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
Semiannual Report
June 30, 2003
[LOGO] CIGNA Financial Services
Fund Name Change
Effective May 1, 2002, the name of the Small Cap Value/Berger(R) Fund was
changed to Small Cap Value/Perkins, Wolf, McDonnell Fund.
Dear Shareholders,
Our commentary for the six months ended June 30, 2003 follows.
The Economy
The economy continued to expand at a below-average pace during the second
quarter, constituting the seventh consecutive quarter of economic growth since
the 2001 recession. However, the average inflation-adjusted growth in GDP
(Gross Domestic Product) over this period has only been approximately 2.5% -
well below the normal historical economic recovery. Economic growth remains
imbalanced, with strength in housing, consumer spending, and government
expenditures, and weakness in nonresidential fixed investment, exports, and
manufacturing. The core consumer inflation rate remains in the vicinity of
1.5%, while corporate profits appear to be growing at an 8% to 10%
year-over-year rate during the first six months of this year. Inflation,
corporate profits, and real wages continue to benefit from the record increases
in labor productivity.
Financial Market Review
The second quarter was an excellent one for long-term financial assets -
particularly the equity markets, but for fixed income markets as well. In
general, risky assets performed better than more conservative, defensive
financial assets. Global equities registered their biggest quarterly gains
since 1998, led by a sharp recovery in the technology sector. The NASDAQ
Composite increased by 21.45% in the quarter, while the S&P 500 Index
registered a gain of 15.40%, which was the eighth-largest quarterly increase
since 1945. The Lehman Brothers Aggregate Bond Index gained 2.50% in the
quarter, while the Lehman Brothers High Yield Corporate Bond Index registered a
total return of 10.11%. The equity market exhibited excellent breadth with
nearly 95% of the individual stocks within the S&P 500 Index showing a gain for
the quarter.
For the six months ended June 30, 2003, the total return on the S&P 500 Index
was 11.77%, compared with a total return of 3.93% for the Lehman Brothers
Aggregate Bond Index and a 7.32% total return on investment-grade corporate
bonds (Lehman Brothers U.S. Credit Index). 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 on a year-to-date basis, with total returns from
each market in excess of 18%. The six-month total return for the small
capitalization Russell 2000 Index was 17.88%.
There were five major developments during the quarter that contributed to the
excellent performance results of equities and speculative-grade bonds. The most
important was the successful military campaign in Iraq, which ended early in
the quarter. The four other notable positives include: (1) better-than-expected
first quarter corporate earnings reported during April and May. Operating
results for the companies in the S&P 500 Index exceeded investor expectations,
as earnings increased 12% on a 10% increase in sales; (2) passage of the 2003
Tax Bill, which incorporates a sharp reduction in taxes on corporate dividends
and other pro-growth tax incentives; (3) further indications by the Federal
Reserve that monetary
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1
policy would remain accommodative for an extended period; and (4) more
widespread evidence that an acceleration in economic growth was imminent.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde
Chairman of the Board and President
CIGNA Funds Group
Note: This commentary is not part of the Semiannual Report to Shareholders.
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2
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.
- -------------------------------------------------------------------------
Fund Schedule of
Fund Summary Investments
- -------------------------------------------------------------------------
Balanced Fund (sub-advised by
Wellington Management) 4 20
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Large Cap Growth/Morgan Stanley Fund 6 24
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Large Cap Value/John A. Levin & Co. Fund 8 26
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S&P 500(R) Fund 10 28
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Small Cap Growth/TimesSquare Fund 12 35
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Small Cap Value/Perkins, Wolf, McDonnell Fund 14 37
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International Blend/Bank of Ireland Fund 16 39
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TimesSquare Core Plus Bond Fund 18 41
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FUND SUMMARIES 4
A summary of each Fund's performance record and portfolio composition, and
commentary from the Fund's investment manager. Note: These Fund Summaries are
not part of the Semiannual Report to Shareholders.
SCHEDULES OF INVESTMENTS 20
A listing of securities in each Fund's portfolio as of June 30, 2003.
STATEMENTS OF ASSETS AND LIABILITIES 45
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 46
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 47
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 49
For each Fund's share class outstanding, this section includes 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 55
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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3
Balanced Fund (sub-advised by Wellington Management)
JUNE 30, 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 $14.5 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 169
INVESTMENT MANAGER Wellington Management LLP
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
Ginnie Mae 12.5%
- -------------------------------------------------------------
Fannie Mae 4.0
- -------------------------------------------------------------
Citigroup, Inc. 3.1
- -------------------------------------------------------------
U.S. Treasury 3.0
- -------------------------------------------------------------
Exxon Mobil Corp. 2.9
- -------------------------------------------------------------
Washington Mutual, Inc. 2.2
- -------------------------------------------------------------
Bank of America Corp. 2.2
- -------------------------------------------------------------
SBC Communications, Inc. 2.0
- -------------------------------------------------------------
Wells Fargo & Co. 2.0
- -------------------------------------------------------------
National City Corp. 1.9
- -------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- -------------------------------------------------------------
Financial 21.3%
- -------------------------------------------------------------
U.S Government & Agencies 19.4
- -------------------------------------------------------------
Communications & Media 11.5
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Oil & Gas 8.6
- -------------------------------------------------------------
Utilities 5.7
- -------------------------------------------------------------
Retail 4.4
- -------------------------------------------------------------
Insurance 4.3
- -------------------------------------------------------------
Technology 2.6
- -------------------------------------------------------------
Food and Beverages 2.1
- -------------------------------------------------------------
Pharmaceuticals 1.9
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Bonds 35%
- -------------------------------------------------------------
Common stocks 62
- -------------------------------------------------------------
Short-term investments 6
- -------------------------------------------------------------
Liabilities in excess of other assets (3)
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
Stories of the conflict in Iraq and the spread of the SARS virus competed with
economic concerns for investor attention during the first quarter of 2003. From
the start of the conflict, market performance was closely linked to events in
Iraq, as investor sentiment appeared to follow the progress of U.S. forces in
the country. The Lehman Brothers Aggregate Bond Index gained 1.39% for the
first quarter, while the S&P 500 Index lost 3.15%. During the first quarter,
growth outperformed value. The Russell 1000 Value Index return of -4.86%
underperformed the Russell 1000 Growth Index return of -1.07% by roughly 380
basis points.
The rally that began in March continued throughout the second quarter. Several
themes dominated. First, fiscal, monetary, and dollar policy all have become
aggressively stimulative as the U.S. economy and capital markets try to achieve
normalcy. The U.S. equity market finally became more hopeful and cast off its
despair during the period, shrinking stocks' risk premiums in the process.
Lastly, the dividend tax legislation appears to have nudged holders of money
market funds and similar low-yielding fixed instruments toward better
alternatives.
Within fixed income, investors clearly favored riskier assets over Treasuries,
as optimism for a second-half economic recovery grew. At the extreme end of the
risk spectrum, high yield and emerging markets debt performed particularly
well, as each sector posted double-digit gains during the quarter, while the
high-quality Lehman Brothers Aggregate Bond Index gained 2.5% for the second
quarter and 3.93% for the first six months of the year.
In the first quarter, the equity component of the Fund benefited from strong
stock selection in consumer discretionary, including top contributors Comcast
and Nike. Other sectors where we had positive stock selection were health care,
led by top contributors Beckman Coulter and Pharmacia; financials, where
Washington Mutual helped performance during the quarter; and industrials,
spurred by Caterpillar. The strong stock selection in the above sectors was
somewhat offset by poorer picks in telecommunications and energy. On an
absolute basis, SBC Communications, Stanley Works, and Hartford Financial
Services were the largest detractors from performance during the period.
In the equity component during the second quarter, holdings in materials,
information technology and the consumer discretionary sector were the largest
contributors to performance, while holdings in health care and utilities
detracted the most from relative results. Stocks that contributed the most to
relative results during the quarter were semiconductor manufacturer Teradyne,
discount retailer Dollar General and insurance and financial services provider
Hartford Financial Services.
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4
Owning Fannie Mae, which lagged the Index, hurt performance.
Regarding the bond segment of the portfolio, during the first quarter the
corporate sector of the bond market benefited from low interest rates,
improving company balance sheets, and strong demand for corporate issuers. The
Lehman Brothers U.S. Credit Index outperformed duration-equivalent Treasuries
by 130 basis points in the first quarter. This strong performance was
broad-based, with all major sectors outperforming. Lower quality issues
outperformed their higher quality counterparts. The utility sector performed
particularly well, as the market reacted favorably to the efforts of a number
of major issuers to strengthen their balance sheets. Mortgage-backed securities
outperformed duration-equivalent Treasuries during the first quarter, thanks to
a decline in interest rate volatility and continued demand from investors
seeking liquid, high quality bonds.
During the second quarter within the Fund's fixed income segment, the U.S.
credit sector had another strong quarter, mortgage-backed securities performed
in line with Treasuries and the collateral-backed sector slightly outperformed
comparable-duration Treasuries.
We believe that the economy eventually will respond to the flood of stimuli,
and that a better tone and higher prices in the equity markets in turn may help
support capital spending. Although the economy's rate of expansion in the first
half of the year was sluggish, we anticipate a shift to a higher growth rate
during the second half of this year.
Within the equity portion, the Fund has two themes to highlight. First, the
Fund has lengthened its time horizon with some stocks in anticipation of a
recovery or a new cycle of positive economic activity. Second, given recent
dividend tax legislation, the Fund has added selected higher-yielding stocks,
such as ChevronTexaco.
Within the fixed income portion, the Fund is now neutral to slightly short
duration relative to the benchmark. It continues to overweight the mortgage
sector, structured to emphasize pre-payment protection, and is still overweight
the corporate sector, seeking value in lower-quality companies that should
benefit from an improving economy. Finally, the Government sector remains an
underweight position.
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 8.57%
Premier Class 8.46
Retail Class 8.37
S&P 500(R) Index 11.77
Balanced Composite
(60% Russell 1000 Value/40% Lehman Brothers
Aggregate Bond) 8.58
Lipper Balanced Funds Average 8.65
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
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5
Large Cap Growth/Morgan Stanley Fund
JUNE 30, 2003
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FUND SUMMARY
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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 $11.5 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 98
INVESTMENT MANAGER Morgan Stanley Investment
Management Inc.
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
Microsoft Corp. 6.9%
- -------------------------------------------------------------
Pfizer, Inc. 5.6
- -------------------------------------------------------------
General Electric Co. 3.8
- -------------------------------------------------------------
Citigroup, Inc. 3.7
- -------------------------------------------------------------
Wal-Mart Stores, Inc. 3.3
- -------------------------------------------------------------
Intel Corp. 2.8
- -------------------------------------------------------------
Cisco Systems, Inc. 2.5
- -------------------------------------------------------------
Johnson & Johnson 2.4
- -------------------------------------------------------------
Amgen, Inc. 2.3
- -------------------------------------------------------------
Procter & Gamble Co. 2.0
- -------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- -------------------------------------------------------------
Pharmaceuticals 13.4%
- -------------------------------------------------------------
Retail 11.3
- -------------------------------------------------------------
Software 10.3
- -------------------------------------------------------------
Semiconductors 7.6
- -------------------------------------------------------------
Financial 6.3
- -------------------------------------------------------------
Health Care 6.2
- -------------------------------------------------------------
Manufacturing 5.7
- -------------------------------------------------------------
Media 5.4
- -------------------------------------------------------------
Telecommunications 5.1
- -------------------------------------------------------------
Food & Beverages 4.0
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Common stocks 97%
- -------------------------------------------------------------
Short-term investments 2
- -------------------------------------------------------------
Other assets less liabilities 1
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
The first quarter began under a continued cloud of global uncertainty. Once it
became clear that diplomacy would not resolve the Iraq situation and war was
imminent, the market rallied as many sidelined investors decided to
participate. From that point on, day-to-day market volatility appeared to be
highly correlated to the latest war report. Although the commencement of the
war in Iraq eliminated one major uncertainty hampering the markets, there was
little clarity on the economic impact.
Manufacturing activity slowed during the first quarter with a reduction in auto
output and a lack of new business spending. The Institute for Supply Management
reported that production dropped to its lowest level since October 2001.
Consumer sentiment improved during February and March, but remained
historically low. Energy prices increased substantially during the first
quarter and remained high longer than expected. Against this backdrop, the S&P
500 Index returned -3.15% for the first quarter.
Growth and value stocks rose significantly for the second quarter across the
capitalization spectrum. A quick and successful military campaign in Iraq
removed one significant issue overhanging the market. In addition, the majority
of companies produced first quarter earnings that exceeded estimates.
Government passage of tax relief legislation and low interest rates made common
stock investing more appealing. During the second quarter, Consumer Sentiment,
as measured by the University of Michigan, advanced from a level of 77.6 to 87.
The Institute of Supply Management manufacturing index improved over the
quarter as well. New orders expanded and production increased.
The encouraging news is that the economy is improving. The discouraging news is
that we are not seeing the economy improve as much as had been expected.
Companies still appear reluctant to spend, despite their higher earnings.
Unemployment claims are still high as a result. Despite the mixed picture in
the second quarter, both retail and institutional investors seemed focused on a
second-half recovery and drove the market higher. Against this backdrop, the
S&P 500 Index returned 15.40% and the Lipper Large Cap Growth Funds Index
returned 13.51% for the second quarter.
The Fund underperformed its benchmarks for the first half, primarily due to
stock selection; however, sector allocations were a meaningful detractor as
well. The Fund's health care position had the most significant negative impact,
as weak performance of individual holdings and a substantial overweight
detracted from relative results. Stock selection was weakest in the information
technology sector, although this was partially offset by the positive impact of
the portfolio's large technology overweight. Stock selection in the industrials
sector was also a
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6
significant factor in the portfolio's underperformance. A number of our
industrial holdings lagged the Index sector return.
Stock selection among consumer discretionary stocks and consumer staples stocks
detracted from relative return for the second quarter, as did the portfolio's
zero weighting in utility stocks.
Recoveries in the economy and markets tend not to be linear, and this recovery
is no exception. Despite mixed news on the economic front, we continue to
believe that the economic recovery will continue. We see positive developments
in media, some areas of technology and early-stage manufacturing that confirm
this belief. So far, the pre-announcement season for second quarter earnings
has been favorable, with negative announcements running at a ratio of two to
one versus historical long-term averages of three to one. As a result, we
continue to seek, at the margin, to add to the portfolio names that are levered
to recovery.
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 10.58%
Premier Class 10.45
Retail Class 10.34
S&P 500(R) Index 11.77
Russell 1000 Growth Index 13.09
Lipper Large-Cap Growth Funds Average 12.25
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
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7
Large Cap Value/John A. Levin & Co. Fund
JUNE 30, 2003
- --------------------------------------------------------------------------------
FUND SUMMARY
- --------------------------------------------------------------------------------
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 $19.8 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 71
INVESTMENT MANAGER John A. Levin & Co., Inc.
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
Pfizer, Inc. 3.5%
- -------------------------------------------------------------
Citigroup, Inc. 2.8
- -------------------------------------------------------------
Bank of New York, Inc. 2.7
- -------------------------------------------------------------
Bank of America Corp. 2.5
- -------------------------------------------------------------
Exxon Mobil Corp. 2.4
- -------------------------------------------------------------
General Electric Co. 2.2
- -------------------------------------------------------------
Microsoft Corp. 2.2
- -------------------------------------------------------------
du Pont (E.I.) de Nemours & Co. 2.1
- -------------------------------------------------------------
BellSouth Corp. 2.1
- -------------------------------------------------------------
Hancock (John) Financial Services, Inc. 2.0
- -------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- -------------------------------------------------------------
Banks 10.3%
- -------------------------------------------------------------
Manufacturing 8.9
- -------------------------------------------------------------
Food & Beverages 7.0
- -------------------------------------------------------------
Insurance 6.8
- -------------------------------------------------------------
Oil & Gas 6.8
- -------------------------------------------------------------
Pharmaceuticals 5.5
- -------------------------------------------------------------
Media 5.2
- -------------------------------------------------------------
Telecommunications 5.1
- -------------------------------------------------------------
Financial 5.1
- -------------------------------------------------------------
Aerospace & Defense 5.0
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Common stocks 95%
- -------------------------------------------------------------
Short-term investments 5
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
Without doubt, the major change during the first quarter of 2003 was the
commencement of the war in Iraq. Besides the war, the most important question
on the minds of investors continues to be the timing and nature of a recovery
in our domestic economy. In our many conversations with corporate managements,
two themes emerge. First, there is limited potential for top line-growth.
Second, companies continue to experience pressure on profit margins.
The second quarter saw equities rebound and was the strongest three-month
period since the fourth quarter of 1998. Many elements sparked renewed investor
confidence, including lower interest rates, improved tax treatment of dividends
for individuals, the Government's strong commitment to economic expansion and
the decline of the dollar. The advance was broad based; 470 of the 500 S&P
stocks advanced, as did all sectors. Still, a number of crosscurrents posed
fundamental challenges to corporate profitability. This is separate from larger
macro issues of the sustainability of low interest rates and the difficulties
posed by the military occupation in Iraq.
Many companies continue to face margin pressure and have difficulty raising
prices to offset increases in raw materials costs. Labor costs have been
controlled, however, as unemployment remains high across all segments of the
workforce. Overcapacity remains an issue in many sectors, but strategic mergers
and consolidation could help correct imbalances between capacity and demand. We
believe that both the bull market of the 1980s and 1990s and the bear market of
the past three years are over and the markets will remain within a broad
trading range for some time.
Contributing to the Fund's performance during the first quarter were Williams
Companies and Burlington Resources, two of the top three best-performing
securities. Williams settled its lawsuit with the State of California and made
progress toward the sale or joint venture of its EMT business, and Burlington
Resources benefited from the rise in oil prices. AON reported record earnings
for the fourth quarter and showed positive results in the property and casualty
area. Investors grew more confident that Pfizer's merger with Pharmacia will be
completed and create valuable synergies for the drug company. General Electric
benefited from the upturn in its short cycle businesses, which pushed up the
stock's price.
Conversely during the first quarter, UNUMProvident remained under pressure due
to its lowered credit rating and restatement of earnings for the last three
years. Tyco's accounting issues continued during the first quarter, causing the
price to decline. The questions focused on its fire and safety subsidiary, one
of its largest divisions. Accenture's stock price fell this quarter after
layoffs signaled continued weakness in its consulting business. Bristol-Myers
struggled after restating its earnings back to
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8
1997 and warning investors about patent expirations that may impact forecasted
earnings growth. CIT announced that its business may not pick up as quickly as
expected. The troubled airline industry may also have stressed the stock, as
CIT provides a significant amount of financing to this industry.
The Fund's performance was strong during the second quarter, both on an
absolute and a relative basis. CIT Group announced a profit in April, which
helped push up its stock price. Low interest rates helped the financial
services sector generally, and The Bank of New York also saw trading activity
increase. McDonald's was a top contributor as well, as new management
implemented a strategy of simplifying the menu with healthier fare and
increased spending on existing stores. Tyco was removed from credit watch in
May, and management made efforts to increase investor confidence by continuing
to clean up the firm's financial statements, which caused its shares to
advance. Williams also had a very strong quarter. It reached a settlement in
the California Federal Energy Regulatory Commission (FERC) litigation, which
resolved much of its liquidity issues. The company is now refocused on
fundamentals.
Detracting from returns during the second quarter was Altria, which we sold at
a loss to control risk when the company's financial stability appeared
uncertain due to recent tobacco litigation. Northrop Grumman also had a
disappointing quarter as concerns surfaced relating to its pension liabilities
and its liability in the TRW lawsuit. HCA ' s price dropped after others in the
industry experienced problems. Finally, Procter & Gamble stock dropped slightly
due to concerns over their acquisition strategy.
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 11.47%
Premier Class 11.35
Retail Class 11.26
S&P 500(R) Index 11.77
Russell 1000 Value Index 11.57
Lipper Large-Cap Value Funds Average 10.75
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
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9
S&P 500(R) Index Fund
JUNE 30, 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 $155.4 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 538
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
General Electric Co. 2.9%
- -------------------------------------------------------------
Microsoft Corp. 2.8
- -------------------------------------------------------------
Pfizer, Inc. 2.8
- -------------------------------------------------------------
Exxon Mobil Corp. 2.5
- -------------------------------------------------------------
Wal-Mart Stores, Inc. 2.4
- -------------------------------------------------------------
Citigroup, Inc. 2.3
- -------------------------------------------------------------
Johnson & Johnson 1.6
- -------------------------------------------------------------
American International Group, Inc. 1.5
- -------------------------------------------------------------
International Business Machines Corp. 1.4
- -------------------------------------------------------------
Intel Corp. 1.4
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Common stocks 93%
- -------------------------------------------------------------
Short-term investments* 7
- -------------------------------------------------------------
*At June 30, 2003, the Fund was long 40 S&P(R) 500 futures contracts.
INVESTMENT MANAGER COMMENTARY
Economic touchstones which had provided hope of an improving recovery at year
end 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.
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%.
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 (which provides information on mutual fund cash flows)
reported that investors, anticipating a second-half acceleration in earnings,
poured nearly $33 billion into stock mutual funds in the second quarter. The
average diversified U.S. stock fund returned 16.82% during the period according
to Lipper Analytics. Among large capitalization companies, value (+18.84%)
outperformed growth (+12.17%), as measured by representative S&P/Barra indexes.
The best-performing industries for the three months included employment
services, computer & elec-
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10
tronics, tobacco and utilities, which all returned more than 48%. Health care
facilities, the principal loser, gave back 19%.
Despite increases in the number of companies reporting improved corporate
earnings and cash flow, results continue to be mixed and top-line growth weak.
Unemployment has now increased to a nine-year high of 6.4%. The effectiveness
of the 2003 tax cut in stimulating new capital investment by business owners
may be slow to emerge. We continue to foresee slow, steady growth in an economy
that is subject at once to both substantial sources of stimulus but also to a
number of influences that do not allow the traditional business cycle to play
out, not the least of which is the growth in overseas outsourcing.
The recent advance in equity markets reflects anticipation of a broadening and
acceleration in earnings growth over the remainder of the year and therefore is
susceptible to any evidence to the contrary. The next leg up will require hard
evidence that business capital investment is transpiring.
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 11.73%
Premier Class 11.71
Retail Class 11.40
S&P 500(R) Index 11.77
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
--
11
Small Cap Growth/TimesSquare Fund
JUNE 30, 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 $177.6 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 102
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
DaVita, Inc. 2.5%
- -------------------------------------------------------------
Education Management Corp. 2.4
- -------------------------------------------------------------
Rent-A-Center, Inc. 2.3
- -------------------------------------------------------------
Markel Corp. 2.2
- -------------------------------------------------------------
Lincare Holdings, Inc. 2.1
- -------------------------------------------------------------
Getty Images, Inc. 2.1
- -------------------------------------------------------------
Alliance Data Systems Corp. 2.0
- -------------------------------------------------------------
Omnicare, Inc. 1.9
- -------------------------------------------------------------
Respironics, Inc. 1.7
- -------------------------------------------------------------
Corporate Executive Board Co. 1.7
- -------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- -------------------------------------------------------------
Commercial Services 15.5%
- -------------------------------------------------------------
Software 8.8
- -------------------------------------------------------------
Health Care 7.6
- -------------------------------------------------------------
Pharmaceuticals 7.1
- -------------------------------------------------------------
Semiconductors 6.8
- -------------------------------------------------------------
Financial 6.7
- -------------------------------------------------------------
Computers 4.5
- -------------------------------------------------------------
Oil & Gas 4.3
- -------------------------------------------------------------
Electronics 3.5
- -------------------------------------------------------------
Media 3.1
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Common stocks 92%
- -------------------------------------------------------------
Short-term investments 8
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
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 was
- -3.88%. According to Lipper, the average small cap growth mutual fund was down
3.73% for the quarter. Small cap stocks lagged behind their large cap brethren
during the first quarter.
Performance of the Fund in the first quarter 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.
With the situation in Iraq under control, the second quarter focus returned to
fundamentals and the economy. Corporate profits reported in April for the first
quarter indicated the trend was for earnings to surpass modest expectations.
Consumer sentiment experienced a strong post-war bounce, another positive omen
for the lackluster economy. Hopes for an economic bounce led to a strong
advance in April and May. The Federal Reserve bolstered those hopes in June by
once more cutting its overnight lending rate by a quarter of a point, and the
market trended higher in June.
Second quarter returns finally gave stock market investors something to cheer
about. Small caps staged a huge comeback, leading the large caps both for the
second quarter and the year to date. 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 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.
Despite possible short-term corrections, we are more optimistic looking
forward. An unprecedented degree of monetary and fiscal stimulus is providing a
favorable backdrop for the equity markets. Corporate sector fundamentals and
finances are improving. With small cap earnings growth continuing to exceed
large cap earnings growth, we believe the outlook remains favorable for small
cap stocks.
- --
12
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 15.93%
Premier Class 16.01
Retail Class 15.74
S&P 500(R) Index 11.77
Russell 2000 Growth Index 19.33
Russell 2000 Index 17.88
Lipper Small-Cap Growth Funds Average 17.45
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
--
13
Small Cap Value/Perkins, Wolf, McDonnell Fund
JUNE 30, 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 $65.7 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 73
INVESTMENT MANAGER Perkins, Wolf,
McDonnell & Company
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
First Niagara Financial Group, Inc. 3.4%
- -------------------------------------------------------------
Bradywine Realty Trust 2.2
- -------------------------------------------------------------
La-Z-Boy, Inc. 2.2
- -------------------------------------------------------------
Texas Industries, Inc. 2.2
- -------------------------------------------------------------
Horace Mann Educators Corp. 2.0
- -------------------------------------------------------------
Susquehanna Bancshares, Inc. 2.0
- -------------------------------------------------------------
Kaydon Corp. 1.9
- -------------------------------------------------------------
Home Properties of NY, Inc. 1.8
- -------------------------------------------------------------
Community Bank System, Inc. 1.7
- -------------------------------------------------------------
Brown (Tom), Inc. 1.7
- -------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- -------------------------------------------------------------
Banking 14.1%
- -------------------------------------------------------------
Real Estate Investment Trusts 9.2
- -------------------------------------------------------------
Oil & Gas 8.7
- -------------------------------------------------------------
Machinery 6.1
- -------------------------------------------------------------
Manufacturing 3.3
- -------------------------------------------------------------
Transportation 3.2
- -------------------------------------------------------------
Health Care 3.1
- -------------------------------------------------------------
Home Builders 2.8
- -------------------------------------------------------------
Chemicals 2.3
- -------------------------------------------------------------
Software 2.2
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Common stocks 83%
- -------------------------------------------------------------
Short-term investments 16
- -------------------------------------------------------------
Other assets less liabilities 1
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
The Fund ended the first quarter in negative territory, but outperformed its
benchmark, the Russell 2000 Value Index. Those companies whose focus is on
"safe" energy performed particularly well as their earnings expectations were
deemed to be clearer. For this reason, oil rig servicing contractor Key Energy
and steel tubing and piping maker Maverick Tube were the stalwarts of the
sector, achieving gains of around 13% and 34%, respectively. We have maintained
an overweight position in energy, taking gains when near-term price targets are
met and adding to positions on temporary price dips.
Detractors for the first quarter, bank holding company Greater Bay Bancorp and
finance and transportation leasing firm GATX, experienced marked declines. With
its exposure to the volatile San Francisco Bay area real estate market and
questions arising about its internal controls, near-term estimates for Greater
Bay were ratcheted down. We remain comfortable with the company, however, due to
the positive resolutions of the control issues and the fact that the lower
guidance is not related to credit quality. Likewise, the effects that a weak
economy can have on industrials and commercial transportation resulted in lower
estimates for GATX. We added to the position when we deemed the stock to be
oversold relative to net asset values and cash flows following management's
comments that a partial dividend cut may be necessary.
During the second quarter, the U.S. economy seemed to gain momentum as new
unemployment claims leveled off, manufacturing expanded and consumer spending
inched upward. Nevertheless, the Federal Reserve Board - primarily citing
deflation concerns - deemed it necessary to further loosen the money supply and
lowered the federal funds rate to a 45-year low of 1.0%. Meanwhile, the major
equities markets easily found positive territory for the period, as investors
began to wade back into stocks. In this environment, the Fund advanced for the
quarter, but trailed is benchmark, the Russell 2000 Value Index.
Although the Fund offered positive absolute returns for the second quarter, a
few select stocks in the health care and energy sectors were the primary
contributors to our underperformance. On the other hand, our holdings in
information technology and financial providers boded well for us, as these
sectors moved in close tandem with the markets.
Among our top individual holdings for the second quarter was bank holding
company Greater Bay Bancorp. The regional financial concern continues to execute
well on its consumer business model and regularly meets earnings expectations.
Meanwhile, the largest detractors included specialty chemical supplier Great
Lakes Chemical, whose first quarter performance was hurt by rising raw material
and energy costs, despite the company's productivity gains and price increases.
- --
14
We were also disappointed with health care network LifePoint Hospitals. While
its earnings remain strong, the company suffers from the near-term decline in
patient volume industry wide.
Looking ahead, our stock selection will continue to hinge on first assessing
each company's downside risk before considering upside potential. Even then, we
ideally invest when we believe a company's upside prospect is at least double
its downside risk potential.
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 12.61%
Premier Class 12.56
Retail Class 12.33
S&P 500(R) Index 11.77
Russell 2000 Value Index 16.49
Lipper Small-Cap Value Funds Average 14.17
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
--
15
International Blend/Bank of Ireland Fund
JUNE 30, 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 $9.5 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 76
INVESTMENT MANAGER Bank of Ireland Asset
Management (U.S.) Limited
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
Canon, Inc. 3.9%
- -------------------------------------------------------------
Total Fina Elf SA 3.6
- -------------------------------------------------------------
Nestle SA 3.5
- -------------------------------------------------------------
UBS AG 3.1
- -------------------------------------------------------------
Barclays PLC 2.8
- -------------------------------------------------------------
GlaxoSmithKline PLC 2.8
- -------------------------------------------------------------
Vodafone Group PLC 2.8
- -------------------------------------------------------------
Aventis SA 2.7
- -------------------------------------------------------------
E. ON AG 2.5
- -------------------------------------------------------------
ING Groep NV 2.4
- -------------------------------------------------------------
Ten Largest Countries % of Net Assets
- -------------------------------------------------------------
United Kingdom 27.8%
- -------------------------------------------------------------
Japan 14.7
- -------------------------------------------------------------
Switzerland 12.3
- -------------------------------------------------------------
Netherlands 9.4
- -------------------------------------------------------------
France 8.3
- -------------------------------------------------------------
Germany 6.6
- -------------------------------------------------------------
Italy 4.1
- -------------------------------------------------------------
Spain 4.0
- -------------------------------------------------------------
Australia 2.8
- -------------------------------------------------------------
Hong Kong 2.0
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Common stocks 97%
- -------------------------------------------------------------
Short-term investments 2
- -------------------------------------------------------------
Cash and other assets less liabilities 1
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
International equity markets relinquished much of their prior quarter gains in
the first three months of 2003. Most equity indexes reflected declines prompted
by the uncertain duration and magnitude of the war in Iraq and its resultant
impact on the global economy. About a week before the war began, equity markets
languished given the high level of uncertainty. Markets then rallied strongly as
the prospect of a short war appeared apparent, with oil prices slumping from
earlier highs. Stocks in aggregate subsequently gave up some of that advance as
the war progressed.
Equity markets in the U.S. and Spain were among those limiting their losses for
the quarter to the low single digits, with the tech-heavy NASDAQ Index one of
the few indexes globally to record a positive return. Most European markets fell
by a larger percentage, with the three key markets of the Netherlands, Germany
and France each losing about 15%, led in part by the slump in large
capitalization stocks. In U.S. dollar terms, the Morgan Stanley Capital
International (MSCI) World Index dropped 5%, while the MSCI EAFE Index declined
over 8%.
European insurers detracted from the Fund's performance during the first
quarter, as did Ahold, the Dutch supermarket chain. Oil companies also
detracted. The better performers during the first quarter were the more
defensive stocks, such as CRH, the third-largest European supplier of building
materials.
A sense of optimism pervaded equity markets over the course of the second
quarter as investors shrugged off negative news and focused on the positive. The
short duration of the war in Iraq provided support for views that the global
economy would pick up in the second half of 2003. Markets had already begun a
tentative rally from mid-March lows and reacted positively to the improved
outlook. Within a short space of time, most markets had more than reversed
early-year declines and pushed into positive territory for the year to date.
The second quarter was marked by the continuing strength of technology stocks,
as well as a strong recovery among financial services stocks. Energy and utility
stocks also rallied strongly. Consumer-related stocks underperformed the market
over the second quarter.
As we enter the second half of 2003, it is heartening to see that confidence in
equity markets appears to be gaining hold once again. What began as a reflex
reaction to the end of the war in Iraq gathered sufficient momentum to carry
markets to the best quarterly returns for up to five years (in some cases). We
believe that equities continue to offer reasonable value relative to other
assets at this time.
- --
16
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 6.82%
Premier Class 6.83
Retail Class 6.72
MSCI EAFE (net) 9.47
Lipper International Funds Average 8.60
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
--
17
TimesSquare Core Plus Bond Fund
JUNE 30, 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 $44.2 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 193
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
- -------------------------------------------------------------
FUND PROFILE
JUNE 30, 2003 (Unaudited)
- -------------------------------------------------------------
Ten Largest Positions % of Net Assets
- -------------------------------------------------------------
Freddie Mac 16.9%
- -------------------------------------------------------------
Fannie Mae 13.1
- -------------------------------------------------------------
U.S. Treasury 13.1
- -------------------------------------------------------------
Ginnie Mae 3.0
- -------------------------------------------------------------
Sovereign Bancorp. 1.5
- -------------------------------------------------------------
Financing Corp. 1.3
- -------------------------------------------------------------
France Telecom 1.3
- -------------------------------------------------------------
Quebec (Province of Canada) 1.2
- -------------------------------------------------------------
Ford Motor Credit Corp. 1.1
- -------------------------------------------------------------
Time Warner, Inc. 1.1
- -------------------------------------------------------------
Ten Largest Sectors % of Net Assets
- -------------------------------------------------------------
U.S. Government & Agencies 47.4%
- -------------------------------------------------------------
Financial 14.7
- -------------------------------------------------------------
Communications & Media 8.3
- -------------------------------------------------------------
Utilities 2.8
- -------------------------------------------------------------
Consumer & Retail 2.6
- -------------------------------------------------------------
Transportation 2.5
- -------------------------------------------------------------
Foreign Government 2.2
- -------------------------------------------------------------
Oil & Gas 2.2
- -------------------------------------------------------------
Industrial 1.9
- -------------------------------------------------------------
Diversified 1.7
- -------------------------------------------------------------
Fund Composition % of Net Assets
- -------------------------------------------------------------
Bonds 87%
- -------------------------------------------------------------
Preferred stock 2
- -------------------------------------------------------------
Short-term investments 11
- -------------------------------------------------------------
INVESTMENT MANAGER COMMENTARY
On a six-month year-to-date basis, the total return on the Lehman Brothers
Aggregate Bond Index was 3.93%, compared with a total return of 7.32% on
investment-grade corporate bonds (Lehman Brothers U.S. Credit Index). 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 on a year-to-date basis, with total returns from each market in
excess of 18%.
At the beginning of May, the Federal Reserve (Fed) 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 quarter at 3.53%.
In the first quarter, the Fund benefited from its allocation to high yield and
to the overweight allocation to the investment-grade credit sector. The Fund
also was helped by the positive issue selection in investment-grade credits and
mortgage-backed securities (MBS) for the period.
In the second quarter, the overweight allocation and strong selection in
investment-grade corporate bonds were the largest positive contributors to Fund
performance. At June 30, 2003, the Fund was 14% overweight to corporate bonds on
a duration-adjusted basis. Continued positive issue selection in Yankee and
domestic telecommunications companies such as France Telecom, Deutsche Telekom,
and Sprint Capital added value. Other sectors that performed well for us
included Yankee Banks such as Royal Bank of Scotland and cable names, with
Comcast as an example.
In MBS, one of the more consistent and effective strategies that has been
undertaken is to purchase securities with better call protection when rates are
low. Our underweight in Agency bonds and selection within the sector, especially
in Financing Corporation (FICO) bonds (issued to finance the savings and loan
banking system bailout), continued to have a positive impact.
We continue to favor investment-grade corporate bonds. Despite the extremely
strong returns in this sector over the past nine months, we still see further
upside, albeit not of the same magnitude. We remain vigilant in our monitoring
of individual credits and potential volatility associated with continued
accounting and corporate governance issues, potential profit disappointments,
and exogenous/geopolitical events. In high yield, we may once again increase our
allocation upon clearer signs of economic growth. In the MBS sector, we have
moved to an underweight allocation due to our cautious outlook.
- --
18
PERFORMANCE
Returns for the six months ended June 30, 2003 were:
Institutional Class 6.12%
Premier Class 5.94
Retail Class 5.86
Lehman Brothers Aggregate Bond Index 3.93
Lipper Corporate Debt Funds - 'A' Rated Average 4.73
Note: This Fund Summary is not part of the Semiannual Report to Shareholders.
--
19
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------------------
BONDS-35.2%
AEROSPACE/DEFENSE-0.1%
Raytheon Co., 6.50%, 2005 $ 10 $ 11
------
COMMUNICATIONS & MEDIA-2.3%
Alltel Corp., 7.00%, 2012 20 24
AT&T Corp., 8.50%, 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 32
Cingular Wireless LLC, 7.13%, 2031 20 23
Clear Channel Communications, Inc., 7.65%, 2010 10 12
Cox Communications, Inc., 7.50%, 2004 40 42
France Telecom SA,
9.25% (coupon change based on rating), 2011 15 19
InterActiveCorp., 7.00%, 2013 5 6
Liberty Media Corp., 7.75%, 2009 15 17
Southwestern Bell Telephone Co., 6.63%, 2007 50 57
TCI Communications, Inc., 8.75%, 2015 10 13
Time Warner, Inc., 7.25%, 2017 25 29
Vodafone Group PLC, 7.75%, 2010 10 12
------
328
------
COMPUTERS-0.1%
Computer Sciences Corp., 7.38%, 2011 5 6
------
ENTERTAINMENT-0.1%
International Game Technology, 8.38%, 2009 5 6
------
FINANCIAL-7.6%
American Express Credit Corp., 7.20%, 2007 50 55
Associates Corp. of North America, 6.63%, 2005 65 71
Bank of America Corp., 5.88%, 2009 50 57
Bank One Corp., 6.50%, 2006 25 28
CIT Group Holdings, 7.63%, 2005 5 5
Deere (John) Capital Corp., 7.00%, 2012 10 12
Discover Card Master Trust, Inc., 5.60%, 2006 50 51
General Electric Capital Corp., 6.13%, 2011 20 23
General Motors Acceptance Corp., 7.75%, 2010 25 27
Goldman Sachs Group, Inc., 7.63%, 2005 50 56
Household Finance Corp., 5.88%, 2009 25 28
International Lease Financing Co., 5.75%, 2006 50 55
LB-UBS Commercial Mtg. Trust, 6.13%, 2030 100 115
Mercantile Bancorporation, Inc., 7.30%, 2007 10 12
Morgan (J.P.) Chase & Co., 7.00%, 2009 10 12
Morgan Stanley, Dean Witter, Discover & Co.,
7.75%, 2005 50 56
6.39%, 2033 100 116
National Australia Bank Ltd., 8.60%, 2010 50 65
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------------------
FINANCIAL continued
Nomura Asset Securities Corp., 6.59%, 2030 $ 100 $ 116
Pemex Project Funding Master Trust, 8.63%, 2022 40 46
Popular North America Inc., 4.25%, 2008 10 10
Wachovia Bank NA/Charlotte, 6.18%, 2036 10 11
Wells Fargo & Co., 6.63%, 2004 75 79
------
1,106
------
FOOD & BEVERAGES-0.6%
ConAgra Foods, Inc., 6.75%, 2011 30 35
Kraft Foods, Inc., 4.63%, 2006 5 5
PepsiCo, Inc., 5.75%, 2008 25 28
Tyson Foods, Inc., 8.25%, 2011 10 12
------
80
------
FOREIGN GOVERNMENT-0.1%
Israel Government International Bond, 4.63%, 2013 20 19
------
FOREST PRODUCTS/PAPER-0.1%
Temple-Inland, Inc., 7.88%, 2012 10 12
------
INSURANCE-0.5%
Berkley (WR) Corp., 5.88%, 2013 10 11
Jackson National Life Global Funding,
6.13%, 2012 144A 10 11
Liberty Mutual Insurance Co., 7.70%, 2097 144A 30 22
Nationwide Financial Services, Inc., 6.25%, 2011 20 22
Torchmark Corp., 6.25%, 2006 10 11
------
77
------
MANUFACTURING-0.4%
BMW Vehicle Owner Trust, 4.70%, 2005 12 12
Ford Motor Co., 6.50%, 2018 45 41
Honda Auto Receivables Owner Trust,
5.36%, 2004 10 10
------
63
------
OIL & GAS-1.6%
Atlantic Richfield Co., 5.90%, 2009 75 86
Burlington Resources Finance Co., 5.70%, 2007 20 22
Conoco, Inc., 6.95%, 2029 20 24
Devon Energy Corp., 7.95%, 2032 15 19
Kinder Morgan Energy Partners LP,
7.13%, 2012 20 24
Kinder Morgan, Inc., 6.50%, 2012 10 11
Schlumberger Technology Corp., 6.50%, 2012 144A 30 35
Valero Energy Corp., 7.5%, 2032 10 11
------
232
------
PHARMACEUTICAL-0.1%
Wyeth, 6.25%, 2006 5 6
------
- --
20 The Notes to Financial Statements are an integral part of these statements.
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------
BONDS continued
REAL ESTATE-0.0%
Liberty Property LP, 8.50%, 2010 $ 5 $ 6
------
REITS-0.0%
Health Care Property Investors, Inc., 6.00%, 2015 5 5
------
RETAIL-0.9%
Lowes Companies, Inc., 6.50%, 2029 25 28
Target Corp., 7.50%, 2005 20 22
Wal-Mart Stores, Inc., 6.55%, 2004 75 79
------
129
------
TRANSPORTATION-0.5%
American Airlines, Inc., 3.86%, 2010 5 5
Delta Air Lines, Inc., 6.72%, 2024 47 51
Continental Airlines, Inc. 6.90 %, 2018 25 25
------
81
------
U.S. GOVERNMENT AGENCY OBLIGATIONS-16.4%
Freddie Mac,
6.50%, 2009 91 97
5.63%, 2011 30 34
Fannie Mae,
7.25%, 2010 150 186
5.38%, 2011 25 28
5.89%, 2011 98 112
5.91%, 2012 49 57
6.25%, 2012 49 56
Ginnie Mae,
7.00%, 2026 232 246
7.00%, 2027 157 166
6.00%, 2028 31 33
6.50%, 2028 238 251
7.00%, 2028 185 196
6.00%, 2029 230 242
7.50%, 2030 5 5
8.00%, 2031 21 23
6.00%, 2032 220 231
6.00%, 2033 100 105
TBA 5.50%, 2032 300 307
------
2,375
------
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS-3.0%
U.S. Treasury Bonds,
7.88%, 2021 $ 35 $ 50
7.25%, 2022 70 95
7.63%, 2025 30 43
8.13%, 2019 15 22
6.75%, 2026 20 26
Principal Strip, 6.88% 2025 100 33
U.S. Treasury Notes,
3.50%, 2011 145 164
------
433
------
UTILITIES-0.8%
Alabama Power Co., 5.88%, 2022 10 11
Dominion Resources, Inc., 8.13%, 2010 20 25
Duke Energy Corp., 6.25%, 2012 10 11
Oncor Electric Delivery Co., 6.38%, 2012 15 17
Progress Energy, Inc., 7.10%, 2011 25 29
PSEG Power LLC, 6.95%, 2012 15 17
Wisconsin Electric Power Co., 5.63%, 2033 10 10
------
120
------
TOTAL BONDS (Cost $4,754) 5,095
------
NUMBER OF
SHARES
----------
COMMON STOCKS-62.0%
BASIC MATERIALS-3.3%
Alcoa, Inc. 4,200 107
Ashland, Inc. 3,500 107
du Pont (E.I.) de Nemours & Co. 3,500 146
Nucor Corp. 2,300 112
------
472
------
COMMERCIAL SERVICES-0.2%
Bearingpoint, Inc. (a) 2,400 23
------
COMMUNICATIONS & MEDIA-9.2%
AOL Time Warner, Inc. (a) 10,600 171
AT&T Corp. 3,440 66
BellSouth Corp. 6,100 162
Comcast Corp. (a) 5,700 164
Gannett Co., Inc. 1,200 92
Nokia Corp. 9,300 153
SBC Communications, Inc. 11,500 294
Verizon Communications, Inc. 5,664 223
------
1,325
------
COMPUTERS-1.2%
Hewlett-Packard Co. 8,000 170
------
The Notes to Financial Statements are an integral part of these statements. --
21
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------------
COMMON STOCKS continued
COSMETICS/PERSONAL CARE-0.6%
Kimberly-Clark Corp. 1,800 $ 94
------
DIVERSIFIED MANUFACTURING-1.6%
Illinois Tool Works, Inc. 1,500 99
Tyco International Ltd. 7,100 135
------
234
------
ENVIRONMENTAL SERVICES-1.1%
Republic Services, Inc. (a) 6,800 154
------
FINANCIAL-13.9%
Bank of America Corp. 3,300 261
Citigroup, Inc. 10,340 443
Comerica, Inc. 1,800 84
Fannie Mae 2,000 135
Goldman Sachs Group, Inc. 1,700 142
Morgan Stanley 1,300 56
National City Corp. 8,300 272
PNC Financial Services Group, Inc. 1,800 88
Washington Mutual, Inc. 7,700 318
Wells Fargo & Co. 4,200 212
------
2,011
------
FOOD & BEVERAGES-1.5%
Kellogg Co. 3,400 117
PepsiCo, Inc. 2,100 93
------
210
------
FOREST PRODUCTS/PAPER-1.4%
Weyerhaeuser Co. 3,800 205
------
HEALTH CARE-1.6%
Bard (C.R.), Inc. 1,400 100
Beckman Coulter, Inc. 3,100 126
------
226
------
INSURANCE-3.8%
Chubb Corp. 1,400 84
Hartford (The) Financial Services Group, Inc. 2,900 146
Marsh & McLennan Co's., Inc. 2,000 102
St. Paul Companies, Inc. 2,800 102
StanCorp Financial Group, Inc. 2,000 105
Travelers Property Casualty Co., Class A 951 15
------
554
------
MACHINERY-1.4%
Caterpillar, Inc. 3,200 178
Rockwell Automation, Inc. 1,100 26
------
204
------
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------------
OIL & GAS-7.0%
ChevronTexaco Corp. 2,800 $ 202
Exxon Mobil Corp. 11,600 417
GlobalSantaFe Corp. 5,100 119
National Fuel Gas Co. 3,700 96
Shell Transport & Trading Co. PLC 3,600 183
------
1,017
------
PHARMACEUTICAL-1.8%
Pfizer, Inc. 7,000 239
Schering-Plough Corp. 1,200 22
------
261
------
REITS-0.3%
Archstone Smith Trust 1,800 43
------
RETAIL-3.5%
Autonation, Inc. (a) 6,200 98
CVS Corp. 4,900 137
Dollar General Corp. 5,400 99
McDonald's Corp. 4,100 90
Nike, Inc. 1,600 86
------
510
------
TECHNOLOGY-2.6%
Applied Materials, Inc. (a) 6,100 97
Intel Corp. 6,700 139
Teradyne, Inc. (a) 8,500 147
------
383
------
TRANSPORTATION-1.1%
CSX Corp. 2,000 60
Southwest Airlines Co. 6,100 105
------
165
------
UTILITIES-4.9%
Dominion Resources, Inc. 1,850 119
Emerson Electric Co. 1,700 87
Exelon Corp. 3,000 180
PPL Corp. 1,900 82
Progress Energy, Inc. 2,800 123
SCANA Corp. 3,300 113
------
704
------
TOTAL COMMON STOCKS
(Cost $8,702) 8,965
------
- --
22 The Notes to Financial Statements are an integral part of these statements.
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------------------
SHORT-TERM OBLIGATION-5.9%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $853) 853,263 $ 853
--------
TOTAL INVESTMENTS IN SECURITIES-103.1%
(Total Cost $14,309) (b) 14,913
Liabilities in excess of Cash and Other Assets - (3.1%) (450)
--------
NET ASSETS--100.0% $ 14,463
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
Tax Information
(b) At June 30, 2003, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $14,323,317, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 980,470
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (390,835)
----------
Unrealized appreciation - net $ 589,635
==========
(c) At December 31, 2002, the capital loss carryforward was:
expiring 2009 $ 826,204
expiring 2010 745,096
----------
$1,571,300
==========
The Notes to Financial Statements are an integral part of these statements. --
23
Large Cap Growth/Morgan Stanley Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
COMMON STOCKS-97.1%
AGRICULTURE-1.6%
Altria Group, Inc. 4,075 $ 185
------
BANKS-2.5%
Bank of New York, Inc. 3,675 106
Fifth Third Bancorp 1,000 57
Wells Fargo & Co. 2,450 123
------
286
------
BIOTECHNOLOGY-2.3%
Amgen, Inc. (a) 4,080 271
------
COMMERCIAL SERVICES-0.4%
Weight Watchers International, Inc. (a) 1,015 46
------
COMPUTERS & PERIPHERALS-3.3%
Dell Computer Corp. (a) 5,325 170
EMC Corp. (a) 3,475 36
Hewlett-Packard Co. 3,200 68
International Business Machines Corp. 1,375 113
------
387
------
COSMETICS/PERSONAL CARE-3.3%
Colgate-Palmolive Co. 1,350 78
Gillette (The) Co. 2,125 68
Procter & Gamble Co. 2,575 230
------
376
------
ELECTRONICS-0.3%
Jabil Circuit, Inc. (a) 1,515 33
------
FINANCIAL-6.3%
American Express Co. 2,450 102
Citigroup, Inc. 9,941 425
Goldman Sachs Group, Inc. 1,025 86
Morgan (J.P.) Chase & Co. 1,350 46
Schwab (The) Charles Corp. 6,625 67
------
726
------
FOOD & BEVERAGES-4.0%
Anheuser-Busch Cos., Inc. 1,220 62
Coca-Cola (The) Co. 4,300 200
Kraft Foods, Inc., Class A 1,350 44
PepsiCo, Inc. 3,385 151
------
457
------
HEALTH CARE-6.2%
Boston Scientific Corp. (a) 800 49
Health Management Associates, Inc., Class A 1,300 24
Johnson & Johnson 5,300 274
Medtronic, Inc. 3,425 164
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
HEALTH CARE continued
St. Jude Medical, Inc. (a) 1,075 $ 62
UnitedHealth Group, Inc. 2,850 143
------
716
------
INSURANCE-2.6%
Aflac, Inc. 2,500 77
American International Group, Inc. 3,950 218
------
295
------
INTERNET-2.1%
eBay, Inc. (a) 800 83
InterActive Corp. (a) 2,105 83
Symantec Corp. (a) 810 36
Yahoo!, Inc. (a) 1,400 46
------
248
------
MANUFACTURING-5.7%
General Electric Co. 15,300 439
3M Co. 1,725 222
------
661
------
MEDIA-5.4%
Clear Channel Communications, Inc. (a) 4,400 187
Comcast Corp., Class A (a) 3,250 98
EchoStar Communications Corp., Class A (a) 1,800 62
Gannett Co., Inc. 675 52
Univision Communications, Inc., Class A (a) 2,287 70
Viacom, Inc., Class B (a) 3,450 151
------
620
------
OIL & GAS-3.4%
BJ Services Co. (a) 1,200 45
Baker Hughes, Inc. 1,700 57
Exxon Mobil Corp. 6,300 226
Smith International, Inc. (a) 1,850 68
------
396
------
PHARMACEUTICALS-13.4%
Abbott Laboratories 2,775 121
AmerisourceBergen Corp. 1,100 76
Bristol-Myers Squibb Co. 1,900 52
Celgene Corp. (a) 1,050 32
Forest Laboratories, Inc. (a) 800 44
Gilead Sciences, Inc. (a) 1,325 74
Lilly (Eli) and Co. 2,000 138
Merck & Co., Inc. 3,000 182
Pfizer, Inc. 18,969 648
Wyeth 3,975 181
------
1,548
------
- -- The Notes to Financial Statements are an integral part of these statements.
24
Large Cap Growth/Morgan Stanley Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
COMMON STOCKS continued
RETAIL-11.3%
Abercrombie & Fitch Co., Class A (a) 2,000 $ 57
Bed Bath & Beyond, Inc. (a) 1,600 62
Costco Wholesale Corp. (a) 2,950 108
Dollar Tree Stores, Inc. (a) 2,000 63
Home Depot, Inc. 5,790 192
Kohl's Corp. (a) 975 50
Limited Brands 825 13
Lowe's Companies., Inc. 1,575 68
McDonald's Corp. 2,000 44
TJX (The) Companies, Inc. 2,225 42
Target Corp. 2,200 83
Tiffany & Co. 750 25
Wal-Mart Stores, Inc. 7,075 380
Walgreen Co. 1,650 50
Yum! Brands, Inc. (a) 2,150 64
--------
1,301
--------
SEMICONDUCTORS-7.6%
Altera Corp. (a) 2,800 46
Analog Devices, Inc. (a) 2,200 77
Applied Materials, Inc. (a) 6,400 102
Broadcom Corp., Class A (a) 1,100 27
Emulex Corp. (a) 1,300 30
Intel Corp. 15,700 326
Linear Technology Corp. 2,525 81
Maxim Integrated Products, Inc. 1,975 68
Novellus Systems, Inc. (a) 850 31
Texas Instruments, Inc. 4,775 84
--------
872
--------
SOFTWARE-10.3%
Adobe Syustems, Inc. 1,000 32
Automatic Data Processing, Inc. 1,350 46
First Data Corp. 2,125 88
Mercury Interactive Corp. (a) 400 15
Microsoft Corp. 30,900 791
Oracle Corp. (a) 11,875 143
Peoplesoft, Inc. (a) 1,100 19
Siebel Systems, Inc. (a) 1,600 15
Veritas Software Corp. (a) 1,550 44
--------
1,193
--------
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
TELECOMMUNICATIONS-5.1%
AT&T Wireless Services, Inc. (a) 3,550 $ 29
Cisco Systems, Inc. (a) 17,250 288
Juniper Networks, Inc. (a) 2,300 28
Qualcomm, Inc. 2,150 77
UTStarcom, Inc. (a) 700 25
Verizon Communications, Inc. 3,491 138
--------
585
--------
TOTAL COMMON STOCKS
(Cost $10,391) 11,202
--------
SHORT-TERM OBLIGATION-2.2%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $249) 249,116 249
--------
TOTAL INVESTMENTS IN SECURITIES-99.3%
(Total Cost $10,640) (b) 11,451
Cash and Other Assets, Less Liabilities - 0.7% 84
--------
NET ASSETS-100.0% $ 11,535
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
Tax Information
(b) At June 30, 2003, the net unrealized depreciation of investments, based on
cost for federal income tax purposes of $11,526,788, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 366,388
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (442,161)
----------
Unrealized depreciation - net $ (75,773)
==========
(c) At December 31, 2002, the capital loss carryforward was:
expiring 2008 $ 387,542
expiring 2009 1,807,002
expiring 2010 2,456,593
----------
$4,651,137
==========
The Notes to Financial Statements are an integral part of these statements. --
25
Large Cap Value/John A. Levin & Co. Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS-95.4%
AEROSPACE & DEFENSE-5.0%
Lockheed Martin Corp. 7,900 $ 376
Northrop Grumman Corp. 3,500 302
Raytheon Co. 9,300 305
------
983
------
AGRICULTURE-0.5%
Monsanto Co. 4,667 101
------
BANKS-10.3%
Bank of America Corp. 6,300 498
Bank of New York, Inc. 18,700 538
FleetBoston Financial Corp. 10,100 300
PNC Financial Services Group, Inc. 6,400 312
US Bancorp 15,991 392
------
2,040
------
CHEMICALS-3.1%
Dow (The) Chemical Co. 6,300 195
du Pont (E.I.) de Nemours & Co. 10,000 416
------
611
------
COMMERCIAL SERVICES-1.9%
Accenture Ltd., Class A (a) 20,600 373
------
COMPUTERS-3.3%
Hewlett-Packard Co. 9,800 209
International Business Machines Corp. 2,800 231
Sungard Data Systems, Inc. (a) 8,200 213
------
653
------
COSMETIC/PERSONAL CARE-2.6%
Kimberly Clark Corp. 4,100 214
Procter & Gamble Co. 3,400 303
------
517
------
ELECTRIC-2.3%
Constellation Energy Group, Inc. 9,300 319
FPL Group, Inc. 2,200 147
------
466
------
ELECTRONICS-3.7%
Hughes Electronics Corp. (a) 11,500 147
Koninklijke (Royal) Philips Electronics Corp. ADR 17,596 336
Thermo Electron Corp. (a) 11,900 250
------
733
------
FINANCIAL-5.1%
CIT Group, Inc. 11,800 291
Citigroup, Inc. 13,000 556
Morgan (JP) Chase & Co. 4,800 164
------
1,011
------
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------------
FOOD & BEVERAGES-7.0%
Anheuser-Busch Companies, Inc. 5,000 $ 255
Archer-Daniels-Midland Co. 17,400 224
Heinz (H.J.) Co. 8,200 270
Kraft Foods, Inc., Class A 3,100 101
PepsiCo., Inc. 3,900 174
Sara Lee Corp. 19,200 361
------
1,385
------
HEALTH CARE-0.6%
HCA, Inc. 3,900 125
------
INSURANCE-6.8%
American International Group, Inc. 3,000 166
Aon Corp. 16,100 388
Hancock (John) Financial Services, Inc. 12,800 393
UnumProvident Corp. 13,400 180
XL Capital Ltd., Class A 2,700 224
------
1,351
------
MACHINERY-1.0%
Deere & Co. 4,200 192
------
MANUFACTURING-8.9%
Alcan, Inc. 9,300 291
Cooper Industries Ltd. 2,500 103
General Electric Co. 15,300 439
Honeywell International, Inc. 6,200 167
Ingersoll-Rand Co., Class A 3,600 170
Textron, Inc. 5,900 230
Tyco International Ltd. 18,800 357
------
1,757
------
MEDIA-5.2%
Comcast Corp., Class A (a) 3,900 112
Disney (Walt) Co. 7,300 144
Liberty Media Corp., Class A (a) 23,000 266
News Corp. Ltd 5,900 148
Tribune Co. 7,400 357
------
1,027
------
OIL & GAS-6.8%
Burlington Resources, Inc. 2,700 146
ChevronTexaco Corp. 1,900 137
EL Paso Corp. 14,625 118
Exxon Mobil Corp. 13,500 485
Unocal Corp. 10,100 290
Williams Companies, Inc. 21,100 167
------
1,343
------
- --
26 The Notes to Financial Statements are an integral part of these statements.
Large Cap Value/John A. Levin & Co. Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
COMMON STOCKS continued
PHARMACEUTICALS-5.5%
Bristol-Myers Squibb Co. 11,200 $ 304
Lilly (Eli) & Co. 1,400 97
Pfizer, Inc. 20,400 697
--------
1,098
--------
RETAIL-4.0%
Home Depot, Inc. 11,800 391
Limited Brands 5,400 84
McDonald's Corp. 14,300 316
--------
791
--------
SEMICONDUCTORS-0.4%
Texas Instruments, Inc. 4,900 86
--------
SOFTWARE-4.6%
First Data Corp. 5,100 211
Microsoft Corp. 16,700 428
Oracle Corp. (a) 23,500 282
--------
921
--------
TELECOMMUNICATIONS-5.1%
BellSouth Corp. 15,600 415
Motorola, Inc. 11,700 110
SBC Communications, Inc. 3,800 97
Verizon Communications, Inc. 9,600 379
--------
1,001
--------
TRANSPORTATION-1.7%
CSX Corp. 11,100 333
--------
TOTAL COMMON STOCKS
(Cost $17,744) 18,898
--------
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
SHORT-TERM OBLIGATION-4.5%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $884) 883,558 $ 884
--------
TOTAL INVESTMENTS IN SECURITIES-99.9%
(Total Cost $18,628) (b) 19,782
Cash and Other Assets, Less Liabilities - 0.1% 33
--------
NET ASSETS-100.0% $ 19,815
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
Tax Information
(b) At June 30, 2003, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $19,245,581, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $1,436,848
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (900,223)
----------
Unrealized appreciation - net $ 536,625
==========
(c) At December 31, 2002, the capital loss carryforward was:
expiring 2009 $ 56,200
expiring 2010 780,786
----------
$ 836,986
==========
The Notes to Financial Statements are an integral part of these statements. --
27
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
COMMON STOCKS-93.1%
General Electric Co. 159,700 $ 4,580
Microsoft Corp. 171,800 4,400
Pfizer, Inc. 127,906 4,368
Exxon Mobil Corp. 107,994 3,878
Wal-Mart Stores, Inc. 70,800 3,800
Citigroup, Inc. 82,489 3,531
Johnson & Johnson 47,634 2,463
American International Group, Inc. 41,871 2,311
International Business Machines Corp. 27,100 2,236
Intel Corp. 106,300 2,209
Merck & Co., Inc. 36,000 2,180
Bank of America Corp. 24,116 1,906
Cisco Systems, Inc. (a) 114,100 1,904
Procter & Gamble Co. 20,800 1,855
Coca-Cola (The) Co. 39,800 1,847
Verizon Communications, Inc. (a) 43,928 1,733
Altria Group, Inc. 33,200 1,509
Amgen, Inc. (a) 20,672 1,374
Wells Fargo & Co. 27,200 1,371
SBC Communications Inc. (a) 53,406 1,365
Dell Computer Corp. (a) 41,400 1,323
Eli Lilly and Co. 18,000 1,241
Home Depot, Inc. 37,400 1,239
ChevronTexaco Corp. 17,129 1,237
PepsiCo, Inc. 27,770 1,236
Viacom, Inc. (a) 28,288 1,235
AOL Time Warner, Inc. (a) 71,900 1,157
United Parcel Service, Inc. 18,000 1,147
Comcast Corp. Class A (a) 37,053 1,118
Abbott Laboratories 25,100 1,098
JP Morgan Chase & Co. 32,060 1,096
Fannie Mae 16,000 1,079
Hewlett-Packard Co. 48,926 1,042
Oracle Corp. (a) 84,600 1,017
Wyeth (a) 21,300 970
Medtronic, Inc. 19,600 940
American Express Co. 21,100 882
Wachovia Corp. 21,870 874
Bristol-Myers Squibb Co. 31,200 847
3M Co. (a) 6,300 813
BellSouth Corp. 29,900 796
U.S. Bancorp 30,796 755
Morgan Stanley Dean Witter & Co. 17,400 744
Anheuser-Busch Cos., Inc. 13,700 699
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
Bank One Corp. 18,702 $ 695
du Pont (E.I.) de Nemours and Co. 16,029 667
Disney (Walt) Co. 32,900 650
Merrill Lynch & Co., Inc. 13,900 649
Goldman Sachs Group, Inc. 7,600 637
Washington Mutual, Inc. 15,260 630
Tyco International Ltd. 32,071 609
ConocoPhillips 10,845 594
Freddie Mac 11,200 569
Target Corp. 14,500 549
Lowe's Companies, Inc. 12,500 537
Gillette Co. 16,800 535
United Technologies Corp. 7,500 531
Fifth Third Bancorp 9,246 530
eBay, Inc. (a) 5,000 521
First Data Corp. 12,100 501
FleetBoston Financial Corp. 16,860 501
Colgate-Palmolive Co. 8,600 498
Walgreen Co. 16,500 497
UnitedHealth Group, Inc. 9,800 492
Texas Instruments, Inc. 27,900 491
Boeing Co. 13,550 465
Cardinal Health, Inc. 7,225 465
Dow Chemical Co. 14,660 454
QUALCOMM, Inc. 12,600 450
McDonald's Corp. 20,300 448
Schlumberger Ltd. 9,300 442
Marsh & McLennan Companies, Inc. 8,600 439
Schering-Plough Corp. 23,600 439
Kimberly-Clark Corp. 8,300 433
MBNA Corp. 20,362 424
Applied Materials, Inc. (a) 26,500 420
Clear Channel Communications, Inc. (a) 9,800 415
Allstate Corp. 11,300 403
Boston Scientific Corp. 6,500 397
EMC Corp. (a) 35,474 371
Honeywell International, Inc. 13,762 370
Southern Co. 11,500 358
AT&T Wireless Services, Inc. (a) 43,136 354
Bank of New York Co., Inc. 12,300 354
Emerson Electric Co. 6,800 347
Lockheed Martin Corp. 7,300 347
Motorola, Inc. 36,835 347
Alcoa, Inc. 13,444 343
Gannett Co., Inc. 4,300 330
- --
28 The Notes to Financial Statements are an integral part of these statements.
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
COMMON STOCKS continued
Automatic Data Processing, Inc. 9,600 $ 325
Ford Motor Co. 29,488 324
General Motors Corp. 9,000 324
Illinois Tool Works, Inc. 4,900 323
National City Corp. 9,800 321
Dominion Resources, Inc. 4,968 319
Forest Laboratories, Inc. (a) 5,800 318
MetLife, Inc. (a) 11,200 317
SYSCO Corp. 10,500 315
Yahoo!, Inc. (a) 9,500 311
Carnival Corp. 9,400 306
Caterpillar, Inc. 5,500 306
Prudential Financial, Inc. 9,100 306
Cendant Corp. (a) 16,585 304
FedEx Corp. 4,800 298
SLM Corp. (a) 7,500 294
Exelon Corp. 4,862 291
Duke Energy Corp. 14,300 285
General Mills, Inc. 5,900 280
Nextel Communications, Inc. Class A (a) 15,500 280
Kohl's Corp. (a) 5,400 277
International Paper Co. 7,664 274
Costco Wholesale Corp. (a) 7,300 267
Gap (The), Inc. 14,250 267
SunTrust Banks, Inc. 4,500 267
HCA, Inc. 8,200 263
BB&T Corp. 7,600 261
Lehman Brothers Holdings, Inc. 3,900 259
Northrop Grumman Corp. 2,971 256
Progressive Corp. 3,500 256
AFLAC, Inc. 8,300 255
Travelers Property Casualty Corp. Class B 16,077 254
Baxter International, Inc. 9,600 250
Alltel Corp. 5,000 241
AT&T Corp. 12,336 238
Union Planters Corp. 4,100 238
Tribune Co. 4,900 237
Avon Products, Inc. 3,800 236
Sun Microsystems, Inc. (a) 51,300 236
Sara Lee Corp. 12,500 235
General Dynamics Corp. 3,200 232
Waste Management, Inc. 9,595 231
NIKE, Inc. Class B 4,200 225
Best Buy Co., Inc. (a) 5,100 224
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
Kellogg Co. 6,500 $ 223
Stryker Corp. 3,200 222
Schwab (Charles) Corp. 21,875 221
PNC Financial Services Group 4,500 220
Guidant Corp. 4,900 218
Omnicome Group, Inc. 3,000 215
Raytheon Co. 6,500 213
Southwest Airlines Co. 12,330 212
State Street Corp. 5,300 209
Newmont Mining Corp. 6,400 208
Kroger Co. (a) 12,400 207
Hartford Financial Services Group, Inc. 4,100 206
Computer Associates International, Inc. 9,200 205
Sprint Corp. 14,200 204
ConAgra Foods, Inc. 8,600 203
Analog Devices, Inc. (a) 5,800 202
Wellpoint Health Networks, Inc. (a) 2,400 202
Wrigley (Wm.) Jr., Co. 3,600 202
Occidental Petroleum Corp. 6,000 201
Golden West Financial Corp. 2,500 200
Devon Energy Corp. 3,700 198
FPL Group, Inc. 2,900 194
Mellon Financial Corp. 7,000 194
McGraw-Hill Companies, Inc. 3,100 192
Harley-Davidson, Inc. 4,800 191
Entergy Corp. 3,600 190
Weyerhaeuser Co. 3,500 189
Masco Corp. 7,900 188
American Electric Power Co., Inc. 6,220 186
VERITAS Software Corp. (a) 6,500 186
H.J. Heinz Co. 5,600 185
XL Capital Ltd. Class. A 2,200 183
Bed Bath & Beyond, Inc. (a) 4,700 182
FirstEnergy Corp. 4,700 181
Anadarko Petroleum Corp. 4,029 179
Baker Hughes, Inc. 5,340 179
Anthem, Inc. (a) 2,300 178
Equity Office Properties Trust 6,600 178
Maxim Integrated Products, Inc. (a) 5,200 178
CVS Corp. 6,300 177
Janus Capital Group, Inc. 10,700 175
Paychex, Inc. 5,975 175
Burlington Resources, Inc. 3,210 174
Deere & Co. 3,800 174
Apollo Group, Inc. Class A (a) 2,800 173
--
The Notes to Financial Statements are an integral part of these statements. 29
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------
COMMON STOCKS continued
Burlington Northern Santa Fe Corp. 6,100 $ 173
Capital One Financial Corp. 3,500 172
KeyCorp 6,800 172
Electronic Arts, Inc. (a) 2,300 170
Apache Corp. 2,583 168
Sears, Roebuck & Co. 5,000 168
Progress Energy, Inc. 3,800 167
Franklin Resources, Inc. 4,200 164
Principal Financial Group, Inc. 5,100 164
Danaher Corp. 2,400 163
Electronic Data Systems Corp. 7,600 163
McKesson HBOC, Inc. 4,573 163
Allergan, Inc. 2,100 162
Chubb Corp. 2,700 162
Linear Technology Corp. 5,000 161
St. Jude Medical, Inc. (a) 2,800 161
Becton, Dickinson & Co. 4,100 159
Campbell Soup Co. 6,500 159
Halliburton Co. 6,900 159
TJX Companies, Inc. 8,400 158
Praxair, Inc. 2,600 156
Hershey Foods Corp. 2,200 153
Public Service Enterprise Group 3,600 152
Starbucks Corp. (a) 6,200 152
Air Products & Chemicals, Inc. 3,600 150
SouthTrust Corp. 5,500 150
Clorox Co. 3,500 149
Consolidated Edison, Inc. 3,400 147
Intuit, Inc. (a) 3,300 147
Marriott International, Inc. Class A 3,800 146
Northern Trust Corp. 3,500 146
Pitney Bowes, Inc. 3,800 146
Agilent Technologies, Inc. (a) 7,413 145
MedImmune, Inc. (a) 4,000 145
Safeway, Inc. (a) 7,100 145
Ace, Ltd. 4,200 144
Aetna, Inc. 2,400 144
John Hancock Financial Services, Inc. 4,700 144
International Game Technology 1,400 143
Corning, Inc. (a) 19,200 142
Genzyme Corp. (a) 3,400 142
Lexmark International, Inc. (a) 2,000 142
Loews Corp. 3,000 142
Zimmer Holdings, Inc. (a) 3,130 141
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------
Countrywide Credit Industries, Inc. 2,000 $ 139
KLA-Tencor Corp. (a) 3,000 139
Staples, Inc. (a) 7,550 139
Yum! Brands, Inc. (a) 4,680 138
PG&E Corp. (a) 6,500 137
PPG Industries, Inc. 2,700 137
Xilinx, Inc. (a) 5,400 137
Archer-Daniels-Midland Co. 10,369 134
Comerica, Inc. 2,850 133
Mattel, Inc. 7,000 132
St. Paul Companies, Inc. 3,628 132
Chiron Corp. (a) 3,000 131
Coca-Cola Enterprises, Inc. 7,100 129
Ltd Brands 8,300 129
Marathon Oil Corp. 4,900 129
Ingersoll-Rand Co. 2,700 128
Qwest Communications International, Inc. (a) 26,709 128
Lucent Technologies, Inc. (a) 62,730 127
Moody's Corp. 2,400 127
AmSouth BanCorp. 5,750 126
Eastman Kodak Co. 4,600 126
AmerisourceBergen Corp. 1,800 125
Fortune Brands, Inc. 2,400 125
H&R Block, Inc. 2,900 125
PACCAR, Inc. 1,850 125
Xerox Corp. (a) 11,800 125
AutoZone, Inc. (a) 1,600 122
Regions Financial Corp. 3,600 122
Johnson Controls, Inc. 1,400 120
Unocal Corp. 4,200 120
Adobe Systems, Inc. 3,700 119
Aon Corp. 4,950 119
Biomet, Inc. 4,150 119
Centerpoint Energy, Inc. (a) 14,622 119
Concord EFS, Inc. (a) 8,100 119
Norfolk Southern Corp. 6,200 119
SunGard Data Systems, Inc. (a) 4,600 119
Newell Rubbermaid, Inc. 4,210 118
Symantec Corp. (a) 2,700 118
Albertson's, Inc. 6,088 117
Bear (The) Stearns Companies, Inc. 1,617 117
Simon Property Group, Inc. (a) 3,000 117
TXU Corp. 5,200 117
Computer Sciences Corp. (a) 3,000 114
Equity Residential Properties Trust 4,400 114
- --
30 The Notes to Financial Statements are an integral part of these statements.
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
COMMON STOCKS continued
Federated Department Stores, Inc. 3,100 $ 114
Charter One Financial, Inc. 3,627 113
MBIA, Inc. 2,300 112
Micron Technology, Inc. 9,600 112
PPL Corp. 2,600 112
Transocean Sedco Forex, Inc. (a) 5,042 111
Ameren Corp. 2,500 110
Rohm & Haas Co. 3,553 110
Ambac Financial Group, Inc. 1,650 109
Apple Computer, Inc. 5,700 109
Fiserv, Inc. 3,050 109
New York Times Co. Class A 2,400 109
Univision Communications, Inc. (a) 3,600 109
Ecolab, Inc. 4,200 108
Quest Diagnostics (a) 1,700 108
Broadcom Corp. Class A (a) 4,300 107
Family Dollar Stores, Inc. 2,800 107
Marshall & Ilsley Corp. 3,500 107
DTE Energy Co. 2,700 104
Kinder Morgan, Inc. 1,900 104
Synovus Financial Corp. 4,850 104
CIGNA Corp. (b) 2,200 103
CSX Corp. 3,400 102
May Department Stores Co. 4,550 101
Altera Corp. (a) 6,100 100
Lincoln National Corp. 2,800 100
Cinergy Corp. 2,700 99
Union Planters Corp. 3,200 99
ITT Industries, Inc. 1,500 98
Cincinnati Financial Corp. 2,600 96
Cintas Corp. 2,700 96
Dollar General Corp. 5,260 96
Dover Corp. 3,200 96
UST, Inc. 2,700 95
Jefferson-Pilot Corp. 2,275 94
Xcel Energy, Inc. 6,265 94
BJ Services Co. (a) 2,500 93
Sempra Energy 3,255 93
Biogen, Inc. (a) 2,400 91
Monsanto Co. 4,217 91
Nabors Industries, Ltd. (a) 2,300 91
Sprint Corp. (PCS Group) (a) 15,800 91
Starwood Hotels & Resorts Worldwide, Inc. 3,200 91
Avery Dennison Corp. 1,800 90
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
Genuine Parts Co. 2,800 $ 90
Knight-Ridder, Inc. 1,300 90
Pepsi Bottling Group, Inc. 4,500 90
American Standard Companies, Inc. (a) 1,200 89
Constellation Energy Group, Inc. 2,600 89
KeySpan Corp. 2,500 89
North Fork Bancorporation, Inc. (a) 2,600 89
Tenet Healthcare Corp. (a) 7,600 89
First Tennessee National Corp. (a) 2,000 88
Novellus Systems, Inc. (a) 2,400 88
Eaton Corp. 1,100 86
Network Appliance, Inc. (a) 5,300 86
PeopleSoft, Inc. (a) 4,912 86
Textron, Inc. 2,200 86
Edison International (a) 5,200 85
Molex, Inc. 3,125 84
Interpublic Group of Cos., Inc. (a) 6,100 82
JDS Uniphase Corp. (a) 22,700 80
Brown-Forman Corp. Class B 1,000 79
Centex Corp. 1,000 78
CenturyTel, Inc. 2,250 78
MeadWestvaco Corp. 3,155 78
Parker-Hannifin Corp. 1,850 78
SAFECO Corp. 2,200 78
Delphi Automotive Systems Corp. 8,920 77
El Paso Corp. 9,390 76
Georgia-Pacific Corp. 4,010 76
T. Rowe Price Group, Inc. 2,000 76
Zions Bancorporation 1,500 76
EOG Resources, Inc. 1,800 75
Hilton Hotels Corp. 5,900 75
MGIC Investment Corp. 1,600 75
Plum Creek Timber Company, Inc. 2,900 75
Tiffany & Co. 2,300 75
Autonation, Inc. (a) 4,700 74
NiSource, Inc. 3,900 74
RadioShack Corp. 2,800 74
Huntington Bancshares, Inc. 3,751 73
Harrah's Entertainment, Inc. 1,800 72
J.C. Penney Co., Inc., (Holding Co.) 4,300 72
Kerr-McGee Corp. 1,607 72
Noble Corp. (a) 2,100 72
Qlogic Corp. (a) 1,500 72
Rockwell International Corp. 3,000 72
Siebel Systems, Inc. (a) 7,500 72
--
The Notes to Financial Statements are an integral part of these statements. 31
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
COMMON STOCKS continued
Office Depot, Inc. (a) 4,900 $ 71
Rockwell Collins, Inc. 2,900 71
Torchmark Corp. 1,900 71
Health Management Associates, Inc. 3,800 70
IMS Health, Inc. 3,900 70
Whirlpool Corp. 1,100 70
WW Grainger, Inc. 1,500 70
Amerada Hess Corp. 1,400 69
Jabil Circuit, Inc. (a) 3,100 69
Watson Pharmaceuticals, Inc. (a) 1,700 69
Applera Corp., Applied Biosystems Group 3,400 65
Sherwin-Williams (The) Co. 2,400 65
Sigma-Aldrich Corp. 1,200 65
Williams Cos, Inc. 8,200 65
BMC Software, Inc. (a) 3,900 64
Leggett & Platt, Inc. 3,100 64
Unisys Corp. (a) 5,100 63
Cooper Industries, Ltd. (a) 1,500 62
Pulte Homes, Inc. 1,000 62
Sealed Air Corp. (a) 1,296 62
Jones Apparel Group, Inc. 2,100 61
V. F. Corp. 1,800 61
Waters Corp. (a) 2,100 61
Equifax, Inc. 2,300 60
Liz Claiborne, Inc. 1,700 60
McCormick & Co. Inc., 2,200 60
Scientific-Atlanta, Inc. 2,500 60
Citrix Systems, Inc. (a) 2,900 59
King Pharmaceuticals, Inc. 4,000 59
Nucor Corp. 1,200 59
Vulcan Materials Co. 1,600 59
Citizens Communications Co. (a) 4,500 58
C.R. Bard, Inc. 800 57
National Semiconductor Corp. (a) 2,900 57
Sabre Holdings Corp. 2,307 57
Thermo Electron Corp. (a) 2,700 57
Black & Decker Corp. 1,300 56
Dow Jones & Co., Inc. 1,300 56
Freeport-McMoRan Copper & Gold, Inc. 2,300 56
Federated Investors, Inc. 2,000 55
NVIDIA Corp. (a) 2,400 55
AES Corp. (a) 8,500 54
Phelps Dodge Corp. (a) 1,400 54
Robert Half International, Inc. (a) 2,800 53
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
Sanmina-SCI Corp. (a) 8,400 $ 53
Apartment Investment & Management Co. 1,500 52
Darden Restaurants, Inc. 2,750 52
Engelhard Corporation 2,100 52
Pinnacle West Capital Corp. 1,400 52
R.J. Reynold Tobacco Holdings, Inc. (a) 1,400 52
UnumProvident Corp. 3,874 52
Wendy's International, Inc. 1,800 52
KB HOME (a) 800 50
Mercury Interactive Corp. (a) 1,300 50
Teradyne, Inc. (a) 2,900 50
Hasbro, Inc. 2,800 49
Pactiv Corp. 2,500 49
Solectron Corp. (a) 13,100 49
Americian Power Conversion Corp. (a) 3,100 48
International Flavors & Fragrances, Inc. 1,500 48
R. R. Donnelley & Sons Co. 1,800 47
Symbol Technologies, Inc. 3,650 47
Alberto-Culver Co. Class B 900 46
Energizer Holdings, Inc. (a) 1,466 46
Comverse Technology, Inc. (a) 3,000 45
Convergys Corp. (a) 2,800 45
Deluxe Corp. 1,000 45
Pall Corp. 2,000 45
Sunoco, Inc. 1,200 45
SUPERVALU, Inc. 2,100 45
Fluor Corp. 1,300 44
Providian Financial Corp. (a) 4,600 43
Tellabs, Inc. (a) 6,500 43
LSI Logic Corp. (a) 5,900 42
Ball Corp. 900 41
Humana, Inc. (a) 2,700 41
NCR Corp. (a) 1,600 41
Nordstrom, Inc. 2,100 41
Toys R Us 3,400 41
Calpine Corp. (a) 6,000 40
Goodrich Corp. 1,900 40
Manor Care, Inc. (a) 1,600 40
Stanley Works (The) 1,400 39
Temple-Inland, Inc. 900 39
Eastman Chemical Co. 1,200 38
Avaya, Inc. (a) 5,735 37
Bemis Company, Inc. 800 37
CIENA Corp. (a) 6,900 36
Monster Worldwide, Inc. 1,800 36
- --
32 The Notes to Financial Statements are an integral part of these statements.
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
COMMON STOCKS continued
Advanced Micro Devices, Inc. (a) 5,400 $ 35
Brunswick Corp. 1,400 35
Compuware Corp. (a) 6,000 35
Meredith Corp. 800 35
Millipore Corp. 800 35
Ashland, Inc. 1,100 34
Bausch & Lomb, Inc. 900 34
Rowan Companies, Inc. 1,500 34
TECO Energy, Inc. 2,800 34
Navistar International Corp. (a) 1,000 33
PMC-Sierra, Inc. (a) 2,700 32
Tektronix, Inc. (a) 1,500 32
Allied Waste Industries, Inc. (a) 3,100 31
Carmax, Inc. (a) 1,035 31
ADC Telecommunications, Inc. (a) 12,700 30
Reebok International Ltd. (a) 900 30
Applied Micro Circuits Corp. (a) 4,800 29
Autodesk, Inc. 1,800 29
Circuit City Stores-Circuit City Group 3,300 29
Coors (Adolph) Co. Class B 600 29
Delta Air Lines, Inc. 2,000 29
Maytag Corp. 1,200 29
Certegy, Inc. (a) 1,000 28
Dana Corp. 2,401 28
PerkinElmer, Inc. 2,000 28
Big Lots, Inc. (a) 1,800 27
Quintiles Transnational Corp. (a) 1,900 27
Winn-Dixie Stores, Inc. 2,200 27
NICOR, Inc. 700 26
Peoples Energy Corp. 600 26
Ryder System, Inc. 1,000 26
Snap-on, Inc. 900 26
United States Steel Corp. 1,600 26
Cummins, Inc. 700 25
Dynegy, Inc. Class A (a) 5,800 24
Crane Co. 1,000 23
Reliant Energy, Inc. (a) 3,802 23
Boise Cascade Corp. 900 22
Del Monte Foods Co. (a) 2,500 22
Cooper Tire & Rubber Co. 1,200 21
American Greetings Corp. Class A (a) 1,000 20
Gateway, Inc. (a) 5,200 19
Worthington Industries, Inc. (a) 1,400 19
Dillard's, Inc. Class A 1,300 18
Louisina-Pacific Corp. 1,700 18
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
Mirant Corp. 6,377 $ 18
Novell, Inc. (a) 5,800 18
Allegheny Energy, Inc. (a) 2,000 17
CMS Energy Corp. (a) 2,100 17
Hercules, Inc. (a) 1,700 17
Great Lakes Chemical Corp. 800 16
Rite-Aid Corp. (a) 3,600 16
Timken Co. 900 16
Andrew Corp. (a) 1,600 15
JM Smucker Co./The 386 15
FMC Technologies, Inc. (a) 687 14
Goodyear Tire & Rubber Co. (a) 2,600 14
Visteon Corp. (a) 2,090 14
Massey Energy Co. 1,000 13
Parametric Technology Corp. (a) 4,200 13
Thomas & Betts Corp. (a) 900 13
Tupperware Corp. 900 13
Acuity Brands, Inc. 600 11
Kansas City Southern Industries, Inc. (a) 800 10
Longs Drug Stores Corp. 600 10
Potlach Corp. 400 10
Allegheny Technologies, Inc. 1,300 9
FMC Corp. (a) 400 9
Power-One, Inc. (a) 1,300 9
Advanced Medical Optics, Inc. (a) 466 8
Viasys Healthcare, Inc. (a) 365 8
Imagistics International, Inc. (a) 280 7
Arch Coal, Inc. 244 6
McDermott International, Inc. (a) 1,000 6
Texas Genco Holdings, Inc. 241 6
Mykrolls Corp. (a) 406 4
EnPro Industries, Inc. (a) 280 3
Hudson Highland Group, Inc. (a) 135 3
Kadant, Inc. (a) 153 3
Dun & Bradstreet Corp. 50 2
Abercrombie & Fitch Co. Class A (a) 27 1
Agere Systems, Inc. Class A (a) 580 1
Agere Systems, Inc. Class B (a) 553 1
Armstrong Holdings, Inc. (a) 600 1
Owens Corning (a) 800 1
Unilever NV 1 -
WorldCom, Inc. (a) 1 -
WorldCom, Inc.-MCI Group (a) 16 -
--------
TOTAL COMMON STOCKS
(Cost $163,892) $144,718
--------
--
The Notes to Financial Statements are an integral part of these statements. 33
S&P 500(R) Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS-6.8%
MONEY MARKET FUND-6.00%
CIGNA Funds Group - Money Market Fund 9,283,743 $ 9,283
---------
PRINCIPAL
(000)
----------
U.S. GOVERNMENT-0.8%
U.S. Treasury Bills, (c)
1.03%, 9/4/03 $ 100 100
1.08%, 10/02/03 50 50
1.16%, 10/2/03 100 100
1.09%, 10/30/03 1,075 1,071
---------
1,321
---------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $10,604) 10,604
---------
TOTAL INVESTMENTS IN SECURITIES-99.9%
(Total Cost $174,496) (d) 155,322
Cash and Other Assets, Less Liabilities - 0.1% 106
---------
NET ASSETS-100.0% $ 155,428
=========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing securities.
(b) TimesSquare Capital Management, Inc., the fund's Investment Advisor, is an
indirect wholly owned subsidiary of CIGNA Corp.
(c) This security or a portion thereof is pledged as collateral for Stock
Index Futures Contracts. At June 30, 2003, the Fund was long 40, S&P 500
Futures Contracts expiring in September 2003.
Unrealized loss amounted to $405,500. Underlying face value was $10,138,500
and underlying market value was $9,733,000.
Tax Information
(d) At June 30, 2003, the net unrealized depreciation of investments, based on
cost for federal income tax purposes of $174,526,890, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 16,115,511
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (35,320,582)
------------
Unrealized depreciation - net $(19,205,071)
============
(e) At December 31, 2002, the capital loss carryforward was:
expiring 2009 $ 6,961,541
expiring 2010 9,431,252
------------
$ 16,392,793
============
- --
34 The Notes to Financial Statements are an integral part of these statements.
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
COMMON STOCKS-92.4%
ADVERTISING-2.5%
Catalina Marketing Corp. (a) 45,000 $ 794
Getty Images, Inc. (a) 90,000 3,717
--------
4,511
--------
AEROSPACE/DEFENSE-1.2%
MTC Technologies, Inc. (a) 45,000 1,056
Orbital Sciences Corp. (a) 150,000 1,095
--------
2,151
--------
BIOTECHNOLOGY-2.6%
Bio-Rad Laboratories, Inc. (Class A) (a) 30,000 1,660
Digene Corp. (a) 35,000 953
Myriad Genetics, Inc. (a) 80,000 1,089
Protein Design Labs, Inc. (a) 60,000 839
--------
4,541
--------
COMMERCIAL SERVICES-15.5%
Advisory Board Co. (a) 30,000 1,216
Alliance Data Systems Corp. (a) 150,000 3,510
Arbitron, Inc. (a) 75,000 2,678
Career Education Corp. (a) 20,000 1,368
ChoicePoint, Inc. (a) 45,000 1,553
Corporate Executive Board Co. (a) 75,000 3,061
Education Management Corp. (a) 80,000 4,254
First Health Group Corp. (a) 69,000 1,904
FTI Consulting, Inc. (a) 50,000 1,248
Rent-A-Center, Inc. (a) 55,000 4,170
Ritchie Bros. Auctioneers, Inc. (a) 25,000 963
Valassis Communications, Inc. (a) 60,000 1,543
--------
27,468
--------
COMPUTERS-4.5%
BISYS Group, Inc. (The) (a) 150,000 2,755
Factset Research Systems, Inc. 25,000 1,101
Henry (Jack) & Associates, Inc. 100,900 1,795
NetScreen Technologies, Inc. (a) 50,000 1,127
Synaptics, Inc. (a) 91,900 1,237
--------
8,015
--------
DISTRIBUTION/WHOLESALE-1.6%
SCP Pool Corp. (a) 85,050 2,926
--------
ELECTRICAL COMPONENTS & EQUIPMENT-0.8%
Advanced Energy Industries, Inc. (a) 100,000 1,425
--------
ELECTRONICS-3.5%
Cymer, Inc. (a) 50,000 1,601
Gentex Corp. (a) 55,000 1,684
Mettler-Toledo International, Inc. (a) 60,000 2,199
Photon Dynamics, Inc. (a) 25,000 691
--------
6,175
--------
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
ENTERTAINMENT-1.3%
AMC Entertainment, Inc. (a) 140,000 $ 1,602
Macrovision Corp. (a) 39,000 777
--------
2,379
--------
ENVIRONMENTAL-1.3%
Stericycle, Inc. (a) 60,000 2,309
--------
FINANCIAL-6.7%
Boston Private Financial Holdings, Inc. 100,000 2,108
City National Corp. 45,000 2,005
Investment Technology Group, Inc. (a) 30,000 558
Investors Financial Services Corp. 100,000 2,901
Jefferies Group, Inc. 24,600 1,225
UCBH Holdings, Inc. 70,000 2,008
Wintrust Financial Corp. 37,500 1,110
--------
11,915
--------
FOOD & BEVERAGES-2.7%
American Italian Pasta Co. Class A (a) 50,000 2,082
Constellation Brands, Inc. Class A (a) 50,000 1,570
United Natural Foods, Inc. (a) 40,000 1,126
--------
4,778
--------
HEALTH CARE-7.6%
DaVita, Inc. (a) 165,316 4,427
Lincare Holdings, Inc. (a) 120,000 3,781
Pediatrix Medical Group, Inc. (a) 26,500 945
Respironics, Inc. (a) 82,000 3,077
Steris Corp. (a) 55,000 1,270
--------
13,500
--------
INSURANCE-2.2%
Markel Corp. (a) 15,000 3,840
--------
INTERNET-1.5%
Avocent Corp. (a) 45,000 1,347
ProQuest Co. (a) 50,000 1,290
--------
2,637
--------
MACHINERY-DIVERSIFIED-0.8%
Graco, Inc. 45,000 1,440
--------
MEDIA-3.1%
Emmis Communications Corp. (a) 40,000 918
Entercom Communications Corp. (a) 35,000 1,715
LodgeNet Entertainment Corp. (a) 35,000 383
Radio One, Inc. Class D (a) 100,000 1,777
Scholastic Corp. (a) 25,000 745
--------
5,538
--------
--
The Notes to Financial Statements are an integral part of these statements. 35
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------------
COMMON STOCKS continued
OIL & GAS-4.3%
Evergreen Resources, Inc. (a) 36,000 $ 1,955
Hydril Co. (a) 35,000 954
Patina Oil & Gas Corp. 25,000 804
Patterson-UTI Energy, Inc. (a) 35,000 1,134
Varco International, Inc. (a) 81,000 1,588
Westport Resources Corp. (a) 50,000 1,137
---------
7,572
---------
PHARMACEUTICALS-7.1%
AdvancePCS (a) 50,000 1,912
Atrix Laboratories, Inc. (a) 80,000 1,759
Ligand Pharmaceuticals, Inc. (a) 85,000 1,155
Medicis Pharmaceutical Corp. Class A 25,000 1,417
MGI Pharma, Inc. (a) 38,300 982
Omnicare, Inc. 100,000 3,379
Pharmaceutical Resources, Inc. (a) 18,000 876
VCA Antech, Inc. (a) 60,000 1,174
---------
12,654
---------
RETAIL-1.4%
Advanced Auto Parts, Inc. (a) 40,000 2,436
---------
SEMICONDUCTORS-6.8%
ASM International NV (a) 106,000 1,576
Emulex, Corp. (a) 55,000 1,252
Globespan Virata, Inc. (a) 130,000 1,072
Intergrated Circuit Systems, Inc. (a) 65,000 2,043
LTX Corp. (a) 120,000 1,034
Photronics, Inc. (a) 140,000 2,443
Semtech Corp. (a) 72,900 1,038
Skyworks Solutions, Inc. (a) 95,000 643
Supertex, Inc. (a) 50,000 919
---------
12,020
---------
SOFTWARE-8.8%
Altiris, Inc. (a) 60,000 1,203
Business Objects SA, ADR (a) 15,000 329
Cognos, Inc. (a) 50,000 1,350
Concur Technologies, Inc. (a) 85,000 856
Documentum, Inc. (a) 22,000 433
Fair Isaac & Co. 20,000 1,029
Global Payments, Inc. 70,000 2,485
IMPAC Medical Systems, Inc. (a) 40,000 835
Informatica Corp. (a) 200,000 1,382
Lawson Software, Inc. (a) 95,000 738
Mantech International Corp. (a) 60,000 1,151
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------------
SOFTWARE continued
National Instruments Corp. (a) 50,000 $ 1,889
NDCHealth Corp. 105,000 1,927
---------
15,607
---------
STORAGE/WAREHOUSING-0.5%
Mobile Mini, Inc. (a) 50,000 816
---------
TELECOMMUNICATIONS-2.2%
3Com Corp. (a) 200,000 936
Plantronics, Inc. (a) 65,000 1,409
West Corp. (a) 60,000 1,599
---------
3,944
---------
TOYS/GAMES-0.5%
Marvel Enterprises, Inc. (a) 50,000 955
---------
TRANSPORTATION-1.4%
P.A.M. Transportation Services, Inc. (a) 55,000 1,331
Pacer International, Inc. (a) 60,000 1,132
---------
2,463
---------
TOTAL COMMON STOCKS
(Cost $144,083) 164,015
---------
SHORT-TERM OBLIGATION-8.0%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $14,279) 14,279,314 14,279
---------
TOTAL INVESTMENTS IN SECURITIES-100.4%
(Total Cost $158,362) (b) 178,294
Liabilities in excess of Cash and Other Assets - (0.4)% (706)
---------
NET ASSETS-100.0% $ 177,588
=========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
Tax Information
(b) At June 30, 2003, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $159,338,392, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $20,929,206
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (1,973,114)
-----------
Unrealized appreciation - net $18,956,092
===========
(c) At December 31, 2002, the capital loss carryforward was:
expiring 2009 $ 1,413,051
expiring 2010 2,191,996
-----------
$ 3,605,047
===========
- --
36 The Notes to Financial Statements are an integral part of these statements.
Small Cap Value/Perkins, Wolf, McDonnell Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
COMMON STOCKS-83.1%
APPAREL-1.0%
Wolverine World Wide, Inc. 34,700 $ 668
------
AUTO PARTS & EQUIPMENT-0.5%
Superior Industries International 8,000 334
------
BANKS-14.1%
Brookline Bancorp, Inc. 45,000 630
Chittenden Corp. 33,500 916
Community Bank System, Inc. 30,000 1,140
First Niagara Financial Group Inc. 160,000 2,234
FNB Corp. 29,400 890
Greater Bay Bancorp. 45,200 928
Seacoast Financial Services Corp. 45,000 891
Susquehanna Bancshares Inc. 55,000 1,284
Waypoint Financial Corp. 20,000 361
------
9,274
------
BUILDING MATERIALS-2.2%
Texas Industries, Inc. 60,000 1,428
------
CHEMICALS-2.3%
Great Lakes Chemical Corp. 33,500 683
Schulman (A.), Inc. 50,000 803
------
1,486
------
COMMERCIAL SERVICES-0.9%
Spherion Corp. (a) 90,000 625
------
COMPUTERS-2.2%
Advanced Digital Information Corp. (a) 32,000 320
Covansys Corp. (a) 100,000 307
Infocus Corp. (a) 62,300 294
Silicon Storage Technology, Inc. (a) 120,000 503
------
1,424
------
ELECTRONICS-1.4%
Mettler-Toledo International, Inc. (a) 25,000 916
------
ENGINEERING & CONSTRUCTION-1.7%
Dycom Industries, Inc. (a) 67,000 1,092
------
FINANCIAL SERVICES-0.8%
Affiliated Managers Group (a) 8,600 524
------
FOREST PRODUCTS & PAPER-1.5%
Rayonier, Inc. 30,000 990
------
HEALTH CARE-3.1%
Cytyc Corp. (a) 24,000 252
Invacare Corp. 16,000 528
LifePoint Hospitals, Inc. (a) 31,000 649
Province Healthcare Co. (a) 57,600 638
------
2,067
------
NUMBER OF VALUE
SHARES (000)
- -------------------------------------------------------------
HOME BUILDERS-2.8%
Ryland Group, Inc. 12,000 $ 833
Standard-Pacific Corp. 30,000 995
------
1,828
------
HOME FURNISHINGS-2.2%
La-Z-Boy, Inc. 65,000 1,455
------
HOUSEWARES-1.4%
Libbey, Inc. 40,000 908
------
INSURANCE-2.0%
Horace Mann Educators Corp. 80,000 1,290
------
INTERNET-0.9%
Openwave Systems, Inc. (a) 190,000 370
SonicWALL, Inc. (a) 51,000 245
------
615
------
IRON & STEEL-1.6%
Steel Dynamics, Inc. (a) 75,000 1,027
------
MACHINERY-6.1%
Briggs & Stratton Corp. 19,000 960
Flowserve Corp. (a) 11,000 216
Global Power Equipment Group, Inc. (a) 165,000 767
Joy Global, Inc. (a) 60,000 886
Manitowoc Co. 25,000 558
Tecumseh Products Co., Class A 15,600 598
------
3,985
------
MANUFACTURING-3.3%
Federal Signal Corp. 45,000 791
Harsco Corp. 17,600 634
Trinity Industries, Inc. 40,000 740
------
2,165
------
METAL FABRICATE/HARDWARE-1.9%
Kaydon Corp. 60,000 1,248
------
OIL & GAS-8.7%
Brown (Tom), Inc. (a) 40,000 1,112
Cal Dive International, Inc. (a) 50,000 1,090
Cimarex Energy Co. (a) 22,000 522
Forest Oil Corp. (a) 26,500 666
Key Energy Services, Inc. (a) 84,000 900
Newfield Exploration Co. (a) 11,000 413
Noble Energy, Inc. 12,000 454
Stone Energy Corp. (a) 13,300 558
------
5,715
------
--
The Notes to Financial Statements are an integral part of these statements. 37
Small Cap Value/Perkins, Wolf, McDonnell Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------------------
COMMON STOCKS continued
REAL ESTATE INVESTMENT TRUST-9.2%
Alexandria Real Estate Equities, Inc. 20,000 $ 900
Brandywine Realty Trust 60,000 1,477
Equity One, Inc. 60,000 984
Home Properties of NY, Inc. 34,000 1,198
Manufactured Home Communities, Inc. 25,000 878
Parkway Properties, Inc. 15,000 631
---------
6,068
---------
RETAIL-1.5%
Casey's General Stores, Inc. 70,000 990
---------
SEMICONDUCTORS-1.3%
Asyst Technologies, Inc. (a) 36,000 241
Integrated Silicon Solutions, Inc. (a) 90,000 625
---------
866
---------
SOFTWARE-2.2%
Informatica Corp. (a) 115,000 795
Inter-Tel, Inc. 32,000 679
---------
1,474
---------
TELECOMMUNICATIONS-2.1%
C-Cor. net Corp. (a) 80,000 392
Newport Corp. (a) 24,000 355
Remec, Inc. (a) 40,000 278
Stratex Networks, Inc. (a) 120,000 384
---------
1,409
---------
TRANSPORTATION-3.2%
CNF, Inc. 21,200 538
Kansas City Southern 55,000 662
USF Corp. 33,000 890
---------
2,090
---------
TRUCKING & LEASING-1.0%
GATX Corp. 40,000 654
---------
TOTAL COMMON STOCKS
(Cost $50,624) 54,615
---------
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATION-16.4%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $10,778) 10,777,666 $ 10,778
---------
TOTAL INVESTMENTS IN SECURITIES-99.5%
(Total Cost $61,402) (b) 65,393
Cash and Other Assets, Less Liabilities - 0.5% 310
---------
NET ASSETS-100.0% $ 65,703
=========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
Tax Information
(b) At June 30, 2003, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $61,660,675, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 6,298,954
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (2,566,869)
-----------
Unrealized appreciation - net $ 3,732,085
===========
(c) At December 31, 2002, the capital loss carryforward was:
expiring 2010 $ 137,402
- --
38 The Notes to Financial Statements are an integral part of these statements.
International Blend/Bank of Ireland Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
COMMON STOCKS-97.1%
AUSTRALIA-2.8%
Foster's Group Ltd. 10,146 $ 29
National Australia Bank Ltd. 3,740 84
News Corp. Ltd. 9,602 72
Westpac Banking Corp. 7,030 77
------
262
------
CHINA-0.9%
Petrochina Co. Ltd. 276,000 83
------
FINLAND-1.5%
Nokia OYJ 8,652 143
------
FRANCE-8.3%
Aventis SA 4,622 255
AXA 8,152 127
LaFarge SA 1,170 68
Total Fina Elf SA 2,261 342
------
792
------
GERMANY-6.6%
Bayer AG 3,384 79
Bayerische Motoren Werke AG 4,604 177
Deutsche Bank AG 2,027 132
E. ON AG 4,650 239
------
627
------
HONG KONG-2.0%
Cheung Kong Holdings Ltd. 11,000 66
Hong Kong Electric Holdings Ltd. 10,000 39
Sun Hung Kai Properties Ltd. 9,000 45
Swire Pacific Ltd. 10,000 44
------
194
------
IRELAND-0.7%
CRH PLC 3,911 62
------
ITALY-4.1%
ENI-Ente Nazionale Idrocarburi SpA 12,841 195
Telecom Italia SpA 21,217 192
------
387
------
JAPAN-14.7%
Acom Co. Ltd. (a) 1,130 41
Canon, Inc. (a) 8,000 368
Fanuc Ltd. 1,200 60
Fuji Photo Film Co. Ltd. (a) 4,000 116
Honda Motor Co. Ltd. (a) 4,500 171
Hoya Corp. 1,600 110
Nintendo Co. Ltd. (a) 500 36
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
JAPAN continued
Nippon Telegraph & Telephone Corp. (a) 42 $ 165
NTT DoCoMo, Inc. (a) 34 74
Rohm Co. Ltd. (a) 600 65
Shin-Etsu Chemical Co. Ltd. (a) 1,700 58
SMC Corp. (a) 300 25
Takeda Chemical Industries Ltd. (a) 3,100 115
------
1,404
------
NETHERLANDS-9.4%
ABN-Amro Holdings NV 10,756 206
Heineken NV 1,394 50
ING Groep NV 12,901 225
Koninklijke Ahold NV (a) 7,756 64
Koninklijke Philips Electronics NV 7,969 152
Reed Elsevier NV 8,039 95
TPG NV 3,000 52
VNU NV 1,710 53
------
897
------
SOUTH KOREA-2.0%
POSCO (a) 1,950 51
Samsung Electronics Co., Ltd. GDR 144A (a) 923 137
------
188
------
SPAIN-4.0%
Banco Santander Central Hispano SA 21,776 191
Telefonica SA 16,343 190
------
381
------
SWITZERLAND-12.3%
Nestle SA 1,613 334
Novartis AG 4,899 194
Roche Holdings AG 2,306 181
Swiss Reinsurance 3,060 170
UBS AG 5,285 295
------
1,174
------
UNITED KINGDOM-27.8%
Barclays PLC 36,170 269
BP PLC 13,531 94
British American Tobacco PLC 7,817 89
BT Group PLC 6,906 23
Cadbury Schweppes PLC 22,118 131
Centrica PLC 13,290 39
Compass Group PLC 15,723 85
Diageo PLC 20,984 224
GlaxoSmithKline PLC 13,176 266
Hilton Group PLC 17,126 52
--
The Notes to Financial Statements are an integral part of these statements. 39
International Blend/Bank of Ireland Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS continued
UNITED KINGDOM continued
HSBC Holdings PLC 12,111 $ 143
Kingfisher PLC 11,772 54
Lloyds TSB Group PLC 22,884 163
Prudential PLC 14,831 90
Shell Transport and Trading Co. 27,938 185
Smith & Nephew PLC 5,967 34
Smiths Group PLC 2,853 33
Tesco PLC 27,398 99
TI Automotive Ltd. (a) 5,550 -
Unilever PLC 25,621 204
Vodafone Group PLC 135,055 265
Wolseley PLC 5,593 62
WPP Group PLC 5,993 47
-------
2,651
-------
TOTAL COMMON STOCKS
(Cost $10,470) 9,245
-------
RIGHTS-0.0%
FRANCE-
LaFarge SA, expiring 7/2/03 (Cost $0) 1,170 3
-------
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------------
SHORT-TERM OBLIGATION-1.9%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund
(Cost $183) 183,079 $ 183
-------
TOTAL INVESTMENT IN SECURITIES-99.0%
(Total Cost $10,653) (b) 9,431
Cash and Other Assets, Less Liabilities - 1.0% 89
-------
NET ASSETS-100.0% $ 9,520
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
Tax Information
(b) At June 30, 2003, the net unrealized depreciation of investments, based on
cost for federal income tax purposes of $11,058,311, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 525,318
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (2,152,507)
-----------
Unrealized depreciation - net $(1,627,189)
===========
(c) At December 31, 2002, the capital loss carryforward was:
expiring 2008 $ 129,744
expiring 2009 597,403
expiring 2010 1,509,282
-----------
$ 2,236,429
===========
- --
40 The Notes to Financial Statements are an integral part of these statements.
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES
June 30, 2003 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
LONG-TERM BONDS-86.8%
BASIC MATERIALS-0.4%
Abitibi-Consolidated, Inc., 6.00%, 2013 $ 65 $ 62
Stora Enso Oyj, 7.38%, 2011 60 72
Weyerhaeuser Co., 5.25%, 2009 55 59
------
193
------
COMMUNICATIONS & MEDIA-8.0%
AOL Time Warner, Inc., 7.63%, 2031 30 35
AT&T Corp., 8.50%, 2031 35 40
AT&T Wireless Services, Inc., 8.13%, 2012 45 54
British Telecommunications PLC,
8.88% (coupon change based on rating), 2030 80 109
Comcast Corp., 5.85%, 2010 50 55
Deutsche Telekom International Finance BV,
8.50%, (coupon change based on rating), 2010 120 147
8.75%, (coupon change based on rating), 2030 210 268
France Telecom SA,
8.70%, (coupon change based on rating), 2006 30 34
9.25%, (coupon change based on rating), 2011 375 472
10.00%, (coupon change based on rating), 2031 35 48
Kyivstar GSM, 12.75%, 2005 144A 80 88
Koninklijke KPN, NV, 8.00%, 2010 310 384
Liberty Media Corp., 5.70%, 2013 20 20
News America Holdings, 7.75%, 2045 100 119
News America, Inc., 6.75%, 2038 15 17
PTC International Finance II SA, 11.25%, 2009 95 107
Qwest Capital Funding Inc.,
7.00%, 2009 15 12
6.50%, 2018 10 7
Speedway Motorsports, Inc., 6.75%, 2013 144A 35 36
Sprint Capital Corp.,
6.13%, 2008 45 49
8.38%, 2012 5 6
8.75%, 2032 100 120
Tele Communications, Inc.,
9.80%, 2012 115 152
7.88%, 2013 180 218
TELUS Corp., 8.00%, 2011 135 156
Time Warner, Inc.,
8.18%, 2007 250 293
9.13%, 2013 60 77
7.57%, 2024 95 108
TPSA Finance BV, 7.75%, 2008 144A 100 114
Univision Communications, Inc., 7.85%, 2011 115 137
Verizon Florida, Inc., 6.13%, 2013 60 68
------
3,550
------
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
CONSUMER & RETAIL-2.6%
Ahold Finance USA, Inc., 8.25%, 2010 $ 125 $ 128
Campbell Soup Co., 5.88%, 2008 65 74
Foster's Finance Corp., 6.88%, 2011 144A 55 65
Heinz (H.J.) Co., 6.38%, 2028 10 11
Heinz (H.J.) Finance Co., 6.75%, 2032 70 83
Kellogg Co., 7.45%, 2031 95 121
Kraft Foods, Inc.,
5.25%, 2007 35 38
5.63%, 2011 95 104
Kroger Co., 7.50%, 2031 15 18
Safeway, Inc., 7.25%, 2031 15 17
Sears Roebuck Acceptance Corp., 7.00%, 2032 25 28
VFB LLC, 10.25%, 2009 (a) 1,950 468
------
1,155
------
DIVERSIFIED-1.7%
Bombardier, Inc., 6.75%, 2012 144A 100 103
General Electric Co., 5.00%, 2013 190 201
ITT Industries, Inc., 7.40%, 2025 245 286
Hutchison Whampoa International Ltd.,
6.50%, 2013 144A 135 142
------
732
------
FINANCIAL-13.0%
American Express Credit, Ser.1999-1A, 5.60%, 2006 415 429
Amvescap PLC, 5.90%, 2007 120 131
BankBoston Corp., 8.25%, 2026 150 176
Boeing Capital Corp., 6.10%, 2011 100 110
CIT Group, Inc.,
6.50%, 2006 80 87
6.88%, 2009 30 34
Citigroup, Inc.,
3.50%, 2008 345 355
7.25%, 2010 100 121
Countrywide Home Loans, Inc., 5.50%, 2007 45 49
Credit Suisse First Boston Mortgage Securities Corp.,
4.63%, 2008 55 59
Interest Only 7.50%, 2032 340 33
Interest Only 8.00%, 2032 460 46
Dresdner Funding Trust I, 8.15%, 2031 144A 160 176
Fifth Third Bank Michigan, 7.75%, 2010 155 172
First Union Capital 1, 7.94%, 2027 45 52
Ford Motor Credit Co.,
6.88%, 2006 255 270
7.38%, 2009 170 178
7.38%, 2011 55 57
--
The Notes to Financial Statements are an integral part of these statements. 41
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ------------------------------------------------------------------------------
LONG-TERM BONDS continued
FINANCIAL continued
General Motors Acceptance Corp.,
5.13%, 2008 $ 70 $ 69
6.88%, 2011 290 291
7.00%, 2012 45 45
Golden West Financial Corp., 4.13%, 2007 85 90
Goldman Sachs Group, Inc., 6.88%, 2011 180 212
Household Finance Corp.,
6.38%, 2011 105 119
6.38%, 2012 90 103
HVB Funding Trust III, 9.00%, 2031 144A 185 193
International Lease Finance Corp., 6.38%, 2009 90 101
Kazkommerts International BV, 8.50%, 2013 144A 70 70
Korea Development Bank,
4.25%, 2007 20 21
5.50%, 2012 10 11
Lehman Brothers Holdings, Inc., 6.63%, 2012 90 106
Manufacturers & Traders Trust, 8.00%, 2010 60 74
Morgan (J.P.) Co., 6.00%, 2009 95 107
Morgan Stanley Group, Inc., 6.75%, 2011 105 123
National Rural Utilities Cooperative Finance Corp.,
5.75%, 2009 55 61
NB Capital Trust IV, 8.25%, 2027 65 79
Prudential Funding LLC, 6.60%, 2008 60 69
Residential Asset Mortgage Products, Inc.,
Interest Only, 5.75%, 2005 1,697 102
Santander Financial Issuances, 6.80%, 2005 40 44
Sovereign Bancorp., Inc., 10.50%, 2006 555 667
Standard Chartered Bank, 8.00%, 2031 144A 120 153
Union Planters Corp., 6.75%, 2005 130 143
Zions Bancorp.,
Step Coupon (6.50%, 10/15/2006), 2011 135 150
------
5,738
------
FOREIGN GOVERNMENT-2.2%
Bulgaria (Republic of),
Floating Rate, 2.19%, 2024 100 97
Quebec (Province of Canada),
5.50%, 2006 255 278
5.00%, 2009 20 22
7.50%, 2023 185 242
Russian Federation,
Step Coupon (5.00% to 3/31/07), 2030 144A 145 141
Ukraine Government, 7.65%, 2013 144A 100 99
United Mexican States, 8.30%, 2031 90 104
------
983
------
PRINCIPAL VALUE
(000) (000)
- ------------------------------------------------------------------------------
INDUSTRIAL-1.9%
BAE Systems Holdings, 6.40%, 2011 144A $ 225 $ 252
Lockheed Martin Corp.,
8.20%, 2009 240 304
8.50%, 2029 105 143
Systems 2001 Asset Trust LLC, 7.16%, 2011 144A 113 127
------
826
------
INSURANCE-1.4%
American Re Corp., 7.45%, 2026 55 61
AXA SA, 8.60%, 2030 50 64
Monumental Global Funding II, 3.85%, 2008 144A 95 98
Progressive Corp.,
6.38%, 2012 5 6
6.25%, 2032 15 17
Travelers Property Casualty Corp., 5.00%, 2013 65 68
XL Capital Europe PLC, 6.50%, 2012 85 97
Zurich Capital Trust I, 8.38%, 2037 144A 180 198
------
609
------
MEDICAL-0.3%
Tenet Healthcare Corp., 7.38%, 2013 120 116
------
OIL & GAS-2.2%
Amerada Hess Corp., 7.30%, 2031 65 75
Conoco Funding, Co., 6.35%, 2011 250 292
Devon Financing Corp. ULC, 6.88%, 2011 70 82
Duke Energy Field Services LLC,
5.75%, 2006 20 21
6.88%, 2011 15 17
Gazprom OAO, 9.63%, 2013 144A 100 110
Occidental Petroleum Corp.,
7.65%, 2006 215 243
6.75%, 2012 20 24
Petroleos Mexicanos, 9.50%, 2027 75 93
------
957
------
PHARMACEUTICALS-0.5%
Lilly (Eli) & Co., 6.77%, 2036 165 202
Wyeth, 5.25%, 2013 20 21
------
223
------
TRANSPORTATION-2.5%
American Airlines, 7.38%, 2016 166 78
Burlington Northern Santa Fe, 6.75%, 2029 85 96
Continental Airlines, Inc.,
6.90%, 2017 200 150
6.55%, 2020 4 4
Delta Air Lines, Inc., 7.90%, 2009 75 60
- --
42 The Notes to Financial Statements are an integral part of these statements.
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ------------------------------------------------------------------------
LONG-TERM BONDS continued
TRANSPORTATION continued
Federal Express Corp., 7.60%, 2097 $ 55 $ 63
Ford Motor Co., 6.38%, 2029 60 49
General Motors Corp., 7.13%, 2013 60 60
Norfolk Southern Corp., 7.70%, 2017 140 179
Union Pacific Corp.,
7.60%, 2005 145 160
5.75%, 2007 110 122
6.13%, 2012 85 96
-------
1,117
-------
U.S. GOVERNMENT & AGENCIES-47.4%
Fannie Mae,
5.50%, 2017 725 753
8.00%, 2030 179 193
7.00%, 2031 576 610
8.00%, 2031 142 152
6.50%, 2032 1,903 1,985
7.00%, 2032 1,339 1,415
6.50%, 2033 585 610
Interest Only 7.20%, 2042 3,731 76
Financing Corp., Principal Strips from
9.90%, 2018 260 120
10.00%, 2018 240 115
8.60%, 2019 240 105
9.65%, 2019 200 91
9.70%, 2019 360 162
Freddie Mac,
6.00%, 2017 698 726
4.50%, 2018 736 753
5.00%, 2018 1,098 1,135
6.00%, 2032 2,064 2,140
7.50%, 2032 782 831
5.50%, 2033 1,731 1,788
Interest Only 9.89%, 2043 3,480 96
Ginnie Mae,
6.50%, 2031 350 368
6.50%, 2032 254 266
5.50%, 2033 204 212
6.00%, 2033 452 474
PRINCIPAL VALUE
(000) (000)
- ------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES continued
U.S. Treasury Bonds,
8.75%, 2017 $ 395 $ 591
6.00%, 2026 670 801
U.S. Treasury Notes,
7.88%, 2004 330 360
4.63%, 2006 2,550 2,764
4.38%, 2007 840 913
6.00%, 2009 195 230
5.00%, 2011 105 118
-------
20,953
-------
UTILITIES-2.7%
American Electric Power, Inc., 5.38%, 2010 20 21
Carolina Power & Light Co., 6.50%, 2012 55 64
CenterPoint Energy
5.70%, 2013 144A 70 76
7.88%, 2013 144A 35 40
Columbus Southern Power Co., 5.50%, 2013 144A 30 32
Detroit Edison Co.,
6.13%, 2010 115 131
6.35%, 2032 15 17
Dominion Resources Inc., 6.25%, 2012 35 40
DPL, Inc., 8.25%, 2007 85 96
Duke Capital Corp., 6.25%, 2013 15 16
First Energy Corp.,
5.50%, 2006 140 150
6.45%, 2011 80 88
7.38%, 2031 35 39
Nisource Finance Corp., 7.88%, 2010 105 124
Ohio Power Co., 5.50%, 2013 144A 15 16
Oncor Electric Delivery Co., 7.25%, 2033 144A 70 83
Pinnacle Partners, 8.83%, 2004 144A 80 83
Progress Energy, Inc., 7.00%, 2031 60 66
-------
1,182
-------
TOTAL LONG-TERM BONDS
(Cost $36,391) 38,334
-------
--
The Notes to Financial Statements are an integral part of these statements. 43
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2003 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------
PREFERRED STOCK-2.0%
COMMUNICATIONS & MEDIA-0.3%
Centaur Funding Corp., 9.08% 144A 120 $ 144
--------
FINANCIAL-1.7%
BCI US Funding Trust,
Step Coupon (8.01% to 7/15/08) 144A 190 221
Natexis AMBS Co. LLC.,
Step Coupon (8.44% to 6/30/08) 144A 105 127
RBS Capital Trust I,
Step Coupon (4.71% to 7/01/13) 390 390
--------
738
--------
TOTAL PREFERRED STOCK
(Cost $843) 882
--------
SHORT-TERM OBLIGATIONS-11.2%
MONEY MARKET FUND-10.9%
CIGNA Funds Group - Money Market Fund 4,826,709 4,827
--------
PRINCIPAL
(000)
----------
U.S. GOVERNMENT-0.2%
U.S. Treasury Bills,
1.10%, 10/3/03 (b) $ 50 50
1.17%, 10/3/03 (b) 25 25
--------
75
--------
UTILITIES-0.1%
Niagara Mohawk Power Co., 7.38%, 2003 39 39
--------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $4,941) 4,941
--------
TOTAL INVESTMENTS IN SECURITIES-100.0%
(Total Cost $42,175) (d) 44,157
Cash and Other Assets, Less Liabilities - 0.0% 22
--------
NET ASSETS-100.0% $ 44,179
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Indicates defaulted security.
(b) Pledged as collateral for financial futures contracts. At June 30, 2003,
the Fund was long 9, 2-year U.S. Treasury Notes and was short 1, U.S. Treasury
Bond futures contract, 7, 10-year and 12, 5-year U.S. Treasury Note futures
contracts, all expiring in September 2003. Net unrealized gain amounted to
$25,242. Underlying face values of the long and short positions were
$1,944,000 and ($2,343,477), respectively, and underlying market values were
$1,946,671 and ($2,320,906), respectively.
(c) A summary of outstanding forward currency contracts, as of June 30, 2003,
is as follows:
Net
Unrealized
Settlement Forward Foreign Contract Appreciation
Date Contract Currency Value (Depreciation)
- ---------- -------- -------- -------- --------------
Buys
09/15/03 EURO 390,000 $451,019 $ (3,415)
(d) At June 30, 2003, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $42,350,395, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,948,570
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (141,801)
----------
Unrealized appreciation - net $1,806,769
==========
(e) At December 31, 2002, the capital loss carryforward was:
expiring 2010 $1,593,398
- --
44 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2003 (Unaudited)
(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 $14,913 $11,451 $19,782
Cash 1 51 1
Foreign currency (Cost $71) - - -
Interest and dividends receivable, net of
withholding taxes 66 11 27
Receivable for investments sold - 302 288
Receivable for fund shares sold - - -
Swap contracts receivable - - -
Receivable from investment adviser 3 5 -
Prepaid expenses 5 5 6
Investment for Trustees' deferred
compensation plan (A) 1 (A)
------- ------- -------
Total assets 14,988 11,826 20,104
------- ------- -------
Liabilities:
Payable for investments purchased 482 246 206
Payable for fund shares purchased - - 30
Futures variation margin payable - - -
Payable for forward currency contracts - - -
Custodian fees payable 11 12 15
Audit and legal fees payable 17 17 17
Advisory fees payable - - 1
Administrative services fees payable 5 5 5
Shareholder servicing and distribution fees
payable to Distributor 8 8 13
Deferred Trustees' fees payable (A) 1 (A)
Other accrued expenses 2 2 2
------- ------- -------
Total liabilities 525 291 289
------- ------- -------
Net Assets $14,463 $11,535 $19,815
======= ======= =======
Components of Net Assets:
Paid-in capital $15,662 $16,858 $22,849
Undistributed (overdistributed) net investment
income 194 8 234
Accumulated net realized gain (loss)
on investments (1,997) (6,142) (4,422)
Net unrealized appreciation (depreciation)
of investments, futures, forward contracts
and swaps 604 811 1,154
------- ------- -------
Net Assets $14,463 $11,535 $19,815
======= ======= =======
Net Assets
Institutional Class $ 4,453 $ 2,816 $ 4,270
Premier Class 4,934 3,685 6,517
Retail Class 5,076 5,034 9,028
------- ------- -------
$14,463 $11,535 $19,815
======= ======= =======
Shares Outstanding
Institutional Class 488 473 517
Premier Class 542 623 791
Retail Class 560 858 1,102
Net Asset Value and Redemption Price per Share
Institutional Class $ 9.12 $ 5.96 $ 8.26
Premier Class $ 9.10 $ 5.92 $ 8.24
Retail Class $ 9.06 $ 5.87 $ 8.20
Cost of Investments $14,309 $10,640 $18,628
======= ======= =======
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 $155,322 $178,294 $65,393 $ 9,431 $44,157
Cash 38 313 388 34 -
Foreign currency (Cost $71) - - - 71 -
Interest and dividends receivable, net of
withholding taxes 187 11 47 37(1) 424
Receivable for investments sold 1 335 130 6 480
Receivable for fund shares sold - 5,817 - - -
Swap contracts receivable - - - - 39
Receivable from investment adviser - - - 4 -
Prepaid expenses 6 18 5 5 7
Investment for Trustees' deferred
compensation plan 5 (A) (A) (A) 2
-------- -------- ------- ------- -------
Total assets 155,559 184,788 65,963 9,588 45,109
-------- -------- ------- ------- -------
Liabilities:
Payable for investments purchased - 7,041 158 3 848
Payable for fund shares purchased - - - - -
Futures variation margin payable - - - - 7
Payable for forward currency contracts - - - - 4
Custodian fees payable 38 8 10 34 27
Audit and legal fees payable 21 17 17 17 16
Advisory fees payable 1 116 41 - -
Administrative services fees payable 18 2 5 4 10
Shareholder servicing and distribution fees
payable to Distributor 35 16 26 7 5
Deferred Trustees' fees payable 5 (A) (A) (A) 2
Other accrued expenses 13 - 3 3 11
-------- -------- ------- ------- -------
Total liabilities 131 7,200 260 68 930
-------- -------- ------- ------- -------
Net Assets $155,428 $177,588 $65,703 $ 9,520 $44,179
======== ======== ======= ======= =======
Components of Net Assets:
Paid-in capital $187,622 $161,243 $62,142 $13,685 $42,628
Undistributed (overdistributed) net investment
income 1,154 (506) 189 117 (327)
Accumulated net realized gain (loss)
on investments (13,768) (3,081) (619) (3,063) (125)
Net unrealized appreciation (depreciation)
of investments, futures, forward contracts
and swaps (19,580) 19,932 3,991 (1,219) 2,003
-------- -------- ------- ------- -------
Net Assets $155,428 $177,588 $65,703 $ 9,520 $44,179
======== ======== ======= ======= =======
Net Assets
Institutional Class $119,807 $141,228 $33,543 $ 3,072 $39,896
Premier Class 3,492 28,412 14,819 4,331 1,260
Retail Class 32,129 7,948 17,341 2,117 3,023
-------- -------- ------- ------- -------
$155,428 $177,588 $65,703 $ 9,520 $44,179
======== ======== ======= ======= =======
Shares Outstanding
Institutional Class 19,976 14,935 2,911 479 3,793
Premier Class 581 3,016 1,292 676 120
Retail Class 5,387 851 1,523 334 290
Net Asset Value and Redemption Price per Share
Institutional Class $ 6.00 $ 9.46 $ 11.52 $ 6.42 $ 10.52
Premier Class $ 6.01 $ 9.42 $ 11.47 $ 6.41 $ 10.47
Retail Class $ 5.96 $ 9.34 $ 11.39 $ 6.35 $ 10.42
Cost of Investments $174,496 $158,362 $61,402 $10,653 $42,175
======== ======== ======= ======= =======
(1) Including foreign tax reclaim receivable of $25 and cost of $22.
(A) Amount less than $1.
--
The Notes to Financial Statements are an integral part of these statements. 45
CIGNA Funds Group
STATEMENTS OF OPERATIONS
For the Six Months ended June 30, 2003 (Unaudited)
(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) $ 99 $ 64 $ 178
Interest 119 - -
------ ------ -------
218 64 178
Expenses:
Investment advisory fees 48 42 63
Custodian fees and expenses 29 31 30
Administrative services fees 12 11 12
Registration fees 18 18 17
Audit and legal fees 13 13 13
Distribution fees
Premier Class - - -
Retail Class 6 6 9
Shareholder servicing fees
Premier Class 4 3 6
Retail Class 5 5 8
Shareholder reports 1 1 1
Other 3 2 3
------ ------ -------
Total expenses 139 132 162
Less expenses waived and reimbursed
by Adviser or distributor (71) (76) (70)
------ ------ -------
Net expenses 68 56 92
------ ------ -------
Net Investment Income (Loss) 150 8 86
------ ------ -------
Realized and Unrealized Gain (Loss)
on Investments:
Net realized gain (loss) from:
Currency contracts - - -
Futures contracts - - -
Securities transactions (189) (192) (2,941)
------ ------ -------
(189) (192) (2,941)
------ ------ -------
Net change in unrealized appreciation
(depreciation):
Currency contracts - - -
Futures contracts - - -
Swaps - - -
Investments 1,156 1,269 4,962
------ ------ -------
1,156 1,269 4,962
------ ------ -------
Net Realized and Unrealized Gain
on Investments 967 1,077 2,021
------ ------ -------
Net Increase in Net Assets Resulting
from Operations $1,117 $1,085 $ 2,107
====== ====== =======
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) $ 1,366 $ 105 $ 380 $ 172 $ 73
Interest 8 - - - 2,708
------- ------- ------ ----- -------
1,374 105 380 172 2,781
Expenses:
Investment advisory fees 159 532 214 43 257
Custodian fees and expenses 88 38 31 59 67
Administrative services fees 40 16 14 11 28
Registration fees 17 24 19 17 16
Audit and legal fees 20 14 13 13 14
Distribution fees
Premier Class - - - - 1
Retail Class 34 9 19 2 3
Shareholder servicing fees
Premier Class 3 15 15 5 2
Retail Class 27 7 15 2 3
Shareholder reports 5 3 2 1 6
Other 11 5 3 3 6
------- ------- ------ ----- -------
Total expenses 404 663 345 156 403
Less expenses waived and reimbursed
by Adviser or distributor (166) (53) (58) (102) (188)
------- ------- ------ ----- -------
Net expenses 238 610 287 54 215
------- ------- ------ ----- -------
Net Investment Income (Loss) 1,136 (505) 93 118 2,566
------- ------- ------ ----- -------
Realized and Unrealized Gain (Loss)
on Investments:
Net realized gain (loss) from:
Currency contracts - - - 3 77
Futures contracts 2,948 - - - (371)
Securities transactions (250) 1,459 107 (312) 4,757
------- ------- ------ ----- -------
2,698 1,459 107 (309) 4,463
------- ------- ------ ----- -------
Net change in unrealized appreciation
(depreciation):
Currency contracts - - - 6 (6)
Futures contracts (177) - - - 152
Swaps - - - - (1)
Investments 14,333 21,569 5,532 796 (1,705)
------- ------- ------ ----- -------
14,156 21,569 5,532 802 (1,560)
------- ------- ------ ----- -------
Net Realized and Unrealized Gain
on Investments 16,854 23,028 5,639 493 2,903
------- ------- ------ ----- -------
Net Increase in Net Assets Resulting
from Operations $17,990 $22,523 $5,732 $ 611 $ 5,469
======= ======= ====== ===== =======
- --
46 The Notes to Financial Statements are an integral part of these statements.
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 Six For the Year For the Six For the Year
Months Ended Ended Months Ended Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- --------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 150 $ 309 $ 8 $ (2)
Net realized gain (loss) on Investments (189) (890) (192) (2,935)
Net unrealized appreciation (depreciation)
on Investments 1,156 (913) 1,269 (383)
------- ------- ------- -------
Net increase (decrease) from operations 1,117 (1,494) 1,085 (3,320)
------- ------- ------- -------
Dividends and Distributions:
From net investment income
Institutional Class - (112) - -
Premier Class - (113) - -
Retail Class - (107) - -
------- ------- ------- -------
Total dividends and distributions - (332) - -
------- ------- ------- -------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 9 - 56 226
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 112 - -
------- ------- ------- -------
9 112 56 226
Cost of shares redeemed - - (38) (85)
------- ------- ------- -------
Total from Institutional Class 9 112 18 141
------- ------- ------- -------
Premier Class
Net proceeds from sales of shares 179 229 350 586
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 113 - -
------- ------- ------- -------
179 342 350 586
Cost of shares redeemed (50) (57) (147) (253)
------- ------- ------- -------
Total from Premier Class 129 285 203 333
------- ------- ------- -------
Retail Class
Net proceeds from sales of shares 484 2,075 1,467 3,062
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 107 - -
------- ------- ------- -------
484 2,182 1,467 3,062
Cost of shares redeemed (341) (582) (1,217) (654)
------- ------- ------- -------
Total from Retail Class 143 1,600 250 2,408
------- ------- ------- -------
Net increase (decrease) from Fund share
transactions 281 1,997 471 2,882
------- ------- ------- -------
Total Net Increase (Decrease) in Net Assets 1,398 171 1,556 (438)
Net Assets:
Beginning of period 13,065 12,894 9,979 10,417
------- ------- ------- -------
End of period* $14,463 $13,065 $11,535 $ 9,979
======= ======= ======= =======
* Includes undistributed net investment
income of: $ 194 $ 44 $ 8 $ -
======= ======= ======= =======
Large Cap Value/
John A. Levin & Co. Fund S&P 500(R) Index Fund
---------------------------- ----------------------------
For the Six For the Year For the Six For the Year
Months Ended Ended Months Ended Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- --------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 86 $ 155 $ 1,136 $ 2,075
Net realized gain (loss) on Investments (2,941) (1,378) 2,698 (9,347)
Net unrealized appreciation (depreciation)
on Investments 4,962 (3,838) 14,156 (33,650)
------- ------- -------- --------
Net increase (decrease) from operations 2,107 (5,061) 17,990 (40,922)
------- ------- -------- --------
Dividends and Distributions:
From net investment income
Institutional Class - (40) - (1,832)
Premier Class - (49) - (33)
Retail Class - (44) - (260)
------- ------- -------- --------
Total dividends and distributions - (133) - (2,125)
------- ------- -------- --------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 57 292 107 428
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 40 - 1,832
------- ------- -------- --------
57 332 107 2,260
Cost of shares redeemed (2) (62) (15,849) (3)
------- ------- -------- --------
Total from Institutional Class 55 270 (15,742) 2,257
------- ------- -------- --------
Premier Class
Net proceeds from sales of shares 465 1,820 1,031 1,673
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 49 - 33
------- ------- -------- --------
465 1,869 1,031 1,706
Cost of shares redeemed (404) (752) (473) (918)
------- ------- -------- --------
Total from Premier Class 61 1,117 558 788
------- ------- -------- --------
Retail Class
Net proceeds from sales of shares 3,166 4,909 8,120 14,389
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 44 - 260
------- ------- -------- --------
3,166 4,953 8,120 14,649
Cost of shares redeemed (1,570) (1,128) (2,508) (4,502)
------- ------- -------- --------
Total from Retail Class 1,596 3,825 5,612 10,147
------- ------- -------- --------
Net increase (decrease) from Fund share
transactions 1,712 5,212 (9,572) 13,192
------- ------- -------- --------
Total Net Increase (Decrease) in Net Assets 3,819 18 8,418 (29,855)
Net Assets:
Beginning of period 15,996 15,978 147,010 176,865
------- ------- -------- --------
End of period* $19,815 $15,996 $155,428 $147,010
======= ======= ======== ========
* Includes undistributed net investment
income of: $ 234 $ 148 $ 1,154 $ 18
======= ======= ======== ========
--
The Notes to Financial Statements are an integral part of these statements. 47
CIGNA Funds Group
STATEMENTS OF CHANGES IN NET ASSETS continued
(In Thousands)
Small Cap Growth/ Small Cap Value/
TimesSquare Fund Perkins, Wolf, McDonnell Fund
---------------------------- -----------------------------
For the Six For the Year For the Six For the Year
Months Ended Ended Months Ended Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- --------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ (505) $ (341) $ 93 $ 109
Net realized gain (loss) on Investments 1,459 (2,761) 107 (725)
Net unrealized appreciation (depreciation)
on Investments 21,569 (2,920) 5,532 (3,305)
-------- ------- ------- -------
Net increase (decrease) from operations 22,523 (6,022) 5,732 (3,921)
-------- ------- ------- -------
Dividends and Distributions:
From net investment income
Institutional Class - - - (16)
Premier Class - - - (8)
Retail Class - - - -
From net realized capital gains
Institutional Class - - - (120)
Premier Class - - - (114)
Retail Class - - - (138)
-------- ------- ------- -------
Total dividends and distributions - - - (396)
-------- ------- ------- -------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 72,226 46,629 22,256 5,805
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - - - 136
-------- ------- ------- -------
72,226 46,629 22,256 5,941
Cost of shares redeemed (1,471) (731) (2,545) (9)
-------- ------- ------- -------
Total from Institutional Class 70,755 45,898 19,711 5,932
-------- ------- ------- -------
Premier Class
Net proceeds from sales of shares 21,479 600 6,768 4,582
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - - - 122
-------- ------- ------- -------
21,479 600 6,768 4,704
Cost of shares redeemed (1,263) (290) (4,775) (598)
-------- ------- ------- -------
Total from Premier Class 20,216 310 1,993 4,106
-------- ------- ------- -------
Retail Class
Net proceeds from sales of shares 1,955 4,334 5,478 10,723
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - - - 138
-------- ------- ------- -------
1,955 4,334 5,478 10,861
Cost of shares redeemed (1,612) (1,472) (3,188) (2,035)
-------- ------- ------- -------
Total from Retail Class 343 2,862 2,290 8,826
-------- ------- ------- -------
Net increase (decrease) from Fund share
transactions 91,314 49,070 23,994 18,864
-------- ------- ------- -------
Total Net Increase (Decrease) in Net Assets 113,837 43,048 29,726 14,547
Net Assets:
Beginning of period 63,751 20,703 35,977 21,430
-------- ------- ------- -------
End of period* $177,588 $63,751 $65,703 $35,977
======== ======= ======= =======
* Includes undistributed (overdistributed) net
investment income of: $ (506) $ (1) $ 189 $ 96
======== ======= ======= =======
International Blend/ TimesSquare
Bank of Ireland Fund Core Plus Bond Fund
---------------------------- ----------------------------
For the Six For the Year For the Six For the Year
Months Ended Ended Months Ended Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- --------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 118 $ 88 $ 2,566 $ 4,383
Net realized gain (loss) on Investments (309) (1,844) 4,463 (275)
Net unrealized appreciation (depreciation)
on Investments 802 (137) (1,560) 4,437
------ ------- --------- --------
Net increase (decrease) from operations 611 (1,893) 5,469 8,545
------ ------- --------- --------
Dividends and Distributions:
From net investment income
Institutional Class - (32) (2,547) (5,963)
Premier Class - (35) (33) (47)
Retail Class - (13) (77) (60)
From net realized capital gains
Institutional Class - - - (64)
Premier Class - - - (1)
Retail Class - - - (1)
------ ------- --------- --------
Total dividends and distributions - (80) (2,657) (6,136)
------ ------- --------- --------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 19 1,271 52,004 4,176
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 32 2,547 6,027
------ ------- --------- --------
19 1,303 54,551 10,203
Cost of shares redeemed (1) (1,252) (119,062) (1,656)
------ ------- --------- --------
Total from Institutional Class 18 51 (64,511) 8,547
------ ------- --------- --------
Premier Class
Net proceeds from sales of shares 132 707 191 882
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 35 33 48
------ ------- --------- --------
132 742 224 930
Cost of shares redeemed (136) (446) (188) (235)
------ ------- --------- --------
Total from Premier Class (4) 296 36 695
------ ------- --------- --------
Retail Class
Net proceeds from sales of shares 378 2,240 2,667 3,260
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 13 76 61
------ ------- --------- --------
378 2,253 2,743 3,321
Cost of shares redeemed (289) (1,519) (1,708) (2,056)
------ ------- --------- --------
Total from Retail Class 89 734 1,035 1,265
------ ------- --------- --------
Net increase (decrease) from Fund share
transactions 103 1,081 (63,440) 10,507
------ ------- --------- --------
Total Net Increase (Decrease) in Net Assets 714 (892) (60,628) 12,916
Net Assets:
Beginning of period 8,806 9,698 104,807 91,891
------ ------- --------- --------
End of period* $9,520 $ 8,806 $ 44,179 $104,807
====== ======= ========= ========
* Includes undistributed (overdistributed) net
investment income of: $ 117 $ (1) $ (327) $ (236)
====== ======= ========= ========
- --
48 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS
Balanced Fund (sub-advised by Wellington Management)(1)
------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 --------------------------------------------
(Unaudited) 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) 0.11 0.24 (f) 0.24 0.27
Net realized and unrealized gain (loss) on investments 0.61 (1.28) (0.41) 0.10
------ ------- ------ ------
Total from investment operations 0.72 (1.04) (0.17) 0.37
------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.24) (0.22) (0.30)
------ ------- ------ ------
Total dividends and distributions - (0.24) (0.22) (0.30)
------ ------- ------ ------
Net asset value, end of period $ 9.12 $ 8.40 $ 9.68 $10.07
====== ======= ====== ======
Total Return(a) 8.57%(b) (10.77)% (1.67)% 3.66%(b)
Ratios to Average Net Assets
Gross expenses 1.87%(c) 1.78% 1.72% 1.76%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.07%(c) 0.98% 0.92% 0.96%(c)
Net expenses 0.80%(c) 0.80% 0.80% 0.80%(c)
Net investment income (loss)(d) 2.58%(c) 2.59% 2.49% 2.78%(c)
Portfolio Turnover 29%(b) 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $4,453 $ 4,094 $4,585 $4,663
Large Cap Growth/Morgan Stanley Fund(1)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -------------------------------------------------
(Unaudited) 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) 0.01 0.01 (A)(f) (0.01)
Net realized and unrealized gain (loss) on investments 0.56 (2.06) (1.28) (1.27)
------ ------- ------- -------
Total from investment operations 0.57 (2.05) (1.28) (1.28)
------ ------- ------- -------
Less dividends and distributions:
Dividends from net investment income - - - -
------ ------- ------- -------
Total dividends and distributions - - - -
------ ------- ------- -------
Net asset value, end of period $ 5.96 $ 5.39 $ 7.44 $ 8.72
====== ======= ======= =======
Total Return(a) 10.58%(b) (27.55)% (14.68)% (12.80)%(b)
Ratios to Average Net Assets
Gross expenses 2.25%(c) 2.18% 2.18% 1.79%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.45%(c) 1.35% 1.38% 0.99%(c)
Net expenses 0.80%(c) 0.80% 0.80% 0.80%(c)
Net investment income (loss)(d) 0.42%(c) 0.21% 0.06% (0.11)%(c)
Portfolio Turnover 78%(b) 149% 91% 75%(b)
Net Assets, End of Period (000 omitted) $2,816 $ 2,528 $ 3,347 $ 3,926
Large Cap Value/John A. Levin & Co. Fund(1)
---------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -----------------------------------------------
(Unaudited) 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.41 $ 10.24 $10.85 $ 0.00
Income from investment operations
Net investment income(d) 0.04 0.09 0.11(f) 0.13
Net realized and unrealized gain (loss)
on investments 0.81 (2.84) (0.57) 1.28
------ ------- ------ ------
Total from investment operations 0.85 (2.75) (0.46) 1.41
------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.08) (0.15) (0.56)
Distributions from net realized capital gains - - - -
------ ------- ------ ------
Total dividends and distributions - (0.08) (0.15) (0.56)
------ ------- ------ ------
Net asset value, end of period $ 8.26 $ 7.41 $10.24 $10.85
====== ======= ====== ======
Total Return(a) 11.47%(b) (26.85)% (4.21)% 14.03%(b)
Ratios to Average Net Assets
Gross expenses 1.61%(c) 1.48% 1.47% 1.55%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.81%(c) 0.68% 0.67% 0.75%(c)
Net expenses 0.80%(c) 0.80% 0.80% 0.80%(c)
Net investment income(d) 1.23%(c) 1.17% 1.36% 1.05%(c)
Portfolio Turnover 46%(b) 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $4,270 $ 3,778 $4,915 $5,130
S&P 500(R) Index Fund(2)
--------------------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ---------------------------------------------------------------
(Unaudited) 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 5.37 $ 7.01 $ 8.11 $ 10.09 $ 8.55 $ 6.77
Income from investment operations
Net investment income(d) 0.05 0.08 0.12 0.14 0.11 0.08
Net realized and unrealized gain (loss)
on investments 0.58 (1.64) (1.10) (0.98) 1.66 1.83
-------- -------- -------- -------- -------- --------
Total from investment operations 0.63 (1.56) (0.98) (0.84) 1.77 1.91
-------- -------- -------- -------- -------- --------
Less dividends and distributions:
Dividends from net investment income - (0.08) (0.12) (0.19) (0.14) (0.10)
Distributions from net realized capital gains - - (A) (0.95) (0.09) (0.03)
-------- -------- -------- -------- -------- --------
Total dividends and distributions - (0.08) (0.12) (1.14) (0.23) (0.13)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 6.00 $ 5.37 $ 7.01 $ 8.11 $ 10.09 $ 8.55
======== ======== ======== ======== ======== ========
Total Return(a) 11.73%(b) (22.21)% (12.08)% (9.24)% 20.66% 28.28%
Ratios to Average Net Assets
Gross expenses 0.45%(c) 0.44% 0.44% 0.38% 0.36% 0.43%
Fees and expenses waived or borne by the
Adviser or Distributor 0.20%(c) 0.19% 0.19% 0.13% 0.01% 0.08%
Net expenses 0.25%(c) 0.25% 0.25% 0.25% 0.35% 0.35%
Net investment income(d) 1.56%(c) 1.35% 1.59% 1.46% 1.11% 1.27%
Portfolio Turnover 1%(b) 4% 2% 9% 3% 3%
Net Assets, End of Period (000 omitted) $119,807 $121,170 $155,364 $176,707 $352,417 $291,265
(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, 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.
--
The Notes to Financial Statements are an integral part of these statements. 49
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS continued
Small Cap Growth/TimesSquare Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -----------------------------------------------
(Unaudited) 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) (0.03) (0.07)(f) (0.06) (0.01)
Net realized and unrealized gain (loss) on investments 1.33 (1.77) (0.94) 1.16
-------- ------- ------ -------
Total from investment operations 1.30 (1.84) (1.00) 1.15
-------- ------- ------ -------
Less dividends and distributions:
Dividends from net investment income - - - (0.10)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.05)
-------- ------- ------ -------
Total dividends and distributions - - - (0.15)
-------- ------- ------ -------
Net asset value, end of period $ 9.46 $ 8.16 $10.00 $ 11.00
======== ======= ====== =======
Total Return(a) 15.93%(b) (18.40)% (9.09)% 11.51%(b)
Ratios to Average Net Assets
Gross expenses 1.15%(c) 1.45% 1.75% 1.81%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.10%(c) 0.40% 0.70% 0.76%(c)
Net expenses 1.05%(c) 1.05% 1.05% 1.05%(c)
Net investment income (loss)(d) (0.86)%(c) (0.85)% (0.66)% (0.12)%(c)
Portfolio Turnover 30%(b) 57% 160% 140%(b)
Net Assets, End of Period (000 omitted) $141,228 $51,762 $9,441 $16,552
Small Cap Value/Perkins, Wolf, McDonnell Fund(1)
-------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 --------------------------------------------------
(Unaudited) 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) 0.03(f) 0.07(f) 0.13(f) 0.34
Net realized and unrealized gain (loss) on investments 1.26 (1.87) 2.38 2.59
------- ------- ------ ------
Total from investment operations 1.29 (1.80) 2.51 2.93
------- ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.01) (1.36) (1.55)
Distributions from net realized capital gains - (0.11) (0.38) -
Distributions from capital - - - -
------- ------- ------ ------
Total dividends and distributions - (0.12) (1.74) (1.55)
------- ------- ------ ------
Net asset value, end of period $ 11.52 $ 10.23 $12.15 $11.38
======= ======= ====== ======
Total Return(a) 12.61%(b) (14.80)% 21.78% 29.22%(b)
Ratios to Average Net Assets
Gross expenses 1.31%(c) 1.54% 1.70% 1.98%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.26%(c) 0.49% 0.65% 0.93%(c)
Net expenses 1.05%(c) 1.05% 1.05% 1.05%(c)
Net investment income (loss)(d) 0.68%(c) 0.64% 1.03% 1.69%(c)
Portfolio Turnover 18%(b) 42% 59% 102%(b)
Net Assets, End of Period (000 omitted) $33,543 $11,913 $7,079 $5,812
International Blend/Bank of Ireland Fund(3)
--------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ----------------------------------------------
(Unaudited) 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) 0.09 0.08 0.07 0.07
Net realized and unrealized gain (loss) on investments 0.32 (1.46) (1.94) (0.46)
------ ------- ------- ------
Total from investment operations 0.41 (1.38) (1.87) (0.39)
------ ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.07) (0.08) (0.11)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.09)
------ ------- ------- ------
Total dividends and distributions - (0.07) (0.08) (0.20)
------ ------- ------- ------
Net asset value, end of period $ 6.42 $ 6.01 $ 7.46 $ 9.41
====== ======= ======= ======
Total Return(a) 6.82%(b) (18.50)% (19.85)% (3.84)%(b)
Ratios to Average Net Assets
Gross expenses 3.39%(c) 3.19% 2.55% 2.59%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 2.34%(c) 2.14% 1.50% 1.54%(c)
Net expenses 1.05%(c) 1.05% 1.05% 1.05%(c)
Net investment income(d) 2.93%(c) 1.13% 0.91% 0.69%(c)
Portfolio Turnover 7%(b) 29% 12% 27%(b)
Net Assets, End of Period (000 omitted) $3,072 $ 2,855 $ 3,466 $4,326
TimesSquare/Core Plus Bond Fund
-------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ---------------------------------------------
(Unaudited) 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) 0.28(f) 0.45(f) 0.59(f) 0.63
Net realized and unrealized gain (loss) on investments 0.34 0.41 0.29 0.34
------- -------- ------- -------
Total from investment operations 0.62 0.86 0.88 0.97
------- -------- ------- -------
Less dividends and distributions:
Dividends from net investment income (0.29) (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 (0.29) (0.63) (1.19) (0.70)
------- -------- ------- -------
Net asset value, end of period $ 10.52 $ 10.19 $ 9.96 $ 10.27
======= ======== ======= =======
Total Return(a) 6.12%(b) 8.90% 8.80% 9.93%
Ratios to Average Net Assets
Gross expenses 0.86%(c) 0.80% 0.80% 0.83%
Fees and expenses waived or borne by the Adviser
or Distributor 0.41%(c) 0.35% 0.35% 0.38%
Net expenses 0.45%(c) 0.45% 0.45% 0.45%
Net investment income(d) 5.63%(c) 4.48% 5.69% 6.74%
Portfolio Turnover 118%(b) 396% 351% 310%
Net Assets, End of Period (000 omitted) $39,896 $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) 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.
- --
50 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - PREMIER CLASS
Balanced Fund (sub-advised by Wellington Management)(1)
------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 --------------------------------------------
(Unaudited) 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) 0.10 0.22(f) 0.23 0.25
Net realized and unrealized gain (loss) on investments 0.61 (1.28) (0.41) 0.09
------ ------- ------ ------
Total from investment operations 0.71 (1.06) (0.18) 0.34
------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.22) (0.20) (0.29)
Total dividends and distributions - (0.22) (0.20) (0.29)
------ ------- ------ ------
Net asset value, end of period $ 9.10 $ 8.39 $ 9.67 $10.05
====== ======= ====== ======
Total Return(a) 8.46%(b) (10.97)% (1.78)% 3.41%(b)
Ratios to Average Net Assets
Gross expenses 2.07%(c) 1.98% 1.92% 1.96%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.07%(c) 0.98% 0.92% 0.96%(c)
Net expenses 1.00%(c) 1.00% 1.00% 1.00%(c)
Net investment income (loss)(d) 2.38%(c) 2.40% 2.32% 2.58%(c)
Portfolio Turnover 29%(b) 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $4,934 $ 4,429 $4,786 $4,964
Large Cap Growth/Morgan Stanley Fund(1)
--------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ---------------------------------------------------
(Unaudited) 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 0.55 (2.05) (1.29) (1.26)
------ ------- ------- -------
Total from investment operations 0.56 (2.05) (1.30) (1.29)
------ ------- ------- -------
Less dividends and distributions:
Dividends from net investment income - - - -
Total dividends and distributions - - - -
------ ------- ------- -------
Net asset value, end of period $ 5.92 $ 5.36 $ 7.41 $ 8.71
====== ======= ======= =======
Total Return(a) 10.45%(b) (27.67)% (14.93)% (12.90)%(b)
Ratios to Average Net Assets
Gross expenses 2.45%(c) 2.38% 2.38% 1.99%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.45%(c) 1.38% 1.38% 0.99%(c)
Net expenses 1.00%(c) 1.00% 1.00% 1.00%(c)
Net investment income (loss)(d) 0.22%(c) 0.01% (0.15)% (0.31)%(c)
Portfolio Turnover 78%(b) 149% 91% 75%(b)
Net Assets, End of Period (000 omitted) $3,685 $ 3,140 $ 3,984 $ 4,377
Large Cap Value/John A. Levin & Co. Fund.(1)
-------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ---------------------------------------------
(Unaudited) 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) 0.04 0.06 0.13(f) 0.10
Net realized and unrealized gain (loss) on investments 0.80 (2.82) (0.61) 1.28
------ ------ ------ ------
Total from investment operations 0.84 (2.76) (0.48) 1.38
------ ------ ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.06) (0.13) (0.55)
Distributions from net realized capital gains - - - -
------ ------ ------ ------
Total dividends and distributions - (0.06) (0.13) (0.55)
------ ------ ------ ------
Net asset value, end of period $ 8.24 $ 7.40 $10.22 $10.83
====== ====== ====== ======
Total Return(a) 11.35%(b) 26.97% (4.39)% 13.78%(b)
Ratios to Average Net Assets
Gross expenses 1.81%(c) 1.68% 1.67% 1.75%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.81%(c) 0.68% 0.67% 0.75%(c)
Net expenses 1.00%(c) 1.00% 1.00% 1.00%(c)
Net investment income(d) 1.03%(c) 0.99% 0.89% 0.85%(c)
Portfolio Turnover 46%(b) 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $6,517 $5,780 $6,657 $5,842
S&P 500(R) Index Fund(2)
----------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -----------------------------------------------
(Unaudited) 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) 0.04 0.08 0.08 0.15
Net realized and unrealized gain (loss) on investments 0.59 (1.64) (1.07) (0.82)
------ ------- ------- ------
Total from investment operations 0.63 (1.56) (0.99) (0.67)
------ ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.07) (0.11) (0.25)
Distributions from net realized capital gains - - (A) (0.97)
------ ------- ------- ------
Total dividends and distributions - (0.07) (0.11) (1.22)
------ ------- ------- ------
Net asset value, end of period $ 6.01 $ 5.38 $ 7.01 $ 8.11
====== ======= ======= ======
Total Return(a) 11.71%(b) (22.24)% (12.20)% (7.64)%(b)
Ratios to Average Net Assets
Gross expenses 0.65%(c) 0.63% 0.64% 0.58%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.30%(c) 0.28% 0.29% 0.23%(c)
Net expenses 0.35%(c) 0.35% 0.35% 0.35%(c)
Net investment income(d) 1.47%(c) 1.25% 1.59% 1.36%(c)
Portfolio Turnover 1%(b) 4% 2% 9%(b)
Net Assets, End of Period (000 omitted) $3,492 $ 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) The Fund was required to start amortizing premium and discount on all debt
securities. The effect of this change on net investment income to 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.
--
The Notes to Financial Statements are an integral part of these statements. 51
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - PREMIER CLASS continued
Small Cap Growth/TimesSquare Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -----------------------------------------------
(Unaudited) 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) (0.03) (0.09)(f) (0.08) (0.02)
Net realized and unrealized gain (loss) on investments 1.33 (1.76) (0.93) 1.15
------- ------- ------ ------
Total from investment operations 1.30 (1.85) (1.01) 1.13
------- ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - - - (0.10)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.05)
------- ------- ------ ------
Total dividends and distributions - - - (0.15)
------- ------- ------ ------
Net asset value, end of period $ 9.42 $ 8.12 $ 9.97 $10.98
======= ======= ====== ======
Total Return(a) 16.01%(b) (18.56)% (9.20)% 11.26%(b)
Ratios to Average Net Assets
Gross expenses 1.35%(c) 1.65% 1.95% 2.01%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.10%(c) 0.40% 0.70% 0.76%(c)
Net expenses 1.25%(c) 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) (1.06)%(c) (1.06)% (0.87)% (0.32)%(c)
Portfolio Turnover 30%(b) 57% 160% 140%(b)
Net Assets, End of Period (000 omitted) $28,412 $ 5,482 $6,370 $6,640
Small Cap Value/Perkins, Wolf, McDonnell Fund(1)
-------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 --------------------------------------------------
(Unaudited) 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) 0.02(f) 0.05(f) 0.10(f) 0.32
Net realized and unrealized gain (loss) on investments 1.26 (1.86) 2.37 2.59
------- ------- ------ ------
Total from investment operations 1.28 (1.81) 2.47 2.91
------- ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.01) (1.34) (1.54)
Distributions from net realized capital gains - (0.11) (0.38) -
Distributions from capital - - - -
------- ------- ------ ------
Total dividends and distributions - (0.12) (1.72) (1.54)
------- ------- ------ ------
Net asset value, end of period $ 11.47 $ 10.19 $12.12 $11.37
======= ======= ====== ======
Total Return(a) 12.56%(b) (14.97)% 21.53% 28.96%(b)
Ratios to Average Net Assets
Gross expenses 1.51%(c) 1.74% 1.90% 2.18%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.26%(c) 0.49% 0.65% 0.93%(c)
Net expenses 1.25%(c) 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) 0.39%(c) 0.47% 0.82% 1.49%(c)
Portfolio Turnover 18%(b) 42% 59% 102%(b)
Net Assets, End of Period (000 omitted) $14,819 $10,934 $8,125 $6,178
International Blend/Bank of Ireland Fund(3)
--------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ----------------------------------------------
(Unaudited) 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) 0.08 0.06 0.05 0.04
Net realized and unrealized gain (loss) on investments 0.33 (1.46) (1.93) (0.45)
------ ------- ------- ------
Total from investment operations 0.41 (1.40) (1.88) (0.41)
------ ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.05) (0.06) (0.11)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.09)
------ ------- ------- ------
Total dividends and distributions - (0.05) (0.06) (0.20)
------ ------- ------- ------
Net asset value, end of period $ 6.41 $ 6.00 $ 7.45 $ 9.39
====== ======= ======= ======
Total Return(a) 6.83%(b) (18.76)% (19.98)% (4.09)%(b)
Ratios to Average Net Assets
Gross expenses 3.64%(c) 3.44% 2.80% 2.84%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 2.39%(c) 2.19% 1.55% 1.59%(c)
Net expenses 1.25%(c) 1.25% 1.25% 1.25%(c)
Net investment income(d) 2.72%(c) 0.95% 0.65% 0.49%(c)
Portfolio Turnover 7%(b) 29% 12% 27%(b)
Net Assets, End of Period (000 omitted) $4,331 $ 4,059 $ 4,739 $5,001
TimesSquare/Core Plus Bond Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -------------------------------------------------
(Unaudited) 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) 0.28(f) 0.43(f) 0.50(f) 0.57
Net realized and unrealized gain (loss) on investments 0.32 0.38 0.34 0.40
------ ------ ------ ------
Total from investment operations 0.60 0.81 0.84 0.97
------ ------ ------ ------
Less dividends and distributions:
Dividends from net investment income (0.29) (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 (0.29) (0.60) (1.17) (0.69)
------ ------ ------ ------
Net asset value, end of period $10.47 $10.16 $ 9.95 $10.28
====== ====== ====== ======
Total Return(a) 5.94%(b) 8.44% 8.36% 9.92%(b)
Ratios to Average Net Assets
Gross expenses 1.29%(c) 1.20% 1.20% 1.23%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 0.44%(c) 0.35% 0.35% 0.38%(c)
Net expenses 0.85%(c) 0.85% 0.85% 0.85%(c)
Net investment income(d) 5.37%(c) 4.41% 5.15% 6.34%(c)
Portfolio Turnover 118%(b) 396% 351% 310%(b)
Net Assets, End of Period (000 omitted) $1,260 $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) The Fund was required to start amortizing premium and discount on all debt
securities. The effect of this change on net investment income to 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.
- --
52 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - RETAIL CLASS
Balanced Fund (sub-advised by Wellington Management)(1)
------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 --------------------------------------------
(Unaudited) 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) 0.09 0.19(f) 0.21 0.17
Net realized and unrealized gain (loss) on investments 0.61 (1.27) (0.42) 0.16
------ ------- ------ ------
Total from investment operations 0.70 (1.08) (0.21) 0.33
------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.20) (0.19) (0.29)
Total dividends and distributions - (0.20) (0.19) (0.29)
------ ------- ------ ------
Net asset value, end of period $ 9.06 $ 8.36 $ 9.64 $10.04
====== ======= ====== ======
Total Return (a) 8.37%(b) (11.17)% (2.14)% 3.25%(b)
Ratios to Average Net Assets
Gross expenses 2.32%(c) 2.23% 2.17% 2.21%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.07%(c) 0.98% 0.92% 0.96%(c)
Net expenses 1.25%(c) 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) 2.13%(c) 2.16% 2.07% 2.33%(c)
Portfolio Turnover 29%(b) 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $5,076 $ 4,542 $3,523 $2,180
Large Cap Growth/Morgan Stanley Fund(1)
----------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ---------------------------------------------------
(Unaudited) 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) (A) (A) (0.03)(f) (0.04)
Net realized and unrealized gain (loss) on investments 0.55 (2.05) (1.29) (1.27)
------ ------- ------- -------
Total from investment operations 0.55 (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 $ 5.87 $ 5.32 $ 7.37 $ 8.69
====== ======= ======= =======
Total Return (a) 10.34%(b) (27.82)% (15.19)% (13.10)%(b)
Ratios to Average Net Assets
Gross expenses 2.69%(c) 2.63% 2.63% 2.24%(c)
Fees and expenses waived or borne by the Adviser
or Distributor 1.44%(c) 1.38% 1.38% 0.99%(c)
Net expenses 1.25%(c) 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) (0.03)%(c) (0.20)% (0.39)% (0.56)%(c)
Portfolio Turnover 78%(b) 149% 91% 75%(b)
Net Assets, End of Period (000 omitted) $5,034 $ 4,311 $ 3,086 $ 2,107
Large Cap Value/John A. Levin & Co. Fund(1)
-------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ---------------------------------------------
(Unaudited) 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) 0.03 0.06 0.06(f) 0.07
Net realized and unrealized gain (loss) on investments 0.80 (2.83) (0.56) 1.28
------ ------ ------ ------
Total from investment operations 0.83 (2.77) (0.50) 1.35
------ ------ ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.05) (0.12) (0.54)
Distributions from net realized capital gains - - - -
------ ------ ------ ------
Total dividends and distributions - (0.05) (0.12) (0.54)
------ ------ ------ ------
Net asset value, end of period $ 8.20 $ 7.37 $10.19 $10.81
====== ====== ====== ======
Total Return(a) 11.26%(b) 27.17% (4.61)% 13.52%(b)
Ratios to Average Net Assets
Gross expenses 2.04%(c) 1.93% 1.92% 2.00%(c)
Fees and expenses waived or borne by the Adviser or
Distributor 0.79%(c) 0.68% 0.67% 0.75%(c)
Net expenses 1.25%(c) 1.25% 1.25% 1.25%(c)
Net investment income(d) 0.80%(c) 0.80% 0.64% 0.60%(c)
Portfolio Turnover 46%(b) 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $9,028 $6,438 $4,406 $1,934
S&P 500(R) Index Fund(2)
----------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -----------------------------------------------
(Unaudited) 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) 0.04 0.06 0.09 0.13
Net realized and unrealized gain (loss) on investments 0.57 (1.64) (1.09) (0.83)
------- ------- ------- -------
Total from investment operations 0.61 (1.58) (1.00) (0.70)
------- ------- ------- -------
Less dividends and distributions:
Dividends from net investment income - (0.06) (0.10) (0.24)
Distributions from net realized capital gains - - (A) (0.97)
------- ------- ------- -------
Total dividends and distributions - (0.06) (0.10) (1.21)
------- ------- ------- -------
Net asset value, end of period $ 5.96 $ 5.35 $ 6.99 $ 8.09
======= ======= ======= =======
Total Return(a) 11.40%(b) (22.59)% (12.41)% (7.94)%(b)
Ratios to Average Net Assets
Gross expenses 0.90%(c) 0.88% 0.89% 0.83%(c)
Fees and expenses waived or borne by the Adviser or
Distributor 0.30%(c) 0.28% 0.29% 0.23%(c)
Net expenses 0.60%(c) 0.60% 0.60% 0.60%(c)
Net investment income(d) 1.22%(c) 1.02% 1.27% 1.11%(c)
Portfolio Turnover 1%(b) 4% 2% 9%(b)
Net Assets, End of Period (000 omitted) $32,129 $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) The Fund was required to start amortizing premium and discount on all debt
securities. The effect of this change on net investment income to 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.
--
The Notes to Financial Statements are an integral part of these statements. 53
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - RETAIL CLASS continued
Small Cap Growth/TimesSquare Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -----------------------------------------------
(Unaudited) 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) (0.05) (0.11)(f) (0.07) (0.04)
Net realized and unrealized gain (loss) on investments 1.32 (1.75) (0.96) 1.14
------ ------- ------ ------
Total from investment operations 1.27 (1.86) (1.03) 1.10
------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - - - (0.09)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.05)
------ ------- ------ ------
Total dividends and distributions - - - (0.14)
------ ------- ------ ------
Net asset value, end of period $ 9.34 $ 8.07 $ 9.93 $10.96
====== ======= ====== ======
Total Return(a) 15.74%(b) (18.73)% (9.40)% 11.00%(b)
Ratios to Average Net Assets
Gross expenses 1.59%(c) 1.90% 2.18% 2.26%(c)
Fees and expenses waived or borne by the Adviser or
Distributor 0.09%(c) 0.40% 0.68% 0.76%(c)
Net expenses 1.50%(c) 1.50% 1.50% 1.50%(c)
Net investment income (loss)(d) (1.31)%(c) (1.30)% (1.14)% (0.57)%(c)
Portfolio Turnover 30%(b) 57% 160% 140%(b)
Net Assets, End of Period (000 omitted) $7,948 $ 6,507 $4,892 $2,905
Small Cap Value/Perkins, Wolf, McDonnell Fund(1)
-------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 --------------------------------------------------
(Unaudited) 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) 0.01(f) 0.03(f) 0.07(f) 0.27
Net realized and unrealized gain (loss) on investments 1.24 (1.85) 2.36 2.60
------- ------- ------ ------
Total from investment operations 1.25 (1.82) 2.43 2.87
------- ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - - (1.32) (1.53)
Distributions from net realized capital gains - (0.11) (0.38) -
Distributions from capital - - - -
------- ------- ------ ------
Total dividends and distributions - (0.11) (1.70) (1.53)
------- ------- ------ ------
Net asset value, end of period $ 11.39 $ 10.14 $12.07 $11.34
======= ======= ====== ======
Total Return(a) 12.33%(b) (15.18)% 21.28% 28.60%(b)
Ratios to Average Net Assets
Gross expenses 1.76%(c) 1.99% 2.15% 2.43%(c)
Fees and expenses waived or borne by the Adviser or
Distributor 0.26%(c) 0.49% 0.65% 0.93%(c)
Net expenses 1.50%(c) 1.50% 1.50% 1.50%(c)
Net investment income (loss)(d) 0.15%(c) 0.24% 0.58% 1.24%(c)
Portfolio Turnover 18%(b) 42% 59% 102%(b)
Net Assets, End of Period (000 omitted) $17,341 $13,130 $6,226 $1,973
International Blend/Bank of Ireland Fund(3)
--------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ----------------------------------------------
(Unaudited) 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) 0.07 0.04 0.04 (A)
Net realized and unrealized gain (loss) on investments 0.33 (1.47) (1.94) (0.44)
------ ------- ------- ------
Total from investment operations 0.40 (1.43) (1.90) (0.44)
------ ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.04) (0.05) (0.10)
Distributions from net realized capital gains - - - -
Distributions from capital - - - (0.09)
------ ------- ------- ------
Total dividends and distributions - (0.04) (0.05) (0.19)
------ ------- ------- ------
Net asset value, end of period $ 6.35 $ 5.95 $ 7.42 $ 9.37
====== ======= ======= ======
Total Return(a) 6.72%(b) (19.23)% (20.29)% (4.35)%(b)
Ratios to Average Net Assets
Gross expenses 3.89%(c) 3.69% 3.05% 3.09%(c)
Fees and expenses waived or borne by the Adviser or
Distributor 2.39%(c) 2.19% 1.55% 1.59%(c)
Net expenses 1.50%(c) 1.50% 1.50% 1.50%(c)
Net investment income(d) 2.52%(c) 0.61% 0.38% 0.24%(c)
Portfolio Turnover 7%(b) 29% 12% 27%(b)
Net Assets, End of Period (000 omitted) $2,117 $ 1,892 $ 1,493 $1,371
TimesSquare/Core Plus Bond Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 -------------------------------------------------
(Unaudited) 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) 0.27(f) 0.41(f) 0.54(f) 0.51
Net realized and unrealized gain (loss) on investments 0.32 0.39 0.28 0.45
------ ------ ------ ------
Total from investment operations 0.59 0.80 0.82 0.96
------ ------ ------ ------
Less dividends and distributions:
Dividends from net investment income (0.29) (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 (0.29) (0.60) (1.17) (0.69)
------ ------ ------ ------
Net asset value, end of period $10.42 $10.12 $ 9.92 $10.27
====== ====== ====== ======
Total Return(a) 5.86%(b) 8.38% 8.20% 9.79%(b)
Ratios to Average Net Assets
Gross expenses 1.40%(c) 1.30% 1.30% 1.33%(c)
Fees and expenses waived or borne by the Adviser or
Distributor 0.45%(c) 0.35% 0.35% 0.38%(c)
Net expenses 0.95%(c) 0.95% 0.95% 0.95%(c)
Net investment income(d) 5.33%(c) 4.26% 5.15% 6.24%(c)
Portfolio Turnover 118%(b) 396% 351% 310%(b)
Net Assets, End of Period (000 omitted) $3,023 $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) The Fund was required to start amortizing premium and discount on all debt
securities. The effect of this change on net investment income to 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.
- --
54 The Notes to Financial Statements are an integral part of these statements.
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 June 30, 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 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(R) Fund), International Blend/ Bank of Ireland Fund
("International Blend Fund"), and TimesSquare Core Plus Bond Fund ("Core Plus
Bond Fund"). The financial statements of 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. 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 settlement date.
The Funds may sell a purchase commitment prior to settlement for the
purpose of enhancing its 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. 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.
--
55
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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 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
- --
56
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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 June 30, 2003, the Core Plus Bond Fund had the following outstanding
swap agreements:
Spread Unrealized
Notional (Basis Termination Appreciation/
Amount Points) Date (Depreciation)
$250,000(1) 75 07/01/03 $ 0
$300,000(1) 57.5 09/01/03 89
$ 80,000(1) 10 10/01/03 130
$790,000(2) 85 11/01/03 (261)
$ 30,000(2) 5 12/01/03 88
(1) These swap agreements were with Bear Stearns as the Counterparty and
the Total Returns were based on the Bear Stearns High Yield Index.
(2) These swap agreements were with Lehman Brothers as the Counterparty
and the Total Returns were based on the Lehman US 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 net investment income.
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.
During 2002, each Fund had a Post-October Loss Deferral of:
Fund Post-October Loss
Balanced Fund $225,274
Large Cap Growth Fund 129,868
Large Cap Value Fund 324,703
S&P 500(R) Index Fund 266,817
Small Cap Growth Fund 358,686
Small Cap Value Fund 135,784
International Blend Fund 108,990
Core Plus Bond Fund 17,538
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.
--
57
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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, $359;
Large Cap Value Fund, $1,590; and International Blend Fund, $22,133.
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
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, 2002 the following
reclassifications were done:
(In Thousands)
Undistributed Accumulated
(Overdistributed) Net
Net Realized
Investment Gain Paid-in
Fund Income (Loss) Capital
Balanced Fund $ 18 $ (18) $ --
Large Cap Growth Fund 2 -- (2)
S&P 500(R) Index Fund (3) 4 (1)
Small Cap Growth Fund 341 -- (341)
Small Cap Value Fund (23) 23 --
International Blend Fund (19) 16 3
Core Plus Bond Fund 884 (886) 2
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:
- --
58
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
(In Thousands)
Remaining Expires Expires Expires Expires
Contingent during during during during
Fund Liability 2003 2004 2005 2006
Balanced Fund $ 365 $ 49 $116 $129 $ 71
Institutional 127 20 42 43 22
Premier 137 20 48 45 24
Retail 101 9 26 41 25
Large Cap Growth Fund 412 61 134 141 76
Institutional 129 24 48 39 18
Premier 153 26 55 48 24
Retail 130 11 31 54 34
Large Cap Value Fund 310 37 93 110 70
Institutional 91 15 32 28 16
Premier 123 17 40 42 24
Retail 96 5 21 40 30
S&P 500(R) Index Fund 1,018 168 361 323 166
Institutional 790 163 252 253 122
Premier 16 0 4 8 4
Retail 212 5 105 62 40
Small Cap Growth Fund 360 39 128 140 53
Institutional 224 21 64 97 42
Premier 83 12 41 22 8
Retail 53 6 23 21 3
Small Cap Value Fund 352 52 114 128 58
Institutional 119 22 43 34 20
Premier 133 23 47 44 19
Retail 100 7 24 50 19
International Blend Fund 536 85 147 202 102
Institutional 193 36 58 67 32
Premier 253 39 70 97 47
Retail 90 10 19 38 23
Core Plus Bond Fund 1,002 157 309 348 188
Institutional 984 157 307 341 179
Premier 7 0 1 3 3
Retail 11 0 1 4 6
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 six months ended June 30, 2003, the advisory fees
waived by TimesSquare were as follows:
(In Thousands)
Fund Fees Waived
Balanced Fund $ 1
Large Cap Growth Fund 1
Large Cap Value Fund 2
S&P 500(R) Index Fund 31
Small Cap Growth Fund 19
Small Cap Value Fund 12
International Blend Fund (a)
Core Plus Bond Fund 17
(a) Less than $1.
Income distributions from the MMF for the six months ended June 30, 2003, are
included as dividend income in the Statement of Operations as follows:
(In Thousands)
Fund Amount
Balanced Fund $ 3
Large Cap Growth Fund 1
Large Cap Value Fund 5
S&P 500(R) Index Fund 77
Small Cap Growth Fund 47
Small Cap Value Fund 30
International Blend Fund 1
Core Plus Bond Fund 42
--
59
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) 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 six months ended June 30, 2003, the Funds paid or accrued
$143,235. (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 June 30, 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 1,080 68%
Large Cap Growth Fund 900 46
Large Cap Value Fund 968 40
Small Cap Growth Fund 912 5
Small Cap Value Fund 745 13
International Blend Fund 1,041 70
(a) Less than 1%.
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 six months ended June 30, 2003, were
as follows (amounts in thousands):
(In Thousands)
U.S.
Government/Agency All Other
----------------------- -----------------------
Fund Purchases Sales Purchases Sales
Balanced Fund $ 2,636 $ 2,455 $ 1,639 $ 1,307
Large Cap
Growth Fund 154 563 8,387 7,412
Large Cap
Value Fund -- -- 9,641 7,480
S&P 500(R)
Index Fund 13 -- 1,447 966
Small Cap
Growth Fund -- -- 113,948 31,597
Small Cap
Value Fund -- -- 25,038 6,900
International
Blend Fund -- -- 763 575
Core Plus
Bond Fund 73,063 97,710 19,128 48,031
6. In-Kind Transactions. During the six months ended June 30, 2003, the Core
Plus Fixed Income Fund incurred realized gains of $2,840,654 associated with
in-kind redemptions on June 10, 2003.
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):
- --
60
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
(In Thousands)
Balanced Fund Large Cap Growth Fund
---------------------------- ----------------------------
For the Six For the Year For the Six For the Year
Months Ended Months Ended
Ended December 31, Ended December 31,
June 30, 2002 June 30, 2002
2003 (Audited) 2003 (Audited)
- ------------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 1 - 10 35
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 13 - -
--- --- ---- ---
1 13 10 35
Shares redeemed - - (6) (16)
--- --- ---- ---
Net change 1 13 4 19
--- --- ---- ---
Premier Class
Shares sold 20 25 63 92
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 14 - -
--- --- ---- ---
20 39 63 92
Shares redeemed (6) (6) (26) (43)
--- --- ---- ---
Net change 14 33 37 49
--- --- ---- ---
Retail Class
Shares sold 57 229 269 501
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 13 - -
--- --- ---- ---
57 242 269 501
Shares redeemed (40) (65) (222) (109)
--- --- ---- ---
Net change 17 177 47 392
--- --- ---- ---
Total net increase (decrease) in Fund
shares 32 223 88 460
=== === ==== ===
Large Cap Value Fund S&P 500(R) Index Fund
---------------------------- ---------------------------
For the Six For the Year For the Six For the Year
Months Ended Months Ended
Ended December 31, Ended December 31,
June 30, 2002 June 30, 2002
2003 (Audited) 2003 (Audited)
- -----------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 7 34 20 72
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 5 - 343
---- ---- ------ -----
7 39 20 415
Shares redeemed (A) (9) (2,616) (1)
---- ---- ------ -----
Net change 7 30 (2,596) 414
- ---- ------ -----
Premier Class
Shares sold 63 212 190 259
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 6 - 6
---- ---- ------ -----
63 218 190 265
Shares redeemed (53) (89) (85) (159)
--- ---- ------ -----
Net change 10 129 105 106
--- ---- ------ -----
Retail Class
Shares sold 437 571 1,490 2,362
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 6 - 49
---- ---- ------ -----
437 577 1,490 2,411
Shares redeemed (209) (135) (455) (765)
---- ---- ------ -----
Net change 228 442 1,035 1,646
---- ---- ------ -----
Total net increase (decrease) in Fund
shares 245 601 (1,456) 2,166
==== ==== ====== =====
(A) Less than 1.
--
61
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
(In Thousands)
Small Cap Growth Fund Small Cap Value Fund
---------------------------- ----------------------------
For the Six For the Year For the Six For the Year
Months Ended Months Ended
Ended December 31, Ended December 31,
June 30, 2002 June 30, 2002
2003 (Audited) 2003 (Audited)
- -----------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 8,762 5,485 1,967 569
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - - - 13
------ ----- ----- -----
8,762 5,485 1,967 582
Shares redeemed (167) (89) (220) (1)
------ ----- ----- -----
Net change 8,595 5,396 1,747 581
------ ----- ----- -----
Premier Class
Shares sold 2,491 70 656 447
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - - - 12
------ ----- ----- -----
2,491 70 656 459
Shares redeemed (150) (34) (437) (56)
------ ----- ----- -----
Net change 2,341 36 219 403
------ ----- ----- -----
Retail Class
Shares sold 237 487 533 957
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - - - 14
------ ----- ----- -----
237 487 533 971
Shares redeemed (192) (174) (305) (192)
------ ----- ----- -----
Net change 45 313 228 779
------ ----- ----- -----
Total net increase in Fund shares 10,981 5,745 2,194 1,763
====== ===== ===== =====
International Blend Fund Core Plus Bond Fund
---------------------------- ---------------------------
For the Six For the Year For the Six For the Year
Months Ended Months Ended
Ended December 31, Ended December 31,
June 30, 2002 June 30, 2002
2003 (Audited) 2003 (Audited)
- ----------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 3 207 4,938 419
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 6 247 604
--- --- ------- -----
3 213 5,185 1,023
Shares redeemed (A) (202) (11,373) (165)
--- ---- ------- -----
Net change 3 11 (6,188) 858
--- ---- ------- -----
Premier Class
Shares sold 23 103 18 89
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 6 3 5
--- ---- ------- -----
23 109 21 94
Shares redeemed (23) (69) (18) (23)
--- ---- ------- -----
Net change - 40 3 71
--- ---- ------- -----
Retail Class
Shares sold 64 360 262 327
Shares issued to shareholders in
connection with the reinvestment of
dividends and distributions - 2 8 6
--- ---- ------- -----
64 362 270 333
Shares redeemed (48) (245) (166) (207)
--- ---- ------- -----
Net change 16 117 104 126
--- ---- ------- -----
Total net increase in Fund shares 19 168 (6,081) 1,055
=== ==== ======= =====
(A) Less than 1.
- --
62
CIGNA Funds Group
(Unaudited)
Trustees
Russell H. Jones
Senior Vice President,
Chief Investment Officer,
and Treasurer,
Kaman Corporation
Richard H. Forde
Managing Director, CIGNA
Retirement & Investment
Services and
TimesSquare Capital
Management, Inc.
Paul J. McDonald
Special Advisor to the Board of
Directors, Friendly Ice Cream
Corporation
Marnie Wagstaff Mueller
Diocesan Consultant, Episcopal
Diocese of Connecticut
Officers
Richard H. Forde
Chairman of the Board
and President
Alfred A. Bingham III
Vice President and Treasurer
Jeffrey S. Winer
Vice President and Secretary
- --------------------------------------------------------------------------------
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).
- --------------------------------------------------------------------------------
--
63
THIS PAGE INTENTIONALLY LEFT BLANK
[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
Semi Annual Report
June 30, 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 six months ended June 30, 2003.
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 a stabilization in labor and "markedly improved financial
conditions."
PORTFOLIO COMPOSITION AND PERFORMANCE
On June 30, 2003, the portfolio contained: top-tier domestic commercial paper,
52%; top-tier foreign commercial paper, 22%; and U.S. Government and Agencies,
26%. The Fund is well diversified.
Total returns for the six months ended June 30, 2003 were:
Retail Class 0.19%
Premier Class 0.31
Institutional Class 0.44
Lipper Money Market Funds Average 0.26
3-month U.S. Treasury Bill 0.59
As of June 30, 2003, the Fund's weighted average portfolio maturity was 45
days, and the annualized 7-day yield for each class was:
Retail Class 0.21%
Premier Class 0.46
Institutional Class 0.71
-
1
OUTLOOK
Economists expect stimulus from low interest rates and tax cuts to help spur
growth in the latter part of the year. Manufacturing is starting to show signs
of strength. The Fed has openly signaled its willingness to support growth, and
the markets are focused on trying to find strength in the economy.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde
Chairman of the Board and President
CIGNA Funds Group Money Market Fund
Note: This commentary is not part of the Semiannual Report to Shareholders.
- -
2
Money Market Fund
INVESTMENTS IN SECURITIES
JUNE 30, 2003 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- ------------------------------------------------------------------------
COMMERCIAL PAPER - 73.7%
Domestic - 51.8%
American Express Credit Corp.,
0.75%, 7/1/03 $ 1,475 $ 1,475
1.00%, 7/2/03 11,506 11,506
0.87%, 7/3/03 9,938 9,938
Bellsouth Corp., 1.04%, 7/1/03 21,000 21,000
ChevronTexaco Corp.,
1.04%, 7/1/03 9,000 9,000
0.90%, 7/9/03 10,678 10,676
Citicorp, 1.02%, 7/2/03 11,905 11,905
Coca Cola Co.,
0.99%, 7/11/03 9,362 9,359
1.05%, 7/11/03 11,253 11,250
Colgate Palmolive Co., 1.00%, 7/28/03 9,023 9,016
Corporate Asset Funding Co., 1.22%, 7/2/03 10,000 10,000
du Pont (E.I.) de Nemours & Co., 1.03%, 7/7/03 16,052 16,049
Exxon Project Investment Corp., 1.00%, 7/8/03 7,130 7,129
Fortune Brands, Inc.,
1.22%, 7/8/03 9,942 9,940
1.20%, 7/15/03 12,000 11,994
General Electric Capital Corp.,
1.05%, 7/1/03 11,763 11,763
1.11%, 1/28/04 (a) 7,500 7,502
Kimberly Clark Worldwide, Inc., 1.02%, 7/17/03 8,000 7,996
Merck & Co.,
0.95%, 7/9/03 970 970
1.18%, 7/9/03 7,952 7,950
1.06%, 7/10/03 5,025 5,024
The Notes to Financial Statements are an integral part of these statements.
-
3
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2003 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- ---------------------------------------------------------------------
COMMERCIAL PAPER continued
Domestic continued
Morgan Stanley Dean Witter Co.,
1.02%, 7/3/03 $ 9,557 $ 9,556
Nestle Capital Corp., 1.19%, 7/8/03 10,000 9,998
Paccar Financial Corp., 0.92%, 7/24/03 8,012 8,007
Pfizer, Inc., 0.93%, 8/1/03 5,023 5,019
Procter & Gamble Co., 1.00%, 7/29/03 15,000 14,988
State Street Corp.,
1.00%, 7/1/03 10,000 10,000
0.90%, 7/14/03 10,300 10,297
Wells Fargo Bank NA, 1.12%, 1/14/04 (a) 5,000 5,000
Wells Fargo & Co., 1.01%, 7/2/03 15,081 15,081
Windmill Funding Corp., 1.10%, 7/14/03 13,010 13,005
--------
302,393
--------
Foreign - 21.9%
ANZ (Delaware), Inc., 1.21%, 7/7/03 15,000 14,997
BASF AG, 0.95%, 7/21/03 19,500 19,490
Diageo Capital PLC, 1.04%, 7/15/03 20,000 19,992
National Australia Funding (Delaware), Inc.,
1.04%, 7/10/03 20,000 19,995
Rabobank Nederland NV,
1.22%, 7/2/03 11,265 11,265
1.06%, 7/9/03 10,000 9,998
Shell Finance PLC, 0.93%, 7/14/03 10,000 9,997
UBS Finance (Delaware), Inc., 1.31%, 7/1/03 22,000 22,000
--------
127,734
--------
Total Commercial Paper 430,127
--------
The Notes to Financial Statements are an integral part of these statements.
- -
4
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2003 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- -------------------------------------------------------
U.S. GOVERNMENT & AGENCIES - 26.1%
Fannie Mae,
0.96%, 7/9/03 $ 3,046 $ 3,045
0.90%, 8/27/03 3,000 2,996
0.90%, 10/15/03 2,550 2,543
0.90%, 10/29/03 3,182 3,172
4.75%, 11/14/03 5,000 5,059
3.13%, 11/15/03 5,000 5,030
1.32%, 1/9/04 2,500 2,482
1.08%, 3/5/04 2,500 2,481
1.08%, 4/2/04 6,000 5,950
0.89%, 5/27/04 (a) 12,500 12,494
Federal Farm Credit Bank,
3.13%, 10/1/03 4,500 4,516
0.95%, 3/24/05 (a) 15,000 14,997
1.00%, 6/23/05 (a) 2,500 2,500
Federal Home Loan Bank,
5.60%, 9/2/03 2,500 2,517
3.18%, 12/3/03 6,000 6,039
5.38%, 1/5/04 2,460 2,508
1.35%, 3/30/04 5,000 5,000
1.25%, 4/15/04 2,500 2,499
1.08%, 4/19/04 4,672 4,631
Freddie Mac,
3.40%, 10/1/03 2,500 2,510
3.18%, 10/24/03 3,515 3,530
1.08%, 11/21/03 6,000 5,974
1.25%, 12/4/03 2,500 2,486
1.29%, 12/4/03 2,500 2,486
The Notes to Financial Statements are an integral part of these statements.
-
5
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2003 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- ------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES continued
1.08%, 1/15/04 $ 8,000 $ 7,952
5.00%, 1/15/04 5,000 5,092
1.29%, 1/29/04 2,500 2,481
5.25%, 2/15/04 5,000 5,115
1.28%, 3/25/04 2,500 2,476
Sallie Mae,
2.60%, 7/2/03 4,500 4,500
2.25%, 7/2/03 5,000 5,000
1.21%, 7/16/03 (a) 5,000 5,000
0.91%, 12/18/03 (a) 2,000 2,000
4.75%, 4/23/04 5,500 5,651
--------
Total U.S. Government & Agencies 152,712
--------
TOTAL INVESTMENTS IN SECURITIES - 99.8%
(Total Cost - $582,839) (b) 582,839
Cash and Other Assets Less Liabilities - 0.2% 1,450
--------
NET ASSETS - 100.0% $584,289
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Variable rate security. Rate is as of June 30, 2002.
Tax Information
(b) At June 30, 2002, the cost for federal income tax purposes was equal to book
cost.
The Notes to Financial Statements are an integral part of these statements.
- -
6
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2003 (Unaudited)
- -----------------------------------------------------------
- -----------------------------------------------------------
Ten Largest Positions (Unaudited)
June 30, 2003
Market % of
Value Net
(000) Assets
- -----------------------------------------------------------
Fannie Mae $45,252 7.7%
Freddie Mac 40,102 6.9
Federal Home Loan Bank 23,194 4.0
American Express Credit Corp. 22,919 3.9
Sallie Mae 22,151 3.8
Federal Farm Credit Bank 22,013 3.8
UBS Finance (Delaware), Inc. 22,000 3.8
Fortune Brands, Inc. 21,934 3.8
Rabobank Nederland NV, 21,263 3.6
Bellsouth Corp. 21,000 3.6
- -----------------------------------------------------------
The Notes to Financial Statements are an integral part of these statements.
-
7
Money Market Fund
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2003 (Unaudited)
(IN THOUSANDS)
- ----------------------------------------------------------------
Assets:
Investments in securities at value $582,839
Cash 1,450
Interest receivable 694
Investment for Trustees' deferred compensation plan 17
Prepaid expenses 13
--------
Total assets 585,013
--------
Liabilities:
Shareholder servicing and distribution fees payable
to Distributor 454
Investment advisory fees payable 135
Administrative services fees payable 37
Shareholder reports 36
Custodian fees payable 25
Deferred Tusteees' fees payable 17
Audit and legal fees payable 9
Other 11
--------
Total liabilities 724
--------
Net Assets $584,289
========
Institutional Class $228,024
Premier Class 672
Retail Class 355,593
--------
$584,289
========
Shares Outstanding
Institutional Class ($1.00 net asset value per share) 228,026
========
Premier Class ($1.00 net asset value per share) 672
========
Retail Class ($1.00 net asset value per share) 355,596
========
Components of Net Assets:
Paid-in capital $584,289
========
Net Assets $584,289
========
The Notes to Financial Statements are an integral part of these statements.
- -
8
Money Market Fund
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2003 (Unaudited)
(IN THOUSANDS)
- ----------------------------------------------------------------
Investment Income:
Interest $3,685
Expenses:
Investment advisory fees 971
Distribution fees
Retail Class 453
Shareholder servicing fees
Premier 1
Retail 453
Administrative services fees 106
Custodian fees 70
Shareholder reports 40
Audit and legal fees 20
Registration fees 16
Trustees' fees 8
Other 18
------
Net expenses 2,156
------
Net Investment Income 1,529
------
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 $1,529
======
The Notes to Financial Statements are an integral part of these statements.
-
9
Money Market Fund
STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the
Months Ended Year Ended
June 30, 2003 December 31,
(IN THOUSANDS) (Unaudited) 2002
- -----------------------------------------------------------------------------------------
Operations:
Net investment income $ 1,529 $ 5,103
Net realized gain from securities transactions -- 4
----------- -----------
Net increase in net assets from operations 1,529 5,107
----------- -----------
Dividends from Net Investment
Income:
Institutional Class (842) (2,328)
Premier Class (1) (3)
Retail Class (686) (2,739)
----------- -----------
Total dividends and distributions to shareholders (1,529) (5,070)
----------- -----------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 1,183,938 2,193,367
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 1,001 2,463
----------- -----------
1,184,939 2,195,830
Cost of shares redeemed (1,146,817) (2,190,006)
----------- -----------
38,122 5,824
----------- -----------
Premier Class
Net proceeds from sales of shares 713 464
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 1 3
----------- -----------
714 467
Cost of shares redeemed (225) (492)
----------- -----------
489 (25)
----------- -----------
Retail Class
Net proceeds from sales of shares 48,377 133,881
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 832 2,899
----------- -----------
49,209 136,780
Cost of shares redeemed (53,504) (68,290)
----------- -----------
(4,295) 68,490
----------- -----------
Net increase from Fund share transactions 34,316 74,289
----------- -----------
Net Increase in Net Assets 34,316 74,326
Net Assets:
Beginning of period 549,973 475,647
----------- -----------
End of period $ 584,289 $ 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 Six For the
Months Ended Year Ended
June 30, 2003 December 31,
(IN THOUSANDS) (Unaudited) 2002
- ---------------------------------------------------------------------------------
TRANSACTIONS IN CAPITAL STOCK
Institutional Class
Shares sold 1,183,938 2,193,367
Shares issued in reinvestment of dividends and
distributions 1,001 2,463
--------- ---------
1,184,939 2,195,830
Shares redeemed (1,146,817) (2,190,006)
---------- ----------
Net increase (decrease) in Institutional shares
outstanding 38,122 5,824
---------- ----------
Premier Class
Shares sold 713 464
Shares issued in reinvestment of dividends and
distributions 1 3
---------- ----------
714 467
Shares redeemed (225) (492)
---------- ----------
Net increase in Premier shares outstanding 489 (25)
---------- ----------
Retail Class
Shares sold 48,377 133,881
Shares issued in reinvestment of dividends and
distributions 832 2,899
---------- ----------
49,209 136,780
Shares redeemed (53,504) (68,290)
---------- ----------
Net increase in Retail shares outstanding (4,295) 68,490
---------- ----------
Total net increase in Fund shares 34,316 74,289
========== ==========
The Notes to Financial Statements are an integral part of these statements.
--
11
Money Market Fund
FINANCIAL HIGHLIGHTS
INSTITUTIONAL CLASS
- --------------------------------------------------------------------------------------------------
For the Six
Months Ended For the Year Ended December 31,
June 30, 2003 -------------------------------
(Unaudited) 2002 2001
- --------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a) 0.01 0.04
Net realized and unrealized gain on securities -- (a) (a)
-------- -------- --------
Total from investment operations -- 0.01 0.04
-------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (a) (0.01) (0.04)
Distributions from capital gains -- -- --
-------- -------- --------
Total dividends and distributions -- (0.01) (0.04)
-------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
======== ======== ========
Total Return 0.44%(c) 1.36% 3.81%(b)
Ratios to Average Net Assets
Gross expenses 0.45%(d) 0.45% 0.49%
Fees and expenses waived or borne by the Adviser 0.00% 0.00% 0.04%
Net expenses 0.45%(d) 0.45% 0.45%
Net investment income 0.88%(d) 1.36% 3.62%
Net assets, end of period (000 omitted) $228,024 $189,902 $184,060
INSTITUTIONAL CLASS
-----------------------------------------------
For the Year Ended December 31,
-----------------------------------------------
2000 1999 1998
--------------- --------------- ---------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.05 0.05
Net realized and unrealized gain on securities (a) (a) --
-------- -------- --------
Total from investment operations 0.06 0.05 0.05
-------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (0.06) (0.05) (0.05)
Distributions from capital gains (a) (a) --
-------- -------- --------
Total dividends and distributions (0.06) (0.05) (0.05)
-------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
======== ======== ========
Total Return 6.12%(b) 4.87%(b) 5.18%(b)
Ratios to Average Net Assets
Gross expenses 0.47% 0.52% 0.47%
Fees and expenses waived or borne by the Adviser 0.02% 0.07% 0.02%
Net expenses 0.45% 0.45% 0.45%
Net investment income 5.94% 4.76% 5.06%
Net assets, end of period (000 omitted) $159,446 $178,234 $229,619
(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.
- -- --
12 13
Money Market Fund
FINANCIAL HIGHLIGHTS continued
PREMIER CLASS(1)
- -----------------------------------------------------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ----------------------------------------
(Unaudited) 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a) 0.01 0.03 0.05
Net realized and unrealized gain on securities -- (a) (a) (a)
-------- ------- -------- ----------
Total from investment operations -- 0.01 0.03 0.05
-------- ------- -------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (a) (0.01) (0.03) (0.05)
Distributions from capital gains -- -- -- (a)
-------- ------- -------- -------------
Total dividends and distributions -- (0.01) (0.03) (0.05)
-------- ------- -------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======= ======== ==========
Total Return 0.31%(c) 1.12% 3.55%(b) 5.50%(b)(c)
Ratios to Average Net Assets
Gross expenses 0.70%(d) 0.70% 0.73% 0.72%(d)
Fees and expenses waived or borne by the Adviser 0.00% 0.00% 0.03% 0.02%(d)
Net expenses 0.70%(d) 0.70% 0.70% 0.70%(d)
Net investment income 0.61%(d) 1.13% 3.22% 5.69%(d)
Net assets, end of period (000 omitted) $ 672 $ 183 $ 207 $ 105
(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 15
Money Market Fund
FINANCIAL HIGHLIGHTS continued
RETAIL CLASS(1)
- -------------------------------------------------------------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2003 ----------------------------------------------------
(Unaudited) 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a) 0.01 0.03 0.05 0.03
Net realized and unrealized gain on securities -- (a) (a) (a) (a)
-------- -------- -------- -------- --------
Total from investment operations -- 0.01 0.03 0.05 0.03
-------- -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (a) (0.01) (0.03) (0.05) (0.03)
Distributions from capital gains -- -- -- (a) (a)
-------- -------- -------- -------- --------
Total dividends and distributions -- (0.01) (0.03) (0.05) (0.03)
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Return 0.19%(c) 0.87% 3.29%(b) 5.60%(b) 2.97%(b)(c)
Ratios to Average Net Assets
Gross expenses 0.95%(d) 0.95% 0.98% 0.97% 1.00%(d)
Fees and expenses waived or borne by the Adviser 0.00% 0.00% 0.03% 0.02% 0.07%(d)
Net expenses 0.95%(d) 0.95% 0.95% 0.95% 0.93%(d)
Net investment income 0.38%(d) 0.86% 3.10% 5.44% 4.64%(d)
Net assets, end of period (000 omitted) $355,593 $359,888 $291,380 $199,993 $123,655
(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 17
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
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 June 30, 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
- --
18
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited) continued
the accrual basis. Securities gains and losses are recognized on the
specific cost identification basis.
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
--
19
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited) continued
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:
Remaining
Contingent Expires during Expires during
Class Liability (000's) 2003 (000's) 2004 (000's)
- --------------------------------------------------------------------------
Institutional $ 87 $19 $ 68
Retail 83 5 78
Total $170 $24 $146
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 six months ended June 30, 2003,
the Fund paid or accrued $106,090.
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.
- --
20
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited) continued
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 June
30, 2003, affiliates of CIGNA Corporation owned 99.94% and 0.01% of the
Institutional and Premier Classes, respectively.
- --------------------------------------------------------------------------------
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. 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).
TRUSTEES
Richard H. Forde
Managing Director, CIGNA Retirement & Investment Services and TimesSquare
Capital Management, Inc.
Russell H. Jones
Senior Vice President, Chief Investment Officer and Treasurer, Kaman
Corporation
Paul J. McDonald
Special Advisor to Board of Directors, Friendly Ice Cream Corporation
Marnie Wagstaff Mueller
Diocesan Consultant, Episcopal Diocese of Connecticut
OFFICERS
Richard H. Forde
Chairman of the Board and President
Alfred A. Bingham III
Vice President and Treasurer
Jeffrey S. Winer
Vice President and Secretary
--
21
[LOGO]
CIGNA Financial Services
P.O. Box 150476 [bullet] Hartford, Connecticut 06115-0476
www.cigna.com [bullet] Member NASD/SIPC
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