UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D. C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3651
---------------------------------------------
Touchstone Strategic Trust
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(Exact name of registrant as specified in charter)
303 Broadway, Cincinnati, Ohio 45202
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(Address of principal executive offices) (Zip code)
Jill T. McGruder, 303 Broadway, Cincinnati, Ohio 45202
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(Name and address of agent for service)
Registrant's telephone number, including area code: (513) 362-8000
-----------------------------
Date of fiscal year end: 3/31/07
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Date of reporting period: 9/30/06
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Form N-CSR is to be used by management investment companies to file
reports with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 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.
Semiannual Report
SEPTEMBER 30, 2006
(UNAUDITED)
Semi-Annual Report
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Touchstone Diversified Small Cap Growth Fund
Touchstone Growth Opportunities Fund
Touchstone Large Cap Core Equity Fund
Touchstone Large Cap Growth Fund
Touchstone Large Cap Value Fund
Touchstone Micro Cap Growth Fund
Touchstone Mid Cap Growth Fund
Touchstone Small Cap Growth Fund
[LOGO] TOUCHSTONE(R)
INVESTMENTS
Table of Contents
Page
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Tabular Presentation of Portfolios of Investments 3-4
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Statements of Assets and Liabilities 5-8
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Statements of Operations 9-10
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Statements of Changes in Net Assets 11-14
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Financial Highlights 15-34
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Notes to Financial Statements 35-51
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Portfolios of Investments:
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Diversified Small Cap Growth Fund 52-54
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Growth Opportunities Fund 55-58
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Large Cap Core Equity Fund 59-60
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Large Cap Growth Fund 61-62
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Large Cap Value Fund 63-65
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Micro Cap Growth Fund 66-69
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Mid Cap Growth Fund 70-74
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Small Cap Growth Fund 75-78
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Other Items 79-82
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2
Tabular Presentation of Portfolios of Investments
As of September 30, 2006 (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.
DIVERSIFIED SMALL CAP GROWTH FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Health Care 23.3
Consumer Discretionary 20.6
Technology 19.1
Financial Services 10.6
Producer Durables 10.0
Energy 5.8
Autos and Transportation 4.6
Materials and Processing 2.9
Consumer Staples 1.1
Other 1.0
Investment Funds 0.7
Other Assets/Liabilities (net) 0.3
------
100.0
------
LARGE CAP CORE EQUITY FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Technology 20.4
Financial Services 19.8
Consumer Discretionary 16.5
Producer Durables 15.9
Health Care 9.3
Consumer Staples 6.2
Utilities 3.5
Materials and Processing 3.3
Energy 3.1
Investment Funds 1.6
Other Assets/Liabilities (net) 0.4
------
100.0
------
GROWTH OPPORTUNITIES FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Health Care 25.2
Technology 21.8
Energy 11.7
Consumer Discretionary 9.9
Financial Services 9.3
Producer Durables 7.3
Materials and Processing 7.3
Autos and Transportation 3.9
Utilities 1.6
Consumer Staples 1.3
Investment Funds 1.0
Other Assets/Liabilities (net) (0.3)
------
100.0
------
LARGE CAP GROWTH FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Materials and Processing 16.2
Health Care 15.8
Financial Services 15.1
Technology 13.9
Consumer Discretionary 9.8
Producer Durables 9.1
Consumer Staples 7.1
Utilities 6.3
Autos and Transportation 4.2
Energy 2.7
Investment Funds 0.1
Other Assets/Liabilities (net) (0.3)
------
100.0
------
3
Tabular Presentation of Portfolios of Investments (Continued)
LARGE CAP VALUE FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Financial Services 32.2
Producer Durables 17.1
Technology 8.3
Utilities 7.3
Health Care 7.0
Autos and Transportation 5.4
Other 5.3
Consumer Staples 5.0
Materials and Processing 2.9
Energy 2.5
Consumer Discretionary 2.3
Investment Funds 10.0
Other Assets/Liabilities (net) (5.3)
------
100.0
------
MID CAP GROWTH FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Technology 20.7
Health Care 20.0
Consumer Discretionary 16.6
Financial Services 15.4
Producer Durables 14.6
Energy 5.7
Materials and Processing 2.3
Autos and Transportation 1.5
Consumer Staples 0.6
Investment Funds 20.1
Other Assets/Liabilities (net) (17.5)
------
100.0
------
MICRO CAP GROWTH FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Technology 24.6
Consumer Discretionary 20.9
Producer Durables 13.2
Health Care 11.2
Financial Services 11.0
Materials and Processing 8.9
Autos and Transportation 3.7
Energy 3.6
Consumer Staples 2.0
Utilities 0.6
Investment Funds 28.6
Other Assets/Liabilities (net) (28.3)
------
100.0
------
SMALL CAP GROWTH FUND
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SECTOR ALLOCATION (% OF NET ASSETS)
Producer Durables 24.7
Technology 23.5
Health Care 15.5
Consumer Discretionary 12.1
Financial Services 11.7
Energy 7.3
Materials and Processing 2.7
Consumer Staples 0.9
Autos and Transportation 0.7
Utilities 0.6
Investment Funds 18.8
Other Assets/Liabilities (net) (18.5)
------
100.0
------
4
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Statements of Assets and Liabilities
September 30, 2006 (Unaudited)
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DIVERSIFIED LARGE
SMALL CAP GROWTH CAP CORE LARGE CAP
GROWTH OPPORTUNITIES EQUITY GROWTH
FUND FUND FUND FUND
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ASSETS
Investment securities:
At cost $ 9,956,855 $ 61,022,727 $ 83,412,663 $ 1,018,635,454
=====================================================================================================================
Affiliated securities at market value $ 73,657 $ 615,991 $ 1,525,831 $ 660,150
Non-affiliated securities at market
value 9,995,923 63,163,985 92,318,629 1,086,446,938
- ---------------------------------------------------------------------------------------------------------------------
At market value 10,069,580 63,779,976 93,844,460 1,087,107,088
Dividends and interest receivable 1,293 29,581 117,753 1,435,804
Receivable for capital shares sold -- 114,613 436,016 4,296,109
Receivable for securities sold 82,626 2,732,851 -- --
Receivable from Advisor 2,339 -- -- --
Other assets 467 19,413 8,114 89,111
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TOTAL ASSETS 10,156,305 66,676,434 94,406,343 1,092,928,112
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LIABILITIES
Payable for securities purchased 45,584 2,536,109 -- --
Payable for capital shares redeemed -- 418,945 60,015 8,252,504
Payable to Advisor -- 51,416 47,314 628,327
Payable to other affiliates 4,951 25,808 7,754 97,617
Payable to Trustees 734 -- -- --
Other accrued expenses and liabilities 4,805 71,366 35,758 369,162
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TOTAL LIABILITIES 56,074 3,103,644 150,841 9,347,610
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NET ASSETS $ 10,100,231 $ 63,572,790 $ 94,255,502 $ 1,083,580,502
=====================================================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $ 10,005,000 $ 111,774,403 $ 85,152,787 $ 1,118,358,350
Accumulated net investment income (loss) (7,092) (577,248) 105,640 (2,124,437)
Accumulated net realized losses from
security transactions (10,402) (50,381,614) (1,434,722) (101,125,045)
Net unrealized appreciation on investments 112,725 2,757,249 10,431,797 68,471,634
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NET ASSETS $ 10,100,231 $ 63,572,790 $ 94,255,502 $ 1,083,580,502
=====================================================================================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares $ 5,049,701 $ 44,970,954 $ 90,762,127 $ 781,264,769
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) 500,250 2,334,296 8,348,089 37,615,104
=====================================================================================================================
Net asset value and redemption price per
share $ 10.09 $ 19.27 $ 10.87 $ 20.77
=====================================================================================================================
Maximum offering price per share $ 10.71 $ 20.45 $ 11.53 $ 22.04
=====================================================================================================================
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares $ -- $ 2,494,257 $ -- $ 26,459,556
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) -- 138,660 -- 1,306,354
=====================================================================================================================
Net asset value, offering price and
redemption price per share* $ -- $ 17.99 $ -- $ 20.25
=====================================================================================================================
5
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Statements of Assets and Liabilities (Continued)
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DIVERSIFIED LARGE
SMALL CAP GROWTH CAP CORE LARGE CAP
GROWTH OPPORTUNITIES EQUITY GROWTH
FUND FUND FUND FUND
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PRICING OF CLASS C SHARES
Net assets attributable to Class C shares $ -- $ 16,107,579 $ 3,493,375 $ 199,486,123
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) -- 884,270 323,234 9,821,389
=====================================================================================================================
Net asset value, offering price and
redemption price per share* $ -- $ 18.22 $ 10.81 $ 20.31
PRICING OF CLASS I SHARES
Net assets attributable to Class I shares $ 5,050,530 $ -- $ -- $ 76,370,054
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) 500,250 -- -- 3,658,858
=====================================================================================================================
Net asset value, offering price and
redemption price per share $ 10.10 $ -- $ -- $ 20.87
=====================================================================================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
6
LARGE CAP MICRO CAP MID CAP SMALL CAP
VALUE GROWTH GROWTH GROWTH
FUND FUND FUND FUND
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ASSETS
Investment securities:
At cost $ 27,173,610 $ 90,472,924 $ 1,059,039,706 $ 86,313,918
=====================================================================================================================
Affiliated securities at market value $ 2,631,246 $ 23,273,548 $ 206,978,005 $ 14,963,411
Non-affiliated securities at market
value 24,960,675 81,033,045 1,000,989,122 79,192,263
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At market value - including $1,570,948,
$21,729,587, $166,892,505 and
$13,961,795 of securities loaned for
the Large Cap Value Fund, Micro Cap
Growth Fund, Mid Cap Growth Fund and
Small Cap Growth Fund, respectively 27,591,921 104,306,593 1,207,967,127 94,155,674
Dividends and interest receivable 39,112 30,874 712,528 39,165
Receivable for capital shares sold 294,254 98,801 4,154,300 130,384
Receivable for securities sold 228,323 2,018,716 -- 1,517,940
Receivable for securities lending income 935 20,178 -- 23,407
Other assets 22,804 23,531 40,113 46,109
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TOTAL ASSETS 28,177,349 106,498,693 1,212,874,068 95,912,679
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LIABILITIES
Bank Overdrafts -- 228,377 -- 2,389
Payable upon return of securities loaned 1,655,615 22,801,789 171,728,841 14,127,810
Payable for securities purchased 282,795 1,596,977 9,198,451 1,251,928
Payable for capital shares redeemed 3,226 402,834 2,163,089 957,880
Payable to Advisor 15,327 81,415 668,106 68,096
Payable to other affiliates 7,389 19,695 170,435 22,245
Payable to Trustees 4,170 625 611 --
Other accrued expenses and liabilities 13,508 43,806 680,291 873
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TOTAL LIABILITIES 1,982,030 25,175,518 184,609,824 16,431,221
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NET ASSETS $ 26,195,319 $ 81,323,175 $ 1,028,264,244 $ 79,481,458
=====================================================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $ 25,340,535 $ 75,988,789 $ 819,839,319 $ 98,343,784
Accumulated net investment income (loss) 78,102 (691,411) (4,659,826) (1,642,478)
Accumulated net realized gains (losses)
from security transactions 358,371 (7,807,872) 64,157,330 (25,061,604)
Net unrealized appreciation on investments 418,311 13,833,669 148,927,421 7,841,756
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NET ASSETS $ 26,195,319 $ 81,323,175 $ 1,028,264,244 $ 79,481,458
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PRICING OF CLASS A SHARES
Net assets attributable to Class A shares $ 19,611,865 $ 51,143,834 $ 634,310,179 $ 37,232,978
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) 1,883,644 4,348,969 26,752,068 2,388,735
=====================================================================================================================
Net asset value and redemption price per
share $ 10.41 $ 11.76 $ 23.71 $ 15.59
=====================================================================================================================
Maximum offering price per share $ 11.05 $ 12.48 $ 25.16 $ 16.54
=====================================================================================================================
PRICING OF CLASS B SHARES
Net assets attributable to Class B shares $ -- $ -- $ 72,729,746 $ 6,991,292
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) -- -- 3,440,558 461,256
=====================================================================================================================
Net asset value, offering price and
redemption price per share* $ -- $ -- $ 21.14 $ 15.16
=====================================================================================================================
7
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Statements of Assets and Liabilities (Continued)
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LARGE CAP MICRO CAP MID CAP SMALL CAP
VALUE GROWTH GROWTH GROWTH
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares $ 6,583,454 $ 29,376,341 $ 321,224,319 $ 13,492,436
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) 634,926 2,539,566 15,182,276 889,431
=====================================================================================================================
Net asset value, offering price and
redemption price per share* $ 10.37 $ 11.57 $ 21.16 $ 15.17
=====================================================================================================================
PRICING OF CLASS I SHARES
Net assets attributable to Class I shares $ -- $ 803,000 $ -- $ 21,764,752
=====================================================================================================================
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value) -- 67,228 -- 1,381,545
=====================================================================================================================
Net asset value, offering price and
redemption price per share $ -- $ 11.94 $ -- $ 15.75
=====================================================================================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
8
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Statements of Operations
For the Six Months Ended September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
DIVERSIFIED LARGE
SMALL CAP GROWTH CAP CORE LARGE CAP
GROWTH OPPORTUNITIES EQUITY GROWTH
FUND (B) FUND FUND FUND
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INVESTMENT INCOME
Dividends from affiliated securities $ 453 $ 14,282 $ 20,377 $ 537,184
Dividends from non-affiliated
securities (A) 733 287,582 450,078 4,526,473
Interest 107 2,907 4 2,886
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 1,293 304,771 470,459 5,066,543
=====================================================================================================================
EXPENSES
Investment advisory fees 6,911 410,243 149,008 3,991,443
Distribution expenses, Class A 823 80,790 53,450 1,053,839
Distribution expenses, Class B -- 14,176 6,116 136,148
Distribution expenses, Class C -- 94,721 9,325 987,633
Transfer agent fees, Class A 1,398 51,519 6,017 202,556
Transfer agent fees, Class B -- 6,000 4,373 19,445
Transfer agent fees, Class C -- 27,509 6,000 83,138
Transfer agent fees, Class I 1,398 -- -- 6,000
Administration fees -- 23,579 12,608 223,794
Registration fees, Class A 117 5,765 6,709 42,199
Registration fees, Class B -- 3,170 7,415 6,771
Registration fees, Class C -- 6,078 6,197 13,072
Registration fees, Class I 117 -- -- 7,018
Accounting services fees 2,141 23,500 19,250 38,250
Custodian fees 361 15,781 2,064 74,903
Reports to shareholders 582 19,397 1,737 35,573
Postage and supplies 961 17,052 5,853 29,855
Sponsor fees 1,316 -- 45,849 --
Professional fees 2,051 10,170 8,791 18,329
Trustees' fees and expenses 734 4,139 3,077 3,350
Registration fees -- 125 65 2,833
Compliance fees and expenses 14 251 60 1,880
Other expenses 851 68,054 2,226 237,623
- ---------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 19,775 882,019 356,190 7,215,652
Sponsor fees waived (1,316) -- (40,120) --
Fees waived and/or expenses
reimbursed by the Advisor (10,074) -- (41,322) --
Fees reduced by Custodian -- -- -- (24,672)
- ---------------------------------------------------------------------------------------------------------------------
NET EXPENSES 8,385 882,019 274,748 7,215,652
- ---------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) (7,092) (577,248) 195,711 (2,124,437)
- ---------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security
transactions (10,402) 3,806,856 1,580,197 (71,905,890)
Net change in unrealized appreciation/
depreciation on investments 112,725 (14,846,873) 3,641,071 (63,496,441)
- ---------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS 102,323 (11,040,017) 5,221,268 (135,402,331)
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 95,231 $ (11,617,265) $ 5,416,979 $ (137,526,768)
=====================================================================================================================
(A) Net of foreign tax withholding of: $ -- $ -- $ -- $ 7,337
(B) Represents the period from commencement of operations (September 6, 2006)
through September 30, 2006.
See accompanying notes to financial statements.
9
- --------------------------------------------------------------------------------
Statements of Operations (Continued)
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LARGE CAP MICRO CAP MID CAP SMALL CAP
VALUE GROWTH GROWTH GROWTH
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends from affiliated securities $ 30,399 $ 29,517 $ 782,365 $ 418,644
Dividends from non-affiliated
securities (A) 171,138 99,199 3,563,246 397,439
Interest 237 288 84,296 45,039
Income from securities loaned 6,520 139,318 -- 353,603
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 208,294 268,322 4,429,907 1,214,725
=====================================================================================================================
EXPENSES
Investment advisory fees 71,161 540,953 4,059,067 2,117,021
Distribution expenses, Class A 19,466 68,273 775,516 52,356
Distribution expenses, Class B -- -- 375,344 41,187
Distribution expenses, Class C 17,017 155,687 1,596,424 87,794
Sponsor fees 18,976 86,553 1,014,776 338,726
Transfer agent fees, Class A 6,000 37,560 332,159 53,104
Transfer agent fees, Class B -- -- 68,168 8,524
Transfer agent fees, Class C 6,000 19,618 228,596 17,989
Transfer agent fees, Class I -- 6,000 -- 7,731
Administration fees 5,218 23,801 202,652 80,176
Reports to shareholders 2,969 9,569 125,048 39,423
Registration fees, Class A 8,869 8,568 16,930 6,480
Registration fees, Class B -- -- 7,154 5,693
Registration fees, Class C 8,839 6,458 11,530 6,310
Registration fees, Class I -- 5,725 -- 18,901
Accounting services fees 15,750 22,500 34,500 38,426
Postage and supplies 9,483 6,219 69,022 12,082
Custodian fees 2,067 12,446 60,416 39,421
Professional fees 8,779 9,299 26,980 12,071
Trustees' fees and expenses 4,211 4,067 4,053 3,132
Registration fees 87 3,589 1,436 1,421
Compliance fees and expenses 60 150 1,980 626
Other expenses 3,912 33,441 334,545 51,885
- ---------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 208,864 1,060,476 9,346,296 3,040,479
Sponsor fees waived (18,976) (76,705) (256,564) (116,095)
Fees waived and/or expenses reimbursed
by the Advisor (49,035) (13,876) -- (42,269)
Fees reduced by Custodian -- (10,162) -- (24,912)
- ---------------------------------------------------------------------------------------------------------------------
NET EXPENSES 140,853 959,733 9,089,732 2,857,203
- ---------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 67,441 (691,411) (4,659,825) (1,642,478)
- ---------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security
transactions 300,894 (4,970,895) 34,127,342 (20,325,425)
Net change in unrealized appreciation/
depreciation on investments 283,325 (7,183,111) (44,439,937) (71,316,224)
- ---------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS 584,219 (12,154,006) (10,312,595) (91,641,649)
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 651,660 $ (12,845,417) $ (14,972,420) $ (93,284,127)
=====================================================================================================================
(A) Net of foreign tax withholding of: $ 471 $ -- $ 7,352 $ --
See accompanying notes to financial statements.
10
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
DIVERSIFIED GROWTH
SMALL CAP OPPORTUNITIES
GROWTH FUND FUND
- --------------------------------------------------------------------------------------------
PERIOD SIX MONTHS
ENDED ENDED YEAR
SEPT. 30, SEPT. 30, ENDED
2006 (A) 2006 MARCH 31,
(UNAUDITED) (UNAUDITED) 2006
- --------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment loss $ (7,092) $ (577,248) $ (1,474,605)
Net realized gains (losses)
from security transactions (10,402) 3,806,856 11,406,421
Net change in unrealized appreciation/
depreciation on investments 112,725 (14,846,873) 10,683,651
- --------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS 95,231 (11,617,265) 20,615,467
- --------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold 5,002,500 5,366,853 21,208,137
Payments for shares redeemed -- (49,718,335) (20,506,533)
- --------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS 5,002,500 (44,351,482) 701,604
- --------------------------------------------------------------------------------------------
CLASS B
Proceeds from shares sold -- 79,131 212,449
Payments for shares redeemed -- (435,392) (597,425)
- --------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS B SHARE TRANSACTIONS -- (356,261) (384,976)
- --------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold -- 566,825 1,780,414
Payments for shares redeemed -- (4,314,962) (5,233,525)
- --------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS -- (3,748,137) (3,453,111)
- --------------------------------------------------------------------------------------------
CLASS I
Proceeds from shares sold 5,002,500 -- --
Payments for shares redeemed -- -- --
- --------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS I SHARE TRANSACTIONS 5,002,500 -- --
- --------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 10,100,231 (60,073,145) 17,478,984
NET ASSETS
Beginning of period -- 123,645,935 106,166,951
- --------------------------------------------------------------------------------------------
End of period $ 10,100,231 $ 63,572,790 $ 123,645,935
============================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (7,092) $ (577,248) $ --
============================================================================================
(A) Represents the period from commencement of operations (September 6, 2006)
through September 30, 2006.
See accompanying notes to financial statements.
11
- --------------------------------------------------------------------------------
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
2006 MARCH 31, 2006 MARCH 31,
(UNAUDITED) 2006 (UNAUDITED) 2006
- ------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 195,711 $ 184,134 $ (2,124,437) $ (1,803,898)
Net realized gains (losses)
from security transactions 1,580,197 (107,665) (71,905,890) 31,472,152
Net change in unrealized appreciation/
depreciation on investments 3,641,071 2,459,434 (63,496,441) 86,612,989
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 5,416,979 2,535,903 (137,526,768) 116,281,243
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A (262,592) (18,047) -- --
From net investment income, Class B (6,537) (1,229) -- --
From net investment income, Class C (5,077) (883) -- --
- ------------------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS
TO SHAREHOLDERS (274,206) (20,159) -- --
- ------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold 1,444,072 14,836,971 261,092,956 568,379,032
Reinvested distributions 261,037 17,934 -- --
Proceeds from shares issued in
connection with acquisition 59,728,074 -- -- --
Payments for shares redeemed (1,398,200) (725,593) (214,893,216) (92,877,929)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS 60,034,983 14,129,312 46,199,740 475,501,103
- ------------------------------------------------------------------------------------------------------------------------------
CLASS B
Proceeds from shares sold 104,544 140,037 4,566,481 16,436,489
Reinvested distributions 5,697 1,059 -- --
Payments for shares redeemed (1,780,230) (254,100) (2,549,700) (2,160,230)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS (1,669,989) (113,004) 2,016,781 14,276,259
- ------------------------------------------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold 503,129 497,532 54,239,777 133,078,009
Reinvested distributions 4,228 694 -- --
Proceeds from shares issued in
connection with acquisition 1,712,923 -- -- --
Payments for shares redeemed (277,344) (893,879) (19,700,638) (8,919,886)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS 1,942,936 (395,653) 34,539,139 124,158,123
- ------------------------------------------------------------------------------------------------------------------------------
CLASS I
Proceeds from shares sold -- -- 31,260,879 26,164,019
Payments for shares redeemed -- -- (14,275,570) (11,438,736)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS I SHARE TRANSACTIONS -- -- 16,985,309 14,725,283
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 65,450,703 16,136,399 (37,785,799) 744,942,011
NET ASSETS
Beginning of period 28,804,799 12,668,400 1,121,366,301 376,424,290
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 94,255,502 $ 28,804,799 $1,083,580,502 $1,121,366,301
==============================================================================================================================
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 105,640 $ 184,135 $ (2,124,437) $ --
==============================================================================================================================
See accompanying notes to financial statements.
12
LARGE CAP MICRO CAP
VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2006 MARCH 31, 2006 MARCH 31,
(UNAUDITED) 2006 (A) (UNAUDITED) 2006
- -------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 67,441 $ 10,661 $ (691,411) $ (893,698)
Net realized gains (losses) from
security transactions 300,894 57,477 (4,970,895) (55,796)
Net change in unrealized appreciation/
depreciation on investments 283,325 134,985 (7,183,111) 14,612,858
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 651,660 203,123 (12,845,417) 13,663,364
- -------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold 7,976,514 11,482,648 7,391,654 31,959,289
Payments for shares redeemed (535,335) -- (10,120,358) (11,352,679)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS 7,441,179 11,482,648 (2,728,704) 20,606,610
- -------------------------------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold 5,907,508 559,096 4,614,587 15,256,655
Payments for shares redeemed (49,895) -- (3,859,096) (2,837,606)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CLASS
C SHARE TRANSACTIONS 5,857,613 559,096 755,491 12,419,049
- -------------------------------------------------------------------------------------------------------------------
CLASS I
Proceeds from shares sold -- -- 296,560 620,735
Payments for shares redeemed -- -- (55,424) (11,089)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS I SHARE TRANSACTIONS -- -- 241,136 609,646
- -------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 13,950,452 12,244,867 (14,577,494) 47,298,669
NET ASSETS
Beginning of period 12,244,867 -- 95,900,669 48,602,000
- -------------------------------------------------------------------------------------------------------------------
End of period $ 26,195,319 $ 12,244,867 $ 81,323,175 $ 95,900,669
===================================================================================================================
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 78,102 $ 10,661 $ (691,411) $ --
===================================================================================================================
(A) Represents the period from commencement of operations (March 6, 2006)
through March 31, 2006.
See accompanying notes to financial statements.
13
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------
MID CAP SMALL CAP
GROWTH FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2006 MARCH 31, 2006 MARCH 31,
(UNAUDITED) 2006 (UNAUDITED) 2006
- -------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment loss $ (4,659,825) $ (8,207,217) $ (1,642,478) $ (2,478,495)
Net realized gains (losses)
from security transactions 34,127,342 110,218,729 (20,325,425) (2,306,993)
Net change in unrealized appreciation/
depreciation on investments (44,439,937) 87,621,113 (71,316,224) 63,629,222
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (14,972,420) 189,632,625 (93,284,127) 58,843,734
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net realized gains on
security transactions, Class A -- (48,278,538) -- --
From net realized gains on
security transactions, Class B -- (6,904,962) -- --
From net realized gains on
security transactions, Class C -- (27,469,527) -- --
- -------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS -- (82,653,027) -- --
- -------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold 94,792,449 182,193,772 6,903,596 16,421,249
Reinvested distributions -- 40,192,341 -- --
Payments for shares redeemed (91,972,373) (227,066,281) (10,859,670) (13,567,855)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS A SHARE TRANSACTIONS 2,820,076 (4,680,168) (3,956,074) 2,853,394
- -------------------------------------------------------------------------------------------------------------------
CLASS B
Proceeds from shares sold 2,382,623 5,341,975 129,899 530,205
Reinvested distributions -- 5,214,041 -- --
Payments for shares redeemed (7,757,332) (10,398,008) (1,435,215) (1,277,366)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS B SHARE TRANSACTIONS (5,374,709) 158,008 (1,305,316) (747,161)
- -------------------------------------------------------------------------------------------------------------------
CLASS C
Proceeds from shares sold 29,582,818 64,491,763 1,218,754 3,804,161
Reinvested distributions -- 17,374,992 -- --
Payments for shares redeemed (30,711,893) (69,103,989) (5,290,423) (5,269,759)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS C SHARE TRANSACTIONS (1,129,075) 12,762,766 (4,071,669) (1,465,598)
- -------------------------------------------------------------------------------------------------------------------
CLASS I
Proceeds from shares sold -- -- 100,456,765 243,795,484
Payments for shares redeemed -- -- (348,200,005) (21,642,746)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CLASS I SHARE TRANSACTIONS -- -- (247,743,240) 222,152,738
- -------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (18,656,128) 115,220,204 (350,360,426) 281,637,107
NET ASSETS
Beginning of period 1,046,920,372 931,700,168 429,841,884 148,204,777
- -------------------------------------------------------------------------------------------------------------------
End of period $1,028,264,244 $1,046,920,372 $ 79,481,458 $ 429,841,884
===================================================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (4,659,826) $ -- $ (1,642,478) $ --
===================================================================================================================
See accompanying notes to financial statements.
14
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
DIVERSIFIED SMALL CAP GROWTH FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- -----------------------------------------------------------------------
PERIOD
ENDED
SEPT. 30,
2006(A)
- -----------------------------------------------------------------------
Net asset value at beginning of period $ 10.00
- -----------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.01)
Net realized and unrealized gains on investments 0.10
- -----------------------------------------------------------------------
Total from investment operations 0.09
- -----------------------------------------------------------------------
Net asset value at end of period $ 10.09
=======================================================================
Total return(B) 0.90%
=======================================================================
Net assets at end of period (000's) $ 5,050
=======================================================================
Ratio of net expenses to average net assets 1.40% (C)
Ratio of net investment loss to average net assets (1.20%)(C)
Portfolio turnover rate 167% (C)
(A) Represents the period from commencement of operations (September 6, 2006)
through September 30, 2006.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(C) Annualized.
DIVERSIFIED SMALL CAP GROWTH FUND--CLASS I
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- -----------------------------------------------------------------------
PERIOD
ENDED
SEPT. 30,
2006(A)
- -----------------------------------------------------------------------
Net asset value at beginning of period $ 10.00
- -----------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.01)
Net realized and unrealized gains on investments 0.11
- -----------------------------------------------------------------------
Total from investment operations 0.10
- -----------------------------------------------------------------------
Net asset value at end of period $ 10.10
=======================================================================
Total return 1.00% (B)
=======================================================================
Net assets at end of period (000's) $ 5,050
=======================================================================
Ratio of net expenses to average net assets 1.15% (C)
Ratio of net investment loss to average net assets (0.95%)(C)
Portfolio turnover rate 167% (C)
(A) Represents the period from commencement of operations (September 6, 2006)
through September 30, 2006.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
15
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
GROWTH OPPORTUNITIES FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2006 ---------------------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 21.57 $ 17.92 $ 18.06 $ 12.70 $ 18.18 $ 19.97
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.15) (0.21) (0.24) (0.21) (0.19) (0.18)
Net realized and unrealized gains
(losses) on investments (2.15) 3.86 0.10 5.57 (5.29) (1.61)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.30) 3.65 (0.14) 5.36 (5.48) (1.79)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 19.27 $ 21.57 $ 17.92 $ 18.06 $ 12.70 $ 18.18
====================================================================================================================================
Total return(A) (10.66%)(B) 20.37% (0.78%) 42.20% (30.14%) (8.96%)
====================================================================================================================================
Net assets at end of period (000's) $ 44,971 $ 98,004 $ 81,313 $ 117,605 $ 84,472 $ 121,791
====================================================================================================================================
Ratio of net expenses to
average net assets 1.79% (C) 1.64% 1.68% 1.60% 1.83% 1.49%
Ratio of net investment loss
to average net assets (1.10%)(C) (1.09%) (1.14%) (1.23%) (1.40%) (0.98%)
Portfolio turnover rate 216% (C) 80% 35% 47% 39% 52%
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 n/a $ 242 $ 24
Average daily number of capital shares
outstanding during the period (000's)(D) n/a n/a n/a n/a 8,916 8,481
Average amount of debt per share
during the period (D) n/a n/a n/a n/a $ 0.03 $ --(E)
(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.
16
GROWTH OPPORTUNITIES FUND--CLASS B
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, YEAR ENDED MARCH 31, ENDED
2006 -------------------------------------------------- MARCH 31,
(UNAUDITED) 2006 2005 2004 2003 2002(A)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 20.39 $ 16.97 $ 17.31 $ 12.13 $ 17.78 $ 22.74
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.24) (0.46) (0.43) (0.38) (0.36) (0.17)
Net realized and unrealized gains
(losses) on investments (2.16) 3.88 0.09 5.56 (5.29) (4.79)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.40) 3.42 (0.34) 5.18 (5.65) (4.96)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 17.99 $ 20.39 $ 16.97 $ 17.31 $ 12.13 $ 17.78
====================================================================================================================================
Total return(B) (11.77%)(C) 20.15% (1.96%) 42.70% (31.78%) (21.81%)(C)
====================================================================================================================================
Net assets at end of period (000's) $ 2,494 $ 3,230 $ 3,064 $ 3,608 $ 2,463 $ 3,380
====================================================================================================================================
Ratio of net expenses to average net assets 3.07% (D) 2.97% 2.95% 2.84% 3.16% 2.37% (D)
Ratio of net investment loss to
average net assets (2.32%)(D) (2.39%) (2.38%) (2.45%) (2.71%) (1.93%)(D)
Portfolio turnover rate 216% (D) 80% 35% 47% 39% 52% (D)
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)(E) n/a 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 n/a 8,916 8,481
Average amount of debt per
share during the period(E) n/a 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.
17
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
GROWTH OPPORTUNITIES FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2006 --------------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 20.60 $ 17.11 $ 17.39 $ 12.17 $ 17.78 $ 19.74
- -----------------------------------------------------------------------------------------------------------------------------
tions:
Net investment loss
Net investment loss (0.22) (0.40) (0.40) (0.37) (0.36) (0.32)
Net realized and unrealized gains
(losses) on investments (2.16) 3.89 0.12 5.59 (5.25) (1.64)
- -----------------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.38) 3.49 (0.28) 5.22 (5.61) (1.96)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 18.22 $ 20.60 $ 17.11 $ 17.39 $ 12.17 $ 17.78
=============================================================================================================================
Total return(A) (11.55%)(B) 20.40% (1.61%) 42.89% (31.55%) (9.93%)
=============================================================================================================================
Net assets at end of period (000's) $ 16,108 $ 22,412 $ 21,789 $ 28,470 $ 21,727 $ 40,967
=============================================================================================================================
Ratio of net expenses to average net assets 2.77% (C) 2.57% 2.61% 2.60% 2.87% 2.31%
Ratio of net investment loss to
average net assets (2.03%)(C) (2.01%) (2.04%) (2.21%) (2.42%) (1.78%)
Portfolio turnover rate 216% (C) 80% 35% 47% 39% 52%
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 $ n/a $ 242 $ 24
Average daily number of capital shares
outstanding during the period (000's)(D) n/a n/a n/a n/a 8,916 8,481
Average amount of debt per share
during the period (D) n/a n/a n/a $ n/a $ 0.03 $ --(E)
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Based on fund level shares outstanding.
(E) Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
18
LARGE CAP CORE EQUITY FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2006 -------------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- -------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 10.49 $ 9.48 $ 9.10 $ 6.71 $ 9.19 $ 8.90
- -------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income 0.05 0.06 0.11 0.07 0.06 0.06
Net realized and unrealized gains
(losses) on investments 0.44 0.96 0.38 2.37 (2.46) 0.28
- -------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.49 1.02 0.49 2.44 (2.40) 0.34
- -------------------------------------------------------------------------------------------------------------------------
Dividends from net investment income (0.11) (0.01) (0.11) (0.05) (0.08) (0.05)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 10.87 $ 10.49 $ 9.48 $ 9.10 $ 6.71 $ 9.19
=========================================================================================================================
Total return(A) 4.71%(B) 10.74% 5.32% 36.41% (26.19%) 3.86%
=========================================================================================================================
Net assets at end of period (000's) $ 90,762 $ 25,693 $ 9,328 $ 8,783 $ 6,109 $ 7,561
=========================================================================================================================
Ratio of net expenses to
average net assets 1.15%(C) 1.00% 1.00% 0.97%(D) 1.00% 1.00%
Ratio of net investment income to
average net assets 0.97%(C) 1.03% 1.18% 0.85%(D) 0.90% 0.70%
Portfolio turnover rate 7%(C) 6% 7% 10% 29% 9%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Absent voluntary expense reimbursements, the ratio of net expenses to
average neet 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.
19
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
LARGE CAP CORE EQUITY FUND--CLASS B
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
PERIOD
ENDED PERIOD
AUG. 11, YEAR ENDED MARCH 31, ENDED
2006(A) ---------------------------------------------------- MARCH 31,
(UNAUDITED) 2006 2005 2004 2003 2002(B)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 10.35 $ 9.42 $ 9.04 $ 6.69 $ 9.13 $ 9.50
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income 0.01 0.03 0.04 0.01 0.01 0.02
Net realized and unrealized gains
(losses) on investments (0.24) 0.91 0.37 2.36 (2.45) (0.37)
- -----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations (0.23) 0.94 0.41 2.37 (2.44) (0.35)
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends from net investment income (0.04) (0.01) (0.03) (0.02) -- (C) (0.02)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 10.08 $ 10.35 $ 9.42 $ 9.04 $ 6.69 $ 9.13
===================================================================================================================================
Total return(D) (2.22%)(E) 9.95% 4.55% 35.37% (26.70%) (3.60%)(E)
===================================================================================================================================
Net assets at end of period (000's) $ 1,639 $ 1,713 $ 1,665 $ 1,456 $ 729 $ 860
===================================================================================================================================
Ratio of net expenses to
average net assets 1.90% (F) 1.75% 1.75% 1.72%(G) 1.75% 1.75%(F)
Ratio of net investment income to
average net assets 0.30% (F) 0.26% 0.46% 0.10%(G) 0.18% 0.03%(F)
Portfolio turnover rate 7% (F) 6% 7% 10% 29% 9%(F)
(A) On August 11, 2006, Class B shares were merged into Class A shares in
connection with an Agreement and Plan of Reorganization approved by
shareholders (see Note 8).
(B) Represents the period from the commencement of operations (May 1, 2001)
through March 31, 2002.
(C) Amount rounds to less than $0.01 per share.
(D) Total returns shown exclude the effect of applicable sales loads.
(E) Not annualized.
(F) Annualized
(G) Absent voluntary expense reimbursements, the ratio of net expenses to
average neet 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.
20
LARGE CAP CORE EQUITY FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2006 ---------------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 10.39 $ 9.46 $ 9.08 $ 6.72 $ 9.13 $ 8.88
- ----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) (0.04) 0.03 0.04 0.01 0.01 0.01
Net realized and unrealized gains
(losses) on investments 0.50 0.91 0.37 2.37 (2.41) 0.25
- ----------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.46 0.94 0.41 2.38 (2.40) 0.26
- ----------------------------------------------------------------------------------------------------------------------------
Dividends from net investment income (0.04) (0.01) (0.03) (0.02) (0.01) (0.01)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 10.81 $ 10.39 $ 9.46 $ 9.08 $ 6.72 $ 9.13
============================================================================================================================
Total return(A) 4.45% (B) 9.91% 4.52% 35.38% (26.32%) 3.00%
============================================================================================================================
Net assets at end of period (000's) $ 3,494 $ 1,399 $ 1,675 $ 2,260 $ 920 $ 900
============================================================================================================================
Ratio of net expenses to average net assets 1.90% (C) 1.75% 1.75% 1.72%(D) 1.74% 1.75%
Ratio of net investment income (loss)
to average net assets (1.45%)(C) 0.26% 0.41% 0.13%(D) 0.18% (0.05%)
Portfolio turnover rate 7% (C) 6% 7% 10% 29% 9%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) Absent voluntary expense reimbursements, the ratio of net expenses to
average neet 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.
21
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR ENDED MONTHS
SEPT. 30, MARCH 31, ENDED YEAR ENDED DECEMBER 31,
2006 ---------------------- MARCH 31, -------------------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.03) (0.02) (0.02) (0.03) (0.07) (0.12) (0.13)
Net realized and unrealized gains
(losses) on investments (2.46) 3.44 2.55 0.81 4.41 (4.32) (4.97)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.49) 3.42 2.53 0.78 4.34 (4.44) (5.10)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 20.77 $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63
====================================================================================================================================
Total return(B) (10.70%)(C) 17.24% 14.62% 4.72% (C) 35.60% (26.70%) (23.47%)
====================================================================================================================================
Net assets at end of period (000's) $ 781,265 $ 838,120 $ 274,121 $ 69,860 $ 62,187 $ 13,831$ 20,835
====================================================================================================================================
Ratio of net expenses to
average net assets 1.12% (D) 1.17% 1.26% 1.30% (D) 1.39% 1.49% 1.49%
Ratio of net investment loss to
average net assets (0.24%)(D) (0.13%) (0.23%) (0.78%)(D) (0.93%) (0.82%) (0.62%)
Portfolio turnover 129% (D) 104% 127% 60% (D) 60% 115% 124%
(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.
22
LARGE CAP GROWTH FUND--CLASS B
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR ENDED MONTHS PERIOD
SEPT. 30, MARCH 31, ENDED ENDED
2006 ---------------------- MARCH 31, DEC. 31,
(UNAUDITED) 2006 2005 2004(A) 2003(B)
- -------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 22.83 $ 19.60 $ 17.24 $ 16.50 $ 15.45
- -------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.11) (0.15) (0.12) (0.03) (0.06)
Net realized and unrealized gains
(losses) on investments (2.47) 3.38 2.48 0.77 1.11
- -------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.58) 3.23 2.36 0.74 1.05
- -------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 20.25 $ 22.83 $ 19.60 $ 17.24 $ 16.50
===================================================================================================================
Total return(C) (11.30%)(D) 16.48% 13.69% 4.48% (D) 6.80% (D)
===================================================================================================================
Net assets at end of period (000's) $ 26,460 $ 27,781 $ 10,579 $ 1,897 $ 1,003
===================================================================================================================
Ratio of net expenses to
average net assets 2.01% (E) 2.08% 2.25% 2.25% (E) 2.22% (E)
Ratio of net investment loss to
average net assets (1.11%)(E) (1.02%) (1.23%) (1.71%)(E) (1.80%)(E)
Portfolio turnover rate 129% (E) 104% 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.
23
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS THREE
ENDED YEAR ENDED MONTHS PERIOD
SEPT. 30, MARCH 31, ENDED ENDED
2006 ---------------------- MARCH 31, DEC. 31,
(UNAUDITED) 2006 2005 2004(A) 2003(B)
- -------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 22.88 $ 19.62 $ 17.24 $ 16.50 $ 15.45
- -------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.10) (0.11) (0.08) (0.04) (0.05)
Net realized and unrealized gains
(losses) on investments (2.47) 3.37 2.46 0.78 1.10
- -------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.57) 3.26 2.38 0.74 1.05
- -------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 20.31 $ 22.88 $ 19.62 $ 17.24 $ 16.50
===================================================================================================================
Total return(C) (11.23%)(D) 16.62% 13.81% 4.48% (D) 6.80% (D)
===================================================================================================================
Net assets at end of period (000's) $ 199,486 $ 188,810 $ 48,446 $ 4,310 $ 2,465
===================================================================================================================
Ratio of net expenses to
average net assets 1.91% (E) 1.98% 2.03% 2.25% (E) 2.21% (E)
Ratio of net investment loss to average
net assets (1.01%)(E) (0.93%) (0.97%) (1.70%)(E) (1.78%)(E)
Portfolio turnover rate 129% (E) 104% 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.
LARGE CAP GROWTH FUND--CLASS I
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS YEAR PERIOD
SEPT. 30, ENDED ENDED
2006 MARCH 31, MARCH 31,
(Unaudited) 2006 2005(A)
- --------------------------------------------------------------------------------
Net asset value at beginning of period $ 23.33 $ 19.86 $ 18.34
- --------------------------------------------------------------------------------
Income from investment operations:
Net investment income --(B) 0.03 0.01
Net realized and unrealized gains
(losses) on investments (2.46) 3.44 1.51
- --------------------------------------------------------------------------------
Total from investment operations (2.46) 3.47 1.52
- --------------------------------------------------------------------------------
Net asset value at end of period $ 20.87 $ 23.33 $ 19.86
================================================================================
Total return (10.54%)(C) 17.47% 8.29%(C)
================================================================================
Net assets at end of period (000's) $ 76,370 $ 66,655 $ 43,279
================================================================================
Ratio of net expenses to
average net assets 0.85%(D) 0.93% 1.01%(D)
Ratio of net investment income to
average net assets 0.06%(D) 0.12% 0.21%(D)
Portfolio turnover rate 129%(D) 104% 127%(D)
(A) Represents the period from commencement of operations (November 10, 2004)
through March 31, 2005.
(B) Amount rounds to less than $0.01 per share.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
24
LARGE CAP VALUE FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2006 MARCH 31,
(UNAUDITED) 2006(A)
- --------------------------------------------------------------------------------
Net asset value at beginning of period $ 10.19 $ 10.00
- --------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.03 0.01
Net realized and unrealized
gains on investments 0.19 0.18
- --------------------------------------------------------------------------------
Total from investment operations 0.22 0.19
- --------------------------------------------------------------------------------
Net asset value at end of period $ 10.41 $ 10.19
================================================================================
Total return (B) 2.16% 1.90%
================================================================================
Net assets at end of period (000's) $ 19,612 $ 11,684
================================================================================
Ratio of net expenses to average net assets 1.35%(C) 1.30%(C)
Ratio of net investment income to
average net assets 0.84%(C) 1.34%(C)
Portfolio turnover rate 56%(C) 68%(C)
(A) Represents the period from commencement of operations (March 6, 2006)
through March 31, 2006.
(B) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(C) Annualized.
LARGE CAP VALUE FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, ENDED
2006 MARCH 31,
(UNAUDITED) 2006(A)
- --------------------------------------------------------------------------------
Net asset value at beginning of period $ 10.18 $ 10.00
- --------------------------------------------------------------------------------
Income from investment operations:
Net investment income --(B) --(B)
Net realized and unrealized
gains on investments 0.19 0.18
- --------------------------------------------------------------------------------
Total from investment operations 0.19 0.18
- --------------------------------------------------------------------------------
Net asset value at end of period $ 10.37 $ 10.18
================================================================================
Total return (C) 1.87% 1.80%
================================================================================
Net assets at end of period (000's) $ 6,583 $ 561
================================================================================
Ratio of net expenses to average net assets 2.10%(D) 1.89%(D)
Ratio of net investment income to
average net assets 0.11%(D) 0.25%(D)
Portfolio turnover rate 56%(D) 68%(D)
(A) Represents the period from commencement of operations (March 6, 2006)
through March 31, 2006.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads and are
not annualized.
(D) Annualized.
See accompanying notes to financial statements.
25
Financial Highlights (Continued)
MICRO CAP GROWTH FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2006 MARCH 31, MARCH 31,
(UNAUDITED) 2006 2005(A)
- ------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 13.50 $ 11.07 $ 10.00
- ------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.08) (0.10) (0.06)
Net realized and unrealized gains
(losses) on investments (1.66) 2.53 1.13
- ------------------------------------------------------------------------------------------
Total from investment operations (1.74) 2.43 1.07
- ------------------------------------------------------------------------------------------
Net asset value at end of period $ 11.76 $ 13.50 $ 11.07
==========================================================================================
Total return (B) (12.89%)(C) 21.95% 10.70% (C)
==========================================================================================
Net assets at end of period (000's) $ 51,144 $ 61,915 $ 32,378
==========================================================================================
Ratio of net expenses to average net assets 1.95% (D) 1.95% 1.95% (D)
Ratio of net investment loss to
average net assets (1.33%)(D) (1.08%) (1.27%)(D)
Portfolio turnover rate 119% (D) 90% 101% (D)
(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.
(C) Not Annualized.
(D) Annualized.
MICRO CAP GROWTH FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2006 MARCH 31, MARCH 31,
(UNAUDITED) 2006 2005(A)
- ------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 13.33 $ 11.01 $ 10.00
- ------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.13) (0.17) (0.08)
Net realized and unrealized gains
(losses) on investments (1.63) 2.49 1.09
- ------------------------------------------------------------------------------------------
Total from investment operations (1.76) 2.32 1.01
- ------------------------------------------------------------------------------------------
Net asset value at end of period $ 11.57 $ 13.33 $ 11.01
==========================================================================================
Total return(B) (13.20%)(C) 21.07% 10.10% (C)
==========================================================================================
Net assets at end of period (000's) $ 29,376 $ 33,310 $ 16,224
==========================================================================================
Ratio of net expenses to average net assets 2.70% (D) 2.70% 2.70% (D)
Ratio of net investment loss to
average net assets (2.08%)(D) (1.84%) (2.07%)(D)
Portfolio turnover rate 119% (D) 90% 101% (D)
(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.
(C) Not Annualized.
(D) Annualized.
See accompanying notes to financial statements.
26
MICRO CAP GROWTH FUND--CLASS I
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2006 MARCH 31, MARCH 31,
(UNAUDITED) 2006 2005(A)
- ------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 13.70 $ 11.16 $ 9.89
- ------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.06) (0.03) (0.13)
Net realized and unrealized gains
(losses) on investments (1.70) 2.57 1.40
- ------------------------------------------------------------------------------------------
Total from investment operations (1.76) 2.54 1.27
- ------------------------------------------------------------------------------------------
Net asset value at end of period $ 11.94 $ 13.70 $ 11.16
==========================================================================================
Total return (12.85%)(B) 22.76% 12.84% (B)
==========================================================================================
Net assets at end of period (000's) $ 803 $ 676 $ -- (C)
==========================================================================================
Ratio of net expenses to average net assets 1.70% (D) 1.55% 1.55% (D)
Ratio of net investment loss to
average net assets (1.07%)(D) (0.77%) (2.34%)(D)
Portfolio turnover rate 119% (D) 90% 101% (D)
(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.
27
Financial Highlights (Continued)
MID CAP GROWTH FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2006 ---------------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 24.02 $ 21.42 $ 21.73 $ 13.89 $ 19.52 $ 15.96
- --------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.07) (0.12) (0.16) (0.13) (0.14) (0.14)
Net realized and unrealized gains
(losses) on investments (0.24) 4.70 1.03 7.97 (5.29) 3.76
- --------------------------------------------------------------------------------------------------------------------------
Total from investment operations (0.31) 4.58 0.87 7.84 (5.43) 3.62
- --------------------------------------------------------------------------------------------------------------------------
Distributions from net realized gains -- (1.98) (1.18) -- (0.20) (0.06)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 23.71 $ 24.02 $ 21.42 $ 21.73 $ 13.89 $ 19.52
==========================================================================================================================
Total return(A) (1.29%)(B) 22.21% 4.13% 56.44% (27.90%) 22.72%
==========================================================================================================================
Net assets at end of period (000's) $ 634,310 $ 639,501 $ 574,855 $ 458,524 $ 153,247 $ 169,781
==========================================================================================================================
Ratio of net expenses to
average net assets 1.50% (C) 1.50% 1.50% 1.49% (D) 1.50% 1.50%
Ratio of net investment loss
to average net assets (0.63%)(C) (0.57%) (0.84%) (0.93%)(D) (1.07%) (1.02%)
Portfolio turnover 60% (C) 69% 85% 79% 62% 73%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) 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.
28
MID CAP GROWTH FUND--CLASS B
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, YEAR ENDED MARCH 31, ENDED
2006 ------------------------------------------------------- MARCH 31,
(UNAUDITED) 2006 2005 2004 2003 2002(A)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 21.49 $ 19.50 $ 20.03 $ 12.53 $ 18.25 $ 16.45
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment loss (0.15) (0.26) (0.29) (0.25) (0.14) (0.09)
Net realized and unrealized gains
(losses) on investments (0.20) 4.23 0.94 7.75 (5.38) 1.95
- -----------------------------------------------------------------------------------------------------------------------------------
Total from investment
operations (0.35) 3.97 0.65 7.50 (5.52) 1.86
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions from net
realized gains -- (1.98) (1.18) -- (0.20) (0.06)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at
end of period $ 21.14 $ 21.49 $ 19.50 $ 20.03 $ 12.53 $ 18.25
===================================================================================================================================
Total return(B) (1.63%)(C) 21.24% 3.37% 59.86% (30.34%) 11.35%(C)
===================================================================================================================================
Net assets at end
of period (000's) $ 72,730 $ 79,552 $ 71,879 $ 64,918 $ 26,226 $ 15,335
===================================================================================================================================
Ratio of net expenses to average
net assets 2.25% (D) 2.25% 2.25% 2.24% (E) 2.25% 2.25% (D)
Ratio of net investment
loss to average net assets (1.38%)(D) (1.32%) (1.60%) (1.68%)(E) (1.77%) (1.90%)(D)
Portfolio turnover rate 60% (D) 69% 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 epxense 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.
29
Financial Highlights (Continued)
MID CAP GROWTH FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
2006 ----------------------------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at
beginning of period $ 21.51 $ 19.51 $ 20.04 $ 12.55 $ 18.26 $ 15.01
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income (loss) (0.14) (0.25) (0.30) (0.23) (0.13) 0.01
Net realized and unrealized gains
(losses) on investments (0.21) 4.23 0.95 7.72 (5.38) 3.30
- -----------------------------------------------------------------------------------------------------------------------------------
Total from investment
operations (0.35) 3.98 0.65 7.49 (5.51) 3.31
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions from net
realized gains -- (1.98) (1.18) -- (0.20) (0.06)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at
end of period $ 21.16 $ 21.51 $ 19.51 $ 20.04 $ 12.55 $ 18.26
===================================================================================================================================
Total return(A) (1.63%)(B) 21.28% 3.36% 59.68% (30.27%) 22.09%
===================================================================================================================================
Net assets at end
of period (000's) $ 321,224 $ 327,867 $ 284,966 $ 252,021 $ 97,743 $ 67,347
===================================================================================================================================
Ratio of net expenses to
average net assets 2.25% (C) 2.25% 2.25% 2.24% (D) 2.25% 2.25%
Ratio of net investment
loss to average net assets (1.38%)(C) (1.32%) (1.60%) (1.68%)(D) (1.77%) (1.61%)
Portfolio turnover 60% (C) 69% 85% 79% 62% 73%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) 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.
30
SMALL CAP GROWTH FUND--CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, YEAR ENDED MARCH 31, ENDED
2006 ------------------------------------------ MARCH 31,
(UNAUDITED) 2006 2005 2004 2003(A)
- ------------------------------------------------------------------------------------------------------------------
Net asset value at beginning
of period $ 18.37 $ 15.25 $ 16.05 $ 9.78 $ 10.00
- ------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment loss (0.10) (0.18) (0.25) (0.14) (0.06)
Net realized and unrealized
gains (losses) on investments (2.68) 3.30 (0.14) 6.78 (0.16)
- ------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.78) 3.12 (0.39) 6.64 (0.22)
- ------------------------------------------------------------------------------------------------------------------
Distributions from net
realized gains -- -- (0.41) (0.37) --
- ------------------------------------------------------------------------------------------------------------------
Net asset value at
end of period $ 15.59 $ 18.37 $ 15.25 $ 16.05 $ 9.78
==================================================================================================================
Total return(B) (15.13%)(C) 20.46% (2.43%) 68.02% (2.20%)(C)
==================================================================================================================
Net assets at end of
period (000's) $ 37,233 $ 48,697 $ 37,675 $ 53,064 $ 15,230
==================================================================================================================
Ratio of net expenses to
average net assets 1.95% (D) 1.95% 1.95% 1.89% (E) 1.95% (D)
Ratio of net investment loss
to average net assets (1.19%)(D) (1.18%) (1.40%) (1.34%)(E) (1.61%)(D)
Portfolio turnover 280% (D) 109% 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.
31
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND--CLASS B
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, YEAR ENDED MARCH 31, ENDED
2006 --------------------------------------- MARCH 31,
(UNAUDITED) 2006 2005 2004 2003(A)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 17.99 $ 14.99 $ 15.90 $ 9.75 $ 10.00
- -----------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.17) (0.31) (0.29) (0.21) (0.06)
Net realized and unrealized gains
(losses) on investments (2.66) 3.31 (0.21) 6.73 (0.19)
- -----------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.83) 3.00 (0.50) 6.52 (0.25)
- -----------------------------------------------------------------------------------------------------------------------
Distributions from net realized gains -- -- (0.41) (0.37) --
- -----------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 15.16 $ 17.99 $ 14.99 $ 15.90 $ 9.75
=======================================================================================================================
Total return(B) (15.73%)(C) 20.01% (3.15%) 66.99% (2.50%)(C)
=======================================================================================================================
Net assets at end of period (000's) $ 6,991 $ 9,858 $ 8,908 $ 7,831 $ 1,399
=======================================================================================================================
Ratio of net expenses to average net assets 2.70% (D) 2.70% 2.70% 2.63% (E) 2.69% (D)
Ratio of net investment loss to
average net assets (1.93%)(D) (1.92%) (2.13%) (2.09%)(E) (2.38%)(D)
Portfolio turnover 280% (D) 109% 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 neet assets would have been (2.16%).
See accompanying notes to financial statements.
32
SMALL CAP GROWTH FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
SEPT. 30, YEAR ENDED MARCH 31, ENDED
2006 ------------------------------------------ MARCH 31,
(UNAUDITED) 2006 2005 2004 2003(A)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 18.01 $ 15.00 $ 15.91 $ 9.74 $ 10.00
- --------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.19) (0.32) (0.29) (0.21) (0.07)
Net realized and unrealized gains
(losses) on investments (2.65) 3.33 (0.21) 6.75 (0.19)
- --------------------------------------------------------------------------------------------------------------------------
Total from investment operations (2.84) 3.01 (0.50) 6.54 (0.26)
- --------------------------------------------------------------------------------------------------------------------------
Distributions from net realized gains -- -- (0.41) (0.37) --
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at end of period $ 15.17 $ 18.01 $ 15.00 $ 15.91 $ 9.74
==========================================================================================================================
Total return(B) (15.77%)(C) 20.07% (3.15%) 67.26% (2.60%)(C)
==========================================================================================================================
Net assets at end of period (000's) $ 13,492 $ 20,964 $ 18,776 $ 14,596 $ 3,029
==========================================================================================================================
Ratio of net expenses to
average net assets 2.70% (D) 2.70% 2.70% 2.63% (E) 2.69% (D)
Ratio of net investment loss to
average net assets (1.93%)(D) (1.92%) (2.12%) (2.09%)(E) (2.39%)(D)
Portfolio turnover 280% (D) 109% 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
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND--CLASS I
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR PERIOD
SEPT. 30, ENDED ENDED
2006 MARCH 31, MARCH 31,
(UNAUDITED) 2006 2005(A)
- ---------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 18.49 $ 15.31 $ 15.37
- ---------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss (0.82) (0.07) (0.05)
Net realized and unrealized gains
(losses) on investments (1.92) 3.25 0.40
- ---------------------------------------------------------------------------------------------
Total from investment operations (2.74) 3.18 0.35
- ---------------------------------------------------------------------------------------------
Distributions from net realized gains -- -- (0.41)
- ---------------------------------------------------------------------------------------------
Net asset value at end of period $ 15.75 $ 18.49 $ 15.31
=============================================================================================
Total return (14.82%)(B) 20.77% 2.29% (B)
=============================================================================================
Net assets at end of period (000's) $ 21,765 $ 350,323 $ 82,846
=============================================================================================
Ratio of net expenses to
average net assets 1.55% (C) 1.55% 1.55% (C)
Ratio of net investment loss to
average net assets (0.85%)(C) (0.77%) (0.95%)(C)
Portfolio turnover 280% (C) 109% 114% (C)
(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.
34
- --------------------------------------------------------------------------------
Notes to Financial Statements
September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The Diversified Small Cap Growth Fund, Growth Opportunities Fund, Large Cap Core
Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, Micro Cap Growth Fund,
Mid Cap Growth Fund, and Small Cap Growth 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 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 Diversified 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 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 domestic growth companies that the sub-advisor believes have a
demonstrated record of achievement with excellent prospects for earnings growth
over a 1 to 3 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 Large Cap Value Fund seeks long-term growth of capital and income. 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 $500 million, referred to as
micro cap companies, and which, in the opinion of the sub-advisor, have superior
earnings growth characteristics.
The Mid Cap 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 80%
of its assets) in common stocks of mid cap companies.
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.
35
The Diversified Small Cap Growth Fund, Large Cap Core Equity Fund, and Large Cap
Value Fund offer two 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%), and Class C shares, except Diversified Small Cap Growth Fund (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 Diversified Small 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 Growth Opportunities Fund, Micro Cap
Growth Fund, and Mid Cap Growth Fund offer three classes of shares: Class A
shares (described above), 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 (described above), and
Class I shares (described above) of Micro Cap Growth Fund. 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.
Notes to Financial Statements (Continued)
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.
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007 and interim periods within those fiscal years.
The changes to current generally accepted accounting principles from the
application of this Statement relate to the definition of fair value, the
methods used to measure fair value, and the expanded disclosures about fair
value measurements. As of September 30, 2006, the Trust does not believe the
adoption of SFAS No. 157 will impact the amounts reported in the financial
statements, however, additional disclosures may be required about the inputs
used to develop the measurements and the effect of certain of the measurements
reported on the statement of changes in net assets for a fiscal period.
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.
36
As of September 30, 2006, the following Funds loaned common stocks and received
collateral as follows:
FAIR VALUE VALUE OF
OF COMMON COLLATERAL
STOCKS LOANED RECEIVED
- ------------------------------------------------------------------------
Large Cap Value Fund $ 1,570,948 $ 1,655,615
Micro Cap Growth Fund $ 21,729,587 $ 22,801,789
Mid Cap Growth Fund $ 166,892,505 $ 171,728,841
Small Cap Growth Fund $ 13,961,795 $ 14,127,810
- ------------------------------------------------------------------------
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.
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.
37
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
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 year ended March 31, 2006 was as
follows:
GROWTH LARGE CAP LARGE CAP
OPPORTUNITIES CORE EQUITY GROWTH
FUND FUND FUND
- --------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31, MARCH 31,
2006 2006 2006
- --------------------------------------------------------------------------------
From ordinary income $ -- $ 20,159 $ --
- --------------------------------------------------------------------------------
From long-term capital gains -- -- --
- --------------------------------------------------------------------------------
$ -- $ 20,159 $ --
- --------------------------------------------------------------------------------
LARGE CAP MICRO CAP
VALUE GROWTH
FUND FUND
- --------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31,
2006 2006
- --------------------------------------------------------------------------------
From ordinary income $ -- $ --
- --------------------------------------------------------------------------------
From long-term capital gains $ -- $ --
- --------------------------------------------------------------------------------
$ -- $ --
- --------------------------------------------------------------------------------
MID CAP SMALL CAP
GROWTH GROWTH
FUND FUND
- --------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31,
2006 2006
- --------------------------------------------------------------------------------
From ordinary income $ 15,608,776 $ --
- --------------------------------------------------------------------------------
From long-term capital gains 67,044,251 --
- --------------------------------------------------------------------------------
$ 82,653,027 $ --
- --------------------------------------------------------------------------------
38
The following information is computed on a tax basis for each item as of March
31, 2006:
GROWTH LARGE CAP LARGE CAP LARGE CAP
OPPORTUNITIES CORE EQUITY GROWTH VALUE
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------
Tax cost of portfolio investments $ 113,323,506 $ 24,641,380 $ 1,030,413,761 $ 12,146,094
- ----------------------------------------------------------------------------------------------------------
Gross unrealized appreciation 25,437,423 4,828,330 145,986,417 285,912
Gross unrealized depreciation (7,833,301) (664,216) (15,227,097) (150,927)
- ----------------------------------------------------------------------------------------------------------
Net unrealized appreciation 17,604,122 4,164,114 130,759,320 134,985
Capital loss carryforward (54,188,470) (1,683,856) (28,010,400) --
Undistributed ordinary income -- 184,135 -- 68,138
- ----------------------------------------------------------------------------------------------------------
Accumulated earnings (deficit) $ (36,584,348) $ 2,664,393 $ 102,748,920 $ 203,123
==========================================================================================================
MICRO CAP MID CAP SMALL CAP
GROWTH GROWTH GROWTH
FUND FUND FUND
- ----------------------------------------------------------------------------------------
Tax cost of portfolio investments $ 97,919,302 $ 993,428,565 $ 454,288,822
- ----------------------------------------------------------------------------------------
Gross unrealized appreciation 23,474,703 210,831,960 89,776,425
Gross unrealized depreciation (2,497,178) (21,242,066) (11,446,665)
- ----------------------------------------------------------------------------------------
Net unrealized appreciation 20,977,525 189,589,894 78,329,760
Post-October losses -- -- (2,485,372)
Capital loss carryforward (2,797,723) -- (1,422,586)
Undistributed ordinary income -- 5,814,391 --
Undistributed long-term
capital gains -- 27,993,060 --
- ----------------------------------------------------------------------------------------
Accumulated earnings $ 18,179,802 $ 223,397,345 $ 74,421,802
========================================================================================
As of September 30, 2006, 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
- ---------------------------------------------------------------------------------------------------
Diversified Small Cap Growth Fund $ 396,591 $ (283,866) $ 112,725 $ 9,956,855
- ---------------------------------------------------------------------------------------------------
Growth Opportunities Fund $ 4,672,449 $ (1,915,200) $ 2,757,249 $ 61,022,727
- ---------------------------------------------------------------------------------------------------
Large Cap Core Equity Fund $ 11,060,017 $ (712,022) $ 10,347,995 $ 83,496,465
- ---------------------------------------------------------------------------------------------------
Large Cap Growth Fund $ 103,307,506 $ (36,044,627) $ 67,262,879 $1,019,844,209
- ---------------------------------------------------------------------------------------------------
Large Cap Value Fund $ 1,321,007 $ (902,696) $ 418,311 $ 27,173,610
- ---------------------------------------------------------------------------------------------------
Micro Cap Growth Fund $ 17,646,028 $ (3,851,613) $ 13,794,415 $ 90,512,178
- ---------------------------------------------------------------------------------------------------
Mid Cap Growth Fund $ 169,604,857 $ (24,430,612) $ 145,174,245 $1,062,792,882
- ---------------------------------------------------------------------------------------------------
Small Cap Growth Fund $ 10,337,469 $ (3,323,933) $ 7,013,536 $ 87,142,138
- ---------------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial
statement cost is primarily due to wash sales.
39
Notes to Financial Statements (Continued)
As of March 31, 2006, the Funds had the following capital loss carryforwards for
federal income tax purposes.
EXPIRES
FUND AMOUNT MARCH 31,
- ---------------------------------------------------------------------
Growth Opportunities Fund $ 13,138,578 2010
21,975,058 2011
17,098,132 2012
1,976,702 2013
--------------
54,188,470
--------------
Large Cap Core Equity Fund $ 99,480 2009
24,780 2010
414,728 2011
1,025,778 2012
11,425 2013
107,665 2014
--------------
1,683,856
--------------
Large Cap Growth Fund* $ 12,837,110 2009
2,396,670 2010
7,655,647 2011
3,322,314 2012
1,798,659 2013
--------------
28,010,400
--------------
Micro Cap Growth Fund $ 1,123,992 2013
1,673,731 2014
--------------
2,797,723
--------------
Small Cap Growth Fund $ 1,422,586 2013
- ---------------------------------------------------------------------
* A portion of these capital loss carryforwards may be limited under tax
regulations.
During the year ended March 31, 2006, the following funds utilized capital loss
carryforwards:
AMOUNT
- ---------------------------------------------------------
Growth Opportunities Fund $ 11,315,372
Large Cap Growth Fund 30,083,248
Small Cap Growth Fund 530,203
- ---------------------------------------------------------
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.
40
Certain reclassifications, the result of permanent differences between financial
statement and income tax reporting requirements have been made to the components
of capital of the Funds. 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 reclassification of net
investment loss have been made to the following Funds for the year ended March
31, 2006:
ACCUMULATED ACCUMULATED
PAID-IN NET INVESTMENT NET REALIZED
CAPITAL INCOME (LOSS) GAINS (LOSSES)
- --------------------------------------------------------------------------------
Growth Opportunities Fund $ (1,474,605) $ 1,474,605 $ --
Large Cap Growth Fund (1,803,898) 1,803,898 --
Micro Cap Growth Fund (893,698) 893,698 --
Mid Cap Growth Fund -- 8,207,217 (8,207,217)
Small Cap Growth Fund (2,478,495) 2,478,495 --
- --------------------------------------------------------------------------------
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Funds' tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. Management is in the process of
determining the impact of adoption.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments and U.S. Government
securities) were as follows for the six months ended September 30, 2006:
DIVERSIFIED
SMALL CAP GROWTH LARGE CAP LARGE CAP
GROWTH OPPORTUNITIES CORE EQUITY GROWTH
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------
Purchases of investment securities $ 10,466,232 $ 91,736,337 $ 66,652,282 $ 855,898,681
Proceeds from sales and maturities $ 572,631 $ 140,952,223 $ 10,151,805 $ 721,560,855
- --------------------------------------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP
VALUE GROWTH GROWTH GROWTH
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------
Purchases of investment securities $ 18,169,631 $ 51,413,727 $ 301,260,368 $ 448,256,396
Proceeds from sales and maturities $ 4,993,965 $ 53,613,609 $ 314,104,456 $ 702,988,984
- --------------------------------------------------------------------------------------------------------------
41
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES
Certain officers of the Trust are also officers of Touchstone Advisors, Inc.
(the Advisor), the Trust's investment advisor, Touchstone Securities, Inc. (the
Underwriter), the Trust's principal underwriter, or Integrated Investment
Services, Inc. (Integrated), formerly Integrated Fund Serivces, Inc., 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.
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:
- ----------------------------------------------------------------------------------------
Diversified Small Cap Growth Fund 1.05%
- ----------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------
Large Cap Value Fund 0.75%
- ----------------------------------------------------------------------------------------
Micro Cap Growth Fund 1.25%
- ----------------------------------------------------------------------------------------
Mid Cap Growth Fund 0.80%
- ----------------------------------------------------------------------------------------
Small Cap Growth Fund 1.25%
- ----------------------------------------------------------------------------------------
During the six months ended September 30, 2006, the Advisor waived investment
advisory fees and/or reimbursed expenses of the Funds as follows:
INVESTMENT OTHER OPERATING
ADVISORY EXPENSES
FEES WAIVED REIMBURSED
- --------------------------------------------------------------------------------
Diversified Small Cap Growth Fund $ 6,911 $ 3,163
Large Cap Core Equity Fund $ -- $ 41,322
Large Cap Value Fund $ 12,552 $ 36,483
Micro Cap Growth Fund -- $ 13,876
Small Cap Growth Fund -- $ 42,269
- --------------------------------------------------------------------------------
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 Funds)
pays the Sub-Advisors a fee for these services.
Fort Washington Investment Advisors, Inc. (Fort Washington), an affiliate of the
Advisor, has been retained by the Advisor to manage the investments of the
Diversified Small Cap Growth Fund.
42
Westfield Capital Management Company, LLC (Westfield) 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.
JS Asset Management, LLC (JSAM) has been retained by the Advisor to manage the
investments of the Large Cap Value Fund.
Bjurman, Barry & Associates (Bjurman) has been retained by the Advisor to manage
the investments of the Micro Cap Growth Fund.
TCW Investment Management Company (TCW) and Westfield have been retained by the
Advisor to manage the investments of the Mid 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.
EXPENSE LIMITATION AGREEMENT
The Advisor has entered into an Expense Limitation 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, 2007.
SPONSOR AGREEMENT
Pursuant to a Sponsor Agreement between the Advisor and the Trust, the Advisor
has been retained to provide certain management and supervisory services to the
Diversified Small Cap Growth Fund, Large Cap Core Equity Fund, Large Cap Value
Fund, Micro Cap Growth Fund, Mid Cap Growth Fund and Small Cap Growth Fund in
exchange for the payment of a sponsor fee by the Funds equal to an annual rate
of 0.20% of a Fund's average daily net assets. The Advisor provides the Funds
with general office facilities and oversees the provision of
administrative/non-investment services to the Trust, including the provision of
services to the Trust by the Trust's administrator and fund accounting agent,
transfer agent and custodian, including: (i) the updating of corporate
organizational documents, and the negotiation of contracts and fees with, and
the monitoring and coordination of performance and billings of, the Trust's
custodian and other independent contractors and agents; (ii) the preparation and
filing of all documents required for compliance by the Trust with applicable
laws and regulations, including registration statements, prospectuses, and
statements of additional information, and semi-annual and annual reports to
shareholders; (iii) reviewing, (including coordinating the preparing of, but not
preparing) tax returns; (iv) preparing agendas and supporting documents for, and
minutes of meetings of, the Trustees, committees of the Trustees, and
preparation of notices, proxy statements and minutes of meetings of shareholders
of the Trust or of one or more of the Funds; (v) the maintenance of books and
records of the Trust; (vi) telephone coverage to respond to shareholder
inquiries; (vii) the provision of monitoring reports and assistance regarding
compliance with federal securities and tax laws including compliance with the
1940 Act and Subchapter M of the Internal Revenue Code of 1986, as amended;
(viii) the dissemination of yield and other performance information to
newspapers and tracking services, (ix) the preparation of annual renewals for
fidelity bond and errors and omissions insurance coverage, (x) the development
of a budget for the Trust, the establishment of rate of expense accruals and the
arrangement of the payment of all fixed and management expenses and (xi) the
determination of each Fund's net asset value and the provision of all other fund
accounting services to the Funds. The Advisor also provides persons satisfactory
to the Board of Trustees of the Trust to serve as officers of the Trust. Such
officers, as well as certain other employees and Trustees of the Trust, may be
directors, officers, or employees of the Advisor or its affiliates.
43
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
Under the Sponsor Agreement, the Advisor has agreed to waive its fees and
reimburse expenses in order to limit each Fund's annual expenses as follows:
FUND CLASS A CLASS B CLASS C CLASS I
- --------------------------------------------------------------------------------
Diversified Small Cap Growth Fund 1.40% -- -- 1.15%
Large Cap Core Equity Fund 1.15% -- 1.90% --
Large Cap Value Fund 1.35% -- 2.10% --
Micro Cap Growth Fund 1.95% -- 2.70% 1.70%
Mid Cap Growth Fund 1.50% 2.25% 2.25% --
Small Cap Growth Fund 1.95% 2.70% 2.70% 1.55%
- --------------------------------------------------------------------------------
The fee waivers and expense reimbursements will remain in effect until at least
March 31, 2007 for all Funds except the Diversified Small Cap Growth Fund. The
fee waivers and expense reimbursements for the Diversified Small Cap Growth Fund
will remain in effect until at least August 1, 2007.
During the six months ended September 30, 2006, the Advisor waived Sponsor fees
as follows:
Diversified Small Cap Growth Fund $ 1,316
Large Cap Core Equity Fund $ 40,120
Large Cap Value Fund $ 18,976
Micro Cap Growth Fund $ 76,705
Mid Cap Growth Fund $256,564
Small Cap Growth Fund $116,095
- --------------------------------------------------------------------------------
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.
44
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, 2006:
Growth Opportunities Fund $ 7,447
Large Cap Core Equity Fund $ 2,671
Large Cap Growth Fund $ 112,020
Large Cap Value Fund $ 17,933
Micro Cap Growth Fund $ 25,268
Mid Cap Growth Fund $ 74,703
Small Cap Growth Fund $ 7,948
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, 2006:
Growth Opportunities Fund $ 5,391
Large Cap Core Equity Fund $ 3,604
Large Cap Growth Fund $ 82,599
Large Cap Value Fund $ 426
Micro Cap Growth Fund $ 3,449
Mid Cap Growth Fund $ 97,429
Small Cap Growth Fund $ 12,930
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.
45
- --------------------------------------------------------------------------------
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 six months ended September 30, 2006, is noted below:
SHARE ACTIVITY
-------------------------------------------------------
BALANCE BALANCE VALUE
03/31/06 PURCHASES SALES 09/30/06 DIVIDENDS 09/30/06
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE DIVERSIFIED SMALL
CAP GROWTH FUND
Touchstone Institutional
Money Market Fund -- 351,744 (278,087) 73,657 $ 453 $ 73,657
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE GROWTH
OPPORTUNITIES FUND
Touchstone Institutional
Money Market Fund -- 38,209,743 (37,593,752) 615,991 $ 14,591 $ 615,991
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE LARGE CAP
CORE EQUITY FUND
Touchstone Institutional
Money Market Fund 751,420 10,516,457 (9,742,046) 1,525,831 $ 40,668 $ 1,525,831
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE LARGE CAP
GROWTH FUND
Touchstone Institutional
Money Market Fund 34,295,318 394,596,288 (428,231,456) 660,150 $ 539,125 $ 660,150
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE LARGE CAP
VALUE FUND
Touchstone Institutional
Money Market Fund 1,080,290 9,128,725 (9,233,384) 975,631 $ 30,399 $ 975,631
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE MICRO CAP
GROWTH FUND
Touchstone Institutional
Money Market Fund 1,178,273 20,592,387 (21,298,901) 471,759 $ 29,517 $ 471,759
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE MID CAP
GROWTH FUND
Touchstone Institutional
Money Market Fund 23,334,941 199,081,937 (187,167,714) 35,249,164 $ 784,345 $ 35,249,164
- ------------------------------------------------------------------------------------------------------------------------
TOUCHSTONE SMALL CAP
GROWTH FUND
Touchstone Institutional
Money Market Fund 18,705,475 222,692,293 (240,562,167) 835,601 $ 418,644 $ 835,601
- ------------------------------------------------------------------------------------------------------------------------
46
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:
DIVERSIFIED GROWTH
SMALL CAP OPPORTUNITIES
GROWTH FUND FUND
- ----------------------------------------------------------------------------------------------------
PERIOD SIX MONTHS
ENDED ENDED YEAR
SEPT. 30, SEPT. 30, ENDED
2006 (A) 2006 MARCH 31,
(UNAUDITED) (UNAUDITED) 2006
- ----------------------------------------------------------------------------------------------------
CLASS A
Shares sold 500,250 263,246 1,048,184
Shares redeemed -- (2,472,332) (1,042,828)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 500,250 (2,209,086) 5,356
Shares outstanding, beginning of period -- 4,543,382 4,538,026
- ----------------------------------------------------------------------------------------------------
Shares outstanding, end of period 500,250 2,334,296 4,543,382
====================================================================================================
CLASS B
Shares sold -- 4,287 11,088
Shares redeemed -- (24,032) (33,222)
- ----------------------------------------------------------------------------------------------------
Net decrease in shares outstanding -- (19,745) (22,134)
Shares outstanding, beginning of period -- 158,405 180,539
- ----------------------------------------------------------------------------------------------------
Shares outstanding, end of period -- 138,660 158,405
====================================================================================================
CLASS C
Shares sold -- 30,115 95,020
Shares redeemed -- (233,980) (280,735)
- ----------------------------------------------------------------------------------------------------
Net decrease in shares outstanding -- (203,865) (185,715)
Shares outstanding, beginning of period -- 1,088,135 1,273,850
- ----------------------------------------------------------------------------------------------------
Shares outstanding, end of period -- 884,270 1,088,135
====================================================================================================
CLASS I
Shares sold 500,250 -- --
Shares redeemed -- -- --
- ----------------------------------------------------------------------------------------------------
Net increase in shares outstanding 500,250 -- --
Shares outstanding, beginning of period -- -- --
- ----------------------------------------------------------------------------------------------------
Shares outstanding, end of period 500,250 -- --
====================================================================================================
(A) Represents the period from commencement of operations (September 6, 2006)
through September 30, 2006.
47
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
LARGE CAP LARGE CAP
CORE EQUITY GROWTH
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2006 MARCH 31, 2006 MARCH 31,
(UNAUDITED) 2006 (UNAUDITED) 2006
- ------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold 136,116 1,536,234 11,769,541 26,450,482
Shares reinvested 25,541 1,791 -- --
Shares issued in connection with acquisition 7,087,773 -- -- --
Shares redeemed (1,350,567) (73,004) (10,190,535) (4,230,877)
- ------------------------------------------------------------------------------------------------------------------------
Net increase in shares outstanding 5,898,863 1,465,021 1,579,006 22,219,605
Shares outstanding, beginning of period 2,449,226 984,205 36,036,098 13,816,493
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 8,348,089 2,449,226 37,615,104 36,036,098
========================================================================================================================
CLASS B
Shares sold 10,252 14,503 212,890 776,573
Shares reinvested 563 106 -- --
Shares redeemed (176,272) (25,936) (123,250) (99,555)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (165,457) (11,327) 89,640 677,018
Shares outstanding, beginning of period 165,457 176,784 1,216,714 539,696
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period -- 165,457 1,306,354 1,216,714
========================================================================================================================
CLASS C
Shares sold 47,591 49,650 2,527,600 6,193,819
Shares reinvested 416 70 -- --
Shares issued in connection with acquisition 167,611 -- -- --
Shares redeemed (27,007) (92,093) (958,420) (410,287)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 188,611 (42,373) 1,569,180 5,783,532
Shares outstanding, beginning of period 134,623 176,996 8,252,209 2,468,677
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 323,234 134,623 9,821,389 8,252,209
========================================================================================================================
CLASS I
Shares sold -- -- 1,460,644 1,200,669
Shares redeemed -- -- (658,702) (522,724)
- ------------------------------------------------------------------------------------------------------------------------
Net increase in shares outstanding -- -- 801,942 677,945
Shares outstanding, beginning of period -- -- 2,856,916 2,178,971
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period -- -- 3,658,858 2,856,916
========================================================================================================================
48
LARGE CAP VALUE MICRO CAP GROWTH
FUND FUND
- -----------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2006 MARCH 31, 2006 MARCH 31,
(UNAUDITED) 2006(A) (UNAUDITED) 2006
- -----------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold 790,011 1,146,707 603,281 2,621,786
Shares redeemed (53,074) -- (839,818) (962,416)
- -----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 736,937 1,146,707 (236,537) 1,659,370
Shares outstanding, beginning of period 1,146,707 -- 4,585,506 2,926,136
- -----------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 1,883,644 1,146,707 4,348,969 4,585,506
=======================================================================================================================
CLASS C
Shares sold 584,847 55,071 373,117 1,263,948
Shares redeemed (4,992) -- (331,894) (239,256)
- -----------------------------------------------------------------------------------------------------------------------
Net increase in shares outstanding 579,855 55,071 41,223 1,024,692
Shares outstanding, beginning of period 55,071 -- 2,498,343 1,473,651
- -----------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 634,926 55,071 2,539,566 2,498,343
=======================================================================================================================
CLASS I
Shares sold -- -- 22,638 50,305
Shares redeemed -- -- (4,773) (952)
- -----------------------------------------------------------------------------------------------------------------------
Net increase in shares outstanding -- -- 17,865 49,353
Shares outstanding, beginning of period -- -- 49,363 10
- -----------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period -- -- 67,228 49,363
=======================================================================================================================
(A) Represents the period from commencement of operations (March 6, 2006)
through March 31, 2006.
49
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
MID CAP GROWTH SMALL CAP GROWTH
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
SEPT. 30, ENDED SEPT. 30, ENDED
2006 MARCH 31, 2006 MARCH 31,
(UNAUDITED) 2006 (UNAUDITED) 2006
- ------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares sold 4,054,329 8,058,028 420,713 1,014,623
Shares reinvested -- 1,818,658 -- --
Shares redeemed (3,926,442) (10,087,013) (683,080) (833,383)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 127,887 (210,327) (262,367) 181,240
Shares outstanding, beginning of period 26,624,181 26,834,508 2,651,102 2,469,862
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 26,752,068 26,624,181 2,388,735 2,651,102
========================================================================================================================
CLASS B
Shares sold 112,899 263,600 8,044 33,538
Shares reinvested -- 263,051 -- --
Shares redeemed (373,478) (512,011) (94,601) (79,806)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (260,579) 14,640 (86,557) (46,268)
Shares outstanding, beginning of period 3,701,137 3,686,497 547,813 594,081
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 3,440,558 3,701,137 461,256 547,813
========================================================================================================================
CLASS C
Shares sold 1,411,580 3,167,553 74,429 242,061
Shares reinvested -- 875,756 -- --
Shares redeemed (1,468,353) (3,407,041) (349,201) (329,173)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (56,773) 636,268 (274,772) (87,112)
Shares outstanding, beginning of period 15,239,049 14,602,781 1,164,203 1,251,315
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 15,182,276 15,239,049 889,431 1,164,203
========================================================================================================================
CLASS I
Shares sold -- -- 6,058,633 14,841,702
Shares redeemed -- -- (23,627,869) (1,303,361)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding -- -- (17,569,236) 13,538,341
Shares outstanding, beginning of period -- -- 18,950,781 5,412,440
- ------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period -- -- 1,381,545 18,950,781
========================================================================================================================
6. CUSTODY OFFSET ARRANGEMENT
For financial reporting purposes for the six months ended September 30, 2006,
Custodian fees reduced by the Custodian were $24,672, $10,162 and $24,912 for
the Large Cap Growth Fund, Micro Cap Growth Fund and the Small Cap Growth Fund,
respectively. There was no effect on net investment income.
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.
50
8. ACQUISITIONS
On August 7, 2006, a Special Meeting of Shareholders was held to approve or
disapprove an Agreement and Plan of Reorganization providing for the transfer of
the assets and liabilities of the Value Plus Fund to the Large Cap Core Equity
Fund in exchange for shares of the Large Cap Core Equity Fund and the subsequent
liquidation of the Value Plus Fund. The Agreement and Plan of Reorganization was
approved. In conjunction with this acquisition, Class B shares of the Touchstone
Large Cap Core Equity Fund were exchanged for Class A shares of the Touchstone
Large Cap Core Equity Fund.
The merger was approved as follows:
NUMBER OF VOTES
- --------------------------------------------------------------------------------
FOR AGAINST ABSTAIN
4,429,186 5,466 5,646
The following is a summary of shares outstanding, net assets, net asset value
per share, unrealized appreciation (depreciation) and realized gain (loss)
immediately before and after the reorganization:
BEFORE AFTER
REORGANIZATION REORGANIZATION
- -------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
VALUE PLUS CORE EQUITY CORE EQUITY
FUND FUND FUND
- -------------------------------------------------------------------------------------------
Shares:
Class A $ 5,011,592 $ 2,476,201 $ 8,346,327
Class B $ 72,300 $ 162,531 $ --
Class C $ 155,427 $ 126,416 $ 294,026
Net Assets:
Class A $ 57,316,122 $ 25,210,063 $ 82,526,185
Class B $ 789,845 $ 1,638,631 $ --
Class C $ 1,695,765 $ 1,280,059 $ 2,975,824
Net Asset Value:
Class A $ 11.44 $ 10.18 $ 10.18
Class B $ 10.92 $ 10.08 $ --
Class C $ 10.91 $ 10.13 $ 10.13
Unrealized Appreciation (Depreciation) $ 2,542,809 $ 3,630,641 $ 6,173,450
Accumulated Net Realized Gain (Loss) $ (1,247,261) $ (1,806,407) $ (3,053,668)
51
- --------------------------------------------------------------------------------
Portfolio of Investments
Diversified Small Cap Growth Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.0% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 17.4%
BJ'S Restaurants, Inc.* 5,540 $ 121,935
Bright Horizons Family Solutions, Inc.* 2,740 114,340
Chipotle Mexican Grill, Inc.* 2,205 109,522
Claire's Stores, Inc. 4,075 118,827
Coldwater Creek, Inc.* 4,420 127,119
DSW, Inc.* 3,825 120,488
Guitar Center, Inc.* 2,410 107,679
LIFE TIME FITNESS, Inc.* 2,615 121,048
Morningstar, Inc.* 3,280 121,032
Penn National Gaming, Inc.* 3,210 117,229
PetMed Express, Inc.* 9,440 98,554
Phillips-Van Heusen Corp. 3,075 128,443
Quiksilver, Inc.* 9,460 114,939
Sonic Corp.* 5,410 122,320
Steiner Leisure Ltd.* 2,800 117,740
- --------------------------------------------------------------------------------
1,761,215
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.6%
Flower Foods, Inc. 2,060 55,373
The Andersons, Inc. 1,335 45,590
Wild Oats Market, Inc.* 3,470 56,110
- --------------------------------------------------------------------------------
157,073
- --------------------------------------------------------------------------------
ENERGY -- 7.1%
Cabot Oil & Gas Corp. 1,645 78,845
Global Industries, Ltd.* 7,759 120,730
Helix Energy Solutions Group, Inc.* 1,265 42,251
Helmerich & Payne, Inc. 4,350 100,181
SEACOR Holdings, Inc.* 405 33,413
Superior Energy Services, Inc.* 1,320 34,663
Tessera Technologies, Inc.* 3,835 133,380
Trico Marine Services, Inc.* 2,325 78,469
W-H Energy Services, Inc.* 2,260 93,722
- --------------------------------------------------------------------------------
715,654
- --------------------------------------------------------------------------------
FINANCIAL -- 7.7%
Affiliated Managers Group, Inc.* 1,190 119,131
Boston Private Financial Holdings, Inc. 2,310 64,403
East West Bancorp, Inc. 3,860 152,894
Jefferies Group, Inc. 4,355 124,118
LaSalle Hotel Properties 3,390 146,923
Portfolio Recovery Associates, Inc.* 3,815 167,363
- --------------------------------------------------------------------------------
774,832
- --------------------------------------------------------------------------------
52
MARKET
COMMON STOCKS -- 98.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 23.0%
Amylin Pharmaceuticals, Inc.* 2,640 $ 116,345
ArthroCare Corp.* 3,145 147,375
Community Health Services, Inc.* 765 28,573
CV Therapeutics* 6,365 70,906
ev3, Inc.* 10,720 182,347
Genomic Health, Inc.* 14,365 207,718
Gen-Probe, Inc.* 2,690 126,134
Hologic, Inc.* 4,790 208,461
Intuitive Surgical, Inc.* 1,390 146,576
Kyphon, Inc.* 5,010 187,474
LCA-Vision, Inc. 2,855 117,940
PerkinElmer, Inc. 5,390 102,033
Pharmion Corp.* 7,595 163,672
Progenics Pharmaceuticals, Inc.* 5,155 120,936
Radiation Therapy Services, Inc.* 5,845 170,849
Sierra Health Services, Inc.* 595 22,515
Ventana Medical Systems, Inc.* 4,915 200,679
- --------------------------------------------------------------------------------
2,320,533
- --------------------------------------------------------------------------------
INDUSTRIALS -- 15.1%
AAR CORP.* 5,238 124,874
Astec Industries, Inc.* 3,045 76,886
Bucyrus International, Inc. 2,810 119,200
Crane Co. 3,340 139,613
EnPro Industries, Inc.* 4,300 129,258
Forward Air Corp. 3,835 126,900
Graco, Inc. 2,530 98,822
Hub Group, Inc.* 4,195 95,562
Labor Ready, Inc.* 4,615 73,517
NCI Building Systems, Inc.* 2,185 127,101
Wabtec Corp. 4,455 120,864
Watson Wyatt Worldwide, Inc. 1,635 66,904
WESCO International, Inc.* 2,330 135,210
Woodward Governor Co. 2,735 91,732
- --------------------------------------------------------------------------------
1,526,443
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 24.9%
Alexion Pharmaceuticals, Inc.* 4,080 138,638
Amphenol Corp.* 2,530 156,683
Arris Group, Inc.* 11,150 127,779
Avnet, Inc.* 6,145 120,565
Digital Insight Corp.* 3,570 104,672
Digital River, Inc.* 3,155 161,284
53
- --------------------------------------------------------------------------------
Diversified Small Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 24.9% (CONTINUED)
eCollege.com* 2,730 $ 43,653
Emulex Corp.* 2,510 45,607
Euronet Worldwide, Inc.* 2,710 66,531
F5 Networks, Inc.* 1,510 81,117
Hyperion Solutions* 1,465 50,513
j2 Global Communications, Inc.* 4,765 129,465
MEMC Electronic Materials, Inc.* 3,585 131,319
Microsemi Corp.* 5,030 94,816
NETGEAR, Inc.* 3,995 82,257
Nuance Communications, Inc.* 7,070 57,762
Parametric Technology Corp.* 7,684 134,163
Secure Computing Corp.* 11,025 69,788
Sonic Solutions* 6,415 97,765
Transaction Systems Architects, Inc.* 2,810 96,439
Ultra Clean Holdings, Inc.* 12,435 132,806
ValueClick, Inc.* 8,950 165,932
WebEx Communications, Inc.* 4,235 165,250
Western Digital Corp.* 3,760 68,056
- --------------------------------------------------------------------------------
2,522,860
- --------------------------------------------------------------------------------
MATERIALS -- 1.2%
Brush Engineered Materials, Inc.* 2,975 73,988
Reliance Steel & Aluminum Co. 1,320 42,425
- --------------------------------------------------------------------------------
116,413
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 9,895,023
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS -- 1.0%
iShares Russell 2000 Growth Index Fund 1,395 $ 100,900
- --------------------------------------------------------------------------------
INVESTMENT FUNDS -- 0.7%
Touchstone Institutional Money Market Fund^ 73,657 $ 73,657
- --------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 99.7%
(Cost $9,956,855) $ 10,069,580
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3% 30,651
- --------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 10,100,231
================================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc.
See accompanying notes to financial statements.
54
- --------------------------------------------------------------------------------
Portfolio of Investments
Growth Opportunities Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.3% SHARES VALUE
- --------------------------------------------------------------------------------
PHARMACEUTICALS -- 13.4%
Elan Corp. plc* 122,800 $ 1,888,664
Genzyme Corp.* 19,600 1,322,412
Novartis AG 16,000 935,040
Santarus, Inc.* 100,000 742,000
Schering-Plough Corp. 46,300 1,022,767
Shire PLC - ADR 19,800 977,922
Wyeth 32,100 1,631,964
- --------------------------------------------------------------------------------
8,520,769
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE & PROCESSING -- 11.2%
Alliance Data Systems Corp.* 16,200 894,078
Amdocs Ltd.* 25,200 997,920
Business Objects S.A. - ADR* 37,700 1,285,193
CheckFree Corp.* 28,900 1,194,148
Cognos, Inc.* 42,000 1,533,000
Symantec Corp.* 57,000 1,212,960
- --------------------------------------------------------------------------------
7,117,299
- --------------------------------------------------------------------------------
SEMICONDUCTORS -- 9.9%
Atmel Corp.* 167,200 1,009,888
Integrated Device Technology, Inc.* 63,000 1,011,780
Maxim Integrated Products, Inc. 30,600 858,942
Power Integrations, Inc.* 18,500 362,600
Qimonda AG - ADR* 127,600 2,169,200
Xilinx, Inc. 40,100 880,195
- --------------------------------------------------------------------------------
6,292,605
- --------------------------------------------------------------------------------
OIL & GAS -- 9.7%
BJ Services Co. 26,700 804,471
ConocoPhillips 13,200 785,796
Hess Corp. 13,000 538,460
Marathon Oil Corp. 10,000 769,000
National-Oilwell Varco, Inc.* 14,700 860,685
Occidental Petroleum Corp. 17,200 827,492
Smith International, Inc. 20,400 791,520
Suncor Energy, Inc. 11,200 806,960
- --------------------------------------------------------------------------------
6,184,384
- --------------------------------------------------------------------------------
INDUSTRIAL -- 8.5%
American Standard Companies, Inc. 21,800 914,946
General Electric Co. 26,600 938,980
Hexcel Corp.* 58,600 829,190
IDEX Corp. 20,200 869,610
55
- --------------------------------------------------------------------------------
Growth Opportunities Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIAL -- 8.5% (CONTINUED)
ITT Corp. 18,100 $ 927,987
Phelps Dodge Corp. 11,200 948,640
- --------------------------------------------------------------------------------
5,429,353
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 6.1%
Allstate Corp. 10,400 652,392
American Express Co. 17,000 953,360
T. Rowe Price Group, Inc. 24,500 1,172,325
The Charles Schwab Corp. 60,200 1,077,580
- --------------------------------------------------------------------------------
3,855,657
- --------------------------------------------------------------------------------
BIOTECHNOLOGY -- 4.8%
Celgene Corp.* 70,200 3,039,660
- --------------------------------------------------------------------------------
RETAIL -- 4.3%
O'Reilly Automotive, Inc.* 30,200 1,002,942
Tiffany & Co. 28,000 929,600
Walgreen Co. 18,500 821,215
- --------------------------------------------------------------------------------
2,753,757
- --------------------------------------------------------------------------------
HEALTH CARE -- 2.8%
Biogen Idec, Inc.* 39,400 1,760,392
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.6%
Canadian Pacific Railway Ltd. 18,500 920,190
Norfolk Southern Corp. 17,100 753,255
- --------------------------------------------------------------------------------
1,673,445
- --------------------------------------------------------------------------------
COAL -- 2.0%
Arch Coal, Inc. 24,400 705,404
Massey Energy Co. 26,200 548,628
- --------------------------------------------------------------------------------
1,254,032
- --------------------------------------------------------------------------------
IT CONSULTING -- 1.7%
Satyam Computer Services Ltd. - ADR 27,500 1,063,975
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.6%
Polycom, Inc.* 41,800 1,025,354
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.6%
Newell Rubbermaid, Inc. 35,600 1,008,192
- --------------------------------------------------------------------------------
56
MARKET
COMMON STOCKS -- 99.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY -- 1.6%
Comcast Corp.* 27,000 $ 994,950
- --------------------------------------------------------------------------------
HEALTH TECHNOLOGY -- 1.5%
Gilead Sciences, Inc.* 14,300 982,410
- --------------------------------------------------------------------------------
CHEMICALS -- 1.5%
Praxair, Inc. 16,400 970,224
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.5%
Corning, Inc.* 39,400 961,754
- --------------------------------------------------------------------------------
MATERIALS - AGRICULTURAL/CHEMICALS -- 1.5%
Monsanto Co. 20,400 959,004
- --------------------------------------------------------------------------------
HOTELS & MOTELS -- 1.5%
Hilton Hotels Corp. 33,900 944,115
- --------------------------------------------------------------------------------
MEDIA/ENTERTAINMENT -- 1.4%
The Walt Disney Co. 29,700 918,027
- --------------------------------------------------------------------------------
ELECTRONICS -- 1.4%
AMETEK, Inc. 20,600 897,130
- --------------------------------------------------------------------------------
HEALTH CARE PROVIDERS -- 1.4%
Community Health Systems, Inc.* 23,900 892,665
- --------------------------------------------------------------------------------
DISTRIBUTION -- 1.3%
MSC Industrial Direct Co., Inc. 20,900 851,466
- --------------------------------------------------------------------------------
HEALTH CARE DISTRIBUTORS -- 1.3%
Omnicare, Inc. 18,600 801,474
- --------------------------------------------------------------------------------
COURIER SERVICES -- 1.2%
United Parcel Service, Inc. - Class B 10,900 784,146
- --------------------------------------------------------------------------------
BUSINESS SERVICES -- 1.1%
Yahoo!, Inc.* 26,800 677,504
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE -- 0.9%
DRS Technologies, Inc. 12,600 550,242
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 63,163,985
- --------------------------------------------------------------------------------
57
- --------------------------------------------------------------------------------
Growth Opportunities Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
INVESTMENT FUNDS -- 1.0%
Touchstone Institutional Money Market Fund^ 615,991 $ 615,991
- -------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 100.3%
(Cost $61,022,727) $ 63,779,976
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%) (207,186)
- -------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 63,572,790
===============================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc.
ADR - American Depository Receipt
See accompanying notes to financial statements.
58
- --------------------------------------------------------------------------------
Portfolio of Investments
Large Cap Core Equity Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.0% SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 20.4%
Cisco Systems, Inc.* 165,080 $ 3,796,839
Computer Sciences Corp.* 57,014 2,800,528
Hewlett-Packard Co. 91,249 3,347,926
Intel Corp. 149,344 3,072,006
International Business Machines Corp. (IBM) 37,170 3,045,710
Microsoft Corp. 116,715 3,189,821
- --------------------------------------------------------------------------------
19,252,830
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 16.4%
Allstate Corp. 51,403 3,224,509
American Express Co. 55,245 3,098,140
Bank of America Corp. 58,491 3,133,363
Citigroup, Inc. 59,839 2,972,203
Wells Fargo 82,548 2,986,587
- --------------------------------------------------------------------------------
15,414,802
- --------------------------------------------------------------------------------
INDUSTRIAL -- 15.9%
3M Co. 40,583 3,020,187
Caterpillar, Inc. 41,680 2,742,544
General Electric Co. 87,197 3,078,054
Honeywell International, Inc. 74,789 3,058,870
United Technologies Corp. 48,727 3,086,856
- --------------------------------------------------------------------------------
14,986,511
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 12.8%
Altria Group, Inc. 36,720 2,810,916
Kimberly-Clark Corp. 47,371 3,096,169
Procter & Gamble Co. 48,795 3,024,314
Wal-Mart Stores, Inc. 63,802 3,146,714
- --------------------------------------------------------------------------------
12,078,113
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 9.9%
Best Buy Co., Inc. 61,671 3,303,099
Home Depot, Inc. 79,557 2,885,532
The Walt Disney Co. 101,698 3,143,485
- --------------------------------------------------------------------------------
9,332,116
- --------------------------------------------------------------------------------
HEALTH CARE -- 9.3%
Cardinal Health, Inc. 43,254 2,843,518
Johnson & Johnson 45,329 2,943,665
WellPoint, Inc.* 38,157 2,939,997
- --------------------------------------------------------------------------------
8,727,180
- --------------------------------------------------------------------------------
59
- --------------------------------------------------------------------------------
Large Cap Core Equity Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICE -- 3.5%
AT&T, Inc. 100,584 $ 3,275,015
- --------------------------------------------------------------------------------
FINANCIAL -- 3.4%
JP Morgan Chase & Co. 68,927 3,236,812
- --------------------------------------------------------------------------------
MATERIALS -- 3.3%
Du Pont (E.I.) DE Nemours 72,001 3,084,523
- --------------------------------------------------------------------------------
ENERGY -- 3.1%
Exxon Mobil Corp. 43,677 2,930,727
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 92,318,629
- --------------------------------------------------------------------------------
INVESTMENT FUNDS -- 1.6%
Touchstone Institutional Money Market Fund^ 1,525,831 $ 1,525,831
- --------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 99.6%
(Cost $83,412,663) $ 93,844,460
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4% 411,042
- --------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 94,255,502
================================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc.
See accompanying notes to financial statements.
60
- --------------------------------------------------------------------------------
Portfolio of Investments
Large Cap Growth Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 100.2% SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 26.9%
Apple Computer, Inc.* 356,590 $ 27,468,128
Cognizant Technology Solutions Corp.* 280,365 20,763,832
Garmin Ltd. 497,300 24,258,294
International Game Technology 510,070 21,167,905
Intuit, Inc.* 894,095 28,691,509
Lockheed Martin Corp. 450,920 38,806,176
NVIDIA Corp.* 1,093,280 32,350,155
Qwest Communications International, Inc.* 2,485,810 21,676,263
Raytheon Co. 430,405 20,663,744
SanDisk Corp.* 392,034 20,989,500
The Boeing Co. 452,465 35,676,865
- --------------------------------------------------------------------------------
292,512,371
- --------------------------------------------------------------------------------
FINANCE/INSURANCE -- 15.1%
Chicago Mercantile Exchange Holdings, Inc. 79,715 38,123,699
E*TRADE Financial Corp.* 1,534,875 36,714,210
Lehman Brothers Holdings 471,200 34,802,832
Principal Financial Group, Inc. 540,975 29,364,123
State Street Corp. 404,755 25,256,712
- --------------------------------------------------------------------------------
164,261,576
- --------------------------------------------------------------------------------
HEALTH TECHNOLOGY -- 9.8%
AstraZeneca PLC ADR 392,620 24,538,750
Celgene Corp.* 623,000 26,975,900
Gilead Sciences, Inc.* 480,915 33,038,860
Glaxosmithkline PLC - ADR 399,665 21,274,168
- --------------------------------------------------------------------------------
105,827,678
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 9.5%
Archer-Daniels-Midland Co. 683,875 25,905,185
Colgate-Palmolive Co. 384,450 23,874,345
Ecolab, Inc. 693,290 29,686,677
Reynolds American, Inc. 378,380 23,448,209
- --------------------------------------------------------------------------------
102,914,416
- --------------------------------------------------------------------------------
HEALTH SERVICES -- 6.1%
Caremark Rx, Inc. 575,605 32,619,535
Express Scripts, Inc.* 150,960 11,395,970
Quest Diagnostics, Inc. 354,310 21,669,600
- --------------------------------------------------------------------------------
65,685,105
- --------------------------------------------------------------------------------
RETAIL TRADE -- 5.5%
Office Depot, Inc.* 734,165 29,146,351
Starbucks Corp.* 879,900 29,960,595
- --------------------------------------------------------------------------------
59,106,946
- --------------------------------------------------------------------------------
61
- --------------------------------------------------------------------------------
Large Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 100.2% (CONTINUED) SHARES VALUE
- ------------------------------------------------------------------------------------
ENERGY MINERALS -- 5.1%
Anglo American PLC ADR 1,237,490 $ 26,111,039
Schlumberger Ltd. 476,375 29,549,541
- ------------------------------------------------------------------------------------
55,660,580
- ------------------------------------------------------------------------------------
NON-ENERGY MINERALS -- 4.7%
Cameco Corp. 721,100 26,370,627
Cemex S.A. - ADR* 830,414 24,978,853
- ------------------------------------------------------------------------------------
51,349,480
- ------------------------------------------------------------------------------------
COMMUNICATION -- 4.3%
America Movil S.A. - ADR 1,178,180 46,384,947
- ------------------------------------------------------------------------------------
TRANSPORTATION -- 4.2%
CSX Corp. 803,310 26,372,667
Expeditors International of Washington, Inc. 428,055 19,082,692
- ------------------------------------------------------------------------------------
45,455,359
- ------------------------------------------------------------------------------------
PROCESS INDUSTRIES -- 3.8%
Nucor Corporation 325,425 16,105,283
Praxair, Inc. 425,030 25,144,775
- ------------------------------------------------------------------------------------
41,250,058
- ------------------------------------------------------------------------------------
CONSUMER, NON-CYCLICAL -- 2.8%
PepsiCo, Inc. 459,135 29,963,150
- ------------------------------------------------------------------------------------
TECHNOLOGY SERVICES -- 2.4%
Google, Inc.* 64,880 26,075,272
- ------------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 1,086,446,938
- ------------------------------------------------------------------------------------
INVESTMENT FUNDS -- 0.1%
Touchstone Institutional Money Market Fund^ 660,150 $ 660,150
- ------------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 100.3%
(Cost $1,018,635,454) $ 1,087,107,088
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%) (3,526,586)
- ------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 1,083,580,502
====================================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc.
ADR American Depository Receipt.
See accompanying notes to financial statements.
62
- --------------------------------------------------------------------------------
Portfolio of Investments
Large Cap Value Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 90.0% SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS & INSURERS -- 17.7%
Countrywide Financial Corp. 36,400 $ 1,275,456
Fannie Mae 26,400 1,476,024
Freddie Mac 22,500 1,492,425
MGIC Investment Corp. 6,100 365,817
- --------------------------------------------------------------------------------
4,609,722
- --------------------------------------------------------------------------------
BANKS -- 14.5%
Citigroup, Inc. 24,700 1,226,849
JP Morgan Chase & Co. 25,600 1,202,176
Washington Mutual, Inc. 31,600 1,373,652
- --------------------------------------------------------------------------------
3,802,677
- --------------------------------------------------------------------------------
TECHNOLOGY -- 8.3%
AU Optronics Corp. - ADR 43,672 622,326
Avnet, Inc.* 34,400 674,928
BearingPoint, Inc.* 2,500 19,650
Dell, Inc.* 20,200 461,368
Sanmina-SCI Corp.* 108,200 404,668
- --------------------------------------------------------------------------------
2,182,940
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 8.2%
Alcatel - ADR* + 100,400 1,222,872
Nortel Networks Corp.* 407,100 936,330
- --------------------------------------------------------------------------------
2,159,202
- --------------------------------------------------------------------------------
HEALTH CARE -- 7.0%
Sanofi-Aventis - ADR 22,800 1,013,916
Tenet Healthcare Corp.* 102,100 831,094
- --------------------------------------------------------------------------------
1,845,010
- --------------------------------------------------------------------------------
INDUSTRIALS -- 6.6%
General Electric Co. 9,100 321,230
Honeywell International, Inc. 4,400 179,960
Tyco International Ltd. 43,400 1,214,766
- --------------------------------------------------------------------------------
1,715,956
- --------------------------------------------------------------------------------
OTHER ENERGY -- 5.5%
Mirant Corp.* 29,400 802,914
Reliant Energy, Inc.* 52,700 648,737
- --------------------------------------------------------------------------------
1,451,651
- --------------------------------------------------------------------------------
63
- --------------------------------------------------------------------------------
Large Cap Value Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 90.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
AUTOS & TRANSPORTATION -- 5.4%
AMR Corp.* 15,700 $ 363,298
Lear Corp.* 31,000 641,700
UAL Corp.* 15,000 398,550
- --------------------------------------------------------------------------------
1,403,548
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 5.0%
Altria Group, Inc. 2,700 206,685
Safeway, Inc. 9,500 288,325
Tyson Foods, Inc. 51,400 816,232
- --------------------------------------------------------------------------------
1,311,242
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.3%
Embarq Corp. 8,300 401,471
Sprint Nextel Corp. 41,700 715,155
- --------------------------------------------------------------------------------
1,116,626
- --------------------------------------------------------------------------------
MATERIALS & PROCESSING -- 2.9%
Abitibi-Consolidated, Inc. - ADR* + 306,800 757,796
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.3%
Federated Department Stores, Inc. 11,600 501,236
Gannett Co., Inc. 1,900 107,977
- --------------------------------------------------------------------------------
609,213
- --------------------------------------------------------------------------------
PRODUCER DURABLES -- 2.3%
D.R. Horton, Inc. 25,100 601,145
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 23,566,728
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS -- 4.1%
iShares Russell 1000 Value Index Fund 14,100 $ 1,086,828
- --------------------------------------------------------------------------------
DEPOSITORY RECEIPT -- 1.2%
SPDR Trust Series 1 2,300 $ 307,119
- --------------------------------------------------------------------------------
INVESTMENT FUNDS -- 10.0%
Touchstone Institutional Money Market Fund^** 2,631,246 $ 2,631,246
- --------------------------------------------------------------------------------
64
TOTAL INVESTMENT SECURITIES -- 105.3%
(Cost $27,173,610) $ 27,591,921
LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.3%) (1,396,602)
- -------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 26,195,319
===============================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised 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, 2006, was $1,570,948.
** As of September 30, 2006, $1,655,615 represents collateral for securities
loaned.
ADR American Depository Receipt.
See accompanying notes to financial statements.
65
- --------------------------------------------------------------------------------
Portfolio of Investments
Micro Cap Growth Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 29.6%
Actuate Corp.* 159,600 $ 705,432
Aehr Test Systems* 25,700 190,180
Anaren, Inc.* 43,800 922,866
Art Technology Group, Inc.* 385,100 985,856
Bitstream, Inc.* 69,300 646,569
BTU International, Inc.* + 20,400 245,412
Captaris, Inc.* 28,100 164,666
Comtech Group, Inc.* + 76,700 1,148,199
CyberSource Corp.* 95,000 1,123,850
Datalink Corp.* 122,100 1,129,425
Frequency Electronics, Inc.* 55,200 715,944
Gilat Satellite Networks Ltd.* 44,800 407,680
Hauppauge Digital, Inc.* 35,200 189,728
Hi-Shear Technology Corp. 48,400 389,620
Internet Commerce Corp.* + 133,000 521,360
KVH Industries, Inc.* 69,500 886,125
LMI Aerospace, Inc.* 40,300 745,550
Micronetics, Inc.* + 11,800 91,922
Mikron Infrared, Inc.* 71,900 872,866
Netopia, Inc.* 72,000 403,920
PC-Tel, Inc.* 74,200 779,100
Pemstar, Inc.* + 172,600 629,990
Pericom Semiconductor Corp.* 57,300 558,675
Radyne Corp.* 8,700 106,488
Rainmaker Systems, Inc.* 57,800 330,616
Silicom Ltd.* 78,800 539,780
SimpleTech, Inc.* 105,100 957,461
Sirenza Microdevices, Inc.* + 59,000 466,100
Smith Micro Software, Inc.* + 155,300 2,233,213
Stellent, Inc. 64,800 702,432
Stratex Networks, Inc.* 274,200 1,217,448
TeleCommunication Systems, Inc.* + 32,000 86,080
TESSCO Technologies, Inc.* 32,902 969,293
TTI Team Telecom International Ltd.* + 32,900 116,137
Ultra Clean Holdings, Inc.* 73,800 788,184
Video Display Corp.* + 51,450 385,361
VSE Corp. 21,700 653,170
- --------------------------------------------------------------------------------
24,006,698
- --------------------------------------------------------------------------------
PRODUCER MANUFACTURING -- 15.0%
AAON, Inc. 5,600 127,736
Amerigon, Inc.* 171,500 1,474,900
Ampco-Pittsburgh Corp. 12,600 389,718
AZZ, Inc.* 6,000 219,000
66
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
PRODUCER MANUFACTURING -- 15.0% (CONTINUED)
Dynamic Materials Corp. + 40,000 $ 1,296,800
Fuel-Tech N.V.* 82,850 1,233,637
Insteel Industries, Inc. 49,000 973,630
Kadant, Inc.* 30,400 746,624
K-Tron International, Inc.* 19,800 1,251,756
Smith & Wesson Holding Corp.* + 160,450 2,227,046
Spartan Motors, Inc. 66,900 1,259,727
Tat Technologies, Ltd. 68,000 941,120
- --------------------------------------------------------------------------------
12,141,694
- --------------------------------------------------------------------------------
HEALTH CARE -- 12.2%
Air Methods Corp.* 37,700 889,720
Avigen, Inc.* 86,100 445,137
Bovie Medical Corp.* + 111,900 787,776
Continucare Corp.* + 49,000 122,500
Encore Medical Corp.* 70,800 446,040
First Consulting Group, Inc.* 89,000 867,750
HealthStream, Inc.* 128,100 444,507
HMS Holdings Corp.* 108,700 1,371,794
IntegraMed America, Inc.* 59,625 565,841
Medical Action Industires, Inc.* 32,900 884,681
Mesa Laboratories, Inc. 24,900 427,035
New Brunswick Scientific Co., Inc.* 54,700 428,301
Sun Healthcare Group, Inc.* 70,600 758,244
ZEVEX International, Inc.* 65,500 588,845
Zoll Medical Corp.* 25,700 922,373
- --------------------------------------------------------------------------------
9,950,544
- --------------------------------------------------------------------------------
COMMERCIAL/INDUSTRIAL SERVICES -- 12.0%
ADDvantage Technologies Group, Inc.* 24,200 101,640
Allis-Chambers Energy, Inc.* 9,400 137,616
American Ecology Corp. 7,800 153,972
Concur Technologies, Inc.* + 54,900 798,795
Electronic Clearing House, Inc.* 14,200 255,600
Home Solutions of America, Inc.* + 134,600 737,608
Matrix Service Co.* + 64,500 844,305
Medical Staffing Network Holdings, Inc.* 23,600 146,792
Perficient, Inc.* 129,800 2,035,264
Standard Parking Corp.* 11,400 357,732
SumTotal Systems, Inc.* 145,400 1,083,230
The Goldfield Corp.* + 258,900 277,023
TheStreet.com, Inc. 201,500 2,143,960
Thomas Group, Inc. 70,300 721,981
- --------------------------------------------------------------------------------
9,795,518
- --------------------------------------------------------------------------------
67
- --------------------------------------------------------------------------------
Micro Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCE -- 6.6%
Affirmative Insurance Holdings, Inc. 25,500 $ 373,575
American Physicians Capital, Inc.* 25,000 1,209,500
EMC Insurance Group, Inc. + 14,000 403,760
International Assets Holding Corp.* + 28,700 670,145
James River Group, Inc.* 12,100 355,135
Marlin Business Services, Inc.* 28,100 587,290
Mercer Insurance Group, Inc. 28,700 741,608
Preferred Bank 8,700 521,739
U.S. Global Investors, Inc.* + 21,200 520,884
- --------------------------------------------------------------------------------
5,383,636
- --------------------------------------------------------------------------------
RETAIL TRADE -- 5.6%
Books-A-Million, Inc. + 14,000 249,900
Casual Male Retail Group, Inc.* + 85,200 1,169,796
Medifast, Inc.* 8,350 72,478
Mothers Work, Inc.* + 16,500 793,980
PC Connection, Inc.* 69,700 805,035
United Retail Group, Inc.* 50,100 915,828
Zones, Inc.* 54,200 559,344
- --------------------------------------------------------------------------------
4,566,361
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.4%
Jones Soda Co.* + 91,400 818,030
National Beverage Corp. + 64,400 767,004
Steven Madden Ltd. 46,950 1,842,318
True Religion Apparel, Inc.* + 44,800 945,728
- --------------------------------------------------------------------------------
4,373,080
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 5.2%
Cuisine Solutions, Inc.* 5,400 30,996
Culp, Inc.* 11,700 64,935
MGP Ingredients, Inc. + 80,500 1,712,235
Multi-Color Corp. 28,100 807,875
PW Eagle, Inc. + 28,300 849,283
Wheeling-Pittsburgh Corp.* + 43,800 749,418
- --------------------------------------------------------------------------------
4,214,742
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 4.2%
American Medical Alert Corp.* 80,100 442,953
Interstate Hotels & Resorts, Inc.* 140,000 1,509,200
McCormick & Schmick's Seafood Restaurants, Inc.* 54,600 1,227,954
New Frontier Media, Inc.* 30,800 254,100
- --------------------------------------------------------------------------------
3,434,207
- --------------------------------------------------------------------------------
68
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
ENERGY -- 2.5%
American Oil & Gas, Inc.* + 95,400 $ 488,448
Dawson Geophysical Co.* + 20,900 620,730
ICO, Inc.* 107,600 712,312
TGC Industries, Inc.* 16,400 134,480
Xanser Corp.* 16,300 95,355
- -------------------------------------------------------------------------------
2,051,325
- -------------------------------------------------------------------------------
UTILITIES -- 0.6%
Eschelon Telecom, Inc.* 29,600 502,904
- -------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.4%
U.S. Home Systems, Inc.* + 34,000 321,640
- -------------------------------------------------------------------------------
TRANSPORTATION -- 0.4%
P.A.M. Transportation Services, Inc.* 11,600 290,696
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 81,033,045
- -------------------------------------------------------------------------------
INVESTMENT FUNDS -- 28.6%
Touchstone Institutional Money Market Fund^** 23,273,548 $ 23,273,548
- -------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 128.3%
(Cost $90,472,924) $ 104,306,593
LIABILITIES IN EXCESS OF OTHER ASSETS -- (28.3%) (22,983,418)
- -------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 81,323,175
===============================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised 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, 2006, was $21,729,587.
** As of September 30, 2006, $22,801,789 represents collateral for securities
loaned.
See accompanying notes to financial statements.
69
- --------------------------------------------------------------------------------
Portfolio of Investments
Mid Cap Growth Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 97.4% SHARES VALUE
- --------------------------------------------------------------------------------
SEMICONDUCTORS -- 12.8%
Analog Devices, Inc. 441,300 $ 12,969,807
Atmel Corp.* 2,029,300 12,256,972
Cypress Semiconductor Corp.* + 363,000 6,450,510
Integrated Device Technology, Inc.* 321,300 5,160,078
International Rectifier Corp.* 209,800 7,309,432
LSI Logic Corp.* + 983,600 8,085,192
Micron Technology, Inc.* 1,078,700 18,769,379
National Semiconductor Corp. 319,935 7,528,071
Novellus Systems, Inc.* 430,600 11,910,396
NVIDIA Corp.* 439,200 12,995,928
Qimonda AG - ADR* 1,010,900 17,185,300
Teradyne, Inc.* 879,250 11,570,930
- --------------------------------------------------------------------------------
132,191,995
- --------------------------------------------------------------------------------
PHARMACEUTICALS -- 5.0%
Elan Corp. PLC - ADR* + 1,111,800 17,099,483
Hospira, Inc.* 262,940 10,062,714
Shire Pharmaceuticals Group PLC - ADR 328,700 16,234,493
Valeant Pharmaceuticals International 402,200 7,955,516
- --------------------------------------------------------------------------------
51,352,206
- --------------------------------------------------------------------------------
OIL & GAS -- 4.9%
BJ Services Co. 297,700 8,969,701
Cameron International Corp.* 94,700 4,574,957
Chesapeake Energy Corp. + 292,300 8,470,854
Hess Corp. + 204,100 8,453,822
Murphy Oil Corp. 100,620 4,784,481
Smith International, Inc. 286,800 11,127,839
Weatherford International Ltd.* 96,800 4,038,496
- --------------------------------------------------------------------------------
50,420,150
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.7%
E*TRADE Financial Corp.* 341,800 8,175,856
Federated Investors, Inc. - Class B 315,800 10,677,198
Investors Financial Services Corp. + 185,800 8,004,264
Marshall & Llsley Corp. + 209,600 10,098,528
T. Rowe Price Group, Inc. 241,800 11,570,130
- --------------------------------------------------------------------------------
48,525,976
- --------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT -- 4.6%
Cytyc Corp.* 337,100 8,252,208
Fisher Scientific International, Inc.* 207,600 16,242,624
Thermo Electron Corp.* + 592,250 23,293,193
- --------------------------------------------------------------------------------
47,788,025
- --------------------------------------------------------------------------------
70
MARKET
COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
BANKING -- 4.5%
Commerce Bancorp, Inc. + 456,730 $ 16,766,557
New York Community Bancorp, Inc. + 110,007 1,801,915
People's Bank 249,150 9,868,832
SVB Financial Group* 175,767 7,846,239
Zions Bancorporation 128,400 10,247,604
- --------------------------------------------------------------------------------
46,531,147
- --------------------------------------------------------------------------------
HEALTH CARE PROVIDERS -- 4.4%
Community Health Systems, Inc.* 240,400 8,978,940
Coventry Health Care, Inc.* 195,150 10,054,128
HEALTHSOUTH Corp.* + 1,584,300 7,842,285
Manor Care, Inc. 201,800 10,550,104
Triad Hospitals, Inc.* 175,700 7,736,071
- --------------------------------------------------------------------------------
45,161,528
- --------------------------------------------------------------------------------
INSURANCE -- 3.6%
Arthur J. Gallagher & Co. + 342,400 9,131,808
Assurant, Inc. 182,580 9,751,598
Old Republic International Corp. 338,750 7,503,313
Willis Group Holdings Ltd. 266,830 10,139,539
- --------------------------------------------------------------------------------
36,526,258
- --------------------------------------------------------------------------------
APPAREL RETAILERS -- 3.4%
Federated Department Stores, Inc. 300,474 12,983,482
Gap, Inc. 612,500 11,606,875
Jones Apparel Group, Inc. 333,280 10,811,603
- --------------------------------------------------------------------------------
35,401,960
- --------------------------------------------------------------------------------
BIOTECHNOLOGY -- 3.4%
Celgene Corp.* 556,700 24,105,110
Invitrogen Corp.* 169,500 10,747,995
- --------------------------------------------------------------------------------
34,853,105
- --------------------------------------------------------------------------------
COMPUTERS & INFORMATION -- 3.3%
Business Objects S.A. - ADR* + 392,000 13,363,280
Diebold, Inc. + 215,110 9,363,738
McAfee, Inc.* 441,700 10,803,982
- --------------------------------------------------------------------------------
33,531,000
- --------------------------------------------------------------------------------
ELECTRONICS -- 3.1%
AMETEK, Inc. 325,100 14,158,105
Tektronix, Inc. 198,270 5,735,951
Vishay Intertechnology, Inc.* + 833,370 11,700,515
- --------------------------------------------------------------------------------
31,594,571
- --------------------------------------------------------------------------------
71
- --------------------------------------------------------------------------------
Mid Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE
- ---------------------------------------------------------------------------------------
MEDICAL SUPPLIES -- 3.1%
Bausch & Lomb, Inc. + 211,800 $ 10,617,534
Beckman Coulter, Inc. 109,100 6,279,796
Edwards Lifesciences Corp.* 133,650 6,226,754
Hillenbrand Industries, Inc. 148,200 8,444,436
- ---------------------------------------------------------------------------------------
31,568,520
- ---------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - DATA PROCESSING SERVICES -- 2.8%
Alliance Data Systems Corp.* 204,900 11,308,431
Alliant Techsystems, Inc.* + 103,850 8,418,081
CheckFree Corp.* 220,500 9,111,060
- ---------------------------------------------------------------------------------------
28,837,572
- ---------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.7%
ADC Telecommunications, Inc.* 647,200 9,708,000
Comverse Technology, Inc.* 273,400 5,861,696
Polycom, Inc.* 505,400 12,397,462
- ---------------------------------------------------------------------------------------
27,967,158
- ---------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - APPLICATION SOFTWARE -- 2.4%
Amdocs Ltd.* 254,000 10,058,400
Cognos, Inc.* 391,400 14,286,100
- ---------------------------------------------------------------------------------------
24,344,500
- ---------------------------------------------------------------------------------------
RESTAURANTS -- 1.8%
Panera Bread Co.* + 137,400 8,003,550
The Cheesecake Factory, Inc.* 402,100 10,933,099
- ---------------------------------------------------------------------------------------
18,936,649
- ---------------------------------------------------------------------------------------
HEALTH CARE DISTRIBUTORS -- 1.8%
Omnicare, Inc. + 423,400 18,244,306
- ---------------------------------------------------------------------------------------
CHEMICALS -- 1.7%
Cytec Industries, Inc. 132,310 7,355,113
International Flavors & Fragrances, Inc. 253,000 10,003,620
- ---------------------------------------------------------------------------------------
17,358,733
- ---------------------------------------------------------------------------------------
HEAVY MACHINERY -- 1.7%
Dover Corp. 178,090 8,448,590
Pentair, Inc. 333,600 8,736,984
- ---------------------------------------------------------------------------------------
17,185,574
- ---------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - SPECIALTY STORES -- 1.6%
Dick's Sporting Goods, Inc.* + 266,800 12,144,736
Tiffany & Co. + 142,000 4,714,400
- ---------------------------------------------------------------------------------------
16,859,136
- ---------------------------------------------------------------------------------------
72
MARKET
COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
INDUSTRIALS - INDUSTRIAL MACHINERY -- 1.6%
IDEX Corp. 207,600 $ 8,937,180
ITT Industries, Inc. 147,500 7,562,325
- -------------------------------------------------------------------------------------
16,499,505
- -------------------------------------------------------------------------------------
TRANSPORTATION -- 1.5%
Canadian Pacific Railway Ltd. + 192,000 9,550,080
Kirby Corp.* 174,800 5,476,484
- -------------------------------------------------------------------------------------
15,026,564
- -------------------------------------------------------------------------------------
INDUSTRIAL -- 1.4%
SPX Corp. 156,740 8,376,186
Teleflex, Inc. 110,797 6,164,745
- -------------------------------------------------------------------------------------
14,540,931
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - ELECTRONICS RETAIL -- 1.4%
GameStop Corp.* + 303,200 14,032,096
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - HOME FURNISHING RETAIL -- 1.3%
Leggett & Platt, Inc. 230,900 5,779,427
Williams-Sonoma, Inc. 248,300 8,042,437
- -------------------------------------------------------------------------------------
13,821,864
- -------------------------------------------------------------------------------------
RETAILERS -- 1.0%
Regis Corp. 288,600 10,346,310
- -------------------------------------------------------------------------------------
MATERIALS - AGRICULTURAL/CHEMICALS -- 1.0%
Monsanto Co. 213,000 10,013,130
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - AUTOMOTIVE RETAIL -- 0.9%
O'Reilly Automotive, Inc.* 289,600 9,617,616
- -------------------------------------------------------------------------------------
DISTRIBUTION -- 0.9%
MSC Industrial Direct Co., Inc. 235,200 9,582,048
- -------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.9%
Stanley Works + 188,180 9,380,773
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.9%
Sun Microsystems* 1,856,900 9,228,793
- -------------------------------------------------------------------------------------
EMPLOYMENT SERVICES -- 0.9%
Monster Worldwide, Inc.* 254,000 9,192,260
- -------------------------------------------------------------------------------------
HEALTH CARE -- 0.9%
Varian, Inc.* 192,480 8,829,058
- -------------------------------------------------------------------------------------
73
- --------------------------------------------------------------------------------
Mid Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE
- ------------------------------------------------------------------------------------------
COAL -- 0.8%
CONSOL Energy, Inc. 245,800 $ 7,799,234
- ------------------------------------------------------------------------------------------
HOTELS & MOTELS -- 0.7%
Gaylord Entertainment Co.* 158,400 6,945,840
- ------------------------------------------------------------------------------------------
COMPUTER SOFTWARE & PROCESSING -- 0.7%
Activision, Inc.* 443,465 6,696,322
- ------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 0.6%
Molson Coors Brewing Co. 95,000 6,545,500
- ------------------------------------------------------------------------------------------
INDUSTRIALS - BUILDING PRODUCTS -- 0.6%
American Standard Companies, Inc. 155,700 6,534,729
- ------------------------------------------------------------------------------------------
MEDIA - BROADCASTING & PUBLISHING -- 0.6%
Dow Jones & Company, Inc. + 178,430 5,984,542
- ------------------------------------------------------------------------------------------
IT CONSULTING -- 0.6%
Satyam Computer Services Ltd. - ADR + 152,100 5,884,749
- ------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - ELECTRONIC EQUIPMENT -- 0.5%
Mettler-Toledo International, Inc.* 76,200 5,040,630
- ------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE -- 0.4%
DRS Technologies, Inc. 97,700 4,266,559
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 1,000,989,122
- ------------------------------------------------------------------------------------------
INVESTMENT FUNDS -- 20.1%
Touchstone Institutional Money Market Fund^** 206,978,005 $ 206,978,005
- ------------------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 117.5%
(Cost $1,059,039,706) $ 1,207,967,127
LIABILITIES IN EXCESS OF OTHER ASSETS -- (17.5%) (179,702,883)
- ------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 1,028,264,244
==========================================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised 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, 2006, was $166,892,505.
** As of September 30, 2006, $171,728,841 represents collateral for
securities loaned.
ADR American Depository Receipt.
See accompanying notes to financial statements.
74
- --------------------------------------------------------------------------------
Portfolio of Investments
Small Cap Growth Fund - September 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 23.2%
Actuate Corp.* 141,153 $ 623,896
Aehr Test Systems* 17,300 128,020
Anaren, Inc.* 18,000 379,260
Art Technology Group, Inc.* 143,512 367,391
CyberSource Corp.* 36,700 434,161
Datalink Corp.* + 37,400 345,950
Frequency Electronics 34,500 447,465
Hauppage Digital, Inc.* 6,100 32,879
Hi-Shear Technology Corp. 14,400 115,920
Informatica Corp.* 76,050 1,033,520
Internet Commerce Corp.* + 94,900 372,008
Intevac, Inc.* 130,000 2,183,999
Keane, Inc.* 190,650 2,747,266
Mikron Infrared, Inc.* 36,600 444,324
Opsware, Inc.* 176,750 1,592,518
Parametric Technology Corp.* 73,450 1,282,437
Rainmaker Systems, Inc.* 25,400 145,288
Sirenza Microdevices, Inc.* + 22,400 176,960
Smith Micro Software, Inc.* + 24,000 345,120
Stellent, Inc. 141,450 1,533,318
Stratex Networks, Inc.* 117,000 519,480
TESSCO Technologies, Inc.* 21,400 630,444
TTI Team Telecom International Ltd.* 24,400 86,132
Ultra Clean Holdings, Inc.* 35,900 383,412
Xyratex Ltd.* 109,750 2,091,834
- --------------------------------------------------------------------------------
18,443,002
- --------------------------------------------------------------------------------
HEALTH CARE -- 19.9%
Avigen, Inc.* 69,900 361,383
Bio-Reference Laboratories, Inc.* 75,000 1,683,750
Continucare Corp.* + 32,600 81,500
Enzon Pharmaceuticals, Inc.* + 94,700 781,275
First Consulting Group, Inc.* 46,100 449,475
Herbalife Ltd. - ADR* 80,600 3,053,127
HMS Holdings Corp.* 31,800 401,316
Hologic, Inc.* 25,000 1,088,000
IntegraMed America, Inc.* 42,575 404,037
Kyphon, Inc.* 39,150 1,464,993
Medical Action Industries, Inc.* 16,700 449,063
Mesa Laboratories, Inc. 16,800 288,120
New Brunswick Scientific Co., Inc.* 51,300 401,679
Sun Healthcare Group, Inc.* 28,900 310,386
Viasys Healthcare, Inc.* 102,750 2,798,910
75
- --------------------------------------------------------------------------------
Small Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 19.9% (CONTINUED)
WellCare Health Plans, Inc.* 25,100 $ 1,421,413
Zoll Medical Corp.* 10,050 360,695
- --------------------------------------------------------------------------------
15,799,122
- --------------------------------------------------------------------------------
COMMERCIAL/INDUSTRIAL SERVICES -- 15.9%
Asyst Technologies, Inc.* 225,250 1,522,690
Axcelis Technologies, Inc.* 370,000 2,612,200
Concur Technologies, Inc.* + 31,600 459,780
Electronic Clearing House, Inc.* 17,000 306,000
Home Solutions of America, Inc.* + 30,800 168,784
Ixia* 41,800 372,438
Matrix Service Co.* + 31,300 409,717
Perficient, Inc.* 35,385 554,837
Standard Parking Corp.* 10,800 338,904
SumTotal Systems, Inc.* 80,300 598,235
Teledyne Technologies, Inc.* 69,850 2,766,060
TheStreet.com, Inc. + 38,200 406,448
Thomas Group, Inc. 15,300 157,131
Varian, Inc.* 42,600 1,954,062
- --------------------------------------------------------------------------------
12,627,286
- --------------------------------------------------------------------------------
PRODUCER MANUFACTURING -- 7.5%
AAON, Inc. 7,800 177,918
Amerigon, Inc.* 33,400 287,240
Dynamic Materials Corp. 11,750 380,935
Fuel-Tech N.V.* 37,800 562,842
Insteel Industries, Inc. 12,100 240,427
Kadant, Inc.* 17,700 434,712
K-Tron International, Inc.* 7,100 448,862
Smith & Wesson Holding Corp.* + 45,000 624,600
Tat Technologies Ltd. 28,000 387,520
Watts Water Technologies, Inc. 76,600 2,432,816
- --------------------------------------------------------------------------------
5,977,872
- --------------------------------------------------------------------------------
ENERGY -- 6.8%
American Oil & Gas, Inc.* + 67,100 343,552
ICO, Inc.* 73,600 487,232
InterOil Corp.* + 179,800 3,403,614
PetroQuest Energy, Inc.* 29,000 302,470
TETRA Technologies, Inc.* 35,150 849,224
TGC Industries, Inc.* 4,300 35,260
- --------------------------------------------------------------------------------
5,421,352
- --------------------------------------------------------------------------------
76
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
COMMUNICATIONS -- 6.3%
Arris Group, Inc.* 230,850 $ 2,645,541
SBA Communications Corp. - Class A* 98,450 2,395,289
- --------------------------------------------------------------------------------
5,040,830
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 3.8%
Investment Technology Group, Inc.* 39,850 1,783,288
Thomas Weisel Partners Group, Inc.* 68,300 1,096,215
U.S. Global Investors, Inc.* 6,700 164,619
- --------------------------------------------------------------------------------
3,044,122
- --------------------------------------------------------------------------------
FINANCE -- 3.7%
American Physicians Capital, Inc.* 8,100 391,878
EMC Insurance Group, Inc. 10,800 311,472
International Assets Holding Corp.* + 20,700 483,345
James River Group, Inc.* 15,100 443,185
Marlin Business Services, Inc.* 19,000 397,100
Mercer Insurance Group, Inc. 19,000 490,960
Preferred Bank 6,600 395,802
- --------------------------------------------------------------------------------
2,913,742
- --------------------------------------------------------------------------------
RETAIL TRADE -- 2.7%
Books-A-Million, Inc. + 19,000 339,150
Casual Male Retail Group, Inc.* + 34,500 473,685
Mothers Work, Inc.* + 11,000 529,320
United Retail Group, Inc.* 23,900 436,892
Zones, Inc.* 37,200 383,904
- --------------------------------------------------------------------------------
2,162,951
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 2.7%
Redwood Trust, Inc. + 42,250 2,128,133
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 2.0%
Jones Soda Co.* + 47,400 424,230
National Beverage Corp. + 23,100 275,121
Steven Madden Ltd.* 11,300 443,412
True Religion Apparel, Inc.* + 19,700 415,867
- --------------------------------------------------------------------------------
1,558,630
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 1.7%
MGP Ingredients, Inc. + 18,800 399,876
Multi-Color Corp. 12,900 370,875
PW Eagle, Inc. + 9,600 288,096
Wheeling-Pittsburgh Corp.* + 18,200 311,402
- --------------------------------------------------------------------------------
1,370,249
- --------------------------------------------------------------------------------
77
- --------------------------------------------------------------------------------
Small Cap Growth Fund (Continued)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.1%
American Medical Alert Corp.* 83,100 $ 459,543
Interstate Hotels & Resorts, Inc.* 38,500 415,030
- -------------------------------------------------------------------------------
874,573
- -------------------------------------------------------------------------------
TECHNOLOGY -- 0.9%
Atheros Communications* + 40,000 725,200
- -------------------------------------------------------------------------------
UTILITIES -- 0.6%
Eschelon Telecom, Inc.* 26,100 443,439
- -------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.5%
U.S. Home Systems, Inc.* + 37,900 358,534
- -------------------------------------------------------------------------------
TRANSPORTATION -- 0.4%
P.A.M. Transportation Services, Inc.* 12,100 303,226
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS $ 79,192,263
- -------------------------------------------------------------------------------
INVESTMENT FUNDS -- 18.8%
Touchstone Institutional Money Market Fund^** 14,963,411 $ 14,963,411
- -------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 118.5%
(Cost $86,313,918) $ 94,155,674
LIABILITIES IN EXCESS OF OTHER ASSETS -- (18.5%) (14,674,216)
- -------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 79,481,458
===============================================================================
* Non-income producing security.
^ Affiliated Fund, sub-advised 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, 2006, was $13,961,795.
** As of September 30, 2006, $14,127,810 represents collateral for securities
loaned.
ADR American Depository Receipt.
See accompanying notes to financial statements.
78
- --------------------------------------------------------------------------------
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.
SUBSEQUENT EVENT
A Special Meeting of the Board of Trustees of the Trust was held on October 12,
2006, during which the following items were approved by the Board:
(i) Effective November 20, 2006, Class I shares of the Large Cap Growth Fund,
the Small Cap Growth Fund, the Micro Cap Growth Fund and the Diversified
Small Cap Growth Fund be redesignated as Class Y shares and the minimum
initial investment will be $250,000;
(ii) Termination of the Sponsor Agreements between Touchstone Advisors, Inc.
and the Trust effective December 31 ,2006;
(iii) Termination of the Administration and Accounting Services Agreements
between the Trust and Integrated effective December 31, 2006;
(iv) Amended Expense Limitation Agreement effective January 1, 2007 to include
the Growth Opportunities Fund whose expenses will be contractually limited
to 1.55% for Class A shares and 2.30% for Class B and Class C shares. The
Large Cap Growth Fund's expense limitations will be lowered to 1.25% for
Class A shares, 2.00% for Class B and Class C shares, and 1.00% for Class
I shares;
(v) Effective January 1, 2007, the appointment of Touchstone Advisors, Inc. as
the Administrator of the Trust. The Amended Agreement permits the Advisor
to appoint a sub-administrator to perform certain of the administrative
services provided by the Amended Agreement. The Advisor will appoint
Integrated Investment Services, Inc. (Integrated) as the sub-administrator
and will pay Integrated's sub-administration fee out of the proceeds of
its administration fee;
(vi) Amended Transfer Agency Agreement with Integrated, effective January 1,
2007. The compensation structure will be standardized among all Funds at a
per account rate of $25.00 for direct accounts, including omnibus, $15.00
for networked accounts and $5.00 for closed accounts;
(vii) Amended Compliance Services Agreement with Integrated, effective November
20, 2006 whereby, the annual compliance administration fee for the Trust
will be $25,000.
79
- --------------------------------------------------------------------------------
Other Items (Continued)
- --------------------------------------------------------------------------------
SPECIAL MEETING OF SHAREHOLDERS
On November 10, 2006, a Special Meeting of Shareholders of the Growth
Opportunities Fund was held to approve or disapprove the following two
proposals: (1) to amend the fee schedule for the Fund's Investment Advisory
Agreement; and (2) to amend the Fund's investment goal. The two proposals were
approved as follows:
Proposal 1: Amend the fee schedule for the Fund's Investment Advisory Agreement:
FOR AGAINST ABSTAIN
- --------------------------------------------------------------------------------
1,576,673 139,754 69,240
Proposal 2: Amend the Fund's investment goal:
FOR AGAINST ABSTAIN
- --------------------------------------------------------------------------------
1,590,870 131,485 63,312
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, 2006" to estimate the expenses you paid on your
account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Funds' actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Funds' actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
80
- --------------------------------------------------------------------------------
SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
- --------------------------------------------------------------------------------
EXPENSES
NET EXPENSE BEGINNING ENDING PAID DURING
RATIO ACCOUNT ACCOUNT THE SIX MONTHS
ANNUALIZED VALUE VALUE ENDED
SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30,
2006 2006* 2006 2006**
- ----------------------------------------------------------------------------------------------------
DIVERSIFIED SMALL CAP GROWTH FUND
Class A Actual 1.40% $ 1,000.00 $ 1,009.00 $ 0.92
Class A Hypothetical 1.40% $ 1,000.00 $ 1,002.37 $ 0.92
Class I Actual 1.15% $ 1,000.00 $ 1,010.00 $ 0.76
Class I Hypothetical 1.15% $ 1,000.00 $ 1,002.53 $ 0.76
GROWTH OPPORTUNITIES FUND
Class A Actual 1.79% $ 1,000.00 $ 893.40 $ 8.51
Class A Hypothetical 1.79% $ 1,000.00 $ 1,016.08 $ 9.06
Class B Actual 3.07% $ 1,000.00 $ 882.30 $ 14.50
Class B Hypothetical 3.07% $ 1,000.00 $ 1,009.66 $ 15.48
Class C Actual 2.77% $ 1,000.00 $ 884.50 $ 13.09
Class C Hypothetical 2.77% $ 1,000.00 $ 1,011.17 $ 13.97
LARGE CAP CORE EQUITY FUND
Class A Actual 1.15% $ 1,000.00 $ 1,047.10 $ 5.90
Class A Hypothetical 1.15% $ 1,000.00 $ 1,019.31 $ 5.82
Class C Actual 1.90% $ 1,000.00 $ 1,044.50 $ 9.73
Class C Hypothetical 1.90% $ 1,000.00 $ 1,015.55 $ 9.60
LARGE CAP GROWTH FUND
Class A Actual 1.12% $ 1,000.00 $ 893.00 $ 5.33
Class A Hypothetical 1.12% $ 1,000.00 $ 1,019.43 $ 5.69
Class B Actual 2.01% $ 1,000.00 $ 887.00 $ 9.51
Class B Hypothetical 2.01% $ 1,000.00 $ 1,014.99 $ 10.16
Class C Actual 1.91% $ 1,000.00 $ 887.70 $ 9.06
Class C Hypothetical 1.91% $ 1,000.00 $ 1,015.47 $ 9.67
Class I Actual 0.85% $ 1,000.00 $ 894.60 $ 4.05
Class I Hypothetical 0.85% $ 1,000.00 $ 1,020.79 $ 4.32
81
- --------------------------------------------------------------------------------
Other Items (Continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
- --------------------------------------------------------------------------------
EXPENSES
NET EXPENSE BEGINNING ENDING PAID DURING
RATIO ACCOUNT ACCOUNT THE SIX MONTHS
ANNUALIZED VALUE VALUE ENDED
SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30,
2006 2006* 2006 2006**
- ------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A Actual 1.35% $ 1,000.00 $ 1,021.60 $ 6.82
Class A Hypothetical 1.35% $ 1,000.00 $ 1,018.32 $ 6.81
Class C Actual 2.10% $ 1,000.00 $ 1,018.70 $ 10.63
Class C Hypothetical 2.10% $ 1,000.00 $ 1,014.54 $ 10.61
MICRO CAP GROWTH FUND
Class A Actual 1.95% $ 1,000.00 $ 871.10 $ 9.16
Class A Hypothetical 1.95% $ 1,000.00 $ 1,015.28 $ 9.86
Class C Actual 2.70% $ 1,000.00 $ 868.00 $ 12.65
Class C Hypothetical 2.70% $ 1,000.00 $ 1,011.52 $ 13.62
Class I Actual 1.70% $ 1,000.00 $ 871.50 $ 7.95
Class I Hypothetical 1.70% $ 1,000.00 $ 1,016.57 $ 8.57
MID CAP GROWTH FUND
Class A Actual 1.50% $ 1,000.00 $ 987.10 $ 7.47
Class A Hypothetical 1.50% $ 1,000.00 $ 1,017.55 $ 7.58
Class B Actual 2.25% $ 1,000.00 $ 983.70 $ 11.21
Class B Hypothetical 2.25% $ 1,000.00 $ 1,013.76 $ 11.38
Class C Actual 2.25% $ 1,000.00 $ 983.70 $ 11.19
Class C Hypothetical 2.25% $ 1,000.00 $ 1,013.78 $ 11.36
SMALL CAP GROWTH FUND
Class A Actual 1.95% $ 1,000.00 $ 848.70 $ 9.05
Class A Hypothetical 1.95% $ 1,000.00 $ 1,015.28 $ 9.87
Class B Actual 2.70% $ 1,000.00 $ 842.70 $ 12.47
Class B Hypothetical 2.70% $ 1,000.00 $ 1,011.53 $ 13.62
Class C Actual 2.70% $ 1,000.00 $ 842.30 $ 12.47
Class C Hypothetical 2.70% $ 1,000.00 $ 1,011.53 $ 13.62
Class I Actual 1.55% $ 1,000.00 $ 851.80 $ 7.20
Class I Hypothetical 1.55% $ 1,000.00 $ 1,017.30 $ 7.84
* The example is based on an investment of $1,000 invested at the beginning
of the period (April 1, 2006 for the Growth Opportunities Fund, Large Cap
Core Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, Micro Cap
Growth Fund, Mid Cap Growth Fund and the Small Cap Growth Fund; September
6, 2006 for the Diversified Small Cap Growth Fund and held for the entire
period through September 30, 2006).
** Expenses are equal to the Fund's annualized expense ratio, multiplied by
the average account value over the period, multiplied by [number of days
in most recent fiscal half-year/365 [or366]] (to reflect the one-half year
period).
82
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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 Investment Services, Inc.
P.O. Box 5354
Cincinnati, Ohio 45201-5354
Shareholder Service
800.543.0407
A Member of Western & Southern Financial Group(R)
- --------------------------------------------------------------------------------
[LOGO] TOUCHSTONE(R)
INVESTMENTS
303 Broadway, Suite 1100
Cincinnati, OH 45202-4203
TSF-158-0609
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 6, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)
/s/ Jill T. McGruder
- --------------------------------------------------------------------------------
Jill T. McGruder
President
Date: December 6, 2006
/s/ Terrie A. Wiedenheft
- --------------------------------------------------------------------------------
Terrie A. Wiedenheft
Controller & Treasurer
Date: December 6, 2006