT. 30, ENDED
2004(A) 2004(B) MARCH 31, 2004 MARCH 31,
(UNAUDITED) (UNAUDITED) 2004 (UNAUDITED) 2004
- ----------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold .................................... 1,442,782 826,199 2,140,689 1,118,769 576,417
Shares reinvested .............................. -- -- 52,792 -- 42,224
Shares redeemed ................................ (9,945) (1,236,063) (444,544) (216,310) (436,399)
-------------------------------------------------------------------------
Net increase (decrease) in shares outstanding .. 1,432,837 (409,864) 1,748,937 902,459 182,242
Shares outstanding, beginning of period ........ -- 3,306,640 1,557,703 6,369,601 6,187,359
-------------------------------------------------------------------------
Shares outstanding, end of period .............. 1,432,837 2,896,776 3,306,640 7,272,060 6,369,601
=========================================================================
CLASS B
Shares sold .................................... -- 74,292 367,456 18,102 38,408
Shares reinvested .............................. -- -- 7,879 -- 221
Shares redeemed ................................ -- (37,185) (26,164) (6,362) (12,353)
-------------------------------------------------------------------------
Net increase in shares outstanding ............. -- 37,107 349,171 11,740 26,276
Shares outstanding, beginning of period ........ -- 492,604 143,433 77,422 51,146
-------------------------------------------------------------------------
Shares outstanding, end of period .............. -- 529,711 492,604 89,162 77,422
=========================================================================
CLASS C
Shares sold .................................... 464,744 320,734 745,002 24,580 38,680
Shares reinvested .............................. -- -- 7,805 -- 570
Shares redeemed ................................ (3,362) (85,458) (145,961) (20,491) (57,927)
-------------------------------------------------------------------------
Net increase (decrease) in shares outstanding .. 461,382 235,276 606,846 4,089 (18,677)
Shares outstanding, beginning of period ........ -- 917,638 310,792 190,821 209,498
-------------------------------------------------------------------------
Shares outstanding, end of period .............. 461,382 1,152,914 917,638 194,910 190,821
=========================================================================
CLASS I
Shares sold .................................... -- 1,751,718 -- -- --
Shares redeemed ................................ -- (34,118) -- -- --
-------------------------------------------------------------------------
Net increase in shares outstanding ............. -- 1,717,600 -- -- --
Shares outstanding, beginning of period ........ -- -- -- -- --
-------------------------------------------------------------------------
Shares outstanding, end of period .............. -- 1,717,600 -- -- --
=========================================================================
- ----------------------------------------------------------------------------------------------------------------------------
(A) Represents the period from commencement of operations (June 22, 2004)
through September 30, 2004.
(B) Except Class I shares which represents the period from commencement of
operations (May 5, 2004) through September 30, 2004.
47
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
6. RISKS ASSOCIATED WITH FOREIGN SECURITIES
Investments in securities of foreign issuers carry certain risks not ordinarily
associated with investments in securities of domestic issuers. Such risks
include future political and economic developments and the possible imposition
of exchange controls or other foreign governmental laws and restrictions. In
addition, with respect to certain countries, there is the possibility of
expropriation of assets, confiscatory taxation, political or social instability
or diplomatic developments, which could adversely affect investments in those
countries.
Certain countries may also impose substantial restrictions on investments in
their capital markets by foreign entities, including restrictions on investments
in issuers or industries deemed sensitive to relevant national interests. These
factors may limit the investment opportunities available to a Fund or result in
a lack of liquidity and high price volatility with respect to securities of
issuers from developing countries.
7. RISKS ASSOCIATED WITH SMALL CAPITALIZATION INVESTING
Emerging growth funds and small cap funds typically carry additional risks since
smaller companies generally have a higher risk of failure. Historically, smaller
companies have experienced a greater degree than average of market volatility.
8. ACQUISITIONS
On October 3, 2003, a Special Meeting of Shareholders of the Navellier
Performance Large Cap Growth Portfolio, a series of the Navellier Performance
Funds, and of the Navellier Millennium Large Cap Growth Portfolio, a series of
the Navellier Millenium Funds, was held to approve or disapprove an Agreement
and Plan of Reorganization providing for the acquisition of all of the assets
and liabilities of Navellier Performance Large Cap Growth Portfolio and
Navellier Millennium Large Cap Growth Portfolio by Touchstone Large Cap Growth
Fund, in exchange for shares of the Touchstone Large Cap Growth Fund Class A,
Class B and Class C shares.
The merger was completed on October 4, 2003. Upon completion of the merger,
Navellier Performance Large Cap Growth Portfolio became the accounting and
performance survivor, while the Touchstone Large Cap Growth Fund remained as the
legal and tax survivor.
48
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
The following is a summary of shares outstanding, net assets, net asset value
per share, unrealized appreciation (depreciation) and accumulated net realized
gains (losses) immediately before and after the reorganization:
AFTER
BEFORE REORGANIZATION REORGANIZATION
- -------------------------------------------------------------------------------------------------------------
NAVELLIER NAVELLIER
PERFORMANCE MILLENNIUM TOUCHSTONE TOUCHSTONE
LARGE CAP LARGE CAP LARGE CAP LARGE CAP
GROWTH GROWTH GROWTH GROWTH
PORTFOLIO PORTFOLIO FUND FUND
- -------------------------------------------------------------------------------------------------------------
Shares:
Class A ........................ 1,289,869 74,609 4,159,880 3,851,401
Class B ........................ -- 60,117 19,779 33,380
Class C ........................ -- 49,371 103,777 77,097
Net Assets:
Class A ........................ $ 19,929,229 $ 431,538 $ 39,180,214 $ 59,540,981
Class B ........................ $ -- $ 341,599 $ 174,187 $ 515,786
Class C ........................ $ -- $ 279,161 $ 910,821 $ 1,189,982
Net Asset Value:
Class A ........................ $ 15.45 $ 5.78 $ 9.42 $ 15.46
Class B ........................ $ -- $ 5.68 $ 8.81 $ 15.45
Class C ........................ $ -- $ 5.65 $ 8.78 $ 15.45
Unrealized Appreciation .......... $ 3,625,953 $ 206,378 $ 1,099,700 $ 4,932,031
Accumulated Net Realized Gains ... $(21,253,352) $ (428,229) $(35,298,142) $(56,979,723)
- -------------------------------------------------------------------------------------------------------------
The merger discussed above qualified as a tax-free exchange for Federal income
tax purposes.
9. COMMISSION RECAPTURE
Included in the Statements of Operations under the caption "Fees from commission
recapture" are amounts received by the Funds from certain brokers to whom
brokerage transactions have been directed.
10. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Funds enter into contracts that contain a
variety of representations and warranties and which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
that have not yet occurred. However, based on experience, the Funds expect the
risk of loss to be remote.
49
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 93.1% SHARES VALUE
- -------------------------------------------------------------------------------
OIL & GAS -- 10.1%
Amerada Hess Corp ................................. 127,400 $ 11,338,600
BJ Services Co .................................... 157,400 8,249,334
Chesapeake Energy Corp.+ .......................... 686,600 10,868,878
Cooper Cameron Corp.* ............................. 189,400 10,386,696
Devon Energy Corp ................................. 137,800 9,785,178
ENSCO International Inc ........................... 152,400 4,978,908
Pioneer Natural Resources Co ...................... 268,000 9,240,640
Smith International, Inc.* ........................ 141,300 8,581,149
Transocean Inc.* .................................. 317,050 11,344,050
------------
84,773,433
------------
MEDICAL SUPPLIES -- 7.3%
Beckman Coulter Inc.+ ............................. 126,200 7,082,344
Cytyc Corp.* ...................................... 409,600 9,891,840
Edwards Lifesciences Corp.* ....................... 255,800 8,569,300
Hillenbrand Industries, Inc ....................... 181,100 9,150,983
Omnicare, Inc ..................................... 270,700 7,677,052
Tektronix Inc ..................................... 274,100 9,113,825
Teradyne Inc.* .................................... 707,300 9,477,820
------------
60,963,164
------------
COMPUTERS & INFORMATION -- 5.9%
Check Point Software Technologies Ltd.* ........... 605,800 10,280,426
Diebold, Inc ...................................... 179,900 8,401,330
Maxtor Corp.* ..................................... 910,100 4,732,520
McAfee, Inc.* ..................................... 614,900 12,359,490
The Reynolds & Reynolds Company - Class A ......... 268,700 6,628,829
Unisys Corp.* ..................................... 679,100 7,008,312
------------
49,410,907
------------
HEALTH CARE PROVIDERS -- 5.8%
Community Health Systems, Inc.*+ .................. 396,800 10,586,624
Health Management Associates, Inc. - Class A ...... 222,500 4,545,675
Health Net Inc.* .................................. 485,650 12,005,268
Manor Care ........................................ 321,600 9,635,136
PacifiCare Health Systems, Inc.* .................. 309,000 11,340,300
------------
48,113,003
------------
BANKING -- 5.2%
Banknorth Group Inc ............................... 258,550 9,049,250
Investors Financial Services Corp.+ ............... 209,100 9,436,683
North Fork Bancorporation+ ........................ 267,900 11,908,155
Zions Bancorporation .............................. 210,900 12,873,336
------------
43,267,424
------------
MEDIA - BROADCASTING & PUBLISHING -- 5.0%
Andrew Corp.*+ .................................... 653,400 7,997,616
E.W. Scripps Co ................................... 169,000 8,074,820
Entercom Communications Corp.* .................... 86,000 2,808,760
The Readers Digest Association, Inc ............... 481,600 7,026,544
Univision Communications, Inc. - Class A* ......... 254,100 8,032,101
Westwood One, Inc.* ............................... 397,000 7,848,690
------------
41,788,531
------------
50
EMERGING GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 93.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
COMPUTER SOFTWARE & PROCESSING -- 4.8%
Alliance Data Systems Corp.* ....................... 220,800 $ 8,955,648
CheckFree Corp.* ................................... 146,100 4,042,587
Satyam Computer Services Ltd. - ADR+ ............... 355,500 8,219,160
VERITAS Software Corp.* ............................ 1,049,500 18,681,100
------------
39,898,495
------------
HEALTH CARE EQUIPMENT -- 4.1%
PerkinElmer Inc .................................... 934,610 16,093,984
Thermo Electron* ................................... 678,600 18,335,772
------------
34,429,756
------------
ELECTRONICS -- 3.6%
AMETEK, Inc ........................................ 160,900 4,878,488
Arrow Electronics Inc.*+ ........................... 393,400 8,882,972
Celestica, Inc.* ................................... 412,115 5,233,861
LSI Logic* ......................................... 184,795 796,466
Vishay Intertechnology Inc.*+ ...................... 808,300 10,427,070
------------
30,218,857
------------
HEAVY MACHINERY -- 3.4%
Dover Corp ......................................... 142,400 5,535,088
Pall Corp .......................................... 233,200 5,708,736
W.W. Grainger, Inc ................................. 189,700 10,936,205
York International Corp ............................ 190,100 6,005,259
------------
28,185,288
------------
TECHNOLOGY -- 3.2%
Cypress Semiconductor Corp.*+ ...................... 807,900 7,141,836
Lam Research Corp.* ................................ 404,800 8,857,024
Novellus Systems, Inc.* ............................ 415,700 11,053,463
------------
27,052,323
------------
PHARMACEUTICALS -- 3.2%
Andrx Corp.* ....................................... 88,000 1,967,680
Elan Corp. plc*+ ................................... 674,400 15,780,960
The Medicines Company* ............................. 367,100 8,861,794
------------
26,610,434
------------
RETAILERS -- 2.8%
The TJX Companies, Inc ............................. 258,200 5,690,728
Tiffany & Co ....................................... 202,600 6,227,924
Williams-Sonoma Inc.* .............................. 293,900 11,035,945
------------
22,954,597
------------
BIOTECHNOLOGY -- 2.4%
Celgene Corp.*+ .................................... 189,900 11,057,877
Charles River Laboratories International, Inc.* .... 187,300 8,578,340
------------
19,636,217
------------
INSURANCE -- 2.2%
Assurant, Inc ...................................... 411,700 10,704,200
Old Republic International Corp .................... 301,800 7,554,054
------------
18,258,254
------------
FINANCIAL SERVICES -- 1.9%
CapitalSource Inc.*+ ............................... 516,900 11,547,546
Piper Jaffray Companies, Inc.* ..................... 118,800 4,703,292
------------
16,250,838
------------
51
EMERGING GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 93.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
APPAREL RETAILERS -- 1.9%
Jones Apparel Group, Inc ........................... 271,880 $ 9,733,304
The Talbots Inc .................................... 258,400 6,405,736
------------
16,139,040
------------
INDUSTRIAL -- 1.9%
Roper Industries, Inc .............................. 163,100 9,371,726
Varian Inc.* ....................................... 178,500 6,759,795
------------
16,131,521
------------
HOUSEHOLD PRODUCTS -- 1.9%
Leggett & Platt, Inc ............................... 241,600 6,788,960
The Yankee Candle Co.* ............................. 305,900 8,858,864
------------
15,647,824
------------
COAL -- 1.9%
Arch Coal Inc ...................................... 314,800 11,172,252
CONSOL Energy, Inc ................................. 127,100 4,434,519
------------
15,606,771
------------
COMMERCIAL SERVICES -- 1.8%
Anixter International Inc.* ........................ 240,500 8,439,145
Career Education Corp.* ............................ 229,400 6,521,842
------------
14,960,987
------------
SEMICONDUCTORS -- 1.7%
National Semiconductor Corp.* ...................... 396,435 6,140,778
Semtech Corp.*+ .................................... 408,100 7,823,277
------------
13,964,055
------------
EMPLOYMENT SERVICES -- 1.3%
Monster Worldwide Inc.* ............................ 449,500 11,075,680
------------
AGRICULTURAL SERVICES -- 1.2%
Monsanto Co ........................................ 269,800 9,826,116
------------
TRANSPORT SERVICES -- 1.2%
Sirva, Inc.* ....................................... 421,800 9,659,220
------------
RESTAURANTS -- 1.1%
Darden Restaurants, Inc ............................ 397,900 9,279,028
------------
AEROSPACE & DEFENSE -- 1.1%
Alliant Techsystems Inc.* .......................... 145,500 8,802,750
------------
ADVERTISING -- 0.9%
The Interpublic Group of Companies, Inc.*+ ......... 727,000 7,698,930
------------
AIRLINES -- 0.9%
Southwest Airlines Co .............................. 530,200 7,221,324
------------
DEEP SEA PASSENGER TRANSPORTATION -- 0.8%
Royal Caribbean Cruises Ltd.+ ...................... 159,400 6,949,840
------------
ENGINEERING SERVICES -- 0.8%
EMCOR Group, Inc.* ................................. 175,265 6,593,469
------------
52
EMERGING GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 93.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
WASTE DISPOSAL -- 0.8%
Republic Services Inc ............................ 218,800 $ 6,511,488
------------
TELECOMMUNICATIONS -- 0.7%
Scientific-Atlanta, Inc .......................... 238,600 6,184,512
------------
MEDIA -- 0.3%
Cox Radio, Inc. - Class A* ....................... 155,000 2,312,600
------------
TOTAL COMMON STOCKS .............................. $776,376,676
------------
INVESTMENT FUNDS -- 11.4%
BBH Securities Lending Fund** .................... 94,937,869 $ 94,937,869
------------
TOTAL INVESTMENT SECURITIES -- 104.5%
(Cost $831,916,454) .............................. $871,314,545
LIABILITIES IN EXCESS OF OTHER ASSETS -- (4.5%) .. (37,434,863)
------------
NET ASSETS -- 100.0% ............................. $833,879,682
============
* Non-income producing security.
** Represents collateral for securities loaned.
+ All or a portion of the security is on loan.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
53
GROWTH OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 101.3% SHARES VALUE
- -------------------------------------------------------------------------------
HEALTH -- 33.6%
Affymetrix, Inc.*+ .................................. 150,000 $ 4,606,500
Alcon Inc ........................................... 41,000 3,288,200
Amgen, Inc.* ........................................ 68,700 3,893,916
Biogen Idec Inc.* ................................... 60,000 3,670,200
Cephalon Inc.*+ ..................................... 60,000 2,874,000
Fisher Scientific International Inc.* ............... 55,000 3,208,150
Genentech, Inc.* .................................... 79,000 4,141,180
Genzyme Corp.* ...................................... 60,000 3,264,600
Invitrogen Corp.* ................................... 57,400 3,156,426
Johnson & Johnson ................................... 47,000 2,647,510
Teva Pharmaceutical Industries Ltd. - ADR ........... 80,000 2,076,000
-------------
36,826,682
-------------
TECHNOLOGY -- 29.2%
Adobe Systems, Inc .................................. 60,000 2,968,200
Agilent Technologies, Inc.* ......................... 126,000 2,717,820
Analog Devices, Inc ................................. 90,000 3,490,200
EMC Corp.* .......................................... 366,500 4,229,410
Intel Corp .......................................... 145,000 2,908,700
Novellus Systems, Inc.* ............................. 80,000 2,127,200
Oracle Corp.* ....................................... 353,000 3,981,840
Sun Microsystems, Inc.* ............................. 650,000 2,626,000
Symantec Corp.* ..................................... 69,500 3,814,160
Texas Instruments, Inc .............................. 153,000 3,255,840
-------------
32,119,370
-------------
FINANCIAL SERVICES -- 8.2%
Goldman Sachs Group, Inc ............................ 34,000 3,170,160
Merrill Lynch & Co., Inc ............................ 74,000 3,679,280
Morgan Stanley ...................................... 45,000 2,218,500
-------------
9,067,940
-------------
RETAIL -- 7.1%
Home Depot, Inc ..................................... 92,000 3,606,400
The Gap, Inc ........................................ 150,000 2,805,000
TJX Companies, Inc .................................. 65,000 1,432,600
-------------
7,844,000
-------------
TRANSPORTATION -- 7.1%
Norfolk Southern Corp ............................... 95,000 2,825,300
Ryder Systems, Inc .................................. 75,000 3,528,000
Southwest Airlines Co ............................... 105,000 1,430,100
-------------
7,783,400
-------------
OIL & GAS -- 6.1%
Halliburton Company ................................. 100,000 3,369,000
Schlumberger Limited ................................ 50,000 3,365,500
-------------
6,734,500
-------------
HOTELS & MOTELS -- 3.0%
MGM MIRAGE* ......................................... 67,000 3,326,550
-------------
54
GROWTH OPPORTUNITIES FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 101.3% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.0%
Cisco Systems, Inc.* ............................... 180,000 $ 3,258,000
-------------
RESTAURANTS -- 2.7%
Wendy's International, Inc ......................... 90,000 3,024,000
-------------
INDUSTRIAL -- 1.3%
Danaher Corp ....................................... 27,000 1,384,560
-------------
TOTAL COMMON STOCKS ................................ $ 111,369,002
-------------
INVESTMENT FUNDS -- 6.7%
BBH Securities Lending Fund** ...................... 7,410,000 $ 7,410,000
-------------
TOTAL INVESTMENT SECURITIES -- 108.0%
(Cost $119,418,788) ................................ $ 118,779,002
LIABILITIES IN EXCESS OF OTHER ASSETS -- (8.0%) .... (8,801,327)
-------------
NET ASSETS -- 100.0% ............................... $ 109,977,675
=============
* Non-income producing security.
** Represents collateral for securities loaned.
+ All or a portion of the security is on loan.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
55
LARGE CAP CORE EQUITY FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 96.9% SHARES VALUE
- -------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 18.1%
Cisco Systems, Inc.* ............................. 16,500 $ 298,650
Computer Sciences Corp.* ......................... 10,200 480,420
Hewlett-Packard Co ............................... 18,300 343,125
Intel Corp ....................................... 13,800 276,828
International Business Machines Corp. (IBM) ...... 4,300 368,682
Microsoft Corp ................................... 16,400 453,460
-----------
2,221,165
-----------
INDUSTRIAL -- 17.0%
3M Co ............................................ 5,000 399,850
Caterpiller, Inc ................................. 5,400 434,430
General Electric Co .............................. 12,400 416,392
Honeywell International, Inc ..................... 11,800 423,148
United Technologies Corp ......................... 4,400 410,872
-----------
2,084,692
-----------
CONSUMER STAPLES -- 16.0%
Altria Group, Inc ................................ 7,400 348,096
Coca-Cola Co ..................................... 7,800 312,390
Kimberly-Clark Corp .............................. 6,700 432,753
Procter & Gamble Co .............................. 8,000 432,960
Wal-Mart Stores, Inc ............................. 8,400 446,880
-----------
1,973,079
-----------
CONSUMER DISCRETIONARY -- 10.0%
Best Buy Co., Inc ................................ 8,200 444,768
Home Depot, Inc .................................. 10,800 423,360
The Walt Disney Co.* ............................. 16,300 367,565
-----------
1,235,693
-----------
FINANCIAL SERVICES -- 9.9%
American Express Co .............................. 7,500 385,950
Bank of America Corp ............................. 10,200 441,966
Citigroup, Inc ................................... 9,016 397,786
-----------
1,225,702
-----------
HEALTH -- 9.6%
Anthem, Inc.* .................................... 5,800 506,050
Cardinal Health, Inc ............................. 5,800 253,866
Johnson & Johnson ................................ 7,600 428,108
-----------
1,188,024
-----------
INSURANCE -- 3.9%
American International Group ..................... 7,000 475,930
-----------
ENERGY -- 3.8%
Exxon Mobil Corp ................................. 9,800 473,634
-----------
TELECOMMUNICATION SERVICE -- 3.2%
SBC Communications, Inc .......................... 15,400 399,630
-----------
56
LARGE CAP CORE EQUITY FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS -- 96.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 2.9%
Du Pont (E.I.) DE Nemours ........................ 8,500 $ 363,800
-----------
FINANCIAL -- 2.5%
JP Morgan Chase & Co ............................. 7,900 313,867
-----------
TOTAL COMMON STOCKS -- 96.9%
(Cost $10,926,927) ............................... $11,955,216
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.1% .... 377,244
-----------
NET ASSETS -- 100.0% ............................. $12,332,460
===========
* Non-income producing security.
See accompanying notes to financial statements.
57
LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS -- 96.7% SHARES VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 21.2%
America Movil S.A. - ADR ......................... 134,055 $ 5,232,167
Corning, Inc.* ................................... 243,295 2,695,709
Mobile Telesystems - ADR ......................... 32,125 4,657,804
Motorola, Inc .................................... 165,270 2,981,471
Nextel Communications - Class A* ................. 94,560 2,254,310
QUALCOMM, Inc .................................... 154,255 6,022,114
Research In Motion Ltd.* ......................... 61,520 4,696,437
------------
28,540,012
------------
OIL & GAS -- 12.9%
Apache ........................................... 74,380 3,727,182
Burlington Resources, Inc ........................ 57,850 2,360,280
ChevronTexaco Corp ............................... 45,895 2,461,808
ConocoPhillips ................................... 55,090 4,564,206
Occidental Petroleum Corp ........................ 73,445 4,107,779
------------
17,221,255
------------
HEALTH -- 11.7%
Alcon, Inc ....................................... 49,570 3,975,515
Biomet, Inc ...................................... 76,205 3,572,490
Genentech, Inc.* ................................. 52,330 2,743,139
Stryker Corp.* ................................... 54,180 2,604,974
Zimmer Holdings, Inc.* ........................... 34,885 2,757,310
------------
15,653,428
------------
HOUSEHOLD PRODUCTS -- 9.9%
Avon Products, Inc ............................... 99,165 4,331,527
Procter & Gamble Co .............................. 67,015 3,626,852
The Clorox Co .................................... 47,750 2,545,075
The Gillette Co .................................. 66,105 2,759,223
------------
13,262,677
------------
INTERNET -- 9.7%
Cisco Systems, Inc.* ............................. 224,030 4,054,943
eBay, Inc.* ...................................... 47,750 4,390,135
Yahoo!, Inc.* .................................... 133,140 4,514,777
------------
12,959,855
------------
COMPUTER SOFTWARE & SERVICES -- 8.0%
Infosys Technologies Ltd. - ADR+ ................. 93,650 5,300,590
Symantec Corp.* .................................. 97,320 5,340,922
------------
10,641,512
------------
COMPUTERS & INFORMATION -- 7.9%
Apple Computer, Inc.* ............................ 165,270 6,404,213
Dell, Inc.* ...................................... 118,435 4,216,286
------------
10,620,499
------------
RESTAURANTS -- 5.0%
McDonald's Corp.* ................................ 100,990 2,830,750
Starbucks Corp.* ................................. 85,395 3,882,056
------------
6,712,806
------------
MANUFACTURING - DIVERSIFIED -- 3.6%
3M Co ............................................ 59,670 4,771,810
------------
58
LARGE CAP GROWTH FUND
(CONTINUED)
================================================================================
MARKET
COMMON STOCKS -- 96.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FOOD -- 2.4%
Hershey Foods Corp ............................... 69,775 $ 3,259,190
------------
RETAILERS -- 2.3%
J.C. Penney Company, Inc ......................... 85,395 3,012,736
------------
FINANCIAL SERVICES -- 2.1%
Countrywide Financial Corp ....................... 69,775 2,748,437
------------
TOTAL COMMON STOCKS .............................. $129,404,217
------------
INVESTMENT FUNDS -- 3.7%
BBH Securities Lending Fund** .................... 4,942,294 $ 4,942,294
------------
TOTAL INVESTMENT SECURITIES -- 100.4%
(Cost $118,170,167) .............................. $134,346,511
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.4%) .. (582,189)
------------
NET ASSETS -- 100.0% ............................. $133,764,322
============
* Non-income producing security.
** Represents collateral for securities loaned.
+ All or a portion of the security is on loan.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
59
MICRO CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 95.5% SHARES VALUE
- -------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 37.6%
ADE Corp.* ....................................... 14,015 $ 238,746
Advanced Power Technology, Inc.* ................. 20,700 176,157
AMX Corp.* ....................................... 16,800 303,072
Argon State, Inc.* ............................... 12,900 361,200
CAM Commerce Solutions, Inc.* .................... 9,100 130,039
Color Kinetics, Inc.* ............................ 12,700 162,560
Corillian Corp.* ................................. 35,200 162,272
CryptoLogic, Inc ................................. 17,600 272,624
CyberOptics Corp.* ............................... 10,000 154,400
Digi International, Inc.* ........................ 30,000 342,900
Diodes, Inc.* .................................... 12,600 324,576
Essex Corp.* ..................................... 30,000 345,900
FARO Technologies, Inc.* ......................... 9,700 197,298
inTEST Corp.* .................................... 15,000 116,700
Jupitermedia Corp.* .............................. 17,800 316,840
Manchester Technologies, Inc.* ................... 52,800 264,528
Measurement Specialties, Inc.* ................... 13,300 330,505
Moldflow Corp.* .................................. 12,600 151,200
NVE Corp.*+ ...................................... 7,940 262,417
RAE Systems, Inc.* ............................... 50,000 279,000
Stratasys, Inc.*+ ................................ 14,900 470,169
Tyler Technologies, Inc.* ........................ 24,500 216,580
United Industrial Corp ........................... 10,000 328,900
Video Display Corp.*+ ............................ 11,200 358,848
VSE Corp ......................................... 12,500 383,125
X-Rite, Inc ...................................... 12,100 176,297
-----------
6,826,853
-----------
HEALTH CARE -- 12.9%
Acambis PLC - ADR* ............................... 8,700 95,439
American Science & Engineering, Inc.* ............ 13,000 428,350
Clinical Data, Inc ............................... 13,275 212,400
Dialysis Corporation of America* ................. 12,800 66,291
Exactech, Inc.* .................................. 15,000 306,750
IRIS International, Inc.* ........................ 30,000 238,500
LifeCell Corp.* .................................. 31,000 310,000
Mesa Laboratories, Inc ........................... 12,000 141,480
Misonix, Inc.*+ .................................. 30,100 205,583
Palomar Medical Technologies, Inc.* .............. 15,300 335,376
-----------
2,340,169
-----------
BASIC MATERIALS -- 7.7%
American Vanguard Corp ........................... 8,000 285,920
NS Group, Inc.* .................................. 15,800 292,300
The Andersons, Inc ............................... 10,300 214,755
The Hallwood Group, Inc.* ........................ 4,000 336,000
Universal Stainless & Alloy Products, Inc.* ...... 20,000 275,000
-----------
1,403,975
-----------
60
MICRO CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 95.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 7.7%
Deckers Outdoor Corp.*+ .......................... 8,200 $ 278,800
Delta Apparel, Inc ............................... 10,700 254,660
Hansen Natural Corp.*+ ........................... 11,100 267,732
Parlux Fragrances, Inc.* ......................... 30,000 390,000
Rocky Mountain Chocolate Factory, Inc ............ 16,200 202,500
-----------
1,393,692
-----------
PRODUCER MANUFACTURING -- 7.2%
Cohesant Technologies, Inc ....................... 17,500 166,600
Juno Lighting, Inc ............................... 4,000 121,360
Olympic Steel, Inc.* ............................. 3,300 62,370
Spartan Motors, Inc .............................. 23,100 324,324
Sun Hydraulics Corp .............................. 14,500 185,310
Titan International, Inc.+ ....................... 27,800 266,880
Wolverine Tube, Inc.* ............................ 15,000 173,250
-----------
1,300,094
-----------
FINANCE -- 6.9%
American Physicians Capital, Inc.* ............... 10,200 312,324
AMREP Corp ....................................... 7,000 121,800
Capital Properties, Inc .......................... 7,200 105,120
Five Star Quality Care, Inc.* .................... 24,000 171,600
Independence Holding Co .......................... 7,700 136,059
Texas Pacific Land Trust* ........................ 4,000 399,840
-----------
1,246,743
-----------
ENERGY -- 5.8%
Callon Petroleum Co.* ............................ 14,300 181,324
Dawson Geophysical Co.* .......................... 12,200 255,346
Edge Petroleum Corp.* ............................ 10,700 170,879
Petroleum Development Corp.* ..................... 7,000 306,740
Pioneer Drilling Co.* ............................ 16,800 141,120
-----------
1,055,409
-----------
CONSUMER DURABLES -- 3.1%
Lifetime Hoan Corp ............................... 6,000 89,100
National R.V. Holdings, Inc.* .................... 14,800 183,964
R&B, Inc.* ....................................... 8,100 177,066
The Dixie Group, Inc.* ........................... 10,600 119,250
-----------
569,380
-----------
COMMERCIAL/INDUSTRIAL SERVICES -- 2.7%
Cantel Medical Corp.* ............................ 10,200 244,800
Rush Enterprises, Inc.* .......................... 14,000 153,300
SITEL Corp.* ..................................... 42,300 91,368
-----------
489,468
-----------
RETAIL TRADE -- 1.7%
The Sportsman's Guide, Inc.* ..................... 15,000 303,450
-----------
61
MICRO CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 95.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.4%
Monarch Casino & Resort, Inc.* ................... 13,800 $ 263,166
-----------
TRANSPORTATION -- 0.8%
U.S. Xpress Enterprises, Inc.* ................... 8,100 150,174
-----------
TOTAL COMMON STOCKS .............................. $17,342,573
-----------
INVESTMENT FUNDS -- 9.6%
BBH Securities Lending Fund** .................... 1,735,628 $ 1,735,628
-----------
TOTAL INVESTMENT SECURITIES -- 105.1%
(Cost $18,332,143) ............................... $19,078,201
LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.1%) .. (926,966)
-----------
NET ASSETS -- 100.0% ............................. $18,151,235
===========
* Non-income producing security.
** Represents collateral for securities loaned.
+ All or a portion of the security is on loan.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
62
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 92.3% SHARES VALUE
- -------------------------------------------------------------------------------
HEALTHCARE -- 24.1%
Allscripts Healthcare Solutions, Inc.*+ .......... 145,200 $ 1,306,800
Amedisys, Inc.* .................................. 13,000 389,350
American Science and Engineering, Inc.* .......... 10,300 339,385
Axonyx Inc.*+ .................................... 157,650 890,723
Beverly Enterprises, Inc.* ....................... 272,700 2,064,339
Bradley Pharmaceuticals, Inc.*+ .................. 11,000 223,850
Clinical Data, Inc ............................... 2,000 32,000
Connetics Corp.*+ ................................ 98,700 2,666,873
Dialysis Corporation of America* ................. 19,800 102,544
DJ Orthopedics Inc.* ............................. 88,300 1,558,495
eResearch Technology, Inc.*+ ..................... 25,500 339,915
Exactech, Inc.* .................................. 27,000 552,150
First Horizon Pharmaceutical Corp.* .............. 29,100 582,291
FMC Corp.* ....................................... 46,900 2,277,933
Gen-Probe Inc.* .................................. 40,250 1,604,768
Genitope Corp.* .................................. 23,900 237,088
Healthcare Services Group, Inc ................... 29,750 534,310
Horizon Health Corp.* ............................ 16,000 337,600
Inspire Pharmaceuticals, Inc.* ................... 100,950 1,587,944
IRIS International, Inc.* ........................ 30,000 238,500
LifeCell Corp.* .................................. 36,500 365,000
Mesa Laboratories, Inc ........................... 8,200 96,678
Misonix, Inc.*+ .................................. 28,800 196,704
Palomar Medical Technologies, Inc.* .............. 27,800 609,376
Somanetics Corp.* ................................ 30,000 394,500
Telik, Inc.* ..................................... 128,335 2,861,870
Ventiv Health, Inc.* ............................. 14,800 250,860
------------
22,641,846
------------
TECHNOLOGY -- 13.3%
Akamai Technologies, Inc.*+ ...................... 149,550 2,101,178
Ask Jeeves, Inc* ................................. 103,400 3,382,214
CNET Networks, Inc.* ............................. 169,800 1,553,670
Epicor Software Corp.* ........................... 31,000 372,930
FARO Technologies, Inc.* ......................... 19,300 392,562
Genesis Microchip Inc.* .......................... 86,650 1,169,775
InfoSpace, Inc.* ................................. 76,150 3,608,748
------------
12,581,077
------------
COMMUNICATIONS -- 12.1%
Alamosa Holdings, Inc.*+ ......................... 300,950 2,299,258
Crown Castle International Corp.* ................ 86,053 1,280,469
Harmonic, Inc.* .................................. 144,000 957,600
NII Holdings, Inc. - Class B*+ ................... 76,200 3,140,202
Novatel Wireless, Inc.* .......................... 80,000 1,880,000
Sonus Networks, Inc.* ............................ 253,100 1,424,953
The Middleby Corp ................................ 7,000 368,550
------------
11,351,032
------------
63
SMALL CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 92.3% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 11.9%
ADE Corp.* ....................................... 24,800 $ 422,468
Advanced Power Technology, Inc.* ................. 45,600 388,056
AMX Corp.* ....................................... 25,000 451,000
Applied Signal Technology, Inc ................... 15,000 479,850
Argon State, Inc.* ............................... 14,900 417,200
Bel Fuse Inc ..................................... 15,000 496,200
CAM Commerce Solutions, Inc.* .................... 15,400 220,066
Color Kinetics, Inc.* ............................ 19,600 250,880
Corillian Corp.* ................................. 40,400 186,244
CryptoLogic, Inc ................................. 36,000 557,640
CyberOptics Corp.* ............................... 20,000 308,800
Digi International Inc.* ......................... 40,000 457,200
Diodes, Inc.* .................................... 13,000 334,880
Essex Corp.* ..................................... 43,900 506,167
inTEST Corp.* .................................... 20,000 155,600
Jupitermedia Corp.* .............................. 33,400 594,520
LaBarge, Inc.* ................................... 40,000 324,000
Manchester Technologies, Inc.* ................... 47,000 235,470
Measurement Specialties, Inc.* ................... 5,700 141,645
NIC Inc.* ........................................ 30,000 160,800
NVE Corp.*+ ...................................... 8,100 267,705
Pacific Internet Ltd.* ........................... 24,800 164,672
RAE Systems Inc.*+ ............................... 50,700 282,906
Stratasys, Inc.*+ ................................ 6,600 208,263
Teledyne Technologies, Inc.* ..................... 71,000 1,777,840
Tyler Technologies, Inc.* ........................ 40,500 358,020
United Industrial Corp ........................... 14,400 473,616
Video Display Corp.*+ ............................ 17,000 544,680
X-Rite, Inc ...................................... 1,700 24,769
------------
11,191,157
------------
ENERGY -- 9.0%
Brigham Exploration Company* ..................... 95,950 901,930
Callon Petroleum Co.* ............................ 20,500 259,940
Dawson Geophysical Co.* .......................... 23,800 498,134
Edge Petroleum Corp.* ............................ 17,900 285,863
Grant Prideco, Inc.* ............................. 77,600 1,590,023
Hydril* .......................................... 35,450 1,522,578
InterOil Corp.*+ ................................. 47,750 1,057,663
Petroleum Development Corp.* ..................... 12,000 525,840
Pioneer Drilling Co.* ............................ 34,200 287,280
Spinnaker Exploration Company* ................... 43,699 1,531,213
------------
8,460,464
------------
FINANCIAL SERVICES -- 5.6%
American Physicians Capital, Inc.* ............... 9,000 275,580
Bluegreen Corp.* ................................. 1,800 20,034
Five Star Quality Care, Inc.* .................... 39,400 281,710
Friedman, Billings, Ramsey Group, Inc ............ 144,900 2,767,590
Independence Holding Co .......................... 12,300 217,341
Metris Companies Inc.*+ .......................... 174,300 1,704,654
------------
5,266,909
------------
64
SMALL CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 92.3% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
COMMERCIAL/INDUSTRIAL SERVICES -- 4.4%
Crown Holdings, Inc.* .......................... 126,858 $ 1,307,906
EVCI Career Colleges Inc.*+ .................... 21,800 154,017
SITEL Corp.* ................................... 37,300 80,568
SupportSoft, Inc.* ............................. 130,000 1,266,200
Veeco Instruments Inc.* ........................ 60,900 1,277,073
------------
4,085,764
------------
BASIC MATERIALS -- 2.3%
American Vanguard Corp.+ ....................... 7,400 264,476
Ceradyne, Inc.* ................................ 20,000 878,200
NS Group, Inc.* ................................ 28,000 518,000
The Andersons, Inc ............................. 9,500 198,075
The Hallwood Group, Inc.* ...................... 3,400 285,600
------------
2,144,351
------------
EDUCATION -- 2.2%
Laureate Education, Inc.* ...................... 55,100 2,050,822
------------
PRODUCER MANUFACTURING -- 1.8%
Cohesant Technologies, Inc ..................... 7,300 69,496
Daktronics, Inc.* .............................. 19,400 474,330
Met-Pro Corp ................................... 17,800 234,070
Olympic Steel, Inc.* ........................... 9,600 181,440
Spartan Motors, Inc ............................ 9,900 138,996
Sun Hydraulics Corp ............................ 24,000 306,720
Wolverine Tube, Inc.* .......................... 20,500 236,775
------------
1,641,827
------------
CONSUMER DURABLES -- 1.6%
Keystone Automotive Industries, Inc.* .......... 14,000 308,000
Lifetime Hoan Corp ............................. 5,900 87,615
Navarre Corp.*+ ................................ 36,100 523,089
R&B, Inc.* ..................................... 6,400 139,904
Steinway Musical Instruments, Inc.* ............ 7,000 190,400
The Dixie Group, Inc.* ......................... 18,300 205,875
------------
1,454,883
------------
CONSUMER NON-DURABLES -- 1.4%
Deckers Outdoor Corp.*+ ........................ 10,000 340,000
Geopharma, Inc.* ............................... 36,500 150,380
Hansen Natural Corp.*+ ......................... 20,000 482,400
Rocky Mountain Chocolate Factory, Inc.+ ........ 13,700 171,250
Rocky Shoes & Boots, Inc.* ..................... 11,500 201,250
------------
1,345,280
------------
MEDIA -- 1.0%
Avocent Corp.* ................................. 35,900 934,477
------------
TRANSPORT SERVICES -- 0.8%
Sirva, Inc.* ................................... 31,600 723,640
------------
65
SMALL CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 92.3% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
RETAIL -- 0.6%
PC Mall, Inc.* ................................. 6,600 $ 100,914
The Sportsman's Guide, Inc.* ................... 22,500 455,175
------------
556,089
------------
CONSUMER SERVICES -- 0.2%
Greg Manning Auctions, Inc.* ................... 1,500 16,785
Monarch Casino & Resort, Inc.* ................. 7,900 150,653
------------
167,438
------------
TOTAL COMMON STOCKS ............................ $ 86,597,056
------------
INVESTMENT FUNDS -- 14.6%
BBH Securities Lending Fund** .................. 13,645,442 $ 13,645,442
------------
TOTAL INVESTMENT SECURITIES -- 106.9%
(Cost $89,339,057) ............................. $100,242,498
LIABILITIES IN EXCESS OF OTHER ASSETS -- (6.9%). (6,513,536)
------------
NET ASSETS -- 100.0% ........................... $ 93,728,962
============
* Non-income producing security.
** Represents collateral for securities loaned.
+ All or a portion of the security is on loan.
See accompanying notes to financial statements.
66
VALUE PLUS FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2004 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 96.5% SHARES VALUE
- -------------------------------------------------------------------------------
BANKING -- 10.2%
Bank of America ................................ 44,490 $ 1,927,752
Citigroup ...................................... 46,842 2,066,669
JP Morgan Chase ................................ 61,138 2,429,013
Wells Fargo .................................... 23,635 1,409,355
-----------
7,832,789
-----------
COMPUTERS & INFORMATION -- 10.2%
Computer Sciences Corp.* ....................... 45,130 2,125,622
First Data Corp ................................ 40,470 1,760,445
Hewlett-Packard ................................ 73,830 1,384,313
International Business Machines ................ 17,920 1,536,461
Lexmark International Group* ................... 12,110 1,017,361
-----------
7,824,202
-----------
OIL & GAS -- 8.9%
Baker Hughes, Inc .............................. 19,495 852,321
ChevronTexaco .................................. 31,130 1,669,813
ConocoPhillips ................................. 21,328 1,767,025
Exxon Mobil .................................... 36,678 1,772,648
Pioneer Natural Resources ...................... 23,925 824,934
-----------
6,886,741
-----------
PHARMACEUTICALS -- 8.9%
McKesson Corp .................................. 62,895 1,613,257
Merck .......................................... 22,200 732,600
Pfizer ......................................... 90,615 2,772,818
WellPoint Health Networks* ..................... 15,730 1,653,066
-----------
6,771,741
-----------
BEVERAGE, FOOD & TOBACCO -- 7.5%
Anheuser Busch ................................. 29,935 1,495,253
Darden Restaurants ............................. 63,135 1,472,308
Diageo PLC - ADR ............................... 22,985 1,159,134
McDonald's* .................................... 56,360 1,579,771
-----------
5,706,466
-----------
INDUSTRIAL - DIVERSIFIED -- 6.6%
General Electric ............................... 51,575 1,731,889
Ingersoll-Rand ................................. 22,930 1,558,552
Tyco International ............................. 56,645 1,736,735
-----------
5,027,176
-----------
RETAILERS -- 6.6%
CVS ............................................ 44,405 1,870,783
Home Depot ..................................... 55,295 2,167,563
Kohl's Corp.* .................................. 20,030 965,246
-----------
5,003,592
-----------
FINANCIAL SERVICES -- 5.3%
Fannie Mae ..................................... 18,015 1,142,151
Freddie Mac .................................... 29,260 1,908,923
Lehman Brothers Holdings ....................... 12,610 1,005,269
-----------
4,056,343
-----------
67
VALUE PLUS FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 96.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
MEDIA - BROADCASTING & PUBLISHING -- 4.5%
Clear Channel Communications, Inc .............. 40,340 $ 1,257,398
Comcast Corp. - Special Class A* ............... 54,995 1,535,460
Viacom, Inc. - Class B ......................... 18,170 609,785
-----------
3,402,643
-----------
INSURANCE -- 4.4%
Allstate ....................................... 28,280 1,357,157
Chubb .......................................... 14,560 1,023,277
Radian Group, Inc .............................. 21,080 974,528
-----------
3,354,962
-----------
TELEPHONE SYSTEMS -- 3.7%
Alltell ........................................ 23,260 1,277,207
SBC Communications ............................. 28,020 727,119
Verizon Communications ......................... 20,495 807,093
-----------
2,811,419
-----------
BUILDING PRODUCTS -- 2.9%
Masco .......................................... 63,155 2,180,742
-----------
HOUSEHOLD PRODUCTS -- 2.7%
Kimberly-Clark ................................. 31,340 2,024,251
-----------
ELECTRONICS -- 2.4%
Analog Device .................................. 18,425 714,522
Intel .......................................... 56,615 1,135,696
-----------
1,850,218
-----------
HEALTH CARE -- 2.3%
HCA, Inc ....................................... 45,025 1,717,704
-----------
HEAVY MACHINERY -- 1.9%
Caterpiller .................................... 18,330 1,474,649
-----------
FOREST PRODUCTS & PAPER -- 1.8%
International Paper Company .................... 33,715 1,362,423
-----------
ELECTRIC UTILITIES -- 1.4%
Dominion Resources ............................. 16,930 1,104,683
-----------
CHEMICALS -- 1.3%
Du Pont (E.I.) DE Nemours ...................... 23,360 999,808
-----------
FARM MACHINERY AND EQUIPMENT -- 1.1%
Deere & Co ..................................... 12,605 813,653
-----------
MEDICAL SUPPLIES -- 1.0%
Johnson & Johnson .............................. 13,600 766,088
-----------
METALS -- 0.9%
Alcoa .......................................... 19,655 660,211
-----------
68
VALUE PLUS FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 96.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS -- 96.5%
(Cost $65,955,929) ............................. $73,632,504
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.5% .. 2,646,963
-----------
NET ASSETS -- 100.0% ........................... $76,279,467
===========
* Non-income producing security.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
69
OTHER ITEMS
(UNAUDITED)
================================================================================
PROXY VOTING
The Sub-Advisers are responsible for exercising the voting rights associated
with the securities purchased and held by the Funds. A description of the
policies and procedures that the Sub-Advisers use in fulfilling this
responsibility and information regarding how those proxies were voted during the
twelve month period ended September 30, 2004 are available without charge upon
request by calling toll free 1.800.543.0407. These items are also available on
the Securities and Exchange Commission's website at http://www.sec.gov.
SCHEDULE OF SHAREHOLDER EXPENSES
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including reinvested dividends or other distributions; and (2) ongoing
costs, including investment advisory fees; distribution (12b-1) fees; and other
Fund expenses. 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.
ACTUAL EXPENSES
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the deading entitled "Expenses Paid During the Six
Months Ended September 30, 2004" to estimate the expenses you paid on your
account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Funds' 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 the Funds 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.
70
SCHEDULE OF SHAREHOLDER EXPENSES
(CONTINUED)
================================================================================
TOTAL EXPENSES PAID
NET EXPENSE RETURN ENDING DURING THE
RATIO PERIOD BEGINNING ACCOUNT SIX MONTHS
ANNUALIZED ENDED ACCOUNT VALUE VALUE ENDED
SEPT. 30, SEPT. 30, SEPT. 30, SEPT. 30, SEPT. 30,
2004 2004 2004* 2004 2004**
- ----------------------------------------------------------------------------------------------------------------
EMERGING GROWTH FUND
Class A Actual ......... 1.47% (6.49%) $ 1,000.00 $ 935.10 $ 7.13
Class A Hypothetical ... 1.47% 2.51% $ 1,000.00 $ 1,017.70 $ 7.44
Class B Actual ......... 2.22% (6.89%) $ 1,000.00 $ 931.10 $ 10.75
Class B Hypothetical ... 2.22% 2.51% $ 1,000.00 $ 1,013.94 $ 11.21
Class C Actual ......... 2.22% (6.84%) $ 1,000.00 $ 931.60 $ 10.75
Class C Hypothetical ... 2.22% 2.51% $ 1,000.00 $ 1,013.94 $ 11.21
GROWTH OPPORTUNITIES FUND
Class A Actual ......... 1.59% (7.92%) $ 1,000.00 $ 920.80 $ 7.66
Class A Hypothetical ... 1.59% 2.51% $ 1,000.00 $ 1,017.10 $ 8.04
Class B Actual ......... 2.83% (8.84%) $ 1,000.00 $ 911.60 $ 13.56
Class B Hypothetical ... 2.83% 2.51% $ 1,000.00 $ 1,010.88 $ 14.27
Class C Actual ......... 2.53% (8.63%) $ 1,000.00 $ 913.70 $ 12.14
Class C Hypothetical ... 2.53% 2.51% $ 1,000.00 $ 1,012.38 $ 12.76
LARGE CAP CORE EQUITY FUND
Class A Actual ......... 1.00% (2.31%) $ 1,000.00 $ 976.90 $ 4.96
Class A Hypothetical ... 1.00% 2.51% $ 1,000.00 $ 1,020.05 $ 5.06
Class B Actual ......... 1.75% (2.65%) $ 1,000.00 $ 973.50 $ 8.66
Class B Hypothetical ... 1.75% 2.51% $ 1,000.00 $ 1,016.29 $ 8.85
Class C Actual ......... 1.75% (2.64%) $ 1,000.00 $ 973.60 $ 8.66
Class C Hypothetical ... 1.75% 2.51% $ 1,000.00 $ 1,016.29 $ 8.85
LARGE CAP GROWTH FUND
Class A Actual ......... 1.27% 0.46% $ 1,000.00 $ 1,004.60 $ 6.38
Class A Hypothetical ... 1.27% 2.51% $ 1,000.00 $ 1,018.70 $ 6.43
Class B Actual ......... 2.22% 0.06% $ 1,000.00 $ 1,000.60 $ 11.13
Class B Hypothetical ... 2.22% 2.51% $ 1,000.00 $ 1,013.94 $ 11.21
Class C Actual ......... 2.21% 0.06% $ 1,000.00 $ 1,000.60 $ 11.08
Class C Hypothetical ... 2.21% 2.51% $ 1,000.00 $ 1,013.99 $ 11.16
71
SCHEDULE OF SHAREHOLDER EXPENSES
(CONTINUED)
================================================================================
TOTAL EXPENSES PAID
NET EXPENSE RETURN ENDING DURING THE
RATIO PERIOD BEGINNING ACCOUNT SIX MONTHS
ANNUALIZED ENDED ACCOUNT VALUE VALUE ENDED
SEPT. 30, SEPT. 30, SEPT. 30, SEPT. 30, SEPT. 30,
2004 2004 2004* 2004 2004**
- ----------------------------------------------------------------------------------------------------------------
MICRO CAP GROWTH FUND
Class A Actual ......... 1.92% (4.10%) $ 1,000.00 $ 959.00 $ 5.20
Class A Hypothetical ... 1.92% 1.38% $ 1,000.00 $ 1,008.52 $ 5.34
Class C Actual ......... 2.65% (4.30%) $ 1,000.00 $ 957.00 $ 7.18
Class C Hypothetical ... 2.65% 1.38% $ 1,000.00 $ 1,006.50 $ 7.36
SMALL CAP GROWTH FUND
Class A Actual ......... 1.94% (6.98%) $ 1,000.00 $ 930.20 $ 9.39
Class A Hypothetical ... 1.94% 2.51% $ 1,000.00 $ 1,015.34 $ 9.80
Class B Actual ......... 2.69% (7.36%) $ 1,000.00 $ 926.40 $ 12.99
Class B Hypothetical ... 2.69% 2.51% $ 1,000.00 $ 1,011.58 $ 13.57
Class C Actual ......... 2.69% (7.35%) $ 1,000.00 $ 926.50 $ 12.99
Class C Hypothetical ... 2.69% 2.51% $ 1,000.00 $ 1,011.58 $ 13.57
Class I Actual ......... 1.53% (2.73%) $ 1,000.00 $ 972.70 $ 6.16
Class I Hypothetical ... 1.53% 1.62% $ 1,000.00 $ 1,011.22 $ 6.29
VALUE PLUS FUND
Class A Actual ......... 1.30% (0.30%) $ 1,000.00 $ 997.00 $ 6.51
Class A Hypothetical ... 1.30% 2.51% $ 1,000.00 $ 1,018.55 $ 6.58
Class B Actual ......... 2.05% (0.72%) $ 1,000.00 $ 992.80 $ 10.24
Class B Hypothetical ... 2.05% 2.51% $ 1,000.00 $ 1,014.79 $ 10.35
Class C Actual ......... 2.05% (0.72%) $ 1,000.00 $ 992.80 $ 10.24
Class C Hypothetical ... 2.05% 2.51% $ 1,000.00 $ 1,014.79 $ 10.35
* The example is based on an investment of $1,000 invested at the beginning of
the period (April 1, 2004 for the Emerging Growth Fund, Growth Opportunities
Fund, Large Cap Core Equity Fund, Large Cap Growth Fund, Small Cap Growth
Fund Class A, Class B and Class C, and the Value Plus Fund; May 5, 2004 for
the Small Cap Growth Fund Class I and June 22, 2004 for the Micro Cap Growth
Fund) and held for the entire period through September 31, 2004.
** Expenses are equal to the Fund's annualized expense ratio, multiplied by the
average account value over the period, multiplied by [number of days in most
recent fiscal half-year/365 [or366]] (to reflect the one-half year period).
72
TOUCHSTONE INVESTMENTS
DISTRIBUTOR
Touchstone Securities, Inc.
221 East Fourth Street
Cincinnati, Ohio 45202-4094
800.638.8194
www.touchstoneinvestments.com
INVESTMENT ADVISER
Touchstone Advisors, Inc.
221 East Fourth Street
Cincinnati, Ohio 45202-4094
TRANSFER AGENT
Integrated Fund Services, Inc.
P.O. Box 5354
Cincinnati, Ohio 45201-5354
SHAREHOLDER SERVICE
800.543.0407
A Member of Western & Southern Financial Group(R)
- --------------------------------------------------------------------------------
Touchstone Securities, Inc.
221 East Fourth Street
Cincinnati, Ohio 45202-4133
ITEM 2. CODE OF ETHICS.
Not required for Semiannual Reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required for Semiannual Reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required for Semiannual Reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedule of Investments in securities of unaffiliated issuers is included in
the Semiannual Report.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant does not have procedures by which shareholders may recommend
nominees to its Board of Trustees.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Based on an evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the 1940 Act) the registrant's
principal executive officer and principal financial officer have concluded that
the registrant's disclosure controls and procedures are effective as of a date
within 90 days of the filing date of this report.
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the registrant's last fiscal half-year that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS.
(a)(2) Certifications required by Item 11(a)(2) of Form N-CSR are filed
herewith.
(b) Certification required by Item 11(b) of Form N-CSR is filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Touchstone Strategic Trust
-------------------------------------------------------------------
By (Signature and Title)
/s/ Jill T. McGruder
- --------------------------------------------------------------------------------
Jill T. McGruder
President
Date: December 6, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)
/s/ Jill T. McGruder
- --------------------------------------------------------------------------------
Jill T. McGruder
President
Date: December 6, 2004
/s/ Terrie A. Wiedenheft
- --------------------------------------------------------------------------------
Terrie A. Wiedenheft
Controller & Treasurer
Date: December 6, 2004