UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D. C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3651
------------------------------
Touchstone Strategic Trust
- -----------------------------------------------------------------
(Exact name of registrant as specified in charter)
303 Broadway, Cincinnati, Ohio 45202
- -------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Jill T. McGruder, 303 Broadway, Cincinnati, Ohio 45202
- ---------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (513) 362-8000
---------------
Date of fiscal year end: 3/31/06
-------
Date of reporting period: 9/30/05
-------
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, 100 F. Street, N.E.,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
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
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
Touchstone Emerging Growth Fund Touchstone Growth Opportunities Fund Touchstone
Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Micro Cap
September 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
[LOGO] TOUCHSTONE
INVESTMENTS
- --------------------------------------------------------------------------------
Semi-Annual Report
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
Page
- --------------------------------------------------------------------------------
Tabular Presentation of Portfolios of Investments 3
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities 4-7
- --------------------------------------------------------------------------------
Statements of Operations 8-10
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets 11-15
- --------------------------------------------------------------------------------
Financial Highlights 16-38
- --------------------------------------------------------------------------------
Notes to Financial Statements 39-54
- --------------------------------------------------------------------------------
Portfolios of Investments:
- --------------------------------------------------------------------------------
Emerging Growth Fund 55-58
- --------------------------------------------------------------------------------
Growth Opportunities Fund 59-60
- --------------------------------------------------------------------------------
Large Cap Core Equity Fund 61-62
- --------------------------------------------------------------------------------
Large Cap Growth Fund 63-64
- --------------------------------------------------------------------------------
Micro Cap Growth Fund 65-67
- --------------------------------------------------------------------------------
Small Cap Growth Fund 68-71
- --------------------------------------------------------------------------------
Value Plus Fund 72-74
- --------------------------------------------------------------------------------
Other Items 75-78
- --------------------------------------------------------------------------------
2
TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS
SEPTEMBER 30, 2005 (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 27.4
Health Care 21.5
Consumer Discretionary 14.1
Industrials 11.9
Energy 11.8
Financials 7.7
Materials 1.8
Consumer Staples 1.4
Investment Funds 11.9
Other Assets/Liabilities (Net) (9.5)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
LARGE CAP CORE EQUITY FUND
--------------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Industrials 17.7
Information Technology 17.3
Consumer Staples 16.2
Financials 14.5
Health Care 11.3
Consumer Discretionary 10.2
Energy 4.8
Telecommunication 2.8
Materials 2.6
Investment Funds 3.6
Other Assets/Liabilities (Net) (1.0)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
MICRO CAP GROWTH FUND
---------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Health Care 27.0
Information Technology 23.3
Industrials 19.8
Consumer Discretionary 15.6
Consumer Staples 7.5
Financials 2.7
Materials 2.5
Energy 1.0
Investment Funds 27.6
Other Assets/Liabilities (Net) (27.0)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
VALUE PLUS FUND
---------------
SECTOR ALLOCATION (% OF NET ASSETS)
Financials 24.6
Energy 13.0
Health Care 12.2
Consumer Discretionary 10.0
Information Technology 9.9
Industrials 9.0
Consumer Staples 6.4
Utilities 5.6
Telecommunication 4.8
Materials 2.2
Investment Funds 5.8
Other Assets/Liabilities (Net) (3.5)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
GROWTH OPPORTUNITIES FUND
-------------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 30.9
Health Care 27.7
Consumer Discretionary 14.2
Energy 13.2
Industrials 11.0
Materials 2.0
Consumer Staples 1.3
Investment Funds 0.8
Other Assets/Liabilities (Net) (1.1)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
LARGE CAP GROWTH FUND
---------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Health Care 23.0
Information Technology 21.4
Consumer Discretionary 11.7
Financials 9.3
Telecommunication 6.7
Energy 6.3
Consumer Staples 6.0
Materials 5.7
Industrials 4.4
Utilities 2.8
Investment Funds 5.3
Other Assets/Liabilities (Net) (2.6)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
SMALL CAP GROWTH FUND
---------------------
SECTOR ALLOCATION (% OF NET ASSETS)
Information Technology 30.6
Health Care 16.5
Industrials 15.4
Energy 10.4
Consumer Staples 6.5
Financials 5.2
Consumer Discretionary 4.6
Materials 3.0
Telecommunication 1.9
Investment Funds 29.5
Other Assets/Liabilities (Net) (23.6)
--------
TOTAL 100.0
--------
- ----------------------------------------------------------------
3
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2005 (UNAUDITED)
===================================================================================================================================
EMERGING GROWTH LARGE CAP LARGE
GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost ....................................... $ 918,962,829 $ 98,618,142 $ 10,760,861 $ 615,581,077
==============================================================================
Affiliated securities at market value ......... $ 114,762,348 $ 853,951 $ 468,166 $ 36,174,635
Non-affiliated securities at market value ..... 938,167,644 110,275,954 12,545,448 662,145,961
------------------------------------------------------------------------------
At market value - including $88,131,934,
$148,002 and $19,433,536 of securities
loaned for Emerging Growth Fund,
Large Cap Core Equity Fund and
Large Cap Growth Fund, respectively ....... 1,052,929,992 111,129,905 13,013,614 698,320,596
Dividends and interest receivable ................. 564,439 25,558 19,352 468,089
Receivable for capital shares sold ................ 4,325,004 53,612 25,041 4,721,132
Receivable for securities sold .................... 647,313 -- -- --
Receivable for securities lending income .......... 11,888 4 4 644
Receivable from Advisor ........................... -- -- 1,717 --
Other assets ...................................... 45,530 22,216 11,255 56,176
------------------------------------------------------------------------------
TOTAL ASSETS ...................................... 1,058,524,166 111,231,295 13,070,983 703,566,637
LIABILITIES
Payable upon return of securities loaned .......... 90,915,822 -- 151,300 19,851,996
Payable for securities purchased .................. 1,880,687 801,821 -- --
Payable for capital shares redeemed ............... 2,675,879 298,361 13,030 2,443,497
Payable to Advisor ................................ 628,028 85,046 -- 375,353
Payable to other affiliates ....................... 153,626 31,122 7,020 42,638
Payable to Trustees ............................... 1,422 1,184 1,600 1,894
Other accrued expenses and liabilities ............ 834,055 121,303 17,501 177,136
------------------------------------------------------------------------------
TOTAL LIABILITIES ................................. 97,089,519 1,338,837 190,451 22,892,514
NET ASSETS ........................................ $ 961,434,647 $ 109,892,458 $ 12,880,532 $ 680,674,123
==============================================================================
NET ASSETS CONSIST OF:
Paid-in capital ................................... $ 770,192,625 $ 156,953,041 $ 12,360,020 $ 651,823,167
Accumulated net investment income (loss) .......... (4,458,775) (739,739) 70,523 (609,050)
Accumulated net realized gains (losses)
from security transactions .................... 61,733,634 (58,832,607) (1,802,764) (53,279,513)
Net unrealized appreciation on investments ........ 133,967,163 12,511,763 2,252,753 82,739,519
------------------------------------------------------------------------------
NET ASSETS ........................................ $ 961,434,647 $ 109,892,458 $ 12,880,532 $ 680,674,123
==============================================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ......... $ 593,867,906 $ 85,348,368 $ 9,922,338 $ 514,859,230
==============================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ................................. 25,549,652 4,276,921 1,015,843 24,137,704
==============================================================================
Net asset value and redemption price per share .... $ 23.24 $ 19.96 $ 9.77 $ 21.33
==============================================================================
Maximum offering price per share .................. $ 24.66 $ 21.18 $ 10.37 $ 22.63
==============================================================================
4
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
==============================================================================================================================
EMERGING GROWTH LARGE CAP LARGE
GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares ............ $ 74,325,359 $ 3,040,640 $ 1,676,420 $ 18,150,201
=======================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) .................................... 3,526,602 160,877 173,329 864,247
=======================================================================
Net asset value, offering price and
redemption price per share* ...................... $ 21.08 $ 18.90 $ 9.67 $ 21.00
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ............ $ 293,241,382 $ 21,503,450 $ 1,281,774 $ 98,263,079
=======================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) .................................... 13,901,507 1,127,975 131,950 4,670,764
=======================================================================
Net asset value, offering price and
redemption price per share* ...................... $ 21.09 $ 19.06 $ 9.71 $ 21.04
=======================================================================
PRICING OF CLASS I SHARES
Net assets attributable to Class I shares ............ $ -- $ -- $ -- $ 49,401,613
=======================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) .................................... -- -- -- 2,311,313
=======================================================================
Net asset value, offering price and
redemption price per share ....................... $ -- $ -- $ -- $ 21.37
=======================================================================
* 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, 2005 (UNAUDITED)
================================================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ----------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost ............................................... $ 69,533,004 $ 276,943,495 $ 69,938,422
---------------------------------------------------
Affiliated securities at market value ................. $ 17,770,221 $ 73,233,115 $ 4,398,092
Non-affiliated securities at market value ............. 63,867,241 233,696,852 74,769,050
---------------------------------------------------
At market value - including $17,050,621,
$56,002,458 and $2,590,585 of securities
loaned for the Micro Cap Growth Fund,
Small Cap Growth Fund and Value Plus Fund,
respectively ...................................... 81,637,462 306,929,967 79,167,142
Dividends and interest receivable ......................... 14,127 108,713 105,188
Receivable for capital shares sold ........................ 484,039 2,835,296 73,778
Receivable for securities sold ............................ 617,460 816,218 --
Receivable for securities lending income .................. 29,862 42,080 54
Other assets .............................................. 30,495 38,797 10,608
---------------------------------------------------
TOTAL ASSETS .............................................. 82,813,445 310,771,071 79,356,770
---------------------------------------------------
LIABILITIES
Payable upon return of securities loaned .................. 17,591,183 57,727,317 2,661,772
Payable for securities purchased .......................... 656,394 4,056,219 --
Payable for capital shares redeemed ....................... 169,758 249,686 112,552
Payable to Advisor ........................................ 64,387 240,397 46,585
Payable to other affiliates ............................... 10,197 25,267 13,603
Payable to Trustees ....................................... 2,083 1,580 1,605
Other accrued expenses and liabilities .................... 38,687 79,497 36,615
---------------------------------------------------
TOTAL LIABILITIES ......................................... 18,532,689 62,379,963 2,872,732
---------------------------------------------------
NET ASSETS ................................................ $ 64,280,756 $ 248,391,108 $ 76,484,038
===================================================
NET ASSETS CONSIST OF:
Paid-in capital ........................................... $ 58,056,233 $ 220,514,067 $ 77,850,106
Accumulated net investment income (loss) .................. (351,706) (930,475) 312,266
Accumulated net realized losses from
security transactions ................................. (5,528,229) (1,178,956) (10,907,054)
Net unrealized appreciation on investments ................ 12,104,458 29,986,472 9,228,720
---------------------------------------------------
NET ASSETS ................................................ $ 64,280,756 $ 248,391,108 $ 76,484,038
===================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ................. $ 42,051,542 $ 43,589,779 $ 73,892,470
===================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ......................................... 3,593,516 2,657,281 6,693,557
===================================================
Net asset value and redemption price per share ............ $ 11.70 $ 16.40 $ 11.04
===================================================
Maximum offering price per share .......................... $ 12.41 $ 17.40 $ 11.71
===================================================
6
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
===============================================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ---------------------------------------------------------------------------------------------------------------
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares ................ $ -- $ 9,426,350 $ 854,659
====================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ........................................ -- 585,951 81,319
====================================================
Net asset value, offering price and
redemption price per share* .......................... $ -- $ 16.09 $ 10.51
====================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ................ $ 22,215,743 $ 20,345,310 $ 1,736,909
====================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ........................................ 1,915,253 1,263,634 164,351
====================================================
Net asset value, offering price and
redemption price per share* .......................... $ 11.60 $ 16.10 $ 10.57
====================================================
PRICING OF CLASS I SHARES
Net assets attributable to Class I shares ................ $ 13,471 $ 175,029,669 $ --
====================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) ........................................ 1,138 10,615,277 --
====================================================
Net asset value, offering price and
redemption price per share ........................... $ 11.84 $ 16.49 $ --
====================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
7
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005 (UNAUDITED)
=================================================================================================================================
EMERGING GROWTH LARGE CAP LARGE
GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends from affiliated securities ................ $ 157,760 $ 709 $ 1,556 $ 92,293
Dividends from non-affiliated securities ............ 3,297,921 311,343 122,118 2,236,147
Interest ............................................ 250,442 3,340 1,554 106,347
Income from securities loaned ....................... 57,395 1,634 10 100,955
--------------------------------------------------------------------------
TOTAL INVESTMENT INCOME ............................. 3,763,518 317,026 125,238 2,535,742
--------------------------------------------------------------------------
EXPENSES
Investment advisory fees ............................ 3,738,175 509,434 41,284 1,837,864
Distribution expenses, Class A ...................... 722,436 104,770 12,088 475,771
Distribution expenses, Class B ...................... 361,672 14,853 8,443 71,254
Distribution expenses, Class C ...................... 1,421,301 108,850 6,710 355,849
Sponsor fees ........................................ 934,552 -- 12,701 --
Transfer agent fees, Class A ........................ 312,161 63,067 6,154 69,030
Transfer agent fees, Class B ........................ 71,767 6,000 6,000 9,963
Transfer agent fees, Class C ........................ 208,047 32,399 6,000 26,347
Transfer agent fees, Class I ........................ -- -- -- 6,000
Postage and supplies ................................ 459,113 91,611 9,785 90,953
Administration fees ................................. 188,614 29,645 3,493 114,368
Registration fees ................................... -- 1,323 11 23,578
Registration fees, Class A .......................... 30,123 6,350 4,166 12,508
Registration fees, Class B .......................... 7,500 4,574 3,831 6,555
Registration fees, Class C .......................... 12,250 4,931 3,619 9,465
Registration fees, Class I .......................... -- -- -- 9,545
Accounting services fees ............................ 34,500 25,500 19,500 38,250
Reports to shareholders ............................. 66,407 17,387 3,687 13,249
Custodian fees ...................................... 58,934 19,662 4,530 19,921
Professional fees ................................... 25,228 10,213 7,923 12,002
Trustees' fees and expenses ......................... 4,219 3,691 3,749 4,211
Compliance fees and expenses ........................ 2,632 370 42 420
Other expenses ...................................... 8,094 2,135 684 2,251
--------------------------------------------------------------------------
TOTAL EXPENSES ...................................... 8,667,725 1,056,765 164,400 3,209,354
Sponsor fees waived ................................. (317,676) -- (12,701) --
Fees waived and/or expenses
reimbursed by the Advisor ....................... -- -- (76,824) (2,994)
Fees from commission recapture ...................... (127,756) -- -- (61,568)
--------------------------------------------------------------------------
NET EXPENSES ........................................ 8,222,293 1,056,765 74,875 3,144,792
--------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ........................ (4,458,775) (739,739) 50,363 (609,050)
--------------------------------------------------------------------------
8
STATEMENTS OF OPERATIONS
(CONTINUED)
=================================================================================================================================
EMERGING GROWTH LARGE CAP LARGE
GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses)
from security transactions ...................... $ 51,062,131 $ 6,762,284 $ (142,771) $ 7,411,794
Net change in unrealized appreciation/
depreciation on investments ..................... 28,220,919 5,591,292 464,271 37,384,433
--------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS .................................. 79,283,050 12,353,576 321,500 44,796,227
--------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS ................................. $ 74,824,275 $ 11,613,837 $ 371,863 $ 44,187,177
==========================================================================
See accompanying notes to financial statements.
9
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005 (UNAUDITED)
===========================================================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends from affiliated securities .............................. $ 4,914 $ 75,815 $ 11,506
Dividends from non-affiliated securities .......................... 116,724 391,115 709,345
Interest .......................................................... 5,852 85,276 10,427
Income from securities loaned ..................................... 143,654 191,938 266
------------------------------------------------------
TOTAL INVESTMENT INCOME ........................................... 271,144 744,144 731,544
------------------------------------------------------
EXPENSES
Investment advisory fees .......................................... 353,741 1,190,558 286,242
Distribution expenses, Class A .................................... 47,063 49,887 92,112
Distribution expenses, Class B .................................... -- 45,428 4,318
Distribution expenses, Class C .................................... 94,697 97,087 8,892
Sponsor fees ...................................................... 56,599 190,491 76,332
Transfer agent fees, Class A ...................................... 19,403 33,901 17,548
Transfer agent fees, Class B ...................................... -- 9,493 6,000
Transfer agent fees, Class C ...................................... 11,158 16,369 6,000
Transfer agent fees, Class I ...................................... 6,000 6,000 --
Administration fees ............................................... 15,564 49,900 20,990
Postage and supplies .............................................. 17,640 44,940 14,085
Registration fees ................................................. 672 7,599 14
Registration fees, Class A ........................................ 6,330 10,570 4,683
Registration fees, Class B ........................................ -- 6,225 3,591
Registration fees, Class C ........................................ 4,437 6,330 2,174
Registration fees, Class I ........................................ 9,506 10,721 --
Accounting services fees .......................................... 20,112 29,402 22,500
Custodian fees .................................................... 5,711 21,962 5,311
Professional fees ................................................. 8,891 9,880 9,270
Reports to shareholders ........................................... 5,340 20,249 2,241
Trustees' fees and expenses ....................................... 4,211 3,729 3,733
Compliance fees and expenses ...................................... 60 315 98
Other expenses .................................................... 1,714 2,980 25
------------------------------------------------------
TOTAL EXPENSES .................................................... 688,849 1,864,016 586,159
Sponsor fees waived ............................................... (56,599) (144,015) (76,332)
Fees waived by the Advisor ........................................ (9,400) -- (3,739)
Fees from commission recapture .................................... -- (45,382) --
------------------------------------------------------
NET EXPENSES ...................................................... 622,850 1,674,619 506,088
------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ...................................... (351,706) (930,475) 225,456
------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security transactions ............ (2,747,048) 1,250,229 3,624,863
Net change in unrealized appreciation/
depreciation on investments ................................... 5,700,537 14,457,714 (1,794,477)
------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS ................................................ 2,953,489 15,707,943 1,830,386
------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ........................ $ 2,601,783 $ 14,777,468 $ 2,055,842
======================================================
See accompanying notes to financial statements.
10
STATEMENTS OF CHANGES IN NET ASSETS
============================================================================================================================
EMERGING GROWTH FUND GROWTH OPPORTUNITIES FUND
- ----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (UNAUDITED) 2005
- ----------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment loss ................................. $ (4,458,775) $ (9,852,791) $ (739,739) $ (1,658,581)
Net realized gains (losses) from
security transactions ........................... 51,062,131 56,815,359 6,762,284 (1,250,798)
Net change in unrealized appreciation/
depreciation on investments ..................... 28,220,919 (7,412,336) 5,591,292 (1,270,962)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM OPERATIONS ...................... 74,824,275 39,550,232 11,613,837 (4,180,341)
----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net realized gains on
security transactions, Class A .................. -- (30,707,187) -- --
From net realized gains on
security transactions, Class B .................. -- (4,178,621) -- --
From net realized gains on
security transactions, Class C .................. -- (16,875,744) -- --
----------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS ................... -- (51,761,552) -- --
----------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ........................... 73,503,616 288,690,322 6,807,016 18,493,777
Reinvested distributions ............................ -- 24,935,700 -- --
Payments for shares redeemed ........................ (101,641,035) (192,878,196) (11,723,613) (51,241,202)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ................ (28,137,419) 120,747,826 (4,916,597) (32,747,425)
----------------------------------------------------------------------
CLASS B
Proceeds from shares sold ........................... 1,956,422 13,522,238 60,800 306,152
Reinvested distributions ............................ -- 3,177,338 -- --
Payments for shares redeemed ........................ (5,142,463) (8,140,115) (395,171) (758,312)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS ................. (3,186,041) 8,559,461 (334,371) (452,160)
----------------------------------------------------------------------
CLASS C
Proceeds from shares sold ........................... 24,071,698 92,363,704 665,850 1,446,418
Reinvested distributions ............................ -- 9,991,538 -- --
Payments for shares redeemed ........................ (37,838,034) (63,213,832) (3,303,212) (7,583,036)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS ................. (13,766,336) 39,141,410 (2,637,362) (6,136,618)
----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ............. 29,734,479 156,237,377 3,725,507 (43,516,544)
NET ASSETS
Beginning of period ................................. 931,700,168 775,462,791 106,166,951 149,683,495
----------------------------------------------------------------------
End of period ....................................... $ 961,434,647 $ 931,700,168 $ 109,892,458 $ 106,166,951
======================================================================
ACCUMULATED NET INVESTMENT LOSS ..................... $ (4,458,775) $ -- $ (739,739) $ --
======================================================================
See accompanying notes to financial statements.
11
STATEMENTS OF CHANGES IN NET ASSETS
===========================================================================================================================
LARGE CAP CORE LARGE CAP
EQUITY FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (UNAUDITED) 2005 (A)
- ---------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 50,363 $ 123,232 $ (609,050) $ (547,767)
Net realized gains (losses) from
security transactions (142,771) 69,903 7,411,794 (3,744,037)
Net change in unrealized appreciation/
depreciation on investments 464,271 447,901 37,384,433 32,652,389
----------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS 371,863 641,036 44,187,177 28,360,585
----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A -- (104,022) -- --
From net investment income, Class B -- (6,024) -- --
From net investment income, Class C -- (6,291) -- --
----------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS -- (116,337) -- --
----------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold 597,731 1,314,451 233,956,680 203,259,563
Reinvested distributions -- 102,649 -- --
Payments for shares redeemed (293,986) (1,242,101) (26,667,242) (21,915,861)
----------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS 303,745 174,999 207,289,438 181,343,702
----------------------------------------------------------------------
CLASS B
Proceeds from shares sold 89,090 615,003 6,981,642 8,537,367
Reinvested distributions -- 5,126 -- --
Payments for shares redeemed (123,555) (487,110) (583,466) (703,491)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS (34,465) 133,019 6,398,176 7,833,876
----------------------------------------------------------------------
CLASS C
Proceeds from shares sold 189,428 324,160 45,989,582 42,222,881
Reinvested distributions -- 4,213 -- --
Payments for shares redeemed (618,439) (991,375) (2,313,248) (1,452,263)
----------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS (429,011) (663,002) 43,676,334 40,770,618
----------------------------------------------------------------------
12
STATEMENTS OF CHANGES IN NET ASSETS
(CONTINUED)
======================================================================================================================
LARGE CAP CORE LARGE CAP
EQUITY FUND GROWTH FUND
- ----------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (UNAUDITED) 2005 (A)
- ----------------------------------------------------------------------------------------------------------------------
CLASS I
Proceeds from shares sold -- -- 6,761,122 45,601,562
Payments for shares redeemed -- -- (4,062,414) (3,553,094)
--------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM CLASS I SHARE TRANSACTIONS -- -- 2,698,708 42,048,468
--------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 212,132 169,715 304,249,833 300,357,249
NET ASSETS
Beginning of period 12,668,400 12,498,685 376,424,290 76,067,041
--------------------------------------------------------------------
End of period $ 12,880,532 $ 12,668,400 $ 680,674,123 $ 376,424,290
====================================================================
ACCUMULATED NET INVESTMENT
INCOME (LOSS) $ 70,523 $ 20,160 $ (609,050) $ --
====================================================================
(A) Except for Class I shares, which represents the period from commencement
of operations (November 10, 2004) through March 31, 2005.
See accompanying notes to financial statements.
13
STATEMENTS OF CHANGES IN NET ASSETS
==================================================================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED SEPT. 30, ENDED
2005 MARCH 31, 2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (A) (UNAUDITED) 2005 (B) (UNAUDITED) 200
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ............. $ (351,706) $ (306,311) $ (930,475) $ (1,449,143) $ 225,456 $ 334,149
Net realized gains (losses) from
security transactions ................ (2,747,048) (2,781,181) 1,250,229 (2,004,542) 3,624,863 1,692,108
Net change in unrealized appreciation/
depreciation on investments .......... 5,700,537 6,403,921 14,457,714 2,379,623 (1,794,477) 2,689,196
---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ...................... 2,601,783 3,316,429 14,777,468 (1,074,062) 2,055,842 4,715,453
---------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ...... -- -- -- -- -- (320,278)
From net realized gains on
security transactions, Class A ....... -- -- -- (1,246,812) -- --
From net realized gains on
security transactions, Class B ....... -- -- -- (224,660) -- --
From net realized gains on
security transactions, Class C ....... -- -- -- (488,471) -- --
From net realized gains on
security transactions, Class I ....... -- -- -- (1,079,040) -- --
---------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS ........ -- -- -- (3,038,983) -- (320,278)
---------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ................ 14,385,562 31,541,033 8,846,157 23,301,967 1,814,818 15,037,600
Reinvested distributions ................. -- -- -- 1,133,280 -- 315,342
Payments for shares redeemed ............. (6,438,068) (1,614,570) (5,880,184) (36,962,457) (3,517,715) (10,606,767)
---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS ...... 7,947,494 29,926,463 2,965,973 (12,527,210) (1,702,897) 4,746,175
---------------------------------------------------------------------------------------
CLASS B
Proceeds from shares sold ................ -- -- 240,315 2,217,143 68,529 237,082
Reinvested distributions ................. -- -- -- 191,118 -- --
Payments for shares redeemed ............. -- -- (360,400) (857,512) (109,874) (164,408)
---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS ...... -- -- (120,085) 1,550,749 (41,345) 72,674
---------------------------------------------------------------------------------------
14
STATEMENTS OF CHANGES IN NET ASSETS
(CONTINUED)
===================================================================================================================================
MICRO CAP SMALL CAP VALUE PLUS
GROWTH FUND GROWTH FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED SEPT. 30, ENDED
2005 MARCH 31, 2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (A) (UNAUDITED) 2005 (B) (UNAUDITED) 2005
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold ............. 6,274,345 16,065,265 2,253,933 8,502,606 32,616 332,945
Reinvested distributions .............. -- -- -- 240,827 -- --
Payments for shares redeemed .......... (1,157,866) (706,257) (2,067,536) (3,735,034) (186,629) (452,623)
--------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS ... 5,116,479 15,359,008 186,397 5,008,399 (154,013) (119,678)
--------------------------------------------------------------------------------------------
CLASS I
Proceeds from shares sold ............. 19,000 100 89,360,955 84,391,152 -- --
Reinvested distributions .............. -- -- -- 1,078,915 -- --
Payments for shares redeemed .......... (6,000) -- (6,984,377) (2,674,911) -- --
--------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM CLASS I SHARE TRANSACTIONS ... 13,000 100 82,376,578 82,795,156 -- --
--------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS .......... 15,678,756 48,602,000 100,186,331 72,714,049 157,587 9,094,346
NET ASSETS
Beginning of period ................... 48,602,000 -- 148,204,777 75,490,728 76,326,451 67,232,105
--------------------------------------------------------------------------------------------
End of period .........................$ 64,280,756 $ 48,602,000 $ 248,391,108 $ 148,204,777 $ 76,484,038 $ 76,326,451
============================================================================================
ACCUMULATED NET INVESTMENT
INCOME (LOSS) .....................$ (351,706) $ -- $ (930,475) $ -- $ 312,266 $ 86,810
============================================================================================
(A) Represents the period from commencement of operations (June 22, 2004)
through March 31, 2005 for Class A and Class C shares; (October 4, 2004)
through March 31, 2005 for Class I shares.
(B) Except for Class I shares, which represents the period from commencement
of operations (May 5, 2004) through March 31, 2005.
See accompanying notes to financial statements.
15
EMERGING GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
==============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR YEAR MONTHS YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31,
(UNAUDITED) 2005 2004 2003 2002 2001(A) 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 21.42 $ 21.73 $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96
----------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment loss ....... (0.08) (0.16) (0.13) (0.14) (0.14) -- (0.06)
Net realized and unrealized
gains (losses) on
investments .............. 1.90 1.03 7.97 (5.29) 3.76 (1.97) 4.16
----------------------------------------------------------------------------------------------
Total from investment
operations ................ 1.82 0.87 7.84 (5.43) 3.62 (1.97) 4.10
----------------------------------------------------------------------------------------------
Distributions from net
realized gains ............ -- (1.18) -- (0.20) (0.06) -- (3.13)
----------------------------------------------------------------------------------------------
Net asset value at
end of period ............. $ 23.24 $ 21.42 $ 21.73 $ 13.89 $ 19.52 $ 15.96 $ 17.93
==============================================================================================
Total return(B) .............. 8.50%(C) 4.13% 56.44% (27.90%) 22.72% (10.99%)(C) 25.92%
==============================================================================================
Net assets at end of
period (000's) ............ $ 593,868 $ 574,855 $ 458,524 $ 153,247 $ 169,781 $ 19,141 $ 15,304
==============================================================================================
Ratio of net expenses to
average net assets ........ 1.50%(D) 1.50% 1.49%(E) 1.50% 1.50% 1.50%(D) 1.50%
Ratio of net investment loss
to average net assets ..... (0.67%)(D) (0.84%) (0.93%)(E) (1.07%) (1.02%) (0.10%)(D) (0.40%)
Portfolio turnover ........... 66%(D) 85% 79% 62% 73% 68%(D) 98%
(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.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.50% and the ratio of net investment
loss to average net assets would have been (0.94%).
See accompanying notes to financial statements.
16
EMERGING GROWTH FUND--CLASS B
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
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003 2002(A)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .............. $ 19.50 $ 20.03 $ 12.53 $ 18.25 $ 16.45
------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ............................. (0.15) (0.29) (0.25) (0.14) (0.09)
Net realized and unrealized gains (losses)
on investments .............................. 1.73 0.94 7.75 (5.38) 1.95
------------------------------------------------------------------------
Total from investment operations .................... 1.58 0.65 7.50 (5.52) 1.86
------------------------------------------------------------------------
Distributions from net realized gains ............... -- (1.18) -- (0.20) (0.06)
------------------------------------------------------------------------
Net asset value at end of period .................... $ 21.08 $ 19.50 $ 20.03 $ 12.53 $ 18.25
========================================================================
Total return(B) ..................................... 8.10%(C) 3.37% 59.86% (30.34%) 11.35%(C)
========================================================================
Net assets at end of period (000's) ................. $ 74,325 $ 71,879 $ 64,918 $ 26,226 $ 15,335
========================================================================
Ratio of net expenses to average net assets ......... 2.25%(D) 2.25% 2.24%(E) 2.25% 2.25%(D)
Ratio of net investment loss to
average net assets .............................. (1.42%)(D) (1.60%) (1.68%)(E) (1.77%) (1.90%)(D)
Portfolio turnover rate ............................. 66%(D) 85% 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.
(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 (1.69%).
See accompanying notes to financial statements.
17
EMERGING GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
==================================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR YEAR MONTHS YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31,
(UNAUDITED) 2005 2004 2003 2002 2001(A) 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ........ $ 19.51 $ 20.04 $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29
-------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment
income (loss) ............. (0.15) (0.30) (0.23) (0.13) 0.01 (0.02) (0.17)
Net realized and unrealized
gains (losses) on
investments ............... 1.73 0.95 7.72 (5.38) 3.30 (1.84) 3.88
-------------------------------------------------------------------------------------------------
Total from investment
operations ................. 1.58 0.65 7.49 (5.51) 3.31 (1.86) 3.71
-------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income ......... -- -- -- -- -- -- (3.13)
Distributions from net
realized gains ............ -- (1.18) -- (0.20) (0.06) -- --
-------------------------------------------------------------------------------------------------
Total distributions ........... -- (1.18) -- (0.20) (0.06) -- (3.13)
-------------------------------------------------------------------------------------------------
Net asset value at end
of period .................. $ 21.09 $ 19.51 $ 20.04 $ 12.55 $ 18.26 $ 15.01 $ 16.87
=================================================================================================
Total return(B) ............... 8.10%(C) 3.36% 59.68% (30.27%) 22.09% (11.03%)(C) 24.58%
=================================================================================================
Net assets at end of
period (000's) ............. $ 293,242 $ 284,966 $ 252,021 $ 97,743 $ 67,347 $ 7,600 $ 5,466
=================================================================================================
Ratio of net expenses to
average net assets ......... 2.25%(D) 2.25% 2.24%(E) 2.25% 2.25% 2.25%(D) 2.25%
Ratio of net investment loss to
average net assets .......... (1.42%)(D) (1.60%) (1.68%)(E) (1.77%) (1.61%) (0.63%)(D) (1.15%)
Portfolio turnover ............ 66%(D) 85% 79% 62% 73% 68%(D) 98%
(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.
(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 (1.69%).
See accompanying notes to financial statements.
18
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,
2005 ----------------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 17.92 $ 18.06 $ 12.70 $ 18.18 $ 19.97 $ 32.43
-----------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss .................... (0.11) (0.24) (0.21) (0.19) (0.18) (0.13)
Net realized and unrealized gains
(losses) on investments ............ 2.15 0.10 5.57 (5.29) (1.61) (12.33)
-----------------------------------------------------------------------------------
Total from investment operations ........... 2.04 (0.14) 5.36 (5.48) (1.79) (12.46)
-----------------------------------------------------------------------------------
Net asset value at end of period ........... $ 19.96 $ 17.92 $ 18.06 $ 12.70 $ 18.18 $ 19.97
===================================================================================
Total return(A) ............................ 11.38%(B) (0.78%) 42.20% (30.14%) (8.96%) (38.42%)
===================================================================================
Net assets at end of period (000's) ........ $ 85,348 $ 81,313 $ 117,605 $ 84,472 $ 121,791 $ 107,435
===================================================================================
Ratio of net expenses to
average net assets ..................... 1.72%(C) 1.68% 1.60% 1.83% 1.49% 1.54%
Ratio of net investment loss to
average net assets ..................... (1.14%)(C) (1.14%) (1.23%) (1.40%) (0.98%) (0.66%)
Portfolio turnover rate .................... 81%(C) 35% 47% 39% 52% 35%
Amount of debt outstanding at
end of period (000's) .................. n/a n/a n/a $ -- $ -- n/a
Average daily amount of debt outstanding
during the period (000's)(D) ........... n/a n/a n/a $ 242 $ 24 n/a
Average daily number of capital shares
outstanding during the period (000's)(D) n/a n/a n/a 8,916 8,481 n/a
Average amount of debt per share
during the period (D) .................. n/a n/a n/a $ 0.03 $ --(E) n/a
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Based on fund level shares outstanding.
(E) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
19
GROWTH OPPORTUNITIES FUND--CLASS B
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
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003 2002(A)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ....... $ 16.97 $ 17.31 $ 12.13 $ 17.78 $ 22.74
---------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.22) (0.43) (0.38) (0.36) (0.17)
Net realized and unrealized gains (losses)
on investments ....................... 2.15 0.09 5.56 (5.29) (4.79)
---------------------------------------------------------------------------
Total from investment operations ............. 1.93 (0.34) 5.18 (5.65) (4.96)
---------------------------------------------------------------------------
Net asset value at end of period ............. $ 18.90 $ 16.97 $ 17.31 $ 12.13 $ 17.78
===========================================================================
Total return(B) .............................. 11.37%(C) (1.96%) 42.70% (31.78%) (21.81%)(C)
===========================================================================
Net assets at end of period (000's) .......... $ 3,041 $ 3,064 $ 3,608 $ 2,463 $ 3,380
===========================================================================
Ratio of net expenses to average net assets .. 3.04%(D) 2.95% 2.84% 3.16% 2.37%(D)
Ratio of net investment loss to
average net assets ....................... (2.43%)(D) (2.38%) (2.45%) (2.71%) (1.93%)(D)
Portfolio turnover rate ...................... 81%(D) 35% 47% 39% 52%(D)
Amount of debt outstanding at
end of period (000's) .................... n/a n/a n/a $ -- $ --
Average daily amount of debt outstanding
during the period (000's)(E) ............. n/a n/a n/a $ 242 $ 24
Average daily number of capital
shares outstanding during the
period (000's)(E) ........................ n/a n/a n/a 8,916 8,481
Average amount of debt per share
during the period(E) ..................... n/a n/a n/a $ 0.03 $ -- (F)
(A) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) Based on fund level shares outstanding.
(F) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
20
GROWTH OPPORTUNITIES FUND--CLASS C
FINANCIAL HIGHLIGHTS
================================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2005 ------------------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 17.11 $ 17.39 $ 12.17 $ 17.78 $ 19.74 $ 32.30
-----------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................... (0.20) (0.40) (0.37) (0.36) (0.32) (0.19)
Net realized and unrealized gains
(losses) on investments ........... 2.15 0.12 5.59 (5.25) (1.64) (12.37)
-----------------------------------------------------------------------------------
Total from investment operations .......... 1.95 (0.28) 5.22 (5.61) (1.96) (12.56)
-----------------------------------------------------------------------------------
Net asset value at end of period .......... $ 19.06 $ 17.11 $ 17.39 $ 12.17 $ 17.78 $ 19.74
===================================================================================
Total return(A) ........................... 11.40%(B) (1.61%) 42.89% (31.55%) (9.93%) (38.89%)
===================================================================================
Net assets at end of period (000's) ....... $ 21,503 $ 21,789 $ 28,470 $ 21,727 $ 40,967 $ 36,475
===================================================================================
Ratio of net expenses to average net assets 2.66%(C) 2.61% 2.60% 2.87% 2.31% 2.19%
Ratio of net investment loss to
average net assets .................... (2.06%)(C) (2.04%) (2.21%) (2.42%) (1.78%) (1.31%)
Portfolio turnover rate ................... 81%(C) 35% 47% 39% 52% 35%
Amount of debt outstanding at
end of period (000's) ................. n/a n/a n/a $ -- $ -- n/a
Average daily amount of debt outstanding
during the period (000's)(D) .......... n/a n/a n/a $ 242 $ 24 n/a
Average daily number of capital shares
outstanding during the
period (000's)(D) ..................... n/a n/a n/a 8,916 8,481 n/a
Average amount of debt per share
during the period (D) ................. n/a n/a n/a $ 0.03 $ --(E) n/a
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Based on fund level shares outstanding.
(E) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
21
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 YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003 2002 2001(A)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 9.48 $ 9.10 $ 6.71 $ 9.19 $ 8.90 $ 10.00
---------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................. 0.05 0.11 0.07 0.06 0.06 0.05
Net realized and unrealized gains
(losses) on investments ........... 0.24 0.38 2.37 (2.46) 0.28 (1.10)
---------------------------------------------------------------------------------
Total from investment operations .......... 0.29 0.49 2.44 (2.40) 0.34 (1.05)
---------------------------------------------------------------------------------
Dividends from net investment income ...... -- (0.11) (0.05) (0.08) (0.05) (0.05)
---------------------------------------------------------------------------------
Net asset value at end of period .......... $ 9.77 $ 9.48 $ 9.10 $ 6.71 $ 9.19 $ 8.90
=================================================================================
Total return(B) ........................... 3.06%(C) 5.32% 36.41% (26.19%) 3.86% (10.57%)(C)
=================================================================================
Net assets at end of period (000's) ....... $ 9,922 $ 9,328 $ 8,783 $ 6,109 $ 7,561 $ 6,208
=================================================================================
Ratio of net expenses to average net assets 1.00%(D) 1.00% 0.97%(E) 1.00% 1.00% 1.00%(D)
Ratio of net investment income to
average net assets .................... 0.97%(D) 1.18% 0.85%(E) 0.90% 0.70% 0.54%(D)
Portfolio turnover rate ................... 6%(D) 7% 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.
22
LARGE CAP CORE EQUITY FUND--CLASS B
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
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003 2002(A)
- -----------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 9.42 $ 9.04 $ 6.69 $ 9.13 $ 9.50
--------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................. 0.01 0.04 0.01 0.01 0.02
Net realized and unrealized gains
(losses) on investments ........... 0.24 0.37 2.36 (2.45) (0.37)
--------------------------------------------------------------------
Total from investment operations .......... 0.25 0.41 2.37 (2.44) (0.35)
--------------------------------------------------------------------
Dividends from net investment income ...... -- (0.03) (0.02) --(B) (0.02)
--------------------------------------------------------------------
Net asset value at end of period .......... $ 9.67 $ 9.42 $ 9.04 $ 6.69 $ 9.13
====================================================================
Total return(C) ........................... 2.65%(D) 4.55% 35.37% (26.70%) (3.60%)(D)
====================================================================
Net assets at end of period (000's) ....... $ 1,677 $ 1,665 $ 1,456 $ 729 $ 860
====================================================================
Ratio of net expenses to average net assets 1.75%(E) 1.75% 1.72%(F) 1.75% 1.75%(E)
Ratio of net investment income to
average net assets .................... 0.22%(E) 0.46% 0.10%(F) 0.18% 0.03%(E)
Portfolio turnover rate ................... 6%(E) 7% 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.
23
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 YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003 2002 2001(A)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 9.46 $ 9.08 $ 6.72 $ 9.13 $ 8.88 $ 10.00
---------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................. 0.02 0.04 0.01 0.01 0.01 0.01
Net realized and unrealized gains
(losses) on investments ........... 0.23 0.37 2.37 (2.41) 0.25 (1.12)
---------------------------------------------------------------------------------
Total from investment operations .......... 0.25 0.41 2.38 (2.40) 0.26 (1.11)
---------------------------------------------------------------------------------
Dividends from net investment income ...... -- (0.03) (0.02) (0.01) (0.01) (0.01)
---------------------------------------------------------------------------------
Net asset value at end of period .......... $ 9.71 $ 9.46 $ 9.08 $ 6.72 $ 9.13 $ 8.88
=================================================================================
Total return(B) ........................... 2.64%(C) 4.52% 35.38% (26.32%) 3.00% (11.12%)(C)
=================================================================================
Net assets at end of period (000's) ....... $ 1,282 $ 1,675 $ 2,260 $ 920 $ 900 $ 128
=================================================================================
Ratio of net expenses to average net assets 1.75%(D) 1.75% 1.72%(E) 1.74% 1.75% 1.73%(D)
Ratio of net investment income (loss) to
average net assets .................... 0.23%(D) 0.41% 0.13%(E) 0.18% (0.05%) (0.46%)(D)
Portfolio turnover rate ................... 6%(D) 7% 10% 29% 9% 3%(D)
(A) Represents the period from the commencement of operations (May 16, 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 1.75% and the ratio of net investment
income to average net assets would have been 0.10%.
See accompanying notes to financial statements.
24
LARGE CAP GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
===============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR MONTHS
SEPT. 30, ENDED ENDED YEAR ENDED DECEMBER 31,
2005 MARCH 31, MARCH 31, ------------------------------------------------
(UNAUDITED) 2005 2004(A) 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73 $ 23.59
-----------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment loss ....... (0.01) (0.02) (0.03) (0.07) (0.12) (0.13) (0.20)
Net realized and unrealized
gains (losses) on
investments .............. 1.50 2.55 0.81 4.41 (4.32) (4.97) (1.61)
-----------------------------------------------------------------------------------------------
Total from investment
operations ................ 1.49 2.53 0.78 4.34 (4.44) (5.10) (1.81)
-----------------------------------------------------------------------------------------------
Distributions from net
realized gains ............ -- -- -- -- -- -- (0.05)
-----------------------------------------------------------------------------------------------
Net asset value at
end of period ............. $ 21.33 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73
===============================================================================================
Total return(B) .............. 7.51%(C) 14.62% 4.72%(C) 35.60% (26.70%) (23.47%) (7.66%)
===============================================================================================
Net assets at end of
period (000's) ............ $ 514,859 $ 274,121 $ 69,860 $ 62,187 $ 13,831 $ 20,835 $ 44,068
===============================================================================================
Ratio of net expenses to
average net assets ........ 1.13%(D) 1.26% 1.30%(D) 1.39% 1.49% 1.49% 1.48%
Ratio of net investment loss
to average net assets ..... (0.12%)(D) (0.23%) (0.78%)(D) (0.93%) (0.82%) (0.62%) (1.14%)
Portfolio turnover ........... 128%(D) 127% 60%(D) 60% 115% 124% 54%
(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.
See accompanying notes to financial statements.
25
LARGE CAP GROWTH FUND--CLASS B
FINANCIAL HIGHLIGHTS
===============================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR MONTHS PERIOD
SEPT. 30, ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, DECEMBER 31,
(UNAUDITED) 2005 2004(A) 2003(B)
- ---------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 19.60 $ 17.24 $ 16.50 $ 15.45
-----------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................... (0.09) (0.12) (0.03) (0.06)
Net realized and unrealized gains
on investments .................... 1.49 2.48 0.77 1.11
-----------------------------------------------------------------
Total from investment operations .......... 1.40 2.36 0.74 1.05
-----------------------------------------------------------------
Net asset value at end of period .......... $ 21.00 $ 19.60 $ 17.24 $ 16.50
=================================================================
Total return(C) ........................... 7.14%(D) 13.69% 4.48%(D) 6.80%(D)
=================================================================
Net assets at end of period (000's) ....... $ 18,150 $ 10,579 $ 1,897 $ 1,003
=================================================================
Ratio of net expenses to average net assets 2.07%(E) 2.25% 2.25%(E) 2.22%(E)
Ratio of net investment loss to
average net assets .................... (1.04%)(E) (1.23%) (1.71%)(E) (1.80%)(E)
Portfolio turnover rate ................... 128%(E) 127% 60%(E) 60%(E)
(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.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
26
LARGE CAP GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
===========================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR MONTHS PERIOD
SEPT. 30, ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, DECEMBER 31,
(UNAUDITED) 2005 2004(A) 2003(B)
- -----------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 19.62 $ 17.24 $ 16.50 $ 15.45
-------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................... (0.07) (0.08) (0.04) (0.05)
Net realized and unrealized gains
on investments .................... 1.49 2.46 0.78 1.10
-------------------------------------------------------------
Total from investment operations .......... 1.42 2.38 0.74 1.05
-------------------------------------------------------------
Net asset value at end of period .......... $ 21.04 $ 19.62 $ 17.24 $ 16.50
=============================================================
Total return(C) ........................... 7.24%(D) 13.81% 4.48%(D) 6.80%(D)
=============================================================
Net assets at end of period (000's) ....... $ 98,263 $ 48,446 $ 4,310 $ 2,465
=============================================================
Ratio of net expenses to average net assets 1.94%(E) 2.03% 2.25%(E) 2.21%(E)
Ratio of net investment loss to
average net assets .................... (0.92%)(E) (0.97%) (1.70%)(E) (1.78%)(E)
Portfolio turnover rate ................... 128%(E) 127% 60%(E) 60%(E)
(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.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
27
LARGE CAP GROWTH FUND--CLASS I
FINANCIAL HIGHLIGHTS
=========================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005(A)
- -----------------------------------------------------------------------------------------
Net asset value at beginning of period ................. $ 19.86 $ 18.34
----------------------------
Income from investment operations:
Net investment income .............................. 0.01 0.01
Net realized and unrealized gains on investments ... 1.50 1.51
----------------------------
Total from investment operations ....................... 1.51 1.52
----------------------------
Net asset value at end of period ....................... $ 21.37 $ 19.86
============================
Total return(B) ........................................ 7.60% 8.29%
============================
Net assets at end of period (000's) .................... $ 49,402 $ 43,279
============================
Ratio of net expenses to average net assets (C) ........ 0.91% 1.01%
Ratio of net investment income to average net assets (C) 0.14% 0.21%
Portfolio turnover rate(C) ............................. 128% 127%
(A) Represents the period from commencement of operations (November 10, 2004)
through March 31, 2005.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
28
MICRO CAP GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
=======================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005 (A)
- ---------------------------------------------------------------------------------------
Net asset value at beginning of period .............. $ 11.07 $ 10.00
-----------------------------
Income (loss) from investment operations:
Net investment loss ............................. (0.05) (0.06)
Net realized and unrealized gains on investments 0.68 1.13
-----------------------------
Total from investment operations .................... 0.63 1.07
-----------------------------
Net asset value at end of period .................... $ 11.70 $ 11.07
=============================
Total return(B) ..................................... 5.69% 10.70%
=============================
Net assets at end of period (000's) ................. $ 42,052 $ 32,378
=============================
Ratio of net expenses to average net assets(C) ...... 1.95% 1.95%
Ratio of net investment loss to average net assets(C) (0.99%) (1.27%)
Portfolio turnover rate(C) .......................... 87% 101%
(A) Represents the period from commencement of operations (June 22, 2004)
through March 31, 2005.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
29
MICRO CAP GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
=======================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005 (A)
- ---------------------------------------------------------------------------------------
Net asset value at beginning of period .............. $ 11.01 $ 10.00
-----------------------------
Income (loss) from investment operations:
Net investment loss ............................. (0.09) (0.08)
Net realized and unrealized gains on investments 0.68 1.09
-----------------------------
Total from investment operations .................... 0.59 1.01
-----------------------------
Net asset value at end of period .................... $ 11.60 $ 11.01
=============================
Total return(B) ..................................... 5.36% 10.10%
=============================
Net assets at end of period (000's) ................. $ 22,216 $ 16,224
=============================
Ratio of net expenses to average net assets(C) ...... 2.70% 2.70%
Ratio of net investment loss to average net assets(C) (1.74%) (2.07%)
Portfolio turnover rate(C) .......................... 87% 101%
(A) Represents the period from commencement of operations (June 22, 2004)
through March 31, 2005.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
30
MICRO CAP GROWTH FUND--CLASS I
FINANCIAL HIGHLIGHTS
=======================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ---------------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005 (A)
- ---------------------------------------------------------------------------------------
Net asset value at beginning of period .............. $ 11.16 $ 9.89
-----------------------------
Income (loss) from investment operations:
Net investment loss ............................. (0.02) (0.13)
Net realized and unrealized gains on investments 0.70 1.40
-----------------------------
Total from investment operations .................... 0.68 1.27
-----------------------------
Net asset value at end of period .................... $ 11.84 $ 11.16
=============================
Total return(B) ..................................... 6.09% 12.84%
=============================
Net assets at end of period (000's) ................. $ 13 $ --(C)
=============================
Ratio of net expenses to average net assets(D) ...... 1.55% 1.55%
Ratio of net investment loss to average net assets(D) (0.51%) (2.34%)
Portfolio turnover rate(D) .......................... 87% 101%
(A) Represents the period from commencement of operations (October 4, 2004)
through March 31, 2005.
(B) Not Annualized.
(C) Amount rounds to less than $1,000.
(D) Annualized.
See accompanying notes to financial statements.
31
SMALL CAP GROWTH FUND--CLASS A
FINANCIAL HIGHLIGHTS
==========================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT.30, ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003(A)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ....... $ 15.25 $ 16.05 $ 9.78 $ 10.00
-----------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.09) (0.25) (0.14) (0.06)
Net realized and unrealized gains (losses)
on investments ........................ 1.24 (0.14) 6.78 (0.16)
-----------------------------------------------------------------------
Total from investment operations ............. 1.15 (0.39) 6.64 (0.22)
-----------------------------------------------------------------------
Distributions from net realized gains ........ -- (0.41) (0.37) --
-----------------------------------------------------------------------
Net asset value at end of period ............. $ 16.40 $ 15.25 $ 16.05 $ 9.78
=======================================================================
Total return(B) .............................. 7.54%(C) (2.43%) 68.02% (2.20%)(C)
=======================================================================
Net assets at end of period (000's) .......... $ 43,590 $ 37,675 $ 53,064 $ 15,230
=======================================================================
Ratio of net expenses to average net assets .. 1.95%(D) 1.95% 1.89%(E) 1.95%(D)
Ratio of net investment loss to
average net assets ....................... (1.14%)(D) (1.40%) (1.34%)(E) (1.61%)(D)
Portfolio turnover ........................... 99%(D) 114% 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.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 1.95% and ratio of net investment loss
to average net assets would have been (1.40%).
See accompanying notes to financial statements.
32
SMALL CAP GROWTH 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
2005 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003(A)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ....... $ 14.99 $ 15.90 $ 9.75 $ 10.00
-----------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.15) (0.29) (0.21) (0.06)
Net realized and unrealized gains (losses)
on investments ....................... 1.25 (0.21) 6.73 (0.19)
-----------------------------------------------------------------------
Total from investment operations ............. 1.10 (0.50) 6.52 (0.25)
-----------------------------------------------------------------------
Distributions from net realized gains ........ -- (0.41) (0.37) --
-----------------------------------------------------------------------
Net asset value at end of period ............. $ 16.09 $ 14.99 $ 15.90 $ 9.75
=======================================================================
Total return(B) .............................. 7.34%(C) (3.15%) 66.99% (2.50%)(C)
=======================================================================
Net assets at end of period (000's) .......... $ 9,426 $ 8,908 $ 7,831 $ 1,399
=======================================================================
Ratio of net expenses to average net assets .. 2.70%(D) 2.70% 2.63%(E) 2.69%(D)
Ratio of net investment loss to
average net assets ....................... (1.88%)(D) (2.13%) (2.09%)(E) (2.38%)(D)
Portfolio turnover ........................... 99%(D) 114% 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.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 2.70% and the ratio of net investment
loss to average net assets would have been (2.16%).
See accompanying notes to financial statements.
33
SMALL CAP GROWTH FUND--CLASS C
FINANCIAL HIGHLIGHTS
==========================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR PERIOD
SEPT. 30, ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003(A)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ....... $ 15.00 $ 15.91 $ 9.74 $ 10.00
-----------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.15) (0.29) (0.21) (0.07)
Net realized and unrealized gains (losses)
on investments ....................... 1.25 (0.21) 6.75 (0.19)
-----------------------------------------------------------------------
Total from investment operations ............. 1.10 (0.50) 6.54 (0.26)
-----------------------------------------------------------------------
Distributions from net realized gains ........ -- (0.41) (0.37) --
-----------------------------------------------------------------------
Net asset value at end of period ............. $ 16.10 $ 15.00 $ 15.91 $ 9.74
=======================================================================
Total return(B) .............................. 7.33%(C) (3.15%) 67.26% (2.60%)(C)
=======================================================================
Net assets at end of period (000's) .......... $ 20,345 $ 18,776 $ 14,596 $ 3,029
=======================================================================
Ratio of net expenses to average net assets .. 2.70%(D) 2.70% 2.63%(E) 2.69%(D)
Ratio of net investment loss to
average net assets ....................... (1.88%)(D) (2.12%) (2.09%)(E) (2.39%)(D)
Portfolio turnover ........................... 99%(D) 114% 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.
(E) Absent voluntary expense reimbursements, the ratio of net expenses to
average net assets would have been 2.70% and the ratio of net investment
loss to average net assets would have been (2.16%).
See accompanying notes to financial statements.
34
SMALL CAP GROWTH FUND--CLASS I
FINANCIAL HIGHLIGHTS
========================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005 (A)
- ----------------------------------------------------------------------------------------
Net asset value at beginning of period ............... $ 15.31 $ 15.37
-----------------------------
Income (loss) from investment operations:
Net investment loss .............................. (0.04) (0.05)
Net realized and unrealized gains on investments 1.22 0.40
-----------------------------
Total from investment operations ..................... 1.18 0.35
-----------------------------
Distributions from net realized gains ................ -- (0.41)
-----------------------------
Net asset value at end of period ..................... $ 16.49 $ 15.31
=============================
Total return(B) ...................................... 7.71% 2.29%
=============================
Net assets at end of period (000's) .................. $ 175,030 $ 82,846
=============================
Ratio of net expenses to average net assets (C) ...... 1.55% 1.55%
Ratio of net investment loss to average net assets (C) (0.71%) (0.95%)
Portfolio turnover (C) ............................... 99% 114%
(A) Represents the period from commencement of operations (May 5, 2004)
through March 31, 2005.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
35
VALUE PLUS FUND--CLASS A
FINANCIAL HIGHLIGHTS
==============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR YEAR MONTHS YEAR
SEPT.30, ENDED ENDED ENDED ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31,
(UNAUDITED) 2005 2004 2003 2002 2001(A) 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 10.74 $ 10.14 $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77
----------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income ..... 0.02 0.04 0.06 0.05 0.02 0.01 0.06
Net realized and unrealized
gains (losses) on
investments .............. 0.28 0.60 2.69 (3.05) 0.22 (0.47) 0.12
----------------------------------------------------------------------------------------------
Total from investment
operations ................ 0.30 0.64 2.75 (3.00) 0.24 (0.46) 0.18
----------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income ........ -- (0.04) (0.06) (0.04) (0.02) (0.01) (0.06)
Distributions from net
realized gains ........... -- -- -- -- -- -- (0.92)
Return of capital ......... -- -- -- -- -- -- (0.23)
----------------------------------------------------------------------------------------------
Total distributions .......... -- (0.04) (0.06) (0.04) (0.02) (0.01) (1.21)
----------------------------------------------------------------------------------------------
Net asset value at end
of period ................. $ 11.04 $ 10.74 $ 10.14 $ 7.45 $ 10.49 $ 10.27 $ 10.74
==============================================================================================
Total return(B) .............. 2.79%(C) 6.34% 37.04% (28.59%) 2.34% (4.29%)(C) 1.91%
==============================================================================================
Net assets at end of
period (000's) ............ $ 73,892 $ 73,600 $ 64,612 $ 46,113 $ 93,214 $ 51,442 $ 49,807
==============================================================================================
Ratio of net expenses to
average net assets ........ 1.30%(D) 1.30% 1.30% 1.30% 1.30% 1.30%(D) 1.30%
Ratio of net investment income
to average net assets ..... 0.62%(D) 0.46% 0.68% 0.58% 0.23% 0.37%(D) 0.51%
Portfolio turnover ........... 66%(D) 29% 44% 58% 33% 48%(D) 83%
(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.
36
VALUE PLUS FUND--CLASS B
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
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31,
(UNAUDITED) 2005 2004 2003 2002(A)
- ------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ....... $ 10.27 $ 9.73 $ 7.18 $ 10.18 $ 10.72
------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ...................... (0.01) (0.03) --(B) --(B) (0.01)
Net realized and unrealized gains (losses)
on investments ....................... 0.25 0.57 2.58 (2.96) (0.53)
------------------------------------------------------------------
Total from investment operations ............. 0.24 0.54 2.58 (2.96) (0.54)
------------------------------------------------------------------
Dividends from net investment income ......... -- -- (0.03) (0.04) --
------------------------------------------------------------------
Net asset value at end of period ............. $ 10.51 $ 10.27 $ 9.73 $ 7.18 $ 10.18
==================================================================
Total return(C) .............................. 2.34%(D) 5.55% 36.04% (29.05%) (5.01%)(D)
==================================================================
Net assets at end of period (000's) .......... $ 855 $ 876 $ 753 $ 367 $ 130
==================================================================
Ratio of net expenses to average net assets .. 2.05%(E) 2.05% 2.05% 2.05% 2.05%(E)
Ratio of net investment loss to
average net assets ....................... (0.14%)(E) (0.29%) (0.09%) (0.06%) (0.77%)(E)
Portfolio turnover rate ...................... 66%(E) 29% 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.
37
VALUE PLUS FUND--CLASS C
FINANCIAL HIGHLIGHTS
==============================================================================================================================
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR YEAR YEAR YEAR MONTHS YEAR
SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED
2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31,
(UNAUDITED) 2005 2004 2003 2002 2001(A) 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period ....... $ 10.33 $ 9.78 $ 7.22 $ 10.18 $ 10.02 $ 10.50 $ 11.48
----------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment loss ....... (0.01) (0.03) --(B) (0.02) (0.04) (0.01) (0.02)
Net realized and unrealized
gains (losses) on
investments .............. 0.25 0.58 2.59 (2.94) 0.20 (0.47) 0.19
----------------------------------------------------------------------------------------------
Total from investment
operations ................ 0.24 0.55 2.59 (2.96) 0.16 (0.48) 0.17
----------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income ........ -- -- (0.03) -- -- -- --
Distributions from
net realized gains ....... -- -- -- -- -- -- (0.92)
Return of capital ......... -- -- -- -- -- -- (0.23)
----------------------------------------------------------------------------------------------
Total distributions .......... -- -- (0.03) -- -- -- (1.15)
----------------------------------------------------------------------------------------------
Net asset value at end
of period ................. $ 10.57 $ 10.33 $ 9.78 $ 7.22 $ 10.18 $ 10.02 $ 10.50
==============================================================================================
Total return(C) .............. 2.32%(D) 5.62% 35.89% (29.08%) 1.60% (4.57%)(D) 1.87%
==============================================================================================
Net assets at end of
period (000's) ............ $ 1,737 $ 1,851 $ 1,867 $ 1,512 $ 2,548 $ 1,705 $ 2,011
==============================================================================================
Ratio of net expenses to
average net assets ........ 2.05%(E) 2.05% 2.05% 2.05% 2.05% 2.05%(E) 2.05%
Ratio of net investment loss
to average net assets ..... (0.14%)(E) (0.29%) (0.05%) (0.15%) (0.51%) (0.33%)(E) (0.21%)
Portfolio turnover ........... 66%(E) 29% 44% 58% 33% 48%(E) 83%
(A) Effective after the close of business on December 31, 2000, the Fund
changed its fiscal year-end to March 31.
(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.
38
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
================================================================================
1. ORGANIZATION
The Emerging Growth Fund, Growth Opportunities Fund, Large Cap Core Equity 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 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-advisor
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 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-advisor, 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 stocks
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-advisor believes are undervalued.
39
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
The Emerging Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund,
Micro Cap Growth Fund, and Value Plus Fund offer 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, except Micro Cap
Growth Fund, (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), 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), and
Class I shares of Micro Cap Growth Fund (sold without a distribution fee or
sales charge, but offered only through selected dealers and subject to a higher
minimum initial investment). The Large Cap Growth Fund and Small Cap Growth Fund
offer four classes of shares: Class A shares, Class B shares, Class C shares and
Class I shares (all described above). 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. Money market instruments and other debt securities with a remaining
maturity of less than 60 days are valued at amortized cost, which approximates
market. Shares of open-end mutual funds in which the Funds invest are valued at
their respective net asset values as reported by the underlying funds.
40
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
PORTFOLIO SECURITIES LOANED -- Each Fund may lend its portfolio securities.
Lending portfolio securities exposes a Fund to the risk that the borrower may
fail to return the loaned securities or may not be able to provide additional
collateral or that the Fund may experience delays in recovery of the loaned
securities or loss of rights in the collateral if the borrower fails
financially. To minimize these risks, the borrower must agree to maintain
collateral marked to market daily, in the form of cash and/or liquid securities,
with the Fund's Custodian in an amount at least equal to the market value of the
loaned securities. As September 30, 2005, the following Funds loaned common
stocks and received collateral as follows:
- --------------------------------------------------------------------------------
Fair Value of Common Value of
Stocks Loaned Collateral Received
- --------------------------------------------------------------------------------
Emerging Growth Fund $88,131,934 $90,915,822
Large Cap Core Equity Fund $ 148,002 $ 151,300
Large Cap Growth Fund $19,433,536 $19,851,996
Micro Cap Growth Fund $17,050,621 $17,591,183
Small Cap Growth Fund $56,002,458 $57,727,317
Value Plus Fund $ 2,590,585 $ 2,661,772
- --------------------------------------------------------------------------------
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 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.
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 5.00% and 1.00%,
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.
41
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
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 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, 2005 and
2004 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,
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
From ordinary income ............ $ -- $ -- $ -- $ -- $ 116,337 $ 52,387
From long-term capital gains ... 51,761,552 -- -- -- -- --
------------------------------------------------------------------------------------------------
$51,761,552 $ -- $ -- $ -- $ 116,337 $ 52,387
================================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
42
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- -----------------------------------------------------------------------------------------------------------------
LARGE CAP MICRO CAP SMALL CAP
GROWTH GROWTH GROWTH
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2005 2004 2005 2005 2004
- -----------------------------------------------------------------------------------------------------------------
From ordinary income .................... $ -- $ -- $ -- $1,709,786 $1,229,562
From long-term capital gains ............ -- -- -- 1,330,596 68,424
----------------------------------------------------------------------
$ -- $ -- $ -- $3,040,382 $1,297,986
======================================================================
- -----------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
VALUE PLUS
FUND
- -------------------------------------------------------------------------------
YEAR YEAR
ENDED ENDED
MARCH 31, MARCH 31,
2005 2004
- -------------------------------------------------------------------------------
From ordinary income ........................... $ 320,278 $ 404,737
From long-term capital gains ................... -- --
---------------------------
$ 320,278 $ 404,737
===========================
- -------------------------------------------------------------------------------
The following information is computed on a tax basis for each item as of March
31, 2005:
- ---------------------------------------------------------------------------------------------
EMERGING GROWTH LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY
FUND FUND FUND
- ---------------------------------------------------------------------------------------------
Cost of portfolio investments ....... $ 909,711,410 $ 102,584,187 $ 10,752,631
===================================================
Gross unrealized appreciation ....... 131,587,458 20,007,616 2,397,561
Gross unrealized depreciation ....... (29,781,907) (13,087,145) (692,881)
---------------------------------------------------
Net unrealized appreciation ......... 101,805,551 6,920,471 1,704,680
Post-October losses ................. -- (91,049) --
Capital loss carryforward ........... -- (65,503,842) (1,576,191)
Undistributed ordinary income ....... -- -- 20,160
Undistributed long-term capital gains 14,612,196 -- --
===================================================
Accumulated earnings (deficit) .. $ 116,417,747 $ (58,674,420) $ 148,649
===================================================
- ---------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
LARGE CAP MICRO CAP SMALL CAP VALUE
GROWTH GROWTH GROWTH PLUS
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
Cost of portfolio investments .... $ 338,919,830 $ 52,563,541 $ 149,152,874 $ 66,750,247
======================================================================
Gross unrealized appreciation .... 47,012,735 8,314,208 21,390,492 12,737,912
Gross unrealized depreciation .... (2,269,813) (1,947,575) (6,338,130) (3,561,284)
----------------------------------------------------------------------
Net unrealized appreciation ...... 44,742,922 6,366,633 15,052,362 9,176,628
Post-October losses .............. (1,985,495) (1,619,901) -- --
Capital loss carryforward ........ (58,093,648) (1,123,992) (1,952,789) (12,685,348)
Undistributed ordinary income .... -- -- -- 86,810
----------------------------------------------------------------------
Accumulated earnings (deficit) $ (15,336,221) $ 3,622,740 $ 13,099,573 $ (3,421,910)
======================================================================
- -------------------------------------------------------------------------------------------------------------
43
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
As of September 30, 2005, the Funds had the following gross unrealized
appreciation, gross unrealized depreciation and Federal tax cost:
- -----------------------------------------------------------------------------------------------
GROSS GROSS NET FEDERAL
UNREALIZED UNREALIZED UNREALIZED TAX
APPRECIATION DEPRECIATION APPRECIATION COST
- -----------------------------------------------------------------------------------------------
Emerging Growth Fund ........ $169,105,860 $(37,575,343) $131,530,517 $921,399,475
Growth Opportunities Fund ... $ 22,307,493 $ (9,795,730) $ 12,511,763 $ 98,618,142
Large Cap Core Equity Fund .. $ 2,843,656 $ (674,705) $ 2,168,951 $ 10,844,663
Large Cap Growth Fund ....... $ 92,552,780 $ (9,875,412) $ 82,677,368 $615,643,228
Micro Cap Growth Fund ....... $ 14,264,997 $ (2,184,916) $ 12,080,081 $ 69,557,381
Small Cal Growth Fund ....... $ 38,327,857 $ (8,523,839) $ 29,804,018 $277,125,949
Value Plus Fund ............. $ 11,753,626 $ (4,027,421) $ 7,726,205 $ 71,440,937
- -----------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial
statement cost is primarily due to wash sales.
As of March 31, 2005, 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
1,976,702 2013
-----------
65,503,842
===========
Large Cap Core Equity Fund................. $ 99,480 2009
24,780 2010
414,728 2011
1,025,778 2012
11,425 2013
-----------
1,576,191
===========
Large Cap Growth Fund*..................... $ 1,492,563 2008
17,152,658 2009
14,651,843 2010
19,675,611 2011
3,322,314 2012
1,798,659 2013
-----------
58,093,648
===========
Micro Cap Growth Fund...................... $ 1,123,992 2013
===========
Small Cap Growth Fund...................... $ 1,952,789 2013
===========
Value Plus Fund............................ $ 4,556,010 2011
8,129,338 2012
-----------
12,685,348
===========
*A portion of these capital loss carryforwards may be limited under tax
regulations.
44
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
During the year ended March 31, 2005, the Value Plus Fund utilized $1,479,372 of
capital loss carryforwards. The capital loss carryforwards and Post-October
losses may be utilized in 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 have been made to the components
of capital. These reclassifications have no impact on the net assets or net
asset value per share of the Funds and are designed to present the Fund's
capital accounts on a tax basis. The following reclassifications of net
investment loss have been made to the following Funds for the year ended March
31, 2005:
- ----------------------------------------------------------------------------------------------
ACCUMULATED ACCUMULATED
PAID-IN NET INVESTMENT NET REALIZED
CAPITAL INCOME (LOSS) GAINS (LOSSES)
- ----------------------------------------------------------------------------------------------
Emerging Growth Fund .............. $ (606,847) $ 9,852,791 $ (9,245,944)
Growth Opportunities Fund ......... (1,658,581) 1,658,581 --
Large Cap Growth Fund ............. (547,767) 547,767 --
Micro Cap Growth Fund ............. (306,311) 306,311 --
Small Cap Growth Fund ............. (1,447,744) 1,449,143 (1,399)
- ----------------------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments and U.S. Government
securities) were as follows for the six months ended September 30, 2005:
- ----------------------------------------------------------------------------------------------------------------
EMERGING GROWTH LARGE CAP LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY GROWTH
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------
Purchases of investment securities ......... $296,614,344 $ 44,009,827 $ 353,566 $573,697,406
---------------------------------------------------------------
Proceeds from sales and maturities
of investment securities ............... $342,339,439 $ 52,859,947 $ 586,928 $322,725,576
---------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
MICRO CAP SMALL CAP
GROWTH GROWTH VALUE PLUS
FUND FUND FUND
- -----------------------------------------------------------------------------------------------
Purchases of investment securities ......... $ 37,772,078 $166,513,504 $ 24,460,337
----------------------------------------------
Proceeds from sales and maturities
of investment securities ............... $ 24,434,269 $ 89,491,137 $ 27,448,547
----------------------------------------------
- -----------------------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES
Certain officers of the Trust are also officers of Touchstone Advisors, Inc.
(the Advisor), the Trust's investment advisor, or Touchstone Securities, Inc.
(the Underwriter), the Trust's principal underwriter, or Integrated Fund
Services, Inc. (Integrated), the Trust's administrator, transfer agent and
accounting services agent. The Advisor, the Underwriter and Integrated are each
wholly-owned, indirect subsidiaries of The Western and Southern Life Insurance
Company.
45
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
MANAGEMENT AGREEMENTS
The Advisor provides general investment supervisory services for the Funds,
under the terms of an Advisory Agreement. Under the Advisory Agreement, the
Funds pay the Advisor 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 $800 million
0.65% of such assets in excess of $1 billion
- --------------------------------------------------------------------------------
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, 2005, the Advisor waived investment
advisory fees and/or reimbursed expenses of the Funds as follows:
Large Cap Core Equity Fund $ 76,824
Large Cap Growth Fund $ 2,994
Micro Cap Growth Fund $ 9,400
Value Plus Fund $ 3,739
The Advisor has retained various Sub-Advisors to manage the investments of the
Funds under the terms of a Sub-Advisory Agreement. The Advisor (not the Fund)
pays the Sub-Advisors a fee for these services.
TCW Investment Management Company LLC (TCW) and Westfield Capital Management
Company, LLC (Westfield) have been retained by the Advisor to manage the
investments of the Emerging Growth Fund.
Mastrapasqua Asset Management, Inc. (Mastrapasqua) has been retained by the
Advisor to manage the investments of the Growth Opportunities Fund.
Todd Investment Advisors, Inc. (Todd), an affiliate of the Advisor, has been
retained by the Advisor to manage the investments of the Large Cap Core Equity
Fund.
Navellier & Associates, Inc. (Navellier) has been retained by the Advisor to
manage the investments of the Large Cap Growth Fund.
46
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
Bjurman, Barry & Associates (Bjurman) has been retained by the Advisor to manage
the investments of the Micro Cap Growth Fund.
Longwood Investment Advisors, Inc. (Longwood) and Bjurman have been retained by
the Advisor to manage the investments of the Small Cap Growth Fund.
Fort Washington Investment Advisors, Inc. (Fort Washington), an affiliate of the
Advisor, has been retained by the Advisor to manage the investments of the Value
Plus Fund.
The Advisor has entered into an agreement to contractually limit operating
expenses of the Large Cap Growth Fund. The maximum operating expense limit in
any year with respect to the Fund is based on a percentage of the average daily
net assets of the Fund. The Advisor has agreed to waive advisory fees and
reimburse expenses in order to maintain expense limitations for the Fund as
follows: 1.30% for Class A shares, 2.25% for Class B shares, 2.25% for Class C
shares and 1.05% for Class I shares. These expense limitations shall remain in
effect until March 31, 2006.
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 of each Fund. 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 six months ended September 30, 2005:
Emerging Growth Fund $ 59,703
Growth Opportunities Fund $ 3,643
Large Cap Core Equity Fund $ 1,296
Large Cap Growth Fund $ 102,900
Micro Cap Growth Fund $ 29,722
Small Cap Growth Fund $ 7,778
Value Plus Fund $ 1,131
47
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
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 six months ended September 30, 2005:
Emerging Growth Fund $ 109,597
Growth Opportunities Fund $ 5,099
Large Cap Core Equity Fund $ 2,015
Large Cap Growth Fund $ 23,267
Micro Cap Growth Fund $ 6,247
Small Cap Growth Fund $ 8,061
Value Plus Fund $ 2,330
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 Advisor 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
Advisor 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 Advisor. The Advisor provides oversight of the
various service providers to the Funds, including the Funds' administrator,
custodian and transfer agent. The Advisor receives a fee from each Fund equal on
an annual basis to 0.20% of the average daily net assets of that Fund. The
Advisor agreed to waive Sponsor fees until March 31, 2006, as needed to maintain
each Fund's expenses at a set level (see below). The Sponsor Agreement may be
terminated by the Advisor, 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 the Sponsor Agreement, between the Advisor and the Trust, the
Advisor 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, 1.55% for
Class I 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 until March 31, 2006.
During the six months ended September 30, 2005, the Advisor waived Sponsor fees
as follows:
Emerging Growth Fund $ 317,676
Large Cap Core Equity Fund $ 12,701
Micro Cap Growth Fund $ 56,599
Small Cap Growth Fund $ 144,015
Value Plus Fund $ 76,332
48
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
COMPLIANCE SERVICES AGREEMENT
Under the terms of the Compliance Services Agreement between the Trust and
Integrated, Integrated provides certain compliance services to the Trust for a
fee, including developing and assisting in implementing a compliance program for
Integrated on behalf of the Funds and providing administrative support services
to the Funds' Compliance Program and Chief Compliance Officer.
AFFILIATED TRANSACTIONS
Each Fund may invest in the Touchstone Institutional Money Market Fund, subject
to compliance with the several conditions set forth in an order received by the
Trust from the Securities and Exchange Commission. To the extent that the other
Touchstone Funds are invested in the Touchstone Institutional Money Market Fund,
the Advisor and Administrator will be paid additional fees from the Touchstone
Institutional Money Market Fund that will not be waived or reimbursed.
A summary of each Fund's investment in the Touchstone Institutional Money Market
Fund, if any, for the year ended September 30, 2005, is noted below:
SHARE ACTIVITY
-----------------------------------------------
BALANCE BALANCE VALUE
3/31/05 PURCHASES SALES 9/30/05 DIVIDENDS 9/30/05
- ----------------------------------------------------------------------------------------------------------------------------------
Emerging Growth Fund
Touchstone Institutional Money Market Fund .... -- 113,134,554 89,288,028 23,846,526 $ 83,371 $23,846,526
Growth Opportunites Fund
Touchstone Institutional Money Market Fund .... -- 5,187,131 4,333,180 853,951 $ 127 $ 853,951
Large Cap Core Equity Fund
Touchstone Institutional Money Market Fund .... -- 422,610 105,744 316,866 $ 596 $ 316,866
Large Cap Growth Fund
Touchstone Institutional Money Market Fund .... -- 128,569,296 112,246,657 16,322,639 $ 36,159 $16,322,639
Micro Cap Growth Fund
Touchstone Institutional Money Market Fund .... -- 5,601,715 5,422,677 179,038 $ 2,325 $ 179,038
Small Cap Growth Fund
Touchstone Institutional Money Market Fund .... -- 38,288,029 22,782,231 15,505,798 $ 30,316 $15,505,798
Value Plus Fund
Touchstone Institutional Money Market Fund .... -- 4,625,154 2,888,834 1,736,320 $ 4,307 $ 1,736,320
49
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
2005 MARCH 31, 2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (UNAUDITED) 2005 (UNAUDITED) 2005
- --------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold ................................. 3,329,420 13,681,174 358,968 1,037,067 62,138 142,157
Shares reinvested ........................... -- 1,192,525 -- -- -- 10,583
Shares redeemed ............................. (4,614,276) (9,136,289) (620,073) (3,011,561) (30,500) (134,214)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (1,284,856) 5,737,410 (261,105) (1,974,494) (31,638) 18,526
Shares outstanding, beginning of period ..... 26,834,508 21,097,098 4,538,026 6,512,520 984,205 965,679
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 25,549,652 26,834,508 4,276,921 4,538,026 1,015,843 984,205
==================================================================================
CLASS B
Shares sold ................................. 98,375 699,782 3,341 18,249 9,470 67,892
Shares reinvested ........................... -- 166,527 -- -- -- 531
Shares redeemed ............................. (258,270) (420,712) (23,003) (46,186) (12,925) (52,718)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (159,895) 445,597 (19,662) (27,937) (3,455) 15,705
Shares outstanding, beginning of period ..... 3,686,497 3,240,900 180,539 208,476 176,784 161,079
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 3,526,602 3,686,497 160,877 180,539 173,329 176,784
==================================================================================
CLASS C
Shares sold ................................. 1,199,540 4,772,368 37,433 85,925 19,667 35,206
Shares reinvested ........................... -- 523,391 -- -- -- 434
Shares redeemed ............................. (1,900,814) (3,265,751) (183,308) (449,633) (64,713) (107,540)
----------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (701,274) 2,030,008 (145,875) (363,708) (45,046) (71,900)
Shares outstanding, beginning of period ..... 14,602,781 12,572,773 1,273,850 1,637,558 176,996 248,896
----------------------------------------------------------------------------------
Shares outstanding, end of period ........... 13,901,507 14,602,781 1,127,975 1,273,850 131,950 176,996
==================================================================================
- --------------------------------------------------------------------------------------------------------------------------------
50
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
===============================================================================
- -------------------------------------------------------------------------------
LARGE CAP
GROWTH
FUND
- -------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005 (A)
- -------------------------------------------------------------------------------
CLASS A
Shares sold ....................................... 11,637,424 10,983,411
Shares redeemed ................................... (1,316,213) (1,202,420)
--------------------------
Net increase in shares outstanding ................ 10,321,211 9,780,991
Shares outstanding, beginning of period ........... 13,816,493 4,035,502
--------------------------
Shares outstanding, end of period ................. 24,137,704 13,816,493
==========================
CLASS B
Shares sold ....................................... 354,015 469,699
Shares redeemed ................................... (29,464) (40,038)
--------------------------
Net increase in shares outstanding ................ 324,551 429,661
Shares outstanding, beginning of period ........... 539,696 110,035
--------------------------
Shares outstanding, end of period ................. 864,247 539,696
==========================
CLASS C
Shares sold ....................................... 2,318,593 2,297,801
Shares redeemed ................................... (116,506) (79,041)
--------------------------
Net increase in shares outstanding ................ 2,202,087 2,218,760
Shares outstanding, beginning of period ........... 2,468,677 249,917
--------------------------
Shares outstanding, end of period ................. 4,670,764 2,468,677
==========================
CLASS I
Shares sold ....................................... 333,902 2,363,046
Shares redeemed ................................... (201,560) (184,075)
--------------------------
Net increase in shares outstanding ................ 132,342 2,178,971
Shares outstanding, beginning of period ........... 2,178,971 --
--------------------------
Shares outstanding, end of period ................. 2,311,313 2,178,971
==========================
- -------------------------------------------------------------------------------
(A) Except Class I shares which represents the period from commencement of
operations (November 10, 2004) through March 31, 2005.
51
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
- --------------------------------------------------------------------------------------------------------------------
MICRO CAP SMALL CAP
GROWTH GROWTH
FUND FUND
- --------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED YEAR
SEPT. 30, ENDED SEPT.30, ENDED
2005 MARCH 31, 2005 MARCH 31,
(UNAUDITED) 2005 (A) (UNAUDITED) 2005 (B)
- --------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold ..................................... 1,231,334 3,074,850 562,081 1,507,000
Shares reinvested ............................... -- -- -- 74,546
Shares redeemed ................................. (563,954) (148,714) (374,662) (2,418,324)
-------------------------------------------------------------
Net increase (decrease) in shares outstanding ... 667,380 2,926,136 187,419 (836,778)
Shares outstanding, beginning of period ......... 2,926,136 -- 2,469,862 3,306,640
-------------------------------------------------------------
Shares outstanding, end of period ............... 3,593,516 2,926,136 2,657,281 2,469,862
=============================================================
CLASS B
Shares sold ..................................... -- -- 15,775 145,750
Shares reinvested ............................... -- -- -- 12,741
Shares redeemed ................................. -- -- (23,905) (57,014)
-------------------------------------------------------------
Net increase (decrease) in shares outstanding ... -- -- (8,130) 101,477
Shares outstanding, beginning of period ......... -- -- 594,081 492,604
-------------------------------------------------------------
Shares outstanding, end of period ............... -- -- 585,951 594,081
=============================================================
CLASS C
Shares sold ..................................... 546,464 1,538,640 146,572 563,065
Shares reinvested ............................... -- -- -- 16,055
Shares redeemed ................................. (104,862) (64,989) (134,253) (245,443)
-------------------------------------------------------------
Net increase in shares outstanding .............. 441,602 1,473,651 12,319 333,677
Shares outstanding, beginning of period ......... 1,473,651 -- 1,251,315 917,638
-------------------------------------------------------------
Shares outstanding, end of period ............... 1,915,253 1,473,651 1,263,634 1,251,315
=============================================================
CLASS I
Shares sold ..................................... 1,690 10 5,645,788 5,515,470
Shares reinvested ............................... -- -- -- 70,748
Shares redeemed ................................. (562) -- (442,951) (173,778)
-------------------------------------------------------------
Net increase in shares outstanding .............. 1,128 10 5,202,837 5,412,440
Shares outstanding, beginning of period ......... 10 -- 5,412,440 --
-------------------------------------------------------------
Shares outstanding, end of period ............... 1,138 10 10,615,277 5,412,440
=============================================================
- --------------------------------------------------------------------------------------------------------------------
(A) Represents the period from commencement of operations (June 22, 2004)
through March 31, 2005, except Class I shares which represents the period
from commencement of operations (October 4, 2004) through March 31, 2005.
(B) Except Class I shares which represents the period from commencement of
operations (May 5, 2004) through March 31, 2005.
52
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
===============================================================================
- -------------------------------------------------------------------------------
VALUE PLUS
FUND
- -------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR
SEPT. 30, ENDED
2005 MARCH 31,
(UNAUDITED) 2005
- -------------------------------------------------------------------------------
CLASS A
Shares sold .................................... 167,966 1,455,498
Shares reinvested .............................. -- 28,930
Shares redeemed ................................ (324,348) (1,004,090)
------------------------------
Net increase (decrease) in shares outstanding .. (156,382) 480,338
Shares outstanding, beginning of period ........ 6,849,939 6,369,601
------------------------------
Shares outstanding, end of period .............. 6,693,557 6,849,939
==============================
CLASS B
Shares sold .................................... 6,642 24,214
Shares redeemed ................................ (10,599) (16,360)
------------------------------
Net increase (decrease) in shares outstanding .. (3,957) 7,854
Shares outstanding, beginning of period ........ 85,276 77,422
------------------------------
Shares outstanding, end of period .............. 81,319 85,276
==============================
CLASS C
Shares sold .................................... 3,152 33,863
Shares redeemed ................................ (18,042) (45,443)
------------------------------
Net decrease in shares outstanding ............. (14,890) (11,580)
Shares outstanding, beginning of period ........ 179,241 190,821
------------------------------
Shares outstanding, end of period .............. 164,351 179,241
==============================
- -------------------------------------------------------------------------------
53
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
================================================================================
6. 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.
7. COMMITMENTS AND CONTINGENCIES
The Funds indemnify the Trust's Officers and Trustees for certain liabilities
that might arise from their performance of their duties to the Funds.
Additionally, 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.
54
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 97.6% SHARES VALUE
- -------------------------------------------------------------------------------
OIL & GAS -- 7.2%
Amerada Hess Corp. ............................ 125,700 $ 17,283,749
BJ Services Co. ............................... 320,000 11,516,800
Chesapeake Energy Corp. + ..................... 314,400 12,025,800
Cooper Cameron Corp.* ......................... 96,000 7,097,280
ENSCO International, Inc. ..................... 112,900 5,260,011
Pioneer Natural Resources ..................... 121,700 6,683,764
Smith International, Inc. ..................... 308,600 10,279,466
--------------
70,146,870
--------------
HEALTH CARE EQUIPMENT -- 6.9%
Cytyc Corp.* .................................. 394,400 10,589,640
Dade Behring Holdings, Inc. ................... 331,600 12,156,456
Fisher Scientific International, Inc.* ........ 222,400 13,799,920
PerkinElmer, Inc. ............................. 497,300 10,130,001
Thermo Electron* .............................. 632,900 19,556,609
--------------
66,232,626
--------------
RETAILERS -- 6.6%
Estee Lauder Companies, Inc. .................. 213,500 7,436,205
Family Dollar Stores, Inc. .................... 353,100 7,016,097
Molson Coors Brewing Co. ...................... 101,600 6,503,416
O'Reilly Automotive, Inc.* .................... 320,100 9,020,418
OfficeMax, Inc. ............................... 340,565 10,785,693
Tiffany & Co. ................................. 243,400 9,680,018
Weight Watchers, Inc.* ........................ 103,000 5,312,740
Williams-Sonoma, Inc.* ........................ 188,600 7,232,810
--------------
62,987,397
--------------
ELECTRONICS -- 6.1%
AMETEK, Inc. .................................. 348,700 14,983,638
Arrow Electronics, Inc.* ...................... 204,650 6,417,824
AU Optronics Corp. - ADR ...................... 625,502 8,106,506
Celestica, Inc.* .............................. 806,015 9,116,030
LSI Logic* .................................... 886,700 8,733,995
Vishay Intertechnology, Inc.* + ............... 947,470 11,322,267
--------------
58,680,260
--------------
INDUSTRIAL -- 5.4%
Cytec Industries, Inc. ........................ 53,444 2,318,401
IDEX Corp. .................................... 222,900 9,484,395
International Flavors & Fragrances, Inc. ...... 195,700 6,974,748
Roper Industries, Inc. ........................ 125,800 4,942,682
SPX Corp. + ................................... 131,200 6,028,640
Stanley Works + ............................... 263,600 12,304,848
Varian, Inc.* ................................. 289,250 9,927,060
--------------
51,980,774
--------------
SEMICONDUCTORS -- 5.2%
Advanced Micro Devices, Inc.* + ............... 394,400 9,938,880
Freescale Semiconductor, Inc. - Class B* ...... 388,500 9,160,830
Intersil Corp. ................................ 310,500 6,762,690
National Semiconductor Corp. .................. 909,435 23,918,141
--------------
49,780,541
--------------
55
EMERGING GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 97.6% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
MEDICAL SUPPLIES -- 5.1%
Beckman Coulter, Inc. ......................... 118,100 $ 6,375,038
Edwards Lifesciences Corp.* ................... 181,050 8,040,431
Hillenbrand Industries, Inc. .................. 128,300 6,036,515
Tektronix, Inc. ............................... 294,670 7,434,524
Teradyne, Inc.* ............................... 817,150 13,482,975
The Cooper Companies, Inc. .................... 106,000 8,120,660
--------------
49,490,143
--------------
COAL -- 4.5%
Arch Coal, Inc. + ............................. 188,600 12,730,500
CONSOL Energy, Inc. ........................... 200,100 15,261,627
Massey Energy Co. ............................. 291,800 14,902,226
--------------
42,894,353
--------------
TECHNOLOGY -- 4.4%
Cypress Semiconductor Corp.* + ................ 735,900 11,075,295
Lam Research Corp.* ........................... 238,600 7,270,142
Novellus Systems, Inc. ........................ 405,300 10,164,924
Siebel Systems, Inc. .......................... 1,352,200 13,968,226
--------------
42,478,587
--------------
APPAREL RETAILERS -- 4.0%
Ann Taylor* ................................... 327,300 8,689,815
Federated Department Stores, Inc. ............. 205,337 13,730,885
Foot Locker ................................... 343,000 7,525,420
Jones Apparel Group, Inc. ..................... 282,580 8,053,530
--------------
37,999,650
--------------
HEAVY MACHINERY -- 3.7%
Dover Corp. ................................... 254,990 10,401,042
Pentair, Inc. ................................. 130,300 4,755,950
W.W. Grainger, Inc. ........................... 134,900 8,487,908
York International Corp. ...................... 213,000 11,942,910
--------------
35,587,810
--------------
BANKING -- 3.6%
Investors Financial Services Corp. + .......... 200,100 6,583,290
North Fork Bancorporation ..................... 386,750 9,862,125
People's Bank ................................. 104,810 3,037,394
Zions Bancorporation .......................... 215,600 15,352,876
--------------
34,835,685
--------------
COMPUTERS & INFORMATION -- 3.4%
Diebold, Inc. ................................. 254,210 8,760,077
McAfee, Inc.* ................................. 210,900 6,626,478
Polycom, Inc.* ................................ 745,600 12,056,351
The Reynolds & Reynolds Company - Class A ..... 41,187 1,128,936
Unisys Corp.* ................................. 647,600 4,300,064
--------------
32,871,906
--------------
INSURANCE -- 3.3%
Arthur J. Gallagher & Co. + ................... 237,100 6,830,851
Assurant, Inc. ................................ 295,970 11,264,618
Old Republic International Corp. .............. 320,400 8,545,068
Willis Group Holdings Ltd. .................... 127,300 4,780,115
--------------
31,420,652
--------------
56
EMERGING GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 97.6% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
HEALTH CARE PROVIDERS -- 3.2%
Community Health Systems, Inc.* ............... 257,200 $ 9,981,932
Coventry Health Care, Inc.* ................... 61,600 5,298,832
Manor Care .................................... 188,600 7,244,126
Valeant Pharmaceuticals International ......... 399,600 8,023,968
--------------
30,548,858
--------------
BIOTECHNOLOGY -- 2.8%
Celgene Corp.* + .............................. 383,000 20,804,560
Charles River Laboratories International, Inc.* 140,860 6,144,313
--------------
26,948,873
--------------
COMPUTER SOFTWARE & PROCESSING -- 2.7%
Alliance Data Systems Corp.* .................. 280,100 10,965,915
Avid Technology, Inc.* ........................ 231,900 9,600,660
CheckFree Corp.* .............................. 142,900 5,404,478
--------------
25,971,053
--------------
PHARMACEUTICALS -- 2.4%
Elan Corp.* + ................................. 1,171,100 10,375,946
Par Pharmaceutical Cos., Inc.* + .............. 182,000 4,844,840
Shire Pharmaceuticals Group PLC - ADR ......... 200,500 7,416,495
--------------
22,637,281
--------------
HEALTH CARE DISTRIBUTORS -- 2.2%
Andrx Corp.* .................................. 200,100 3,087,543
Omnicare, Inc. ................................ 324,000 18,218,520
--------------
21,306,063
--------------
IT CONSULTING -- 2.2%
CACI International, Inc.* ..................... 171,500 10,392,900
Satyam Computer Services Ltd. - ADR ........... 360,100 10,882,222
--------------
21,275,122
--------------
MEDIA - BROADCASTING & PUBLISHING -- 2.1%
Andrew Corp.* ................................. 682,600 7,610,990
Entercom Communications Corp.* ................ 85,350 2,696,207
Univision Communications, Inc. - Class A* + ... 199,600 5,295,388
Westwood One, Inc. ............................ 215,900 4,294,251
--------------
19,896,836
--------------
EMPLOYMENT SERVICES -- 1.4%
Monster Worldwide, Inc.* ...................... 434,400 13,340,424
--------------
WASTE DISPOSAL -- 1.2%
Republic Services, Inc. ....................... 337,200 11,899,788
--------------
AEROSPACE & DEFENSE -- 1.0%
Alliant Techsystems, Inc.* .................... 134,600 10,047,890
--------------
DEEP SEA PASSENGER TRANSPORTATION -- 1.0%
Royal Caribbean Cruises Ltd. + ................ 211,500 9,136,800
--------------
ENGINEERING SERVICES -- 0.9%
EMCOR Group, Inc.* ............................ 139,565 8,276,205
--------------
57
EMERGING GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 97.6% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 0.9%
Piper Jaffray Companies, Inc.* ................ 111,400 $ 3,326,404
T. Rowe Price Group, Inc. ..................... 74,300 4,851,790
--------------
8,178,194
--------------
HOTELS & MOTELS -- 0.8%
Gaylord Entertainment Co.* .................... 169,100 8,057,615
--------------
ADVERTISING -- 0.8%
Lexmark International Group, Inc. - Class A* .. 126,210 7,705,121
--------------
AGRICULTURAL SERVICES -- 0.7%
Monsanto Co. .................................. 114,300 7,172,325
--------------
TELECOMMUNICATIONS -- 0.7%
Scientific-Atlanta, Inc. ...................... 177,200 6,646,772
--------------
HOUSEHOLD PRODUCTS -- 0.7%
Leggett & Platt, Inc. ......................... 321,100 6,486,220
--------------
COMMERCIAL SERVICES -- 0.5%
Anixter International, Inc.* .................. 130,150 5,248,950
--------------
TOTAL COMMON STOCKS ........................... $ 938,167,644
--------------
- -------------------------------------------------------------------------------
MARKET
INVESTMENT FUNDS -- 11.9% SHARES VALUE
- -------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^** .. 114,762,348 $ 114,762,348
--------------
TOTAL INVESTMENT SECURITIES -- 109.5%
(Cost $918,962,829) ............................. $1,052,929,992
LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.5%).. (91,495,345)
--------------
NET ASSETS -- 100.0% ............................ $ 961,434,647
==============
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
+ All or portion of the security is on loan. The total value of securities
on loan as of September 30, 2005 was $88,131,934.
** As of September 30, 2005, $90,915,822 represents collateral for securities
loaned.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
58
GROWTH OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 100.3% SHARES VALUE
- -------------------------------------------------------------------------------
TECHNOLOGY -- 30.5%
Agilent Technologies, Inc.* ..................... 126,000 $ 4,126,500
Analog Devices, Inc. ............................ 90,000 3,342,600
Autodesk, Inc. .................................. 45,000 2,089,800
EMC Corp.* ...................................... 350,000 4,529,000
Intel Corp. ..................................... 145,000 3,574,250
L-3 Communications Holdings, Inc. ............... 20,000 1,581,400
Motorola, Inc. .................................. 147,000 3,247,230
Oracle Corp.* ................................... 335,000 4,150,650
Texas Instruments, Inc. ......................... 150,000 5,085,000
VeriSign, Inc.* ................................. 85,000 1,816,450
------------
33,542,880
------------
HEALTH CARE -- 27.7%
Affymetrix, Inc.* ............................... 62,700 2,898,621
Alcon Inc. ...................................... 31,000 3,964,280
Amgen, Inc.* .................................... 52,700 4,198,609
Charles River Laboratories International, Inc.* . 40,000 1,744,800
Fisher Scientific International Inc.* ........... 55,000 3,412,750
Genentech, Inc.* ................................ 42,500 3,578,925
Genzyme Corp.* .................................. 60,000 4,298,400
Invitrogen Corp.* ............................... 50,000 3,761,500
St. Jude Medical, Inc.* ......................... 55,000 2,574,000
------------
30,431,885
------------
OIL & GAS -- 13.2%
Burlington Resources, Inc. ...................... 45,000 3,659,400
Halliburton Company ............................. 65,000 4,453,800
Newfield Exploration Co.* ....................... 45,000 2,209,500
Schlumberger Limited ............................ 50,000 4,219,000
------------
14,541,700
------------
BUSINESS SERVICES -- 10.2%
eBay, Inc.* ..................................... 65,000 2,678,000
Getty Images, Inc.* ............................. 33,000 2,839,320
Jacobs Engineering Group, Inc.* ................. 12,000 808,800
Monster Worldwide, Inc.* ........................ 92,800 2,849,888
Yahoo!, Inc.* ................................... 60,000 2,030,400
------------
11,206,408
------------
INDUSTRIAL -- 6.3%
American Power Conversion Corp. ................. 92,000 2,382,800
Caterpiller, Inc. ............................... 50,000 2,937,500
Emerson Electric Co. ............................ 22,000 1,579,600
------------
6,899,900
------------
MEDIA/ENTERTAINMENT -- 5.2%
Harrah's Entertainment, Inc. .................... 15,000 977,850
Marriott International, Inc. - Class A .......... 39,000 2,457,000
Starwood Hotels & Resorts Worldwide, Inc. ....... 40,000 2,286,800
------------
5,721,650
------------
59
GROWTH OPPORTUNITIES FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 100.3% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
RETAIL -- 5.2%
Starbucks Corp.* ................................ 57,000 $ 2,855,700
Walgreen Co. .................................... 30,000 1,303,500
Williams-Sonoma, Inc.* .......................... 40,000 1,534,000
------------
5,693,200
------------
CHEMICALS -- 2.0%
Praxair, Inc. ................................... 46,700 2,238,331
------------
TOTAL COMMON STOCKS ............................. $110,275,954
------------
- -------------------------------------------------------------------------------
MARKET
INVESTMENT FUNDS -- 0.8% SHARES VALUE
- -------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^ .... 853,951 $ 853,951
------------
TOTAL INVESTMENT SECURITIES -- 101.1%
(Cost $98,618,142) .............................. $111,129,905
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.1%) . (1,237,447)
------------
NET ASSETS -- 100.0% ............................ $109,892,458
------------
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
See accompanying notes to financial statements.
60
LARGE CAP CORE EQUITY FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
================================================================================
MARKET
COMMON STOCKS -- 97.4% SHARES VALUE
- -------------------------------------------------------------------------------
INDUSTRIAL -- 17.8%
3M Co. ........................................... 4,910 $ 360,198
Caterpiller, Inc. ................................ 10,600 622,749
General Electric Co. ............................. 12,180 410,101
Honeywell International, Inc. .................... 11,590 434,625
United Technologies Corp. ........................ 8,640 447,897
-----------
2,275,570
-----------
INFORMATION TECHNOLOGY -- 17.4%
Cisco Systems, Inc.* ............................. 16,200 290,466
Computer Sciences Corp.* ......................... 7,070 334,482
Hewlett-Packard Co. .............................. 17,970 524,723
Intel Corp. ...................................... 13,550 334,008
International Business Machines Corp. (IBM) ...... 4,220 338,528
Microsoft Corp. .................................. 16,100 414,253
-----------
2,236,460
-----------
CONSUMER STAPLES -- 16.2%
Altria Group, Inc. ............................... 7,270 535,872
Coca-Cola Co. .................................... 7,660 330,835
Kimberly-Clark Corp. ............................. 6,580 391,707
Procter & Gamble Co. ............................. 7,860 467,356
Wal-Mart Stores, Inc. ............................ 8,250 361,515
-----------
2,087,285
-----------
HEALTH CARE -- 11.3%
Cardinal Health, Inc. ............................ 5,700 361,608
Johnson & Johnson ................................ 7,460 472,069
WellPoint, Inc.* ................................. 8,250 625,515
-----------
1,459,192
-----------
CONSUMER DISCRETIONARY -- 10.2%
Best Buy Co., Inc. + ............................. 12,075 525,625
Home Depot, Inc. ................................. 10,610 404,665
The Walt Disney Co. .............................. 16,010 386,321
-----------
1,316,611
-----------
FINANCIAL SERVICES -- 9.7%
American Express Co. ............................. 7,360 422,759
Bank of America Corp. ............................ 10,020 421,842
Citigroup, Inc. .................................. 8,856 403,125
-----------
1,247,726
-----------
ENERGY -- 4.7%
Exxon Mobil Corp. ................................ 9,620 611,255
-----------
TELECOMMUNICATION SERVICE -- 2.8%
SBC Communications, Inc. ......................... 15,120 362,426
-----------
INSURANCE -- 2.8%
Allstate Corp. ................................... 6,485 358,556
-----------
MATERIALS -- 2.5%
Du Pont (E.I.) DE Nemours ........................ 8,350 327,070
-----------
61
LARGE CAP CORE EQUITY FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
FINANCIAL -- 2.0%
JP Morgan Chase & Co. ........................... 7,760 $ 263,297
-----------
TOTAL COMMON STOCKS ............................. $12,545,448
-----------
- -------------------------------------------------------------------------------
MARKET
INVESTMENT FUNDS -- 3.6% SHARES VALUE
- -------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^** .. 468,166 $ 468,166
-----------
TOTAL INVESTMENT SECURITIES -- 101.0%
(Cost $10,760,861) .............................. $13,013,614
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.0%) . (133,082)
-----------
NET ASSETS -- 100.0% ............................ $12,880,532
===========
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
+ All or a portion of the security is on loan. The total value of securities
on loan as of September 30, 2005 was $148,002.
** As of September 30, 2005, $151,300 represents collateral for securities
loaned.
See accompanying notes to financial statements.
62
LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 97.3% SHARES VALUE
- -------------------------------------------------------------------------------
HEALTH CARE -- 17.1%
Abbott Laboratories ............................. 242,050 $ 10,262,920
Alcon, Inc. ..................................... 219,370 28,053,035
Genentech, Inc.* ................................ 253,350 21,334,604
Glaxosmithkline PLC - ADR ....................... 238,250 12,217,460
Medco Health Solutions, Inc.* ................... 351,645 19,280,695
UnitedHealth Group, Inc. ........................ 461,335 25,927,027
------------
117,075,741
------------
TELECOMMUNICATIONS -- 12.2%
America Movil S.A. - ADR ........................ 1,123,075 29,559,334
Corning, Inc.* .................................. 801,700 15,496,861
Motorola, Inc. .................................. 979,410 21,635,167
Sprint Nextel Corp. ............................. 679,916 16,168,402
------------
82,859,764
------------
OIL & GAS -- 11.9%
Burlington Resources, Inc. ...................... 94,560 7,689,619
Cameco Corp. + .................................. 132,345 7,080,458
Edison International ............................ 397,100 18,774,887
EnCana Corp. .................................... 238,260 13,892,940
Praxair, Inc. ................................... 253,350 12,143,066
Transocean, Inc.* ............................... 132,345 8,114,072
Valero Energy Corp. ............................. 117,210 13,251,763
------------
80,946,805
------------
COMPUTER SOFTWARE & SERVICES -- 10.8%
Adobe Systems, Inc. ............................. 344,126 10,272,161
Infosys Technologies Ltd. - ADR + ............... 90,720 6,738,682
Marvell Technology Group Ltd.* .................. 487,825 22,493,611
Oracle Corp.* ................................... 907,585 11,244,978
Texas Instruments, Inc. ......................... 669,325 22,690,117
------------
73,439,549
------------
INSURANCE -- 8.7%
Aetna, Inc. ..................................... 249,555 21,496,668
CIGNA Corp. ..................................... 147,450 17,378,457
Prudential Financial, Inc. ...................... 298,700 20,180,172
------------
59,055,297
------------
HOTELS & MOTELS -- 7.5%
Marriott International, Inc. - Class A .......... 295,005 18,585,315
MGM MIRAGE* ..................................... 476,445 20,853,998
Starwood Hotels & Resorts Worldwide, Inc. ....... 208,000 11,891,360
------------
51,330,673
------------
RETAILERS -- 7.1%
CVS ............................................. 684,435 19,855,459
J.C. Penney Company, Inc. ....................... 351,650 16,675,243
Yum! Brands, Inc. ............................... 242,050 11,717,641
------------
48,248,343
------------
63
LARGE CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 97.3% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
COMPUTERS & INFORMATION -- 6.8%
Apple Computer, Inc.* ........................... 347,860 $ 18,648,775
Google, Inc.* + ................................. 52,950 16,756,557
Lockheed Martin Corp. ........................... 173,930 10,616,687
------------
46,022,019
------------
FINANCIAL SERVICES -- 6.4%
Franklin Resources, Inc. ........................ 257,140 21,589,474
Moody's Corp. ................................... 423,580 21,636,467
------------
43,225,941
------------
HOUSEHOLD PRODUCTS -- 3.1%
The Gillette Co. ................................ 366,825 21,349,215
------------
BUILDING PRODUCTS -- 2.9%
Cemex S.A. - ADR ................................ 374,350 19,578,505
------------
TRANSPORTATION SERVICES -- 2.8%
Boeing Co. ...................................... 279,825 19,014,109
------------
TOTAL COMMON STOCKS ............................. $662,145,961
------------
- -------------------------------------------------------------------------------
MARKET
INVESTMENT FUNDS -- 5.3% SHARES VALUE
- -------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^** .. 36,174,635 $ 36,174,635
------------
TOTAL INVESTMENT SECURITIES -- 102.6%
(Cost $615,581,077) ............................. $698,320,596
LIABILITIES IN EXCESS OF OTHER ASSETS -- (2.6%).. (17,646,473)
------------
NET ASSETS -- 100.0% ............................ $680,674,123
============
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
+ All or a portion of the security is on loan. The total value of securities
on loan as of September 30, 2005 was $19,433,536.
** As of September 30, 2005, $19,851,996 represents collateral for securities
loaned.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
64
MICRO CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 99.4% SHARES VALUE
- -------------------------------------------------------------------------------
HEALTH CARE -- 27.0%
Air Methods Corp.* .............................. 5,000 $ 56,600
American Dental Partners, Inc.* ................. 41,400 1,404,288
American Science & Engineering, Inc.* + ......... 18,700 1,226,533
Angiodynamics, Inc.* ............................ 51,100 1,073,100
Anika Therapeutics, Inc.* ....................... 40,000 472,800
Bioanalytical Systems, Inc.* .................... 64,650 339,413
Cerus Corp.* .................................... 81,800 724,748
Clinical Data, Inc. + ........................... 13,275 286,740
CNS, Inc. ....................................... 51,400 1,339,998
Cutera, Inc.* ................................... 14,000 363,160
Dialysis Corporation of America* ................ 77,800 1,007,510
Escalon Medical Corp.* + ........................ 18,400 113,160
Hi-Tech Pharmacal Co., Inc.* .................... 42,400 1,275,392
Horizon Health Corp.* ........................... 45,400 1,233,518
IntegraMed America, Inc.* ....................... 43,300 519,167
IRIS International, Inc.* + ..................... 78,600 1,449,383
Mesa Laboratories, Inc. ......................... 24,900 317,475
Misonix, Inc.* .................................. 50,000 359,500
Palomar Medical Technologies, Inc.* + ........... 25,000 655,750
Psychemedics Corp. .............................. 47,400 644,640
Somanetics Corp.* ............................... 52,000 1,300,000
U.S. Physical Therapy, Inc.* .................... 67,900 1,233,064
------------
17,395,939
------------
ELECTRONIC TECHNOLOGY -- 24.2%
BTU International, Inc.* ........................ 56,800 516,312
Captiva Software Corp.* ......................... 58,900 1,057,844
Digi International, Inc.* ....................... 21,200 227,476
Endwave Corporation* + .......................... 17,500 225,750
ENGlobal Corp.* + ............................... 29,200 236,228
Essex Corp.* .................................... 40,000 866,800
Key Tronic Corp.* ............................... 97,650 402,318
LoJack Corp.* ................................... 68,100 1,439,634
Moldflow Corp.* ................................. 35,000 557,200
Neoware Systems, Inc.* .......................... 26,500 443,610
Online Resources Corp.* ......................... 111,100 1,175,438
PAR Technology Corp.* ........................... 49,350 1,135,050
Radiant Systems, Inc.* .......................... 101,600 1,048,512
Rimage Corp.* ................................... 30,865 823,170
SI International, Inc.* ......................... 32,800 1,015,816
SRS Labs, Inc.* ................................. 68,500 441,140
Synplicity, Inc.* ............................... 104,400 690,084
Tollgrade Communications, Inc.* ................. 20,000 169,200
United Industrial Corp. + ....................... 33,500 1,197,625
Video Display Corp. + ........................... 52,400 731,504
VSE Corp. ....................................... 33,000 1,155,000
------------
15,555,711
------------
65
MICRO CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 99.4% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 9.5%
Cuisine Solutions, Inc.* ........................ 82,200 $ 612,390
Hansen Natural Corp.* + ......................... 35,000 1,647,800
Parlux Fragrances, Inc.* + ...................... 39,700 1,156,858
Poore Brothers, Inc.* ........................... 107,200 584,240
Rocky Mountain Chocolate Factory, Inc. .......... 55,200 805,920
True Religion Apparel, Inc.* + .................. 80,000 1,331,200
------------
6,138,408
------------
PRODUCER MANUFACTURING -- 8.1%
Amerigon, Inc.* ................................. 183,100 1,071,135
Dynamic Materials Corp. + ....................... 35,000 1,536,499
Fuel-Tech N.V.* ................................. 35,650 329,763
K-Tron International, Inc.* ..................... 4,450 150,544
Lamson & Sessions Co.* .......................... 29,700 544,104
Memry Corp.* .................................... 43,900 92,190
Miller Industries, Inc.* ........................ 3,400 66,776
Sun Hydraulics Corp. + .......................... 45,000 1,093,500
Supreme Industries, Inc. ........................ 32,200 302,358
------------
5,186,869
------------
CONSUMER DURABLES -- 7.7%
Aldila, Inc. .................................... 48,500 1,176,125
American Oriental Bioengineering, Inc.* ......... 180,000 822,600
Charles & Colvard Ltd. + ........................ 52,500 1,310,400
Forward Industries, Inc.* + ..................... 70,000 1,642,900
------------
4,952,025
------------
CONSUMER SERVICES -- 6.5%
American Medical Alert Corp.* ................... 85,400 593,530
Gaming Partners International Corp.* + .......... 41,600 663,936
Mac-Gray Corp.* ................................. 33,400 432,530
Nutri/System, Inc.* + ........................... 75,000 1,876,500
Youbet.com, Inc.* ............................... 103,200 591,336
------------
4,157,832
------------
COMMERCIAL/INDUSTRIAL SERVICES -- 3.4%
Competitive Technologies, Inc.* ................. 42,500 282,200
Perficient, Inc.* ............................... 100,000 827,000
Sterling Construction Co., Inc.* ................ 17,100 442,890
TheStreet.com* .................................. 147,500 616,550
------------
2,168,640
------------
BASIC MATERIALS -- 3.3%
CFC International, Inc.* ........................ 14,000 217,000
Empire Resources, Inc. + ........................ 67,800 530,874
Multi-Color Corp. ............................... 28,100 729,968
The Andersons, Inc. ............................. 22,600 661,728
------------
2,139,570
------------
MISCELLANEOUS -- 3.3%
Cavco Industries, Inc.* ......................... 32,600 1,182,728
United States Lime & Minerals, Inc.* ............ 26,700 911,805
------------
2,094,533
------------
66
MICRO CAP GROWTH FUND
(CONTINUED)
==============================================================================
MARKET
COMMON STOCKS -- 99.4% (CONTINUED) SHARES VALUE
- ------------------------------------------------------------------------------
FINANCE -- 2.7%
American Physicians Capital, Inc.* .............. 25,000 $ 1,228,250
Citizens, Inc.* + ............................... 81,000 520,020
------------
1,748,270
------------
RETAIL TRADE -- 1.6%
The Sportsman's Guide, Inc.* .................... 25,300 690,690
Wilsons The Leather Experts, Inc.* .............. 53,600 326,960
------------
1,017,650
------------
TRANSPORTATION -- 1.1%
Frozen Food Express Industries, Inc.* ........... 64,600 677,654
------------
ENERGY -- 1.0%
Natural Gas Services Group* + ................... 18,000 634,140
------------
TOTAL COMMON STOCKS ............................. $ 63,867,241
------------
- -------------------------------------------------------------------------------
MARKET
INVESTMENT FUNDS -- 27.6% SHARES VALUE
- -------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^** .. 17,770,221 $ 17,770,221
------------
TOTAL INVESTMENT SECURITIES -- 127.0%
(Cost $69,533,004) .............................. $ 81,637,462
LIABILITIES IN EXCESS OF OTHER ASSETS -- (27.0%) (17,356,706)
------------
NET ASSETS -- 100.0% ............................ $ 64,280,756
============
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
+ All or a portion of the security is on loan. The total value of securities
on loan as of September 30, 2005 was $17,050,621.
** As of September 30, 2005, $17,591,183 represents collateral for securities
loaned.
See accompanying notes to financial statements.
67
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 94.1% SHARES VALUE
- -------------------------------------------------------------------------------
HEALTH CARE -- 15.9%
Air Methods Corp.* .............................. 10,000 $ 113,200
American Dental Partners, Inc.* ................. 40,800 1,383,936
American Science and Engineering, Inc.* + ....... 19,100 1,252,769
Angiodynamics, Inc.* ............................ 55,100 1,157,100
Anika Therapeutics, Inc.* ....................... 82,775 978,401
Bioanalytical Systems, Inc.* .................... 74,300 390,075
Cerus Corp.* .................................... 137,100 1,214,706
Clinical Data, Inc. + ........................... 2,000 43,200
CNS, Inc. ....................................... 52,500 1,368,675
Cutera, Inc.* ................................... 30,000 778,200
Dialysis Corporation of America* + .............. 54,752 709,038
Escalon Medical Corp.* + ........................ 22,800 140,220
Genitope Corp.* + ............................... 52,550 364,697
Herbalife Ltd., - ADR* .......................... 119,550 3,603,237
Hi-Tech Pharmacal Co., Inc.* .................... 45,200 1,359,616
Horizon Health Corp.* ........................... 49,000 1,331,330
Human Genome Sciences, Inc.* .................... 92,350 1,255,037
IntegraMed America, Inc.* ....................... 54,600 654,654
IRIS International, Inc.* + ..................... 76,100 1,403,284
Mesa Laboratories, Inc. ......................... 18,100 230,775
Misonix, Inc.* .................................. 28,800 207,072
Natus Medical, Inc.* ............................ 6,300 76,671
NitroMed, Inc.* + ............................... 133,700 2,406,600
Onyx Pharmaceuticals, Inc.* ..................... 82,300 2,055,854
Palomar Medical Technologies, Inc.* + ........... 27,800 729,194
Psychemedics Corp. .............................. 48,300 656,880
Somanetics Corp.* ............................... 60,000 1,500,000
Telik, Inc.* + .................................. 261,635 4,280,348
U.S. Physical Therapy, Inc.* .................... 70,100 1,273,016
Valeant Pharmaceuticals International ........... 126,900 2,548,152
Viasys Healthcare, Inc.* ........................ 174,850 4,369,501
------------
39,835,438
------------
ENERGY -- 14.8%
Energy Conversion Devices, Inc.* + .............. 166,000 7,450,079
InterOil Corp.* + ............................... 136,150 3,172,295
Key Energy Services, Inc.* ...................... 266,900 3,955,458
Natural Gas Services Group* + ................... 30,900 1,088,607
Newpark Resources, Inc.* ........................ 376,400 3,169,288
Oil States International, Inc.* ................. 158,550 5,756,951
Parker Drilling Company* ........................ 588,750 5,457,713
Superior Energy Services, Inc.* ................. 292,100 6,744,588
------------
36,794,979
------------
ELECTRONIC TECHNOLOGY -- 13.7%
Actel Corp.* .................................... 148,350 2,145,141
Bottomline Technologies, Inc.* .................. 154,100 2,325,369
BTU International, Inc.* ........................ 70,600 641,754
Captiva Software Corp.* ......................... 72,900 1,309,284
68
SMALL CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 94.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 13.7% (CONTINUED)
Cypress Semiconductor Corp.* + .................. 181,550 $ 2,732,328
Digi International Inc.* ........................ 40,000 429,200
Digital River, Inc.* + .......................... 202,450 7,055,382
Endwave Corp.* + ................................ 26,200 337,980
ENGlobal Corp.* + ............................... 47,400 383,466
Essex Corp.* .................................... 35,000 758,450
ILOG S.A. - ADR* ................................ 22,100 381,004
K-Tron International, Inc.* ..................... 2,900 98,107
Lojack Corp.* ................................... 69,000 1,458,660
Mobility Electronics, Inc.* ..................... 176,300 1,879,358
Moldflow Corp.* ................................. 15,600 248,352
Neoware Systems, Inc.* .......................... 44,400 743,256
Online Resources Corp.* ......................... 101,800 1,077,044
PAR Technology Corp.* ........................... 55,750 1,282,250
Radiant Systems, Inc.* .......................... 110,000 1,135,200
Rimage Corp.* ................................... 44,500 1,186,815
SI International, Inc.* ......................... 42,300 1,310,031
SRS Labs, Inc.* ................................. 103,900 669,116
Synplicity, Inc.* ............................... 152,000 1,004,720
Tollgrade Communications, Inc.* ................. 47,240 399,650
United Industrial Corp. + ....................... 34,100 1,219,075
Video Display Corp. + ........................... 55,000 767,800
VSE Corp. ....................................... 32,200 1,127,000
------------
34,105,792
------------
TECHNOLOGY -- 9.5%
Atheros Communications* + ....................... 271,850 2,653,256
F5 Networks, Inc.* .............................. 128,700 5,594,589
Intellisync Corp.* + ............................ 160,350 711,954
Micromuse, Inc.* ................................ 444,800 3,505,024
Openwave Systems, Inc.* + ....................... 386,600 6,951,068
PMC-Sierra, Inc.* ............................... 300,000 2,643,000
WebSideStory, Inc.* ............................. 84,600 1,499,112
------------
23,558,003
------------
COMMUNICATIONS -- 7.8%
Arris Group, Inc.* .............................. 467,850 5,548,700
IXIA* ........................................... 270,750 3,982,733
NII Holdings, Inc. - Class B* ................... 54,150 4,572,968
SBA Communications Corp. - Class A* ............. 334,200 5,163,390
------------
19,267,791
------------
COMMERCIAL/INDUSTRIAL SERVICES -- 6.4%
Competitive Technologies, Inc.* ................. 42,500 282,200
Flowserve Corp.* ................................ 116,300 4,227,505
Perficient, Inc.* + ............................. 103,100 852,637
Sterling Construction Co., Inc.* ................ 22,600 585,340
Teledyne Technologies, Inc.* .................... 121,750 4,196,723
TheStreet.com, Inc.* ............................ 167,300 699,314
USEC, Inc. ...................................... 199,500 2,226,420
Veeco Instruments, Inc.* + ...................... 178,150 2,857,526
------------
15,927,665
------------
69
SMALL CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 94.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
BASIC MATERIALS -- 4.5%
CFC International, Inc.* ........................ 22,000 $ 341,000
Cleveland-Cliffs, Inc. + ........................ 38,550 3,358,091
Empire Resources, Inc. + ........................ 67,700 530,091
Hexcel Corp.* ................................... 303,850 5,557,416
Multi-Color Corp. ............................... 37,400 971,559
The Andersons, Inc. ............................. 16,300 477,264
------------
11,235,421
------------
CONSUMER NON-DURABLES -- 4.1%
Cuisine Solutions, Inc.* ........................ 86,900 647,405
Hansen Natural Corp.* + ......................... 30,000 1,412,400
Parlux Fragrances, Inc.* + ...................... 40,400 1,177,256
Poore Brothers, Inc.* ........................... 115,700 630,565
Rocky Mountain Chocolate Factory, Inc. .......... 55,900 816,140
True Religion Apparel, Inc.* + .................. 76,000 1,264,640
USANA Health Sciences, Inc.* + .................. 87,250 4,161,825
------------
10,110,231
------------
CONSUMER SERVICES -- 3.4%
American Medical Alert Corp.* ................... 87,600 608,820
Gaming Partners International Corp.* + .......... 52,600 839,496
Mac-Gray Corp.* ................................. 60,000 777,000
Nutri/Systems, Inc.* + .......................... 87,500 2,189,250
Revlon, Inc.* + ................................. 1,055,642 3,399,167
Youbet.com, Inc.* ............................... 107,300 614,829
------------
8,428,562
------------
INSURANCE -- 2.9%
Platinum Underwriters Holdings Ltd. ............. 240,400 7,185,556
------------
PRODUCER MANUFACTURING -- 2.6%
Amerigon, Inc.* + ............................... 255,800 1,496,430
Dynamic Materials Corp. + ....................... 35,000 1,536,500
Fuel-Tech N.V.* ................................. 36,550 338,088
Key Tronics Corp.* .............................. 133,950 551,874
Lamson & Sessions Co.* .......................... 38,600 707,152
Memry Corp.* .................................... 59,700 125,370
Miller Industries, Inc.* ........................ 3,600 70,704
Sun Hydraulics Corp. + .......................... 45,000 1,093,500
Supreme Industries, Inc. ........................ 47,000 441,330
------------
6,360,948
------------
CONSUMER DURABLES -- 2.3%
Aldila, Inc. .................................... 59,000 1,430,750
American Oriental Bioengineering, Inc.* + ....... 185,000 845,450
Charles & Colvard Ltd. + ........................ 57,749 1,441,415
Forward Industries, Inc.* + ..................... 80,000 1,877,600
------------
5,595,215
------------
FINANCE -- 2.2%
American Physicians Capital, Inc.* .............. 21,700 1,066,121
Centene Corp.* .................................. 119,000 2,978,570
Citizens, Inc.* + ............................... 97,700 627,234
Five Star Quality Care, Inc.* ................... 116,900 806,610
------------
5,478,535
------------
70
SMALL CAP GROWTH FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 94.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.5%
Friedman, Billings, Ramsey Group, Inc. + ........ 158,850 $ 1,618,682
Investment Technology Group, Inc.* .............. 70,900 2,098,640
------------
3,717,322
------------
MISCELLANEOUS -- 1.0%
Barrett Business Services, Inc.* ................ 16,000 365,600
Cavco Industries, Inc.* ......................... 34,300 1,244,404
United States Lime & Minerals, Inc.* ............ 27,500 939,125
------------
2,549,129
------------
TRANSPORTATION -- 1.0%
Frozen Food Express Industries, Inc.* ........... 54,300 569,607
US Airways Group, Inc.* ......................... 85,800 1,802,658
------------
2,372,265
------------
RETAIL TRADE -- 0.5%
The Sportsman's Guide, Inc.* .................... 28,100 767,130
Wilsons The Leather Experts, Inc.* .............. 66,700 406,870
------------
1,174,000
------------
TOTAL COMMON STOCKS ............................. $233,696,852
------------
- -------------------------------------------------------------------------------
MARKET
INVESTMENT FUNDS -- 29.5% SHARES VALUE
- -------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^** .. 73,233,115 $ 73,233,115
------------
TOTAL INVESTMENT SECURITIES -- 123.6%
(Cost $276,943,495) ............................. $306,929,967
LIABILITIES IN EXCESS OF OTHER ASSETS -- (23.6%) (58,538,859)
------------
NET ASSETS -- 100.0% ............................ $248,391,108
============
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
+ All or a portion of the security is on loan. The total value of securities
on loan as of September 30, 2005 was $56,002,458.
** As of September 30, 2005, $57,727,317 represents collateral for securities
loaned.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
71
VALUE PLUS FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
===============================================================================
MARKET
COMMON STOCKS -- 97.7% SHARES VALUE
- -------------------------------------------------------------------------------
OIL & GAS -- 13.0%
Baker Hughes, Inc. .............................. 18,250 $ 1,089,160
BJ Services Co. ................................. 13,860 498,821
ChevronTexaco ................................... 24,133 1,562,129
ConocoPhillips .................................. 39,926 2,791,228
Exxon Mobil ..................................... 63,486 4,033,901
-----------
9,975,239
-----------
BANKING -- 12.4%
Bank of America ................................. 73,273 3,084,793
Citigroup ....................................... 73,403 3,341,305
JP Morgan Chase ................................. 57,228 1,941,746
U.S. Bancorp .................................... 38,692 1,086,471
-----------
9,454,315
-----------
PHARMACEUTICALS -- 8.5%
Cardinal Health, Inc. ........................... 16,811 1,066,490
Novartis AG ..................................... 24,030 1,225,530
Pfizer .......................................... 144,639 3,611,636
Watson Pharmaceuticals, Inc.* ................... 16,346 598,427
-----------
6,502,083
-----------
COMPUTERS & INFORMATION -- 6.8%
Computer Sciences Corp.* ........................ 25,555 1,209,007
First Data Corp. ................................ 19,431 777,240
Hewlett-Packard ................................. 58,955 1,721,486
International Business Machines ................. 19,001 1,524,260
-----------
5,231,993
-----------
FINANCIAL SERVICES -- 6.4%
Freddie Mac ..................................... 31,976 1,805,365
Lehman Brothers Holdings ........................ 15,950 1,857,856
Merrill Lynch & Co., Inc. ....................... 20,573 1,262,154
-----------
4,925,375
-----------
BEVERAGE, FOOD & TOBACCO -- 6.4%
Anheuser Busch .................................. 28,020 1,205,981
Diageo PLC - ADR + .............................. 21,515 1,248,085
McDonald's ...................................... 25,153 842,374
Outback Steakhouse, Inc. ........................ 43,584 1,595,174
-----------
4,891,614
-----------
INSURANCE -- 5.7%
American International Group, Inc. .............. 25,724 1,593,859
Genworth Financial, Inc. ........................ 46,813 1,509,251
Lincoln National Corp. .......................... 24,445 1,271,629
-----------
4,374,739
-----------
ELECTRIC UTILITIES -- 5.6%
Cinergy Corp. ................................... 31,966 1,419,610
Dominion Resources .............................. 15,845 1,364,888
Public Service Enterprise Group, Inc. ........... 23,232 1,495,212
-----------
4,279,710
-----------
72
VALUE PLUS FUND
(CONTINUED)
===============================================================================
MARKET
COMMON STOCKS -- 97.7% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
MEDIA - BROADCASTING & PUBLISHING -- 5.4%
Clear Channel Communications, Inc. ............... 37,761 $ 1,241,959
Comcast Corp. - Special Class A* ................. 51,480 1,481,595
Time Warner, Inc. ................................ 47,131 853,542
Viacom, Inc. - Class B ........................... 17,005 561,335
-----------
4,138,431
-----------
TELEPHONE SYSTEMS -- 4.8%
Alltell .......................................... 12,730 828,850
SBC Communications ............................... 57,052 1,367,536
Verizon Communications + ......................... 45,239 1,478,864
-----------
3,675,250
-----------
INDUSTRIAL - DIVERSIFIED -- 4.1%
General Electric ................................. 60,719 2,044,408
Tyco International ............................... 39,135 1,089,910
-----------
3,134,318
-----------
RETAILERS -- 3.4%
CVS .............................................. 51,141 1,483,600
Home Depot ....................................... 28,490 1,086,609
-----------
2,570,209
-----------
ELECTRONICS -- 3.1%
Analog Devices ................................... 17,250 640,665
Flextronics International Ltd.* .................. 65,965 847,650
Intel ............................................ 34,415 848,330
-----------
2,336,645
-----------
HEAVY MACHINERY -- 2.3%
Caterpiller ...................................... 30,587 1,796,986
-----------
HEALTH CARE -- 2.3%
Amgen, Inc.* ..................................... 11,025 878,361
WellPoint, Inc.* ................................. 11,286 855,705
-----------
1,734,066
-----------
MEDICAL SUPPLIES -- 1.5%
Boston Scientific Corp.* ......................... 47,612 1,112,692
-----------
BUILDING PRODUCTS -- 1.4%
Masco ............................................ 35,806 1,098,528
-----------
HOUSEHOLD PRODUCTS -- 1.2%
Kimberly-Clark ................................... 15,557 926,108
-----------
PAPER AND RELATED PRODUCTS -- 1.2%
Sealed Air Corp.* ................................ 19,046 903,923
-----------
CHEMICALS -- 1.1%
Du Pont (E.I.) DE Nemours ........................ 21,865 856,452
-----------
FARM MACHINERY AND EQUIPMENT -- 1.1%
Deere & Co. ...................................... 13,895 850,374
-----------
TOTAL COMMON STOCKS .............................. $74,769,050
-----------
73
VALUE PLUS FUND
(CONTINUED)
================================================================================
MARKET
INVESTMENT FUNDS -- 5.8% SHARES VALUE
- --------------------------------------------------------------------------------
Touchstone Institutional Money Market Fund ^** .. 4,398,092 $ 4,398,092
-----------
TOTAL INVESTMENT SECURITIES -- 103.5%
(Cost $69,938,422) .............................. $79,167,142
LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.5%).. (2,683,104)
-----------
NET ASSETS -- 100.0% ............................ $76,484,038
===========
* Non-income producing security.
^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc.
+ All or a portion of the security is on loan. The total value of securities
on loan as of September 30, 2005 was $2,590,585.
** As of September 30, 2005, $2,661,772 represents collateral for securities
loaned.
ADR - American Depository Receipt.
See accompanying notes to financial statements.
74
OTHER ITEMS
(UNAUDITED)
================================================================================
PROXY VOTING
The Sub-Advisors 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-Advisors use in fulfilling this
responsibility and information regarding how those proxies were voted during the
twelve month period ended June 30 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 (the Commission)?website at
http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
The Trust files a complete listing of portfolio holdings for each Fund as of the
end of the first and third quarters of each fiscal year on Form N-Q. The
complete listing (i) is available on the Commission's website; (ii) may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC;
and (iii) will be made available to shareholders upon request by calling
1.800.543.0407. Information on the operation of the Public Reference Room may be
obtained by calling 1-800-SEC-0330.
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, 2005" to estimate the expenses you paid on your
account during this period.
75
OTHER ITEMS
(UNAUDITED) (CONTINUED)
================================================================================
SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
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.
EXPENSES PAID
NET EXPENSE ENDING DURING THE
RATIO BEGINNING ACCOUNT SIX MONTHS
ANNUALIZED ACCOUNT VALUE VALUE ENDED
SEPT. 30, APRIL 1, SEPT. 30, SEPT. 30,
2005 2005 2005 2005*
- --------------------------------------------------------------------------------------------------------------
EMERGING GROWTH FUND
Class A Actual ................. 1.50% $ 1,000.00 $ 1,085.00 $ 7.84
Class A Hypothetical ........... 1.50% $ 1,000.00 $ 1,017.55 $ 7.59
Class B Actual ................. 2.25% $ 1,000.00 $ 1,081.00 $ 11.74
Class B Hypothetical ........... 2.25% $ 1,000.00 $ 1,013.79 $ 11.36
Class C Actual ................. 2.25% $ 1,000.00 $ 1,081.00 $ 11.74
Class C Hypothetical ........... 2.25% $ 1,000.00 $ 1,013.79 $ 11.36
GROWTH OPPORTUNITIES FUND
Class A Actual ................. 1.72% $ 1,000.00 $ 1,113.80 $ 9.11
Class A Hypothetical ........... 1.72% $ 1,000.00 $ 1,016.44 $ 8.69
Class B Actual ................. 3.04% $ 1,000.00 $ 1,113.70 $ 16.11
Class B Hypothetical ........... 3.04% $ 1,000.00 $ 1,009.83 $ 15.32
Class C Actual ................. 2.66% $ 1,000.00 $ 1,114.00 $ 14.10
Class C Hypothetical ........... 2.66% $ 1,000.00 $ 1,011.73 $ 13.42
LARGE CAP CORE EQUITY FUND
Class A Actual ................. 1.00% $ 1,000.00 $ 1,030.60 $ 5.09
Class A Hypothetical ........... 1.00% $ 1,000.00 $ 1,020.05 $ 5.06
Class B Actual ................. 1.75% $ 1,000.00 $ 1,026.50 $ 8.89
Class B Hypothetical ........... 1.75% $ 1,000.00 $ 1,016.29 $ 8.85
Class C Actual ................. 1.75% $ 1,000.00 $ 1,026.40 $ 8.89
Class C Hypothetical ........... 1.75% $ 1,000.00 $ 1,016.29 $ 8.85
76
OTHER ITEMS
(UNAUDITED) (CONTINUED)
================================================================================
SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
EXPENSES PAID
NET EXPENSE ENDING DURING THE
RATIO BEGINNING ACCOUNT SIX MONTHS
ANNUALIZED ACCOUNT VALUE VALUE ENDED
SEPT. 30, APRIL 1, SEPT. 30, SEPT. 30,
2005 2005 2005 2005*
- ---------------------------------------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
Class A Actual ............... 1.13% $ 1,000.00 $ 1,075.10 $ 5.88
Class A Hypothetical ......... 1.13% $ 1,000.00 $ 1,019.40 $ 5.72
Class B Actual ............... 2.07% $ 1,000.00 $ 1,071.40 $ 10.75
Class B Hypothetical ......... 2.07% $ 1,000.00 $ 1,014.69 $ 10.46
Class C Actual ............... 1.94% $ 1,000.00 $ 1,072.40 $ 10.08
Class C Hypothetical ......... 1.94% $ 1,000.00 $ 1,015.34 $ 9.80
Class I Actual ............... 0.91% $ 1,000.00 $ 1,076.00 $ 4.74
Class I Hypothetical ......... 0.91% $ 1,000.00 $ 1,020.51 $ 4.61
MICRO CAP GROWTH FUND
Class A Actual ............... 1.95% $ 1,000.00 $ 1,056.90 $ 10.06
Class A Hypothetical ......... 1.95% $ 1,000.00 $ 1,015.29 $ 9.85
Class C Actual ............... 2.70% $ 1,000.00 $ 1,053.60 $ 13.90
Class C Hypothetical ......... 2.70% $ 1,000.00 $ 1,011.53 $ 13.62
Class I Actual ............... 1.55% $ 1,000.00 $ 1,060.90 $ 8.01
Class I Hypothetical ......... 1.55% $ 1,000.00 $ 1,017.30 $ 7.84
SMALL CAP GROWTH FUND
Class A Actual ............... 1.95% $ 1,000.00 $ 1,075.40 $ 10.15
Class A Hypothetical ......... 1.95% $ 1,000.00 $ 1,015.29 $ 9.85
Class B Actual ............... 2.70% $ 1,000.00 $ 1,073.40 $ 14.03
Class B Hypothetical ......... 2.70% $ 1,000.00 $ 1,011.53 $ 13.62
Class C Actual ............... 2.70% $ 1,000.00 $ 1,073.30 $ 14.03
Class C Hypothetical ......... 2.70% $ 1,000.00 $ 1,011.53 $ 13.62
Class I Actual ............... 1.54% $ 1,000.00 $ 1,077.10 $ 8.02
Class I Hypothetical ......... 1.54% $ 1,000.00 $ 1,017.35 $ 7.79
77
OTHER ITEMS
(UNAUDITED) (CONTINUED)
================================================================================
SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
EXPENSES PAID
NET EXPENSE ENDING DURING THE
RATIO BEGINNING ACCOUNT SIX MONTHS
ANNUALIZED ACCOUNT VALUE VALUE ENDED
SEPT. 30, APRIL 1, SEPT. 30, SEPT. 30,
2005 2005 2005 2005*
- ---------------------------------------------------------------------------------------------------------------
VALUE PLUS FUND
Class A Actual ............... 1.30% $ 1,000.00 $ 1,027.90 $ 6.61
Class A Hypothetical ......... 1.30% $ 1,000.00 $ 1,018.55 $ 6.58
Class B Actual ............... 2.05% $ 1,000.00 $ 1,023.40 $ 10.40
Class B Hypothetical ......... 2.05% $ 1,000.00 $ 1,014.79 $ 10.35
Class C Actual ............... 2.05% $ 1,000.00 $ 1,023.20 $ 10.40
Class C Hypothetical ......... 2.05% $ 1,000.00 $ 1,014.79 $ 10.35
* 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] (to reflect the one-half year
period).
78
TOUCHSTONE INVESTMENTS
DISTRIBUTOR
Touchstone Securities, Inc.
303 Broadway
Cincinnati, Ohio 45202-4203
800.638.8194
www.touchstoneinvestments.com
INVESTMENT ADVISOR
Touchstone Advisors, Inc.
303 Broadway
Cincinnati, Ohio 45202-4203
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.
303 Broadway
Cincinnati, Ohio 45202-4203
[LOGO] TOUCHSTONE
INVESTMENTS
------------
TSF-158-0509
------------
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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant does not have procedures by which shareholders may recommend
nominees to its Board of Trustees.
ITEM 11. 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 second fiscal half-year that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 12. EXHIBITS.
(a)(2) Certifications required by Item 12(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 5, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)
/s/ Jill T. McGruder
- -------------------------
Jill T. McGruder
President
Date: December 5, 2005
/s/ Terrie A. Wiedenheft
- -------------------------
Terrie A. Wiedenheft
Controller & Treasurer
Date: December 5, 2005