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 811-8104
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Touchstone Funds Group Trust
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(Exact name of registrant as specified in charter)
303 Broadway, Suite 1100, Cincinnati, Ohio 45202
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(Address of principal executive offices) (Zip code)
Jill T. McGruder, 303 Broadway, Suite 1100, Cincinnati, Ohio 45202
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(Name and address of agent for service)
Registrant's telephone number, including area code: (513) 362-8000
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Date of fiscal year end: 09/30
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Date of reporting period: 3/31/07
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Form N-CSR is to be used by management investment companies to file
reports with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Touchstone Funds Group Trust Semiannual Report
March 31, 2007 (Unaudited)
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SEMI-ANNUAL REPORT
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Clover Core Fixed Income Fund Pitcairn Taxable Bond Fund
Diversified Growth Fund Sands Capital Select Growth Fund
Diversified Small Cap Value Fund Short Duration Fixed Income Fund
Diversified Value Fund Small Cap Fund
Family Heritage(R) Fund Small Cap Value Opportunities Fund
Healthcare and Biotechnology Fund Strategic Value and High Income Fund
HLAM Large Cap Quality Stock Fund Tax-Exempt Bond Fund
International Equity Fund Ultra Short Duration Fixed Income Fund
Mid Cap Fund Value Opportunities Fund
Pitcairn Select Value Fund
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[LOGO] TOUCHSTONE
INVESTMENTS
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TABLE OF CONTENTS
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Page
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Tabular Presentation of Portfolios of Investments 3-6
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Statements of Assets and Liabilities 7-16
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Statements of Operations 17-21
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Statements of Changes in Net Assets 22-32
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Financial Highlights 33-63
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Notes to Financial Statements 64-89
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Portfolios of Investments:
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Clover Core Fixed Income Fund 90-92
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Diversified Growth Fund 93-95
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Diversified Small Cap Value Fund 96-100
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Diversified Value Fund 101-103
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Family Heritage(R) Fund 104-106
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Healthcare and Biotechnology Fund 107-108
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HLAM Large Cap Quality Stock Fund 109-110
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International Equity Fund 111-126
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Mid Cap Fund 127-129
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Pitcairn Select Value Fund 130-131
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Pitcairn Taxable Bond Fund 132-134
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Sands Capital Select Growth Fund 135-136
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Short Duration Fixed Income Fund 137-139
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Small Cap Fund 140-143
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Small Cap Value Opportunities Fund 144-148
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Strategic Value and High Income Fund 149
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Tax-Exempt Bond Fund 150-154
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Ultra Short Duration Fixed Income Fund 155-157
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Value Opportunities Fund 158-160
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Other Items 161-164
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2
TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS
AS OF MARCH 31, 2007 (UNAUDITED)
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The illustrations below provide each Fund's sector allocation, excluding cash
and cash equivalents. We hope it will be useful to shareholders as it summarizes
key information about each Fund's investments.
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CLOVER CORE FIXED INCOME FUND
-----------------------------
CREDIT ANALYSIS (% OF INVESTMENT SECURITIES)
U.S. Treasury 10.5
U.S. Agency 52.1
AAA/Aaa 13.5
AA/Aa 4.5
A/A 3.3
BBB/Baa 12.1
Other 4.0
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TOTAL 100.0
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DIVERSIFIED SMALL CAP VALUE FUND
--------------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 31.0
Consumer Discretionary 17.5
Materials and Processing 12.3
Technology 11.8
Producer Durables 5.7
Utilities 5.4
Autos and Transportation 4.4
Energy 4.3
Health Care 4.0
Consumer Staples 3.6
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TOTAL 100.0
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DIVERSIFIED GROWTH FUND
-----------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Consumer Discretionary 20.2
Technology 19.4
Health Care 16.4
Financial Services 11.8
Producer Durables 11.4
Consumer Staples 8.3
Materials and Processing 3.3
Energy 3.2
Autos and Transportation 2.4
Utilities 1.9
Other 1.7
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TOTAL 100.0
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DIVERSIFIED VALUE FUND
----------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 34.9
Energy 14.3
Utilities 13.1
Consumer Discretionary 8.3
Consumer Staples 8.2
Health Care 6.8
Technology 4.8
Producer Durables 4.3
Materials and Processing 4.1
Autos and Transportation 0.7
Other 0.5
------
TOTAL 100.0
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3
TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS (CONTINUED)
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FAMILY HERITAGE(R) FUND
-----------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 25.4
Consumer Discretionary 16.3
Technology 13.6
Health Care 12.9
Utilities 8.7
Energy 8.3
Producer Durables 4.9
Materials and Processing 4.7
Consumer Staples 3.1
Other 1.2
Autos and Transportation 0.9
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TOTAL 100.0
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HLAM LARGE CAP QUALITY STOCK FUND
---------------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 27.0
Consumer Discretionary 20.1
Health Care 16.6
Producer Durables 12.6
Technology 8.3
Consumer Staples 6.8
Utilities 4.7
Autos and Transportation 3.9
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TOTAL 100.0
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HEALTHCARE AND BIOTECHNOLOGY FUND
---------------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Drugs & Pharmaceuticals 47.0
Medical & Dental Instruments & Supplies 17.0
Biotechnology Research & Production 16.8
Health Care Facilities 9.0
Health Care Management Services 5.2
Electronics:Medical Systems 3.1
Health Care Services 1.9
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TOTAL 100.0
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INTERNATIONAL EQUITY FUND
-------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financials 32.2
Materials 14.6
Consumer Discretionary 14.2
Industrials 6.8
Consumer Staples 6.5
Energy 6.5
Health Care 6.2
Telecommunication Service 5.4
Utilities 4.1
Information Technology 3.5
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TOTAL 100.0
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4
TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS (CONTINUED)
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MID CAP FUND
--------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 22.0
Consumer Discretionary 21.3
Materials and Processing 11.2
Utilities 9.7
Technology 8.5
Health Care 7.2
Producer Durables 6.9
Energy 5.5
Consumer Staples 4.3
Autos and Transportation 3.4
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TOTAL 100.0
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PITCAIRN TAXABLE BOND FUND
--------------------------
CREDIT ANALYSIS (% OF INVESTMENT SECURITIES)
U.S. Treasury 18.0
U.S. Agency 29.1
AAA 8.1
AA 6.3
A 18.2
BBB 18.0
B 2.3
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TOTAL 100.0
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SHORT DURATION FIXED INCOME FUND
--------------------------------
CREDIT ANALYSIS (% OF INVESTMENT SECURITIES)
U.S. Treasury 10.2
U.S. Agency 89.8
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TOTAL 100.0
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PITCAIRN SELECT VALUE FUND
--------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 33.5
Energy 15.2
Utilities 14.3
Consumer Staples 9.3
Health Care 8.3
Consumer Discretionary 8.2
Producer Durables 6.8
Materials and Processing 4.4
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TOTAL 100.0
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SANDS CAPITAL SELECT GROWTH FUND
--------------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Health Care 31.4
Consumer Discretionary 25.7
Technology 15.5
Financial Services 13.3
Energy 4.5
Utilities 4.2
Consumer Staples 3.3
Autos and Transportation 2.1
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TOTAL 100.0
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SMALL CAP FUND
--------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 20.0
Consumer Discretionary 19.9
Technology 13.2
Health Care 11.4
Producer Durables 9.9
Other 5.9
Autos and Transportation 4.4
Energy 4.1
Consumer Staples 3.8
Utilities 3.8
Materials and Processing 3.6
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TOTAL 100.0
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5
TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS
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SMALL CAP VALUE OPPORTUNITIES FUND
----------------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 24.4
Consumer Discretionary 18.8
Materials and Processing 10.9
Energy 10.6
Technology 8.7
Producer Durables 8.0
Autos and Transportation 6.3
Health Care 4.9
Utilities 4.1
Consumer Staples 3.3
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TOTAL 100.0
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TAX-EXEMPT BOND FUND
--------------------
CREDIT ANALYSIS (% OF INVESTMENT SECURITIES)
AAA/Aaa 70.8
AA/Aa 14.7
A/A 11.6
BBB/Baa 2.9
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TOTAL 100.0
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VALUE OPPORTUNITIES FUND
------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Financial Services 32.3
Utilities 16.1
Energy 10.9
Health Care 9.4
Materials and Processing 7.5
Producer Durables 7.3
Consumer Staples 6.3
Consumer Discretionary 6.2
Technology 4.0
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TOTAL 100.0
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STRATEGIC VALUE AND HIGH INCOME FUND
------------------------------------
SECTOR ALLOCATION (% OF INVESTMENT SECURITIES)
Affiliated Equity Fund 58.9
Affiliated Fixed Income Fund 39.7
Other Assets/Liabilities (net) 1.4
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TOTAL 100.0
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ULTRA SHORT DURATION FIXED INCOME FUND
--------------------------------------
CREDIT ANALYSIS (% OF INVESTMENT SECURITIES)
U.S. Treasury 5.2
U.S. Agency 94.8
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TOTAL 100.0
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6
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2007 (UNAUDITED)
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DIVERSIFIED
CLOVER CORE DIVERSIFIED SMALL CAP DIVERSIFIED
FIXED INCOME GROWTH VALUE VALUE
FUND FUND FUND FUND
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ASSETS
Investment securities:
At cost ................................................... $20,597,723 $134,135,132 $230,970,733 $164,289,018
=========================================================
At market value - including $542,117, $22,215,319,
$28,251,074 and $16,890,033 of securities loaned for the
Clover Core Fixed Income Fund, Diversified Growth Fund,
Diversified Small Cap Value Fund and Diversified Value
Fund, respectively ...................................... $20,359,841 $141,451,808 $259,925,713 $187,669,520
Cash ........................................................ 2,588 -- -- --
Dividends and interest receivable ........................... 158,255 119,263 201,568 228,146
Receivable for capital shares sold .......................... 5,457 -- 81,985 39
Receivable for securities sold .............................. 6,234 -- 1,145,137 9,292,975
Receivable for securities lending income .................... 97 3,116 7,031 2,747
Other assets ................................................ 5,209 12,738 37,966 19,129
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TOTAL ASSETS ................................................ 20,537,681 141,586,925 261,399,400 197,212,556
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LIABILITIES
Dividends payable ........................................... 3,264 44,571 -- 537,313
Bank overdrafts ............................................. -- 106,173 -- 18,536
Payable upon return of securities loaned .................... 568,531 22,942,490 29,359,250 18,924,688
Payable for capital shares redeemed ......................... 22,820 -- 387,248 81,236
Payable for securities purchased ............................ -- -- 1,180,522 9,030,315
Payable to Advisor .......................................... 7,686 69,961 158,379 97,066
Payable to other affiliates ................................. 16,982 17,770 185,619 32,876
Payable to Trustees ......................................... -- -- 2,804 984
Other accrued expenses and liabilities ...................... 19 51,416 218,918 64,191
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TOTAL LIABILITIES ........................................... 619,302 23,232,381 31,492,740 28,787,205
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NET ASSETS .................................................. $19,918,379 $118,354,544 $229,906,660 $168,425,351
=========================================================
NET ASSETS CONSIST OF:
Paid-in capital ............................................. $20,423,238 $177,330,704 $177,517,574 $126,604,309
Accumulated net investment income (loss) .................... 326 (7,443) (236,239) (10,302)
Accumulated net realized gains (losses) on investments ...... (267,303) (66,285,393) 23,670,345 18,450,842
Net unrealized appreciation (depreciation) on investments ... (237,882) 7,316,676 28,954,980 23,380,502
---------------------------------------------------------
NET ASSETS .................................................. $19,918,379 $118,354,544 $229,906,660 $168,425,351
=========================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ................... $ -- $118,354,544 $ 97,597 $168,420,080
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ....................... -- 18,232,856 4,929 12,928,726
=========================================================
Net asset value and redemption price per share .............. $ -- $ 6.49 $ 19.80 $ 13.03
=========================================================
Maximum offering price per share ............................ $ -- $ 6.89 $ 21.01 $ 13.82
=========================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ................... $ -- $ -- $ 37,893 $ 5,271
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ....................... -- -- 1,916 404
=========================================================
Net asset value, offering price and redemption price
per share* ................................................ $ -- $ -- $ 19.78 $ 13.05
=========================================================
7
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
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DIVERSIFIED
CLOVER CORE DIVERSIFIED SMALL CAP DIVERSIFIED
FIXED INCOME GROWTH VALUE VALUE
FUND FUND FUND FUND
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PRICING OF CLASS Z SHARES
Net assets attributable to Class Z shares ................... $ -- $ -- $229,771,170 $ --
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ....................... 11,595,417
=========================================================
Net asset value, offering price and redemption price
per share ................................................. $ -- $ -- $ 19.82 $ --
=========================================================
PRICING OF CLASS I SHARES
Net assets attributable to Class I shares ................... $19,918,379 $ -- $ -- $ --
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ....................... 2,080,342 -- -- --
=========================================================
Net asset value, offering price and redemption price
per share ................................................. $ 9.57 $ -- $ -- $ --
=========================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
8
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
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FAMILY HEALTHCARE AND HLAM LARGE
HERITAGE(R) BIOTECHNOLOGY CAP QUALITY INTERNATIONAL
FUND FUND STOCK FUND EQUITY FUND
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ASSETS
Investment securities:
At cost ................................................... $ 77,229,840 $50,748,446 $11,097,132 $126,006,371
===========================================================
At market value - including $13,256,156 and $10,725,851
of securities loaned for the Family Heritage(R) Fund and
Healthcare and Biotechnology Fund, respectively ......... $ 94,018,842 $56,890,076 $12,018,005 $153,026,365
Foreign currency ............................................ -- -- -- 876,146
Dividends and interest receivable ........................... 33,480 57,158 18,857 596,821
Receivable for capital shares sold .......................... -- 13,844 -- 176,946
Receivable for securities sold .............................. -- 604,238 -- 254,099
Receivable for securities lending income .................... 4,062 1,705 266 --
Tax reclaim receivable ...................................... -- -- -- 175,860
Other assets ................................................ 10,837 28,297 3,266 27,784
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TOTAL ASSETS ................................................ 94,067,221 57,595,318 12,040,394 155,134,021
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LIABILITIES
Dividends payable ........................................... 76,458 -- 3,141 --
Payable upon return of securities loaned .................... 13,825,829 11,139,748 -- --
Payable for capital shares redeemed ......................... 2,320 47,539 431,370 20,454
Payable for securities purchased ............................ -- 462,633 -- 142,660
Payable to Advisor .......................................... 58,857 33,868 8,410 121,616
Payable to other affiliates ................................. 26,074 56,510 5,243 14,933
Payable to Trustees ......................................... -- -- -- 670
Other accrued expenses and liabilities ...................... 20,467 5,308 1,557 63,781
-----------------------------------------------------------
TOTAL LIABILITIES ........................................... 14,010,005 11,745,606 449,721 364,114
-----------------------------------------------------------
NET ASSETS .................................................. $ 80,057,216 $45,849,712 $11,590,673 $154,769,907
===========================================================
NET ASSETS CONSIST OF:
Paid-in capital ............................................. $ 73,274,812 $37,549,543 $ 7,488,426 $120,778,749
Accumulated net investment income (loss) .................... (2,688) (175,664) 589 (43,035)
Accumulated net realized gains (losses) on investments
and foreign currency transactions ......................... (10,003,910) 2,334,203 3,180,785 6,988,633
Net unrealized appreciation on investments .................. 16,789,002 6,141,630 920,873 27,019,994
Net unrealized appreciation on foreign currency
and translation of other assets and liabilities
denominated in foreign currency ........................... -- -- -- 25,566
-----------------------------------------------------------
NET ASSETS .................................................. $ 80,057,216 $45,849,712 $11,590,673 $154,769,907
===========================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ................... $ 80,056,202 $45,813,760 $ -- $154,509,478
===========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ....................... 7,375,141 2,851,444 -- 13,903,538
===========================================================
Net asset value and redemption price per share .............. $ 10.85 $ 16.07 $ -- $ 11.11
===========================================================
Maximum offering price per share ............................ $ 11.51 $ 17.05 $ -- $ 11.79
===========================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ................... $ 1,014 $ 35,952 $ -- $ 260,429
===========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ....................... 92 2,243 23,467
===========================================================
Net asset value, offering price and redemption price
per share* ................................................ $ 10.99 $ 16.03 $ -- $ 11.10
===========================================================
9
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
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FAMILY HEALTHCARE AND HLAM LARGE
HERITAGE(R) BIOTECHNOLOGY CAP QUALITY INTERNATIONAL
FUND FUND STOCK FUND EQUITY FUND
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PRICING OF CLASS II SHARES
Net assets attributable to Class II shares ...................... $ -- $ -- $11,590,673 $ --
===========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ........................... -- -- 741,851 --
===========================================================
Net asset value, offering price and redemption price per share .. $ -- $ -- $ 15.62 $ --
===========================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
10
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
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PITCAIRN SANDS CAPITAL
PITCAIRN TAXABLE SELECT
MID CAP SELECT VALUE BOND GROWTH
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities:
At cost ....................................................... $293,236,294 $ 59,440,149 $38,992,985 $ 602,690,385
=========================================================
At market value - including $8,609,088 and $132,179,528 of
securities loaned for the Pitcairn Select Value Fund and
Sands Capital Select Growth Fund, respectively .............. $314,721,261 $ 66,551,817 $39,802,298 $ 669,364,154
Dividends and interest receivable ............................... 261,537 56,966 5,491 75,783
Receivable for capital shares sold .............................. 1,314,809 -- 666,942 742,149
Receivable for securities sold .................................. 13,894,276 10,094,008 -- --
Receivable for securities lending income ........................ -- 1,294 -- 11,472
Other assets .................................................... -- 8,020 6,698 69,134
---------------------------------------------------------
TOTAL ASSETS .................................................... 330,191,883 76,712,105 40,481,429 670,262,692
---------------------------------------------------------
LIABILITIES
Dividends payable ............................................... -- 160,030 127,793 --
Payable upon return of securities loaned ........................ -- 11,083,754 -- 135,586,413
Payable for capital shares redeemed ............................. 89,633 2,391 4,000 1,121,462
Payable for securities purchased ................................ 17,275,227 10,081,799 -- --
Payable to Advisor .............................................. 190,734 32,749 13,871 387,326
Payable to other affiliates ..................................... 25,852 16,745 16,562 272,096
Payable to Trustees ............................................. -- -- -- 7,879
Other accrued expenses and liabilities .......................... 33,931 45,339 31,484 323,598
---------------------------------------------------------
TOTAL LIABILITIES ............................................... 17,615,377 21,422,807 193,710 137,698,774
---------------------------------------------------------
NET ASSETS ...................................................... $312,576,506 $ 55,289,298 $40,287,719 $ 532,563,918
=========================================================
NET ASSETS CONSIST OF:
Paid-in capital ................................................. $291,656,413 $ 45,449,957 $40,217,143 $ 523,811,252
Accumulated net investment income (loss) 37,616 (4,274) (33) (2,547,314)
Accumulated net realized gains (losses) on investments .......... (602,490) 2,731,947 (738,704) (55,373,789)
Net unrealized appreciation on investments ...................... 21,484,967 7,111,668 809,313 66,673,769
---------------------------------------------------------
NET ASSETS ...................................................... $312,576,506 $ 55,289,298 $40,287,719 $ 532,563,918
=========================================================
PRICING OF CLASS Y SHARES
Net assets attributable to Class Y shares ....................... $309,384,891 $ -- $ -- $ 184,236,907
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ........................... 18,073,740 -- -- 22,988,112
=========================================================
Net asset value, offering price and redemption price per share .. $ 17.12 $ -- $ -- $ 8.01
=========================================================
PRICING OF CLASS Z SHARES
Net assets attributable to Class Z shares ....................... $ 3,191,615 $ -- $ -- $ 348,327,011
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ........................... 186,922 -- -- 43,732,559
=========================================================
Net asset value, offering price and redemption price per share .. $ 17.07 $ -- $ -- $ 7.96
=========================================================
11
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
PITCAIRN SANDS CAPITAL
PITCAIRN TAXABLE SELECT
MID CAP SELECT VALUE BOND GROWTH
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------
PRICING OF CLASS II SHARES
Net assets attributable to Class II shares ...................... $ -- $ 55,289,298 $40,287,719 $ --
=========================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ........................... -- 4,994,146 3,876,762 --
=========================================================
Net asset value, offering price and redemption price per share .. $ -- $ 11.07 $ 10.39 $ --
=========================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
12
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------------------
SHORT DURATION SMALL CAP STRATEGIC
FIXED SMALL VALUE VALUE AND HIGH
INCOME CAP OPPORTUNITIES INCOME
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost ..................................................... $ 67,021,512 $ 79,875,393 $ 221,032,762 $ 1,882,407
===============================================================
At market value - including $7,890,968 and $14,520,226 of
securities loaned for the Small Cap Fund and Small Cap
Value Opportunities Fund, respectively ...................... $ 66,276,569 $ 87,384,761 $ 239,913,198 $ 1,892,844
Cash .......................................................... 8,456 -- -- --
Dividends and interest receivable ............................. 321,612 127,487 194,824 4,905
Receivable for capital shares sold ............................ -- 2,661 235,938 --
Receivable for securities sold ................................ -- 1,463,250 1,747,585 --
Receivable for securities lending income ...................... -- 1,250 1,991 --
Other assets .................................................. 15,919 21,369 41,792 30,227
---------------------------------------------------------------
TOTAL ASSETS .................................................. 66,622,556 89,000,778 242,135,328 1,927,976
---------------------------------------------------------------
LIABILITIES
Dividends payable ............................................. 4,787 -- -- 832
Bank overdrafts ............................................... -- -- -- 5,851
Payable upon return of securities loaned ...................... -- 8,169,037 15,028,768 --
Payable for capital shares redeemed ........................... 208,902 52,977 632,107 700
Payable for securities purchased .............................. -- 1,205,580 1,767,754 --
Payable to Advisor ............................................ 14,260 44,969 180,595 --
Payable to other affiliates ................................... 83,158 18,789 58,172 --
Payable to Trustees ........................................... -- -- 2,714 --
Other accrued expenses and liabilities ........................ 22,861 40,837 151,437 253
---------------------------------------------------------------
TOTAL LIABILITIES ............................................. 333,968 9,532,189 17,821,547 7,636
---------------------------------------------------------------
NET ASSETS .................................................... $ 66,288,588 $ 79,468,589 $ 224,313,781 $ 1,920,340
===============================================================
NET ASSETS CONSIST OF:
Paid-in capital ............................................... $ 71,169,158 $ 65,026,013 $ 203,096,957 $ 1,659,422
Accumulated net investment income (loss) ...................... 27,659 42,425 (433,426) 243
Accumulated net realized gains (losses) on investments ........ (4,163,286) 6,890,783 2,769,814 250,238
Net unrealized appreciation (depreciation) on investments ..... (744,943) 7,509,368 18,880,436 10,437
---------------------------------------------------------------
NET ASSETS .................................................... $ 66,288,588 $ 79,468,589 $ 224,313,781 $ 1,920,340
===============================================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ..................... $ -- $ 79,467,573 $ -- $ 42,440
===============================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ......................... -- 5,375,367 -- 2,760
===============================================================
Net asset value and redemption price per share ................ $ -- $ 14.78 $ -- $ 15.38
===============================================================
Maximum offering price per share .............................. $ -- $ 15.68 $ -- $ 16.32
===============================================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ..................... $ -- $ 1,016 $ -- $ 1,018
===============================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ......................... 69 66
===============================================================
Net asset value, offering price and redemption price per share* $ -- $ 14.76 $ -- $ 15.35
===============================================================
13
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------------
SHORT DURATION SMALL CAP STRATEGIC
FIXED SMALL VALUE VALUE AND HIGH
INCOME CAP OPPORTUNITIES INCOME
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
PRICING OF CLASS Y SHARES
Net assets attributable to Class Y shares ....................... $ -- $ -- $ -- $ 1,876,882
===============================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ........................... 122,549
===============================================================
Net asset value, offering price and redemption price per share .. $ -- $ -- $ -- $ 15.32
===============================================================
PRICING OF CLASS Z SHARES
Net assets attributable to Class Z shares ....................... $ 66,288,588 $ -- $ 224,313,781 $ --
===============================================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ........................... 6,753,017 -- 11,124,757 --
===============================================================
Net asset value, offering price and redemption price per share .. $ 9.82 $ -- $ 20.16 $ --
===============================================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
14
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
TAX-EXEMPT DURATION VALUE
BOND FIXED INCOME OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At cost ........................................................ $111,551,979 $ 154,600,356 $ 100,828,266
=============================================
At market value - including $15,630,860 of securities loaned
for the Value Opportunities Fund ............................. $115,599,487 $ 155,732,579 $ 113,269,824
Cash ............................................................. 12,017 22,708 --
Dividends and interest receivable ................................ 1,662,642 579,849 151,510
Receivable for capital shares sold ............................... -- 1,473 17,505
Receivable for securities sold ................................... -- 804 763,557
Receivable for securities lending income ......................... -- -- 2,062
Other assets ..................................................... 15,442 18,033 35,181
---------------------------------------------
TOTAL ASSETS ..................................................... 117,289,588 156,355,446 114,239,639
---------------------------------------------
LIABILITIES
Dividends payable ................................................ 379,330 27,847 11,840
Payable upon return of securities loaned ......................... -- -- 16,390,000
Payable for capital shares redeemed .............................. 22,524 322,644 57,383
Payable for securities purchased ................................. -- -- 1,223,074
Payable to Advisor ............................................... 29,989 33,480 58,079
Payable to other affiliates ...................................... 17,385 164,849 42,343
Payable to Trustees .............................................. 48 1,293 --
Other accrued expenses and liabilities ........................... 58,271 50,372 49,155
---------------------------------------------
TOTAL LIABILITIES ................................................ 507,547 600,485 17,831,874
---------------------------------------------
NET ASSETS ....................................................... $116,782,041 $ 155,754,961 $ 96,407,765
=============================================
NET ASSETS CONSIST OF:
Paid-in capital .................................................. $112,185,795 $ 161,880,459 $ 79,564,590
Accumulated net investment income (loss) ......................... 226,228 63,345 (5,225)
Accumulated net realized gains (losses) on investments ........... 322,510 (7,321,066) 4,406,842
Net unrealized appreciation on investments ....................... 4,047,508 1,132,223 12,441,558
---------------------------------------------
NET ASSETS ....................................................... $116,782,041 $ 155,754,961 $ 96,407,765
=============================================
PRICING OF CLASS A SHARES
Net assets attributable to Class A shares ........................ $116,782,041 $ -- $ 114,696
=============================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ............................ 11,260,171 -- 6,851
=============================================
Net asset value and redemption price per share ................... $ 10.37 $ -- $ 16.74
=============================================
Maximum offering price per share ................................. $ 10.89 $ -- $ 17.76
=============================================
PRICING OF CLASS C SHARES
Net assets attributable to Class C shares ........................ $ -- $ -- $ 170,752
=============================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value) ............................ -- -- 10,203
=============================================
Net asset value, offering price and redemption price per share* .. $ -- $ -- $ 16.74
=============================================
15
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
TAX-EXEMPT DURATION VALUE
BOND FIXED INCOME OPPORTUNITIES
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
PRICING OF CLASS Z SHARES
Net assets attributable to Class Z shares............................. $ -- $ 155,754,961 $ 96,122,317
=============================================
Shares of beneficial interest outstanding (unlimited number
of shares authorized, no par value)................................. -- 15,406,344 5,753,995
=============================================
Net asset value, offering price and redemption price per share........ $ -- $ 10.11 $ 16.71
=============================================
* Redemption price per share varies by length of time shares are held.
See accompanying notes to financial statements.
16
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2007 (UNAUDITED)
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED
CLOVER CORE DIVERSIFIED SMALL CAP DIVERSIFIED
FIXED INCOME GROWTH VALUE VALUE
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (A) .......................................... $ 5,753 $ 749,842 $ 1,495,305 $ 2,108,351
Income from securities loaned .......................... 882 16,863 29,979 23,237
Interest ............................................... 576,760 -- -- --
----------------------------------------------------------
TOTAL INVESTMENT INCOME ................................ 583,395 766,705 1,525,284 2,131,588
----------------------------------------------------------
EXPENSES
Investment advisory fees ............................... 47,642 421,277 1,060,432 596,482
Distribution expenses, Class A ......................... -- 108,294 1,838 154,244
Distribution expenses, Class C ......................... -- -- 5,495 7
Shareholder servicing fees ............................. -- 42,162 95,672 59,979
Administration fees .................................... 17,106 99,209 201,390 140,443
Registration fees ...................................... 2,495 11,290 30,353 15,971
Custodian fees ......................................... 2,622 6,002 54,766 8,430
Professional fees ...................................... 4,146 15,395 27,402 19,740
Transfer agent fees, Class A ........................... -- 6,575 54 10,107
Transfer agent fees, Class C ........................... -- -- 21 --
Transfer agent fees, Class Z ........................... -- -- 176,839 --
Transfer agent fees, Class I ........................... 11,171 -- -- --
Transfer agent fees and expenses, Class A .............. -- 8,734 -- 13,197
Transfer agent fees and expenses, Class Z .............. -- -- 84,211 --
Transfer agent fees and expenses, Class I .............. 9,488 -- -- --
Reports to shareholders ................................ 1,850 9,753 21,938 14,240
Trustees' fees and expenses ............................ 487 2,204 5,015 3,191
Other expenses ......................................... 1,859 8,753 62,100 12,599
----------------------------------------------------------
TOTAL EXPENSES ......................................... 98,866 739,648 1,827,526 1,048,630
Fees waived/and or expenses reimbursed by the Advisor .. (4,444) (79,713) (61,672) (111,233)
Fees paid indirectly ................................... (372) (33) (4,331) (84)
----------------------------------------------------------
NET EXPENSES ........................................... 94,050 659,902 1,761,523 937,313
----------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ........................... 489,345 106,803 (236,239) 1,194,275
----------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security transactions . (32,426) 1,277 26,186,327 19,849,250
Net change in unrealized appreciation/
depreciation on investments .......................... 12,998 7,436,493 33,415 (8,435,751)
----------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS ....................................... (19,428) 7,437,770 26,219,742 11,413,499
----------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ............. $ 469,917 $ 7,544,573 $ 25,983,503 $ 12,607,774
==========================================================
(A) Net of foreign tax withholding of: ................. $ -- $ -- $ 339 $ --
See accompanying notes to financial statements.
17
STATEMENTS OF OPERATIONS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------
FAMILY HEALTHCARE AND HLAM LARGE INTERNATIONAL
HERITAGE(R) BIOTECHNOLOGY CAP QUALITY EQUITY
FUND FUND STOCK FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends(A) ............................................ $1,664,361 $ 252,116 $ 124,047 $ 1,370,251
Income from securities loaned ........................... 20,362 19,655 1,696 --
---------------------------------------------------------
TOTAL INVESTMENT INCOME ................................. 1,684,723 271,771 125,743 1,370,251
---------------------------------------------------------
EXPENSES
Investment advisory fees ................................ 367,579 250,660 53,121 735,373
Distribution expenses, Class A .......................... 73,989 44,015 -- 140,374
Distribution expenses, Class C .......................... 1,738 1,061 -- 65
Shareholder servicing fees .............................. 28,689 62,665 15,459 54,197
Transfer agent fees and expenses, Class A ............... 10,661 27,932 -- 10,162
Transfer agent fees and expenses, Class II .............. -- -- 9,839 --
Transfer agent fees, Class A ............................ 10,467 29,517 -- 6,782
Transfer agent fees, Class C ............................ -- 23 -- 11
Transfer agent fees, Class II ........................... -- -- 5,970 --
Administration fees ..................................... 67,304 40,393 11,654 124,840
Registration fees ....................................... 8,050 6,100 1,511 13,116
Custodian fees .......................................... 4,526 6,199 3,493 154,892
Professional fees ....................................... 12,199 10,077 6,512 18,425
Reports to shareholders ................................. 6,700 4,798 2,061 12,730
Trustees' fees and expenses ............................. 1,553 1,152 304 2,875
Other expenses .......................................... 6,184 4,625 3,259 20,405
---------------------------------------------------------
TOTAL EXPENSES .......................................... 599,639 489,217 113,183 1,294,247
Fees waived/and or expenses reimbursed by the Advisor ... (68,766) (40,350) (23,033) (171,798)
Fees paid indirectly .................................... (47) (1,432) (1,713) (73)
---------------------------------------------------------
NET EXPENSES ............................................ 530,826 447,435 88,437 1,122,376
---------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ............................ 1,153,897 (175,664) 37,306 247,875
---------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains from security transactions ........... 1,236,138 3,084,203 3,192,131 7,959,144
Net realized gains from foreign currency ................ -- -- -- 338,063
Net change in unrealized appreciation/
depreciation on investments ........................... 3,531,063 (604,764) (2,627,162) 14,226,208
Net change in unrealized appreciation/depreciation
on foreign currency ................................... -- -- -- (29,026)
---------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS ........ 4,767,201 2,479,439 564,969 22,494,389
---------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .............. $5,921,098 $2,303,775 $ 602,275 $22,742,264
=========================================================
(A) Net of foreign tax withholding of: .................. $ -- $ 4,807 $ 198 $ 184,543
See accompanying notes to financial statements.
18
STATEMENTS OF OPERATIONS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------
PITCAIRN SANDS CAPITAL
PITCAIRN TAXABLE SELECT
MID CAP SELECT VALUE BOND GROWTH
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends(A) ............................................ $ 2,375,809 $ 686,952 $ 30,605 $ 908,113
Income from securities loaned ........................... -- 10,198 756 76,582
Interest ................................................ -- -- 1,121,763 --
-----------------------------------------------------------
TOTAL INVESTMENT INCOME ................................. 2,375,809 697,150 1,153,124 984,695
-----------------------------------------------------------
EXPENSES
Investment advisory fees ................................ 790,380 201,753 83,038 2,366,432
Shareholder servicing fees .............................. 2,683 72,055 51,899 493,871
Transfer agent fees and expenses, Class Y ............... 13,161 -- -- 7,906
Transfer agent fees and expenses, Class Z ............... 212 -- -- 14,755
Transfer agent fees and expenses, Class II .............. -- 5,891 7,873 --
Transfer agent fees, Class Y ............................ 12,213 -- -- 91,620
Transfer agent fees, Class Z ............................ 126 -- -- 173,232
Transfer agent fees, Class II ........................... -- 7,645 5,462 --
Administration fees .................................... 169,644 47,401 34,197 458,131
Custodian fees .......................................... 50,625 7,031 3,383 61,613
Professional fees ....................................... 15,669 10,403 5,943 54,151
Reports to shareholders ................................. 11,414 5,044 3,717 45,210
Trustees' fees and expenses ............................. 2,101 1,186 889 10,107
Registration fees ....................................... 296 6,012 4,495 37,147
Other expenses .......................................... 15,777 4,567 3,432 37,555
-----------------------------------------------------------
TOTAL EXPENSES .......................................... 1,084,301 368,988 204,328 3,851,730
Fees waived/and or expenses reimbursed by the Advisor ... (187,622) (39,726) (19,034) (317,341)
Fees paid indirectly .................................... (185) (33) (23) (2,380)
-----------------------------------------------------------
NET EXPENSES ............................................ 896,494 329,229 185,271 3,532,009
-----------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ............................ 1,479,315 367,921 967,853 (2,547,314)
-----------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security transactions .. (267,612) 2,971,167 248,704 (18,688,759)
Net change in unrealized appreciation/
depreciation on investments ........................... 20,461,948 1,163,352 824 50,416,345
-----------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS ........ 20,194,336 4,134,519 249,528 31,727,586
-----------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .............. $ 21,673,651 $ 4,502,440 $ 1,217,381 $ 29,180,272
===========================================================
(A) Net of foreign tax withholding of: .................. $ 1,391 $ -- $ -- $ 18,752
See accompanying notes to financial statements.
19
STATEMENTS OF OPERATIONS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------
SHORT STRATEGIC
DURATION SMALL CAP VALUE
FIXED SMALL VALUE AND HIGH
INCOME CAP OPPORTUNITIES INCOME
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends from affiliated securities ...................... $ -- $ -- $ -- $ 23,912
Dividends from non-affiliated securities(A) ............... -- 481,854 1,464,051 --
Income from securities loaned ............................. 643 14,748 7,201 --
Interest .................................................. 1,849,558 -- -- --
----------------------------------------------------
TOTAL INVESTMENT INCOME ................................... 1,850,201 496,602 1,471,252 23,912
----------------------------------------------------
EXPENSES
Investment advisory fees .................................. 87,902 288,765 1,154,768 2,370
Distribution expenses, Class A ............................ -- 73,863 -- 32
Distribution expenses, Class C ............................ -- 1,832 -- 52
Shareholder servicing fees ................................ 27,283 29,872 303,886 --
Administration fees ....................................... 56,827 67,847 197,016 1,556
Custodian fees ............................................ 8,275 10,865 40,991 430
Professional fees ......................................... 11,851 12,455 27,337 2,570
Transfer agent fees, Class A .............................. -- 10,423 -- 118
Transfer agent fees, Class C .............................. -- -- -- 3
Transfer agent fees, Class Y .............................. -- -- -- 5,232
Transfer agent fees, Class Z .............................. 57,243 -- 166,083 --
Transfer agent fees and expenses, Class A ................. -- 9,564 -- --
Transfer agent fees and expenses, Class Y ................. -- -- -- 6,366
Transfer agent fees and expenses, Class Z ................. 26,629 -- 29,566 --
Reports to shareholders ................................... 6,611 7,663 21,891 1,415
Trustees' fees and expenses ............................... 1,538 1,603 4,924 122
Registration fees ......................................... 9,902 8,770 14,693 130
Other expenses ............................................ 6,464 6,305 17,691 1,005
----------------------------------------------------
TOTAL EXPENSES ............................................ 300,525 529,827 1,978,846 21,401
Fees waived/and or expenses reimbursed by the Advisor ..... (36,999) (75,557) (66,752) (18,392)
Fees paid indirectly ...................................... (344) (93) (7,416) (179)
----------------------------------------------------
NET EXPENSES .............................................. 263,182 454,177 1,904,678 2,830
----------------------------------------------------
NET INVESTMENT INCOME (LOSS) .............................. 1,587,019 42,425 (433,426) 21,082
----------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains (losses) from security transactions .... (198,271) 10,045,661 3,137,953 255,187
Net change in unrealized appreciation/
depreciation on investments ............................. 550,807 (1,649,863) 19,223,463 (112,668)
----------------------------------------------------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS .......... 352,536 8,395,798 22,361,416 142,519
----------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................ $1,939,555 $ 8,438,223 $21,927,990 $ 163,601
====================================================
(A) Net of foreign tax withholding of: .................... $ -- $ -- $ 608 $ --
See accompanying notes to financial statements.
20
STATEMENTS OF OPERATIONS (CONTINUED)
- ------------------------------------------------------------------------------------------------------
ULTRA SHORT
TAX-EXEMPT DURATION VALUE
BOND FIXED INCOME OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends ............................................... $ -- $ 3,993 $ 1,133,485
Income from securities loaned ........................... -- 244 11,783
Interest ................................................ 2,619,104 4,809,502 --
------------------------------------------
TOTAL INVESTMENT INCOME ................................. 2,619,104 4,813,739 1,145,268
------------------------------------------
EXPENSES
Investment advisory fees ................................ 175,698 204,742 372,873
Distribution expenses, Class A .......................... 106,328 -- 767
Distribution expenses, Class C .......................... -- -- 2,252
Shareholder servicing fees .............................. 40,888 63,988 40,459
Transfer agent fees and expenses, Class A ............... 9,663 -- --
Transfer agent fees and expenses, Class Z ............... -- 48,495 17,803
Transfer agent fees, Class A ............................ 6,429 -- 34
Transfer agent fees, Class C ............................ -- -- 51
Transfer agent fees, Class Z ............................ -- 104,413 28,728
Administration fees ..................................... 96,665 119,041 81,752
Custodian fees .......................................... 10,954 13,863 5,929
Professional fees ....................................... 15,409 16,985 10,325
Reports to shareholders ................................. 9,889 15,147 8,482
Trustees' fees and expenses ............................. 2,251 3,499 1,941
Registration fees ....................................... 11,015 23,521 11,501
Other expenses .......................................... 8,931 12,861 7,790
------------------------------------------
TOTAL EXPENSES .......................................... 494,120 626,555 590,687
Fees waived/and or expenses reimbursed by the Advisor ... (82,072) (65,940) (16,877)
Fees paid indirectly .................................... (50) (1,211) (2,029)
------------------------------------------
NET EXPENSES ............................................ 411,998 559,404 571,781
------------------------------------------
NET INVESTMENT INCOME ................................... 2,207,106 4,254,335 573,487
------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains from security transactions ........... 322,512 131,842 5,509,136
Net change in unrealized appreciation/
depreciation on investments ........................... (773,168) 667,565 1,752,825
------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (450,656) 799,407 7,261,961
------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .............. $ 1,756,450 $ 5,053,742 $ 7,835,448
==========================================
See accompanying notes to financial statements.
21
STATEMENTS OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------
CLOVER CORE
FIXED INCOME DIVERSIFIED
FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED) 2006
- ---------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income $ 489,345 $ 1,033,314 $ 106,803 $ 114,799
Net realized gains (losses)
from security transactions (32,426) (217,802) 1,277 6,209,237
Net change in unrealized
appreciation/depreciation on investments 12,998 (174,709) 7,436,493 (323,638)
------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS 469,917 640,803 7,544,573 6,000,398
------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, Class A -- -- (110,282) (121,417)
From net investment income, Class I (488,753) (1,047,680) -- --
From net realized gains, Class I -- (608,327) -- --
------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS (488,753) (1,656,007) (110,282) (121,417)
------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold -- -- 381,638 7,078,282
Reinvested distributions -- -- 7,296 7,657
Payments for shares redeemed -- -- (6,967,021)
------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS -- -- (6,578,087) (4,940,875)
------------------------------------------------------------
CLASS I
Proceeds from shares sold 1,895,866 4,777,848 -- --
Reinvested distributions 469,870 1,601,713 -- --
Payments for shares redeemed (4,117,810) (9,841,174) -- --
------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS I SHARE TRANSACTIONS (1,752,074) (3,461,613) -- --
------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (1,770,910) (4,476,817) 856,204 938,106
NET ASSETS
Beginning of period 21,689,289 26,166,106 117,498,340 116,560,234
------------------------------------------------------------
End of period $19,918,379 $ 21,689,289 $118,354,544 $ 117,498,340
============================================================
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 326 $ -- $ (7,443) $ --
============================================================
See accompanying notes to financial statements.
22
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
DIVERSIFED
SMALL CAP DIVERSIFIED
VALUE FUND VALUE FUND
- --------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED)(A) 2006 (UNAUDITED)(B) 2006
- --------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ................................ $ (236,239) $ (1,220,521) $ 1,194,275 $ 2,212,710
Net realized gains from security transactions ............... 26,186,327 74,451,036 19,849,250 5,167,491
Net change in unrealized appreciation/depreciation on
investments ............................................... 33,415 (44,693,056) (8,435,751) 9,322,847
----------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................. 25,983,503 28,537,459 12,607,774 16,703,048
----------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ......................... -- -- (1,199,194) (2,246,752)
From net investment income, Class C ......................... -- -- (15) --
From net realized gains, Class A ............................ (3,401) -- (6,460,247) (13,479,191)
From net realized gains, Class C ............................ (4,650) -- (38) --
From net realized gains, Class Z ............................ (74,856,107) (60,867,084) -- --
----------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ... (74,864,158) (60,867,084) (7,659,494) (15,725,943)
----------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ................................... 106,103 -- 1,284,302 7,837,850
Reinvested distributions .................................... 3,401 -- 1,993,732 4,209,554
Payments for shares redeemed ................................ (9,595) -- (7,402,849) (13,970,168)
----------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS ................................ 99,909 -- (4,124,815) (1,922,764)
----------------------------------------------------------------
CLASS C
Proceeds from shares sold ................................... 37,000 -- 5,260 --
Reinvested distributions .................................... 4,650 -- 53 --
----------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS ................................ 41,650 -- 5,313 --
----------------------------------------------------------------
CLASS Z
Proceeds from shares sold ................................... 12,103,030 37,823,898 -- --
Reinvested distributions .................................... 71,871,313 59,757,740 -- --
Payments for shares redeemed ................................ (64,607,207) (255,984,525) -- --
----------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS Z SHARE TRANSACTIONS ................................ 19,367,136 (158,402,887) -- --
----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ..................... (29,371,960) (190,732,152) 828,778 (945,659)
Net Assets
Beginning of period ......................................... 259,278,620 450,011,132 167,596,573 168,542,232
----------------------------------------------------------------
End of period ............................................... $ 229,906,660 $ 259,278,620 $ 168,425,351 $ 167,596,573
================================================================
ACCUMULATED NET INVESTMENT LOSS ............................. $ (236,239) $ -- $ (10,302) $ --
================================================================
(A) Classes A and C represent the period from commencement of operations
(November 20, 2006) through March 31, 2007.
(B) Class C represents the period from commencement of operations (November 20,
2006) through March 31, 2007.
See accompanying notes to financial statements.
23
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------------
FAMILY HEALTHCARE AND
HERITAGE(R) FUND BIOTECHNOLOGY FUND
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED)(A) 2006 (UNAUDITED)(A) 2006
- -------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ................................ $ 1,153,897 $ 198,532 $ (175,664) $ (626,652)
Net realized gains from security transactions ............... 1,236,138 3,637,615 3,084,203 1,219,117
Net change in unrealized appreciation/depreciation
on investments ............................................ 3,531,063 (1,310,466) (604,764) (456,843)
---------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................. 5,921,098 2,525,681 2,303,775 135,622
---------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ......................... (1,156,585) (202,429) -- --
In excess of net investment income, Class A ................. -- (24,705) -- --
From net realized gains, Class A ............................ -- -- (1,868,667) (1,786,077)
From net realized gains, Class C ............................ -- -- (37) --
---------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ... (1,156,585) (227,134) (1,868,704) (1,786,077)
---------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ................................... 293,221 2,147,532 3,188,234 25,828,040
Reinvested distributions .................................... 147,757 28,791 1,828,887 1,767,486
Payments for shares redeemed ................................ (5,530,249) (8,542,152) (14,758,799) (30,566,992)
---------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS ................................ (5,089,271) (6,365,829) (9,741,678) (2,971,466)
---------------------------------------------------------------
CLASS C
Proceeds from shares sold ................................... 1,000 -- 36,000 --
Reinvested distributions .................................... -- -- 37 --
---------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS ................................ 1,000 -- 36,037 --
---------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS ................................ (323,758) (4,067,282) (9,270,570) (4,621,921)
NET ASSETS
Beginning of period ......................................... 80,380,974 84,448,256 55,120,282 59,742,203
---------------------------------------------------------------
End of period ............................................... $ 80,057,216 $ 80,380,974 $ 45,849,712 $ 55,120,282
===============================================================
ACCUMULATED NET INVESTMENT LOSS ............................. $ (2,688) $ -- $ (175,664) $ --
===============================================================
(A) Class C represents the period from commencement of operations (November
20, 2006) through March 31, 2007.
See accompanying notes to financial statements.
24
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
HLAM LARGE
CAP QUALITY INTERNATIONAL
STOCK FUND EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED)(A) 2006
- -----------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ....................................... $ 37,306 $ 34,294 $ 247,875 $ 1,529,624
Net realized gains from security transactions ............... 3,192,131 1,766,260 7,959,144 31,702,789
Net realized gains from foreign currency transactions ....... -- -- 338,063 30,160
Net change in unrealized appreciation/depreciation on
investments ............................................... (2,627,162) (213,314) 14,226,208 (11,427,749)
Net change in unrealized appreciation/depreciation
from foreign currency transactions ........................ -- -- (29,026) 57,041
-------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................. 602,275 1,587,240 22,742,264 21,891,865
-------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ......................... -- -- (1,945,480) (1,747,820)
From net investment income, Class C ......................... -- -- (204) --
From net investment income, Class II ........................ (36,717) (34,793) -- --
From net realized gains, Class A ............................ -- -- (6,592,570) --
From net realized gains, Class C ............................ -- -- (703) --
From net realized gains, Class II ........................... (1,611,938) (3,852,621) -- --
-------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ... (1,648,655) (3,887,414) (8,538,957) (1,747,820)
-------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ................................... -- -- 3,266,363 14,416,258
Reinvested distributions .................................... -- -- 2,039,158 168,196
Payments for shares redeemed ................................ -- -- (16,333,481)
NET INCREASE (DECREASE) IN NET ASSETS FROM
-------------------------------------------------------------
CLASS A SHARE TRANSACTIONs .................................. -- -- (11,027,960) 3,263,075
-------------------------------------------------------------
CLASS C
Proceeds from shares sold ................................... -- -- 262,035 --
Reinvested distributions .................................... -- -- 907 --
Payments for shares redeemed ................................ -- -- (4,445) --
NET INCREASE IN NET ASSETS FROM
-------------------------------------------------------------
CLASS C SHARE TRANSACTIONS .................................. -- -- 258,497 --
-------------------------------------------------------------
CLASS II
Proceeds from shares sold ................................... 2,531,508 424,585 -- --
Reinvested distributions .................................... 1,343,944 3,746,212 -- --
Payments for shares redeemed ................................ (3,541,969) (5,706,723) -- --
-------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS II SHARE TRANSACTIONS ................................. 333,483 (1,535,926) -- --
-------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ..................... (712,897) (3,836,100) 3,433,844 23,407,120
NET ASSETS
Beginning of period ......................................... 12,303,570 16,139,670 151,336,063 127,928,943
-------------------------------------------------------------
End of period ............................................... $ 11,590,673 $ 12,303,570 $ 154,769,907 $ 151,336,063
=============================================================
ACCUMULATED NET INVESTMENT INCOME (LOSS) .................... $ 589 $ -- $ (43,035) $ --
=============================================================
(A) Class C represents the period from commencement of operations (November 20,
2006) through March 31, 2007.
See accompanying notes to financial statements.
25
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------
PITCAIRN
MID CAP FUND SELECT VALUE FUND
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED) 2006
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ....................................... $ 1,479,315 $ 72,092 $ 367,921 $ 796,845
Net realized gains (losses) from security transactions ...... (267,612) (334,728) 2,971,167 5,306,396
Net change in unrealized appreciation/depreciation
on investments ............................................ 20,461,948 906,899 1,163,352 (489,282)
----------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................. 21,673,651 644,263 4,502,440 5,613,959
----------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class Y ......................... (1,499,729) (1,586) -- --
From net investment income, Class Z ......................... (12,723) -- -- --
From net investment income, Class II ........................ -- -- (369,630) (814,340)
From net realized gains, Class Z ............................ -- (61,105) --
From net realized gains, Class II ........................... -- -- (5,522,872) (6,049,387)
----------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ... (1,512,452) (62,691) (5,892,502) (6,863,727)
----------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS Y
Proceeds from shares sold ................................... 215,187,845 86,237,355 -- --
Reinvested distributions .................................... 84,244 62,687 -- --
Payments for shares redeemed ................................ (12,878,089) (689,660) -- --
----------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS Y SHARE TRANSACTIONS ................................ 202,394,000 85,610,382 -- --
----------------------------------------------------------
CLASS Z (A)
Proceeds from shares sold ................................... 3,175,348 348,562 -- --
Reinvested distributions .................................... 1,881 -- -- --
Payments for shares redeemed ................................ (538,054) -- -- --
----------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS Z SHARE TRANSACTIONS ................................ 2,639,175 348,562 -- --
----------------------------------------------------------
CLASS II
Proceeds from shares sold ................................... -- -- 127,698 3,178,558
Reinvested distributions .................................... -- -- 1,891,342 2,179,825
Payments for shares redeemed ................................ -- -- (5,260,606) (9,587,566)
----------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS II SHARE TRANSACTIONS ............................... -- -- (3,241,566) (4,229,183)
----------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ..................... 225,194,374 86,540,516 (4,631,628) (5,478,951)
NET ASSETS
Beginning of period ......................................... 87,382,132 841,616 59,920,926 65,399,877
----------------------------------------------------------
End of period ............................................... $312,576,506 $ 87,382,132 $55,289,298 $ 59,920,926
==========================================================
ACCUMULATED NET INVESTMENT INCOME (LOSS) .................... $ 37,616 $ -- $ (4,274) $ --
==========================================================
(A) Class Z shares commenced operations on April 24, 2006.
See accompanying notes to financial statements.
26
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------
PITCAIRN SANDS CAPITAL
TAXABLE BOND FUND SELECT GROWTH FUND
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED) 2006
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ............................ $ 967,853 $ 2,108,755 $ (2,547,314) $ (3,883,664)
Net realized gains (losses) from security transactions .. 248,704 (356,274) (18,688,759) (6,346,760)
Net change in unrealized appreciation/depreciation on
investments ........................................... 824 (516,570) 50,416,345 (17,798,702)
--------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ... 1,217,381 1,235,911 29,180,272 (28,029,126)
--------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class II .................... (967,990) (2,110,784) -- --
--------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS Y
Proceeds from shares sold ............................... -- -- 46,649,598 148,235,482
Payments for shares redeemed ............................ -- -- (53,991,994) (36,499,523)
--------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS Y SHARE TRANSACTIONS ............................ -- -- (7,342,396) 111,735,959
--------------------------------------------------------------
CLASS Z
Proceeds from shares sold ............................... -- -- 54,226,978 284,523,520
Payments for shares redeemed ............................ -- -- (90,892,521) (65,813,872)
--------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS Z SHARE TRANSACTIONS ............................ -- -- (36,665,543) 218,709,648
--------------------------------------------------------------
CLASS II
Proceeds from shares sold ............................... 1,475,482 4,636,284 -- --
Reinvested distributions ................................ 211,908 497,557 -- --
Payments for shares redeemed ............................ (5,830,437) (8,046,185) -- --
--------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS II SHARE TRANSACTIONS ........................... (4,143,047) (2,912,344) -- --
--------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................. (3,893,656) (3,787,217) (14,827,667) 302,416,481
NET ASSETS
Beginning of period ..................................... 44,181,375 47,968,592 547,391,585 244,975,104
--------------------------------------------------------------
End of period ........................................... $ 40,287,719 $ 44,181,375 $ 532,563,918 $ 547,391,585
==============================================================
ACCUMULATED NET INVESTMENT LOSS ......................... $ (33) $ -- $ (2,547,314) $ --
==============================================================
See accompanying notes to financial statements.
27
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------------------
SHORT DURATION
FIXED INCOME FUND SMALL CAP FUND
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED)(A) 2006
- ---------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) .................................... $ 1,587,019 $ 3,665,400 $ 42,425 $ (138,000)
Net realized gains (losses) from security transactions .......... (198,271) (583,772) 10,045,661 7,012,032
Net change in unrealized appreciation/depreciation
on investments ................................................ 550,807 (409,885) (1,649,863) (1,834,993)
-------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...................... 1,939,555 2,671,743 8,438,223 5,039,039
-------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ............................. (1,559,283) (3,966,690) -- --
From net realized gains, Class A ................................ -- -- (10,130,964) (12,655,814)
From net realized gains, Class C ................................ -- (116)
-------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ....... (1,559,283) (3,966,690) (10,131,080) (12,655,814)
-------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ....................................... -- -- 492,738 3,652,966
Reinvested distributions ........................................ -- -- 3,273,099 4,109,146
Payments for shares redeemed .................................... -- -- (5,502,702) (13,187,462)
-------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS .................................... -- -- (1,736,865) (5,425,350)
-------------------------------------------------------------
CLASS C
Proceeds from shares sold ....................................... -- -- 1,000 --
Reinvested distributions ........................................ -- -- 116 --
-------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS .................................... -- -- 1,116 --
-------------------------------------------------------------
CLASS Z
Proceeds from shares sold ....................................... 1,646,789 2,811,911 -- --
Reinvested distributions ........................................ 1,539,713 3,910,664 -- --
Payments for shares redeemed .................................... (13,367,908) (42,170,628) -- --
-------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS Z SHARE TRANSACTIONS .................................... (10,181,406) (35,448,053) -- --
-------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS .................................... (9,801,134) (36,743,000) (3,428,606) (13,042,125)
-------------------------------------------------------------
NET ASSETS
Beginning of period ............................................. 76,089,722 112,832,722 82,897,195 95,939,320
-------------------------------------------------------------
End of period ................................................... $ 66,288,588 $ 76,089,722 $ 79,468,589 $ 82,897,195
=============================================================
ACCUMULATED NET INVESTMENT LOSS ................................. $ 27,659 $ -- $ 42,425 $ --
=============================================================
(A) Class C represents the period from commencement of operations (November
20, 2006) through March 31, 2007.
See accompanying notes to financial statements.
28
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
SMALL CAP STRATEGIC VALUE
VALUE OPPORTUNITIES AND HIGH INCOME
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED)(A) 2006
- --------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ....................................... $ (433,426) $ (784,311) $ 21,082 $ 27,877
Net realized gains from security transactions ...................... 3,137,953 6,793,128 255,187 174
Net change in unrealized appreciation/depreciation on investments .. 19,223,463 (5,773,884) (112,668) (13,494)
---------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ......................... 21,927,990 234,933 163,601 14,557
---------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ................................ -- -- (237) --
From net investment income, Class C ................................ -- -- (4) --
From net investment income, Class Y ................................ -- -- (20,706) (27,885)
From net investment income, Class Z ................................ -- (123,995) -- --
From net realized gains, Class A ................................... -- -- (3) --
From net realized gains, Class C ................................... -- -- (1) --
From net realized gains, Class Y ................................... -- -- (3,430) (5,832)
From net realized gains, Class Z ................................... (6,056,120) (1,644,383) -- --
---------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO SHAREHOLDERS .................................... (6,056,120) (1,768,378) (24,381) (33,717)
---------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold .......................................... -- -- 46,241 --
Reinvested distributions ........................................... -- -- 240 --
Payments for shares redeemed ....................................... -- -- (4,085) --
---------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS ....................................... -- -- 42,396 --
---------------------------------------------------------
CLASS C
Proceeds from shares sold .......................................... -- -- 1,000 --
Reinvested distributions ........................................... -- -- 5 --
---------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
CLASS C SHARE TRANSACTIONS ....................................... -- -- 1,005 --
---------------------------------------------------------
CLASS Y
Proceeds from shares sold .......................................... -- -- 32,373 2,524,125
Reinvested distributions ........................................... -- -- 21,836 33,401
Payments for shares redeemed ....................................... -- -- (858,182) (802,978)
---------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS Y SHARE TRANSACTIONS ....................................... -- -- (803,973) 1,754,548
---------------------------------------------------------
29
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------------------------------
SMALL CAP STRATEGIC VALUE
VALUE OPPORTUNITIES AND HIGH INCOME
FUND FUND
- --------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED)(A) 2006
- --------------------------------------------------------------------------------------------------------
CLASS Z
Proceeds from shares sold .................. 39,394,988 234,392,976 -- --
Reinvested distributions ................... 5,737,368 1,751,676 -- --
Payments for shares redeemed ............... (86,121,680) (59,414,549) -- --
-------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS Z SHARE TRANSACTIONS ............... (40,989,324) 176,730,103 -- --
-------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS .... (25,117,454) 175,196,658 (621,352) 1,735,388
NET ASSETS
Beginning of period ........................ 249,431,235 74,234,577 2,541,692 806,304
-------------------------------------------------------
End of period .............................. $224,313,781 $249,431,235 $1,920,340 $2,541,692
=======================================================
ACCUMULATED NET INVESTMENT INCOME (LOSS) ... $ (433,426) $ -- $ 243 $ --
=======================================================
(A) Classes A and C represent the period from commencement of operations
(November 20, 2006) through March 31, 2007.
See accompanying notes to financial statements.
30
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
TAX-EXEMPT DURATION FIXED
BOND FUND INCOME FUND
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED
2007 SEPTEMBER 30, 2007 SEPTEMBER 30,
(UNAUDITED) 2006 (UNAUDITED) 2006
- -----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ............................................. $ 2,207,106 $ 4,544,266 $ 4,254,335 $ 9,687,262
Net realized gains (losses) from security transactions ............ 322,512 353,485 131,842 (336,961)
Net change in unrealized appreciation/depreciation on
investments ..................................................... (773,168) (890,993) 667,565 (571,064)
-------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ........................ 1,756,450 4,006,758 5,053,742 8,779,237
-------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A ............................... (2,203,171) (4,431,540) -- --
From net investment income, Class Z ............................... -- -- (4,191,125) (9,755,714)
From net realized gains, Class A .................................. (185,535) (1,409,044) -- --
-------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ......... (2,388,706) (5,840,584) (4,191,125) (9,755,714)
-------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold ......................................... 6,715,723 18,284,442 -- --
Reinvested distributions .......................................... 105,299 492,024 -- --
Payments for shares redeemed ...................................... (7,073,295) (10,850,595) -- --
-------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CLASS A SHARE TRANSACTIONS ...................................... (252,273) 7,925,871 -- --
-------------------------------------------------------------
CLASS Z
Proceeds from shares sold ......................................... -- -- 12,422,328 36,786,959
Reinvested distributions .......................................... -- -- 4,052,776 9,413,370
Payments for shares redeemed ...................................... -- -- (35,298,991) (176,729,225)
-------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CLASS Z SHARE TRANSACTIONS ...................................... -- -- (18,823,887) (130,528,896)
-------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ........................... (884,529) 6,092,045 (17,961,270) (131,505,373)
NET ASSETS
Beginning of period ............................................... 117,666,570 111,574,525 173,716,231 305,221,604
-------------------------------------------------------------
End of period ..................................................... $116,782,041 $117,666,570 $155,754,961 $ 173,716,231
=============================================================
ACCUMULATED NET INVESTMENT INCOME ................................. $ 226,228 $ -- $ 63,345 $ --
=============================================================
See accompanying notes to financial statements.
31
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------
VALUE OPPORTUNITIES
FUND
- ---------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2007 SEPTEMBER 30,
(UNAUDITED)(A) 2006
- ---------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income .................................................. $ 573,487 $ 546,164
Net realized gains from security transactions .......................... 5,509,136 17,333,397
Net change in unrealized appreciation/depreciation on investments ...... 1,752,825 (9,531,377)
------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ............................. 7,835,448 8,348,184
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income, Class A .................................... (251) --
From net investment income, Class C .................................... (356) --
From net investment income, Class Z .................................... (576,263) (549,006)
From net realized gains, Class A ....................................... (183) --
From net realized gains, Class C ....................................... (1,928) --
From net realized gains, Class Z ....................................... (18,377,100) (9,232,072)
------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS .............. (18,956,081) (9,781,078)
------------------------------
FROM CAPITAL SHARE TRANSACTIONS
CLASS A
Proceeds from shares sold .............................................. 143,307 --
Reinvested distributions ............................................... 434 --
Payments for shares redeemed ........................................... (28,972) --
------------------------------
NET INCREASE IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS ............. 114,769 --
------------------------------
CLASS C
Proceeds from shares sold .............................................. 181,826 --
Reinvested distributions ............................................... 2,284 --
Payments for shares redeemed ........................................... (10,036) --
------------------------------
NET INCREASE IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS ............. 174,074 --
------------------------------
CLASS Z
Proceeds from shares sold .............................................. 3,950,258 21,531,751
Reinvested distributions ............................................... 17,971,528 9,501,446
Payments for shares redeemed ........................................... (14,720,521) (100,813,313)
------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS Z SHARE TRANSACTIONS .. 7,201,265 (69,780,116)
------------------------------
TOTAL DECREASE IN NET ASSETS ........................................... (3,630,525) (71,213,010)
NET ASSETS
Beginning of period .................................................... 100,038,290 171,251,300
------------------------------
End of period .......................................................... $ 96,407,765 $ 100,038,290
==============================
ACCUMULATED NET INVESTMENT LOSS ........................................ $ (5,225) $ --
==============================
(A) Classes A and C represent the period from commencement of operations
(November 20, 2006) through March 31, 2007.
See accompanying notes to financial statements.
32
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------------------------------------------------
CLOVER CORE FIXED INCOME FUND - CLASS I
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
MARCH 31, YEAR ENDED SEPTEMBER 30,
2007 -------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ........... $ 9.58 $ 9.94 $ 10.27 $ 10.40 $ 10.55 $ 10.20
---------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .......................... 0.22 0.39 0.42 0.43 0.45 0.52
Net realized and unrealized gains
(losses) on investments ...................... (0.01) (0.12) (0.19) (0.13) (0.10) 0.35
---------------------------------------------------------------------
Total from investment operations ................. 0.21 0.27 0.23 0.30 0.35 0.87
---------------------------------------------------------------------
Less distributions:
Dividends from net investment income ........... (0.22) (0.40) (0.42) (0.43) (0.47) (0.52)
Distributions from net realized gains .......... -- (0.23) (0.14) -- (0.03) --
---------------------------------------------------------------------
Total distributions .............................. (0.22) (0.63) (0.56) (0.43) (0.50) (0.52)
---------------------------------------------------------------------
Net asset value at end of period ................. $ 9.57 $ 9.58 $ 9.94 $ 10.27 $ 10.40 $ 10.55
=====================================================================
Total return ..................................... 2.22%(A) 2.87% 2.27% 2.97% 3.37% 8.85%
=====================================================================
Net assets at end of period (000's) .............. $ 19,918 $ 21,689 $ 26,166 $ 32,334 $ 43,391 $ 42,924
=====================================================================
Ratio of net expenses to average net assets ...... 0.89%(B) 0.91%(C) 0.80% 0.80% 0.78% 0.75%
Ratio of gross expenses to average net assets .... 0.93%(B) 0.95% 0.86% 0.85% 0.87% 0.87%
Ratio of net investment income
to average net assets .......................... 4.62%(B) 4.13% 3.91% 3.94% 4.25% 5.03%
Portfolio turnover rate .......................... 82%(B) 62% 70% 45% 46% 49%
(A) Not annualized.
(B) Annualized.
(C) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 0.89%.
See accompanying notes to financial statements.
33
FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------------
DIVERSIFED GROWTH FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30, OCTOBER 31,
2007 --------------------------------- -----------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ...... $ 6.10 $ 5.80 $ 5.36 $ 5.25 $ 4.40 $ 5.66 $ 9.18
-------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .............. 0.01 0.01 0.03 -- -- (0.01) (0.03)
Net realized and unrealized gains
(losses) on investments ................. 0.39 0.30 0.44 0.11 0.85 (1.25) (3.49)
-------------------------------------------------------------------------------
Total from investment operations ............ 0.40 0.31 0.47 0.11 0.85 (1.26) (3.52)
-------------------------------------------------------------------------------
Dividends from net investment income ........ (0.01) (0.01) (0.03) 0.00 (B) -- -- --
-------------------------------------------------------------------------------
Net asset value at end of period ............ $ 6.49 $ 6.10 $ 5.80 $ 5.36 $ 5.25 $ 4.40 $ 5.66
===============================================================================
Total return (C) ............................ 6.49%(D) 5.28% 8.71% 2.14%(D) 19.32% (22.26%) (38.34%)
===============================================================================
Net assets at end of period (000s) .......... $118,355 $117,498 $116,560 $104,528 $95,724 $82,368 $107,141
===============================================================================
Ratio of net expenses
to average net asset ...................... 1.10%(E) 1.05% 1.10% 1.02%(E) 1.01% 1.01% 1.00%
Ratio of gross expenses
to average net assets ..................... 1.23%(E) 1.19% 1.23% 1.15%(E) 1.16% 1.14% 1.17%
Ratio of net investment income
(loss) to average net assets .............. 0.18%(E) 0.10% 0.48% 0.00%(E) 0.05% (0.15%) (0.44%)
Portfolio turnover rate ..................... 83%(E) 73% 56% 53%(E) 70% 35% 37%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
34
FINANCIAL HIGHLIGHT (CONTINUED)
- --------------------------------------------------------------------------
DIVERSIFIED SMALL CAP VALUE FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- --------------------------------------------------------------------------
PERIOD ENDED
MARCH 31, 2007
(UNAUDITED) (A)
- --------------------------------------------------------------------------
Net asset value at beginning of period ................. $26.95
------
Income (loss) from investment operations:
Net investment income .............................. 0.00(B)
Net realized and unrealized losses on investments (7.15)
------
Total from investment operations ....................... (7.15)
------
Net asset value at end of period ....................... $19.80
======
Total return (C) ....................................... 2.93%
======
Net assets at end of period (000s) ..................... $ 98
======
Ratio of net expenses to average net assets ............ 1.46%(D)
Ratio of gross expenses to average net assets .......... 75.67%(D)
Ratio of net investment loss to average net assets ..... (0.08%)(D)
Portfolio turnover rate ................................ 84%(D)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Amount rounds to less than $0.01 per share.
(C) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(D) Annualized.
See accompanying notes to financial statements.
DIVERSIFIED SMALL CAP VALUE FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ----------------------------------------------------------------------
PERIOD ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- ----------------------------------------------------------------------
Net asset value at beginning of period .............. $26.95
------
Income (loss) from investment operations:
Net investment income ........................... (0.03)
Net realized and unrealized losses on investments (7.14)
------
Total from investment operations .................... (7.17)
------
Net asset value at end of period .................... $19.78
======
Total return (B) .................................... 2.82%
======
Net assets at end of period (000s) .................. $ 38
======
Ratio of net expenses to average net assets ......... 2.01% (C)
Ratio of gross expenses to average net assets ....... 97.89% (C)
Ratio of net investment loss to average net assets .. (0.64%)(C)
Portfolio turnover rate ............................. 84% (C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
35
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED SMALL CAP VALUE FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2007 ---------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period $ 25.10 $ 27.63 $ 23.76 $ 19.23 $ 15.20 $ 16.69
-------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) (0.01) (0.12) (0.14) (0.01) 0.01 0.06
Net realized and unrealized gains
(losses) on investments (5.27) 2.12 4.01 4.57 4.04 (1.50)
-------------------------------------------------------------------------
Total from investment operations (5.28) 2.00 3.87 4.56 4.05 (1.44)
-------------------------------------------------------------------------
Less distributions:
Dividends from net investment income -- -- -- (0.03) (0.02)(A) (0.05)
Distributions from net realized gains -- (4.53) -- -- -- --
-------------------------------------------------------------------------
Total distributions -- (4.53) -- (0.03) (0.02) (0.05)
=========================================================================
Net asset value at end of period $ 19.82 $ 25.10 $ 27.63 $ 23.76 $ 19.23 $ 15.20
=========================================================================
Total return 10.62% (B) 8.47% 16.29% 23.72% 26.66% (8.69%)
=========================================================================
Net assets at end of period (000's) $229,771 $259,279 $450,011 $540,278 $394,946 $464,576
=========================================================================
Ratio of net expenses to average net assets 1.41% (C) 1.32% (D) 1.23% 1.22% 1.27% 1.26%
Ratio of gross expenses
to average net assets 1.44% (C) 1.32% 1.23% 1.22% 1.27% 1.26%
Ratio of net investment income
(loss) to average net assets (0.19%)(C) (0.37%) (0.48%) (0.09%) 0.08% 0.31%
Portfolio turnover rate 84% (C) 98% 78% 61% 52% 38%
(A) Includes return of capital of $0.004.
(B) Not annualized.
(C) Annualized
(D) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 1.31%.
See accompanying notes to financial statements.
36
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED VALUE FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED
YEAR ENDED SEPTEMBER 30, OCTOBER 31,
MARCH 31, 2007 ---------------------------- -------------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .... $ 12.66 $ 12.60 $ 11.22 $ 10.26 $ 8.50 $ 9.19 $ 10.52
---------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ................... 0.09 0.17 0.13 0.10 0.12 0.10 0.09
Net realized and unrealized gains
(losses) on investments .............. 0.87 1.08 1.38 0.97 1.77 (0.69) (1.33)
---------------------------------------------------------------------------------
Total from investment operations .......... 0.96 1.25 1.51 1.07 1.89 (0.59) (1.24)
---------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income .... (0.09) (0.17) (0.13) (0.11) (0.13) (0.10) (0.09)
Distributions from net realized gains ... (0.50) (1.02) -- -- -- -- --
---------------------------------------------------------------------------------
Total distributions ....................... (0.59) (1.19) (0.13) (0.11) (0.13) (0.10) (0.09)
---------------------------------------------------------------------------------
Net asset value at end of period .......... $ 13.03 $ 12.66 $ 12.60 $ 11.22 $ 10.26 $ 8.50 $ 9.19
=================================================================================
Total return (B) .......................... 7.59% (C) 10.68% 13.47% 10.50%(C) 22.43% (6.43%) (11.87%)
=================================================================================
Net assets at end of period (000's) ....... $ 168,420 $167,597 $168,542 $152,202 $ 143,641 $122,391 $139,767
=================================================================================
Ratio of net expenses
to average net assets ................. 1.10% (D) 1.06% 1.09% 1.02%(D) 1.01% 1.02% 1.00%
Ratio of gross expenses
to average net assets ................. 1.23% (D) 1.20% 1.21% 1.14%(D) 1.14% 1.13% 1.16%
Ratio of net investment income
to average net assets ................. 1.40% (D) 1.34% 1.04% 1.06%(D) 1.32% 1.17% 0.92%
Portfolio turnover rate ................... 114% (D) 48% 64% 75%(D) 59% 26% 48%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
37
FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------
DIVERSIFIED VALUE FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- -------------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED) (A)
- -------------------------------------------------------------------------
Net asset value at beginning of period ................ $ 13.22
-------
Income from investment operations:
Net investment income ............................... 0.02
Net realized and unrealized gains on investments .... 0.34
-------
Total from investment operations ...................... 0.36
-------
Less distributions:
Dividends from net investment income ................ (0.03)
Distributions from net realized gains ............... (0.50)
-------
Total distributions ................................... (0.53)
-------
Net asset value at end of period ...................... $ 13.05
=======
Total return (B) ...................................... 2.76%
=======
Net assets at end of period (000s) .................... $ 5
=======
Ratio of net expenses to average net assets ........... 1.63%(C)
Ratio of gross expenses to average net assets ......... 300.90%(C)
Ratio of net investment income to average net assets .. 0.78%(C)
Portfolio turnover rate ............................... 114%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is not
annualized.
(C) Annualized.
See accompanying notes to financial statements.
38
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------
FAMILY HERITAGE(R) FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED
ENDED SEPTEMBER 30, OCTOBER 31,
MARCH 31, 2007 --------------------------- ----------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 10.25 $ 9.96 $ 9.38 $ 8.55 $ 6.97 $ 7.82 $ 9.87
------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .......... 0.15 0.03 0.05 -- -- (0.01) (0.02)
Net realized and unrealized gains
(losses) on investments ............. 0.60 0.29 0.58 0.83 1.58 (0.84) (2.03)
------------------------------------------------------------------------------
Total from investment operations ........ 0.75 0.32 0.63 0.83 1.58 (0.85) (2.05)
------------------------------------------------------------------------------
Dividends from net investment income .... (0.15) (0.03) (0.05) 0.00(B) -- -- --
------------------------------------------------------------------------------
Net asset value at end of period ........ $ 10.85 $ 10.25 $ 9.96 $ 9.38 $ 8.55 $ 6.97 $ 7.82
==============================================================================
Total return (C) ........................ 7.36%(D) 3.19% 6.72% 9.77%(D) 22.67% (10.87%) (20.77%)
==============================================================================
Net assets at end of period (000's) ..... $ 80,056 $80,381 $84,448 $78,103 $73,490 $66,126 $77,295
==============================================================================
Ratio of net expenses
to average net assets ................. 1.30%(E) 1.25% 1.29% 1.23%(E) 1.23% 1.27% 1.20%
Ratio of gross expenses
to average net assets ................. 1.46%(E) 1.42% 1.44% 1.37%(E) 1.38% 1.36% 1.37%
Ratio of net investment income
(loss) to average net assets .......... 2.83%(E) 0.24% 0.50% 0.01%(E) 0.06% (0.18%) (0.19%)
Portfolio turnover rate ................. 9%(E) 27% 25% 19%(E) 12% 24% 37%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Amount rounds to less than $0.01 per share.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
39
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
FAMILY HERITAGE(R) FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- --------------------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- --------------------------------------------------------------------------------
Net asset value at beginning of period ........................ $ 10.84
-------
Income from investment operations:
Net investment loss ......................................... (0.02)
Net realized and unrealized gains on investments............. 0.17
-------
Total from investment operations .............................. 0.15
-------
Net asset value at end of period .............................. $ 10.99
=======
Total return (B) .............................................. 1.38%
=======
Net assets at end of period (000s) ............................ $ 1
=======
Ratio of net expenses to average net assets ................... 1.78%(C)
Ratio of gross expenses to average net assets ................. 871.70%(C)
Ratio of net investment loss to average net assets............. (0.40%)(C)
Portfolio turnover rate ....................................... 9%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
40
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
HEALTHCARE AND BIOTECHNOLOGY FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
MARCH 31, YEAR ENDED SEPTEMBER 30,
2007 -----------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................ $ 15.91 $ 16.13 $ 13.79 $ 12.31 $ 9.83 $ 11.15
-------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss ................................. (0.10) (0.18) (0.16) (0.06) (0.11) (0.10)
Net realized and unrealized gains
(losses) on investments .......................... 0.85 0.40 3.02 1.55 2.59 (1.20)
-------------------------------------------------------------------
Total from investment operations ...................... 0.75 0.22 2.86 1.49 2.48 (1.30)
-------------------------------------------------------------------
Distributions from net realized gains ................. (0.59) (0.44) (0.52) (0.01) -- (0.02)
-------------------------------------------------------------------
Net asset value at end of period ...................... $ 16.07 $ 15.91 $ 16.13 $ 13.79 $ 12.31 $ 9.83
===================================================================
Total return (A) ...................................... 4.83% (B) 1.37% 21.10% 12.12% 25.23% (11.66%)
===================================================================
Net assets at end of period (000's) ................... $45,814 $55,120 $59,742 $35,371 $14,853 $ 9,288
===================================================================
Ratio of net expenses to average net assets ........... 1.79% (C) 1.85%(D) 1.88% 1.61% 1.47% 1.87%
Ratio of gross expenses to average net assets ......... 1.94% (C) 1.85% 1.88% 1.84% 1.63% 2.33%
Ratio of net investment loss to average net assets .... (0.70%)(C) (0.99%) (1.35%) (1.10%) (1.16%) (1.44%)
Portfolio turnover rate ............................... 185% (C) 158% 169% 163% 274% 202%
(A) Total returns shown exclude the effect of applicable sales loads.
(B) Not annualized.
(C) Annualized.
(D) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 1.84%.
See accompanying notes to financial statements.
41
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------
HEALTHCARE AND BIOTECHNOLOGY FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- -----------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED) (A)
- ------------------------------------------------------------------------
Net asset value at beginning of period ............... $ 15.98
-------
Income from investment operations:
Net investment income ............................ 0.01
Net realized and unrealized gains on investments.. 0.63
-------
Total from investment operations ..................... 0.64
-------
Distributions from net realized gains ................ (0.59)
-------
Net asset value at end of period ..................... $ 16.03
=======
Total return (B) ..................................... 4.12%
=======
Net assets at end of period (000s) ................... $ 36
=======
Ratio of net expenses to average net assets .......... 2.49%(C)
Ratio of gross expenses to average net assets ........ 250.15%(C)
Ratio of net investment loss to average net assets ... (1.66%)(C)
Portfolio turnover rate .............................. 185%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
42
FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------
HLAM LARGE CAP QUALITY STOCK FUND - CLASS II
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------
SIX MONTHS NINE
ENDED YEAR MONTHS
MARCH 31, ENDED ENDED YEAR ENDED DECEMBER 31,
2007 SEPT. 30, SEPT. 30, -------------------------------------
(UNAUDITED) 2006 2005(A) 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ... $ 16.83 $ 19.92 $ 21.58 $ 24.73 $ 24.02 $ 30.89 $ 33.89
----------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) ........... 0.04 0.04 (0.01) 0.01 (0.07) (0.08) (0.12)
Net realized and unrealized gains
(losses) on investments .............. 0.71 1.95 (0.43) 1.16 4.58 (6.79) (2.88)
----------------------------------------------------------------------------
Total from investment operations ......... 0.75 1.99 (0.44) 1.17 4.51 (6.87) (3.00)
----------------------------------------------------------------------------
Less distributions:
Dividends from net investment income ... (0.04) (0.04) -- -- -- -- --
Distributions from net realized gains .. (1.92) (5.04) (1.22) (4.32) (3.80) -- --
----------------------------------------------------------------------------
Total distributions ...................... (1.96) (5.08) (1.22) (4.32) (3.80) -- --
----------------------------------------------------------------------------
Net asset value at end of period ......... $ 15.62 $ 16.83 $ 19.92 $ 21.58 $ 24.73 $ 24.02 $ 30.89
============================================================================
Total return (B) ......................... 4.29%(C) 11.89% (2.09%)(C) 4.73% 19.07% (22.20%) (8.85%)
============================================================================
Net assets at end of period (000's) ...... $11,591 $12,304 $16,140 $20,959 $35,806 $34,963 $51,402
============================================================================
Ratio of net expenses
to average net assets .................. 1.25%(D) 1.28%(E) 1.25%(D) 1.30% 1.30% 1.29% 1.25%
Ratio of gross expenses
to average net assets .................. 1.58%(D) 1.63% 1.65%(D) 1.97% 1.82% 1.46% 1.44%
Ratio of net investment income
(loss) to average net assets ........... 0.53%(D) 0.24% (0.08%)(D) 0.04% (0.27%) (0.32%) (0.36%)
Portfolio turnover rate .................. 33%(D) 7% 37%(D) 7% 28% 19% 19%
(A) For the nine-month period ended September 30, 2005. The Fund changed its
fiscal year end from December 31 to September 30.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized.
(D) Annualized.
(E) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 1.22%.
(F) Excludes effect of in-kind transfers and mergers.
See accompanying notes to financial statements.
43
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED
YEAR ENDED SEPTEMBER 30, OCTOBER 31,
MARCH 31, 2007 ------------------------------------ ------------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period..... $ 10.14 $ 8.75 $ 7.06 $ 6.47 $ 5.23 $ 6.19 $ 9.28
--------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income.................... 0.04 0.10 (B) 0.07 0.05 0.06 0.04 0.01
Net realized and unrealized gains
(losses) on investments............... 1.51 1.41 (B) 1.64 0.71 1.21 (0.94) (3.05)
-------------------------------------------------------------------------------------
Total from investment operations........... 1.55 1.51 1.71 0.76 1.27 (0.90) (3.04)
-------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income .. (0.13) (0.12) (0.02) (0.17) (0.03) (0.06) (0.02)
Distributions from net realized gains.. (0.45) -- -- -- -- -- (0.03)
-------------------------------------------------------------------------------------
Total distributions ....................... (0.58) (0.12) (0.02) (0.17) (0.03) (0.06) (0.05)
-------------------------------------------------------------------------------------
Net asset value at end of period .......... $ 11.11 $ 10.14 $ 8.75 $ 7.06 $ 6.47 $ 5.23 $ 6.19
=====================================================================================
Total return (C)........................... 15.61%(D) 17.42% 24.19% 11.97%(D) 24.40% (14.68%) (32.91%)
=====================================================================================
Net assets at end of period (000's)........ $ 154,510 $151,336 $127,929 $107,001 $97,817 $83,513 $108,777
=====================================================================================
Ratio of net expenses
to average net assets.................... 1.45%(E) 1.41% 1.44% 1.35%(E) 1.30% 1.32% 1.25%
Ratio of gross expenses
to average net assets.................... 1.66%(E) 1.64% 1.64% 1.60%(E) 1.60% 1.48% 1.45%
Ratio of net investment income
to average net assets.................... 0.32%(E) 1.09% 0.80% 0.90%(E) 1.15% 0.63% 0.16%
Portfolio turnover rate ................... 61%(E) 140% 53% 62%(E) 128% 69% 44%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Per share data calculated using average shares method.
(C) Total returns shown exclude the effect of applicable sales loads.
(D) Not annualized.
(E) Annualized.
See accompanying notes to financial statements.
44
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ----------------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED) (A)
- ----------------------------------------------------------------------------
Net asset value at beginning of period ................... $ 10.56
---------------
Income from investment operations:
Net investment income .................................. 0.12
Net realized and unrealized gains on investments ....... 1.00
---------------
Total from investment operations ......................... 1.12
---------------
Less distributions:
Dividends from net investment income ................... (0.13)
Distributions from net realized gains .................. (0.45)
---------------
Total distributions ...................................... (0.58)
---------------
Net asset value at end of period ......................... $ 11.10
===============
Total return (B) ......................................... 10.85%
===============
Net assets at end of period (000s) ....................... $ 260
===============
Ratio of net expenses to average net assets .............. 2.09%(C)
Ratio of gross expenses to average net assets ............ 67.58%(C)
Ratio of net investment income to average net assets ..... 1.28%(C)
Portfolio turnover rate .................................. 61%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
45
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------
MID CAP FUND - CLASS Y
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
- -----------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED YEAR PERIOD
MARCH 31, SEPT. 30, ENDED ENDED
2007 -------------------- DEC. 31, DEC. 31,
(UNAUDITED) 2006 2005(A) 2004 2003(B)
- -----------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .............. $ 15.28 $ 15.36 $13.29 $12.79 $ 10.00
--------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) ...................... 0.12 0.04 (0.01) 0.08 0.01
Net realized and unrealized gains on investments .. 1.85 1.00 2.47 2.70 3.99
--------------------------------------------------------
Total from investment operations .................... 1.97 1.04 2.46 2.78 4.00
--------------------------------------------------------
Less distributions:
Dividends from net investment income .............. (0.13) (0.03) -- (0.09) --
Distributions from net realized gains ............. -- (1.09) (0.39) (2.19) (1.21)
--------------------------------------------------------
Total distributions ................................. (0.13) (1.12) (0.39) (2.28) (1.21)
--------------------------------------------------------
Net asset value at end of period .................... $ 17.12 $ 15.28 $15.36 $13.29 $ 12.79
========================================================
Total return ........................................ 12.92%(C) 7.10% 18.53%(C) 21.78% 40.24%(C)
========================================================
Net assets at end of period (000's) ................. $309,385 $87,032 $ 842 $ 410 $ 337
========================================================
Ratio of net expenses to average net assets ......... 0.90%(D) 0.91%(E) 1.00%(D) 0.90% 0.90%(D)
Ratio of gross expenses to average net assets ....... 1.08%(D) 1.81% 8.23%(D) 0.90% 0.90%(D)
Ratio of net investment income (loss) to average
net assets ........................................ 1.49%(D) 0.82% (0.02%)(D) 0.59% 0.12%(D)
Portfolio turnover rate ............................. 236%(D) 323% 120%(D) 193% 141%(D)
(A) For the nine-month period ended September 30, 2005. Effective January 1,
2005, the Fund changed its fiscal year end from December 31 to September
30.
(B) Represents the period from commencement of operations (January 2, 2003)
through December 31, 2003.
(C) Not annualized.
(D) Annualized.
(E) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 0.90%.
See accompanying notes to financial statements.
46
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------------------
MID CAP FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------
SIX MONTHS
ENDED PERIOD
MARCH 31, ENDED
2007 SEPT. 30,
(UNAUDITED) 2006(A)
- ----------------------------------------------------------------------------------------
Net asset value at beginning of period ....................... $ 15.26 $ 16.73
-----------------------
Income (loss) from investment operations:
Net investment income ...................................... 0.11 0.01
Net realized and unrealized gains (losses) on investments .. 1.82 (1.48)
-----------------------
Total from investment operations ............................. 1.93 (1.47)
-----------------------
Dividends from net investment income ......................... (0.12) --
-----------------------
Net asset value at end of period ............................. $ 17.07 $ 15.26
=======================
Total return (B) ............................................. 12.69% (8.79%)
=======================
Net assets at end of period (000's) .......................... $ 3,192 $ 350
=======================
Ratio of net expenses to average net assets (C) .............. 1.15% 1.16%(D)
Ratio of gross expenses to average net assets (C) ............ 2.31% 1.82%
Ratio of net investment income to average net assets (C) ..... 1.16% 0.63%
Portfolio turnover rate (C) .................................. 236% 323%
(A) Represents the period from commencement of operations (April 24, 2006)
through September 30, 2006.
(B) Not annualized.
(C) Annualized.
(D) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 1.15%.
See accompanying notes to financial statements.
47
FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------
PITCAIRN SELECT VALUE FUND - CLASS II
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED
ENDED SEPTEMBER 30, OCTOBER 31,
MARCH 31, 2007 --------------------------- ---------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ... $ 11.36 $ 11.60 $ 10.87 $ 10.38 $ 8.36 $ 10.01 $ 10.96
-------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .................. 0.07 0.15 0.07 0.08 0.08 0.09 0.09
Net realized and unrealized gains
(losses) on investments .............. 0.81 0.87 0.89 0.66 2.03 (1.65) (0.95)
-------------------------------------------------------------------------
Total from investment operations ......... 0.88 1.02 0.96 0.74 2.11 (1.56) (0.86)
-------------------------------------------------------------------------
Less distributions:
Dividends from net investment income ... (0.07) (0.15) (0.07) (0.09) (0.09) (0.09) (0.09)
Distributions from net realized gains .. (1.10) (1.11) (0.16) (0.16) -- -- --
-------------------------------------------------------------------------
Total distributions ...................... (1.17) (1.26) (0.23) (0.25) (0.09) (0.09) (0.09)
-------------------------------------------------------------------------
Net asset value at end of period ......... $ 11.07 $ 11.36 $ 11.60 $ 10.87 $ 10.38 $ 8.36 $ 10.01
=========================================================================
Total return ............................. 7.82%(B) 9.64% 8.82% 7.16%(B) 25.48% (15.77%) (7.90%)
=========================================================================
Net assets at end of period (000's) ...... $55,289 $59,921 $65,400 $61,817 $58,133 $48,455 $60,986
=========================================================================
Ratio of net expenses
to average net assets .................. 1.14%(C) 1.10% 1.14% 1.03%(C) 1.02% 1.02% 1.00%
Raio of gross expenses
to average net assets .................. 1.28%(C) 1.22% 1.24% 1.19%(C) 1.23% 1.19% 1.19%
Ratio of net investment income
to average net assets .................. 1.28%(C) 1.30% 0.63% 0.84%(C) 0.86% 0.92% 0.85%
Portfolio turnover rate .................. 92%(C) 130% 94% 111%(C) 104% 110% 104%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
48
FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------
PITCAIRN TAXABLE BOND FUND - CLASS II
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30, OCTOBER 31,
2007 --------------------------- ---------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 10.33 $ 10.50 $ 10.77 $ 10.73 $ 10.47 $ 10.98 $ 10.09
--------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .................... 0.24 0.47 0.43 0.43 0.51 0.56 0.59
Net realized and unrealized gains (losses)
on investments ......................... 0.06 (0.17) (0.27) 0.04 0.26 (0.42) 0.90
--------------------------------------------------------------------------
Total from investment operations ........... 0.30 0.30 0.16 0.47 0.77 0.14 1.49
--------------------------------------------------------------------------
Less distributions:
Dividends from net investment income ..... (0.24) (0.47) (0.43) (0.43) (0.51) (0.56) (0.60)
Distributions from net realized gains .... -- -- -- -- -- (0.09) --
--------------------------------------------------------------------------
Total distributions ........................ (0.24) (0.47) (0.43) (0.43) (0.51) (0.65) (0.60)
--------------------------------------------------------------------------
Net asset value at end of period ........... $ 10.39 $ 10.33 $ 10.50 $ 10.77 $ 10.73 $ 10.47 $ 10.98
==========================================================================
Total return ............................... 2.94%(B) 2.98% 1.50% 4.42%(B) 7.44% 1.46% 15.19%
==========================================================================
Net assets at end of period (000's) ........ $40,288 $44,181 $47,969 $43,239 $43,432 $40,058 $35,562
==========================================================================
Ratio of net expenses
to average net assets .................... 0.89%(C) 0.87% 0.89% 0.75%(C) 0.73% 0.78% 0.70%
Ratio of gross expenses
to average net assets .................... 0.98%(C) 0.95% 0.96% 0.94%(C) 0.97% 0.98% 0.99%
Ratio of net investment income
to average net assets .................... 4.66%(C) 4.56% 4.05% 4.36%(C) 4.74% 5.35% 5.63%
Portfolio turnover rate .................... 45%(C) 32% 37% 26%(C) 24% 58% 54%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
49
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------
SANDS CAPITAL SELECT GROWTH FUND - CLASS Y
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED SEPTEMBER 30,
MARCH 31, 2007 ------------------------------
(UNAUDITED) 2006 2005 2004(A)
- ----------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ....................... $ 7.60 $ 7.81 $ 6.80 $ 6.74
-----------------------------------------------
Income (loss) from investment operations:
Net investment loss ........................................ (0.03) (0.06) (0.06) --
Net realized and unrealized gains (losses) on investments .. 0.44 (0.15) 1.07 0.06
-----------------------------------------------
Total from investment operations ............................. 0.41 (0.21) 1.01 0.06
-----------------------------------------------
Net asset value at end of period ............................. $ 8.01 $ 7.60 $ 7.81 $ 6.80
===============================================
Total return ................................................. 5.39%(B) (2.69%) 14.85% 0.89%(B)
===============================================
Net assets at end of period (000s) ........................... $184,237 $182,001 $81,976 $32,591
===============================================
Ratio of net expenses to average net assets .................. 1.10%(C) 1.10% 1.11% 1.10%(C)
Ratio of gross expenses to average net assets ................ 1.25%(C) 1.23% 1.19% 1.10%(C)
Ratio of net investment loss to average net assets ........... (0.75%)(C) (0.74%) (0.62%) (0.79%)(C)
Portfolio turnover rate ...................................... 27%(C) 24% 24% 11%(C)
(A) Represents the period from commencement of operations (August 27, 2004)
through September 30, 2004.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
50
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------------
SANDS CAPITAL SELECT GROWTH FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED
ENDED SEPTEMBER 30, OCTOBER 31,
MARCH 31, 2007 ------------------------------ --------------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period....... $ 7.57 $ 7.80 $ 6.80 $ 6.13 $ 4.81 $ 5.55 $ 9.02
-----------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment loss...................... (0.05) (0.05) (0.03) (0.06) (0.04)(B) (0.04) (0.04)
Net realized and unrealized gains
(losses) on investments .............. 0.44 (0.18) 1.03 0.73 1.36 (0.70) (3.43)
-----------------------------------------------------------------------------------
Total from investment operations ............ 0.39 (0.23) 1.00 0.67 1.32 (0.74) (3.47)
-----------------------------------------------------------------------------------
Net asset value at end of period ........... $ 7.96 $ 7.57 $ 7.80 $ 6.80 $ 6.13 $ 4.81 $ 5.55
===================================================================================
Total return ............................... 5.15%(C) (2.95%) 14.71% 10.93% (C) 27.44% (13.33%) (38.44%)
===================================================================================
Net assets at end of period (000s) .......... $348,327 $365,390 $162,999 $70,027 $43,878 $32,818 $39,326
===================================================================================
Ratio of net expenses
to average net assets ..................... 1.35%(D) 1.35% 1.36% 1.20% (D) 1.17% 1.16% 1.15%
Ratio of gross expenses
to average net assets...................... 1.45%(D) 1.48% 1.44% 1.35% (D) 1.45% 1.43% 1.43%
Ratio of net investment loss
to average net assets ..................... (0.99%)(D) (0.99%) (0.84%) (0.95%)(D) (0.81%) (0.69%) (0.63%)
Portfolio turnover rate...................... 27% (D) 24% 24% 11% (D) 28% 24% 37%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Based on average shares outstanding.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
51
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
SHORT DURATION FIXED INCOME FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2007 --------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................ $ 9.76 $ 9.87 $ 10.04 $ 10.14 $ 10.24 $ 10.16
---------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ............................... 0.22 0.38 0.31 0.28 0.17(A) 0.35
Net realized and unrealized gains (losses) on
investments ....................................... 0.06 (0.07) (0.10) (0.10) 0.05 0.12
---------------------------------------------------------------------
Total from investment operations ...................... 0.28 0.31 0.21 0.18 0.22 0.47
---------------------------------------------------------------------
Less distributions:
Dividends from net investment income ................ (0.22) (0.42) (0.38) (0.28) (0.25) (0.39)
Distributions from net realized gains ............... -- -- -- -- (0.07) --
---------------------------------------------------------------------
Total distributions ................................... (0.22) (0.42) (0.38) (0.28) (0.32) (0.39)
---------------------------------------------------------------------
Net asset value at end of period ...................... $ 9.82 $ 9.76 $ 9.87 $ 10.04 $ 10.14 $ 10.24
=====================================================================
Total return .......................................... 2.86%(B) 3.23% 2.12% 1.84% 2.15% 4.69%
=====================================================================
Net assets at end of period (000's) ................... $ 66,289 $76,090 $112,833 $172,213 $252,72 $264,010
=====================================================================
Ratio of net expenses to average net assets ........... 0.75%(C) 0.72% 0.61% 0.46% 0.41% 0.36%
Ratio of gross expenses to average net assets ......... 0.86%(C) 0.74% 0.66% 0.60% 0.62% 0.60%
Ratio of net investment income to average net assets .. 4.52%(C) 3.97% 3.18% 2.49% 1.65% 3.27%
Portfolio turnover rate ............................... 12%(C) 10% 46% 84% 200% 178%
(A) Based on average shares outstanding.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
52
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
SMALL CAP FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED
ENDED SEPTEMBER 30, OCTOBER 31,
MARCH 31, 2007 --------------------------- -------------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 15.14 $ 16.51 $ 15.30 $ 13.78 $ 9.87 $ 10.67 $ 10.18
---------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) .......... 0.01 (0.03) (0.04) (0.04) --(B) 0.07 0.10
Net realized and unrealized gains
(losses) on investments ............. 1.54 0.87 1.37 1.56 3.91 (0.78) 0.49
---------------------------------------------------------------------------------
Total from investment operations ........ 1.55 0.84 1.33 1.52 3.91 (0.71) 0.59
---------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income .. -- -- -- 0.00(C) 0.00(C) (0.09) (0.10)
Distributions net realized gains ...... (1.91) (2.21) (0.12) -- -- -- --
---------------------------------------------------------------------------------
Total distributions ..................... (1.91) (2.21) (0.12) -- -- (0.09) (0.10)
---------------------------------------------------------------------------------
Net asset value at end of period ........ $ 14.78 $ 15.14 $ 16.51 $ 15.30 $ 13.78 $ 9.87 $ 10.67
=================================================================================
Total return (D) ........................ 10.38%(E) 5.51% 8.69% 11.03%(E) 39.65% (6.78%) 5.80%
=================================================================================
Net assets at end of period (000s) ...... $ 79,468 $82,897 $95,939 $92,848 $87,520 $50,096 $62,227
=================================================================================
Ratio of net expenses
to average net assets ................. 1.10%(F) 1.06% 1.10% 1.08%(F) 1.20%(G) 1.28%(G) 1.16%(G)
Ratio of gross expenses
to average net assets ................. 1.28%(F) 1.23% 1.24% 1.15%(F) 1.17% 1.38% 1.19%
Ratio of net investment income (loss)
to average net assets ................. 0.10%(F) (0.16%) (0.27%) (0.26%)(F) (0.04%) 0.58% 0.93%
Portfolio turnover rate ................. 180%(F) 145% 100% 72%(F) 149%(H) 93% 96%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Based on average shares outstanding.
(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) The ratio of expenses to average net assets excluding interest expense for
the periods ended October 31, 2003 and October 31, 2002 and October 31,
2001 were 1.10%, 1.19% and 1.00%, respectively.
(H) Excludes effect of in-kind transfers and mergers.
See accompanying notes to financial statements.
53
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------
SMALL CAP FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ----------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- ----------------------------------------------------------------------
Net asset value at beginning of period .............. $ 16.43
-------
Income (loss) from investment operations:
Net investment loss ............................... (0.00)(B)
Net realized and unrealized gains on investments .. 0.24
-------
Total from investment operations .................... 0.24
-------
Distributions from net realized gains ............... (1.91)
-------
Net asset value at end of period .................... $ 14.76
=======
Total return (C) .................................... 1.58%
=======
Net assets at end of period (000s) .................. $ 1
=======
Ratio of net expenses to average net assets ......... 1.46%(D)
Ratio of gross expenses to average net assets ....... 864.37%(D)
Ratio of net investment loss to average net assets .. (0.03%)(D)
Portfolio turnover rate ............................. 180%(D)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Amount rounds to less than $0.01 per share.
(C) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(D) Annualized.
See accompanying notes to financial statements.
54
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE OPPORTUNITIES FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2007 ---------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002(A)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ......... $ 18.94 $ 18.35 $ 16.21 $ 12.72 $ 9.27 $ 10.00
--------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss) ................. (0.05) (0.08) 0.02 (0.04) (0.01) --
Net realized and unrealized gains (losses)
on investments ............................. 1.76 0.96 3.76 3.75 3.47 (0.73)
--------------------------------------------------------------------
Total from investment operations ............... 1.71 0.88 3.78 3.71 3.46 (0.73)
--------------------------------------------------------------------
Less distributions:
Dividends from net investment income ......... -- (0.02) -- -- (0.01) --
Distributions from net realized gains ........ (0.49) (0.27) (1.64) (0.22) -- --
--------------------------------------------------------------------
Total distributions ............................ (0.49) (0.29) (1.64) (0.22) (0.01) --
--------------------------------------------------------------------
Net asset value at end of period ............... $ 20.16 $ 18.94 $ 18.35 $ 16.21 $ 12.72 $ 9.27
====================================================================
Total return ................................... 9.04%(B) 4.84% 24.32% 29.36% 37.29% (7.30%)(B)
====================================================================
Net assets at end of period (000s) ............. $ 224,314 $249,431 $ 74,235 $14,533 $ 5,740 $ 913
====================================================================
Ratio of net expenses to average net assets .... 1.71%(C) 1.63%(D) 1.46% 1.45% 1.40% 1.45%(C)
Ratio of gross expenses to average net assets .. 1.77%(C) 1.65% 2.04% 1.82% 3.64% 6.18%(C)
Ratio of net investment income (loss)
to average net assets ........................ (0.39%)(C) (0.43%) 0.29% (0.23%) (0.26%) 0.08%(C)
Portfolio turnover rate ........................ 103%(C) 99% 193% 272% 245% 142%(C)
(A) Represents the period from commencement of operations (March 4, 2002)
through September 30, 2002.
(B) Not annualized.
(C) Annualized.
(D) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 1.62%.
See accompanying notes to financial statements.
55
FINANCIAL HIGHLIGHTS (CONTINUED)
- ------------------------------------------------------------------------
STRATEGIC VALUE AND HIGH INCOME FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ------------------------------------------------------------------------
PERIOD ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- ------------------------------------------------------------------------
Net asset value at beginning of period ................ $15.15
------
Income from investment operations:
Net investment income ............................... 0.05
Net realized and unrealized gains on investments .... 0.29
------
Total from investment operations ...................... 0.34
------
Less distributions:
Dividends from net investment income ................ (0.09)
Distributions from net realized gains ............... (0.02)
------
Total distributions ................................... (0.11)
------
Net asset value at end of period ...................... $15.38
======
Total return (B) ...................................... 2.17%
======
Net assets at end of period (000s) .................... $ 42
======
Ratio of net expenses to average net assets ........... 0.50%(C)
Ratio of gross expenses to average net assets ......... 3.38%(C)
Ratio of net investment income to average net assets .. 2.38%(C)
Portfolio turnover rate ............................... 195%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
56
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------
STRATEGIC VALUE AND HIGH INCOME FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ----------------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- ----------------------------------------------------------------------------
Net asset value at beginning of period .................... $ 15.15
-------
Income from investment operations:
Net investment income ................................... 0.06
Net realized and unrealized gains on investments ........ 0.23
-------
Total from investment operations .......................... 0.29
-------
Less distributions:
Dividends from net investment income .................... (0.07)
Distributions from net realized gains ................... (0.02)
-------
Total distributions ....................................... (0.09)
-------
Net asset value at end of period .......................... $ 15.35
=======
Total return (B) .......................................... 1.83%
=======
Net assets at end of period (000s) ........................ $ 1
=======
Ratio of net expenses to average net assets ............... 1.25%(C)
Ratio of gross expenses to average net assets ............. 24.64%(C)
Ratio of net investment income to average net assets ...... 1.00%(C)
Portfolio turnover rate ................................... 195%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
57
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------
STRATEGIC VALUE AND HIGH INCOME FUND - CLASS Y
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2007 ------------------------------------
(UNAUDITED) 2006 2005 2004 2003(A)
- -----------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................ $ 14.44 $14.21 $14.01 $12.58 $10.00
-------------------------------------------------------
Income from investment operations:
Net investment income ............................... 0.16 0.25 0.72 0.47 0.25
Net realized and unrealized gains on investments .... 0.90 0.32(B) 1.18 1.53 2.58
-------------------------------------------------------
Total from investment operations ...................... 1.06 0.57 1.90 2.00 2.83
-------------------------------------------------------
Less distributions:
Dividends from net investment income ................ (0.15) (0.25) (0.72) (0.47) (0.25)
Distributions from net realized gains ............... (0.03) (0.09) (0.98) (0.10) --
-------------------------------------------------------
Total distributions ................................... (0.18) (0.34) (1.70) (0.57) (0.25)
-------------------------------------------------------
Net asset value at end of period ...................... $ 15.32 $14.44 $14.21 $14.01 $12.58
=======================================================
Total return .......................................... 7.33%(C) 4.03% 14.22% 16.04% 28.57%(C)
=======================================================
Net assets at end of period (000s) .................... $ 1,877 $2,542 $ 806 $ 706 $ 443
=======================================================
Ratio of net expenses to average net assets ........... 0.25%(D) 0.30%(E) 0.25% 0.25% 0.25%(D)
Ratio of gross expenses to average net assets ......... 1.87%(D) 2.62% 4.71% 1.36% 21.93%(D)
Ratio of net investment income to average net assets .. 1.87%(D) 1.76% 5.51% 3.23% 3.27%(D)
Portfolio turnover rate ............................... 195%(D) 84% 130% 411% 397%(D)
(A) Represents the period from commencement of operations (October 31, 2002)
through September 30, 2003.
(B) The amount shown for a share outstanding throughout the period does not
accord with the aggregate net losses on investments for the period because
of sale and repurchases of fund shares in relation to fluctuating market
value of the investment of the Fund.
(C) Not annualized.
(D) Annualized.
(E) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 0.25%.
See accompanying notes to financial statements.
58
FINANCIAL HIGHLIGHTS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
TAX-EXEMPT BOND FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED YEAR ENDED
MARCH 31, SEPTEMBER 30, OCTOBER 31,
2007 --------------------------------- -----------------------------
(UNAUDITED) 2006 2005 2004(A) 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 10.43 $ 10.60 $ 10.78 $ 10.77 $ 10.71 $ 10.60 $ 10.04
--------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .................... 0.20 0.41 0.41 0.39 0.44 0.44 0.45
Net realized and unrealized gains
(losses) on investments ................ (0.05) (0.05) (0.11) 0.05 0.09 0.12 0.57
--------------------------------------------------------------------------------
Total from investment operations ........... 0.15 0.36 0.30 0.44 0.53 0.56 1.02
--------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income ..... (0.20) (0.40) (0.41) (0.39) (0.44) (0.44) (0.46)
Distributions from net realized gains .... (0.01) (0.13) (0.07) (0.04) (0.03) (0.01) --
--------------------------------------------------------------------------------
Total distributions ........................ (0.21) (0.53) (0.48) (0.43) (0.47) (0.45) (0.46)
--------------------------------------------------------------------------------
Net asset value at end of period ........... $ 10.37 $ 10.43 $ 10.60 $ 10.78 $ 10.77 $ 10.71 $ 10.60
================================================================================
Total return (B) ........................... 1.47%(C) 3.59% 2.78% 4.20%(C) 4.96% 5.41% 10.30%
================================================================================
Net assets at end of period (000s) ......... $ 116,782 $ 117,667 $ 111,575 $ 113,880 $ 111,470 $ 115,905 $ 113,071
================================================================================
Ratio of net expenses
to average net assets .................... 0.70%(D) 0.68% 0.69% 0.62%(D) 0.60% 0.60% 0.60%
Ratio of gross expenses to
average net assets ....................... 0.84%(D) 0.82% 0.82% 0.75%(D) 0.74% 0.74% 0.77%
Ratio of net investment income
to average net assets .................... 3.77%(D) 3.97% 3.80% 3.97%(D) 4.06% 4.19% 4.35%
Portfolio turnover rate .................... 22%(D) 55% 38% 25%(D) 14% 14% 23%
(A) For the eleven-month period ended September 30, 2004. The Fund changed its
fiscal year end from October 31 to September 30.
(B) Total returns shown exclude the effect of applicable sales loads.
(C) Not annualized
(D) Annualized
See accompanying notes to financial statements.
59
FINANCIAL HIGHLIGHTS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
ULTRA SHORT DURATION FIXED INCOME FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2007 ------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ............. $ 10.06 $ 10.08 $ 10.12 $ 10.17 $ 10.23 $ 10.22
-----------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ............................ 0.26 0.44 0.30 0.21 0.08 (A) 0.25
Net realized and unrealized gains (losses)
on investments ................................. 0.05 (0.02) (0.03) (0.05) 0.06 0.05
-----------------------------------------------------------------------
Total from investment operations ................... 0.31 0.42 0.27 0.16 0.14 0.30
Less distributions:
Dividends from net investment income ............. (0.26) (0.44) (0.31) (0.21) (0.19) (0.29)
Distributions from net realized gains ............ -- -- -- -- (0.01) --
-----------------------------------------------------------------------
Total distributions ................................ (0.26) (0.44) (0.31) (0.21) (0.20) (0.29)
-----------------------------------------------------------------------
Net asset value at end of period ................... $ 10.11 $ 10.06 $ 10.08 $ 10.12 $ 10.17 $ 10.23
=======================================================================
Total return ....................................... 3.09%(B) 4.28% 2.67% 1.63% 1.40% 2.95%
=======================================================================
Net assets at end of period (000s) ................. $ 155,755 $173,716 $305,222 $391,934 $462,567 $470,021
=======================================================================
Ratio of net expenses to average net assets ........ 0.68%(C) 0.69% 0.59% 0.46% 0.41% 0.36%
Ratio of gross expenses to average net assets ...... 0.76%(C) 0.69% 0.62% 0.58% 0.62% 0.60%
Ratio of net investment income to average net
assets ........................................... 5.20%(C) 4.30% 2.93% 2.08% 0.78% 2.27%
Portfolio turnover rate ............................ 33%(C) 38% 68% 44% 222% 71%
(A) Based on average shares outstanding.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
60
FINANCIAL HIGHLIGHTS (CONTINUED)
- ----------------------------------------------------------------------------
VALUE OPPORTUNITIES FUND - CLASS A
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ----------------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- ----------------------------------------------------------------------------
Net asset value at beginning of period .................... $ 19.51
-------
Income from investment operations:
Net investment income ................................... 0.04
Net realized and unrealized gains on investments ........ 0.81
-------
Total from investment operations .......................... 0.85
-------
Less distributions:
Dividends from net investment income .................... (0.04)
Distributions from net realized gains ................... (3.58)
-------
Total distributions ....................................... (3.62)
-------
Net asset value at end of period .......................... $ 16.74
=======
Total return (B) .......................................... 4.46%
=======
Net assets at end of period (000s) ........................ $ 115
=======
Ratio of net expenses to average net assets ............... 1.28%(C)
Ratio of gross expenses to average net assets ............. 15.96%(C)
Ratio of net investment income to average net assets ...... 0.95%(C)
Portfolio turnover rate ................................... 59%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
61
FINANCIAL HIGHLIGHTS (CONTINUED)
- ------------------------------------------------------------------------
VALUE OPPORTUNITIES FUND - CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
- ------------------------------------------------------------------------
PERIOD
ENDED
MARCH 31, 2007
(UNAUDITED)(A)
- ------------------------------------------------------------------------
Net asset value at beginning of period ................ $ 19.51
-------
Income from investment operations:
Net investment income ............................... 0.01
Net realized and unrealized gains on investments .... 0.83
-------
Total from investment operations ...................... 0.84
-------
Less distributions:
Dividends from net investment income ................ (0.03)
Distributions from net realized gains ............... (3.58)
-------
Total distributions ................................... (3.61)
-------
Net asset value at end of period ...................... $ 16.74
=======
Total return (B) ...................................... 4.42%
=======
Net assets at end of period (000s) .................... $ 171
=======
Ratio of net expenses to average net assets ........... 1.75%(C)
Ratio of gross expenses to average net assets ......... 20.82%(C)
Ratio of net investment income to average net assets .. 0.34%(C)
Portfolio turnover rate ............................... 59%(C)
(A) Represents the period from commencement of operations (November 20, 2006)
through March 31, 2007.
(B) Total return shown excludes the effect of applicable sales loads and is
not annualized.
(C) Annualized.
See accompanying notes to financial statements.
62
FINANCIAL HIGHLIGHTS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
VALUE OPPORTUNITIES FUND - CLASS Z
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2007 ---------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period ................ $ 18.89 $ 19.00 $ 16.51 $ 14.18 $ 11.71 $ 14.85
--------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income ............................... 0.10 0.10 0.04 0.06 0.05 0.08
Net realized and unrealized gains (losses)
on investments .................................... 1.39 1.38 3.90 2.84 2.47 (0.61)
--------------------------------------------------------------------
Total from investment operations ...................... 1.49 1.48 3.94 2.90 2.52 (0.53)
--------------------------------------------------------------------
Less distributions:
Dividends from net investment income ................ (0.10) (0.10) (0.04) (0.06) (0.05) (0.08)
Distributions from net realized gains ............... (3.57) (1.49) (1.41) (0.51) -- (2.53)
--------------------------------------------------------------------
Total distributions ................................... (3.67) (1.59) (1.45) (0.57) (0.05) (2.61)
--------------------------------------------------------------------
Net asset value at end of period ...................... $ 16.71 $ 18.89 $ 19.00 $ 16.51 $ 14.18 $ 11.71
====================================================================
Total return .......................................... 8.06%(A) 8.35% 24.83% 20.75% 21.61% (6.37%)
====================================================================
Net assets at end of period (000s) .................... $ 96,122 $100,038 $171,251 $59,714 $46,673 $43,571
====================================================================
Ratio of net expenses to average net assets ........... 1.13%(B) 1.19%(C) 1.13% 1.08% 1.13% 1.10%
Ratio of net investment income to average net assets .. 1.14%(B) 0.49% 0.24% 0.39% 0.43% 0.56%
Portfolio turnover rate ............................... 59%(B) 80% 75% 55% 67% 103%
(A) Not annualized.
(B) Annualized.
(C) The ratio of net expenses to average net assets excludes the effect of
fees paid indirectly. If these expense offsets were included, the ratio
would have been 1.18%.
See accompanying notes to financial statements.
63
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The Touchstone Funds Group Trust (the Trust), formerly Constellation Funds Group
Trust, is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company. The Trust consists of the following
nineteen mutual funds, individually, a Fund, and collectively, the Funds:
CURRENT FUND FORMERLY KNOWN AS
- -------------------------------------------------------------------------------------------------------
Clover Core Fixed Income Fund Constellation Clover Core Fixed Income Fund
Diversified Growth Fund Constellation Pitcairn Diversified Growth Fund
Diversified Small Cap Value Fund Constellation Clover Small Cap Value Fund
Diversified Value Fund Constellation Pitcairn Diversified Value Fund
Family Heritage(R) Fund Constellation Pitcairn Family Heritage(R) Fund
Healthcare and Biotechnology Fund Constellation TIP Healthcare and Biotechnology Fund
HLAM Large Cap Quality Stock Fund Constellation HLAM Large Cap Quality Stock Fund
International Equity Fund Constellation International Equity Fund
Mid Cap Fund Constellation TIP Mid Cap Fund
Pitcairn Select Value Fund Constellation Pitcairn Select Value Fund
Pitcairn Taxable Bond Fund Constellation Pitcairn Taxable Bond Fund
Sands Capital Select Growth Fund Constellation Sands Capital Select Growth Fund
Short Duration Fixed Income Fund Constellation Chartwell Short Duration Fixed Income Fund
Small Cap Fund Constellation Pitcairn Small Cap Fund
Small Cap Value Opportunities Fund Constellation Small Cap Value Opportunities Fund
Strategic Value and High Income Fund Constellation Strategic Value and High Income Fund
Tax-Exempt Bond Fund Constellation Pitcairn Tax-Exempt Bond Fund
Ultra Short Duration Fixed Income Fund Constellation Chartwell Ultra Short Duration Fixed Income Fund
Value Opportunities Fund Constellation Clover Core Value Fund
The Strategic Value and High Income Fund is a "Fund of Funds" and offers
shareholders the opportunity to invest in certain underlying affiliated
investment companies, which are separately-managed series of the Trust.
Each Fund is registered as a diversified portfolio of the Trust with the
exception of the Family Heritage(R) Fund, Healthcare and Biotechnology Fund,
HLAM Large Cap Quality Stock Fund, Pitcairn Select Value Fund, Pitcairn Taxable
Bond Fund, and Sands Capital Select Growth Fund, each of which is
non-diversified.
The Funds are registered to offer different classes of shares: Class A shares,
Class C shares, Class Y shares, Class Z shares, Class I shares, and Class II
shares. The assets of each Fund are segregated, and a shareholder's interest is
limited to the Fund in which shares are held. The Funds' prospectus provides a
description of each Fund's investment objectives, policies, and strategies along
with information on the classes of shares currently being offered.
Based on approval by the Board of Trustees, the following changes took place
effective November 20, 2006:
(i) Class II shares of the Diversified Growth Fund, Diversified Value Fund,
Family Heritage(R) Fund, Healthcare and Biotechnology Fund, International
Equity Fund, Small Cap Fund, Strategic Value and High Income Fund, and
Tax-Exempt Bond Fund were each redesignated as Class A shares.
(ii) Diversified Small Cap Value Fund and Value Opportunities Fund began
offering Class A shares.
64
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
(iii) Diversified Small Cap Value Fund, Diversified Value Fund, Family
Heritage(R) Fund, Healthcare and Biotechnology Fund, International Equity
Fund, Small Cap Fund, Strategic Value and High Income Fund, and Value
Opportunities Fund, began offering Class C shares.
(iv) Class I shares of the Mid Cap Fund, Sands Capital Select Growth Fund, and
Strategic Value and High Income Fund were each redesignated as Class Y
Shares.
(v) Class I shares of the Diversified Small Cap Value Fund, Short Duration
Fixed Income Fund, Ultra Short Duration Fixed Income Fund, and Value
Opportunities Fund, were each redesignated as Class Z shares.
(vi) Class II shares of the Mid Cap Fund, Sands Capital Select Growth Fund, and
Small Cap Value Opportunities Fund, were each redesignated as Class Z
shares.
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. Debt
securities for which market quotations are readily available are valued at their
most recent bid prices as obtained from one or more of the major market makers
for such securities by an independent pricing service. Money market instruments
and other debt securities with a remaining maturity of less than 60 days are
valued at amortized cost, which approximates market. 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. 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. The prices for foreign
securities are reported in local currency and converted to U.S. dollars using
currency exchange rates.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates its net asset value if an event that could
materially affect the value of those securities (a "Significant Event") has
occurred between the time of the security's last close and the time that the
Fund calculates its net asset value. A Significant Event may relate to a single
issuer or to an entire market sector. If the advisor or sub-advisor of a Fund
becomes aware of a Significant Event that has occurred with respect to a
security or group of securities after the closing of the exchange or market on
which the security or securities principally trade, but before the time at which
the Fund calculates its net asset value, it may request that a Fair Value
Committee Meeting be called. In addition, the Funds' administrator or
sub-administrator monitors price movements among certain selected indices,
securities and/or baskets of securities that may be an indicator that the
closing prices received earlier from foreign exchanges or markets may not
reflect market value at the time the Fund calculates its net asset value. If
price movements in a monitored index or security exceed levels established by
the advisor, the administrator or sub-administrator notifies the advisor or
sub-advisor for any Fund holding the relevant securities that such limits have
been exceeded. In such event, the Advisor makes the determination whether a Fair
Value Committee meeting should be called based on the information provided.
65
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The International Equity Fund also uses a third-party fair valuation vendor. The
vendor provides a fair value for foreign securities held by the Fund based on
certain factors and methodologies (involving, generally, tracking valuation
correlations between the U.S. market and each non-U.S. security). Values from
the fair value vendor are applied in the event that there is a movement in the
U.S. market that exceeds a specific threshold that has been established by the
Fair Value Committee. The Fair Value Committee has also established a
"confidence interval" which is used to determine the level of historical
correlation between the value of a specific foreign security and movements in
the U.S. market before a particular security will be fair valued when the
threshold is exceeded. In the event that the threshold established by the Fair
Value Committee is exceeded on a specific day, the Fund will value the non- U.S.
securities in its portfolio that exceed the applicable "confidence interval"
based upon the adjusted prices provided by the fair valuation vendor.
The assets of the Strategic Value and High Income Fund consist of investments in
underlying affiliated investment companies, which are valued at their respective
net asset value per share.
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 March 31, 2007, 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.
FOREIGN CURRENCY TRANSLATION -- The books and records of the International
Equity Fund are maintained in U.S. dollars and translated into U.S. dollars on
the following basis:
(1) market value of investment securities, assets and liabilities at the
current rate of exchange on the valuation date; and
(2) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains and losses
on investments in equity securities that is due to changes in the foreign
exchange rates from that which is due to changes in market prices of equity
securities.
FORWARD FOREIGN CURRENCY CONTRACTS - The International Equity Fund may enter
into forward foreign currency contracts as hedges against specific transactions.
All commitments are "marked-to-market" daily at the applicable foreign exchange
rate, and any resulting unrealized gains or losses are recorded currently. The
International Equity Fund realizes gains or losses at the time forward contracts
are extinguished. Unrealized gains or losses on outstanding positions in forward
foreign currency contracts held at the close of the year are recognized as
ordinary income or loss for income tax purposes. As of March 31, 2007 there were
no outstanding contracts.
66
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
PORTFOLIO SECURITIES LOANED -- Each Fund may lend its portfolio securities.
Lending portfolio securities exposes a Fund to the risk that the borrower may
fail to return the loaned securities or may not be able to provide additional
collateral or that the Fund may experience delays in recovery of the loaned
securities or loss of rights in the collateral if the borrower fails
financially. To minimize these risks, the borrower must agree to maintain
collateral marked to market daily, in the form of cash and/or liquid securities,
with the Fund's custodian in an amount at least equal to the market value of the
loaned securities. As of March 31, 2007, the following Funds loaned securities
and received collateral as follows:
FAIR VALUE OF VALUE OF
SECURITIES COLLATERAL
LOANED RECEIVED
- ---------------------------------------------------------------------
Clover Core Fixed Income Fund ....... $ 542,117 $ 568,531
Diversified Growth Fund ............. $ 22,215,319 $ 22,942,490
Diversified Small Cap Value Fund .... $ 28,251,074 $ 29,359,250
Diversified Value Fund .............. $ 16,890,033 $ 18,924,688
Family Heritage(R) Fund ............. $ 13,256,156 $ 13,825,829
Healthcare and Biotechnology Fund ... $ 10,725,851 $ 11,139,748
Pitcairn Select Value Fund .......... $ 8,609,088 $ 11,083,754
Sands Capital Select Growth Fund .... $ 132,179,528 $ 135,586,413
Small Cap Fund ...................... $ 7,890,968 $ 8,169,037
Small Cap Value Opportunities Fund .. $ 14,520,226 $ 15,028,768
Value Opportunities Fund ............ $ 15,630,860 $ 16,390,000
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 is 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 C, Class Y, Class Z, Class I, and Class II 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 C shares of the Funds are subject
to a contingent deferred sales load of 1.00% of the original purchase price if
redeemed within a one-year period from the date of purchase.
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.
67
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS -- The Healthcare and Biotechnology Fund,
International Equity Fund, Mid Cap Fund, and Small Cap Value Opportunities Fund
declare and distribute net investment income, if any, annually, as a dividend to
shareholders. The Diversified Growth Fund, Diversified Small Cap Value Fund,
Diversified Value Fund, Family Heritage(R) Fund, HLAM Large Cap Quality Stock
Fund, Pitcairn Select Value Fund, Sands Capital Select Growth Fund, Small Cap
Fund, Strategic Value and High Income Fund, and Value Opportunities Fund declare
and distribute net investment income, if any, quarterly, as a dividend to
shareholders. The Clover Core Fixed Income Fund, Pitcairn Taxable Bond Fund,
Short Duration Fixed Income Fund, Tax-Exempt Bond Fund, and Ultra Short Duration
Fixed Income Fund declare net investment income daily and distribute it monthly,
as a dividend to shareholders. Any net realized capital gains on sales of
securities for all Funds are distributed to shareholders at least annually.
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. In addition to the Fund's direct expense,
shareholders of the Strategic Value and High Income Fund also bear a
proportionate share of the underlying funds' expenses.
SECURITY TRANSACTIONS -- Security transactions are accounted for on the trade
date. Securities sold are determined on a specific identification basis.
DELAYED DELIVERY TRANSACTIONS -- The Funds may purchase or sell securities on a
when-issued or delayed delivery basis. These transactions involve a commitment
by the Funds to purchase or sell securities for a predetermined price or yield,
with payment and delivery taking place beyond the customary settlement period.
When delayed delivery purchases are outstanding, the Funds will set aside liquid
assets in an amount sufficient to meet the purchase price. When purchasing a
security on a delayed delivery basis, the Funds assume the rights and risks of
ownership of the security, including the risk of price and yield fluctuations,
and take such fluctuations into account when determining net asset value. The
Funds may dispose of or renegotiate a delayed delivery transaction after it is
entered into, and may sell when-issued securities before they are delivered,
which may result in a capital gain or loss. When the Funds have sold a security
on a delayed delivery basis, the Funds do not participate in future gains and
losses with respect to the security.
REPURCHASE AGREEMENTS -- Repurchase agreements, which are collateralized by U.S.
Government obligations, are valued at cost, which together with accrued interest
approximates market. At the time each Fund enters into a repurchase agreement,
the seller agrees that the value of the underlying securities, including accrued
interest, will at all times be equal to or exceed the face amount of the
repurchase agreement.
REDEMPTION FEES -- Each Fund, except for the Mid Cap Fund, Short Duration Fixed
Income Fund and Ultra Short Duration Fixed Income Fund may charge a redemption
fee up to 2% of redemption proceeds, which will automatically be paid to the
Fund. The board has approved, but not implemented, the redemption fee policy.
There were no redemption fees collected during the six months ended March 31,
2007.
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.
68
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX -- It is each Fund's policy to continue 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.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments and U.S. Government
securities) were as follows for the six months ended March 31, 2007:
DIVERSIFIED
CLOVER CORE DIVERSIFIED SMALL CAP DIVERSIFIED
FIXED INCOME GROWTH VALUE VALUE
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------
Purchases of investment securities..... $ 1,318,982 $ 49,798,866 $ 102,716,562 $ 96,662,128
----------------------------------------------------------
Proceeds from sales and maturities..... $ 1,436,655 $ 56,214,510 $ 156,315,369 $ 107,217,585
----------------------------------------------------------
HLAM
HEALTHCARE LARGE
FAMILY AND CAP QUALITY INTERNATIONAL
HERITAGE(R) BIOTECHNOLOGY STOCK EQUITY
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------
Purchases of investment securities..... $ 3,552,410 $ 43,879,743 $ 2,030,791 $ 46,454,641
---------------------------------------------------------
Proceeds from sales and maturities..... $ 8,515,559 $ 53,933,274 $ 9,285,930 $ 63,930,758
---------------------------------------------------------
PITCAIRN SANDS CAPITAL
PITCAIRN TAXABLE SELECT
MID CAP SELECT VALUE BOND GROWTH
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------
Purchases of investment securities..... $ 433,295,488 $ 26,472,913 $ 6,415,069 $ 73,566,352
-----------------------------------------------------------
Proceeds from sales and maturities..... $ 226,076,676 $ 35,175,819 $ 14,017,376 $ 118,948,214
-----------------------------------------------------------
SHORT DURATION SMALL CAP STRATEGIC
FIXED SMALL VALUE VALUE AND HIGH
INCOME CAP OPPORTUNITIES INCOME
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------
Purchases of investment securities..... $ -- $ 73,745,596 $ 111,664,679 $ 2,177,055
--------------------------------------------------------------
Proceeds from sales and maturities..... $ -- $ 85,629,104 $ 151,317,608 $ 2,942,316
--------------------------------------------------------------
ULTRA
TAX-EXEMPT SHORT DURATION VALUE
BOND FIXED INCOME OPPORTUNITIES
FUND FUND FUND
- ---------------------------------------------------------------------------------------
Purchases of investment securities .... $ 14,092,476 $ -- $ 29,153,938
---------------------------------------------
Proceeds from sales and maturities .... $ 12,011,843 $ -- $ 37,864,037
---------------------------------------------
69
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES
MANAGEMENT & EXPENSE LIMITATIONS AGREEMENTS
Touchstone Advisors, Inc. (the Advisor) provides general investment supervisory
services for the Funds, under 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 shown
in the table below.
Effective January 1, 2007, the Advisor entered into an Expense Limitation
Agreement to contractually limit operating expenses of the Funds. The maximum
operating expense limit in any year with respect to the Funds is based on a
percentage of the average daily net assets of the Funds. The Advisor has agreed
to waive advisory fees and reimburse expenses in order to maintain expense
limitations for the Funds as follows through January 1, 2008:
"OTHER TOTAL
ADVISORY EXPENSE" EXPENSE
FEES CAP CAP
- --------------------------------------------------------------------------------
Clover Core Fixed Income Fund - Class I......... 0.45% 0.40% 0.85%
Diversified Growth Fund - Class A............... 0.70 0.15 1.10
Diversified Small Cap Value Fund - Class A ..... 0.85 0.35 1.45
Diversified Small Cap Value Fund - Class C ..... 0.85 0.35 2.20
Diversified Small Cap Value Fund - Class Z ..... 0.85 0.35 1.45
Diversified Value Fund - Class A................ 0.70 0.15 1.10
Diversified Value Fund - Class C................ 0.70 0.15 1.85
Family Heritage(R) Fund - Class A............... 0.90 0.15 1.30
Family Heritage(R) Fund - Class C .............. 0.90 0.15 2.05
Healthcare and Biotechnology Fund - Class A..... 1.00 0.30 1.55
Healthcare and Biotechnology Fund - Class C..... 1.00 0.30 2.30
HLAM Large Cap Quality Stock Fund - Class II.... 0.75 0.25 1.25
International Equity Fund - Class A............. 0.95 0.25(1) 1.45(1)
International Equity Fund - Class C............. 0.95 0.25(1) 2.20(1)
Mid Cap Fund - Class Y.......................... 0.80 0.10 0.90
Mid Cap Fund - Class Z.......................... 0.80 0.10 1.15
Pitcairn Select Value Fund - Class II........... 0.70 0.20 1.15
Pitcairn Taxable Bond Fund - Class II........... 0.40 0.25 0.90
Sands Capital Select Growth Fund - Class Y...... 0.85 0.25 1.10
Sands Capital Select Growth Fund - Class Z...... 0.85 0.25 1.35
Short Duration Fixed Income Fund - Class Z...... 0.25 0.24 0.74
Small Cap Fund - Class A ....................... 0.70 0.15(1) 1.10(1)
Small Cap Fund - Class C ....................... 0.70 0.15(1) 1.85(1)
70
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
"OTHER TOTAL
ADVISORY EXPENSE" EXPENSE
FEES CAP CAP
- -----------------------------------------------------------------------------------
Small Cap Value Opportunities Fund - Class Z ...... 0.95 0.30 1.50
Strategic Value and High Income Fund - Class A..... 0.10 0.15 0.50
Strategic Value and High Income Fund - Class C..... 0.10 0.15 1.25
Strategic Value and High Income Fund - Class Y..... 0.10 0.15 0.25
Tax-Exempt Bond Fund - Class A .................... 0.30 0.15 0.70
Ultra Short Duration Fixed Income Fund - Class Z... 0.25 0.19 0.69
Value Opportunities Fund - Class A................. 0.74 0.35 1.34
Value Opportunities Fund - Class C................. 0.74 0.35 2.09
Value Opportunities Fund - Class Z................. 0.74 0.35 1.34
(1) This fee waiver obligation will be reduced by up to 0.01% to the extent
that the Fund earns revenues from securities lending activities. See the
Funds' Prospectus for additional information.
Prior to March 1, 2006, for the Sands Capital Select Growth Fund, the advisory
fees were comprised of a base fee and a performance adjustment that increased or
decreased the total fee depending upon the performance of the Fund relative to
the Fund's performance benchmark. The Fund's base fee was accrued daily and paid
monthly, based on the Fund's average net assets during the current month. The
performance comparison was made for a rolling 12-month period, consisting of the
current month for which performance was available plus the previous 11 months.
This comparison was made at the end of each month, with appropriate
performance-based adjustments added to (or subtracted from) the advisory fee.
The performance adjustment was calculated and paid monthly by comparing the
Fund's performance to that of the Fund's performance benchmark over the
performance period. The annual performance adjustment was multiplied by the
average net assets of the Fund over the entire performance period, which was
then multiplied by a fraction, the numerator of which was the number of days in
the month and the denominator of which was 365 (366 in leap years). The
resulting amount was then added to (in the case of overperformance) or
subtracted from (in the case of underperformance) the base fee.
Effective prior to March 1, 2006 and after March 1, 2007, the base advisory fee,
annual adjustment rate, benchmark, and over/under performance relative to the
benchmark threshold are as follows:
BASE ANNUAL
ADVISORY ADJUSTMENT BENCHMARK
FEES RATE BENCHMARK THRESHOLD(1)
- ------------------------------------------------------------------------------------------
Russell 1000
Sands Capital Select Growth Fund.... 0.85% +/-0.15% Growth Index +/-2.50%
-------------------------------------------------
(1) See the Funds' Prospectus and Statement of Additional Information for more
information regarding the Fund's benchmark performance.
Due to the change in Advisors on March 1, 2006, no performance adjustment was
applicable from March 1, 2006 through February 28, 2007 as the new Advisory
contract had not been in place for 12 months. Based on the Fund's performance,
there was a negative performance adjustment of $67,792 made to the advisory fees
earned by the Advisor for the six months ended March 31, 2007.
71
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
During the six months ended March 31, 2007, the Advisor waived investment
advisory fees and/or reimbursed expenses of the Funds as follows:
INVESTMENT OTHER OPERATING
ADVISORY EXPENSES
FEES WAIVED REIMBURSED
- --------------------------------------------------------------------------------
Clover Core Fixed Income Fund .................. $ -- $ 4,444
- --------------------------------------------------------------------------------
Diversified Growth Fund ........................ $ -- $ 79,713
- --------------------------------------------------------------------------------
Diversified Small Cap Value Fund ............... $ -- $ 61,672
- --------------------------------------------------------------------------------
Diversified Value Fund ......................... $ -- $111,233
- --------------------------------------------------------------------------------
Family Heritage(R) Fund ........................ $ -- $ 68,766
- --------------------------------------------------------------------------------
Healthcare and Biotechnology Fund .............. $ -- $ 40,350
- --------------------------------------------------------------------------------
HLAM Large Cap Quality Stock Fund .............. $11,379 $ 11,654
- --------------------------------------------------------------------------------
International Equity Fund ...................... $ -- $171,798
- --------------------------------------------------------------------------------
Mid Cap Fund ................................... $17,978 $169,644
- --------------------------------------------------------------------------------
Pitcairn Select Value Fund ..................... $ -- $ 39,726
- --------------------------------------------------------------------------------
Pitcairn Taxable Bond Fund ..................... $ -- $ 19,034
- --------------------------------------------------------------------------------
Sands Capital Select Growth Fund ............... $ -- $317,341
- --------------------------------------------------------------------------------
Short Duration Fixed Income Fund ............... $ -- $ 36,999
- --------------------------------------------------------------------------------
Small Cap Fund ................................. $ -- $ 75,557
- --------------------------------------------------------------------------------
Small Cap Value Opportunities Fund ............. $ -- $ 66,752
- --------------------------------------------------------------------------------
Strategic Value and High Income Fund ........... $ 2,370 $ 1,640
- --------------------------------------------------------------------------------
Tax-Exempt Bond Fund ........................... $ -- $ 82,072
- --------------------------------------------------------------------------------
Ultra Short Duration Fixed Income Fund ......... $ -- $ 65,940
- --------------------------------------------------------------------------------
Value Opportunities Fund ....................... $ -- $ 16,877
- --------------------------------------------------------------------------------
The Advisor has entered into investment sub-advisory agreements with the
following parties:
PITCAIRN INVESTMENT MANAGEMENT AXA ROSENBERG INVESTMENT MANAGEMENT LLC
Diversified Growth Fund International Equity Fund
Diversified Value Fund
Family Heritage(R) Fund DIAMOND HILL CAPITAL MANAGEMENT, INC.
Pitcairn Select Value Fund Small Cap Value Opportunities Fund
Pitcairn Taxable Bond Fund
Small Cap Fund SANDS CAPITAL MANAGEMENT, LLC
Tax-Exempt Bond Fund Sands Capital Select Growth Fund
CLOVER CAPITAL MANAGEMENT, INC. TURNER INVESTMENT PARTNERS, INC.
Clover Core Fixed Income Fund Healthcare and Biotechnology Fund
Diversified Small Cap Value Fund Mid Cap Fund
Value Opportunities Fund Small Cap Value Opportunities Fund
CHARTWELL INVESTMENT PARTNERS HILLIARD LYONS ASSET MANAGEMENT
Short Duration Fixed Income Fund HLAM Large Cap Quality Stock Fund
Ultra Short Duration Fixed Income Fund
The Advisor, not the Funds, pays sub-advisory fees to each Sub-Advisor.
72
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
ADMINISTRATION AGREEMENT
The Advisor provides administrative services for the Funds. Effective January 1,
2007, for its services, the Advisor receives an annual fee of 0.20% of the
aggregate average daily net assets of the Trust, Touchstone Strategic Trust,
Touchstone Tax-Free Trust, and Touchstone Investment Trust (excluding
Institutional Money Market Fund) up to and including $6 billion; 0.16% of the
next $4 billion of aggregate average daily net assets; and 0.12% of the
aggregate average daily net assets of all such assets in excess of $10 billion.
However, through February 28, 2008 the administration fees are limited to an
annual fee of 0.146% of the aggregate average daily net assets of the Trust,
Touchstone Strategic Trust, Touchstone Tax-Free Trust, and Touchstone Investment
Trust (excluding Institutional Money Market Fund). The fee is allocated among
the Funds on the basis of relative daily net assets. Prior to January 1, 2007,
the Advisor received an annual fee of 0.15% of the aggregate average daily net
assets of the Trust up to $2 billion and 0.12% of the aggregate average daily
net assets of the Trust over $2 billion. The fee was allocated among the Funds
on the basis of relative daily net assets.
TRANSFER AGENT AGREEMENT
Under the terms of the Transfer Agent Agreement, effective November 20, 2006,
between the Trust and Integrated Investment Services, Inc. (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. In
addition, each Fund pays Integrated out-of-pocket expense including, but not
limited to, postage and supplies.
Prior to November 20, 2006, DST Systems, Inc. served as the transfer agent and
dividend disbursing agent for the Funds under a transfer agency agreement with
the Trust.
For the six months ended March 31, 2007, the following Funds reimbursed the
Advisor for amounts paid to third parties that provide sub-transfer agency and
other administrative services to the Funds. These amounts are included in
transfer agent fees on the Statements of Operations:
AMOUNT
- --------------------------------------------------------------------------------
Clover Core Fixed Income Fund ...................................... $ 3,618
Diversified Growth Fund ............................................ $ 1,435
Diversified Small Cap Value Fund ................................... $114,154
Diversified Value Fund ............................................. $ 6,428
Family Heritage(R) Fund ............................................ $ 3,934
Healthcare and Biotechnology Fund .................................. $ 12,459
HLAM Large Cap Quality Stock Fund .................................. $ 303
International Equity Fund .......................................... $ 2,762
Mid Cap Fund ....................................................... $ 255
Pitcairn Select Value Fund ......................................... $ 1,347
Pitcairn Taxable Bond Fund ......................................... $ 1,220
Sands Capital Select Growth Fund ................................... $132,797
Short Duration Fixed Income Fund ................................... $ 38,785
Small Cap Fund ..................................................... $ 3,504
Small Cap Value Opportunities Fund ................................. $ 72,231
Strategic Value and High Income Fund ............................... $ 1,465
Tax-Exempt Bond Fund ............................................... $ 2,311
Ultra Short Duration Fixed Income Fund ............................. $ 55,456
Value Opportunities Fund ........................................... $ 15,320
73
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Prior to November 20, 2006 the Funds could earn cash management credits, from
DST Systems Inc., which could be used to offset transfer agent expenses. During
the six months ended March 31, 2007, the Funds earned the following credits
which were used to offset transfer agent expenses. These amounts are listed as
fees paid indirectly on the Statements of Operations:
AMOUNT
- --------------------------------------------------------------------------------
Clover Core Fixed Income Fund ......................................... $ 372
Diversified Growth Fund ............................................... $ 33
Diversified Small Cap Value Fund ...................................... $4,331
Diversified Value Fund ................................................ $ 84
Family Heritage(R) Fund ............................................... $ 47
Healthcare and Biotechnology Fund ..................................... $1,432
HLAM Large Cap Quality Stock Fund ..................................... $1,713
International Equity Fund ............................................. $ 73
Mid Cap Fund .......................................................... $ 185
Pitcairn Select Value Fund ............................................ $ 33
Pitcairn Taxable Bond Fund ............................................ $ 23
Sands Capital Select Growth Fund ...................................... $2,380
Short Duration Fixed Income Fund ...................................... $ 344
Small Cap Fund ........................................................ $ 93
Small Cap Value Opportunities Fund .................................... $7,416
Strategic Value and High Income Fund .................................. $ 179
Tax-Exempt Bond Fund .................................................. $ 50
Ultra Short Duration Fixed Income Fund ................................ $1,211
Value Opportunities Fund .............................................. $2,029
PLANS OF DISTRIBUTION
The Trust has adopted a Distribution and Shareholder Services Plan for Class A
shares of the Diversified Growth Fund, Diversified Small Cap Value Fund,
Diversified Value Fund, Family Heritage(R) Fund, Healthcare and Biotechnology
Fund, International Equity Fund, Small Cap Fund, Strategic Value and High Income
Fund, Tax-Exempt Bond Fund, and Value Opportunities Fund (Class A Plan) under
which each Fund may directly or indirectly bear expenses relating to the
distribution of Class A shares of the Trust and for providing shareholder
services to Class A shares. The Fund will incur and/or reimburse expenses for
distribution and shareholder service of Class A shares at an annual rate not to
exceed 0.25% of the average daily net assets of Class A shares.
The Trust has adopted a Distribution and Shareholder Services Plan for Class C
shares of the Diversified Small Cap Value Fund, Diversified Value Fund, Family
Heritage(R) Fund, Healthcare and Biotechnology Fund, International Equity Fund,
Small Cap Fund, Strategic Value and High Income Fund, and Value Opportunities
Fund (Class C Plan) under which each Fund may directly or indirectly bear
expenses relating to the distribution of Class C shares of the Trust and for
providing shareholder services to Class C shares. The Fund will incur and/or
reimburse expenses for distribution and shareholder services of Class C shares
at an annual rate not to exceed 0.75% and 0.25%, respectively, of the average
daily net assets of Class C shares.
74
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The Trust has adopted a Shareholder Services Plan for Class Z shares of the
Small Cap Value Opportunities Fund, Mid Cap Fund, and Sands Capital Select
Growth Fund, and effective February 1, 2007, the Diversified Small Cap Value
Fund, Short Duration Fixed Income Fund, Ultra Short Duration Fixed Income Fund,
and Value Opportunities Fund (Class Z Plan) under which each Fund may directly
or indirectly bear expenses for providing shareholder services. The Fund will
incur and/or reimburse expense for shareholder service of Class Z shares at an
annual rate not to exceed 0.25% of the average daily net assets of Class Z
shares.
The Trust has adopted a Distribution and Shareholder Services Plan for Class II
shares of the HLAM Large Cap Quality Stock Fund, Pitcairn Select Value Fund, and
Pitcairn Taxable Bond Fund (Class II Plan). Under the Class II Plan, the Advisor
currently receives fees equal to 0.25% of each Fund's Class II shares' average
daily net assets to provide or procure shareholder services. The Class II Plan
may directly or indirectly bear expenses related to the distribution of Class II
shares at an annual rate not to exceed 0.75% of the average daily net assets of
Class II shares; however, no fees are currently being paid for distribution
expenses.
UNDERWRITING AGREEMENT
Touchstone Securities, Inc. (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 March 31, 2007:
AMOUNT
- --------------------------------------------------------------------------------
Diversified Growth Fund ............................................... $ 25
Diversified Small Cap Value Fund ...................................... $ 716
Diversified Value Fund ................................................ $ 136
Healthcare and Biotechnology Fund ..................................... $1,749
International Equity Fund ............................................. $ 957
Small Cap Fund ........................................................ $ 199
Strategic Value and High Income Fund .................................. $ 344
Value Opportunities Fund .............................................. $ 543
In addition, the Underwriter collected $44 and $99 of contingent deferred sales
charges on the redemption of Class C shares of the International Equity Fund and
Value Opportunities Fund, respectively, during the six months ended March 31,
2007.
75
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 INVESTMENTS
Investments made by the Strategic Value and High Income Fund in other Funds are
considered to be investments in Affiliated Companies as defined under section
2(a)(3) of the 1940 Act.
A summary of the investment and income activity of the Strategic Value and High
Income Fund in each Affiliated Company's shares is as follows:
SHARE ACTIVITY
-----------------------------------------
BALANCE BALANCE REALIZED VALUE
AFFILIATED INVESTMENT 09/30/06 PURCHASES SALES 03/31/07 DIVIDENDS GAIN(LOSS) 03/31/07
- -------------------------------------------------------------------------------------------------------------------------------
Touchstone Funds Group Trust
Clover Core Fixed Income Fund ............. 54,204 1,212 (55,416) -- $7,162 $ 742 $ --
-------------------------------------------------------------------------------
Touchstone Funds Group Trust
Diversified Small Cap Value Fund .......... -- 63,695 (6,649) 57,046 $ -- $ (1,717) $1,130,658
-------------------------------------------------------------------------------
Touchstone Investment Trust
High Yield Fund ........................... -- 89,529 (9,130) 80,399 $8,899 $ 442 $ 762,186
-------------------------------------------------------------------------------
Touchstone Funds Group Trust
Small Cap Value Opportunities Fund ........ 79,627 2,389 (82,016) -- $ -- $217,765 $ --
-------------------------------------------------------------------------------
Touchstone Funds Group Trust
Ultra Short Duration Fixed Income Fund .... 51,908 1,233 (53,141) -- $7,850 $ 3,556 $ --
-------------------------------------------------------------------------------
OFFICERS/AFFILIATED COMPANIES
Certain officers of the Trust were also officers of the Advisor, Underwriter
and/or Integrated during the six months ended March 31, 2007. The Advisor,
Underwriter and Integrated were each wholly-owned indirect subsidiaries of The
Western and Southern Life Insurance Company (Western-Southern). On April 1,
2007, Western Southern sold Integrated to an unrelated third party.
76
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
5. CAPITAL SHARE TRANSACTIONS
Proceeds and payments on capital shares as shown in the Statements of Changes in
Net Assets are the result of the following capital share transactions for the
periods shown:
CLOVER CORE DIVERSIFIED DIVERSIFIED
FIXED INCOME GROWTH SMALL CAP
FUND FUND VALUE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED
2007 SEPT. 30, 2007 SEPT. 30, 2007 SEPT. 30,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares issued ................................... -- -- 59,991 1,181,515 5,239 --
Shares reinvested ............................... -- -- 1,129 1,269 175 --
Shares redeemed ................................. -- -- (1,076,964) (2,030,910) (485) --
------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding ... -- -- (1,015,844) (848,126) 4,929 --
Shares outstanding, beginning of period ......... -- -- 19,248,700 20,096,826 -- --
------------------------------------------------------------------------------
Shares outstanding, end of period ............... -- -- 18,232,856 19,248,700 4,929 --
==============================================================================
CLASS C
Shares issued ................................... -- -- -- -- 1,677 --
Shares reinvested ............................... -- -- -- -- 239 --
------------------------------------------------------------------------------
Net increase in shares outstanding .............. -- -- -- -- 1,916 --
Shares outstanding, beginning of period ......... -- -- -- -- -- --
------------------------------------------------------------------------------
Shares outstanding, end of period ............... -- -- -- -- 1,916 --
==============================================================================
CLASS Z
Shares issued ................................... -- -- -- -- 575,872 1,478,125
Shares reinvested ............................... -- -- -- -- 3,697,084 2,558,122
Shares redeemed ................................. -- -- -- -- (3,006,198) (9,992,145)
------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding ... -- -- -- -- 1,266,758 (5,955,898)
Shares outstanding, beginning of period ......... -- -- -- -- 10,328,659 16,284,557
------------------------------------------------------------------------------
Shares outstanding, end of period ............... -- -- -- -- 11,595,417 10,328,659
==============================================================================
CLASS I
Shares issued ................................... 198,159 497,849 -- -- -- --
Shares reinvested ............................... 48,963 166,712 -- -- -- --
Shares redeemed ................................. (429,832) (1,034,234) -- -- -- --
------------------------------------------------------------------------------
Net decrease in shares outstanding .............. (182,710) (369,673) -- -- -- --
Shares outstanding, beginning of period ......... 2,263,052 2,632,725 -- -- -- --
------------------------------------------------------------------------------
Shares outstanding, end of period ............... 2,080,342 2,263,052 -- -- -- --
==============================================================================
77
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE AND
DIVERSIFIED VALUE FAMILY HERITAGE(R) BIOTECHNOLOGY
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED
2007 SEPT. 30, 2007 SEPT. 30, 2007 SEPT. 30,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares issued ................................... 99,023 639,769 27,323 211,849 200,907 1,623,755
Shares reinvested ............................... 152,236 357,813 13,759 2,838 118,145 110,261
Shares redeemed ................................. (562,391) (1,137,859) (510,529) (846,932) (931,067) (1,975,402)
------------------------------------------------------------------------------
Net decrease in shares outstanding .............. (311,132) (140,277) (469,447) (632,245) (612,015) (241,386)
Shares outstanding, beginning of period ......... 13,239,858 13,380,135 7,844,588 8,476,833 3,463,459 3,704,845
------------------------------------------------------------------------------
Shares outstanding, end of period ............... 12,928,726 13,239,858 7,375,141 7,844,588 2,851,444 3,463,459
==============================================================================
CLASS C
Shares issued ................................... 400 -- 92 -- 2,241 --
Shares reinvested ............................... 4 -- -- -- 2 --
------------------------------------------------------------------------------
Net increase in shares outstanding .............. 404 -- 92 -- 2,243 --
Shares outstanding, beginning of period ......... -- -- -- -- -- --
------------------------------------------------------------------------------
Shares outstanding, end of period ............... 404 -- 92 -- 2,243 --
==============================================================================
78
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------------
HLAM LARGE
CAP QUALITY INTERNATIONAL EQUITY MID CAP
STOCK FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED
2007 SEPT. 30, 2007 SEPT. 30, 2007 SEPT. 30,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- -------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares issued .................................. -- -- 307,801 1,472,241 -- --
Shares reinvested .............................. -- -- 190,932 18,380 -- --
Shares redeemed ................................ -- -- (1,522,916) (1,188,479) -- --
----------------------------------------------------------------------------
Net increase (decrease) in shares outstanding... -- -- (1,024,183) 302,142 -- --
Shares outstanding, beginning of period ........ -- -- 14,927,721 14,625,579 -- --
----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- 13,903,538 14,927,721 -- --
============================================================================
CLASS C
Shares issued .................................. -- -- 23,788 -- -- --
Shares reinvested .............................. -- -- 85 -- -- --
Shares redeemed ................................ -- -- (406) -- -- --
----------------------------------------------------------------------------
Net increase in shares outstanding ............. -- -- 23,467 -- -- --
Shares outstanding, beginning of period ........ -- -- -- -- -- --
----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- 23,467 -- -- --
============================================================================
CLASS Y
Shares issued .................................. -- -- -- -- 13,147,653 5,683,473
Shares reinvested .............................. -- -- -- -- 5,229 4,315
Shares redeemed ................................ -- -- -- -- (776,018) (45,711)
----------------------------------------------------------------------------
Net increase in shares outstanding ............. -- -- -- -- 12,376,864 5,642,077
Shares outstanding, beginning of period ........ -- -- -- -- 5,696,876 54,799
----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- -- -- 18,073,740 5,696,876
============================================================================
CLASS Z
Shares issued .................................. -- -- -- -- 196,322 22,956
Shares reinvested .............................. -- -- -- -- 117 --
Shares redeemed ................................ -- -- -- -- (32,473) --
----------------------------------------------------------------------------
Net increase in shares outstanding ............. -- -- -- -- 163,966 22,956
Shares outstanding, beginning of period ........ -- -- -- -- 22,956 --
----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- -- -- 186,922 22,956
============================================================================
CLASS II
Shares issued .................................. 148,438 26,110 -- -- -- --
Shares reinvested .............................. 84,489 238,430 -- -- -- --
Shares redeemed ................................ (222,233) (343,656) -- -- -- --
----------------------------------------------------------------------------
Net increase (decrease in shares outstanding.... 10,694 (79,116) -- -- -- --
Shares outstanding, beginning of period ........ 731,157 810,273 -- -- -- --
----------------------------------------------------------------------------
Shares outstanding, end of period .............. 741,851 731,157 -- -- -- --
============================================================================
79
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------------
PITCAIRN SELECT PITCAIRN TAXABLE SANDS CAPITAL SELECT
VALUE FUND BOND FUND GROWTH FUND
- --------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED
2007 SEPT. 30, 2007 SEPT. 30, 2007 SEPT. 30,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- --------------------------------------------------------------------------------------------------------------------------------
CLASS Y
Shares issued .................................. -- -- -- -- 5,793,649 18,234,418
Shares redeemed ................................ -- -- -- -- (6,743,898) (4,787,555)
-----------------------------------------------------------------------------
Net increase (decrease) in shares outstanding... -- -- -- -- (950,249) 13,446,863
Shares outstanding, beginning of period ........ -- -- -- -- 23,938,361 10,491,498
-----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- -- -- 22,988,112 23,938,361
=============================================================================
CLASS Z
Shares issued .................................. -- -- -- -- 6,842,390 35,871,834
Shares redeemed ................................ -- -- -- -- (11,401,260) (8,490,899)
-----------------------------------------------------------------------------
Net increase (decrease) in shares outstanding... -- -- -- -- (4,558,870) 27,380,935
Shares outstanding, beginning of period ........ -- -- -- -- 48,291,429 20,910,494
-----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- -- -- 43,732,559 48,291,429
=============================================================================
CLASS II
Shares issued .................................. 11,381 288,602 142,772 451,916 -- --
Shares reinvested .............................. 170,717 205,006 20,435 48,542 -- --
Shares redeemed ................................ (460,692) (859,687) (564,127) (789,947) -- --
-----------------------------------------------------------------------------
Net decrease in shares outstanding ............. (278,594) (366,079) (400,920) (289,489) -- --
Shares outstanding, beginning of period ........ 5,272,740 5,638,819 4,277,682 4,567,171 -- --
-----------------------------------------------------------------------------
Shares outstanding, end of period .............. 4,994,146 5,272,740 3,876,762 4,277,682 -- --
=============================================================================
80
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
SHORT DURATION FIXED SMALL CAP SMALL CAP VALUE
INCOME FUND FUND OPPORTUNITIES FUND
- --------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED
2007 SEPT. 30, 2007 SEPT. 30, 2007 SEPT. 30,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- --------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares issued .................................. -- -- 32,450 236,192 -- --
Shares reinvested .............................. -- -- 224,032 280,488 -- --
Shares redeemed ................................ -- -- (355,973) (852,883) -- --
-----------------------------------------------------------------------------
Net decrease in shares outstanding ............. -- -- (99,491) (336,203) -- --
Shares outstanding, beginning of period ....... -- -- 5,474,858 5,811,061 -- --
-----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- 5,375,367 5,474,858 -- --
=============================================================================
CLASS C
Shares issued .................................. -- -- 61 -- -- --
Shares reinvested .............................. -- -- 8 -- -- --
-----------------------------------------------------------------------------
Net increase in shares outstanding ............. -- -- 69 -- -- --
Shares outstanding, beginning of period ........ -- -- -- -- -- --
-----------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- 69 -- -- --
=============================================================================
CLASS Z
Shares issued .................................. 168,171 288,649 -- -- 1,979,515 12,145,070
Shares reinvested .............................. 157,028 401,811 -- -- 284,028 96,491
Shares redeemed ................................ (1,365,668) (4,330,971) -- -- (4,306,015) (3,119,676)
-----------------------------------------------------------------------------
Net increase (decrease) in shares outstanding... (1,040,469) (3,640,511) -- -- (2,042,472) 9,121,885
Shares outstanding, beginning of period ........ 7,793,486 11,433,997 -- -- 13,167,229 4,045,344
-----------------------------------------------------------------------------
Shares outstanding, end of period .............. 6,753,017 7,793,486 -- -- 11,124,757 13,167,229
=============================================================================
81
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------------------
STRATEGIC VALUE AND TAX-EXEMPT BOND ULTRA SHORT DURATION
HIGH INCOME FUND FUND FIXED INCOME FUND
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED
2007 SEPT. 30, 2007 SEPT. 30, 2007 SEPT. 30,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS A
Shares issued .................................. 3,015 -- 644,513 1,754,327 -- --
Shares reinvested .............................. 15 -- 10,092 47,266 -- --
Shares redeemed ................................ (270) -- (678,368) (1,043,394) -- --
------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding... 2,760 -- (23,763) 758,199 -- --
Shares outstanding, beginning of period ........ -- -- 11,283,934 10,525,735 -- --
------------------------------------------------------------------------------
Shares outstanding, end of period .............. 2,760 -- 11,260,171 11,283,934 -- --
==============================================================================
CLASS C
Shares issued .................................. 66 -- -- -- -- --
------------------------------------------------------------------------------
Net increase in shares outstanding ............. 66 -- -- -- -- --
Shares outstanding, beginning of period ........ -- -- -- -- -- --
------------------------------------------------------------------------------
Shares outstanding, end of period .............. 66 -- -- -- -- --
==============================================================================
CLASS Y
Shares issued .................................. 2,161 171,775 -- -- -- --
Shares reinvested .............................. 1,441 2,318 -- -- -- --
Shares redeemed ................................ (57,035) (54,863) -- -- -- --
------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding... (53,433) 119,230 -- -- -- --
Shares outstanding, beginning of period ........ 175,982 56,752 -- -- -- --
------------------------------------------------------------------------------
Shares outstanding, end of period .............. 122,549 175,982 -- -- -- --
==============================================================================
CLASS Z
Shares issued .................................. -- -- -- -- 1,230,224 3,667,531
Shares reinvested .............................. -- -- -- -- 401,075 938,389
Shares redeemed ................................ -- -- -- -- (3,496,895) (17,613,166)
------------------------------------------------------------------------------
Net decrease in shares outstanding ............. -- -- -- -- (1,865,596) (13,007,246)
Shares outstanding, beginning of period ........ -- -- -- -- 17,271,940 30,279,186
------------------------------------------------------------------------------
Shares outstanding, end of period .............. -- -- -- -- 15,406,344 17,271,940
==============================================================================
82
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
VALUE OPPORTUNITIES
FUND
- ---------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2007 SEPT. 30,
(UNAUDITED) 2006
- ---------------------------------------------------------------------------
CLASS A
Shares issued .................................. 8,554 --
Shares reinvested .............................. 26 --
Shares redeemed ................................ (1,729) --
------------------------
Net increase in shares outstanding ............. 6,851 --
Shares outstanding, beginning of period ........ -- --
------------------------
Shares outstanding, end of period .............. 6,851 --
========================
CLASS C
Shares issued .................................. 10,569 --
Shares reinvested .............................. 137 --
Shares redeemed ................................ (503) --
------------------------
Net increase in shares outstanding ............. 10,203 --
Shares outstanding, beginning of period ........ -- --
------------------------
Shares outstanding, end of period .............. 10,203 --
========================
CLASS Z
Shares issued .................................. 224,370 1,178,316
Shares reinvested .............................. 1,077,462 534,579
Shares redeemed ................................ (844,998) (5,427,049)
------------------------
Net increase (decrease) in shares outstanding 456,834 (3,714,154)
Shares outstanding, beginning of period ........ 5,297,161 9,011,315
------------------------
Shares outstanding, end of period .............. 5,753,995 5,297,161
========================
6. FEDERAL TAX INFORMATION
Each of the Funds intend to continue to qualify as a separate "regulated
investment company" under Subchapter M of the Internal Revenue Code and make the
requisite distributions to shareholders that will be sufficient to relieve it
from Federal income and excise taxes. Therefore, no Federal tax provision is
required. The amounts of distributions from net investment income and net
realized capital gains are determined in accordance with Federal income tax
regulations, which may differ from those amounts determined under U.S. generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. The differences are primarily due to wash sales, net
operating losses, REIT adjustments, paydowns, foreign currency transactions and
adjustments due to investments in passive foreign investment companies. The
character of distributions made during the year from net investment income or
net realized gains, and the timing of distributions where the fiscal year in
which the amounts are distributed may differ from the year that the income or
realize gains (losses) were recorded by the Fund. To the extent these
differences are permanent, adjustments are made to the appropriate net assets
accounts in the period that the differences arise.
83
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Accordingly, the following permanent differences have been reclassified to/from
the following accounts (000):
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME GAIN/LOSS CAPITAL
- ------------------------------------------------------------------------------------
Clover Core Fixed Income Fund ........... $ 15 $ (15) $ --
Diversified Growth Fund ................. $ 2 $ (2) $ --
Diversified Small Cap Value Fund ........ $ 1,174 $ (1,251) $ 77
Diversified Value Fund .................. $ 29 $ (29) $ --
Family Heritage(R) Fund ................. $ 28 $ (3) $ (25)
Healthcare and Biotechnology Fund ....... $ 627 $ (1) $ (626)
International Equity Fund ............... $ 1,239 $ (1,239) $ --
Pitcairn Select Value Fund .............. $ 15 $ (15) $ --
Sands Capital Select Growth Fund ........ $ 3,883 $ -- $(3,883)
Short Duration Fixed Income Fund ........ $ 305 $ (305) $ --
Small Cap Fund .......................... $ 138 $ (29) $ (109)
Small Cap Value Opportunities Fund ...... $ 786 $ (786) $ --
Ultra Short Duration Fixed Income Fund .. $ 68 $ (68) $ --
Value Opportunities Fund ................ $ 1 $ (1,805) $ 1,804
The reclassifications have no impact on net assets or net asset value per share.
The tax character of dividends and distributions declared during the periods
ended September 30, 2006 and September 30, 2005 (unless otherwise noted) were as
follows (000):
CLOVER CORE DIVERSIFIED DIVERSIFIED SMALL
FIXED INCOME GROWTH CAP VALUE DIVERSIFIED VALUE
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------
From ordinary income .......... $ 1,135 $ 1,211 $ 121 $ 536 $ -- $ -- $ 5,641 $ 1,707
From long-term capital gains... 521 395 -- -- 60,867 -- 10,085 --
-----------------------------------------------------------------------------
$ 1,656 $ 1,606 $ 121 $ 536 $60,867 $ -- $15,726 $ 1,707
-----------------------------------------------------------------------------
HEALTHCARE AND HLAM LARGE CAP INTERNATIONAL
FAMILY HERITAGE(R) BIOTECHNOLOGY QUALITY STOCK EQUITY
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005 (1) 2006 2005
- ----------------------------------------------------------------------------------------------------------------
From ordinary income .......... $ 227 $ 418 $ 955 $ 162 $ 160 $ -- $1,748 $ 238
From long-term capital gains... -- -- 831 1,072 3,728 956 -- --
------------------------------------------------------------------------------
$ 227 $ 418 $1,786 $1,234 $3,888 $ 956 $1,748 $ 238
------------------------------------------------------------------------------
84
NOTES TO FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------------------------------------------
PITCAIRN PITCAIRN SANDS CAPITAL
MID CAP SELECT VALUE TAXABLE BOND SELECT GROWTH
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
2006 2005 (1) 2006 2005 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------
From ordinary income ............ $ 39 $ 16 $ 2,639 $ 409 $ 2,111 $ 1,946 $ -- $ --
From long-term capital gains..... 24 5 4,225 882 -- -- -- --
------------------------------------------------------------------------------
$ 63 $ 21 $ 6,864 $ 1,291 $ 2,111 $ 1,946 $ -- $ --
------------------------------------------------------------------------------
SHORT DURATION SMALL CAP VALUE STRATEGIC VALUE
FIXED INCOME SMALL CAP OPPORTUNITIES AND HIGH INCOME
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------
From ordinary income............. $ 3,967 $ 5,248 $ -- $ -- $ 627 $ 1,664 $ 33 $ 112
From long-term capital gains..... -- -- 12,656 732 1,141 326 1 2
------------------------------------------------------------------------------
$ 3,967 $ 5,248 $ 12,656 $ 732 $ 1,768 $ 1,990 $ 34 $ 114
------------------------------------------------------------------------------
ULTRA SHORT
DURATION VALUE
TAX-EXEMPT BOND FIXED INCOME OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------
From ordinary income $ 36 $ 27 $ 9,756 $ 10,576 $ 2,018 $ 274
From long-term capital gains..... 1,409 716 -- -- 7,763 5,107
From tax exempt income........... 4,395 4,376 -- -- -- --
------------------------------------------------------------
$ 5,840 $ 5,119 $ 9,756 $ 10,576 $ 9,781 $ 5,381
------------------------------------------------------------
(1) From the period January 1, 2005 through September 30, 2005. The Fund
changed its fiscal year end from December 31 to September 30.
85
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
As of September 30, 2006, the components of distributable earnings (accumulated
deficit) on a tax basis were as follows (000):
TOTAL
CAPITAL DISTRIBUTABLE
LONG-TERM LOSS POST- UNREALIZED OTHER EARNINGS
ORDINARY CAPITAL TAX-EXEMPT CARRY OCTOBER APPRECIATION TEMPORARY (ACCUMULATED
INCOME GAIN INCOME FORWARD LOSSES (DEPRECIATION) DIFFERENCES DEFICIT)
- ------------------------------------------------------------------------------------------------------------------------------------
Clover Core Fixed
Income Fund ............... $ 77 $ -- $ -- $ (5) $ (228) $ (254) $ (77) $ (487)
Diversified Growth Fund ..... 29 -- -- (65,949) -- (457) (34) (66,411)
Diversified Small
Cap Value Fund ............ 14,797 57,818 -- -- -- 28,655 -- 101,270
Diversified Value Fund ...... 449 5,103 -- -- -- 31,775 (454) 36,873
Family Heritage(R) Fund ..... -- -- -- (11,180) -- 13,198 -- 2,018
Healthcare and
Biotechnology Fund ........ -- 1,803 -- -- -- 6,062 -- 7,865
HLAM Large Cap
Quality Stock Fund ........ 71 1,543 -- -- -- 3,540 (5) 5,149
International Equity Fund ... 1,669 5,806 -- -- -- 12,312 -- 19,787
Mid Cap Fund ................ 71 -- -- (9) (123) 820 -- 759
Pitcairn Select Value Fund .. 160 5,284 -- -- -- 5,948 (162) 11,230
Pitcairn Taxable Bond Fund .. 166 -- -- (602) (353) 776 (166) (179)
Sands Capital Select
Growth Fund ............... -- -- -- (28,823) (5,886) 14,280 -- (20,429)
Short Duration Fixed
Income Fund ............... 279 -- -- (3,118) (847) (1,295) (279) (5,260)
Small Cap Fund .............. -- 7,024 -- -- -- 9,110 -- 16,134
Small Cap Value
Opportunities Fund ........ 2,374 3,683 -- -- -- (711) -- 5,346
Strategic Value and
High Income Fund .......... 10 3 -- -- -- 119 (10) 122
Tax-Exempt Bond Fund ........ -- 186 361 -- -- 5,044 (361) 5,230
Ultra Short Duration
Fixed Income Fund ......... 718 -- -- (7,077) (376) 465 (719) (6,989)
Value Opportunities Fund .... 5,502 12,050 -- -- -- 10,655 (245) 27,962
Post-October losses represent losses realized on investment transactions from
November 1, 2005 through September 30, 2006 that, in accordance with Federal
income tax regulations, a Fund may elect to defer and treat as having arisen in
the following year. For Federal income tax purposes, capital loss carryforwards
may be carried forward and applied against future capital gains.
86
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
At September 30, 2006, the Funds had capital loss carryforwards available to
offset future realized capital gains through the indicated expiration dates
(000):
AMOUNT EXPIRATION DATE
- --------------------------------------------------------------------------------
Clover Core Fixed Income Fund $ 5 September 30, 2014
Diversified Growth Fund $17,343 September 30, 2009
35,398 September 30, 2010
11,331 September 30, 2011
1,877 September 30, 2013
Family Heritage(R) Fund $ 1,612 September 30, 2009
2,799 September 30, 2010
4,941 September 30, 2011
1,828 September 30, 2013
Mid Cap Fund $ 9 September 30, 2014
Sands Capital Select Growth Fund $ 8,045 September 30, 2009
12,366 September 30, 2010
5,720 September 30, 2011
2,692 September 30, 2014
Short Duration Fixed Income Fund $ 1,994 September 30, 2012
96 September 30, 2013
1,028 September 30, 2014
Taxable Bond Fund $ 473 September 30, 2010
129 September 30, 2014
Ultra Short Duration Fixed Income Fund $ 6,706 September 30, 2012
371 September 30, 2014
During the year ended September 30, 2006, the following Funds utilized capital
loss carryforwards as follows (000):
AMOUNT
- --------------------------------------------------------------------------------
Diversified Growth Fund $ 5,962
Family Heritage(R) Fund 3,680
International Equity Fund 24,106
87
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
At March 31, 2007, the total cost of investments for Federal income tax purposes
and the aggregate gross unrealized appreciation and depreciation for the
investments held by the Funds were as follows:
NET UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
Clover Core Fixed Income Fund ............. $ 20,600,434 $ 65,397 $ (305,990) $ (240,593)
Diversified Growth Fund ................... $134,472,891 $14,203,475 $ (7,224,558) $ 6,978,917
Diversified Small Cap Fund ................ $231,237,197 $35,515,060 $ (6,826,544) $28,688,516
Diversified Value Fund .................... $164,330,113 $24,681,894 $ (1,342,487) $23,339,407
Family Heritage(R) Fund ................... $ 77,290,063 $21,369,545 $ (4,640,766) $16,728,779
Healthcare and Biotechnology Fund ......... $ 51,432,128 $ 5,990,190 $ (532,242) $ 5,457,948
HLAM Large Cap Quality Stock Fund ......... $ 11,105,179 $ 1,008,325 $ (95,499) $ 912,826
International Equity Fund ................. $126,527,803 $29,961,362 $ (3,465,452) $26,495,910
Mid Cap Fund .............................. $293,439,778 $25,363,018 $ (4,081,535) $21,281,483
Pitcairn Select Value Fund ................ $ 59,440,149 $ 7,269,300 $ (157,632) $ 7,111,668
Pitcairn Taxable Bond Fund ................ $ 39,025,484 $ 986,162 $ (209,348) $ 776,814
Sands Capital Select Growth Fund .......... $604,668,215 $82,293,704 $(17,597,765) $64,695,939
Short Duration Fixed Income Fund .......... $ 67,021,512 $ 249,355 $ (994,298) $ (744,943)
Small Cap Fund ............................ $ 79,923,978 $ 8,547,547 $ (1,086,764) $ 7,460,783
Small Cap Value Opportunities Fund ........ $221,400,876 $23,999,198 $ (5,486,876) $18,512,322
Strategic Value and High Income Fund ...... $ 1,887,358 $ 5,642 $ (156) $ 5,486
Tax-Exempt Bond Fund ...................... $111,551,979 $ 4,145,626 $ (98,118) $ 4,047,508
Ultra Short Duration Fixed Income Fund .... $154,600,356 $ 1,726,974 $ (594,751) $ 1,132,223
Value Opportunities Fund .................. $100,861,649 $13,050,066 $ (641,891) $12,408,175
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 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. Recent SEC guidance allows implementing
FIN 48 in fund NAV calculations as late as the Fund's last NAV calculation in
the first required financial statement reporting period. As a result, the Funds
will incorporate FIN 48 in their semi annual report on March 31, 2008.
Management is in the process of determining the impact of adoption.
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.
88
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
8. CONCENTRATIONS/RISKS
Certain Funds invest a high percentage of their assets in specific sectors of
the market in order to achieve a potentially greater investment return. As a
result, the Funds may be more susceptible to economic, political, and regulatory
developments in a particular sector of the market, positive or negative, and may
experience increased volatility on the Fund's net asset value and magnified
effect on the total return.
The International Equity Fund invests in securities of foreign issuers in
various countries. These investments may involve certain considerations and
risks not typically associated with investments in the United States of America,
as a result of, among other factors, the possibility of future political and
economic developments and the level of governmental supervision and regulation
of securities markets in the respective countries.
9. SPECIAL SHAREHOLDERS' MEETING
A special meeting of shareholders of the Trust was held February 5, 2007 in
order to elect John F. Barrett, Richard L. Brenan, H.Jerome Lerner, and John P.
Zanotti to the Trust's Board of Trustees. The proposed Trustees were approved as
follows:
SHARES FOR SHARES WITHHELD
- --------------------------------------------------------------------------------
John F. Barrett ................................ 124,299,307 1,855,284
Richard L. Brenan .............................. 124,326,441 1,828,149
H. Jerome Lerner ............................... 124,307,162 1,847,428
John P. Zanotti ................................ 124,330,858 1,823,732
10. FUND MERGERS
During a meeting held February 22, 2007 of the Board of Trustees, the Trustees
unanimously approved an Agreement and Plan of Reorganization between the
Pitcairn Select Value Fund and Diversified Value Fund whereby the Pitcairn
Select Value Fund would transfer to the Diversified Value Fund all of its
assets, subject to all of its liabilities, in exchange for shares of the
Diversified Value Fund contingent upon shareholder approval.
11. SUBSEQUENT EVENT
During a meeting held February 22, 2007 of the Board of Trustees, the Trustees
unanimously approved the liquidation of the HLAM Large Cap Quality Stock Fund.
On May 11, 2007 all outstanding shares of the HLAM Large Cap Quality Stock Fund
were redeemed as part of the liquidation of the Fund and all operations ceased
on this date.
89
PORTFOLIO OF INVESTMENTS
CLOVER CORE FIXED INCOME FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 47.7%
$334,361 FHLMC ARM Pool #Q10089 (A), 4.53%, 1/1/36 ............ $ 331,017
982,293 FHLMC CMO Ser 3225 Class EO PO (B), .00%, 10/15/36.... 754,585
799,181 FHLMC CMO/REMIC Ser 3100 PO (B), .00%, 1/15/36 ....... 615,312
353,957 FHLMC CMO/REMIC Ser 3139, Class YB, 4.38%, 4/15/15 ... 345,399
762,961 FHLMC Gold #08168, 6.00%, 12/1/36 .................... 769,107
566,192 FHLMC Pool #C01844, 4.50%, 4/1/34 .................... 532,971
657,206 FHLMC Pool #G08062, 5.00%, 6/1/35 .................... 635,797
87,660 FNMA CMO/REMIC Ser 1994-17, Class H, 6.00%, 2/25/09 .. 87,758
547,528 FNMA Pool #254759, 4.50%, 6/1/18 ..................... 531,524
669,021 FNMA Pool #255111, 5.50%, 3/1/34 ..................... 663,151
17,547 FNMA Pool #369214, 5.00%, 4/1/09 ..................... 17,374
56,122 FNMA Pool #535301, 6.50%, 4/1/15 ..................... 57,539
771,169 FNMA Pool #689022, 5.00%, 5/1/33 ..................... 747,031
466,775 FNMA Pool #694431, 5.00%, 3/1/18 ..................... 461,558
389,610 FNMA Pool #738783, 7.00%, 2/1/25 ..................... 405,819
327,487 FNMA Pool #G11570, 5.00%, 4/1/19 ..................... 323,795
128,739 GNMA CMO/REMIC Ser 2004-59, Class DA, 5.00%, 6/16/34.. 127,332
5,624 GNMA Pool #196477, 10.00%, 4/15/10 ................... 6,123
18,957 GNMA Pool #202886, 8.00%, 3/15/17 .................... 20,016
5,551 GNMA Pool #221235, 8.50%, 7/15/17 .................... 5,942
14,821 GNMA Pool #331786, 8.00%, 8/15/22 .................... 15,736
84,355 GNMA Pool #376400, 6.50%, 2/15/24 .................... 86,690
68,048 GNMA Pool #439478, 7.00%, 1/15/27 .................... 71,215
154,351 GNMA Pool #457921, 5.50%, 12/15/28 ................... 154,035
101,071 GNMA Pool #462622, 6.50%, 3/15/28 .................... 104,086
51,690 GNMA Pool #533974, 6.50%, 5/15/32 .................... 53,134
124,867 GNMA Pool #570400, 6.50%, 9/15/31 .................... 128,471
963,801 GNMA Pool #745730, 5.50%, 3/1/35 ..................... 955,344
35,424 GNMA Pool #781029, 6.50%, 5/15/29 .................... 36,481
169,174 GNMA Pool #781096, 6.50%, 12/15/28 ................... 174,221
81,217 GNMA Pool #781231, 7.00%, 12/15/30 ................... 84,411
131,332 GNMA Pool #781276, 6.50%, 4/15/31 .................... 135,230
78,727 GNMA Pool #781328, 7.00%, 9/15/31 .................... 82,359
-----------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS..... $ 9,520,563
-----------
CORPORATE BONDS -- 24.8%
FINANCIALS -- 8.7%
$650,000 Lehman Brothers Holdings, MTN (A), 8.00%, 9/5/16...... $ 637,001
600,000 Marsh & McClennan, 7.13%, 6/15/09..................... 622,328
500,000 Morgan Stanley, MTN (A), 7.50%, 10/23/18.............. 491,875
-----------
1,751,204
-----------
ENERGY -- 4.6%
$350,000 Williams Cos, 8.75%, 3/15/32.......................... 403,375
475,000 XTO Energy, 7.50%, 4/15/12............................ 519,949
-----------
923,324
-----------
90
CLOVER CORE FIXED INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- -------------------------------------------------------------------------------
CORPORATE BONDS -- 24.8% (CONTINUED)
UTILITIES -- 4.1%
$350,000 AES, 9.38%, 9/15/10 .................................. $ 380,625
415,000 Consolidated Natural Gas, Ser C, 6.25%, 11/1/11....... 431,339
-----------
811,964
-----------
INDUSTRIALS -- 3.3%
$650,000 Toyota Motor Credit, MTN (A), 8.00%, 9/1/16 .......... 648,375
-----------
CONSUMER DISCRETIONARY -- 2.1%
$400,000 Comcast, 6.50%, 1/15/17 .............................. 422,160
-----------
CONSUMER STAPLES -- 2.0%
$367,000 Conagra Foods, 7.88%, 9/15/10 ........................ 397,287
-----------
TOTAL CORPORATE BONDS ................................ $ 4,954,314
-----------
U.S. TREASURY OBLIGATIONS -- 10.4%
$200,000 U.S. Treasury Bond, 7.50%, 11/15/16................... $ 243,055
550,000 U.S. Treasury Bond, 6.25%, 8/15/23.................... 631,425
575,000 U.S. Treasury Bond, 4.50%, 2/15/36+................... 542,116
350,000 U.S. Treasury Note, 4.25%, 8/15/13.................... 344,026
500,000 U.S. Treasury Strip, .00%, 5/15/17.................... 309,088
-----------
TOTAL U.S. TREASURY OBLIGATIONS ...................... $ 2,069,710
-----------
ASSET-BACKED SECURITIES -- 9.5%
$300,000 Countrywide Alternative Loan Trust, Ser 2005-J13,
Class 2A8, 5.50%, 11/25/35.......................... $ 292,413
500,000 CS First Boston Mortgage Securities, Ser 2005-C5,
Class A3 (A), 5.10%, 8/15/38........................ 496,799
500,000 Merrill Lynch Mortgage Investors, Ser 1998-C1,
Class A3 (A), 6.72%, 11/15/26....................... 534,675
600,000 Wachovia Bank Commercial Mortgage Trust,
Ser 2003-C5, Class B, 4.11%, 6/15/35 ............... 563,819
-----------
TOTAL ASSET-BACKED SECURITIES......................... $ 1,887,706
-----------
U.S. GOVERNMENT AGENCY OBLIGATION -- 4.1%
$750,000 TVA, 5.88%, 4/1/36 ................................... $ 808,100
-----------
MUNICIPAL BOND -- 2.0%
VIRGINIA -- 2.0%
$400,000 State Housing Authority RB, Taxable Rental, Ser C,
5.00%, 5/1/13 ...................................... $ 395,044
-----------
CONVERTIBLE BOND -- 0.1%
$ 13,000 Quebecor World, CV to 30.5880 Shares, 6.00%, 10/1/07.. $ 12,886
-----------
91
CLOVER CORE FIXED INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
INVESTMENT FUND -- 2.9%
568,531 BlackRock Institutional Money Market Trust,
5.23% * ^ .......................................... $ 568,531
-----------
CASH EQUIVALENT -- 0.7%
142,987 BlackRock TempFund, Institutional Shares, 5.22% ^ .... $ 142,987
-----------
TOTAL INVESTMENT SECURITIES -- 102.2%
(Cost $20,597,723) ................................... $20,359,841
LIABILITIES IN EXCESS OF OTHER ASSETS -- (2.2%) ...... (441,462)
-----------
NET ASSETS -- 100.0% ................................. $19,918,379
===========
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $542,117.
* Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
(A) Variable rate security - the rate reflected on the Statement of Net Assets
is the rate in effect on March 31, 2007.
(B) Zero Coupon security - The rate reported was the effective yield at the
time of purchase.
ARM - Adjustable Rate Mortgage
CMO - Collateralized Mortgage Obligation
CV - Convertible Security
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
PO - Principal Only Security
MTN - Medium Term Note
RB - Revenue Bond
REMIC - Real Estate Mortgage Investment Conduit
TVA - Tennessee Valley Authority
See accompanying notes to financial statements.
92
PORTFOLIO OF INVESTMENTS
DIVERSIFIED GROWTH FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.4% SHARES VALUE
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 27.4% ++
Alliance Data Systems*+ ................................. 39,625 $ 2,441,693
Apple Computer* ......................................... 13,528 1,256,886
Applied Materials+ ...................................... 83,936 1,537,708
Cisco Systems* .......................................... 149,531 3,817,526
Google, Class A* ........................................ 5,281 2,419,543
Hewlett-Packard ......................................... 45,550 1,828,377
Intel ................................................... 116,392 2,226,579
International Business Machines+ ........................ 20,923 1,972,202
Microsoft+ .............................................. 140,436 3,913,951
Motorola ................................................ 72,921 1,288,514
Novellus Systems*+ ...................................... 59,192 1,895,328
Oracle* ................................................. 173,813 3,151,230
Paychex+ ................................................ 60,594 2,294,695
QUALCOMM* ............................................... 28,212 1,203,524
SanDisk* ................................................ 24,230 1,061,274
------------
32,309,030
------------
HEALTH CARE -- 16.4%
Aetna ................................................... 46,441 2,033,651
Amgen* .................................................. 40,622 2,269,957
Barr Pharmaceuticals* ................................... 20,703 959,584
Biogen Idec ............................................. 28,226 1,252,670
Eli Lilly ............................................... 63,791 3,426,216
Johnson & Johnson ....................................... 39,685 2,391,418
Patterson*+ ............................................. 68,378 2,426,735
Stryker ................................................. 42,010 2,786,103
WellPoint* .............................................. 23,074 1,871,301
------------
19,417,635
------------
CONSUMER DISCRETIONARY -- 15.2%
Best Buy ................................................ 56,141 2,735,190
Brinker International ................................... 34,515 1,128,641
Children's Place Retail Stores* ......................... 24,610 1,372,254
Dollar Tree Stores* ..................................... 49,527 1,893,912
eBay*+ .................................................. 30,265 1,003,285
Hilton Hotels+ .......................................... 58,468 2,102,509
NIKE, Class B ........................................... 17,132 1,820,446
Pool+ ................................................... 33,059 1,183,512
Staples ................................................. 67,508 1,744,407
Walt Disney ............................................. 88,540 3,048,432
------------
18,032,588
------------
93
DIVERSIFIED GROWTH FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.4% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
INDUSTRIALS -- 11.9%
Celanese ................................................ 37,962 $ 1,170,748
Dover ................................................... 31,165 1,521,164
FedEx ................................................... 17,790 1,911,180
General Electric ........................................ 67,354 2,381,637
Goodrich ................................................ 43,490 2,238,865
Norfolk Southern ........................................ 17,868 904,121
Parker Hannifin ......................................... 23,301 2,011,109
United Technologies ..................................... 30,018 1,951,170
------------
14,089,994
------------
CONSUMER STAPLES -- 11.2%
Altria Group ............................................ 32,475 2,851,630
PepsiCo ................................................. 60,878 3,869,406
Procter & Gamble ........................................ 49,988 3,157,242
Wal-Mart Stores ......................................... 72,920 3,423,594
------------
13,301,872
------------
FINANCIALS -- 7.8%
American International Group ............................ 17,778 1,195,037
Capital One Financial ................................... 20,317 1,533,121
E*TRADE Financial* ...................................... 77,861 1,652,210
First Marblehead+ ....................................... 30,359 1,362,816
Goldman Sachs Group+ .................................... 8,600 1,777,018
Host Hotels & Resorts*+ ................................. 64,130 1,687,260
------------
9,207,462
------------
ENERGY -- 3.2%
Anadarko Petroleum ...................................... 23,350 1,003,583
National-Oilwell Varco*+ ................................ 21,995 1,710,991
Unit* ................................................... 22,209 1,123,553
------------
3,838,127
------------
MATERIALS -- 2.3%
Alcoa ................................................... 34,953 1,184,907
E.I. du Pont de Nemours+ ................................ 30,815 1,523,185
------------
2,708,092
------------
TELECOMMUNICATION SERVICES -- 1.9%
ADC Telecommunications* ................................. 74,823 1,252,537
Telephone & Data Systems ................................ 17,523 979,536
------------
2,232,073
------------
94
DIVERSIFIED GROWTH FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.4% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
UTILITIES -- 1.1%
AES* .................................................... 61,574 $ 1,325,073
------------
TOTAL COMMON STOCKS ..................................... $116,461,946
------------
EXCHANGE TRADED FUND -- 1.7%
iShares Russell 1000 Growth Index Fund .................. 36,810 $ 2,047,372
------------
INVESTMENT FUND -- 19.4%
BlackRock Institutional Money Market Trust, 5.23% ** ^ .. 22,942,490 $ 22,942,490
------------
TOTAL INVESTMENT SECURITIES -- 119.5%
(Cost $134,135,132) ..................................... $141,451,808
LIABILITIES IN EXCESS OF OTHER ASSETS -- (19.5%) ........ (23,097,264)
------------
NET ASSETS -- 100.0% .................................... $118,354,544
------------
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $22,215,319.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
++ More Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting purposes.
See accompanying notes to financial statements.
95
PORTFOLIO OF INVESTMENTS
DIVERSIFIED SMALL CAP VALUE FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.5% SHARES VALUE
- -------------------------------------------------------------------------------------
FINANCIALS -- 30.4%
Advanta, Class B ........................................ 60,725 $ 2,662,183
Affiliated Managers Group*+ ............................. 14,900 1,614,415
AG Edwards .............................................. 18,815 1,301,622
American Campus Communities ............................. 57,695 1,747,582
Annaly Capital Management ............................... 82,575 1,278,261
Anworth Mortgage Asset .................................. 131,480 1,284,560
Argonaut Group* ......................................... 43,475 1,406,851
Central Pacific Financial ............................... 69,850 2,554,415
City Holding ............................................ 54,690 2,212,211
CNA Surety* ............................................. 56,760 1,197,636
Columbia Banking System ................................. 66,820 2,253,839
Delphi Financial Group, Class A ......................... 37,435 1,506,010
FelCor Lodging Trust .................................... 111,370 2,892,278
First Charter ........................................... 78,990 1,698,285
First Midwest Bancorp ................................... 36,535 1,342,661
FirstFed Financial*+ .................................... 17,980 1,021,803
FirstMerit .............................................. 61,160 1,291,088
Flushing Financial ...................................... 104,955 1,703,420
FPIC Insurance Group* ................................... 32,425 1,448,425
Fulton Financial ........................................ 118,785 1,725,946
HCC Insurance Holdings .................................. 38,905 1,198,274
Highwoods Properties .................................... 32,925 1,300,208
Home Properties ......................................... 27,760 1,466,006
IBERIABANK .............................................. 23,990 1,335,283
Independent Bank ........................................ 53,520 1,762,949
Jackson Hewitt Tax Service .............................. 33,885 1,090,419
Lexington Realty Trust+ ................................. 82,875 1,751,149
LTC Properties .......................................... 48,915 1,267,388
MFA Mortgage Investments ................................ 175,365 1,350,311
National Retail Properties .............................. 53,050 1,283,280
Navigators Group* ....................................... 34,930 1,752,438
Northwest Bancorp ....................................... 73,605 1,993,959
Potlatch ................................................ 32,671 1,495,678
Prosperity Bancshares ................................... 53,385 1,854,595
Safety Insurance Group .................................. 32,045 1,285,645
Selective Insurance Group ............................... 64,825 1,650,445
Sovran Self Storage ..................................... 19,900 1,102,659
Sterling Bancshares ..................................... 135,962 1,520,055
Sun Communities ......................................... 47,275 1,466,471
United America Indemnity, Class A* ...................... 94,335 2,188,572
United Bankshares ....................................... 52,605 1,842,753
West Coast Bancorp ...................................... 59,885 1,914,523
Westamerica Bancorp ..................................... 34,925 1,682,337
------------
69,698,888
------------
96
DIVERSIFIED SMALL CAP VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 15.4%
Aeroflex* ............................................... 147,335 $ 1,937,454
Atmel* .................................................. 272,090 1,368,613
Avnet*+ ................................................. 60,725 2,194,601
Brocade Communications Systems* ......................... 161,285 1,535,433
CommScope* .............................................. 43,395 1,861,645
CSG Systems International* .............................. 46,870 1,172,687
CTS ..................................................... 71,135 983,086
Cymer*+ ................................................. 21,255 883,145
Digital River*+ ......................................... 22,870 1,263,568
Fairchild Semiconductor International* .................. 89,830 1,501,958
Imation ................................................. 31,830 1,285,295
Itron* .................................................. 21,590 1,404,214
j2 Global Communications* ............................... 39,990 1,108,523
Macrovision* ............................................ 58,175 1,457,284
Mentor Graphics* ........................................ 50,940 832,360
MicroStrategy, Class A* ................................. 10,980 1,387,762
NICE Systems ADR* ....................................... 47,410 1,612,888
Omnivision Technologies*+ ............................... 30,875 400,140
Paxar* .................................................. 31,995 918,257
Polycom*+ ............................................... 47,145 1,571,343
SeaChange International* ................................ 215,305 1,752,583
SPSS* ................................................... 34,055 1,229,386
Sykes Enterprises* ...................................... 75,135 1,370,462
TTM Technologies* ....................................... 83,100 792,774
United Online ........................................... 82,450 1,156,774
UTStarcom*+ ............................................. 132,660 1,099,751
Zoran* .................................................. 84,440 1,437,169
------------
35,519,155
------------
CONSUMER DISCRETIONARY -- 14.8%
AFC Enterprises* ........................................ 62,900 1,261,145
Brown Shoe .............................................. 36,645 1,539,090
Callaway Golf+ .......................................... 84,990 1,339,442
CEC Entertainment* ...................................... 32,825 1,363,551
Children's Place Retail Stores* ......................... 12,590 702,018
Dollar Tree Stores* ..................................... 39,705 1,518,319
GameStop, Class A* ...................................... 34,775 1,132,622
Genesco* ................................................ 45,915 1,906,850
Group 1 Automotive ...................................... 22,115 879,514
Harris Interactive* ..................................... 217,935 1,314,148
HOT Topic* .............................................. 131,100 1,455,210
Kellwood+ ............................................... 37,815 1,109,114
Maidenform Brands* ...................................... 70,030 1,615,592
Multimedia Games*+ ...................................... 58,810 699,839
97
DIVERSIFIED SMALL CAP VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 14.8% (CONTINUED)
OfficeMax ............................................... 26,255 $ 1,384,689
Phillips-Van Heusen ..................................... 31,805 1,870,134
Rent-A-Center* .......................................... 60,640 1,696,707
Scholastic* ............................................. 46,350 1,441,485
Sotheby's+ .............................................. 49,015 2,180,187
Tenneco* ................................................ 97,405 2,479,931
Tractor Supply*+ ........................................ 49,650 2,556,974
Wet Seal, Class A* ...................................... 200,250 1,311,638
Wolverine World Wide .................................... 42,950 1,227,082
------------
33,985,281
------------
INDUSTRIALS -- 11.9%
Ampco-Pittsburgh ........................................ 37,070 1,070,952
Armor Holdings*+ ........................................ 21,840 1,470,487
Bucyrus International ................................... 51,380 2,646,069
Consolidated Graphics* .................................. 17,910 1,326,236
EMCOR Group* ............................................ 26,535 1,565,034
Flowserve ............................................... 16,120 921,903
Freightcar America ...................................... 16,630 801,067
Genlyte Group* .......................................... 15,050 1,061,778
Granite Construction .................................... 20,800 1,149,408
HUB Group, Class A* ..................................... 46,705 1,353,978
Orbital Sciences* ....................................... 56,460 1,058,060
Pacer International ..................................... 34,540 930,508
Quanta Services*+ ....................................... 96,590 2,435,999
Republic Airways Holdings* .............................. 74,085 1,700,992
Saia* ................................................... 51,625 1,226,094
Skywest ................................................. 55,550 1,490,407
URS* .................................................... 37,140 1,581,793
Volt Information Sciences* .............................. 30,715 804,426
Washington Group International* ......................... 16,795 1,115,524
WESCO International*+ ................................... 26,135 1,640,755
------------
27,351,470
------------
MATERIALS -- 7.4%
AEP Industries* ......................................... 24,680 1,061,240
Buckeye Technologies* ................................... 157,855 2,048,958
Calgon Carbon*+ ......................................... 190,775 1,585,340
Chaparral Steel ......................................... 29,625 1,723,286
Commercial Metals ....................................... 44,015 1,379,870
GrafTech International* ................................. 119,920 1,088,874
Graphic Packaging* ...................................... 265,395 1,257,972
HB Fuller ............................................... 50,300 1,371,681
Innospec ................................................ 36,360 2,095,791
98
DIVERSIFIED SMALL CAP VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
MATERIALS -- 7.4% (CONTINUED)
Myers Industries ........................................ 75,625 $ 1,412,675
OM Group* ............................................... 45,680 2,040,982
------------
17,066,669
------------
UTILITIES -- 5.4%
AGL Resources ........................................... 40,580 1,733,578
Avista .................................................. 62,725 1,519,827
Cleco ................................................... 102,045 2,635,821
MGE Energy .............................................. 32,625 1,156,883
Nicor+ .................................................. 30,790 1,490,852
ONEOK ................................................... 40,090 1,804,050
Otter Tail .............................................. 60,765 2,080,594
------------
12,421,605
------------
CONSUMER STAPLES -- 5.4%
Andersons+ .............................................. 14,535 645,354
Church & Dwight ......................................... 32,620 1,642,417
Elizabeth Arden* ........................................ 81,445 1,777,130
NBTY* ................................................... 23,500 1,246,440
Pantry*+ ................................................ 17,750 802,655
Spartan Stores .......................................... 56,560 1,515,808
Steiner Leisure* ........................................ 17,775 799,520
TreeHouse Foods* ........................................ 53,460 1,628,926
Universal ............................................... 37,550 2,303,692
------------
12,361,942
------------
HEALTH CARE -- 4.5%
CONMED* ................................................. 57,170 1,671,079
MedCath* ................................................ 76,375 2,085,037
Noven Pharmaceuticals* .................................. 84,870 1,968,983
PSS World Medical* ...................................... 82,470 1,743,416
Service Corporation International ....................... 105,925 1,256,271
ViroPharma* ............................................. 114,930 1,649,246
------------
10,374,032
------------
ENERGY -- 4.3%
Cabot Oil & Gas ......................................... 32,915 2,215,837
Forest Oil*+ ............................................ 41,050 1,369,839
Foundation Coal Holdings ................................ 49,920 1,714,253
Houston Exploration* .................................... 28,065 1,514,107
SEACOR Holdings* ........................................ 17,690 1,740,696
Whiting Petroleum*+ ..................................... 32,535 1,282,204
------------
9,836,936
------------
TOTAL COMMON STOCKS $228,615,978
------------
99
DIVERSIFIED SMALL CAP VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
SHARES VALUE
- -------------------------------------------------------------------------------------
INVESTMENT FUND -- 12.8%
BlackRock Institutional Money Market Trust, 5.23% ** ^ .. 29,359,250 $ 29,359,250
------------
CASH EQUIVALENT -- 0.8%
BlackRock TempFund, Institutional Shares, 5.22% ^ ....... 1,950,485 $ 1,950,485
------------
TOTAL INVESTMENT SECURITIES -- 113.1%
(Cost $230,970,733) ..................................... $259,925,713
LIABILITIES IN EXCESS OF OTHER ASSETS -- (13.1%) ........ (30,019,053)
------------
NET ASSETS -- 100.0% .................................... $229,906,660
============
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $28,251,074.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depository Receipt
See accompanying notes to financial statements.
100
PORTFOLIO OF INVESTMENTS
DIVERSIFIED VALUE FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% SHARES VALUE
- -------------------------------------------------------------------------------
FINANCIALS -- 35.0%
American International Group....................... 72,618 $ 4,881,382
Bear Stearns+ ..................................... 38,755 5,826,814
Capital One Financial ............................. 49,314 3,721,234
CBL & Associates Properties........................ 60,059 2,693,046
Citigroup ......................................... 160,492 8,239,659
Comerica .......................................... 42,767 2,528,385
CompuCredit*+ ..................................... 59,307 1,851,565
Countrywide Financial ............................. 78,992 2,657,291
Everest Re Group .................................. 17,302 1,663,933
Genworth Financial ................................ 83,415 2,914,520
JPMorgan Chase .................................... 170,453 8,246,517
KeyCorp ........................................... 68,447 2,564,709
ProLogis .......................................... 41,740 2,710,178
RenaissanceRe Holdings ............................ 32,621 1,635,617
Washington Mutual+ ................................ 42,130 1,701,209
Wells Fargo ....................................... 148,218 5,103,146
------------
58,939,205
------------
ENERGY -- 14.3%
Anadarko Petroleum ................................ 73,255 3,148,500
Chevron Texaco .................................... 65,393 4,836,466
ConocoPhillips .................................... 91,336 6,242,816
Exxon Mobil ....................................... 91,688 6,917,859
Marathon Oil ...................................... 29,359 2,901,550
------------
24,047,191
------------
CONSUMER STAPLES -- 9.7%
Altria Group ...................................... 67,015 5,884,586
J.M. Smucker ...................................... 49,480 2,638,274
Procter & Gamble .................................. 84,573 5,341,631
Wal-Mart Stores ................................... 51,524 2,419,052
------------
16,283,543
------------
HEALTH CARE -- 7.6%
Aetna ............................................. 65,738 2,878,667
Eli Lilly ......................................... 43,905 2,358,138
Mylan Laboratories ................................ 66,795 1,412,046
PerkinElmer ....................................... 62,127 1,504,716
Pfizer ............................................ 186,116 4,701,290
------------
12,854,857
------------
101
DIVERSIFIED VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 7.5%
AT&T .............................................. 133,578 $ 5,266,981
Avaya* ............................................ 119,008 1,405,484
Telephone & Data Systems .......................... 22,810 1,275,079
Verizon Communications+ ........................... 124,011 4,702,497
------------
12,650,041
------------
CONSUMER DISCRETIONARY -- 6.9%
Dollar Tree Stores* ............................... 58,914 2,252,871
News, Class A ..................................... 108,429 2,506,878
Walt Disney ....................................... 199,133 6,856,150
------------
11,615,899
------------
UTILITIES -- 6.5%
American Electric Power ........................... 96,657 4,712,029
Pepco Holdings+ ................................... 117,056 3,396,965
SCANA ............................................. 65,198 2,814,598
------------
10,923,592
------------
INDUSTRIALS -- 5.0%
Alliant Techsystems* .............................. 19,295 1,696,416
Caterpillar ....................................... 33,247 2,228,547
Norfolk Southern .................................. 23,176 1,172,706
Novellus Systems*+ ................................ 43,089 1,379,710
Parker Hannifin ................................... 21,756 1,877,760
------------
8,355,139
------------
MATERIALS -- 4.1%
Alcoa ............................................. 55,682 1,887,620
Dow Chemical ...................................... 51,166 2,346,473
International Paper+ .............................. 41,613 1,514,713
Lyondell Chemical ................................. 40,797 1,222,686
------------
6,971,492
------------
INFORMATION TECHNOLOGY -- 3.1%
Computer Sciences* ................................ 29,295 1,527,148
Hewlett-Packard ................................... 92,215 3,701,510
------------
5,228,658
------------
TOTAL COMMON STOCKS ............................... $167,869,617
------------
102
DIVERSIFIED VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
EXCHANGE TRADED FUND -- 0.5%
iShares Russell 1000 Value Index Fund.............. 10,527 $ 875,215
------------
INVESTMENT FUND -- 11.2%
BlackRock Institutional Money Market Trust,
5.23% ** ^....................................... 18,924,688 $ 18,924,688
------------
TOTAL INVESTMENT SECURITIES -- 111.4%
(Cost $164,289,018)................................ $187,669,520
LIABILITIES IN EXCESS OF OTHER ASSETS -- (11.4%)... (19,244,169)
------------
NET ASSETS -- 100.0%............................... $168,425,351
============
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $16,890,033.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
See accompanying notes to financial statements.
103
PORTFOLIO OF INVESTMENTS
FAMILY HERITAGE FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCK -- 98.9% SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 21.5%
Berkshire Hathaway, Class B*+ ...................... 675 $ 2,457,000
Capital One Financial .............................. 29,833 2,251,198
CapitalSource+ ..................................... 75,697 1,902,266
Commerce Bancshares ................................ 42,170 2,037,233
CompuCredit*+ ...................................... 52,170 1,628,747
Federated Investors, Class B ....................... 56,185 2,063,113
Flagstar Bancorp ................................... 85,549 1,022,311
Philadelphia Consolidated Holding* ................. 15,777 694,030
Progressive ........................................ 29,836 651,022
TCF Financial+ ..................................... 99,197 2,614,832
-----------
17,321,752
-----------
INFORMATION TECHNOLOGY -- 17.2%
Dell* .............................................. 60,200 1,397,242
Fiserv* ............................................ 24,685 1,309,786
Marvell Technology Group* .......................... 67,227 1,130,086
Microsoft+ ......................................... 98,151 2,735,468
Molex, Class A ..................................... 34,942 869,706
Oracle* ............................................ 98,883 1,792,749
Paychex+ ........................................... 45,988 1,741,566
QUALCOMM* .......................................... 26,330 1,123,238
Vishay Intertechnology* ............................ 53,708 750,838
Yahoo!* ............................................ 30,021 939,357
-----------
13,790,036
-----------
HEALTH CARE -- 13.0%
Cephalon* .......................................... 21,459 1,528,095
Eli Lilly .......................................... 67,919 3,647,929
Stryker ............................................ 55,587 3,686,531
Universal Health Services, Class B ................. 26,348 1,508,686
-----------
10,371,241
-----------
CONSUMER DISCRETIONARY -- 12.7%
Aaron Rents ........................................ 29,351 776,040
Alberto-Culver ..................................... 43,868 1,003,700
Best Buy ........................................... 17,694 862,052
Carnival ........................................... 21,558 1,010,208
Comcast, Class A*+ ................................. 66,972 1,737,923
K-Swiss ............................................ 15,438 417,135
Marriott International, Class A+ ................... 25,168 1,232,225
Men's Wearhouse .................................... 21,629 1,017,644
NIKE, Class B ...................................... 9,402 999,057
Viacom, Class B* ................................... 27,846 1,144,749
-----------
10,200,733
-----------
104
FAMILY HERITAGE FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ENERGY -- 8.3%
Apache ............................................. 16,214 $ 1,146,330
CARBO Ceramics ..................................... 18,036 839,576
Chesapeake Energy+ ................................. 33,803 1,043,837
Devon Energy ....................................... 16,360 1,132,439
Hess Corporation ................................... 29,148 1,616,839
Murphy Oil+ ........................................ 16,714 892,528
-----------
6,671,549
-----------
CONSUMER STAPLES -- 7.7%
Central European Distribution* ..................... 47,926 1,395,126
Hansen Natural* .................................... 13,018 493,122
Wal-Mart Stores .................................... 49,147 2,307,451
Wm. Wrigley Jr.+ ................................... 38,862 1,979,242
-----------
6,174,941
-----------
INDUSTRIALS -- 7.2%
Danaher ............................................ 18,725 1,337,901
General Dynamics ................................... 25,485 1,947,055
Illinois Tool Works ................................ 33,377 1,722,253
Werner Enterprises ................................. 40,108 728,762
-----------
5,735,971
-----------
MATERIALS -- 4.7%
E.I. du Pont de Nemours ............................ 46,981 2,322,271
Worthington Industries+ ............................ 68,438 1,408,454
-----------
3,730,725
-----------
UTILITIES -- 3.6%
AES* ............................................... 132,416 2,849,592
-----------
TELECOMMUNICATION SERVICES -- 3.0%
Telephone & Data Systems ........................... 42,708 2,387,377
-----------
TOTAL COMMON STOCKS ................................ $79,233,917
-----------
105
FAMILY HERITAGE FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUND -- 1.2%
SPDR Trust Series 1+ ............................... 6,534 $ 928,156
-----------
INVESTMENT FUND -- 17.3%
BlackRock Institutional Money
Market Trust, 5.23% ** ^ ......................... 13,825,829 $13,825,829
-----------
CASH EQUIVALENT -- 0.0%
PNC Bank Money Market Fund, 4.80% ^ ................ 30,940 $ 30,940
-----------
TOTAL INVESTMENT SECURITIES -- 117.4%
(Cost $77,229,840) ................................. $94,018,842
LIABILITIES IN EXCESS OF OTHER ASSETS -- (17.4%) (13,961,626)
-----------
NET ASSETS -- 100.0% ............................... $80,057,216
===========
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $13,256,156.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
See accompanying notes to financial statements.
106
PORTFOLIO OF INVESTMENTS
HEALTHCARE AND BIOTECHNOLOGY FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 98.4% SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 98.4%
Abbott Laboratories ............................... 53,840 $ 3,004,271
Aetna ............................................. 7,700 337,183
Alexion Pharmaceuticals*+ ......................... 12,840 555,202
Allergan+ ......................................... 10,430 1,155,853
Baxter International .............................. 55,550 2,925,818
BioLase Technology* ............................... 18,790 182,827
BioMarin Pharmaceutical* .......................... 13,140 226,796
Bristol-Myers Squibb+ ............................. 43,460 1,206,450
Celgene*+ ......................................... 33,560 1,760,558
Cephalon*+ ........................................ 11,700 833,157
Cypress Bioscience* ............................... 42,490 322,924
Cytyc* ............................................ 15,850 542,229
DENTSPLY International ............................ 20,970 686,768
Express Scripts* .................................. 5,890 475,441
Genentech* ........................................ 5,650 463,978
Gilead Sciences* .................................. 41,790 3,196,934
Healthways* ....................................... 7,760 362,780
Henry Schein*+ .................................... 26,972 1,488,315
ICON Plc ADR* ..................................... 15,050 641,130
Intuitive Surgical*+ .............................. 7,490 910,559
Johnson & Johnson ................................. 26,790 1,614,365
Laboratory Corp. of America Holdings*+ ............ 26,360 1,914,527
Medicis Pharmaceutical+ ........................... 16,360 504,215
Medivation* ....................................... 22,390 422,275
Novartis AG ADR+ .................................. 9,250 505,328
Orthofix International N.V. ADR* .................. 7,110 362,966
Pharmaceutical Product Development ................ 44,860 1,511,333
Progenics Pharmaceuticals* ........................ 11,950 282,976
Quality Systems*+ ................................. 12,860 514,400
Respironics* ...................................... 10,390 436,276
Roche Holdings ADR ................................ 20,820 1,846,734
Schering-Plough ................................... 70,640 1,802,026
Sepracor* ......................................... 16,330 761,468
Shire ADR+ ........................................ 37,428 2,316,793
St. Jude Medical* ................................. 32,550 1,224,206
Thermo Fisher Scientific* ......................... 47,910 2,239,793
UnitedHealth Group ................................ 29,509 1,563,092
Universal Health Services, Class B ................ 8,080 462,661
West Pharmaceutical Services ...................... 10,640 494,015
Wyeth ............................................. 55,000 2,751,650
Xenoport* ......................................... 10,390 289,465
------------
45,099,737
------------
TOTAL COMMON STOCKS ............................... $ 45,099,737
------------
107
HEALTHCARE AND BIOTECHNOLOGY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
INVESTMENT FUND -- 24.3%
BlackRock Institutional
Money Market Trust, 5.23% ** ^ .................. 11,139,748 $ 11,139,748
------------
CASH EQUIVALENT -- 1.4%
BlackRock TempFund, Institutional Shares, 5.22% ^ . 650,591 $ 650,591
------------
TOTAL INVESTMENT SECURITIES -- 124.1%
(Cost $50,748,446) ................................ $ 56,890,076
LIABILITIES IN EXCESS OF OTHER ASSETS -- (24.1%) .. (11,040,364)
------------
NET ASSETS -- 100.0% .............................. $ 45,849,712
============
* Non=income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $10,725,851.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depositary Receipt
See accompanying notes to financial statements.
108
PORTFOLIO OF INVESTMENTS
HLAM LARGE CAP QUALITY STOCK FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 44.4% SHARES VALUE
- -------------------------------------------------------------------------------
FINANCIALS -- 10.5%
American International Group ........................ 3,846 $ 258,528
Berkshire Hathaway, Class A* ........................ 3 326,969
JP Morgan Chase ..................................... 1,745 84,423
Morgan Stanley ...................................... 1,915 150,825
Synovus Financial ................................... 5,920 191,453
US Bancorp .......................................... 2,815 98,441
Washington Mutual ................................... 1,835 74,097
Western Union ....................................... 1,410 30,950
-----------
1,215,686
-----------
CONSUMER DISCRETIONARY -- 10.5%
Comcast, Class A* ................................... 9,005 233,679
eBay* ............................................... 1,845 61,162
Harley-Davidson ..................................... 2,860 168,025
Home Depot .......................................... 5,785 212,540
International Game Technology ....................... 1,925 77,732
Mattel .............................................. 3,505 96,633
Omnicom Group ....................................... 1,675 171,487
TJX ................................................. 2,500 67,400
Viacom, Class B* .................................... 770 31,655
Walt Disney ......................................... 2,725 93,822
-----------
1,214,135
-----------
HEALTH CARE -- 9.2%
Allergan ............................................ 790 87,548
Amgen* .............................................. 1,355 75,717
Cardinal Health ..................................... 1,290 94,106
Johnson & Johnson ................................... 2,985 179,876
Pfizer .............................................. 4,430 111,902
Teva Pharmaceutical Industries ADR .................. 3,480 130,256
Varian Medical Systems* ............................. 1,335 63,666
Waters* ............................................. 4,370 253,460
Wyeth ............................................... 1,290 64,539
-----------
1,061,070
-----------
INFORMATION TECHNOLOGY -- 7.7%
Applied Materials ................................... 6,055 110,928
Automatic Data Processing ........................... 3,790 183,437
CDW* ................................................ 1,510 92,759
Cisco Systems* ...................................... 3,380 86,291
EMC* ................................................ 6,665 92,310
Microsoft ........................................... 5,745 160,113
109
HLAM LARGE CAP QUALITY STOCK FUND - (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 44.4% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 7.7% (CONTINUED)
Nokia ADR ........................................... 4,240 $ 97,181
Texas Instruments ................................... 2,500 75,250
-----------
898,269
-----------
CONSUMER STAPLES -- 3.8%
CVS/Caremark ........................................ 3,255 111,126
PepsiCo ............................................. 2,670 169,706
Procter & Gamble .................................... 1,140 72,002
Walgreen ............................................ 2,025 92,927
-----------
445,761
-----------
INDUSTRIALS -- 2.7%
Cintas .............................................. 1,110 40,071
Dover ............................................... 2,305 112,507
General Electric .................................... 2,170 76,731
Tyco International .................................. 2,540 80,137
-----------
309,446
-----------
TOTAL COMMON STOCKS ................................. $ 5,144,367
-----------
CASH EQUIVALENT -- 59.3%
BlackRock TempFund, Institutional Shares,
5.22% ^ ........................................... 6,873,639 $ 6,873,638
-----------
TOTAL INVESTMENT SECURITIES -- 103.7%
(Cost $11,097,132) ................................ $12,018,005
-----------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.7%) ..... (427,332)
-----------
NET ASSETS -- 100.0% ................................ $11,590,673
===========
* Non-income producing security.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depositary Receipt
See accompanying notes to financial statements.
110
PORTFOLIO OF INVESTMENTS
INTERNATIONAL EQUITY FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% SHARES VALUE
- --------------------------------------------------------------------------------
AUSTRALIA -- 4.6%
Adelaide Brighton Ltd ................................. 37,457 $ 103,955
Austereo Group ........................................ 15,200 25,212
Australia & New Zealand Banking Group ................. 33,800 812,250
BHP Billiton Ltd ...................................... 17,900 432,908
BlueScope Steel Ltd ................................... 7,200 61,170
Boral Limited ......................................... 5,700 38,003
Coles Group Ltd ....................................... 3,800 49,964
Felix Resources Ltd ................................... 1,300 5,259
Foster's Group Ltd .................................... 16,700 92,560
Goodman Fiedler Ltd ................................... 33,800 66,730
Independence Group NL ................................. 9,400 37,801
Insurance Australia Group ............................. 10,267 48,681
IOOF Holdings Ltd ..................................... 2,000 16,118
Jabiru Metals Ltd* .................................... 29,000 29,096
Jubilee Mines NL ...................................... 9,200 130,418
Leighton Holdings Ltd ................................. 6,000 162,732
Lend Lease Ltd ........................................ 13,100 211,885
Lion Nathan Ltd ....................................... 300 2,652
Macmahon Holdings Ltd ................................. 102,500 70,495
Minara Resouces Ltd ................................... 20,900 124,970
Mincor Resources ...................................... 12,500 31,050
National Australia Bank Ltd ........................... 28,600 934,899
Orica Limited ......................................... 500 10,256
Pacific Brands Ltd .................................... 23,900 59,368
Perilya Ltd ........................................... 20,700 60,631
Port Bouvard Ltd* ..................................... 10,148 20,938
Promina Group ......................................... 41,700 246,981
Qantas Airways Ltd .................................... 54,190 230,195
QBE Insurance Group Ltd ............................... 4,800 122,495
Rio Tinto Ltd ......................................... 10,000 637,673
Sally Malay Mining* ................................... 25,900 82,568
Sims Group Ltd ........................................ 7,100 134,199
Smorgon Steel Group Ltd ............................... 75,299 124,290
Straits Resources ..................................... 24,600 74,443
Suncorp-Metway Ltd .................................... 10,200 171,664
Sunland Group Ltd ..................................... 34,600 94,066
TABCORP Holdings ...................................... 13,300 177,455
West Australian Newspapers Holdings Ltd ............... 9,900 125,202
Westpac Banking ....................................... 22,700 483,975
Woolworths Ltd ........................................ 23,400 514,804
WorleyParsons Ltd ..................................... 2,300 51,717
Zinifex Ltd ........................................... 17,600 224,717
------------
7,136,445
------------
111
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
AUSTRIA -- 1.0%
Austrian Airlines* .................................... 4,911 $ 70,921
Boehler-Uddeholm AG ................................... 4,772 458,999
Immofinanz Immobilien Anlagen AG* ..................... 28,607 458,599
Voestalpine AG* ....................................... 8,000 580,322
------------
1,568,841
------------
BELGIUM -- 2.1%
Agfa Gevaert N.V. ..................................... 620 13,989
Delhaize Group* ....................................... 6,387 587,121
D'ieteren S.A.* ....................................... 225 93,180
Fortis ................................................ 42,000 1,917,788
Solvay S.A. ........................................... 2,321 356,700
Umicore ............................................... 1,800 320,059
------------
3,288,837
------------
CANADA -- 6.5%
Agnico-Eagle Mines Ltd ................................ 101 3,572
Agrium ................................................ 800 30,729
Alcan ................................................. 10,400 542,068
Angiotech Pharmaceuticals* ............................ 6,700 36,152
Aspreva Pharmaceuticals* .............................. 2,500 54,499
Atco Ltd, Class I ..................................... 4,200 170,968
AUR Resources ......................................... 8,700 183,102
Axcan Pharma* ......................................... 3,340 55,339
Bank of Montreal ...................................... 11,100 670,269
Bank of Nova Scotia ................................... 5,295 243,930
Barrick Gold .......................................... 8,400 239,647
Canaccord Capital ..................................... 3,820 73,184
Canada Bread Ltd ...................................... 180 8,153
Canadian Imperial Bank of Commerce .................... 1,780 154,459
Canadian Natural Resources ............................ 10,498 579,636
Canadian Utilities Ltd, Class A ....................... 8,100 298,646
CanWest Global Communications* ........................ 4,000 38,316
Cascades .............................................. 4,120 41,571
Celestica* ............................................ 8,400 51,290
Corus Entertainment, Class B .......................... 3,100 118,270
Dorel Industries ...................................... 600 19,461
Dundee Wealth Management .............................. 1,000 13,728
Dundee, Class A* ...................................... 1,900 87,759
Empire Ltd, Class A ................................... 1,200 41,677
EnCana ................................................ 8,700 440,049
Flint Energy Services Ltd* ............................ 3,900 84,411
Great-West Lifeco ..................................... 3,400 102,477
Groupe CGI* ........................................... 22,900 197,940
112
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CANADA -- 6.5% (CONTINUED)
Husky Injection Molding Systems Ltd ................... 420 $ 2,801
Inmet Mining .......................................... 4,000 219,990
Kingsway Financial Services ........................... 3,820 71,497
Laurentian Bank of Canada ............................. 1,792 51,839
Linamar ............................................... 5,320 72,755
Manulife Financial .................................... 10,200 350,719
Martinrea International* .............................. 1,250 16,077
Methanex .............................................. 7,200 160,450
MI Developments, Class A .............................. 3,600 134,571
National Bank of Canada ............................... 8,300 449,146
Nexen ................................................. 2,300 140,876
Nortel Networks Ltd* .................................. 15,380 368,582
Northbridge Financial ................................. 3,784 107,300
Open Text* ............................................ 4,200 93,451
Power Financial ....................................... 3,100 104,658
QLT* .................................................. 5,420 42,155
Royal Bank of Canada .................................. 19,010 946,714
Saputo ................................................ 6,699 267,937
Sherritt International ................................ 4,050 58,368
Sobeys ................................................ 2,500 79,032
Stantec* .............................................. 2,940 80,846
Sun Life Financial .................................... 1,370 62,318
Talisman Energy ....................................... 29,827 523,380
Teck Cominco Ltd, Class B ............................. 5,953 414,998
Telus ................................................. 9,207 459,473
Toronto-Dominion Bank ................................. 1,195 71,849
Transcontinental, Class B ............................. 6,200 114,753
------------
10,047,837
------------
CHINA -- 0.7%
Beijing Enterprises Holdings Ltd ...................... 36,000 91,687
China Mobile Ltd ...................................... 2,000 18,186
China Netcom Group Ltd ................................ 4,000 10,443
China Petroleum and Chemical .......................... 16,000 13,536
China Unicom Ltd ...................................... 16,000 23,058
Digital China Holdings Ltd* ........................... 25,000 9,823
Great Wall Technology* ................................ 92,000 28,494
Guangdong Investment Ltd .............................. 94,000 50,167
Guangzhou Investment Co Ltd ........................... 350,000 86,005
PetroChina Co Ltd, Class H ............................ 242,000 287,112
PICC Property & Casualty, Class H ..................... 238,000 136,461
Shanghai Industrial Holdings* ......................... 36,000 83,118
Shenzhen Expressway Co Ltd ............................ 8,000 5,027
Sinotrans Ltd ......................................... 234,000 93,738
TPV Technology Ltd .................................... 66,000 42,150
113
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CHINA -- 0.7% (CONTINUED)
Weiqiao Textile, Class H .............................. 39,000 $ 56,402
------------
1,035,407
------------
DENMARK -- 1.0%
Carlsberg A/S ......................................... 3,400 370,003
Danisco A/S* .......................................... 1,200 94,553
Danske Bank A/S ....................................... 20,546 955,876
Nordicom A/S .......................................... 469 59,699
------------
1,480,131
------------
FINLAND -- 0.7%
Finnair Oyj ........................................... 11,632 201,701
Nokia Oyj ............................................. 10,400 239,385
Outokumpu Oyj ......................................... 7,974 274,091
Rautaruukki Oyj ....................................... 7,187 334,988
------------
1,050,165
------------
FRANCE -- 8.0%
Air France-KLM* ....................................... 10,971 500,514
Alcatel ............................................... 27,110 319,069
Atos Origin S.A.* ..................................... 1,385 92,753
BNP Paribas S.A. ...................................... 2,200 229,802
Cap Gemini S.A. ....................................... 8,100 616,684
Christian Dior S.A. ................................... 6,000 729,410
Ciments Francais S.A. ................................. 881 185,780
Club Mediterranee* .................................... 525 30,768
CNP Assurances S.A. ................................... 4,600 535,740
Compagnie Generale des Etablissements Michelin,
Class B ............................................. 8,236 909,585
Credit Agricole S.A. .................................. 21,923 854,896
Fonciere des Regions .................................. 145 27,092
France Telecom ........................................ 3,707 97,906
Laurent-Perrier* ...................................... 1,962 223,420
Natixis* .............................................. 22,462 546,434
Nexans ................................................ 2,586 342,013
Nexity ................................................ 885 75,430
Peugeot S.A. .......................................... 10,500 740,071
Renault ............................................... 4,800 561,405
Saint-Gobain (cie De) ................................. 11,600 1,133,888
Sanofi-Aventis ........................................ 20,200 1,756,756
Societe Generale ...................................... 900 155,545
Sodexho Alliance S.A. ................................. 7,600 556,484
Sucriere de Pithiviers-Le-Vieil ....................... 57 54,141
Total S.A. ............................................ 9,000 630,619
Valeo* ................................................ 7,200 422,353
114
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FRANCE -- 8.0% (CONTINUED)
Vivendi ............................................... 2,772 $ 112,650
------------
12,441,208
------------
GERMANY -- 8.1%
Allianz SE ............................................ 5,772 1,185,244
Bayer AG .............................................. 22,550 1,441,176
Bechtle AG ............................................ 391 11,465
BMW-Bayerische Motoren Werke AG ....................... 766 45,200
DaimlerChrysler AG .................................... 24,300 1,993,213
Deutsche Bank AG ...................................... 11,800 1,589,623
E.ON AG ............................................... 14,200 1,930,767
Fresenius AG .......................................... 7,500 602,465
Infineon Technologies AG* ............................. 37,800 588,297
Rheinmetall AG ........................................ 1,063 98,198
Siemens AG ............................................ 15,900 1,699,710
ThyssenKrupp AG ....................................... 18,300 905,527
Volkswagen AG ......................................... 2,659 399,623
------------
12,490,508
------------
GREECE -- 0.4%
Bank of Greece* ....................................... 1,666 218,557
Coca-Cola Hellenic Bottling S.A.* ..................... 9,497 399,647
------------
618,204
------------
HONG KONG -- 1.4%
Chevalier International Holdings Ltd .................. 32,000 32,805
CLP Holdings Ltd ...................................... 50,500 368,725
eSun Holdings Ltd* .................................... 56,000 44,579
Great Eagle Holdings Ltd .............................. 4,000 13,566
Guoco Group Ltd ....................................... 10,000 140,654
Hang Lung Group Ltd ................................... 47,000 166,321
Hang Lung Properties Ltd .............................. 80,000 223,716
Hang Seng Bank Ltd .................................... 1,400 19,889
Henderson Land Development Co Ltd ..................... 16,000 93,479
Hong Kong Ferry Holdings .............................. 5,000 5,580
HongKong Electric Holdings ............................ 29,000 148,832
Hopson Development .................................... 28,000 70,309
Jardine Strategic ..................................... 4,000 51,200
Kerry Properties Ltd .................................. 38,500 197,834
Pacific Century Premium Developments Ltd .............. 151,000 47,734
Tai Cheung Holdings ................................... 63,000 38,702
Transport International Holdings Ltd .................. 16,800 91,273
Truly International Holdings .......................... 38,000 35,308
Wheelock & Co Ltd ..................................... 64,000 143,505
Wheelock Properties Ltd ............................... 105,000 110,866
115
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HONG KONG -- 1.4% (CONTINUED)
Wing On Co International Ltd .......................... 23,100 $ 38,433
Winsor Properties Holdings Ltd ........................ 21,000 35,477
------------
2,118,787
------------
INDIA -- 0.0%
Reliance Energy Ltd ................................... 380 12,962
------------
IRELAND -- 0.6%
Allied Irish Banks .................................... 31,500 932,102
------------
ITALY -- 4.3%
ACEA S.p.A ............................................ 3,000 56,108
Acegas-APS S.p.A ...................................... 4,738 58,865
C.I.R. - Compagnie Industriali Riunite ................ 77,500 309,565
Cam Finanziara S.p.A .................................. 12,360 27,575
Danieli S.p.A ......................................... 5,852 137,437
Engineering Ingegneria Informatica .................... 3,143 148,217
Eni ................................................... 28,200 917,710
Fiat S.p.A ............................................ 38,815 978,477
Fiera Milano .......................................... 6,317 75,107
Finmeccanica S.p.A .................................... 21,917 659,076
Gruppo Coin S.p.A.* ................................... 77,546 588,419
IFIL - Investments S.p.A .............................. 4,022 39,304
Immobiliare Lombarda* ................................. 757,195 224,058
Iride S.p.A ........................................... 36,272 122,473
Italcementi S.p.A ..................................... 10,755 322,126
Juventus Football Club S.p.A.* ........................ 17,268 43,807
KME Group* ............................................ 448,586 359,564
Pirelli & C. S.p.A .................................... 147,475 162,931
Reply S.p.A.* ......................................... 2,720 90,842
Telecom Italia S.p.A .................................. 387,700 1,105,792
UniCredito Italiano S.p.A ............................. 26,800 255,093
------------
6,682,546
------------
JAPAN -- 20.2%
Adeka ................................................. 5,100 58,949
Aichi Bank ............................................ 700 77,048
Aichi Machine Industry ................................ 7,000 18,059
Aida Engineering ...................................... 3,000 21,080
Aioi Insurance ........................................ 1,000 6,976
Airport Facilities .................................... 3,600 22,761
Aisin Seiki ........................................... 7,500 262,868
Alps Electric ......................................... 10,100 118,284
AOC Holdings .......................................... 3,100 50,774
AOKI Holdings ......................................... 1,600 30,551
116
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN -- 20.2% (CONTINUED)
Aoyama Trading ........................................ 3,500 $ 111,088
Asahi Breweries Ltd ................................... 19,400 311,164
Astellas Pharma ....................................... 12,500 538,889
Bank of Iwate Ltd ..................................... 400 23,151
Belluna ............................................... 50 687
BMB ................................................... 6,000 24,441
BML ................................................... 1,500 30,615
Bosch ................................................. 9,000 40,786
Bridgestone ........................................... 14,600 291,789
Brother Industries .................................... 3,000 40,633
Canon ................................................. 1,950 104,752
Cawachi Ltd ........................................... 1,700 46,022
Central Glass ......................................... 14,000 94,692
Chubu Steel Plate ..................................... 1,700 20,616
Chubu-Nippon Broadcasting ............................. 200 2,520
Chugoku Electric Power ................................ 10,200 228,090
Chukyo Bank Ltd ....................................... 15,000 47,864
Coca-Cola Central Japan Co Ltd ........................ 6 46,692
Corona ................................................ 1,900 32,571
Dai Nippon Printing ................................... 15,000 236,008
Daicel Chemical Industries ............................ 17,000 116,137
Daiichikosho .......................................... 4,800 54,381
Daikoku Denki ......................................... 900 16,383
Dainippon Ink & Chemicals ............................. 33,000 131,065
Dainippon Screen Mfg .................................. 3,000 22,684
Dainippon Sumitomo Pharma Co Ltd ...................... 14,000 149,582
Daisyo ................................................ 1,500 19,476
Daiwa Securities Group* ............................... 34,000 410,591
Eighteenth Bank ....................................... 11,000 51,436
Fields ................................................ 19 30,636
Fuji Heavy Industries Ltd ............................. 33,000 171,392
Fuji Machine Mfg. ..................................... 2,800 45,457
Fuji Oil Co Ltd ....................................... 5,000 41,965
Fuji Television Network ............................... 1 2,317
FUJIFILM Holdings ..................................... 12,300 503,127
Fujikura .............................................. 12,000 84,627
Fujitec Co Ltd ........................................ 7,000 47,999
Fujitsu Business Systems .............................. 1,800 27,985
Fujitsu Limited ....................................... 49,000 326,431
Furuno Electric ....................................... 400 3,595
Futaba ................................................ 3,100 73,925
Futaba Industrial ..................................... 3,200 77,668
H.I.S. ................................................ 1,900 54,661
Hakuhodo DY Holdings .................................. 360 25,174
Hakuto ................................................ 1,100 16,990
117
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN -- 20.2% (CONTINUED)
Hankyu Hanshin Holdings ............................... 35,000 $ 211,779
Hazama ................................................ 6,300 8,501
Heiwa ................................................. 2,600 32,126
Heiwado ............................................... 3,300 51,614
HI-LEX ................................................ 1,400 22,930
Hino Motors ........................................... 24,000 127,908
Hitachi ............................................... 83,000 643,799
Hitachi Cable Ltd ..................................... 9,000 51,250
Hokkaido Electric Power ............................... 7,500 199,219
Hokuriku Electric Power* .............................. 1,900 42,004
Honda Motor Co Ltd .................................... 27,300 952,203
Hyakugo Bank .......................................... 13,000 83,515
Inabata ............................................... 4,300 34,558
Japan Airlines ........................................ 90,000 187,126
Japan Airport Terminal Ltd ............................ 6,000 87,529
Japan Digital Laboratory .............................. 1,200 19,125
Japan Tobacco ......................................... 98 481,538
Japan Wool Textile Co Ltd ............................. 7,000 61,365
JFE Holdings .......................................... 11,700 692,061
Kaken Pharmaceutical .................................. 8,000 65,108
Kamei ................................................. 3,000 23,524
Kaneka ................................................ 10,000 95,388
Kansai Electric Power ................................. 10,300 296,321
Kanto Auto Works ...................................... 4,600 58,361
Kasumi ................................................ 5,000 27,581
Kato Sangyo ........................................... 1,900 25,041
Kawasaki Heavy Industries ............................. 58,000 245,615
KDDI .................................................. 84 670,802
Keihanshin Real Estate ................................ 4,000 29,261
Kirin Brewery Co Ltd .................................. 22,000 317,766
Kobe Steel ............................................ 76,000 306,361
Komori ................................................ 5,000 116,476
Konaka ................................................ 270 3,091
Konica Minolta Holdings ............................... 22,500 295,583
Kumamoto Family Bank .................................. 8,000 14,189
Kurabo Industries Ltd ................................. 18,000 49,951
Kyokuto Kaihatsu Kogyo Co Ltd ......................... 3,300 27,081
Kyokuto Securities .................................... 2,400 23,524
Kyushu Electric Power ................................. 10,500 298,511
Maeda Road Construction Co Ltd ........................ 7,000 55,247
Maezawa Kasei Industries .............................. 1,100 16,532
Matsushita Electric Industrial Ltd .................... 47,000 947,299
Matsuya Foods ......................................... 1,300 17,773
Mazda Motor ........................................... 20,000 110,663
Meiko Trans Co Ltd .................................... 1,000 12,518
118
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN -- 20.2% (CONTINUED)
Mie Bank Ltd .......................................... 9,000 $ 44,605
Mikuni Coca-Cola Bottling ............................. 3,600 37,670
Mito Securities ....................................... 6,000 30,704
Mitsuba ............................................... 4,000 31,366
Mitsubishi ............................................ 35,200 817,007
Mitsubishi Chemical Holdings .......................... 43,000 366,012
Mitsubishi Heavy Industries ........................... 85,000 549,667
Mitsubishi UFJ Financial Group ........................ 69 778,801
Mitsubishi UFJ Securities* ............................ 22,000 251,301
Mitsui Mining & Smelting Ltd .......................... 29,000 159,231
Mitsui Sumitomo Insurance ............................. 40,000 502,058
Mitsuuroko ............................................ 100 707
Mizuho Financial Group ................................ 79 508,856
Nagase ................................................ 5,000 63,012
Nakayama Steel Works .................................. 10,000 38,528
Nankai Electric Railway Co Ltd ........................ 12,000 40,429
NEC ................................................... 54,000 289,625
NEC Electronics ....................................... 3,000 72,559
NEC Networks & System Integration ..................... 2,900 36,695
Nihon Yamamura Glass .................................. 1,000 3,004
Nippo ................................................. 1,000 7,774
Nippon Electric Glass Co Ltd .......................... 15,000 262,868
Nippon Flour Mills Co Ltd ............................. 10,000 40,395
Nippon Koei ........................................... 6,000 18,229
Nippon Konpo Unyu Soko Co Ltd ......................... 5,000 70,013
Nippon Light Metal .................................... 5,000 14,172
Nippon Mining Holdings ................................ 33,500 289,129
Nippon Steel .......................................... 131,000 920,507
Nippon Telegraph & Telephone .......................... 146 771,910
Nippon Television Network ............................. 700 115,424
Nissan Motor .......................................... 62,900 674,186
Nissan Shatai ......................................... 10,000 50,919
Nissay Dowa General Insurance Co Ltd .................. 2,000 12,747
Nisshin Seifun Group .................................. 1,000 10,175
Nisshin Steel ......................................... 50,000 215,556
Noritake .............................................. 5,000 24,950
Noritsu Koki .......................................... 1,500 26,987
NTT DoCoMo ............................................ 179 331,158
Ohmoto Gumi ........................................... 3,000 19,095
Oiles ................................................. 1,800 39,487
Okasan Holding* ....................................... 10,000 78,075
Okinawa Electric Power ................................ 660 41,224
Ono Pharmaceutical .................................... 4,300 240,845
Onoken ................................................ 1,400 20,031
Onward Kashiyama ...................................... 10,000 139,093
119
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN -- 20.2% (CONTINUED)
Orient ................................................ 46,000 $ 78,466
Osaka Gas ............................................. 44,000 170,645
Osaka Steel ........................................... 1,800 34,523
PanaHome .............................................. 9,000 59,880
Piolax ................................................ 1,000 19,731
Rakuten ............................................... 55 26,185
Ricoh Co Ltd .......................................... 19,000 428,099
Riso Kagaku ........................................... 1,100 22,311
Roland ................................................ 1,200 27,700
Royal Holdings ........................................ 2,400 30,246
Ryosan ................................................ 2,500 64,285
Sanden ................................................ 11,000 48,169
San-In Godo Bank ...................................... 11,000 104,180
Sankei Building ....................................... 900 8,638
Sankyo ................................................ 3,300 145,067
Sankyo Seiko .......................................... 300 1,729
Sanyo Chemical Industries ............................. 5,000 34,328
Sanyo Electric Credit ................................. 1,900 52,081
Sanyo Special Steel ................................... 6,000 42,364
Sazaby League ......................................... 1,400 38,019
Sega Sammy Holdings ................................... 9,300 217,041
Seikagaku ............................................. 3,600 38,495
Seiko Epson ........................................... 6,800 200,246
Seino Holdings ........................................ 10,000 94,454
Sekisui House Ltd ..................................... 15,000 233,462
Sekisui Jushi ......................................... 4,000 31,536
SHiDAX ................................................ 23 21,471
Shindengen Electric Manufacturing Co Ltd .............. 2,000 8,945
Shinkawa .............................................. 1,300 30,008
Shinki ................................................ 1,500 4,239
Shinko Securities Co Ltd* ............................. 1,000 5,066
ShinMaywa Industries .................................. 8,000 41,414
Shinsei Bank .......................................... 44,000 210,973
Showa Denko ........................................... 46,000 172,937
Sintokogio ............................................ 3,500 50,346
Sojitz* ............................................... 31,400 130,839
Sompo Japan Insurance ................................. 25,000 311,665
Sumitomo Chemical ..................................... 34,000 256,800
Sumitomo Electric Industries .......................... 20,800 316,320
Sumitomo Metal Mining ................................. 15,000 289,600
Sumitomo Mitsui Financial Group ....................... 53 481,266
Sumitomo Precision Products ........................... 3,000 16,930
Sumitomo Wiring Systems ............................... 1,000 22,744
Suzuki Motor .......................................... 2,500 64,921
Taiho Kogyo ........................................... 1,000 14,376
120
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN -- 20.2% (CONTINUED)
Taisho Pharaceutical .................................. 10,000 $ 183,307
Takagi Securities ..................................... 4,000 17,855
Takefuji .............................................. 4,800 192,676
Teijin ................................................ 38,000 214,452
TKC ................................................... 2,000 34,964
Toagosei Co Ltd ....................................... 15,000 62,375
Toho Bank ............................................. 7,000 30,356
Tohoku Pioneer ........................................ 200 2,882
Tokushima Bank ........................................ 5,000 34,837
Tokyo Rakutenchi ...................................... 1,000 4,472
Tokyo Steel Manufacturing ............................. 6,800 100,181
Tokyo Style ........................................... 7,000 76,633
Toppan Printing ....................................... 14,000 146,137
Topre ................................................. 1,100 10,017
Topy Industries ....................................... 12,000 48,271
Torii Pharmaceutical Co Ltd ........................... 2,000 33,759
Toshiba TEC ........................................... 18,000 107,693
Tosoh ................................................. 20,000 103,025
Towa Real Estate Development* ......................... 1,500 8,122
Toyo Ink Manufacturing ................................ 16,000 59,745
Toyo Kohan ............................................ 6,000 24,135
Toyo Securities* ...................................... 5,000 23,041
Toyota Auto Body ...................................... 4,700 88,348
Toyota Motor* ......................................... 21,200 1,358,339
Trusco Nakayama ....................................... 2,200 44,528
Tsurumi Manufacturing ................................. 3,000 29,966
TV Asahi .............................................. 41 82,463
Uchida Yoko ........................................... 4,000 19,044
Unipres ............................................... 2,900 21,461
West Japan Railway .................................... 72 332,397
Yamaha Motor .......................................... 8,100 226,843
Yamato Kogyo .......................................... 3,600 113,039
Yonekyu ............................................... 1,000 10,133
Yorozu ................................................ 1,400 19,722
Yuraku Real Estate .................................... 4,000 23,389
------------
31,233,954
------------
NETHERLANDS -- 3.0%
ABN AMRO Holding N.V. ................................. 4,500 193,694
Aegon N.V. ............................................ 17,927 357,319
Buhrmann N.V. ......................................... 14,900 200,644
CSM N.V. .............................................. 3,117 111,180
Getronics N.V. ........................................ 1,423 12,946
Hunter Douglas N.V. ................................... 1,200 105,805
ING Groep N.V. ........................................ 6,400 270,603
121
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
NETHERLANDS -- 3.0% (CONTINUED)
Koninklijke DSM N.V. .................................. 11,700 $ 524,238
Koninklijke Nedschroef Holding N.V.* .................. 169 13,174
Koninklijke Philips Electronics N.V. .................. 36,476 1,393,158
Unilever N.V. ......................................... 47,600 1,386,253
Van der Moolen Holding N.V. ........................... 2,081 11,120
------------
4,580,134
------------
NEW ZEALAND -- 0.0%
Aire New Zealand Ltd .................................. 7,300 12,203
------------
NORWAY -- 0.0%
Aker Yards A/S ........................................ 715 12,351
------------
PORTUGAL -- 0.3%
Banco Espirito Santo .................................. 23,706 452,553
------------
SINGAPORE -- 0.9%
Asia Food & Properties ................................ 168,000 76,958
DBS Group Holdings .................................... 26,000 366,728
Guocoland Ltd ......................................... 28,000 77,511
Ho Bee Investment Ltd ................................. 39,000 58,094
Jardine Cycle & Carriage Limited ...................... 11,000 86,277
K1 Ventures Ltd ....................................... 25,000 5,438
Kim Eng Holdings Ltd .................................. 83,000 87,530
Kingboard Copper Foil Holdings* ....................... 129,000 36,986
Neptune Orient Lines Ltd .............................. 38,000 81,149
Singapore Airlines .................................... 22,000 240,707
Singapore Technologies Engineering Ltd ................ 18,000 39,388
SP Chemicals Ltd ...................................... 28,000 19,747
STATS ChipPAC Ltd* .................................... 51,000 61,178
United Industrial ..................................... 26,000 49,697
UOB-Kay Hian Holdings ................................. 10,000 10,150
Wheelock Properties S Ltd* ............................ 5,000 10,678
Wing Tai Holdings ..................................... 36,000 75,455
------------
1,383,671
------------
SOUTH KOREA -- 3.0%
Doosan Co Ltd* ........................................ 1,620 132,578
E1 .................................................... 870 51,596
Green Cross Holdings .................................. 20 1,456
GS Home Shopping ...................................... 920 66,882
Hanil Cement Co Ltd ................................... 698 62,242
Hanwha Chemical ....................................... 7,850 122,229
Hyundai Heavy Industries .............................. 1,300 259,757
Hyundai Mipo Dockyard Co Ltd .......................... 880 162,274
122
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
SOUTH KOREA -- 3.0% (CONTINUED)
Hyundai Mobis ......................................... 2,250 $ 193,223
Kiswire Ltd ........................................... 1,430 45,368
Korea Electric Power .................................. 6,630 264,600
Korea Kumho Petrochemical ............................. 800 27,931
Korea Petrochemical Industrial Co Ltd ................. 290 13,377
Korea Zinc ............................................ 1,250 133,519
KT .................................................... 2,470 110,784
KT Freetel Co Ltd ..................................... 5,110 143,109
KT&G .................................................. 780 50,984
Lotte Confectionery ................................... 40 51,229
LS Cable .............................................. 1,210 52,920
Nong Shim Holdings Co Ltd ............................. 120 9,948
Pacific ............................................... 160 23,467
POSCO ................................................. 1,810 759,873
Pusan Bank ............................................ 8,420 125,287
Samsung Electronics ................................... 810 484,685
Samsung Heavy Industries Co Ltd ....................... 8,090 215,818
Samwhan ............................................... 1,680 42,139
SFA Engineering ....................................... 920 34,223
Shinhan Financial Group ............................... 5,170 296,722
Shinyoung Securities* ................................. 910 45,844
SK .................................................... 3,140 308,367
SK Gas Co Ltd ......................................... 180 10,809
SK Telecom Co Ltd ..................................... 1,010 205,568
Sungwon* .............................................. 1,380 7,348
Woori Finance Holdings ................................ 6,360 153,782
------------
4,669,938
------------
SPAIN -- 4.5%
Banco Bilbao Vizcaya Argentaria ....................... 10,325 253,521
Banco Popular Espanol S.A. ............................ 15,627 322,331
Banco Santander Central Hispano ....................... 132,000 2,355,915
Cementos Portland Valderrivas S.A. .................... 1,673 252,554
Iberdrola S.A. ........................................ 46 2,175
Iberia Lineas Aereas de Espana* ....................... 66,000 351,800
Repsol YPF S.A. ....................................... 25,402 856,518
Sol Melia S.A.* ....................................... 17,600 423,218
Telefonica S.A. ....................................... 98,590 2,173,181
------------
6,991,213
------------
SWEDEN -- 1.6%
Boliden AB ............................................ 23,000 507,239
SAAB AB, Class B ...................................... 10,900 293,460
SAS Group* ............................................ 20,000 367,326
123
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
SWEDEN -- 1.6% (CONTINUED)
Tele2 AB .............................................. 27,800 $ 455,842
TeliaSonera AB ........................................ 105,520 910,450
------------
2,534,317
------------
SWITZERLAND -- 7.1%
Banque Cantonale de Geneve* ........................... 107 26,063
Bucher Industries ..................................... 2,096 282,870
Ciba Specialty Chemicals .............................. 6,590 434,109
Clariant* ............................................. 2,679 45,965
Credit Suisse Group ................................... 3,575 256,534
Emmi AG ............................................... 2,859 363,257
Georg Fischer AG* ..................................... 540 391,047
Holcim AG ............................................. 8,400 841,244
Jungfraubahn Holding* ................................. 457 17,769
Kardex AG ............................................. 4,400 186,833
Nestle AG ............................................. 1,500 584,163
Novartis AG ........................................... 16,800 963,594
Roche Holding AG ...................................... 4,800 849,243
Schweizerische National-Versicherungs-Gesellschaft* ... 137 107,102
SEZ Holding AG ........................................ 1,776 58,606
Siegfried Holding Ltd ................................. 1,687 247,941
Swiss Life Holding* ................................... 1,890 474,366
Swiss Reinsurance ..................................... 12,400 1,132,653
UBS AG ................................................ 32,497 1,930,781
WMH Walter Meier* ..................................... 93 16,286
Zueblin Immobilien Holding AG* ........................ 34,000 351,136
Zurich Financial Services Group ....................... 4,960 1,431,633
------------
10,993,195
------------
UNITED KINGDOM -- 18.3%
Anglo American ........................................ 33,700 1,775,360
Antofagast plc ........................................ 49,000 499,257
AstraZeneca PLC ....................................... 4,200 225,973
Aviva PLC ............................................. 82,343 1,212,904
BAE Systems plc ....................................... 113,955 1,031,571
Barclays PLC .......................................... 16,800 238,371
BP plc ................................................ 82,000 890,761
British Energy Group PLC* ............................. 49,000 469,847
British Insurance Holdings PLC ........................ 16,944 107,536
British Polythene Industries plc ...................... 1,744 17,126
Centrica plc .......................................... 44,889 341,427
Compass Group ......................................... 134,000 896,586
Cookson Group plc ..................................... 19,800 242,167
Delta plc ............................................. 9,608 25,809
124
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
FOREIGN COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 18.3% (CONTINUED)
Friends Provident ..................................... 63,637 $ 241,073
GKN ................................................... 74,000 555,564
GlaxoSmithKline plc ................................... 38,400 1,055,688
HBOS plc .............................................. 75,000 1,545,311
HSBC Holdings plc ..................................... 18,800 326,747
HSBC Holdings plc ..................................... 31,600 553,148
Imperial Tobacco Group plc ............................ 11,700 523,812
Investec PLC .......................................... 31,200 404,007
Kazakhmys PLC ......................................... 27,500 633,720
Legal & General Group ................................. 284,000 888,635
Lloyds TSB Group ...................................... 14,000 154,285
Millennium & Copthorne Hotels ......................... 28,800 385,398
NETeller PLC* ......................................... 42,809 148,271
Old Mutual ............................................ 243,000 784,735
Prudential plc ........................................ 80,500 1,136,648
Punch Taverns plc ..................................... 18,000 441,720
Resolution plc ........................................ 5,167 63,094
RM .................................................... 26,178 97,752
Royal Bank of Scotland Group .......................... 63,361 2,473,840
Royal Dutch Shell PLC, Class A ........................ 42,000 1,397,101
Royal Dutch Shell PLC, Class B ........................ 73,700 2,452,556
Scottish & Newcastle plc .............................. 51,000 603,690
Smiths Group plc ...................................... 9,046 183,003
Tate & Lyle ........................................... 39,000 441,307
Tesco plc ............................................. 19,000 166,107
Thus Group plc* ....................................... 2,778 10,073
Trinity Mirror plc .................................... 16,699 174,828
Unilever plc .......................................... 40,275 1,213,441
United Utilities ...................................... 18,703 278,070
Vodafone Group ........................................ 177,450 473,177
William Hill .......................................... 32,561 407,533
WPP Group ............................................. 6,448 97,707
------------
28,286,736
------------
TOTAL FOREIGN COMMON STOCKS ........................... $152,054,245
------------
125
INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 0.6%
PNC Bank Money Market Fund, 4.80%^ .................... 972,120 $ 972,120
------------
TOTAL INVESTMENT SECURITIES -- 98.9%
(Cost $126,006,371) ................................... $153,026,365
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.1% ......... 1,743,542
------------
NET ASSETS -- 100.0% .................................. $154,769,907
============
* Non-income producing security.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depository Receipt
See accompanying notes to financial statements.
126
PORTFOLIO OF INVESTMENTS
MID CAP FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 97.0% SHARES VALUE
- -------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 16.5%
American Eagle Outfitters ......................... 119,335 $ 3,578,857
Autoliv Incorporated .............................. 52,250 2,983,998
Columbia Sportswear ............................... 74,500 4,642,095
Dollar Tree Stores* ............................... 149,990 5,735,618
Goodyear Tire & Rubber* ........................... 140,080 4,369,095
Jarden* ........................................... 139,840 5,355,872
Molson Coors Brewing .............................. 46,990 4,446,194
O'Reilly Automotive ............................... 96,650 3,199,115
RH Donnelley ...................................... 76,860 5,448,605
Saks .............................................. 214,760 4,475,598
Sally Beauty Holdings* ............................ 325,170 2,988,312
Wolverine World Wide .............................. 141,440 4,040,941
------------
51,264,300
------------
INDUSTRIALS -- 15.8%
Brink's .......................................... 97,240 6,169,878
Carlisle .......................................... 95,870 4,115,699
Chicago Bridge & Iron ............................. 124,660 3,833,295
Corrections Corporation of America* ............... 87,115 4,600,543
Harsco ............................................ 72,990 3,274,331
Lincoln Electric Holdings ......................... 69,500 4,139,420
Precision Castparts ............................... 69,980 7,281,420
Roper Industries .................................. 88,530 4,858,526
RR Donnelley & Sons ............................... 139,080 5,088,937
US Airways Group* ................................. 65,260 2,968,025
WESCO International* .............................. 45,860 2,879,091
------------
49,209,165
------------
FINANCIALS -- 15.3%
A.G. Edwards ...................................... 60,380 4,177,088
Alexandria Real Estate Equities ................... 42,700 4,285,799
Arch Capital Group* ............................... 58,760 4,008,020
Assurant .......................................... 58,000 3,110,540
Douglas Emmett .................................... 136,880 3,494,546
Essex Property Trust .............................. 33,220 4,301,326
Hanover Insurance Group ........................... 88,810 4,095,917
IntercontinentalExchange* ......................... 47,560 5,812,307
Lazard, Class A ................................... 98,470 4,941,225
People's Bank ..................................... 113,282 5,029,721
SL Green Realty ................................... 33,270 4,563,979
------------
47,820,468
------------
127
MID CAP FUND (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 97.0% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 13.1%
Alliance Data Systems* ............................ 64,880 $ 3,997,906
Amphenol, Class A ................................. 56,300 3,635,291
Factset Research Systems .......................... 54,880 3,449,208
Fairchild Semiconductor International* ............ 209,980 3,510,866
Fidelity National Information Services ............ 124,419 5,656,087
Harris ............................................ 80,890 4,121,346
MEMC Electronic Materials* ........................ 95,800 5,803,563
Novell ............................................ 523,260 3,777,937
ON Semiconductor .................................. 537,140 4,791,289
Verigy ............................................ 99,900 2,344,653
------------
41,088,146
------------
ENERGY -- 7.1%
Acergy ADR* ....................................... 192,170 4,091,299
Cameron International* ............................ 67,370 4,230,162
Covanta Holding* .................................. 262,230 5,816,262
FMC Technologies* ................................. 57,580 4,016,781
Range Resources ................................... 123,405 4,121,727
------------
22,276,231
------------
HEALTH CARE -- 7.0%
Barr Pharmaceuticals* ............................. 42,340 1,962,459
Emdeon* ........................................... 199,270 3,014,955
Health Net* ....................................... 56,590 3,045,108
Henry Schein* ..................................... 59,100 3,261,138
IMS Health ........................................ 133,410 3,956,941
Pediatrix Medical Group ........................... 43,360 2,474,122
Wellcare Health Plans* ............................ 49,230 4,196,857
------------
21,911,580
------------
MATERIALS -- 6.3%
Celanese Corporation .............................. 152,970 4,717,595
Nalco Holding ..................................... 101,310 2,421,309
Sigma-Aldrich ..................................... 95,090 3,948,137
Sonoco Products ................................... 106,140 3,988,741
Titanium Metals* .................................. 127,080 4,559,630
------------
19,635,412
------------
UTILITIES -- 5.6%
Allegheny Energy* ................................. 97,790 4,805,400
MDU Resources Group ............................... 134,850 3,875,589
National Fuel Gas ................................. 95,410 4,127,437
ONEOK ............................................. 105,030 4,726,350
------------
17,534,776
------------
128
MID CAP FUND (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 97.0% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 5.5%
Leap Wireless International* ...................... 95,710 $ 6,314,946
NII Holdings* ..................................... 74,710 5,541,988
SBA Communications, Class A* ...................... 182,220 5,384,601
------------
17,241,535
------------
CONSUMER STAPLES -- 4.8%
Career Education* ................................. 101,770 3,103,985
Church & Dwight ................................... 92,080 4,636,228
Hormel Foods ...................................... 107,520 3,998,669
PetSmart .......................................... 100,790 3,322,038
------------
15,060,920
------------
TOTAL COMMON STOCKS ............................... $303,042,533
------------
CASH EQUIVALENT -- 3.7%
BlackRock TempFund, Institutional Shares,
5.22% ^.......................................... 11,678,728 $ 11,678,728
------------
TOTAL INVESTMENT SECURITIES -- 100.7%
(Cost $293,236,294) ............................... $314,721,261
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.7%) ... (2,144,755)
------------
NET ASSETS -- 100.0% .............................. $312,576,506
============
* Non-income producing security.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depository Receipt
See accompanying notes to financial statements.
129
PORTFOLIO OF INVESTMENTS
PITCAIRN SELECT VALUE FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.5% SHARES VALUE
- -------------------------------------------------------------------------------------
FINANCIALS -- 35.2%
Bear Stearns+ ........................................... 17,345 $ 2,607,821
Capital One Financial ................................... 31,245 2,357,748
CBL & Associates Properties ............................. 42,749 1,916,865
Citigroup ............................................... 52,330 2,686,622
CompuCredit*+ ........................................... 45,299 1,414,235
Everest Re Group ........................................ 20,137 1,936,575
Genworth Financial ...................................... 43,855 1,532,294
JP Morgan Chase ......................................... 57,755 2,794,186
Wells Fargo ............................................. 65,506 2,255,372
------------
19,501,718
------------
ENERGY -- 13.2%
Exxon Mobil ............................................. 52,910 3,992,059
Marathon Oil ............................................ 33,583 3,319,008
------------
7,311,067
------------
CONSUMER STAPLES -- 10.8%
Altria Group ............................................ 24,500 2,151,345
Procter & Gamble ........................................ 36,300 2,292,708
Wal-Mart Stores ......................................... 32,059 1,505,170
------------
5,949,223
------------
HEALTH CARE -- 8.6%
Aetna ................................................... 47,702 2,088,871
Pfizer .................................................. 105,660 2,668,971
------------
4,757,842
------------
UTILITIES -- 7.7%
American Electric Power ................................. 87,100 4,246,125
------------
INDUSTRIALS -- 7.1%
Dover ................................................... 34,750 1,696,148
Goodrich+ ............................................... 42,805 2,203,601
------------
3,899,749
------------
CONSUMER DISCRETIONARY -- 6.6%
Dollar Tree Stores* ..................................... 14,701 562,166
Walt Disney ............................................. 90,115 3,102,660
-----------
3,664,826
-----------
TELECOMMUNICATION SERVICES -- 6.3%
AT&T+ ................................................... 42,731 1,684,883
Verizon Communications+ ................................. 47,395 1,797,219
------------
3,482,102
------------
130
PITCAIRN SELECT VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.5% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
MATERIALS -- 4.0%
Alcoa ................................................... 42,915 $ 1,454,819
Lyondell Chemical ....................................... 24,987 748,860
------------
2,203,679
------------
TOTAL COMMON STOCKS ..................................... $ 55,016,331
------------
EXCHANGE TRADED FUND -- 0.8%
iShares Russell 1000 Value Index Fund ................... 5,024 $ 417,695
------------
INVESTMENT FUND -- 20.0%
BlackRock Institutional Money Market Trust, 5.23% ** ^... 11,083,754 $ 11,083,754
------------
CASH EQUIVALENT -- 0.1%
PNC Bank Money Market Fund, 4.80% ^ ..................... 34,037 $ 34,037
------------
TOTAL INVESTMENT SECURITIES -- 120.4%
(Cost $59,440,149) ...................................... $ 66,551,817
LIABILITIES IN EXCESS OF OTHER ASSETS -- (20.4%) ........ (11,262,519)
------------
NET ASSETS -- 100.0% .................................... $ 55,289,298
============
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $8,609,088.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
See accompanying notes to financial statements.
131
PORTFOLIO OF INVESTMENTS
PITCAIRN TAXABLE BOND FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------
CORPORATE BONDS -- 44.3%
FINANCIALS -- 19.5%
$1,500,000 21st Century Insurance, 5.90%, 12/15/13 ................................ $ 1,542,542
1,000,000 American General Finance, MTN, Ser I, 4.63%, 5/15/09 ................... 987,409
439,000 Berkley (WR), 6.15%, 8/15/19 ........................................... 443,734
904,000 Ford Motor Credit, 7.38%, 10/28/09 ..................................... 902,338
1,500,000 Goldman Sachs Group, 5.63%, 1/15/17 .................................... 1,485,747
1,000,000 HSBC Finance, 4.75%, 5/15/09 ........................................... 991,398
450,000 Kimco Realty, MTN, Ser B, 7.90%, 12/7/07 ............................... 457,090
1,000,000 Radian Group, 5.63%, 2/15/13 ........................................... 1,009,596
-----------
7,819,854
-----------
INDUSTRIALS -- 7.7%
1,000,000 Gannet, 6.38%, 4/1/12 .................................................. 1,044,824
1,000,000 General Electric Capital, MTN, 5.72%, 8/22/11 .......................... 1,007,764
1,000,000 Tyco International Group, 6.00%, 11/15/13 .............................. 1,051,192
-----------
3,103,780
-----------
TELECOMMUNICATION SERVICES -- 5.6%
1,000,000 Telecom de Puerto Rico, 6.80%, 5/15/09 ................................. 1,024,170
1,000,000 Verizon Communications, 8.75%, 11/1/21 ................................. 1,236,796
-----------
2,260,966
-----------
ENERGY -- 4.9%
1,000,000 Entergy Louisiana, 5.83%, 11/1/10 ...................................... 999,360
1,000,000 Sunoco, 5.75%, 1/15/17 ................................................. 987,330
-----------
1,986,690
-----------
CONSUMER DISCRETIONARY -- 2.7%
1,000,000 May Department Stores, 7.63%, 8/15/13 .................................. 1,091,827
-----------
CONSUMER STAPLES -- 2.6%
1,045,000 H.J. Heinz, 6.00%, 3/15/08 ............................................. 1,045,912
-----------
SOVEREIGN BOND -- 1.3%
500,000 Aid-Israel, 5.50%, 4/26/24 ............................................. 523,172
-----------
TOTAL CORPORATE BONDS .................................................. $17,832,201
-----------
132
PITCAIRN TAXABLE BOND FUND
(CONTINUED)
- --------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 31.3%
$1,635,000 FHLB, Ser RA18, 5.13%, 6/26/18 ......................................... $ 1,583,262
1,500,000 FHLMC, 5.25%, 1/11/10 .................................................. 1,497,177
1,000,000 FHLMC, 5.20%, 3/5/19 ................................................... 980,483
1,500,000 FHLMC, MTN, 4.65%, 10/10/13 ............................................ 1,457,027
1,544,000 FHLMC, MTN, 5.00%, 12/14/18 ............................................ 1,507,094
1,000,000 FHLMC, MTN (A), .00%, 3/4/19 ........................................... 487,950
5,000,000 FHLMC, MTN (A), .00%, 4/4/36 ........................................... 668,285
1,000,000 FNMA, 8.20%, 3/10/16 ................................................... 1,229,300
2,000,000 FNMA, 5.55%, 2/16/17 ................................................... 2,007,595
1,175,000 TVA, Ser B, 6.24%, 7/15/45 ............................................. 1,206,891
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS ............................... $12,625,064
-----------
U.S. TREASURY OBLIGATIONS -- 17.7%
$ 830,000 U.S. Treasury Bonds, 7.50%, 11/15/16 ................................... $ 1,008,677
1,500,000 U.S. Treasury Bonds, 8.75%, 5/15/17 .................................... 1,982,929
1,500,000 U.S. Treasury Bonds, 8.13%, 8/15/19 .................................... 1,958,907
913,000 U.S. Treasury Bonds, 7.63%, 11/15/22 ................................... 1,181,622
1,000,000 U.S. Treasury Notes, 4.00%, 9/30/07 .................................... 994,961
-----------
TOTAL U.S. TREASURY OBLIGATIONS ........................................ $ 7,127,096
-----------
MUNICIPAL BONDS -- 4.2%
MARYLAND -- 3.0%
$1,185,000 Baltimore, Consolidated Public Improvement GO, Ser B, AMBAC, 5.00%,
10/15/10 ............................................................. $ 1,189,159
-----------
NEW YORK -- 1.2%
500,000 Sales Tax Asset Receivable RB, Ser B, FGIC, 4.76%, 10/15/15 ............ 486,665
-----------
TOTAL MUNICIPAL BONDS .................................................. $ 1,675,824
-----------
133
PITCAIRN TAXABLE BOND FUND
(CONTINUED)
- --------------------------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------------------------
CASH EQUIVALENT -- 1.3%
542,113 PNC Bank Money Market Fund, 4.80%^ ..................................... $ 542,113
-----------
TOTAL INVESTMENT SECURITIES -- 98.8%
(Cost $38,992,985) ..................................................... $39,802,298
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.2% .......................... 485,421
-----------
NET ASSETS -- 100.0% ................................................... $40,287,719
===========
^ The rate shown is the 7-day effective yield as of March 31, 2007.
(A) Zero Coupon Security - The rate shown was the effective yield at the time
of purchase.
AMBAC - American Municipal Bond Assurance Corporation
FGIC - Financial Guaranty Insurance Corporation
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GO - General Obligation
MTN - Medium Term Note
RB - Revenue Bond
TVA - Tennessee Valley Authority
See accompanying notes to financial statements.
134
PORTFOLIO OF INVESTMENTS
SANDS CAPITAL SELECT GROWTH FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.6% SHARES VALUE
- --------------------------------------------------------------------------------------
HEALTH CARE -- 31.2%
Abraxis BioScience*+ .................................... 213,200 $ 5,694,572
Allergan+ ............................................... 219,900 24,369,318
Cerner*+ ................................................ 148,800 8,102,160
Genentech* .............................................. 399,900 32,839,788
Genzyme* ................................................ 381,000 22,867,620
Intuitive Surgical*+ .................................... 99,500 12,096,215
Patterson*+ ............................................. 190,000 6,743,100
Stryker ................................................. 202,800 13,449,696
Teva Pharmaceutical Industries ADR ...................... 397,100 14,863,453
Varian Medical Systems*+ ................................ 293,800 14,011,322
Zimmer Holdings* ........................................ 133,600 11,410,776
-------------
166,448,020
-------------
INFORMATION TECHNOLOGY -- 29.3%
Apple Computer* ......................................... 296,600 27,557,106
Broadcom, Class A*+ ..................................... 667,200 21,397,104
Google, Class A* ........................................ 108,000 49,481,280
Iron Mountain*+ ......................................... 236,000 6,166,680
QUALCOMM* ............................................... 551,500 23,526,990
Salesforce.com*+ ........................................ 229,800 9,840,036
Yahoo!*+ ................................................ 579,000 18,116,910
-------------
156,086,106
-------------
FINANCIALS -- 13.3%
Chicago Mercantile Exchange Holdings+ ................... 53,100 28,273,626
Intercontinental Exchange* .............................. 192,900 23,574,309
Moody's+ ................................................ 304,200 18,878,652
-------------
70,726,587
-------------
CONSUMER DISCRETIONARY -- 11.7%
Lowe's .................................................. 797,500 25,113,275
Starbucks*+ ............................................. 1,184,600 37,149,056
-------------
62,262,331
-------------
ENERGY -- 4.5%
Schlumberger+ ........................................... 347,300 23,998,430
-------------
TELECOMMUNICATION SERVICES -- 4.2%
America Movil ADR+ ...................................... 466,700 22,303,593
-------------
CONSUMER STAPLES -- 3.3%
Walgreen+ ............................................... 381,400 17,502,446
-------------
135
SANDS CAPITAL SELECT GROWTH FUND (CONTINUED)
- ---------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.6% (CONTINUED) SHARES VALUE
- ---------------------------------------------------------------------------------------
INDUSTRIALS -- 2.1%
Expeditors International of Washington* ................. 266,300 $ 11,003,517
-------------
TOTAL COMMON STOCKS ..................................... $ 530,331,030
-------------
INVESTMENT FUND -- 25.5%
BlackRock Institutional Money Market Trust, 5.23% ** ^... 135,586,413 $ 135,586,413
-------------
CASH EQUIVALENT -- 0.6%
PNC Bank Money Market Fund, 4.80% ^ ..................... 3,446,711 $ 3,446,711
-------------
TOTAL INVESTMENT SECURITIES -- 125.7%
(Cost $602,690,385) ..................................... $ 669,364,154
LIABILITIES IN EXCESS OF OTHER ASSETS -- (25.7%) ........ (136,800,236)
-------------
NET ASSETS -- 100.0% .................................... $ 532,563,918
=============
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $132,179,528.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depository Receipt
See accompanying notes to financial statements.
136
PORTFOLIO OF INVESTMENTS
SHORT DURATION FIXED INCOME FUND - MARCH 31, 2007 (UNAUDITED)
- ------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 69.7%
$ 69,771 FHLMC CMO/REMIC Ser 1538, Class J, 6.500%, 6/15/08 ............. $ 69,494
343,628 FHLMC CMO/REMIC Ser 2509, Class EA, 4.000%, 12/15/12 ........... 341,958
818,807 FHLMC CMO/REMIC Ser 2510, Class TA, 4.000%, 6/15/32 ............ 788,030
1,557,681 FHLMC CMO/REMIC Ser 2515, Class ED, 5.000%, 3/15/17 ............ 1,549,440
1,529,409 FHLMC CMO/REMIC Ser 2543, Class YJ, 4.500%, 3/15/32 ............ 1,493,748
1,048,408 FHLMC CMO/REMIC Ser 2566, Class LM, 4.500%, 4/15/32 ............ 1,024,851
1,082,075 FHLMC CMO/REMIC Ser 2575, Class QP, 4.500%, 11/15/31 ........... 1,065,019
813,464 FHLMC CMO/REMIC Ser 2583, Class ND, 4.250%, 12/15/10 ........... 800,781
923,654 FHLMC CMO/REMIC Ser 2590, Class QY, 3.750%, 4/15/28 ............ 887,764
1,732,849 FHLMC CMO/REMIC Ser 2590, Class UL, 3.750%, 3/15/32 ............ 1,676,371
1,330,862 FHLMC CMO/REMIC Ser 2596, Class QE, 4.000%, 3/15/33 ............ 1,274,080
2,976,107 FHLMC CMO/REMIC Ser 2649, Class PJ, 3.500%, 6/15/33 ............ 2,874,159
3,023,777 FHLMC CMO/REMIC Ser 2744, Class TA, 5.500%, 3/15/26 ............ 3,020,961
2,340,763 FHLMC CMO/REMIC Ser 3092, Class TA, 7.250%, 11/15/35 ........... 2,384,162
886,452 FHLMC CMO/REMIC Ser 3251, Class TA, 7.400%, 6/15/36 ............ 892,808
136,165 FHLMC Pool #C66916, 7.000%, 5/1/32 ............................. 141,289
160,278 FHLMC Pool #D94598, 6.500%, 4/1/21 ............................. 165,444
248,292 FHLMC Pool #E97227, 7.000%, 9/1/14 ............................. 253,175
22,262 FHLMC Pool #G10288, 6.000%, 9/1/09 ............................. 22,324
39,988 FHLMC Pool #G10446, 6.500%, 2/1/11 ............................. 40,699
228,305 FHLMC Pool #G30085, 7.500%, 10/1/17 ............................ 240,025
451,410 FHLMC Pool #M90771, 5.000%, 12/1/07 ............................ 449,519
55,571 FNMA CMO/REMIC Ser 1994-27, Class PJ, 6.500%, 6/25/23 .......... 55,453
29,863 FNMA CMO/REMIC Ser 1999-15, Class PC, 6.000%, 9/25/18 .......... 29,957
1,043,816 FNMA CMO/REMIC Ser 2002-71, Class AP, 5.000%, 11/25/32 ......... 1,031,958
1,049,019 FNMA CMO/REMIC Ser 2003-119, Class PU, 4.000%, 11/25/33 ........ 1,022,546
744,838 FNMA CMO/REMIC Ser 2003-19, Class ME, 4.000%, 1/25/33 .......... 719,409
1,193,006 FNMA CMO/REMIC Ser 2003-30, Class MB, 4.000%, 6/25/27 .......... 1,176,926
3,336,528 FNMA CMO/REMIC Ser 2003-34, Class GJ, 4.000%, 2/25/33 .......... 3,211,238
1,014,814 FNMA CMO/REMIC Ser 2003-42, Class CA, 4.000%, 5/25/33 .......... 971,948
312,763 FNMA CMO/REMIC Ser 2003-66, Class AP, 3.500%, 11/25/32 ......... 294,573
4,572,061 FNMA CMO/REMIC Ser 2005-93, Class XT (A), 7.000%, 10/25/35 ..... 4,552,960
2,809,739 FNMA CMO/REMIC Ser 2006-14, Class DT (A), 7.000%, 3/25/36 ...... 2,788,340
20,672 FNMA Pool #250477, 6.000%, 1/1/11 .............................. 20,899
39,905 FNMA Pool #303096, 7.500%, 12/1/09 ............................. 40,253
183,208 FNMA Pool #313429, 7.000%, 3/1/12 .............................. 188,936
320,274 FNMA Pool #323441, 7.000%, 12/1/13 ............................. 330,383
232,381 FNMA Pool #323832, 7.500%, 7/1/29 .............................. 243,747
14,822 FNMA Pool #334593, 7.000%, 5/1/24 .............................. 15,516
565,396 FNMA Pool #546474, 7.000%, 1/1/15 .............................. 583,242
15,605 FNMA Pool #6222, 9.000%, 4/1/16 ................................ 16,126
612,110 FNMA Pool #647567, 6.000%, 6/1/17 .............................. 623,011
461,605 FNMA Pool #665773, 7.500%, 6/1/31 .............................. 484,246
1,209,331 FNMA Pool #725284, 7.000%, 11/1/18 ............................. 1,247,503
18,620 FNMA Pool #8245, 8.000%, 12/1/08 ............................... 18,799
2,338,556 FNMA Pool #838790, 4.500%, 8/1/35 .............................. 2,198,796
137
SHORT DURATION FIXED INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 69.7% (CONTINUED)
$ 28,639 GNMA ARM Pool #8426 (A), 5.125%, 11/20/18 ...................... $ 28,984
1,178,854 GNMA CMO/REMIC Ser 2002-72, Class AB, 4.500%, 10/20/32 ......... 1,139,733
9,963 GNMA Pool #2707, 5.500%, 1/20/14 ............................... 10,006
12,027 GNMA Pool #2802, 5.500%, 7/20/14 ............................... 12,079
151,281 GNMA Pool #2843, 5.500%, 11/20/14 .............................. 151,935
97,691 GNMA Pool #344233, 8.000%, 2/15/23 ............................. 103,490
226,838 GNMA Pool #345123, 8.000%, 12/15/23 ............................ 240,303
12,929 GNMA Pool #351122, 6.500%, 7/15/08 ............................. 13,005
7,602 GNMA Pool #357343, 6.500%, 10/15/08 ............................ 7,646
51,442 GNMA Pool #462486, 6.500%, 1/15/13 ............................. 52,758
63,472 GNMA Pool #569337, 6.500%, 4/15/22 ............................. 65,106
77,836 GNMA Pool #578189, 6.000%, 2/15/32 ............................. 79,047
111,837 GNMA Pool #780322, 8.000%, 11/15/22 ............................ 118,634
57,223 GNMA Pool #780327, 8.000%, 11/15/17 ............................ 60,261
595,227 GNMA Pool #780604, 7.000%, 7/15/12 ............................. 615,236
139,298 GNMA Pool #814, 8.000%, 8/20/17 ................................ 146,521
-----------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS .............. $46,167,610
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.6%
$2,500,000 FHLB, .000%, 4/25/07 ........................................... $ 2,491,805
2,000,000 FHLB, 5.000%, 12/11/09 ......................................... 2,008,654
4,000,000 FHLB (A), 5.750%, 9/29/14 ...................................... 3,981,600
500,000 FHLB (A), 6.000%, 4/26/19 ...................................... 491,500
5,000,000 FHLB, Ser 1 (A), 6.000%, 3/30/20 ............................... 4,700,000
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS ....................... $13,673,559
-----------
FACE
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 9.7%
$6,435,000 PNC Capital Markets 5.04% dated 03/30/07 due 04/02/07 repurchase
proceeds $6,437,703 (Collateralized by $7,065,00 U.S.
Government Obligation FHR 3204-MC 5.50% due 09/15/32; fair
value $7,047,338)(B) ......................................... $ 6,435,000
-----------
138
SHORT DURATION FIXED INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------------------
MARKET
SHARES VALUE
- -------------------------------------------------------------------------------------------
400 CASH EQUIVALENT -- 0.0% BlackRock TempFund,
Institutional Shares, 5.220% ^ ............................... $ 400
-----------
TOTAL INVESTMENT SECURITIES AND REPURCHASE AGREEMENT -- 100.0%
(Cost $67,021,512) ............................................. $66,276,569
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0% .................. 12,019
-----------
NET ASSETS -- 100.0% ........................................... $66,288,588
===========
^ The rate shown is the 7-day effective yield as of March 31, 2007.
(A) Variable rate security - the rate reflected is the rate in effect on March
31, 2007.
(B) Tri-Party Repurchase Agreement
ARM - Adjustable Rate Mortgage
CMO - Collateralized Mortgage Obligation
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
REMIC - Real Estate Mortgage Investment Conduit
See accompanying notes to financial statements.
139
PORTFOLIO OF INVESTMENTS
SMALL CAP FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 93.7% SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 20.0%
Central Pacific Financial .............................. 44,932 $ 1,643,163
First Industrial Realty Trust .......................... 41,956 1,900,607
First Marblehead+ ...................................... 26,856 1,205,566
Flagstar Bancorp ....................................... 32,760 391,482
FPIC Insurance Group* .................................. 20,984 937,355
Innkeepers USA Trust ................................... 156,705 2,551,157
Knight Capital Group* .................................. 50,067 793,061
Montpelier Re .......................................... 53,641 930,135
Southwest Bancorp ...................................... 40,271 1,034,562
Strategic Hotels & Resorts ............................. 63,801 1,459,129
Sunstone Hotel Investors ............................... 54,599 1,488,369
TriCo Bancshares ....................................... 63,043 1,492,228
-----------
15,826,814
-----------
INFORMATION TECHNOLOGY -- 17.4%
24/7 Real Media* ....................................... 74,604 599,070
ADC Telecommunications* ................................ 38,756 648,775
Belden CDT ............................................. 15,920 853,153
COMSYS IT Partners* .................................... 29,993 596,861
Digital River*+ ........................................ 12,199 673,995
Inter-Tel .............................................. 36,114 853,735
MKS Instruments* ....................................... 34,271 874,596
Palm+ .................................................. 27,675 501,748
Perot Systems* ......................................... 44,961 803,453
Rackable Systems*+ ..................................... 54,514 925,103
Radiant Systems* ....................................... 92,262 1,202,173
RF Micro Devices*+ ..................................... 134,943 840,695
Rudolph Technologies* .................................. 61,014 1,064,084
SRA International, Class A* ............................ 32,202 784,441
Veeco Instruments* ..................................... 33,271 648,785
Vignette* .............................................. 44,513 826,606
Xyratex* ............................................... 47,058 1,123,274
-----------
13,820,547
-----------
CONSUMER DISCRETIONARY -- 17.1%
Aaron Rents ............................................ 28,770 760,679
CBRL Group+ ............................................ 15,590 721,817
Children's Place Retail Stores* ........................ 28,023 1,562,562
Dover Downs Gaming & Entertainment ..................... 40,621 523,198
EarthLink* ............................................. 105,244 773,543
Genesco*+ .............................................. 21,060 874,622
Golden Telecom ......................................... 11,808 653,927
Hansen Natural ......................................... 33,379 1,264,397
Ruby Tuesday+ .......................................... 28,762 822,593
140
SMALL CAP FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 93.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 17.1% (CONTINUED)
Steiner Leisure Limited* ............................... 17,325 $ 779,279
Stride Rite ............................................ 94,247 1,450,461
Tenneco* ............................................... 65,826 1,675,931
Tupperware ............................................. 26,408 658,351
WMS Industries* ........................................ 27,965 1,097,347
-----------
13,618,707
-----------
INDUSTRIALS -- 15.1%
AAR* ................................................... 29,713 818,890
Asyst Technologies* .................................... 76,394 537,050
Consolidated Graphics* ................................. 13,860 1,026,333
Genlyte Group* ......................................... 8,700 613,785
Korn/Ferry International*+ ............................. 35,558 815,701
Matthews International ................................. 32,874 1,337,972
Mueller Industries ..................................... 24,556 739,136
Regal-Beloit ........................................... 21,269 986,456
TeleTech Holdings* ..................................... 22,793 836,275
Toro ................................................... 22,219 1,138,502
Universal Forest Products .............................. 15,877 786,705
US Xpress Enterprises* ................................. 55,390 956,031
Varian* ................................................ 11,416 665,096
Watts Water Technologies, Class A ...................... 19,966 759,307
-----------
12,017,239
-----------
HEALTH CARE -- 11.4%
Applera* ............................................... 21,272 302,062
BioMarin Pharmaceuticals* .............................. 19,675 339,591
Centene* ............................................... 26,814 562,826
Enzon Pharmaceuticals* ................................. 36,682 298,958
Exelixis* .............................................. 31,692 315,018
Five Star Quality Care* ................................ 127,786 1,313,640
ICU Medical* ........................................... 19,339 758,089
Incyte* ................................................ 53,439 352,163
Indevus Pharmaceuticals* ............................... 53,555 378,634
Integra LifeSciences Holdings*+ ........................ 24,960 1,137,677
Isis Pharmaceuticals* .................................. 33,971 314,911
Kendle International* .................................. 17,319 615,171
Ligand Pharmaceuticals, Class B ........................ 29,601 298,378
Monogram Biosciences* .................................. 160,709 311,775
Perrigo ................................................ 80,227 1,416,810
SuperGen* .............................................. 54,897 323,892
-----------
9,039,595
-----------
141
SMALL CAP FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 93.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ENERGY -- 4.1%
Brigham Exploration* ................................... 132,241 $ 822,539
Lufkin Industries ...................................... 10,650 598,317
Swift Energy* .......................................... 11,123 464,608
Unit* .................................................. 16,673 843,487
W-H Energy Services* ................................... 10,842 506,755
-----------
3,235,706
-----------
MATERIALS -- 3.5%
Carlisle Companies ..................................... 35,250 1,513,282
Koppers Holdings ....................................... 27,150 696,669
US Concrete* ........................................... 78,030 610,195
-----------
2,820,146
-----------
UTILITIES -- 2.9%
Avista+ ................................................ 62,795 1,521,522
Laclede Group .......................................... 26,108 811,437
-----------
2,332,959
-----------
CONSUMER STAPLES -- 2.2%
Hain Celestial Group* .................................. 26,856 807,560
Longs Drug Stores ...................................... 18,259 942,895
-----------
1,750,455
-----------
TOTAL COMMON STOCKS .................................... $74,462,168
-----------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS -- 5.9%
iShares Russell 2000 Growth Index Fund ................. 47,240 $ 3,805,655
iShares Russell 2000 Index Fund ........................ 10,746 853,770
-----------
TOTAL EXCHANGE TRADED FUNDS ............................ $ 4,659,425
-----------
INVESTMENT FUND -- 10.3%
BlackRock Institutional Money Market Trust,
5.23% ** ^............................................ 8,169,037 $ 8,169,037
-----------
CASH EQUIVALENT -- 0.1%
PNC Bank Money Market Fund, 4.80% ^ .................... 94,131 $ 94,131
-----------
142
SMALL CAP FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
VALUE
- -------------------------------------------------------------------------------
TOTAL INVESTMENT SECURITIES -- 110.0%
(Cost $79,875,393) ..................................... $87,384,761
LIABILITIES IN EXCESS OF OTHER ASSETS -- (10.0%) ....... (7,916,172)
-----------
NET ASSETS -- 100.0% ................................... $79,468,589
===========
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $7,890,968.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
See accompanying notes to financial statements.
143
PORTFOLIO OF INVESTMENTS
SMALL CAP VALUE OPPORTUNITIES FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 96.1% SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 20.7%
1st Source ........................................ 52,800 $ 1,381,776
Advanta, Class B .................................. 52,300 2,292,833
BankAtlantic Bancorp .............................. 53,020 581,099
BioMed Realty Trust ............................... 37,160 977,308
Centennial Bank Holdings* ......................... 126,600 1,095,090
Corporate Office Properties Trust ................. 27,690 1,264,879
Delphi Financial Group, Class A ................... 43,710 1,758,453
DiamondRock Hospitality ........................... 105,820 2,010,581
EastGroup Properties .............................. 27,570 1,406,897
Employers Holdings* ............................... 40,820 817,216
First Midwest Bancorp ............................. 35,280 1,296,540
First State Bancorp ............................... 52,900 1,192,895
FPIC Insurance Group* ............................. 40,350 1,802,435
Greater Bay Bancorp ............................... 45,660 1,227,797
Hanmi Financial ................................... 67,400 1,284,644
Hanover Insurance Group ........................... 28,400 1,309,808
Heritage Commerce ................................. 41,710 1,063,188
Investment Technology Group* ...................... 31,310 1,227,352
IPC Holdings ...................................... 58,810 1,696,669
LaSelle Hotel Properties .......................... 33,400 1,548,424
MAF Bancorp ....................................... 37,892 1,566,455
Mid-America Apartment Communities ................. 17,990 1,012,117
Navigators Group* ................................. 27,270 1,368,136
NexCen Brands* .................................... 178,320 1,768,934
Preferred Bank .................................... 20,805 815,764
ProAssurance* ..................................... 30,960 1,583,604
Signature Bank* ................................... 54,630 1,777,660
SVB Financial Group* .............................. 32,260 1,567,513
SWS Group ......................................... 25,485 632,283
UCBH Holdings ..................................... 39,000 726,180
UMB Financial ..................................... 42,910 1,620,282
United America Indemnity, Class A* ................ 75,680 1,755,776
United Fire & Casualty ............................ 46,600 1,637,058
Virginia Commerce Bancorp* ........................ 68,857 1,490,754
------------
46,558,400
------------
INDUSTRIALS -- 17.7%
AAR*+ ............................................. 38,310 1,055,824
AirTran Holdings* ................................. 274,200 2,816,033
Alaska Air Group*+ ................................ 44,480 1,694,688
Armor Holdings+ ................................... 24,770 1,667,764
Barnes Group+ ..................................... 64,790 1,490,818
Clean Harbors* .................................... 25,940 1,173,007
Consolidated Graphics* ............................ 25,960 1,922,338
144
SMALL CAP VALUE OPPORTUNITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 96.1% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 17.7% (CONTINUED)
FTI Consulting* ................................... 56,080 $ 1,883,727
Gevity HR ......................................... 62,450 1,232,763
Greenbrier ........................................ 80,000 2,136,000
Kadant* ........................................... 47,660 1,208,658
Kaydon ............................................ 33,700 1,434,272
KHD Humboldt Wedag International* ................. 27,130 1,104,191
L.B. Foster, Class A* ............................. 28,250 582,233
Ladish* ........................................... 25,540 961,326
Lincoln Electric Holdings ......................... 15,600 929,136
LSI Industries .................................... 102,480 1,715,515
OSI Systems* ...................................... 61,170 1,617,335
Sterling Construction* ............................ 46,290 882,287
Titan International+ .............................. 81,150 2,055,530
Toro .............................................. 41,000 2,100,840
Trinity Industries ................................ 55,000 2,305,600
Washington Group International* ................... 53,030 3,522,252
Werner Enterprises ................................ 131,500 2,389,355
------------
39,881,492
------------
CONSUMER DISCRETIONARY -- 15.9%
99 Cents Only Stores* ............................. 96,320 1,418,794
Aaron Rents ....................................... 72,400 1,914,256
ACCO Brands* ...................................... 107,500 2,589,675
American Greetings, Class A ....................... 105,702 2,453,343
Applebee's International+ ......................... 62,050 1,537,599
Audiovox, Class A* ................................ 65,000 957,450
Belo, Class A ..................................... 122,500 2,287,075
Brink's ........................................... 26,000 1,649,700
Cabela's* ......................................... 62,600 1,553,106
Callaway Golf ..................................... 110,000 1,733,600
Domino's Pizza .................................... 44,120 1,432,576
Finish Line, Class A .............................. 111,800 1,408,680
Jarden*+ .......................................... 36,160 1,384,928
K-Swiss, Class A .................................. 56,850 1,536,087
Live Nation* ...................................... 73,230 1,615,454
MoneyGram International ........................... 60,300 1,673,928
Pinnacle Entertainment* ........................... 30,650 890,996
Spartan Motors .................................... 65,630 1,523,272
Steiner Leisure* .................................. 28,100 1,263,938
Steinway Musical Instruments ...................... 51,560 1,663,841
Tuesday Morning ................................... 43,575 646,653
United Auto Group ................................. 60,300 1,224,090
WMS Industries* ................................... 32,120 1,260,389
------------
35,619,430
------------
145
SMALL CAP VALUE OPPORTUNITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 96.1% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 10.7%
ATMI* ............................................. 27,590 $ 843,426
Cirrus Logic* ..................................... 127,970 980,250
Echelon ........................................... 52,820 556,723
eFunds* ........................................... 45,880 1,223,161
Excel Technology* ................................. 51,630 1,411,048
Foundry Networks* ................................. 104,150 1,413,316
Gerber Scientific* ................................ 131,830 1,398,716
Ixia* ............................................. 178,300 1,658,190
Macrovision* ...................................... 67,400 1,688,370
ON Semiconductor* ................................. 304,980 2,720,421
Online Resources* ................................. 102,150 1,171,661
Progress Software* ................................ 18,100 564,720
Semtech* .......................................... 126,090 1,699,693
THQ* .............................................. 46,430 1,587,442
Transaction Systems Architects* ................... 63,440 2,054,821
Ultra Clean Holdings* ............................. 59,430 1,028,139
Verigy Ltd* ....................................... 81,380 1,909,989
------------
23,910,086
------------
ENERGY -- 10.2%
Berry Petroleum, Class A .......................... 92,000 2,820,720
Cimarex Energy .................................... 86,000 3,183,720
Encore Acquisition* ............................... 135,000 3,265,650
GeoMet* ........................................... 101,348 893,889
Helmerich & Payne ................................. 92,000 2,791,280
Hornbeck Offshore Services* ....................... 45,100 1,292,115
Lufkin Industries ................................. 20,600 1,157,308
Oil States International* ......................... 36,700 1,177,703
Petrohawk Energy* ................................. 56,980 750,427
Petroleum Development* ............................ 29,170 1,562,637
Southwestern Energy* .............................. 38,000 1,557,240
Whiting Petroleum* ................................ 60,100 2,368,541
------------
22,821,230
------------
MATERIALS -- 5.2%
Century Aluminum* ................................. 34,000 1,593,920
Cleveland-Cliffs .................................. 24,150 1,545,842
Compass Minerals International+ ................... 50,740 1,694,716
Glatfelter ........................................ 88,720 1,322,815
Haynes International* ............................. 9,930 724,195
Kaiser Aluminum* .................................. 14,200 1,107,600
Potlatch .......................................... 42,820 1,960,299
Stillwater Mining* ................................ 96,790 1,228,265
Tronox, Class A ................................... 40,870 588,528
------------
11,766,180
------------
146
SMALL CAP VALUE OPPORTUNITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 96.1% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 4.8%
Alliance Imaging* ................................. 218,090 $ 1,903,926
Alpharma .......................................... 37,760 909,261
Analogic .......................................... 78,967 4,965,445
Owens & Minor+ .................................... 55,170 2,026,394
PolyMedica ........................................ 20,400 863,532
------------
10,668,558
------------
CONSUMER STAPLES -- 4.5%
BJ's Wholesale Club*+ ............................. 43,730 1,479,386
Del Monte Foods ................................... 115,300 1,323,644
Flower Foods ...................................... 60,000 1,810,200
Hanesbrands ....................................... 50,100 1,472,439
Longs Drug Stores ................................. 39,720 2,051,140
Ralcorp Holdings* ................................. 18,170 1,168,331
Susser Holdings* .................................. 40,970 710,830
------------
10,015,970
------------
UTILITIES -- 3.2%
El Paso Electric* ................................. 46,820 1,233,707
Integrys Energy Group ............................. 28,000 1,554,280
New Jersey Resources .............................. 25,350 1,268,768
UGI ............................................... 50,000 1,335,500
Unisource Energy .................................. 48,490 1,820,799
------------
7,213,054
------------
TELECOMMUNICATION SERVICES -- 3.2%
Andrew* ........................................... 157,910 1,672,267
Arris Group* ...................................... 126,950 1,787,456
Cogent Communications Group* ...................... 45,910 1,084,853
ECI Telecom Limited* .............................. 120,860 991,052
Eschelon Telecom* ................................. 54,670 1,579,963
------------
7,115,591
------------
TOTAL COMMON STOCKS ............................... $215,569,991
------------
147
SMALL CAP VALUE OPPORTUNITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
INVESTMENT FUND -- 6.7%
BlackRock Institutional Money Market Trust,
5.23% ** ^....................................... 15,028,768 $ 15,028,768
------------
CASH EQUIVALENT -- 4.2%
PNC Bank Money Market Fund, 4.80% ^ ............... 9,314,439 $ 9,314,439
------------
TOTAL INVESTMENT SECURITIES -- 107.0%
(Cost $221,032,762) ............................... $239,913,198
LIABILITIES IN EXCESS OF OTHER ASSETS -- (7.0%) ... (15,599,417)
------------
NET ASSETS -- 100.0% .............................. $224,313,781
============
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $14,520,226.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
See accompanying notes to financial statements.
148
PORTFOLIO OF INVESTMENTS
STRATEGIC VALUE AND HIGH INCOME FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
AFFILIATED EQUITY FUND -- 58.9%
Touchstone Funds Group Trust Diversified
Small Cap Value Fund* ............................... 57,046 $1,130,658
----------
AFFILIATED FIXED INCOME FUND -- 39.7%
Touchstone Investment Trust High Yield Fund** ......... 80,399 $ 762,186
----------
TOTAL INVESTMENT SECURITIES -- 98.6%
(Cost $1,882,407) ..................................... $1,892,844
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.4% ......... 27,496
----------
NET ASSETS -- 100.0% .................................. $1,920,340
==========
* Affiliated Fund, sub-advised by Clover Capital Managment, Inc.
** Affiliated Fund, sub-advised by Fort Washington Investment Advisers, Inc.
See accompanying notes to financial statements.
149
PORTFOLIO OF INVESTMENTS
TAX-EXEMPT BOND FUND - MARCH 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.5%
ALABAMA -- 2.1%
$1,000,000 Bessemer RB, AMBAC, Callable 02/01/10 @ 102, 5.600%, 2/1/30 ......................................... $ 1,063,650
1,300,000 Birmingham Water & Sewer RB, Ser A, Callable 01/01/08 @ 102, 5.000%, 1/1/18 ......................... 1,336,569
------------
2,400,219
------------
ARIZONA -- 0.9%
1,000,000 Arizona School Facilities Board COP, MBIA, Pre-Refunded 03/01/13 @ 100, 5.250%, 9/1/17 .............. 1,080,590
------------
CALIFORNIA -- 9.8%
2,000,000 California Health Facilities Finance Authority RB, St. Francis Memorial Hospital, Ser C,
ETM, 5.875%, 11/1/23 .............................................................................. 2,415,361
1,840,000 California State GO, Callable 02/01/13 @ 100, 5.250%, 2/1/33 ........................................ 1,947,750
2,000,000 California State GO, Callable 09/01/16 @ 100, 4.750%, 9/1/30 ........................................ 2,041,060
2,000,000 California State, Department of Veteran Affairs Home Purchase RB, Ser A, Callable
11/30/11 @ 101, 4.400%, 12/1/21 ................................................................... 2,000,680
2,000,000 California State, Economic Recovery GO, Ser A, Callable 07/01/11 @ 100, 5.000%, 7/1/17 .............. 2,107,780
500,000 California State, Statewide Communities Developmental Authority, Pollution Control RB,
Southern California Edison, Ser A, XLCA, 4.100%, 4/1/28 ........................................... 505,575
420,000 Stockton Housing Facility RB, O'Connor Woods Project, Ser A, ETM, GNMA, Callable
05/06/05 @ 100, 5.200%, 9/20/09 ................................................................... 420,550
------------
11,438,756
------------
COLORADO -- 0.9%
1,000,000 South Suburban Park & Recreation District GO, AMBAC, Callable 09/15/10 @ 100, 5.375%, 9/15/18 ....... 1,055,550
------------
DELAWARE -- 0.9%
1,000,000 Delaware State, Economic Development Authority, Pollution Control RB, Delmarva Power,
AMBAC, Callable 05/01/11 @ 100 (A), 4.900%, 5/1/26 ................................................ 1,040,850
------------
DISTRICT OF COLUMBIA -- 1.1%
1,000,000 District of Columbia RB, Howard University Project, MBIA, 5.500%, 10/1/16 ........................... 1,122,240
200,000 Washington D.C., Convention Center Authority RB, Dedicated Tax Revenue, Senior Lien,
AMBAC, Callable 10/01/08 @ 101, 5.250%, 10/1/09 ................................................... 206,592
------------
1,328,832
------------
FLORIDA -- 1.0%
405,000 Orlando Utilities Commission, Water & Electric RB, Callable 10/01/11 @ 101, 5.250%, ................. 432,512
685,000 Orlando Utilities Commission, Water & Electric RB, Pre-Refunded 10/01/11 @ 101, 5.250%, 10/1/20 ..... 735,066
------------
1,167,578
------------
GEORGIA -- 2.1%
2,000,000 Henry County, Water & Sewer Authority RB, AMBAC, 6.150%, 2/1/20 ..................................... 2,412,600
------------
150
TAX-EXEMPT BOND FUND (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.5% (CONTINUED)
HAWAII -- 3.9%
$1,680,000 Honolulu, City & County GO, Ser B, ETM, 8.000%, 10/1/10 ............................................. $ 1,917,670
2,385,000 University of Hawaii RB, Ser A, FGIC, Callable 07/15/12 @ 100, 5.500%, 7/15/21 ...................... 2,588,273
------------
4,505,943
------------
ILLINOIS -- 7.7%
400,000 Chicago GO, FGIC, Callable 01/01/08 @ 102, 5.500%, 1/1/21 ........................................... 413,280
1,000,000 Chicago, Park District GO, Aquarium & Museum Project, FGIC, Callable 01/01/08 @ 100, 5.500%,
1/1/10 .............................................................................................. 1,013,180
2,350,000 Illinois Development Finance Authority RB, Elgin School District Project, FSA (B), .000%, 1/1/18 .... 1,506,186
1,000,000 Illinois Health Facilities Authority RB, Hospital Sisters Services Project, Ser A, MBIA,
Callable 06/01/08 @ 101, 5.250%, 6/1/12 ........................................................... 1,025,480
1,000,000 Illinois State, Toll Highway Authority Revenue RB, Senior Priority, Ser A-1, Callable
07/01/2016 @ 100, 5.000%, 1/1/26 .................................................................. 1,061,540
1,200,000 Metropolitan Pier & Exposition Authority RB, Illinois Dedicated State Tax Revenue, AMBAC,
Callable 06/01/07 @ 101, 5.125%, 6/1/13 ........................................................... 1,214,652
500,000 Metropolitan Pier & Exposition Authority RB, Illinois Dedicated State Tax Revenue, Ser A, 5
FGIC, 5.500%, 12/15/23 ............................................................................ 580,075
500,000 Metropolitan Pier & Exposition Authority RB, Illinois Dedicated State Tax Revenue, Ser A,
FGIC, ETM, 5.500%, 12/15/23 ....................................................................... 580,965
2,000,000 Will County, Community School District GO, USD #365, FSA (B), .000%, 11/1/12 1,610,080
------------
9,005,438
------------
INDIANA -- 4.6%
1,000,000 Indiana Transportation Finance Authority RB, Ser A, MBIA, 6.800%, 12/1/16 ........................... 1,173,930
3,000,000 Indiana University RB, Student Fee, Ser P, AMBAC, Callable 01/01/10 @ 100, 5.000%, .................. 3,181,890
1,000,000 Indianapolis, Public Improvement Authority RB, Ser A, Callable 01/01/10 @ 101, 6.000%, 1/1/25 ....... 1,069,730
------------
5,425,550
------------
KENTUCKY -- 1.0%
1,050,000 Kentucky State, Property & Buildings Commission RB, Project Number 67, Pre-Refunded
09/01/10 @ 100, 5.625%, 9/1/13 .................................................................... 1,116,066
------------
LOUISIANA -- 1.9%
2,115,000 Louisiana Public Facilites Authority RB, Franciscan Missionaries Project, Ser A, FSA, 5.500%,
7/1/11 ............................................................................................ 2,255,690
------------
MASSACHUSETTS -- 2.8%
1,000,000 Massachusetts State, Housing Finance Agency RB, Ser B, MBIA, Callable 06/01/08 @ 101,
5.300%, 12/1/17 ................................................................................... 1,005,610
70,000 Massachusetts State, Special Obligation RB, Consolidated Loan, Ser A, Callable 06/01/08
@ 101, 5.000%, 6/1/15 ............................................................................. 71,659
930,000 Massachusetts State, Special Obligation RB, Consolidated Loan, Ser A, Pre-Refunded
06/01/08 @ 101, 5.000%, 6/1/15 .................................................................... 951,502
1,060,000 Massachusetts State, Water Resources Authority RB, Ser D, MBIA, GOA, 6.000%, 8/1/14 ................. 1,211,516
------------
3,240,287
------------
151
TAX-EXEMPT BOND FUND (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.5% (CONTINUED)
MICHIGAN -- 0.9%
$1,000,000 Michigan State, Building Authority RB, Facilities Program, Ser II, MBIA, Callable 10/15/13 @
100, 5.000%, 10/15/23 ............................................................................. $ 1,057,630
------------
MISSISSIPPI -- 0.6%
745,000 Mississippi Development Bank RB, Capital Project & Equipment Acquisition, Ser A2,
MBAC, 5.000%, 7/1/24 .............................................................................. 753,292
------------
NEVADA -- 1.8%
2,000,000 Nevada Systems, Higher Education University RB, Ser B, AMBAC, Callable, 01/01/16 @
100, 5.000%, 7/1/35 ............................................................................... 2,105,560
------------
NEW JERSEY -- 0.4%
150,000 New Jersey State GO, Ser D, 6.000%, 2/15/11 ......................................................... 162,510
250,000 New Jersey State, Transportation System RB, Ser A, 5.625%, 6/15/14 .................................. 279,520
------------
442,030
------------
NEW YORK -- 8.9%
3,715,000 New York City, Transitional Finance Authority RB, Ser A, Callable 11/01/11 @ 100 (A),
5.500%, 11/1/26 ................................................................................... 3,989,093
1,000,000 New York State, Mortgage Agency RB, Homeowner Mortgage, Ser 80, Callable 03/01/09 @
101, 5.100%, 10/1/17 .............................................................................. 1,026,430
3,000,000 New York State, Municipal Bond Bank Agency RB, Special School Purpose, Ser C, Callable
06/01/2013 @ 100, 5.500%, 6/1/15 .................................................................. 3,261,120
2,000,000 New York State, Thruway Authority RB, Highway and Bridge Project, Callable 04/01/12 @
100, 5.500%, 4/1/15 2,158,300
------------
10,434,943
NORTH CAROLINA -- 4.3%
1,000,000 Charlotte, Mecklenburg Hospital Authority, North Carolina Health Care Systems RB, Ser A,
Callable 01/15/2011 @ 101, 5.000%, 1/15/31 ........................................................ 1,026,910
2,200,000 Greensboro, Enterprise System RB, 5.250%, 6/1/24 .................................................... 2,509,540
1,380,000 University of North Carolina Wilmington, RB, AMBAC, Callable 01/01/13 @ 100, 5.250%, 1/1/21 ......... 1,480,975
------------
5,017,425
------------
PENNSYLVANIA -- 19.5%
1,345,000 Chester County, Health & Education Facilities Authority RB, Devereux Foundation,
Callable 11/01/16 @ 100, 5.000%, 11/1/22 .......................................................... 1,409,654
2,730,000 Coatesville School District GO, FSA, Callable 08/15/14 @ 100, 5.250%, 8/15/18 ....................... 2,962,296
270,000 Coatesville School District GO, FSA, Pre-Refunded 8/15/14 @ 100, 5.250%, 8/15/18 .................... 295,836
3,000,000 Delaware County Authority, Hospital RB, Crozer Keystone Obigation Group A, Callable
12/15/16 @ 100, 5.000%, 12/15/26 .................................................................. 3,092,909
2,820,000 Lancaster Area Sewer Authority Revenue RB, FGIC, Callable 4/1/15 @ 100, 5.000%, ..................... 3,039,537
1,150,000 Lancaster, Higher Education Authority RB, Franklin & Marshall College, Callable 04/15/16 @
100, 5.000%, 4/15/19 .............................................................................. 1,222,784
152
TAX-EXEMPT BOND FUND (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.5% (CONTINUED)
PENNSYLVANIA -- 19.5% (CONTINUED)
$2,000,000 Norwin Penn School District GO, FGIC, Pre-Refunded 04/01/10 @ 100, 6.000%, 4/1/24 ................... $ 2,129,600
1,000,000 Owen J Roberts School District, FSA, Callable 05/15/2016 @ 100, 4.750%, 5/15/25 ..................... 1,037,450
1,270,000 Pennsylvania State, Higher Educational Facilities Authority RB, Saint Joseph's University,
Callable 05/01/06 @ 100 (LOC: Allied Irish Banks PLC) (A), 5.000%, 5/1/11 ......................... 1,271,041
1,000,000 Pennsylvania State, Public School Building Authority RB, Harrisburg Area Community
College Project, AMBAC, Callable 04/01/14 @ 100, 5.250%, 4/1/24 ................................... 1,078,860
1,500,000 Pennsylvania State, Turnpike Commission, Turnpike Revenue, Ser A, Callable 06/01/16 @
100, 5.000%, 12/1/25 .............................................................................. 1,599,870
1,500,000 Philadelphia, Authority for Industrial Development Lease Revenue RB, Ser B, FSA,
Callable 10/01/11 @ 101, 5.500%, 10/1/12 .......................................................... 1,621,815
1,300,000 Philadelphia, Hospital & Higher Education Authority RB, Presbyterian Medical Center
Project, ETM, 6.500%, 12/1/11 ..................................................................... 1,389,804
525,000 Philadelphia, Water & Waste Water RB, MBIA, 6.250%, 8/1/09 .......................................... 555,392
------------
22,706,848
------------
PUERTO RICO -- 0.7%
250,000 Puerto Rico, Commonwealth Public Improvements, Ser A, 5.000%, 7/1/09 ................................ 256,458
500,000 Puerto Rico, Electric Power Authority RB, Ser RR, Callable 07/01/15 @ 100, 5.000%, .................. 528,695
------------
785,153
------------
RHODE ISLAND -- 1.1%
1,000,000 Rhode Island, Depositors Economic Protection Authority RB, Special
Obligation, Ser A, ETM, 6.375%, 8/1/22 ............................................................ 1,262,950
------------
SOUTH CAROLINA -- 6.3%
2,530,000 Darlington County, Water & Sewer Authority RB, AMBAC, Callable 12/01/12 @ 101, 5.625%, 12/1/23 ...... 2,777,004
1,000,000 Piedmont, Municipal Power Agency Authority RB, South Carolina Electric Project, MBIA,
ETM, 6.250%, 1/1/09 ............................................................................... 1,044,040
3,415,000 South Carolina State, Public Service Authority RB, Ser A, AMBAC Callable
01/01/14 @ 100, 5.000%, 1/1/39 .................................................................... 3,557,644
------------
7,378,688
------------
TEXAS -- 7.8%
1,100,000 Cypress-Fairbanks, Independent School District, GO, PSF-GTD, Callable 02/15/2016
@ 100, 4.750%, 2/15/30 ............................................................................ 1,126,356
10,000 Duncanville, Independent School District, GO, PSF-GTD, Callable 02/15/13 @ 100, 5.650%, 2/15/28 ..... 10,894
1,340,000 Duncanville, Independent School District, GO, PSF-GTD, Pre-Refunded 02/15/13 @ 100, 5.650%,
2/15/28 ........................................................................................... 1,475,809
1,025,000 Fort Worth Water & Sewer RB, Prerefunded 08/15/10 @ 100, 5.750%, 2/15/14 ............................ 1,092,384
975,000 Fort Worth Water & Sewer RB, Unrefunded, 5.750%, 2/15/14 ............................................ 1,034,641
1,850,000 Harris County, Healthcare Facilities Development Authority RB, Christus Health Project,
Ser A, MBIA, Callable 07/01/09 @ 101, 5.375%, 7/1/24 .............................................. 1,932,084
1,140,000 Houston, Water & Sewer Systems Authority RB, Junior Lien, Ser C, FGIC, Pre-Refunded
12/01/07 @ 101, 5.375%, 12/1/27 ................................................................... 1,163,974
15,000 San Antonio GO, ETM, 5.000%, 8/1/07 ................................................................. 15,065
1,250,000 Texas Water Development Board RB, Revolving Fund, Senior Lein, Ser B, Callable
01/15/10 @ 100, 5.500%, 7/15/15 ................................................................... 1,308,063
------------
9,159,270
------------
153
TAX-EXEMPT BOND FUND (CONTINUED)
- --------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.5% (CONTINUED)
Utah -- 1.8%
$2,000,000 Utah Transit Authority Sales Tax RB, Ser A, FSA, Callable 12/15/12 @ 100, 5.000%, 6/15/24 ........... $ 2,133,640
------------
WASHINGTON -- 3.7%
1,000,000 Central Pugent Sound, Regional Transportation Authority RB, Sales Tax & Motor Project,
FGIC, 5.250%, 2/1/21 ............................................................................ 1,115,970
1,000,000 Clark County, School District No. 177 GO, AMBAC, 5.250%, 12/1/14 .................................... 1,095,770
1,000,000 Washington State GO, Ser A, FSA, 5.000%, 7/1/20 ..................................................... 1,061,710
1,000,000 Washington State, Economic Development Finance Authority, Biomedical Research
Property II RB, MBIA, Callable 12/01/15 @ 100, 5.250%, 6/1/19 ................................... 1,083,590
------------
4,357,040
------------
TOTAL MUNICIPAL BONDS $115,068,418
------------
- --------------------------------------------------------------------------------------------------------------------------------
MARKET
SHARES VALUE
- --------------------------------------------------------------------------------------------------------------------------------
CASH EQUIVALENT -- 0.5%
531,069 ABN Amro Tax Exempt Money Market Fund, 3.260% ^ ..................................................... $ 531,069
------------
TOTAL INVESTMENT SECURITIES -- 99.0%
(Cost $111,551,979) ................................................................................. $115,599,487
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.0% ....................................................... 1,182,554
------------
NET ASSETS -- 100.0% ................................................................................ $116,782,041
------------
^ The rate shown is the 7-day effective yield as of March 31, 2007.
(A) Variable rate security - the rate reflected is the rate in effect on March
31, 2007.
(B) Zero coupon security - the rate reported was the effective yield at time
of purchase.
AMBAC - American Municipal Bond Assurance Corporation
COP - Certificate of Participation
ETM - Escrowed to Maturity
FGIC - Financial Guaranty Insurance Corporation
FSA - Financial Security Assurance
GNMA - Government National Mortgage Association
GO - General Obligation
GOA - General Obligation of Authority
LOC - Letter of Credit
MBIA - Municipal Bond Insurance Association
PLC - Public Limited Company
PSF-GTD - Permanent School Fund - Guaranteed
RB - Revenue Bond
USD - Unified School District
XLCA - XL Capital Assurance
See accompanying notes to financial statements.
154
PORTFOLIO OF INVESTMENTS
ULTRA SHORT DURATION FIXED INCOME FUND - MARCH 31, 2007 (UNAUDITED)
- ------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 82.2%
$ 477,347 FHLMC Pool #G11072, 7.500%, 12/1/15 ........................ $ 495,312
17,664 FHLMC CMO/REMIC Ser 1377, Class F (A), 5.875%, 9/15/07 ...... 17,667
37,216 FHLMC CMO/REMIC Ser 1544, Class L (A), 4.780%, 7/15/08 ...... 37,059
7,702,734 FHLMC CMO/REMIC Ser 2571, Class FN (A), 5.970%, 8/15/32 ..... 7,843,475
1,428,435 FHLMC CMO/REMIC Ser 2575 Class LM, 4.500%, 5/15/32 .......... 1,405,330
2,187,002 FHLMC CMO/REMIC Ser 2586, Class WA, 4.000%, 12/15/32 ........ 2,120,637
1,379,199 FHLMC CMO/REMIC Ser 2590, Class UL, 3.750%, 3/15/32 ......... 1,334,247
1,834,896 FHLMC CMO/REMIC Ser 2594, Class YA, 4.000%, 4/15/23 ......... 1,778,686
1,382,760 FHLMC CMO/REMIC Ser 2640, Class OT, 2.000%, 4/15/22 ......... 1,358,173
1,651,739 FHLMC CMO/REMIC Ser 2649, Class PJ, 3.500%, 6/15/33 ......... 1,595,158
1,416,563 FHLMC CMO/REMIC Ser 2684, Class GN, 3.250%, 5/15/23 ......... 1,398,474
608,875 FHLMC CMO/REMIC Ser 2715, Class QB, 3.500%, 9/15/22 ......... 603,477
2,049,062 FHLMC CMO/REMIC Ser 2744, Class JX, 3.500%, 1/15/23 ......... 2,017,861
3,780,599 FHLMC CMO/REMIC Ser 2770, Class FH (A), 5.720%, 3/15/34 ..... 3,827,230
1,947,861 FHLMC CMO/REMIC Ser 2886, Class BF (A), 5.820%, 11/15/34 .... 1,952,560
278,268 FHLMC CMO/REMIC Ser 2894, Class FB (A), 5.920%, 11/15/34 .... 277,870
4,342,113 FHLMC CMO/REMIC Ser 2921, Class JF (A), 5.820%, 1/15/35 ..... 4,382,522
342,639 FHLMC CMO/REMIC Ser 2925, Class CF (A), 5.820%, 1/15/35 ..... 343,220
1,113,018 FHLMC CMO/REMIC Ser 2956, Class YB, 6.950%, 1/15/35 ......... 1,112,233
2,569,448 FHLMC CMO/REMIC Ser 3025, Class FC (A), 7.000%, 8/15/35 ..... 2,559,032
1,353,472 FHLMC CMO/REMIC Ser 3033, Class BY (A), 7.000%, 9/15/35 ..... 1,355,736
786,657 FHLMC CMO/REMIC Ser 3038, Class TA, 6.700%, 9/15/35 ......... 782,219
835,424 FHLMC CMO/REMIC Ser 3069, Class KT, 7.000%, 10/15/34 ........ 839,514
5,075,589 FHLMC CMO/REMIC Ser 3092, Class TA, 7.250%, 11/15/35 ........ 5,169,693
8,328,395 FHLMC CMO/REMIC Ser 3137, Class PJ, 5.125%, 12/15/13 ........ 8,262,364
1,659,026 FHLMC CMO/REMIC Ser 3144, Class TB, 7.200%, 3/15/34 ......... 1,659,715
4,999,834 FHLMC CMO/REMIC Ser 3157, Class TB, 7.800%, 1/15/35 ......... 5,156,160
6,577,712 FHLMC CMO/REMIC Ser 3177, Class SW, 7.650%, 6/15/35 ......... 6,610,601
3,545,809 FHLMC CMO/REMIC Ser 3251, Class TA, 7.400%, 6/15/36 ......... 3,571,231
2,510 FHLMC Pool #184967, 7.750%, 8/1/08 .......................... 2,514
330,071 FHLMC Pool #B15413, 8.000%, 3/1/11 .......................... 340,240
170,353 FHLMC Pool #E64944, 7.000%, 7/1/11 .......................... 174,739
1,446,688 FNMA CMO/REMIC Ser 2002-67, Class AM, 5.000%, 11/25/15 ...... 1,438,273
927,176 FNMA CMO/REMIC Ser 2002-87, Class PY, 3.920%, 9/25/27 ....... 916,978
1,988,932 FNMA CMO/REMIC Ser 2003-119, Class PU, 4.000%, 11/25/33 ..... 1,938,739
852,878 FNMA CMO/REMIC Ser 2003-19, Class ME, 4.000%, 1/25/33 ....... 823,760
939,517 FNMA CMO/REMIC Ser 2003-33, Class AM, 4.250%, 5/25/33 ....... 917,632
1,436,288 FNMA CMO/REMIC Ser 2003-33, Class AU, 4.000%, 3/25/33 ....... 1,384,781
1,167,107 FNMA CMO/REMIC Ser 2003-34, Class AD, 4.000%, 1/25/32 ....... 1,141,070
10,868,257 FNMA CMO/REMIC Ser 2003-61, Class FK (A), 6.820%, 8/25/33 ... 11,584,423
3,844,102 FNMA CMO/REMIC Ser 2003-69, Class NF (A), 6.820%, 7/25/33 ... 3,875,001
5,141,090 FNMA CMO/REMIC Ser 2003-81, Class FE (A), 5.820%, 9/25/33 ... 5,220,933
3,271,269 FNMA CMO/REMIC Ser 2004-96, Class LF (A), 6.320%, 12/25/34 .. 3,328,722
1,456,095 FNMA CMO/REMIC Ser 2005-108, Class GU, 5.750%, 7/25/35 ...... 1,459,491
3,418,160 FNMA CMO/REMIC Ser 2005-93, Class XT, 7.000%, 10/25/35 ...... 3,403,878
4,411,552 FNMA CMO/REMIC Ser 2006-109, Class JS (A), 6.750%, 5/25/36 .. 4,342,282
6,825,292 FNMA CMO/REMIC Ser 2006-14, Class DT, 7.000%, 3/25/36 ....... 6,773,312
1,953,679 FNMA CMO/REMIC Ser 2007-9, Class YA, 5.500%, 3/25/37 ........ 1,952,057
155
ULTRA SHORT DURATION FIXED INCOME FUND (CONTINUED)
- ------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 82.2%
(CONTINUED)
$ 476,182 FNMA Pool #190658, 7.000%, 2/1/09 ........................... $ 479,762
142,007 FNMA Pool #253472, 7.500%, 9/1/10 ........................... 145,360
188,581 FNMA Pool #519992, 7.000%, 10/1/14 .......................... 194,508
286,253 FNMA Pool #534851, 7.500%, 4/1/15 ........................... 295,819
210,483 FNMA Pool #535219, 7.500%, 3/1/15 ........................... 217,516
212,468 FNMA Pool #535635, 8.500%, 6/1/12 ........................... 213,812
1,083,040 FNMA Pool #555646, 7.500%, 9/1/16 ........................... 1,120,902
46,233 GNMA ARM Pool #8103 (A), 5.625%, 2/20/16 .................... 46,709
46,669 GNMA ARM Pool #8287 (A), 5.125%, 11/20/17 ................... 47,035
70,561 GNMA ARM Pool #8297 (A), 5.125%, 12/20/17 ................... 71,611
119,707 GNMA ARM Pool #8333 (A), 5.625%, 3/20/18 .................... 120,927
62,108 GNMA ARM Pool #8345 (A), 5.875%, 4/20/18 .................... 62,425
82,671 GNMA ARM Pool #8366 (A), 5.375%, 6/20/18 .................... 83,468
4,215 GNMA ARM Pool #8404 (A), 5.750%, 9/20/18 .................... 4,259
35,570 GNMA ARM Pool #8405 (A), 6.000%, 9/20/18 .................... 35,936
6,885 GNMA ARM Pool #8462 (A), 5.375%, 2/20/19 .................... 6,962
56,718 GNMA ARM Pool #8489 (A), 5.875%, 4/20/19 .................... 57,025
4,005,709 GNMA CMO/REMIC Ser 2003-34, Class PM, 4.000%, 4/20/33 ....... 3,905,096
------------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS ........... $127,995,413
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 12.1%
$10,000,000 FHLB (A), 6.675%, 5/19/10 ................................... $ 9,943,600
3,000,000 FHLB (A), 5.750%, 9/29/14 ................................... 2,986,200
6,000,000 FHLB Discount Note, .000%, 4/25/07 .......................... 5,980,332
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS .................... $ 18,910,132
------------
FACE
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 5.7%
$ 8,827,000 PNC Capital Markets 5.04% dated 03/30/07 due 04/02/07
repurchase proceeds $8,830,707 (Collateralized by
$9,695,000 U.S. Government Obligation FHR 3204-MC
5.50% due 09/15/03; fair value $9,670,763)(B) ............... $ 8,827,000
------------
156
ULTRA SHORT DURATION FIXED INCOME FUND (CONTINUED)
- ------------------------------------------------------------------------------------------
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------------------
CASH EQUIVALENT -- 0.0%
34 BlackRock TempFund, Institutional Shares, 5.220% ^ .......... $ 34
------------
TOTAL INVESTMENT SECURITIES AND REPURCHASE
AGREEMENT -- 100.0%
(Cost $154,600,356) ......................................... $155,732,579
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0% ............... 22,382
------------
NET ASSETS -- 100.0% ........................................ $155,754,961
============
^ The rate shown is the 7-day effective yield as of March 31, 2007.
(A) Variable rate security - the rate reflected is the rate in effect on March
31, 2007.
(B) Tri-Party Repurchase Agreement
ARM - Adjustable Rate Mortgage
CMO - Collateralized Mortgage Obligation
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
REMIC - Real Estate Mortgage Investment Conduit
See accompanying notes to financial statements.
157
PORTFOLIO OF INVESTMENTS
VALUE OPPORTUNITIES FUND - MARCH 31, 2007 (UNAUDITED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.1% SHARES VALUE
- -------------------------------------------------------------------------------------
FINANCIALS -- 31.9%
ACE ..................................................... 31,125 $ 1,775,993
Bank of America ......................................... 40,800 2,081,616
Bank of New York ........................................ 35,575 1,442,566
Citigroup ............................................... 74,050 3,801,726
Hartford Financial Services Group ....................... 29,125 2,783,768
Host Hotels & Resorts*+ ................................. 49,025 1,289,848
Loews ................................................... 63,025 2,863,225
Morgan Stanley .......................................... 33,900 2,669,964
PNC Financial Services Group ............................ 52,600 3,785,621
Radian Group ............................................ 34,700 1,904,336
RenaissanceRe Holdings .................................. 33,000 1,654,620
US Bancorp+ ............................................. 56,675 1,981,925
Wachovia ................................................ 51,750 2,848,838
------------
30,884,046
------------
ENERGY -- 10.8%
ConocoPhillips .......................................... 14,000 956,900
Exxon Mobil ............................................. 65,075 4,909,908
Noble Energy ............................................ 25,525 1,522,566
Peabody Energy+ ......................................... 37,825 1,522,078
Valero Energy ........................................... 23,700 1,528,413
------------
10,439,865
------------
CONSUMER STAPLES -- 8.9%
Altria Group ............................................ 24,975 2,193,055
CVS/Caremark ............................................ 74,800 2,553,672
HJ Heinz ................................................ 39,200 1,847,104
Procter & Gamble ........................................ 31,200 1,970,592
------------
8,564,423
------------
INDUSTRIALS -- 8.1%
Deere ................................................... 19,375 2,104,901
General Electric ........................................ 55,875 1,975,740
Republic Services ....................................... 65,587 1,824,630
Shaw Group* ............................................. 59,975 1,875,418
------------
7,780,689
------------
UTILITIES -- 7.5%
DPL ..................................................... 51,775 1,609,685
Duke Energy+ ............................................ 44,425 901,383
Edison International .................................... 21,925 1,077,175
Exelon .................................................. 31,325 2,152,341
National Fuel Gas+ ...................................... 34,625 1,497,878
........................................................ ------------
7,238,462
------------
158
VALUE OPPORTUNITIES FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
COMMON STOCKS -- 99.1% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.3%
Comcast, Class A*+ ...................................... 111,200 $ 2,885,640
McDonald's .............................................. 38,775 1,746,814
Walt Disney ............................................. 68,600 2,361,898
------------
6,994,352
------------
INFORMATION TECHNOLOGY -- 7.0%
Hewlett Packard ......................................... 27,600 1,107,864
RF Micro Devices*+ ...................................... 241,775 1,506,258
Teradyne*+ .............................................. 174,875 2,892,433
TriQuint Semiconductor* ................................. 244,000 1,220,000
------------
6,726,555
------------
HEALTH CARE -- 6.6%
Abbott Laboratories ..................................... 29,400 1,640,520
Pfizer .................................................. 47,800 1,207,428
Sanofi-Aventis ADR+ ..................................... 31,875 1,386,881
WellPoint* .............................................. 26,375 2,139,013
------------
6,373,842
------------
TELECOMMUNICATION SERVICES -- 5.5%
AT&T .................................................... 94,800 3,737,964
Verizon Communications+ ................................. 41,275 1,565,148
------------
5,303,112
------------
MATERIALS -- 5.5%
Lubrizol ................................................ 28,125 1,449,281
Syngenta ADR ............................................ 45,250 1,721,763
Weyerhaeuser ............................................ 28,000 2,092,720
------------
5,263,764
------------
TOTAL COMMON STOCKS ..................................... $ 95,569,110
------------
159
VALUE OPPORTUNITIES FUND (CONTINUED)
- -------------------------------------------------------------------------------------
MARKET
SHARES VALUE
- -------------------------------------------------------------------------------------
INVESTMENT FUND -- 17.0%
BlackRock Institutional Money Market Trust, 5.23% ** ^ .. 16,390,000 $ 16,390,000
------------
CASH EQUIVALENT -- 1.4%
BlackRock TempFund, Institutional Shares, 5.22% ^ ....... 1,310,714 $ 1,310,714
------------
TOTAL INVESTMENT SECURITIES -- 117.5%
(Cost $100,828,266) ..................................... $113,269,824
LIABILITIES IN EXCESS OF OTHER ASSETS -- (17.5%) ........ (16,862,059)
------------
NET ASSETS -- 100.0% .................................... $ 96,407,765
============
* Non-income producing security.
+ All or a portion of the security is on loan. The total value of securities
on loan as of March 31, 2007, was $15,630,860.
** Represents collateral for securities loaned.
^ The rate shown is the 7-day effective yield as of March 31, 2007.
ADR - American Depository Receipt
See accompanying notes to financial statements.
160
OTHER ITEMS (UNAUDITED)
- --------------------------------------------------------------------------------
PROXY VOTING
The Sub-Advisors are responsible for exercising the voting rights associated
with the securities purchased and held by the Funds. A description of the
policies and procedures that the Sub-Advisors use in fulfilling this
responsibility and information regarding how those proxies were voted during the
twelve month period ended June 30 are available without charge upon request by
calling toll free 1.800.543.0407. These items are also available on the
Securities and Exchange Commission's (the Commission) Website at
http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
The Trust files a complete listing of portfolio holdings for each Fund as of the
end of the first and third quarters of each fiscal year on Form N-Q. The
complete listing (i) is available on the Commission's Website; (ii) may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC;
and (iii) will be made available to shareholders upon request by calling
1.800.543.0407. Information on the operation of the Public Reference Room may be
obtained by calling 1-800-SEC-0330.
SCHEDULE OF SHAREHOLDER EXPENSES
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including reinvested dividends or other distributions; and (2) ongoing
costs, including investment advisory fees; distribution (12b-1) fees; and other
Fund expenses. This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Funds and to compare these costs with the
ongoing costs of investing in other mutual funds.
ACTUAL EXPENSES
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six
Months Ended March 31, 2007" 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.
EXPENSES
NET EXPENSE BEGINNING ENDING PAID DURING
RATIO ACCOUNT ACCOUNT THE SIX MONTHS
ANNUALIZED VALUE VALUE ENDED
MARCH 31, OCTOBER 1, MARCH 31, MARCH 31,
2007 2006 2007 2007**
- --------------------------------------------------------------------------------------------
CLOVER CORE FIXED INCOME FUND
Class I Actual ................... 0.89% $1,000.00 $1,022.20 $4.48
Class I Hypothetical ............. 0.89% $1,000.00 $1,020.50 $4.48
DIVERSIFIED GROWTH FUND
Class I Actual ................... 1.10% $1,000.00 $1,064.90 $5.65
Class I Hypothetical ............. 1.10% $1,000.00 $1,019.46 $5.52
- --------------------------------------------------------------------------------------------
161
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
MARCH 31, OCTOBER 1, MARCH 31, MARCH 31,
2007 2006 2007 2007**
- --------------------------------------------------------------------------------------------
DIVERSIFIED SMALL CAP VALUE FUND
Class A Actual* .................. 1.46% $1,000.00 $1,029.10 $5.37
Class A Hypothetical* ............ 1.46% $1,000.00 $1,012.79 $5.32
Class C Actual* .................. 2.01% $1,000.00 $1,028.60 $7.35
Class C Hypothetical* ............ 2.01% $1,000.00 $1,010.83 $7.29
Class Z Actual ................... 1.41% $1,000.00 $1,106.20 $7.41
Class Z Hypothetical ............. 1.41% $1,000.00 $1,017.89 $7.10
DIVERSIFIED VALUE FUND
Class A Actual ................... 1.10% $1,000.00 $1,075.90 $5.69
Class A Hypothetical ............. 1.10% $1,000.00 $1,019.45 $5.53
Class C Actual* .................. 1.63% $1,000.00 $1,001.30 $5.89
Class C Hypothetical* ............ 1.63% $1,000.00 $1,012.19 $5.93
FAMILY HERITAGE FUND
Class A Actual ................... 1.30% $1,000.00 $1,073.60 $6.72
Class A Hypothetical ............. 1.30% $1,000.00 $1,018.45 $6.54
Class C Actual* .................. 1.78% $1,000.00 $1,011.00 $6.47
Class C Hypothetical* ............ 1.78% $1,000.00 $1,011.65 $6.47
HEALTHCARE AND BIOTECHNOLOGY FUND
Class A Actual .................. 1.79% $1,000.00 $1,048.30 $9.13
Class A Hypothetical ............ 1.79% $1,000.00 $1,016.02 $8.98
Class C Actual* ................. 2.49% $1,000.00 $1,042.30 $9.20
Class C Hypothetical* ........... 2.49% $1,000.00 $1,009.07 $9.05
HLAM LARGE CAP QUALITY STOCK FUND
Class II Actual .................. 1.25% $1,000.00 $1,042.90 $6.36
Class II Hypothetical ............ 1.25% $1,000.00 $1,018.70 $6.29
INTERNATIONAL EQUITY FUND
Class A Actual ................... 1.45% $1,000.00 $1,156.10 $7.79
Class A Hypothetical ............. 1.45% $1,000.00 $1,017.70 $7.29
Class C Actual* .................. 2.09% $1,000.00 $1,047.20 $7.73
Class C Hypothetical* ............ 2.09% $1,000.00 $1,010.53 $7.59
MID CAP FUND
Class Y Actual ................... 0.90% $1,000.00 $1,129.20 $4.77
Class Y Hypothetical ............. 0.90% $1,000.00 $1,020.45 $4.53
Class Z Actual ................... 1.15% $1,000.00 $1,126.90 $6.09
Class Z Hypothetical ............. 1.15% $1,000.00 $1,019.20 $5.79
162
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
MARCH 31, OCTOBER 1, MARCH 31, MARCH 31,
2007 2006 2007 2007**
- ------------------------------------------------------------------------------------------------------
PITCAIRN SELECT VALUE FUND
Class II Actual ............................ 1.14% $1,000.00 $1,078.20 $5.92
Class II Hypothetical ...................... 1.14% $1,000.00 $1,019.23 $5.76
PITCAIRN TAXABLE BOND FUND
Class II Actual ............................ 0.89% $1,000.00 $1,029.40 $4.52
Class II Hypothetical ...................... 0.89% $1,000.00 $1,020.48 $4.50
SANDS CAPITAL SELECT GROWTH FUND
Class Y Actual ............................. 1.10% $1,000.00 $1,053.90 $5.63
Class Y Hypothetical ....................... 1.10% $1,000.00 $1,019.45 $5.53
Class Z Actual ............................. 1.35% $1,000.00 $1,051.50 $6.90
Class Z Hypothetical ....................... 1.35% $1,000.00 $1,018.20 $6.79
SHORT DURATION FIXED INCOME FUND
Class Z Actual ............................. 0.75% $1,000.00 $1,028.60 $3.79
Class Z Hypothetical ....................... 0.75% $1,000.00 $1,021.19 $3.78
SMALL CAP FUND
Class A Actual ............................. 1.10% $1,000.00 $1,103.80 $5.78
Class A Hypothetical ....................... 1.10% $1,000.00 $1,019.44 $5.54
Class C Actual* ............................ 1.46% $1,000.00 $1,011.00 $5.31
Class C Hypothetical* ...................... 1.46% $1,000.00 $1,012.80 $5.31
SMALL CAP VALUE OPPORTUNITIES FUND
Class Z Actual ............................. 1.71% $1,000.00 $1,090.40 $8.93
Class Z Hypothetical ....................... 1.71% $1,000.00 $1,016.39 $8.61
STRATEGIC VALUE AND HIGH INCOME FUND
Class A Actual* ............................ 0.50% $1,000.00 $1,022.20 $1.83
Class A Hypothetical* ...................... 0.50% $1,000.00 $1,016.27 $1.83
Class C Actual* ............................ 1.25% $1,000.00 $1,020.20 $4.58
Class C Hypothetical* ...................... 1.25% $1,000.00 $1,013.55 $4.56
Class Y Actual ............................. 0.25% $1,000.00 $1,073.30 $1.30
Class Y Hypothetical ....................... 0.25% $1,000.00 $1,023.68 $1.27
TAX-EXEMPT BOND FUND
Class A Actual ............................. 0.70% $1,000.00 $1,014.70 $3.54
Class A Hypothetical ....................... 0.70% $1,000.00 $1,021.42 $3.55
ULTRA SHORT DURATION FIXED INCOME FUND
Class Z Actual ............................. 0.68% $1,000.00 $1,030.90 $3.46
Class Z Hypothetical ....................... 0.68% $1,000.00 $1,021.52 $3.45
163
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
MARCH 31, OCTOBER 1, MARCH 31, MARCH 31,
2007 2006 2007 2007**
- ------------------------------------------------------------------------------------------------------
VALUE OPPORTUNITIES FUND
Class A Actual* ............................ 1.28% $1,000.00 $1,006.60 $4.63
Class A Hypothetical* ...................... 1.28% $1,000.00 $1,013.47 $4.64
Class C Actual* ............................ 1.75% $1,000.00 $1,006.30 $6.36
Class C Hypothetical* ...................... 1.75% $1,000.00 $1,011.74 $6.38
Class Z Actual ............................. 1.14% $1,000.00 $1,080.60 $5.89
Class Z Hypothetical ....................... 1.14% $1,000.00 $1,019.27 $5.72
* The example is based on an investment of $1,000 invested at the beginning
of the period (November 20,2006) and held for the entire period through
March 31, 2007.
** Expenses are equal to the Fund's annualized expense ratio, multiplied by
the average account value over the period, multiplied by [number of days
in most recent fiscal half-year/365] (to reflect the one-half year
period).
164
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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
Touchstone Securities, Inc. and Touchstone Advisors, Inc. are members of Western
& Southern Financial Group(R)
- --------------------------------------------------------------------------------
[LOGO] TOUCHSTONE
INVESTMENTS
303 Broadway, Suite 1100
Cincinnati, OH 45202-4203
TSF-56-TFGT-SAR-0703
ITEM 2. CODE OF ETHICS.
Not required in semi-annual report filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required in semi-annual report filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required in semi-annual report filing.
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 Annual 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 Governance Committee will consider shareholder recommendations for
nomination to the Board only in the event that there is a vacancy on the Board.
Shareholders who wish to submit recommendations for nominations to the Board to
fill the vacancy must submit their recommendations in writing to Phillip R. Cox,
Chairman of the Governance Committee, c/o Touchstone, 303 Broadway, Suite 1100,
Cincinnati, OH 45202. Shareholders should include appropriate information on the
background and qualifications of any person recommended to the Governance
Committee (e.g., a resume), as well as the candidate's contact information and a
written consent from the candidate to serve if nominated and elected.
Shareholder recommendations for nominations to the Board will be accepted on an
ongoing basis and such recommendations will be kept on file for consideration in
the event of a future vacancy on the Board.
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)(1) Not applicable in semiannual filing.
(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 Funds Group Trust
By (Signature and Title)
/s/ Jill T. McGruder
- --------------------------------------
Jill T. McGruder
President
Date: June 5, 2007
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: June 5, 2007
/s/ Terrie A. Wiedenheft
- -------------------------------------
Terrie A. Wiedenheft
Controller & Treasurer
Date: June 5, 2007