UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-01646
(Investment Company Act file number)
CIGNA Funds Group
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(Exact name of registrant as specified in charter)
2223 Washington Street
3 Newton Executive Park
Suite 200
Newton, MA 02462
(Address of principal executive offices)
Mark Butler, 2223 Washington Street, 3 Newton Executive Park
Suite 200, Newton, MA 02462
(Name and address of agent for service)
(860) 534-4700
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Registrants' telephone number, including area code
Date of fiscal year end: December 31, 2003
Date of reporting period: December 31, 2003
Item 1. Reports to Stockholders.
CIGNA Funds Group
Balanced Fund (sub-advised by Wellington Management)
Large Cap Growth/Morgan Stanley Fund
Large Cap Value/John A. Levin & Co. Fund
S&P 500(R)Index Fund
Small Cap Growth/TimesSquare Fund
Small Cap Value/Perkins, Wolf, McDonnell Fund
International Blend/Bank of Ireland Fund
TimesSquare Core Plus Bond Fund
Annual Report
December 31, 2003
[LOGO] CIGNA Financial Services
Fund Name Change
Effective May 1, 2003, the name of the Small Cap Value/Berger[RegTM] Fund was
changed to Small Cap Value/Perkins, Wolf, McDonnell Fund.
Dear Shareholders,
Our commentary for the year ended December 31, 2003 follows.
The Economy
Business conditions improved significantly as 2003 unfolded, with the rate of
economic growth accelerating during the second half of the year. The economic
recovery, which began in late 2001, has steadily evolved into a broadly based
and sustainable economic expansion, with the full participation of virtually
all sectors of our economy. In addition to the increased breadth and faster
rate of economic growth, the economic leadership has begun to rotate from a
consumer-led recovery to a business-led expansion. The most significant
economic development of 2003 was the shift from retrenchment to expansion
within the business sector, the result of a sharp rise in business confidence
and business revenues and profits.
Strong Economic Growth, Record Profits and Low Inflation - Overall, 2003 was a
year of solid economic performance. The growth in real Gross Domestic Product
(GDP) exceeded 4% measured over the four quarters of the year, compared with
slightly less than 3% growth in 2002. Corporate profits increased by an
estimated 20%, easily exceeding Wall Street estimates and rising to an all-time
peak, fueled by an unprecedented surge in productivity. Corporate cash dividend
payouts increased at the fastest pace in more than a decade, also rising to an
all-time peak.
Consumer spending, housing and business capital investment were the primary
drivers of economic growth during the year. Adding to the excellent economic
performance was the stability of inflation. Headline inflation increased by
only 1.8% during the year; excluding the volatile energy and food components,
the increase in core inflation was only 1.1%. The major disappointment was
employment, which lagged the overall recovery and experienced only moderate
increases during the second half of the year.
Financial Market Review
Financial markets performed well in 2003, as risky assets outperformed "safe
haven" defensive asset classes for the first year since 1999. Asset classes
that were leveraged to economic growth registered the highest rates of return.
Equity markets significantly outperformed fixed income markets, and lower
quality and economically sensitive stocks outperformed higher quality and more
defensive stock groups. The broad market significantly outperformed the
large-capitalization indexes, with more than 90% of the individual stocks
within the S&P 500 Index rising during the year - an all-time record.
Similarly, within the domestic bond market, high-yield (junk) bonds performed
best, and high-grade corporate bonds significantly outperformed government
bonds. High-risk emerging market equities and debt also performed extremely
well, and industrial commodities and gold-related investments enjoyed
above-average gains.
Assets Leveraged to Economic Growth Perform Best - Large-capitalization
domestic equities registered a total return of 28.68%, as measured by the S&P
500, while the technology-dominated NASDAQ gained 50.69%, its third best year
ever. Small- and mid-capitalization stocks outperformed large-cap stocks for
the fourth consecutive year, as measured by the S&P 600 Small-Cap Index
(+38.79%) and the S&P 400 Mid-Cap index (+35.62%). Within the fixed income
markets, the Lehman Brothers U.S. Aggregate Bond Index registered a total
return of only 4.10%, significantly less than the 6.46% total return on A-grade
corporate bonds, as measured by Lehman Brothers. Among the very best performing
asset classes in 2003
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were domestic high-yield (speculative-grade) bonds (+28.97% as measured by
Lehman Brothers) and emerging market debt (+28.82% as measured by J.P. Morgan).
The excellent performance of the financial markets can be attributed to
surprisingly strong acceleration in the rate of economic growth during 2003,
accompanied by a surge in corporate earnings and a significant improvement in
credit conditions. The combination of improving business conditions,
hyper-stimulative monetary policies of most world central banks, and a swift
military victory in Iraq resulted in considerable improvement in business and
investor confidence in the spring months and a sharp reduction in the level of
risk-aversion, which had prevailed since the recession of 2001 and the
corporate and accounting scandals of 2002.
Discussion of Fund performance from the Fund investment managers is included in
this report.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde
Chairman of the Board and President
CIGNA Funds Group
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CIGNA Funds Group Funds Table of Contents
To assist you in using this report to shareholders, listed below is a table of
contents and description of the various sections.
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Fund Schedule of
Fund Summary Investments
Balanced Fund (sub-advised by
Wellington Management) 4 24
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Large Cap Growth/Morgan Stanley Fund 6 28
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Large Cap Value/John A. Levin & Co. Fund 9 30
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S&P 500(R) Index Fund 12 32
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Small Cap Growth/TimesSquare Fund 15 39
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Small Cap Value/Perkins, Wolf,
McDonnell Fund 17 41
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International Blend/Bank of Ireland Fund 19 43
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TimesSquare Core Plus Bond Fund 22 45
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FUND SUMMARIES 4
A summary of each Fund's performance record and portfolio composition, and
Management's Discussion of Fund Performance.
SCHEDULES OF INVESTMENTS 24
A listing of securities in each Fund's portfolio as of December 31, 2003.
STATEMENTS OF ASSETS AND LIABILITIES 50
A "balance sheet" of a Fund as of the last day of the fiscal period. It
includes the Fund's Class-level Net Asset Values (NAVs) per share, calculated
by dividing the Fund's Class-level net assets (assets minus liabilities) by the
number of Class-level shares outstanding.
STATEMENTS OF OPERATIONS 51
These statements list each Fund's income, expenses, and gains and losses on
securities and currency transactions, and appreciation or depreciation from
portfolio holdings.
STATEMENTS OF CHANGES IN NET ASSETS 52
These statements report the increase or decrease in each Fund's net assets
during the reporting period. Changes in net assets may be due to a variety of
factors, including investment operations, dividends, distributions and capital
share transactions.
FINANCIAL HIGHLIGHTS 54
For each Fund's share class outstanding, a table showing a per share breakdown
of the factors that affect a Fund's NAV for the current and past reporting
periods. In addition, total return, asset size, expense and income ratios and
portfolio turnover rate are shown for each Fund class.
NOTES TO FINANCIAL STATEMENTS 60
The notes to financial statements include a description of the significant
accounting policies of the Funds, and more detailed information about the
schedules and tables that appear in the report.
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Balanced Fund (sub-advised by Wellington Management)
DECEMBER 31, 2003
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
Seeks a high total return through capital appreciation and current income by
investing principally in equity and fixed income securities.
FUND INCEPTION DATE 01/20/2000
TOTAL NET ASSETS $16.6 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 188
INVESTMENT MANAGER Wellington Management LLP
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FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
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Ten Largest Positions % of Net Assets
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Ginnie Mae 8.0%
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Fannie Mae 6.0
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Citigroup, Inc. 3.5
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ExxonMobil Corp. 3.4
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U.S. Treasury Obligations 3.2
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Morgan Stanley 2.3
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Pfizer, Inc. 2.2
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Alcoa, Inc. 2.0
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Bank of America 2.0
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Caterpillar, Inc. 1.9
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Ten Largest Sectors % of Net Assets
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Financial 20.4%
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U.S Government & Agencies 17.7
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Communications & Media 9.2
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Oil & Gas 9.1
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Utilities 5.3
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Insurance 4.2
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Retail 4.2
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Basic Materials 3.4
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Computers 2.6
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Machinery 2.5
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Fund Composition % of Net Assets
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Bonds 32%
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Common stocks 65
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Short-term investments 4
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Liabilities in excess of Cash and Other Assets (1)
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MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Market Review
After a three-year decline, the U.S. equity markets rallied during the period.
This surge in the broad market began with the ending of the conflict in Iraq
and has been fueled by increases in consumer confidence and manufacturing
output, resilience in consumer spending and productivity gains, and support
from low interest rates and reduced tax rates. Across both the equity and fixed
income asset classes, there was an overall trend of lower quality securities
providing superior returns than higher quality investments. Among bonds,
emerging markets debt and high yield bond outperformed U.S. Treasuries and
other investment-grade issues. Within the equity markets, emerging markets
outperformed developed markets and small caps outperformed large caps.
Portfolio Review
The Fund's returns were driven by positive asset allocation decisions and
strong relative performance of the equity and fixed income portions of the
Fund. We were optimistic that low interest rates, tax cuts, a stabilizing
employment picture, and the weak dollar would boost the U.S. economy, and in
turn, investor confidence. We increased our equity ratio, so that it ranged
from 64% to 66% of the Fund during the second half of 2003. This positioning
helped performance, as equities outperformed fixed income.
Within the equity portion of the Fund, we had strong stock picks within Health
Care and Industrials. Additionally, strong stock selection in Information
Technology boosted performance. The top three contributors to performance
during the period were Citigroup (Financials), Caterpillar (Industrials) and
Intel (Information Technology). Citigroup has executed well, controlled costs
and is leveraged to improving global capital markets. Intel shares appreciated
dramatically following a series of positive announcements regarding improved
gross margins and outlook.
Tempering our successes were poor stock selection within Financials, primarily
among insurance companies, and an overweight position combined with poor stock
selection in Telecommunications. Among the largest detractors from returns were
Stanley Works (Manufacturing), SBC Communications (Communications & Media), and
Schering-Plough (Medical). SBC reported disappointing results as their margins
were impacted by pension, health care and increased spending in DSL and long
distance. SBC is making progress in their DSL business line, and remains a
holding of the Fund. As of the end of the period, we eliminated Stanley Works
and Schering-Plough.
On the fixed income side, the Fund's overweight to the corporate sector helped
performance. The duration positioning of the
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Fund and security selection also were positive factors contributing to
performance. For the year, successful security selection and sector rotation
were the primary contributors to the strong relative performance.
Outlook and Strategy
Recent positive economic data suggests that the U.S. economy is poised to
continue to expand in 2004. The goods-producing sectors continue to demonstrate
strength, consumption growth is still on an accelerating trend, and tax cuts
will likely support disposable income through the first half of 2004. With the
mortgage-refinancing boom fading away, jobs are the key to sustained consumer
spending. The rebound in corporate profitability should stimulate businesses to
rebuild inventories, accelerate investment spending, and ultimately lead to job
creation. A weaker dollar policy is expected to provide an impetus to U.S.
exports.
Within the equity portion, the Fund has overweight positions in the more
cyclical Materials and Industrials sectors. The Fund also remains overweight
Information Technology relative to the Russell 1000 Value, but did trim some
positions in the sector at the end of 2003 as they approached price targets.
The largest underweight among sectors is in Financials.
In the fixed income portion of the Fund, the duration position is in line with
that of the Lehman Brothers Aggregate Bond Index. This positioning is based on
expectations that the Fed's easy monetary policy will continue for the near
term. The Fund remains underweight Treasuries and overweight in mortgage-backed
securities and corporate credits. The lower-quality segment of the
investment-grade bond market has the potential to fare well as better profit
expectations extend into 2004. Within mortgages, we are reducing pass-throughs
but adding to structured securities like CMBS.
PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 19.27%
Premier Class 19.08
Retail Class 18.79
S&P 500(R) Index 28.68
Balanced Composite
(60% Russell 1000 Value/40%
Lehman Aggregate) 19.11
Lipper Balanced Funds Average 19.09
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/20/00 -- 12/31/03
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AVERAGE ANNUAL RETURNS
1-Year Life of Fund Inception Date
Institutional Class 19.27% 2.08% 1/20/00
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Institutional Class Balance Composite Index S&P 500(R) Index
1/20/00 10000 10000 10000
12/31/00 10366 10017 9264
12/31/01 10193 9633 8163
12/31/02 9095 8715 6359
12/31/03 10848 10380 8183
Balanced Fund (sub-advised by Wellington Management) (the "Fund") performance
figures are historical and reflect reinvestment of all dividends. The investment
return and principal value for each class will fluctuate so that an investor's
shares when sold may be worth more or less than their original cost. Past
performance does not predict future performance and the returns shown in the
graph and table do not reflect the deduction of taxes that a shareholder would
pay on fund distributions and the redemption of fund shares. The return for each
class has been compared with the total return performance of the S&P 500(R)
Index and Balanced Composite Index, which is weighted 60% and 40% by the
performance of the Russell 1000 Index and the Lehman Brothers Aggregate Bond
Index, respectively. These indexes are groups of unmanaged securities widely
regarded by investors to be representative of the stock and bond markets in
general. An investment cannot be made in the indexes. Index results do not
reflect brokerage charges or other investment expenses.
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5
Large Cap Growth/Morgan Stanley Fund
DECEMBER 31, 2003
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
FUND SUMMARY
OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in equity
securities of U.S. and, to a limited extent, foreign companies that exhibit
strong or accelerating earnings growth.
FUND INCEPTION DATE 01/20/2000
TOTAL NET ASSETS $14.2 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 91
INVESTMENT MANAGER Morgan Stanley Investment
Management Inc.
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FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
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Ten Largest Positions % of Net Assets
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Microsoft Corp. 5.8%
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General Electric Co. 5.4
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Pfizer, Inc. 4.8
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Citigroup, Inc. 3.6
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Intel Corp. 3.2
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American International Group, Inc. 2.9
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Cisco Systems, Inc. 2.7
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Wal-Mart Stores, Inc. 2.2
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eBay, Inc. 2.1
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Amgen, Inc. 2.1
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Ten Largest Sectors % of Net Assets
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Retail 10.5%
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Software 10.3
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Semiconductors 9.4
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Financial 8.5
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Pharmaceuticals 8.4
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Manufacturing 7.4
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Health Care 6.6
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Internet 4.3
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Media 4.2
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Computers & Peripherals 4.0
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Fund Composition % of Net Assets
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Common stocks 98%
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Short-term investments 1
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Cash and Other Assets Less Liabilities 1
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MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Economy
In 2003 a number of positive stimuli moved the market forward. The war in Iraq
removed a significant geopolitical concern that had hung over the market for
some time. The Bush Administration's passage of tax cuts for income, capital
gains and dividends served to make equity investing more appealing. Low
interest rates spurred record mortgage refinancing, robust home purchasing
activity, debt restructuring and balance sheet de-leveraging. Corporate
earnings recovered after declines in 2001 and 2002, with results topping
expectations for the first three quarters of 2003. Manufacturing activity, as
reported by the Institute for Supply Management, rose to 66.2 as of December
month-end. The advance resulted from an expansion in new orders and a boost in
production, both of which point to industrial growth. The University of
Michigan's survey of consumer sentiment increased to a level of 92.6 during the
year, suggesting that consumers are gaining confidence in the recovery, but are
still waiting for labor market improvement. 2003 will also be remembered for
the weak U.S. dollar and as a period during which cheaper, more speculative
stocks rallied. Small cap stocks performed best for the year, followed by mid
and large caps. Growth outpaced value in small- and mid-cap stocks, but styles
were even in large caps. Against this backdrop, the S&P 500 returned 28.68% and
the Lipper Large Cap Growth peer group returned 27.00%.
Portfolio Review
During 2003, across the market capitalization spectrum, smaller cap and lower
quality, more speculative stocks exceeded larger, higher quality names. Our
emphasis on the larger, higher quality names we favor detracted from our
performance.
While sector allocations added to relative return, stock selection was a
detractor. Stock selection was weakest in the consumer discretionary sector. An
overweight in the sector was a modest positive. The Fund was hampered by weak
performance from a number of retailers, including Wal-Mart, one of the Fund's
10 largest positions. Wal-Mart suffered from negative publicity and increased
scrutiny surrounding its labor practices. In the third quarter, we established
a substantial position in media stocks, some of which performed well through
year-end, while others lagged. We believe these stocks are poised for strong
performance as the economy recovers, particularly since 2004 has both a
presidential election and the Olympics.
Favorable stock selection in the health care sector was unfortunately
overshadowed by the negative effect of our sector overweight. Health care did
not advance as strongly as other economically sensitive sectors. Among our
largest holdings in the health care sector, Pfizer and Johnson & Johnson, both
had a negative effect on relative results. Johnson & Johnson, a com-
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pany with relatively stable earnings from its broad mix of drugs and consumer
products, initially benefited from the approval of its innovative stent to
treat coronary artery disease; however, later in the year, the company declined
on negative publicity about a number of deaths allegedly linked to the stent as
well as concerns about competitive threats and their ability to produce supply
to meet demand. We reduced our position in Johnson & Johnson in April. We
reduced the Fund's holdings of Pfizer in the third quarter, based on concerns
about increased competition for Lipitor and Viagra, as well as our belief that
near-term growth for Pfizer stems from synergies related to the Pharmacia
acquisition and not new products. On the positive side, Pfizer maintains a
healthy cash flow and no patent expirations.
Stock selection among consumer staples stocks also fell short of the index
sector; an overweight in the sector detracted from relative results as well
since staples lagged the broad market. Positions in several beverage and food
companies, as well as a household products manufacturer were largely
responsible for underperformance in this sector. Procter & Gamble was a
significant detractor. We had added to our holdings of Procter & Gamble in the
first quarter of the year, anticipating a positive impact from its acquisition
of Wella, a German hair care company. Although Procter & Gamble was one of the
stronger stocks within the consumer staples sector, its return lagged the
broader market. In the fourth quarter, Procter & Gamble announced earnings that
beat expectations as the company benefited from sales of its over-the-counter
heartburn medicine Prilosec.
Among the Fund's largest financial positions, Citigroup was a strong positive
contributor, while American International Group's return was less than half
that of the index sector. Following a strong run in financials, we took profits
in several names over the course of the third quarter, including Citigroup. We
subsequently added incrementally to our Citigroup holdings, taking advantage of
a price decline in August. Late in the year, Citigroup benefited from positive
market reaction to its proposed acquisition of a Washington Mutual unit
expected to broaden Citigroup's consumer lending presence and extend its
geographic reach. AIG declined sharply in February following its announcement
of a substantial charge to cover higher-than-expected claims by U.S. businesses
for costs of sick workers and jury settlements. Through the remainder of the
year, the stock's price vacillated within a relatively narrow range before
gaining some momentum in the fourth quarter.
The Fund's position in the industrial sector also detracted from relative
performance, due to weak performance of individual holdings. While top 10
holding General Electric added to relative results, its contribution was not
enough to offset losses in a number of other industrial stocks, particularly
defense contractors. In the first quarter, we reduced our position in General
Electric, taking advantage of the stock's strength. We subsequently increased
our holdings of General Electric in August due to our belief that the company
can successfully remake itself into a high growth, service-oriented business.
In November, GE management indicated that after limited to modest profit growth
in 2004, they anticipated double-digit profit growth in 2005.
The Fund's energy position had a moderate negative effect on relative results,
due mainly to lagging stock performance. An underweight in the strong
performing materials sector also detracted from relative performance.
An overweight in the information technology sector was the largest positive
contributor to relative results for the year. This was augmented by strong
stock selection. Among the Fund's largest technology positions, Cisco and Intel
were significant positive contributors. Semi-conductor company Intel more than
doubled in price, while communications equipment provider Cisco's gain was in
the high double digits. Both companies benefited from accelerating economic
momentum, strong earnings reports and an improved outlook for corporate
spending. A large overweight in Microsoft detracted from relative results.
Despite Microsoft's weak showing this year, the company's prospects remain
favorable, with substantial cash available for acquisitions or dividends and
expected earnings growth of 10% annually over the next five years. Microsoft
paid its first dividend in 2003 and is expected to double the small initial
payout in 2004. The Fund generally benefited from its semi-conductor position,
as the semi-conductor industry advanced amid the improved economic environment.
During the third quarter, we cut back on our semi-conductor allocation
following the group's strong performance. However, we remained overweight in
the industry.
A meaningful underweight in telecommunications stocks also added to relative
return. Although telecommunications stocks were among the leaders in the early
stages of the 2003 rally, telecommunications finished the year as the worst
performing index sector.
Outlook
As we enter the second year of the recovery, we are encouraged by signs of
continued economic strength globally. Corporate profits hit an all-time high in
the third quarter and negative earnings pre-announcements have been muted,
which bodes well for the fourth quarter earnings season. As well, the flow of
money into growth mutual funds has outpaced the flow into non-growth funds for
the last four months. We continue to position the Fund for recovery and
emphasize high quality growth companies. It is our hope that quality will be
rewarded in the coming year as investors rotate away from the more speculative
stocks that drove the market in the early stages of the recovery.
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PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 24.49%
Premier Class 24.34
Retail Class 24.06
Russell 1000 Growth Index 29.75
S&P 500(R) Index 28.68
Lipper Large-Cap Growth Funds Average 27.00
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/20/00 -- 12/31/03
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AVERAGE ANNUAL RETURNS
1 Year Life of Fund Inception Date
Institutional Class 24.49% -9.62% 1/20/00
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Institutional S&P 500(R) Index Russell 1000 Growth Index
1/20/00 10000 10000 10000
12/31/00 8720 9264 7725
12/31/01 7440 8163 6148
12/31/02 5390 6359 4433
12/31/03 6710 8183 5752
Large Cap Growth/Morgan Stanley Fund (the "Fund") performance figures are
historical and reflect reinvestment of all dividends. The investment return and
principal value for each class will fluctuate so that an investor's shares when
sold may be worth more or less than their original cost. Past performance does
not predict future performance and the returns shown in the graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions and the redemption of fund shares. The return for each class has
been compared with the total return performance of the S&P 500(R) Index and the
Russell 1000 Growth Index. These indices are a group of unmanaged securities
widely regarded by investors to be representative, in general, of the stock and
bond market and the growth segment of the stock market, respectively. An
investment cannot be made in either index. Index results do not reflect
brokerage charges or other investment expenses.
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8
Large Cap Value/John A. Levin & Co. Fund
DECEMBER 31, 2003
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common stocks
of large U.S. companies with a market capitalization above $5 billion deemed, at
the time of purchase, to be undervalued relative to their present and/or future
prospects and after the stocks have declined from recent highs.
FUND INCEPTION DATE 01/20/2000
TOTAL NET ASSETS $24.8 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 69
INVESTMENT MANAGER John A. Levin & Co., Inc.
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FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
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Ten Largest Positions % of Net Assets
- --------------------------------------------------------
Pfizer, Inc. 3.3%
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Bank of New York, Inc. 3.0
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Citigroup, Inc. 2.8
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Bank of America Corp. 2.7
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General Electric Co. 2.6
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Lockheed Martin Corp. 2.4
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ExxonMobil Corp. 2.3
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News Corp. Ltd. 2.3
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Accenture Ltd. 2.2
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Verizon Communications, Inc. 2.2
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Ten Largest Sectors % of Net Assets
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Banks 11.9%
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Manufacturing 9.6
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Media 7.5
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Oil & Gas 7.5
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Insurance 5.6
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Software 5.0
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Retail 4.9
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Pharmaceuticals 4.9
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Financial 4.5
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Food & Beverages 4.4
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Fund Composition % of Net Assets
- --------------------------------------------------------
Common stocks 98%
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Short-term investments 4
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Liabilities in excess of Cash and Other Assets (2)
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MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Performance Review
For the fiscal year ended December 31, 2003, the Fund posted solid returns but
trailed the 30.03% return for the Russell 1000 Value Index. Major contributors
to Fund performance for the year included banks and financial services stocks,
such as Citigroup, FleetBoston Financial, Bank of New York and AON Corporation,
as low interest rates continued and mergers and acquisitions activity in the
sector increased. In addition, some names that had been problems in 2002,
including Williams Companies and Tyco International, performed well. These
stocks recovered as investors gained increased confidence that problems related
to liquidity, leverage and corporate governance, among others, had been
resolved, and they refocused on improving business fundamentals. Only one
security, UnumProvident, had a significant negative impact on performance
during the year, as it came under pressure due to negative publicity about its
claims practices, lowered credit ratings, and disappointing guidance for 2003.
The potential for a significant recovery in a broad range of equities was
clearly present from the outset of 2003, aided by the economic stimulus
provided by low interest rates, tax cuts and a weakening dollar. While a vast
majority of equities posted positive returns, the story for much of the year
was the dominance of small cap, higher valuation, and more speculative names,
while a number of large, higher quality holdings lagged the market, some for
readily understandable reasons. Another feature of the market was significantly
reduced volatility.
During the year, we took advantage of a value compression that reduced much of
the risk premium between high and lower quality securities. We invested in many
large cap market leaders and reduced the overall risk profile of the Fund,
focusing on specific situations where we identified attractive opportunities
relative to risk. We were particularly alert to opportunities in names that
lagged the market advance, in accordance with our contra-price discipline.
Although the market was led by smaller, often lower quality, higher multiple
companies, our repositioned portfolio performed creditably, both absolutely and
on a relative basis.
Although we employ a bottom-up approach to portfolio construction, from a
sector perspective, major contributions came from our overweighting in the
Technology sector, with strong performers such as Accenture and Koninklijke
Philips Electronics N.V. Strong stock selection in the Consumer Discretionary
(Home Depot and McDonald's) and Other Energy (Williams Companies) sectors also
made significant contributions to absolute and relative performance. The Fund's
Financial Services stocks also provided positive relative performance due to
our holdings in FleetBoston Financial (which is being acquired) and U.S.
Bancorp (a takeover candidate); however, our overall
-
9
sector results were impacted by the UnumProvident holding (as mentioned above)
as well as our relative underweighting in the sector. In addition, several of
the Fund's positions in the Producer Durables sector underperformed
specifically, defense names Raytheon, Northrop Grumman and Lockheed Martin.
These companies' stocks performances continue to be affected by concerns over
underfunded pension liabilities as well as, to a certain degree, investor
preference for smaller cap and lower quality companies. Despite the quality of
our holdings in the Health Care sector, such as Eli Lilly, Johnson & Johnson
and Pfizer, our stocks in this sector languished because of uncertainties
surrounding Medicare legislation and continued concerns about patent
expirations and competitive pressures throughout the industry.
Investment Outlook
Looking ahead, we note that many political and economic uncertainties remain.
For instance, despite the capture of Saddam Hussein in December, global
tensions remain high, and there is the threat of more acts of terrorism. On the
economic front, the decline of the dollar helps sales of U.S. goods and
increases the profitability of multi-nationals, which like many domestic
companies, have already improved profitability through a series of cost cutting
measures, including workforce reductions. Over the longer term, however, a
persistently weak dollar is likely to lead to an increase in interest rates and
inflation, which, if it occurs, would dampen the pace of economic growth.
The strength of the consumer is another factor that could have a significant
impact on the economy, and ultimately on the performance of the markets and
individual equities. For many years, consumers have demonstrated a propensity
for spending and for a low savings rate, maintained even through the economic
downturn. Their ability to sustain a high level of spending, an important
component of the U.S. economy, was largely supported by historically low
interest rates, the boom in home refinancing and easy credit. Now, as the U.S.
economy recovers, job creation is not yet buoyant. Because it is increasingly
likely that interest rates will rise, without job growth, consumer spending
could be restrained, affecting housing, retail and automobile sales, and
impacting broad segments of our economy.
Other major variables that we continue to monitor include persistently high oil
prices and diminishing tailwinds from the 2003 changes in tax laws. We are also
focused on the extraordinarily strong Chinese economy, a large consumer of
commodities (including oil) and a major exporter of inexpensive goods. China's
growth bodes well for companies in the basic materials sector, as prices are
being driven higher, as well as for consumers who are benefiting from the
availability of lower cost finished goods. However, while the Chinese economy
is likely to continue to grow rapidly, and clearly has great potential, one
cannot, with confidence, indefinitely extrapolate an unbroken pattern of
expansion at its current rate of growth.
We note again that there are clear signs of economic improvement, including
increased book to build numbers in cyclical industries. In the technology
sector, orders for semi-conductors are rising, and there are indications from
management that increased capital expenditure budgets are being approved for
2004. These trends will translate into increased profits, as corporate America
takes advantage of the operating leverage created over the past several years,
including lower restructured balance sheets and reduced overhead.
While we have no specific reasons to doubt that the economic recovery will
continue, it is always challenging for investors to determine how much of that
recovery has already been factored into present valuations, especially, as
since March, equities have advanced significantly without an important
correction. Thus, we are following a disciplined approach, continuing to search
for high quality, lower valuation investment opportunities that we believe are
best positioned to realize value in the period ahead and to weather the impact
of any economic disappointments.
Among the areas where we continue to identify potential are Health Care stocks.
Large pharmaceutical companies in the sector have faced challenges from patent
expirations, competition from generics and weak new product pipelines, but we
believe some represent good values with longer term potential. We also see
value in the Energy sector, with certain companies attractively priced on the
basis of normalized earnings, even assuming that the currently high energy
prices do not endure. Furthermore, we believe that certain high quality defense
companies will offer significant opportunity in the period ahead, after having
lagged in 2003 because of concerns about pension funding issues, as the global
political climate is favorable for such companies.
We believe the Fund is well positioned for the coming period, as we expect
investors will once again focus on high quality equities selling at reasonable
absolute and relative values, as compared to a market with many issues that we
believe are extended and vulnerable.
- --
10
PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 28.74%
Premier Class 28.47
Retail Class 28.09
S&P 500(R) Index 28.68
Russell 1000 Value Index 30.03
Lipper Large-Cap Value Funds Average 28.27
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/20/00 -- 12/31/03
- ------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
1 Year Life of Fund Inception Date
Institutional Class 28.74% 0.72% 1/20/00
- ------------------------------------------------------------------
Institutional S&P 500(R) Index Russell 1000 Value Index
1/20/00 10000 10000 10000
12/31/00 11403 9264 10919
12/31/01 10923 8163 10308
12/31/02 7990 6359 8708
12/31/03 10286 8183 11323
Large Cap Value Fund/John A. Levin & Co. (the "Fund") performance figures are
historical and reflect reinvestment of all dividends. The investment return and
principal value for each class will fluctuate so that an investor's shares when
sold may be worth more or less than their original cost. Past performance does
not predict future performance and the returns shown in the graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions and the redemption of fund shares. The return for each class has
been compared with the total return performance of the S&P 500(R) Index and the
Russell 1000 Value Index. These indices are a group of unmanaged securities
widely regarded by investors to be representative, in general, of the stock and
bond market and the growth segment of the stock market, respectively. An
investment cannot be made in either index. Index results do not reflect
brokerage charges or other investment expenses.
--
11
S&P 500(R) Index Fund
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
FUND SUMMARY
- --------------------------------------------------------------------------------
OBJECTIVE AND STRATEGY
Seeks long-term growth of capital by investing principally in common stocks of
companies in the Standard & Poor's 500(R) Composite Stock Price Index.
FUND INCEPTION DATE 07/01/1997 -
Institutional Class
01/21/2000 -
Premier and Retail Classes
TOTAL NET ASSETS $192.4 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 500
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
- --------------------------------------------------------------------------------
FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -----------------------------------------------------------
General Electric Co. 2.6%
- -----------------------------------------------------------
Microsoft Corp. 2.5
- -----------------------------------------------------------
ExxonMobil Corp. 2.3
- -----------------------------------------------------------
Pfizer, Inc. 2.2
- -----------------------------------------------------------
Citigroup, Inc. 2.1
- -----------------------------------------------------------
Wal-Mart Stores, Inc. 1.9
- -----------------------------------------------------------
Intel Corp. 1.7
- -----------------------------------------------------------
American International Group 1.4
- -----------------------------------------------------------
Cisco Systems, Inc. 1.4
- -----------------------------------------------------------
International Business Machine Corp. 1.3
- -----------------------------------------------------------
Fund Composition % of Net Assets
- -----------------------------------------------------------
Common stocks 85%
- -----------------------------------------------------------
Short-term investments* 15
- -----------------------------------------------------------
*At December 31, 2003, the Fund was long 98 S&P 500(R) futures contracts.
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Economy
Economic touchstones which had provided hope of an improving recovery at the
end of 2002 grew decidedly weaker over the first three months of the year.
Financial markets closely followed the course of Operation Iraqi Freedom.
Uncertainties were compounded by the deterioration of the western alliance and
the realization that the U.S./U.K. "coalition of the willing" would have to act
in defiance of France, Germany, Russia and the U.N. The promotion of a shock
and awe campaign by coalition forces promising early resolution to the conflict
left investors relieved when war finally commenced in mid-March. However, by
the quarter's end, Turkey's broken promise to provide a northern access route
to Iraq and the inflammatory nature of real-time network war coverage had
instead generated expectations for a messy and prolonged engagement.
Financial markets received psychological boosts from a number of directions in
the second quarter. U.S. and coalition forces achieved a decisive victory in
Iraq and turned their attention to instituting a provisional civil authority to
oversee the transition. President Bush declared an end to "major" hostilities,
although a clean end to the conflict has been elusive. Congress passed the
president's 2003 tax cut initiative. The SARS epidemic, which had been
perceived as a world threat earlier in the year, received unprecedented
international coordinated attention and was brought under control. In an
unusual step, Federal Reserve (Fed) chairman Alan Greenspan acknowledged the
threat of deflation, declared formal steps to guard against it and suggested
that the Fed would tolerate and even welcome moderate inflation.
The financial markets were subjected to mixed influences during the third
quarter. The Fed on two separate occasions renewed its commitment to low
interest rates in response to nine-year record unemployment levels. Investor
confidence was rocked by both the de facto forced retirement of NYSE CEO
Richard Grasso on compensation issues, and evidence of mutual fund industry
improprieties regarding late trading, market timing and use of brokerage
commissions. Increased estimated costs of the Iraqi reconstruction and the
consequent domestic economic implications eroded presidential support despite
news of the deaths of Saddam Hussein's sons. The Northeast economic region
experienced an energy blackout of historic scope. Second quarter Gross Domestic
Product (GDP) was determined to be 3.3%, surpassing expectations.
Economic growth accelerated in the fourth quarter, capping a year that
confounded consensus views at the end of the previous year. Forecasts of double
dip recession, deflation and a protracted period of uninspiring returns were
laid waste by revised third quarter GDP figures of 8.2% and expectations of 4%
full-year growth. Also influencing markets were record con-
- --
12
struction spending and a 20-year high in the ISM Purchasing Managers Index.
Saddam Hussein finally was captured, the U.S. dollar hit record lows against
the euro and the country experienced fear of an outbreak of Mad Cow disease.
Equity Markets
Equity markets retreated, intermediate rates fell and the dollar weakened
through mid-March, as the lack of U.N. resolve left questionable the U.S.
course of action related to Iraq. These trends reversed dramatically during the
first two weeks of engagement in anticipation of an early success, and then
reversed again during the final week of March on concerns of a longer U.S.
presence in Iraq. By quarter's end, total return for the S&P 500(R) Index
was -3.15% (the Fund's Institutional Class returned -3.17%).
In the second quarter, equity market participants, buoyed by improving
confidence indicators and better-than-expected reported earnings announcements,
drove stock indexes to their best quarterly return in three and a half years.
AMG Data Services (an independent provider of mutual fund data) reported that
investors, anticipating a second-half acceleration in earnings, poured nearly
$33 billion into stock mutual funds in the second quarter. The S&P 500(R)
Index returned 15.40% for the period (the Fund's Institutional Class returned
15.38%).
The average diversified U.S. stock fund returned 16.8% during the second
quarter, according to Lipper Analytics. Among large capitalization companies,
value (+18.8%) outperformed growth (+12.17%), as measured by representative
S&P/Barra indexes. The best-performing industries for the three months included
employment services, computer & electronics, tobacco and utilities, which all
returned more than 48%. Health care facilities, the principal loser, gave back
19%.
Equity markets traded in a range throughout most of July and August. An
increase in jobless claims and low retail sales figures counteracted the impact
of evidence of increased M&A (merger and acquisition) activity and a growing
list of companies reporting earnings meeting optimistic expectations. The major
indices rose somewhat in late August and the first half of September as a
result of strong sales reports from major retailers and an uneventful
anniversary of the 9/11 tragedy, but retreated thereafter on concerns that
excessive dollar weakness might cause foreign liquidation of U.S. stocks as
well as Treasuries. Announced OPEC output cuts and a six-month low in consumer
confidence posed additional setbacks to further growth. By September 30,
returns to the S&P 500(R) Index for the quarter had fallen to 2.65% (the
Fund's Institutional Class returned 2.50%). Continuing a trend, small cap (S&P
Small-Cap Index, +7.08%) and mid cap (S&P MidCap Index, +6.59%) stocks dominated
their large capitalization counterparts. Among large cap companies, value
(+2.54%) and growth (+2.75%) produced somewhat comparable results, as measured
by their respective S&P/Barra Indexes.
Equity markets had a strong start in October. Improvements in business capital
spending, consumer confidence and payrolls, in addition to increased merger
activity and better than expected reported operating earnings, produced a 5.6%
return for the month. The market paused in November with renewed domestic
terrorist threats, attacks on our forces in Iraq and fears of trade wars
prompted by new U.S. quotas on Chinese textiles. A renewed pledge by the Fed to
keep rates low until inflation, employment and capacity utilization rates rose,
combined with Hussein's capture, lifted the S&P 500(R) Index through the
holidays to finish the quarter up 12.18% (the Fund's Institutional Class
returned 12.02% for the fourth quarter). Continuing a year-long trend, smaller
capitalization segments outperformed the larger segments. The S&P Mid Cap Index
was up 13.19% for the quarter and 35.62% for the year, while the S&P Small Cap
Index generated returns of 14.78% and 38.79% for the corresponding periods.
Among large capitalization companies, value (14.45% for the quarter, 31.79% for
the year) beat growth (9.93% for the quarter, 25.66% for the year), based on
S&P/Barra Indices. All ten S&P sectors were positive for the year, as were 90%
of all companies in the Index - a new record. Technology performed best
(+47.2%) while telecommunications was worst (+7.1%). As might be expected, the
equal weighted Index beat the cap-weighted Index by 13% for the year.
Outlook
Near term, we expect that the Fed's pledge to remain accommodative and the
benefits of improved productivity will support additional, though less robust,
increases in corporate earnings, allowing the market to move higher. We
continue to believe that, as the year progresses, sustainability of market
advances will be dependent on both the orderly retracing of the dollar
(sufficient to produce improvements in the trade deficit) as well as continued
improvement in business investment to generate job growth. World central banks
probably will ensure the first, but evidence of pending job growth has thus far
been lacking.
--
13
PERFORMANCE
Returns for the year ended December 31, 2003, were:
Institutional Class 28.29%
Premier Class 28.48
Retail Class 27.97
S&P 500(R) Index 28.68
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
7/1/97 -- 12/31/03
- -------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
1-Year 5-Year Life of Fund Inception Date
Institutional Class 28.29% -0.80% 4.82% 7/1/97
- -------------------------------------------------------------------------
Institutional Class S&P 500(R) Index
7/01/97 10000 10000
12/31/97 11023 11033
12/31/98 14140 14186
12/31/99 17061 17170
12/31/00 15484 15607
12/31/01 13614 13752
12/31/02 10590 10712
12/31/03 13586 13785
S&P 500(R) Index Fund (the "Fund") performance figures are historical and
reflect reinvestment of all dividends. The investment return and principal value
for each class will fluctuate so that an investor's shares when sold may be
worth more or less than their original cost. Past performance does not predict
future performance and the returns shown in the graph and table do not reflect
the deduction of taxes that a shareholder would pay on fund distributions and
the redemption of fund shares. The return for each class has been compared with
the total return performance of the S&P 500(R) Index. This index is a group of
unmanaged securities widely regarded by investors to be representative of the
stock market in general. An investment cannot be made in the index. Index
results do not reflect brokerage charges or other investment expenses.
- --
14
Small Cap Growth/TimesSquare Fund
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
FUND SUMMARY
- --------------------------------------------------------------------------------
OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common and
preferred stocks of U.S. companies with market capitalizations between $50
million and $2 billion, with a focus on growing companies involved in new
product development and technological breakthroughs.
FUND INCEPTION DATE 01/21/2000
TOTAL NET ASSETS $402.8 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 106
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
- --------------------------------------------------------------------------------
FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Ten Largest Positions % of Net Assets
- ---------------------------------------------------------
Getty Images, Inc. 2.5%
- ---------------------------------------------------------
Education Management Corp. 2.3
- ---------------------------------------------------------
Alliance Data Systems Corp. 2.0
- ---------------------------------------------------------
DaVita, Inc. 2.0
- ---------------------------------------------------------
Corporate Executive Board Co. 1.7
- ---------------------------------------------------------
Global Payments, Inc. 1.6
- ---------------------------------------------------------
Mettler-Toledo International, Inc. 1.6
- ---------------------------------------------------------
iShares Russell 2000 Index Fund 1.5
- ---------------------------------------------------------
Investors Financial Services Corp. 1.5
- ---------------------------------------------------------
Rent-A-Center, Inc. 1.5
- ---------------------------------------------------------
Ten Largest Sectors % of Net Assets
- ---------------------------------------------------------
Commercial Services 11.8%
- ---------------------------------------------------------
Software 9.3
- ---------------------------------------------------------
Financial 7.7
- ---------------------------------------------------------
Health Care 7.2
- ---------------------------------------------------------
Semiconductors 6.6
- ---------------------------------------------------------
Telecommunications 6.1
- ---------------------------------------------------------
Electronics 5.8
- ---------------------------------------------------------
Oil & Gas 5.3
- ---------------------------------------------------------
Pharmaceuticals 4.9
- ---------------------------------------------------------
Computers 3.8
- ---------------------------------------------------------
Fund Composition % of Net Assets
- ---------------------------------------------------------
Common stocks 95%
- ---------------------------------------------------------
Short-term investments 5
- ---------------------------------------------------------
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Intense risk aversion early in 2003 gave way to a new found appetite for risk
as the year progressed. Following their three year slide, stocks came back with
a vengeance. The Russell 2000 Index, up 47.3%, posted its best return ever,
well ahead of the large cap Russell 1000 Index, up 29.9%. Small caps now have
outperformed large caps for five consecutive years, including each of the final
three quarters of 2003. Growth finished ahead of value in the small cap arena;
the Russell 2000 Growth Index (the "Index") beat its Value counterpart for the
first time since 1999 with a gain of 48.5% vs. 46.0% for Value.
During the first quarter, it was all about the war. At first, the anticipation
held the markets and the economy hostage, sending the markets sliding and oil
prices skyrocketing in January and February. The war's onset brought an
expectation of a short and decisive victory; an explosive stock market rally
ensued in March - quickly dissipating with those dashed hopes.
For the first quarter, the total return of the Russell 2000 Growth Index return
was -3.88%. According to Lipper, the average small cap growth mutual fund was
down 3.92% for the quarter. Small cap stocks lagged behind their large cap
brethren during the first quarter. Performance of the Fund in the first quarter
(-3.80% for the Institutional Class) was in line with the index and was helped
by good stock selection, principally from the health care, consumer staples and
energy sectors. Lack of improvement in capital spending hurt our investments in
the technology and producer durables sectors.
Second quarter returns finally gave stock market investors something to cheer
about. Small caps staged a huge comeback, leading the large caps for the
quarter. The growth style led value for the quarter; the Russell 2000 Growth
Index rose 24.15% versus 22.72% for the Russell 2000 Value Index, widening its
lead year to date, 19.33% versus 16.49%.
The Fund had solid absolute returns (20.51% for the Institutional Class),
though it lagged its benchmark. The benchmark proved especially challenging to
outperform, as the smallest illiquid stocks were up significantly more than the
larger small cap stocks - and low quality stocks significantly outperformed the
rest of the universe. For the second quarter, sector selection was responsible
for most of the underperformance. Though an underweight impaired performance,
technology contributed favorably to the overall portfolio.
Earnings reported in the third quarter affirmed the recovery in corporate
profits; earnings news came in even better than expected, and not just thanks
to cost cutting. Revenues grew by 7% year over year in the S&P 500 Index.
Favorable economic news - including better-than-expected reports on retail
sales, industrial production and factory orders - added fodder to the market's
surge. This spate of good news did not go
--
15
unnoticed by the markets, though small cap stocks far outpaced large caps for
the quarter. In the third quarter, the Russell 2000 Index climbed 9.1% versus
the 3.0% rise for the Russell 1000 Index. The growth style continued to gain on
the value style; the Russell 2000 Growth Index returned 10.5% for the quarter,
versus only a 7.7% advance for the Russell 2000 Value Index.
The Fund had solid absolute net returns for the third quarter (6.55% for the
Institutional Class) but continued to trail the Russell 2000 Growth Index. Once
again, the benchmark proved challenging to outperform, as low quality,
low-priced, micro-cap companies significantly outperformed the rest of the
benchmark. In particular, low-priced stock - those selling for under $5, a
proxy for low quality issues - outperformed significantly, gaining 31% for the
quarter and about 100% for the year to date.
A strong economy and strong earnings fueled the market's momentum in the final
quarter of 2003. The Russell 2000 Index propelled ahead 14.5% vs. 12.3% for the
Russell 1000 Index. However, as growth stocks sputtered in December, small cap
value stocks made their move to lead for the fourth quarter; 16.4% for the
Russell 2000 Value Index vs. 12.7% for the Russell 2000 Growth Index.
The Fund again produced solid returns for the fourth quarter (11.29% for the
Institutional Class), while continuing to trail the Index, which was up 12.68%.
For the quarter positive contributions came from holdings in Consumer
Discretionary, Energy, Producer Durables and Utilities (Telecommunications)
while an underweight in Materials & Processing and underperforming stock
selection in Health Care and Technology detracted from relative performance.
The economic recovery has steadily evolved into a broadly based economic
expansion, with the full participation of virtually all sectors of our economy.
The long awaited revival in the corporate sector appears to be upon us. Better
than expected profits are leading to increased capital spending, and point to
sustained economic growth in 2004.
With small capitalization stocks fairly valued compared to large capitalization
stocks, relative earnings growth will be the continued driver of the
outperformance of small cap vs. large cap stocks. We are encouraged by the
increased earnings visibility that many of our companies are experiencing.
We believe that fundamental stock pickers will be rewarded in 2004 as the low
quality bounce dissipates. Within a maturing economic recovery, companies who
grow their earnings consistently should outperform. We continue to favor
companies with solid competitive advantages, dominant players in their industry
with strong, experienced management teams.
PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 37.48%
Premier Class 37.53
Retail Class 37.02
S&P 500(R) Index 28.68
Russell 2000 Growth Index 48.54
Russell 2000 Index 47.25
Lipper Small-Cap Growth Funds Average 44.36
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/21/00 -- 12/31/03
- ----------------------------------------------------------------
AVERAGE ANNUAL RETURNS
1-Year Life of Fund Inception Date
Institutional Class 37.48% 3.31% 1/21/00
- ----------------------------------------------------------------
Institutional Class Russell 2000 Index Russell 2000 Growth Index
1/21/00 10000 10000 10000
12/31/00 11151 9164 7297
12/31/01 10137 9392 6623
12/31/02 8272 7468 4619
12/31/03 11372 10997 6861
Small Cap Growth/TimesSquare Fund (the "Fund") performance figures are
historical and reflect reinvestment of all dividends. The investment return and
principal value for each class will fluctuate so that an investor's shares when
sold may be worth more or less than their original cost. Past performance does
not predict future performance and the returns shown in the graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions and the redemption of fund shares. The return for each class has
been compared with the total return performance of the Russell 2000 Index and
the Russell 2000 Growth Index. These indices are a group of unmanaged securities
widely regarded by investors to be representative, in general, of the small
company stock market and the growth segment of that market, respectively. An
investment cannot be made in either index. Index results do not reflect
brokerage charges or other investment expenses.
- --
16
Small Cap Value/Perkins, Wolf, McDonnell Fund
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
FUND SUMMARY
- --------------------------------------------------------------------------------
OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common stocks
of small U.S. companies with market capitalizations at the time of purchase of
less than $1 billion and whose stock prices are believed to be undervalued.
FUND INCEPTION DATE 01/20/2000
TOTAL NET ASSETS $110.8 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 65
INVESTMENT MANAGER Perkins, Wolf,
McDonnell & Company
- --------------------------------------------------------------------------------
FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Ten Largest Positions % of Net Assets
- ------------------------------------------------------------
Brookline Bancorp, Inc. 2.4%
- ------------------------------------------------------------
Harsco Corp. 2.2
- ------------------------------------------------------------
Steris Corp. 2.1
- ------------------------------------------------------------
La-Z-Boy, Inc. 2.1
- ------------------------------------------------------------
Mettler-Toledo International, Inc. 2.1
- ------------------------------------------------------------
Superior Industries International, Inc. 2.0
- ------------------------------------------------------------
EMCOR Group, Inc. 2.0
- ------------------------------------------------------------
Key Energy Services, Inc. 2.0
- ------------------------------------------------------------
Brown (Tom), Inc. 1.9
- ------------------------------------------------------------
Energy Partners Ltd. 1.8
- ------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- ------------------------------------------------------------
Banks 12.4%
- ------------------------------------------------------------
Oil & Gas 10.0
- ------------------------------------------------------------
REIT's 6.7
- ------------------------------------------------------------
Health Care 5.8
- ------------------------------------------------------------
Software 4.7
- ------------------------------------------------------------
Manufacturing 4.5
- ------------------------------------------------------------
Engineering & Construction 3.7
- ------------------------------------------------------------
Electronics 3.0
- ------------------------------------------------------------
Insurance 2.9
- ------------------------------------------------------------
Machinery 2.7
- ------------------------------------------------------------
Fund Composition % of Net Assets
- ------------------------------------------------------------
Common stocks 84%
- ------------------------------------------------------------
Short-term investments 16
- ------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
During 2003, Berger[RegTM] was replaced as investment manager by Janus Capital
Management LLC (Janus). Janus in turn hired Perkins, Wolf, McDonnell & Company
to manage the investment operations of the Fund.
Market Overview
For the 12 months ended December 31, 2003, the Russell 2000 Value Index (the
"Index") advanced 46.03%. While the performance of each class of the Fund
exceeded 40%, the Fund trailed the Index. Positive returns weren't limited to
small capitalization equities over the past 12 months as the major U.S. stock
market indices ended the fiscal year with gains for the first time since 1999.
The Dow Jones Industrial Average added 28.28% and the broad-based Standard &
Poor's 500 Index climbed 28.68%. Not to be outdone, the technology-dominated
Nasdaq Composite Index surged 50.69% for the period. In the value arena, the
S&P 500/Barra Value Index rose 31.79%.
The period began with a brief rally that was quickly overcome by worries of a
looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs
and soaring oil prices also were causes for concern. After hitting a trough in
the months leading up to the war, however, both the market and consumer
confidence bounced back sharply by the time the hostilities began in mid-March.
Later, signs that the manufacturing sector was emerging from a two-year slump
and a tax-cut-driven increase in consumer spending also helped to lift
investors' spirits. But the health of the economy still was in doubt as job
losses mounted. The Federal Reserve acknowledged the mixed picture, cutting its
benchmark federal funds rate to a 45-year low of 1% in an attempt to spur
corporate investment and hiring. As the fiscal year came to a close, however,
stocks added to their gains. Feelings of cautious optimism, fueled by an
acceleration of quarterly earnings and better-than-expected economic growth,
prevailed, despite questions about whether the positive momentum could be
sustained.
Manager's Overview
We have been quite surprised by the persistent strength of the U.S. equity
markets in recent months. While we feel good about the resulting healthy
absolute returns of the Fund, our somewhat pessimistic view of general market
fundamentals going into the period, and the difficulty we had finding
attractive values in light of this outlook, led to underperformance relative to
our benchmark.
All sectors in the Fund, outside of the utilities group, had positive returns
over the latest period. That said, our stock selection was disappointing in a
few instances, so we eliminated those positions we felt had developed long-term
fundamental
--
17
problems and added to those whose weakness we believed was due to more
temporary and correctable issues.
We adhered to our disciplined process of only investing in stocks we felt had
attractive risk-reward relationships and therefore missed out on the continued
run-up in, what seem to us to be, more speculative stocks. While this also
contributed to our relative underperformance, historically this approach has
yielded superior long-term relative returns.
For the year, municipal truck maker Federal Signal and crane manufacturer
Manitowoc weighed most heavily on the Fund's results. Meanwhile, visual
projection-system developer InFocus lagged amid a management shakeup, while
regional insurance holding company Harleysville Group and small-engine
manufacturer Tecumseh Products hindered returns as well.
Mining machinery manufacturer Joy Global led all advancers, followed by First
Niagra Financial Group, a New York based financial services provider. Two
different construction-related concerns - single-family home builder Standard
Pacific and Dycom Industries, a contractor serving the telecommunications and
cable industries - also performed well, as did homebuilder and mortgage
financer Ryland Group.
While our research efforts are tightly focused on company fundamentals, sector
performance provides an alternative view of the Fund's advance. Holdings within
the financial and information technology groups, where we were collectively
overweight relative to the benchmark, led all gainers on an absolute basis. At
the other end of the spectrum, the utilities and consumer staples sectors
performed poorest, although our relatively small positions in both areas
buffered results.
Outlook and Strategy
Despite widespread investor optimism surrounding the run up in share prices, we
cannot bring ourselves to ignore the confluence of events that has aided the
market's ascent. It is our belief that the gathering strength of the economy
has had greater impact on stock valuations than it has on the near-term
earnings of our investments. While our companies have generally showed good
earnings growth in 2003, we believe our performance benefited more from
increased investor confidence in the fundamental longer term outlook for our
holdings. This has reinforced our belief that it is more important to focus on
long-term company fundamentals and stock valuations than on near-term economic
trends.
As always, our focus is on superior balance sheets, cash flow and franchise
position at an attractive valuation. This emphasis is especially important now,
as we continue to believe there are considerable macroeconomic and geopolitical
uncertainties in the intermediate and longer term.
PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 40.82%
Premier Class 40.53
Retail Class 40.07
S&P 500(R) Index 28.68
Russell 2000 Value Index 46.03
Russell 2000 Index 47.25
Lipper Small-Cap Value Funds Average 42.88
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/20/00 -- 12/31/03
- ----------------------------------------------------------------
AVERAGE ANNUAL RETURNS
1 Year Life of Fund Inception Date
Institutional Class 40.82% 17.48% 1/20/00
- ----------------------------------------------------------------
Institutional Russell 2000 Index Russell 2000 Value Index
1/20/00 10000 10000 10000
12/31/00 12922 9279 12099
12/31/01 15737 9510 13796
12/31/02 13407 7562 12220
12/31/03 18881 11135 17844
Small Cap Value/Wolf Perkins McDonnell Fund (the "Fund") performance figures are
historical and reflect reinvestment of all dividends. The investment return and
principal value for each class will fluctuate so that an investor's shares when
sold may be worth more or less than their original cost. Past performance does
not predict future performance and the returns shown in the graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions and the redemption of fund shares. The return for each class has
been compared with the total return performance of the Russell 2000 Value Index
and the Russell 2000 Index. These indices are a group of unmanaged securities
widely regarded by investors to be representative, in general, of the small
company stock market and the value segment of that market, respectively. An
investment cannot be made in either index. Index results do not reflect
brokerage charges or other investment expenses.
- --
18
International Blend/Bank of Ireland Fund
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
FUND SUMMARY
- --------------------------------------------------------------------------------
OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common stocks
of well-established companies located outside the U.S.
FUND INCEPTION DATE 01/24/2000
TOTAL NET ASSETS $11.8 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 82
INVESTMENT MANAGER Bank of Ireland Asset
Management (U.S.) Limited
- --------------------------------------------------------------------------------
FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Ten Largest Positions % of Net Assets
- ----------------------------------------------------------------
Total Fina Elf SA 3.5%
- ----------------------------------------------------------------
Nestle SA 3.5
- ----------------------------------------------------------------
Canon, Inc. 3.2
- ----------------------------------------------------------------
UBS AG 3.1
- ----------------------------------------------------------------
Vodafone Group PLC 2.7
- ----------------------------------------------------------------
E. ON AG 2.6
- ----------------------------------------------------------------
ING Groep NV 2.5
- ----------------------------------------------------------------
Barclays PLC 2.4
- ----------------------------------------------------------------
Aventis SA 2.4
- ----------------------------------------------------------------
Samsung Electronics Co., Ltd. GDR 2.4
- ----------------------------------------------------------------
Ten Largest Industries % of Net Assets
- ----------------------------------------------------------------
Banks 17.5%
- ----------------------------------------------------------------
Pharmaceuticals 9.7
- ----------------------------------------------------------------
Oil & Gas 7.3
- ----------------------------------------------------------------
Diversified Telecommunication Services 6.9
- ----------------------------------------------------------------
Food Products 6.4
- ----------------------------------------------------------------
Insurance 4.1
- ----------------------------------------------------------------
Automobiles 3.8
- ----------------------------------------------------------------
Office Electronics 3.6
- ----------------------------------------------------------------
Diversified Financials 3.4
- ----------------------------------------------------------------
Wireless Telecommunication Services 3.1
- ----------------------------------------------------------------
Fund Composition % of Net Assets
- ----------------------------------------------------------------
Common stocks 97%
- ----------------------------------------------------------------
Short-term investments 3
- ----------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Economic Review
International equity markets rebounded strongly to record vigorous gains in
2003 following three years of negative returns. Market volatility,
characteristic of the early part of the year, had eased considerably by the end
of 2003. The quicker-than-anticipated collapse of the Iraqi regime served as
the catalyst, prompting equity investors back into the market. Brightening
economic prospects sustained the stock market bounce as a combination of low
interest rates, tax cuts and higher government spending provided an important
stimulus. That momentum was maintained during the fourth quarter.
Global recovery was led by the U.S., where growth was greater than anticipated,
particularly in the latter part of the year. The annualized growth rate in the
third quarter was 8.2% (the fastest pace achieved since 1983). In the last
quarter of the year, the Morgan Stanley Capital International (MSCI) World
Index gained 14% in U.S. dollar terms, resulting in a 34% gain for the year.
The MSCI EAFE Index rose 17% in the final quarter of 2003, registering an
advance of 39% in 2003.
All of the MSCI industry groups posted positive returns in 2003. In broad
terms, the technology, materials and financial-related sectors were among the
top performers, with health care and consumer staples at the opposite end of
the table. Defensive sectors, which remained out-of-favor for much of the year,
staged a recovery in the last quarter. Information technology stocks, which led
the recovery until the fourth quarter, actually produced the poorest return in
the fourth quarter. Towards the end of the year, the narrow focus of the rally
broadened to encompass some of those sectors left behind, but this late rally
was not sufficient to change the fortunes of the consumer staples sector, which
ended the year at the bottom of the scale.
The flight from quality has had a decidedly negative impact on the Fund's
relative return. Low-quality, highly valued stocks have dominated the market
rally. Looking at the broad market, stocks with the lowest credit ratings have
been among the best performers. Small- and mid-cap stocks have also led the
markets higher with significant outperformance compared to larger capitalized
"blue chip" stocks. Indeed, stocks that have upgraded earnings have been among
the poorer performers, while companies that have yet to register actual
earnings improvements (and, in some cases, still seeking a first profit) have
surged ahead on the basis of their future potential. All of these trends run
counter to our stock selection preferences. It remains our approach to invest
at reasonable valuations in high-quality companies with strong market
positions, sound balance sheets and good income and cash-generation prospects.
The weakness of the U.S. dollar was a key feature in 2003, with the currency's
depreciation accelerating in the final quar-
--
19
ter. Asian central banks bought U.S. assets in an effort to maintain exchange
rates at favorable levels for their exports, serving as a brake on the dollar's
decline. The dollar's valuation against the euro hit record lows during
December. While this helped to boost corporate profits for American companies,
it damaged the attractiveness of U.S. assets for euro-denominated investors.
Eurozone and Japanese exporters were among those hurt by appreciating
currencies.
All of the MSCI national indices posted positive local currency returns for the
fourth quarter and the year, and even stronger dollar-denominated returns with
the U.S. dollar's decline against most other world currencies. The Swedish and
German markets were among the top performers in the fourth quarter as well as
the year. The U.K. and the Netherlands propped up the bottom of the annual
performance table, but still registered dollar returns of close to 30% for the
year.
In Europe, the dollar reached record lows in December. On one hand, this
boosted U.S. corporate profits but on the other, cast a long shadow on the
attractiveness of U.S. assets for Euro-based investors. European markets, as a
whole, enjoyed robust returns in the quarter. The MSCI Europe ex-U.K. Index
increased by 22%, spurred by the recovery in banking and insurance stocks. The
European Central Bank lowered its benchmark rate in the middle of the year to
2%, even as Germany and France flaunted European Union rules on budget-deficit
limits. (The German and French governments spent more and trimmed taxes in an
effort to reinvigorate output.)
British equities, as measured by the MSCI U.K. Index, increased by 18% as the
economy posted a 0.8% expansion in the third quarter, following 0.6% growth in
the previous quarter. That made it likely the economy would grow by 2.1% for
the full year. Business and financial services primarily drove the growth.
The Pacific region's stock markets tired somewhat in the fourth quarter,
following resurgent gains earlier in the year (as the strength of the Chinese
economy boosted demand for materials and industrial and consumer goods in the
region). Exports to the recovering U.S. and European markets were also buoyant.
The Japanese economy was much more robust by the year-end as growth
expectations rose significantly, although recovery was impacted by U.S. dollar
weakness, which worsened as the year progressed.
Portfolio Review
Our recent performance has not been consistent with our long term track record.
This divergence in performance is not a result of a change to our investment
process or the personnel that comprise the asset management team responsible
for the investment of the portfolio.
There are three key influences on our under performance; (1) there has been a
rotation out of defensive stocks into cyclicals / recovery plays, (2) large cap
stocks have underperformed the broader market and (3) we have been negatively
impacted by the weakness of the U.S. dollar.
Sector Rotation - The under performance of the portfolio has coincided with the
rebound in stock markets. Our investment style is characterized by a
research-driven bottom-up stock selection process and a value discipline. Our
stock selection process focuses on established companies with stable durable
business models. Financial strength, proven management and companies that
possess global franchises are key factors in our stock research. Price
valuation ultimately determines which of these stocks are purchased, as we seek
to find companies that are undervalued relative to their intrinsic value and/or
growth potential. Companies in our 'universe' have generally been ignored by
the market during the recent rally.
The rebound in the markets has been characterized by strong performance from
technology and economically sensitive cyclical stocks and, in general, a demand
for 'beta' or 'recovery' stocks, often of lower quality and with little regard
for valuations. Overall we believe that cyclical or 'recovery' valuations are
too high and there is a disconnect between these valuations and the expected
rebound in earnings. In our view, it is difficult to justify these ratings in
an environment of low inflation and a general lack of pricing power. While we
do expect that the economic recovery which is underway will continue, we do not
believe that it will be as strong or as sustained as the valuations in some
sectors of the market imply, therefore we have been reluctant to chase those
areas that have been at the forefront of the rally.
We have maintained positions in what we feel are quality stocks and as a result
the Fund's over exposure to the food producers and pharmaceutical sectors and
it's under exposure to the technology and cyclical sectors has remained. This
has had a decidedly negative impact on our return relative to the benchmark,
accounting for almost all of our under performance.
The Performance of Large versus Small Capitalization Stocks - The performance
of large versus small capitalization has been a notable feature of European
stock markets over the past twelve months. The Fund's portfolio is biased
towards large capitalization companies and the strong performance of the lower
bands of capitalization has negatively impacted relative performance over this
period.
It is a core element of our style that we balance the concentrated nature of
our portfolios with the stability and liquidity offered by large companies. The
weakness of the U.S Dollar, the rotation towards cyclicals and rebounding
technology, media and communications stocks have played a part in this large
cap under performance. However we do not believe that there has been any type
of secular shift that would cause small or mid-cap companies to outperform
their large cap counterparts indefinitely.
U.S Dollar Weakness - Given the bias towards multinational companies in our
Fund, our larger holdings tend to have significant U.S dollar exposure. The
dramatic fall in the U.S currency over the past year has had a significant
negative effect on the share prices of such companies. However, we feel that in
many instances this negative effect is both short term and over-
- --
20
done. Nestle, our second largest holding in the Fund, is a good example of
this.
While Nestle is just one stock within the Fund, it is fair to say that the
overall portfolio is exposed to the short-term impact of major currency moves.
The weighted average percentage of sales in U.S. dollar for our Fund is
approximately 30%, while for the MSCI EAFE Index it is approximately 18%.
We also recognise that individual stocks have contributed to our under
performance. Examples include Ahold, the Dutch supermarket chain and financial
stocks, such as AXA and Swiss Re. The principal negative influences, however,
have been the large capitalised defensive stocks, many of which have been
suffering from the factors outlined above.
Outlook
We have been encouraged by the improvements in the major world economies in
recent months. Earnings reports from companies have tended to come in ahead of
expectations and we are seeing analysts increase their expectations for profits
growth into 2004. We do believe, however, that the 'recovery play' companies
which have led the market higher this year will not be the ones to provide
leadership going forward. We feel that their valuations are stretched and are
too optimistic in respect of the improvements they are discounting.
PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 28.79%
Premier Class 28.56
Retail Class 28.22
MSCI EAFE (net) 38.59
Lipper International Funds Average 34.73
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/24/00 -- 12/31/03
- ----------------------------------------------------------------
AVERAGE ANNUAL RETURNS
1-Year Life of Fund Inception Date
Institutional Class 28.79% -5.24% 1/24/00
- ----------------------------------------------------------------
Institutional Class MSCI EAFE Index - net
1/24/00 10000 10000
12/31/00 9616 8985
12/31/01 7707 7058
12/31/02 6281 5933
12/31/03 8090 8222
International Blend/Bank of Ireland Fund (the "Fund") performance figures are
historical and reflect reinvestment of all dividends. The investment return and
principal value for each class will fluctuate so that an investor's shares when
sold may be worth more or less than their original cost. Past performance does
not predict future performance and the returns shown in the graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions and the redemption of fund shares. The return for each class has
been compared with the total return performance of the MSCI EAFE Index (net of
taxes). This index is a group of unmanaged securities widely regarded by
investors to be representative of the international stock market in general. An
investment cannot be made in either index. Index results do not reflect
brokerage charges or other investment expenses.
--
21
TimesSquare Core Plus Bond Fund
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
FUND SUMMARY
- --------------------------------------------------------------------------------
OBJECTIVE AND STRATEGY
Seeks a high level of total return by investing principally in fixed income
securities.
FUND INCEPTION DATE 12/31/1999 -
Institutional Class
01/21/2000 -
Premier and Retail Classes
TOTAL NET ASSETS $46.1 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 210
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
- --------------------------------------------------------------------------------
FUND PROFILE
DECEMBER 31, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Ten Largest Positions % of Net Assets
- ----------------------------------------------------
Freddie Mac 19.5%
- ----------------------------------------------------
Fannie Mae 16.3
- ----------------------------------------------------
U.S. Treasury 13.1
- ----------------------------------------------------
Ginnie Mae 2.5
- ----------------------------------------------------
Time Warner, Inc. 1.4
- ----------------------------------------------------
Sovereign Bancorp. 1.4
- ----------------------------------------------------
France Telecom SA 1.2
- ----------------------------------------------------
Ford Motor Co. 1.2
- ----------------------------------------------------
Quebec (Province of Canada) 1.1
- ----------------------------------------------------
Citigroup 1.1
- ----------------------------------------------------
Ten Largest Sectors % of Net Assets
- ----------------------------------------------------
U.S. Government & Agencies 52.0%
- ----------------------------------------------------
Financial 14.7
- ----------------------------------------------------
Communications & Media 10.8
- ----------------------------------------------------
Consumer & Retail 3.7
- ----------------------------------------------------
Utilities 3.0
- ----------------------------------------------------
Foreign Government 2.3
- ----------------------------------------------------
Transportation 2.1
- ----------------------------------------------------
Industrial 2.0
- ----------------------------------------------------
Oil & Gas 1.8
- ----------------------------------------------------
Insurance 1.4
- ----------------------------------------------------
Fund Composition % of Net Assets
- ----------------------------------------------------
Bonds 93%
- ----------------------------------------------------
Preferred stock 3
- ----------------------------------------------------
Short-term investments 3
- ----------------------------------------------------
Cash and Other Assets Less Liabilities 1
- ----------------------------------------------------
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Market Summary
During the first six months of 2003, the total return on the S&P 500(R)
Index was 11.77%, compared with a total return of 3.93% for the Lehman Brothers
Aggregate Bond Index (the "Index") and a 7.32% total return on investment-grade
corporate bonds (Lehman Brothers U.S. Credit Index). The Fund's Institutional
Class returned 6.12% during this period. Within the global fixed income
markets, emerging market debt (J.P. Morgan Emerging Market Bonds Plus Index)
and high-yield corporate bonds (Lehman Brothers High Yield Bond Index) produced
the best total returns by far for the first six months, with total returns from
each market in excess of 18%.
At the beginning of May, the Federal Reserve (Fed) and Chairman Greenspan
announced that any necessary action would be taken to combat deflationary
pressures. Bond holders took this as a sign that the Fed would keep short-term
rates low. The 10-year Treasury yield plunged to an inter-generational low of
3.13% on June 13, the lowest level since June 1958, before recovering to end
the second quarter at 3.53%.
In the third quarter, fixed income markets notched their first quarterly
decline since the fourth quarter of 1999, returning -0.15%, as represented by
the Index. The Fund's Institutional Class returned 0.54% for the same period. A
combination of concerns about the impact of an economic recovery on interest
rates, the lack of demand for relatively low-yielding Treasuries, and the
strength of the equity markets resulted in a sharp rise in yields at the
beginning of the quarter, before they drifted lower in August and September.
In the fourth quarter, fixed income markets edged back into positive territory,
posting a 0.32% total return for the Index, as spread narrowing offset a modest
overall rise in bond yields. This compared with a 0.91% return for the Fund's
Institutional Class during the same period. For the full year, the Index
returned 4.10% to lag the S&P 500(R) Index (+28.68%), the first time in
three years.
The Fund's performance throughout the year benefited from strong security
selection in investment-grade corporate bonds and MBS. In addition, our
overweight allocation to investment-grade corporate bonds, where spreads
tightened approximately 80 basis points for the year, and our allocation
decisions relative to high yield and MBS also contributed to the Fund's
positive results.
Outlook
With economic fundamentals gradually improving and signs for a sustainable
recovery encouraging, Treasury yields are likely to trend upward. We also
expect the supply of Treasuries to increase substantially as we embark on an
era of increased
- --
22
government cost vis-a-vis areas such as defense and security enforcement,
corporate regulations, and immigration. Thus, we believe the credit quality of
U.S. Government securities will be slightly diminished relative to corporate
bonds.
Improving corporate profitability and balance sheet repair, along with a better
economic environment and investors' increasingly positive appetite for risk, is
the backdrop in the investment-grade credit market. Our current outlook calls
for additional positive excess returns, but at a more moderate pace than the
record set in 2003. Prudent industry and security selection will remain
paramount. High yield continued its strong recovery during the year and the
default rate has trended downward. We currently believe the relative value of
this sector has diminished. High yield performance in 2004 will be more
dependent on individual security selection.
In the MBS sector, it appears the prepayment wave has crested, volatility is
stabilizing, and the supply of government sponsored entity securities is
expected to be reduced. With short-term interest rates still very low, the
positive carry of mortgages (borrowing at low-term rates to buy longer-term
instruments that yield more) are still appealing, especially to banks.
PERFORMANCE
Returns for the year ended December 31, 2003 were:
Institutional Class 7.66%
Premier Class 7.31
Retail Class 7.20
Lehman Brothers Aggregate Bond Index 4.10
Lipper Corporate Debt Funds - 'A' Rated Average 5.03
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
12/31/99 -- 12/31/03
- ----------------------------------------------------------------
AVERAGE ANNUAL RETURNS
1-Year Life of Fund Inception Date
Institutional Class 7.66% 8.82% 12/31/99
- ----------------------------------------------------------------
Institutional Class Lehman Brothers Aggregate Bond Index
12/31/99 10000 10000
12/31/00 10993 11163
12/31/01 11960 12105
12/31/02 13024 13346
12/31/03 14022 13894
TimesSquare Core Plus Bond Fund (the "Fund") performance figures are historical
and reflect reinvestment of all dividends. The investment return and principal
value for each class will fluctuate so that an investor's shares when sold may
be worth more or less than their original cost. Past performance does not
predict future performance and the returns shown in the graph and table do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions and the redemption of fund shares. The return for each class has
been compared with the total return performance of the Lehman Brothers Aggregate
Bond Index. This index is a group of unmanaged securities widely regarded by
investors to be representative of the bond market in general. An investment
cannot be made in the index. Index results do not reflect brokerage charges or
other investment expenses.
--
23
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES
December 31, 2003
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------
BONDS-32.0%
AEROSPACE/DEFENSE-0.1%
Raytheon Co., 6.50%, 2005 $10 $ 11
------
AUTO & TRUCK-0.3%
Ford Motor Co., 6.50%, 2018 45 44
------
BASIC MATERIALS-0.1%
Alcan, Inc., 6.13%, 2033 10 10
Alcoa, Inc., 6.50%, 2011 10 11
------
21
------
COMMUNICATIONS & MEDIA-2.0%
Alltel Corp., 7.00%, 2012 10 11
AT&T Corp., 8.00%, 2031 20 23
AT&T Wireless Services, Inc., 8.75%, 2031 15 19
British Telecommunications PLC,
8.38% (coupon change based on rating), 2010 25 30
Cingular Wireless LLC, 7.13%, 2031 20 22
Clear Channel Communications, Inc., 7.65%, 2010 10 12
Cox Communications, Inc., 7.50%, 2004 40 41
Deutsche Telekom International Finance BV,
8.25% (coupon change based on rating), 2030 10 13
France Telecom SA,
9.00% (coupon change based on rating), 2011 15 18
InterActiveCorp., 7.00%, 2013 5 6
Liberty Media Corp., 7.75%, 2009 15 17
Southwestern Bell Telephone Co., 6.63%, 2007 50 56
TCI Communications, Inc.,
8.75%, 2015 10 13
7.13%, 2028 10 11
Time Warner, Inc., 7.25%, 2017 25 29
Vodafone Group PLC, 7.75%, 2010 10 12
------
333
------
CONSUMER PRODUCTS-0.2%
Altria Group, Inc., 7.00%, 2013 5 5
Centex Corp., 7.5%, 2012 10 12
International Game Technology, 8.38%, 2009 5 6
Pulte Homes, Inc., 8.13%, 2011 10 12
------
35
------
FINANCIAL-7.2%
American Express Credit Corp., 7.20%, 2007 50 53
Associates Corp. of North America, 6.63%, 2005 65 70
Bank of America Corp., 5.88%, 2009 50 55
Bank One Corp., 6.50%, 2006 25 27
Boeing Capital Corp., 6.5%, 2012 10 11
Citibank Credit Card Issuance Trust, 2.5%, 2008 50 50
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------
FINANCIAL continued
CIT Group Holdings, 7.63%, 2005 $ 5 $ 5
Deere (John) Capital Corp., 7.00%, 2012 10 12
First Union National Bank, 6.18%, 2036 10 11
Fleet Credit Card Master Trust, 2.40%, 2008 50 50
General Electric Capital Corp., 6.13%, 2011 20 22
General Motors Acceptance Corp., 7.75%, 2010 25 28
Goldman Sachs Group, Inc., 7.63%, 2005 50 55
Household Finance Corp., 5.88%, 2009 25 27
International Lease Financing Co., 5.75%, 2006 50 54
LB-UBS Commercial Mtg. Trust, 6.13%, 2030 00 110
MBNA Credit Card Master Note Trust,
5.75%, 2008 50 54
Mercantile Bancorporation, Inc., 7.30%, 2007 10 11
Morgan (J.P.) Chase & Co., 7.00%, 2009 10 12
Morgan Stanley, 7.75%, 2005 50 54
6.39%, 2033 00 111
National Australia Bank Ltd., 8.60%, 2010 50 62
Nomura Asset Securities Corp., 6.59%, 2030 00 112
Pemex Project Funding Master Trust, 8.63%, 2022 40 44
Popular North America, Inc., 4.25%, 2008 10 10
Wells Fargo & Co., 6.63%, 2004 75 77
------
1,187
------
FOOD & BEVERAGES-0.5%
ConAgra Foods, Inc., 6.75%, 2011 30 34
General Mills, Inc., 6.00%, 2012 5 5
Kraft Foods, Inc., 4.63%, 2006 5 5
PepsiCo, Inc., 5.75%, 2008 25 27
Tyson Foods, Inc., 8.25%, 2011 10 12
------
83
------
FOREST PRODUCTS/PAPER-0.1%
Temple-Inland, Inc., 7.88%, 2012 10 12
Westvaco Corp., 8.20%, 2030 5 6
------
18
------
INSURANCE-0.6%
Berkley (WR) Corp., 5.88%, 2013 10 10
Jackson National Life Global Funding, 6.13%, 2012
(144A security acquired May 2003 for $11) (b) 10 11
Liberty Mutual Insurance Co., 7.70%, 2097
(144A security acquired Nov. 2001 for $23) (b) 30 27
Marsh & McLennan Cos., Inc., 5.88%, 2033 10 10
Nationwide Financial Services, Inc., 6.25%, 2011 20 21
Torchmark Corp., 6.25%, 2006 10 11
XL Capital Europe PLC, 6.5%, 2012 10 11
------
101
------
- --
24 The Notes to Financial Statements are an integral part of these statements.
- --
24
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
December 31, 2003
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------
OIL & GAS-1.1%
Atlantic Richfield Co., 5.90%, 2009 $ 25 $ 28
Burlington Resources Finance Co., 5.70%, 2007 20 22
Conoco, Inc., 6.95%, 2029 20 23
Devon Energy Corp., 7.95%, 2032 15 18
Kinder Morgan Energy Partners LP,
7.13%, 2012 20 23
Kinder Morgan, Inc., 6.50%, 2012 10 11
Schlumberger Technology Corp., 6.50%, 2012
(144A security acquired April 2002 for $30) (b) 30 33
Transocean, Inc., 6.63%, 2011 10 11
Valero Energy Corp., 7.50%, 2032 10 11
-----
180
-----
PHARMACEUTICAL-0.1%
Schering-Plough Corp., 5.3%, 2013 10 10
Wyeth, 6.25%, 2006 5 5
-----
15
-----
REAL ESTATE-0.0%
Liberty Property LP, 8.50%, 2010 5 6
-----
REIT-0.0%
Health Care Property Investors, Inc., 6.00%, 2015 5 5
-----
RETAIL-0.8%
Lowes Companies, Inc., 6.50%, 2029 25 27
Target Corp., 7.50%, 2005 20 21
Wal-Mart Stores, Inc., 6.55%, 2004 75 77
-----
125
-----
TRANSPORTATION-0.5%
American Airlines, Inc., 3.86%, 2010 5 5
Continental Airlines, Inc., 6.90%, 2018 25 25
Delta Air Lines, Inc., 6.72%, 2024 47 50
-----
80
-----
U.S. GOVERNMENT AGENCY OBLIGATIONS (c)-14.5%
Freddie Mac,
7.00%, 2005 40 43
5.25%, 2006 50 53
6.50%, 2009 64 68
5.63%, 2011 65 71
Fannie Mae,
7.13%, 2010 35 41
7.25%, 2010 150 177
5.38%, 2011 25 27
6.09%, 2011 98 106
PRINCIPAL VALUE
(000) (000)
- ----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS continued
6.05%, 2012 $ 49 $ 54
6.11%, 2012 49 54
5.50%, 2017 94 97
5.00%, 2018 191 195
5.00%, 2033 100 99
Ginnie Mae,
8.25%, 2006 13 13
8.25%, 2008 26 28
7.50%, 2023 62 67
7.00%, 2026 145 155
7.00%, 2027 95 102
6.00%, 2028 21 22
6.50%, 2028 118 124
7.00%, 2028 106 113
6.00%, 2029 161 168
7.50%, 2030 3 3
8.00%, 2031 19 21
6.00%, 2032 142 147
5.00%, 2033 289 287
6.00%, 2033 67 70
------
2,405
------
U.S. TREASURY OBLIGATIONS-3.2%
U.S. Treasury Bonds,
7.50%, 2016 40 51
8.88%, 2017 20 28
8.13%, 2019 90 122
8.88%, 2019 79 113
7.88%, 2021 35 47
6.25%, 2023 110 125
7.63%, 2025 15 20
Principal Strip, 6.88%, 2025 100 30
------
536
------
UTILITIES-0.7%
Alabama Power Co., 5.88%, 2022 10 10
Dominion Resources, Inc., 8.13%, 2010 20 24
Duke Energy Corp., 6.25%, 2012 10 11
Oncor Electric Delivery Co., 6.38%, 2012 15 16
Progress Energy, Inc., 7.10%, 2011 25 28
PSEG Power LLC, 6.95%, 2012 10 11
Wisconsin Electric Power Co., 5.63%, 2033 10 10
------
110
------
TOTAL BONDS (Cost $5,105) 5,295
------
--
The Notes to Financial Statements are an integral part of these statements. 25
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS-65.2%
AUTO & TRUCK-1.1%
General Motors Corp. 3,400 $ 182
------
BASIC MATERIALS-3.3%
Alcoa, Inc. 8,500 323
du Pont (E.I.) de Nemours & Co. 5,000 229
------
552
------
COMMUNICATIONS & MEDIA-7.2%
BellSouth Corp. 5,000 141
Comcast Corp. (a) 8,000 250
Gannett Co., Inc. 1,200 107
Nokia Corp. 9,300 158
SBC Communications, Inc. 6,000 156
Time Warner, Inc. (a) 12,900 232
Verizon Communications, Inc. 4,264 150
------
1,194
------
COMPUTERS-2.6%
Hewlett-Packard Co. 8,300 191
International Business Machines 2,600 241
------
432
------
COSMETICS/PERSONAL CARE-0.8%
Kimberly-Clark Corp. 2,300 136
------
DIVERSIFIED MANUFACTURING-2.3%
Illinois Tool Works, Inc. 1,600 134
Tyco International Ltd. 9,200 244
------
378
------
ENVIRONMENTAL SERVICES-1.1%
Republic Services, Inc. 7,000 179
------
FINANCIAL-13.2%
Bank of America Corp. 3,400 273
Bank One Corp. 3,000 137
Citigroup, Inc. 11,040 536
Fannie Mae 2,000 150
Goldman Sachs Group, Inc. 1,800 178
Morgan Stanley 3,600 208
National City Corp. 7,500 254
PNC Financial Services Group, Inc. 2,100 115
Washington Mutual, Inc. 4,100 164
Wells Fargo & Co. 3,000 177
------
2,192
------
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------------
FOOD & BEVERAGES-1.9%
Coca-Cola Enterprises, Inc. 3,800 $ 83
Kellogg Co. 3,400 129
PepsiCo, Inc. 2,200 103
------
315
------
FOREST PRODUCTS/PAPER-1.5%
Weyerhaeuser Co. 3,900 250
------
HEALTH CARE-2.5%
Bard (C.R.), Inc. 1,400 114
Baxter International, Inc. 5,600 171
Beckman Coulter, Inc. 2,500 127
------
412
------
INSURANCE-3.6%
Chubb Corp. 1,400 95
Hartford (The) Financial Services Group, Inc. 2,900 171
Marsh & McLennan Co's., Inc. 2,000 96
St. Paul Companies, Inc. 2,800 111
StanCorp Financial Group, Inc. 2,000 126
------
599
------
MACHINERY-2.5%
Caterpillar, Inc. 3,700 307
Rockwell Automation, Inc. 3,000 107
------
414
------
OIL & GAS-8.0%
ConocoPhilips 1,200 79
ChevronTexaco Corp. 2,900 251
Exxon Mobil Corp. 13,600 558
GlobalSantaFe Corp. 5,100 127
National Fuel Gas Co. 3,400 83
Shell Transport & Trading Co. PLC 4,800 216
------
1,314
------
PHARMACEUTICAL-2.2%
Pfizer, Inc. 10,300 364
------
REIT-0.1%
Archstone Smith Trust 700 20
------
RETAIL-3.4%
Autonation, Inc. (a) 1,900 35
CVS Corp. 5,100 184
Dollar General Corp. 5,600 118
McDonald's Corp. 4,200 104
Nike, Inc. 1,700 116
------
557
------
- --
26 The Notes to Financial Statements are an integral part of these statements.
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS continued
TECHNOLOGY-2.0%
Applied Materials, Inc. (a) 7,300 $ 164
Teradyne, Inc. (a) 6,500 165
------
329
------
TRANSPORTATION-1.3%
CSX Corp. 3,300 119
Southwest Airlines Co. 6,100 98
------
217
------
UTILITIES-4.6%
Dominion Resources, Inc. 1,850 118
Emerson Electric Co. 1,800 116
Exelon Corp. 3,100 206
PPL Corp. 1,900 83
Progress Energy, Inc. 2,800 127
SCANA Corp. 3,300 113
------
763
------
TOTAL COMMON STOCKS
(Cost $9,216) 10,799
------
SHORT-TERM OBLIGATION-3.5%
MONEY MARKET FUND-2.6%
CIGNA Funds Group - Money Market Fund (d) 429,668 430
------
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------
U.S. GOVERNMENT-0.9%
U.S. Treasury Bills, 0.01%, 2/12/04 $150 $ 150
-------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $580) 580
-------
TOTAL INVESTMENTS IN SECURITIES-100.7%
(Total Cost $14,901) (e) 16,674
Liabilities in excess of Cash and Other Assets - (0.7%) (109)
-------
NET ASSETS-100.0% $16,565
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) Indicates restricted security; the aggregate value of restricted securities
is $71,072 (aggregate cost $64,576), which is approximately 0.4% of net assets.
Valuations have been furnished by brokers trading in the securities or a pricing
service for all restricted securities.
(c) Agency obligations are not guaranteed by the U.S. Government.
(d) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(e) At December 31, 2003, the net unrealized appreciation of investments, based
on cost for federal income tax purposes of $14,921,101, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,847,173
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (94,278)
----------
Unrealized appreciation - net $1,752,895
==========
(f) As of December 31, 2003, the components of
distributable earnings (excluding unrealized appreciation/
(depreciation) disclosed above) on a tax basis consisted of
the following:
Undistributed ordinary income $ 13,281
Capital loss carryforward:
expiring 2009 $ 826,204
expiring 2010 745,096
expiring 2011 347,043
----------
$1,918,343
==========
--
The Notes to Financial Statements are an integral part of these statements. 27
Large Cap Growth/Morgan Stanley Fund
INVESTMENTS IN SECURITIES
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-98.3%
AGRICULTURE-0.6%
Altria Group, Inc. 1,600 $ 87
------
BANKS-2.3%
Bank (The) of New York, Inc. 4,075 135
Wells Fargo & Co. 3,350 197
------
332
------
BIOTECHNOLOGY-2.7%
Amgen, Inc. (a) 4,821 298
Biogen Idec, Inc. (a) 700 26
Genzyme Corp. (a) 1,200 59
------
383
------
COMMERCIAL TECHNOLOGY SERVICES-2.1%
Accenture Ltd., Class A (a) 5,350 141
Apollo Group, Inc., Class A (a) 1,500 102
Paychex, Inc. 1,400 52
------
295
------
COMPUTERS & PERIPHERALS-4.0%
Dell, Inc. (a) 6,225 211
EMC Corp. (a) 4,675 60
International Business Machines Corp. 1,675 155
Network Appliance, Inc. (a) 4,700 97
SanDisk Corp. (a) 800 49
------
572
------
COSMETICS/PERSONAL CARE-2.5%
Colgate-Palmolive Co. 1,850 93
Procter & Gamble Co. 2,575 257
------
350
------
ELECTRICAL COMPONENTS & EQUIPMENT-0.8%
Emerson Electric Co. 1,700 110
------
ELECTRONICS-0.4%
Amphenol Corp. (a) 800 51
------
FINANCIAL-8.5%
American Express Co. 3,950 191
Citigroup, Inc. 10,641 517
Goldman Sachs Group, Inc. 2,775 274
Lehman Brothers Holdings, Inc. 1,900 147
Schwab (The) Charles Corp. 6,400 76
------
1,205
------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
FOOD & BEVERAGES-3.6%
Anheuser-Bush Companies, Inc. 2,000 $ 105
Coca-Cola (The) Co. 5,500 279
PepsiCo, Inc. 2,685 125
------
509
------
HEALTH CARE-6.6%
Anthem, Inc. (a) 1,800 135
Boston Scientific Corp. (a) 3,100 114
Guidant Corp. 1,200 72
INAMED Corp. (a) 703 34
Johnson & Johnson 5,700 295
Medtronic, Inc. 1,525 74
St. Jude Medical, Inc. (a) 1,175 72
UnitedHealth Group, Inc. 2,550 148
------
944
------
INSURANCE-2.9%
American International Group, Inc. 6,300 418
------
INTERNET-4.3%
eBay, Inc. (a) 4,700 304
InterActive Corp. (a) 4,700 160
Yahoo!, Inc. (a) 3,300 149
------
613
------
LEISURE TIME-0.7%
Carnival Corp. 2,400 95
------
MANUFACTURING-7.4%
General Electric Co. 24,600 762
3M Co. 3,450 293
------
1,055
------
MEDIA-4.2%
Clear Channel Communications, Inc. 3,300 155
EchoStar Communications Corp., Class A (a) 3,200 109
News Corp. Ltd. 1,900 58
Univision Communications, Inc., Class A (a) 2,387 95
Viacom, Inc., Class B 4,150 184
------
601
------
OIL & GAS-1.8%
Exxon Mobil Corp. 3,300 135
Smith International, Inc. (a) 2,950 122
------
257
------
- --
28 The Notes to Financial Statements are an integral part of these statements.
Large Cap Growth/Morgan Stanley Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
PHARMACEUTICALS-8.4%
Abbott Laboratories 2,775 $ 129
Allergan, Inc. 475 37
Bristol-Myers Squibb Co. 1,800 51
Caremark Rx, Inc. (a) 2,300 58
Gilead Sciences, Inc. (a) 825 48
Lilly (Eli) and Co. 1,300 91
Merck & Co., Inc. 1,400 65
Pfizer, Inc. 19,169 677
Wyeth 955 41
------
1,197
------
RETAIL-10.5%
Abercrombie & Fitch Co., Class A (a) 1,900 47
Bed Bath & Beyond, Inc. (a) 2,000 87
Chico's FAS, Inc. (a) 1,541 57
Dollar Tree Stores, Inc. (a) 4,510 136
Home Depot, Inc. 6,790 241
Lowe's Companies, Inc. 1,375 76
McDonald's Corp. 3,500 87
TJX (The) Companies, Inc. 2,325 51
Target Corp. 5,641 217
Tiffany & Co. 1,745 79
Wal-Mart Stores, Inc. 5,975 317
Walgreen Co. 1,018 37
Yum! Brands, Inc. (a) 1,720 59
------
1,491
------
SEMICONDUCTORS-9.4%
Analog Devices, Inc. 4,500 205
Applied Materials, Inc. (a) 5,800 130
Broadcom Corp., Class A (a) 1,200 41
Intel Corp. 13,900 448
Linear Technology Corp. 3,225 136
Marvel Technology Group Ltd. (a) 2,400 91
Maxim Integrated Products, Inc. 1,000 50
Novellus Systems, Inc. (a) 1,250 53
Texas Instruments, Inc. 4,775 140
Xilinx, Inc. (a) 900 35
------
1,329
------
SOFTWARE-10.3%
First Data Corp. 2,225 91
Mercury Interactive Corp. (a) 2,900 141
Microsoft Corp. 29,900 823
Novell, Inc. (a) 9,200 97
Oracle Corp. (a) 10,475 138
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SOFTWARE continued
Peoplesoft, Inc. (a) 3,000 $ 68
Veritas Software Corp. (a) 2,650 98
--------
1,456
--------
TELECOMMUNICATIONS-3.6%
Cisco Systems, Inc. (a) 15,750 383
Juniper Networks, Inc. (a) 1,900 35
Qualcomm, Inc. 1,850 100
--------
518
--------
TRANSPORTATION-0.7%
United Parcel Service, Inc. Class B 1,400 104
--------
TOTAL COMMON STOCKS
(Cost $12,286) 13,972
--------
SHORT-TERM OBLIGATION-1.2%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $167) (b) 167,423 167
--------
TOTAL INVESTMENTS IN SECURITIES-99.5%
(Total Cost $12,453) (c) 14,139
Cash and Other Assets, Less Liabilities - 0.5% 76
--------
NET ASSETS-100.0% $ 14,215
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At December 31, 2003, the net unrealized appreciation
of investments, based on cost for federal income tax
purposes of $13,163,313, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,141,425
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (165,690)
----------
Unrealized appreciation - net $ 975,735
==========
(d) As of December 31, 2003, the components of
distributable earnings (excluding unrealized appreciation/
(depreciation) disclosed above) on a tax basis consisted of
the following:
Undistributed ordinary income $ 50
Capital loss carryforward:
expiring 2008 $ 387,542
expiring 2009 1,807,002
expiring 2010 2,322,387
expiring 2011 266,395
----------
$4,783,326
==========
--
The Notes to Financial Statements are an integral part of these statements. 29
Large Cap Value/John A. Levin & Co. Fund
INVESTMENTS IN SECURITIES
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-97.9%
AEROSPACE & DEFENSE-4.3%
Lockheed Martin Corp. 11,400 $ 586
Northrop Grumman Corp. 5,100 488
------
1,074
------
AUTO PARTS & EQUIPMENT-0.8%
Delphi Corp. 19,700 201
------
BANKS-11.9%
Bank of America Corp. 8,300 668
Bank (The) of New York, Inc. 22,600 749
FleetBoston Financial Corp. 8,100 354
PNC Financial Services Group, Inc. 6,300 345
US Bancorp 16,891 503
Wells Fargo & Co. 5,700 336
------
2,955
------
CHEMICALS-1.9%
Dow (The) Chemical Co. 5,400 225
du Pont (E.I.) de Nemours & Co. 5,500 252
------
477
------
COMMERCIAL TECHNOLOGY SERVICES-2.2%
Accenture Ltd., Class A (a) 20,800 547
------
COMPUTERS-2.4%
Hewlett-Packard Co. 7,700 177
International Business Machines Corp. 4,400 408
------
585
------
COSMETICS/PERSONAL CARE-1.9%
Procter & Gamble Co. 4,700 469
------
ELECTRIC-3.7%
DTE Energy Co. 2,900 114
Entergy Corp. 5,900 337
FirstEngery Corp. 5,500 194
FPL Group, Inc. 4,300 281
------
926
------
ELECTRONICS-2.9%
Koninklijke (Royal) Philips Electronics Corp. ADR 16,496 480
Thermo Electron Corp. (a) 9,600 242
------
722
------
FINANCIAL-4.5%
Citigroup, Inc. 14,400 699
Freddie Mac 2,600 152
Morgan Stanley 4,700 272
------
1,123
------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
FOOD & BEVERAGES-4.4%
Anheuser-Busch Companies, Inc. 2,200 $ 116
Diageo PLC 3,800 201
PepsiCo., Inc. 6,800 317
Sara Lee Corp. 21,700 471
------
1,105
------
HEALTH CARE-3.7%
HCA, Inc. 7,400 318
Johnson & Johnson 8,700 449
Oxford Health Plans, Inc. 3,600 157
------
924
------
HOUSEWARES-0.7%
Newell Rubbermaid, Inc. 7,600 173
------
INSURANCE-5.6%
American International Group, Inc. 7,400 490
Aon Corp. 9,100 218
Hancock (John) Financial Services, Inc. 6,900 259
XL Capital Ltd., Class A 5,300 411
------
1,378
------
LEISURE TIME-0.0%
Orbitz, Inc., Class A (a) 208 5
------
MANUFACTURING-9.6%
Coopers Industries Ltd., (Class A) 4,500 261
Eastman Kodak Co. 8,100 208
General Electric Co. 20,500 635
Honeywell International, Inc. 6,900 231
Ingersoll-Rand Co., Class A 2,000 136
Textron, Inc. 6,700 382
Tyco International Ltd. 19,600 519
------
2,372
------
MEDIA-7.5%
Hughes Electronics Corp. (a) 11,807 195
Liberty Media Corp., Class A (a) 20,800 247
News Corp. Ltd. 18,698 566
Time Warner, Inc. (a) 20,700 372
Tribune Co. 9,500 490
------
1,870
------
MINING-1.3%
Alcan, Inc. 6,800 319
------
- --
30 The Notes to Financial Statements are an integral part of these statements.
Large Cap Value/John A. Levin & Co. Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
OIL & GAS-7.5%
BP PLC 10,300 $ 508
ChevronTexaco Corp. 2,600 225
Exxon Mobil Corp. 13,900 570
Unocal Corp. 10,400 383
Williams Companies, Inc. 16,800 165
-------
1,851
-------
PHARMACEUTICALS-4.9%
Cardinal Health, Inc. 6,300 385
Pfizer, Inc. 23,500 830
-------
1,215
-------
RETAIL-4.9%
Home Depot, Inc. 13,200 468
Limited Brands 17,700 319
McDonald's Corp. 9,500 236
Target Corp. 5,100 196
-------
1,219
-------
SOFTWARE-5.0%
Automatic Data Processing, Inc. 6,000 238
First Data Corp. 3,100 127
Microsoft Corp. 18,900 521
Oracle Corp. (a) 26,400 349
-------
1,235
-------
TELECOMMUNICATIONS-4.3%
SBC Communications, Inc. 20,500 534
Verizon Communications, Inc. 15,400 540
-------
1,074
-------
TOYS, GAMES AND HOBBIES-0.4%
Mattel, Inc. 5,100 98
-------
TRANSPORTATION-1.6%
CSX Corp. 10,900 392
-------
TOTAL COMMON STOCKS
(Cost $20,674) 24,309
-------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATION-3.8%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $950) (b) 950,446 $ 950
-------
TOTAL INVESTMENTS IN SECURITIES-101.7%
(Total Cost $21,624) (c) 25,259
Liabilities in excess of Cash and Other Assets - (1.7%) (436)
-------
NET ASSETS-100.0% $24,823
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At December 31, 2003, the net unrealized appreciation of investments, based
on cost for federal income tax purposes of $22,009,237, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $3,322,944
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (73,641)
----------
Unrealized appreciation - net $3,249,303
==========
(d) As of December 31, 2003, the components of
distributable earnings (excluding unrealized appreciation/
(depreciation) disclosed above) on a tax basis consisted of
the following:
Undistributed ordinary income $ 117,182
Capital loss carryforward:
expiring 2009 $ 56,200
expiring 2010 780,787
expiring 2011 2,610,516
----------
$3,447,503
==========
--
The Notes to Financial Statements are an integral part of these statements. 31
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-85.4%
General Electric Co. 160,300 $ 4,966
Microsoft Corp. 172,700 4,756
ExxonMobil Corp. 105,594 4,329
Pfizer, Inc. 121,906 4,307
Citigroup, Inc. 82,389 3,999
Wal-Mart Stores, Inc. 69,100 3,666
Intel Corp. 104,300 3,358
American International Group 41,671 2,762
Cisco Systems, Inc. (a) 110,200 2,677
International Business Machine Corp. 27,500 2,549
Johnson & Johnson 47,434 2,450
Procter & Gamble Co. 20,700 2,068
Coca-Cola (The) Co. 39,100 1,984
Bank of America Corp. 23,716 1,907
Altria Group, Inc. 32,400 1,763
Merck & Co., Inc. 35,500 1,640
Wells Fargo & Co. 27,000 1,590
Verizon Communications, Inc. 44,128 1,548
ChevronTexaco Corp. 17,029 1,471
Dell, Inc. (a) 40,900 1,389
SBC Communications, Inc. 52,906 1,379
United Parcel Service, Inc., Class B 18,000 1,342
Time Warner, Inc. 72,200 1,299
Home Depot, Inc. 36,300 1,288
PepsiCo., Inc. 27,370 1,276
Amgen, Inc. (a) 20,572 1,271
Eli Lilly & Co. 17,900 1,259
Viacom, Inc. , Class B 27,888 1,238
Morgan (J.P.) Chase & Co. 32,560 1,196
Comcast Corp., Class A (a) 35,953 1,182
Abbott Laboratories 25,000 1,165
Fannie Mae 15,500 1,163
Hewlett-Packard Co. 48,726 1,119
Oracle Corp. (a) 83,500 1,102
3M Co. 12,500 1,063
Morgan Stanley Dean Witter & Co. 17,300 1,001
American Express Co. 20,500 989
Wachovia Corp. 21,170 986
Medtronic, Inc. 19,400 943
US Bancorp 30,796 917
Wyeth 21,300 904
Bristol-Myers Squibb Co. 31,000 887
Merrill Lynch & Co., Inc. 15,100 886
Tyco International Ltd. 31,971 847
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
BellSouth Corp. 29,500 $ 835
Bank One Corp. 17,802 812
Texas Instruments, Inc. 27,600 811
Disney (Walt) Co. 32,700 763
Goldman Sachs Group, Inc. 7,600 750
Fleet Boston Financial Corp. 16,860 736
du Pont (E.I.) de Nemours & Co. 15,929 731
ConocoPhillips 10,845 711
United Technologies Corp. 7,500 711
Lowe's Companies, Inc. 12,600 698
Qualcomm, Inc. 12,800 690
Anheuser-Busch Cos., Inc. 13,000 685
eBay, Inc. (a) 10,300 665
Freddie Mac 11,100 647
Dow (The) Chemical Co. 14,660 609
Walgreen Co. 16,400 597
Gillette (The), Co. 16,200 595
Applied Materials, Inc. (a) 26,500 595
Washington Mutual, Inc. 14,360 576
Boeing (The) Co. 13,450 567
Target Corp. 14,600 561
UnitedHealth Group, Inc. 9,400 547
Fifth Third Bancorp 9,046 535
Alcoa, Inc. 13,844 526
Motorola, Inc. 37,135 522
Schlumberger Ltd. 9,300 509
MBNA Corp. 20,362 506
McDonald's Corp. 20,300 504
EMC Corp. (a) 38,374 496
Nextel Communications, Inc., Class A (a) 17,600 494
Allstate (The) Corp. 11,200 482
Boston Scientific Corp. (a) 13,100 482
General Motors Corp. 9,000 481
Kimberly-Clark Corp. 8,100 479
First Data Corp. 11,600 477
Yahoo, Inc. (a) 10,500 474
Ford Motor Co. 29,288 469
Honeywell International, Inc. 13,762 460
Clear Channel Communications, Inc. 9,800 459
Caterpillar, Inc. 5,500 457
Emerson Electric Co. 6,700 434
Colgate-Palmolive Co. 8,600 430
Cardinal Health, Inc. 6,925 424
Illinois Tool Works, Inc. 4,900 411
Bank (The) of New York Co., Inc. 12,400 411
- --
32 The Notes to Financial Statements are an integral part of these statements.
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Schering-Plough Corp. 23,500 $ 409
MetLife, Inc. 12,100 407
Marsh & McLennan Cos., Inc. 8,500 407
Carnival Corp. 10,100 401
Sysco Corp. 10,300 383
Gannett Co., Inc. 4,300 383
Automatic Data Processing 9,500 376
Lockheed Martin Corp. 7,200 370
Cendant Corp. (a) 16,185 360
Prudential Financial, Inc. 8,600 359
Forest Laboratories, Inc. (a) 5,800 358
Southern (The) Co. 11,700 354
AT&T Wireless Services, Inc. (a) 43,136 345
HCA, Inc. 7,900 339
BB&T Corp. 8,700 336
Newmont Mining Corp. 6,900 335
Lehman Brothers Holdings, Inc. 4,300 332
Gap (The), Inc. 14,250 331
International Paper Co. 7,664 330
Dominion Resources, Inc. 5,168 330
National City Corp. 9,700 329
FedEx Corp. 4,800 324
Exelon Corp. 4,862 323
SunTrust Banks, Inc. 4,500 322
Guidant Corp. 5,000 301
Aflac, Inc. 8,200 297
Duke Energy Corp. 14,500 297
Baxter International, Inc. 9,700 296
General Dynamics Corp. 3,200 289
Nike, Inc., Class B 4,200 288
Union Pacific Corp. 4,100 284
Progressive (The) Corp. 3,400 284
Northrop Grumman Corp. 2,971 284
State Street Corp. 5,300 276
Waste Management, Inc. 9,295 275
Sara Lee Corp. 12,600 274
Travelers Property Casualty Co., Class B 16,077 273
Stryker Corp. 3,200 272
General Mills, Inc. 6,000 272
Best Buy Co., Inc. 5,200 272
Costco Wholesale Corp. (a) 7,300 271
SLM Corp. 7,200 271
Zimmer Holdings, Inc. (a) 3,830 270
Analog Devices, Inc. 5,900 269
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Hartford Financial Services Group 4,500 $ 266
Omnicom Group 3,000 261
Maxim Integrated Products 5,200 259
Tribune Co. 5,000 258
Occidental Petroleum Corp. 6,100 258
Schwab, (The) Charles Corp. 21,675 257
AT&T Corp. 12,636 257
Avon Products, Inc. 3,800 256
Veritas Software Corp. (a) 6,800 253
Computer Associates International, Inc. 9,200 252
Golden West Financial Corp. 2,400 248
Kellogg Co. 6,500 248
Deere & Co. 3,800 247
Kohl's Corp. (a) 5,400 243
PNC Financial Services Group, Inc. 4,400 241
Sprint Corp. (FON Group) 14,400 236
Sun Microsystems, Inc. (a) 52,200 234
Alltel Corp. 5,000 233
WellPoint Health Networks (a) 2,400 233
Danaher Corp. 2,500 229
Electronic Arts, Inc. (a) 4,800 229
Harley-Davidson, Inc. 4,800 228
CVS Corp. 6,300 228
ConAgra Foods, Inc. 8,600 227
Capital One Financial Corp. 3,700 227
Weyerhaeuser Co. 3,500 224
Agilent Technologies, Inc. (a) 7,613 223
Countrywide Financial Corp. 2,933 222
Paychex, Inc. 5,975 222
Mellon Financial Corp. 6,900 222
Corning, Inc. (a) 21,200 221
Kroger Co. (a) 11,900 220
McGraw-Hill (The) Cos., Inc. 3,100 217
Staples, Inc. (a) 7,850 214
Xilinx, Inc. (a) 5,500 213
Devon Energy Corp. 3,700 212
Linear Technology Corp. 5,000 210
Apache Corp. 2,583 209
Franklin Resources, Inc. 4,000 208
Entergy Corp. 3,600 206
Anadarko Petroleum Corp. 4,029 206
Starbucks Corp. (a) 6,200 205
Chubb Corp. 3,000 204
Heinz (H.J) Co. 5,600 204
Bed Bath & Beyond, Inc. (a) 4,700 204
--
The Notes to Financial Statements are an integral part of these statements. 33
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Masco Corp. 7,400 $ 203
Univision Communications, Inc., Class A (a) 5,100 202
Wrigley (Wm.) Jr. Co. 3,600 202
Southwest Airlines Co. 12,530 202
Praxair, Inc. 5,200 199
Raytheon Co. 6,600 198
Keycorp 6,700 196
International Game Technology 5,500 196
Biogen Idec, Inc. (a) 5,260 193
American Electric Power Co., Inc. 6,320 193
Burlington Northern Santa Fe Corp. 5,900 191
Apollo Group, Inc., Class A (a) 2,800 190
Air Products & Chemicals, Inc. 3,600 190
Ingersoll-Rand Co., Class A 2,800 190
FPL Group, Inc. 2,900 190
Electronic Data Systems Corp. 7,700 189
Lucent Technologies, Inc. (a) 66,530 189
FirstEnergy Corp. 5,300 187
Sears Roebuck and Co. 4,100 187
ACE Ltd. 4,500 186
Equity Office Properties Trust 6,400 183
PG&E Corp. (a) 6,600 183
Halliburton Co. 7,000 182
Kla-Tencor Corp. (a) 3,100 182
Burlington Resources, Inc. 3,210 178
Genzyme Corp. (General Division) (a) 3,600 178
Progress Energy, Inc. 3,900 177
TJX Cos., Inc. 8,000 176
Campbell Soup Co. 6,500 174
Xerox Corp. (a) 12,600 174
SouthTrust Corp. 5,300 173
PPG Industries, Inc. 2,700 173
John Hancock Financial Services 4,600 173
Principal Financial Group 5,200 172
St. Jude Medical, Inc. (a) 2,800 172
Baker Hughes, Inc. 5,340 172
Chiron Corp. (a) 3,000 171
Marriott International, Inc., Class A 3,700 171
XL Capital Ltd., Class A 2,200 171
Symantec Corp. (a) 4,900 170
Intuit, Inc. (a) 3,200 169
Becton Dickinson & Co. 4,100 169
Public Service Enterprise Group 3,800 166
Marathon Oil Corp. 5,000 165
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Lexmark International, Inc., Class A (a) 2,100 $ 165
Clorox Co. 3,400 165
Anthem, Inc. (a) 2,200 165
Fortune Brands, Inc. 2,300 164
Broadcom Corp., Class A (a) 4,800 164
Johnson Controls, Inc. 1,400 163
Northern Trust Corp. 3,500 162
Aetna, Inc. 2,400 162
Hershey Foods Corp. 2,100 162
Allergan, Inc. 2,100 161
Yum! Brands, Inc. (a) 4,680 161
Comerica, Inc. 2,850 160
Coca-Cola Enterprises, Inc. 7,300 160
Archer-Daniels-Midland Co. 10,369 158
Paccar, Inc. 1,850 157
Safeway, Inc. (a) 7,100 156
Block (H&R), Inc. 2,800 155
Consolidated Edison, Inc. 3,600 155
Rohm & Haas Co. 3,553 152
Unocal Corp. 4,100 151
Pitney Bowes, Inc. 3,700 150
McKesson Corp. 4,673 150
Limited Brands, Inc. 8,300 150
Loews Corp. 3,000 148
Medco Health Solutions, Inc. (a) 4,341 148
Biomet, Inc. 4,050 147
Norfolk Southern Corp. 6,200 147
Adobe Systems, Inc. 3,700 145
Moody's Corp. 2,400 145
St. Paul Companies 3,628 144
Simon Property Group, Inc. 3,100 144
Synovus Financial Corp. 4,850 140
Altera Corp. (a) 6,100 138
AmSouth Bancorp 5,650 138
Marshall & Ilsley Corp. 3,600 138
PeopleSoft, Inc. (a) 6,012 137
Federated Department Stores 2,900 137
MBIA, Inc. 2,300 136
Cintas Corp. 2,700 135
May (The) Department Stores Co. 4,650 135
Albertson's, Inc. 5,888 133
Mattel, Inc. 6,900 133
Computer Sciences Corp. (a) 3,000 133
Micron Technology, Inc. 9,800 132
Regions Financial Corp. 3,500 130
- --
34 The Notes to Financial Statements are an integral part of these statements.
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Equity Residential 4,400 $ 130
Eaton Corp. 1,200 130
Sungard Data Systems, Inc. (a) 4,600 127
Dover Corp. 3,200 127
CIGNA Corp. (b) 2,200 127
Textron, Inc. 2,200 126
Quest Diagnostics (a) 1,700 124
Apple Computer, Inc. (a) 5,800 124
Transocean, Inc. (a) 5,142 123
TXU Corp. 5,200 123
Georgia-Pacific Corp. 4,010 123
PPL Corp. 2,800 123
CSX Corp. 3,400 122
Freeport-McMoRan Copper & Gold, Class B 2,900 122
Qwest Communications International (a) 28,209 122
Charter One Financial, Inc. 3,527 122
AMBAC Financial Group, Inc. 1,750 121
Monsanto Co. 4,217 121
Bear Stearns (The) Cos., Inc. 1,517 121
American Standard Cos., Inc. (a) 1,200 121
Fiserv, Inc. (a) 3,050 121
Ameren Corp. 2,600 120
Autozone, Inc. (a) 1,400 119
Tenet Healthcare Corp. (a) 7,400 119
AON Corp. 4,950 119
National Semiconductor Corp. (a) 3,000 118
Kinder Morgan, Inc. 2,000 118
Eastman Kodak Co. 4,600 118
Jefferson-Pilot Corp. 2,275 115
Starwood Hotels & Resorts Worldwide, Inc. 3,200 115
New York Times Co., Class A 2,400 115
Edison International 5,200 114
Lincoln National Corp. 2,800 113
Penney (J.C.) Co., Inc. 4,300 113
Network Appliance, Inc. (a) 5,500 113
Dollar General Corp. 5,360 113
Ecolab, Inc. 4,100 112
ITT Industries, Inc. 1,500 111
Parker Hannifin Corp. 1,850 110
Sempra Energy 3,655 110
Concord EFS, Inc. (a) 7,400 110
Siebel Systems, Inc. (a) 7,900 110
Cincinnati Financial Corp. 2,600 109
Cinergy Corp. 2,800 109
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Xcel Energy, Inc. 6,365 $ 108
Centex Corp. 1,000 108
Rockwell Automation, Inc. 3,000 107
Phelps Dodge Corp. (a) 1,400 107
DTE Energy Co. 2,700 106
Constellation Energy Group, Inc. 2,700 106
Molex, Inc. 3,025 106
Sanmina-SCI Corp. (a) 8,300 105
Hilton Hotels Corp. 6,100 104
Tiffany & Co. 2,300 104
Interpublic Group Cos., Inc. (a) 6,600 103
Medimmune, Inc. (a) 4,000 102
Pepsi Bottling Group, Inc. 4,200 102
AmerisourceBergen Corp. 1,800 101
Novellus Systems, Inc. (a) 2,400 101
Avery Dennison Corp. 1,800 101
Knight-Ridder, Inc. 1,300 101
Family Dollar Stores 2,800 100
Newell Rubbermaid, Inc. 4,410 100
North Fork Bancorporation, Inc. 2,400 97
Nabors Industries Ltd. (a) 2,300 95
T. Price Rowe Group, Inc. 2,000 95
Union Planters Corp. 3,000 94
IMS Health, Inc. 3,800 94
MeadWestvaco Corp. 3,155 94
Pulte Homes, Inc. 1,000 94
AES (The) Corp. (a) 9,900 93
Brown-Forman Corp., Class B 1,000 93
Prologis 2,900 93
Genuine Parts Co. 2,800 93
UST, Inc. 2,600 93
Sprint Corp. (PCS Group) (a) 16,500 93
NiSource, Inc. 4,200 92
KeySpan Corp. 2,500 92
Health Management Associates , Class A 3,800 91
MGIC Investment Corp. 1,600 91
Delphi Corp. 8,920 91
Jabil Circuit, Inc. (a) 3,200 91
BJ Services Co. (a) 2,500 90
Harrah's Entertainment, Inc. 1,800 90
Plum Creek Timber Co., Inc. 2,900 88
First Tennessee National Corp. 2,000 88
Cooper Industries Ltd., Class A 1,500 87
Express Scripts, Inc. (a) 1,300 86
Zions Bancorporation 1,400 86
--
The Notes to Financial Statements are an integral part of these statements. 35
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Avaya, Inc. (a) 6,635 $ 86
Safeco Corp. 2,200 86
Rockwell Collins, Inc. 2,800 84
Office Depot, Inc. (a) 5,000 84
Advanced Micro Devices, Inc. (a) 5,600 83
EOG Resources, Inc. 1,800 83
JDS Uniphase Corp. (a) 22,700 83
Huntington Bancshares, Inc. 3,651 82
Torchmark Corp. 1,800 82
Reynolds (RJ) Tobacco Holdings, Inc. 1,400 81
Autonation, Inc. (a) 4,400 81
Williams Cos., Inc. 8,200 81
Whirlpool Corp. 1,100 80
Sherwin-Williams (The) Co. 2,300 80
RadioShack Corp. 2,600 80
EL Paso Corp. 9,690 79
Teradyne, Inc. (a) 3,100 79
Unisys Corp. (a) 5,300 79
American Power Conversion 3,200 78
Watson Pharmaceuticals, Inc. (a) 1,700 78
Solectron Corp. (a) 13,100 77
QLogic Corp. (a) 1,500 77
CenturyTel, Inc. 2,350 77
Vulcan Materials Co. 1,600 76
Sealed Air Corp. (a) 1,396 76
Nordstrom, Inc. 2,200 75
UnumProvident Corp. 4,774 75
Noble Corp. (a) 2,100 75
Kerr-McGee Corp. 1,607 75
Amerada Hess Corp. 1,400 74
VF Corp. 1,700 74
Nucor Corp. 1,300 73
Grainger (W.W.), Inc. 1,500 71
Allied Waste Industries, Inc. (a) 5,100 71
Wendy's International, Inc. 1,800 71
Jones Apparel Group Inc. 2,000 70
Applera Corp. (Applied Biosystem) 3,400 70
Mercury Interactive Corp. (a) 1,400 68
BMC Software, Inc. (a) 3,600 67
Leggett & Platt, Inc. 3,100 67
McCormick & Co., Inc. 2,200 66
Scientific-Atlanta, Inc. 2,400 66
Thermo Electron Corp. (a) 2,600 66
Robert Half International, Inc. (a) 2,800 65
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Bard (C.R.), Inc. 800 $ 65
Dow Jones & Co., Inc. 1,300 65
Janus Capital Group, Inc. 3,900 64
Novell, Inc. (a) 6,000 63
Waters Corp. (a) 1,900 63
Sigma-Aldrich Corp. 1,100 63
Symbol Technologies, Inc. 3,650 62
Sunoco, Inc. 1,200 61
Nvidia Corp. (a) 2,600 60
Liz Claiborne, Inc. 1,700 60
Supervalu, Inc. 2,100 60
Pinnacle West Capital Corp. 1,500 60
Engelhard Corp. 2,000 60
Pactiv Corp. (a) 2,500 60
Hasbro, Inc. 2,800 60
King Pharmaceuticals, Inc. (a) 3,900 60
Humana, Inc. (a) 2,600 59
Black & Decker Corp. 1,200 59
NCR Corp. (a) 1,500 58
Alberto-Culver Co., Class B 900 57
Goodrich Corp. 1,900 56
Temple-Inland, Inc. 900 56
United States Steel Corp. 1,600 56
Citizens Communications Co. 4,500 56
Darden Restaurants, Inc. 2,650 56
Citrix Systems, Inc. (a) 2,600 55
Tellabs, Inc. (a) 6,500 55
PMC - Sierra, Inc. (a) 2,700 54
Donnelley (RR) & Sons Co. 1,800 54
Equifax, Inc. 2,200 54
Pall Corp. 2,000 54
Ball Corp. 900 54
Providian Financial Corp. (a) 4,600 54
Comverse Technology, Inc. (a) 3,000 53
Navistar International Corp. (a) 1,100 53
International Flavors & Fragrances, Inc. 1,500 52
LSI Logic Corp. (a) 5,900 52
Apartment Investment & Mgt. Co., Class A 1,500 52
Fluor Corp. 1,300 52
KB Home 700 51
CIENA Corp. (a) 7,600 50
Federated Investors, Inc., Class B 1,700 50
Sabre Holdings Corp., Class A 2,307 50
Stanley (The) Works 1,300 49
Ashland, Inc. 1,100 48
- --
36 The Notes to Financial Statements are an integral part of these statements.
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Manor Care, Inc. 1,400 $ 48
Brunswick Corp. 1,500 48
Centerpoint Energy, Inc. 4,922 48
Eastman Chemical Co. 1,200 47
Boise Cascade Corp. 1,400 46
Autodesk, Inc. 1,800 44
Tektronix, Inc. 1,400 44
Dana Corp. 2,401 44
TECO Energy, Inc. 3,000 43
Toys R US, Inc. (a) 3,400 43
Bausch & Lomb, Inc. 800 42
Convergys Corp. (a) 2,300 40
Bemis Co. 800 40
Monster Worldwide, Inc. (a) 1,800 40
Meredith Corp. 800 39
ADC Telecommunications, Inc. (a) 12,700 38
Compuware Corp. (a) 6,000 36
Reebok International Ltd. 900 35
Rowan Cos., Inc. 1,500 35
Millipore Corp. (a) 800 34
Cummins, Inc. 700 34
Ryder System, Inc. 1,000 34
PerkinElmer, Inc. 2,000 34
Coors (Adolph) Co., Class B 600 34
Circuit City Stores, Inc. 3,300 33
Maytag Corp. 1,200 33
Deluxe Corp. 800 33
Calpine Corp. (a) 6,600 32
Crane Co. 1,000 31
Louisiana-Pacific Corp. (a) 1,700 30
Snap-On, Inc. 900 29
Andrew Corp. (a) 2,500 29
Applied Micro Circuits Corp. (a) 4,800 29
Cooper Tire & Rubber Co. 1,200 26
Big Lots, Inc. (a) 1,800 26
Allegheny Energy, Inc. (a) 2,000 26
Worthington Industries 1,400 25
Peoples Energy Corp. 600 25
Dynegy, Inc., Class A (a) 5,800 25
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Gateway, Inc. (a) 5,200 $ 24
Nicor, Inc. 700 24
Delta Air Lines, Inc. (a) 2,000 24
CMS Energy Corp. (a) 2,600 22
Winn-Dixie Stores, Inc. 2,200 22
American Greetings, Class A (a) 1,000 22
Visteon Corp. 2,090 22
Great Lakes Chemical Corp. 800 22
Dillard's, Inc., Class A 1,300 21
Hercules, Inc. (a) 1,700 21
Thomas & Betts Corp. 900 21
Goodyear (The) Tire & Rubber Co. (a) 2,600 20
Allegheny Technologies, Inc. 1,300 17
Parametric Technology Corp. (a) 4,200 17
Tupperware Corp. 900 16
Power-One, Inc. (a) 1,300 14
--------
TOTAL COMMON STOCKS
(Cost $163,021) 164,191
--------
SHORT-TERM OBLIGATIONS-14.5%
MONEY MARKET FUND-13.5%
CIGNA Funds Group - Money Market Fund (c) 26,009,836 26,010
--------
PRINCIPAL
(000)
---------
U.S. GOVERNMENT-1.0%
U.S. Treasury Bills, (d)
0.96%, 04/01/04 $ 25 25
0.97%, 04/01/04 1,400 1,396
0.98%, 04/01/04 150 150
0.97%, 06/03/04 300 299
--------
1,870
--------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $27,880) 27,880
--------
TOTAL INVESTMENTS IN SECURITIES-99.9.%
(Total Cost $190,901) (e) 192,071
Cash and Other Assets Less Liabilities - (0.1%) 290
--------
NET ASSETS-100.0% $192,361
========
--
The Notes to Financial Statements are an integral part of these statements. 37
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
- --------------------------------------------------------------------------------
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is an
indirect wholly owned subsidiary of CIGNA Corp.
(c) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
(d) This security or a portion thereof is pledged as collateral for Stock Index
Futures Contracts. At December 31, 2003, the Fund was long 98, S&P 500 Futures
Contracts expiring in March 2004. Unrealized gain amounted to $648,862.
Underlying face value was $26,560,838 and underlying market value was
$27,209,700.
Tax Information
(e) At December 31, 2003, the net unrealized appreciation of investments, based
on cost for federal income tax purposes of $190,929,413 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $27,342,963
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (26,201,149)
-----------
Unrealized appreciation - net $ 1,141,814
===========
(f) As of December 31, 2003, the components of
distributable earnings (excluding unrealized appreciation/
(depreciation) disclosed above) on a tax basis consisted of
the following:
Undistributed ordinary income $ 0
Capital loss carryforward:
expiring 2009 $ 1,753,910
expiring 2010 9,431,252
-----------
$11,185,162
===========
- --
38 The Notes to Financial Statements are an integral part of these statements.
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
COMMON STOCKS-94.6%
ADVERTISING-2.5%
Getty Images, Inc. (a) 200,000 $ 10,026
---------
AEROSPACE/DEFENSE-1.9%
MTC Technologies, Inc. (a) 107,600 3,467
Orbital Sciences Corp. (a) 332,400 3,995
---------
7,462
---------
BIOTECHNOLOGY-2.7%
Bio-Rad Laboratories, Inc. Class A (a) 80,000 4,614
ID Biomedical Corp. (a) 94,900 1,126
Protein Design Labs, Inc. (a) 180,000 3,222
Supergen, Inc. (a) 174,200 1,916
---------
10,878
---------
COMMERCIAL SERVICES-11.8%
Advisory Board Co. (The) (a) 98,200 3,428
Alliance Data Systems Corp. (a) 296,600 8,210
Arbitron, Inc. (a) 128,000 5,340
ChoicePoint, Inc. (a) 100,000 3,809
Corporate Executive Board Co. (a) 150,000 7,001
Education Management Corp. (a) 303,400 9,418
FTI Consulting, Inc. (a) 110,000 2,571
Rent-A-Center, Inc. (a) 200,000 5,976
Ritchie Bros. Auctioneers, Inc. 30,000 1,593
---------
47,346
---------
COMPUTERS-3.8%
BISYS Group, Inc. (The) (a) 185,000 2,753
Factset Research Systems, Inc. 55,000 2,102
Henry (Jack) & Associates, Inc. 200,000 4,116
Magma Design Automation, Inc. (a) 103,000 2,404
NetScreen Technologies, Inc. (a) 160,000 3,960
---------
15,335
---------
DISTRIBUTION/WHOLESALE-1.3%
Central European Distribution Corp. (a) 6,700 212
SCP Pool Corp. (a) 156,075 5,101
---------
5,313
---------
ELECTRICAL COMPONENTS & EQUIPMENT-0.9%
Advanced Energy Industries, Inc. (a) 145,300 3,785
---------
ELECTRONICS-5.8%
Cymer, Inc. (a) 70,000 3,233
Gentex Corp. 80,000 3,533
Mettler-Toledo International, Inc. (a) 150,600 6,357
National Instruments Corp. 87,400 3,974
Photon Dynamics, Inc. (a) 71,500 2,877
TTM Technologies, Inc. (a) 210,000 3,545
---------
23,519
---------
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
ENTERTAINMENT-2.3%
Alliance Gaming Corp. (a) 124,200 $ 3,062
AMC Entertainment, Inc. (a) 187,200 2,847
Macrovision Corp. (a) 155,000 3,501
---------
9,410
---------
ENVIRONMENTAL-1.2%
Stericycle, Inc. (a) 104,000 4,857
---------
EXCHANGE TRADED FUND-1.5%
iShares Russell 2000 Index Fund 55,000 6,094
---------
FINANCIAL-7.7%
Boston Private Financial Holdings, Inc. 100,000 2,484
CapitalSource, Inc. (a) 145,000 3,144
City National Corp. 70,000 4,348
Investment Technology Group, Inc. (a) 114,400 1,848
Investors Financial Services Corp. 156,000 5,992
Jefferies Group, Inc. 106,500 3,517
UCBH Holdings, Inc. 132,000 5,144
Wintrust Financial Corp. 100,000 4,510
---------
30,987
---------
FOOD & BEVERAGES-2.7%
American Italian Pasta Co. Class A 95,000 3,981
Constellation Brands, Inc. Class A (a) 120,000 3,952
United Natural Foods, Inc. (a) 81,100 2,912
---------
10,845
---------
HEALTH CARE-7.2%
DaVita, Inc. (a) 202,516 7,898
Lincare Holdings, Inc. (a) 181,800 5,459
Molina Healthcare, Inc. (a) 108,600 2,740
Pediatrix Medical Group, Inc. (a) 85,000 4,683
Province Healthcare Co. (a) 200,000 3,200
Respironics, Inc. (a) 114,400 5,158
---------
29,138
---------
INSURANCE-1.4%
Markel Corp. (a) 21,500 5,450
---------
INTERNET-1.0%
Macromedia, Inc. (a) 115,100 2,053
Netopia, Inc. (a) 135,000 1,968
---------
4,021
---------
MACHINERY-DIVERSIFIED-0.4%
Graco, Inc. 41,300 1,656
---------
MEDIA-2.5%
Entercom Communications Corp. (a) 100,000 5,296
Nexstar Broadcasting Group, Inc. (a) 73,200 1,004
Radio One, Inc. Class D (a) 190,000 3,667
---------
9,967
---------
--
The Notes to Financial Statements are an integral part of these statements. 39
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------
COMMON STOCKS continued
OIL & GAS-5.3%
Brown (Tom), Inc. (a) 110,000 $ 3,547
Evergreen Resources, Inc. (a) 115,000 3,739
Hydril Co. (a) 74,500 1,783
Patina Oil & Gas Corp. 80,000 3,919
Patterson-UTI Energy, Inc. (a) 118,500 3,901
Varco International, Inc. (a) 210,000 4,332
--------
21,221
--------
PHARMACEUTICALS-4.9%
Atrix Laboratories, Inc. (a) 114,200 2,745
Ligand Pharmaceuticals, Inc. Class B (a) 175,000 2,571
Medicis Pharmaceutical Corp. Class A 19,100 1,362
NBTY, Inc. (a) 59,100 1,587
Omnicare, Inc. 90,000 3,635
Pharmaceutical Resources, Inc. (a) 65,500 4,267
VCA Antech, Inc. (a) 120,000 3,718
--------
19,885
--------
RETAIL-1.4%
Advance Auto Parts, Inc. (a) 70,000 5,698
--------
SEMICONDUCTORS-6.6%
Emulex, Corp. (a) 125,000 3,335
Integrated Circuit Systems, Inc. (a) 115,000 3,276
LTX Corp. (a) 110,400 1,659
Photronics, Inc. (a) 266,500 5,309
Semtech Corp. (a) 180,000 4,091
Skyworks Solutions, Inc. (a) 233,500 2,031
Standard Microsystems Corp. (a) 80,000 2,024
Supertex, Inc. (a) 57,200 1,093
Transwitch Corp. (a) 800,000 1,840
Zoran Corp. (a) 113,000 1,965
--------
26,623
--------
SOFTWARE-9.3%
Altiris, Inc. (a) 130,700 4,768
Cognos, Inc. (a) 120,000 3,674
Embarcadero Technologies, Inc. (a) 111,500 1,778
Fair Isaac & Co. 62,200 3,058
Global Payments, Inc. 140,000 6,597
IMPAC Medical Systems, Inc. (a) 120,000 3,067
Informatica Corp. (a) 450,000 4,635
Lawson Software, Inc. (a) 120,000 988
Mantech International Corp. Class A (a) 107,300 2,677
NDCHealth Corp. 110,800 2,839
SERENA Software, Inc. (a) 191,500 3,514
--------
37,595
--------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------
STORAGE/WAREHOUSING-0.7%
Mobile Mini, Inc. (a) 134,800 $ 2,658
--------
TELECOMMUNICATIONS-6.1%
3Com Corp. (a) 500,000 4,085
Plantronics, Inc. (a) 90,000 2,939
Primus Telecommunications Group, Inc. (a) 316,800 3,225
PTEK Holdings, Inc. (a) 260,000 2,291
REMEC, Inc. (a) 226,300 1,903
SafeNet, Inc. (a) 95,000 2,923
Spectrasite, Inc. (a) 90,000 3,127
West Corp. (a) 180,000 4,181
--------
24,674
--------
TOYS/GAMES-0.8%
Marvel Enterprises, Inc. (a) 110,000 3,202
--------
TRANSPORTATION-0.9%
P.A.M. Transportation Services, Inc. (a) 70,000 1,493
Pacer International, Inc. (a) 104,000 2,103
--------
3,596
--------
TOTAL COMMON STOCKS
(Cost $328,354) 381,241
--------
SHORT-TERM OBLIGATION-5.3%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $21,224) (b) 21,223,904 21,224
--------
TOTAL INVESTMENTS IN SECURITIES-99.9%
(Total Cost $349,578) (c) 402,465
Cash and Other Assets Less Liabilities - 0.1% 318
--------
NET ASSETS-100.0% $402,783
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At December 31, 2003, the net unrealized appreciation of investments,
based on cost for federal income tax purposes of $350,586,273, was as
follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $58,979,233
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (7,101,038)
-----------
Unrealized appreciation - net $51,878,195
===========
(d) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a
tax basis consisted of the following:
Undistributed ordinary income $3,178,685
Undistributed capital gains $1,647,185
- --
40 The Notes to Financial Statements are an integral part of these statements.
Small Cap Value/Perkins, Wolf, McDonnell Fund
INVESTMENTS IN SECURITIES
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------------
COMMON STOCKS-84.4%
APPAREL-1.5%
Wolverine World Wide, Inc. 80,000 $ 1,630
--------
AUTO PARTS & EQUIPMENT-2.0%
Superior Industries International, Inc. 52,000 2,263
--------
BANKS-12.4%
Brookline Bancop, Inc. 170,000 2,608
Chittenden Corp. 38,500 1,295
Community Bank System, Inc. 30,000 1,470
First Niagara Financial Group, Inc. 97,000 1,446
FNB Corp. 50,000 1,773
Seacoast Financial Services Co. 64,000 1,754
Susquehanna Bancshares, Inc. 55,000 1,376
Washington Federal, Inc. 70,000 1,988
--------
13,710
--------
BUILDING MATERIALS-1.1%
Texas Industries, Inc. 34,100 1,262
--------
CHEMICALS-1.5%
Schulman (A.), Inc. 77,000 1,642
--------
COMMERCIAL SERVICES-1.3%
Spherion Corp. (a) 150,000 1,469
--------
COMPUTERS-0.9%
Covansys Corp. (a) 84,600 931
--------
ELECTRONICS-3.0%
Coherent, Inc. (a) 45,000 1,071
Mettler-Toledo International, Inc. (a) 54,000 2,279
--------
3,350
--------
ENGINEERING & CONSTRUCTION-3.7%
Dycom Industries, Inc. (a) 23,000 617
EMCOR Group, Inc. (a) 50,000 2,195
Insituform Technologies, Inc., Class A (a) 75,000 1,238
--------
4,050
--------
FOREST PRODUCTS & PAPER-1.3%
Rayonier, Inc. 35,424 1,470
--------
HEALTH CARE-5.8%
Cytyc Corp. (a) 120,000 1,651
LifePoint Hospitals, Inc. (a) 35,000 1,031
Province Healthcare Co. (a) 83,000 1,328
Steris Corp. (a) 105,000 2,373
--------
6,383
--------
HOME BUILDERS-2.3%
Ryland Group, Inc. 12,000 1,064
Standard-Pacific Corp. 30,000 1,457
--------
2,521
--------
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------------
HOME FURNISHINGS-2.1%
La-Z-Boy, Inc. 110,000 $ 2,308
--------
HOUSEWARES-1.3%
Libbey, Inc. 50,000 1,424
--------
INSURANCE-2.9%
Harleysville Group, Inc. 51,200 1,018
Horace Mann Educators Corp. 80,000 1,118
Scottish Re Group Ltd. 50,000 1,039
--------
3,175
--------
INTERNET-0.5%
Internet Security Systems, Inc. (a) 32,000 603
--------
IRON & STEEL-1.0%
Steel Dynamics, Inc. (a) 48,500 1,139
--------
MACHINERY-2.7%
Global Power Equipment Group, Inc. (a) 165,000 1,102
Joy Global, Inc. 73,000 1,909
--------
3,011
--------
MANUFACTURING-4.5%
Aptargroup, Inc. 33,000 1,287
Harsco Corp. 55,000 2,410
Trinity Industries, Inc. 42,000 1,295
--------
4,992
--------
METAL FABRICATE/HARDWARE-1.1%
Kaydon Corp. 47,000 1,214
--------
MINING-1.2%
Arch Coal, Inc. 43,000 1,340
--------
OIL & GAS-10.0%
Brown (Tom), Inc. (a) 65,000 2,096
Cal Dive International, Inc. (a) 80,000 1,929
Energy Partners, Ltd. (a) 147,000 2,043
Forest Oil Corp. (a) 38,200 1,091
Key Energy Services, Inc. (a) 210,000 2,165
Maverick Tube Corp. (a) 40,500 780
Newfield Exploration Co. (a) 22,500 1,002
--------
11,106
--------
PHARMACEUTICALS-1.1%
Priority Healthcare Corp., Class B (a) 52,000 1,254
--------
REIT-6.7%
Alexandria Real Estate Equities, Inc. 29,500 1,708
Brandywine Realty Trust 60,000 1,606
Equity One, Inc. 90,000 1,519
Home Properties, Inc. 40,000 1,616
Manufactured Home Communities, Inc. 25,000 941
--------
7,390
--------
--
The Notes to Financial Statements are an integral part of these statements. 41
Small Cap Value/Perkins, Wolf, McDonnell Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------------------------------
COMMON STOCKS continued
RETAIL-2.2%
Casey's General Stores, Inc. 85,000 $ 1,501
Too, Inc. (a) 55,000 928
------------
2,429
------------
SOFTWARE-4.7%
Activision, Inc. (a) 60,000 1,092
Informatica Corp. (a) 98,000 1,009
NetIQ Corp. (a) 115,000 1,524
Pinnacle Systems, Inc. (a) 190,000 1,621
------------
5,246
------------
TELECOMMUNICATIONS-2.1%
Advanced Fibre Communications, Inc. (a) 20,000 403
Newport Corp. (a) 63,000 1,041
Stratex Networks, Inc. (a) 200,000 850
------------
2,294
------------
TRANSPORTATION-2.2%
Kansas City Southern (a) 95,000 1,360
USF Corp. 32,000 1,094
------------
2,454
------------
TRUCKING & LEASING-1.3%
GATX Corp. 50,000 1,399
------------
TOTAL COMMON STOCKS
(Cost $76,605) 93,459
------------
SHORT-TERM OBLIGATION-15.9%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $17,629) (b) 17,628,993 $ 17,629
------------
TOTAL INVESTMENTS IN SECURITIES-100.3%
(Total Cost $94,234) (c) 111,088
Liabilities in excess of Cash and Other Assets - (0.3%) (309)
------------
NET ASSETS-100.0% $ 110,779
============
- --------------------------------------------------------------------------------
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At December 31, 2003, the net unrealized appreciation of investments, based
on cost for federal income tax purposes of $94,354,833, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $16,967,832
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (234,261)
-----------
Unrealized appreciation - net $16,733,571
===========
d) As of December 31, 2003, the components of distributable earnings (excluding
unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted
of the following:
Undistributed ordinary income $2,470,560
Undistributed capital gains $ 535,873
42 The Notes to Financial Statements are an integral part of these statements.
International Blend/Bank of Ireland Fund
INVESTMENTS IN SECURITIES
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-97.4%
AUSTRALIA-2.4%
James Hardie Industries NV 5,910 $ 31
National Australia Bank Ltd. 3,740 84
News Corp. Ltd. 9,602 87
Westpac Banking Corp. 7,030 84
------
286
------
CANADA-0.5%
Royal Bank of Canada 1,155 55
------
FINLAND-1.3%
Nokia OYJ 8,652 149
------
FRANCE-8.9%
Aventis SA 4,294 283
AXA 6,347 136
France Telecom (a) 3,198 91
LaFarge SA 1,442 128
Total Fina Elf SA 2,261 420
------
1,058
------
GERMANY-6.5%
Bayer AG 3,384 99
Bayerische Motoren Werke AG 4,604 213
Deutsche Bank AG 1,873 155
E. ON AG 4,650 303
------
770
------
HONG KONG-3.3%
Cheung Kong Holdings Ltd. 14,000 111
China Life Insurance Co., Ltd. 46,000 38
Johnson Electric Holdings Ltd. 31,500 40
Li & Fung Ltd. 30,000 51
Sun Hung Kai Properties Ltd. 11,000 91
Swire Pacific Ltd. 10,000 62
------
393
------
IRELAND-0.8%
CRH PLC 4,639 95
------
ITALY-3.7%
ENI-Ente Nazionale Idrocarburi SpA 12,841 242
Telecom Italia SpA 65,818 195
------
437
------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
JAPAN-14.3%
Acom Co. Ltd. 990 $ 45
Canon, Inc. 8,000 373
Fanuc Ltd. 1,400 84
Honda Motor Co. Ltd. 5,400 240
Hoya Corp. 1,700 156
Mitsubishi Tokyo Financial Group (a) 11 86
Nippon Telegraph & Telephone Corp. 51 246
NTT DoCoMo, Inc. 20 45
Ricoh Co. Ltd. 3,000 59
Rohm Co. Ltd. 700 82
Shin-Etsu Chemical Co. Ltd. 3,100 127
Shionogi Co. 3,000 56
Takeda Chemical Industries Ltd. 2,500 99
------
1,698
------
NETHERLANDS-9.3%
ABN-Amro Holdings NV 10,756 251
Heineken NV 1,394 53
ING Groep NV 12,901 301
Koninklijke Ahold NV (a) 7,402 56
Koninklijke (Royal) Philips Electronics NV 7,400 216
Reed Elsevier NV 8,039 100
TPG NV 3,000 70
VNU NV 1,710 54
------
1,101
------
SINGAPORE-0.5%
United Overseas Bank Ltd. 8,000 62
------
SOUTH KOREA-4.1%
Korea Electric Power Corp. 2,380 43
KT Corp. 1,560 58
POSCO 727 99
Samsung Electronics Co., Ltd. GDR 741 280
------
480
------
SPAIN-3.7%
Banco Santander Central Hispano SA 21,776 258
Telefonica SA 12,009 176
------
434
------
SWITZERLAND-12.4%
Nestle SA 1,675 418
Novartis AG 5,475 248
Roche Holdings AG 2,306 233
Swiss Reinsurance 3,060 207
UBS AG 5,285 362
------
1,468
------
--
The Notes to Financial Statements are an integral part of these statements. 43
International Blend/Bank of Ireland Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
UNITED KINGDOM-25.7%
Barclays PLC 32,270 $ 287
British American Tobacco PLC 8,648 119
BT Group PLC 15,490 52
Cadbury Schweppes PLC 15,124 111
Centrica PLC 18,718 71
Compass Group PLC 15,723 107
Diageo PLC 12,326 162
GlaxoSmithKline PLC 10,129 231
HSBC Holdings PLC 12,111 190
Kingfisher PLC 14,683 73
Lloyds TSB Group PLC 25,353 203
Marks & Spencer Group PLC 6,000 31
Prudential PLC 12,692 107
Reed Elsevier PLC 5,764 48
Shell Transport and Trading Co. 27,938 207
Smith & Nephew PLC 9,367 78
Smiths Group PLC 3,334 39
Tesco PLC 34,517 159
Travis Perkins PLC 944 22
Unilever PLC 24,480 228
Vodafone Group PLC 131,243 325
Wolseley PLC 8,653 122
WPP Group PLC 7,157 70
------
3,042
------
TOTAL COMMON STOCKS
(Cost $10,501) 11,528
------
WARRANTS-0.1%
FRANCE-0.1%
AXA expiring 12/21/04 (Cost - $6) 396 8
------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATION-2.4%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $290) (b) 290,277 $ 290
-------
TOTAL INVESTMENT IN SECURITIES-99.9%
(Total Cost $10,797) (c) 11,826
Cash and Other Assets, Less Liabilities - 0.1% 15
-------
NET ASSETS-100.0% $11,841
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At December 31, 2003, the net unrealized appreciation of investments, based
on cost for federal income tax purposes of $11,164,094 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 1,483,180
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (819,545)
-----------
Unrealized appreciation - net $ 663,635
===========
(d) As of December 31, 2003, the components of distributable earnings (excluding
unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted
of the following:
Undistributed ordinary income $ 5,294
Capital loss carryforward:
expiring 2008 129,744
expiring 2009 597,403
expiring 2010 1,509,283
expiring 2011 685,797
----------
$2,922,227
==========
- --
44 The Notes to Financial Statements are an integral part of these statements.
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES
December 31, 2003
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
LONG-TERM BONDS-92.9%
BASIC MATERIALS-0.5%
International Paper Co., 5.50%, 2014 $ 90 $ 90
Stora Enso Oyj, 7.38%, 2011 55 64
Weyerhaeuser Co., 5.25%, 2009 50 52
----
206
----
COMMUNICATIONS & MEDIA-10.5%
AT&T Corp., 8.75% (coupon change based on rating), 2031 35 41
AT&T Wireless Services, Inc., 8.13%, 2012 80 94
British Sky Broadcasting PLC, 8.20%, 2009 155 184
British Telecommunications PLC, 8.88% (coupon change
based on rating), 2030 50 65
Comcast Corp., 5.85%, 2010 50 53
Deutsche Telekom International Finance BV,
8.50% (coupon change based on rating), 2010 120 145
8.75% (coupon change based on rating), 2030 85 109
France Telecom SA,
8.45% (coupon change based on rating), 2006 30 34
9.00% (coupon change based on rating), 2011 390 468
9.75% (coupon change based on rating), 2031 35 47
Kyivstar GSM, 12.75%, 2005
(144A security acquired Nov. 2002 & Jan. 2003 for $82) (b) 80 88
Koninklijke KPN, NV, 8.00%, 2010 190 227
Liberty Media Corp.,
3.50%, 2006 320 322
5.70%, 2013 20 20
News America Holdings,
7.75%, 2045 60 71
7.90%, 2095 65 74
8.25%, 2096 20 24
News America, Inc., 6.75%, 2038 15 17
PTC International Finance II SA, 11.25%, 2009 165 182
Qwest Capital Funding Inc., 7.00%, 2009 15 15
Shaw Communications, Inc.,
8.25%, 2010 90 102
7.20%, 2011 30 32
Sprint Capital Corp.,
6.13%, 2008 45 48
8.38%, 2012 35 41
6.88%, 2028 125 122
8.75%, 2032 65 77
Tele Communications, Inc.,
9.80%, 2012 115 150
7.88%, 2013 180 213
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
COMMUNICATIONS & MEDIA continued
Telecom Italia Capital SA,
5.25%, 2013
(144A security acquired Oct. 2003 for $145) (b) $ 145 $ 145
6.38%, 2033
(144A security acquired Oct. 2003 for $80) (b) 80 80
TELUS Corp.,
7.50%, 2007 120 134
8.00%, 2011 295 345
Time Warner, Inc.,
8.18%, 2007 250 289
9.13%, 2013 60 76
8.05%, 2016 240 285
TPSA Finance BV, 7.75%, 2008
(144A security acquired Oct. 2002, Apr., June, July,
Aug. & Oct. 2003 for $180) (b) 165 175
Univision Communications, Inc., 7.85%, 2011 155 184
Verizon Florida, Inc., 6.13%, 2013 55 59
------
4,837
------
CONSUMER & RETAIL-3.7%
Bunge Ltd. Finance Corp., 4.38%, 2008
(144A security acquired Dec. 2003 for $95) (b) 95 96
Campbell Soup Co., 5.88%, 2008 65 71
Heinz (H.J.) Co., 6.38%, 2028 10 11
Heinz (H.J.) Finance Co., 6.75%, 2032 40 45
Kellogg Co., 6.60%, 2011 220 247
Kraft Foods, Inc.,
5.25%, 2007 35 37
5.63%, 2011 100 105
5.25%, 2013 135 136
Kroger Co., 7.50%, 2031 20 23
Michaels Stores, Inc., 9.25%, 2009 115 127
Miller Brewing Co., 5.50%, 2013
(144A security acquired Aug. 2003 for $84) (b) 85 87
Safeway, Inc., 7.25%, 2031 15 16
Schuler Homes, Inc., 9.38%, 2009 140 158
Toll Corp., 8.25%, 2011 55 61
VFB LLC, 10.25%, 2009 (a) 2,065 468
------
1,688
------
DIVERSIFIED-0.6%
General Electric Co., 5.00%, 2013 205 207
ITT Industries, Inc., 7.40%, 2025 70 80
------
287
------
--
The Notes to Financial Statements are an integral part of these statements. 45
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
LONG-TERM BONDS continued
FINANCIAL-12.1%
American Express Credit, Ser. 1999-1A, 5.60%, 2006 $415 $420
BankBoston Corp., 8.25%, 2026 50 58
Boeing Capital Corp., 6.10%, 2011 40 43
CIT Group, Inc.,
6.50%, 2006 80 87
6.88%, 2009 30 34
Citigroup, Inc.,
3.50%, 2008 400 401
7.25%, 2010 100 117
Countrywide Home Loans., 5.50%, 2007 25 27
Credit Suisse First Boston Mortgage Securities Corp.,
4.63%, 2008 45 47
5.50%, 2013 35 36
Interest Only 7.50%, 2032 340 21
Interest Only 8.00%, 2032 460 29
Dresdner Bank AG New York, 7.25%, 2015 40 46
Dresdner Funding Trust I, 8.15%, 2031
(144A security acquired Apr. & June 2003 for $176) (b) 160 183
First Union Capital One, 7.94%, 2027 45 51
Ford Motor Credit Co.,
6.88%, 2006 220 235
7.38%, 2009 145 159
7.38%, 2011 75 82
General Motors Acceptance Corp.,
6.88%, 2011 265 285
7.25%, 2011 50 55
7.00%, 2012 25 27
Golden West Financial Corp., 4.13%, 2007 85 88
Goldman Sachs Group, Inc., 6.88%, 2011 155 176
Household Finance Corp.,
4.13%, 2008 150 151
6.38%, 2012 90 99
HVB Funding Trust III, 9.00%, 2031
(144A security acquired June 2003 for $195) (b) 185 223
International Lease Finance Corp., 6.38%, 2009 80 88
Korea Development Bank,
4.25%, 2007 20 20
5.50%, 2012 10 10
Lehman Brothers Holdings, Inc., 6.63%, 2012 100 113
Manufacturers & Traders Trust, 8.00%, 2010 60 72
Midland Funding II, 13.25%, 2006 30 35
Morgan (J.P.) Co., 6.00%, 2009 95 104
Morgan Stanley Group, Inc., 6.75%, 2011 105 119
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
FINANCIAL continued
National Rural Utilities Cooperative Finance Corp.,
5.75%, 2009 $ 55 $ 60
NB Capital Trust IV, 8.25%, 2027 65 75
Old Kent Bank, Step Coupon (7.75% to 8/15/05), 2010 155 167
Prudential Funding LLC, 6.60%, 2008
(144A security acquired Aug. 2002 for $64) 60 67
Residential Asset Mortgage Products, Inc., Interest Only,
5.75%, 2005 (c) 1,216 52
Santander Central Hispano Issuance, 7.63%, 2010 80 95
Santander Financial Issuances, 6.80%, 2005 40 43
Sanwa Finance Aruba AEC, 8.35%, 2009 100 117
Sovereign Bancorp., Inc., 10.50%, 2006 555 656
Standard Chartered Bank, 8.00%, 2031
(144A security acquired Mar. & Aug. 2002 for $126) (b) 120 145
Takefuji Corp., 9.20%, 2011
(144A security acquired Dec. 2003 for $33) (b) 30 33
UFJ Finance Aruba AEC, 6.75%, 2013 100 107
Union Planters Corp., 6.75%, 2005 130 141
U.S. West Capital Funding, Inc., 6.50%, 2018 10 9
Wells Fargo & Co., 4.95%, 2013 65 65
------
5,573
------
FOREIGN GOVERNMENT-2.3%
Argentina (Republic of), 11.38%, 2017 180 50
Brazil (Federal Republic of), 9.25%, 2010 40 43
Bulgaria (Republic of), Floating Rate, 1.94%, 2024 100 99
Quebec (Province of Canada),
5.50%, 2006 255 274
5.00%, 2009 20 21
7.50%, 2023 190 233
Russian Federation, Step Coupon (5.00% to 3/31/07), 2030
(144A security acquired Sep. 2002, July, Sept. &
Oct. 2003 for $194) (b) 235 226
United Mexican States, 8.30%, 2031 100 113
------
1,059
------
HEALTH CARE-0.2%
HCA, Inc.,
5.25%, 2008 $ 45 $ 46
7.50%, 2033 25 26
Tenet Healthcare Corp., 7.38%, 2013 35 35
------
107
------
- --
46 The Notes to Financial Statements are an integral part of these statements.
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
LONG-TERM BONDS continued
INDUSTRIAL-2.0%
Arrow Electronics, Inc., 6.88%, 2013 $ 25 $ 27
Avnet, Inc., 9.75%, 2008 25 29
BAE Systems Holdings, 6.40%, 2011
(144A security acquired Dec. 2001, Nov. 2002 &
Apr. 2003 for $228) (b) 225 242
Inco Limited, 5.70%, 2015 65 66
Lockheed Martin Corp.,
8.20%, 2009 210 255
8.50%, 2029 115 151
Noranda, Inc., 6.00%, 2015 50 51
Systems 2001 Asset Trust LLC, 7.16%, 2011
(144A security acquired June 2001 & Mar. 2002
for $114) (b) 111 122
----
943
----
INSURANCE-1.4%
American Re Corp., 7.45%, 2026 155 173
AXA SA, 8.60%, 2030 55 69
Monumental Global Funding II, 3.85%, 2008
(144A security acquired Feb. 2003 for $95) (b) 95 96
Travelers Property Casualty Corp., 5.00%, 2013 65 65
Zurich Capital Trust I, 8.38%, 2037
(144A security acquired Jan., June, July, Aug. &
Oct. 2003 for $209) (b) 215 247
----
650
----
OIL & GAS-1.8%
Amerada Hess Corp., 7.30%, 2031 100 103
Conoco Funding Co., 6.35%, 2011 250 280
Devon Financing Corp. ULC, 6.88%, 2011 60 68
Duke Capital Corp., 6.25%, 2013 15 16
Duke Energy Field Services LLC,
5.75%, 2006 20 21
6.88%, 2011 15 17
Occidental Petroleum Corp.,
7.65%, 2006 215 236
6.75%, 2012 20 23
Petroleos Mexicanos, 9.50%, 2027 65 77
----
841
----
PHARMACEUTICALS-0.7%
Lilly (Eli) & Co., 6.77%, 2036 160 182
Wyeth,
5.25%, 2013 25 25
5.50%, 2014 100 101
----
308
----
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
TRANSPORTATION-2.1%
American Airlines, 7.38%, 2016 $ 162 $ 115
Burlington Northern Santa Fe, 6.75%, 2029 20 22
Continental Airlines, Inc., 6.90%, 2017 209 175
Federal Express Corp., 7.60%, 2097 45 50
Ford Motor Co., 6.38%, 2029 60 54
Norfolk Southern Corp.,
7.70%, 2017 70 84
7.90%, 2097 90 106
Union Pacific Corp.,
7.60%, 2005 145 155
5.75%, 2007 110 119
6.13%, 2012 85 92
------
972
------
U.S. GOVERNMENT & AGENCIES (d)-52.0%
Fannie Mae,
2.50%, 2008 1,975 1,908
4.38%, 2013 305 300
5.50%, 2017 528 547
7.00%, 2031 120 128
8.00%, 2031 89 96
6.50%, 2032 1,003 1,049
7.00%, 2032 1,020 1,082
5.50%, 2033 1,405 1,424
6.00%, 2033 475 491
6.50%, 2033 418 437
Interest Only 7.30%, 2042 (c) 2,869 73
Financing Corp.,
Principal Strips from
8.60%, 2019 241 99
9.70%, 2019 360 154
Freddie Mac,
2.75%, 2008 310 305
6.00%, 2017 452 474
4.50%, 2018 1,383 1,384
5.00%, 2018 1,555 1,586
6.00%, 2032 1,232 1,274
7.50%, 2032 387 415
5.00%, 2033 1,986 1,962
5.50%, 2033 1,495 1,514
Interest Only 9.75%, 2043 (c) 2,869 75
Ginnie Mae,
6.50%, 2031 241 254
6.50%, 2032 149 157
5.50%, 2033 385 392
6.00%, 2033 357 372
--
The Notes to Financial Statements are an integral part of these statements. 47
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
LONG-TERM BONDS continued
U.S. GOVERNMENT & AGENCIES continued
U.S. Treasury Bonds,
8.75%, 2017 $ 560 $ 785
6.00%, 2026 900 998
U.S. Treasury Inflation Indexed Note,
3.00%, 2012 406 443
U.S. Treasury Notes,
7.88%, 2004 2,805 2,965
4.63%, 2006 725 768
5.00%, 2011 65 70
-------
23,981
-------
UTILITIES-3.0%
American Electric Power, Inc., 5.38%, 2010 20 21
Carolina Power & Light Co., 6.50%, 2012 55 61
CenterPoint Energy,
5.70%, 2013
(144A security acquired Mar. 2003 for $70) (b) 70 73
7.88%, 2013
(144A security acquired March, June & Dec. 2003
for $81) (b) 70 79
Columbus Southern Power Co., 5.50%, 2013 30 31
Detroit Edison Co.,
6.13%, 2010 95 104
6.35%, 2032 15 16
Dominion Resources Inc., 6.25%, 2012 35 38
DPL, Inc., 8.25%, 2007 85 93
First Energy Corp.,
5.50%, 2006 140 145
6.45%, 2011 170 176
7.38%, 2031 35 36
Nisource Finance Corp., 7.88%, 2010 110 131
Ohio Power Co., 5.50%, 2013 15 15
Oncor Electric Delivery Co., 7.25%, 2033 70 80
Pinnacle Partners LP, 8.83%, 2004
(144A security acquired Mar. & Oct. 2002 for $61) (b) 80 83
Progress Energy, Inc., 7.00%, 2031 60 64
Tenaska Alabama II Partners LP, 6.13%, 2023
(144A security acquired Oct. 2003 for $80) (b) 80 83
TXU Australia Holdings LP, 6.15%, 2013
(144A security acquired Dec. 2003 for $40) (b) 40 41
-------
1,370
-------
TOTAL LONG-TERM BONDS
(Cost - $41,437) 42,822
-------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
PREFERRED STOCK-2.9%
COMMUNICATIONS & MEDIA-0.3%
Centaur Funding Corp., 9.08%
(144A security acquired Jan., Aug. & Nov. 2001
for $130) (b) 120 147
---
FINANCIAL-2.6%
BCI US Funding Trust, Step Coupon (8.01% to 7/15/08)
(144A security acquired Jan. & Apr. 2003 for $209) (b) 190 218
DBS Capital Funding Corp., Step Coupon
(7.66% to 3/21/2011)
(144A security acquired Oct. 2003 for $197) (b) 175 202
IBJ Preferred Capital Co. LLC, Step Coupon
(8.79% to 6/30/08)
(144A security acquired Jan., July, Aug. & Dec. 2003
for $432) (b) 425 463
Natexis AMBS Co. LLC., Step Coupon (8.44% to 6/30/08)
(144A security acquired May 2002 for $114) 105 123
RBS Capital Trust I, Step Coupon (4.71% to 7/01/13) 210 201
---
1,207
-----
TOTAL PREFERRED STOCK
(Cost - $1,291) 1,354
-----
SHORT-TERM OBLIGATIONS-3.3%
MONEY MARKET FUND-3.1%
CIGNA Funds Group - Money Market Fund (e) 1,431,427 1,431
-----
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT-0.2%
U.S. Treasury Bills, 0.97%, 4/01/04 (f) $ 75 75
-------
TOTAL SHORT-TERM OBLIGATIONS
(Cost - $1,506) 1,506
-------
TOTAL INVESTMENTS IN SECURITIES-99.1%
(Total Cost - $44,234) (h) 45,682
Cash and Other Assets Less Liabilities - 0.9% 406
-------
NET ASSETS-100.0% $46,088
=======
- --
48 The Notes to Financial Statements are an integral part of these statements.
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
December 31, 2003
- --------------------------------------------------------------------------------
NOTES TO INVESTMENTS IN SECURITIES
(a) This is a fair valued security which is in default due to bankruptcy. The
principal amount represents beneficial ownership interest for future cash
receipts under the bankruptcy filings.
(b) Indicates restricted security; the aggregate value of restricted securities
is $3,767,131 (aggregate cost $3,514,267), which is approximately 8.2% of net
assets. Valuations have been furnished by brokers trading in the securities or a
pricing service for all restricted securities.
(c) Illiquid security.
(d) Agency obligations are not guaranteed by the U.S. Government.
(e) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also
the Adviser to the CIGNA Funds Group - Money Market Fund.
(f) Pledged as collateral for financial futures contracts. At December 31, 2003,
the Fund was long 8, 2-year U.S. Treasury Notes and 2, 30-year U.S., Treasury
Bonds and was short 29, 5-year and 10, 10-year U.S. Treasury Notes, futures
contracts, all expiring in March 2004. Net unrealized gain amounted to $3,368.
Underlying face values of the long and short positions were $1,925,453 and
($4,357,602), respectively, and underlying market values were $1,931,000 and
($4,359,781), respectively.
(g) A summary of outstanding forward currency contracts, as of December 31,
2003, is as follows:
Net
Unrealized
Settlement Forward Foreign Contract Appreciation
Date Contract Currency Value (Depreciation)
- ------------ -------- ---------- -------- --------------
Buys
3/12/04 Euro 600,000 660,830 93,652
Sells
3/12/04 Euro 600,000 705,765 (48,717)
Tax Information
(h) At December 31, 2003, the net unrealized appreciation of investments, based
on cost for federal income tax purposes of $44,530,453, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,417,263
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (265,909)
----------
Unrealized appreciation - net $1,151,354
==========
(i) As of December 31, 2003, the components of distributable earnings (excluding
unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted
of the following:
Undistributed ordinary income $166,507
Capital loss carryforward
expiring 2010 $384,929
--
The Notes to Financial Statements are an integral part of these statements. 49
CIGNA Funds Group
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2003
(In Thousands)
Balanced Large Large
Fund Cap Growth/ Cap Value/
(sub-advised by Morgan John A.
Wellington Stanley Levin & Co.
Management) Fund Fund
- -----------------------------------------------------------------------------------------
Assets:
Investments in securities at value $16,674 $ 14,139 $ 25,259
Cash 81 87 1
Foreign currency (Cost $45) - - -
Interest and dividends receivable, net of
withholding taxes 79 10 27
Receivable for investments sold 40 254 267
Receivable for fund shares sold 29 2 14
Swap contracts receivable - - -
Futures variation margin receivable - - -
Receivable for forward currency contracts - - -
Prepaid registration fees 9 9 9
Investment for Trustees' deferred
compensation plan (A) 1 1
------- -------- --------
Total assets 16,912 14,502 25,578
------- -------- --------
Liabilities:
Payable for investments purchased 242 206 661
Payable for fund shares purchased 38 15 14
Payable for forward currency contracts - - -
Futures variation margin payable - - -
Custodian fees payable 21 18 18
Audit and legal fees payable 18 19 19
Insurance expenses payable 8 8 8
Shareholder servicing and distribution fees
payable to Distributor 9 9 16
Administrative services fees payable 5 4 5
Advisory fees payable 3 4 10
Deferred Trustees' fees payable (A) 1 1
Other accrued expenses 3 3 3
------- -------- --------
Total liabilities 347 287 755
------- -------- --------
Net Assets $16,565 $ 14,215 $ 24,823
======= ======== ========
Components of Net Assets:
Paid-in capital $16,717 $ 18,023 $ 24,905
Undistributed (overdistributed) net
investment income 5 - 116
Accumulated net realized gain (loss)
on investments (1,930) (5,494) (3,833)
Net unrealized appreciation of investments,
futures, forward contracts and swaps 1,773 1,686 3,635
------- -------- --------
Net Assets $16,565 $ 14,215 $ 24,823
======= ======== ========
Net Assets
Institutional Class $ 4,893 $ 3,154 $ 4,981
Premier Class 5,569 4,708 9,905
Retail Class 6,103 6,353 9,937
------- -------- --------
$16,565 $ 14,215 $ 24,823
======= ======== ========
Shares Outstanding
Institutional Class 501 471 529
Premier Class 571 707 1,053
Retail Class 629 963 1,060
Net Asset Value and Redemption Price per Share
Institutional Class $ 9.76 $ 6.70 $ 9.43
Premier Class $ 9.75 $ 6.66 $ 9.41
Retail Class $ 9.71 $ 6.60 $ 9.37
Cost of Investments $14,901 $ 12,453 $ 21,624
======= ======== ========
Small International TimesSquare
S&P Small Cap Value/ Blend/ Core
500(R) Cap Growth/ Perkins, Wolf Bank of Plus
Index TimesSquare McDonnell Ireland Bond
Fund Fund Fund Fund Fund
- -------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in securities at value $192,071 $402,465 $111,088 $ 11,826 $45,682
Cash 52 - 1 1 52
Foreign currency (Cost $45) - - - 47 -
Interest and dividends receivable, net of
withholding taxes 221 6 70 37(1) 457
Receivable for investments sold 814 3,825 137 3 -
Receivable for fund shares sold 84 212 61 1 1
Swap contracts receivable - - - - 12
Futures variation margin receivable 71 - - - -
Receivable for forward currency contracts - - - - 93
Prepaid registration fees 9 - 5 9 9
Investment for Trustees' deferred
compensation plan 7 2 1 (A) 3
-------- -------- -------- -------- -------
Total assets 193,329 406,510 111,363 11,924 46,309
-------- -------- -------- -------- -------
Liabilities:
Payable for investments purchased 760 3,165 - - 52
Payable for fund shares purchased 2 132 403 - -
Payable for forward currency contracts - - - - 48
Futures variation margin payable - - - - 6
Custodian fees payable 51 47 26 49 34
Audit and legal fees payable 28 22 18 19 18
Insurance expenses payable 18 15 11 8 18
Shareholder servicing and distribution fees
payable to Distributor - 24 42 - 6
Administrative services fees payable 15 6 6 4 11
Advisory fees payable 69 303 77 2 13
Deferred Trustees' fees payable 7 2 1 (A) 3
Other accrued expenses 18 11 - 1 12
-------- -------- -------- -------- -------
Total liabilities 968 3,727 584 83 221
-------- -------- -------- -------- -------
Net Assets $192,361 $402,783 $110,779 $ 11,841 $46,088
======== ======== ======== ======== =======
Components of Net Assets:
Paid-in capital $202,411 $346,080 $ 91,040 $ 14,157 $45,292
Undistributed (overdistributed) net
investment income (3) (1) 27 (2) (125)
Accumulated net realized gain (loss)
on investments (11,866) 3,817 2,858 (3,350) (575)
Net unrealized appreciation of investments,
futures, forward contracts and swaps 1,819 52,887 16,854 1,036 1,496
-------- -------- -------- -------- -------
Net Assets $192,361 $402,783 $110,779 $ 11,841 $46,088
======== ======== ======== ======== =======
Net Assets
Institutional Class $138,017 $324,742 $ 48,164 $ 3,725 $40,472
Premier Class 9,092 67,375 33,318 5,317 2,515
Retail Class 45,252 10,666 29,297 2,799 3,101
-------- -------- -------- -------- -------
$192,361 $402,783 $110,779 $ 11,841 $46,088
======== ======== ======== ======== =======
Shares Outstanding
Institutional Class 20,287 29,356 3,406 489 3,915
Premier Class 1,332 6,115 2,367 697 244
Retail Class 6,678 974 2,095 371 302
Net Asset Value and Redemption Price per Share
Institutional Class $ 6.80 $ 11.06 $ 14.14 $ 7.63 $ 10.34
Premier Class $ 6.83 $ 11.02 $ 14.07 $ 7.62 $ 10.30
Retail Class $ 6.78 $ 10.94 $ 13.98 $ 7.55 $ 10.27
Cost of Investments $190,901 $349,578 $ 94,234 $ 10,797 $44,234
======== ======== ======== ======== =======
(1)Including foreign tax reclaim receivable of $25 and cost of $20.
(A) Amount less than $1.
- --
50 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
STATEMENTS OF OPERATIONS
For the year ended December 31, 2003
(In Thousands)
Balanced Large Large
Fund Cap Growth/ Cap Value/
(sub-advised by Morgan John A.
Wellington Stanley Levin & Co.
Management) Fund Fund
- ------------------------------------------------------------------------------------------
Investment Income:
Dividends (net of foreign taxes withheld) $ 219 $ 133 $ 401
Interest 228 - -
------ ------ -------
447 133 401
Expenses:
Investment advisory fees 104 93 143
Custodian fees and expenses 59 56 51
Administrative services fees 22 21 23
Registration fees 35 35 35
Audit and legal fees 27 27 28
Distribution fees
Premier Class - - -
Retail Class 13 13 22
Shareholder servicing fees
Premier Class 10 7 13
Retail Class 10 11 18
Insurance expense 8 8 8
Shareholder reports 3 3 4
Other 1 - 2
------ ------ -------
Total expenses 292 274 347
Less expenses waived and reimbursed by
Adviser or Distributor (146) (149) (138)
------ ------ -------
Net expenses 146 125 209
------ ------ -------
Net Investment Income (Loss) 301 8 192
------ ------ -------
Realized and Unrealized Gain (Loss)
on Investments:
Net realized gain (loss) from:
Currency contracts - - -
Futures contracts - - -
Swap contracts - - -
Securities transactions (72) 456 (2,352)
------ ------ -------
(72) 456 (2,352)
------ ------ -------
Net change in unrealized appreciation
(depreciation):
Currency contracts - - -
Futures contracts - - -
Swap contracts - - -
Investments 2,325 2,144 7,443
------ ------ -------
2,325 2,144 7,443
------ ------ -------
Net Realized and Unrealized Gain
on Investments 2,253 2,600 5,091
------ ------ -------
Net Increase in Net Assets Resulting
from Operations $2,554 $2,608 $ 5,283
====== ====== =======
Small International TimesSquare
S&P Small Cap Value/ Blend/ Core
500(R) Cap Growth/ Perkins, Wolf Bank of Plus
Index TimesSquare McDonnell Ireland Bond
Fund Fund Fund Fund Fund
- -------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends (net of foreign taxes withheld) $ 2,712 $ 390 $ 1,134 $ 248 $ 86
Interest 16 - - - 3,127
------- ------- ------- ------ -------
2,728 390 1,134 248 3,213
Expenses:
Investment advisory fees 343 2,021 605 95 389
Custodian fees and expenses 151 118 71 110 109
Administrative services fees 73 42 31 20 54
Registration fees 37 71 41 35 36
Audit and legal fees 42 33 26 27 28
Distribution fees
Premier Class - - - - 2
Retail Class 82 21 48 5 8
Shareholder servicing fees
Premier Class 9 62 37 11 4
Retail Class 66 17 38 5 8
Insurance expense 19 15 12 8 18
Shareholder reports 24 15 4 2 15
Other 17 12 3 - 5
------- ------- ------- ------ -------
Total expenses 863 2,427 916 318 676
Less expenses waived and reimbursed by
Adviser or Distributor (337) (141) (123) (200) (347)
------- ------- ------- ------ -------
Net expenses 526 2,286 793 118 329
------- ------- ------- ------ -------
Net Investment Income (Loss) 2,202 (1,896) 341 130 2,884
------- ------- ------- ------ -------
Realized and Unrealized Gain (Loss)
on Investments:
Net realized gain (loss) from:
Currency contracts - - - 8 71
Futures contracts 4,733 - - - (344)
Swap contracts - - - - 540
Securities transactions (145) 15,795 5,063 (596) 5,109
------- ------- ------- ------ -------
4,588 15,795 5,063 (588) 5,376
------- ------- ------- ------ -------
Net change in unrealized appreciation
(depreciation):
Currency contracts - - - 5 43
Futures contracts 877 - - - 130
Swap contracts - - - - (1)
Investments 34,678 54,524 18,395 3,052 (2,299)
------- ------- ------- ------ -------
35,555 54,524 18,395 3,057 (2,127)
------- ------- ------- ------ -------
Net Realized and Unrealized Gain
on Investments 40,143 70,319 23,458 2,469 3,249
------- ------- ------- ------ -------
Net Increase in Net Assets Resulting
from Operations $42,345 $68,423 $23,799 $2,599 $ 6,133
======= ======= ======= ====== =======
--
The Notes to Financial Statements are an integral part of these statements. 51
CIGNA Funds Group
STATEMENTS OF CHANGES IN NET ASSETS
(In Thousands)
Balanced Fund
(sub-advised by Large Cap Growth/
Wellington Management) Morgan Stanley Fund
---------------------- -------------------------
For the Year Ended For the Year Ended
December 31, December 31,
---------------------- -------------------------
2003 2002 2003 2002
- ---------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 301 $ 309 $ 8 $ (2)
Net realized gain (loss) on Investments (72) (890) 456 (2,935)
Net unrealized appreciation (depreciation)
on Investments 2,325 (913) 2,144 (383)
-------- -------- -------- --------
Net increase (decrease) from operations 2,554 (1,494) 2,608 (3,320)
-------- -------- -------- --------
Dividends and Distributions:
From net investment income
Institutional Class (125) (112) (5) -
Premier Class (133) (113) (3) -
Retail Class (132) (107) - -
From net realized capital gains
Institutional Class - - - -
Premier Class - - - -
Retail Class - - - -
-------- -------- -------- --------
Total dividends and distributions (390) (332) (8) -
-------- -------- -------- --------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 11 - 91 226
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 125 112 5 -
-------- -------- -------- --------
136 112 96 226
Cost of shares redeemed - - (90) (85)
-------- -------- -------- --------
Total from Institutional Class 136 112 6 141
-------- -------- -------- --------
Premier Class
Net proceeds from sales of shares 492 229 988 586
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 133 113 3 -
-------- -------- -------- --------
625 342 991 586
Cost of shares redeemed (216) (57) (252) (253)
-------- -------- -------- --------
Total from Premier Class 409 285 739 333
-------- -------- -------- --------
Retail Class
Net proceeds from sales of shares 1,511 2,075 2,869 3,062
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 132 107 - -
-------- -------- -------- --------
1,643 2,182 2,869 3,062
Cost of shares redeemed (852) (582) (1,978) (654)
-------- -------- -------- --------
Total from Retail Class 791 1,600 891 2,408
-------- -------- -------- --------
Net increase from Fund share transactions 1,336 1,997 1,636 2,882
-------- -------- -------- --------
Total Net Increase (Decrease) in Net Assets 3,500 171 4,236 (438)
Net Assets:
Beginning of period 13,065 12,894 9,979 10,417
-------- -------- -------- --------
End of period* $ 16,565 $ 13,065 $ 14,215 $ 9,979
======== ======== ======== ========
* Includes undistributed (overdistributed) net
investment income of: $ 5 $ 44 $ - $ -
======== ======== ======== ========
Large Cap Value/
John A. Levin & Co. Fund S&P 500(R) Index Fund
------------------------ --------------------------
For the Year Ended For the Year Ended
December 31, December 31,
------------------------- --------------------------
2003 2002 2003 2002
------------- -------- ----------- --------
Operations:
Net investment income (loss) $ 192 $ 155 $ 2,202 $ 2,075
Net realized gain (loss) on Investments (2,352) (1,378) 4,588 (9,347)
Net unrealized appreciation (depreciation)
on Investments 7,443 (3,838) 35,555 (33,650)
------- ------- -------- --------
Net increase (decrease) from operations 5,283 (5,061) 42,345 (40,922)
------- ------- -------- --------
Dividends and Distributions:
From net investment income
Institutional Class (56) (40) (1,762) (1,832)
Premier Class (97) (49) (106) (33)
Retail Class (71) (44) (427) (260)
From net realized capital gains
Institutional Class - - - -
Premier Class - - - -
Retail Class - - - -
------- ------- -------- --------
Total dividends and distributions (224) (133) (2,295) (2,125)
------- ------- -------- --------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 107 292 463 428
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 56 40 1,762 1,832
------- ------- -------- --------
163 332 2,225 2,260
Cost of shares redeemed (6) (62) (15,899) (3)
------- ------- -------- --------
Total from Institutional Class 157 270 (13,674) 2,257
------- ------- -------- --------
Premier Class
Net proceeds from sales of shares 3,306 1,820 6,433 1,673
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 97 49 106 33
------- ------- -------- --------
3,403 1,869 6,539 1,706
Cost of shares redeemed (990) (752) (1,254) (918)
------- ------- -------- --------
Total from Premier Class 2,413 1,117 5,285 788
------- ------- -------- --------
Retail Class
Net proceeds from sales of shares 5,499 4,909 20,140 14,389
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 71 44 427 260
------- ------- -------- --------
5,570 4,953 20,567 14,649
Cost of shares redeemed (4,372) (1,128) (6,877) (4,502)
------- ------- -------- --------
Total from Retail Class 1,198 3,825 13,690 10,147
------- ------- -------- --------
Net increase from Fund share transactions 3,768 5,212 5,301 13,192
------- ------- -------- --------
Total Net Increase (Decrease) in Net Assets 8,827 18 45,351 (29,855)
Net Assets:
Beginning of period 15,996 15,978 147,010 176,865
------- ------- -------- --------
End of period* $24,823 $15,996 $192,361 $147,010
======= ======= ======== ========
* Includes undistributed (overdistributed) net
investment income of: $ 116 $ 148 $ (3) $ 18
======= ======= ======== ========
52 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
STATEMENTS OF CHANGES IN NET ASSETS continued
(In Thousands)
Small Cap Value/
Small Cap Growth/ Perkins, Wolf, McDonnell
TimesSquare Fund Fund
----------------------- ------------------------
For the Year Ended For the Year Ended
December 31, December 31,
----------------------- ------------------------
2003 2002 2003 2002
--------- ------- ---------- ---------
Operations:
Net investment income (loss) $ (1,896) $ (341) $ 341 $ 109
Net realized gain (loss) on Investments 15,795 (2,761) 5,063 (725)
Net unrealized appreciation (depreciation)
on Investments 54,524 (2,920) 18,395 (3,305)
-------- ------- -------- ---------
Net increase (decrease) from operations 68,423 (6,022) 23,799 (3,921)
-------- ------- -------- ---------
Dividends and Distributions:
From net investment income
Institutional Class (3,632) - (859) (16)
Premier Class (697) - (576) (8)
Retail Class (81) - (454) -
From net realized capital gains
Institutional Class (912) - - (120)
Premier Class (190) - - (114)
Retail Class (30) - - (138)
-------- ------- -------- -------
Total dividends and distributions (5,542) - (1,889) (396)
-------- ------- -------- -------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 233,127 46,629 35,699 5,805
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 4,544 - 859 136
-------- ------- -------- -------
237,671 46,629 36,558 5,941
Cost of shares redeemed (16,286) (731) (9,667) (9)
-------- ------- -------- -------
Total from Institutional Class 221,385 45,898 26,891 5,932
-------- ------- -------- -------
Premier Class
Net proceeds from sales of shares 67,121 600 26,853 4,582
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 887 - 576 122
-------- ------- -------- -------
68,008 600 27,429 4,704
Cost of shares redeemed (14,825) (290) (11,063) (598)
-------- ------- -------- -------
Total from Premier Class 53,183 310 16,366 4,106
-------- ------- -------- -------
Retail Class
Net proceeds from sales of shares 4,300 4,334 15,879 10,723
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 111 - 454 138
-------- ------- -------- -------
4,411 4,334 16,333 10,861
Cost of shares redeemed (2,828) (1,472) (6,698) (2,035)
-------- ------- -------- -------
Total from Retail Class 1,583 2,862 9,635 8,826
-------- ------- -------- -------
Net increase (decrease) from Fund share
transactions 276,151 49,070 52,892 18,864
-------- ------- -------- -------
Total Net Increase (Decrease) in Net Assets 339,032 43,048 74,802 14,547
Net Assets:
Beginning of period 63,751 20,703 35,977 21,430
-------- ------- -------- -------
End of period* $402,783 $63,751 $110,779 $35,977
======== ======= ======== =======
* Includes undistributed (overdistributed) net
investment income of: $ (1) $ (1) $ 27 $ 96
======== ======= ======== ========
International Blend/ TimesSquare
Bank of Ireland Fund Core Plus Bond Fund
-------------------------- ----------------------------
For the Year Ended For the Year Ended
December 31, December 31,
-------------------------- ----------------------------
2003 2002 2003 2002
--------- -------- ----------- ------------
Operations:
Net investment income (loss) $ 130 $ 88 $ 2,884 $ 4,383
Net realized gain (loss) on Investments (588) (1,844) 5,376 (275)
Net unrealized appreciation (depreciation)
on Investments 3,057 (137) (2,127) 4,437
----------- ----------- ----------- -----------
Net increase (decrease) from operations 2,599 (1,893) 6,133 8,545
----------- ----------- ----------- -----------
Dividends and Distributions:
From net investment income
Institutional Class (52) (32) (3,809) (5,963)
Premier Class (61) (35) (97) (47)
Retail Class (28) (13) (164) (60)
From net realized capital gains
Institutional Class - - - (64)
Premier Class - - - (1)
Retail Class - - - (1)
----------- ----------- ----------- -----------
Total dividends and distributions (141) (80) (4,070) (6,136)
----------- ----------- ----------- -----------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 37 1,271 52,006 4,176
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 52 32 3,809 6,027
----------- ----------- ----------- -----------
89 1,303 55,815 10,203
Cost of shares redeemed (1) (1,252) (119,063) (1,656)
----------- ----------- ----------- -----------
Total from Institutional Class 88 51 (63,248) 8,547
----------- ----------- ----------- -----------
Premier Class
Net proceeds from sales of shares 481 707 1,591 882
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 61 35 97 48
----------- ----------- ----------- -----------
542 742 1,688 930
Cost of shares redeemed (390) (446) (386) (235)
----------- ----------- ----------- -----------
Total from Premier Class 152 296 1,302 695
----------- ----------- ----------- -----------
Retail Class
Net proceeds from sales of shares 794 2,240 3,651 3,260
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 28 13 164 61
----------- ----------- ----------- -----------
822 2,253 3,815 3,321
Cost of shares redeemed (485) (1,519) (2,651) (2,056)
----------- ----------- ----------- -----------
Total from Retail Class 337 734 1,164 1,265
----------- ----------- ----------- -----------
Net increase (decrease) from Fund share
transactions 577 1,081 (60,782) 10,507
----------- ----------- ----------- -----------
Total Net Increase (Decrease) in Net Assets 3,035 (892) (58,719) 12,916
Net Assets:
Beginning of period 8,806 9,698 104,807 91,891
----------- ----------- ----------- -----------
End of period* $ 11,841 $ 8,806 $ 46,088 $ 104,807
=========== =========== =========== ===========
* Includes undistributed (overdistributed) net
investment income of: $ (2) $ (1) $ (125) $ (236)
=========== =========== =========== ===========
--
The Notes to Financial Statements are an integral part of these statements. 53
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS
Balanced Fund (sub-advised by Wellington Management)(1)
-----------------------------------------------------------------
For the Year/Period Ended December 31,
-----------------------------------------------------------------
2003 2002 2001(e) 2000
----------- ----------- ----------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.40 $ 9.68 $ 10.07 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.21 0.24(f) 0.24 0.27
Net realized and unrealized gain (loss) on investments 1.41 (1.28) (0.41) 0.10
----------- ----------- ----------- -----------
Total from investment operations 1.62 (1.04) (0.17) 0.37
----------- ----------- ----------- -----------
Less dividends and distributions:
Dividends from net investment income (0.26) (0.24) (0.22) (0.30)
----------- ----------- ----------- -----------
Total dividends and distributions (0.26) (0.24) (0.22) (0.30)
----------- ----------- ----------- -----------
Net asset value, end of period $ 9.76 $ 8.40 $ 9.68 $ 10.07
=========== =========== =========== ===========
Total Return(a) 19.27% (10.77)% (1.67)% 3.66%(b)
Ratios to Average Net Assets
Gross expenses 1.83% 1.78% 1.72% 1.76%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.03% 0.98% 0.92% 0.96%(c)
Net expenses 0.80% 0.80% 0.80% 0.80%(c)
Net investment income (loss)(d) 2.34% 2.59% 2.49% 2.78%(c)
Portfolio Turnover 50% 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $ 4,893 $ 4,094 $ 4,585 $ 4,663
Large Cap Growth/Morgan Stanley Fund(1)
-----------------------------------------------------------------
For the Year/Period Ended December 31,
-----------------------------------------------------------------
2003 2002 2001 2000
----------- ----------- ----------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.39 $ 7.44 $ 8.72 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.02 0.01 (A)(f) (0.01)
Net realized and unrealized gain (loss) on investments 1.30 (2.06) (1.28) (1.27)
----------- ----------- ----------- -----------
Total from investment operations 1.32 (2.05) (1.28) (1.28)
----------- ----------- ----------- -----------
Less dividends and distributions:
Dividends from net investment income (0.01) - - -
----------- ----------- ----------- -----------
Total dividends and distributions (0.01) - - -
----------- ----------- ----------- -----------
Net asset value, end of period $ 6.70 $ 5.39 $ 7.44 $ 8.72
=========== =========== =========== ===========
Total Return(a) 24.49% (27.55)% (14.68)% (12.80)%(b)
Ratios to Average Net Assets
Gross expenses 2.07% 2.18% 2.18% 1.79%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.27% 1.38% 1.38% 0.99%(c)
Net expenses 0.80% 0.80% 0.80% 0.80%(c)
Net investment income (loss)(d) 0.33% 0.21% 0.06% (0.11)%(c)
Portfolio Turnover 131% 149% 91% 75%(b)
Net Assets, End of Period (000 omitted) $ 3,154 $ 2,528 $ 3,347 $ 3,926
Large Cap Value/John A. Levin & Co. Fund(1)
-----------------------------------------------------------------
For the Year/Period Ended December 31,
-----------------------------------------------------------------
2003 2002 2001 2000
----------- ----------- ----------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.41 $ 10.24 $ 10.85 $ 10.00
Income from investment operations
Net investment income(d) 0.10(f) 0.09 0.11(f) 0.13
Net realized and unrealized gain (loss)
on investments 2.03 (2.84) (0.57) 1.28
----------- ----------- ----------- -----------
Total from investment operations 2.13 (2.75) (0.46) 1.41
----------- ----------- ----------- -----------
Less dividends and distributions:
Dividends from net investment income (0.11) (0.08) (0.15) (0.56)
Distributions from net realized capital gains - - - -
----------- ----------- ----------- -----------
Total dividends and distributions (0.11) (0.08) (0.15) (0.56)
----------- ----------- ----------- -----------
Net asset value, end of period $ 9.43 $ 7.41 $ 10.24 $ 10.85
=========== =========== =========== ===========
Total Return(a) 28.74% (26.85)% (4.21)% 14.03%(b)
Ratios to Average Net Assets
Gross expenses 1.51% 1.48% 1.47% 1.55%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.71% 0.68% 0.67% 0.75%(c)
Net expenses 0.80% 0.80% 0.80% 0.80%(c)
Net investment income(d) 1.25% 1.17% 1.09% 1.05%(c)
Portfolio Turnover 89% 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $ 4,981 $ 3,778 $ 4,915 $ 5,130
S&P 500(R) Index Fund(2)
------------------------------------------------------------------------
For the Year/Period Ended December 31,
------------------------------------------------------------------------
2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.37 $ 7.01 $ 8.11 $ 10.09 $ 8.55
Income from investment operations
Net investment income(d) 0.09 0.08 0.12 0.14 0.11
Net realized and unrealized gain (loss)
on investments 1.43 (1.64) (1.10) (0.98) 1.66
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.52 (1.56) (0.98) (0.84) 1.77
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Dividends from net investment income (0.09) (0.08) (0.12) (0.19) (0.14)
Distributions from net realized capital gains - - (A) (0.95) (0.09)
----------- ----------- ----------- ----------- -----------
Total dividends and distributions (0.09) (0.08) (0.12) (1.14) (0.23)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 6.80 $ 5.37 $ 7.01 $ 8.11 $ 10.09
=========== =========== =========== =========== ===========
Total Return(a) 28.29% (22.21)% (12.08)% (9.24)% 20.66%
Ratios to Average Net Assets
Gross expenses 0.44% 0.44% 0.44% 0.38% 0.36%
Fees and expenses waived or borne by the
Adviser or Distributor 0.19% 0.19% 0.19% 0.13% 0.01%
Net expenses 0.25% 0.25% 0.25% 0.25% 0.35%
Net investment income(d) 1.43% 1.35% 1.59% 1.46% 1.11%
Portfolio Turnover 2% 4% 2% 9% 3%
Net Assets, End of Period (000 omitted) $ 138,017 $ 121,170 $ 155,364 $ 176,707 $ 352,417
1 Commenced operations on January 20, 2000.
2 All per share data for the S&P 500(R) Index Fund's Institutional Class as
of December 31, 2001 and earlier has been restated to reflect a 1.62 to 1
stock split effective August 15, 2001.
(A) Less than $0.01 per share.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was an increase of $0.01 per share. The
effect to the ratio of net investment income to average net assets was an
increase of 0.05%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
- --
54 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS continued
Small Cap Growth/TimesSquare Fund(2)
------------------------------------------------------------
For the Year/Period Ended December 31,
------------------------------------------------------------
2003 2002 2001 2000
----------- ----------- ----------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.16 $ 10.00 $ 11.00 $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.09)(f) (0.07)(f) (0.06) (0.01)
Net realized and unrealized gain (loss) on investments 3.15 (1.77) (0.94) 1.16
----------- ----------- ----------- -----------
Total from investment operations 3.06 (1.84) (1.00) 1.15
----------- ----------- ----------- -----------
Less dividends and distributions:
Dividends from net investment income (0.13) - - (0.10)
Distributions from net realized capital gains (0.03) - - -
Distributions from capital - - - (0.05)
----------- ----------- ----------- -----------
Total dividends and distributions (0.16) - - (0.15)
----------- ----------- ----------- -----------
Net asset value, end of period $ 11.06 $ 8.16 $ 10.00 $ 11.00
=========== =========== =========== ===========
Total Return(a) 37.48% (18.40)% (9.09)% 11.51%(b)
Ratios to Average Net Assets
Gross expenses 1.12% 1.45% 1.75% 1.81%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.07% 0.40% 0.70% 0.76%(c)
Net expenses 1.05% 1.05% 1.05% 1.05%(c)
Net investment income (loss)(d) (0.86)% (0.85)% (0.66)% (0.12)%(c)
Portfolio Turnover 61% 57% 160% 140%(b)
Net Assets, End of Period (000 omitted) $ 324,742 $ 51,762 $ 9,441 $ 16,552
Small Cap Value/Perkins, Wolf, McDonnell Fund(1)
----------------------------------------------------------------
For the Year/Period Ended December 31,
----------------------------------------------------------------
2003 2002 2001 2000
---------- ---------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.23 $ 12.15 $ 11.38 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.09(f) 0.07(f) 0.13(f) 0.34
Net realized and unrealized gain (loss) on investments 4.09 (1.87) 2.38 2.59
---------- ---------- ---------- ----------
Total from investment operations 4.18 (1.80) 2.51 2.93
---------- ---------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.27) (0.01) (1.36) (1.55)
Distributions from net realized capital gains - (0.11) (0.38) -
Distributions from capital - - - -
---------- ---------- ---------- ----------
Total dividends and distributions (0.27) (0.12) (1.74) (1.55)
---------- ---------- ---------- ----------
Net asset value, end of period $ 14.14 $ 10.23 $ 12.15 $ 11.38
========== ========== ========== ==========
Total Return(a) 40.82% (14.80)% 21.78% 29.22%(b)
Ratios to Average Net Assets
Gross expenses 1.24% 1.54% 1.70% 1.98%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.19% 0.49% 0.65% 0.93%(c)
Net expenses 1.05% 1.05% 1.05% 1.05%(c)
Net investment income (loss)(d) 0.75% 0.64% 1.03% 1.69%(c)
Portfolio Turnover 58% 42% 59% 102%(b)
Net Assets, End of Period (000 omitted) $ 48,164 $ 11,913 $ 7,079 $ 5,812
International Blend/Bank of Ireland Fund(3)
-----------------------------------------------------------
For the Year/Period Ended December 31,
-----------------------------------------------------------
2003 2002 2001 2000
----------- ------------- ------------- -------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.01 $ 7.46 $ 9.41 $ 10.00
Income from investment operations
Net investment income(d) 0.10 0.08 0.07 0.07
Net realized and unrealized gain (loss) on investments 1.63 (1.46) (1.94) (0.46)
--------- --------- --------- ---------
Total from investment operations 1.73 (1.38) (1.87) (0.39)
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.11) (0.07) (0.08) (0.11)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.09)
--------- --------- --------- ---------
Total dividends and distributions (0.11) (0.07) (0.08) (0.20)
--------- --------- --------- ---------
Net asset value, end of period $ 7.63 $ 6.01 $ 7.46 $ 9.41
========= ========= ========= =========
Total Return(a) 28.79% (18.50)% (19.85)% (3.84)%(b)
Ratios to Average Net Assets
Gross expenses 3.11% 3.19% 2.55% 2.59%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 2.06% 2.14% 1.50% 1.54%(c)
Net expenses 1.05% 1.05% 1.05% 1.05%(c)
Net investment income(d) 1.55% 1.13% 0.91% 0.69%(c)
Portfolio Turnover 18% 29% 12% 27%(b)
Net Assets, End of Period (000 omitted) $ 3,725 $ 2,855 $ 3,466 $ 4,326
TimesSquare/Core Plus Bond Fund
--------------------------------------------------------
For the Year/Period Ended December 31,
--------------------------------------------------------
2003 2002 2001(e) 2000
----------- ----------- ----------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.19 $ 9.96 $ 10.27 $ 10.00
Income from investment operations
Net investment income(d) 0.43(f) 0.45(f) 0.59(f) 0.63
Net realized and unrealized gain (loss) on investments 0.33 0.41 0.29 0.34
----------- ----------- ----------- -----------
Total from investment operations 0.76 0.86 0.88 0.97
----------- ----------- ----------- -----------
Less dividends and distributions:
Dividends from net investment income (0.61) (0.62) (1.12) (0.69)
Distributions from net realized capital gains - (0.01) (0.07) (0.01)
Distributions from capital - - - -
----------- ----------- ----------- -----------
Total dividends and distributions (0.61) (0.63) (1.19) (0.70)
----------- ----------- ----------- -----------
Net asset value, end of period $ 10.34 $ 10.19 $ 9.96 $ 10.27
=========== =========== =========== ===========
Total Return(a) 7.66% 8.90% 8.80% 9.93%
Ratios to Average Net Assets
Gross expenses 0.95% 0.80% 0.80% 0.83%
Fees and expenses waived or borne by the Adviser
or Distributor 0.50% 0.35% 0.35% 0.38%
Net expenses 0.45% 0.45% 0.45% 0.45%
Net investment income(d) 4.24% 4.48% 5.69% 6.74%
Portfolio Turnover 194% 396% 351% 310%
Net Assets, End of Period (000 omitted) $ 40,472 $ 101,734 $ 90,835 $ 83,540
1 Commenced operations on January 20, 2000.
2 Commenced operations on January 21, 2000.
3 Commenced operations on January 24, 2000.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was a decrease of $0.01 per share. The
effect to the ratio of net investment income to average net assets was a
decrease of 0.07%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
--
The Notes to Financial Statements are an integral part of these statements. 55
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - PREMIER CLASS
Balanced Fund (sub-advised by Wellington Management)(1)
-------------------------------------------------------
For the Year/Period Ended December 31,
-------------------------------------------------------
2003 2002 2001(e) 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.39 $ 9.67 $ 10.05 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.18 0.22(f) 0.23 0.25
Net realized and unrealized gain (loss) on investments 1.42 (1.28) (0.41) 0.09
--------- --------- --------- ---------
Total from investment operations 1.60 (1.06) (0.18) 0.34
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.24) (0.22) (0.20) (0.29)
--------- --------- --------- ---------
Total dividends and distributions (0.24) (0.22) (0.20) (0.29)
--------- --------- --------- ---------
Net asset value, end of period $ 9.75 $ 8.39 $ 9.67 $ 10.05
========= ========= ========= =========
Total Return(a) 19.08% (10.97)% (1.78)% 3.41%(b)
Ratios to Average Net Assets
Gross expenses 2.03% 1.98% 1.92% 1.96%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.03% 0.98% 0.92% 0.96%(c)
Net expenses 1.00% 1.00% 1.00% 1.00%(c)
Net investment income (loss)(d) 2.14% 2.40% 2.32% 2.58%(c)
Portfolio Turnover 50% 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $ 5,569 $ 4,429 $ 4,786 $ 4,964
Large Cap Growth/Morgan Stanley Fund(1)
-----------------------------------------------------
For the Year/Period Ended December 31,
-----------------------------------------------------
2003 2002 2001 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.36 $ 7.41 $ 8.71 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.01 (A) (0.01) (f) (0.03)
Net realized and unrealized gain (loss) on investments 1.29 (2.05) (1.29) (1.26)
--------- --------- --------- ---------
Total from investment operations 1.30 (2.05) (1.30) (1.29)
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (A) - - -
--------- --------- --------- ---------
Total dividends and distributions (A) - - -
--------- --------- --------- ---------
Net asset value, end of period $ 6.66 $ 5.36 $ 7.41 $ 8.71
========= ========= ========= =========
Total Return(a) 24.34% (27.67)% (14.93)% (12.90)%(b)
Ratios to Average Net Assets
Gross expenses 2.27% 2.38% 2.38% 1.99%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.27% 1.38% 1.38% 0.99%(c)
Net expenses 1.00% 1.00% 1.00% 1.00%(c)
Net investment income (loss)(d) 0.13% 0.01% (0.15)% (0.31)%(c)
Portfolio Turnover 131% 149% 91% 75%(b)
Net Assets, End of Period (000 omitted) $ 4,708 $ 3,140 $ 3,984 $ 4,377
Large Cap Value/John A. Levin & Co. Fund(1)
--------------------------------------------------------
For the Year/Period Ended December 31,
---------------------------------------------------------
2003 2002 2001 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.40 $ 10.22 $ 10.83 $ 10.00
Income from investment operations
Net investment income(d) 0.08(f) 0.06 0.13(f) 0.10
Net realized and unrealized gain (loss) on investments 2.03 (2.82) (0.61) 1.28
--------- --------- --------- ---------
Total from investment operations 2.11 (2.76) (0.48) 1.38
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.10) (0.06) (0.13) (0.55)
Distributions from net realized capital gains - - - -
--------- --------- --------- ---------
Total dividends and distributions (0.10) (0.06) (0.13) (0.55)
--------- --------- --------- ---------
Net asset value, end of period $ 9.41 $ 7.40 $ 10.22 $ 10.83
========= ========= ========= =========
Total Return(a) 28.47% 26.97% (4.39)% 13.78%(b)
Ratios to Average Net Assets
Gross expenses 1.71% 1.68% 1.67% 1.75%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.71% 0.68% 0.67% 0.75%(c)
Net expenses 1.00% 1.00% 1.00% 1.00%(c)
Net investment income(d) 1.04% 0.99% 0.89% 0.85%(c)
Portfolio Turnover 89% 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $ 9,905 $ 5,780 $ 6,657 $ 5,842
S&P 500(R) Index Fund(2)
------------------------------------------------------
For the Year/Period Ended December 31,
------------------------------------------------------
2003 2002 2001 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.38 $ 7.01 $ 8.11 $ 10.00
Income from investment operations
Net investment income(d) 0.07 0.08 0.08 0.15
Net realized and unrealized gain (loss) on investments 1.46 (1.64) (1.07) (0.82)
--------- --------- --------- ---------
Total from investment operations 1.53 (1.56) (0.99) (0.67)
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.08) (0.07) (0.11) (0.25)
Distributions from net realized capital gains - - (A) (0.97)
--------- --------- --------- ---------
Total dividends and distributions (0.08) (0.07) (0.11) (1.22)
--------- --------- --------- ---------
Net asset value, end of period $ 6.83 $ 5.38 $ 7.01 $ 8.11
========= ========= ========= =========
Total Return(a) 28.48% (22.24)% (12.20)% (7.64)%(b)
Ratios to Average Net Assets
Gross expenses 0.63% 0.63% 0.64% 0.58%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.28% 0.28% 0.29% 0.23%(c)
Net expenses 0.35% 0.35% 0.35% 0.35%(c)
Net investment income(d) 1.34% 1.25% 1.59% 1.36%(c)
Portfolio Turnover 2% 4% 2% 9%(b)
Net Assets, End of Period (000 omitted) $ 9,092 $ 2,561 $ 2,596 $ 846
1 Commenced operations on January 20, 2000.
2 Commenced operations on January 21, 2000.
(A) Less than $0.01 per share.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was an increase of $0.01 per share. The
effect to the ratio of net investment income to average net assets was an
increase of 0.04%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
- --
56 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - PREMIER CLASS continued
Small Cap Growth/TimesSquare Fund(2)
------------------------------------------------------------
For the Year/Period Ended December 31,
------------------------------------------------------------
2003 2002 2001 2000
---------- ---------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.12 $ 9.97 $ 10.98 $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.11)(f) (0.09)(f) (0.08) (0.02)
Net realized and unrealized gain (loss) on investments 3.16 (1.76) (0.93) 1.15
---------- ---------- ---------- ----------
Total from investment operations 3.05 (1.85) (1.01) 1.13
---------- ---------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.12) - - (0.10)
Distributions from net realized capital gains (0.03) - - -
Distributions from capital - - - (0.05)
---------- ---------- ---------- ----------
Total dividends and distributions (0.15) - - (0.15)
---------- ---------- ---------- ----------
Net asset value, end of period $ 11.02 $ 8.12 $ 9.97 $ 10.98
========== ========== ========== ==========
Total Return(a) 37.53% (18.56)% (9.20)% 11.26%(b)
Ratios to Average Net Assets
Gross expenses 1.32% 1.65% 1.95% 2.01%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.07% 0.40% 0.70% 0.76%(c)
Net expenses 1.25% 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) (1.06)% (1.06)% (0.87)% (0.32)%(c)
Portfolio Turnover 61% 57% 160% 140%(b)
Net Assets, End of Period (000 omitted) $ 67,375 $ 5,482 $ 6,370 $ 6,640
Small Cap Value/Perkins, Wolf, McDonnell Fund(1)
----------------------------------------------------------------
For the Year/Period Ended December 31,
----------------------------------------------------------------
2003 2002 2001 2000
---------- ---------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.19 $ 12.12 $ 11.37 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.06(f) 0.05(f) 0.10(f) 0.32
Net realized and unrealized gain (loss) on investments 4.07 (1.86) 2.37 2.59
---------- ---------- ---------- ----------
Total from investment operations 4.13 (1.81) 2.47 2.91
---------- ---------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.25) (0.01) (1.34) (1.54)
Distributions from net realized capital gains - (0.11) (0.38) -
Distributions from capital - - - -
---------- ---------- ---------- ----------
Total dividends and distributions (0.25) (0.12) (1.72) (1.54)
---------- ---------- ---------- ----------
Net asset value, end of period $ 14.07 $ 10.19 $ 12.12 $ 11.37
========== ========== ========== ==========
Total Return(a) 40.53% (14.97)% 21.53% 28.96%(b)
Ratios to Average Net Assets
Gross expenses 1.45% 1.74% 1.90% 2.18%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.20% 0.49% 0.65% 0.93%(c)
Net expenses 1.25% 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) 0.54% 0.47% 0.82% 1.49%(c)
Portfolio Turnover 58% 42% 59% 102%(b)
Net Assets, End of Period (000 omitted) $ 33,318 $ 10,934 $ 8,125 $ 6,178
International Blend/Bank of Ireland Fund(3)
------------------------------------------------------
For the Year/Period Ended December 31,
------------------------------------------------------
2003 2002 2001 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.00 $ 7.45 $ 9.39 $ 10.00
Income from investment operations
Net investment income(d) 0.09 0.06 0.05 0.04
Net realized and unrealized gain (loss) on investments 1.62 (1.46) (1.93) (0.45)
--------- --------- --------- ---------
Total from investment operations 1.71 (1.40) (1.88) (0.41)
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.09) (0.05) (0.06) (0.11)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.09)
--------- --------- --------- ---------
Total dividends and distributions (0.09) (0.05) (0.06) (0.20)
--------- --------- --------- ---------
Net asset value, end of period $ 7.62 $ 6.00 $ 7.45 $ 9.39
========= ========= ========= =========
Total Return(a) 28.56% (18.76)% (19.98)% (4.09)%(b)
Ratios to Average Net Assets
Gross expenses 3.36% 3.44% 2.80% 2.84%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 2.11% 2.19% 1.55% 1.59%(c)
Net expenses 1.25% 1.25% 1.25% 1.25%(c)
Net investment income(d) 1.35% 0.95% 0.65% 0.49%(c)
Portfolio Turnover 18% 29% 12% 27%(b)
Net Assets, End of Period (000 omitted) $ 5,317 $ 4,059 $ 4,739 $ 5,001
TimesSquare/Core Plus Bond Fund(2)
--------------------------------------------------------------
For the Year/Period Ended December 31,
---------------------------------------------------------------
2003 2002 2001(e) 2000
---------- --------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.16 $ 9.95 $ 10.28 $ 10.00
Income from investment operations
Net investment income(d) 0.39(f) 0.43(f) 0.50(f) 0.57
Net realized and unrealized gain (loss) on investments 0.34 0.38 0.34 0.40
---------- --------- ---------- ----------
Total from investment operations 0.73 0.81 0.84 0.97
---------- --------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.59) (0.59) (1.10) (0.68)
Distributions from net realized capital gains - (0.01) (0.07) (0.01)
Distributions from capital - - - -
---------- --------- ---------- ----------
Total dividends and distributions (0.59) (0.60) (1.17) (0.69)
---------- --------- ---------- ----------
Net asset value, end of period $ 10.30 $ 10.16 $ 9.95 $ 10.28
========== ========= ========== ==========
Total Return(a) 7.31% 8.44% 8.36% 9.92%(b)
Ratios to Average Net Assets
Gross expenses 1.35% 1.20% 1.20% 1.23%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.50% 0.35% 0.35% 0.38%(c)
Net expenses 0.85% 0.85% 0.85% 0.85%(c)
Net investment income(d) 4.04% 4.41% 5.15% 6.34%(c)
Portfolio Turnover 194% 396% 351% 310%(b)
Net Assets, End of Period (000 omitted) $ 2,515 $ 1,186 $ 462 $ 128
1 Commenced operations on January 20, 2000.
2 Commenced operations on January 21, 2000.
3 Commenced operations on January 24, 2000.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was a decrease of $0.01 per share. The
effect to the ratio of net investment income to average net assets was a
decrease of 0.06%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
--
The Notes to Financial Statements are an integral part of these statements. 57
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - RETAIL CLASS
Balanced Fund (sub-advised by Wellington Management)(1)
-------------------------------------------------------
For the Year/Period Ended December 31,
-------------------------------------------------------
2003 2002 2001(e) 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.36 $ 9.64 $ 10.04 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.17 0.19(f) 0.21 0.17
Net realized and unrealized gain (loss) on investments 1.40 (1.27) (0.42) 0.16
--------- --------- --------- ---------
Total from investment operations 1.57 (1.08) (0.21) 0.33
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.22) (0.20) (0.19) (0.29)
--------- --------- --------- ---------
Total dividends and distributions (0.22) (0.20) (0.19) (0.29)
--------- --------- --------- ---------
Net asset value, end of period $ 9.71 $ 8.36 $ 9.64 $ 10.04
========= ========= ========= =========
Total Return(a) 18.79% (11.17)% (2.14)% 3.25%(b)
Ratios to Average Net Assets
Gross expenses 2.28% 2.23% 2.17% 2.21%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.03% 0.98% 0.92% 0.96%(c)
Net expenses 1.25% 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) 1.91% 2.16% 2.07% 2.33%(c)
Portfolio Turnover 50% 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $ 6,103 $ 4,542 $ 3,523 $ 2,180
Large Cap Growth/Morgan Stanley Fund(1)
------------------------------------------------------
For the Year/Period Ended December 31,
------------------------------------------------------
2003 2002 2001 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.32 $ 7.37 $ 8.69 $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.01) (A) (0.03)(f) (0.04)
Net realized and unrealized gain (loss) on investments 1.29 (2.05) (1.29) (1.27)
--------- --------- --------- ---------
Total from investment operations 1.28 (2.05) (1.32) (1.31)
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income - - - -
--------- --------- --------- ---------
Total dividends and distributions - - - -
--------- --------- --------- ---------
Net asset value, end of period $ 6.60 $ 5.32 $ 7.37 $ 8.69
========= ========= ========= =========
Total Return(a) 24.06% (27.82)% (15.19)% (13.10)%(b)
Ratios to Average Net Assets
Gross expenses 2.52% 2.63% 2.63% 2.24%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.27% 1.38% 1.38% 0.99%(c)
Net expenses 1.25% 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) (0.12)% (0.20)% (0.39)% (0.56)%(c)
Portfolio Turnover 131% 149% 91% 75%(b)
Net Assets, End of Period (000 omitted) $ 6,353 $ 4,311 $ 3,086 $ 2,107
Large Cap Value/John A. Levin & Co. Fund(1)
----------------------------------------------------------
For the Year/Period Ended December 31,
----------------------------------------------------------
2003 2002 2001 2000
--------- --------- --------- ---------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.37 $ 10.19 $ 10.81 $ 10.00
Income from investment operations
Net investment income(d) 0.07(f) 0.06 0.06(f) 0.07
Net realized and unrealized gain (loss) on investments 2.00 (2.83) (0.56) 1.28
--------- --------- --------- ---------
Total from investment operations 2.07 (2.77) (0.50) 1.35
--------- --------- --------- ---------
Less dividends and distributions:
Dividends from net investment income (0.07) (0.05) (0.12) (0.54)
Distributions from net realized capital gains - - - -
--------- --------- --------- ---------
Total dividends and distributions (0.07) (0.05) (0.12) (0.54)
--------- --------- --------- ---------
Net asset value, end of period $ 9.37 $ 7.37 $ 10.19 $ 10.81
========= ========= ========= =========
Total Return(a) 28.09% 27.17% (4.61)% 13.52%(b)
Ratios to Average Net Assets
Gross expenses 1.95% 1.93% 1.92% 2.00%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.70% 0.68% 0.67% 0.75%(c)
Net expenses 1.25% 1.25% 1.25% 1.25%(c)
Net investment income(d) 0.82% 0.80% 0.64% 0.60%(c)
Portfolio Turnover 89% 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $ 9,937 $ 6,438 $ 4,406 $ 1,934
S&P 500(R) Index Fund(2)
----------------------------------------------------------
For the Year/Period Ended December 31,
----------------------------------------------------------
2003 2002 2001 2000
---------- ---------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.35 $ 6.99 $ 8.09 $ 10.00
Income from investment operations
Net investment income(d) 0.07 0.06 0.09 0.13
Net realized and unrealized gain (loss) on investments 1.43 (1.64) (1.09) (0.83)
---------- ---------- ---------- ----------
Total from investment operations 1.50 (1.58) (1.00) (0.70)
---------- ---------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.07) (0.06) (0.10) (0.24)
Distributions from net realized capital gains - - (A) (0.97)
---------- ---------- ---------- ----------
Total dividends and distributions (0.07) (0.06) (0.10) (1.21)
---------- ---------- ---------- ----------
Net asset value, end of period $ 6.78 $ 5.35 $ 6.99 $ 8.09
========== ========== ========== ==========
Total Return(a) 27.97% (22.59)% (12.41)% (7.94)%(b)
Ratios to Average Net Assets
Gross expenses 0.88% 0.88% 0.89% 0.83%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.28% 0.28% 0.29% 0.23%(c)
Net expenses 0.60% 0.60% 0.60% 0.60%(c)
Net investment income(d) 1.08% 1.02% 1.27% 1.11%(c)
Portfolio Turnover 2% 4% 2% 9%(b)
Net Assets, End of Period (000 omitted) $ 45,252 $ 23,279 $ 18,905 $ 10,427
1 Commenced operations on January 20, 2000.
2 Commenced operations on January 21, 2000.
(A) Less than $0.01 per share
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was an increase of $0.02 per share. The
effect to the ratio of net investment income to average net assets was an
increase of 0.05%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
- --
58 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - RETAIL CLASS continued
Small Cap Growth/TimesSquare Fund(2)
--------------------------------------------------------------
For the Year/Period Ended December 31,
--------------------------------------------------------------
2003 2002 2001 2000
---------- ---------- --------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.07 $ 9.93 $ 10.96 $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.12)(f) (0.11)(f) (0.07) (0.04)
Net realized and unrealized gain (loss) on investments 3.11 (1.75) (0.96) 1.14
---------- ---------- --------- -----------
Total from investment operations 2.99 (1.86) (1.03) 1.10
---------- ---------- --------- -----------
Less dividends and distributions:
Dividends from net investment income (0.09) - - (0.09)
Distributions from net realized capital gains (0.03) - - -
Distributions from capital - - - (0.05)
---------- ---------- --------- -----------
Total dividends and distributions (0.12) - - (0.14)
---------- ---------- --------- -----------
Net asset value, end of period $ 10.94 $ 8.07 $ 9.93 $ 10.96
========== ========== ========= ===========
Total Return(a) 37.02% (18.73)% (9.40)% 11.00%(b)
Ratios to Average Net Assets
Gross expenses 1.57% 1.90% 2.18% 2.26%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.07% 0.40% 0.68% 0.76%(c)
Net expenses 1.50% 1.50% 1.50% 1.50%(c)
Net investment income (loss)(d) (1.31)% (1.30)% (1.14)% (0.57)%(c)
Portfolio Turnover 61% 57% 160% 140%(b)
Net Assets, End of Period (000 omitted) $ 10,666 $ 6,507 $ 4,892 $ 2,905
Small Cap Value/Perkins, Wolf, McDonnell Fund(1)
----------------------------------------------------------------
For the Year/Period Ended December 31,
----------------------------------------------------------------
2003 2002 2001 2000
---------- ---------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.14 $ 12.07 $ 11.34 $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.03(f) 0.03(f) 0.07(f) 0.27
Net realized and unrealized gain (loss) on investments 4.03 (1.85) 2.36 2.60
---------- ---------- ---------- ----------
Total from investment operations 4.06 (1.82) 2.43 2.87
---------- ---------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.22) - (1.32) (1.53)
Distributions from net realized capital gains - (0.11) (0.38) -
Distributions from capital - - - -
---------- ---------- ---------- ----------
Total dividends and distributions (0.22) (0.11) (1.70) (1.53)
---------- ---------- ---------- ----------
Net asset value, end of period $ 13.98 $ 10.14 $ 12.07 $ 11.34
========== ========== ========== ==========
Total Return(a) 40.07% (15.18)% 21.28% 28.60%(b)
Ratios to Average Net Assets
Gross expenses 1.70% 1.99% 2.15% 2.43%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.20% 0.49% 0.65% 0.93%(c)
Net expenses 1.50% 1.50% 1.50% 1.50%(c)
Net investment income (loss)(d) 0.23% 0.24% 0.58% 1.24%(c)
Portfolio Turnover 58% 42% 59% 102%(b)
Net Assets, End of Period (000 omitted) $ 29,297 $ 13,130 $ 6,226 $ 1,973
International Blend/Bank of Ireland Fund(3)
----------------------------------------------------
For the Year/Period Ended December 31,
----------------------------------------------------
2003 2002 2001 2000
------- --------- --------- -----------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.95 $ 7.42 $ 9.37 $ 10.00
Income from investment operations
Net investment income(d) 0.06 0.04 0.04 (A)
Net realized and unrealized gain (loss) on investments 1.62 (1.47) (1.94) (0.44)
------- --------- --------- -----------
Total from investment operations 1.68 (1.43) (1.90) (0.44)
------- --------- --------- -----------
Less dividends and distributions:
Dividends from net investment income (0.08) (0.04) (0.05) (0.10)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.09)
------- --------- --------- -----------
Total dividends and distributions (0.08) (0.04) (0.05) (0.19)
------- --------- --------- -----------
Net asset value, end of period $ 7.55 $ 5.95 $ 7.42 $ 9.37
======= ========= ========= ===========
Total Return(a) 28.22% (19.23)% (20.29)% (4.35)%(b)
Ratios to Average Net Assets
Gross expenses 3.61% 3.69% 3.05% 3.09%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 2.11% 2.19% 1.55% 1.59%(c)
Net expenses 1.50% 1.50% 1.50% 1.50%(c)
Net investment income(d) 1.09% 0.61% 0.38% 0.24%(c)
Portfolio Turnover 18% 29% 12% 27%(b)
Net Assets, End of Period (000 omitted) $ 2,799 $ 1,892 $ 1,493 $ 1,371
TimesSquare/Core Plus Bond Fund(2)
---------------------------------------------------------------
For the Year/Period Ended December 31,
---------------------------------------------------------------
2003 2002 2001(e) 2000
---------- --------- ---------- ----------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.12 $ 9.92 $ 10.27 $ 10.00
Income from investment operations
Net investment income(d) 0.41(f) 0.41(f) 0.54(f) 0.51
Net realized and unrealized gain (loss) on investments 0.30 0.39 0.28 0.45
---------- --------- ---------- ----------
Total from investment operations 0.71 0.80 0.82 0.96
---------- --------- ---------- ----------
Less dividends and distributions:
Dividends from net investment income (0.56) (0.59) (1.10) (0.68)
Distributions from net realized capital gains - (0.01) (0.07) (0.01)
Distributions from capital - - - -
---------- --------- ---------- ----------
Total dividends and distributions (0.56) (0.60) (1.17) (0.69)
---------- --------- ---------- ----------
Net asset value, end of period $ 10.27 $ 10.12 $ 9.92 $ 10.27
========== ========= ========== ==========
Total Return(a) 7.20% 8.38% 8.20% 9.79%(b)
Ratios to Average Net Assets
Gross expenses 1.45% 1.30% 1.30% 1.33%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.50% 0.35% 0.35% 0.38%(c)
Net expenses 0.95% 0.95% 0.95% 0.95%(c)
Net investment income(d) 3.87% 4.26% 5.15% 6.24%(c)
Portfolio Turnover 194% 396% 351% 310%(b)
Net Assets, End of Period (000 omitted) $ 3,101 $ 1,887 $ 594 $ 215
1 Commenced operations on January 20, 2000.
2 Commenced operations on January 21, 2000.
3 Commenced operations on January 24, 2000.
(A) Less than $0.01 per share
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was a decrease of $0.01 per share. The
effect to the ratio of net investment income to average net assets was a
decrease of 0.06%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
--
The Notes to Financial Statements are an integral part of these statements. 59
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS
1. Organization. CIGNA Funds Group, a Massachusetts business trust (the
"Trust") is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end management investment company. At December 31, 2003 the
Trust offered nine separate series. Information on eight of these series
(referred to as the "Funds" or individually as the "Fund") is presented in this
report, including: Balanced Fund (sub-advised by Wellington Management)
("Balanced Fund"), Large Cap Growth/Morgan Stanley Fund ("Large Cap Growth
Fund"), Large Cap Value/John A. Levin & Co. Fund ("Large Cap Value Fund"), S&P
500(R) Index Fund, Small Cap Growth/TimesSquare Fund ("Small Cap Growth
Fund"), Small Cap Value/Perkins, Wolf, McDonnell Fund ("Small Cap Value Fund")
(formerly called the Small Cap Value/Berger[RegTM] Fund), International
Blend/Bank of Ireland Fund ("International Blend Fund"), and TimesSquare Core
Plus Bond Fund ("Core Plus Bond Fund"). The financial statements of the Money
Market Fund are presented in a separate report. The Trust offers three classes
of shares in each Fund: Institutional Class, Premier Class and Retail Class.
Expenses of the Fund are borne pro rata by the holders of each Class of shares,
except that each Class bears expenses unique to that Class (including any
applicable shareholder servicing fee or distribution fee). Shares of each Class
would receive their pro rata share of net assets of the Fund if the Fund were
liquidated. In addition, the Trustees approve separate dividends on each Class
of shares. The Premier Class Shares of the Funds have a shareholder servicing
fee. The Retail Class Shares of the Funds (and Premier Class shares of the Core
Plus Bond Fund) have a shareholder servicing fee and a distribution fee.
2. Significant Accounting Policies. The preparation of financial statements in
accordance with accounting principles generally accepted in the United States
of America requires management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies consistently followed by the Funds in the
preparation of their financial statements.
A. Security Valuation - Equity securities, including warrants, that are
listed on a national securities exchange or part of the NASDAQ National
Market System are valued at the last sale price (NASDAQ Official Closing
Price ["NOCP"] for NASDAQ stocks) or, if there has been no sale that day,
at the last bid price. Debt securities traded in the over-the-counter
market, including listed securities whose primary markets are believed to
be over-the-counter, are valued on the basis of valuations furnished by
brokers trading in the securities or a pricing service, which determines
valuations for normal, institutional-size trading units of such securities
using market information, transactions for comparable securities and
various relationships between securities which are generally recognized by
institutional traders. Short-term investments with remaining maturities of
up to and including 60 days are valued at amortized cost, which
approximates market. Short-term investments that mature in more than 60
days are valued at current market quotations. Other securities and assets
of the Funds are appraised at fair value as determined in good faith by, or
under the authority of, the Board of Trustees. The Fund's Board of Trustees
has designated the Pricing Committee of TimesSquare Capital Management,
Inc. to make, pursuant to procedures approved by the Board and under the
Board's supervision, all necessary determinations of fair value for the
portfolio securities for which market quotations are not readily available.
When fair valuing securities, the Pricing Committee takes into account
factors such as fundamental and analytical information about the security,
the nature and duration of any restrictions on disposition of the security,
market information (including, for example, factors such as historical
price relationships and valuations for securities with similar
characteristics), and evaluation of significant market events. If events
occurring after the close of the principal market in which securities are
traded (but before the close of regular trading on the NYSE) are believed
to materially affect the value of those securities, such securities are
valued at their fair value, taking such events into account.
B. Delayed Delivery Commitments - The Funds may enter into commitment
agreements - i.e., TBA's - for the purchase of securities at an agreed-upon
price on a specified future date. Since the delivery and payment for such
securities can be scheduled to take place up to three months after the
transaction date, they are subject to market fluctuations. The Funds do not
begin to earn interest on such purchase commitments until the settlement
date. The Funds may sell a purchase commitment prior to settlement for the
purpose of enhancing their total return. The Funds segregate assets with a
market value equal to the amount of its purchase commitments. To the extent
securities are segregated, they may not be available for sale or to meet
redemptions.
60
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
Delayed delivery commitments may increase a Fund's exposure to market
fluctuations and may increase the possibility that a Fund may realize a
short-term gain (subject to taxation) or loss if the Fund must engage in
portfolio transactions in order to honor its commitments. Due to the longer
settlement period, there may be an increased risk of failure of the other
party to honor the transaction. The Funds record changes in market value of
the securities underlying unsettled commitments in unrealized gains and
losses. Gains and losses are realized upon sale of the commitment.
C. Foreign Currency Translations - Foreign currency transactions from
foreign investment activity are translated into U.S. dollars on the
following basis:
(1) market value of investment securities, other assets and liabilities at
the daily rates of exchange, and
(2) purchases and sales of investment securities, dividend and interest
income and certain expenses at the rates of exchange prevailing on
the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments
which is due to changes in foreign exchange rates from that which is due to
changes in market prices of the investments. Such fluctuations are included
with the net realized and unrealized gains and losses from investments.
Net realized and unrealized gains (losses) from foreign currency-related
transactions include gains and losses between trade and settlement dates on
securities transactions, gains and losses arising from the sales of foreign
currency, and gains and losses between the ex-dividend and payment dates on
dividends, interest, and foreign withholding taxes.
D. Foreign Investments - The Funds may invest in securities of foreign
countries and governments, which involve certain risks in addition to those
inherent in domestic investments. Such risks generally include, among
others, currency risk (fluctuations in currency exchange rates),
information risk (key information may be inaccurate or unavailable) and
political risk (expropriation, nationalization or the imposition of capital
or currency controls or punitive taxes). Other risks of investing in
foreign securities include inadequate accounting controls, liquidity and
valuation risks.
E. Forward Currency Transactions - Certain Funds may enter into forward
exchange contracts for the purpose of hedging against foreign exchange risk
arising from the Fund's investment or anticipated investment in securities
denominated in foreign currencies. A Fund may also enter into these
contracts for purposes of increasing exposure to a foreign currency or to
shift exposure to foreign currency fluctuations from one country to
another. All commitments are marked to market daily at the applicable
translation rates and any resulting unrealized gains or losses are
recorded. Realized gains or losses are recorded at the time the forward
contract matures or by delivery of the currency. Risks may arise upon
entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
F. Futures Contracts - Certain Funds may enter into futures contracts. A
Fund may use futures contracts for reasons such as managing its exposure to
the markets or movements in interest rates and currency values. Upon
entering into a futures contract, the Fund is required to pledge to the
broker an amount of cash and/or securities equal to the initial margin
requirements. During the period a futures contract is open, changes in the
value of a contract are recognized as unrealized gains or losses by
"marking to market" on a daily basis to reflect the market value of the
contract at the end of each day's trading. Daily variation margin payments
are received or made, depending on whether there were unrealized gains or
losses. When a contract is closed, the Fund records a realized gain or loss
equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Futures contracts
include the risk that a change in the value of the contract may not
correlate with the value of the underlying securities and the possibility
of an illiquid market.
G. High Yield Bonds - The Core Plus Bond Fund may invest in high yield
bonds; i.e., fixed income securities rated below investment-grade. While
the market values of these securities tend to react less to fluctuations in
interest rate levels than do those of investment-grade securities, the
market values of certain of these securities also tend to be more sensitive
to individual corporate developments and changes in economic conditions
than investment-grade
61
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
securities. In addition, these securities are often highly leveraged and
may not have more traditional methods of financing available to them so
that their ability to service their debt obligations during an economic
downturn or during sustained periods of rising interest rates may be
impaired.
H. Repurchase Agreements - Certain Funds may engage in repurchase
agreements. Under the terms of a typical repurchase agreement, the Fund
takes possession of an underlying debt obligation, subject to an obligation
of the seller to repurchase, and the Fund to resell, the obligation at an
agreed-upon price and time. It is the Funds' policy that the market value
of the collateral must be at least equal at all times to the total amount
of the repurchase obligations, including interest. Generally, in the event
of counterparty default, the Fund has the right to use the collateral to
offset any losses incurred.
I. Swap Agreements - Certain Funds may enter into swap agreements for
investment, liquidity, hedging and risk management purposes. For example, a
Fund may enter into swap agreements to preserve a return on a particular
investment or a portion of its portfolio and as a technique for managing
duration (i.e., price sensitivity to changes in interest rates). Swaps
involve the exchange of commitments to pay or receive--e.g., an exchange of
floating-rate payments for fixed rate payments and/or payments of the
appreciation or depreciation of a security or an index. If forecasts of
interest rates and other market factors, including those that may impact
the indexes of the total return swaps, are incorrect, investment
performance will differ compared to what performance would have been if
these investment techniques were not used. Even if the forecasts are
correct, there are risks that the positions may correlate imperfectly with
the asset or liability being hedged, a liquid secondary market may not
always exist, or the counterparty to a transaction may default.
As of December 31, 2003, the Core Plus Bond Fund had the following
outstanding swap agreement:
Spread Unrealized
Notional (Basis Termination Appreciation/
Amount Points) Date (Depreciation)
$ 520,000(1) 0 05/01/04 $0
(1)This swap agreement was with Bear Stearns as the Counterparty and the Total
Returns were based on the Bear Stearns High Yield Index.
The terms of the agreement require the Fund to pay LIBOR (which is set
monthly) plus the spread and to receive the monthly total return on the
Index, both based on the notional amount. The Fund records the net amount
receivable/payable on a daily basis. The net receivable/
payable is settled in cash monthly and recorded as realized gain/loss.
J. Security Transactions and Related Investment Income - Security
transactions are accounted for on the trade date (date the order to buy or
sell is executed). Dividend income is recorded on the ex-date and interest
income is recorded on the accrual basis, which includes amortization of
premium and accrual of discount, except that certain dividends from foreign
securities are recorded as soon as the Funds are informed of the
ex-dividend date. Securities gains and losses are determined on the basis
of identified cost.
K. Federal Taxes - For federal income tax purposes, each Fund in the Trust
is taxed as a separate entity. It is each Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income and
capital gains to its shareholders. Therefore, no federal income or excise
taxes on realized income or net capital gains have been accrued.
Distributions reported in the Statements of Changes in Net Assets from net
investment income, including short-term capital gains, and capital gains
are treated as ordinary income and long-term capital gains, respectively,
for federal income tax purposes.
At December 31, 2003, each Fund had a Post-October Loss Deferral of:
Fund Post-October Loss
International Blend Fund 62,790
Core Plus Bond Fund 7,125
Under current tax law, capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following year.
L. Foreign Taxes on Dividends - Dividend income on the Statement of
Operations is shown net of foreign taxes withheld on dividends from foreign
securities. Foreign taxes withheld were as follows: Balanced Fund, $655;
Large Cap
62
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
Value Fund, $2,577; Small Cap Growth Fund, $1,350; International Blend
Fund, $30,879.
M. Dividends and Distributions to Shareholders - Dividends from net
investment income, if any, and distributions from net capital gains, to the
extent such gains would otherwise be taxable to the Fund, are declared and
distributed at least annually (net investment income is declared and
distributed monthly for Core Plus Bond Fund).
Dividends and distributions are recorded by the Fund on the ex-dividend
date. The timing and characterization of certain income and capital gains
distributions are determined in accordance with federal tax regulations,
which may differ from generally accepted accounting principles. These
differences are primarily due to differing book and tax treatment for
premium amortization, real estate investment trust income, deferred
compensation, foreign securities, capital loss carryforwards, deferred
losses due to wash sales, excise tax regulations and net operating losses.
To the extent that such differences are permanent, a reclassification of
the components of Net Assets may be required. As a result, at December 31,
2003, the following reclassifications were done:
(In Thousands)
Undistributed Accumulated
(Overdistributed) Net
Net Realized
Investment Gain Paid-in
Fund Income (Loss) Capital
Balanced Fund $ 50 $ (50) $ 0
S&P 500(R) Index Fund 72 12 (84)
Small Cap Growth Fund 6,306 (6,306) 0
Small Cap Value Fund 1,479 (1,479) 0
International Blend Fund 10 (8) (2)
Core Plus Bond Fund 1,357 (4,204) 2,847
N. Multiclass Operations - Each Class offered by the Trust has equal rights
as to net assets. Income, non-specific expenses, and realized and
unrealized capital gains and losses are allocated to each Class of shares
based on the relative net assets of each Class.
3. Investment Advisory Fees and Other Transactions with Affiliates. Investment
advisory fees are paid or accrued to TimesSquare Capital Management, Inc.
("TimesSquare"), certain officers and directors of which are affiliated with
the Fund. Such advisory fees are based on an annual rate for each Fund (see
below) applied to the average daily net assets of the Fund. TimesSquare has
contractually agreed to reimburse or bear any other expenses for each Fund for
any amount by which expenses (including the advisory fee, but excluding
interest, taxes, transaction costs incurred in acquiring and disposing of
portfolio securities, and extraordinary expenses) exceed, on an annual basis,
certain percentages of average daily net assets until April 30, 2004 and
thereafter, to the extent described in the Fund's then current prospectus.
These percentages are as follows:
Maximum Operating
Expense Ratio
------------------------------------
Advisory Institutional Premier Retail
Fund Fee Class Class Class
Balanced Fund 0.75% 0.80% 1.00% 1.25%
Large Cap Growth Fund 0.80 0.80 1.00 1.25
Large Cap Value Fund 0.75 0.80 1.00 1.25
S&P 500(R) Index Fund 0.25 0.25 0.35 0.60
Small Cap Growth Fund 1.00 1.05 1.25 1.50
Small Cap Value Fund 1.00 1.05 1.25 1.50
International Blend Fund 1.00 1.05 1.25 1.50
Core Plus Bond Fund 0.60 0.45 0.85 0.95
TimesSquare retains the right to be repaid by a Fund if the Fund's expenses
fall below the percentages specified above prior to the end of the fiscal year
or within three years after TimesSquare waives advisory fees or reimburses a
Fund's operating expenses. The following is a list of the Funds' remaining
liability and respective dates of expiration:
63
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
(In Thousands)
Remaining Expires Expires Expires
Contingent during during during
Fund Liability 2004 2005 2006
Balanced Fund $391 $116 $129 $146
Institutional 130 42 43 45
Premier 142 48 45 49
Retail 119 26 41 52
Large Cap Growth Fund 424 134 141 149
Institutional 122 48 39 35
Premier 150 55 48 47
Retail 152 31 54 67
Large Cap Value Fund 341 93 110 138
Institutional 90 32 28 30
Premier 129 40 42 47
Retail 122 21 40 61
S&P 500(R) Index Fund 957 357 301 299
Institutional 737 252 253 232
Premier 17 4 5 8
Retail 203 101 43 59
Small Cap Growth Fund 409 128 140 141
Institutional 275 64 97 114
Premier 84 41 22 21
Retail 50 23 21 6
Small Cap Value Fund 361 114 124 123
Institutional 127 43 34 50
Premier 125 47 42 36
Retail 109 24 48 37
International Blend Fund 542 146 199 197
Institutional 188 58 67 63
Premier 253 69 95 89
Retail 101 19 37 45
Core Plus Bond Fund 1004 309 348 347
Institutional 967 307 341 319
Premier 14 1 3 10
Retail 23 1 4 18
The Balanced, Large Cap Growth, Large Cap Value, Small Cap Value and
International Blend Funds use sub-advisers. Each sub-adviser has the
responsibility for determining what investments shall be purchased, held, and
sold for its particular Fund. TimesSquare is responsible for selecting and
monitoring the performance of the sub-advisers, and for overall management of
the business affairs of all of the Funds. TimesSquare has the ultimate
responsibility to oversee the sub-advisers and recommend their hiring,
termination and replacement.
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, the Funds may invest excess cash, up to 25% of each Fund's total
assets, in the affiliated Money Market Fund (MMF) managed by TimesSquare.
TimesSquare will waive the amount of its advisory fee for the Funds by an
amount that offsets the amount of the advisory fees incurred in the affiliated
Fund as a result of its investment in MMF. For the year ended December 31,
2003, the advisory fees waived by TimesSquare were as follows:
(In Thousands)
Fund Fees Waived
Balanced Fund $ 2
Large Cap Growth Fund 1
Large Cap Value Fund 3
S&P 500(R) Index Fund 63
Small Cap Growth Fund 61
Small Cap Value Fund 33
International Blend Fund 1
Core Plus Bond Fund 21
Income distributions from the MMF for the year ended December 31, 2003, are
included as dividend income in the Statement of Operations as follows:
(In Thousands)
Fund Amount
Balanced Fund $ 5
Large Cap Growth Fund 3
Large Cap Value Fund 8
S&P 500(R) Index Fund 136
Small Cap Growth Fund 125
Small Cap Value Fund 68
International Blend Fund 1
Core Plus Bond Fund 50
64
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
For administrative services, the Funds reimburse TimesSquare for a portion of
the compensation and related expenses of the Trust's Treasurer and Secretary
and certain persons who assist in carrying out the responsibilities of those
offices. For the year ended December 31, 2003, the Funds paid or accrued
$286,109. (The amount incurred by each Fund may be found in the Statement of
Operations.)
With respect to Retail Class shares (and also the Premier Class of Core Plus
Bond Fund), the Funds have adopted a Distribution Plan pursuant to Rule 12b-1
under the Investment Company Act of 1940, which requires the payment of an
annual rate of 0.25%, applied to the average daily net assets of each class
(0.15% for the Premier Class of Core Plus Bond Fund), to CIGNA Financial
Services, Inc. ("CFS"), the Funds' distributor. The distribution fees received
from the 12b-1 plan are used for services provided to the Retail Class (and
also the Premier Class of Core Plus Bond Fund) and expenses primarily intended
to result in the sale of such shares. Premier and Retail Class shares are also
subject to a shareholder servicing fee payable to CFS equal to 0.20% annually
(0.25% for International Blend Fund and Core Plus Bond Fund) applied to the
average daily net assets of each class. The shareholder servicing and
distribution fees will be waived as necessary to limit Premier and Retail Class
expenses, as a percentage of average daily net assets, to the amounts described
above until April 30, 2004, and thereafter, to the extent described in the
Fund's then current prospectus.
TimesSquare and CFS are indirect, wholly-owned subsidiaries of CIGNA
Corporation.
At December 31, 2003, Life Insurance Company of North America, an indirect
wholly-owned subsidiary of CIGNA Corporation, had investments in the Funds as
follows:
(In Thousands)
Fund Shares
Balanced Fund 1,107 65%
Large Cap Growth Fund 901 42
Large Cap Value Fund 979 37
International Blend Fund 1,055 68
4. Trustees' Fees. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of its affiliates.
Trustees may elect to defer all or a portion of their fees, which are invested
in mutual fund shares in accordance with a deferred compensation plan.
5. Purchases and Sales of Securities. Purchases and sales of securities,
excluding short-term obligations, for the year ended December 31, 2003, were as
follows (amounts in thousands):
(In Thousands)
U.S.
Government/
Agency All Other
---------------------- ----------------------
Fund Purchases Sales Purchases Sales
Balanced Fund $ 4,301 $ 1,155 $ 3,828 $ 5,674
Large Cap Growth
Fund 295 712 16,368 14,139
Large Cap Value
Fund 147 -- 20,913 16,559
S&P 500(R) Index
Fund 7 41 3,463 3,810
Small Cap Growth
Fund -- -- 370,106 117,821
Small Cap Value
Fund -- -- 71,223 31,946
International Blend
Fund -- -- 2,125 1,630
Core Plus Bond
Fund 91,751 122,128 27,340 44,699
6. In-Kind Transactions. On June 10, 2003, the Core Plus Fixed Income Fund,
Institutional Class, had a redemption of $86,912,264, of which $45,949,003 was
in cash and $40,963,261 was an in-kind redemption. The Fund incurred realized
gains of $2,846,411 associated with the in-kind redemptions.
7. Capital Stock. Each Fund is a separate series of the Trust, which offers an
unlimited number of shares of beneficial interest, without par value. Changes
in capital shares were as follows (shares and amounts in thousands):
65
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
(In Thousands)
Large Cap Growth S&P 500(R) Index
Balanced Fund Fund Large Cap Value Fund Fund
------------------ ----------------- ----------------------- -----------------------
For the Year
For the Year Ended Ended For the Year Ended For the Year Ended
December 31, December 31, December 31, December 31,
------------------ ----------------- ----------------------- -----------------------
2003 2002 2003 2002 2003 2002 2003 2002
-------- --------- -------- -------- ----------- ----------- ----------- -----------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 1 - 16 35 14 34 76 72
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions 13 13 1 - 6 5 263 343
------ ------ ------ ------ ------ ------ ------ ------
14 13 17 35 20 39 339 415
Shares redeemed - - (15) (16) (1) (9) (2,624) (1)
------ ------ ------ ------ ------ ------ ------ ------
Net change 14 13 2 19 19 30 (2,285) 414
------ ------ ------ ------ ------ ------ ------ ------
Premier Class
Shares sold 54 25 164 92 382 212 1,048 259
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions 13 14 1 - 11 6 16 6
------ ------ ------ ------ ------ ------ ------ ------
67 39 165 92 393 218 1,064 265
Shares redeemed (24) (6) (44) (43) (121) (89) (208) (159)
------ ------ ------ ------ ------ ------ ------ ------
Net change 43 33 121 49 272 129 856 106
------ ------ ------ ------ ------ ------ ------ ------
Retail Class
Shares sold 167 229 494 501 706 571 3,402 2,362
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions 14 13 - - 8 6 63 49
------ ------ ------ ------ ------ ------ ------ ------
181 242 494 501 714 577 3,465 2,411
Shares redeemed (95) (65) (342) (109) (528) (135) (1,139) (765)
------ ------ ------ ------ ------ ------ ------ ------
Net change 86 177 152 392 186 442 2,326 1,646
------ ------ ------ ------ ------ ------ ------ ------
Total net increase in Fund shares 143 223 275 460 477 601 897 2,166
====== ====== ====== ====== ====== ====== ====== ======
66
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS continued
(In Thousands)
Small Cap Growth Fund Small Cap Value Fund International Blend Fund Core Plus Bond Fund
--------------------- -------------------- -------------------- ---------------------
For the Year Ended For the Year Ended For the Year Ended For the Year Ended
December 31, December 31, December 31, December 31,
--------------------- -------------------- -------------------- ---------------------
2003 2002 2003 2002 2003 2002 2003 2002
----------- --------- --------- ---------- ---------- --------- ------------ --------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 24,196 5,485 2,971 569 6 207 4,938 419
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions 414 - 61 13 7 6 369 604
------ ------ ------ ------ ------ ------ ------ ------
24,610 5,485 3,032 582 13 213 5,307 1,023
Shares redeemed (1,594) (89) (790) (1) (A) (202) (11,373) (165)
------ ------ ------ ------ ------ ------ ------ ------
Net change 23,016 5,396 2,242 581 13 11 (6,066) 858
------ ------ ------ ------ ------ ------ ------ ------
Premier Class
Shares sold 6,849 70 2,198 447 72 103 155 89
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions 81 - 41 12 8 6 9 5
------ ------ ------ ------ ------ ------ ------ ------
6,930 70 2,239 459 80 109 164 94
Shares redeemed (1,490) (34) (945) (56) (59) (69) (37) (23)
------ ------ ------ ------ ------ ------ ------ ------
Net change 5,440 36 1,294 403 21 40 127 71
------ ------ ------ ------ ------ ------ ------ ------
Retail Class
Shares sold 464 487 1,339 957 126 360 358 327
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions 10 - 33 14 4 2 16 6
------ ------ ------ ------ ------ ------ ------ ------
474 487 1,372 971 130 362 374 333
Shares redeemed (306) (174) (572) (192) (77) (245) (258) (207)
------ ------ ------ ------ ------ ------ ------ ------
Net change 168 313 800 779 53 117 116 126
------ ------ ------ ------ ------ ------ ------ ------
Total net increase (decrease) in
Fund shares 28,624 5,745 4,336 1,763 87 168 (5,823) 1,055
====== ====== ====== ====== ====== ====== ====== ======
(A) Less than 1.
67
CIGNA Funds Group
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of the CIGNA Funds Group
In our opinion, the accompanying statements of assets and liabilities,
including the investments in securities, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Balanced Fund
(sub-advised by Wellington Management), Large Cap Growth/Morgan Stanley Fund,
Large Cap Value/John A. Levin & Co. Fund, S&P 500(R) Index Fund, Small Cap
Growth/TimesSquare Fund, Small Cap Value/Perkins Wolf, McDonnell Fund (formerly
known as Small Cap Value/Berger[RegTM] Fund), International Blend/Bank of
Ireland Fund, and TimesSquare Core Plus Bond Fund (each a series of CIGNA Funds
Group, hereafter referred to as the "Fund") at December 31, 2003, and the
results of each of their operations, the changes in each of their net assets
and the financial highlights for the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 2003 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2004
68
CIGNA Funds Group (Unaudited)
2003 TAX INFORMATION
% of Ordinary Income % of Net Assets % of Ordinary Income
Dividend derived from invested in U.S. Dividend
U.S. Government Government Obligations designated as
--------------------------- --------------------------- -----------------------
Dividend
Treasury Agency Treasury Agency Qualified Received
Fund Obligations Obligations Obligations Obligations Dividend(1) Deduction(2)
- --------------------------- ------------- ------------- ------------- ------------- ----------- --------------
Balanced Fund 3 22 4 14 54 52
Large Cap Growth Fund -- -- -- -- 100 100
Large Cap Value Fund -- -- -- -- 100 100
S&P 500(R) Index Fund -- -- -- 1 100 100
Small Cap Growth Fund -- -- -- -- 6 6
Small Cap Value Fund -- -- -- -- 43 43
International Blend Fund -- -- -- -- 100 --
Core Plus Bond Fund 11 33 13 39 1 1
(1) Each fund hereby designates this percentage or the maximum amount allowable
of its net taxable income as qualified dividends as provided in the Jobs
and Growth Tax Relief Reconciliation Tax Act of 2003. The 2003 Form
1099-DIV you receive will show the tax status of all distributions paid to
you during the year.
(2) This is available to corporate shareholders only.
Foreign taxes paid during the fiscal year ended December 31, 2003, amounting to
$30,879 ($0.02 per share) are expected to be passed through to shareholders as
100% allowable foreign tax credits on Form 1099-DIV. Gross income derived from
sources within foreign countries amounted to $277,601 ($0.19 per share) for the
fiscal year ended. The Table below contains a breakdown of the foreign taxes
paid and foreign income earned by country for the International Blend Fund:
Institutional Class Premier Class Retail Class
------------------------ ------------------------ -------------------------
Foreign Foreign Foreign Foreign Foreign Foreign
Country Tax % Income % Tax % Income % Tax % Income %
- ---------------- ----------- ---------- ----------- ---------- ----------- -----------
Australia 0.09% 3.06% 0.09% 3.05% 0.09% 3.08%
Bermuda 0.00% 0.08% 0.00% 0.09% 0.00% 0.10%
Canada 0.20% 0.16% 0.20% 0.18% 0.20% 0.21%
China 0.00% 0.86% 0.00% 0.81% 0.00% 0.82%
Finland 1.27% 0.86% 1.27% 0.90% 1.27% 0.92%
France 6.82% 7.15% 6.82% 7.09% 6.82% 7.09%
Germany 8.90% 6.36% 8.90% 6.38% 8.90% 6.37%
Hong Kong 0.00% 2.91% 0.00% 2.87% 0.00% 2.88%
Italy 5.95% 5.34% 5.95% 5.39% 5.95% 5.34%
Ireland 0.75% 0.39% 0.75% 0.45% 0.75% 0.41%
Japan 3.94% 4.48% 3.94% 4.49% 3.94% 4.42%
Korea 3.24% 2.12% 3.24% 2.07% 3.24% 2.05%
Netherlands 16.39% 11.62% 16.39% 11.58% 16.39% 11.61%
Spain 3.45% 2.43% 3.45% 2.51% 3.45% 2.47%
Switzerland 11.73% 8.32% 11.73% 8.35% 11.73% 8.32%
United Kingdom 37.27% 39.66% 37.27% 39.60% 37.27% 39.65%
United States 0.00% 4.20% 0.00% 4.19% 0.00% 4.26%
------ ------ ------ ------ ------ ------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
====== ====== ====== ====== ====== ======
69
CIGNA Funds Group (Unaudited)
TRUSTEES AND OFFICERS
Shareholders elect a Board that oversees the Fund's operations. The Board
appoints officers who are responsible for day-to-day business decisions based
on policies set by the Board.
The following is a list of the Fund's Board of Trustees and officers. Each
Trustee's term of office will be until the next annual meeting of shareholders
or until the election of the Trustee's successor.
Number of
Name, Length Portfolios in Other
Address* Position Held of Time Principal Occupation(s) During Fund Complex Directorships
And Age with Fund Served Past 5 Years Overseen Held by Trustee
- ------------- ---------------- --------------- ------------------------------------- --------------- --------------------
Independent Trustees
Russell H. Trustee Trustee since Vice President (Investor Relations, 14 --
Jones 1995 Public Relations) and Treasurer,
59 Kaman Corporation
(helicopters and aircraft
components, industrial
distribution)
Paul J. Trustee Trustee since Special Advisor to Board of 14 Western
McDonald 1995 Directors, Friendly Ice Cream Massachusetts
60 Corporation (family restaurants Electric Company
and dairy products)
Marnie Trustee Trustee since Diocesan Consultant, Episcopal 14 Boston Mutual Life
Wagstaff 2001 Diocese of Connecticut; Insurance Company
Mueller Previously, Visiting Professor of
64 Health Economics, Wesleyan
University
Carol Ann Trustee Trustee since Director and Chair of Audit 14 Reed & Barton
Hayes 2003 Committee, Reed and Barton Corporation
59 Corporation
Affiliated Trustees and Fund Officers
Richard H. Trustee, Trustee, Managing Director, CIGNA 14 Director of various
Forde Chairman of Chairman and Retirement & Investment Services subsidiaries of
50 the Board and President and TimesSquare Capital CIGNA Corporation
President since 1998 Management, Inc.
David P. Trustee Trustee since Chief Investment Officer, CIGNA 14 Director of various
Marks 2003 Retirement & Investment Services subsidiaries of
57 CIGNA Corporation
Alfred A. Vice President Officer CIGNA Funds Treasurer; 14 --
Bingham III and Treasurer Since 1982 Assistant Vice President,
59 TimesSquare Capital Management, Inc.
Jeffrey S. Vice President Officer Senior Counsel, 14 --
Winer and Secretary Since 1993 CIGNA Corporation
46
- --------------------------------------------------------------------------------
* All Trustees and officers have an address c/o TimesSquare Capital Management,
Inc., 280 Trumbull Street, H16C, Hartford, CT 06103.
- --------------------------------------------------------------------------------
CIGNA Funds Group Funds are open-end, diversified management investment
companies. The investment adviser is TimesSquare Capital Management, Inc., 280
Trumbull Street, Hartford, Connecticut 06103. The Funds are distributed by
CIGNA Financial Services, Inc., P.O. Box 150476, Hartford, Connecticut
06115-0476 (Telephone: 1.888.CIGNA.FS or 1.888.244.6237).
- --------------------------------------------------------------------------------
70
[LOGO] CIGNA Financial Services
P.O. Box 150476
Hartford, CT 06115-0476
www.cigna.com
Member NASD/SIPC 545900
CIGNA Funds Group
Money
Market
Fund
Annual Report
December 31, 2003
- --------------------------------------------------------------------------------
[LOGO]
CIGNA Financial Services
Dear Shareholders:
We are pleased to provide this report for CIGNA Funds Group Money Market Fund
(the "Fund") covering the year ended December 31, 2003.
MANAGEMENT'S DISCUSSION AND ANALYSIS
MARKET ENVIRONMENT
The Federal Reserve (Fed) met four times during the first half of 2003, but
waited until the fourth meeting to cut interest rates. At the June 25 Open
Market Committee meeting, the Fed cut the federal funds rate by 25 basis points
to a 45-year low of 1%. This was the thirteenth interest rate cut since the
easing cycle began in January 2001. The Fed statement noted recent firming in
spending as well as stabilization in labor and "markedly improved financial
conditions." During the second half of 2003, the Fed met four times without
changing interest rates, but at the fourth meeting decided to adjust their bias
from "balanced/disinflation" to "balanced". The market interpreted this as
setting the stage for possible rate increases later on in 2004.
As the year came to a close, the general tone of the markets appeared to be
improving, the consumer remained strong and corporate profits were exceeding
expectations. Economists continued to search for signs of inflation and
strengthening of employment. The Fed was openly signaling its willingness to
support growth, and the markets were focused on trying to find strength in the
economy.
PORTFOLIO COMPOSITION AND PERFORMANCE
On December 31, 2003, the portfolio contained: top-tier asset-backed
securities, 1.8%; top-tier domestic commercial paper, 40.3%; top-tier foreign
commercial paper, 9.9%; and U.S. Government and Agencies, 48.0%. The Fund is
well diversified.
Total returns for the year ended December 31, 2003 were:
Retail Class 0.26%
Premier Class 0.51
Institutional Class 0.76
Lipper Money Market Funds Average 0.44
3-month U.S. Treasury Bill 1.07
-
1
As of December 31, 2003, the Fund's weighted average portfolio maturity was 32
days, and the annualized 7-day yield for each class was:
Retail Class 0.13%
Premier Class 0.38
Institutional Class 0.63
OUTLOOK
Economic data continues to show signs of improvement. Fourth quarter 2003 Gross
Domestic Product (GDP) is estimated to be 4%. However, we expect Fed policy and
interest rates to remain on hold for the first half of 2004. Expectations are
that the Fed will be extremely patient, looking for signs of inflation. Since
inflation is currently below the desired level, consensus speculation is that
monetary policy no longer needs to be preemptive and that the Fed will need to
see improvement in the labor sector and pricing power before tightening. With
this in mind, we will continue to focus on the developing trends in both the
U.S. and global economies as keys to further Fed action, and adjust our
portfolio strategy accordingly.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde
Chairman of the Board and President
CIGNA Funds Group
- -
2
[THE FOLLOWING DATA WAS REPRESENTED AS A LINE CHART IN THE PRINTED MATERIAL]
[PLOT POINTS FOR LINE CHART]
- --------------------------------------------------------------------------------
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
12/31/93 - 12/31/03
Institutional Class 3-Month U.S. Treasury Bill
12/31/1993 $10,000 $10,000
12/31/1994 $10,343 $10,422
12/31/1995 $10,894 $11,020
12/31/1996 $11,429 $11,598
12/31/1997 $12,032 $12,206
12/31/1998 $12,655 $12,823
12/31/1999 $13,271 $13,431
12/31/2000 $14,083 $14,231
12/31/2001 $14,620 $14,813
12/31/2002 $14,819 $15,065
12/31/2003 $14,932 $15,227
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS
1-Year 5-Year 10-Year
Institutional Class 0.76% 3.36% 4.09%
- ---------------------------------------------------------
Money Market Fund (the "Fund") performance figures are historical and reflect
reinvestment of all dividends. The annualized yield for the seven days ended
December 31, 2003 was 0.63% for the Institutional Class, and the Fund's average
maturity was 32 days. An investment in the Fund is not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other government agency.
Although the Fund seeks to preserve the value of your investment at $1.00 per
share, it is possible to lose money by investing in the Fund. Past performance
does not predict future performance and the returns shown in the graph and
table do not reflect the deduction of taxes that a shareholder would pay on
fund distributions and the redemption of fund shares. The return for each Class
has been compared with the total return performance of the three month U.S.
Treasury Bill, which does not reflect brokerage charges or other investment
expenses. The principal value of the U.S. Treasury Bill is guaranteed by the
full faith and credit of the United States.
-
3
Money Market Fund
INVESTMENTS IN SECURITIES
DECEMBER 31, 2003
(IN THOUSANDS) PRINCIPAL VALUE
- ---------------------------------------------------------------------
ASSET BACKED SECURITIES - 1.8%
Chase Manhattan Auto Owner Trust,
1.14%, 4/10/04 $ 5,000 $ 5,000
Honda Auto Receivables Owner Trust,
1.11%, 9/13/04 5,378 5,378
------
Total Asset Backed Securities 10,378
------
COMMERCIAL PAPER - 50.2%
Domestic - 40.3%
American Express Credit Corp.,
1.00%, 1/6/04 3,411 3,411
1.00%, 1/14/04 2,690 2,689
Bear Stearns Co., 1.07%, 1/6/04 20,000 19,997
BellSouth Corp.,
1.02%, 1/7/04 15,000 14,997
1.01%, 1/9/04 4,146 4,145
CAFCO, LLC, 1.07%, 1/14/04 4,315 4,313
Citicorp, 1.04%, 1/20/04 16,510 16,501
Fortune Brands, Inc.,
1.04%, 1/12/04 14,132 14,127
1.04%, 1/26/04 7,830 7,824
General Electric Capital Corp.,
1.14%, 1/28/04 (a) 7,500 7,500
Gillette Co., 0.83%, 1/2/04 3,486 3,486
Goldman Sachs Group, Inc.,
1.07%, 1/8/04 8,487 8,485
1.05%, 1/14/04 671 671
International Business Machine Corp.,
1.03%, 1/14/04 13,000 12,995
Merrill Lynch & Co., Inc., 1.04%, 1/29/04 12,644 12,634
The Notes to Financial Statements are an integral part of these statements.
- -
4
Money Market Fund
INVESTMENTS IN SECURITIES continued
DECEMBER 31, 2003
(IN THOUSANDS) PRINCIPAL VALUE
- ------------------------------------------------------------------------
Minnesota Mining & Manufacturing Co.,
1.05%, 1/12/04 $ 9,796 $ 9,793
Morgan Stanley Dean Witter Co.,
1.08%, 1/7/04 20,410 20,406
Nestle Capital Corp., 1.01%, 1/22/04 7,381 7,377
Old Line Funding Corp.,
1.09%, 1/9/04 9,762 9,760
1.08%, 1/14/04 11,730 11,725
State Street Corp.,
1.05%, 1/2/04 7,359 7,359
1.03%, 1/13/04 11,638 11,634
Sysco Corp., 0.92%, 1/2/04 14,246 14,246
Wells Fargo Bank NA, 1.10%, 1/14/04 (a) 5,000 5,000
-------
231,075
-------
Foreign - 9.9%
National Australia Funding (Delaware), Inc.,
1.05%, 1/5/04 9,335 9,334
1.04%, 1/8/04 10,865 10,863
Novartis Finance Corp., 1.05%, 1/5/04 12,862 12,860
Shell Finance PLC, 0.98%, 1/5/04 1,218 1,218
Toyota Motor Credit Corp.,
1.04%, 1/13/04 10,000 9,996
1.07%, 12/23/04 (a) 12,500 12,509
-------
56,780
-------
Total Commercial Paper 287,855
-------
U.S. GOVERNMENT & AGENCIES (b) - 48.0%
Fannie Mae,
1.02%, 1/2/04 28,000 27,999
1.32%, 1/9/04 2,500 2,499
The Notes to Financial Statements are an integral part of these statements.
-
5
Money Market Fund
INVESTMENTS IN SECURITIES continued
DECEMBER 31, 2003
(IN THOUSANDS) PRINCIPAL VALUE
- -------------------------------------------------------
1.08%, 3/5/04 $ 2,500 $ 2,495
1.08%, 4/2/04 6,000 5,983
1.10%, 4/2/04 3,955 3,944
1.11%, 4/7/04 5,050 5,035
1.01%, 5/27/04 (a) 12,500 12,497
1.36%, 9/10/04 7,500 7,500
1.29%, 10/18/04 7,500 7,500
1.06%, 1/28/05 (a) 11,500 11,497
1.05%, 10/7/05 (a) 20,000 19,996
Federal Farm Credit Bank,
1.25%, 8/18/04 8,912 8,841
1.05%, 3/24/05 (a) 15,000 14,998
1.09%, 6/23/05 (a) 2,500 2,500
Federal Home Loan Bank,
1.03%, 1/2/04 16,480 16,479
5.38%, 1/5/04 2,460 2,461
0.80%, 1/14/04 15,000 14,996
1.10%, 2/20/04 (a) 5,000 5,001
1.07%, 3/24/04 9,245 9,222
1.25%, 4/15/04 2,500 2,500
1.08%, 4/19/04 4,672 4,657
1.17%, 6/7/04 3,000 2,985
1.00%, 10/6/04 (a) 10,000 10,000
Freddie Mac,
1.01%, 1/6/04 15,000 14,998
1.02%, 1/8/04 15,084 15,081
1.02%, 1/14/04 5,898 5,896
1.08%, 1/15/04 8,000 7,997
5.00%, 1/15/04 5,000 5,006
1.29%, 1/29/04 2,500 2,497
The Notes to Financial Statements are an integral part of these statements.
- -
6
Money Market Fund
INVESTMENTS IN SECURITIES continued
DECEMBER 31, 2003
(IN THOUSANDS) PRINCIPAL VALUE
- --------------------------------------------------------------
5.25%, 2/15/04 $5,000 $ 5,023
1.28%, 3/25/04 2,500 2,493
1.11%, 10/7/05 (a) 7,500 7,500
Sallie Mae,
0.99%, 1/15/04 (a) 1,750 1,750
4.75%, 4/23/04 5,500 5,558
--------
Total U.S. Government & Agencies 275,384
--------
TOTAL INVESTMENTS IN SECURITIES - 100%
(Total Cost - $573,617) (c) 573,617
Liabilities in excess of Cash and
Other Assets - 0.0% (241)
--------
NET ASSETS - 100.0% $573,376
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Variable rate security. Rate is as of December 31, 2003.
(b) Agency obligations are not guaranteed by the U.S. Government.
Tax Information
(c) As of December 31, 2003, the cost for federal tax purposes on a tax basis
is the same as on a book basis.
- --------------------------------------------------------------------------------
Ten Largest Positions (Unaudited)
December 31, 2003
Market % of
Value Net
(000) Assets
- --------------------------------------------------------------------------------
Fannie Mae $106,945 18.7%
Federal Home Loan Bank 68,301 11.9
Freddie Mac 66,491 11.6
Federal Farm Credit Bank 26,339 4.6
Toyota Motor Credit Corp. 22,505 3.9
Fortune Brands, Inc. 21,951 3.8
Old Line Funding Corp. 21,485 3.7
Morgan Stanley Dean Witter Co. 20,406 3.6
National Australia Funding (Delaware), Inc. 20,197 3.5
Bear Stearns Co. 19,997 3.5
- --------------------------------------------------------------------------------
The Notes to Financial Statements are an integral part of these statements.
-
7
Money Market Fund
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2003
(IN THOUSANDS)
- ----------------------------------------------------------------
Assets:
Investments in securities at value $573,617
Cash 1
Interest receivable 530
Investment for Trustees' deferred compensation plan 22
Prepaid registration fees 21
--------
Total assets 574,191
--------
Liabilities:
Shareholder servicing and distribution fees payable
to Distributor 429
Investment advisory fees payable 176
Administrative services fees payable 46
Shareholder reports 46
Custodian fees payable 43
Audit and legal fees payable 31
Deferred Trustees' fees payable 22
Insurance expenses payable 19
Transfer agent fees payable 3
--------
Total liabilities 815
--------
Net Assets $573,376
========
Institutional Class $214,160
Premier Class 59,924
Retail Class 299,292
--------
$573,376
========
Shares Outstanding
Institutional Class ($1.00 net asset value per share) 214,163
========
Premier Class ($1.00 net asset value per share) 59,924
========
Retail Class ($1.00 net asset value per share) 299,294
========
Components of Net Assets:
Paid-in capital $573,376
--------
Net Assets $573,376
========
The Notes to Financial Statements are an integral part of these statements.
- -
8
Money Market Fund
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2003
(IN THOUSANDS)
- --------------------------------------------------------------------------------
Investment Income:
Interest $6,662
Expenses:
Investment advisory fees 1,926
Distribution fees
Retail Class 877
Shareholder servicing fees
Premier 27
Retail 877
Administrative services fees 224
Custodian fees 132
Shareholder reports 117
Audit and legal fees 54
Registration fees 35
License fees 24
Insurance expense 20
Trustees' fees 20
Transfer agent fees 10
Other 1
------
Total expenses 4,344
Less expenses waived by adviser (86)
------
Net expenses 4,258
------
Net Investment Income 2,404
------
Realized and Unrealized Gain on
Investments:
Net realized gain from security transactions --
------
Net Realized and Unrealized Gain on
Investments --
------
Net Increase in Net Assets Resulting
From Operations $2,404
======
The Notes to Financial Statements are an integral part of these statements.
-
9
Money Market Fund
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(IN THOUSANDS) 2003 2002
- ------------------------------------------------------------------------------------
Operations:
Net investment income $ 2,404 $ 5,103
Net realized gain from securities transactions -- 4
---------- ----------
Net increase in net assets from operations 2,404 5,107
---------- ----------
Dividends from Net Investment Income:
Institutional Class (1,437) (2,328)
Premier Class (42) (3)
Retail Class (925) (2,739)
---------- ----------
Total dividends and distributions to shareholders (2,404) (5,070)
---------- ----------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 2,468,812 2,193,367
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 1,597 2,463
---------- -----------
2,470,409 2,195,830
Cost of shares redeemed (2,446,150) (2,190,006)
---------- ----------
24,259 5,824
---------- ----------
Premier Class
Net proceeds from sales of shares 69,788 464
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 42 3
---------- ----------
69,830 467
Cost of shares redeemed (10,089) (492)
---------- ----------
59,741 (25)
---------- ----------
Retail Class
Net proceeds from sales of shares 104,937 133,881
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 1,071 2,899
---------- ----------
106,008 136,780
Cost of shares redeemed (166,605) (68,290)
---------- ----------
(60,597) 68,490
---------- ----------
Net increase from Fund share transactions 23,403 74,289
---------- ----------
Net Increase in Net Assets 23,403 74,326
---------- -----------
Net Assets:
Beginning of period 549,973 475,647
---------- ----------
End of period $ 573,376 $ 549,973
========== ==========
The Notes to Financial Statements are an integral part of these statements.
- --
10
Money Market Fund
STATEMENTS OF CHANGES IN NET ASSETS continued
FOR THE YEAR ENDED DECEMBER 31,
(IN THOUSANDS) 2003 2002
- ---------------------------------------------------------------------------------
Transactions in Capital Stock
Institutional Class
Shares sold 2,468,812 2,193,367
Shares issued in reinvestment of dividends and
distributions 1,597 2,463
--------- ---------
2,470,409 2,195,830
Shares redeemed (2,446,150) (2,190,006)
--------- ----------
Net increase in Institutional shares outstanding 24,259 5,824
--------- ----------
Premier Class
Shares sold 69,788 464
Shares issued in reinvestment of dividends and
distributions 42 3
--------- ----------
69,830 467
Shares redeemed (10,089) (492)
--------- ----------
Net increase (decrease) in Premier shares
outstanding 59,741 (25)
--------- ----------
Retail Class
Shares sold 104,937 133,881
Shares issued in reinvestment of dividends and
distributions 1,071 2,899
--------- ----------
106,008 136,780
Shares redeemed (166,605) (68,290)
--------- ----------
Net increase (decrease) in Retail shares
outstanding (60,597) 68,490
--------- ----------
Total net increase in Fund shares 23,403 74,289
========= ==========
The Notes to Financial Statements are an integral part of these statements.
--
11
Money Market Fund
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------
- -----------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain on securities
Total from investment operations
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total dividends and distributions
Net asset value, end of period
Total Return
Ratios to Average Net Assets
Gross expenses
Fees and expenses waived or borne by the Adviser
Net expenses
Net investment income
Net assets, end of period (000 omitted)
(a) Amount less than $0.01 per share
(b) Had the Adviser not waived or reimbursed a portion of the expenses, total
return would have been reduced.
- --
12
INSTITUTIONAL CLASS
- ----------------------------------------------------------------------------
For the Year Ended December 31,
-----------------------------------------------------------------------
2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
0.01 0.01 0.04 0.06 0.05
-- (a) (a) (a) (a)
------- ------- ------- ------- -------
0.01 0.01 0.04 0.06 0.05
------- ------- ------- ------- -------
(0.01) (0.01) (0.04) (0.06) (0.05)
-- -- -- (a) (a)
------- ------- ------- ------- -------
(0.01) (0.01) (0.04) (0.06) (0.05)
------- ------- ------- ------- -------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
0.76%(b) 1.36% 3.81%(b) 6.12%(b) 4.87%(b)
0.47% 0.45% 0.49% 0.47% 0.52%
0.02% 0.00% 0.04% 0.02% 0.07%
0.45% 0.45% 0.45% 0.45% 0.45%
0.76% 1.36% 3.62% 5.94% 4.76%
$214,160 $189,902 $184,060 $159,446 $178,234
--
13
Money Market Fund
FINANCIAL HIGHLIGHTS continued
- -------------------------------------------------------
- -------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain on securities
Total from investment operations
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total dividends and distributions
Net asset value, end of period
Total Return
Ratios to Average Net Assets
Gross expenses
Fees and expenses waived or borne by the Adviser
Net expenses
Net investment income
Net assets, end of period (000 omitted)
(1)Commenced operations on January 26, 2000.
(a) Amount less than $0.01 per share.
(b) Had the Adviser not waived or reimbursed a portion of the expenses,
total return would have been reduced.
(c) Not annualized.
(d) Annualized.
- --
14
Money Market Fund
- -------------------------------------------------------
- -------------------------------------------------------
FINANCIAL HIGHLIGHTS continued
PREMIER CLASS(1)
- -------------------------------------------------------------
For the Year/Period Ended December 31,
- -------------------------------------------------------------
2003 2002 2001 2000
- -------------------------------------------------------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00
0.01 0.01 0.03 0.05
-- (a) (a) (a)
------- ------- ------- ------
0.01 0.01 0.03 0.05
------- ------- ------- ------
(0.01) (0.01) (0.03) (0.05)
-- -- -- (a)
------- ------- ------- ------
(0.01) (0.01) (0.03) (0.05)
------- ------- ------- ------
$ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======
0.51%(b) 1.12% 3.55%(b) 5.50%(b)(c)
0.74% 0.70% 0.73% 0.72%(d)
0.04% 0.00% 0.03% 0.02%(d)
0.70% 0.70% 0.70% 0.70%(d)
0.39% 1.13% 3.22% 5.69%(d)
$59,924 $ 183 $ 207 $ 105
--
15
Money Market Fund
FINANCIAL HIGHLIGHTS continued
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
Net realized and unrealized gain on securities
Total from investment operations
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income
Distributions from capital gains
Total dividends and distributions
Net asset value, end of period
Total Return
Ratios to Average Net Assets
Gross expenses
Fees and expenses waived or borne by the Adviser
Net expenses
Net investment income
Net assets, end of period (000 omitted)
(1)Commenced operations on April 29, 1999.
(a) Amount less than $0.01 per share.
(b) Had the Adviser not waived or reimbursed a portion of the expenses, total
return would have been reduced.
(c) Not annualized.
(d) Annualized.
- --
16
Money Market Fund
FINANCIAL HIGHLIGHTS continued
RETAIL CLASS(1)
- --------------------------------------------------------------------------------
For the Year/Period Ended December 31,
--------------------------------------------------------------------------
2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
(a) 0.01 0.03 0.05 0.03
-- (a) (a) (a) (a)
------- ------- ------- ------- --------
-- 0.01 0.03 0.05 0.03
------- ------- ------- ------- --------
(a) (0.01) (0.03) (0.05) (0.03)
-- -- -- (a) (a)
------- ------- ------- ------- --------
-- (0.01) (0.03) (0.05) (0.03)
------- ------- ------- ------- --------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ========
0.26%(b) 0.87% 3.29%(b) 5.60%(b) 2.97%(b)(c)
0.97% 0.95% 0.98% 0.97% 1.00%(d)
0.02% 0.00% 0.03% 0.02% 0.07%(d)
0.95% 0.95% 0.95% 0.95% 0.93%(d)
0.26% 0.86% 3.10% 5.44% 4.64%(d)
$299,292 $359,888 $291,380 $199,993 $123,655
--
17
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies. Money Market Fund (the "Fund") is a
separate series of CIGNA Funds Group, a Massachusetts business trust (the
"Trust"). The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company. The
objective of the Fund is to provide as high a level of current income as is
consistent with the preservation of capital and liquidity and the maintenance
of $1.00 per share net asset value. The Fund invests exclusively in short-term
money market instruments. The Trust offers three classes of shares:
Institutional Class, Premier Class and Retail Class. Expenses of the Fund are
borne pro rata by the holders of each class of shares, except that each class
bears expenses unique to that class (including any applicable shareholder
servicing fee or 12b-1 distribution fee). Shares of each class would receive
their pro rata share of net assets of the Fund if the Fund were liquidated. In
addition, the Trustees approve separate dividends on each class of shares. The
Institutional Class has a separate transfer agent charge and no 12b-1
distribution fee or shareholder servicing fee. The Premier Class has a
shareholder servicing fee. The Retail Class has a 12b-1 distribution fee and a
shareholder servicing fee.
The preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates. The following is a summary of significant accounting policies
consistently followed by the Fund in the preparation of its financial
statements.
A. Security Valuation -- The Fund's investments are valued at amortized
cost, which the Board of Trustees has determined constitutes fair value and
which, at December 31, 2003, approximates cost for federal income tax
purposes.
B. Security Transactions and Related Investment Income -- Security
transactions are accounted for on the trade date (date the order to buy or
sell is executed). Interest income, which includes amortization of premium
and accretion of discount, is recorded on the accrual basis. Securities
gains and losses are recognized on the specific cost identification basis.
- --
18
Money Market Fund
NOTES TO FINANCIAL STATEMENTS continued
C. Federal Taxes -- For federal income tax purposes, the Fund is taxed as a
separate entity. Its policy is to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income and capital gains to its shareholders.
Therefore, no federal income or excise taxes on realized income or net
capital gains have been accrued. Distributions reported in the Statement of
Changes in Net Assets from net investment income, including short-term
capital gains, and capital gains are treated as ordinary income and
long-term capital gains respectively, for federal income tax purposes.
D. Dividends and Distributions -- Dividends from net investment income are
declared and reinvested daily. Dividends and distributions are recorded by
the Fund on the ex-dividend date. The timing and characterization of
certain income and capital gains distributions are determined in accordance
with federal tax regulations, which may differ from accounting principles
generally accepted in the United States of America. To the extent that such
differences are permanent, a reclassification to paid-in capital may be
required.
2. Investment Advisory Fees and Other Transactions with Affiliates. Investment
advisory fees are paid or accrued to TimesSquare Capital Management, Inc.
("TimesSquare"), certain officers and directors of which are affiliated with
the Fund. Such advisory fees are based on an annual rate of 0.35% applied to
the average daily net assets of the Fund. TimesSquare has voluntarily agreed to
reimburse the Fund for any amount by which its expenses (including the advisory
fee, but excluding interest, taxes, transaction costs incurred in acquiring and
disposing of portfolio securities, and extraordinary expenses) exceed 0.45% of
average daily net assets for the Institutional Class, 0.70% of average daily
net assets for the Premier Class, and 0.95% for the Retail Class, until April
30, 2004, and thereafter, to the extent described in the Fund's then current
prospectus. TimesSquare retains the ability to be repaid by the Fund if the
Fund's expenses fall below the specified limit prior to the end of the fiscal
year or within three years after TimesSquare waives management fees or
reimburses Fund operating expenses. The Fund's remaining contingent liability
and expiration dates are as shown below:
--
19
Money Market Fund
NOTES TO FINANCIAL STATEMENTS continued
Remaining
Contingent Expires during Expires during
Class Liability (000's) 2004 (000's) 2006 (000's)
- --------------------------------------------------------------------------------
Institutional $101 $ 68 $33
Premier 4 0 4
Retail 127 78 49
Total $232 $146 $86
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, other affiliated CIGNA Funds may invest their excess cash in the
Fund. TimesSquare will waive the amount of its advisory fee for the affiliated
Funds in an amount that offsets the amount of the advisory fees incurred by the
Money Market Fund.
For administrative services, the Fund reimburses TimesSquare Capital
Management, Inc. for a portion of the compensation and related expenses of the
Trust's Treasurer and Secretary and certain persons who assist in carrying out
the responsibilities of those offices. For the year ended December 31, 2003,
the Fund paid or accrued $223,807.
With respect to Retail Class shares, the Fund has adopted a Distribution plan
pursuant to Rule 12b-1 under the Investment Company Act of 1940, which requires
the payment of 0.25% annually of the average daily net assets to CIGNA
Financial Services, Inc. ("CFS"), the Fund's distributor. The distribution fees
received from the 12b-1 plan are used for services provided to the Retail Class
and expenses primarily intended to result in the sale of such shares. Premier
and Retail Class shares are also subject to a shareholder servicing fee payable
to CFS equal to 0.25% annually of the average daily net assets of the Fund. The
distribution and shareholder servicing fees will be waived as necessary to
limit Premier and Retail Class expenses, as a percentage of average daily net
assets, to the amounts described above until April 30, 2004, and thereafter to
the extent described in the Fund's then current prospectus.
TimesSquare and CFS are indirect, wholly-owned subsidiaries of CIGNA
Corporation.
3. Trustees' Fees. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of its affiliates.
4. Capital Stock. The Fund is a separate series of the Trust, which offers an
unlimited number of shares of beneficial interest, without par value. At
December 31, 2003, affiliates of CIGNA Corporation owned 99.96% of the
Institutional Class.
- --
20
Report of Independent Auditors
TO THE TRUSTEES AND SHAREHOLDERS OF
CIGNA FUNDS GROUP -- MONEY MARKET FUND
In our opinion, the accompanying statement of assets and liabilities, including
the investments in securities, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Fund (the "Fund")
at December 31, 2003, and the results of its operations, the changes in its net
assets and the financial highlights for the periods indicated, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 2003 by correspondence with the
custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2004
--
21
Money Market Fund
TRUSTEES AND OFFICERS
Shareholders elect a Board that oversees the Fund's operations.
The Board appoints officers who are responsible for day-to-day
business decisions based on policies set by the Board.
Name, Position Length
Address* Held with of Time
and Age Fund Served
- --------------------------------------------------------------------------------
Independent Trustees
Russell H. Jones Trustee Trustee
59 since 1995
Paul J. McDonald Trustee Trustee
60 since 1995
Marnie Wagstaff Mueller Trustee Trustee
64 since 2001
Carol Ann Hayes Trustee Trustee
59 since 2003
Affiliated Trustees and Fund Officers
Richard H. Forde Trustee, Chairman Trustee, Chairman
50 of the Board and President
and President since 1998
David P. Marks Trustee Trustee
57 since 2003
Alfred A. Bingham III Vice President and Officer
59 Treasurer Since 1982
Jeffrey S. Winer Vice President and Officer
46 Secretary Since 1993
- --------------------------------------------------------------------------------
* All Trustees and officers have an address c/o TimesSquare Capital
Management, Inc., 280 Trumbull Street, H16C, Hartford, CT 06103
- --------------------------------------------------------------------------------
Money Market Fund is an open-end, diversified management investment company that
invests in money market instruments. The investment adviser is TimesSquare
Capital Management, Inc., 280 Trumbull Street, Hartford, Connecticut 06103.
- --------------------------------------------------------------------------------
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22
The following is a list of the Trust's Board of Trustees. Each Trustee's term of
office will be until the next annual meeting of shareholders or until the
election of the Trustee's successor.
Number of
Portfolios
in Fund Other
Principal Occupation(s) Complex Directorships
During Past 5 Years Overseen Held by Trustee
- -----------------------------------------------------------------------------
Vice President (Investor Relations, 14 --
Public Relations) and Treasurer,
Kaman Corporation (helicopters
and aircraft components, industrial
distribution)
Special Advisor to Board of 14 Western
Directors, Friendly Ice Cream Massachusetts
Corporation (family restaurants Electric Company
and dairy products)
Diocesan Consultant, Episcopal 14 Boston Mutual Life
Diocese of Connecticut; Previously, Insurance Company
Visiting Professor of Health
Economics, Wesleyan University
Director and Chair of Audit 14 Reed and Barton
Committee, Reed and Barton Corporation
Corporation
Managing Director, CIGNA 14 Director of various
Retirement & Investment subsidiaries of
Services, and TimesSquare CIGNA Corporation
Capital Management, Inc.
Chief Investment Officer, CIGNA 14 Director of various
Retirement & Investment Services subsidiaries of
CIGNA Corporation
CIGNA Funds Treasurer; Assistant 14 --
Vice President, TimesSquare
Capital Management, Inc.
Senior Counsel, 14 --
CIGNA Corporation
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund is distributed by CIGNA Financial Services, Inc., P.O. Box 150476,
Hartford, Connecticut 06115-0476 (telephone: 1.888.CIGNA.FS or 1.888.244.6237).
- --------------------------------------------------------------------------------
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23
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24
[LOGO]
CIGNA Financial Services
P.O. Box 150476 [bullet] Hartford, Connecticut 06115-0476
www.cigna.com [bullet] Member NASD/SIPC
545719
Item 2. Code of Ethics.
The Registrant has adopted a Code of Ethics that applies to its principal
executive officer and principal financial officer. The Registrant undertakes to
provide to any person without charge, upon request, a copy of the Code of
Ethics. Such request can be made to the Secretary of the Registrant, c/o
TimesSquare Capital Management, Inc., 280 Trumbull Street, H16C, Hartford, CT
06103.
Item 3. Audit Committee Financial Expert.
The Registrant's Board of Trustees has determined that Carol Ann Hayes, Russell
H. Jones and Paul J. McDonald are "audit committee financial experts", all of
whom are "independent." Mr. Jones serves as Senior Vice President, Chief
Investment Officer and Treasurer of Kaman Corporation. His responsibilities
include communications with financial analysts concerning Kaman Corporation.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees
For the audit of the Registrant's annual financial statements for the fiscal
year ended December 31, 2002 and December 31, 2003, included in the Registrant's
annual report to shareholders for those fiscal years, PricewaterhouseCoopers LLP
("PWC") billed the Registrant $155,000 and $180,400, respectively.
(b) Audit-Related Fees
For the fiscal years ended December 31, 2002 and December 31, 2003, PWC did not
bill the Registrant for assurance or related services related to the audit of
the Registrant's financial statements.
(c) Tax Fees
For the fiscal years ended December 31, 2002 and December 31, 2003, PWC billed
the Registrant $41,825 and $46,975, respectively, for reviewing the Registrant's
federal income tax and excise tax returns and reviewing excise distribution
estimate calculations.
(d) All Other Fees
For the fiscal years ended December 31, 2002 and December 31, 2003, PWC did not
bill the Registrant for any other products and services.
(e)(1) The Audit Committee has not developed pre-approval policies and
procedures relating to the provision of services to the Registrant by the
Registrant's independent accountant.
(e)(2) For the fiscal years ended December 31, 2002 and December 31, 2003, 100%
of the PWC fees described above under the captions "Audit Related Fees", "Tax
Fees" and "All Other Fees" were approved by the Registrant's Audit Committee
pursuant to paragraph (c)(7)(i)(C) of Rule 2.01 of Regulation S-X.
For the fiscal years ended December 31, 2002 and December 31, 2003, PWC billed
$0 and $15,600, respectively, in fees that were required to be approved by the
Registrant's Audit Committee pursuant to paragraph (c)(7)(ii)(C) of Rule 2.01 of
Regulation S-X. For the fiscal
years ended December 31, 2002 and December 31, 2003, the Registrant's Audit
Committee approved 100% of the fees required to be approved by the Registrant's
Audit Committee pursuant to paragraph (c)(7)(ii)(C) of Rule 2.01 of Regulation
S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by PWC for services rendered to
TimesSquare Capital Management, Inc. ("TimesSquare"), the investment adviser to
the Registrant, and other entities controlling, controlled by, under common
control with TimesSquare that provide ongoing services to the Registrant for
fiscal years ending December 31, 2002 and 2003, were $128,250 and $100,148,
respectively.
(h) In considering PWC's independence, the Audit Committee considered whether
the provision of non-audit services rendered by PWC to TimesSquare and other
entities controlling, controlled by, under common control with TimesSquare that
provide ongoing services to the Registrant that were not pre-approved pursuant
to paragraph (c)(7)(ii)(C) of Rule 2.01 of Regulation S-X was compatible with
maintaining PWC's independence.
Item 5. Audit Committee Listed Registrants.
Not applicable.
Item 6. [Reserved]
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders.
The Registrant has adopted a nominating committee charter that sets forth
procedures by which shareholders may recommend nominees to the Registrant's
Board of Trustees. The charter is attached as an exhibit hereto.
Item 10. Controls and Procedures.
(a) The officers providing the certifications in this report in accordance with
Rule 30a-2 under the Investment Company Act of 1940 have concluded, based on
their evaluation of the Registrant's disclosure controls and procedures (as such
term is defined in such rule), that such controls and procedures are adequate
and reasonably designed to achieve the purposes described in paragraph (c) of
such rule.
(b) There were no changes in the Registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the Registrant's last fiscal half-year (the Registrant's
second fiscal half-year in the case of an annual report) that have materially
affected, or is reasonably likely to materially affect, the Registrant's
internal control over financial reporting.
Item 11. Exhibits.
(a)(1) Code of Ethics referred to in Item 2, filed as an exhibit hereto.
(a)(2) Nominating committee charter referred to in Item 9, filed as an exhibit
hereto.
(a)(3) The certifications required by Rule 30a-2 of the Investment Company Act
of 1940, as amended, and Sections 302 and 906 of the Sarbanes-Oxley Act of 2002,
filed as exhibits hereto.
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) CIGNA Funds Group
/s/ Jeffrey S. Winer
By:
---------------------------------------------------
Jeffrey S. Winer, Vice President and Secretary
Date: March 5, 2004.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
/s/ Richard H. Forde
By (Signature and Title)*
------------------------------------------------------
Richard H. Forde, Chairman of the Board and President
Date: March 5, 2004.
/s/ Alfred A. Bingham III
By (Signature and Title)*
------------------------------------------------------
Alfred A. Bingham III, Vice President and Treasurer
Date: March 5, 2004.