UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D. C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-3651 --------------------------------------------- Touchstone Strategic Trust - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 303 Broadway, Cincinnati, Ohio 45202 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Jill T. McGruder, 303 Broadway, Cincinnati, Ohio 45202 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (513) 878-4066 ---------------------------- Date of fiscal year end: 3/31 ------------------------------------------------------- Date of reporting period: 9/30/09 ------------------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. SEPTEMBER 30, 2009 (UNAUDITED) SEMI-ANNUAL REPORT TOUCHSTONE STRATEGIC TRUST Touchstone Diversified Small Cap Growth Fund Touchstone Growth Opportunities Fund Touchstone Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Large Cap Value Fund Touchstone Mid Cap Growth Fund [LOGO] TOUCHSTONE INVESTMENTS(R) - ------------------------------------------------------------------------------- Table of Contents - ------------------------------------------------------------------------------- Page - ------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments 3 - ------------------------------------------------------------------------------- Statements of Assets and Liabilities 4-7 - ------------------------------------------------------------------------------- Statements of Operations 8-9 - ------------------------------------------------------------------------------- Statements of Changes in Net Assets 10-12 - ------------------------------------------------------------------------------- Financial Highlights 13-24 - ------------------------------------------------------------------------------- Notes to Financial Statements 25-39 - ------------------------------------------------------------------------------- Portfolios of Investments: - ------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 40-41 - ------------------------------------------------------------------------------- Growth Opportunities Fund 42-43 - ------------------------------------------------------------------------------- Large Cap Core Equity Fund 44-45 - ------------------------------------------------------------------------------- Large Cap Growth Fund 46 - ------------------------------------------------------------------------------- Large Cap Value Fund 47 - ------------------------------------------------------------------------------- Mid Cap Growth Fund 48-49 - ------------------------------------------------------------------------------- Other Items 50-52 - ------------------------------------------------------------------------------- Privacy Protection Policy 53 2 - ------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments (Unaudited) September 30, 2009 - ------------------------------------------------------------------------------- The illustrations below provide each Fund's sector allocation. We hope it will be useful to shareholders as it summarizes key information about each Fund's investments. - -------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 28.3 Health Care 24.2 Consumer Discretionary 15.9 Industrials 13.2 Financials 6.4 Energy 5.3 Consumer Staples 2.9 Telecommunication Services 1.7 Materials 1.5 Investment Funds 29.1 Other Assets/Liabilities (Net) (28.5) ----- TOTAL 100.0 ----- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- LARGE CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 21.1 Financials 14.3 Energy 12.7 Health Care 12.0 Industrials 10.9 Consumer Discretionary 10.6 Consumer Staples 9.8 Materials 2.4 Utilities 2.3 Telecommunication Services 2.2 Investment Funds 16.0 Other Assets/Liabilities (Net) (14.3) ----- TOTAL 100.0 ----- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Financials 32.6 Energy 19.2 Consumer Discretionary 16.0 Utilities 10.3 Information Technology 9.3 Industrials 4.7 Telecommunication Services 3.9 Consumer Staples 1.0 Investment Funds 24.2 Other Assets/Liabilities (Net) (21.2) ----- TOTAL 100.0 ----- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 34.3 Health Care 20.1 Energy 11.5 Consumer Staples 9.5 Industrials 7.9 Consumer Discretionary 6.4 Materials 5.8 Financials 4.4 Investment Funds 21.9 Other Assets/Liabilities (Net) (21.8) ----- TOTAL 100.0 ----- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 21.5 Consumer Discretionary 17.5 Health Care 15.3 Materials 13.9 Energy 11.8 Industrials 11.0 Financials 5.6 Consumer Staples 1.9 Investment Funds 23.4 Other Assets/Liabilities (Net) (21.9) ----- TOTAL 100.0 ----- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- MID CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Industrials 16.2 Information Technology 15.6 Financials 14.2 Health Care 13.6 Consumer Discretionary 13.3 Energy 10.6 Materials 7.0 Consumer Staples 3.9 Utilities 3.1 Telecommunication Services 1.1 Investment Funds 25.3 Other Assets/Liabilities (Net) (23.9) ----- TOTAL 100.0 ----- - -------------------------------------------------------------------------------- 3 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 34,123,603 $ 38,872,710 $ 54,992,660 $ 912,360,774 =================================================================================================================================== Affiliated securities, at market value $ 178,855 $ 529,203 $ 898,810 $ 9,545,025 Non-affiliated securities, at market value 36,493,595 41,220,276 54,431,704 1,068,159,464 - ----------------------------------------------------------------------------------------------------------------------------------- At market value - including $7,982,294, $6,801,540, $6,698,084, and $193,661,903 of securities loaned for the Diversified Small Cap Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund, and Large Cap Growth Fund, respectively. $ 36,672,450 $ 41,749,479 $ 55,330,514 $ 1,077,704,489 Dividends and interest receivable 6,679 17,476 78,130 472,836 Receivable for capital shares sold 1,001 3,635 871 476,292 Receivable for securities sold 105,520 -- -- 7,030,484 Receivable for securities lending income 2,877 905 697 44,407 Other assets 15,416 39,577 8,996 42,987 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 36,803,943 41,811,072 55,419,208 1,085,771,495 - ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payable upon return of securities loaned 8,126,360 6,976,850 6,860,079 197,352,955 Payable for capital shares redeemed 26,240 70,093 48,602 2,350,827 Payable for securities purchased 11,386 344,982 -- -- Payable to Advisor 22,105 20,044 29,852 492,366 Payable to other affiliates 27,081 26,133 21,592 617,400 Payable to Trustees 4,118 4,117 4,117 4,372 Other accrued expenses and liabilities 44,917 81,041 46,428 555,457 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 8,262,207 7,523,260 7,010,670 201,373,377 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 28,541,736 $ 34,287,812 $ 48,408,538 $ 884,398,118 =================================================================================================================================== NET ASSETS CONSIST OF: Paid-in capital $ 49,213,703 $ 79,661,853 $ 60,669,136 $ 1,107,078,485 Accumulated net investment income (loss) (111,119) (59,962) 566,116 1,387,289 Accumulated net realized losses from security transactions $ 23,109,695) (48,190,848) (13,164,568) (389,411,371) Net unrealized appreciation on investments 2,548,847 2,876,769 337,854 165,343,715 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 28,541,736 $ 34,287,812 $ 48,408,538 $ 884,398,118 =================================================================================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 11,391,861 $ 21,774,235 $ 46,445,527 $ 408,117,829 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,370,236 1,172,725 5,899,090 21,529,158 =================================================================================================================================== Net asset value and redemption price per share $ 8.31 $ 18.57 $ 7.87 $ 18.96 =================================================================================================================================== Maximum offering price per share $ 8.82 $ 19.70 $ 8.35 $ 20.12 =================================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ -- $ -- $ 16,088,555 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- -- -- 882,152 =================================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ -- $ -- $ 18.24 =================================================================================================================================== 4 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) - -------------------------------------------------------------------------------- DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- PRICING OF CLASS C SHARES Net assets attributable to Class C shares $ 2,659,523 $ 7,605,050 $ 1,963,011 $ 154,079,642 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 324,827 437,139 252,273 8,431,212 =================================================================================================================================== Net asset value, offering price and redemption price per share* $ 8.19 $ 17.40 $ 7.78 $ 18.27 =================================================================================================================================== PRICING OF CLASS Y SHARES Net assets attributable to Class Y shares $ 14,490,352 $ 3,236 $ -- $ 306,112,092 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,731,119 174 -- 16,006,701 =================================================================================================================================== Net asset value, offering price and redemption price per share $ 8.37 $ 18.60 $ -- $ 19.12 =================================================================================================================================== PRICING OF INSTITUTIONAL CLASS SHARES Net assets attributable to Institutional Class shares $ -- $ 4,905,291 $ -- $ -- =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 263,406 -- -- =================================================================================================================================== Net asset value, offering price and redemption price per share $ -- $ 18.62 $ -- $ -- =================================================================================================================================== * Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 5 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) - -------------------------------------------------------------------------------- LARGE CAP MID CAP VALUE GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------------ ASSETS Investment securities: At cost $ 22,573,147 $ 947,633,618 ================================================================================================================== Affiliated securities, at market value $ 655,763 $ 19,306,219 Non-affiliated securities, at market value 23,109,914 1,003,213,447 - ------------------------------------------------------------------------------------------------------------------ At market value - including $3,943,603 and $184,379,053 of securities loaned for the Large Cap Value Fund and Mid Cap Growth Fund, respectively. $ 23,765,677 $ 1,022,519,666 Dividends and interest receivable 6,150 908,912 Receivable for capital shares sold 304,379 926,659 Receivable for securities sold 536,218 -- Receivable for securities lending income 303 15,961 Other assets 22,142 92,683 - ------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 24,634,869 1,024,463,881 - ------------------------------------------------------------------------------------------------------------------ LIABILITIES Payable upon return of securities loaned 4,089,701 189,307,783 Payable for capital shares redeemed 41,337 1,492,141 Payable for securities purchased 822,197 6,114,394 Payable to Advisor 7,276 532,021 Payable to other affiliates 12,301 723,151 Payable to Trustees 4,372 3,956 Other accrued expenses and liabilities 47,564 930,178 - ------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 5,024,748 199,103,624 - ------------------------------------------------------------------------------------------------------------------ NET ASSETS $ 19,610,121 $ 825,360,257 ================================================================================================================== NET ASSETS CONSIST OF: Paid-in capital $ 54,765,910 $ 914,908,094 Accumulated net investment loss (60,357) (1,017,318) Accumulated net realized losses from security transactions (36,287,962) (163,416,567) Net unrealized appreciation on investments 1,192,530 74,886,048 - ------------------------------------------------------------------------------------------------------------------ NET ASSETS $ 19,610,121 $ 825,360,257 ================================================================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 15,914,023 $ 569,006,818 ================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 4,554,720 31,296,092 ================================================================================================================== Net asset value and redemption price per share $ 3.49 $ 18.18 ================================================================================================================== Maximum offering price per share $ 3.70 $ 19.29 ================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ 35,928,650 ================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 2,339,977 ================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ 15.35 ================================================================================================================== 6 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) - -------------------------------------------------------------------------------- LARGE CAP MID CAP VALUE GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------------ PRICING OF CLASS C SHARES Net assets attributable to Class C shares $ 3,696,098 $ 211,436,396 ================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,071,036 13,757,003 ================================================================================================================== Net asset value, offering price and redemption price per share* $ 3.45 $ 15.37 ================================================================================================================== PRICING OF CLASS Y SHARES Net assets attributable to Class Y shares $ -- $ 8,988,393 ================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 493,099 ================================================================================================================== Net asset value, offering price and redemption price per share $ -- $ 18.23 ================================================================================================================== * Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 7 - -------------------------------------------------------------------------------- Statement of Operations For the Six Months Ended September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends from affiliated securities $ 2,643 $ 3,727 $ 4,309 $ 75,335 Dividends from non-affiliated securities (A) 44,300 132,668 609,667 4,287,892 Interest -- -- -- 2 Income from securities loaned 15,530 8,834 10,205 280,422 - ------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENT INCOME 62,473 145,229 624,181 4,643,651 - ------------------------------------------------------------------------------------------------------------------------ EXPENSES Investment advisory fees 134,985 124,085 177,621 2,935,553 Distribution expenses, Class A 13,104 25,041 65,832 513,860 Distribution expenses, Class B -- -- -- 76,311 Distribution expenses, Class C 12,558 34,306 9,933 743,334 Administration fees 25,712 29,901 54,653 824,412 Transfer Agent fees, Class A 31,668 37,310 21,474 345,706 Transfer Agent fees, Class B -- -- -- 23,716 Transfer Agent fees, Class C 8,049 12,360 3,909 139,617 Transfer Agent fees, Class Y 2,847 4 -- 97,189 Transfer Agent fees, Institutional Class -- 4 -- -- Postage and supplies 10,243 19,333 7,290 130,199 Reports to shareholders 7,380 9,843 4,770 99,531 Registration fees, Class A 5,881 11,225 5,108 15,138 Registration fees, Class B -- -- -- 3,448 Registration fees, Class C 5,701 2,687 1,431 7,599 Registration fees, Class Y 7,813 8,119 -- 4,403 Registration fees, Institutional Class -- 7,033 -- -- Professional fees 10,205 10,510 11,074 28,789 Custodian fees 2,246 3,451 3,309 15,606 Trustees' fees and expenses 3,999 3,998 3,998 4,254 Compliance fees and expenses 515 537 902 3,243 Other expenses 1,905 1,279 884 16,746 - ------------------------------------------------------------------------------------------------------------------------ TOTAL EXPENSES 284,811 341,026 372,188 6,028,654 Fees waived by the Administrator (25,712) (29,901) (50,694) (586,214) Fees waived and/or expenses reimbursed by the Advisor (85,507) (105,934) -- -- - ------------------------------------------------------------------------------------------------------------------------ NET EXPENSES 173,592 205,191 321,494 5,442,440 - ------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME (LOSS) (111,119) (59,962) 302,687 (798,789) - ------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized losses from security transactions (1,082,608) (264,596) (3,720,537) (20,560,723) Net change in unrealized appreciation/ depreciation on investments 8,211,408 7,732,912 17,878,013 226,856,059 - ------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS 7,128,800 7,468,316 14,157,476 206,295,336 - ------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 7,017,681 $ 7,408,354 $ 14,460,163 $ 205,496,547 - ------------------------------------------------------------------------------------------------------------------------ (A) Net of foreign tax withholding of: $ -- $ 529 $ 8,689 $ 168,808 See accompanying notes to financial statements. 8 - -------------------------------------------------------------------------------- Statement of Operations (Continued) - -------------------------------------------------------------------------------- LARGE CAP MID CAP VALUE GROWTH FUND FUND - --------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities $ 1,779 $ 99,886 Dividends from non-affiliated securities (A) 31,426 4,782,067 Income from securities loaned 3,233 273,994 - --------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 36,438 5,155,947 - --------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 47,786 2,849,016 Distribution expenses, Class A 12,451 610,184 Distribution expenses, Class B -- 168,046 Distribution expenses, Class C 13,910 941,081 Transfer Agent fees, Class A 10,410 432,108 Transfer Agent fees, Class B -- 50,534 Transfer Agent fees, Class C 10,015 223,734 Transfer Agent fees, Class Y -- 4 Administration fees 12,743 712,261 Postage and supplies 10,758 272,542 Reports to shareholders 5,411 123,561 Professional fees 10,064 38,067 Custodian fees 1,781 27,289 Registration fees, Class A 3,182 2,668 Registration fees, Class B -- 1,188 Registration fees, Class C 3,146 409 Registration fees, Class Y -- 5,131 Trustees' fees and expenses 4,254 4,014 Compliance fees and expenses 877 2,270 Other expenses 897 17,101 - --------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 147,685 6,481,208 Fees waived by the Administrator (12,743) (307,943) Fees waived and/or expenses reimbursed by the Advisor (38,147) -- - --------------------------------------------------------------------------------------------------------- NET EXPENSES 96,795 6,173,265 - --------------------------------------------------------------------------------------------------------- NET INVESTMENT LOSS (60,357) (1,017,318) - --------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions (450,177) 3,083,868 Net change in unrealized appreciation/depreciation on investments 8,025,556 233,242,469 - --------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS 7,575,379 236,326,337 - --------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 7,515,022 $ 235,309,019 ========================================================================================================= (A) Net of foreign tax withholding of: $ -- $ 862 See accompanying notes to financial statements. 9 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets - -------------------------------------------------------------------------------- DIVERSIFIED GROWTH SMALL CAP OPPORTUNITIES GROWTH FUND FUND - ---------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2009 MARCH 31, 2009 MARCH 31, (UNAUDITED) 2009 (UNAUDITED) 2009(A)(B) - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (111,119) $ (63,651) $ (59,962) $ (323,856) Net realized losses from security transactions (1,082,608) (9,624,130) 264,596 (6,773,831) Net change in unrealized appreciation/depreciation on investments 8,211,408 (1,538,607) 7,732,912 (7,150,096) - ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 7,017,681 (11,226,388) 7,408,354 (14,247,783) - ---------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 1,110,062 2,325,565 1,121,361 10,983,044 Payments for shares redeemed (1,671,684) (10,439,076) (2,386,668) (9,002,735) - ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (561,622) (8,113,511) (1,265,307) 1,980,309 - ---------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- -- -- 179,046 Payments for shares redeemed -- -- -- (1,769,228) - ---------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- -- -- (1,590,182) - ---------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 27,945 454,913 308,817 1,562,451 Payments for shares redeemed (324,890) (1,205,593) (672,966) (2,906,983) - ---------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (296,945) (750,680) (364,149) (1,344,532) - ---------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold 3,565,220 2,368,883 -- 2,500 Payments for shares redeemed (1,311,524) (3,840,927) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS 2,253,696 (1,472,044) -- 2,500 - ---------------------------------------------------------------------------------------------------------------------------------- INSTITUTIONAL CLASS Proceeds from shares sold -- -- 5,168,100 2,500 Payments for shares redeemed -- -- (900,000) -- - ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM INSTITUTIONAL CLASS SHARE TRANSACTIONS -- -- 4,268,100 2,500 - ---------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 8,412,810 (21,562,623) 10,046,998 (15,197,188) NET ASSETS Beginning of period 20,128,926 41,691,549 24,240,814 39,438,002 - ---------------------------------------------------------------------------------------------------------------------------------- End of period $ 28,541,736 $ 20,128,926 $ 34,287,812 $ 24,240,814 ================================================================================================================================== ACCUMULATED NET INVESTMENT LOSS $ (111,119) $ -- $ (59,962) $ -- ================================================================================================================================== (A) Class B represents the period from April 1, 2008 through February 1, 2009. (B) Class Y and Institutional Class represent the period from commencement of operations (February 2, 2009) through March 31, 2009. See accompanying notes to financial statements. 10 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets (Continued) - -------------------------------------------------------------------------------- LARGE CAP CORE LARGE CAP EQUITY FUND GROWTH FUND - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2009 MARCH 31, 2009 MARCH 31, (UNAUDITED) 2009 (UNAUDITED) 2009 - ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 302,687 $ 899,578 $ (798,789) $ 3,314,652 Net realized losses from security transactions (3,720,537) (9,214,214) (20,560,723) (341,832,277) Net change in unrealized appreciation/depreciation on investments 17,878,013 (18,011,816) 226,856,059 (210,014,994) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 14,460,163 (26,326,452) 205,496,547 (548,532,619) - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (826,694) -- (384,725) From net investment income, Class C -- (23,762) -- -- From net investment income, Class Y -- -- -- (743,849) From net realized gains, Class A -- (4,234,966) -- -- From net realized gains, Class C -- (191,660) -- -- - ----------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (5,277,082) -- (1,128,574) - ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 1,550,538 11,416,914 32,534,868 275,238,115 Reinvested distributions -- 4,958,772 -- 249,999 Payments for shares redeemed (14,109,300) (25,433,557) (146,491,277) (255,367,571) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (12,558,762) (9,057,871) (113,956,409) 20,120,543 - ----------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- -- 3,443 2,200,560 Payments for shares redeemed -- -- (1,873,927) (6,221,431) - ----------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- -- (1,870,484) (4,020,871) - ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 82,733 2,075,124 6,798,043 58,876,139 Reinvested distributions -- 148,421 -- -- Payments for shares redeemed (506,838) (2,154,892) (27,050,413) (53,064,767) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (424,105) 68,653 (20,252,370) 5,811,372 - ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 66,869,500 339,657,227 Reinvested distributions -- -- -- 715,680 Payments for shares redeemed -- -- (28,893,008) (53,196,540) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- 37,976,492 287,176,367 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 1,477,296 (40,592,752) 107,393,776 (240,573,782) NET ASSETS Beginning of period 46,931,242 87,523,994 777,004,342 1,017,578,124 - ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 48,408,538 $ 46,931,242 $ 884,398,118 $ 777,004,342 =================================================================================================================================== ACCUMULATED NET INVESTMENT INCOME $ 566,116 $ 263,429 $ 1,387,289 $ 2,186,078 =================================================================================================================================== See accompanying notes to financial statements. 11 - -------------------------------------------------------------------------------- Statement of Changes in Net Assets (Continued) - -------------------------------------------------------------------------------- LARGE CAP MID CAP VALUE FUND GROWTH FUND - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2009 MARCH 31, 2009 MARCH 31, (UNAUDITED) 2009 (UNAUDITED) 2009(A) - ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ (60,357) $ 193,299 $ (1,017,318) $ (2,859,559) Net realized gains (losses) from security transactions (450,177) (29,398,630) 3,083,868 (154,319,675) Net change in unrealized appreciation/depreciation on investments 8,025,556 8,616,169 233,242,469 (231,737,939) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 7,515,022 (20,589,162) 235,309,019 (388,917,173) - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (215,080) -- -- From net investment income, Class C -- (65,250) -- -- From net realized gains, Class A -- -- -- (7,418,546) From net realized gains, Class B -- -- -- (709,563) From net realized gains, Class C -- -- -- (3,686,097) - ----------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (280,330) -- (11,814,206) - ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 7,757,091 4,874,733 73,431,256 198,229,454 Reinvested distributions -- 207,375 -- 6,477,072 Payments for shares redeemed (3,012,153) (8,689,205) (63,906,967) (194,004,433) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 4,744,938 (3,607,097) 9,524,289 10,702,093 - ----------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- -- 5,674 2,085,030 Reinvested distributions -- -- -- 554,988 Payments for shares redeemed -- -- (4,664,745) (12,750,178) - ----------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- -- (4,659,071) (10,110,160) - ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 652,996 760,133 8,041,486 29,438,796 Reinvested distributions -- 58,850 -- 2,383,946 Payments for shares redeemed (388,234) (2,505,493) (17,173,503) (59,914,155) - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS 264,762 (1,686,510) (9,132,017) (28,091,413) - ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 8,256,000 2,500 - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- 8,256,000 2,500 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 12,524,722 (26,163,099) 239,298,220 (428,228,359) NET ASSETS Beginning of period 7,085,399 33,248,498 586,062,037 1,014,290,396 - ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 19,610,121 $ 7,085,399 $ 825,360,257 $ 586,062,037 =================================================================================================================================== ACCUMULATED NET INVESTMENT LOSS $ (60,357) $ -- $ (1,017,318) $ -- =================================================================================================================================== (A) Class Y represents the period from commencement of operations (February 2, 2009) through March 31, 2009. See accompanying notes to financial statements. 12 - -------------------------------------------------------------------------------- Financial Highlights - -------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED PERIOD SEPT. 30, MARCH 31, ENDED 2009 ------------------------ MARCH 31, (UNAUDITED) 2009 2008 2007(A) - ------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 6.27 $ 9.80 $ 11.64 $ 10.00 - ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) (0.04) (0.02) 0.50 (0.07) Net realized and unrealized gains (losses) on investments 2.08 (3.51) (1.15) 1.71 - ------------------------------------------------------------------------------------------------------------------------ Total from investment operations 2.04 (3.53) (0.65) 1.64 - ------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- -- (1.19) -- - ------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 8.31 $ 6.27 $ 9.80 $ 11.64 ======================================================================================================================== Total return(B) 32.54%(C) (36.02%) (7.28%) 16.40%(C) ======================================================================================================================== Net assets at end of period (000's) $ 11,392 $ 9,054 $ 22,955 $ 5,846 ======================================================================================================================== Ratio of net expenses to average net assets 1.40%(D) 1.40% 1.40% 1.40%(D) Ratio of net investment income (loss) to average net assets (0.92%)(D) (0.22%) 0.33% (1.15%)(D) Portfolio turnover rate 83%(D) 113% 99% 86%(D) (A) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. DIVERSIFIED SMALL CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2009 MARCH 31, MARCH 31, (UNAUDITED) 2009 2008(A) - -------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 6.20 $ 9.75 $ 12.44 - -------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.06) (0.08) (0.22) Net realized and unrealized gains (losses) on investments 2.05 (3.47) (1.28) - -------------------------------------------------------------------------------------------------------- Total from investment operations 1.99 (3.55) (1.50) - -------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- (1.19) - -------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 8.19 $ 6.20 $ 9.75 ======================================================================================================== Total return(B) 32.10%(C) (36.41%) (13.66%)(C) ======================================================================================================== Net assets at end of period (000's) $ 2,660 $ 2,267 $ 4,228 ======================================================================================================== Ratio of net expenses to average net assets 2.15%(D) 2.15% 0.84%(D) Ratio of net investment loss to average net assets (1.66%)(D) (0.98%) (17.70%)(D) Portfolio turnover rate 83%(D) 113% 99% (A) Represents the period from commencement of operations (August 1, 2007) through March 31, 2008. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 13 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED PERIOD SEPT. 30, MARCH 31, ENDED 2009 ------------------------ MARCH 31, (UNAUDITED) 2009 2008 2007(A) - --------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 6.30 $ 9.84 $ 11.66 $ 10.00 - --------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) (0.02) 0.00(B) 0.04 (0.05) Net realized and unrealized gains (losses) on investments 2.09 (3.54) (0.67) 1.71 - --------------------------------------------------------------------------------------------------------------------------- Total from investment operations 2.07 (3.54) (0.63) 1.66 - --------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- (1.19) -- - --------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 8.37 $ 6.30 $ 9.84 $ 11.66 =========================================================================================================================== Total return 32.86%(C) (35.98%) (7.09%) 16.60%(C) =========================================================================================================================== Net assets at end of period (000's) $ 14,490 $ 8,808 $ 14,509 $ 6,128 =========================================================================================================================== Ratio of net expenses to average net assets 1.15%(D) 1.15% 1.15% 1.15%(D) Ratio of net investment income (loss) to average net assets (0.66%)(D) 0.02% (0.52%) (0.90%)(D) Portfolio turnover rate 83%(D) 113% 99% 86%(D) (A) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. (B) Amount rounds to less than $0.01 per share. (C) Not annualized. (D) Annualized. GROWTH OPPORTUNITIES FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 -------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.41 $ 21.68 $ 20.75 $ 21.57 $ 17.92 $ 18.06 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.02) (0.15) (0.24) (0.35) (0.21) (0.24) Net realized and unrealized gains (losses) on investments 4.18 (7.12) 1.17 (0.47) 3.86 0.10 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.16 (7.27) 0.93 (0.82) 3.65 (0.14) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 18.57 $ 14.41 $ 21.68 $ 20.75 $ 21.57 $ 17.92 =================================================================================================================================== Total return(A) 28.87%(B) (33.53%) 4.48% (3.80%) 20.37% (0.78%) =================================================================================================================================== Net assets at end of period (000's) $ 21,774 $ 17,973 $ 26,349 $ 35,723 $ 98,004 $ 81,313 =================================================================================================================================== Ratio of net expenses to average net assets 1.24%(C) 1.51% 1.55% 1.79% 1.64% 1.68% Ratio of net investment loss to average net assets (0.27%)(C) (0.70%) (0.89%) (1.12%) (1.09%) (1.14%) Portfolio turnover rate 114%(C) 60% 82% 161% 80% 35% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 14 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 -------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 13.55 $ 20.42 $ 19.63 $ 20.60 $ 17.11 $ 17.39 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.08) (0.29) (0.35) (0.54) (0.40) (0.40) Net realized and unrealized gains (losses) on investments 3.93 (6.58) 1.14 (0.43) 3.89 0.12 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 3.85 (6.87) 0.79 (0.97) 3.49 (0.28) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 17.40 $ 13.55 $ 20.42 $ 19.63 $ 20.60 $ 17.11 =================================================================================================================================== Total return(A) 28.41%(B) (33.64%) 4.02% (4.71%) 20.40% (1.61%) =================================================================================================================================== Net assets at end of period (000's) $ 7,605 $ 6,262 $ 11,115 $ 11,957 $ 22,412 $ 21,789 =================================================================================================================================== Ratio of net expenses to average net assets 1.99%(C) 2.27% 2.30% 2.71% 2.57% 2.61% Ratio of net investment loss to average net assets (1.02%)(C) (1.46%) (1.60%) (2.00%) (2.01%) (2.04%) Portfolio turnover rate 114%(C) 60% 82% 161% 80% 35% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. GROWTH OPPORTUNITIES FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2009 MARCH 31, (UNAUDITED) 2009(A) - -------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.41 $ 14.37 - -------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.00)(B) (0.00)(B) Net realized and unrealized gains on investments 4.19 0.04 - -------------------------------------------------------------------------------- Total from investment operations 4.19 0.04 - -------------------------------------------------------------------------------- Net asset value at end of period $ 18.60 $ 14.41 ================================================================================ Total return 29.08%(C) 0.28%(C) ================================================================================ Net assets at end of period (000's) $ 3 $ 3 ================================================================================ Ratio of net expenses to average net assets 0.99%(D) 0.97%(D) Ratio of net investment income (loss) to average net assets (0.03%)(D) 0.21%(D) Portfolio turnover rate 114%(D) 60% (A) Represents the period from commencement of operations (February 2, 2009) through March 31, 2009. (B) Amount rounds to less than $0.01. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 15 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND--INSTITUTIONAL CLASS PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2009 MARCH 31, (UNAUDITED) 2009(A) - -------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.42 $ 14.37 - -------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.01 (0.00)(B) Net realized and unrealized gains on investments 4.19 0.05 - -------------------------------------------------------------------------------- Total from investment operations 4.20 0.05 - -------------------------------------------------------------------------------- Net asset value at end of period $ 18.62 $ 14.42 ================================================================================ Total return 29.13%(C) 0.35%(C) ================================================================================ Net assets at end of period (000's) $ 4,906 $ 3 ================================================================================ Ratio of net expenses to average net assets 0.84%(D) 0.82%(D) Ratio of net investment income to average net assets 0.13%(D) 0.36%(D) Portfolio turnover rate 114%(D) 60% (A) Represents the period from commencement of operations (February 2, 2009) through March 31, 2009. (B) Amount rounds to less than $0.01. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 16 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP CORE EQUITY FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 --------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 6.00 $ 10.36 $ 11.36 $ 10.49 $ 9.48 $ 9.10 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.06 0.12 0.10 0.11 0.06 0.11 Net realized and unrealized gains (losses) on investments 1.81 (3.77) (0.62) 0.91 0.96 0.38 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.87 (3.65) (0.52) 1.02 1.02 0.49 - ----------------------------------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.11) (0.10) (0.15) (0.01) (0.11) Distributions from net realized gains -- (0.60) (0.38) -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Total distributions -- (0.71) (0.48) (0.15) (0.01) (0.11) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 7.87 $ 6.00 $ 10.36 $ 11.36 $ 10.49 $ 9.48 =================================================================================================================================== Total return(A) 31.17%(B) (35.73%) (5.03%) 9.83% 10.74% 5.32% =================================================================================================================================== Net assets at end of period (000's) $ 46,446 $ 45,073 $ 84,611 $ 95,175 $ 25,693 $ 9,328 =================================================================================================================================== Ratio of net expenses to average net assets 1.15%(C) 1.15% 1.15% 1.15% 1.00% 1.00% Ratio of net investment income to average net assets 1.13%(C) 1.38% 0.89% 0.97% 1.03% 1.18% Portfolio turnover rate 28%(C) 51% 52% 54% 6% 7% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 17 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP CORE EQUITY FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 --------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - --------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 5.95 $ 10.29 $ 11.29 $ 10.39 $ 9.46 $ 9.08 - --------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.01 0.04 0.01 (0.02) 0.03 0.04 Net realized and unrealized gains (losses) on investments 1.82 (3.72) (0.61) 0.96 0.91 0.37 - --------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.83 (3.68) (0.60) 0.94 0.94 0.41 - --------------------------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.06) (0.02) (0.04) (0.01) (0.03) Distributions from net realized gains -- (0.60) (0.38) -- -- -- - --------------------------------------------------------------------------------------------------------------------------- Total distributions -- (0.66) (0.40) (0.04) (0.01) (0.03) - --------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 7.78 $ 5.95 $ 10.29 $ 11.29 $ 10.39 $ 9.46 =========================================================================================================================== Total return(A) 30.76%(B) (36.23%) (5.72%) 9.09% 9.91% 4.52% =========================================================================================================================== Net assets at end of period (000's) $ 1,963 $ 1,858 $ 2,913 $ 4,231 $ 1,399 $ 1,675 =========================================================================================================================== Ratio of net expenses to average net assets 1.90%(C) 1.90% 1.90% 1.90% 1.75% 1.75% Ratio of net investment income (loss) to average net assets 0.38%(C) 0.70% 0.13% (0.26%) 0.26% 0.41% Portfolio turnover rate 28%(C) 51% 52% 54% 6% 7% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 18 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 --------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.73 $ 24.45 $ 22.06 $ 23.26 $ 19.84 $ 17.31 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.01 0.09 0.02 (0.04) (0.02) (0.02) Net realized and unrealized gains (losses) on investments 4.22 (9.80) 2.37 (1.16) 3.44 2.55 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.23 (9.71) 2.39 (1.20) 3.42 2.53 - ----------------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income -- (0.01) -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 18.96 $ 14.73 $ 24.45 $ 22.06 $ 23.26 $ 19.84 =================================================================================================================================== Total return(A) 28.72%(B) (39.71%) 10.83% (5.16%) 17.24% 14.62% =================================================================================================================================== Net assets at end of period (000's) $ 408,118 $ 418,808 $ 9,488 $ 656,582 $ 838,120 $ 274,121 =================================================================================================================================== Ratio of net expenses to average net assets 1.25%(C) 1.25% 1.25% 1.16% 1.17% 1.26% Ratio of net investment income (loss) to average net assets (0.13%)(C) 0.41% 0.06% (0.16%) (0.13%) (0.23%) Portfolio turnover 79%(C) 126% 72% 115% 104% 127% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. LARGE CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 -------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.22 $ 23.68 $ 21.46 $ 22.83 $ 19.60 $ 17.24 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.09) (0.08) (0.15) (0.21) (0.15) (0.12) Net realized and unrealized gains (losses) on investments 4.11 (9.38) 2.37 (1.16) 3.38 2.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.02 (9.46) 2.22 (1.37) 3.23 2.36 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 18.24 $ 14.22 $ 23.68 $ 21.46 $ 22.83 $ 19.60 =================================================================================================================================== Total return(A) 28.27%(B) (39.95%) 10.34% (6.00%) 16.48% 13.69% =================================================================================================================================== Net assets at end of period (000's) $ 16,088 $ 14,186 $ 29,829 $ 26,669 $ 27,781 $ 10,579 =================================================================================================================================== Ratio of net expenses to average net assets 2.00%(C) 2.00% 2.00% 2.02% 2.08% 2.25% Ratio of net investment loss to average net assets (0.86%)(C) (0.35%) (0.65%) (0.98%) (1.02%) (1.23%) Portfolio turnover rate 79%(C) 126% 72% 115% 104% 127% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 19 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 ------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.25 $ 23.74 $ 21.52 $ 22.88 $ 19.62 $ 17.24 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.09) (0.07) (0.14) (0.20) (0.11) (0.08) Net realized and unrealized gains (losses) on investments 4.11 (9.42) 2.36 (1.16) 3.37 2.46 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.02 (9.49) 2.22 (1.36) 3.26 2.38 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 18.27 $ 14.25 $ 23.74 $ 21.52 $ 22.88 $ 19.62 =================================================================================================================================== Total return(A) 28.21%(B) (39.97%) 10.32% (5.94%) 16.62% 13.81% =================================================================================================================================== Net assets at end of period (000's) $ 154,080 $ 137,641 $ 236,582 $ 190,261 $ 188,810 $ 48,446 =================================================================================================================================== Ratio of net expenses to average net assets 2.00%(C) 2.00% 2.00% 1.95% 1.98% 2.03% Ratio of net investment loss to average net assets (0.86%)(C) (0.33%) (0.66%) (0.92%) (0.93%) (0.97%) Portfolio turnover rate 79%(C) 126% 72% 115% 104% 127% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. LARGE CAP GROWTH FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2009 --------------------------------------------------- MARCH 31, (UNAUDITED) 2009 2008 2007 2006 2005(A) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 14.84 $ 24.64 $ 22.19 $ 23.33 $ 19.86 $ 18.34 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.00(B) 0.10 0.05 0.06 0.03 0.01 Net realized and unrealized gains (losses) on investments 4.28 (9.85) 2.40 (1.20) 3.44 1.51 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.28 (9.75) 2.45 (1.14) 3.47 1.52 - ----------------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income -- (0.05) -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 19.12 $ 14.84 $ 24.64 $ 22.19 $ 23.33 $ 19.86 =================================================================================================================================== Total return 28.84%(C) (39.58%) 11.04% (4.89%) 17.47% 8.29%(C) =================================================================================================================================== Net assets at end of period (000's) $ 306,112 $ 206,369 $ 31,679 $ 40,044 $ 66,655 $ 43,279 =================================================================================================================================== Ratio of net expenses to average net assets 0.99%(D) 0.97% 1.00% 0.90% 0.93% 1.01%(D) Ratio of net investment income to average net assets 0.14%(D) 0.95% 0.21% 0.13% 0.12% 0.21%(D) Portfolio turnover 79%(D) 126% 72% 115% 104% 127% (A) Represents the period from commencement of operations (November 10, 2004) through March 31, 2005. (B) Amount rounds to less than $0.01. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 20 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2009 -------------------------------------- MARCH 31, (UNAUDITED) 2009 2008 2007 2006(A) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 1.81 $ 6.41 $ 11.15 $ 10.19 $ 10.00 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) (0.01) 0.06 0.10 0.04 0.01 Net realized and unrealized gains (losses) on investments 1.69 (4.58) (4.15) 1.19 0.18 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.68 (4.52) (4.05) 1.23 0.19 - ----------------------------------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.08) (0.09) (0.04) -- Distributions from net realized gains -- -- (0.60) (0.23) -- - ----------------------------------------------------------------------------------------------------------------------------------- Total distributions -- (0.08) (0.69) (0.27) -- - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 3.49 $ 1.81 $ 6.41 $ 11.15 $ 10.19 =================================================================================================================================== Total return(B) 92.82%(C) (70.60%) (37.31%) 12.12% 1.90%(C) =================================================================================================================================== Net assets at end of period (000's) $ 15,914 $ 5,321 $ 23,609 $ 29,609 $ 11,684 =================================================================================================================================== Ratio of net expenses to average net assets 1.35%(D) 1.35% 1.35% 1.35% 1.30%(D) Ratio of net investment income (loss) to average net assets (0.78%)(D) 1.30% 1.06% 0.55% 1.34%(D) Portfolio turnover rate 128%(D) 100% 75% 57% 68%(D) (A) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 21 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2009 ----------------------------------------- MARCH 31, (UNAUDITED) 2009 2008 2007 2006(A) - ------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 1.79 $ 6.38 $ 11.09 $ 10.18 $ 10.00 - ------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) (0.02) 0.03 0.03 (0.01) 0.00(B) Net realized and unrealized gains (losses) on investments 1.68 (4.56) (4.14) 1.17 0.18 - ------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.66 (4.53) (4.11) 1.16 0.18 - ------------------------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.06) (0.00)(B) (0.01) -- Distributions from net realized gains -- -- (0.60) (0.24) -- - ------------------------------------------------------------------------------------------------------------------------- Total distributions -- (0.06) (0.60) (0.25) -- - ------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 3.45 $ 1.79 $ 6.38 $ 11.09 $ 10.18 ========================================================================================================================= Total return(C) 92.74%(D) (71.00%) (37.89%) 11.37% 1.80%(D) ========================================================================================================================= Net assets at end of period (000's) $ 3,696 $ 1,764 $ 9,639 $ 15,220 $ 561 ========================================================================================================================= Ratio of net expenses to average net assets 2.10%(E) 2.10% 2.10% 2.10% 1.89%(E) Ratio of net investment income (loss) to average net assets (1.53%)(E) 0.55% 0.30% (0.27%) 0.25%(E) Portfolio turnover rate 128%(E) 100% 75% 57% 68%(E) (A) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 22 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- MID CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 --------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 12.95 $ 21.16 $ 24.17 $ 24.02 $ 21.42 $ 21.73 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.00)(A) (0.01) (0.12) (0.14) (0.12) (0.16) Net realized and unrealized gains (losses) on investments 5.23 (7.96) 0.01 2.20 4.70 1.03 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 5.23 (7.97) (0.11) 2.06 4.58 0.87 - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (0.24) (2.90) (1.91) (1.98) (1.18) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 18.18 $ 12.95 $ 21.16 $ 24.17 $ 24.02 $ 21.42 =================================================================================================================================== Total return(B) 40.39%(C) (37.67%) (1.53%) 8.84% 22.21% 4.13% =================================================================================================================================== Net assets at end of period (000's) $ 569,007 $ 397,756 $ 649,891 $ 713,666 $ 639,501 $ 574,855 =================================================================================================================================== Ratio of net expenses to average net assets 1.50%(D) 1.50% 1.47% 1.50% 1.50% 1.50% Ratio of net investment loss to average net assets (0.05%)(D) (0.07%) (0.53%) (0.66%) (0.57%) (0.84%) Portfolio turnover 67%(D) 71% 64% 58% 69% 85% (A) Amount rounds to less than $0.01 per share. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. MID CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 --------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.98 $ 18.13 $ 21.25 $ 21.49 $ 19.50 $ 20.03 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.06) (0.15) (0.28) (0.30) (0.26) (0.29) Net realized and unrealized gains (losses) on investments 4.43 (6.76) 0.06 1.97 4.23 0.94 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.37 (6.91) (0.22) 1.67 3.97 0.65 - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (0.24) (2.90) (1.91) (1.98) (1.18) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 15.35 $ 10.98 $ 18.13 $ 21.25 $ 21.49 $ 19.50 =================================================================================================================================== Total return(A) 39.80%(B) (38.12%) (2.29%) 8.04% 21.24% 3.37% =================================================================================================================================== Net assets at end of period (000's) $ 35,929 $ 29,521 $ 61,977 $ 74,935 $ 79,552 $ 71,879 =================================================================================================================================== Ratio of net expenses to average net assets 2.25%(C) 2.25% 2.25% 2.25% 2.25% 2.25% Ratio of net investment loss to average net assets (0.81%)(C) (0.85%) (1.31%) (1.42%) (1.32%) (1.60%) Portfolio turnover rate 67%(C) 71% 64% 58% 69% 85% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 23 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- MID CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2009 --------------------------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.99 $ 18.15 $ 21.27 $ 21.51 $ 19.51 $ 20.04 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.06) (0.14) (0.27) (0.28) (0.25) (0.30) Net realized and unrealized gains (losses) on investments 4.44 (6.78) 0.05 1.95 4.23 0.95 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.38 (6.92) (0.22) 1.67 3.98 0.65 - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (0.24) (2.90) (1.91) (1.98) (1.18) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 15.37 $ 10.99 $ 18.15 $ 21.27 $ 21.51 $ 19.51 =================================================================================================================================== Total return(A) 39.85%(B) (38.14%) (2.28%) 8.04% 21.28% 3.36% =================================================================================================================================== Net assets at end of period (000's) $ 211,436 $ 158,782 $ 302,422 $ 345,997 $ 327,867 $ 284,966 =================================================================================================================================== Ratio of net expenses to average net assets 2.25%(C) 2.25% 2.24% 2.25% 2.25% 2.25% Ratio of net investment loss to average net assets (0.80%)(C) (0.84%) (1.30%) (1.41%) (1.32%) (1.60%) Portfolio turnover 67%(C) 71% 64% 58% 69% 85% (A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. MID CAP GROWTH FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2009 MARCH 31, (UNAUDITED) 2009(A) - -------------------------------------------------------------------------------- Net asset value at beginning of period $ 12.96 $ 13.20 - -------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.01 0.02 Net realized and unrealized gains (losses) on investments 5.26 (0.26) - -------------------------------------------------------------------------------- Total from investment operations 5.27 (0.24) - -------------------------------------------------------------------------------- Net asset value at end of period $ 18.23 $ 12.96 ================================================================================ Total return 40.56%(B) (1.82%)(B) ================================================================================ Net assets at end of period (000's) $ 8,988 $ 3 ================================================================================ Ratio of net expenses to average net assets 1.23%(C) 1.25%(C) Ratio of net investment income to average net assets 0.32%(C) 1.11%(C) Portfolio turnover 67%(C) 71% (A) Represents the period from commencement of operations (February 2, 2009) through March 31, 2009. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 24 - -------------------------------------------------------------------------------- Notes to Financial Statements September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION The Diversified Small Cap Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, and Mid Cap Growth Fund (individually, a Fund, and collectively, the Funds) are each a series of Touchstone Strategic Trust (the Trust). The Trust is registered under the Investment Company Act of 1940, as amended (the Act), as an open-end management investment company. The Trust was established as a Massachusetts business trust under a Declaration of Trust dated November 18, 1982. The Declaration of Trust, as amended, permits the Trustees to issue an unlimited number of shares of each Fund. The Funds are registered to offer certain of the following classes of shares: Class A shares, Class B shares, Class C shares, Class Y shares, and Institutional Class 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 as outlined below: CLASS A(1) CLASS B(2) CLASS C(3) CLASS Y(4) INSTITUTIONAL CLASS(5) - --------------------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund X X X Growth Opportunities Fund X X X X Large Cap Core Equity Fund X X Large Cap Growth Fund X X X X X Large Cap Value Fund X X Mid Cap Growth Fund X X X X X (1) Currently sold subject to a maximum front-end sales load of 5.75% and a maximum distribution fee of up to 0.25% of average daily net assets (2) Sold subject to a maximum contingent deferred sales load of 5.00% for a one-year period and incrementally reduced over time and a maximum distribution fee of up to 1.00% of average daily net assets; closed to new investors effective February 1, 2009. (3) Sold subject to a 1.00% contingent deferred sales load for a one-year period and a maximum distribution fee of up to 1.00% of average daily net assets (4) Sold without a distribution fee or sales charge, but offered only through selected dealers (5) Sold without a distribution fee or sales charge, and subject to a higher minimum initial investment Each Class A, Class B, Class C, Class Y, and Institutional Class share of a Fund represents identical interests in the investment portfolio of such Fund and has the same rights, except that (i) Class B and Class C shares bear the expenses of higher distribution fees, which is expected to cause Class B and Class C shares to have a higher expense ratio and to pay lower dividends than Class A, Class Y, and Institutional Class shares; (ii) certain other class specific expenses will be borne solely by the class to which such expenses are attributable; and (iii) each class has exclusive voting rights with respect to matters relating to its own distribution arrangements. Effective after the close of business on October 6, 2009, the Large Cap Value Fund was closed to new investors. 25 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the Funds' significant accounting policies: SECURITY VALUATION -- The Funds' portfolio securities are valued as of the close of the regular session of trading on the New York Stock Exchange (currently 4:00 p.m., Eastern time). Portfolio securities traded on stock exchanges are valued at the last sale price and portfolio securities quoted by NASDAQ are valued at the NASDAQ Official Closing Price (NOCP). Securities not traded on a particular day, or for which the last sale price is not readily available, are valued at their last broker-quoted bid prices as obtained from one or more of the major market makers for such securities by an independent pricing service. Securities for which market quotations or the NOCP are not readily available are valued based on fair value as determined by or under the direction of the Board of Trustees. Money market instruments and other debt securities with a remaining maturity of less than 60 days are valued at amortized cost, which approximates market value. 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 Funds have adopted FASB ASC 820 "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. Fair Value Measurements applies to fair value measurements already required or permitted by existing standards. The changes to current generally accepted accounting principles (GAAP) 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. Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below: o Level 1 - quoted prices in active markets for identical securities o Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) o Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2. The aggregate value by input level, as of September 30, 2009, for each Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included in each Fund's Portfolio of Investments, which also includes a breakdown of the Fund's investments by geographic/industry concentration. 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. 26 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- As of September 30, 2009, the following Funds loaned common stocks and received collateral as follows: MARKET VALUE VALUE OF OF COMMON COLLATERAL STOCKS LOANED RECEIVED - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 7,982,294 $ 8,126,360 Growth Opportunities Fund $ 6,801,540 $ 6,976,850 Large Cap Core Equity Fund $ 6,698,084 $ 6,860,079 Large Cap Growth Fund $193,661,903 $197,352,955 Large Cap Value Fund $ 3,943,603 $ 4,089,701 Mid Cap Growth Fund $184,379,053 $189,307,783 All collateral received as cash and securities is received, held, and administered by the Funds' custodian for the benefit of the Funds in the applicable custody account or other account established for the purpose of holding collateral. Funds participating in securities lending receive compensation in the form of fees, or retain a portion of interest or dividends on the investment of any cash received as collateral. The Funds also continue to receive interest or dividends on the securities loaned. The loans are secured by collateral valued at least equal, at all times, to the fair value of the securities loaned plus accrued interest. Unrealized gain or loss on the fair value of the securities loaned that may occur during the term of the loan are recognized by the Funds. The Funds have the right under the lending agreement to recover the securities from the borrower on demand. SHARE VALUATION -- The net asset value per share of each class of shares of each Fund is calculated daily by dividing the total value of a Fund's assets attributable to that class, less liabilities attributable to that class, by the number of outstanding shares of that class. The maximum offering price per share of Class A shares of the Funds is equal to the net asset value per share plus a sales load equal to 6.10% of the net asset value (or 5.75% of the offering price). The maximum offering price per share of Class B, Class C, Class Y, and Institutional Class shares of the Funds is equal to the net asset value per share. The redemption price per share of each class of shares of the Funds is equal to the net asset value per share. However, Class B and Class C shares of the Funds are subject to a contingent deferred sales load of 5.00% and 1.00%, respectively, of the original purchase price if redeemed within a one-year period from the date of purchase. The contingent deferred sales load for Class B shares will be incrementally reduced over time. After the 6th year, there is no contingent deferred sales load for Class B shares. INVESTMENT INCOME -- Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. Discounts and premiums on securities purchased are accreted or amortized into income using the effective yield method. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends arising from net investment income, if any, are declared and paid to shareholders annually for each Fund. With respect to each Fund, net realized short-term capital gains, if any, may be distributed throughout the year and net realized long-term capital gains, if any, are distributed at least once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations. ALLOCATIONS -- Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation for the Funds are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Class specific expenses are charged directly to the class incurring the expense. Common expenses, which are not attributable to a specific class, are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Expenses not directly billed to a Fund are allocated proportionally among all Funds daily in relation to net assets of each Fund or another reasonable measure. 27 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- SECURITY TRANSACTIONS -- Security transactions are accounted for on the trade date. Securities sold are determined on a specific identification basis. ESTIMATES -- The preparation of financial statements in conformity with U.S. GAAP 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. 3. FEDERAL TAX INFORMATION 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. The tax character of distributions paid for the years ended March 31, 2009 and 2008 was as follows: DIVERSIFIED GROWTH LARGE CAP SMALL CAP GROWTH OPPORTUNITIES CORE EQUITY FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2009 2008 2009 2008 2009 2008 - ------------------------------------------------------------------------------------------------------------------------------------ From ordinary income $ -- $ 1,091,263 $ -- $ -- $ 850,456 $ 953,047 From long-term capital gains -- 250,461 -- -- 4,426,626 3,110,976 From tax return of capital -- 44,031 -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ $ -- $ 1,385,755 $ -- $ -- $ 5,277,082 $ 4,064,023 - ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP GROWTH LARGE CAP VALUE MID CAP GROWTH FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2009 2008 2009 2008 2009 2008 - ------------------------------------------------------------------------------------------------------------------------------------ From ordinary income $ 1,128,574 $ -- $ 280,330 $ 2,249,958 $ -- $ 10,614,691 From long-term capital gains -- -- -- 661,846 11,814,206 126,598,336 From tax return of capital -- -- -- 105,998 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ $ 1,128,574 $ -- $ 280,330 $ 3,017,802 $ 11,814,206 $137,213,027 - ------------------------------------------------------------------------------------------------------------------------------------ 28 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- The following information is computed on a tax basis for each item as of March 31, 2009: DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE GROWTH OPPORTUNITIES EQUITY FUND FUND FUND - -------------------------------------------------------------------------------- Tax cost of portfolio investments $ 31,826,824 $ 36,212,179 $ 79,984,711 - -------------------------------------------------------------------------------- Gross unrealized appreciation 287,883 1,026,989 -- Gross unrealized depreciation (8,349,179) (6,216,575) (20,899,797) - -------------------------------------------------------------------------------- Net unrealized depreciation (8,061,296) (5,189,586) (20,899,797) Undistributed ordinary income -- -- 263,429 Capital loss carryforward (15,063,549) (44,094,123) (1,053,666) Post October losses (4,564,803) (3,498,686) (5,030,727) - -------------------------------------------------------------------------------- Accumulated deficit $(27,689,648) $(52,782,395) $(26,720,761) ================================================================================ LARGE CAP LARGE CAP MID CAP GROWTH VALUE GROWTH FUND FUND FUND - --------------------------------------------------------------------------------------- Tax cost of portfolio investments $ 1,025,938,378 $ 16,851,160 $ 926,918,458 - --------------------------------------------------------------------------------------- Gross unrealized appreciation 42,083,743 -- 16,272,015 Gross unrealized depreciation (112,752,728) (8,132,839) (186,600,713) - --------------------------------------------------------------------------------------- Net unrealized depreciation (70,668,985) (8,132,839) (170,328,698) Undistributed ordinary income 2,186,078 -- -- Capital loss carryforward (67,703,714) (22,453,637) (55,424,720) Post October losses (291,990,293) (12,084,335) (99,103,438) - --------------------------------------------------------------------------------------- Accumulated deficit $ (428,176,914) $ (42,670,811) $ (324,856,856) ======================================================================================= The difference between the tax cost of portfolio investments and the financial statement cost is primarily due to wash sales. As of March 31, 2009, the Funds had the following capital loss carryforwards for federal income tax purposes. EXPIRES FUND AMOUNT MARCH 31, - ---------------------------------------------------------- Diversified Small Cap Growth Fund $11,436,443 2015 3,627,106 2017 ----------- 15,063,549 =========== Growth Opportunities Fund $21,887,780 2011 17,098,132 2012 1,976,702 2013 3,131,509 2017 ----------- 44,094,123 =========== Large Cap Core Equity Fund $ 1,053,666 2017 =========== Large Cap Growth Fund $26,177,120 2015 41,526,594 2017 ----------- 67,703,714 =========== Large Cap Value Fund $22,453,637 2017 =========== Mid Cap Growth Fund $55,424,720 2017 =========== 29 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- The capital loss carryforwards and Post-October losses may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. Certain reclassifications, the result of permanent differences between financial statement and income tax reporting requirements have been made to the components of capital. These reclassifications have no impact on the net assets or net asset value per share of the Funds and are designed to present the Fund's capital accounts on a tax basis. The following reclassification of net investment loss have been made to the following Funds for the year ended March 31, 2009: ACCUMULATED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME GAINS - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ (66,895) $ 63,533 $ 3,362 Growth Opportunities Fund (328,722) 323,694 5,028 Large Cap Value Fund (87,031) 87,031 -- Mid Cap Growth Fund (2,859,559) 2,859,559 -- For the six months ended September 30, 2009, the Trust had the following federal tax cost resulting in net unrealized appreciation (depreciation) as follows: NET GROSS GROSS UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) - ------------------------------------------------------------------------------------------------ Diversified Small Cap Growth Fund $ 36,522,338 $ 3,816,908 $ (3,666,796) $ 150,112 Growth Opportunities Fund $ 39,206,153 $ 4,627,156 $ (2,083,830) $ 2,543,326 Large Cap Core Equity Fund $ 58,352,298 $ 2,560,046 $ (5,581,830) $ (3,021,784) Large Cap Growth Fund $ 921,517,415 $ 176,544,751 $ (20,357,677) $ 156,187,074 Large Cap Value Fund $ 23,872,960 $ 3,389,313 $ (3,496,596) $ (107,283) Mid Cap Growth Fund $ 959,605,895 $ 122,494,579 $ (59,580,808) $ 62,913,771 The Funds have analyzed their tax positions taken on Federal income tax returns for all open tax years (tax years ended March 31, 2006 through 2009) and have concluded that no provision for income tax is required in their financial statements. 30 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- 4. INVESTMENT TRANSACTIONS Investment transactions (excluding short-term investments and U.S. Government securities) were as follows for the six months ended September 30, 2009: DIVERSIFIED SMALL CAP GROWTH LARGE CAP LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND FUND - ------------------------------------------------------------------------------------------ Purchases of investment securities $ 12,028,779 $ 19,693,906 $ 7,452,469 $319,271,997 - ------------------------------------------------------------------------------------------ Proceeds from sales and maturities $ 10,455,865 $ 16,583,864 $ 20,308,199 $417,114,339 - ------------------------------------------------------------------------------------------ LARGE CAP MID CAP VALUE GROWTH FUND FUND - -------------------------------------------------------------------------------- Purchases of investment securities $ 12,530,007 $ 250,466,050 - -------------------------------------------------------------------------------- Proceeds from sales and maturities $ 8,027,235 $ 232,291,762 - -------------------------------------------------------------------------------- 5. TRANSACTIONS WITH AFFILIATES Certain officers of the Trust are also officers of the Advisor (Touchstone Advisors, Inc.), the Underwriter (Touchstone Securities, Inc.), and/or JPMorgan Chase Bank, N.A. (JPMorgan) the Sub-Administrator and Transfer Agent to the Funds. The Advisor and Underwriter are each wholly owned indirect subsidiaries of The Western and Southern Life Insurance Company (Western-Southern). MANAGEMENT AGREEMENTS The Advisor provides general investment supervisory services for the Funds, under the terms of an Advisory Agreement. Under the Advisory Agreement, the Funds pay the Advisor a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets as follows: Diversified Small Cap Growth Fund 1.05% - -------------------------------------------------------------------------------- Growth Opportunities Fund 0.83% on the first $500 million 0.80% on the next $500 million 0.75% of such assets in excess of $1 billion - -------------------------------------------------------------------------------- Large Cap Core Equity Fund 0.65% on the first $100 million 0.60% on the next $100 million 0.55% on the next $100 million 0.50% of such assets in excess of $300 million - -------------------------------------------------------------------------------- Large Cap Growth Fund 0.75% on the first $200 million 0.70% on the next $800 million 0.65% of such assets in excess of $1 billion - -------------------------------------------------------------------------------- Large Cap Value Fund 0.75% - -------------------------------------------------------------------------------- Mid Cap Growth Fund 0.80% - -------------------------------------------------------------------------------- 31 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- The Advisor has retained various Sub-Advisors to manage the investments of the Funds under the terms of a Sub-Advisory Agreement. The Advisor (not the Funds) pays the Sub-Advisors a fee for these services. Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, has been retained by the Advisor to manage the investments of the Diversified Small Cap Growth Fund. Westfield Capital Management Company, LP has been retained by the Advisor to manage the investments of the Growth Opportunities Fund and a portion of the investments of the Mid Cap Growth Fund. Todd/Veredus Asset Management, LLC has been retained by the Advisor to manage the investments of the Large Cap Core Equity Fund. Navellier & Associates, Inc. has been retained by the Advisor to manage the investments of the Large Cap Growth Fund. JS Asset Management, LLC has been retained by the Advisor to manage the investments of the Large Cap Value Fund. TCW Investment Management Company has been retained by the Advisor to manage a portion of the investments of the Mid Cap Growth Fund. ADMINISTRATION AND ACCOUNTING SERVICES AGREEMENT The Advisor entered into an Administration and Accounting Services Agreement with the Trust, whereby the Advisor is responsible for supplying executive and regulatory compliance services, supervising the preparation of tax returns, coordinating the preparation of reports to shareholders and reports to, and filings with, the Securities and Exchange Commission and state securities authorities, preparing materials for meetings of the Board of Trustees, calculating the daily net asset value per share and maintaining the financial books and records of each Fund. For its services, the Advisor receives an annual fee of 0.20% of the aggregate average daily net assets of the Trust, Touchstone Funds Group Trust, Touchstone Investment Trust (excluding Institutional Money Market Fund), and Touchstone Tax-Free Trust 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. The fee is allocated among the Funds on the basis of relative daily net assets. The Advisor has engaged JPMorgan as the Sub-Administrator to the Trust. JPMorgan provides administrative and accounting services to the Trust and is compensated directly by the Advisor, not the Trust. 32 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- EXPENSE LIMITATION AGREEMENT The Trust and the Advisor have 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 July 31, 2010: INSTITUTIONAL CLASS A CLASS B CLASS C CLASS Y CLASS - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 1.40% -- 2.15% 1.15% -- Growth Opportunities Fund 1.24% -- 1.99% 0.99% 0.84% Large Cap Core Equity Fund 1.15% -- 1.90% -- -- Large Cap Growth Fund 1.25% 2.00% 2.00% 0.99% -- Large Cap Value Fund 1.35% -- 2.10% -- -- Mid Cap Growth Fund 1.50% 2.25% 2.25% 1.25% -- For the six months ended September 30, 2009, the Advisor waived investment advisory fees, administration fees, and/or reimbursed expenses as follows: INVESTMENT OTHER OPERATING ADVISORY ADMINISTRATION EXPENSES FEES WAIVED FEES WAIVED REIMBURSED - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 59,845 $ 25,712 $ 25,662 Growth Opportunities Fund $ 46,587 $ 29,901 $ 59,347 Large Cap Core Equity Fund $ -- $ 50,694 $ -- Large Cap Growth Fund $ -- $586,214 $ -- Large Cap Value Fund $ 11,786 $ 12,743 $ 26,361 Mid Cap Growth Fund $ -- $307,943 $ -- - -------------------------------------------------------------------------------- TRANSFER AGENT AGREEMENT Under the terms of the Transfer Agent Agreement between the Trust and JPMorgan, JPMorgan 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, JPMorgan receives a monthly fee per shareholder account from each Fund. In addition, each Fund pays JPMorgan out-of-pocket expenses including, but not limited to, postage and supplies. For the six months ended September 30, 2009, 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 - ------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 2,875 Growth Opportunities Fund $ 2,641 Large Cap Core Equity Fund $ 1,364 Large Cap Growth Fund $ 316,113 Large Cap Value Fund $ 1,625 Mid Cap Growth Fund $ 203,376 33 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- UNDERWRITING AGREEMENT The Underwriter is the Funds' principal underwriter and, as such, acts as the exclusive agent for distribution of the Funds' shares. Under the terms of the Underwriting Agreement between the Trust and Underwriter, the Underwriter earned the following from underwriting and broker commissions on the sale of shares of the following Funds for the six months ended September 30, 2009: AMOUNT - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 889 Growth Opportunities Fund $ 1,086 Large Cap Core Equity Fund $ 1,019 Large Cap Growth Fund $ 10,984 Large Cap Value Fund $ 6,380 Mid Cap Growth Fund $ 23,139 In addition, the Underwriter collected the following contingent deferred sales charges on the redemption of Class B and Class C shares of the following Funds during the six months ended September 30, 2009: AMOUNT - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 221 Growth Opportunities Fund $ 55 Large Cap Core Equity Fund $ 175 Large Cap Growth Fund $ 30,354 Large Cap Value Fund $ 276 Mid Cap Growth Fund $ 18,997 PLANS OF DISTRIBUTION The Trust has a Plan of Distribution (Class A Plan) under which Class A shares of each Fund may directly incur or reimburse the Advisor or the Underwriter for expenses related to the distribution and promotion of shares. The annual limitation for payment of such expenses under the Class A Plan is 0.25% of average daily net assets attributable to such shares. The Trust also has a Plan of Distribution (Class B and Class C Plan) under which Class B and Class C shares of each Fund may directly incur or reimburse the Advisor or the Underwriter for expenses related to the distribution and promotion of shares. The annual limitation for payment of such expenses under the Class B and Class C Plan is 1.00% of average daily net assets attributable to Class B and Class C shares. COMPLIANCE SERVICES AGREEMENT Under the terms of the Compliance Services Agreement between the Trust and JPMorgan, JPMorgan provides certain compliance services to the Trust and provides administrative support services to the Funds' Compliance Program and Chief Compliance Officer. For these services, JPMorgan receives a quarterly fee from each Fund. 34 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- AFFILIATED INVESTMENTS Each Fund may invest in the Touchstone Institutional Money Market Fund, subject to compliance with the several conditions set forth in an order received by the Trust from the Securities and Exchange Commission. To the extent that the other Touchstone Funds are invested in the Touchstone Institutional Money Market Fund, the Advisor and Administrator will be paid additional fees from the Touchstone Institutional Money Market Fund that will not be waived or reimbursed. A summary of each Fund's investment in the Touchstone Institutional Money Market Fund, for the six months ended September 30, 2009, is noted below: SHARE ACTIVITY ------------------------------------------------- BALANCE BALANCE VALUE 03/31/09 PURCHASES SALES 09/30/09 DIVIDENDS 09/30/09 - --------------------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 641,572 5,735,167 6,197,884 178,855 $ 2,643 $ 178,855 - --------------------------------------------------------------------------------------------------------------- Growth Opportunities Fund 433,965 12,789,951 12,694,713 529,203 $ 3,727 $ 529,203 - --------------------------------------------------------------------------------------------------------------- Large Cap Core Equity Fund 597,038 17,270,399 16,968,627 898,810 $ 4,309 $ 898,810 - --------------------------------------------------------------------------------------------------------------- Large Cap Growth Fund 14,569,372 245,053,248 250,077,595 9,545,025 $ 75,335 $ 9,545,025 - --------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 295,932 5,193,386 4,833,555 655,763 $ 1,779 $ 655,763 - --------------------------------------------------------------------------------------------------------------- Mid Cap Growth Fund 32,053,889 134,744,678 147,492,348 19,306,219 $ 99,886 $19,306,219 - --------------------------------------------------------------------------------------------------------------- As of September 30, 2009, 51% of the Large Cap Core Equity Fund was owned by Western-Southern and subsidiaries. 35 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- 6. CAPITAL SHARE TRANSACTIONS Proceeds and payments on capital shares as shown in the Statements of Changes in Net Assets are the result of the following capital share transactions for the periods shown: DIVERSIFIED SMALL CAP GROWTH GROWTH FUND OPPORTUNITIES FUND - ------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED SEPT. 30, ENDED SEPT. 30, YEAR ENDED 2009 MARCH 31, 2009 MARCH 31, (UNAUDITED) 2009 (UNAUDITED) 2009(A)(B) - ------------------------------------------------------------------------------------------------- CLASS A Shares sold 149,960 284,069 67,056 597,146 Shares redeemed (223,974) (1,183,072) (141,830) (564,842) - ------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (74,014) (899,003) (74,774) 32,304 Shares outstanding, beginning of period 1,444,250 2,343,253 1,247,499 1,215,195 - ------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,370,236 1,444,250 1,172,725 1,247,499 ================================================================================================= CLASS B Shares sold -- -- -- 12,106 Shares redeemed -- -- -- (109,949) - ------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- -- -- (97,843) Shares outstanding, beginning of period -- -- -- 97,843 - ------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- -- -- ================================================================================================= CLASS C Shares sold 3,872 75,215 18,903 95,132 Shares redeemed (44,932) (142,717) (43,843) (177,424) - ------------------------------------------------------------------------------------------------- Net decrease in shares outstanding (41,060) (67,502) (24,940) (82,292) Shares outstanding, beginning of period 365,887 433,389 462,079 544,371 - ------------------------------------------------------------------------------------------------- Shares outstanding, end of period 324,827 365,887 437,139 462,079 ================================================================================================= CLASS Y Shares sold 511,566 381,513 -- 174 Shares redeemed (177,840) (459,173) -- -- - ------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 333,726 (77,660) -- 174 Shares outstanding, beginning of period 1,397,393 1,475,053 174 -- - ------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,731,119 1,397,393 174 174 ================================================================================================= INSTITUTIONAL CLASS Shares sold -- -- 322,717 174 Shares redeemed -- -- (59,485) -- - ------------------------------------------------------------------------------------------------- Net increase in shares outstanding -- -- 263,232 174 Shares outstanding, beginning of period -- -- 174 -- - ------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 263,406 174 ================================================================================================= (A) Class B represents the period from April 1, 2008 through February 1, 2009. (B) Class Y and Institutional Class represent the period from commencement of operations (February 2, 2009) through March 31, 2009. 36 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- LARGE CAP LARGE CAP CORE EQUITY FUND GROWTH FUND - ----------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2009 MARCH 31, 2009 MARCH 31, (UNAUDITED) 2009 (UNAUDITED) 2009 - ----------------------------------------------------------------------------------------------------- CLASS A Shares sold 216,207 1,320,503 1,940,955 12,745,671 Shares reinvested -- 752,009 -- 15,664 Shares redeemed (1,834,893) (2,719,015) (8,845,379) (13,751,512) - ----------------------------------------------------------------------------------------------------- Net decrease in shares outstanding (1,618,686) (646,503) (6,904,424) (990,177) Shares outstanding, beginning of period 7,517,776 8,164,279 28,433,582 29,423,759 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period 5,899,090 7,517,776 21,529,158 28,433,582 ===================================================================================================== CLASS B Shares sold -- -- 221 100,102 Shares redeemed -- -- (115,518) (362,105) - ----------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- -- (115,297) (262,003) Shares outstanding, beginning of period -- -- 997,449 1,259,452 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 882,152 997,449 ===================================================================================================== CLASS C Shares sold 11,550 294,725 418,506 2,714,036 Shares reinvested -- 22,799 -- -- Shares redeemed (71,628) (288,175) (1,645,220) (3,021,193) - ----------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (60,078) 29,349 (1,226,714) (307,157) Shares outstanding, beginning of period 312,351 283,002 9,657,926 9,965,083 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period 252,273 312,351 8,431,212 9,657,926 ===================================================================================================== CLASS Y Shares sold -- -- 3,771,135 15,826,281 Shares reinvested -- -- -- 44,535 Shares redeemed -- -- (1,671,894) (3,249,013) - ----------------------------------------------------------------------------------------------------- Net increase in shares outstanding -- -- 2,099,241 12,621,803 Shares outstanding, beginning of period -- -- 13,907,460 1,285,657 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 16,006,701 13,907,460 ===================================================================================================== 37 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- LARGE CAP MID CAP VALUE FUND GROWTH FUND - ----------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2009 MARCH 31, 2009 MARCH 31, (UNAUDITED) 2009 (UNAUDITED) 2009(A) - ----------------------------------------------------------------------------------------------------- CLASS A Shares sold 2,634,252 1,490,908 4,635,912 11,219,498 Shares reinvested -- 109,722 -- 494,434 Shares redeemed (1,022,241) (2,340,944) (4,047,100) (11,715,127) - ----------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 1,612,011 (740,314) 588,812 (1,195) Shares outstanding, beginning of period 2,942,709 3,683,023 30,707,280 30,708,475 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period 4,554,720 2,942,709 31,296,092 30,707,280 ===================================================================================================== CLASS B Shares sold -- -- 387 130,202 Shares reinvested -- -- -- 49,864 Shares redeemed -- -- (348,383) (910,093) - ----------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- -- (347,996) (730,027) Shares outstanding, beginning of period -- -- 2,687,973 3,418,000 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 2,339,977 2,687,973 ===================================================================================================== CLASS C Shares sold 235,263 247,818 602,934 1,903,113 Shares reinvested -- 31,303 -- 213,999 Shares redeemed (147,759) (806,356) (1,290,054) (4,331,573) - ----------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 87,504 (527,235) (687,120) (2,214,461) Shares outstanding, beginning of period 983,532 1,510,767 14,444,123 16,658,584 - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,071,036 983,532 13,757,003 14,444,123 ===================================================================================================== CLASS Y Shares sold -- -- 492,910 189 - ----------------------------------------------------------------------------------------------------- Net increase in shares outstanding -- -- 492,910 189 Shares outstanding, beginning of period -- -- 189 -- - ----------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 493,099 189 ===================================================================================================== (A) Class Y represents the period from commencement of operations (February 2, 2009) through March 31, 2009. 7. CUSTODY OFFSET ARRANGEMENT Some Funds may participate in the Custody Fee Offset Program offered by the Custodian when they execute security trades where the Custodian is the broker. If a Fund chooses to participate in the Custody Fee Offset Program, a rebate amount will be applied to and credited against the fees payable by the Fund to the Custodian. For financial reporting purposes for the six months ended September 30, 2009, there were no fees reduced by the Custodian. Effective June 1, 2009, the Custody Fee Offset Program was terminated. 38 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- 8. 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. 9. SUBSEQUENT EVENTS During a meeting held November 19, 2009 of the Board of Trustees, the Trustees unanimously approved the liquidation of the Large Cap Value Fund. 39 - -------------------------------------------------------------------------------- Portfolio of Investments Diversified Small Cap Growth Fund - September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.4% SHARES VALUE - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 28.3% Ariba, Inc.* 25,685 $ 297,946 Avnet, Inc.* 6,616 171,818 CACI International, Inc. - Class A* 6,280 296,856 ComScore, Inc.* 15,109 272,113 Digital River, Inc.* 7,273 293,247 DivX, Inc.* 20,032 109,375 Euronet Worldwide, Inc.* 19,749 474,567 F5 Networks, Inc.* 7,043 279,114 j2 Global Communications, Inc.* + 11,766 270,736 ManTech International Corp.* 5,860 276,358 Micros Systems, Inc.* 5,783 174,589 Microsemi Corp.* + 24,862 392,570 Multi-Fineline Electronix, Inc.* 6,581 188,941 NetScout Systems, Inc.* 24,459 330,441 Novatel Wireless, Inc.* + 22,402 254,487 Nuance Communications, Inc.* + 12,527 187,404 Oplink Communications, Inc.* 3,769 54,726 Parametric Technology Corp.* 16,635 229,896 Polycom, Inc.* 13,975 373,831 Progress Software Corp.* 12,640 286,296 Skyworks Solutions, Inc.* + 42,332 560,475 Sybase, Inc.* 5,075 197,418 Taleo Corp.* 10,171 230,271 Tessera Technologies, Inc.* 11,154 311,085 United Online, Inc. 29,255 235,210 ValueClick, Inc.* 8,916 117,602 Virtusa Corp.* 16,161 153,368 VistaPrint Ltd.* + 8,820 447,614 Web.Com Group, Inc.* 44,451 315,158 Wright Express Corp.* 10,114 298,464 - -------------------------------------------------------------------------------- 8,081,976 - -------------------------------------------------------------------------------- HEALTH CARE -- 24.2% Acorda Therapeutics, Inc.* 21,890 509,599 Alexion Pharmaceuticals, Inc.* 10,763 479,384 Auxilium Pharmaceuticals, Inc.* + 13,350 456,704 Biomarin Pharmaceutical, Inc.* 26,151 472,810 CryoLife, Inc.* 16,240 129,433 eResearch Technology, Inc.* 30,050 210,350 Genomic Health, Inc.* + 24,493 535,417 HMS Holdings Corp.* + 7,130 272,580 NuVasive, Inc.* + 12,905 538,912 Onyx Pharmaceuticals, Inc.* 9,950 298,202 OSI Pharmaceuticals, Inc.* + 10,837 382,546 RTI Biologics, Inc.* 101,870 443,135 SonoSite, Inc.* 21,145 559,496 Spectranetics Corp. (The)* 79,445 509,242 TranS1, Inc.* 33,401 160,659 United Therapeutics Corp.* + 9,480 464,425 Wright Medical Group, Inc.* 27,495 491,061 - -------------------------------------------------------------------------------- 6,913,955 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 15.9% 99 Cents Only Stores* + 25,723 345,974 Big Lots, Inc.* 13,233 331,090 BJ's Restaurants, Inc.* + 11,520 172,685 Capella Education Co.* + 6,927 466,463 Chipotle Mexican Grill, Inc. - Class A*+ 3,225 312,986 Coinstar, Inc.* 10,343 341,112 Deckers Outdoor Corp.* 4,176 354,334 Fuel Systems Solutions, Inc.* + 5,320 191,467 Iconix Brand Group, Inc.* 5,936 74,022 LKQ Corp.* 17,185 318,610 Morningstar, Inc.* + 6,710 325,838 Netflix, Inc.* + 8,203 378,732 Panera Bread Co. - Class A* + 5,275 290,125 PetMed Express, Inc. 18,768 353,777 Tractor Supply Co.* + 6,056 293,232 - -------------------------------------------------------------------------------- 4,550,447 - -------------------------------------------------------------------------------- INDUSTRIALS -- 13.2% Adminstaff, Inc. + 8,955 235,248 Ameron International Corp. 3,615 252,978 Ducommun, Inc. 10,899 206,100 DynCorp International Corp.* 14,428 259,704 EnPro Industries, Inc.* + 10,712 244,876 GrafTech International Ltd.* 11,360 166,992 Granite Construction, Inc. + 8,745 270,570 Kforce, Inc.* 22,915 275,438 LaBarge, Inc.* 16,588 186,615 MYR Group, Inc.* 12,355 260,567 Powell Industries, Inc.* 7,610 292,148 Sykes Enterprises, Inc.* 17,325 360,708 TBS International Ltd.* + 17,460 151,902 Valmont Industries, Inc. 2,035 173,341 Wabtec Corp. 2,038 76,486 Watson Wyatt Worldwide, Inc. - Class A 8,156 355,275 - -------------------------------------------------------------------------------- 3,768,948 - -------------------------------------------------------------------------------- FINANCIALS -- 6.4% Bank of Hawaii Corp. 2,245 93,257 Cash America International, Inc. 8,140 245,502 Duff & Phelps Corp. - Class A 15,095 289,220 Encore Capital Group, Inc.* 7,130 95,899 EZCORP, Inc. - Class A* 24,285 331,733 First Cash Financial Services, Inc.* 15,005 257,036 Portfolio Recovery Associates, Inc.* + 7,705 349,268 SWS Group, Inc. 11,385 163,944 - -------------------------------------------------------------------------------- 1,825,859 - -------------------------------------------------------------------------------- 40 - ------------------------------------------------------------------------------- Diversified Small Cap Growth Fund (Continued) - ------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.4% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- ENERGY -- 5.3% Alpha Natural Resources, Inc.* 4,650 $ 163,215 Arena Resources, Inc.* 8,485 301,217 Atwood Oceanics, Inc.* 5,837 205,871 Comstock Resources, Inc.* 2,465 98,797 Lufkin Industries, Inc. 4,305 228,940 Natural Gas Services Group, Inc.* 12,922 227,686 T-3 Energy Services, Inc.* 14,105 277,869 - -------------------------------------------------------------------------------- 1,503,595 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 2.9% BJ's Wholesale Club, Inc.* 5,426 196,530 Chattem, Inc.* + 2,900 192,589 Flowers Foods, Inc. + 8,205 215,709 Lancaster Colony Corp. 4,132 211,848 - -------------------------------------------------------------------------------- 816,676 - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.7% NTELOS Holdings Corp. 9,970 176,070 Syniverse Holdings, Inc.* 17,205 301,088 - -------------------------------------------------------------------------------- 477,158 - -------------------------------------------------------------------------------- MATERIALS -- 1.5% Greif, Inc. - Class A + 2,415 132,946 LSB Industries, Inc.* 9,794 152,493 Olin Corp. 8,210 143,182 - -------------------------------------------------------------------------------- 428,621 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 28,367,235 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 29.1% Invesco AIM Liquid Assets Portfolio ** 8,126,360 $ 8,126,360 Touchstone Institutional Money Market Fund^ 178,855 178,855 - -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 8,305,215 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 128.5% (Cost $34,123,603) $ 36,672,450 LIABILITIES IN EXCESS OF OTHER ASSETS -- (28.5%) (8,130,714) - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 28,541,736 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2009, was $7,982,294. ** Represents collateral for securities loaned. OTHER INFORMATION: The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying notes to financial statements. VALUATION INPUTS AT REPORTING DATE: DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - -------------------------------------------------------------------------------- Common Stock $28,367,235 $ -- $ -- $28,367,235 Mutual Fund 8,305,215 -- -- 8,305,215 --------------------------------------------------- $36,672,450 See accompanying notes to financial statements. 41 - -------------------------------------------------------------------------------- Portfolio of Investments Growth Opportunities Fund - September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.9% SHARES VALUE - ------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 34.3% Accenture PLC* 9,250 $ 344,748 Analog Devices, Inc. 20,850 575,043 BMC Software, Inc.* + 16,900 634,257 Check Point Software Technologies Ltd.* 33,800 958,229 Cognizant Technology Solutions Corp.* 18,430 712,504 Google, Inc. - Class A* 700 347,095 Hewlett-Packard Co. 18,200 859,222 International Business Machines Corp. 6,500 777,465 Maxim Integrated Products, Inc. 26,650 483,431 McAfee, Inc.* 9,700 424,763 Microsoft Corp. 40,600 1,051,133 NICE Systems Ltd. - SPONS ADR* 18,900 575,316 Nuance Communications, Inc.* + 50,700 758,472 Oracle Corp. 42,900 894,036 Polycom, Inc.* 20,200 540,350 QUALCOMM, Inc. 16,550 744,419 SkillSoft PLC - ADR* 57,800 554,880 VeriFone Holdings, Inc.* + 35,100 557,739 - ------------------------------------------------------------------------------- 11,793,102 - ------------------------------------------------------------------------------- HEALTH CARE -- 20.1% Adolor Corp.* 108,600 172,674 Celgene Corp.* 21,025 1,175,297 Elan Corp. PLC - SPONS ADR* + 79,300 563,823 Masimo Corp.* 20,800 544,960 OSI Pharmaceuticals, Inc.* + 21,500 758,950 Pfizer, Inc. + 50,000 827,499 Santarus, Inc.* 59,800 196,742 Shire PLC - ADR 15,600 815,724 Thermo Fisher Scientific, Inc.* 15,550 679,069 United Therapeutics Corp.* 10,300 504,597 Vertex Pharmaceuticals, Inc.* + 17,500 663,250 - ------------------------------------------------------------------------------- 6,902,585 - ------------------------------------------------------------------------------- ENERGY -- 11.5% CONSOL Energy, Inc. 16,850 760,104 Exterran Holdings, Inc.* + 13,600 322,864 National-Oilwell Varco, Inc.* + 22,100 953,173 Peabody Energy Corp. 16,600 617,852 Suncor Energy, Inc.* 18,550 641,088 Weatherford International Ltd.* 30,700 636,411 - ------------------------------------------------------------------------------- 3,931,492 - ------------------------------------------------------------------------------- CONSUMER STAPLES -- 9.5% Coca-Cola Co. (The) 14,900 800,130 Colgate-Palmolive Co. 9,100 694,148 CVS Caremark Corp. 27,300 975,702 PepsiCo, Inc. 8,100 475,146 Ralcorp Holdings, Inc.* 5,200 304,044 - ------------------------------------------------------------------------------- 3,249,170 - ------------------------------------------------------------------------------- INDUSTRIALS -- 7.9% AMETEK, Inc. 17,550 612,671 BE Aerospace, Inc.* 25,900 521,626 IDEX Corp. 16,600 463,970 ITT Corp. 12,300 641,445 MSC Industrial Direct Co., Inc.-Class A + 10,400 453,232 - ------------------------------------------------------------------------------- 2,692,944 - ------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 6.4% Bed Bath & Beyond, Inc.* + 13,600 510,544 Netflix, Inc.* + 9,100 420,147 Starbucks Corp.* + 32,500 671,125 Target Corp. + 12,350 576,498 - ------------------------------------------------------------------------------- 2,178,314 - ------------------------------------------------------------------------------- MATERIALS -- 5.8% Celanese Corp. 11,700 292,500 Mosaic Co. (The) 9,050 435,034 Praxair, Inc. 9,700 792,393 Yamana Gold, Inc. 42,200 451,962 - ------------------------------------------------------------------------------- 1,971,889 - ------------------------------------------------------------------------------- FINANCIALS -- 4.4% CME Group, Inc. - Class A 2,300 708,837 Waddell & Reed Financial, Inc. 28,650 815,093 - ------------------------------------------------------------------------------- 1,523,930 - ------------------------------------------------------------------------------- TOTAL COMMON STOCKS $34,243,426 - ------------------------------------------------------------------------------- INVESTMENT FUNDS -- 21.9% Invesco AIM Liquid Assets Portfolio ** 6 ,976,850 6,976,850 Touchstone Institutional Money Market Fund^ 529,203 529,203 - ------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 7,506,053 - ------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 121.8% (Cost $38,872,710) $41,749,479 LIABILITIES IN EXCESS OF OTHER ASSETS -- (21.8%) (7,461,667) - ------------------------------------------------------------------------------- NET ASSETS -- 100.0% $34,287,812 =============================================================================== 42 - -------------------------------------------------------------------------------- Growth Opportunities Fund (Continued) - -------------------------------------------------------------------------------- * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2009, was $6,801,540. ** Represents collateral for securities loaned. ADR American Depository Receipt. OTHER INFORMATION: The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying notes to financial statements. VALUATION INPUTS AT REPORTING DATE: DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - -------------------------------------------------------------------------------- Common Stock $34,243,426 $ -- $ -- $34,243,426 Mutual Fund 7,506,053 -- -- 7,506,053 -------------------------------------------------- $41,749,479 See accompanying notes to financial statements. 43 - -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Core Equity Fund - September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.3% SHARES VALUE - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 21.1% Amphenol Corp. - Class A 20,986 $ 790,752 Cisco Systems, Inc.* 60,478 1,423,653 Fiserv, Inc.* 10,340 498,388 Hewlett-Packard Co. 22,283 1,051,980 Intel Corp. 55,659 1,089,247 International Business Machines Corp. 8,190 979,606 Microsoft Corp. 60,381 1,563,265 Oracle Corp. 43,465 905,811 QUALCOMM, Inc. 27,739 1,247,700 Western Union Co.* 31,433 594,712 - -------------------------------------------------------------------------------- 10,145,114 - -------------------------------------------------------------------------------- FINANCIALS -- 14.3% AFLAC, Inc. 34,148 1,459,485 Allstate Corp. (The) 21,016 643,510 American Express Co. 26,268 890,485 BB&T Corp. + 19,320 526,277 Goldman Sachs Group + 7,505 1,383,547 Morgan Stanley 31,429 970,528 PNC Financial Services Group + 12,590 611,748 State Street Corp. 8,560 450,256 - -------------------------------------------------------------------------------- 6,935,836 - -------------------------------------------------------------------------------- ENERGY -- 12.7% Chesapeake Energy Corp. 35,090 996,556 Chevron Corp. 16,271 1,145,967 Ensco International, Inc. + 21,582 918,098 Marathon Oil Corp. 43,947 1,401,909 Transocean Ltd.* 9,788 837,168 XTO Energy, Inc. 20,492 846,729 - -------------------------------------------------------------------------------- 6,146,427 - -------------------------------------------------------------------------------- HEALTH CARE -- 12.0% Johnson & Johnson 13,607 828,530 Laboratory Corp. of America Holdings* + 16,113 1,058,624 McKesson Corp. 17,031 1,014,196 Novartis AG - ADR 23,042 1,160,856 Teva Pharmaceutical Industries Ltd. 13,750 695,200 WellPoint, Inc.* 22,267 1,054,565 - -------------------------------------------------------------------------------- 5,811,971 - -------------------------------------------------------------------------------- INDUSTRIALS -- 10.9% Danaher Corp. + 10,285 692,386 Emerson Electric Co. + 17,742 711,099 Honeywell International, Inc. 12,096 449,366 Illinois Tool Works, Inc. 22,119 944,702 Union Pacific Corp. 17,068 995,918 United Technologies Corp. 24,497 1,492,603 - -------------------------------------------------------------------------------- 5,286,074 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 10.6% Best Buy Co., Inc. + 25,819 968,729 Dollar Tree, Inc.* 14,230 692,716 Honda Motor Co., Ltd. - SPONS ADR 24,240 734,714 McDonald's Corp. 13,570 774,440 Ross Stores, Inc. 15,180 725,149 Target Corp. + 26,326 1,228,898 - -------------------------------------------------------------------------------- 5,124,646 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 9.8% Altria Group, Inc. 34,915 621,836 CVS Caremark Corp. 21,241 759,153 Kimberly-Clark Corp. 15,511 914,839 PepsiCo, Inc. 15,370 901,604 Philip Morris International, Inc. 32,058 1,562,507 - -------------------------------------------------------------------------------- 4,759,939 - -------------------------------------------------------------------------------- MATERIALS -- 2.4% Praxair, Inc. 14,202 1,160,161 - -------------------------------------------------------------------------------- UTILITIES -- 2.3% Dominion Resources, Inc. 32,824 1,132,428 - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 2.2% AT&T, Inc. 39,579 1,069,029 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $47,571,625 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 16.0% Invesco AIM Liquid Assets Portfolio ** 6,860,079 6,860,079 Touchstone Institutional Money Market Fund^ 898,810 898,810 - -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 7,758,889 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 114.3% (Cost $54,992,660) $55,330,514 LIABILITIES IN EXCESS OF OTHER ASSETS -- (14.3%) (6,921,976) - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $48,408,538 ================================================================================ 44 - -------------------------------------------------------------------------------- Large Cap Core Equity Fund (Continued) - -------------------------------------------------------------------------------- * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2009, was $6,698,084. ** Represents collateral for securities loaned. ADR American Depository Receipt. OTHER INFORMATION: The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying notes to financial statements. VALUATION INPUTS AT REPORTING DATE: DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - -------------------------------------------------------------------------------- Common Stock $ 47,571,625 $ -- $ -- $ 47,571,625 Mutual Fund 7,758,889 -- -- 7,758,889 -------------------------------------------------------------- $ 55,330,514 See accompanying notes to financial statements. 45 - -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Growth Fund - September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.5% SHARES VALUE - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 21.5% Baidu, Inc. - SPONS ADR* + 53,710 $ 21,003,296 Broadcom Corp.* 920,000 28,234,801 Cognizant Technology Solutions Corp.* 625,500 24,181,830 Infosys Technologies Ltd. - ADR + 510,900 24,773,541 International Business Machines Corp. 223,140 26,689,775 Juniper Networks, Inc.* 1,030,000 27,830,600 Oracle Corp. 1,220,880 25,443,139 Taiwan Semiconductor Manufacturing Co., Ltd. + 1,041,439 11,414,171 - -------------------------------------------------------------------------------- 189,571,153 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 17.5% Amazon.com, Inc.* + 365,750 34,146,420 Apollo Group, Inc. - Class A* 263,150 19,386,261 AutoZone, Inc.* + 110,070 16,094,435 DIRECTV Group, Inc.* + 649,395 17,910,314 Gap, Inc. (The) + 802,600 17,175,640 Kohl's Corp.* + 553,283 31,564,795 TJX Cos., Inc. (The) + 477,000 17,720,550 - -------------------------------------------------------------------------------- 153,998,415 - -------------------------------------------------------------------------------- HEALTH CARE -- 15.3% Amgen, Inc.* 450,314 27,122,412 Express Scripts, Inc.* 365,995 28,393,893 Medco Health Solutions, Inc.* 453,175 25,065,109 Quest Diagnostics, Inc. + 334,800 17,473,212 Schering-Plough Corp. 780,000 22,035,000 St. Jude Medical, Inc.* 394,000 15,369,940 - -------------------------------------------------------------------------------- 135,459,566 - -------------------------------------------------------------------------------- MATERIALS -- 13.9% BHP Billiton Ltd.* + 312,110 20,602,381 Companhia Siderurgica Nacional + 650,600 19,908,360 Goldcorp, Inc. + 616,000 24,867,920 Praxair, Inc. + 343,025 28,021,712 Southern Copper Corp. + 968,500 29,723,265 - -------------------------------------------------------------------------------- 123,123,638 - -------------------------------------------------------------------------------- ENERGY -- 11.8% Anadarko Petroleum Corp. + 391,180 24,538,721 Occidental Petroleum Corp. 344,345 26,996,648 Southwestern Energy Co.* 704,425 30,064,859 Talisman Energy, Inc. + 1,334,197 23,134,976 - -------------------------------------------------------------------------------- 104,735,204 - -------------------------------------------------------------------------------- INDUSTRIALS -- 11.0% C.H. Robinson Worldwide, Inc. + 390,000 22,522,500 First Solar, Inc.* + 148,040 22,629,394 Precision Castparts Corp. 291,000 29,644,170 Union Pacific Corp. + 390,883 22,808,023 - -------------------------------------------------------------------------------- 97,604,087 - -------------------------------------------------------------------------------- FINANCIALS -- 5.6% Northern Trust Corp. 420,000 24,427,200 TD Ameritrade Holding Corp.* 1,282,180 25,156,372 - -------------------------------------------------------------------------------- 49,583,572 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.9% Colgate-Palmolive Co. + 219,335 16,730,874 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $870,806,509 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 23.4% Invesco AIM Liquid Assets Portfolio ** 197,352,955 197,352,955 Touchstone Institutional Money Market Fund^ 9,545,025 9,545,025 - -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $206,897,980 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 121.9% (Cost $912,360,774) $ 1,077,704,489 LIABILITIES IN EXCESS OF OTHER ASSETS -- (21.9%) (193,306,371) - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 884,398,118 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2009, was $193,661,903. ** Represents collateral for securities loaned. ADR American Depository Receipt. OTHER INFORMATION: The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying notes to financial statements. VALUATION INPUTS AT REPORTING DATE: DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - -------------------------------------------------------------------------------- Common Stock $870,806,509 $ -- $ -- $ 870,806,509 Mutual Fund 206,897,980 -- -- 206,897,980 ------------------------------------------------------------------ $ 1,077,704,489 See accompanying notes to financial statements. 46 - -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Value Fund - September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- MARKET PREFERRED STOCK -- 0.3% SHARES VALUE - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 0.3% General Motors Corp.* 18,600 $ 60,450 - -------------------------------------------------------------------------------- COMMON STOCKS -- 96.7% FINANCIALS -- 32.6% Bank of America Corp. 55,992 947,385 Capital One Financial Corp. 21,700 775,341 Citigroup, Inc.* 182,438 883,000 Genworth Financial, Inc. - Class A* 72,847 870,522 Hartford Financial Services Group, Inc. 33,500 887,750 Huntington Bancshares, Inc. + 114,800 540,708 Lincoln National Corp. 7,600 196,916 Marshall & Ilsley Corp. 97,100 783,597 Regions Financial Corp. 74,700 463,887 SunTrust Banks, Inc. 2,900 65,395 - -------------------------------------------------------------------------------- 6,414,501 - -------------------------------------------------------------------------------- ENERGY -- 19.2% Arch Coal, Inc. + 52,500 1,161,825 Chesapeake Energy Corp. + 41,500 1,178,600 Nabors Industries Ltd.* + 21,600 451,440 Peabody Energy Corp. 26,100 971,442 - -------------------------------------------------------------------------------- 3,763,307 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 15.7% D.R. Horton, Inc. + 30,000 342,300 J.C. Penney Co., Inc. 7,800 263,250 Magna International, Inc.* 13,000 552,760 Pulte Homes, Inc.* + 91,267 1,003,024 Ryland Group, Inc. (The) + 43,300 912,331 - -------------------------------------------------------------------------------- 3,073,665 - -------------------------------------------------------------------------------- UTILITIES -- 10.3% Allegheny Energy, Inc. 12,600 334,152 Mirant Corp.* 42,202 693,379 RRI Energy, Inc.* 137,700 983,178 - -------------------------------------------------------------------------------- 2,010,709 - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 9.3% Alcatel - Lucent - SPONS ADR* 176,600 792,934 Avnet, Inc.* 6,800 176,596 Dell, Inc.* 20,200 308,252 Motorola, Inc.* 64,100 550,619 - -------------------------------------------------------------------------------- 1,828,401 - -------------------------------------------------------------------------------- INDUSTRIALS -- 4.7% Navistar International Corp.* 24,500 916,790 - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 3.9% Sprint Nextel Corp.* 192,200 759,190 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.0% Smithfield Foods, Inc.* 14,000 193,200 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 18,959,763 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 24.2% Invesco AIM Liquid Assets Portfolio ** 4,089,701 $ 4,089,701 Touchstone Institutional Money Market Fund^ 655,763 655,763 - -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 4,745,464 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 121.2% (Cost $22,573,147) $ 23,765,677 LIABILITIES IN EXCESS OF OTHER ASSETS -- (21.2%) (4,155,556) - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 19,610,121 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2009, was $3,943,603. ** Represents collateral for securities loaned. ADR American Depository Receipt. OTHER INFORMATION: The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying notes to financial statements. VALUATION INPUTS AT REPORTING DATE: DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - -------------------------------------------------------------------------------- Common Stock $18,959,763 $ -- $ -- $ 18,959,763 Preferred Stock 60,450 -- -- 60,450 Mutual Fund 4,745,464 -- -- 4,745,464 --------------------------------------------------------------- $ 23,765,677 See accompanying notes to financial statements. 47 - -------------------------------------------------------------------------------- Portfolio of Investments Mid Cap Growth Fund - September 30, 2009 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.6% SHARES VALUE - -------------------------------------------------------------------------------- INDUSTRIALS -- 16.2% Alliant Techsystems, Inc.* 45,835 $ 3,568,255 AMETEK, Inc. 233,450 8,149,740 Corrections Corp. of America* 467,000 10,577,550 CSX Corp. 269,550 11,283,363 Dover Corp. 161,690 6,267,104 Hexcel Corp.* + 580,395 6,639,719 IDEX Corp. 321,000 8,971,950 ITT Corp. 194,000 10,117,100 Jacobs Engineering Group, Inc.* 83,302 3,827,727 Joy Global, Inc. 156,530 7,660,578 Kennametal, Inc. + 146,300 3,600,443 Kirby Corp.* 260,500 9,591,610 MSC Industrial Direct Co., Inc. - Class A + 318,800 13,893,303 Precision Castparts Corp. 77,050 7,849,084 Rockwell Collins, Inc. + 136,845 6,951,726 SPX Corp. + 110,175 6,750,422 Tyco International Ltd. 219,200 7,558,016 - -------------------------------------------------------------------------------- 133,257,690 - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 15.6% Agilent Technologies, Inc.* + 239,700 6,670,851 Alcatel-Lucent - SPONS ADR* + 1,753,112 7,871,473 Analog Devices, Inc. + 234,000 6,453,720 Avago Technologies Ltd.* 213,025 3,636,337 Avnet, Inc.* 184,100 4,781,077 BMC Software, Inc.* + 184,400 6,920,532 Broadcom Corp.* + 254,800 7,819,812 Cognizant Technology Solutions Corp.* 152,650 5,901,449 Global Payments, Inc. 151,150 7,058,705 Maxim Integrated Products, Inc. 361,045 6,549,356 Microchip Technology, Inc. + 184,550 4,890,575 Motorola, Inc.* 675,100 5,799,109 NICE Systems Ltd. - SPONS ADR* 395,100 12,026,843 ON Semiconductor Corp.* + 997,550 8,229,788 QLogic Corp.* 228,600 3,931,920 Quest Software, Inc.* 548,400 9,240,540 Red Hat, Inc.* + 282,800 7,816,592 Verigy Ltd.* 658,000 7,645,960 Xilinx, Inc. + 242,850 5,687,547 - -------------------------------------------------------------------------------- 128,932,186 - -------------------------------------------------------------------------------- FINANCIALS -- 14.2% Ameriprise Financial, Inc. 228,350 8,295,955 Annaly Capital Management, Inc. + 691,500 12,543,809 Arch Capital Group, Ltd.* + 116,700 7,881,918 Assurant, Inc. 157,980 5,064,839 Federated Investors, Inc. - Class B + 204,700 5,397,939 Fidelity National Financial, Inc. 628,050 9,470,993 First Horizon National Corp.* + 279,633 3,699,539 Hudson City Bancorp, Inc. 303,375 3,989,381 Invesco Ltd. 266,420 6,063,719 Janus Capital Group, Inc. 330,900 4,692,162 KeyCorp 831,400 5,404,100 Knight Capital Group, Inc. - Class A* 320,225 6,964,894 Lazard Ltd. 118,450 4,893,170 New York Community Bancorp, Inc. + 320,473 3,659,802 Northern Trust Corp. 30,500 1,773,880 PartnerRe Ltd. + 62,900 4,839,526 People's United Financial, Inc. + 323,269 5,030,066 SunTrust Banks, Inc. 23,300 525,415 Synovus Financial Corp. + 1,145,350 4,295,063 TCF Financial Corp. + 351,500 4,583,560 Willis Group Holdings Ltd. + 275,489 7,774,300 - -------------------------------------------------------------------------------- 116,844,030 - -------------------------------------------------------------------------------- HEALTH CARE -- 13.6% Beckman Coulter, Inc. + 52,200 3,598,668 Celgene Corp.* 193,032 10,790,489 Cerner Corp.* + 66,170 4,949,516 DaVita, Inc.* 188,550 10,679,472 Edwards Lifesciences Corp.* + 59,450 4,156,150 Elan Corp. PLC - SPONS ADR* + 942,900 6,704,019 Life Technologies Corp.* 276,100 12,852,455 Mettler-Toledo International, Inc.* 138,050 12,505,950 Shire PLC - ADR + 269,400 14,086,925 Thermo Fisher Scientific, Inc.* 130,795 5,711,818 United Therapeutics Corp.* 102,700 5,031,273 Varian Medical Systems, Inc.* + 182,641 7,694,665 Vertex Pharmaceuticals, Inc.* + 363,700 13,784,230 - -------------------------------------------------------------------------------- 112,545,630 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 13.3% Abercrombie & Fitch Co. + 176,400 5,800,032 Advance Auto Parts, Inc. + 215,532 8,466,097 American Eagle Outfitters, Inc. 335,400 5,654,844 Bed Bath & Beyond, Inc.* + 360,200 13,521,907 Burger King Holdings, Inc. 286,200 5,034,258 Coach, Inc. 229,585 7,557,938 DeVry, Inc. 90,100 4,984,332 Discovery Communications, Inc.* + 291,850 8,431,547 Lennar Corp. - Class A + 250,200 3,565,350 Macy's, Inc. 329,824 6,032,481 Marriott International, Inc.- Class A + 250,552 6,912,730 Snap-On, Inc. 101,880 3,541,349 Starbucks Corp.* + 416,700 8,604,855 TJX Cos., Inc. (The) 179,000 6,649,850 Toll Brothers, Inc.* 167,000 3,263,180 Urban Outfitters, Inc.* 201,400 6,076,238 WABCO Holdings, Inc.* 275,830 5,792,430 - -------------------------------------------------------------------------------- 109,889,418 - -------------------------------------------------------------------------------- ENERGY -- 10.6% Cameron International Corp.* + 163,100 6,168,442 CONSOL Energy, Inc. + 325,300 14,674,283 Denbury Resources, Inc.* 536,150 8,111,950 Massey Energy Co. 307,600 8,578,964 Murphy Oil Corp. + 98,120 5,648,768 48 - -------------------------------------------------------------------------------- Mid Cap Growth Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.6% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- ENERGY -- 10.6% (CONTINUED) National-Oilwell Varco, Inc.* 320,080 $ 13,805,050 Peabody Energy Corp. 135,400 5,039,588 Petrohawk Energy Corp.* 262,400 6,352,704 Smith International, Inc. + 134,550 3,861,585 Weatherford International Ltd.* 730,200 15,137,046 - -------------------------------------------------------------------------------- 87,378,380 - -------------------------------------------------------------------------------- MATERIALS -- 7.0% Commercial Metals Co. 373,545 6,686,456 Crown Holdings, Inc.* 417,550 11,357,359 Cytec Industries, Inc. 167,225 5,429,796 Ecolab, Inc. 161,500 7,466,145 International Flavors & Fragrances, Inc. 158,535 6,013,233 Owens-Illinois, Inc.* 235,700 8,697,330 Pactiv Corp.* 237,900 6,197,295 Yamana Gold, Inc. 574,400 6,151,824 - -------------------------------------------------------------------------------- 57,999,438 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 3.9% Avon Products, Inc. + 147,750 5,017,590 Bunge Ltd. + 76,900 4,814,709 HJ Heinz Co. 151,000 6,002,250 JM Smucker Co. (The) 111,650 5,918,567 Molson Coors Brewing Co. 102,000 4,965,360 Ralcorp Holdings, Inc.* 97,800 5,718,366 - -------------------------------------------------------------------------------- 32,436,842 - -------------------------------------------------------------------------------- UTILITIES -- 3.1% Consolidated Edison, Inc. + 144,870 5,930,978 EQT Corp. 151,327 6,446,530 Hawaiian Electric Industries, Inc. + 212,239 3,845,771 PG&E Corp. + 76,000 3,077,240 Wisconsin Energy Corp. 137,295 6,201,615 - -------------------------------------------------------------------------------- 25,502,134 - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.1% NII Holdings, Inc.* 304,200 9,119,916 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $813,905,664 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 25.3% Invesco AIM Liquid Assets Portfolio ** 189,307,783 189,307,783 Touchstone Institutional Money Market Fund^ 19,306,219 19,306,219 - -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $208,614,002 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 123.9% (Cost $947,633,618) $ 1,022,519,666 LIABILITIES IN EXCESS OF OTHER ASSETS -- (23.9%) (197,159,409) - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 825,360,257 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2009, was $184,379,053. ** Represents collateral for securities loaned. ADR American Depository Receipt. OTHER INFORMATION: The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying notes to financial statements. VALUATION INPUTS AT REPORTING DATE: DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - -------------------------------------------------------------------------------- Common Stock $813,905,664 $ -- $ -- $ 813,905,664 Mutual Fund 208,614,002 -- -- 208,614,002 ------------------------------------------------------------------ $1,022,519,666 See accompanying notes to financial statements. 49 - -------------------------------------------------------------------------------- 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 September 30, 2009" 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. 50 - -------------------------------------------------------------------------------- Other Items (Continued) - -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED) EXPENSES NET EXPENSE BEGINNING ENDING PAID DURING RATIO ACCOUNT ACCOUNT THE SIX MONTHS ANNUALIZED VALUE VALUE ENDED SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30, 2009 2009 2009 2009* - --------------------------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND -- Class A Actual 1.40% $ 1,000.00 $ 1,325.40 $ 8.15 Class A Hypothetical 1.40% $ 1,000.00 $ 1,018.06 $ 7.07 Class C Actual 2.15% $ 1,000.00 $ 1,321.00 $ 12.49 Class C Hypothetical 2.15% $ 1,000.00 $ 1,014.30 $ 10.84 Class Y Actual 1.15% $ 1,000.00 $ 1,328.60 $ 6.71 Class Y Hypothetical 1.15% $ 1,000.00 $ 1,019.31 $ 5.82 GROWTH OPPORTUNITIES FUND Class A Actual 1.24% $ 1,000.00 $ 1,288.70 $ 7.11 Class A Hypothetical 1.24% $ 1,000.00 $ 1,018.86 $ 6.27 Class C Actual 1.99% $ 1,000.00 $ 1,284.10 $ 11.38 Class C Hypothetical 1.99% $ 1,000.00 $ 1,015.10 $ 10.04 Class Y Actual 0.99% $ 1,000.00 $ 1,290.80 $ 5.70 Class Y Hypothetical 0.99% $ 1,000.00 $ 1,020.10 $ 5.02 Institutional Class Actual 0.84% $ 1,000.00 $ 1,291.30 $ 4.82 Institutional Class Hypothetical 0.84% $ 1,000.00 $ 1,020.86 $ 4.25 LARGE CAP CORE EQUITY FUND Class A Actual 1.15% $ 1,000.00 $ 1,311.70 $ 6.66 Class A Hypothetical 1.15% $ 1,000.00 $ 1,019.31 $ 5.82 Class C Actual 1.90% $ 1,000.00 $ 1,307.60 $ 10.98 Class C Hypothetical 1.90% $ 1,000.00 $ 1,015.55 $ 9.59 LARGE CAP GROWTH FUND Class A Actual 1.25% $ 1,000.00 $ 1,287.20 $ 7.17 Class A Hypothetical 1.25% $ 1,000.00 $ 1,018.80 $ 6.33 Class B Actual 2.00% $ 1,000.00 $ 1,282.70 $ 11.43 Class B Hypothetical 2.00% $ 1,000.00 $ 1,015.05 $ 10.09 Class C Actual 2.00% $ 1,000.00 $ 1,282.10 $ 11.43 Class C Hypothetical 2.00% $ 1,000.00 $ 1,015.05 $ 10.09 Class Y Actual 0.99% $ 1,000.00 $ 1,288.40 $ 5.67 Class Y Hypothetical 0.99% $ 1,000.00 $ 1,020.11 $ 5.01 51 - -------------------------------------------------------------------------------- Other Items (Continued) - -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED) EXPENSES NET EXPENSE BEGINNING ENDING PAID DURING RATIO ACCOUNT ACCOUNT THE SIX MONTHS ANNUALIZED VALUE VALUE ENDED SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30, 2009 2009 2009 2009* - ------------------------------------------------------------------------------------------ LARGE CAP VALUE FUND Class A Actual 1.35% $ 1,000.00 $ 1,928.20 $ 9.89 Class A Hypothetical 1.35% $ 1,000.00 $ 1,018.32 $ 6.82 Class C Actual 2.10% $ 1,000.00 $ 1,927.40 $ 15.41 Class C Hypothetical 2.10% $ 1,000.00 $ 1,014.54 $ 10.61 MID CAP GROWTH FUND Class A Actual 1.50% $ 1,000.00 $ 1,403.90 $ 9.03 Class A Hypothetical 1.50% $ 1,000.00 $ 1,017.56 $ 7.58 Class B Actual 2.25% $ 1,000.00 $ 1,398.00 $ 13.53 Class B Hypothetical 2.25% $ 1,000.00 $ 1,013.78 $ 11.36 Class C Actual 2.25% $ 1,000.00 $ 1,398.50 $ 13.51 Class C Hypothetical 2.25% $ 1,000.00 $ 1,013.80 $ 11.34 Class Y Actual 1.23% $ 1,000.00 $ 1,405.60 $ 7.42 Class Y Hypothetical 1.23% $ 1,000.00 $ 1,018.90 $ 6.23 * Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by [number of days in most recent fiscal half-year/365 [or366]] (to reflect the one-half year period). 52 - -------------------------------------------------------------------------------- PRIVACY PROTECTION POLICY WE RESPECT YOUR PRIVACY Thank you for your decision to invest with us. Touchstone and its affiliates have always placed a high value on the trust and confidence our clients place in us. We believe that confidence must be earned and validated through time. In today's world, when technology allows the sharing of information at light speeds, trust must be reinforced by our sincere pledge to take the steps necessary to ensure that the information you share with us is treated with respect and confidentiality. OUR PLEDGE TO OUR CLIENTS o We collect only the information we need to service your account and administer our business. o We are committed to keeping your information confidential and we place strict limits and controls on the use and sharing of your information. o We make every effort to ensure the accuracy of your information. WE COLLECT THE FOLLOWING NONPUBLIC PERSONAL INFORMATION ABOUT YOU: o Information we receive from you on or in applications or other forms, correspondence, or conversations, including, but not limited to, your name, address, phone number, social security number, assets, income and date of birth; and o Information about your transactions with us, our affiliates, or others, including, but not limited to, your account number and balance, payment history, parties to transactions, cost basis information, and other financial information. CATEGORIES OF INFORMATION WE DISCLOSE AND PARTIES TO WHOM WE DISCLOSE We do not disclose any nonpublic personal information about our current or former clients to nonaffiliated third parties, except as required or permitted by law. WE PLACE STRICT LIMITS AND CONTROLS ON THE USE AND SHARING OF YOUR INFORMATION o We restrict access to nonpublic personal information about you to authorized employees who need the information to administer your business. o We maintain physical, electronic and procedural safeguards that comply with federal standards to protect this information. o We do not disclose any nonpublic personal information about our current or former clients to anyone, except as required or permitted by law or as described in this document. o We will not sell your personal information to anyone. WE MAY PROVIDE INFORMATION TO SERVICE YOUR ACCOUNT Sometimes it is necessary to provide information about you to various companies such as transfer agents, custodians, broker-dealers and marketing service firms to facilitate the servicing of your account. These organizations have a legitimate business need to see some of your personal information in order for us to provide service to you. We may disclose to these various companies the information that we collect as described above. We require that these companies, including our own subsidiaries and affiliates, strictly maintain the confidentiality of this information and abide by all applicable laws. Companies within our corporate family that may receive this information are financial service providers and insurance companies. We do not permit these associated companies to sell the information for their own purposes, and we never sell our customer information. This policy is applicable to the following affiliated companies: Touchstone Funds Group Trust, Touchstone Investment Trust, Touchstone Strategic Trust, Touchstone Tax-Free Trust, Touchstone Variable Series Trust, Touchstone Institutional Funds Trust, Touchstone Securities, Inc.,* Capital Analysts Incorporated and W&S Brokerage Services, Inc. * Touchstone Securities, Inc. serves as the underwriter to the Touchstone Funds. A Member of Western & Southern Financial Group(R) THE PRIVACY PROTECTION POLICY IS NOT PART OF THE ANNUAL REPORT. - -------------------------------------------------------------------------------- 53 This page intentionally left blank. This page intentionally left blank. [LOGO] TOUCHSTONE INVESTMENTS(R) 303 Broadway, Suite 1100 Cincinnati, OH 45202-4203 - -------------------------------------------------------------------------------- [LOGO] EDELIVERY Go paperless, sign up today at: www.touchstoneinvestments.com/home 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 JPMorgan Chase Bank, N.A. P.O. Box 5354 Cincinnati, Ohio 45201-5354 SHAREHOLDER SERVICE 800.543.0407 * A Member of Western & Southern Financial Group TSF-54-TS7-SAR-0910 ITEM 2. CODE OF ETHICS. Not required for Semiannual Reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not required for Semiannual Reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not required for Semiannual Reports. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable ITEM 6. SCHEDULE OF INVESTMENTS. The Schedule of Investments in securities of unaffiliated issuers is included in the Semiannual Report. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The 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 John P. Zanotti, 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)(2) Certifications required by Item 12(a)(2) of Form N-CSR are filed herewith. (b) Certification required by Item 11(b) of Form N-CSR is filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Touchstone Strategic Trust -------------------------- By (Signature and Title) /s/ Jill T. McGruder - -------------------------------------------------------------------------------- Jill T. McGruder President Date: December 1, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Jill T. McGruder - -------------------------------------------------------------------------------- Jill T. McGruder President Date: December 1, 2009 /s/ Terrie A. Wiedenheft - -------------------------------------------------------------------------------- Terrie A. Wiedenheft Controller & Treasurer Date: December 1, 2009