UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-01646
(Investment Company Act file number)
CIGNA Funds Group
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(Exact name of registrant as specified in charter)
2223 Washington Street
3 Newton Executive Park
Suite 200
Newton, MA 02462
(Address of principal executive offices)
Mark Butler, 2223 Washington Street, 3 Newton Executive Park
Suite 200, Newton, MA 02462
(Name and address of agent for service)
(860) 534-5576
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Registrants' telephone number, including area code
Date of fiscal year end: December 31, 2004
Date of reporting period: June 30, 2004
Item 1. Reports to Stockholders.
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CIGNA Funds Group
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Balanced Fund (sub-advised by Wellington Management)
Large Cap Growth/Morgan Stanley Fund
Large Cap Value/John A. Levin & Co. Fund
S&P 500[RegTM] 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, 2004
[LOGO](R)
CIGNA
CIGNA Funds Group Table of Contents
To assist you in using this report to shareholders, listed below is a table of
contents and description of the various sections.
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Fund Schedule of
Fund Summary Investments
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Balanced Fund (sub-advised by
Wellington Management) 2 11
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Large Cap Growth/Morgan Stanley Fund 3 15
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Large Cap Value/John A. Levin & Co. Fund 4 17
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S&P 500[RegTM] Index Fund 5 19
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Small Cap Growth/TimesSquare Fund 6 26
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Small Cap Value/Perkins, Wolf, McDonnell Fund 8 29
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International Blend/Bank of Ireland Fund 9 31
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TimesSquare Core Plus Bond Fund 10 33
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FUND SUMMARIES 2
A summary of each Fund's performance record and portfolio composition.
SCHEDULES OF INVESTMENTS 11
A listing of securities in each Fund's portfolio as of
June 30, 2004.
STATEMENTS OF ASSETS AND LIABILITIES 38
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-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 39
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 40
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 42
For each class outstanding of each Fund, a table showing a per share breakdown
of the factors that affect a class' 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 48
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.
1
Balanced Fund (sub-advised by Wellington Management)
JUNE 30, 2004
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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 $18.2 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 198
INVESTMENT MANAGER Wellington Management LLP
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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Fannie Mae 8.3%
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Ginnie Mae 4.7
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U.S. Treasury Obligations 4.3
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Citigroup, Inc. 3.4
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Exxon Mobil Corp. 3.2
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Bank of America 2.9
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Shell Transport & Trading Co. 2.4
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Morgan Stanley 2.3
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Caterpillar, Inc. 2.1
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Pfizer, Inc. 2.1
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Ten Largest Sectors % of Net Assets
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Financial 21.7%
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U.S Government & Agencies 17.4
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Oil & Gas 8.5
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Utilities 6.0
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Communications & Media 4.9
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Retail 4.2
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Technology 4.1
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Insurance 3.4
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Basic Materials 3.4
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Pharmaceuticals 3.1
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Fund Composition % of Net Assets
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Bonds 31%
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Common stocks 68
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Cash and other assets less liabilities 1
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PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 1.74%
Premier Class 1.64
Retail Class 1.54
Balanced Composite
(60% Russell 1000 Value Index/40% Lehman
Brothers Aggregate Bond Index) 2.42
Lipper Balanced Funds Average 1.79
2
Large Cap Growth/Morgan Stanley Fund
JUNE 30, 2004
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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 $15.9 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 91
INVESTMENT MANAGER Morgan Stanley Investment
Management Inc.
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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General Electric Co. 6.3%
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Microsoft Corp. 5.3
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Pfizer, Inc. 4.1
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Citigroup, Inc. 3.7
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Cisco Systems, Inc. 3.2
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Coca-Cola (The) Co. 2.5
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InterActive Corp. 2.5
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eBay, Inc. 2.1
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Tyco International Ltd. 2.0
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MBNA Corp. 2.0
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Ten Largest Sectors % of Net Assets
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Financial 11.6%
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Manufacturing 8.8
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Software 8.7
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Pharmaceuticals 8.0
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Internet 7.8
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Health Care 7.1
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Retail 7.0
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Telecommunications 5.6
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Semiconductors 5.5
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Food & Beverages 3.6
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Fund Composition % of Net Assets
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Common stocks 98%
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Short-term investments 4
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Liabilities in excess of cash and other assets (2)
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PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 2.69%
Premier Class 2.40
Retail Class 2.27
Russell 1000 Growth Index 2.74
Lipper Large-Cap Growth Funds Average 2.35
3
Large Cap Value/John A. Levin & Co. Fund
JUNE 30, 2004
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common stocks
of large U.S. companies with a market capitalization above $5 billion deemed,
at the time of purchase, to be undervalued relative to their present and/or
future prospects and after the stocks have declined from recent highs.
FUND INCEPTION DATE 01/20/2000
TOTAL NET ASSETS $27.1 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 67
INVESTMENT MANAGER John A. Levin & Co., Inc.
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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Bank of America Corp. 4.0%
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General Electric Co. 3.5
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Pfizer, Inc. 3.3
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Lockheed Martin Corp. 2.9
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Bank (The) of New York, Inc. 2.9
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Microsoft Corp. 2.9
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Home Depot, Inc. 2.8
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Citigroup, Inc. 2.7
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Exxon Mobil Corp. 2.4
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US Bancorp 2.4
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Ten Largest Sectors % of Net Assets
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Banks 11.8%
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Oil & Gas 9.5
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Manufacturing 9.4
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Financial 7.9
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Media 7.2
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Pharmaceuticals 6.2
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Electric 4.9
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Food & Beverages 4.6
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Aerospace & Defense 4.5
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Retail 4.0
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Fund Composition % of Net Assets
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Common stocks 100%
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Short-term investments 1
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Liabilities in excess of cash and other assets (1)
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PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 3.82%
Premier Class 3.72
Retail Class 3.63
S&P 500[RegTM] Index 3.44
Russell 1000 Value Index 3.94
Lipper Large-Cap Value Funds Average 3.24
4
S&P 500[RegTM] Index Fund
JUNE 30, 2004
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
Seeks long-term growth of capital by investing principally in common stocks of
companies in the Standard & Poor's 500[RegTM] Composite Stock Price Index.
FUND INCEPTION DATE 07/01/1997 -
Institutional Class
01/21/2000 -
Premier and Retail Classes
TOTAL NET ASSETS $65.4 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 503
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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General Electric Co. 2.5%
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Microsoft Corp. 2.3
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Exxon Mobil Corp. 2.2
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Pfizer, Inc. 2.0
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Citigroup, Inc. 1.8
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Wal-Mart Stores, Inc. 1.7
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American International Group 1.4
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Intel Corp. 1.4
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Bank of America Corp. 1.3
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Johnson & Johnson 1.3
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Fund Composition % of Net Assets
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Common stocks 80%
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Short-term investments* 19
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Cash and other assets less liabilities 1
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*At June 30, 2004, the Fund was long 42 S&P 500[RegTM] futures contracts.
PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 3.45%
Premier Class 3.29
Retail Class 3.17
S&P 500[RegTM] Index 3.44
5
Small Cap Growth/TimesSquare Fund
JUNE 30, 2004
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FUND SUMMARY
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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 $471.5 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 108
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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Alliance Data Systems Corp. 3.0%
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Education Management Corp. 2.7
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Getty Images, Inc. 2.5
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DaVita, Inc. 2.0
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Corporate Executive Board Co. 1.9
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Respironics, Inc. 1.8
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Pediatrix Medical Group, Inc. 1.8
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iShares Russell 2000 Index Fund 1.8
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VCA Antech, Inc. 1.7
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Global Payments, Inc. 1.7
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Ten Largest Sectors % of Net Assets
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Commercial Services 13.5%
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Health Care 9.8
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Pharmaceuticals 8.3
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Financial 7.7
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Software 5.7
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Semiconductors 5.7
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Telecommunications 5.1
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Oil & Gas 5.1
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Electronics 3.5
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Media 2.6
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Fund Composition % of Net Assets
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Common stocks 93%
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Short-term investments 6
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Cash and other assets less liabilities 1
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PORTFOLIO MANAGER COMMENTARY
The bulls charged out of the starting gate in 2004. Spurred by economic
strength, solid corporate profit growth and a continued ravenous appetite for
risk, stocks surged in the first three weeks of the year. A reality check came
in the form of external geopolitical shocks and news of lackluster job growth,
leading to the largest correction since the stock market recovery began in the
spring of 2003. What followed was a series of fits and starts, with the market
declining from the peak through the rest of the first quarter. Despite the
decline, the result was a net gain for the quarter. In particular, the small cap
growth space saw three corrections of worse than 5%, interspersed with three
rallies of greater than 5% - all within a brief nine-and-a-half-week period.
Leadership rotated in a sloppy fashion from last year's darlings - the smallest
small caps, the low quality non-earnings companies and the riskier (higher-beta)
stocks - to the high quality and the more liquid small cap stocks.
In spite of the volatility, the small cap benchmarks had strong returns with a
wide lead over large caps in the first quarter. The Russell 2000 Index rose
6.26%, versus 1.90% for the Russell 1000 Index. Small cap value stocks were the
best-performing asset class for the quarter, as the Russell 2000 Value Index
rose 6.92%, versus 5.58% for the Russell 2000 Growth Index.
During the second quarter, super-sized first quarter corporate earnings far
surpassed expectations. Instead, investors chose to focus on the super-sized oil
prices and other signs of burgeoning inflation that would spur the Federal
Reserve (Fed) to raise interest rates, and the market sold off from April
through mid-May. During this corrective phase, leadership shifted away from the
smallest, highest-beta and lower-quality stocks to the larger, higher-quality
small caps. Having discounted the worst in terms of interest rate hikes, stocks
bounced back from mid-May to the end of the quarter, with many economically
cyclical issues performing especially well.
In the second quarter, small caps underperformed the S&P 500[RegTM] Index for
the first time in five quarters. The Russell 2000 Index eked out a gain of 0.47%
versus 1.40% for the Russell 1000 Index and 1.72% for the S&P 500[RegTM] Index.
Value strategies worked better in all capitalization segments; within the
Russell 2000, the Growth benchmark rose 0.09% versus 0.85% for its Value
counterpart.
The Small Cap Growth/TimesSquare Fund Institutional Class rose 2.80% for the
first quarter, versus 5.58% for the Russell 2000 Growth benchmark. It was
disappointing to be behind the benchmark as the choppy, volatile and rotational
nature of the market made it difficult to outperform.
First quarter stock selection consisted of a good news/bad news scenario. The
good news was that our largest, favorite holdings
6
contributed strongly as the market rotated back into the more established,
quality growth players. The bad news was that a few holdings with disappointing
fundamental developments made an outsized negative contribution to the
portfolio, and a few stocks that had been ahead of themselves on a short-term
basis succumbed to what we feel was overly punishing profit-taking. On a sector
basis, great contributions from the Fund's health care and financial services
holdings were offset by poor contributions from technology and producer
durables.
For the second quarter, the Small Cap Growth/TimesSquare Fund Institutional
Class gained 0.70% versus 0.09% for the Russell 2000 Growth Index. Strong gains
in producer durables, energy and materials & processing holdings as well as
gains in our financial services and consumer discretionary holdings added value.
Health care holdings took a breather, while a sizeable underweight with good
relative performance in the weak technology sector added positive relative
value, though the holdings contributed negatively on the whole. An
underperformance in consumer staples stocks also detracted from performance.
The U.S. economy continues to plug away, albeit at a more moderate pace than
earlier in the year. The Fed's goal, which began its tightening process on June
30, is to remove monetary stimulus at a "measured" pace unless inflation
pressures heat up. It is difficult to justify expanding P/E multiples in the
current environment of rising interest rates. Thus, earnings growth remains the
key to moving individual stocks higher. Despite the recent technology earnings
disappointments, the news continues to be favorable on that front. Corporate
sector fundamentals have strengthened as reflected in record levels of earnings,
dividends, and cash flow, with significantly improved balance sheets. This
should continue to boost capital spending and employment.
Though small caps may be due for a respite in the relative performance game, it
should only be short term in nature. Longer term, small cap stocks rarely lag
over long stretches of time. In fact, looking at rolling 20-year excess returns
going back to 1945, there are markedly few instances where small caps have
lagged large caps. Since 1999, small caps have yet to catch up to the large caps
on a rolling 20-year basis. Our focus continues to be on identifying solid
companies that can grow faster with reasonable valuations.
PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 3.53%
Premier Class 3.36
Retail Class 3.29
S&P 500[RegTM] Index 3.44
Russell 2000 Growth Index 5.68
Russell 2000 Index 6.76
Lipper Small-Cap Growth Funds Average 3.32
7
Small Cap Value/Perkins, Wolf, McDonnell Fund
JUNE 30, 2004
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common stocks
of 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 $131.1 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 66
INVESTMENT MANAGER Perkins, Wolf,
McDonnell & Company
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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Brookline Bancorp, Inc. 2.4%
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EMCOR Group, Inc. 2.4
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Alexandria Real Estate Equities, Inc. 2.3
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Energy Partners Ltd. 2.2
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Steris Corp 2.2
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FNB Corp. 2.1
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Superior Industries International, Inc. 2.1
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Arch Coal, Inc. 2.0
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Washington Federal, Inc. 2.0
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Lubrizol Corp. 2.0
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Ten Largest Sectors % of Net Assets
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Banks 13.4%
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REIT 9.9
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Oil & Gas 6.4
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Manufacturing 5.7
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Health Care 5.6
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Software 4.8
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Transportation 4.1
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Machinery 3.7
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Engineering & Construction 3.5
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Chemicals 3.0
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Fund Composition % of Net Assets
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Common stocks 90%
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Short-term investments 10
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PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 4.53%
Premier Class 4.48
Retail Class 4.29
S&P 500[RegTM] Index 3.44
Russell 2000 Value Index 7.83
Lipper Small-Cap Value Funds Average 8.15
8
International Blend/Bank of Ireland Fund
JUNE 30, 2004
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FUND SUMMARY
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OBJECTIVE AND STRATEGY
Seeks long-term capital appreciation by investing principally in common stocks
of well-established companies located outside the U.S.
FUND INCEPTION DATE 01/24/2000
TOTAL NET ASSETS $13.9 million
NUMBER OF SECURITIES
IN THE PORTFOLIO 92
INVESTMENT MANAGER Bank of Ireland Asset
Management (U.S.) Limited
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
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Ten Largest Positions % of Net Assets
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Nestle SA 3.6%
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Total Fina Elf SA 3.5
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Canon, Inc. 3.1
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UBS AG 2.9
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ING Groep NV 2.5
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E. ON AG 2.5
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HSBC Holdings PLC 2.3
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Samsung Electronic Co., Ltd. 2.2
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Nippon Telephone & Telegraph Corp. 2.2
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Novartis AG 2.2
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Ten Largest Industries % of Net Assets
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United Kingdom 23.8%
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Japan 17.3
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Switzerland 12.2
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France 9.8
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Netherlands 8.5
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Germany 6.0
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South Korea 4.3
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Italy 3.6
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Hong Kong 3.5
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Spain 3.0
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Fund Composition % of Net Assets
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Common stocks 98%
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Short-term investments 2
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PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 2.23%
Premier Class 2.10
Retail Class 2.12
MSCI EAFE (net) 4.56
Lipper International Funds Average 3.63
9
TimesSquare Core Plus Bond Fund
JUNE 30, 2004
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FUND SUMMARY
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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 $21.2 million
NUMBER OF SECURITIES IN THE PORTFOLIO 181
INVESTMENT MANAGER TimesSquare Capital
Management, Inc.
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FUND PROFILE
JUNE 30, 2004 (Unaudited)
================================================================================
Ten Largest Positions % of Net Assets
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Freddie Mac 14.9%
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Fannie Mae 14.8
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U.S. Treasury 9.8
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Ginnie Mae 5.8
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Time Warner, Inc. 1.8
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Sovereign Bancorp. 1.3
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VFB LLC 1.1
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TELUS Corp. 1.0
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First Energy Corp. 0.9
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Union Pacific Corp. 0.9
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Ten Largest Sectors % of Net Assets
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U.S. Government & Agencies 49.7%
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Financial 11.1
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Communications & Media 9.9
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Consumer & Retail 3.2
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Utilities 3.1
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Transportation 2.1
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Industrial 1.9
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Foreign Government 1.5
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Insurance 1.2
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Pharmaceuticals 0.6
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Fund Composition % of Net Assets
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Bonds 85%
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Preferred stock 2
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Short-term investments 8
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Cash and other assets less liabilities 5
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PERFORMANCE
Returns for the six months ended June 30, 2004 were:
Institutional Class 0.81%
Premier Class 0.52
Retail Class 0.43
Lehman Brothers Aggregate Bond Index 0.16
Lipper Corporate Debt Funds - 'A' Rated Average (0.18)
10
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
BONDS-31.0%
AEROSPACE/DEFENSE-0.1%
Raytheon Co., 6.50%, 2005 $ 10 $ 10
-----
AUTO & TRUCK-0.3%
DaimlerChrysler NA Holding Corp., 4.75%, 2008 15 15
Ford Motor Co., 6.50%, 2018 45 42
-----
57
-----
BASIC MATERIALS-0.1%
Alcan, Inc., 6.13%, 2033 10 10
Alcoa, Inc., 6.50%, 2011 10 11
-----
21
-----
COMMUNICATIONS & MEDIA-1.7%
Alltel Corp., 7.00%, 2012 10 11
AT&T Wireless Services, Inc., 8.75%, 2031 15 18
British Telecommunications PLC,
8.88% (coupon change based on rating), 2030 15 19
Cia de Telecom de Chile, 8.38%, 2006 20 21
Cingular Wireless LLC, 7.13%, 2031 10 10
Clear Channel Communications, Inc., 7.65%, 2010 10 11
Cox Communications, Inc., 7.50%, 2004 40 40
Deutsche Telekom International Finance BV,
8.75% (coupon change based on rating), 2030 10 12
France Telecom SA, 8.75% (coupon change based
on rating), 2011 15 17
InterActiveCorp., 7.00%, 2013 5 5
Liberty Media Corp., 7.75%, 2009 15 17
News America Holdings, 7.75%, 2024 20 23
Southwestern Bell Telephone Co., 6.63%, 2007 50 54
TCI Communications, Inc.,
8.75%, 2015 10 12
7.13%, 2028 10 10
Time Warner, Inc., 7.25%, 2017 25 27
Vodafone Group PLC, 7.75%, 2010 10 11
-----
318
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CONSUMER PRODUCTS-0.2%
Altria Group, Inc., 7.00%, 2013 5 5
Centex Corp., 7.50%, 2012 10 11
International Game Technology, 8.38%, 2009 5 6
Pulte Homes, Inc., 8.13%, 2011 10 12
-----
34
-----
FINANCIAL-7.3%
American Express Credit Corp., 7.20%, 2007 50 52
Associates Corp. of North America, 6.63%, 2005 65 69
Bank of America Corp., 5.88%, 2009 50 53
Bank One Corp., 6.50%, 2006 25 26
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
FINANCIAL continued
Boeing Capital Corp., 6.50%, 2012 $ 10 $ 11
Capital Auto Receivables Asset Trust, 2.96%, 2008 50 50
CIT Group Holdings, 7.63%, 2005 5 5
Citibank Credit Card Issuance Trust, 2.50%, 2008 50 50
Deere (John) Capital Corp., 7.00%, 2012 10 11
Fleet Credit Card Master Trust, 2.40%, 2008 50 50
Ford Motor Credit Co., 7.38%, 2011 10 11
General Electric Capital Corp., 6.13%, 2011 20 21
General Motors Acceptance Corp., 7.75%, 2010 25 27
Goldman Sachs Group, Inc., 7.63%, 2005 50 53
Greenwich Capital Commercial Funding Corp., 4.92%, 2036 50 49
Household Finance Corp., 5.88%, 2009 25 26
International Lease Financing Co., 5.75%, 2006 50 53
LB-UBS Commercial Mortgage Trust, 6.13%, 2030 100 107
MBNA Credit Card Master Note Trust, 5.75%, 2008 50 52
Mercantile Bancorporation, Inc., 7.30%, 2007 10 11
Morgan (J.P.) Chase & Co., 7.00%, 2009 10 11
Morgan Stanley,
7.75%, 2005 50 52
6.39%, 2033 100 108
6.46%, 2033 50 53
National Australia Bank Ltd., 8.60%, 2010 25 30
Nomura Asset Securities Corp., 6.59%, 2030 100 109
Popular North America, Inc., 4.25%, 2008 10 10
Wells Fargo & Co., 6.63%, 2004 75 75
WFS Financial Owner Trust, 1.58%, 2006 37 37
World Omni Auto Receivables Trust, 4.05%, 2009 50 51
-----
1,323
-----
FOOD & BEVERAGES-0.4%
ConAgra Foods, Inc., 6.75%, 2011 30 33
General Mills, Inc., 6.00%, 2012 5 5
Kraft Foods, Inc., 4.63%, 2006 5 5
PepsiCo, Inc., 5.75%, 2008 25 27
Tyson Foods, Inc., 8.25%, 2011 5 6
-----
76
-----
FOREST PRODUCTS/PAPER-0.1%
Temple-Inland, Inc., 7.88%, 2012 10 11
Weyerhaeuser Co., 6.75%, 2012 10 11
-----
22
-----
INSURANCE-0.6%
Berkley (WR) Corp., 5.88%, 2013 10 10
Jackson National Life Global Funding, 6.13%, 2012 (144A
security acquired May 2003 for $11) (b) 10 10
The Notes to Financial Statements are an integral part of these statements.
11
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
BONDS continued
INSURANCE continued
Liberty Mutual Insurance Co., 7.70%, 2097 (144A security
acquired Nov. 2001 for $23) (b) $ 30 $ 30
Marsh & McLennan Cos., Inc., 5.88%, 2033 10 9
Nationwide Financial Services, Inc., 6.25%, 2011 20 21
Safeco Corp., 4.88%, 2010 10 10
Torchmark Corp., 6.25%, 2006 10 11
XL Capital Europe PLC, 6.50%, 2012 10 11
-----
112
-----
OIL & GAS-1.0%
Atlantic Richfield Co., 5.90%, 2009 25 27
Burlington Resources Finance Co., 5.70%, 2007 20 21
Conoco, Inc., 6.95%, 2029 20 22
Devon Energy Corp., 7.95%, 2032 15 17
Kinder Morgan Energy Partners LP, 7.13%, 2012 20 22
Kinder Morgan, Inc., 6.50%, 2012 10 11
Pemex Project Funding Master Trust, 8.63%, 2022 40 42
Transocean, Inc., 6.63%, 2011 10 11
Valero Energy Corp., 7.50%, 2032 10 11
-----
184
-----
PHARMACEUTICALS-0.1%
Schering-Plough Corp., 5.30%, 2013 10 10
-----
REAL ESTATE-0.0%
Liberty Property LP, 8.50%, 2010 5 6
-----
REIT-0.0%
Healthcare Realty Trust, 5.13%, 2014 10 9
-----
RETAIL-0.7%
Lowes Companies, Inc., 6.50%, 2029 25 26
Target Corp., 7.50%, 2005 20 21
Wal-Mart Stores, Inc., 6.55%, 2004 75 75
Yum! Brands, Inc., 7.65%, 2008 10 11
-----
133
-----
TRANSPORTATION-0.4%
American Airlines, Inc., 3.86%, 2010 5 5
Continental Airlines, Inc., 6.90%, 2018 25 24
Delta Air Lines, Inc., 6.72%, 2023 44 46
-----
75
-----
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (c)-13.1%
Federal Home Loan Bank, 5.75%, 2012 $ 10 $ 11
Freddie Mac,
7.00%, 2005 40 42
5.25%, 2006 50 52
6.50%, 2009 50 53
5.63%, 2011 65 68
Fannie Mae,
7.13%, 2010 35 40
7.25%, 2010 150 171
5.38%, 2011 25 26
6.09%, 2011 97 103
5.52%, 2012 49 52
6.05%, 2012 49 52
6.06%, 2012 35 37
6.00%, 2016 83 86
5.50%, 2017 77 79
5.00%, 2018 168 169
5.00%, 2019 396 397
5.00%, 2033 99 97
Ginnie Mae,
8.25%, 2006 8 8
8.25%, 2008 23 25
6.50%, 2023 100 106
7.50%, 2023 42 45
7.00%, 2026 112 119
6.00%, 2028 16 17
6.50%, 2028 85 89
7.00%, 2028 82 87
7.50%, 2030 2 2
8.00%, 2031 13 15
5.00%, 2033 258 250
-----
2,384
-----
U.S. TREASURY OBLIGATIONS-4.3%
U.S. Treasury Bonds,
7.50%, 2016 40 49
8.88%, 2017 20 27
8.13%, 2019 90 118
8.88%, 2019 79 109
7.88%, 2021 160 207
6.25%, 2023 55 61
7.63%, 2025 15 19
Principal Strip, 6.88%, 2025 100 30
U.S. Treasury Note, 6.50%, 2005 150 156
-----
776
-----
The Notes to Financial Statements are an integral part of these statements.
12
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ------------------------------------------------------------------------
BONDS continued
UTILITIES-0.6%
Alabama Power Co., 5.88%, 2022 $ 10 $ 10
Dominion Resources, Inc., 8.13%, 2010 20 23
Duke Energy Corp., 6.25%, 2012 10 10
Oncor Electric Delivery Co., 6.38%, 2012 15 16
Progress Energy, Inc., 7.10%, 2011 25 27
PSEG Power LLC, 6.95%, 2012 10 11
Wisconsin Electric Power Co., 5.63%, 2033 10 9
-----
106
-----
TOTAL BONDS (Cost $5,602) 5,656
-----
NUMBER OF
SHARES
---------
COMMON STOCKS-67.3%
AEROSPACE/DEFENSE-0.3%
General Dynamics Corp. 600 60
-----
AUTO & TRUCK-1.0%
General Motors Corp. 3,900 182
-----
BASIC MATERIALS-3.3%
Alcoa, Inc. 10,800 357
du Pont (E.I.) de Nemours & Co. 5,500 244
-----
601
-----
COMMUNICATIONS & MEDIA-4.9%
BellSouth Corp. 5,200 136
Comcast Corp. (a) 8,800 243
Gannett Co., Inc. 1,300 110
SBC Communications, Inc. 6,300 153
Time Warner, Inc. (a) 14,000 246
-----
888
-----
COMPUTERS-1.1%
Hewlett-Packard Co. 3,800 80
International Business Machines Corp. 1,300 115
-----
195
-----
COSMETICS/PERSONAL CARE-0.9%
Kimberly-Clark Corp. 2,500 165
-----
DIVERSIFIED MANUFACTURING-2.8%
Illinois Tool Works, Inc. 1,800 173
Tyco International Ltd. 10,200 338
-----
511
-----
FINANCIAL-14.4%
Bank of America Corp. 5,700 482
Bank One Corp. 3,100 158
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
FINANCIAL continued
Citigroup, Inc. 12,240 $ 569
Fannie Mae 2,900 207
Goldman Sachs Group, Inc. 2,000 188
Morgan Stanley 4,000 211
National City Corp. 8,300 291
PNC Financial Services Group, Inc. 2,300 122
Suntrust Banks, Inc. 1,800 117
Washington Mutual, Inc. 2,200 85
Wells Fargo & Co. 3,300 189
------
2,619
------
FOOD & BEVERAGES-2.3%
Coca-Cola (The) Co. 4,300 125
Kellogg Co. 3,800 159
PepsiCo, Inc. 2,400 129
------
413
------
FOREST PRODUCTS/PAPER-1.3%
Weyerhaeuser Co. 3,800 240
------
HEALTH CARE-3.6%
Anthem, Inc. (a) 1,800 161
Bard (C.R.), Inc. 2,600 147
Baxter International, Inc. 5,400 186
Beckman Coulter, Inc. 2,700 165
------
659
------
INSURANCE-2.8%
ACE Ltd. 1,200 51
Chubb Corp. 1,600 109
Marsh & McLennan Co's., Inc. 1,000 45
Principal Financial Group 3,800 132
St. Paul Companies, Inc. 4,100 166
------
503
------
MACHINERY-2.9%
Caterpillar, Inc. 5,000 397
Rockwell Automation, Inc. 3,300 124
------
521
------
OIL & GAS-7.5%
ConocoPhilips 3,100 237
ChevronTexaco Corp. 1,300 122
Exxon Mobil Corp. 13,200 586
National Fuel Gas Co. 100 3
Shell Transport & Trading Co. PLC 9,600 429
------
1,377
------
The Notes to Financial Statements are an integral part of these statements.
13
Balanced Fund (sub-advised by Wellington Management)
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
COMMON STOCKS continued
PHARMACEUTICALS-3.0%
Pfizer, Inc. 11,400 $ 391
Wyeth 4,500 163
-------
554
-------
RETAIL-3.5%
CVS Corp. 5,600 235
Dollar General Corp. 7,000 137
McDonald's Corp. 4,700 122
Nike, Inc. 1,900 144
-------
638
-------
TECHNOLOGY-4.1%
Applied Materials, Inc. (a) 12,900 253
Intel Corp. 8,200 226
Teradyne, Inc. (a) 11,800 268
-------
747
-------
TRANSPORTATION-2.2%
CSX Corp. 6,300 207
Southwest Airlines Co. 12,000 201
-------
408
-------
UTILITIES-5.4%
Dominion Resources, Inc. 2,050 129
Emerson Electric Co. 2,000 127
Exelon Corp. 6,700 223
PPL Corp. 2,100 97
Progress Energy, Inc. 3,000 132
SCANA Corp. 3,500 127
TXU Corp. 3,700 150
-------
985
-------
TOTAL COMMON STOCKS
(Cost $10,705) 12,266
-------
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
SHORT-TERM OBLIGATION-1.3%
MONEY MARKET FUND-1.3%
CIGNA Funds Group - Money Market Fund (d)
(Cost $237) 237,135 $ 237
-------
TOTAL INVESTMENTS IN SECURITIES-99.6%
(Total Cost $16,544) (e) 18,159
Cash and Other Assets, Less Liabilities - 0.4% 72
-------
NET ASSETS-100.0% $18,231
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) Indicates restricted security; the aggregate value of restricted
securities is $40,164 (aggregate cost $34,672), which is approximately 0.2% of
net assets. Valuations have been furnished by brokers trading in the
securities or a pricing service for all restricted securities.
(c) Agency obligations are not guaranteed by the U.S. Government.
(d) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(e) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $16,579,965, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,763,747
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (184,956)
----------
Unrealized appreciation - net $1,578,791
==========
(f) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 13,281
Capital loss carryforward:
Expiring 2009 $ 826,204
Expiring 2010 745,096
Expiring 2011 347,043
----------
$1,918,343
==========
The Notes to Financial Statements are an integral part of these statements.
14
Large Cap Growth/Morgan Stanley Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
COMMON STOCKS-98.4%
AEROSPACE & DEFENSE-1.3%
United Technologies Corp. 2,200 $ 201
------
APPAREL-0.5%
Coach, Inc. (a) 1,800 81
------
BANKS-1.0%
Fifth Third Bancorp 2,850 153
------
BIOTECHNOLOGY-3.3%
Amgen, Inc. (a) 2,975 162
Biogen Idec, Inc. (a) 1,225 77
Celgene Corp. (a) 1,100 63
Chiron Corp. (a) 1,000 45
Genentech, Inc. (a) 2,400 135
Telik, Inc. (a) 1,800 43
------
525
------
COMMERCIAL TECHNOLOGY SERVICES-1.7%
Accenture Ltd., Class A (a) 6,750 185
Paychex, Inc. 2,400 81
------
266
------
COMPUTERS & PERIPHERALS-2.9%
Dell, Inc. (a) 6,525 234
EMC Corp. (a) 13,675 156
Network Appliance, Inc. (a) 3,500 75
------
465
------
COSMETICS/PERSONAL CARE-2.4%
Kimberly-Clark Corp. 1,770 117
Procter & Gamble Co. 4,800 261
------
378
------
ELECTRONICS-0.5%
Amphenol Corp., Class A (a) 2,345 78
------
ENTERTAINMENT-1.5%
GTECH Holdings Corp. 2,290 106
International Game Technology 3,500 135
------
241
------
FINANCIAL-11.6%
American Express Co. 4,750 244
Ameritrade Holding Corp. (a) 9,000 102
Citigroup, Inc. 12,766 594
Fannie Mae 2,800 200
Goldman Sachs Group, Inc. 2,875 271
Lehman Brothers Holdings, Inc. 1,600 120
MBNA Corp. 12,300 317
------
1,848
------
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
FOOD & BEVERAGES-3.6%
Coca-Cola (The) Co. 7,875 $ 398
PepsiCo, Inc. 3,125 168
------
566
------
HEALTH CARE-7.1%
Anthem, Inc. (a) 1,415 127
Boston Scientific Corp. (a) 5,100 218
Dade Behring Holdings, Inc. (a) 900 43
Guidant Corp. 600 34
INAMED Corp. (a) 882 55
Johnson & Johnson 4,300 240
Medtronic, Inc. 3,200 156
St. Jude Medical, Inc. (a) 1,195 90
UnitedHealth Group, Inc. 2,650 165
------
1,128
------
INSURANCE-1.4%
American International Group, Inc. 3,200 228
------
INTERNET-7.8%
Amazon.com, Inc. (a) 2,200 120
eBay, Inc. (a) 3,630 334
InterActive Corp. (a) 13,030 393
Symantec Corp. (a) 1,900 83
Yahoo!, Inc. (a) 8,480 308
------
1,238
------
LEISURE TIME-0.9%
Carnival Corp. 3,000 141
------
LODGING-0.5%
Wynn Resorts Ltd. (a) 2,130 82
------
MANUFACTURING-8.8%
3M Co. 850 76
General Electric Co. 30,800 998
Tyco International Ltd. 9,800 325
------
1,399
------
MEDIA-2.5%
News Corp. Ltd. 2,835 100
Time Warner, Inc. (a) 7,800 137
Univision Communications, Inc., Class A (a) 4,917 157
------
394
------
OIL & GAS-2.5%
Exxon Mobil Corp. 5,300 235
Murphy Oil Corp. 650 48
Smith International, Inc. (a) 2,140 119
------
402
------
The Notes to Financial Statements are an integral part of these statements.
15
Large Cap Growth/Morgan Stanley Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
COMMON STOCKS continued
PHARMACEUTICALS-8.0%
Allergan, Inc. 545 $ 49
Bristol-Myers Squibb Co. 3,100 76
Caremark Rx, Inc. (a) 3,150 104
Forest Laboratories, Inc. (a) 1,800 102
Gilead Sciences, Inc. (a) 950 64
Lilly (Eli) and Co. 900 63
Pfizer, Inc. 19,040 653
Teva Pharmaceutical Industries Ltd. ADR 2,389 161
-------
1,272
-------
RETAIL-7.0%
Bed Bath & Beyond, Inc. (a) 630 24
Chico's FAS, Inc. (a) 2,941 133
Kohl's Corp. (a) 2,200 93
Lowe's Companies, Inc. 2,975 156
Outback Steakhouse, Inc. 2,300 95
PETsMART, Inc. 2,670 87
Staples, Inc. 2,700 79
TJX (The) Companies, Inc. 2,925 71
Target Corp. 2,141 91
Wal-Mart Stores, Inc. 3,300 174
Yum! Brands, Inc. (a) 2,840 106
-------
1,109
-------
SEMICONDUCTORS-5.5%
Analog Devices, Inc. 5,050 238
Intel Corp. 10,200 282
Linear Technology Corp. 5,025 198
Marvell Technology Group Ltd. (a) 1,560 42
Texas Instruments, Inc. 4,875 118
-------
878
-------
SOFTWARE-8.7%
Adobe Systems, Inc. 1,500 70
Mercury Interactive Corp. (a) 3,475 173
Microsoft Corp. 29,400 840
Novell, Inc. (a) 3,600 30
Oracle Corp. (a) 8,575 102
Red Hat, Inc. (a) 2,400 55
Veritas Software Corp. (a) 4,062 113
-------
1,383
-------
NUMBER OF VALUE
SHARES (000)
- ------------------------------------------------------------------------
TELECOMMUNICATIONS-5.6%
Cisco Systems, Inc. (a) 21,150 $ 501
Juniper Networks, Inc. (a) 3,600 88
Motorola, Inc. 6,900 126
Qualcomm, Inc. 2,300 168
-------
883
-------
TRANSPORTATION-1.8%
CH Robinson Worlwide, Inc. 2,860 131
United Parcel Service, Inc. Class B 2,150 162
-------
293
-------
TOTAL COMMON STOCKS
(Cost $14,688) 15,632
-------
SHORT-TERM OBLIGATION-3.5%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund (b)
(Cost $555) 555,158 555
-------
TOTAL INVESTMENTS IN SECURITIES-101.9%
(Total Cost $15,243) (c) 16,187
Liabilities in excess of Cash and
Other Assets - (1.9%) (304)
-------
NET ASSETS-100.0% $15,883
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $15,675,059, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 853,640
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (341,680)
----------
Unrealized appreciation - net $ 511,960
==========
(d) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 50
Capital loss carryforward:
Expiring 2008 $ 387,542
Expiring 2009 1,807,002
Expiring 2010 2,322,387
Expiring 2011 266,395
----------
$4,783,326
==========
The Notes to Financial Statements are an integral part of these statements.
16
Large Cap Value/John A. Levin & Co. Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-99.6%
ADVERTISING-0.2%
Interpublic (The) Group of Companies, Inc. (a) 4,800 $ 66
------
AEROSPACE & DEFENSE-4.5%
Lockheed Martin Corp. 15,100 786
Northrop Grumman Corp. 7,900 424
------
1,210
------
AUTO PARTS & EQUIPMENT-0.7%
Delphi Corp. 16,600 177
------
BANKS-11.8%
Bank of America Corp. 12,720 1,076
Bank (The) of New York, Inc. 26,600 784
PNC Financial Services Group, Inc. 6,100 324
US Bancorp 23,291 642
Wells Fargo & Co. 6,400 366
------
3,192
------
CHEMICALS-2.4%
Dow (The) Chemical Co. 8,900 362
PPG Industries, Inc. 4,630 289
------
651
------
COMMERCIAL TECHNOLOGY SERVICES-1.6%
Accenture Ltd., Class A (a) 15,700 431
------
COMPUTERS-3.1%
Hewlett-Packard Co. 23,300 492
International Business Machines Corp. 4,100 361
------
853
------
COSMETICS/PERSONAL CARE-1.2%
Procter & Gamble Co. 6,000 327
------
ELECTRIC-4.9%
Emerson Electric Co. 4,100 261
Entergy Corp. 9,600 538
FirstEngery Corp. 1,700 64
PG&E Corp. (a) 12,200 341
Xcel Energy, Inc. 7,900 132
------
1,336
------
ELECTRONICS-3.9%
Applera Corp.-Applied Biosystems Group 9,600 209
Konnklijke (Royal) Philips Electronics Corp. ADR 20,196 549
Thermo Electron Corp. (a) 10,055 309
------
1,067
------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
FINANCIAL-7.9%
Citigroup, Inc. 15,800 $ 735
Freddie Mac 3,700 234
MBNA Corp. 10,645 275
Morgan (JP) Chase & Co. 14,400 558
Morgan Stanley 6,500 343
------
2,145
------
FOOD & BEVERAGES-4.6%
Coca-Cola (The) Co. 6,700 338
Diageo PLC 6,600 361
PepsiCo., Inc. 5,900 318
Sara Lee Corp. 9,700 223
------
1,240
------
HEALTH CARE-2.3%
Guidant Corp. 3,500 196
Johnson & Johnson 7,800 434
------
630
------
HOUSEWARES-2.5%
Clorox Co. 5,500 296
Newell Rubbermaid, Inc. 15,800 371
------
667
------
INSURANCE-3.8%
American International Group, Inc. 7,950 567
XL Capital Ltd., Class A 6,300 475
------
1,042
------
MANUFACTURING-9.4%
Coopers Industries Ltd., Class A 3,200 190
General Electric Co. 29,200 946
Honeywell International, Inc. 9,400 344
ITT Industries, Inc. 1,700 141
Textron, Inc. 7,900 469
Tyco International Ltd. 14,100 467
------
2,557
------
LEISURE TIME-0.0%
Life Time Fitness, Inc. (a) 330 6
------
MEDIA-7.2%
Clear Channel Communications, Inc. 4,400 163
Comcast Corp., Class A (a) 9,185 254
EchoStar Communications, Corp., Class A (a) 13,215 406
News Corp. Ltd. 18,898 621
Tribune Co. 5,500 251
Viacom, Inc., Class B 7,350 263
------
1,958
------
The Notes to Financial Statements are an integral part of these statements.
17
Large Cap Value/John A. Levin & Co. Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
MINING-1.0%
Alcan, Inc. 6,600 $ 273
-------
OFFICE/BUSINESS EQUIPMENT-0.5%
Pitney Bowes, Inc. 3,000 133
-------
OIL & GAS-9.5%
BP PLC 10,200 546
ChevronTexaco Corp. 4,900 461
Cooper Cameron Corp. (a) 5,800 283
Exxon Mobil Corp. 14,600 648
Unocal Corp. 11,400 433
Williams (The) Companies, Inc. 17,500 208
-------
2,579
-------
PHARMACEUTICALS-6.2%
AmerisourceBergen Corp. 6,300 377
Pfizer, Inc. 25,755 883
Wyeth 11,340 410
-------
1,670
-------
RETAIL-4.0%
Home Depot, Inc. 21,300 750
Limited Brands, Inc. 18,229 341
-------
1,091
-------
SOFTWARE-2.9%
Microsoft Corp. 27,300 780
-------
TELECOMMUNICATIONS-3.5%
SBC Communications, Inc. 18,600 452
Verizon Communications, Inc. 13,400 485
-------
937
-------
TOTAL COMMON STOCKS
(Cost $24,369) 27,018
-------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATION-1.3%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund (b)
(Cost $345) 345,184 $ 345
-------
TOTAL INVESTMENTS IN SECURITIES-100.9%
(Total Cost $24,714) (c) 27,363
Liabilities in excess of Cash and Other Assets - (0.9%) (248)
-------
NET ASSETS-100.0% $27,115
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $24,985,793, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $2,522,528
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (145,314)
----------
Unrealized appreciation - net $2,377,214
==========
(d) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 117,182
Capital loss carryforward:
Expiring 2009 $ 56,200
Expiring 2010 780,787
Expiring 2011 2,610,516
----------
$3,447,503
==========
The Notes to Financial Statements are an integral part of these statements.
18
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-80.5%
General Electric Co. 50,500 $ 1,636
Microsoft Corp. 53,300 1,522
Exxon Mobil Corp. 32,594 1,447
Pfizer, Inc. 37,606 1,289
Citigroup, Inc. 25,589 1,190
Wal-Mart Stores, Inc. 21,500 1,134
American International Group 12,971 924
Intel Corp. 32,400 894
Bank of America Corp. 10,078 853
Johnson & Johnson 14,734 821
Cisco Systems, Inc. (a) 34,200 810
International Business Machine Corp. 8,400 740
Procter & Gamble Co. 12,800 697
Coca-Cola (The) Co. 12,200 616
Merck & Co., Inc. 11,000 522
Altria Group, Inc. 10,100 505
ChevronTexaco Corp. 5,329 501
Verizon Communications, Inc. 13,728 497
Wells Fargo & Co. 8,400 481
PepsiCo., Inc. 8,570 462
Dell, Inc. (a) 12,700 455
United Parcel Service, Inc., Class B 5,600 421
Home Depot, Inc. 11,300 398
Morgan (J.P.) Chase & Co. 10,260 398
SBC Communications, Inc. 16,406 398
Time Warner, Inc. (a) 22,400 394
Eli Lilly & Co. 5,600 391
3M Co. 3,900 351
Amgen, Inc. (a) 6,372 348
Fannie Mae 4,800 343
Tyco International Ltd. 9,971 330
American Express Co. 6,400 329
Hewlett-Packard Co. 15,126 319
Abbott Laboratories 7,800 318
Comcast Corp., Class A (a) 11,153 313
Oracle Corp. (a) 26,000 310
Viacom, Inc., Class B 8,688 310
eBay, Inc. (a) 3,200 294
Medtronic, Inc. 6,000 292
Qualcomm, Inc. 4,000 292
Wachovia Corp. 6,570 292
Bank One Corp. 5,602 286
Morgan Stanley Dean Witter & Co. 5,400 285
US Bancorp 9,596 264
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Disney (Walt) Co. 10,200 $ 260
Merrill Lynch & Co., Inc. 4,800 259
ConocoPhillips 3,345 255
BellSouth Corp. 9,200 241
Yahoo, Inc. (a) 6,600 240
Wyeth 6,600 238
Bristol-Myers Squibb Co. 9,600 235
United Technologies Corp. 2,500 229
Goldman Sachs Group, Inc. 2,400 226
du Pont (E.I.) de Nemours & Co. 4,929 219
Anheuser-Busch Cos., Inc. 4,000 216
Freddie Mac 3,400 215
Boeing (The) Co. 4,150 212
Gillette (The), Co. 5,000 212
Motorola, Inc. 11,535 211
Texas Instruments, Inc. 8,600 208
Lowe's Companies, Inc. 3,900 205
First Data Corp. 4,401 196
UnitedHealth Group, Inc. 3,100 193
AT&T Wireless Services, Inc. (a) 13,436 192
Target Corp. 4,500 191
Dow (The) Chemical Co. 4,560 186
Walgreen Co. 5,100 185
Schlumberger Ltd. 2,900 184
Boston Scientific Corp. (a) 4,100 175
Washington Mutual, Inc. 4,460 172
Kimberly-Clark Corp. 2,500 165
MBNA Corp. 6,362 164
McDonald's Corp. 6,300 164
Allstate (The) Corp. 3,500 163
Applied Materials, Inc. (a) 8,200 161
Colgate-Palmolive Co. 2,700 158
Exelon Corp. 4,724 157
Honeywell International, Inc. 4,262 156
Fifth Third Bancorp 2,846 153
Cardinal Health, Inc. 2,125 149
Nextel Communications, Inc., Class A (a) 5,500 147
Carnival Corp. 3,100 146
Illinois Tool Works, Inc. 1,500 144
Alcoa, Inc. 4,344 143
Ford Motor Co. 9,088 142
EMC Corp. (a) 11,974 137
Metlife, Inc. 3,800 136
Caterpillar, Inc. 1,700 135
Schering-Plough Corp. 7,300 135
The Notes to Financial Statements are an integral part of these statements.
19
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
St. Paul (The) Travelers Companies, Inc. 3,295 $ 134
Emerson Electric Co. 2,100 133
General Motors Corp. 2,800 130
Automatic Data Processing, Inc. 3,000 126
Prudential Financial, Inc. (b) 2,700 125
Sprint Corp. (FON Group) 7,050 124
FedEx Corp. 1,500 122
Cendant Corp. 4,985 122
Marsh & McLennan Cos., Inc. 2,600 118
Bank (The) of New York Co., Inc. 3,900 115
Lockheed Martin Corp. 2,200 115
Sysco Corp. 3,200 114
Avon Products, Inc. 2,400 111
Clear Channel Communications, Inc. 3,000 111
Gannett Co., Inc. 1,300 110
Stryker Corp. 2,000 110
Gap (The), Inc. 4,450 108
Zimmer Holdings, Inc. (a) 1,230 108
International Paper Co. 2,364 106
Biogen Idec, Inc. (a) 1,660 105
National City Corp. 3,000 105
Southern (The) Co. 3,600 105
Baxter International, Inc. 3,000 104
HCA, Inc. 2,500 104
Northrop Grumman Corp. 1,942 104
Aflac, Inc. 2,500 102
Forest Laboratories, Inc. (a) 1,800 102
BB&T Corp. 2,700 100
Dominion Resources, Inc. 1,568 99
General Dynamics Corp. 1,000 99
Countrywide Financial Corp. 1,399 98
Lehman Brothers Holdings, Inc. 1,300 98
Nike, Inc., Class B 1,300 98
Hartford Financial Services Group 1,400 96
Costco Wholesale Corp. 2,300 94
Progressive (The) Corp. 1,100 94
Harley-Davidson, Inc. 1,500 93
Occidental Petroleum Corp. 1,900 92
Duke Energy Corp. 4,500 91
SunTrust Banks, Inc. 1,400 91
General Mills, Inc. 1,900 90
Sara Lee Corp. 3,900 90
Guidant Corp. 1,600 89
SLM Corp. 2,200 89
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Waste Management, Inc. 2,895 $ 88
Corning, Inc. (a) 6,600 86
Analog Devices, Inc. 1,800 85
CVS Corp. 2,000 84
Deere & Co. 1,200 84
Kellogg Co. 2,000 84
Maxim Integrated Products 1,600 83
Danaher Corp. 1,600 83
Starbucks Corp. (a) 1,900 83
Electronic Arts, Inc. (a) 1,500 82
Alltel Corp. 1,600 81
Best Buy Co., Inc. 1,600 81
Computer Associates International, Inc. 2,900 81
Newmont Mining Corp. 2,100 81
Apollo Group, Inc., Class A (a) 900 79
Lucent Technologies, Inc. (a) 20,630 78
State Street Corp. 1,600 78
WellPoint Health Networks (a) 700 78
McGraw-Hill (The) Cos., Inc. 1,000 77
Union Pacific Corp. 1,300 77
Capital One Financial Corp. 1,100 75
Raytheon Co. 2,100 75
Golden West Financial Corp. 700 74
PNC Financial Services Group, Inc. 1,400 74
Burlington Resources, Inc. 2,020 73
ConAgra Foods, Inc. 2,700 73
Devon Energy Corp. 1,100 73
Tribune Co. 1,600 73
Anadarko Petroleum Corp. 1,229 72
Caremark RX, Inc. (a) 2,200 72
Kohl's Corp. (a) 1,700 72
Masco Corp. 2,300 72
Staples, Inc. 2,450 72
Agilent Technologies, Inc. (a) 2,413 71
Broadcom Corp., Class A (a) 1,500 70
Sun Microsystems, Inc. (a) 16,200 70
Weyerhaeuser Co. 1,100 69
Wrigley (Wm) Jr. Co. 1,100 69
Apache Corp. 1,566 68
Lexmark International, Inc., Class A (a) 700 68
Omnicom Group 900 68
St. Jude Medical, Inc. (a) 900 68
Becton Dickinson & Co. 1,300 67
Coca-Cola Enterprises, Inc. 2,300 67
Halliburton Co. 2,200 67
The Notes to Financial Statements are an integral part of these statements.
20
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Heinz (H.J) Co. 1,700 $ 67
Kroger Co. (a) 3,700 67
International Game Technology 1,700 66
Southwest Airlines Co. 3,930 66
Symantec Corp. (a) 1,500 66
Hershey Foods Corp. 1,400 65
Schwab, (The) Charles Corp. 6,775 65
TXU Corp. 1,600 65
Paychex, Inc. 1,875 64
Praxair, Inc. 1,600 64
Allergan, Inc. 700 63
Anthem, Inc. (a) 700 63
Burlington Northern Santa Fe Corp. 1,800 63
Keycorp 2,100 63
Linear Technology Corp. 1,600 63
Baker Hughes, Inc. 1,640 62
Entergy Corp. 1,100 62
Mellon Financial Corp. 2,100 62
SouthTrust Corp. 1,600 62
American Electric Power Co., Inc. 1,920 61
Chubb Corp. 900 61
Marathon Oil Corp. 1,600 61
Ingersoll-Rand Co., Class A 900 61
Aetna, Inc. 700 60
FirstEnergy Corp. 1,600 60
Franklin Resources, Inc. 1,200 60
TJX Cos., Inc. 2,500 60
Apple Computer, Inc. (a) 1,800 59
Clorox Co. 1,100 59
PG&E Corp. (a) 2,100 59
ACE Ltd. 1,400 59
AT&T Corp. 3,936 58
Air Products & Chemicals, Inc. 1,100 58
Bed Bath & Beyond, Inc. (a) 1,500 58
FPL Group, Inc. 900 58
Veritas Software Corp. (a) 2,100 58
Xilinx, Inc. 1,700 57
Xerox Corp. (a) 3,900 57
Biomet, Inc. 1,250 56
Principal Financial Group 1,600 56
Safeway, Inc. (a) 2,200 56
Archer-Daniels-Midland Co. 3,269 55
Marriott International, Inc., Class A 1,100 55
Yum! Brands, Inc. 1,480 55
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Campbell Soup Co. 2,000 $ 54
Equity Office Properties Trust 2,000 54
Loews Corp. 900 54
Fortune Brands, Inc. 700 53
Progress Energy, Inc. 1,200 53
XL Capital Ltd., Class A 700 53
Genzyme Corp. (General Division) (a) 1,100 52
M&T Bank Corp. 600 52
Adobe Systems, Inc. 1,100 51
McKesson Corp. 1,473 51
Monsanto Co. 1,317 51
Paccar, Inc. 875 51
Simon Property Group, Inc. 1,000 51
Univision Communications, Inc., Class A (a) 1,600 51
Charter One Financial, Inc. 1,127 50
Medco Health Solutions, Inc. (a) 1,341 50
Norfolk Southern Corp. 1,900 50
PPG Industries, Inc. 800 50
Kla-Tencor Corp. (a) 1,000 49
Limited Brands, Inc. 2,600 49
Penney (J.C.) Co., Inc. 1,300 49
Pitney Bowes, Inc. 1,100 49
Sears Roebuck and Co. 1,300 49
Unocal Corp. 1,300 49
American Standard Cos., Inc. (a) 1,200 48
CIGNA Corp. (c) 700 48
Johnson Controls, Inc. 900 48
Public Service Enterprise Group 1,200 48
Rohm & Haas Co. 1,153 48
Transocean, Inc. (a) 1,642 48
Albertson's, Inc. 1,788 47
Comerica, Inc. 850 47
Northern Trust Corp. 1,100 47
Electronic Data Systems Corp. 2,400 46
Micron Technology, Inc. (a) 3,000 46
AmSouth Bancorp 1,750 45
Eaton Corp. 700 45
Georgia-Pacific Corp. 1,210 45
Moody's Corp. 700 45
Starwood Hotels & Resorts Worldwide, Inc. 1,000 45
AON Corp. 1,550 44
Bear Stearns (The) Cos., Inc. 517 44
Consolidated Edison, Inc. 1,100 44
Federated Department Stores 900 44
Valero Energy Corp. 600 44
The Notes to Financial Statements are an integral part of these statements.
21
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Block (H&R), Inc. 900 $ 43
Lincoln National Corp. 900 43
Marshall & Ilsley Corp. 1,100 43
Altera Corp. (a) 1,900 42
Computer Sciences Corp. (a) 900 42
Dover Corp. 1,000 42
Equity Residential 1,400 42
ITT Industries, Inc. 500 42
Quest Diagnostics 500 42
Textron, Inc. 700 42
Ecolab, Inc. 1,300 41
Edison International 1,600 41
PPL Corp. 900 41
AMBAC Financial Group, Inc. 550 40
Chiron Corp. (a) 900 40
MBIA, Inc. 700 40
May (The) Department Stores Co. 1,450 40
National Semiconductor Corp. (a) 1,800 40
Pepsi Bottling Group, Inc. 1,300 40
Regions Financial Corp. 1,100 40
Sempra Energy 1,155 40
Ameren Corp. 900 39
Intuit, Inc. (a) 1,000 39
Synovus Financial Corp. 1,550 39
Avery Dennison Corp. 600 38
Cintas Corp. 800 38
Eastman Kodak Co. 1,400 38
MGIC Investment Corp. 500 38
Mattel, Inc. 2,100 38
Affiliated Computer Services Inc. (a) 700 37
BJ Services Co. (a) 800 37
Fiserv, Inc. (a) 950 37
Network Appliance, Inc. (a) 1,700 37
AmerisourceBergen Corp. 600 36
CSX Corp. 1,100 36
Cincinnati Financial Corp. 830 36
Donnelley (RR) & Sons Co. 1,100 36
EOG Resources, Inc. 600 36
Genuine Parts Co. 900 36
Kinder Morgan, Inc. 600 36
Sungard Data Systems, Inc. (a) 1,400 36
Hilton Hotels Corp. 1,900 35
Peoplesoft, Inc. (a) 1,912 35
Cinergy Corp. 900 34
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Jefferson-Pilot Corp. 675 $ 34
Rockwell Automation, Inc. 900 34
Freeport-McMoRan Copper & Gold, Class B 1,000 33
Newell Rubbermaid, Inc. 1,410 33
Parker Hannifin Corp. 550 33
Xcel Energy, Inc. 1,965 33
Amerada Hess Corp. 400 32
Autozone, Inc. (a) 400 32
Avaya, Inc. (a) 2,035 32
DTE Energy Co. 800 32
Dollar General Corp. 1,660 32
Express Scripts, Inc. (a) 400 32
Harrah's Entertainment, Inc. 600 32
Qwest Communications International (a) 8,809 32
Torchmark Corp. 600 32
Nabors Industries Ltd. (a) 700 32
AES (The) Corp. (a) 3,100 31
New York Times Co., Class A 700 31
Nucor Corp. 400 31
Phelps Dodge Corp. 400 31
Pulte Homes, Inc. 600 31
Safeco Corp. 700 31
Tenet Healthcare Corp. (a) 2,300 31
Constellation Energy Group, Inc. 800 30
Delphi Corp. 2,820 30
Molex, Inc. 925 30
Nordstrom, Inc. 700 30
T. Price Rowe Group, Inc. 600 30
Prologis 900 30
Rockwell Collins, Inc. 900 30
Williams Cos., Inc. 2,500 30
Cooper Industries Ltd., Class A 500 30
Brown-Forman Corp., Class B 600 29
Grainger (W.W.), Inc. 500 29
Interpublic Group Cos., Inc. (a) 2,100 29
KeySpan Corp. 800 29
Knight-Ridder, Inc. 400 29
Office Depot, Inc. (a) 1,600 29
Plum Creek Timber Co., Inc. 900 29
Sherwin-Williams (The) Co. 700 29
UST, Inc. 800 29
Waters Corp. (a) 600 29
IMS Health, Inc. 1,200 28
MeadWestvaco Corp. 955 28
Medimmune, Inc. (a) 1,200 28
The Notes to Financial Statements are an integral part of these statements.
22
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Advanced Micro Devices, Inc. (a) 1,700 $ 27
Centex Corp. 600 27
Family Dollar Stores, Inc. 900 27
First Horizon National Corp 600 27
Health Management Associates, Class A 1,200 27
JDS Uniphase Corp. (a) 7,100 27
Kerr-McGee Corp. 507 27
Leggett & Platt, Inc. 1,000 27
NiSource, Inc. 1,300 27
North Fork Bancorporation, Inc. 700 27
Reynolds (RJ) Tobacco Holdings, Inc. 400 27
Robert Half International, Inc. 900 27
Siebel Systems, Inc. (a) 2,500 27
Solectron Corp. (a) 4,100 27
Union Planters Corp. 900 27
Noble Corp.(a) 700 27
Autodesk, Inc. 600 26
Huntington Bancshares, Inc. 1,151 26
Tiffany & Co. 700 26
Black & Decker Corp. 400 25
Jabil Circuit, Inc. (a) 1,000 25
NCR Corp. (a) 500 25
Sunoco, Inc. 400 25
Thermo Electron Corp. (a) 800 25
Zions Bancorporation 400 25
Applera Corp.-Applied Biosystems Group 1,100 24
Autonation, Inc. (a) 1,400 24
EL Paso Corp. 2,990 24
Jones Apparel Group, Inc. 600 24
McCormick & Co., Inc. 700 24
Sanmina-SCI Corp. (a) 2,600 24
Scientific-Atlanta, Inc. 700 24
VF Corp. 500 24
Vulcan Materials Co. 500 24
Alberto-Culver Co., Class B 450 23
Bard (C.R.), Inc. 400 23
CenturyTel, Inc. 750 23
RadioShack Corp. 800 23
Teradyne, Inc. (a) 1,000 23
UnumProvident Corp. 1,474 23
Ball Corp. 300 22
Hospira, Inc. (a) 800 22
Novellus Systems, Inc. (a) 700 22
Unisys Corp. (a) 1,600 22
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Allied Waste Industries, Inc. (a) 1,600 $ 21
Providian Financial Corp. (a) 1,400 21
Sealed Air Corp. (a) 396 21
Supervalu, Inc. 700 21
Temple-Inland, Inc. 300 21
Wendy's International, Inc. 600 21
Whirlpool Corp. 300 21
American Power Conversion 1,000 20
BMC Software, Inc. (a) 1,100 20
Brunswick Corp. 500 20
E*Trade Financial Corp (a) 1,800 20
Janus Capital Group, Inc. 1,200 20
Mercury Interactive Corp. (a) 400 20
Mylan Laboratories 1,000 20
Pactiv Corp. (a) 800 20
Pinnacle West Capital Corp. 500 20
Sabre Holdings Corp., Class A 707 20
Engelhard Corp. 600 19
Fluor Corp. 400 19
Goodrich Corp. 600 19
International Flavors & Fragrances, Inc. 500 19
Centerpoint Energy, Inc. 1,522 18
Comverse Technology, Inc. (a) 900 18
Dow Jones & Co., Inc. 400 18
Eastman Chemical Co. 400 18
Liz Claiborne, Inc. 500 18
Sigma-Aldrich Corp. 300 18
Stanley (The) Works 400 18
Toys R US, Inc. (a) 1,100 18
United States Steel Corp. 500 18
Citizens Communications Co. (a) 1,400 17
Darden Restaurants, Inc. 850 17
Equifax, Inc. 700 17
Hasbro, Inc. 900 17
Symbol Technologies, Inc. 1,150 17
Tellabs, Inc. (a) 2,000 17
Andrew Corp. (a) 800 16
Apartment Investment & Mgt. Co., Class A 500 16
Ashland, Inc. 300 16
Citrix Systems, Inc. (a) 800 16
Novell, Inc. (a) 1,900 16
Nvidia Corp. (a) 800 16
Pall Corp. 600 16
Boise Cascade Corp. 400 15
Federated Investors, Inc., Class B 500 15
The Notes to Financial Statements are an integral part of these statements.
23
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
Monster Worldwide, Inc. (a) 600 $ 15
Bemis Co. 500 14
Coors (Adolph) Co., Class B 200 14
Dana Corp. 701 14
Humana, Inc. (a) 800 14
KB Home 200 14
King Pharmaceuticals, Inc. (a) 1,200 14
LSI Logic Corp. (a) 1,800 14
Tektronix, Inc. 400 14
Bausch & Lomb, Inc. 200 13
Circuit City Stores, Inc. 1,000 13
Compuware Corp. (a) 1,900 13
Cummins, Inc. 200 13
Manor Care, Inc. 400 13
QLogic Corp. (a) 500 13
Watson Pharmaceuticals, Inc. (a) 500 13
Louisiana-Pacific Corp. 500 12
Navistar International Corp. (a) 300 12
PerkinElmer, Inc. 600 12
Rowan Cos., Inc. (a) 500 12
Ryder System, Inc. 300 12
ADC Telecommunications, Inc. (a) 3,900 11
Convergys Corp. (a) 700 11
Meredith Corp. 200 11
Millipore Corp. (a) 200 11
PMC-Sierra, Inc. (a) 800 11
Reebok International Ltd. 300 11
TECO Energy, Inc. 900 11
Maytag Corp. 400 10
Snap-On, Inc. 300 10
Allegheny Energy, Inc. (a) 600 9
Big Lots, Inc. (a) 600 9
Calpine Corp. (a) 2,100 9
Ciena Corp. (a) 2,400 9
Cooper Tire & Rubber Co. 400 9
Crane Co. 300 9
Deluxe Corp. 200 9
Dillard's, Inc., Class A 400 9
Applied Micro Circuits Corp. (a) 1,500 8
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
Dynegy, Inc., Class A (a) 1,800 $ 8
Peoples Energy Corp. 200 8
Thomas & Betts Corp. 300 8
Visteon Corp. 690 8
Worthington Industries 400 8
Allegheny Technologies, Inc. 400 7
CMS Energy Corp. (a) 800 7
Gateway, Inc. (a) 1,600 7
Goodyear (The) Tire & Rubber Co. (a) 800 7
Nicor, Inc. 200 7
Parametric Technology Corp. (a) 1,300 6
Hercules, Inc. (a) 500 6
Great Lakes Chemical Corp. 200 5
Winn-Dixie Stores, Inc. (a) 700 5
Delta Air Lines, Inc. (a) 600 4
Power-One, Inc. (a) 400 4
Eagle Materials, Inc. Class B 49 3
Eagle Materials, Inc. 1 -
Piper Jaffray Companies, Inc. (a) 1 -
-------
TOTAL COMMON STOCKS
(Cost $63,137) 52,615
-------
SHORT-TERM OBLIGATIONS-19.0%
MONEY MARKET FUND-16.0%
CIGNA Funds Group - Money Market Fund (d) 10,444,437 10,445
------
PRINCIPAL
(000)
---------
U.S. GOVERNMENT-3.0%
U.S. Treasury Bills,
0.95%, 8/05/04 (e) $ 200 200
0.98%, 9/30/04 (e) 1,575 1,571
1.07%, 9/30/04 (e) 200 199
-------
1,970
-------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $12,415) 12,415
-------
TOTAL INVESTMENTS IN SECURITIES-99.5%
(Total Cost $75,552) (f) 65,030
Cash and Other Assets Less Liabilities - 0.5% 338
-------
NET ASSETS-100.0% $65,368
=======
The Notes to Financial Statements are an integral part of these statements.
24
S&P 500[RegTM] Index Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing securities.
(b) Prudential Retirement Brokerage Services Inc., the fund's Distributor, is
an affiliate of Prudential Financial, Inc.
(c) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is an
indirect wholly owned subsidiary of CIGNA Corp.
(d) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
(e) This security, or a portion thereof, was pledged as collateral for Stock
Index Futures Contracts. At June 30, 2004, the Fund was long 42 S&P 500[RegTM]
Futures Contracts expiring in September 2004. Unrealized gains amounted to
$170,138. Underlying face value was $11,804,062 and underlying market value
was $11,974,200.
Tax Information
(f) At June 30, 2004, the net unrealized depreciation of investments, based on
cost for federal income tax purposes of $75,568,740, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 4,904,566
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (15,443,327)
------------
Unrealized depreciation - net $(10,538,761)
============
(g) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 0
Capital loss carryforward:
Expiring 2009 $ 1,753,910
Expiring 2010 9,431,252
------------
$ 11,185,162
============
The Notes to Financial Statements are an integral part of these statements.
25
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-92.5%
ADVERTISING-2.5%
Getty Images, Inc. (a) 200,000 $ 12,000
---------
AEROSPACE/DEFENSE-1.8%
MTC Technologies, Inc. (a) 136,200 3,517
Orbital Sciences Corp. (a) 360,000 4,972
---------
8,489
---------
BIOTECHNOLOGY-2.3%
Bio-Rad Laboratories, Inc. Class A (a) 100,000 5,886
Protein Design Labs, Inc. (a) 160,000 3,061
XOMA Ltd. (a) 472,600 2,117
---------
11,064
---------
COMMERCIAL SERVICES-13.5%
Advisory (The) Board Co. (a) 115,000 4,094
Alliance Data Systems Corp. (a) 339,500 14,344
Arbitron, Inc. (a) 133,200 4,864
ChoicePoint, Inc. (a) 100,000 4,566
Corinthian Colleges, Inc. (a) 57,900 1,432
Corporate Executive Board Co. 155,000 8,957
Education Management Corp. (a) 385,000 12,651
Jackson Hewitt Tax Services, Inc. (a) 123,100 2,154
Magellan Health Services, Inc. (a) 72,600 2,428
Rent-A-Center, Inc. (a) 220,000 6,585
Ritchie Bros. Auctioneers, Inc. 60,000 1,747
---------
63,822
---------
COMPUTERS-1.9%
Henry (Jack) & Associates, Inc. 208,100 4,183
National Instruments Corp. 154,900 4,748
---------
8,931
---------
DISTRIBUTION/WHOLESALE-1.6%
SCP Pool Corp. 165,475 7,446
---------
ELECTRICAL COMPONENTS & EQUIPMENT-0.2%
Advanced Energy Industries, Inc. (a) 53,900 847
---------
ELECTRONICS-3.5%
Cymer, Inc. (a) 115,000 4,306
Gentex Corp. 70,000 2,778
Mettler-Toledo International, Inc. (a) 119,200 5,857
Photon Dynamics, Inc. (a) 100,100 3,511
---------
16,452
---------
ENTERTAINMENT-1.7%
Alliance Gaming Corp. (a) 175,000 3,003
AMC Entertainment, Inc. (a) 150,000 2,305
Macrovision Corp. (a) 108,500 2,716
---------
8,024
---------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
ENVIRONMENTAL-1.4%
Stericycle, Inc. (a) 125,000 $ 6,467
---------
EXCHANGE TRADED FUND-1.8%
iShares Russell 2000 Index Fund 70,000 8,259
---------
FINANCIAL-7.7%
Boston Private Financial Holdings, Inc. 34,700 804
CapitalSource, Inc. (a) 225,000 5,501
City National Corp. 100,000 6,570
Investors Financial Services Corp. 176,400 7,688
Jefferies Group, Inc. 115,800 3,581
Piper Jeffray Companies, Inc. (a) 60,000 2,714
UCBH Holdings, Inc. 131,300 5,189
Wintrust Financial Corp. 84,500 4,268
---------
36,315
---------
FOOD & BEVERAGES-2.6%
American Italian Pasta Co., Class A 93,000 2,835
Constellation Brands, Inc., Class A (a) 60,000 2,228
John B. Sanfilipo & Son, Inc. (a) 100,000 2,672
United Natural Foods, Inc. (a) 160,000 4,626
---------
12,361
---------
HEALTH CARE-9.8%
DaVita, Inc. (a) 303,774 9,365
Lincare Holdings, Inc. (a) 150,000 4,929
Molina Healthcare, Inc. (a) 100,000 3,818
Orthofix International NV (a) 79,300 3,388
Pediatrix Medical Group, Inc. (a) 120,000 8,382
Province Healthcare Co. (a) 315,000 5,402
Radiation Therapy Services, Inc. (a) 185,900 2,640
Respironics, Inc. (a) 145,000 8,519
---------
46,443
---------
HOUSEHOLD PRODUCTS-0.8%
Central Garden and Pet Co. (a) 100,300 3,588
---------
INSURANCE-1.3%
Markel Corp. (a) 22,000 6,105
---------
INTERNET-1.0%
Digital River, Inc. (a) 3,900 127
Macromedia, Inc. (a) 96,500 2,369
Sapient Corp. (a) 385,000 2,314
---------
4,810
---------
LODGING-1.0%
Kerzner International Ltd. (a) 100,000 4,756
---------
The Notes to Financial Statements are an integral part of these statements.
26
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
MEDIA-2.6%
Entercom Communications Corp. (a) 150,000 $ 5,595
Playboy Enterprises, Inc. (a) 250,000 2,902
Radio One, Inc., Class D (a) 235,000 3,762
--------
12,259
--------
OIL & GAS-5.1%
Denbury Resources, Inc. (a) 150,000 3,143
Evergreen Resources, Inc. (a) 60,000 2,424
Hydril Co. (a) 80,000 2,520
Patina Oil & Gas Corp. 152,000 4,540
Patterson-UTI Energy, Inc. 175,000 5,847
Universal Compression Holdings, Inc. (a) 100,000 3,068
Varco International, Inc. (a) 117,900 2,581
--------
24,123
--------
PHARMACEUTICALS-8.3%
Atrix Laboratories, Inc. (a) 115,000 3,942
Bradley Pharmaceuticals, Inc. (a) 122,800 3,426
Ligand Pharmaceuticals, Inc., Class B (a) 250,000 4,345
NBTY, Inc. (a) 105,000 3,086
NeighborCare, Inc. (a) 115,900 3,631
Omnicare, Inc. 63,000 2,697
Par Pharmaceuticals Cos., Inc. (a) 120,000 4,225
QLT, Inc. (a) 155,000 3,103
Salix Pharmaceuticals Ltd. (a) 85,000 2,801
VCA Antech, Inc. (a) 179,700 8,054
--------
39,310
--------
RETAIL-1.0%
Advance Auto Parts, Inc. (a) 110,000 4,860
--------
SEMICONDUCTORS-5.7%
Emulex, Corp. (a) 200,000 2,862
Formfactor, Inc. (a) 8,000 180
Integrated Circuit Systems, Inc. (a) 215,000 5,839
Photronics, Inc. (a) 250,000 4,735
Semtech Corp. (a) 156,700 3,689
Skyworks Solutions, Inc. (a) 356,000 3,108
Standard Microsystems Corp. (a) 94,300 2,199
Supertex, Inc. (a) 52,100 851
Zoran Corp. (a) 175,000 3,211
--------
26,674
--------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SOFTWARE-5.7%
Aspen Technology, Inc. (a) 260,000 $ 1,888
Embarcadero Technologies, Inc. (a) 163,000 2,015
Fair Isaac & Co. 105,000 3,505
Global Payments, Inc. 175,000 7,879
IMPAC Medical Systems, Inc. (a) 145,400 2,127
Informatica Corp. (a) 386,900 2,952
Lawson Software, Inc. (a) 86,800 615
NDCHealth Corp. 140,500 3,260
SERENA Software, Inc. (a) 149,700 2,858
--------
27,099
--------
STORAGE/WAREHOUSING-0.8%
Mobile Mini, Inc. (a) 125,000 3,551
--------
TELECOMMUNICATIONS-5.1%
Plantronics, Inc. (a) 70,000 2,947
Primus Telecommunications Group, Inc. (a) 343,400 1,744
PTEK Holdings, Inc. (a) 295,000 3,401
REMEC, Inc. (a) 277,800 1,756
SafeNet, Inc. (a) 125,000 3,460
Spectrasite, Inc. (a) 120,000 5,186
West Corp. (a) 205,000 5,361
--------
23,855
--------
TOYS/GAMES-0.6%
Marvel Enterprises, Inc. (a) 141,100 2,754
--------
TRANSPORTATION-1.2%
Overnite Corp. 54,700 1,608
P.A.M. Transportation Services, Inc. (a) 70,000 1,337
Pacer International, Inc. (a) 133,700 2,473
--------
5,418
--------
TOTAL COMMON STOCKS
(Cost $389,141) 436,082
--------
SHORT-TERM OBLIGATION-5.7%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund (b)
(Cost $26,872) 26,871,575 26,872
--------
TOTAL INVESTMENTS IN SECURITIES-98.2%
(Total Cost $416,013) (c) 462,954
Cash and Other Assets Less Liabilities - 1.8% 8,578
--------
NET ASSETS-100.0% $471,532
========
The Notes to Financial Statements are an integral part of these statements.
27
Small Cap Growth/TimesSquare Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $416,795,503, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $67,314,776
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (21,172,354)
-----------
Unrealized appreciation - net $46,142,422
===========
(d) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 3,178,685
Undistributed capital gains $ 1,647,185
The Notes to Financial Statements are an integral part of these statements.
28
Small Cap Value/Perkins, Wolf, McDonnell Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-89.8%
APPAREL-1.6%
Wolverine WorldWide, Inc. 80,000 $ 2,100
--------
AUTO PARTS & EQUIPMENT-2.0%
Superior Industries International, Inc. 80,000 2,676
--------
BANKS-13.4%
Brookline Bancorp, Inc. 215,000 3,154
Community Bank System, Inc. 60,000 1,367
First Charter Corp. 30,000 654
First Niagara Financial Group, Inc. 200,000 2,400
FNB Corp. 135,000 2,754
Provident Financial Services, Inc. 135,000 2,369
Seacoast Financial Services Co. 25,000 865
Susquehanna Bancshares, Inc. 55,000 1,384
Washington Federal, Inc. 110,000 2,640
--------
17,587
--------
CHEMICALS-3.0%
Lubrizol Corp. 70,000 2,563
Schulman (a), Inc. 61,200 1,315
--------
3,878
--------
COMMERCIAL SERVICES-0.8%
Spherion Corp. (a) 100,000 1,014
--------
COMPUTERS-1.2%
Advanced Digital Information Corp. (a) 160,000 1,552
--------
ELECTRONICS-1.9%
Coherent, Inc. (a) 43,000 1,284
Mettler-Toledo International, Inc. (a) 25,000 1,228
--------
2,512
--------
ENERGY-2.0%
Arch Coal, Inc. 72,400 2,649
--------
ENGINEERING & CONSTRUCTION-3.5%
EMCOR Group, Inc. (a) 71,300 3,136
Insituform Technologies, Inc., Class A (a) 90,000 1,464
--------
4,600
--------
FOOD-1.3%
American Italian Pasta, Co., Class A 55,000 1,676
--------
FOREST PRODUCTS & PAPER-1.9%
Rayonier, Inc. 56,000 2,489
--------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
HEALTH CARE-5.6%
Cytyc Corp. (a) 62,000 $ 1,573
LifePoint Hospitals, Inc. (a) 29,000 1,079
Province Healthcare Co. (a) 62,000 1,063
Steris Corp. (a) 125,000 2,820
Vistacare, Inc., Class A (a) 40,000 742
--------
7,277
--------
HOME FURNISHINGS-1.5%
La-Z-Boy, Inc. 112,000 2,014
--------
HOUSEWARES-1.1%
Libbey, Inc. 50,000 1,388
--------
INTERNET-2.4%
Internet Security Systems, Inc. (a) 126,000 1,933
Verity, Inc. (a) 85,000 1,148
--------
3,081
--------
IRON & STEEL-0.9%
Steel Dynamics, Inc. (a) 43,500 1,245
--------
MACHINERY-3.7%
Global Power Equipment Group, Inc. (a) 300,000 2,406
Joy Global, Inc. 83,000 2,485
--------
4,891
--------
MANUFACTURING-5.7%
Federal Signal Corp. 105,000 1,954
Harsco Corp. 45,000 2,115
Smith (A.O.) Corp. 73,000 2,321
Trinity Industries, Inc. 35,000 1,113
--------
7,503
--------
METAL FABRICATE/HARDWARE-1.2%
Worthington Industries, Inc. 77,000 1,581
--------
OIL & GAS-6.4%
Cal Dive International, Inc. (a) 54,000 1,637
Energy Partners Ltd. (a) 190,000 2,907
Forest Oil Corp. (a) 85,000 2,322
Key Energy Services, Inc. (a) 165,000 1,558
--------
8,424
--------
PHARMACEUTICALS-2.8%
Perrigo, Co. 94,100 1,785
Priority Healthcare Corp., Class B (a) 85,000 1,951
--------
3,736
--------
The Notes to Financial Statements are an integral part of these statements.
29
Small Cap Value/Perkins, Wolf, McDonnell Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
REIT-9.9%
Alexandria Real Estate Equities, Inc. 52,000 $ 2,953
Brandywine Realty Trust 75,000 2,039
Eastgroup Properties 60,000 2,020
Equity One, Inc. 100,000 1,808
Home Properties, Inc. 40,000 1,559
Manufactured Home Communities, Inc. 77,000 2,556
----------
12,935
----------
RETAIL-1.8%
Casey's General Stores, Inc. 85,000 1,556
Too, Inc. (a) 45,000 752
----------
2,308
----------
SEMICONDUCTORS-1.4%
Actel Corp. (a) 25,900 479
Ultratech, Inc. (a) 80,000 1,302
----------
1,781
----------
SOFTWARE-4.8%
Informatica Corp. (a) 160,000 1,221
Inter-Tel, Inc. 85,000 2,122
NetIQ Corp. (a) 100,000 1,320
Pinnacle Systems, Inc. (a) 230,000 1,645
----------
6,308
----------
TELECOMMUNICATIONS-2.9%
Newport Corp. (a) 100,000 1,617
Stratex Networks, Inc. (a) 210,000 620
Wireless Facilities, Inc. (a) 165,000 1,622
----------
3,859
----------
TRANSPORTATION-4.1%
Kansas City Southern (a) 105,000 1,628
Laidlaw International, Inc. (a) 190,000 2,462
USF Corp. 35,500 1,247
----------
5,337
----------
TRUCKING & LEASING-1.0%
GATX Corp. 48,400 1,316
----------
TOTAL COMMON STOCKS
(Cost $104,143) 117,717
----------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATION-9.8%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund (b)
(Cost $12,819) 12,819,288 $ 12,819
----------
TOTAL INVESTMENTS IN SECURITIES-99.6%
(Total Cost $116,962) (c) 130,536
Cash and Other Assets Less Liabilities - 0.4% 585
----------
NET ASSETS-100.0% $ 131,121
==========
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $117,030,925, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $15,502,231
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (1,996,073)
-----------
Unrealized appreciation - net $13,506,158
===========
(d) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 2,470,560
Undistributed capital gains $ 535,873
The Notes to Financial Statements are an integral part of these statements.
30
International Blend/Bank of Ireland Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS-97.7%
AUSTRALIA-2.1%
James Hardie Industries NV 6,985 $ 29
National Australia Bank Ltd. 4,153 86
News Corp. Ltd. 11,342 100
Westpac Banking Corp. 6,321 77
-----
292
-----
CANADA-0.4%
Royal Bank of Canada 1,285 57
-----
FINLAND-1.0%
Nokia OYJ 9,752 141
-----
FRANCE-9.8%
Aventis SA 3,751 284
AXA 7,062 156
BNP Paribas SA 3,101 191
France Telecom (a) 4,517 118
LaFarge SA 1,513 135
Total Fina Elf SA 2,515 480
-----
1,364
-----
GERMANY-6.0%
Bayer AG 3,891 112
Bayerische Motoren Werke AG 5,254 233
Deutsche Bank AG 1,850 146
E. ON AG 4,752 343
-----
834
-----
HONG KONG-3.5%
Cheung Kong Holdings Ltd. 11,000 81
Espirit Holdings Ltd. 11,500 51
Hang Seng Bank Ltd. 7,080 91
Johnson Electric Holdings Ltd. 36,500 37
Li & Fung Ltd. 34,000 50
Sun Hung Kai Properties Ltd. 12,000 98
Swire Pacific Ltd. 12,000 78
-----
486
-----
IRELAND-1.0%
CRH PLC 6,440 136
-----
ITALY-3.6%
ENI-Ente Nazionale Idrocarburi SpA 14,816 295
Telecom Italia SpA 66,506 207
-----
502
-----
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
JAPAN-17.3%
Acom Co. Ltd. 260 $ 17
Canon, Inc. 8,100 426
Fanuc Ltd. 1,600 95
Honda Motor Co. Ltd. 5,400 260
Hoya Corp. 1,700 178
Japan Tobacco, Inc. 14 109
Millea Holdings, Inc. 7 104
Mitsubishi Tokyo Financial Group (a) 13 120
Mitsui Sumitomo Insurance Co. Ltd. 9,000 84
Nippon Telegraph & Telephone Corp. 58 309
NTT DoCoMo, Inc. 49 87
Ricoh Co. Ltd. 4,000 85
Rohm Co. Ltd. 800 96
Shin-Etsu Chemical Co. Ltd. 3,400 121
Shionogi Co. 5,000 86
Sumitomo Mitsui Financial Group, Inc. 18 123
Takeda Chemical Industries Ltd. 2,400 105
-----
2,405
-----
NETHERLANDS-8.5%
ABN-Amro Holdings NV 12,552 275
Heineken NV 1,602 53
ING Groep NV 14,692 347
Koninklijke Ahold NV (a) 2,153 17
Koninklijke (Royal) Philips Electronics NV 8,596 232
Reed Elsevier NV 8,643 121
TPG NV 3,332 76
VNU NV 1,899 55
-----
1,176
-----
SINGAPORE-0.6%
United Overseas Bank Ltd. 11,000 86
-----
SOUTH KOREA-4.3%
Hyundai Motor Co. 1,490 57
Korea Electric Power Corp. 4,140 67
KT Corp. 1,710 57
POSCO 787 101
Samsung Electronics Co., Ltd. GDR 751 310
-----
592
-----
SPAIN-3.0%
Banco Santander Central Hispano SA 21,152 220
Telefonica SA 13,308 197
-----
417
-----
The Notes to Financial Statements are an integral part of these statements.
31
International Blend/Bank of Ireland Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS continued
SWITZERLAND-12.2%
Nestle SA 1,865 $ 498
Novartis AG 6,796 300
Roche Holdings AG 2,664 264
Swiss Reinsurance 3,319 216
UBS AG 5,791 408
-------
1,686
-------
TAIWAN-0.6%
Taiwan Semiconductor Manufacturing Co., Ltd. (a) 9,251 77
-------
UNITED KINGDOM-23.8%
Barclays PLC 29,363 250
British American Tobacco PLC 9,006 140
BT Group PLC 17,862 64
Cadbury Schweppes PLC 14,523 125
Centrica PLC 20,948 85
Compass Group PLC 18,518 113
Diageo PLC 12,431 168
Enterprise Inns PLC 3,810 40
GlaxoSmithKline PLC 9,499 192
Gus PLC 2,442 37
HSBC Holdings PLC 21,181 315
Kingfisher PLC 17,722 92
Marks & Spencer Group PLC 5,621 37
Prudential PLC 12,409 107
Reed Elsevier PLC 6,381 62
Royal Bank of Scotland PLC (a) 6,677 192
Smith & Nephew PLC 12,773 137
Smiths Group PLC 3,765 51
Tesco PLC 47,776 231
TI Automotive Ltd. (a) 5,550 -
Tomkins PLC 10,299 51
Travis Perkins PLC 1,258 31
Unilever PLC 21,660 212
Vodafone Group PLC 130,293 285
Whitbread PLC (a) 2,430 36
Wolseley PLC 10,357 161
WPP Group PLC 7,823 79
-------
3,293
-------
TOTAL COMMON STOCKS
(Cost $12,319) 13,544
-------
WARRANTS-0.1%
FRANCE-0.1%
AXA expiring 12/21/04 (Cost $6) 396 9
-------
NUMBER OF VALUE
SHARES (000)
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATION-1.8%
MONEY MARKET FUND
CIGNA Funds Group - Money Market Fund (b)
(Cost $254) 253,888 $ 254
-------
TOTAL INVESTMENT IN SECURITIES-99.6%
(Total Cost $12,579) (c) 13,807
Cash and Other Assets Less Liabilities - 0.4% 55
-------
NET ASSETS-100.0% $13,862
=======
NOTES TO INVESTMENTS IN SECURITIES
(a) Non-income producing security.
(b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
Tax Information
(c) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $12,883,950, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,731,004
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (808,402)
----------
Unrealized appreciation - net $ 922,602
==========
(d) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $ 5,294
Capital loss carryforward:
Expiring 2008 $ 129,744
Expiring 2009 597,403
Expiring 2010 1,509,283
Expiring 2011 685,797
----------
$2,922,227
==========
The Notes to Financial Statements are an integral part of these statements.
32
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
LONG-TERM BONDS-85.5%
BASIC MATERIALS-0.4%
International Paper Co., 5.50%, 2014 $ 40 $ 39
Stora Enso Oyj, 7.38%, 2011 25 28
Weyerhaeuser Co., 6.75%, 2012 20 22
------
89
------
COMMUNICATIONS & MEDIA-9.6%
AT&T Corp., 8.75% (coupon change based on rating) 2031 15 15
British Sky Broadcasting PLC, 8.20%, 2009 65 75
British Telecommunications PLC,
8.88% (coupon change based on rating), 2030 10 12
Comcast Corp., 5.85%, 2010 50 52
Deutsche Telekom International Finance BV,
8.50% (coupon change based on rating), 2010 120 140
8.75% (coupon change based on rating), 2030 20 24
France Telecom SA,
8.20%, (coupon change based on rating), 2006 30 32
8.75%, (coupon change based on rating), 2011 65 75
9.50%, (coupon change based on rating), 2031 50 63
Intelsat, Ltd, 6.50%, 2013 70 62
Kyivstar GSM, 12.75%, 2005
(144A security acquired Jan. 2003 for $42) (b) 40 43
Koninklijke KPN, NV, 8.00%, 2010 85 98
Liberty Media Corp.,
3.50%, 2006 95 95
5.70%, 2013 20 20
News America Holdings, Inc., 7.75%, 2045 60 68
News America, Inc., 6.75%, 2038 15 16
PTC International Finance II SA, 11.25%, 2009 50 54
Qwest Capital Funding Inc., 7.00%, 2009 15 13
Shaw Communications, Inc.,
8.25%, 2010 20 22
7.20%, 2011 30 31
Sprint Capital Corp.,
6.13%, 2008 45 47
8.38%, 2012 15 17
8.75%, 2032 65 76
Tele Communications, Inc.,
9.80%, 2012 115 144
7.88%, 2013 10 11
Telecom Italia Capital SA,
6.38%, 2033 (144A security acquired Oct. 2003
& Mar. 2004 for $66) (b) 65 63
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
COMMUNICATIONS & MEDIA continued
TELUS Corp.,
7.50%, 2007 $ 120 $ 131
8.00%, 2011 70 80
Time Warner, Inc.,
8.18%, 2007 250 279
9.13%, 2013 80 98
TPSA Finance BV, 7.75%, 2008
(144A security acquired Aug. & Oct. 2003 for $28) (b) 25 28
Univision Communications, Inc., 7.85%, 2011 25 29
Verizon Florida, Inc., 6.13%, 2013 25 26
------
2,039
------
CONSUMER & RETAIL-3.2%
Campbell Soup Co., 5.88%, 2008 20 21
Heinz (H.J.) Co., 6.38%, 2028 10 10
Heinz (H.J.) Finance Co.,
6.75% (coupon change based on rating), 2032 15 16
Kellogg Co., 6.60%, 2011 100 110
Kraft Foods, Inc.,
5.25%, 2007 35 36
5.63%, 2011 100 102
5.25%, 2013 10 10
Kroger Co., 7.50%, 2031 10 11
Miller Brewing Co., 5.50%, 2013
(144A security acquired Aug. 2003 for $35) (b) 35 35
Safeway, Inc., 7.25%, 2031 10 11
Tyson Foods, Inc., 8.25%, 2011 20 23
VFB LLC, 10.25%, 2009 (a) 1,135 238
Yum! Brands, Inc., 8.88%, 2011 40 48
------
671
------
DIVERSIFIED-0.6%
General Electric Co., 5.00%, 2013 85 84
ITT Industries, Inc., 7.40%, 2025 30 33
------
117
------
FINANCIAL-9.5%
BankBoston Corp., 8.25%, 2026 20 22
Boeing Capital Corp., 6.10%, 2011 25 27
CIT Group, Inc., 5.75%, 2007 50 53
Citigroup, Inc.,
3.50%, 2008 75 74
7.25%, 2010 100 113
Countrywide Home Loans., 5.50%, 2007 25 26
The Notes to Financial Statements are an integral part of these statements.
33
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
LONG-TERM BONDS continued
FINANCIAL continued
Credit Suisse First Boston Mortgage Securities Corp.,
4.63%, 2008 $ 45 $ 46
Interest Only 7.50%, 2032 (c) 340 9
Interest Only 8.00%, 2032 (c) 452 12
Dresdner Bank AG/New York, 7.25%, 2015 40 44
Dresdner Funding Trust I, 8.15%, 2031
(144A security acquired Feb. 2004 for $24) (b) 20 22
Ford Motor Credit Co.,
6.88%, 2006 5 5
7.88%, 2010 65 71
7.38%, 2011 35 37
General Electric Capital Corp., 4.25%, 2010 10 10
General Motors Acceptance Corp.,
6.88%, 2011 80 82
7.25%, 2011 50 52
7.00%, 2012 25 26
Glencore Funding LLC, 6.00%, 2014
(144A security acquired May 2004 for $18) (b) 20 19
Golden West Financial Corp., 4.13%, 2007 85 86
Goldman Sachs Group, Inc., 6.88%, 2011 75 82
Household Finance Corp., 6.38%, 2012 90 95
HVB Funding Trust III, 9.00%, 2031
(144A security acquired June 2003 for $48) (b) 45 53
International Lease Finance Corp., 6.38%, 2009 35 38
Korea Development Bank, 4.25%, 2007 20 20
Lehman Brothers Holdings, Inc., 6.63%, 2012 40 43
Manufacturers & Traders Trust, 8.00%, 2010 25 29
Midland Funding II, 13.25%, 2006 30 35
Mizuho Financial Group Cayman Ltd., 5.79%, 2014
(144A security acquired Feb. 2004 for $40) (b) 40 39
Morgan (J.P.) Co., 6.00%, 2009 35 37
Morgan Stanley Group, Inc., 6.75%, 2011 50 55
National Rural Utilities Cooperative Finance Corp.,
5.75%, 2009 55 58
NB Capital Trust IV, 8.25%, 2027 30 33
Old Kent Bank, Step Coupon (7.75% to 8/15/05), 2010 65 68
Residential Asset Mortgage Products, Inc.,
Interest Only, 5.75%, 2005 (c) 849 26
Santander Financial Issuances, 6.80%, 2005 40 42
Sanwa Finance Aruba AEC, 8.35%, 2009 45 51
Sovereign Bancorp., Inc., 10.50%, 2006 245 281
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
FINANCIAL continued
Union Planters Corp., 6.75%, 2005 $ 90 $ 95
U.S. West Capital Funding, Inc., 6.50%, 2018 10 7
-----
2,023
-----
FOREIGN GOVERNMENTS-1.5%
Argentina (Republic of), 11.38%, 2010 85 25
Brazil (Federal Republic of), 9.25%, 2010 15 14
Export-Import Bank of Korea, 4.13%, 2009
(144A security acquired Feb. 2004 for $35) (b) 35 34
Quebec (Province of Canada),
5.00%, 2009 20 21
7.50%, 2023 55 66
Russian Federation,
Step Coupon (5.00% to 3/31/07), 2030
(144A security acquired Sept. 2002, July, Sept.
& Oct. 2003 & Feb. 2004 for $90) (b) 105 96
United Mexican States, 8.30%, 2031 70 73
-----
329
-----
HEALTH CARE-0.2%
HCA, Inc.,
5.25%, 2008 45 45
7.50%, 2033 5 5
-----
50
-----
INDUSTRIAL-1.9%
Arrow Electronics, Inc., 6.88%, 2013 40 42
BAE Systems Holdings, 6.40%, 2011 (144A security
acquired Apr. 2003 & Feb. 2004 for $63) (b) 60 64
Bombardier, Inc., 6.30%, 2014 (144A security acquired
May & June 2004 for $23) (b) 25 21
Lockheed Martin Corp., 8.20%, 2009 145 170
Systems 2001 Asset Trust LLC, 7.16%, 2011 (144A security
acquired June 2001 & Mar. 2002 for $111) (b) 109 116
-----
413
-----
INSURANCE-1.2%
American Re Corp., 7.45%, 2026 65 69
AXA SA, 8.60%, 2030 25 31
Monumental Global Funding II, 3.85%, 2008
(144A security acquired Feb. 2003 for $45) (b) 45 45
Travelers Property Casualty Corp., 5.00%, 2013 25 24
Zurich Capital Trust I, 8.38%, 2037
(144A security acquired Jan., June, July, Aug.
& Oct. 2003 for $78) (b) 75 83
-----
252
-----
The Notes to Financial Statements are an integral part of these statements.
34
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
LONG-TERM BONDS continued
OIL & GAS-1.9%
Amerada Hess Corp., 7.30%, 2031 $ 30 $ 31
Conoco Funding Co., 6.35%, 2011 105 114
Devon Financing Corp. ULC, 6.88%, 2011 30 33
Duke Capital Corp., 4.30%, 2006 50 51
Duke Energy Field Services LLC, 5.75%, 2006 20 21
Occidental Petroleum Corp.,
7.65%, 2006 110 118
6.75%, 2012 20 22
Petroleos Mexicanos, 9.50%, 2027 10 11
------
401
------
PHARMACEUTICALS-0.6%
Lilly (Eli) & Co., 6.77%, 2036 65 71
Wyeth,
5.50% (coupon change based on rating), 2013 25 24
5.50%, 2014 35 33
------
128
------
TRANSPORTATION-2.1%
American Airlines, 7.86%, 2011 40 40
Burlington Northern Santa Fe, 6.75%, 2029 10 10
Federal Express Corp., 7.60%, 2097 20 22
Ford Motor Co., 6.38%, 2029 60 51
Norfolk Southern Corp.,
7.70%, 2017 70 81
7.90%, 2097 20 23
Union Pacific Corp.,
7.60%, 2005 145 151
5.75%, 2007 45 47
------
425
------
U.S. GOVERNMENT & AGENCIES (d)-49.7%
Fannie Mae,
2.50%, 2008 530 503
4.38%, 2013 305 291
4.00%, 2018 180 172
6.50%, 2032 173 180
7.00%, 2032 176 185
5.50%, 2033 1,069 1,067
5.00%, 2034 501 485
5.50%, 2034 229 228
Interest Only 5.85%, 2042 (c) 2,305 42
Financing Corp., Principal Strips from
8.60%, 2019 240 99
9.70%, 2019 150 64
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES continued
Freddie Mac,
6.50%, 2011 $ 126 $ 134
5.50%, 2017 323 331
6.00%, 2017 172 179
4.50%, 2018 631 618
5.00%, 2018 603 605
7.50%, 2032 263 283
5.00%, 2033 505 489
6.00%, 2033 141 144
6.50%, 2034 308 321
Interest Only 7.60%, 2043 (c) 2,330 52
Ginnie Mae,
6.50%, 2031 183 192
6.50%, 2032 108 113
5.50%, 2033 165 165
6.00%, 2033 743 763
U.S. Treasury Bonds,
8.75%, 2017 320 434
6.00%, 2026 305 329
U.S. Treasury Notes,
4.63%. 2006 1,470 1,522
3.38%, 2008 5 5
5.00%. 2011 85 89
4.25%. 2013 460 449
4.75%. 2014 25 25
------
10,558
------
UTILITIES-3.1%
American Electric Power, Inc., 5.38%, 2010 20 21
CenterPoint Energy,
5.70%, 2013 30 31
7.88%, 2013 45 50
Detroit Edison Co.,
6.13%, 2010 20 21
6.35%, 2032 15 15
Dominion Resources Inc., 6.25%, 2012 15 16
DPL, Inc., 8.25%, 2007 35 37
First Energy Corp.,
5.50%, 2006 140 145
7.38%, 2031 35 36
Korea Electric Power Corp., 5.13%, 2034
(144A security acquired Apr. 2004 for $20) (b) 20 19
Nisource Finance Corp., 7.88%, 2010 50 57
Ohio Power Co., 5.50%, 2013 15 15
The Notes to Financial Statements are an integral part of these statements.
35
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
PRINCIPAL VALUE
(000) (000)
- ---------------------------------------------------------------------------------------
LONG-TERM BONDS continued
UTILITIES continued
Oncor Electric Delivery Co.,
6.38%, 2012 $ 5 $ 5
7.25%, 2033 15 17
Pacific Gas & Electric Co.,
3.60%, 2009 15 14
4.20%, 2011 15 14
6.05%, 2034 20 19
Progress Energy, Inc.,
6.85%, 2012 5 5
7.00%, 2031 35 36
Salomon Bros. for OAO Gazprom, 10.50%, 2009 45 51
Tenaska Alabama II Partners LP, 6.13%, 2023
(144A security acquired Oct. 2003 for $34) (b) 34 34
------
658
------
TOTAL LONG-TERM BONDS
(Cost $17,903) 18,153
------
NUMBER OF
SHARES
---------
PREFERRED STOCK-2.1%
COMMUNICATIONS & MEDIA-0.3%
Centaur Funding Corp., 9.08%
(144A security acquired Nov. 2001 for $56) (b) 50 62
------
FINANCIAL-1.6%
BCI US Funding Trust,
Step Coupon (8.01% to 7/15/08)
(144A security acquired Apr. 2003 for $83) (b) 75 84
DBS Capital Funding Corp.,
Step Coupon (7.66% to 3/21/2011)
(144A security acquired Oct. 2003 for $45) (b) 40 45
IBJ Preferred Capital Co. LLC,
Step Coupon (8.79% to 6/30/08)
(144A security acquired Dec. 2003 for $103) (b) 95 104
Natexis AMBS Co. LLC.,
Step Coupon (8.44% to 6/30/08)
(144A security acquired May 2002 for $38) (b) 35 40
RBS Capital Trust I,
Step Coupon (4.71% to 7/01/13) 70 65
------
338
------
INDUSTRIAL-0.2%
RC Trust I, 7.00%, 2006 800 42
------
TOTAL PREFERRED STOCK
(Cost $437) 442
------
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS-7.7%
MONEY MARKET FUND-7.5%
CIGNA Funds Group - Money Market Fund (e) 1,588,976 $ 1,589
--------
PRINCIPAL
(000)
---------
U.S. GOVERNMENT-0.2%
U.S. Treasury Bills,
0.98%, 9/30/04 (f) $ 50 50
--------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $1,639) 1,639
--------
TOTAL INVESTMENTS IN SECURITIES-95.3%
(Total Cost $19,979) (h) 20,234
Cash and Other Assets Less Liabilities - 4.7% 1,008
--------
NET ASSETS-100.0% $ 21,242
========
NOTES TO INVESTMENTS IN SECURITIES
(a) This is a fair valued security which is in default due to bankruptcy. The
principal amount represents beneficial ownership interest for future cash
receipts under the bankruptcy filings.
(b) Indicates restricted security; the aggregate value of restricted
securities is $1,148,980 (aggregate cost $1,123,775), which is approximately
5.4% of net assets. Valuations have been furnished by brokers trading in the
securities or a pricing service for all restricted securities.
(c) Illiquid security.
(d) Agency obligations are not guaranteed by the U.S. Government.
(e) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is
also the Adviser to the CIGNA Funds Group - Money Market Fund.
(f) Pledged as collateral for financial futures contracts. At June 30, 2004,
the Fund was long 13, 2-year U.S. Treasury Notes and 4, 30-year U.S., Treasury
Bonds and was short 6, 5-year U.S. Treasury Notes, futures contracts, all
expiring in September 2004. Net unrealized gain amounted to $8,273. Underlying
face values of the long and short positions were $3,150,610 and ($648,399),
respectively, and underlying market values were $3,162,609 and ($652,125),
respectively.
(g) A summary of outstanding forward currency contracts, as of June 30, 2004,
is as follows:
Net
Unrealized
Settlement Forward Foreign Contract Appreciation
Date Contract Currency Value (Depreciation)
- ---------------------------------------------------------------------
Buys
7/26/04 Euro 520,000 $630,089 $ 2,988
12/10/04 Euro 170,000 205,766 1,018
Sells
7/26/04 Euro 520,000 $615,628 $ (17,450)
The Notes to Financial Statements are an integral part of these statements.
36
TimesSquare Core Plus Bond Fund
INVESTMENTS IN SECURITIES continued
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Tax Information
(h) At June 30, 2004, the net unrealized appreciation of investments, based on
cost for federal income tax purposes of $20,137,127, was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $348,917
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (252,386)
--------
Unrealized appreciation - net $ 96,531
========
(i) As of December 31, 2003, the components of distributable earnings
(excluding unrealized appreciation/(depreciation) disclosed above) on a tax
basis consisted of the following:
Undistributed ordinary income $166,507
Capital loss carryforward:
Expiring 2010 $384,929
The Notes to Financial Statements are an integral part of these statements.
37
CIGNA Funds Group
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2004 (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 $ 18,159 $16,187 $ 27,363
Cash - 1 -
Foreign currency (Cost $60) - - -
Interest and dividends receivable, net of
withholding taxes 76 14 29
Receivable for investments sold 39 122 150
Receivable for fund shares sold - - 5
Futures variation margin receivable - - -
Prepaid registration fees 7 6 7
Investment for Trustees' deferred
compensation plan 1 1 1
Other assets - - -
-------- ------- --------
Total assets 18,282 16,331 27,555
-------- ------- --------
Liabilities:
Payable for investments purchased - 408 380
Payable for fund shares purchased - 2 -
Payable for forward currency contracts - - -
Advisory fees payable 15 5 16
Shareholder servicing and distribution fees
payable to Distributor 9 9 16
Audit and legal fees payable 7 7 7
Custodian fees payable 6 5 6
Insurance expenses payable 5 5 5
Administrative services fees payable 5 4 5
Shareholder reports payable 3 2 4
Deferred Trustees' fees payable 1 1 1
-------- ------- --------
Total liabilities 51 448 440
-------- ------- --------
Net Assets $ 18,231 $15,883 $ 27,115
======== ======= ========
Components of Net Assets:
Paid-in capital $ 18,096 $19,335 $ 26,262
Undistributed (overdistributed) net investment
income 179 (5) 246
Accumulated net realized gain (loss)
on investments (1,659) (4,391) (2,042)
Net unrealized appreciation of investments,
futures, and forward contracts 1,615 944 2,649
-------- ------- --------
Net Assets $ 18,231 $15,883 $ 27,115
======== ======= ========
Net Assets
Institutional Class $ 4,983 $ 3,400 $ 5,334
Premier Class 6,798 4,893 9,428
Retail Class 6,450 7,590 12,353
-------- ------- --------
$ 18,231 $15,883 $ 27,115
======== ======= ========
Shares Outstanding
Institutional Class 502 495 545
Premier Class 686 717 966
Retail Class 654 1,124 1,272
Net Asset Value and Redemption Price per Share
Institutional Class $ 9.93 $ 6.88 $ 9.79
Premier Class $ 9.91 $ 6.82 $ 9.76
Retail Class $ 9.86 $ 6.75 $ 9.71
Cost of Investments $ 16,544 $15,243 $ 24,714
======== ======= ========
Small International TimesSquare
S&P Small Cap Value/ Blend/ Core
500[RegTM] Cap Growth/ Perkins, Wolf Bank of Plus
Index TimesSquare McDonnell Ireland Bond
Fund Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in securities at value $ 65,030 $462,954 $ 130,536 $13,807 $20,234
Cash - - - - 6
Foreign currency (Cost $60) - - - 61 -
Interest and dividends receivable, net of
withholding taxes 59 27 86 441 199
Receivable for investments sold - 9,992 701 14 1,074
Receivable for fund shares sold 364 319 517 1 2
Futures variation margin receivable 48 - - - 7
Prepaid registration fees 7 24 6 6 7
Investment for Trustees' deferred
compensation plan 8 3 1 (A) 3
Other assets - 3 - - 6
---------- -------- --------- ------- -------
Total assets 65,516 473,322 131,847 13,933 21,538
---------- -------- --------- ------- -------
Liabilities:
Payable for investments purchased - 1,206 351 16 190
Payable for fund shares purchased 7 100 188 - -
Payable for forward currency contracts - - - - 13
Advisory fees payable 8 329 79 16 37
Shareholder servicing and distribution fees
payable to Distributor 51 65 59 8 9
Audit and legal fees payable 9 17 19 7 9
Custodian fees payable 22 12 7 13 -
Insurance expenses payable 10 13 8 5 8
Administrative services fees payable 4 32 11 4 7
Shareholder reports payable 29 13 3 2 20
Deferred Trustees' fees payable 8 3 1 (A) 3
---------- -------- --------- ------- -------
Total liabilities 148 1,790 726 71 296
---------- -------- --------- ------- -------
Net Assets $ 65,368 $471,532 $ 131,121 $13,862 $21,242
========== ======== ========= ======= =======
Components of Net Assets:
Paid-in capital $ 72,719 $400,938 $ 106,201 $15,949 $20,704
Undistributed (overdistributed) net investment
income 113 (1,937) 377 135 (370)
Accumulated net realized gain (loss)
on investments 2,888 25,590 10,969 (3,452) 658
Net unrealized appreciation of investments,
futures, and forward contracts (10,352) 46,941 13,574 1,230 250
---------- -------- --------- ------- -------
Net Assets $ 65,368 $471,532 $ 131,121 $13,862 $21,242
========== ======== ========= ======= =======
Net Assets
Institutional Class $ 1,248 $357,732 $ 44,926 $ 3,972 $12,327
Premier Class 10,482 101,621 50,691 5,834 3,697
Retail Class 53,638 12,179 35,504 4,056 5,218
---------- -------- --------- ------- -------
$ 65,368 $471,532 $ 131,121 $13,862 $21,242
========== ======== ========= ======= =======
Shares Outstanding
Institutional Class 178 31,250 3,040 510 1,214
Premier Class 1,490 8,922 3,449 749 367
Retail Class 7,692 1,078 2,434 526 519
Net Asset Value and Redemption Price per Share
Institutional Class $ 7.01 $ 11.45 $ 14.78 $ 7.80 $ 10.16
Premier Class $ 7.03 $ 11.39 $ 14.70 $ 7.78 $ 10.09
Retail Class $ 6.97 $ 11.30 $ 14.58 $ 7.71 $ 10.05
Cost of Investments $ 75,552 $416,013 $ 116,962 $12,579 $19,979
========== ======== ========= ======= =======
(1) Including foreign tax reclaim receivable of $23 and cost of $22.
(A) Amount less than $1.
The Notes to Financial Statements are an integral part of these statements.
38
CIGNA Funds Group
STATEMENTS OF OPERATIONS
For the six months ended June 30, 2004 (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) $ 128 $ 74 $ 266
Interest 136 - -
------ ------ -------
264 74 266
Expenses:
Investment advisory fees 65 60 97
Custodian fees and expenses 35 35 33
Administrative services fees 11 11 12
Registration fees 18 19 18
Audit and legal fees 6 6 6
Distribution fees
Premier Class - - -
Retail Class 7 7 12
Shareholder servicing fees
Premier Class 7 5 10
Retail Class 6 7 11
Insurance expense (A) (A) 1
Shareholder reports 1 1 1
Other 1 1 1
------ ------ -------
Total expenses 157 152 202
Less expenses waived and reimbursed
by Adviser or Distributor (67) (73) (66)
------ ------ -------
Net expenses 90 79 136
------ ------ -------
Net Investment Income (Loss) 174 (5) 130
------ ------ -------
Realized and Unrealized Gain (Loss)
on Investments:
Net realized gain (loss) from:
Currency contracts - - -
Futures contracts - - -
Swap contracts - - -
Securities transactions 271 1,103 1,791
------ ------ -------
271 1,103 1,791
------ ------ -------
Net change in unrealized appreciation
(depreciation):
Currency contracts - - -
Futures contracts - - -
Investments (158) (742) (986)
------ ------ -------
(158) (742) (986)
------ ------ -------
Net Realized and Unrealized Gain (Loss)
on Investments 113 361 805
------ ------ -------
Net Increase in Net Assets Resulting
from Operations $ 287 $ 356 $ 935
====== ====== =======
Small International TimesSquare
S&P Small Cap Value/ Blend/ Core
500[RegTM] 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) $ 1,094 $ 509 $ 1,094 $ 219 $ 9
Interest 10 - - - 815
--------- -------- --------- ------ --------
1,104 509 1,094 219 824
Expenses:
Investment advisory fees 153 2,169 576 65 101
Custodian fees and expenses 89 67 49 63 33
Administrative services fees 19 74 26 11 16
Registration fees 19 37 22 18 18
Audit and legal fees 10 27 20 6 6
Distribution fees
Premier Class - - - - 3
Retail Class 52 14 40 4 5
Shareholder servicing fees
Premier Class 10 90 41 7 5
Retail Class 50 11 32 5 5
Insurance expense (A) 4 1 (A) (A)
Shareholder reports 15 12 2 (A) 9
Other 5 12 4 1 -
--------- -------- --------- ------ --------
Total expenses 422 2,517 813 180 201
Less expenses waived and reimbursed
by Adviser or Distributor (145) (72) (69) (98) (105)
--------- -------- --------- ------ --------
Net expenses 277 2,445 744 82 96
--------- -------- --------- ------ --------
Net Investment Income (Loss) 827 (1,936) 350 137 728
--------- -------- --------- ------ --------
Realized and Unrealized Gain (Loss)
on Investments:
Net realized gain (loss) from:
Currency contracts - - - (3) 63
Futures contracts 876 - - - (102)
Swap contracts - - - - 7
Securities transactions 13,878 21,773 8,111 (99) 1,265
--------- -------- --------- ------ --------
14,754 21,773 8,111 (102) 1,233
--------- -------- --------- ------ --------
Net change in unrealized appreciation
(depreciation):
Currency contracts - - - (3) (58)
Futures contracts (479) - - - 5
Investments (11,692) (5,946) (3,280) 197 (1,193)
--------- -------- --------- ------ --------
(12,171) (5,946) (3,280) 194 (1,246)
--------- -------- --------- ------ --------
Net Realized and Unrealized Gain (Loss)
on Investments 2,583 15,827 4,831 92 (13)
--------- -------- --------- ------ --------
Net Increase in Net Assets Resulting
from Operations $ 3,410 $ 13,891 $ 5,181 $ 229 $ 715
========= ======== ========= ====== ========
(A) Amount less than $1.
The Notes to Financial Statements are an integral part of these statements.
39
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, 2004 December 31, June 30, 2004 December 31,
(Unaudited) 2003 (Unaudited) 2003
- ------------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 174 $ 301 $ (5) $ 8
Net realized gain (loss) on Investments 271 (72) 1,103 456
Net unrealized appreciation (depreciation)
on Investments (158) 2,325 (742) 2,144
------- ------- ------- -------
Net increase from operations 287 2,554 356 2,608
------- ------- ------- -------
Dividends and Distributions:
From net investment income
Institutional Class - (125) - (5)
Premier Class - (133) - (3)
Retail Class - (132) - -
From net realized capital gains
Institutional Class - - - -
Premier Class - - - -
Retail Class - - - -
------- ------- ------- -------
Total dividends and distributions - (390) - (8)
------- ------- ------- --------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 4 11 162 91
Net asset value of shares issued to shareholders in
reinvestment of dividends and distributions - 125 - 5
------- ------- ------- -------
4 136 162 96
Cost of shares redeemed - - - (90)
------- ------- ------- -------
Total from Institutional Class 4 136 162 6
------- ------- ------- -------
Premier Class
Net proceeds from sales of shares 1,283 492 517 988
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 133 - 3
------- ------- ------- -------
1,283 625 517 991
Cost of shares redeemed (154) (216) (447) (252)
------- ------- ------- -------
Total from Premier Class 1,129 409 70 739
------- ------- ------- -------
Retail Class
Net proceeds from sales of shares 1,010 1,511 1,801 2,869
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 132 - -
------- ------- ------- -------
1,010 1,643 1,801 2,869
Cost of shares redeemed (764) (852) (721) (1,978)
------- ------- ------- -------
Total from Retail Class 246 791 1,080 891
------- ------- ------- -------
Net increase (decrease) from Fund share
transactions 1,379 1,336 1,312 1,636
------- ------- ------- -------
Total Net Increase (Decrease) in Net Assets 1,666 3,500 1,668 4,236
Net Assets:
Beginning of period 16,565 13,065 14,215 9,979
------- ------- ------- -------
End of period* $18,231 $16,565 $15,883 $14,215
======= ======= ======= =======
* Includes undistributed (overdistributed) net
investment income of: $ 179 $ 5 $ (5) $ -
======= ======= ======= =======
Large Cap Value/
John A. Levin & Co. Fund S&P 500[RegTM] Index Fund
------------------------------ -----------------------------
For the Six For the Year For the Six For the Year
Months Ended Ended Months Ended Ended
June 30, 2004 December 31, June 30, 2004 December 31,
(Unaudited) 2003 (Unaudited) 2003
- -----------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 130 $ 192 $ 827 $ 2,202
Net realized gain (loss) on Investments 1,791 (2,352) 14,754 4,588
Net unrealized appreciation (depreciation)
on Investments (986) 7,443 (12,171) 35,555
------- ------- ----------- ---------
Net increase from operations 935 5,283 3,410 42,345
------- ------- ----------- ---------
Dividends and Distributions:
From net investment income
Institutional Class - (56) (494) (1,762)
Premier Class - (97) (35) (106)
Retail Class - (71) (182) (427)
From net realized capital gains
Institutional Class - - - -
Premier Class - - - -
Retail Class - - - -
------- ------- ----------- ---------
Total dividends and distributions - (224) (711) (2,295)
------- ------- ----------- ---------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 163 107 380 463
Net asset value of shares issued to shareholders in
reinvestment of dividends and distributions - 56 493 1,762
------- ------- ----------- ---------
163 163 873 2,225
Cost of shares redeemed (7) (6) (138,663) (15,899)
------- ------- ----------- ---------
Total from Institutional Class 156 157 (137,790) (13,674)
------- ------- ----------- ---------
Premier Class
Net proceeds from sales of shares 770 3,306 1,600 6,433
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 97 35 106
------- ------- ----------- ---------
770 3,403 1,635 6,539
Cost of shares redeemed (1,579) (990) (535) (1,254)
------- ------- ----------- ---------
Total from Premier Class (809) 2,413 1,100 5,285
------- ------- ----------- ---------
Retail Class
Net proceeds from sales of shares 3,175 5,499 11,428 20,140
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 71 182 427
------- ------- ----------- ---------
3,175 5,570 11,610 20,567
Cost of shares redeemed (1,165) (4,372) (4,612) (6,877)
------- ------- ----------- ---------
Total from Retail Class 2,010 1,198 6,998 13,690
------- ------- ----------- ---------
Net increase (decrease) from Fund share
transactions 1,357 3,768 (129,692) 5,301
------- ------- ----------- ---------
Total Net Increase (Decrease) in Net Assets 2,292 8,827 (126,993) 45,351
Net Assets:
Beginning of period 24,823 15,996 192,361 147,010
------- ------- ----------- ---------
End of period* $27,115 $24,823 $ 65,368 $ 192,361
======= ======= =========== =========
* Includes undistributed (overdistributed) net
investment income of: $ 246 $ 116 $ 113 $ (3)
======= ======= =========== =========
The Notes to Financial Statements are an integral part of these statements.
40
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, 2004 December 31, June 30, 2004 December 31,
(Unaudited) 2003 (Unaudited) 2003
- ---------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ (1,936) $ (1,896) $ 350 $ 341
Net realized gain (loss) on Investments 21,773 15,795 8,111 5,063
Net unrealized appreciation (depreciation)
on Investments (5,946) 54,524 (3,280) 18,395
--------- --------- --------- ---------
Net increase from operations 13,891 68,423 5,181 23,799
--------- --------- --------- ---------
Dividends and Distributions:
From net investment income
Institutional Class - (3,632) - (859)
Premier Class - (697) - (576)
Retail Class - (81) - (454)
From net realized capital gains
Institutional Class - (912) - -
Premier Class - (190) - -
Retail Class - (30) - -
--------- --------- --------- ---------
Total dividends and distributions - (5,542) - (1,889)
--------- --------- --------- ---------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 36,498 233,127 10,074 35,699
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 4,544 - 859
--------- --------- --------- ---------
36,498 237,671 10,074 36,558
Cost of shares redeemed (14,926) (16,286) (15,444) (9,667)
--------- --------- --------- ---------
Total from Institutional Class 21,572 221,385 (5,370) 26,891
--------- --------- --------- ---------
Premier Class
Net proceeds from sales of shares 54,379 67,121 18,935 26,853
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 887 - 576
--------- --------- --------- ---------
54,379 68,008 18,935 27,429
Cost of shares redeemed (22,246) (14,825) (3,265) (11,063)
--------- --------- --------- ---------
Total from Premier Class 32,133 53,183 15,670 16,366
--------- --------- --------- ---------
Retail Class
Net proceeds from sales of shares 2,493 4,300 7,462 15,879
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 111 - 454
--------- --------- --------- ---------
2,493 4,411 7,462 16,333
Cost of shares redeemed (1,340) (2,828) (2,601) (6,698)
--------- --------- --------- ---------
Total from Retail Class 1,153 1,583 4,861 9,635
--------- --------- --------- ---------
Net increase (decrease) from Fund share
transactions 54,858 276,151 15,161 52,892
--------- --------- --------- ---------
Total Net Increase (Decrease) in Net Assets 68,749 339,032 20,342 74,802
Net Assets:
Beginning of period 402,783 63,751 110,779 35,977
--------- --------- --------- ---------
End of period* $ 471,532 $ 402,783 $ 131,121 $ 110,779
========= ========= ========= =========
* Includes undistributed (overdistributed) net
investment income of: $ (1,937) $ (1) $ 377 $ 27
========= ========= ========= =========
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, 2004 December 31, June 30, 2004 December 31,
(Unaudited) 2003 (Unaudited) 2003
- --------------------------------------------------------------------------------------------------------------
Operations:
Net investment income (loss) $ 137 $ 130 $ 728 $ 2,884
Net realized gain (loss) on Investments (102) (588) 1,233 5,376
Net unrealized appreciation (depreciation)
on Investments 194 3,057 (1,246) (2,127)
------- ------- ---------- -----------
Net increase from operations 229 2,599 715 6,133
------- ------- ---------- -----------
Dividends and Distributions:
From net investment income
Institutional Class - (52) (757) (3,809)
Premier Class - (61) (97) (97)
Retail Class - (28) (119) (164)
From net realized capital gains
Institutional Class - - - -
Premier Class - - - -
Retail Class - - - -
------- ------- ---------- -----------
Total dividends and distributions - (141) (973) (4,070)
------- ------- ---------- -----------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 164 37 2 52,006
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 52 757 3,809
------- ------- ---------- -----------
164 89 759 55,815
Cost of shares redeemed (A) (1) (28,853) (119,063)
------- ------- ---------- -----------
Total from Institutional Class 164 88 (28,094) (63,248)
------- ------- ---------- -----------
Premier Class
Net proceeds from sales of shares 592 481 1,699 1,591
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 61 97 97
------- ------- ---------- -----------
592 542 1,796 1,688
Cost of shares redeemed (181) (390) (518) (386)
------- ------- ---------- -----------
Total from Premier Class 411 152 1,278 1,302
------- ------- ---------- -----------
Retail Class
Net proceeds from sales of shares 1,429 794 3,056 3,651
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - 28 119 164
------- ------- ---------- -----------
1,429 822 3,175 3,815
Cost of shares redeemed (212) (485) (947) (2,651)
------- ------- ---------- -----------
Total from Retail Class 1,217 337 2,228 1,164
------- ------- ---------- -----------
Net increase (decrease) from Fund share
transactions 1,792 577 (24,588) (60,782)
------- ------- ---------- -----------
Total Net Increase (Decrease) in Net Assets 2,021 3,035 (24,846) (58,719)
Net Assets:
Beginning of period 11,841 8,806 46,088 104,807
------- ------- ---------- -----------
End of period* $13,862 $11,841 $ 21,242 $ 46,088
======= ======= ========== ===========
* Includes undistributed (overdistributed) net
investment income of: $ 135 $ (2) $ (370) $ (125)
======= ======= ========== ===========
(A) Amount less than $1.
The Notes to Financial Statements are an integral part of these statements.
41
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, 2004 -------------------------------------------------------
(Unaudited) 2003 2002 2001(e) 2000
- --------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.76 $ 8.40 $ 9.68 $10.07 $10.00
Income from investment operations
Net investment income (loss)(d) 0.11 0.21 0.24(f) 0.24 0.27
Net realized and unrealized gain (loss) on investments 0.06 1.41 (1.28) (0.41) 0.10
------ ------ ------- ------ ------
Total from investment operations 0.17 1.62 (1.04) (0.17) 0.37
------ ------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.26) (0.24) (0.22) (0.30)
------ ------ ------- ------ ------
Total dividends and distributions - (0.26) (0.24) (0.22) (0.30)
------ ------ ------- ------ ------
Net asset value, end of period $ 9.93 $ 9.76 $ 8.40 $ 9.68 $10.07
====== ====== ======= ====== ======
Total Return(a) 1.74%(b) 19.27% (10.77)% (1.67)% 3.66%(b)
Ratios to Average Net Assets
Gross expenses 1.56%(c) 1.83% 1.78% 1.72% 1.76%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.76%(c) 1.03% 0.98% 0.92% 0.96%(c)
Net expenses 0.80%(c) 0.80% 0.80% 0.80% 0.80%(c)
Net investment income (loss)(d) 2.19%(c) 2.34% 2.59% 2.49% 2.78%(c)
Portfolio Turnover 18%(b) 50% 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $4,983 $4,893 $ 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, 2004 -----------------------------------------
(Unaudited) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.70 $ 5.39 $ 7.44 $ 8.72
Income from investment operations
Net investment income (loss)(d) 0.01 0.02 0.01 (A)(f)
Net realized and unrealized gain (loss) on investments 0.17 1.30 (2.06) (1.28)
------ ------ ------- -------
Total from investment operations 0.18 1.32 (2.05) (1.28)
------ ------ ------- -------
Less dividends and distributions:
Dividends from net investment income - (0.01) - -
------ ------ ------- -------
Total dividends and distributions - (0.01) - -
------ ------ ------- -------
Net asset value, end of period $ 6.88 $ 6.70 $ 5.39 $ 7.44
====== ====== ======= =======
Total Return(a) 2.69%(b) 24.49% (27.55)% (14.68)%
Ratios to Average Net Assets
Gross expenses 1.77%(c) 2.07% 2.18% 2.18%
Fees and expenses waived or borne by the
Adviser or Distributor 0.97%(c) 1.27% 1.38% 1.38%
Net expenses 0.80%(c) 0.80% 0.80% 0.80%
Net investment income (loss)(d) 0.19%(c) 0.33% 0.21% 0.06%
Portfolio Turnover 72%(b) 131% 149% 91%
Net Assets, End of Period (000 omitted) $3,400 $3,154 $ 2,528 $ 3,347
Large Cap
Growth/Morgan
Stanley
Fund(1)
-------------------
For the Year/Period
Ended
December 31,
-------------------
2000
- ----------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.01)
Net realized and unrealized gain (loss) on investments (1.27)
-------
Total from investment operations (1.28)
-------
Less dividends and distributions:
Dividends from net investment income -
-------
Total dividends and distributions -
-------
Net asset value, end of period $ 8.72
=======
Total Return(a) (12.80)%(b)
Ratios to Average Net Assets
Gross expenses 1.79%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.99%(c)
Net expenses 0.80%(c)
Net investment income (loss)(d) (0.11)%(c)
Portfolio Turnover 75%(b)
Net Assets, End of Period (000 omitted) $ 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, 2004 ---------------------------------------------------------------
(Unaudited) 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.43 $ 7.41 $ 10.24 $10.85 $10.00
Income from investment operations
Net investment income(d) 0.05 0.10(f) 0.09 0.11(f) 0.13
Net realized and unrealized gain (loss)
on investments 0.31 2.03 (2.84) (0.57) 1.28
------ ------ ------- ------ ------
Total from investment operations 0.36 2.13 (2.75) (0.46) 1.41
------ ------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.11) (0.08) (0.15) (0.56)
Distributions from net realized capital gains - - - - -
------ ------ ------- ------ ------
Total dividends and distributions - (0.11) (0.08) (0.15) (0.56)
------ ------ ------- ------ ------
Net asset value, end of period $ 9.79 $ 9.43 $ 7.41 $10.24 $10.85
====== ====== ======= ====== ======
Total Return(a) 3.82%(b) 28.74% (26.85)% (4.21)% 14.03%(b)
Ratios to Average Net Assets
Gross expenses 1.31%(c) 1.51% 1.48% 1.47% 1.55%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.51%(c) 0.71% 0.68% 0.67% 0.75%(c)
Net expenses 0.80%(c) 0.80% 0.80% 0.80% 0.80%(c)
Net investment income(d) 1.24%(c) 1.25% 1.17% 1.09% 1.05%(c)
Portfolio Turnover 45%(b) 89% 44% 45% 62%(b)
Net Assets, End of Period (000 omitted) $5,334 $4,981 $ 3,778 $4,915 $5,130
S&P 500[RegTM] Index Fund(2)
-------------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2004 --------------------------------------------------------
(Unaudited) 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.80 $ 5.37 $ 7.01 $ 8.11 $ 10.09
Income from investment operations
Net investment income(d) 0.03(f) 0.09 0.08 0.12 0.14
Net realized and unrealized gain (loss)
on investments 0.20 1.43 (1.64) (1.10) (0.98)
------ -------- -------- -------- --------
Total from investment operations 0.23 1.52 (1.56) (0.98) (0.84)
------ -------- -------- -------- --------
Less dividends and distributions:
Dividends from net investment income (0.02) (0.09) (0.08) (0.12) (0.19)
Distributions from net realized capital gains - - - (A) (0.95)
------ -------- -------- -------- --------
Total dividends and distributions (0.02) (0.09) (0.08) (0.12) (1.14)
------ -------- -------- -------- --------
Net asset value, end of period $ 7.01 $ 6.80 $ 5.37 $ 7.01 $ 8.11
====== ======== ======== ======== ========
Total Return(a) 3.45%(b) 28.29% (22.21)% (12.08)% (9.24)%
Ratios to Average Net Assets
Gross expenses 0.38%(c) 0.44% 0.44% 0.44% 0.38%
Fees and expenses waived or borne by the
Adviser or Distributor 0.13%(c) 0.19% 0.19% 0.19% 0.13%
Net expenses 0.25%(c) 0.25% 0.25% 0.25% 0.25%
Net investment income(d) 1.13%(c) 1.43% 1.35% 1.59% 1.46%
Portfolio Turnover 1%(b) 2% 4% 2% 9%
Net Assets, End of Period (000 omitted) $1,248 $138,017 $121,170 $155,364 $176,707
S&P
500[RegTM]
Index Fund(2)
------------
For the
Year/Period
Ended
December 31,
------------
1999
- ------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 8.55
Income from investment operations
Net investment income(d) 0.11
Net realized and unrealized gain (loss)
on investments 1.66
--------
Total from investment operations 1.77
--------
Less dividends and distributions:
Dividends from net investment income (0.14)
Distributions from net realized capital gains (0.09)
--------
Total dividends and distributions (0.23)
--------
Net asset value, end of period $ 10.09
========
Total Return(a) 20.66%
Ratios to Average Net Assets
Gross expenses 0.36%
Fees and expenses waived or borne by the
Adviser or Distributor 0.01%
Net expenses 0.35%
Net investment income(d) 1.11%
Portfolio Turnover 3%
Net Assets, End of Period (000 omitted) $352,417
(1) Commenced operations on January 20, 2000.
(2) All per share data for the S&P 500[RegTM] Index Fund's Institutional Class
as of December 31, 2001 and earlier has been restated to reflect a 1.62 to
1 stock split effective August 15, 2001.
(A) Less than $0.01 per share.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/(overdistributed) net investment income has
not been adjusted to reflect current year permanent differences between
financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was an increase of $0.01 per share. The
effect to the ratio of net investment income to average net assets was an
increase of 0.05%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
The Notes to Financial Statements are an integral part of these statements.
42
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS continued
Small Cap Growth/TimesSquare Fund(2)
----------------------------------------------------
For the Six For the Year/Period Ended
Months Ended December 31,
June 30, 2004 ---------------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 11.06 $ 8.16 $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.05) (0.09)(f) (0.07)(f)
Net realized and unrealized gain (loss) on investments 0.44 3.15 (1.77)
-------- -------- -------
Total from investment operations 0.39 3.06 (1.84)
-------- -------- -------
Less dividends and distributions:
Dividends from net investment income - (0.13) -
Distributions from net realized capital gains - (0.03) -
Distributions from capital - - -
-------- ------- -------
Total dividends and distributions - (0.16) -
-------- -------- -------
Net asset value, end of period $ 11.45 $ 11.06 $ 8.16
======== ======== =======
Total Return(a) 3.53%(b) 37.48% (18.40)%
Ratios to Average Net Assets
Gross expenses 1.08%(c) 1.12% 1.45%
Fees and expenses waived or borne by the
Adviser or Distributor 0.03%(c) 0.07% 0.40%
Net expenses 1.05%(c) 1.05% 1.05%
Net investment income (loss)(d) (0.82)%(c) (0.86)% (0.85)%
Portfolio Turnover 31%(b) 61% 57%
Net Assets, End of Period (000 omitted) $357,732 $324,742 $51,762
Small Cap Growth/TimesSquare
Fund(2)
------------------------------
For the Year/Period Ended
December 31,
------------------------------
2001 2000
- ---------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 11.00 $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.06) (0.01)
Net realized and unrealized gain (loss) on investments (0.94) 1.16
------ -------
Total from investment operations (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 $10.00 $ 11.00
====== =======
Total Return(a) (9.09)% 11.51%(b)
Ratios to Average Net Assets
Gross expenses 1.75% 1.81%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.70% 0.76%(c)
Net expenses 1.05% 1.05%(c)
Net investment income (loss)(d) (0.66)% (0.12)%(c)
Portfolio Turnover 160% 140%(b)
Net Assets, End of Period (000 omitted) $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, 2004 ---------------------------------------------------
(Unaudited) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 14.14 $ 10.23 $ 12.15 $11.38
Income from investment operations
Net investment income (loss)(d) 0.07 0.09(f) 0.07(f) 0.13(f)
Net realized and unrealized gain (loss) on investments 0.57 4.09 (1.87) 2.38
------- ------- ------- ------
Total from investment operations 0.64 4.18 (1.80) 2.51
------- ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.27) (0.01) (1.36)
Distributions from net realized capital gains - - (0.11) (0.38)
Distributions from capital - - - -
------- ------- ------- ------
Total dividends and distributions - (0.27) (0.12) (1.74)
------- ------- ------- ------
Net asset value, end of period $ 14.78 $ 14.14 $ 10.23 $12.15
======= ======= ======= ======
Total Return(a) 4.53%(b) 40.82% (14.80)% 21.78%
Ratios to Average Net Assets
Gross expenses 1.17%(c) 1.24% 1.54% 1.70%
Fees and expenses waived or borne by the
Adviser or Distributor 0.12%(c) 0.19% 0.49% 0.65%
Net expenses 1.05%(c) 1.05% 1.05% 1.05%
Net investment income (loss)(d) 0.79%(c) 0.75% 0.64% 1.03%
Portfolio Turnover 32%(b) 58% 42% 59%
Net Assets, End of Period (000 omitted) $44,926 $48,164 $11,913 $7,079
Small Cap
Value/Perkins,
Wolf,
McDonnell Fund(1)
----------------
For the
Year/Period
Ended December
31,
----------------
2000
- -------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.00
Income from investment operations
Net investment income (loss)(d) 0.34
Net realized and unrealized gain (loss) on investments 2.59
------
Total from investment operations 2.93
------
Less dividends and distributions:
Dividends from net investment income (1.55)
Distributions from net realized capital gains -
Distributions from capital -
------
Total dividends and distributions (1.55)
------
Net asset value, end of period $11.38
======
Total Return(a) 29.22%(b)
Ratios to Average Net Assets
Gross expenses 1.98%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.93%(c)
Net expenses 1.05%(c)
Net investment income (loss)(d) 1.69%(c)
Portfolio Turnover 102%(b)
Net Assets, End of Period (000 omitted) $5,812
International Blend/Bank of Ireland
Fund(3)
----------------------------------------
For the Six For the Year/Period
Months Ended Ended December 31,
June 30, 2004 ------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.63 $ 6.01 $ 7.46
Income from investment operations
Net investment income(d) 0.09 0.10 0.08
Net realized and unrealized gain (loss) on investments 0.08 1.63 (1.46)
------ ------ -------
Total from investment operations 0.17 1.73 (1.38)
------ ------ -------
Less dividends and distributions:
Dividends from net investment income - (0.11) (0.07)
Distributions from net realized capital gains - - -
Distributions from capital - - -
------ ------ -------
Total dividends and distributions - (0.11) (0.07)
------ ------ -------
Net asset value, end of period $ 7.80 $ 7.63 $ 6.01
====== ====== =======
Total Return(a) 2.23%(b) 28.79% (18.50)%
Ratios to Average Net Assets
Gross expenses 2.53%(c) 3.11% 3.19%
Fees and expenses waived or borne by the
Adviser or Distributor 1.48%(c) 2.06% 2.14%
Net expenses 1.05%(c) 1.05% 1.05%
Net investment income(d) 2.23%(c) 1.55% 1.13%
Portfolio Turnover 9%(b) 18% 29%
Net Assets, End of Period (000 omitted) $3,972 $3,725 $ 2,855
International Blend/Bank of
Ireland Fund(3)
--------------------------------
For the Year/Period Ended
December 31,
--------------------------------
2001 2000
- -----------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.41 $ 10.00
Income from investment operations
Net investment income(d) 0.07 0.07
Net realized and unrealized gain (loss) on investments (1.94) (0.46)
------- ------
Total from investment operations (1.87) (0.39)
------- ------
Less dividends and distributions:
Dividends from net investment income (0.08) (0.11)
Distributions from net realized capital gains - -
Distributions from capital - (0.09)
------- ------
Total dividends and distributions (0.08) (0.20)
------- ------
Net asset value, end of period $ 7.46 $ 9.41
======= ======
Total Return(a) (19.85)% (3.84)%(b)
Ratios to Average Net Assets
Gross expenses 2.55% 2.59%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 1.50% 1.54%(c)
Net expenses 1.05% 1.05%(c)
Net investment income(d) 0.91% 0.69%(c)
Portfolio Turnover 12% 27%(b)
Net Assets, End of Period (000 omitted) $ 3,466 $4,326
TimesSquare/Core Plus Bond Fund
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2004 -------------------------------------------------
(Unaudited) 2003 2002 2001(e)
- ---------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.34 $ 10.19 $ 9.96 $ 10.27
Income from investment operations
Net investment income(d) 0.19(f) 0.43(f) 0.45(f) 0.59(f)
Net realized and unrealized gain (loss) on investments (0.10) 0.33 0.41 0.29
------- ------- -------- -------
Total from investment operations 0.09 0.76 0.86 0.88
------- ------- -------- -------
Less dividends and distributions:
Dividends from net investment income (0.27) (0.61) (0.62) (1.12)
Distributions from net realized capital gains - - (0.01) (0.07)
Distributions from capital - - - -
------- ------- -------- -------
Total dividends and distributions (0.27) (0.61) (0.63) (1.19)
------- ------- -------- -------
Net asset value, end of period $ 10.16 $ 10.34 $ 10.19 $ 9.96
======= ======= ======== =======
Total Return(a) 0.81%(b) 7.66% 8.90% 8.80%
Ratios to Average Net Assets
Gross expenses 1.03%(c) 0.95% 0.80% 0.80%
Fees and expenses waived or borne by the
Adviser or Distributor 0.58%(c) 0.50% 0.35% 0.35%
Net expenses 0.45%(c) 0.45% 0.45% 0.45%
Net investment income(d) 4.30%(c) 4.24% 4.48% 5.69%
Portfolio Turnover 82%(b) 194% 396% 351%
Net Assets, End of Period (000 omitted) $12,327 $40,472 $101,734 $90,835
TimesSquare/
Core Plus
Bond
Fund
-----------
For the
Year/Period
Ended
December 31,
------------
2000
- ---------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.00
Income from investment operations
Net investment income(d) 0.63
Net realized and unrealized gain (loss) on investments 0.34
-------
Total from investment operations 0.97
-------
Less dividends and distributions:
Dividends from net investment income (0.69)
Distributions from net realized capital gains (0.01)
Distributions from capital -
-------
Total dividends and distributions (0.70)
-------
Net asset value, end of period $ 10.27
=======
Total Return(a) 9.93%
Ratios to Average Net Assets
Gross expenses 0.83%
Fees and expenses waived or borne by the
Adviser or Distributor 0.38%
Net expenses 0.45%
Net investment income(d) 6.74%
Portfolio Turnover 310%
Net Assets, End of Period (000 omitted) $83,540
(1) Commenced operations on January 20, 2000.
(2) Commenced operations on January 21, 2000.
(3) Commenced operations on January 24, 2000.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income
has not been adjusted to reflect current year permanent differences
between financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was a decrease of $0.01 per share. The
effect to the ratio of net investment income to average net assets was a
decrease of 0.07%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
The Notes to Financial Statements are an integral part of these statements.
43
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, 2004 -------------------------------------------------------
(Unaudited) 2003 2002 2001(e) 2000
- --------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.75 $ 8.39 $ 9.67 $10.05 $10.00
Income from investment operations
Net investment income (loss)(d) 0.10 0.18 0.22(f) 0.23 0.25
Net realized and unrealized gain (loss) on investments 0.06 1.42 (1.28) (0.41) 0.09
------ ------ ------- ------ ------
Total from investment operations 0.16 1.60 (1.06) (0.18) 0.34
------ ------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.24) (0.22) (0.20) (0.29)
------ ------ ------- ------ ------
Total dividends and distributions - (0.24) (0.22) (0.20) (0.29)
------ ------ ------- ------ ------
Net asset value, end of period $ 9.91 $ 9.75 $ 8.39 $ 9.67 $10.05
====== ====== ======= ====== ======
Total Return(a) 1.64%(b) 19.08% (10.97)% (1.78)% 3.41%(b)
Ratios to Average Net Assets
Gross expenses 1.76%(c) 2.03% 1.98% 1.92% 1.96%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.76%(c) 1.03% 0.98% 0.92% 0.96%(c)
Net expenses 1.00%(c) 1.00% 1.00% 1.00% 1.00%(c)
Net investment income (loss)(d) 1.99%(c) 2.14% 2.40% 2.32% 2.58%(c)
Portfolio Turnover 18%(b) 50% 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $6,798 $5,569 $ 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, 2004 ---------------------------------------------
(Unaudited) 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.66 $ 5.36 $ 7.41 $ 8.71
Income from investment operations
Net investment income (loss)(d) (A) 0.01 (A) (0.01)(f)
Net realized and unrealized gain (loss) on investments 0.16 1.29 (2.05) (1.29)
------ ------ ------- -------
Total from investment operations 0.16 1.30 (2.05) (1.30)
------ ------ ------- -------
Less dividends and distributions:
Dividends from net investment income - (A) - -
------ ------ ------- -------
Total dividends and distributions - - - -
------ ------ ------- -------
Net asset value, end of period $ 6.82 $ 6.66 $ 5.36 $ 7.41
====== ====== ======= =======
Total Return(a) 2.40%(b) 24.34% (27.67)% (14.93)%
Ratios to Average Net Assets
Gross expenses 1.97%(c) 2.27% 2.38% 2.38%
Fees and expenses waived or borne by the
Adviser or Distributor 0.97%(c) 1.27% 1.38% 1.38%
Net expenses 1.00%(c) 1.00% 1.00% 1.00%
Net investment income (loss)(d) (0.01)%(c) 0.13% 0.01% (0.15)%
Portfolio Turnover 72%(b) 131% 149% 91%
Net Assets, End of Period (000 omitted) $4,893 $4,708 $ 3,140 $ 3,984
Large Cap
Growth/Morgan
Stanley Fund(1)
-------------------
For the Year/Period
Ended
December 31,
-------------------
2000
- ----------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.03)
Net realized and unrealized gain (loss) on investments (1.26)
-------
Total from investment operations (1.29)
-------
Less dividends and distributions:
Dividends from net investment income -
-------
Total dividends and distributions -
-------
Net asset value, end of period $ 8.71
=======
Total Return(a) (12.90)%(b)
Ratios to Average Net Assets
Gross expenses 1.99%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.99%(c)
Net expenses 1.00%(c)
Net investment income (loss)(d) (0.31)%(c)
Portfolio Turnover 75%(b)
Net Assets, End of Period (000 omitted) $ 4,377
Large Cap Value/John A. Levin & Co. Fund(1)
---------------------------------------------
For the Six For the Year/Period Ended
Months Ended December 31,
June 30, 2004 -----------------------------
(Unaudited) 2003 2002
- ------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.41 $ 7.40 $ 10.22
Income from investment operations
Net investment income(d) 0.05 0.08(f) 0.06
Net realized and unrealized gain (loss) on investments 0.30 2.03 (2.82)
------ ------ -------
Total from investment operations 0.35 2.11 (2.76)
------ ------ -------
Less dividends and distributions:
Dividends from net investment income - (0.10) (0.06)
Distributions from net realized capital gains - - -
------ ------ -------
Total dividends and distributions - (0.10) (0.06)
------ ------ -------
Net asset value, end of period $ 9.76 $ 9.41 $ 7.40
====== ====== =======
Total Return(a) 3.72%(b) 28.47% (26.97)%
Ratios to Average Net Assets
Gross expenses 1.51%(c) 1.71% 1.68%
Fees and expenses waived or borne by the
Adviser or Distributor 0.51%(c) 0.71% 0.68%
Net expenses 1.00%(c) 1.00% 1.00%
Net investment income(d) 1.04%(c) 1.04% 0.99%
Portfolio Turnover 45%(b) 89% 44%
Net Assets, End of Period (000 omitted) $9,428 $9,905 $ 5,780
Large Cap Value/John A. Levin &
Co. Fund(1)
---------------------------------
For the Year/Period Ended December
31,
---------------------------------
2001 2000
- ------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.83 $10.00
Income from investment operations
Net investment income(d) 0.13(f) 0.10
Net realized and unrealized gain (loss) on investments (0.61) 1.28
------ ------
Total from investment operations (0.48) 1.38
------ ------
Less dividends and distributions:
Dividends from net investment income (0.13) (0.55)
Distributions from net realized capital gains - -
------ ------
Total dividends and distributions (0.13) (0.55)
------ ------
Net asset value, end of period $10.22 $10.83
====== ======
Total Return(a) (4.39)% 13.78%(b)
Ratios to Average Net Assets
Gross expenses 1.67% 1.75%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.67% 0.75%(c)
Net expenses 1.00% 1.00%(c)
Net investment income(d) 0.89% 0.85%(c)
Portfolio Turnover 45% 62%(b)
Net Assets, End of Period (000 omitted) $6,657 $5,842
S&P 500[RegTM] Index Fund(2)
--------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2004 ----------------------------------------
(Unaudited) 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.83 $ 5.38 $ 7.01 $ 8.11
Income from investment operations
Net investment income(d) 0.03(f) 0.07 0.08 0.08
Net realized and unrealized gain (loss) on investments 0.19 1.46 (1.64) (1.07)
------- ------ ------- -------
Total from investment operations 0.22 1.53 (1.56) (0.99)
------- ------ ------- -------
Less dividends and distributions:
Dividends from net investment income (0.02) (0.08) (0.07) (0.11)
Distributions from net realized capital gains - - - (A)
------- ------ ------- -------
Total dividends and distributions (0.02) (0.08) (0.07) (0.11)
------- ------ ------- -------
Net asset value, end of period $ 7.03 $ 6.83 $ 5.38 $ 7.01
======= ====== ======= =======
Total Return(a) 3.29%(b) 28.48% (22.24)% (12.20)%
Ratios to Average Net Assets
Gross expenses 0.62%(c) 0.63% 0.63% 0.64%
Fees and expenses waived or borne by the
Adviser or Distributor 0.27%(c) 0.28% 0.28% 0.29%
Net expenses 0.35%(c) 0.35% 0.35% 0.35%
Net investment income(d) 1.11%(c) 1.34% 1.25% 1.59%
Portfolio Turnover 1%(b) 2% 4% 2%
Net Assets, End of Period (000 omitted) $10,482 $9,092 $ 2,561 $ 2,596
S&P 500[RegTM]
Index Fund(2)
------------------
For the Year/Period
Ended
December 31,
------------------
2000
- ---------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.00
Income from investment operations
Net investment income(d) 0.15
Net realized and unrealized gain (loss) on investments (0.82)
------
Total from investment operations (0.67)
------
Less dividends and distributions:
Dividends from net investment income (0.25)
Distributions from net realized capital gains (0.97)
------
Total dividends and distributions (1.22)
------
Net asset value, end of period $ 8.11
======
Total Return(a) (7.64)%(b)
Ratios to Average Net Assets
Gross expenses 0.58%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.23%(c)
Net expenses 0.35%(c)
Net investment income(d) 1.36%(c)
Portfolio Turnover 9%(b)
Net Assets, End of Period (000 omitted) $ 846
(1) Commenced operations on January 20, 2000.
(2) Commenced operations on January 21, 2000.
(A) Less than $0.01 per share.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income
has not been adjusted to reflect current year permanent differences
between financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was an increase of $0.01 per share. The
effect to the ratio of net investment income to average net assets was an
increase of 0.04%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
The Notes to Financial Statements are an integral part of these statements.
44
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - PREMIER CLASS continued
Small Cap Growth/TimesSquare Fund(2)
----------------------------------------------------
For the Six For the Year/Period Ended
Months Ended December 31,
June 30, 2004 ---------------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 11.02 $ 8.12 $ 9.97
Income from investment operations
Net investment income (loss)(d) (0.05) (0.11)(f) (0.09)(f)
Net realized and unrealized gain (loss) on investments 0.42 3.16 (1.76)
-------- ------- -------
Total from investment operations 0.37 3.05 (1.85)
-------- ------- -------
Less dividends and distributions:
Dividends from net investment income - (0.12) -
Distributions from net realized capital gains - (0.03) -
Distributions from capital - - -
-------- ------- -------
Total dividends and distributions - (0.15) -
-------- ------- -------
Net asset value, end of period $ 11.39 $ 11.02 $ 8.12
======== ======= =======
Total Return(a) 3.36%(b) 37.53% (18.56)%
Ratios to Average Net Assets
Gross expenses 1.28%(c) 1.32% 1.65%
Fees and expenses waived or borne by the
Adviser or Distributor 0.03%(c) 0.07% 0.40%
Net expenses 1.25%(c) 1.25% 1.25%
Net investment income (loss)(d) (1.02)%(c) (1.06)% (1.06)%
Portfolio Turnover 31%(b) 61% 57%
Net Assets, End of Period (000 omitted) $101,621 $67,375 $ 5,482
Small Cap Growth/TimesSquare
Fund(2)
------------------------------
For the Year/Period Ended
December 31,
------------------------------
2001 2000
- ---------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.98 $10.00
Income from investment operations
Net investment income (loss)(d) (0.08) (0.02)
Net realized and unrealized gain (loss) on investments (0.93) 1.15
------ ------
Total from investment operations (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 $ 9.97 $10.98
====== ======
Total Return(a) (9.20)% 11.26%(b)
Ratios to Average Net Assets
Gross expenses 1.95% 2.01%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.70% 0.76%(c)
Net expenses 1.25% 1.25%(c)
Net investment income (loss)(d) (0.87)% (0.32)%(c)
Portfolio Turnover 160% 140%(b)
Net Assets, End of Period (000 omitted) $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) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 14.07 $ 10.19 $ 12.12 $11.37
Income from investment operations
Net investment income (loss)(d) 0.03 0.06(f) 0.05(f) 0.10(f)
Net realized and unrealized gain (loss) on investments 0.60 4.07 (1.86) 2.37
------- ------- ------- ------
Total from investment operations 0.63 4.13 (1.81) 2.47
------- ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.25) (0.01) (1.34)
Distributions from net realized capital gains - - (0.11) (0.38)
Distributions from capital - - - -
------- ------- ------- ------
Total dividends and distributions - (0.25) (0.12) (1.72)
------- ------- ------- ------
Net asset value, end of period $ 14.70 $ 14.07 $ 10.19 $12.12
======= ======= ======= ======
Total Return(a) 4.48%(b) 40.53% (14.97)% 21.53%
Ratios to Average Net Assets
Gross expenses 1.37%(c) 1.45% 1.74% 1.90%
Fees and expenses waived or borne by the
Adviser or Distributor 0.12%(c) 0.20% 0.49% 0.65%
Net expenses 1.25%(c) 1.25% 1.25% 1.25%
Net investment income (loss)(d) 0.56%(c) 0.54% 0.47% 0.82%
Portfolio Turnover 32%(b) 58% 42% 59%
Net Assets, End of Period (000 omitted) $50,691 $33,318 $10,934 $8,125
Small Cap
Value/Perkins,
Wolf,
McDonnell Fund(1)
----------------
For the
Year/Period
Ended December
31,
----------------
2000
- -------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.00
Income from investment operations
Net investment income (loss)(d) 0.32
Net realized and unrealized gain (loss) on investments 2.59
------
Total from investment operations 2.91
------
Less dividends and distributions:
Dividends from net investment income (1.54)
Distributions from net realized capital gains -
Distributions from capital -
------
Total dividends and distributions (1.54)
------
Net asset value, end of period $11.37
======
Total Return(a) 28.96%(b)
Ratios to Average Net Assets
Gross expenses 2.18%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.93%(c)
Net expenses 1.25%(c)
Net investment income (loss)(d) 1.49%(c)
Portfolio Turnover 102%(b)
Net Assets, End of Period (000 omitted) $6,178
International Blend/Bank of Ireland
Fund(3)
----------------------------------------
For the Six For the Year/Period
Months Ended Ended December 31,
June 30, 2004 ------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.62 $ 6.00 $ 7.45
Income from investment operations
Net investment income(d) 0.08 0.09 0.06
Net realized and unrealized gain (loss) on investments 0.08 1.62 (1.46)
------ ------ -------
Total from investment operations 0.16 1.71 (1.40)
------ ------ -------
Less dividends and distributions:
Dividends from net investment income - (0.09) (0.05)
Distributions from net realized capital gains - - -
Distributions from capital - - -
------ ------ -------
Total dividends and distributions - (0.09) (0.05)
------ ------ -------
Net asset value, end of period $ 7.78 $ 7.62 $ 6.00
====== ====== =======
Total Return(a) 2.10%(b) 28.56% (18.76)%
Ratios to Average Net Assets
Gross expenses 2.73%(c) 3.36% 3.44%
Fees and expenses waived or borne by the
Adviser or Distributor 1.48%(c) 2.11% 2.19%
Net expenses 1.25%(c) 1.25% 1.25%
Net investment income(d) 2.04%(c) 1.35% 0.95%
Portfolio Turnover 9%(b) 18% 29%
Net Assets, End of Period (000 omitted) $5,834 $5,317 $ 4,059
International Blend/Bank of
Ireland Fund(3)
--------------------------------
For the Year/Period Ended
December 31,
--------------------------------
2001 2000
- -----------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.39 $10.00
Income from investment operations
Net investment income(d) 0.05 0.04
Net realized and unrealized gain (loss) on investments (1.93) (0.45)
------- ------
Total from investment operations (1.88) (0.41)
------- ------
Less dividends and distributions:
Dividends from net investment income (0.06) (0.11)
Distributions from net realized capital gains - -
Distributions from capital - (0.09)
------- ------
Total dividends and distributions (0.06) (0.20)
------- ------
Net asset value, end of period $ 7.45 $ 9.39
======= ======
Total Return(a) (19.98)% (4.09)%(b)
Ratios to Average Net Assets
Gross expenses 2.80% 2.84%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 1.55% 1.59%(c)
Net expenses 1.25% 1.25%(c)
Net investment income(d) 0.65% 0.49%(c)
Portfolio Turnover 12% 27%(b)
Net Assets, End of Period (000 omitted) $ 4,739 $5,001
TimesSquare/Core Plus Bond Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2004 --------------------------------------------------
(Unaudited) 2003 2002 2001(e)
- ----------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.30 $ 10.16 $ 9.95 $10.28
Income from investment operations
Net investment income(d) 0.19(f) 0.39(f) 0.43(f) 0.50(f)
Net realized and unrealized gain (loss) on investments (0.13) 0.34 0.38 0.34
------ ------ ------ ------
Total from investment operations 0.06 0.73 0.81 0.84
------ ------ ------ ------
Less dividends and distributions:
Dividends from net investment income (0.27) (0.59) (0.59) (1.10)
Distributions from net realized capital gains - - (0.01) (0.07)
Distributions from capital - - - -
------ ------ ------ ------
Total dividends and distributions (0.27) (0.59) (0.60) (1.17)
------ ------ ------ ------
Net asset value, end of period $10.09 $10.30 $10.16 $ 9.95
====== ====== ====== ======
Total Return(a) 0.52%(b) 7.31% 8.44% 8.36%
Ratios to Average Net Assets
Gross expenses 1.51%(c) 1.35% 1.20% 1.20%
Fees and expenses waived or borne by the
Adviser or Distributor 0.67%(c) 0.50% 0.35% 0.35%
Net expenses 0.84%(c) 0.85% 0.85% 0.85%
Net investment income(d) 3.96%(c) 4.04% 4.41% 5.15%
Portfolio Turnover 82%(b) 194% 396% 351%
Net Assets, End of Period (000 omitted) $3,697 $2,515 $1,186 $ 462
TimesSquare/Core
Plus Bond
Fund(2)
----------------
For the
Year/Period
Ended December
31,
----------------
2000
- -------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.00
Income from investment operations
Net investment income(d) 0.57
Net realized and unrealized gain (loss) on investments 0.40
------
Total from investment operations 0.97
------
Less dividends and distributions:
Dividends from net investment income (0.68)
Distributions from net realized capital gains (0.01)
Distributions from capital -
------
Total dividends and distributions (0.69)
------
Net asset value, end of period $10.28
======
Total Return(a) 9.92%(b)
Ratios to Average Net Assets
Gross expenses 1.23%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.38%(c)
Net expenses 0.85%(c)
Net investment income(d) 6.34%(c)
Portfolio Turnover 310%(b)
Net Assets, End of Period (000 omitted) $ 128
(1) Commenced operations on January 20, 2000.
(2) Commenced operations on January 21, 2000.
(3) Commenced operations on January 24, 2000.
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income
has not been adjusted to reflect current year permanent differences
between financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was a decrease of $0.01 per share. The
effect to the ratio of net investment income to average net assets was a
decrease of 0.06%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
The Notes to Financial Statements are an integral part of these statements.
45
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, 2004 -------------------------------------------------------
(Unaudited) 2003 2002 2001(e) 2000
- --------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.71 $ 8.36 $ 9.64 $10.04 $10.00
Income from investment operations
Net investment income (loss)(d) 0.09 0.17 0.19(f) 0.21 0.17
Net realized and unrealized gain (loss) on investments 0.06 1.40 (1.27) (0.42) 0.16
------ ------ ------- ------ ------
Total from investment operations 0.15 1.57 (1.08) (0.21) 0.33
------ ------ ------- ------ ------
Less dividends and distributions:
Dividends from net investment income - (0.22) (0.20) (0.19) (0.29)
------ ------ ------- ------ ------
Total dividends and distributions - (0.22) (0.20) 0.19) (0.29)
------ ------ ------- ------ ------
Net asset value, end of period $ 9.86 $ 9.71 $ 8.36 $ 9.64 $10.04
====== ====== ======= ====== ======
Total Return(a) 1.54%(b) 18.79% (11.17)% (2.14)% 3.25%(b)
Ratios to Average Net Assets
Gross expenses 1.97%(c) 2.28% 2.23% 2.17% 2.21%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.76%(c) 1.03% 0.98% 0.92% 0.96%(c)
Net expenses 1.21%(c) 1.25% 1.25% 1.25% 1.25%(c)
Net investment income (loss)(d) 1.78%(c) 1.91% 2.16% 2.07% 2.33%(c)
Portfolio Turnover 18%(b) 50% 56% 104% 67%(b)
Net Assets, End of Period (000 omitted) $6,450 $6,103 $ 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, 2004 --------------------------------------------
(Unaudited) 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.60 $ 5.32 $ 7.37 $ 8.69
Income from investment operations
Net investment income (loss)(d) (0.01) (0.01) (A) (0.03)(f)
Net realized and unrealized gain (loss) on investments 0.16 1.29 (2.05) (1.29)
------ ------ ------- -------
Total from investment operations 0.15 1.28 (2.05) (1.32)
------ ------ ------- -------
Less dividends and distributions:
Dividends from net investment income - - - -
------ ------ ------- -------
Total dividends and distributions - - - -
------ ------ ------- -------
Net asset value, end of period $ 6.75 $ 6.60 $ 5.32 $ 7.37
====== ====== ======= =======
Total Return(a) 2.27%(b) 24.06% (27.82)% (15.19)%
Ratios to Average Net Assets
Gross expenses 2.17%(c) 2.52% 2.63% 2.63%
Fees and expenses waived or borne by the
Adviser or Distributor 0.97%(c) 1.27% 1.38% 1.38%
Net expenses 1.20%(c) 1.25% 1.25% 1.25%
Net investment income (loss)(d) (0.22)%(c) (0.12)% (0.20)% (0.39)%
Portfolio Turnover 72%(b) 131% 149% 91%
Net Assets, End of Period (000 omitted) $7,590 $6,353 $ 4,311 $ 3,086
Large Cap
Growth/Morgan
Stanley Fund(1)
-------------------
For the Year/Period
Ended
December 31,
-------------------
2000
- ----------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.00
Income from investment operations
Net investment income (loss)(d) (0.04)
Net realized and unrealized gain (loss) on investments (1.27)
-------
Total from investment operations (1.31)
-------
Less dividends and distributions:
Dividends from net investment income -
-------
Total dividends and distributions -
-------
Net asset value, end of period $ 8.69
=======
Total Return(a) (13.10)%(b)
Ratios to Average Net Assets
Gross expenses 2.24%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.99%(c)
Net expenses 1.25%(c)
Net investment income (loss)(d) (0.56)%(c)
Portfolio Turnover 75%(b)
Net Assets, End of Period (000 omitted) $ 2,107
Large Cap Value/John A. Levin & Co. Fund(1)
---------------------------------------------
For the Six For the Year/Period Ended
Months Ended December 31,
June 30, 2004 -----------------------------
(Unaudited) 2003 2002
- ------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.37 $ 7.37 $ 10.19
Income from investment operations
Net investment income(d) 0.04 0.07(f) 0.06
Net realized and unrealized gain (loss) on investments 0.30 2.00 (2.83)
------- ------ -------
Total from investment operations 0.34 2.07 (2.77)
------- ------ -------
Less dividends and distributions:
Dividends from net investment income - (0.07) (0.05)
Distributions from net realized capital gains - - -
------- ------ -------
Total dividends and distributions - (0.07) (0.05)
------- ------ -------
Net asset value, end of period $ 9.71 $ 9.37 $ 7.37
======= ====== =======
Total Return(a) 3.63%(b) 28.09% (27.17)%
Ratios to Average Net Assets
Gross expenses 1.72%(c) 1.95% 1.93%
Fees and expenses waived or borne by the
Adviser or Distributor 0.51%(c) 0.70% 0.68%
Net expenses 1.21%(c) 1.25% 1.25%
Net investment income(d) 0.84%(c) 0.82% 0.80%
Portfolio Turnover 45%(b) 89% 44%
Net Assets, End of Period (000 omitted) $12,353 $9,937 $ 6,438
Large Cap Value/John A. Levin &
Co. Fund(1)
---------------------------------
For the Year/Period Ended December
31,
---------------------------------
2001 2000
- ------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.81 $10.00
Income from investment operations
Net investment income(d) 0.06(f) 0.07
Net realized and unrealized gain (loss) on investments (0.56) 1.28
------ ------
Total from investment operations (0.50) 1.35
------ ------
Less dividends and distributions:
Dividends from net investment income (0.12) (0.54)
Distributions from net realized capital gains - -
------ ------
Total dividends and distributions (0.12) (0.54)
------ ------
Net asset value, end of period $10.19 $10.81
====== ======
Total Return(a) (4.61)% 13.52%(b)
Ratios to Average Net Assets
Gross expenses 1.92% 2.00%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.67% 0.75%(c)
Net expenses 1.25% 1.25%(c)
Net investment income(d) 0.64% 0.60%(c)
Portfolio Turnover 45% 62%(b)
Net Assets, End of Period (000 omitted) $4,406 $1,934
S&P 500[RegTM] Index Fund(2)
--------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2004 ---------------------------------------
(Unaudited) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 6.78 $ 5.35 $ 6.99 $ 8.09
Income from investment operations
Net investment income(d) 0.03(f) 0.07 0.06 0.09
Net realized and unrealized gain (loss) on investments 0.18 1.43 (1.64) (1.09)
------- ------- ------- -------
Total from investment operations 0.21 1.50 (1.58) (1.00)
------- ------- ------- -------
Less dividends and distributions:
Dividends from net investment income (0.02) (0.07) (0.06) (0.10)
Distributions from net realized capital gains - - - (A)
------- ------- ------- -------
Total dividends and distributions (0.02) (0.07) (0.06) (0.10)
------- ------- ------- -------
Net asset value, end of period $ 6.97 $ 6.78 $ 5.35 $ 6.99
======= ======= ======= =======
Total Return(a) 3.17%(b) 27.97% (22.59)% (12.41)%
Ratios to Average Net Assets
Gross expenses 0.83%(c) 0.88% 0.88% 0.89%
Fees and expenses waived or borne by the
Adviser or Distributor 0.27%(c) 0.28% 0.28% 0.29%
Net expenses 0.56%(c) 0.60% 0.60% 0.60%
Net investment income(d) 0.91%(c) 1.08% 1.02% 1.27%
Portfolio Turnover 1%(b) 2% 4% 2%
Net Assets, End of Period (000 omitted) $53,638 $45,252 $23,279 $18,905
S&P 500[RegTM]
Index Fund(2)
------------------
For the Year/Period
Ended
December 31,
------------------
2000
- ----------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.00
Income from investment operations
Net investment income(d) 0.13
Net realized and unrealized gain (loss) on investments (0.83)
-------
Total from investment operations (0.70)
-------
Less dividends and distributions:
Dividends from net investment income (0.24)
Distributions from net realized capital gains (0.97)
-------
Total dividends and distributions (1.21)
-------
Net asset value, end of period $ 8.09
=======
Total Return(a) (7.94)%(b)
Ratios to Average Net Assets
Gross expenses 0.83%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.23%(c)
Net expenses 0.60%(c)
Net investment income(d) 1.11%(c)
Portfolio Turnover 9%(b)
Net Assets, End of Period (000 omitted) $10,427
(1) Commenced operations on January 20, 2000.
(2) Commenced operations on January 21, 2000.
(A) Less than $0.01 per share
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income
has not been adjusted to reflect current year permanent differences
between financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was an increase of $0.02 per share. The
effect to the ratio of net investment income to average net assets was an
increase of 0.05%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
The Notes to Financial Statements are an integral part of these statements.
46
CIGNA Funds Group
FINANCIAL HIGHLIGHTS - RETAIL CLASS continued
Small Cap Growth/TimesSquare Fund(2)
----------------------------------------------------
For the Six For the Year/Period Ended
Months Ended December 31,
June 30, 2004 ---------------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 10.94 $ 8.07 $ 9.93
Income from investment operations
Net investment income (loss)(d) (0.06) (0.12)(f) (0.11)(f)
Net realized and unrealized gain (loss) on investments 0.42 3.11 (1.75)
------- ------- -------
Total from investment operations 0.36 2.99 (1.86)
------- ------- -------
Less dividends and distributions:
Dividends from net investment income - (0.09) -
Distributions from net realized capital gains - (0.03) -
Distributions from capital - - -
------- ------- -------
Total dividends and distributions - (0.12) -
------- ------- --------
Net asset value, end of period $ 11.30 $ 10.94 $ 8.07
======= ======= =======
Total Return(a) 3.29%(b) 37.02% (18.73)%
Ratios to Average Net Assets
Gross expenses 1.53%(c) 1.57% 1.90%
Fees and expenses waived or borne by the
Adviser or Distributor 0.03%(c) 0.07% 0.40%
Net expenses 1.50%(c) 1.50% 1.50%
Net investment income (loss)(d) (1.27)%(c) (1.31)% (1.30)%
Portfolio Turnover 31%(b) 61% 57%
Net Assets, End of Period (000 omitted) $12,179 $10,666 $ 6,507
Small Cap Growth/TimesSquare
Fund(2)
------------------------------
For the Year/Period Ended
December 31,
------------------------------
2001 2000
- ---------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.96 $10.00
Income from investment operations
Net investment income (loss)(d) (0.07) (0.04)
Net realized and unrealized gain (loss) on investments (0.96) 1.14
------ ------
Total from investment operations (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 $ 9.93 $10.96
====== ======
Total Return(a) (9.40)% 11.00%(b)
Ratios to Average Net Assets
Gross expenses 2.18% 2.26%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.68% 0.76%(c)
Net expenses 1.50% 1.50%(c)
Net investment income (loss)(d) (1.14)% (0.57)%(c)
Portfolio Turnover 160% 140%(b)
Net Assets, End of Period (000 omitted) $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, 2004 ---------------------------------------------------
(Unaudited) 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 13.98 $ 10.14 $ 12.07 $ 11.34
Income from investment operations
Net investment income (loss)(d) 0.03 0.03(f) 0.03(f) 0.07(f)
Net realized and unrealized gain (loss) on investments 0.57 4.03 (1.85) 2.36
------- ------- ------- ------
Total from investment operations 0.60 4.06 (1.82) 2.43
------- ------- ------- ------
Less dividends and distributions:
Dividends from net investment income - (0.22) - (1.32)
Distributions from net realized capital gains - - (0.11) (0.38)
Distributions from capital - - - -
------- ------- ------- ------
Total dividends and distributions - (0.22) (0.11) (1.70)
------- ------- ------- ------
Net asset value, end of period $ 14.58 $ 13.98 $ 10.14 $12.07
======= ======= ======= ======
Total Return(a) 4.29%(b) 40.07% (15.18)% 21.28%
Ratios to Average Net Assets
Gross expenses 1.62%(c) 1.70% 1.99% 2.15%
Fees and expenses waived or borne by the
Adviser or Distributor 0.12%(c) 0.20% 0.49% 0.65%
Net expenses 1.50%(c) 1.50% 1.50% 1.50%
Net investment income (loss)(d) 0.31%(c) 0.23% 0.24% 0.58%
Portfolio Turnover 32%(b) 58% 42% 59%
Net Assets, End of Period (000 omitted) $35,504 $29,297 $13,130 $6,226
Small Cap
Value/Perkins,
Wolf,
McDonnell Fund(1)
-----------------
For the
Year/Period
Ended December
31,
----------------
2000
- -------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.00
Income from investment operations
Net investment income (loss)(d) 0.27
Net realized and unrealized gain (loss) on investments 2.60
------
Total from investment operations 2.87
------
Less dividends and distributions:
Dividends from net investment income (1.53)
Distributions from net realized capital gains -
Distributions from capital -
------
Total dividends and distributions (1.53)
------
Net asset value, end of period $11.34
======
Total Return(a) 28.60%(b)
Ratios to Average Net Assets
Gross expenses 2.43%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.93%(c)
Net expenses 1.50%(c)
Net investment income (loss)(d) 1.24%(c)
Portfolio Turnover 102%(b)
Net Assets, End of Period (000 omitted) $1,973
International Blend/Bank of Ireland
Fund(3)
----------------------------------------
For the Six For the Year/Period
Months Ended Ended December 31,
June 30, 2004 ------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 7.55 $ 5.95 $ 7.42
Income from investment operations
Net investment income(d) 0.07 0.06 0.04
Net realized and unrealized gain (loss) on investments 0.09 1.62 (1.47)
------ ------ -------
Total from investment operations 0.16 1.68 (1.43)
------ ------ -------
Less dividends and distributions:
Dividends from net investment income - (0.08) (0.04)
Distributions from net realized capital gains - - -
Distributions from capital - - -
------ ------ -------
Total dividends and distributions - (0.08) (0.04)
------ ------ -------
Net asset value, end of period $ 7.71 $ 7.55 $ 5.95
====== ====== =======
Total Return(a) 2.12%(b) 28.22% (19.23)%
Ratios to Average Net Assets
Gross expenses 2.94%(c) 3.61% 3.69%
Fees and expenses waived or borne by the
Adviser or Distributor 1.48%(c) 2.11% 2.19%
Net expenses 1.46%(c) 1.50% 1.50%
Net investment income(d) 1.95%(c) 1.09% 0.61%
Portfolio Turnover 9%(b) 18% 29%
Net Assets, End of Period (000 omitted) $4,056 $2,799 $ 1,892
International Blend/Bank of
Ireland Fund(3)
--------------------------------
For the Year/Period Ended
December 31,
--------------------------------
2001 2000
--------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $ 9.37 $10.00
Income from investment operations
Net investment income(d) 0.04 (A)
Net realized and unrealized gain (loss) on investments (1.94) (0.44)
------- ------
Total from investment operations (1.90) (0.44)
------- ------
Less dividends and distributions:
Dividends from net investment income (0.05) (0.10)
Distributions from net realized capital gains - -
Distributions from capital - (0.09)
------- ------
Total dividends and distributions (0.05) (0.19)
------- ------
Net asset value, end of period $ 7.42 $ 9.37
======= ======
Total Return(a) (20.29)% (4.35)%(b)
Ratios to Average Net Assets
Gross expenses 3.05% 3.09%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 1.55% 1.59%(c)
Net expenses 1.50% 1.50%(c)
Net investment income(d) 0.38% 0.24%(c)
Portfolio Turnover 12% 27%(b)
Net Assets, End of Period (000 omitted) $ 1,493 $1,371
TimesSquare/Core Plus Bond Fund(2)
------------------------------------------------------------------
For the Six
Months Ended For the Year/Period Ended December 31,
June 30, 2004 --------------------------------------------------
(Unaudited) 2003 2002 2001(e)
- ----------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.27 $10.12 $ 9.92 $10.27
Income from investment operations
Net investment income(d) 0.19(f) 0.41(f) 0.41(f) 0.54(f)
Net realized and unrealized gain (loss) on investments (0.14) 0.30 0.39 0.28
------ ------ ------ ------
Total from investment operations 0.05 0.71 0.80 0.82
------ ------ ------ ------
Less dividends and distributions:
Dividends from net investment income (0.27) (0.56) (0.59) (1.10)
Distributions from net realized capital gains - - (0.01) (0.07)
Distributions from capital - - - -
------ ------ ------ ------
Total dividends and distributions (0.27) (0.56) (0.60) (1.17)
------ ------ ------ ------
Net asset value, end of period $10.05 $10.27 $10.12 $ 9.92
====== ====== ====== ======
Total Return(a) 0.43%(b) 7.20% 8.38% 8.20%
Ratios to Average Net Assets
Gross expenses 1.60%(c) 1.45% 1.30% 1.30%
Fees and expenses waived or borne by the
Adviser or Distributor 0.67%(c) 0.50% 0.35% 0.35%
Net expenses 0.93%(c) 0.95% 0.95% 0.95%
Net investment income(d) 3.84%(c) 3.87% 4.26% 5.15%
Portfolio Turnover 82%(b) 194% 396% 351%
Net Assets, End of Period (000 omitted) $5,218 $3,101 $1,887 $ 594
TimesSquare/Core
Plus Bond
Fund(2)
----------------
For the
Year/Period
Ended December
31,
----------------
2000
- -------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of period $10.00
Income from investment operations
Net investment income(d) 0.51
Net realized and unrealized gain (loss) on investments 0.45
------
Total from investment operations 0.96
------
Less dividends and distributions:
Dividends from net investment income (0.68)
Distributions from net realized capital gains (0.01)
Distributions from capital -
------
Total dividends and distributions (0.69)
------
Net asset value, end of period $10.27
======
Total Return(a) 9.79%(b)
Ratios to Average Net Assets
Gross expenses 1.33%(c)
Fees and expenses waived or borne by the
Adviser or Distributor 0.38%(c)
Net expenses 0.95%(c)
Net investment income(d) 6.24%(c)
Portfolio Turnover 310%(b)
Net Assets, End of Period (000 omitted) $ 215
(1) Commenced operations on January 20, 2000.
(2) Commenced operations on January 21, 2000.
(3) Commenced operations on January 24, 2000.
(A) Less than $0.01 per share
(a) Had the Adviser or Distributor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(b) Not annualized.
(c) Annualized.
(d) Net investment income per share has been calculated in accordance with SEC
requirements, unless otherwise noted, with the exception that end of the
year accumulated undistributed/ (overdistributed) net investment income
has not been adjusted to reflect current year permanent differences
between financial and tax accounting.
(e) Effective January 1, 2001, the Fund was required to start amortizing
premium and discount on all debt securities. The effect of this change on
net investment income per share was a decrease of $0.01 per share. The
effect to the ratio of net investment income to average net assets was a
decrease of 0.06%. Per share, ratios, and supplemental data for periods
prior to January 1, 2001, have not been restated to reflect this change in
accounting principle.
(f) Per share numbers have been calculated using average shares.
The Notes to Financial Statements are an integral part of these statements.
47
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, 2004 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[RegTM]
Index Fund, Small Cap Growth/TimesSquare Fund ("Small Cap Growth Fund"), Small
Cap Value/Perkins, Wolf, McDonnell Fund ("Small Cap Value Fund") (formerly
called the Small Cap Value/Berger[RegTM] Fund), International Blend/Bank of
Ireland Fund ("International Blend Fund"), and TimesSquare Core Plus Bond Fund
("Core Plus Bond Fund"). The financial statements of the Money Market Fund are
presented in a separate report. The Trust offers three classes of shares in each
Fund: Institutional Class, Premier Class and Retail Class. Expenses of the Fund
are borne pro rata by the holders of each Class of shares, except that each
Class bears expenses unique to that Class (including any applicable shareholder
servicing fee or distribution fee). Shares of each Class would receive their pro
rata share of net assets of the Fund if the Fund were liquidated. In addition,
the Trustees approve separate dividends on each Class of shares. The Premier
Class Shares of the Funds have a shareholder servicing fee. The Retail Class
Shares of the Funds (and Premier Class shares of the Core Plus Bond Fund) have a
shareholder servicing fee and a distribution fee.
2. Significant Accounting Policies. The preparation of financial statements in
accordance with accounting principles generally accepted in the United States of
America requires management to make estimates and assumptions that affect the
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates. The following is a summary of significant
accounting policies consistently followed by the Funds in the preparation of
their financial statements.
A. Security Valuation - Equity securities, including warrants, that are
listed on a national securities exchange or part of the NASDAQ National
Market System are valued at the last sale price (NASDAQ Official Closing
Price ["NOCP"] for NASDAQ stocks) or, if there has been no sale that day, at
the last bid price. Debt securities traded in the over-the-counter market,
including listed securities whose primary markets are believed to be
over-the-counter, are valued on the basis of valuations furnished by brokers
trading in the securities or a pricing service, which determines valuations
for normal, institutional-size trading units of such securities using market
information, transactions for comparable securities and various relationships
between securities which are generally recognized by institutional traders.
Short-term investments with remaining maturities of up to and including 60
days are valued at amortized cost, which approximates market. Short-term
investments that mature in more than 60 days are valued at current market
quotations. Other securities and assets of the Funds are appraised at fair
value as determined in good faith by, or under the authority of, the Board of
Trustees. The Fund's Board of Trustees has designated the Pricing Committee
of TimesSquare Capital Management, Inc. to make, pursuant to procedures
approved by the Board and under the Board's supervision, all necessary
determinations of fair value for the portfolio securities for which market
quotations are not readily available. When fair valuing securities, the
Pricing Committee takes into account factors such as fundamental and
analytical information about the security, the nature and duration of any
restrictions on disposition of the security, market information (including,
for example, factors such as historical price relationships and valuations
for securities with similar characteristics), and evaluation of significant
market events. If events occurring after the close of the principal market in
which securities are traded (but before the close of regular trading on the
NYSE) are believed to materially affect the value of those securities, such
securities are valued at their fair value, taking such events into account.
B. Delayed Delivery Commitments - The Funds may enter into commitment
agreements - i.e., TBA's - for the purchase of securities at an agreed-upon
price on a specified future date. Since the delivery and payment for such
securities can be scheduled to take place up to three months after the
transaction date, they are subject to market fluctuations. The Funds do not
begin to earn interest on such purchase commitments until the settlement
date. The Funds may sell a purchase commitment prior to settlement for the
purpose of enhancing their total return. The Funds segregate assets with a
market value equal to the amount of their purchase
48
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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.
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
49
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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 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, 2004, none of the
Funds had any outstanding swap agreements.
J. Security Transactions and Related Investment Income - Security
transactions are accounted for on the trade date (date the order to buy or
sell is executed). Dividend income is recorded on the ex-date and interest
income is recorded on the accrual basis, which includes amortization of
premium and accrual of discount, except that certain dividends from foreign
securities are recorded as soon as the Funds are informed of the ex-dividend
date. Securities gains and losses are determined on the basis of identified
cost.
K. Federal Taxes - For federal income tax purposes, each Fund in the Trust is
taxed as a separate entity. It is each Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income and capital gains to
its shareholders. Therefore, no federal income or excise taxes on realized
income or net capital gains have been accrued. Distributions reported in the
Statements of Changes in Net Assets from net investment income, including
short-term capital gains, and capital gains are treated as ordinary income
and long-term capital gains, respectively, for federal income tax purposes.
At December 31, 2003, the following Funds had a Post-October Loss Deferral
of:
Fund Post-October Loss
International Blend Fund $62,790
Core Plus Bond Fund 7,125
Under current tax law, capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following year.
L. Foreign Taxes on Dividends - Dividend income on the Statement of
Operations is shown net of foreign taxes withheld on dividends from foreign
securities. Foreign taxes withheld were as follows: Balanced Fund, $1,082;
Large Cap Growth, $140; Large Cap Value Fund, $3,176; Small Cap Growth Fund,
$1,379; International Blend Fund, $31,100.
50
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
M. Dividends and Distributions to Shareholders - Dividends from net
investment income, if any, and distributions from net capital gains, to the
extent such gains would otherwise be taxable to the Fund, are declared and
distributed at least annually (net investment income is declared and
distributed monthly for Core Plus Bond Fund).
Dividends and distributions are recorded by the Fund on the ex-dividend date.
The timing and characterization of certain income and capital gains
distributions are determined in accordance with federal tax regulations,
which may differ from generally accepted accounting principles. These
differences are primarily due to differing book and tax treatment for premium
amortization, real estate investment trust income, deferred compensation,
foreign securities, capital loss carryforwards, deferred losses due to wash
sales, excise tax regulations and net operating losses. To the extent that
such differences are permanent, a reclassification of the components of Net
Assets may be required. As a result, at December 31, 2003, the following
reclassifications were done:
(In Thousands)
Undistributed Accumulated
(Overdistributed) Net
Net Realized
Investment Gain Paid-in
Fund Income (Loss) Capital
Balanced Fund $ 50 $ (50) $ 0
S&P 500[RegTM] Index Fund 72 12 (84)
Small Cap Growth Fund 6,306 (6,306) 0
Small Cap Value Fund 1,479 (1,479) 0
International Blend Fund 10 (8) (2)
Core Plus Bond Fund 1,357 (4,204) 2,847
N. Multiclass Operations - Each Class offered by the Trust has equal rights
as to net assets. Income, non-specific expenses, and realized and unrealized
capital gains and losses are allocated to each Class of shares based on the
relative net assets of each Class.
3. Investment Advisory Fees and Other Transactions with Affiliates. Investment
advisory fees are paid or accrued to TimesSquare Capital Management, Inc.
("TimesSquare"), certain officers and directors of which are affiliated with the
Fund. Such advisory fees are based on an annual rate for each Fund (see below)
applied to the average daily net assets of the Fund. TimesSquare has
contractually agreed to reimburse or bear any other expenses for each Fund for
any amount by which expenses (including the advisory fee, but excluding
interest, taxes, transaction costs incurred in acquiring and disposing of
portfolio securities, and extraordinary expenses) exceed, on an annual basis,
certain percentages of average daily net assets until April 30, 2005 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%(1)
Large Cap Growth Fund 0.80 0.80 1.00 1.25(1)
Large Cap Value Fund 0.75 0.80 1.00 1.25(1)
S&P 500[RegTM] Index Fund 0.25 0.25 0.35 0.60(1)
Small Cap Growth Fund 1.00 1.05 1.25 1.50
Small Cap Value Fund 1.00 1.05 1.25 1.50(1)
International Blend Fund 1.00 1.05 1.25 1.50(2)
Core Plus Bond Fund 0.60 0.45 0.85(3) 0.95(3)
(1) Effective June 2, 2004, the same as the Premier Class Ratios.
(2) Effective July 14, 2004, the same as the Premier Class Ratio.
(3) Effective June 17, 2004, 0.70%.
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:
51
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
(In Thousands)
Remaining Expires Expires Expires Expires
Contingent during during during during
Fund Liability 2004 2005 2006 2007
Balanced Fund $ 458 $116 $129 $146 $67
Institutional 148 42 43 45 18
Premier 167 48 45 49 25
Retail 143 26 41 52 24
Large Cap Growth Fund 497 134 141 149 73
Institutional 138 48 39 35 16
Premier 173 55 48 47 23
Retail 186 31 54 67 34
Large Cap Value Fund 407 93 110 138 66
Institutional 103 32 28 30 13
Premier 154 40 42 47 25
Retail 150 21 40 61 28
S&P 500[RegTM] Index Fund 1,102 357 301 299 145
Institutional 801 252 253 232 64
Premier 30 4 5 8 13
Retail 271 101 43 59 68
Small Cap Growth Fund 481 128 140 141 72
Institutional 331 64 97 114 56
Premier 99 41 22 21 15
Retail 51 23 21 6 1
Small Cap Value Fund 430 114 124 123 69
Institutional 141 43 34 50 14
Premier 151 47 42 36 26
Retail 138 24 48 37 29
International Blend Fund 640 146 199 197 98
Institutional 216 58 67 63 28
Premier 295 69 95 89 42
Retail 129 19 37 45 28
Core Plus Bond Fund 1,109 309 348 347 105
Institutional 1,044 307 341 319 77
Premier 26 1 3 10 12
Retail 39 1 4 18 16
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 the MMF. For the six months ended June 30, 2004, 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 1
S&P 500[RegTM] Index Fund 42
Small Cap Growth Fund 49
Small Cap Value Fund 24
International Blend Fund 1
Core Plus Bond Fund 3
Income distributions from the MMF for the six months ended June 30, 2004, are
included as dividend income in the Statement of Operations as follows:
(In Thousands)
Fund Amount
Balanced Fund $ 1
Large Cap Growth Fund 1
Large Cap Value Fund 1
S&P 500[RegTM] Index Fund 74
Small Cap Growth Fund 87
Small Cap Value Fund 42
International Blend Fund 1
Core Plus Bond Fund 5
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, 2004, the Funds paid or accrued
$180,171. (The amount incurred by each Fund may be found in the Statement of
Operations.)
52
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
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 Prudential Retirement
Brokerage Services ("PRBS") (formerly CIGNA Financial Services, Inc.), 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. Due to the pending liquidation and dissolution of all the Funds other
than the Small Cap Growth Fund (please see Note 7 below), the Funds (other than
the Small Cap Growth Fund) have stopped accrual of the distribution fees
effective June 2, 2004 (June 17, 2004 for the Premier and Retail Class of Core
Plus Bond Fund and July 14, 2004 for Small Cap Value Fund). Premier and Retail
Class shares are also subject to a shareholder servicing fee payable to PRBS
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, 2005, and thereafter, to the extent
described in the Fund's then current prospectus.
TimesSquare is an indirect, wholly-owned subsidiary of CIGNA Corporation.
At June 30, 2004, Life Insurance Company of North America, an indirect
wholly-owned subsidiary of CIGNA Corporation, had investments in the Funds as
follows:
(In Thousands)
Fund Shares
Balanced Fund 1,107 60%
Large Cap Growth Fund 916 39
Large Cap Value Fund 979 35
International Blend Fund 1,055 59
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, 2004, were
as follows:
(In Thousands)
U.S.
Government/Agency All Other
----------------------- ------------------------
Fund Purchases Sales Purchases Sales
Balanced Fund $ 1,098 $ 479 $ 3,696 $ 2,574
Large Cap
Growth Fund 394 170 11,657 10,582
Large Cap
Value Fund 120 56 13,434 11,593
S&P 500[RegTM]
Index Fund 0 1,204 1,036 113,545
Small Cap
Growth Fund 0 0 170,112 131,098
Small Cap
Value Fund 0 0 53,640 34,213
International
Blend Fund 0 0 3,021 1,104
Core Plus
Bond Fund 19,400 32,685 5,930 18,149
6. In-Kind Transactions. On May 4, 2004, the S&P 500[RegTM] Fund, Institutional
Class, had a redemption of $138,520,083, of which $24,034,673 was in cash and
$114,485,410 was an in-kind redemption. The Fund incurred realized gains of
$13,830,900 associated with the in-kind redemptions.
7. Liquidation and Dissolution of the Funds. The Funds listed below will close
and liquidate their assets on or about September 30, 2004:
Balanced Fund (sub-advised by Wellington Management)
Large Cap Growth/Morgan Stanley Fund
Large Cap Value/John A. Levin & Co. Fund
S&P 500[RegTM] Index Fund
Small Cap Value/Perkins, Wolf, McDonnell Fund
International Blend/Bank of Ireland Fund
TimesSquare Core Plus Bond Fund
As soon as practicable after liquidation, any shareholders that hold shares in a
Fund on the liquidation date will receive cash equal to their proportionate
interest in the Fund's net assets.
53
CIGNA Funds Group
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
8. 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:
(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, 2003 June 30, 2003
2004 (Audited) 2004 (Audited)
- ---------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 1 1 24 16
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 13 - 1
--- --- ---- ----
1 14 24 17
Shares redeemed - - - (15)
--- --- ---- ----
Net change 1 14 24 2
--- --- ---- ----
Premier Class
Shares sold 130 54 76 164
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 13 - 1
--- --- ---- ----
130 67 76 165
Shares redeemed (15) (24) (66) (44)
--- --- ---- ----
Net change 115 43 10 121
--- --- ---- ----
Retail Class
Shares sold 103 167 269 494
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 14 - -
--- --- ---- ----
103 181 269 494
Shares redeemed (78) (95) (108) (342)
--- --- ---- ----
Net change 25 86 161 152
--- --- ---- ----
Total net increase in Fund shares 141 143 195 275
=== === ==== ====
Large Cap Value Fund S&P 500[RegTM] 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, 2003 June 30, 2003
2004 (Audited) 2004 (Audited)
- --------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 17 14 55 76
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 6 72 263
---- ---- ------- ------
17 20 127 339
Shares redeemed (1) (1) (20,236) (2,624)
---- ---- ------- ------
Net change 16 19 (20,109) (2,285)
---- ---- ------- ------
Premier Class
Shares sold 80 382 230 1,048
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 11 5 16
---- ---- ------- ------
80 393 235 1,064
Shares redeemed (167) (121) (77) (208)
---- ---- ------- ------
Net change (87) 272 158 856
---- ---- ------- ------
Retail Class
Shares sold 334 706 1,658 3,402
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 8 27 63
---- ---- ------- ------
334 714 1,685 3,465
Shares redeemed (122) (528) (671) (1,139)
---- ---- ------- ------
Net change 212 186 1,014 2,326
---- ---- ------- ------
Total net increase in Fund shares 141 477 (18,937) 897
==== ==== ======= ======
54
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, 2003 June 30, 2003
2004 (Audited) 2004 (Audited)
- --------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 3,222 24,196 701 2,971
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 414 - 61
----- ------ ------ -----
3,222 24,610 701 3,032
Shares redeemed (1,328) (1,594) (1,067) (790)
------ ------ ------ -----
Net change 1,894 23,016 (366) 2,242
------ ------ ------ -----
Premier Class
Shares sold 4,801 6,849 1,311 2,198
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 81 - 41
------ ------ ------ -----
4,801 6,930 1,311 2,239
Shares redeemed (1,994) (1,490) (229) (945)
------ ------ ------ -----
Net change 2,807 5,440 1,082 1,294
------ ------ ------ -----
Retail Class
Shares sold 224 464 522 1,339
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 10 - 33
------ ------ ------ -----
224 474 522 1,372
Shares redeemed (120) (306) (183) (572)
------ ------ ------ -----
Net change 104 168 339 800
------ ------ ------ -----
Total net increase (decrease) in
Fund shares 4,805 28,624 1,055 4,336
====== ====== ====== =====
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, 2003 June 30, 2003
2004 (Audited) 2004 (Audited)
- -------------------------------------------------------------------------------------------
CAPITAL SHARES TRANSACTED:
Institutional Class
Shares sold 21 6 (A) 4,938
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 7 73 369
--- --- ------ -------
21 13 73 5,307
Shares redeemed (A) (A) (2,774) (11,373)
--- --- ------ -------
Net change 21 13 (2,701) (6,066)
--- --- ------ -------
Premier Class
Shares sold 75 72 164 155
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 8 10 9
--- --- ------ -------
75 80 174 164
Shares redeemed (23) (59) (51) (37)
--- --- ------ -------
Net change 52 21 123 127
--- --- ------ -------
Retail Class
Shares sold 183 126 298 358
Shares issued to shareholders in
connection with the reinvestment
of dividends and distributions - 4 11 16
--- --- ------ -------
183 130 309 374
Shares redeemed (28) (77) (92) (258)
--- --- ------ -------
Net change 155 53 217 116
--- --- ------ -------
Total net increase (decrease) in
Fund shares 228 87 (2,361) (5,823)
=== === ====== =======
(A) Amount less than 1.
55
CIGNA Funds Group
(Unaudited)
Trustees Officers
Russell H. Jones Marnie Wagstaff Mueller Richard H. Forde
Senior Vice President, Diocesan Consultant, Episcopal Chairman of the Board
Chief Investment Officer, Diocese of Connecticut and President
and Treasurer,
Kaman Corporation
Paul J. McDonald Carol Ann Hayes Alfred A. Bingham III
Special Advisor to the Board of Director and Chair of Vice President and
Directors, Friendly Ice Cream Audit Committee, Reed and Treasurer
Corporation Barton Corporation
Richard H. Forde
Chief Investment Officer, CIGNA Jeffrey S. Winer
Investment Management 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).
- --------------------------------------------------------------------------------
56
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
545900
- --------------------------------------------------------------------------------
CIGNA Funds Group
- --------------------------------------------------------------------------------
Money
Market
Fund
Semiannual Report
June 30, 2004
[LOGO](R)-----------------------------------------------------------------------
Dear Shareholders:
Our report for CIGNA Funds Group Money Market Fund (the "Fund") covering the
six months ended June 30, 2004 follows.
MARKET ENVIRONMENT
The Federal Reserve ("Fed") met four times during the first six months of 2004.
In the first three meetings, the Fed funds rate was left unchanged at 1%.
However at the June 30, 2004 meeting, the Fed funds rate was raised 25 basis
points to 1.25%, after a year of keeping rates on hold. The Fed also announced
that it was willing to move more aggressively in raising rates in the future if
inflation data warranted.
The U.S. economy is currently firing on all cylinders, with prospects for
continued solid economic growth over the next several quarters. The business
sector has become the new "engine" of economic growth. Corporate sector
fundamentals continued to improve, reflected in record levels of earnings,
dividends, and cash flow as well as significantly improved balance sheets.
PORTFOLIO COMPOSITION AND PERFORMANCE
On June 30, 2004, the portfolio contained: top-tier domestic commercial paper,
39%; top-tier foreign commercial paper, 7%; and U.S. Government Agencies, 54%.
The Fund is well diversified.
Total returns for the six months ended June 30, 2004 were:
Retail Class 0.06%
Premier Class 0.19
Institutional Class 0.31
Lipper Money Market Funds Average 0.17
3-month U.S. Treasury Bill 0.47
As of June 30, 2004, the Fund's weighted average portfolio maturity was 39
days, and the annualized 7-day yield for each class was:
Retail Class 0.24%
Premier Class 0.49
Institutional Class 0.74
1
OUTLOOK
The Fed's current monetary tightening is not expected to seriously impact the
rate of economic growth until the middle of next year. Economic and investment
risks are likely to increase as 2005 unfolds.
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.
2
Money Market Fund
INVESTMENTS IN SECURITIES
JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES - 0.2%
Chase Manhattan Auto Owner Trust, 1.14%,
12/15/04 $ 912 $ 912
COMMERCIAL PAPER - 45.4%
Domestic - 38.7%
American Express Credit Corp., 1.26%, 7/8/04 10,000 9,998
Barton Capital Corp., 1.15%, 7/7/04 10,000 9,998
Bear Stearns Co., 1.11%, 7/6/04 10,000 9,998
CAFCO, LLC, 1.05%, 7/1/04 19,000 19,000
Gannett Co., Inc.,
1.11%, 7/8/04 8,517 8,515
1.12%, 7/9/04 6,000 5,999
1.13%, 7/9/04 4,837 4,836
General Electric Capital Corp., 1.15%, 7/8/04 4,841 4,840
Goldman Sachs Group, Inc., 1.08%, 7/2/04 19,000 18,999
Kimberly Clark Worldwide, Inc.,
1.05%, 7/7/04 5,691 5,690
1.08%, 7/7/04 4,932 4,931
Morgan Stanley Dean Witter Co., 1.20%, 7/13/04 9,000 8,996
Old Line Funding Corp.,
1.21%, 7/15/04 10,000 9,995
1.26%, 7/15/04 9,000 8,996
PepsiCo, Inc., 1.25%, 7/12/04 19,000 18,993
Procter & Gamble Co., 1.33%, 7/7/04 4,192 4,191
United Parcel Service of America, 1.01%, 7/1/04 11,744 11,744
Verizon Network Funding, 1.24%, 7/7/04 10,000 9,998
Wal-Mart Stores, Inc., 1.08%, 7/6/04 9,000 8,999
Windmill Funding Corp., 1.08%, 7/6/04 10,000 9,998
-------
194,714
-------
The Notes to Financial Statements are an integral part of these statements.
3
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- --------------------------------------------------------------------------------
COMMERCIAL PAPER continued
Foreign - 6.7%
ASB Bank Ltd., 1.25%, 7/14/04 $3,011 $ 3,010
Novartis Finance Corp.,
1.00%, 7/1/04 12,000 12,000
1.35%, 7/8/04 6,000 5,998
Toyota Motor Credit Corp., 1.27%, 12/23/04 (a) 12,500 12,504
-------
33,512
-------
Total Commercial Paper 228,226
-------
U.S. GOVERNMENT AGENCIES (b) - 54.5%
Fannie Mae,
1.22%, 7/12/04 4,550 4,548
1.25%, 7/12/04 4,718 4,716
1.04%, 7/14/04 6,000 5,998
1.05%, 7/20/04 3,050 3,048
1.05%, 7/21/04 3,805 3,803
1.06%, 7/21/04 2,000 1,999
1.08%, 8/9/04 5,500 5,494
1.06%, 8/20/04 2,000 1,997
1.18%, 9/1/04 2,040 2,036
1.11%, 10/15/04 2,500 2,492
1.24%, 11/12/04 2,976 2,962
1.26%, 11/12/04 1,655 1,647
1.24%, 1/28/05 (a) 11,500 11,498
1.65%, 5/16/05 2,500 2,500
1.53%, 10/7/05 (a) 20,000 19,997
Federal Farm Credit Bank,
1.25%, 8/18/04 8,912 8,897
1.10%, 10/15/04 2,000 1,994
The Notes to Financial Statements are an integral part of these statements.
4
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES continued
1.14%, 10/18/04 $5,000 $4,983
1.22%, 10/18/04 8,500 8,469
1.20%, 3/24/05 (a) 15,000 14,999
1.23%, 6/23/05 (a) 2,500 2,500
1.50%, 3/1/06 (a) 15,000 15,000
1.22%, 6/2/06 (a) 12,500 12,500
Federal Home Loan Bank,
1.04%, 7/16/04 7,500 7,497
1.27%, 7/16/04 20,000 19,989
1.50%, 10/6/04 (a) 10,000 10,000
4.38%, 2/15/05 2,840 2,894
1.30%, 2/23/05 6,000 5,999
1.51%, 3/30/05 (a) 7,500 7,500
2.02%, 6/8/05 2,500 2,500
0.99%, 10/5/05 (a) 7,500 7,495
Freddie Mac,
1.24%, 7/13/04 4,151 4,149
1.13%, 8/11/04 3,098 3,094
1.22%, 9/9/04 2,000 1,995
1.13%, 9/14/04 5,000 4,988
1.15%, 9/14/04 5,000 4,988
1.25%, 9/28/04 2,000 1,994
1.20%, 10/19/04 7,500 7,472
1.13%, 11/4/04 3,999 3,983
1.25%, 11/4/04 7,500 7,467
1.27%, 12/6/04 3,826 3,805
1.19%, 12/30/04 2,500 2,485
1.23%, 1/11/05 2,500 2,483
The Notes to Financial Statements are an integral part of these statements.
5
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES continued
1.30%, 1/11/05 $7,500 $ 7,447
1.40%, 1/19/05 2,224 2,207
1.10%, 10/7/05 (a) 7,500 7,500
--------
Total U.S. Government Agencies 274,008
--------
TOTAL INVESTMENTS IN SECURITIES - 100.1% 503,146
Liabilities in excess of Cash and Other Assets - (0.1)% (493)
--------
NET ASSETS - 100.0% $502,653
========
NOTES TO INVESTMENTS IN SECURITIES
(a) Variable rate security. Rate is as of June 30, 2004.
(b) Agency obligations are not guaranteed by the U.S. Government.
Tax Information
(c) As of June 30, 2004, the cost for federal income tax purposes on
a tax basis is the same as on a book basis.
The Notes to Financial Statements are an integral part of these statements.
6
Money Market Fund
INVESTMENTS IN SECURITIES continued
JUNE 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Ten Largest Positions (Unaudited)
June 30, 2004
Market % of
Value Net
(000) Assets
---------- ----------
Fannie Mae $74,735 14.9%
Federal Farm Credit Bank 69,342 13.8
Freddie Mac 66,057 13.1
Federal Home Loan Bank 63,874 12.7
Gannett Co., Inc. 19,350 3.9
CAFCO, LLC 19,000 3.8
Goldman Sachs Group, Inc. 18,999 3.8
PepsiCo, Inc. 18,993 3.8
Old Line Funding Corp. 18,991 3.8
Novartis Finance Corp. 17,998 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, 2004 (Unaudited)
(IN THOUSANDS)
- --------------------------------------------------------------------------------
Assets:
Investments in securities at value $503,146
Cash 1
Interest receivable 257
Prepaid registration fees 23
Investment for Trustees' deferred compensation plan 22
--------
Total assets 503,449
--------
Liabilities:
Shareholder servicing and distribution fees payable
to Distributor 371
Investment advisory fees payable 221
Shareholder reports 81
Administrative services fees payable 42
Deferred Tustees' fees payable 22
Audit and legal fees payable 20
Insurance expenses payable 15
Custodian fees payable 12
Transfer agent fees payable 3
Other 9
--------
Total liabilities 796
--------
Net Assets $502,653
========
Institutional Class $191,161
Premier Class 57,316
Retail Class 254,176
--------
$502,653
========
Shares Outstanding
Institutional Class ($1.00 net asset value per share) 191,163
========
Premier Class ($1.00 net asset value per share) 57,317
========
Retail Class ($1.00 net asset value per share) 254,178
========
Components of Net Assets:
Paid-in capital $502,653
========
Net Assets $502,653
========
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, 2004 (Unaudited)
(IN THOUSANDS)
- --------------------------------------------------------------------------------
Investment Income:
Interest $2,996
Expenses:
Investment advisory fees 976
Distribution fees
Retail Class 344
Shareholder servicing fees
Premier Class 72
Retail Class 344
Administrative services fees 99
Custodian fees 64
Shareholder reports 46
Audit and legal fees 25
Registration fees 17
License fees 13
Insurance expense 3
Trustees' fees 8
Transfer agent fees 4
Other 1
------
Total expenses 2,016
------
Net Investment Income 980
------
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 $ 980
======
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, 2004 December 31,
(IN THOUSANDS) (Unaudited) 2003
- --------------------------------------------------------------------------------------
Operations:
Net investment income $ 980 $ 2,404
Net realized gain from securities transactions -- --
-------- ----------
Net increase in net assets from operations 980 2,404
-------- ----------
Dividends from Net Investment
Income:
Institutional Class (702) (1,437)
Premier Class (108) (42)
Retail Class (170) (925)
-------- ----------
Total dividends and distributions to shareholders (980) (2,404)
-------- ----------
Capital Share Transactions:
Institutional Class
Net proceeds from sales of shares 931,089 2,468,812
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 702 1,597
-------- ----------
931,791 2,470,409
Cost of shares redeemed (954,791) (2,446,150)
-------- ----------
(23,000) 24,259
-------- ----------
Premier Class
Net proceeds from sales of shares 23,155 69,788
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 108 42
-------- ----------
23,263 69,830
Cost of shares redeemed (25,870) (10,089)
-------- ----------
(2,607) 59,741
-------- ----------
Retail Class
Net proceeds from sales of shares 35,818 104,937
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 170 1,071
-------- ----------
35,988 106,008
Cost of shares redeemed (81,104) (166,605)
-------- ----------
(45,116) (60,597)
-------- ----------
Net increase (decrease) from Fund share
transactions (70,723) 23,403
-------- ----------
Net Increase (Decrease) in Net Assets (70,723) 23,403
Net Assets:
Beginning of period 573,376 549,973
-------- ----------
End of period $502,653 $ 573,376
======== ==========
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, 2004 December 31,
(IN THOUSANDS) (Unaudited) 2003
- ---------------------------------------------------------------------------------
TRANSACTIONS IN CAPITAL STOCK
Institutional Class
Shares sold 931,089 2,468,812
Shares issued in reinvestment of dividends
and distributions 702 1,597
------- ---------
931,791 2,470,409
Shares redeemed (954,791) (2,446,150)
-------- ----------
Net increase (decrease) in Institutional
shares outstanding (23,000) 24,259
-------- ----------
Premier Class
Shares sold 23,155 69,788
Shares issued in reinvestment of dividends
and distributions 108 42
-------- ----------
23,263 69,830
Shares redeemed (25,870) (10,089)
-------- ----------
Net increase (decrease) in Premier
shares outstanding (2,607) 59,741
-------- ----------
Retail Class
Shares sold 35,818 104,937
Shares issued in reinvestment of dividends
and distributions 170 1,071
-------- ----------
35,988 106,008
Shares redeemed (81,104) (166,605)
-------- ----------
Net decrease in Retail shares outstanding (45,116) (60,597)
-------- ----------
Total net increase (decrease) in Fund shares (70,723) 23,403
======== ==========
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, 2004 -------------------------------
(Unaudited) 2003 2002
- -------------------------------------------------------------------------------------------------
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 0.01
Net realized and unrealized gain on securities -- -- (a)
------- ------- ----------
Total from investment operations -- 0.01 0.01
------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (a) (0.01) (0.01)
Distributions from capital gains -- -- --
------- ------- -------
Total dividends and distributions -- (0.01) (0.01)
------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
======= ======= =======
Total Return 0.31%(c) 0.76%(b) 1.36%
Ratios to Average Net Assets
Gross expenses 0.45%(d) 0.47% 0.45%
Fees and expenses waived or borne by the Adviser 0.00%(d) 0.02% 0.00%
Net expenses 0.45%(d) 0.45% 0.45%
Net investment income 0.63%(d) 0.76% 1.36%
Net assets, end of period (000 omitted) $191,161 $214,160 $189,902
(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.
INSTITUTIONAL CLASS
- -------------------------------------------------------------------------------------------------
For the Year Ended December 31,
---------------------------------------------
2001 2000 1999
- -------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.04 0.06 0.05
Net realized and unrealized gain on securities (a) (a) (a)
---------- ---------- ----------
Total from investment operations 0.04 0.06 0.05
------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (0.04) (0.06) (0.05)
Distributions from capital gains -- (a) (a)
------- ---------- ----------
Total dividends and distributions (0.04) (0.06) (0.05)
------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
======= ======= =======
Total Return 3.81%(b) 6.12%(b) 4.87%(b)
Ratios to Average Net Assets
Gross expenses 0.49% 0.47% 0.52%
Fees and expenses waived or borne by the Adviser 0.04% 0.02% 0.07%
Net expenses 0.45% 0.45% 0.45%
Net investment income 3.62% 5.94% 4.76%
Net assets, end of period (000 omitted) $184,060 $159,446 $178,234
(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
Year/Period
For the Six Ended December
Months Ended 31,
June 30, 2004 ---------------
(Unaudited) 2003
- ------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a) 0.01
Net realized and unrealized gain on securities -- --
-------- --------
Total from investment operations -- 0.01
-------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (a) (0.01)
Distributions from capital gains -- --
-------- --------
Total dividends and distributions -- (0.01)
-------- --------
Net asset value, end of period $ 1.00 $ 1.00
======== ========
Total Return 0.19%(c) 0.51%(b)
Ratios to Average Net Assets
Gross expenses 0.70%(d) 0.74%
Fees and expenses waived or borne by the Adviser 0.00%(d) 0.04%
Net expenses 0.70%(d) 0.70%
Net investment income 0.38%(d) 0.39%
Net assets, end of period (000 omitted) $ 57,316 $ 59,924
(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.
PREMIER CLASS(1)
-------------------------------------------------
For the Year/Period Ended December 31,
-------------------------------------------------
2002 2001 2000
----------- --------------- ---------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 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 (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
======== ======== ==========
Total Return 1.12% 3.55%(b) 5.50%(b)(c)
Ratios to Average Net Assets
Gross expenses 0.70% 0.73% 0.72%(d)
Fees and expenses waived or borne by the Adviser 0.00% 0.03% 0.02%(d)
Net expenses 0.70% 0.70% 0.70%(d)
Net investment income 1.13% 3.22% 5.69%(d)
Net assets, end of period (000 omitted) $ 183 $ 207 $ 105
(d)Annualized.
14 15
Money Market Fund
FINANCIAL HIGHLIGHTS continued
RETAIL CLASS(1)
- --------------------------------------------------------------------------------------------------------
For the Six For the Year/Period Ended
Months Ended December 31,
June 30, 2004 ------------------------------
(Unaudited) 2003 2002
- --------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a) (a) 0.01
Net realized and unrealized gain on securities -- -- (a)
------- ------- ----------
Total from investment operations -- -- 0.01
------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (a) (a) (0.01)
Distributions from capital gains -- -- --
------- ------- -------
Total dividends and distributions -- -- (0.01)
------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
======= ======= =======
Total Return 0.06%(c) 0.26%(b) 0.87%
Ratios to Average Net Assets
Gross expenses 0.95%(d) 0.97% 0.95%
Fees and expenses waived or borne by the Adviser 0.00%(d) 0.02% 0.00%
Net expenses 0.95%(d) 0.95% 0.95%
Net investment income 0.12%(d) 0.26% 0.86%
Net assets, end of period (000 omitted) $254,176 $299,292 $359,888
(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.
RETAIL CLASS(1)
-----------------------------------------------------
For the Year/Period Ended December 31,
-----------------------------------------------------
2001 2000 1999
--------------- --------------- ---------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.05 0.03
Net realized and unrealized gain on securities (a) (a) (a)
------- ------- ----------
Total from investment operations 0.03 0.05 0.03
------- ------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income (0.03) (0.05) (0.03)
Distributions from capital gains -- (a) (a)
------- ---------- ----------
Total dividends and distributions (0.03) (0.05) (0.03)
------- ------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
======= ======= ==========
Total Return 3.29%(b) 5.60%(b) 2.97%(b)(c)
Ratios to Average Net Assets
Gross expenses 0.98% 0.97% 1.00%(d)
Fees and expenses waived or borne by the Adviser 0.03% 0.02% 0.07%(d)
Net expenses 0.95% 0.95% 0.93%(d)
Net investment income 3.10% 5.44% 4.64%(d)
Net assets, end of period (000 omitted) $291,380 $199,993 $ 123,655
(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, 2004, approximates cost for federal income tax purposes.
B. Security Transactions and Related Investment Income -- Security
transactions are accounted for on the trade date (date the order to buy or
sell is executed). Interest income, which includes amortization of premium
and accretion of discount, is recorded on the
18
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited) continued
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, to the extent
described in the Fund's then current prospectus. TimesSquare retains the
ability to be repaid by the Fund if the Fund's expenses fall below the
specified limit prior to the end of the fiscal year or within three years after
19
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited) continued
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) 2004 (000's) 2006 (000's)
- --------------- ------------------- ---------------- ---------------
Institutional $101 $ 68 $33
Premier 4 0 4
Retail 127 78 49
Total $232 $146 $86
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, other affiliated CIGNA Funds may invest their excess cash in the
Fund. TimesSquare will waive the amount of its advisory fee for the affiliated
Funds in an amount that offsets the amount of the advisory fees incurred by the
Money Market Fund.
For administrative services, the Fund reimburses TimesSquare Capital
Management, Inc. for a portion of the compensation and related expenses of the
Trust's Treasurer and Secretary and certain persons who assist in carrying out
the responsibilities of those offices. For the six months ended June 30, 2004,
the Fund paid or accrued $99,305.
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 Prudential
Retirement Brokerage Services ("PRBS") (formerly CIGNA Financial Services,
Inc.), 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 PRBS 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, 2005, and thereafter to the extent
described in the Fund's then current prospectus.
TimesSquare is an indirect, wholly-owned subsidiary of CIGNA Corporation.
20
Money Market Fund
NOTES TO FINANCIAL STATEMENTS
(Unaudited) continued
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, 2004, affiliates of CIGNA Corporation owned 100% of the Institutional
Class.
- --------------------------------------------------------------------------------
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 Prudential Retirement Brokerage Services, Inc., P.O. Box
150476, Hartford, Connecticut 06115-0476 (telephone: 1.888.244.6237).
TRUSTEES
Richard H. Forde
Chief Investment Officer, CIGNA Investment Management
Russell H. Jones
Senior Vice President, Chief Investment Officer, and Treasurer, Kaman
Corporation
Carol Ann Hayes
Director and Chair of Audit Committee, Reed and Barton 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
545719
Item 2. Code of Ethics.
Not applicable
Item 3. Audit Committee Financial Expert.
Not applicable
Item 4. Principal Accountant Fees and Services.
Not applicable
Item 5. Audit Committee Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
See report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders.
The registrant has adopted procedures by which shareholders may recommend
nominees to the registrant's board of trustees, as follows:
The Nominating Committee or the registrant will, when a vacancy on the Board
exists or is anticipated, consider any Trustee candidate recommended by security
holders. The current procedures to be followed by security holders are set forth
below:
1. All security holder recommendations for Trustee candidates must be
submitted to the Secretary of the registrant who will forward all
recommendations to the Committee.
2. All security holder recommendations for Trustee candidates must be
submitted to the registrant not less than one hundred twenty (120)
calendar days prior to the date on which the registrant's proxy
statement was released to shareholders in connection with the previous
year's annual meeting.
3. All security holder recommendations for Trustee candidates must include
the following information:
(a) The name and address of the security holder of record;
(b) A representation that the security holder is a record holder
of the applicable Fund's securities, or if the security holder
is not a record holder, evidence of ownership in accordance
with Rule 14a-8(b)(2) of the Securities Exchange Act of 1934,
as amended;
(c) The name, age, business and residential address, educational
background, current principal occupation or employment, and
principal occupation or employment for the preceding five (5)
full fiscal years of the proposed Trustee candidate;
(d) A description of the qualifications and background of the
proposed Trustee candidate that addresses the minimum
qualifications and other criteria for Board membership
approved by the Board from time to time;
(e) A description of all arrangements or understandings between
the security holder and the proposed Trustee candidate;
(f) The consent of the proposed Trustee candidate (i) to be named
in the proxy statement relating to the applicable Fund's
annual meeting of shareholders and (ii) to serve as a Trustee
if elected at such annual meeting; and
(g) Any other information regarding the proposed Trustee candidate
that is required to be included in a proxy statement filed
pursuant to the rules of the Securities and Exchange
Commission.
The Committee has not established specific, minimum qualifications that must be
met by an individual for the Committee to recommend that individual for
nomination as a Trustee. In seeking candidates to consider for nomination to
fill a vacancy on the Board, the Committee expects to seek referrals from a
variety of sources, including current Trustees, management of the registrant and
counsel to the registrant. The Committee may also engage a search firm to
identify or evaluate or assist in identifying or evaluating candidates. In
evaluating Trustee candidates, the Committee considers a variety of factors,
including, as appropriate: (i) the candidate's knowledge in matters relating to
investment companies; (ii) any experience possessed by the candidate as a
director or senior officer of other public companies; (iii) the candidate's
educational background; (iv) the candidate's reputation for high ethical
standards and personal and professional integrity; (v) any specific financial,
technical or other expertise possessed by the candidate, and the extent to which
such expertise would complement the Board's existing mix of skills and
qualifications; (vi) the candidate's perceived ability to contribute to the
ongoing functions of the Board, including the candidate's ability and commitment
to attend meetings regularly and work collaboratively with other members of the
Board; (vii) the candidate's ability to qualify as an Independent Trustee for
purposes of the 1940 Act, the candidate's independence from the registrant's
service providers and the existence of any other relationships that might give
rise to a conflict of interest or the appearance of a conflict of interest;
(viii) the candidate's age relative to the registrant's retirement age for
Trustees and (ix) such other factors as the Committee determines to be relevant
in light of the existing composition of the Board and any anticipated vacancies
or other transitions, e.g., whether or not a candidate is an "audit committee
financial expert" under the federal securities laws. Prior to making a final
recommendation to the Board, the Committee conducts personal interviews with the
candidate(s) it concludes are the most qualified. Any candidates recommended by
security holders will be evaluated in the same manner.
Item 10. Controls and Procedures.
(a) Based on an evaluation of the registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR, the registrant's principal executive officer and principal financial
officer concluded that the disclosure controls and procedures are
reasonably designed to ensure that the information required in filings on
Forms N-CSR is recorded, processed, summarized, and reported on a timely
basis.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal
half-year that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
Item 11. Exhibits.
(a)(1) Not applicable
(a)(2) Separate certifications by the registrant's principal executive officer
and principal financial officer, pursuant to Section 302 of the
Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment
Company Act of 1940.
(a)(3) Not applicable
(b) A certification by the registrant's chief executive officer and chief
financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of
2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) CIGNA Funds Group
By: /s/ Alfred A. Bingham III
-------------------------
Alfred A. Bingham III, Vice President
and Treasurer
Date: August 30, 2004.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Richard H. Forde
-----------------------------------------------------
Richard H. Forde, Chairman of the Board and President
Date: August 30, 2004.
By (Signature and Title) /s/ Alfred A. Bingham III
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Alfred A. Bingham III, Vice President and Treasurer
Date: August 30, 2004