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OMB APPROVAL
OMB Number: 3235-0570
Expires: October 30, 2006
Estimated average burden
hours per response .......19.3
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05551
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AmSouth Funds
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
3435 Stelzer Road, Columbus, OH 43219
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(Address of principal executive offices) (Zip code)
BISYS Fund Services Ohio, Inc., 3435 Stelzer Road, Columbus, OH 43219
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(Name and address of agent for service)
Registrant's telephone number, including area code: 614-470-8000
-----------------------------
Date of fiscal year end: 7/31/04
-----------------------
Date of reporting period: 7/31/04
----------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 ("Act") (17 CFR
270.30e-1). The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
Item 1. Reports to Stockholders.
Include a copy of the report transmitted to stockholders pursuant to Rule
30e-1 under the Act (17 CFR 270.30e-1).
ANNUAL REPORT
JULY 31, 2004
[AMSOUTH FUNDS(R) LOGO]
www.amsouthfunds.com
NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE
TABLE OF CONTENTS
GLOSSARY OF TERMS ........................................................ 1
MANAGEMENT DISCUSSION OF PERFORMANCE
Message from the Chairman and Investment Advisor ...................... 2
FUND SUMMARY
Value Fund ............................................................ 4
Select Equity Fund .................................................... 6
Enhanced Market Fund .................................................. 8
Large Cap Fund ........................................................ 10
Capital Growth Fund ................................................... 12
Mid Cap Fund .......................................................... 14
Small Cap Fund ........................................................ 16
International Equity Fund ............................................. 18
Balanced Fund ......................................................... 20
Strategic Portfolios .................................................. 22
Government Income Fund ................................................ 28
Limited Term Bond Fund ................................................ 30
Bond Fund ............................................................. 32
Municipal Bond Fund ................................................... 34
Florida Tax-Exempt Fund ............................................... 36
Tennessee Tax-Exempt Fund ............................................. 38
Money Market Funds .................................................... 40
SCHEDULE OF PORTFOLIO INVESTMENTS
Value Fund ............................................................ 41
Select Equity Fund .................................................... 42
Enhanced Market Fund .................................................. 43
Large Cap Fund ........................................................ 47
Capital Growth Fund ................................................... 48
Mid Cap Fund .......................................................... 50
Small Cap Fund ........................................................ 54
International Equity Fund ............................................. 55
Balanced Fund ......................................................... 62
Strategic Portfolios: Aggressive Growth Portfolio ..................... 64
Strategic Portfolios: Growth Portfolio ................................ 64
Strategic Portfolios: Growth and Income Portfolio ..................... 65
Strategic Portfolios: Moderate Growth and Income Portfolio ............ 65
Government Income Fund ................................................ 66
Limited Term Bond Fund ................................................ 67
Bond Fund ............................................................. 69
Municipal Bond Fund ................................................... 72
Florida Tax-Exempt Fund ............................................... 76
Tennessee Tax-Exempt Fund ............................................. 78
Prime Money Market Fund ............................................... 80
Treasury Reserve Money Market Fund .................................... 81
Tax-Exempt Money Market Fund .......................................... 81
Institutional Prime Obligations Money Market Fund ..................... 84
STATEMENTS OF ASSETS AND LIABILITIES ..................................... 86
STATEMENTS OF OPERATIONS ................................................. 90
STATEMENTS OF CHANGES IN NET ASSETS ...................................... 94
NOTES TO FINANCIAL STATEMENTS ............................................ 98
FINANCIAL HIGHLIGHTS ..................................................... 115
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM .................. 133
(This Page Intentionally Left Blank)
GLOSSARY OF TERMS
LIPPER MULTI-CAP CORE FUNDS AVERAGE IS COMPRISED OF MUTUAL FUNDS THAT, BY
PORTFOLIO PRACTICE, INVEST IN A VARIETY OF MARKET CAPITALIZATION RANGES, WITHOUT
CONCENTRATING 75% OF THEIR EQUITY ASSETS IN ANY ONE MARKET CAPITALIZATION RANGE
OVER AN EXTENDED PERIOD OF TIME. MULTI-CAP FUNDS WILL GENERALLY HAVE BETWEEN 25%
TO 75% OF THEIR ASSETS INVESTED IN COMPANIES WITH MARKET CAPITALIZATIONS (ON A
THREE-YEAR WEIGHTED BASIS) ABOVE 300% OF THE DOLLAR-WEIGHTED MEDIAN MARKET
CAPITALIZATION OF THE S&P MID-CAP 400 INDEX. MULTI-CAP CORE FUNDS HAVE WIDE
LATITUDE IN THE COMPANIES IN WHICH THEY INVEST. THESE FUNDS WILL NORMALLY HAVE
AN AVERAGE PRICE-TO-EARNINGS RATIO, PRICE-TO-BOOK RATIO, AND THREE-YEAR EARNINGS
GROWTH FIGURE, COMPARED TO THE U.S. DIVERSIFIED MULTI-CAP EQUITY FUNDS UNIVERSE
AVERAGE.
LIPPER MULTI-CAP GROWTH FUNDS AVERAGE IS COMPRISED OF MUTUAL FUNDS THAT INVEST
IN A VARIETY OF MARKET CAPITALIZATION RANGES, WITHOUT CONCENTRATING 75% OF THEIR
EQUITY ASSETS IN ANY ONE MARKET CAPITALIZATION RANGE OVER AN EXTENDED PERIOD OF
TIME. MULTI-CAP FUNDS WILL GENERALLY HAVE BETWEEN 25% TO 75% OF THEIR ASSETS
INVESTED IN COMPANIES WITH MARKET CAPITALIZATIONS (ON A THREE-YEAR WEIGHTED
BASIS) ABOVE 300% OF THE DOLLAR-WEIGHTED MEDIAN MARKET CAPITALIZATION OF THE S&P
MIDCAP 400 INDEX. MULTI-CAP GROWTH FUNDS NORMALLY INVEST IN COMPANIES WITH
LONG-TERM EARNINGS EXPECTED TO GROW SIGNIFICANTLY FASTER THAN THE EARNINGS OF
THE STOCKS REPRESENTED IN A MAJOR UNMANAGED STOCK INDEX. THESE FUNDS WILL
NORMALLY HAVE AN ABOVE AVERAGE P/E AND P/B RATIO AND THREE-YEAR EARNINGS GROWTH
FIGURE, COMPARED TO THAT OF THE U.S. DIVERSIFIED MULTI-CAP EQUITY FUNDS UNIVERSE
AVERAGE.
LIPPER LARGE CAP VALUE FUNDS AVERAGE IS COMPRISED OF MUTUAL FUNDS THAT, BY
PORTFOLIO PRACTICE, INVEST AT LEAST 75% OF THEIR EQUITY ASSETS IN COMPANIES WITH
MARKET CAPITALIZATIONS (ON A THREE-YEAR WEIGHTED BASIS) GREATER THAN 300% OF THE
DOLLAR-WEIGHTED MEDIAN MARKET CAPITALIZATION OF THE MIDDLE 1,000 SECURITIES OF
THE S&P SUPERCOMPOSITE 1500 INDEX. LARGE-CAP VALUE FUNDS TYPICALLY HAVE A
BELOW-AVERAGE PRICE-TO-EARNINGS RATIO, PRICE-TO-BOOK RATIO, AND THREE-YEAR
SALES-PER-SHARE GROWTH VALUE, COMPARED TO THE S&P 500 INDEX.
LIPPER FLEXIBLE PORTFOLIO FUNDS AVERAGE IS COMPRISED OF MUTUAL FUNDS THAT
ALLOCATE THEIR INVESTMENTS ACROSS VARIOUS ASSET CLASSES, INCLUDING DOMESTIC
COMMON STOCKS, BONDS, AND MONEY MARKET INSTRUMENTS WITH A FOCUS ON TOTAL RETURN.
1
MESSAGE FROM THE CHAIRMAN AND INVESTMENT ADVISOR
DEAR SHAREHOLDERS:
We are pleased to present this annual report for the 12-month period ended July
31, 2004. The period saw two distinct environments in the financial markets:
Stocks rallied and bonds were stable during the six months through January, as
strong economic growth, low inflation and accommodative monetary policy provided
support for the markets. The second half of the period saw declines among both
stocks and bonds due to a slowdown in job growth, an up-tick in inflation, and a
June increase in the federal funds rate by the Federal Reserve Board ("the
Fed"). That increase came after 13 rate reductions that brought the federal
funds rate down from 6.5% to 1% during the prior three and a half years.
ECONOMIC GROWTH ACCELERATES, THEN MODERATES
The economy was relatively weak at the beginning of the period, but strong
monetary and fiscal stimulus, solid consumer spending and rising business
spending helped produce powerful growth during the third calendar quarter of
2003. The expansion moderated but broadened during the fourth quarter, as
improved business investment helped compensate for waning consumer spending.
The economy continued to expand during the second half of the period. That
growth, combined with rising prices on oil and other materials, led to slightly
higher inflation. Those factors led many observers to anticipate that the Fed
would increase short-term interest rates.
Job creation was weaker than expected throughout much of the period, however,
and many economists worried that slow job growth could imperil the economic
recovery. The Fed eventually raised the federal funds rate on June 30, from
1.00% to 1.25%, after strong jobs reports in the spring seemed to indicate that
the economy's momentum had become self-sustaining. The economy showed signs in
July that growth might slow, however, weighed down by high oil prices, rising
bond yields and lackluster job growth.
Corporate profits were very strong throughout the period. Businesses benefited
from rising worker productivity, strong demand, increased pricing power and a
weakening dollar, which made U.S. products more attractive in foreign markets.
Some technology firms saw lower-than-expected profits near the end of the
period, due to slackening demand for certain products.
STOCKS RALLY, THEN PULL BACK
Stocks produced very strong gains during the first half of the period. Investors
were encouraged by the economy's gathering momentum, corporate profit growth and
the Fed's accommodative monetary policy. Shares of small, lower-quality firms
fared best in this environment, as they rebounded from low levels. Technology
and other high-growth sectors led the market early in the period, but leadership
shifted to more value-oriented stocks as the market's gains broadened during
late 2003 and in January of 2004.
The market stalled in February, as consumer confidence eased off a bit and
investors worried that valuations had climbed too quickly. Political rhetoric
leading up to the presidential election campaign, as well as the March bombing
in Madrid, created uncertainty in the financial markets. Fears of rising
interest rates and higher oil prices also contributed to the stock market's
decline.
Stocks rallied from mid-May through June, as investors encouraged by continued
economic strength bought stocks that had declined to reasonable valuations.
Stocks reacted positively to the Fed's June 30 quarter-point interest-rate hike.
The market declined in July, however, as economic growth showed signs of
slowing.
BOND YIELDS RISE LATE IN THE PERIOD
The fixed-income markets were relatively stable during the first half of the
period. The Fed anchored short-term rates at historically low levels by
maintaining a highly accommodative monetary policy. Meanwhile, low inflation and
high demand for yield helped long-term bonds post slight gains. Corporate bonds
performed well during the first half of the period, as the strengthening economy
improved companies' credit-worthiness.
Conflicting data about the strength of the economy and inflation created a great
deal of volatility in the bond markets during the second half of the period. The
soft job market and tame inflation reassured bond investors that the Fed would
move slowly when it raised interest rates. That sentiment helped to prevent
yields from climbing sharply through early spring.
Short-term yields began rising in May, as stronger job growth data made it
likely that the Fed would raise interest rates at its June 30 meeting. The
market anticipated that move to such a great degree that yields actually fell
following the Fed's quarter-point rate hike. The yield curve
2
flattened significantly during the second half of the period: Short-term rates
rose due to investors' anticipation of the Fed's action, while a relatively
benign long-term inflation outlook kept yields on longer maturity bonds from
rising substantially.
OUTLOOK
We do not expect the recent moderation in the economy's growth rate to mark the
beginning of a meaningful slowdown. Economic growth is likely to be driven by
business capital spending, inventory building and exports during the coming
months. We believe the Fed is likely to proceed cautiously, weighing the
inflationary pressures associated with economic growth against the effects of
high oil prices and global instability. The speed and magnitude with which the
Fed raises short-term interest rates will likely be determined by factors such
as the pace of economic activity, job growth, inflation, wage gains and
performance of the financial markets.
We believe that fear itself presents the major risk to the economy going
forward. Risk-aversion would undermine the economic recovery's self-reinforcing
nature by undercutting business spending and job growth.
We think the stock market will post gains during the months ahead, as investors
realize that stock-price declines and profit increases have made valuations more
attractive. Furthermore, a still-accommodative monetary policy should help
support price gains, as should corporations' generally healthy balance sheets.
Under these circumstances, we expect shares of high-quality, dividend-paying
companies should outperform higher-risk, lower-quality stocks.
We believe low expectations for inflation, high demand for risk-free income and
low investor risk tolerance will prevent Treasury yields from rising as much
during this cycle as they have during previous economic recoveries. We also
believe the Treasury yield curve is likely to flatten further during the coming
year as the Fed steadily increases short-term interest rates.
Thank you for your confidence in the AmSouth Funds. We will continue to provide
a diverse selection of carefully managed mutual funds to help you meet your
financial goals. We look forward to serving your financial needs during the
months and years ahead.
Sincerely,
/s/ J David Huber
J. David Huber
Chairman
AmSouth Funds
/s/ Joseph T. Keating
Joseph T. Keating
Chairman and Chief Investment Officer
AmSouth Asset Management Inc., LLC
INVESTMENTS IN THE FUNDS ARE NEITHER GUARANTEED BY, NOR OBLIGATIONS OF, AMSOUTH
BANK OR ANY OTHER BANK AND ARE NOT INSURED BY THE FDIC OR ANY OTHER GOVERNMENT
AGENCY. INVESTMENT IN MUTUAL FUNDS INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL. THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT
PROSPECTUS.
3
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AMSOUTH VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
Brian B. Sullivan, CFA
Director, Value Equity Strategies
AmSouth Bank
AmSouth Asset Managment, Inc.
BRIAN B. SULLIVAN, CFA, HAS BEEN THE PORTFOLIO MANAGER FOR THE VALUE FUND SINCE
JUNE 2004. MR. SULLIVAN HAS MORE THAN 18 YEARS OF INVESTMENT MANAGEMENT
EXPERIENCE AND HOLDS AN MBA IN FINANCE AND A BACHELOR'S DEGREE IN ECONOMICS.
INVESTMENT CONCERNS
VALUE-BASED INVESTMENTS ARE SUBJECT TO THE RISK THAT THE BROAD MARKET MAY NOT
RECOGNIZE THEIR INTRINSIC VALUE.
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGER'S PERSPECTIVE
"THE AMSOUTH VALUE FUND USES A `VALUE INVESTING' APPROACH. RATHER THAN PURSUE
HOT STOCKS THAT ARE IN HIGH DEMAND, WE SEARCH FOR SOLID COMPANIES WITH GOOD
FUNDAMENTALS THAT ARE AVAILABLE AT ATTRACTIVE PRICES. BY ADHERING TO THIS
INVESTMENT APPROACH THROUGH ENTIRE MARKET CYCLES, WE SEEK TO ACHIEVE ABOVE
AVERAGE LONG-TERM RESULTS WITH LESS VOLATILITY THAN THE OVERALL MARKET."
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Q&A
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Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 14.69% (Class A Shares at NAV). That
compared to a 17.33% total return for the Fund's benchmark, the S&P 500/BARRA
Value Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. The strengthening economy and healthy corporate profits encouraged investors
to buy stocks during the first half of the period, leading to strong gains for
the Fund and its benchmark. The broad market and the Fund declined slightly
during the second half of the period as economic growth showed signs of slowing.
The Fund throughout the period emphasized shares of cyclical companies that were
likely to reap strong benefits from the economic expansion. That approach led us
to under-weight defensive sectors such as energy. Rising oil prices helped
energy stocks lead the market during the 12-month period, so the Fund's
underweight position dragged on returns against the benchmark. The performance
of the technology stocks in the Fund's portfolio also hindered relative returns.
We focused on shares of large, well-established technology firms. Such stocks
lagged shares of small, lower-quality technology firms when the technology
sector posted strong gains during the first half of the period.
The Fund's returns versus the benchmark benefited from our stock selection in
the consumer discretionary sector, including strong returns among shares of
economically-sensitive retail and leisure companies. Stock selection in the
industrials sector also boosted relative returns.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
4
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AMSOUTH VALUE FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
---------------------------------------------------------------------------
AmSouth Value Fund (Class A Shares)* S&P 500/BARRA Value Index
---------------------------------------------------------------------------
7/31/94 9452 10000
---------------------------------------------------------------------------
9536 9921
---------------------------------------------------------------------------
12/31/94 9349 9845
---------------------------------------------------------------------------
10225 10794
---------------------------------------------------------------------------
10925 11734
---------------------------------------------------------------------------
11527 12667
---------------------------------------------------------------------------
12/31/95 11909 13487
---------------------------------------------------------------------------
12743 14350
---------------------------------------------------------------------------
13171 14643
---------------------------------------------------------------------------
13235 15030
---------------------------------------------------------------------------
12/31/96 13784 16454
---------------------------------------------------------------------------
14484 16744
---------------------------------------------------------------------------
16527 19167
---------------------------------------------------------------------------
18272 20923
---------------------------------------------------------------------------
12/31/97 18236 21387
---------------------------------------------------------------------------
20653 23858
---------------------------------------------------------------------------
20617 23982
---------------------------------------------------------------------------
18438 20885
---------------------------------------------------------------------------
12/31/98 21447 24526
---------------------------------------------------------------------------
21558 25225
---------------------------------------------------------------------------
23756 27949
---------------------------------------------------------------------------
21125 25370
---------------------------------------------------------------------------
12/31/99 22276 27646
---------------------------------------------------------------------------
21974 27711
---------------------------------------------------------------------------
20790 26521
---------------------------------------------------------------------------
22710 28858
---------------------------------------------------------------------------
12/31/00 23408 29328
---------------------------------------------------------------------------
23551 27414
---------------------------------------------------------------------------
25756 28622
---------------------------------------------------------------------------
22626 23984
---------------------------------------------------------------------------
12/31/01 24363 25894
---------------------------------------------------------------------------
25831 26237
---------------------------------------------------------------------------
20734 23444
---------------------------------------------------------------------------
15259 18648
---------------------------------------------------------------------------
12/31/02 17221 20494
---------------------------------------------------------------------------
15975 19365
---------------------------------------------------------------------------
18906 23013
---------------------------------------------------------------------------
18930 23598
---------------------------------------------------------------------------
12/31/03 21540 27009
---------------------------------------------------------------------------
22405 27913
---------------------------------------------------------------------------
22194 28135
---------------------------------------------------------------------------
7/31/04 21802 27602
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THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------
As of Inception 1 5 10
July 31, 2004 Date Year Year Year
----------------------------------------------------
CLASS A SHARES* 12/1/88 8.38% -2.20% 8.10%
----------------------------------------------------
CLASS B SHARES** 9/3/97(1) 8.81% -2.09% 8.15%
----------------------------------------------------
CLASS I SHARES 9/2/97(1) 14.77% -0.97% 8.83%
----------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 VERSUS A SIMILAR INVESTMENT IN THE FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH VALUE FUND IS MEASURED AGAINST THE S&P 500/BARRA
VALUE INDEX, AN UNMANAGED MARKET CAPITALIZATION WEIGHTED INDEX COMPRISED OF A
SUBSET OF THE S&P 500 WITH LOW PRICE-TO-BOOK RATIOS RELATIVE TO THE S&P 500 AS A
WHOLE. THE INDEX IS NOT AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES,
BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN,
THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE
WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE
BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
9/3/97 AND 9/2/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE OF
THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
5
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AMSOUTH SELECT EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
OakBrook Investments, LLC (sub-advisor)
Neil Wright, President and Chief Investment Officer
Janna Sampson, Director of Portfolio Management
Peter Jankovskis, Director of Research
AS PORTFOLIO MANAGERS FOR THE AMSOUTH SELECT EQUITY FUND, NEIL WRIGHT, JANNA
SAMPSON AND PETER JANKOVSKIS ARE THREE VETERAN INVESTMENT PROFESSIONALS WHO HAVE
MORE THAN 50 YEARS OF COMBINED EXPERIENCE. NEIL AND PETER HOLD PHDS IN
ECONOMICS, AND JANNA HOLDS AN MA IN ECONOMICS. THEY HAVE WORKED TOGETHER FOR THE
PAST 11 YEARS. THEY ALSO SERVE AS THE PORTFOLIO MANAGERS FOR THE AMSOUTH
ENHANCED MARKET FUND AND THE AMSOUTH MID CAP FUND.
INVESTMENT CONCERNS
A CONCENTRATED PORTFOLIO MAY ADD A MEASURE OF VOLATILITY TO PERFORMANCE, AS
MAJOR FLUCTUATIONS IN ANY ONE HOLDING WILL LIKELY AFFECT THE FUND MORE THAN A
FUND WITH A GREATER DIVERSIFICATION.
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGERS' PERSPECTIVE
"OUR GOAL IN MANAGING THE AMSOUTH SELECT EQUITY FUND IS TO OUTPERFORM THE S&P
500 STOCK INDEX OVER A COMPLETE MARKET CYCLE WHILE EXPERIENCING LESS VOLATILITY
THAN THE BROAD STOCK MARKET. WE LOOK FOR 20 TO 25 LEADING COMPANIES THAT HAVE A
DOMINANT MARKET POSITION, OR A WELL-KNOWN BRAND NAME, YET WHOSE STOCK PRICE IS
UNDERVALUED. TO MAKE THIS `GROWTH AT A REASONABLE PRICE' STRATEGY WORK, WE USE
ECONOMIC THEORY TO DETERMINE WHETHER A COMPANY IS LIKELY TO RECOVER ITS DOMINANT
POSITION AFTER A DIP. WE BELIEVE OUR PATIENT, LONG-TERM APPROACH OFFERS
EXCELLENT DEFENSIVE PROTECTION, WHICH CAN REDUCE LOSSES WHEN THE MARKET IS
WEAK."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 13.54% (Class A Shares at NAV), compared
to a 13.16% total return for its benchmark, the S&P 500 Stock Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. The Fund benefited from a powerful stock-market rally during the first six
months of the period, as signs of economic strength encouraged investors to buy
stocks. Stocks declined slightly from the end of January through July, as
negative factors such as rising interest rates, rising oil prices, fears of
terrorist activity and weaker earnings prospects for technology firms weighed on
the market and the Fund.
Prior to the period we began preparing the Fund's portfolio to benefit from
strong economic growth. We increased its stake in relatively cyclical stocks in
the retail, media and technology industries and decreased its stake in health
care. Those moves helped the Fund's returns relative to the benchmark during the
first six months of the period, but dragged on relative returns during the last
six months. The Fund's stake in consumer stocks, particularly food companies,
had the opposite effect. The Fund's consistent over-weight of the consumer
staples and consumer discretionary sectors hurt relative returns during the
first six months, but helped during the second half of the period.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE AMSOUTH SELECT EQUITY FUND IS SUBADVISED BY OAKBROOK INVESTMENTS, LLC, WHICH
IS PAID A FEE FOR ITS SERVICES.
6
- --------------------------------------------------------------------------------
AMSOUTH SELECT EQUITY FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
-----------------------------------------------------------------------------
AmSouth Select Equity Fund (Class A Shares)* S&P 500 Stock Index
-----------------------------------------------------------------------------
9/1/98 9452 10000
-----------------------------------------------------------------------------
9928 10641
-----------------------------------------------------------------------------
12/31/98 11400 12905
-----------------------------------------------------------------------------
10994 13548
-----------------------------------------------------------------------------
11973 14501
-----------------------------------------------------------------------------
10409 13598
-----------------------------------------------------------------------------
12/31/99 10246 15619
-----------------------------------------------------------------------------
9346 15977
-----------------------------------------------------------------------------
9461 15553
-----------------------------------------------------------------------------
9840 15402
-----------------------------------------------------------------------------
12/31/00 11543 14198
-----------------------------------------------------------------------------
10826 12516
-----------------------------------------------------------------------------
11439 13248
-----------------------------------------------------------------------------
11274 11304
-----------------------------------------------------------------------------
12/31/01 12403 12512
-----------------------------------------------------------------------------
12790 12546
-----------------------------------------------------------------------------
11808 10866
-----------------------------------------------------------------------------
10746 8990
-----------------------------------------------------------------------------
12/31/02 11272 9748
-----------------------------------------------------------------------------
10644 9441
-----------------------------------------------------------------------------
12362 10893
-----------------------------------------------------------------------------
12684 11181
-----------------------------------------------------------------------------
12/31/03 14206 12542
-----------------------------------------------------------------------------
14848 12754
-----------------------------------------------------------------------------
14860 12974
-----------------------------------------------------------------------------
7/31/04 14120 12544
-----------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
-------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------
As of Inception 1 5 Since
July 31,2004 Date Year Year Inception
-------------------------------------------------------
Class A Shares* 9/1/98 7.31% 3.40% 6.01%
-------------------------------------------------------
Class B Shares** 9/2/98(1) 7.74% 3.49% 6.13%
-------------------------------------------------------
Class I Shares 12/3/98(1) 13.73% 4.75% 7.20%
-------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 9/1/98
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH SELECT EQUITY FUND IS MEASURED AGAINST THE S&P
500 STOCK INDEX, A WIDELY RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE
INDEX IS NOT AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE
COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE
ADVISORS WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS
AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN
LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH COMMENCED OPERATIONS
ON 9/2/98 AND 12/3/98, RESPECTIVELY, ARE BASED ON THE HISTORICAL
PERFORMANCE OF THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT
DATE. THE HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED
TO REFLECT THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
7
- --------------------------------------------------------------------------------
AMSOUTH ENHANCED MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
OakBrook Investments, LLC (sub-advisor):
Neil Wright, President and Chief Investment Officer
Janna Sampson, Director of Portfolio Management
Peter Jankovskis, Director of Research
NEIL WRIGHT, JANNA SAMPSON AND PETER JANKOVSKIS ARE THREE VETERAN INVESTMENT
PROFESSIONALS WHO HAVE MORE THAN 50 YEARS OF COMBINED EXPERIENCE. NEIL AND PETER
HAVE PHDS IN ECONOMICS, AND JANNA HOLDS AN MA IN ECONOMICS. THEY HAVE WORKED
TOGETHER FOR THE PAST 11 YEARS. IN ADDITION TO THE ENHANCED MARKET FUND, THEY
ALSO SERVE AS PORTFOLIO MANAGERS OF THE AMSOUTH SELECT EQUITY FUND AND THE
AMSOUTH MID CAP FUND.
INVESTMENT CONCERNS
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGERS' PERSPECTIVE
"OUR STOCK SELECTION STRATEGY FOR THE AMSOUTH ENHANCED MARKET FUND IS FAIRLY
CONSERVATIVE, WITH FUND RETURNS HAVING A VERY CLOSE CORRELATION TO THOSE OF THE
S&P 500 STOCK INDEX. WE TRY TO BE 100% INVESTED AND DO NOT TRY TO TIME THE
MARKET. THROUGH THE USE OF A SOPHISTICATED COMPUTER MODEL, WE ATTEMPT TO
IDENTIFY AND INVEST IN 350 TO 400 STOCKS WITHIN THE S&P 500 THAT ARE STARTING TO
EXPERIENCE A WIDENING RANGE OF INVESTOR EXPECTATIONS. WE LOOK TO OVERWEIGHT
THOSE STOCKS THAT WE BELIEVE MAY OUTPERFORM THE OVERALL MARKET."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 12.73% (Class A Shares at NAV). The
Fund's benchmark, the S&P 500 Stock Index, returned 13.16%.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE DURING THE PERIOD?
A. The Fund benefited from a strong stock-market rally during the first six
months of the period. Returns suffered from a weak overall stock market during
the subsequent six months, as investors grappled with the effects of rising
interest rates and oil prices, concerns about terrorist activity and weakening
earnings prospects for technology companies.
This Fund's investment process monitors the range of investor expectations
surrounding each stock, and automatically adjusts the Fund's holdings to
emphasize the stocks that are most attractive. This approach generated strong
stock selections for the Fund, particularly within the consumer discretionary
sector. The Fund's returns against the benchmark also benefited from an
over-weight of energy stocks as a group, which out-gained the benchmark during
the period. However, these gains were partially offset by an over-weight of the
technology sector that hampered relative returns during the second half of the
period.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE AMSOUTH ENHANCED MARKET FUND IS SUBADVISED BY OAKBROOK INVESTMENTS, LLC,
WHICH IS PAID A FEE FOR ITS SERVICES.
8
- --------------------------------------------------------------------------------
AMSOUTH ENHANCED MARKET FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
-------------------------------------------------------------
AmSouth Enhanced Market Fund
(Class A Shares)* S&P 500 Stock Index
-------------------------------------------------------------
9/1/98 9452 10000
-------------------------------------------------------------
10048 10641
-------------------------------------------------------------
12/31/98 12130 12905
-------------------------------------------------------------
12746 13548
-------------------------------------------------------------
13624 14501
-------------------------------------------------------------
12840 13598
-------------------------------------------------------------
12/31/99 14684 15619
-------------------------------------------------------------
15070 15977
-------------------------------------------------------------
14635 15553
-------------------------------------------------------------
14546 15402
-------------------------------------------------------------
12/31/00 13474 14198
-------------------------------------------------------------
11799 12516
-------------------------------------------------------------
12504 13248
-------------------------------------------------------------
10578 11304
-------------------------------------------------------------
12/31/01 11779 12512
-------------------------------------------------------------
11848 12546
-------------------------------------------------------------
10174 10866
-------------------------------------------------------------
8328 8990
-------------------------------------------------------------
12/31/02 9014 9748
-------------------------------------------------------------
8673 9441
-------------------------------------------------------------
10007 10893
-------------------------------------------------------------
10251 11181
-------------------------------------------------------------
12/31/03 11521 12542
-------------------------------------------------------------
11685 12754
-------------------------------------------------------------
11856 12974
-------------------------------------------------------------
7/31/04 11481 12544
-------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Inception 1 5 Since
July 31,2004 Date Year Year Inception
--------------------------------------------------------
Class A Shares* 9/1/98 6.58% -3.89% 2.36%
--------------------------------------------------------
Class B Shares** 9/2/98(1) 6.84% -3.90% 2.40%
--------------------------------------------------------
Class I Shares 12/11/98(1) 12.85% -2.65% 3.49%
--------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 9/1/98
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH ENHANCED MARKET FUND IS MEASURED AGAINST THE S&P
500 STOCK INDEX, A WIDELY RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE
INDEX IS NOT AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE
COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR
WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR
REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH COMMENCED OPERATIONS
ON 9/2/98 AND 12/11/98, RESPECTIVELY, ARE BASED ON THE HISTORICAL
PERFORMANCE OF THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT
DATE. THE HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED
TO REFLECT THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
9
- --------------------------------------------------------------------------------
AMSOUTH LARGE CAP FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
Ronald E. Lindquist
Co-Director, Growth Equity Strategy
AmSouth Bank
AmSouth Asset Management, Inc.
RON LINDQUIST HAS MORE THAN 35 YEARS OF FOCUSED INVESTMENT MANAGEMENT
EXPERIENCE. HE HAS SERVED AS PORTFOLIO MANAGER OF AMSOUTH'S LARGE CAP FUND SINCE
ITS INCEPTION AND ALSO SERVES AS CO-DIRECTOR OF GROWTH EQUITY STRATEGIES FOR
AMSOUTH ASSET MANAGEMENT, INC. A FOUNDING MEMBER OF THE FINANCIAL ANALYSTS
SOCIETY OF SOUTH FLORIDA, MR. LINDQUIST HOLDS A MASTER'S DEGREE IN MANAGEMENT
SCIENCE FROM FLORIDA INTERNATIONAL UNIVERSITY AND A BACHELOR'S DEGREE IN FINANCE
FROM FLORIDA STATE UNIVERSITY.
INVESTMENT CONCERNS
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGER'S PERSPECTIVE
"THE AMSOUTH LARGE CAP FUND IS MANAGED IN A TRADITIONAL LARGE-CAP GROWTH STYLE.
OUR GOAL IS TO OUTPERFORM THE S&P 500 STOCK INDEX OVER MULTIPLE MARKET CYCLES.
WE LOOK FOR INDUSTRY LEADERS THAT HAVE SHOWN THE POTENTIAL TO GENERATE
RELATIVELY PREDICTABLE, ABOVE-AVERAGE 3-TO 5-YEAR EARNINGS STREAMS. WE TYPICALLY
PURCHASE STOCKS OF LARGE, HIGH-QUALITY COMPANIES WITH SUPERIOR EARNINGS PER
SHARE GROWTH RATES AND CORRESPONDINGLY APPROPRIATE PRICE/EARNINGS RATIOS1.WE
CONSIDER SALES WHEN A STOCK'S RELATIVE PRICE/EARNINGS RATIO IS WELL IN EXCESS OF
HISTORICAL, SIMILAR-MARKET NORMS OR WHEN A SIGNIFICANT AND ONGOING EARNINGS
STREAM DETERIORATION IS FORECAST."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 6.87% (Class A Shares at NAV). That
compared to a 13.16% total return for the Fund's benchmark, the S&P 500 Stock
Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE DURING THE PERIOD?
A. The Fund's returns benefited from a strong stock market environment during
the first half of the period. Stocks surged during the six months through
January as investors were encouraged by strong economic growth and corporate
profits. The market cooled during the second half of the period, as the degree
of the economy's strength became more difficult for investors to gauge.
This Fund focuses on the shares of high-quality, traditional growth-style firms
that have demonstrated solid long-term earnings growth patterns. We typically do
not invest in sectors that lack attractive long-term earnings-growth histories,
such as basic materials, energy, utilities or telecommunications services. Those
very sectors out-performed the benchmark during the period, however, which hurt
the Fund's returns compared to the benchmark.+
We held overweight positions in consumer discretionary and consumer staples
stocks, both of which out-gained the benchmark during the period. The Fund's
prudent stock selection within those sectors also boosted its relative returns.+
The Fund typically over-weights long-term growth oriented sectors, particularly
technology and health care. Those sectors performed relatively poorly during
this period. Moreover, the Fund's specific stock selections within those
underperforming sectors further diminished returns relative to our benchmark.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
(1) PRICE-TO-EARNINGS-A VALUATION RATIO OF A COMPANY'S CURRENT SHARE PRICE TO
ITS PER-SHARE EARNINGS. THIS RATIO GIVES AN INVESTOR AN IDEA OF HOW MUCH
THEY ARE PAYING FOR A PARTICULAR COMPANY'S EARNING POWER.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
10
- --------------------------------------------------------------------------------
AMSOUTH LARGE CAP FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
-------------------------------------------------------------------------
AmSouth Large Cap Fund (Class A Shares)* S&P 500 Stock Index
-------------------------------------------------------------------------
7/31/94 9450 10000
-------------------------------------------------------------------------
9687 10155
-------------------------------------------------------------------------
12/31/94 10011 10153
-------------------------------------------------------------------------
10933 11140
-------------------------------------------------------------------------
11818 12202
-------------------------------------------------------------------------
12657 13171
-------------------------------------------------------------------------
12/31/95 13515 13964
-------------------------------------------------------------------------
14024 14713
-------------------------------------------------------------------------
14526 15373
-------------------------------------------------------------------------
15063 15848
-------------------------------------------------------------------------
12/31/96 15897 17168
-------------------------------------------------------------------------
16333 17629
-------------------------------------------------------------------------
19287 20704
-------------------------------------------------------------------------
20690 22255
-------------------------------------------------------------------------
12/31/97 21609 22893
-------------------------------------------------------------------------
24350 26085
-------------------------------------------------------------------------
25376 26951
-------------------------------------------------------------------------
23866 24276
-------------------------------------------------------------------------
12/31/98 29793 29441
-------------------------------------------------------------------------
30623 30907
-------------------------------------------------------------------------
32043 33081
-------------------------------------------------------------------------
30798 31021
-------------------------------------------------------------------------
12/31/99 35408 35633
-------------------------------------------------------------------------
35756 36449
-------------------------------------------------------------------------
37008 35481
-------------------------------------------------------------------------
35778 35137
-------------------------------------------------------------------------
12/31/00 34623 32390
-------------------------------------------------------------------------
30229 28552
-------------------------------------------------------------------------
31235 30222
-------------------------------------------------------------------------
27418 25788
-------------------------------------------------------------------------
12/31/01 30715 28543
-------------------------------------------------------------------------
30926 28622
-------------------------------------------------------------------------
26060 24789
-------------------------------------------------------------------------
21404 20509
-------------------------------------------------------------------------
12/31/02 23567 22237
-------------------------------------------------------------------------
22674 21537
-------------------------------------------------------------------------
26215 24851
-------------------------------------------------------------------------
26922 25508
-------------------------------------------------------------------------
12/31/03 29598 28612
-------------------------------------------------------------------------
29729 29096
-------------------------------------------------------------------------
30008 29597
-------------------------------------------------------------------------
7/31/04 28630 28617
-------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------
As of Inception 1 5 10
July 31,2004 Date Year Year Year
----------------------------------------------------
Class A Shares* 8/3/92 1.00% -3.01% 11.09%
----------------------------------------------------
Class B Shares** 12/15/98(1) 0.99% -2.93% 10.74%
----------------------------------------------------
Class I Shares 12/14/98(1) 6.99% -1.79% 11.79%
----------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH LARGE CAP FUND IS MEASURED AGAINST THE S&P 500
STOCK INDEX, A WIDELY RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE INDEX
IS NOT AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS
OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED
AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR
REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 7/31/94 TO 12/13/98 OF THE DG
EQUITY FUND AND FROM 12/14/98 TO 3/12/00 OF THE ISG LARGE CAP EQUITY FUND, WHICH
WERE OPEN-END INVESTMENT COMPANIES THAT WERE PREDECESSOR FUNDS TO THE AMSOUTH
LARGE CAP FUND. THE PREDECESSOR FUNDS WERE MANAGED USING SUBSTANTIALLY THE SAME
INVESTMENT OBJECTIVE, POLICIES AND METHODOLOGIES AS THE FUND.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH COMMENCED OPERATIONS
ON 12/15/98 AND 12/14/98, RESPECTIVELY, ARE BASED ON THE HISTORICAL
PERFORMANCE OF THE CLASS A SHARES, INCLUDING THE PERFORMANCE OF THE
PREDECESSOR FUNDS, (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
11
- --------------------------------------------------------------------------------
AMSOUTH CAPITAL GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
John Mark McKenzie
Co-Director, Growth Equity Strategy
AmSouth Asset Management, Inc.
JOHN MARK MCKENZIE HAS BEEN AN INVESTMENT MANAGER SINCE 1981. HIS EXPERIENCE
INCLUDES BOTH EQUITY PORTFOLIO AND FIXED INCOME PORTFOLIO MANAGEMENT. HE HAS
MANAGED A NUMBER OF AMSOUTH MUTUAL FUNDS AND WAS NAMED PORTFOLIO MANAGER OF THE
AMSOUTH CAPITAL GROWTH FUND IN 2004. IN ADDITION, HE SERVES AS CO-DIRECTOR OF
GROWTH EQUITY STRATEGY FOR AMSOUTH ASSET MANAGEMENT, INC. MR. MCKENZIE HOLDS A
BACHELOR'S DEGREE IN BANKING AND FINANCE FROM THE UNIVERSITY OF MISSISSIPPI, AND
EARNED HIS LAW DEGREE FROM THE UNIVERSITY OF MISSISSIPPI SCHOOL OF LAW. HE IS A
MEMBER OF THE MISSISSIPPI SOCIETY OF FINANCIAL ANALYSTS AND THE MISSISSIPPI
STATE BAR ASSOCIATION.
INVESTMENT CONCERNS
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGER'S PERSPECTIVE
"AS A GROWTH-ORIENTED FUND, THE CAPITAL GROWTH FUND FOCUSES ON INDUSTRY LEADERS
WITH HIGH EARNINGS PER SHARE. WE GENERALLY LOOK FOR ANNUAL EARNINGS GROWTH OF
15% OR HIGHER. AFTER IDENTIFYING STRONG THEMES, SUCH AS TECHNOLOGY OR HEALTH
CARE, WE SELECT COMPANIES THAT HAVE FINANCIAL STRENGTH, GOOD RETURN ON EQUITY,
REASONABLE DEBT-TO-EQUITY RATIOS AND STRONG REVENUE GROWTH. WE APPLY SELL
DISCIPLINE THROUGH PRICE TARGETS AND DOWNSIDE ALERTS."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 5.94% (Class A Shares at NAV). That
compared to a 9.11% total return for the Fund's benchmark, the S&P 500/BARRA
Growth Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. Large capitalization growth stocks performance as evidenced by our S&P/BARRA
Growth Index benchmark showed significant gains in the six month period ending
January 31 as consumers kept spending discretionary income they obtained from
lower refinancing of housing costs and lower tax rates. The second half of the
year ended July 31 saw a contraction of some of the gains as the market began to
worry about the economic consequences of the Presidential election, the outcome
of the war in Iraq, rising oil prices and rising interest rates.
During the year we moved toward larger capitalization stocks with an emphasis on
companies with higher quality earnings. The Fund's characteristics showed
overall gains in company ROA and ROE. The stocks we own also showed increases in
net margins from operations. We reduced the number of holdings in the Fund.+
Our continued emphasis on healthcare and information technology sectors weighed
on the Fund's performance during the period. While typically a major portion of
a growth stock style, these two sectors proved to be the two lowest performers
of the ten sectors in the benchmark. We continue to believe these sectors will
provide us with the most growth opportunities in the coming year.
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
12
- --------------------------------------------------------------------------------
AMSOUTH CAPITAL GROWTH FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
----------------------------------------------------------------------------
AmSouth Capital Growth Fund (Class A
Shares)* S&P 500/BARRA Growth Index
----------------------------------------------------------------------------
7/31/94 9455 10000
----------------------------------------------------------------------------
9700 10384
----------------------------------------------------------------------------
12/31/94 9673 10455
----------------------------------------------------------------------------
10559 11482
----------------------------------------------------------------------------
11076 12669
----------------------------------------------------------------------------
11962 13674
----------------------------------------------------------------------------
12/31/95 12616 14442
----------------------------------------------------------------------------
13624 15067
----------------------------------------------------------------------------
14223 16123
----------------------------------------------------------------------------
14360 16691
----------------------------------------------------------------------------
12/31/96 15422 17903
----------------------------------------------------------------------------
15269 18543
----------------------------------------------------------------------------
17922 22304
----------------------------------------------------------------------------
19469 23613
----------------------------------------------------------------------------
12/31/97 20171 24443
----------------------------------------------------------------------------
22897 28418
----------------------------------------------------------------------------
23039 30082
----------------------------------------------------------------------------
21720 27903
----------------------------------------------------------------------------
12/31/98 26637 34748
----------------------------------------------------------------------------
28025 37139
----------------------------------------------------------------------------
28925 38562
----------------------------------------------------------------------------
27430 37215
----------------------------------------------------------------------------
12/31/99 32458 44563
----------------------------------------------------------------------------
34378 46394
----------------------------------------------------------------------------
33881 45713
----------------------------------------------------------------------------
35441 41697
----------------------------------------------------------------------------
12/31/00 32235 34724
----------------------------------------------------------------------------
25420 28676
----------------------------------------------------------------------------
27332 30888
----------------------------------------------------------------------------
21522 26810
----------------------------------------------------------------------------
12/31/01 25224 30302
----------------------------------------------------------------------------
25273 30062
----------------------------------------------------------------------------
21351 25174
----------------------------------------------------------------------------
17846 21619
----------------------------------------------------------------------------
12/31/02 18875 23155
----------------------------------------------------------------------------
18556 22964
----------------------------------------------------------------------------
20787 25759
----------------------------------------------------------------------------
21596 26468
----------------------------------------------------------------------------
12/31/03 23851 29096
----------------------------------------------------------------------------
23729 29103
----------------------------------------------------------------------------
23974 29887
----------------------------------------------------------------------------
7/31/04 22724 28474
----------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
---------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------------
As of Inception 1 5 10
July 31,2004 Date Year Year Year
---------------------------------------------------
Class A Shares* 4/1/96(1) 0.11% -5.44% 8.55%
---------------------------------------------------
Class B Shares** 2/5/98(2) 0.21% -5.32% 8.20%
---------------------------------------------------
Class I Shares 10/3/97(2) 6.18% -4.18% 9.21%
---------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
PERFORMANCE OF THE AMSOUTH CAPITAL GROWTH FUND IS MEASURED AGAINST THE S&P
500/BARRA GROWTH INDEX, A WIDELY RECOGNIZED UNMANAGED INDEX OF THE STOCKS IN THE
S&P 500 HAVING HIGH BOOK-TO PRICE RATIOS. NEITHER INDEX IS AVAILABLE FOR
INVESTMENT AND THE PERFORMANCE OF EACH INDEX DOES NOT REFLECT FEES, BROKERAGE
COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR
WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/ OR
REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 4/1/96 TO 3/12/00 OF THE ISG
CAPITAL GROWTH FUND, AN OPEN-END INVESTMENT COMPANY THAT WAS THE PREDECESSOR
FUND TO THE AMSOUTH CAPITAL GROWTH FUND.
(1) THE ISG CAPITAL GROWTH FUND COMMENCED OPERATIONS ON 4/1/96, THROUGH A
TRANSFER OF ASSETS FROM CERTAIN COLLECTIVE TRUST FUND ("COMMINGLED")
ACCOUNTS MANAGED BY FIRST AMERICAN NATIONAL BANK, USING SUBSTANTIALLY THE
SAME INVESTMENT OBJECTIVE, POLICIES AND METHODOLOGIES AS THE FUND. THE
QUOTED PERFORMANCE OF THE FUND INCLUDES PERFORMANCE OF THE PREDECESSOR FUND
AND COMMINGLED ACCOUNTS FOR PERIODS DATING BACK TO 7/31/94, AND PRIOR TO
THE FUND'S COMMENCEMENT OF OPERATIONS, RESTATED TO REFLECT THE EXPENSES
ASSOCIATED WITH THE FUND. THE PREDECESSOR FUND AND COMMINGLED ACCOUNTS WERE
NOT REGISTERED WITH THE SECURITIES AND EXCHANGE COMMISSION AND, THEREFORE,
WERE NOT SUBJECT TO THE INVESTMENT RESTRICTIONS IMPOSED BY LAW ON
REGISTERED MUTUAL FUNDS. IF THE COMMINGLED ACCOUNTS HAD BEEN REGISTERED,
THEIR PERFORMANCE MAY HAVE BEEN ADVERSELY AFFECTED.
(2) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
2/5/98 AND 10/3/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES, INCLUDING THE PERFORMANCE OF THE PREDECESSOR FUND
AND COMMINGLED ACCOUNTS, (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
PREDECESSOR FUND AND COMMINGLED ACCOUNTS WERE MANAGED USING SUBSTANTIALLY
THE SAME INVESTMENT OBJECTIVE, POLICIES AND METHODOLOGIES AS THE FUND. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
13
- --------------------------------------------------------------------------------
AMSOUTH MID CAP FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
OakBrook Investments, LLC (sub-advisor):
Neil Wright, President and Chief Investment Officer
Janna Sampson, Director of Portfolio Management
Peter Jankovskis, Director of Research
AS PORTFOLIO MANAGERS FOR THE AMSOUTH MID CAP FUND, NEIL WRIGHT, JANNA SAMPSON
AND PETER JANKOVSKIS ARE THREE VETERAN INVESTMENT PROFESSIONALS WHO HAVE MORE
THAN 50 YEARS OF COMBINED EXPERIENCE. NEIL AND PETER HAVE PHDS IN ECONOMICS, AND
JANNA HOLDS AN MA IN ECONOMICS. THEY HAVE WORKED TOGETHER FOR THE PAST 11 YEARS.
THE TEAM ALSO MANAGES THE AMSOUTH SELECT EQUITY FUND AND THE AMSOUTH ENHANCED
MARKET FUND.
INVESTMENT CONCERNS
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
MID-CAPITALIZATION STOCKS TYPICALLY CARRY ADDITIONAL RISK, SINCE SMALLER
COMPANIES GENERALLY HAVE HIGHER RISK OF FAILURE AND, HISTORICALLY, THEIR STOCKS
HAVE EXPERIENCED A GREATER DEGREE OF VOLATILITY.
PORTFOLIO MANAGERS' PERSPECTIVE
"OUR STOCK SELECTION STRATEGY FOR THE AMSOUTH MID CAP FUND IS FAIRLY
CONSERVATIVE, WITH FUND RETURNS HAVING A VERY CLOSE CORRELATION TO THOSE OF THE
S&P MID CAP 400 STOCK INDEX. WE TRY TO BE 100% INVESTED AND DO NOT TRY TO TIME
THE MARKET. THROUGH THE USE OF A SOPHISTICATED COMPUTER MODEL, WE ATTEMPT TO
IDENTIFY AND INVEST IN 320 TO 380 STOCKS WITHIN THE S&P MID CAP 400 THAT ARE
STARTING TO EXPERIENCE A WIDENING RANGE OF INVESTOR EXPECTATIONS. WE LOOK TO
OVERWEIGHT THOSE STOCKS THAT WE BELIEVE MAY OUTPERFORM THE OVERALL MARKET."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 17.84% (Class A Shares at NAV). That
compared to a 17.83% total return for the Fund's benchmark, the S&P MidCap 400
Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE DURING THE PERIOD?
A. This Fund employs an investment process that monitors the range of investor
expectations surrounding each stock. The process is intended to automatically
adjust the Fund's holdings to emphasize those stocks that are most attractive.
Fund returns benefited as mid- and smaller-cap stocks led the market rally that
took place during the first half of the period. The Fund declined slightly
during the second half of the period, as returns for the overall equity market
turned negative due to a number of factors including rising interest rates and
oil prices.
The Fund's enhanced-index strategy helped it choose stocks that boosted returns
against the benchmark. Approximately 80% of the Fund's gains relative to the
benchmark were attributable to stock selection. Stock picks within the consumer
discretionary sector were particularly strong. Unfortunately, those gains were
partially offset by weak selections within the technology sector during the
second half of the period. The Fund also benefited from over-weighting energy
stocks as a group. The energy sector outperformed the general mid-cap market as
oil prices began to rise.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE AMSOUTH MID CAP FUND IS SUBADVISED BY OAKBROOK INVESTMENTS, LLC, WHICH IS
PAID A FEE FOR ITS SERVICES.
14
- --------------------------------------------------------------------------------
AMSOUTH MID CAP FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
AmSouth Mid Cap Fund (Class A Shares) S&P MidCap 400 Index
-----------------------------------------------------------------------
5/4/99 9452 10000
-----------------------------------------------------------------------
10331 10535
-----------------------------------------------------------------------
10851 9651
-----------------------------------------------------------------------
12/31/99 16380 11309
-----------------------------------------------------------------------
18507 12744
-----------------------------------------------------------------------
16115 12324
-----------------------------------------------------------------------
16928 13821
-----------------------------------------------------------------------
12/31/00 13932 13289
-----------------------------------------------------------------------
11399 11857
-----------------------------------------------------------------------
12231 13418
-----------------------------------------------------------------------
9565 11195
-----------------------------------------------------------------------
12/31/01 10718 13209
-----------------------------------------------------------------------
10558 14097
-----------------------------------------------------------------------
9783 12785
-----------------------------------------------------------------------
8157 10669
-----------------------------------------------------------------------
12/31/02 8603 11292
-----------------------------------------------------------------------
8163 10791
-----------------------------------------------------------------------
9556 12693
-----------------------------------------------------------------------
10143 13530
-----------------------------------------------------------------------
12/31/03 11552 15314
-----------------------------------------------------------------------
12087 16089
-----------------------------------------------------------------------
12196 16246
-----------------------------------------------------------------------
7/31/04 11618 15488
-----------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
-------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------
As of Inception 1 5 Since
July 31,2004 Date Year Year Inception
-------------------------------------------------------
Class A Shares* 5/4/99 11.32% 0.77% 2.90%
-------------------------------------------------------
Class B Shares** 5/4/99 12.00% 0.69% 3.01%
-------------------------------------------------------
Class I Shares 5/4/99 18.05% 1.99% 4.10%
-------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 5/4/99
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH MID CAP FUND IS MEASURED AGAINST THE S&P MIDCAP
400 INDEX, A WIDELY RECOGNIZED UNMANAGED INDEX OF 400 DOMESTIC STOCKS. THE INDEX
IS NOT AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS
OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED
AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR
REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE TOTAL RETURNS REFLECT THE PERFORMANCE FROM 5/4/99 TO 3/12/00 OF THE ISG
MID-CAP FUND, AN OPEN-END INVESTMENT COMPANY THAT WAS THE PREDECESSOR FUND TO
THE AMSOUTH MID CAP FUND. THE PREDECESSOR FUND WAS MANAGED USING SUBSTANTIALLY
THE SAME INVESTMENT OBJECTIVE, POLICIES AND METHODOLOGIES AS THE FUND.
15
- --------------------------------------------------------------------------------
AMSOUTH SMALL CAP FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
Sawgrass Asset Management, LLC (sub-advisor):
Dean McQuiddy, CFA
Principal and Director of Equity Investments
DEAN MCQUIDDY SERVES AS PORTFOLIO MANAGER FOR THE AMSOUTH SMALL CAP FUND. HE HAS
NEARLY 20 YEARS OF EXPERIENCE IN INVESTMENT MANAGEMENT AND HOLDS A BS IN
FINANCE. HE CREATED AND MANAGED THE SMALL-CAP GROWTH PRODUCT AT BARNETT CAPITAL
ADVISORS FOR 11 YEARS.
INVESTMENT CONCERNS
SMALL CAPITALIZATION FUNDS TYPICALLY CARRY ADDITIONAL RISKS SINCE SMALLER
COMPANIES GENERALLY HAVE A HIGHER RISK OF FAILURE.
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGER'S PERSPECTIVE
"FOR THE AMSOUTH SMALL CAP FUND, WE USE A DISCIPLINED INVESTMENT PROCESS TO
IDENTIFY 60 TO 80 FUNDAMENTALLY ATTRACTIVE SMALL COMPANIES THAT SHARE CERTAIN
ATTRIBUTES: ABOVE-MARKET SALES AND EARNINGS GROWTH, INCREASING ESTIMATES OF
FUTURE EARNINGS AND REASONABLE VALUATIONS. WE AIM TO BUY THESE COMPANIES IN THE
EARLY STAGES OF THEIR GROWTH--BEFORE THEIR STOCKS GET OVERVALUED IN THE
MARKETPLACE."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 12.74% (Class A Shares at NAV). That
compared to a 11.32% total return for the Fund's benchmark, the Russell 2000(R)
Growth Index.
Small-cap stocks rallied strongly during the first half of the period, as
investors who were encouraged by the economic recovery and improving corporate
profits aggressively bought shares of smaller firms. That rally helped the Fund
and the benchmark produce strong returns. Market sentiment cooled during the six
months through July, reducing the gains of the Fund and its index.
This Fund focuses on shares of high-quality firms with consistent earnings
growth, strong cash flow and solid balance sheets. Low-quality, speculative
stocks led the early market rally, so the Fund's high-quality focus caused it to
lag the benchmark during the first half of the period. Market leadership shifted
in January, and higher-quality stocks led the market during each of the period's
last six months. That shift helped the Fund significantly outperform its
benchmark during the second half of the period, as well as for the 12-month
period as a whole.
Many factors that hurt relative performance during the first half of the period
helped the Fund outperform during the second half. For example, the Fund's
underweight position in technology stocks dragged on performance against the
index during the six months through January, but boosted relative returns during
the following six months. Our underweight technology stake helped the Fund's
relative returns for the period as a whole. That trend extended to stock
selection in the technology sector: The Fund's technology holdings lagged the
benchmark's technology allocation during the first half of the period, then
outperformed them during the second half.
Stock selection in other sectors generally helped relative performance. The
Fund's health care and energy stakes particularly benefited its returns against
the benchmark. Our overweight position in energy stocks--the Fund averaged
roughly 6% of its assets in energy, versus 3.5% for the benchmark--also boosted
relative returns.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE AMSOUTH SMALL CAP FUND IS SUBADVISED BY SAWGRASS ASSET MANAGEMENT, LLC,
WHICH IS PAID A FEE FOR ITS SERVICES.
16
- --------------------------------------------------------------------------------
AMSOUTH SMALL CAP FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
AmSouth Small Cap Fund (Class A Shares)* Russell 2000(R) Growth Index
----------------------------------------------------------------------------------
3/3/98 9450 10000
----------------------------------------------------------------------------------
9764 10419
----------------------------------------------------------------------------------
9328 9821
----------------------------------------------------------------------------------
7479 7625
----------------------------------------------------------------------------------
12/31/98 8901 9427
----------------------------------------------------------------------------------
7186 9269
----------------------------------------------------------------------------------
8001 10636
----------------------------------------------------------------------------------
8105 10113
----------------------------------------------------------------------------------
12/31/99 10323 13490
----------------------------------------------------------------------------------
12523 14742
----------------------------------------------------------------------------------
12561 13655
----------------------------------------------------------------------------------
12911 13113
----------------------------------------------------------------------------------
12/31/00 12251 10464
----------------------------------------------------------------------------------
10390 8873
----------------------------------------------------------------------------------
10947 10468
----------------------------------------------------------------------------------
8739 7529
----------------------------------------------------------------------------------
12/31/01 8844 9499
----------------------------------------------------------------------------------
9117 9312
----------------------------------------------------------------------------------
8297 7851
----------------------------------------------------------------------------------
7077 6161
----------------------------------------------------------------------------------
12/31/02 6478 6624
----------------------------------------------------------------------------------
6131 6367
----------------------------------------------------------------------------------
7246 7905
----------------------------------------------------------------------------------
7856 8732
----------------------------------------------------------------------------------
12/31/03 8707 9840
----------------------------------------------------------------------------------
8823 10389
----------------------------------------------------------------------------------
9086 10399
----------------------------------------------------------------------------------
7/31/04 8560 9465
----------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
-------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------
As of Inception 1 5 Since
July 31,2004 Date Year Year Inception
-------------------------------------------------------
Class A Shares* 3/2/98 6.54% 0.31% -2.40%
-------------------------------------------------------
Class B Shares** 3/2/98 6.99% 0.36% -2.29%
-------------------------------------------------------
Class I Shares 3/2/98 12.86% 1.62% -1.38%
-------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 3/2/98
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH SMALL CAP FUND IS MEASURED AGAINST THE RUSSELL
2000(R) GROWTH INDEX, A WIDELY RECOGNIZED UNMANAGED INDEX OF COMMON STOCKS OF
SMALL TO MID-SIZED COMPANIES. THE INDEX IS NOT AVAILABLE FOR INVESTMENT AND DOES
NOT REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING
THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS
EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT,
PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
17
- --------------------------------------------------------------------------------
AMSOUTH INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
Dimensional Fund Advisors Inc. (sub-advisor)
DIMENSIONAL FUND ADVISORS INC. EMPLOYS A TEAM APPROACH IN SUBADVISING THE
INTERNATIONAL EQUITY FUND. THE INVESTMENT COMMITTEE SETS POLICY AND PROCEDURES,
AND PORTFOLIO MANAGERS MAKE DAILY DECISIONS REGARDING THE FUND. KAREN UMLAND, VP
AND PORTFOLIO MANAGER, HEADS THE INTERNATIONAL GROUP. PORTFOLIO MANAGERS ON THE
INTERNATIONAL TEAM ARE LOCATED IN LOS ANGELES, LONDON AND SYDNEY.
INVESTMENT CONCERNS
INTERNATIONAL INVESTING INVOLVES INCREASED RISK AND VOLATILITY.
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGERS' PERSPECTIVE
"THE AMSOUTH INTERNATIONAL EQUITY FUND IS DESIGNED TO PROVIDE DIVERSIFIED
EXPOSURE TO THE INTERNATIONAL LARGE CAP VALUE ASSET CLASS. THE PORTFOLIO INVEST
IN LARGE CAP STOCKS WITH HIGH BOOK VALUES RELATIVE TO PRICE (VALUE STOCKS). THE
"VALUE" PARAMETER IS DETERMINED ON A COUNTRY BY COUNTRY BASIS. CURRENTLY, THE
FUND SYSTEMATICALLY INVEST IN A BROADLY DIVERSIFIED PORTFOLIO OF LARGE "VALUE"
STOCKS IN 21 DEVELOPED-MARKET COUNTRIES."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 32.90% (Class A Shares at NAV). That
compared to a 25.05% total return for the Fund's benchmark, the Morgan Stanley
Capital International EAFE(R) (Europe, Australasia and Far East) Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. Global stock markets generally produced healthy returns during the period,
helping the Fund generate strong gains. The Fund also benefited from foreign
currencies' strength against the U.S. dollar. This Fund does not hedge
foreign-exchange risk, so it received the full benefit of strengthening foreign
currencies.
Dimensional Fund Advisors' investment approach focuses on stocks' book
value-to-market capitalization ratio. During the period, ranked the large-cap
stocks in each of 21 developed markets by book to-market, and invest in the top
30% of those stocks in each country. We base that approach on studies showing
that book to-market and company size are important factors in determining
long-term stock performance.
Value stocks outperformed growth stocks during the 12- month period. The Fund's
strong value focus helped boost its returns relative to the benchmark. Our value
focus also typically causes the Fund to hold stocks with a somewhat smaller
average market capitalization than that of the benchmark, and that smaller
average market capitalization also boosted the Fund's relative returns.
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE AMSOUTH INTERNATIONAL EQUITY FUND IS SUBADVISED BY DIMENSIONAL FUND
ADVISORS, INC. WHICH IS PAID A FEE FOR ITS SERVICES.
18
- --------------------------------------------------------------------------------
AMSOUTH INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
AmSouth International Equity Fund (Class A
Shares)* MSCI EAFE(R) Index
--------------------------------------------------------------------------
8/18/97 9452 10000
--------------------------------------------------------------------------
9773 10562
--------------------------------------------------------------------------
12/31/97 9168 9742
--------------------------------------------------------------------------
10493 11183
--------------------------------------------------------------------------
10474 11309
--------------------------------------------------------------------------
8449 9709
--------------------------------------------------------------------------
12/31/98 10037 11723
--------------------------------------------------------------------------
10028 11894
--------------------------------------------------------------------------
10654 12205
--------------------------------------------------------------------------
11147 12749
--------------------------------------------------------------------------
12/31/99 12724 14923
--------------------------------------------------------------------------
12389 14916
--------------------------------------------------------------------------
12197 14334
--------------------------------------------------------------------------
11279 13186
--------------------------------------------------------------------------
12/31/00 11262 12840
--------------------------------------------------------------------------
9843 11087
--------------------------------------------------------------------------
9813 10991
--------------------------------------------------------------------------
8156 9457
--------------------------------------------------------------------------
12/31/01 8523 10117
--------------------------------------------------------------------------
8752 10222
--------------------------------------------------------------------------
8484 9978
--------------------------------------------------------------------------
6767 8014
--------------------------------------------------------------------------
12/31/02 7249 8533
--------------------------------------------------------------------------
6693 7840
--------------------------------------------------------------------------
8242 9374
--------------------------------------------------------------------------
9324 10141
--------------------------------------------------------------------------
12/31/03 11067 11875
--------------------------------------------------------------------------
11788 12398
--------------------------------------------------------------------------
11938 12453
--------------------------------------------------------------------------
7/31/04 11468 12050
--------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Inception 1 5 Since
July 31,2004 Date Year Year Inception
--------------------------------------------------------
Class A Shares* 8/15/97 25.53% -0.28% 1.99%
--------------------------------------------------------
Class B Shares** 2/2/99(1) 26.80% -0.22% 2.04%
--------------------------------------------------------
Class I Shares 12/14/98(1) 33.02% 1.02% 2.95%
--------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 8/15/97
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH INTERNATIONAL EQUITY FUND IS MEASURED AGAINST THE
MORGAN STANLEY CAPITAL INTERNATIONAL, EUROPE, AUSTRALASIA AND FAR EAST (MSCI
EAFE(R)) INDEX, A WIDELY-RECOGNIZED UNMANAGED INDEX OF FOREIGN SECURITIES
REPRESENTING MAJOR NON-U.S. STOCK MARKETS. THE INDEX IS NOT AVAILABLE FOR
INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF
INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES
FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN
EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 8/15/97 TO 12/13/98 OF THE DG
INTERNATIONAL EQUITY FUND AND FROM 12/14/98 TO 3/12/00 OF THE ISG INTERNATIONAL
EQUITY FUND, WHICH WERE OPEN-END INVESTMENT COMPANIES THAT WERE THE PREDECESSOR
FUNDS TO THE AMSOUTH INTERNATIONAL EQUITY FUND. THE PREDECESSOR FUNDS WERE
MANAGED USING SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVE, POLICIES AND
METHODOLOGY AS THE FUND.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
2/2/99 AND 12/14/98, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES, INCLUDING THE PERFORMANCE OF THE PREDECESSOR FUNDS,
(WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE HISTORICAL PERFORMANCE FOR
THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT THE CLASS B 12B-1 FEES AND
THE CONTINGENT DEFERRED SALES CHARGE.
19
- --------------------------------------------------------------------------------
AMSOUTH BALANCED FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
Brian B. Sullivan, CFA
Director, Value Equity Strategies
John P. Boston, CFA
Senior Vice President
AmSouth Bank
AmSouth Asset Investment Management, Inc.
BRIAN B. SULLIVAN, CFA, HAS BEEN THE PORTFOLIO MANAGER FOR THE VALUE FUND SINCE
JUNE 2004. MR. SULLIVAN HAS MORE THAN 18 YEARS OF INVESTMENT MANAGEMENT
EXPERIENCE AND HOLDS AN MBA IN FINANCE AND A BACHELOR'S DEGREE IN ECONOMICS.
JOHN BOSTON ALSO MANAGES THE AMSOUTH LIMITED TERM BOND FUND, THE AMSOUTH BOND
FUND AND CO-MANAGES THE AMSOUTH GOVERNMENT INCOME FUND. HE HAS 14 YEARS OF
EXPERIENCE AS A FIXED INCOME MANAGER. HE HOLDS A BACHELOR'S DEGREE IN FINANCE
AND POLITICAL SCIENCE AND IS A CHARTERED FINANCIAL ANALYST.
INVESTMENT CONCERNS
EQUITY SECURITIES (STOCKS) ARE MORE VOLATILE AND CARRY MORE RISK THAN OTHER
FORMS OF INVESTMENTS, INCLUDING INVESTMENTS IN HIGH-GRADE FIXED INCOME
SECURITIES. THE NET ASSET VALUE PER SHARE OF THIS FUND WILL FLUCTUATE AS THE
VALUE OF THE SECURITIES IN THE PORTFOLIO CHANGES.
PORTFOLIO MANAGERS' PERSPECTIVE
"THE AMSOUTH BALANCED FUND IS A DIVERSIFIED FUND THAT OFFERS INVESTORS A SIMPLE
AND EASY WAY TO BALANCE THEIR INVESTMENTS BETWEEN STOCKS AND BONDS. WITHIN THE
EQUITY COMPONENT, OUR DIVERSIFIED EQUITY STRATEGY INVESTS IN A BROAD ARRAY OF
HIGH QUALITY STOCKS TO PROVIDE LONG TERM GROWTH. THE FIXED INCOME COMPONENT
CONTAINS A MIX OF INVESTMENT GRADE BONDS TO GENERATE INCOME. WE ASSESS MARKET
OPPORTUNITIES BETWEEN THE TWO ASSET CLASSES AND ALLOCATE ASSETS IN THE FUND TO
POTENTIALLY ACHIEVE HIGH RISK-ADJUSTED RETURNS."
BONDS OFFER A RELATIVELY STABLE LEVEL OF INCOME, ALTHOUGH BOND PRICES WILL
FLUCTUATE PROVIDING THE POTENTIAL FOR PRINCIPAL GAIN OR LOSS. INTERMEDIATE-TERM,
HIGHER-QUALITY BONDS GENERALLY OFFER LESS RISK THAN LONGER-TERM BONDS AND A
LOWER RATE OF RETURN.
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 8.36% (Class A Shares at NAV). The
Fund's benchmarks, the S&P 500 Stock Index and the Lehman Brothers
Government/Credit Bond Index, returned 13.16% and 4.72%, respectively.
The Fund held an average of approximately 60% of its assets in stocks, with
roughly 40% of its assets in bonds. Stocks significantly outperformed bonds
during the period, so the Fund's emphasis on stocks helped boost returns.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. A strong stock-market rally helped boost the Fund's equity allocation during
the first half of the period. The stock market dipped during the six months
through July, leading to slight declines in the Fund's stock holdings.
The Fund's individual security selection within stock market sectors helped its
equity portfolio out-gain the equity benchmark for the 12-month period. For
example, consumer staples stocks in the index gained 11%, but the Fund's
consumer staples allocation gained slightly more than 20%. Likewise, health care
stocks in the S&P 500 gained 1.5%, while the health care stocks in the Fund's
portfolio gained nearly 7%. We kept most of the Fund's sector allocations
similar to those of the benchmark, so sector allocations did not play a
significant role in relative returns.
Bonds were very volatile during much of the period: Yields fell during the first
six months, then stabilized, then rose in late spring and early summer. The
Fund's fixed-income allocation produced a small gain during the period, but
trailed its benchmark. We chose to maintain a defensive posture with a
relatively short average duration, in order to protect against capital losses if
yields were to rise. That strategy required the Fund to forego some yield, and
hurt the Fund's relative performance during much of the period. The Fund's bond
holdings did outperform the fixed-income benchmark when yields rose late in the
period. The Fund's fixed-income allocation benefited from its emphasis on
corporate bonds, and from our decision to hold Treasury Inflation Protected
Securities.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
20
- --------------------------------------------------------------------------------
AMSOUTH BALANCED FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
AmSouth Balanced Fund (Class Lehman Brothers Government/
A Shares)* Credit Bond Index S&P 500 Stock Index
-------------------------------------------------------------------------------------------
7/31/94 9448 10000 10000
-------------------------------------------------------------------------------------------
9443 9853 10155
-------------------------------------------------------------------------------------------
12/31/94 9353 9889 10153
-------------------------------------------------------------------------------------------
10047 10382 11140
-------------------------------------------------------------------------------------------
10713 11055 12202
-------------------------------------------------------------------------------------------
11129 11267 13171
-------------------------------------------------------------------------------------------
12/31/95 11552 11792 13964
-------------------------------------------------------------------------------------------
11895 11516 14713
-------------------------------------------------------------------------------------------
12116 11570 15373
-------------------------------------------------------------------------------------------
12218 11774 15848
-------------------------------------------------------------------------------------------
12/31/96 12675 12134 17168
-------------------------------------------------------------------------------------------
12890 12029 17629
-------------------------------------------------------------------------------------------
14078 12467 20704
-------------------------------------------------------------------------------------------
15127 12904 22255
-------------------------------------------------------------------------------------------
12/31/97 15316 13318 22893
-------------------------------------------------------------------------------------------
16513 13520 26085
-------------------------------------------------------------------------------------------
16616 13873 26951
-------------------------------------------------------------------------------------------
16038 14561 24276
-------------------------------------------------------------------------------------------
12/31/98 17326 14580 29441
-------------------------------------------------------------------------------------------
17226 14405 30907
-------------------------------------------------------------------------------------------
18175 14247 33081
-------------------------------------------------------------------------------------------
17221 14325 31021
-------------------------------------------------------------------------------------------
12/31/99 17556 14266 35633
-------------------------------------------------------------------------------------------
17774 14650 36449
-------------------------------------------------------------------------------------------
17419 14863 35481
-------------------------------------------------------------------------------------------
18492 15290 35137
-------------------------------------------------------------------------------------------
12/31/00 19344 15957 32390
-------------------------------------------------------------------------------------------
19360 16468 28552
-------------------------------------------------------------------------------------------
20043 16517 30222
-------------------------------------------------------------------------------------------
19470 17304 25788
-------------------------------------------------------------------------------------------
12/31/01 20235 17314 28543
-------------------------------------------------------------------------------------------
20298 17232 28622
-------------------------------------------------------------------------------------------
19272 17879 24789
-------------------------------------------------------------------------------------------
17965 18898 20509
-------------------------------------------------------------------------------------------
12/31/02 18848 19225 22237
-------------------------------------------------------------------------------------------
18315 19541 21537
-------------------------------------------------------------------------------------------
20260 20230 24851
-------------------------------------------------------------------------------------------
20354 20128 25508
-------------------------------------------------------------------------------------------
12/31/03 21806 20122 28612
-------------------------------------------------------------------------------------------
22445 20742 29096
-------------------------------------------------------------------------------------------
22197 20085 29597
-------------------------------------------------------------------------------------------
7/31/04 21867 20297 28617
-------------------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES AND CLASS I SHARES.
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------
As of Inception 1 5 10
July 31,2004 Date Year Year Year
--------------------------------------------------
Class A Shares* 12/19/91 2.42% 2.94% 8.14%
--------------------------------------------------
Class B Shares** 9/2/97(1) 2.59% 3.07% 7.87%
--------------------------------------------------
Class I Shares 9/2/97(1) 8.52% 4.30% 8.90%
--------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARKS.
THE PERFORMANCE OF THE AMSOUTH BALANCED FUND IS MEASURED AGAINST THE S&P 500
STOCK INDEX AND THE LEHMAN GOVERNMENT/CREDIT BOND INDEX. THE S&P 500 INDEX IS A
WIDELY RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE LEHMAN
GOVERNMENT/CREDIT BOND INDEX IS AN UNMANAGED INDEX REPRESENTATIVE OF U.S.
GOVERNMENT, U.S. TREASURY AND AGENCY SECURITIES, AND CORPORATE BONDS. NEITHER
INDEX IS AVAILABLE FOR INVESTMENT AND THE PERFORMANCE OF EACH INDEX DOES NOT
REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE
PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES.
HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED
WOULD HAVE BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
9/2/97, ARE BASED ON THE HISTORICAL PERFORMANCE OF THE CLASS A SHARES
(WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE HISTORICAL PERFORMANCE FOR
THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT THE CLASS B 12B-1 FEES AND
THE CONTINGENT DEFERRED SALES CHARGE.
21
- --------------------------------------------------------------------------------
AMSOUTH STRATEGIC PORTFOLIOS
- --------------------------------------------------------------------------------
Aggressive Growth
Growth
Growth and Income
Moderate Growth and Income
THE AMSOUTH STRATEGIC PORTFOLIOS ARE MANAGED BY A TEAM OF AMSOUTH INVESTMENT
MANAGERS, INCLUDING BOTH EQUITY AND FIXED INCOME SPECIALISTS. THE TEAM HAS MORE
THAN 40 YEARS OF COMBINED INVESTMENT MANAGEMENT EXPERIENCE.
INVESTMENT CONCERNS
THE FUNDS INVEST IN UNDERLYING FUNDS, SO THE INVESTMENT PERFORMANCE IS DIRECTLY
RELATED TO THE PERFORMANCE OF THOSE UNDERLYING FUNDS. BEFORE INVESTING IN THE
FUND, INVESTORS SHOULD ASSESS THE RISKS ASSOCIATED WITH AND TYPES OF INVESTMENTS
MADE BY EACH OF THE UNDERLYING FUNDS IN WHICH THE FUNDS INVESTS.
PORTFOLIO MANAGERS' PERSPECTIVE
THE PORTFOLIOS SEEK TO PROVIDE INVESTORS WITH THE POTENTIAL TO ACHIEVE A VARIETY
OF LONG-AND SHORT-TERM GOALS, COMMENSURATE WITH INVESTORS' SPECIFIC TIME
HORIZONS AND TOLERANCE FOR RISK. EACH OF THE FOUR STRATEGIC PORTFOLIOS INVESTS
IN A COMBINATION OF UNDERLYING MUTUAL FUNDS FROM THE AMSOUTH FUND FAMILY. BASED
ON EACH PORTFOLIO'S ASSET-ALLOCATION TARGET, THE MANAGERS PERIODICALLY REBALANCE
STOCK, BOND AND MONEYMARKET HOLDINGS--BASED ON ANALYSIS OF ECONOMIC AND MARKET
TRENDS.
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUNDS PERFORM DURING THE PERIOD?
A. During the 12-month period between August 1, 2003 and July 31, 2004, the
Funds' total returns, benchmark returns and other comparative returns were as
follows:
AMSOUTH AGGRESSIVE GROWTH PORTFOLIO
(Class A Shares at NAV): 12.01%
S&P 500 Stock Index: 13.16%
Lipper Multi-Cap Core Funds Average(1): 11.43%
AMSOUTH GROWTH PORTFOLIO
(Class A Shares at NAV): 10.14%
S&P 500 Stock Index: 13.16%
Lipper Multi-Cap Growth Funds Average(1): 8.77%
AMSOUTH GROWTH AND INCOME PORTFOLIO
(Class A Shares at NAV): 8.13%
S&P 500 Stock Index: 13.16%
Merrill Lynch Government/Corporate Master Index: 4.62%
Lipper Large-Cap Value Funds Average(1): 14.76%
AMSOUTH MODERATE GROWTH AND INCOME PORTFOLIO
(Class A Shares at NAV): 6.71%
S&P 500 Stock Index: 13.16%
Merrill Lynch Government/Corporate Master Index: 4.62%
Lipper Flexible Portfolio Funds Average(1): 9.98%
Q. WHAT FACTORS AFFECTED THE PORTFOLIOS' PERFORMANCE?
A. The stock market posted strong gains during the first half of the period,
then declined slightly during the final six months. Stocks significantly
outperformed bonds, but both stocks and bonds posted gains during the 12-month
period. Stocks' rally helped the more aggressive Strategic Portfolios produce
stronger absolute returns.
The Portfolios benefited from our decision to increase their equity allocations.
In November we raised the equity stakes of the Aggressive Growth Portfolio, the
Growth Portfolio and the Growth & Income Portfolio by five percentage points
each, to 95%, 75% and 60%, respectively. We increased the Moderate Growth &
Income Portfolio's equity allocation from 45% to 50% in March, and in April
increased the Aggressive Growth Portfolio's equity allocation again, to
99%.+
We implemented the AmSouth Diversified Equity Strategy just prior to the
12-month period. That strategy diversifies equity portfolios among domestic and
international stocks of various sizes and investment styles. The AmSouth
Diversified Equity Strategy helped the Portfolios benefit from strong
performance in mid-cap and international stocks during the period.
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
(1) SEE GLOSSARY OF TERMS FOR ADDITIONAL INFORMATION.
22
- --------------------------------------------------------------------------------
AMSOUTH AGGRESSIVE GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A CHART IN THE PRINTED MATERIAL]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
--------------------------------------------------------------------
AmSouth Aggressive Growth Portfolio
(Class A Shares)* S&P 500 Stock Index
--------------------------------------------------------------------
1/13/99 9452 10000
--------------------------------------------------------------------
9395 10450
--------------------------------------------------------------------
9773 11186
--------------------------------------------------------------------
9528 10488
--------------------------------------------------------------------
12/31/99 11051 12048
--------------------------------------------------------------------
11389 12325
--------------------------------------------------------------------
11235 11997
--------------------------------------------------------------------
11443 11881
--------------------------------------------------------------------
12/31/00 11217 10951
--------------------------------------------------------------------
10238 9653
--------------------------------------------------------------------
10842 10218
--------------------------------------------------------------------
9333 8718
--------------------------------------------------------------------
12/31/01 10156 9650
--------------------------------------------------------------------
10410 9676
--------------------------------------------------------------------
8987 8380
--------------------------------------------------------------------
7264 6932
--------------------------------------------------------------------
12/31/02 7889 7517
--------------------------------------------------------------------
7565 7280
--------------------------------------------------------------------
8745 8401
--------------------------------------------------------------------
9092 8624
--------------------------------------------------------------------
12/31/03 10122 9674
--------------------------------------------------------------------
10364 9838
--------------------------------------------------------------------
10445 10007
--------------------------------------------------------------------
7/31/04 10016 9675
--------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Inception 1 5 Since
July 31, 2004 Date Year Year Inception
--------------------------------------------------------
Class A Shares* 1/13/99 5.85% -0.51% 0.03%
--------------------------------------------------------
Class B Shares** 1/27/99 6.16% -0.44% 0.07%
--------------------------------------------------------
Class I Shares 1/28/99 12.02% 0.70% 1.00%
--------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 1/13/99
TO 7/31/04 IN THE CLASS A SHARES CLASS VERSUS A SIMILAR INVESTMENT IN THE FUND'S
BENCHMARK.
THE PORTFOLIO'S PERFORMANCE IS COMPARED TO THE S&P 500 STOCK INDEX, A WIDELY
RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE INDEX IS NOT AVAILABLE FOR
INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF
INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES
FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN
EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 1/13/99 TO 3/12/00 OF THE ISG
AGGRESSIVE GROWTH PORTFOLIO, WHICH WAS AN OPEN-END INVESTMENT COMPANY AND THE
PREDECESSOR FUND TO THE AMSOUTH AGGRESSIVE GROWTH PORTFOLIO. THE PREDECESSOR
FUND WAS MANAGED USING SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVES, POLICIES
AND METHODOLOGIES AS THE FUND.
23
- --------------------------------------------------------------------------------
AMSOUTH GROWTH POERFOLIO
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
---------------------------------------------------------------------------
AmSouth Growth Portfolio (Class A Shares)* S&P 500 Stock Index
---------------------------------------------------------------------------
2/11/99 9448 10000
---------------------------------------------------------------------------
9239 10275
---------------------------------------------------------------------------
9605 11000
---------------------------------------------------------------------------
9355 10313
---------------------------------------------------------------------------
12/31/99 10284 11847
---------------------------------------------------------------------------
10495 12119
---------------------------------------------------------------------------
10375 11797
---------------------------------------------------------------------------
10542 11683
---------------------------------------------------------------------------
12/31/00 10345 10769
---------------------------------------------------------------------------
9724 9492
---------------------------------------------------------------------------
10076 10047
---------------------------------------------------------------------------
9164 8573
---------------------------------------------------------------------------
12/31/01 9748 9489
---------------------------------------------------------------------------
9906 9515
---------------------------------------------------------------------------
9027 8240
---------------------------------------------------------------------------
7878 6817
---------------------------------------------------------------------------
12/31/02 8420 7391
---------------------------------------------------------------------------
8197 7159
---------------------------------------------------------------------------
9150 8261
---------------------------------------------------------------------------
9425 8480
---------------------------------------------------------------------------
12/31/03 10256 9512
---------------------------------------------------------------------------
10483 9674
---------------------------------------------------------------------------
10500 9840
---------------------------------------------------------------------------
7/31/04 10194 9514
---------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
-------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------
As of Inception 1 5 Since
July 31, 2004 Date Year Year Inception
-------------------------------------------------------
Class A Shares* 2/11/99 4.06% 0.20% 0.35%
-------------------------------------------------------
Class B Shares** 2/15/99 4.15% 0.22% 0.69%
-------------------------------------------------------
Class I Shares 2/1/99 10.13% 1.44% 1.38%
-------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 2/11/99
TO 7/31/04 IN THE CLASS A SHARES CLASS VERSUS A SIMILAR INVESTMENT IN THE FUND'S
BENCHMARK.
THE PORTFOLIO'S PERFORMANCE IS COMPARED TO THE S&P 500 STOCK INDEX, A WIDELY
RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE INDEX IS NOT AVAILABLE FOR
INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF
INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES
FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN
EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 2/11/99 TO 3/12/00 OF THE ISG
GROWTH PORTFOLIO, WHICH WAS AN OPEN-END INVESTMENT COMPANY AND THE PREDECESSOR
FUND TO THE AMSOUTH GROWTH PORTFOLIO. THE PREDECESSOR FUND WAS MANAGED USING
SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVES, POLICIES AND METHODOLOGIES AS THE
FUND.
24
- --------------------------------------------------------------------------------
AMSOUTH GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
Merrill Lynch
AmSouth Growth and Income Government/Corporate Master
Portfolio (Class A Shares)* Index S&P 500 Stock Index
------------------------------------------------------------------------------------------
3/8/99 9448 10000 10000
------------------------------------------------------------------------------------------
9392 10052 10035
------------------------------------------------------------------------------------------
9508 9945 10742
------------------------------------------------------------------------------------------
9304 10000 10072
------------------------------------------------------------------------------------------
12/31/99 9940 9965 11570
------------------------------------------------------------------------------------------
10109 10239 11836
------------------------------------------------------------------------------------------
10212 10376 11521
------------------------------------------------------------------------------------------
10343 10673 11410
------------------------------------------------------------------------------------------
12/31/00 10359 11155 10517
------------------------------------------------------------------------------------------
9980 11504 9270
------------------------------------------------------------------------------------------
10260 11526 9813
------------------------------------------------------------------------------------------
9655 12104 8372
------------------------------------------------------------------------------------------
12/31/01 10122 12095 9267
------------------------------------------------------------------------------------------
10261 12022 9292
------------------------------------------------------------------------------------------
9607 12474 8047
------------------------------------------------------------------------------------------
8759 13207 6657
------------------------------------------------------------------------------------------
12/31/02 9258 13419 7219
------------------------------------------------------------------------------------------
9085 13631 6991
------------------------------------------------------------------------------------------
9950 14093 8068
------------------------------------------------------------------------------------------
10171 14027 8281
------------------------------------------------------------------------------------------
12/31/03 10866 14028 9290
------------------------------------------------------------------------------------------
11094 14453 9448
------------------------------------------------------------------------------------------
11058 14006 9609
------------------------------------------------------------------------------------------
7/31/04 10804 14151 9291
------------------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
-------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------
As of Inception 1 5 Since
July 31, 2004 Date Year Year Inception
-------------------------------------------------------
Class A Shares* 3/8/99 2.14% 1.62% 1.44%
-------------------------------------------------------
Class B Shares** 1/27/99 2.49% 1.70% 1.84%
-------------------------------------------------------
Class I Shares 2/8/99 8.25% 2.86% 3.10%
-------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARES HYPOTHETICAL $10,000 INVESTMENT FROM 3/8/99
TO 7/31/04 IN THE CLASS A SHARES VERSUS A SIMILAR INVESTMENT IN THE FUND'S
BENCHMARKS.
THE PORTFOLIO'S PERFORMANCE IS COMPARED TO THE S&P 500 STOCK INDEX AND THE
MERRILL LYNCH GOVERNMENT/CORPORATE MASTER INDEX. THE S&P 500 STOCK INDEX, A
WIDELY RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE MERRILL LYNCH
GOVERNMENT/CORPORATE MASTER INDEX IS AN UNMANAGED BROAD-BASED INDEX
REPRESENTATIVE OF THE TOTAL RETURN OF GOVERNMENT AND CORPORATE BONDS. NEITHER
INDEX IS AVAILABLE FOR INVESTMENT AND THE PERFORMANCE OF EACH INDEX DOES NOT
REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE
PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES.
HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED
WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 1/27/99 TO 3/12/00 OF THE ISG
GROWTH & INCOME PORTFOLIO, WHICH WAS AN OPEN-END INVESTMENT COMPANY AND THE
PREDECESSOR FUND TO THE AMSOUTH GROWTH AND INCOME PORTFOLIO. THE PREDECESSOR
FUND WAS MANAGED USING SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVES, POLICIES
AND METHODOLOGIES AS THE FUND.
25
- --------------------------------------------------------------------------------
AMSOUTH MODERATE GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
AmSouth Moderate Growth and Merrill Lynch
Income Portfolio (Class A Government/Corporate Master
Shares)* Index S&P 500 Stock Index
------------------------------------------------------------------------------------------
2/9/99 9454 10000 10000
------------------------------------------------------------------------------------------
9513 9924 10599
------------------------------------------------------------------------------------------
9525 9819 11346
------------------------------------------------------------------------------------------
9399 9873 10637
------------------------------------------------------------------------------------------
12/31/99 9772 9838 12220
------------------------------------------------------------------------------------------
9932 10108 12501
------------------------------------------------------------------------------------------
10031 10244 12168
------------------------------------------------------------------------------------------
10235 10537 12051
------------------------------------------------------------------------------------------
12/31/00 10343 11013 11108
------------------------------------------------------------------------------------------
10145 11358 9791
------------------------------------------------------------------------------------------
10420 11379 10364
------------------------------------------------------------------------------------------
10039 11950 8843
------------------------------------------------------------------------------------------
12/31/01 10471 11941 9788
------------------------------------------------------------------------------------------
10585 11869 9815
------------------------------------------------------------------------------------------
9987 12315 8500
------------------------------------------------------------------------------------------
9308 13039 7031
------------------------------------------------------------------------------------------
12/31/02 9820 13248 7624
------------------------------------------------------------------------------------------
9683 13458 7384
------------------------------------------------------------------------------------------
10452 13914 8521
------------------------------------------------------------------------------------------
10632 13848 8747
------------------------------------------------------------------------------------------
12/31/03 11207 13850 9812
------------------------------------------------------------------------------------------
11413 14269 9978
------------------------------------------------------------------------------------------
11340 13827 10149
------------------------------------------------------------------------------------------
7/31/04 11141 13971 9813
------------------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Inception 1 5 Since
July 31, 2004 Date Year Year Inception
--------------------------------------------------------
Class A Shares* 2/9/99 0.80% 2.17% 1.99%
--------------------------------------------------------
Class B Shares** 1/28/99 0.86% 2.22% 1.90%
--------------------------------------------------------
Class I Shares 2/10/99 6.73% 3.42% 3.16%
--------------------------------------------------------
* REFLECTS MAXIMUM 5.50% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 2/9/99
TO 7/31/04 IN THE CLASS A SHARES VERSUS A SIMILAR INVESTMENT IN THE FUND'S
BENCHMARKS.
THE PORTFOLIO'S PERFORMANCE IS COMPARED TO THE S&P 500 STOCK INDEX AND THE
MERRILL LYNCH GOVERNMENT/CORPORATE MASTER INDEX. THE S&P 500 STOCK INDEX, A
WIDELY RECOGNIZED UNMANAGED INDEX OF 500 COMMON STOCKS. THE MERRILL LYNCH
GOVERNMENT/CORPORATE MASTER INDEX IS AN UNMANAGED BROAD-BASED INDEX
REPRESENTATIVE OF THE TOTAL RETURN OF GOVERNMENT AND CORPORATE BONDS. NEITHER
INDEX IS AVAILABLE FOR INVESTMENT AND THE PERFORMANCE OF EACH INDEX DOES NOT
REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE
PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES.
HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED
WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 1/28/99 TO 3/12/00 OF THE ISG
MODERATE GROWTH & INCOME PORTFOLIO, WHICH WAS AN OPEN-END INVESTMENT COMPANY AND
THE PREDECESSOR FUND TO THE AMSOUTH MODERATE GROWTH AND INCOME PORTFOLIO. THE
PREDECESSOR FUND WAS MANAGED USING SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVES,
POLICIES AND METHODOLOGIES AS THE FUND.
26
(This Page Intentionally Left Blank)
27
- --------------------------------------------------------------------------------
AMSOUTH GOVERNMENT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
John P. Boston, CFA
Senior Vice President
Michael T. Lytle, CFA
Investment Officer
AmSouth Bank
AmSouth Asset Management, Inc.
JOHN BOSTON ALSO MANAGES THE AMSOUTH LIMITED TERM BOND FUND, THE AMSOUTH BOND
FUND AND CO-MANAGES THE AMSOUTH BALANCED FUND. HE HAS 14 YEARS OF EXPERIENCE AS
A FIXED INCOME MANAGER. HE HOLDS A BACHELOR'S DEGREE IN FINANCE AND POLITICAL
SCIENCE AND IS A CHARTERED FINANCIAL ANALYST.
MICHAEL LYTLE IS A FIXED INCOME PORTFOLIO MANAGER FOR AMSOUTH ASSET MANAGEMENT,
INC., SPECIALIZING IN TAXABLE FIXED INCOME SECURITIES. HE JOINED AMSOUTH'S ASSET
MANAGEMENT GROUP IN 1999 AND WAS NAMED CO-MANAGER OF THE AMSOUTH GOVERNMENT
INCOME FUND IN 2004. MR. LYTLE EARNED HIS BACHELOR'S DEGREE FROM BERRY COLLEGE
AND IS A CHARTERED FINANCIAL ANALYST. HE CURRENTLY SERVES AS MEMBERSHIP CHAIRMAN
OF THE ALABAMA SOCIETY OF FINANCIAL ANALYSTS.
INVESTMENT CONCERNS
U.S. GOVERNMENT GUARANTEES APPLY ONLY TO THE UNDERLYING SECURITIES OF THE FUND'S
PORTFOLIO AND NOT THE FUND'S SHARES.
BONDS OFFER A RELATIVELY STABLE LEVEL OF INCOME, ALTHOUGH BOND PRICES WILL
FLUCTUATE PROVIDING THE POTENTIAL FOR PRINCIPAL GAIN OR LOSS. INTERMEDIATE-TERM,
HIGHER-QUALITY BONDS GENERALLY OFFER LESS RISK THAN LONGER-TERM BONDS AND A
LOWER RATE OF RETURN.
PORTFOLIO MANAGERS' PERSPECTIVE
"THE AMSOUTH GOVERNMENT INCOME FUND IS MORE SUITABLE FOR INVESTORS WHO SEEK
INCOME BUT ALSO DEMAND THE SAFETY OF U.S. GOVERNMENT SECURITIES. ALTHOUGH WE
ATTEMPT TO CONSISTENTLY GENERATE A HIGH LEVEL OF INCOME, INVESTORS SHOULD BE
AWARE THAT YIELDS AND PRINCIPAL VALUES VARY AND THAT THE FUND IS NOT GUARANTEED
BY THE U.S. GOVERNMENT."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 2.36% (Class A Shares at NAV). That
compared to a 5.11% total return for the Fund's benchmark, the Lehman Brothers
Mortgage Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE DURING THE PERIOD?
A. Bond yields generally declined during the first half of the period, then
stabilized and rose late in the period. That environment helped the Fund and its
benchmark produce small gains. This Fund invests in a blend of mortgage
pass-through securities, Treasury Notes and agency issues. Mortgage-backed
securities significantly outperformed Treasuries and agency issues, in part due
to relatively strong demand for mortgage-backed bonds. That performance
disparity hurt relative returns, because the benchmark is composed entirely of
mortgage-backed securities. Our investment in Treasury Inflation Protected
Securities (TIPS) helped boost returns against the benchmark. TIPS, which are
not included in the index, benefited from strong investor demand as inflation
picked up during 2004.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
28
- --------------------------------------------------------------------------------
AMSOUTH GOVERNMENT INCOME FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
AmSouth Government Income Fund Lehman Brothers
(Class A Shares)* Mortgage Index
-----------------------------------------------------------
7/31/94 9605 10000
-----------------------------------------------------------
9585 9889
-----------------------------------------------------------
12/31/94 9594 9931
-----------------------------------------------------------
9960 10451
-----------------------------------------------------------
10412 10996
-----------------------------------------------------------
10594 11227
-----------------------------------------------------------
12/31/95 10973 11600
-----------------------------------------------------------
10857 11548
-----------------------------------------------------------
10884 11640
-----------------------------------------------------------
11109 11878
-----------------------------------------------------------
12/31/96 11420 12220
-----------------------------------------------------------
11378 12236
-----------------------------------------------------------
11777 12699
-----------------------------------------------------------
12145 13071
-----------------------------------------------------------
12/31/97 12487 13380
-----------------------------------------------------------
12686 13599
-----------------------------------------------------------
12905 13833
-----------------------------------------------------------
13318 14198
-----------------------------------------------------------
12/31/98 13379 14311
-----------------------------------------------------------
13389 14453
-----------------------------------------------------------
13336 14387
-----------------------------------------------------------
13427 14521
-----------------------------------------------------------
12/31/99 13464 14577
-----------------------------------------------------------
13762 14778
-----------------------------------------------------------
13924 15111
-----------------------------------------------------------
14291 15599
-----------------------------------------------------------
12/31/00 14901 16204
-----------------------------------------------------------
15263 16647
-----------------------------------------------------------
15311 16816
-----------------------------------------------------------
15993 17524
-----------------------------------------------------------
12/31/01 15946 17536
-----------------------------------------------------------
15914 17710
-----------------------------------------------------------
16445 18326
-----------------------------------------------------------
17180 18815
-----------------------------------------------------------
12/31/02 17333 19070
-----------------------------------------------------------
17455 19246
-----------------------------------------------------------
17644 19374
-----------------------------------------------------------
17597 19473
-----------------------------------------------------------
12/31/03 17587 19655
-----------------------------------------------------------
17889 20032
-----------------------------------------------------------
17573 19806
-----------------------------------------------------------
7/31/04 17681 19984
-----------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Inception 1 5 10
July 31, 2004 Date Year Year Year
--------------------------------------------------------
Class A Shares* 10/1/93 -1.75% 5.01% 5.86%
--------------------------------------------------------
Class B Shares** 3/13/00(1) -3.32% 4.72% 5.35%
--------------------------------------------------------
Class I Shares 9/2/97(1) 2.51% 6.05% 6.38%
--------------------------------------------------------
* REFLECTS MAXIMUM 4.00% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH GOVERNMENT INCOME FUND IS MEASURED AGAINST THE
LEHMAN MORTGAGE INDEX, AN UNMANAGED INDEX GENERALLY REPRESENTATIVE OF THE
MORTGAGE BOND MARKET AS A WHOLE. THE INDEX IS NOT AVAILABLE FOR INVESTMENT AND
DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING.
DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS
EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT,
PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WERE FIRST OFFERED ON
3/13/00 AND 9/2/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
29
- --------------------------------------------------------------------------------
AMSOUTH LIMITED TERM BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
John P. Boston, CFA
Senior Vice President
AmSouth Bank
AmSouth Asset Management, Inc.
JOHN BOSTON ALSO MANAGES THE AMSOUTH BOND FUND AND CO-MANAGES BOTH THE AMSOUTH
GOVERNMENT INCOME FUND AND THE AMSOUTH BALANCED FUND. HE HAS 14 YEARS OF
EXPERIENCE AS A FIXED INCOME MANAGER. HE HOLDS A BACHELOR'S DEGREE IN FINANCE
AND POLITICAL SCIENCE AND IS A CHARTERED FINANCIAL ANALYST.
INVESTMENT CONCERNS
SHORT- OR INTERMEDIATE-TERM INVESTMENT GRADE BONDS OFFER LESS RISK AND GENERALLY
A LOWER RATE OF RETURN THAN LONGER-TERM HIGHER YIELDING BONDS.
BONDS OFFER A RELATIVELY STABLE LEVEL OF INCOME, ALTHOUGH BOND PRICES WILL
FLUCTUATE PROVIDING THE POTENTIAL FOR PRINCIPAL GAIN OR LOSS. INTERMEDIATE-TERM,
HIGHER-QUALITY BONDS GENERALLY OFFER LESS RISK THAN LONGER-TERM BONDS AND A
LOWER RATE OF RETURN.
PORTFOLIO MANAGER'S PERSPECTIVE
"THE AMSOUTH LIMITED TERM BOND FUND WAS DESIGNED TO FILL THE GAP BETWEEN MONEY
MARKET FUNDS AND LONG-TERM BOND FUNDS. FOR INVESTORS LOOKING FOR A DIVERSIFIED
BOND FUND, THIS FUND REPRESENTS THE FIRST STEP OUT ON THE `RISK/RETURN' SPECTRUM
FROM THE MONEY MARKET ARENA."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 1.17% (Class A Shares at NAV). That
compared to a 2.29% total return for the Fund's benchmark, the Merrill Lynch
1-5-Year Government/Corporate Bond Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. Yields were very low throughout most of the period. Short-term bond yields
generally fell during the first half of the period, then stabilized and
increased significantly during late spring and early summer. That environment
allowed the Fund and its benchmark to post small gains.
We positioned the Fund defensively throughout the period in anticipation of
rising interest rates. That strategy caused the Fund to hold a shorter average
duration than the benchmark, which led it to forego some yield in order to
protect against the likelihood of capital losses if rates were to rise. Rates
did not rise until very late in the period, so for a time the Fund's defensive
posture hurt performance against the benchmark. The Fund's relative returns did
benefit from its defensive position when rates rose.
The Fund's emphasis on corporate bonds helped its returns against the benchmark.
The boost from our focus on corporate issues was limited by the fact that we
emphasized high-quality corporate bonds, which trailed low-quality bonds during
the 12-month period.
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
30
- --------------------------------------------------------------------------------
AMSOUTH LIMITED TERM BOND FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
------------------------------------------------------------------------------------------------
AmSouth Limited Term Bond Fund (Class A Merrill Lynch 1-5-Year Government/Corporate
Shares)* Bond Index
------------------------------------------------------------------------------------------------
7/31/94 9597 10000
------------------------------------------------------------------------------------------------
9561 9984
------------------------------------------------------------------------------------------------
12/31/94 9527 9971
------------------------------------------------------------------------------------------------
9906 10357
------------------------------------------------------------------------------------------------
10304 10774
------------------------------------------------------------------------------------------------
10458 10938
------------------------------------------------------------------------------------------------
12/31/95 10738 11263
------------------------------------------------------------------------------------------------
10706 11253
------------------------------------------------------------------------------------------------
10776 11346
------------------------------------------------------------------------------------------------
10931 11539
------------------------------------------------------------------------------------------------
12/31/96 11134 11783
------------------------------------------------------------------------------------------------
11130 11828
------------------------------------------------------------------------------------------------
11401 12123
------------------------------------------------------------------------------------------------
11679 12398
------------------------------------------------------------------------------------------------
12/31/97 11892 12626
------------------------------------------------------------------------------------------------
12052 12822
------------------------------------------------------------------------------------------------
12255 13036
------------------------------------------------------------------------------------------------
12706 13522
------------------------------------------------------------------------------------------------
12/31/98 12740 13596
------------------------------------------------------------------------------------------------
12776 13652
------------------------------------------------------------------------------------------------
12766 13683
------------------------------------------------------------------------------------------------
12893 13837
------------------------------------------------------------------------------------------------
12/31/99 12913 13894
------------------------------------------------------------------------------------------------
13088 14071
------------------------------------------------------------------------------------------------
13295 14309
------------------------------------------------------------------------------------------------
13590 14676
------------------------------------------------------------------------------------------------
12/31/00 13975 15128
------------------------------------------------------------------------------------------------
14384 15608
------------------------------------------------------------------------------------------------
14508 15769
------------------------------------------------------------------------------------------------
15031 16427
------------------------------------------------------------------------------------------------
12/31/01 15083 16486
------------------------------------------------------------------------------------------------
15085 16469
------------------------------------------------------------------------------------------------
15499 16970
------------------------------------------------------------------------------------------------
15941 17554
------------------------------------------------------------------------------------------------
12/31/02 16062 17790
------------------------------------------------------------------------------------------------
16231 17992
------------------------------------------------------------------------------------------------
16376 18290
------------------------------------------------------------------------------------------------
16408 18352
------------------------------------------------------------------------------------------------
12/31/03 16414 18378
------------------------------------------------------------------------------------------------
16574 18682
------------------------------------------------------------------------------------------------
16349 18363
------------------------------------------------------------------------------------------------
7/31/04 16413 18468
------------------------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Since 1 5 10
July 31, 2004 Inception Year Year Year
--------------------------------------------------------
Class A Shares* 2/1/89 -2.85% 4.27% 5.08%
--------------------------------------------------------
Class B Shares** 1/21/99(1) -4.50% 4.00% 4.60%
--------------------------------------------------------
Class I Shares 9/2/97(1) 1.32% 5.28% 5.61%
--------------------------------------------------------
* REFLECTS MAXIMUM 4.00% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH LIMITED TERM BOND FUND IS MEASURED AGAINST THE
MERRILL LYNCH 1-5-YEAR GOVERNMENT/CORPORATE BOND INDEX, A WIDELY RECOGNIZED
UNMANAGED INDEX GENERALLY REPRESENTATIVE OF THE TOTAL RETURN OF SHORT-TERM
GOVERNMENT AND CORPORATE BONDS. THE INDEX IS NOT AVAILABLE FOR INVESTMENT AND
DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR OTHER EXPENSES OF INVESTING.
DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR REIMBURSED FEES FOR VARIOUS
EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS NOT BEEN IN EFFECT,
PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WERE FIRST OFFERED ON
1/21/99 AND 9/2/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
31
- --------------------------------------------------------------------------------
AMSOUTH BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
John P. Boston, CFA
Senior Vice President
AmSouth Bank
AmSouth Asset Management, Inc.
JOHN BOSTON ALSO MANAGES THE AMSOUTH LIMITED TERM BOND FUND AND CO-MANAGES BOTH
THE AMSOUTH GOVERNMENT INCOME FUND AND THE AMSOUTH BALANCED FUND. HE HAS 14
YEARS OF INVESTMENT EXPERIENCE AS A FIXED INCOME MANAGER. HE HOLDS A BACHELOR'S
DEGREE IN FINANCE AND POLITICAL SCIENCE AND IS A CHARTERED FINANCIAL ANALYST.
INVESTMENT CONCERNS
BONDS OFFER A RELATIVELY STABLE LEVEL OF INCOME, ALTHOUGH BOND PRICES WILL
FLUCTUATE PROVIDING THE POTENTIAL FOR PRINCIPAL GAIN OR LOSS. INTERMEDIATE-TERM,
HIGHER-QUALITY BONDS GENERALLY OFFER LESS RISK THAN LONGER-TERM BONDS AND A
LOWER RATE OF RETURN.
PORTFOLIO MANAGER'S PERSPECTIVE
"THE AMSOUTH BOND FUND SEEKS TO TAKE ADVANTAGE OF CHANGES IN INTEREST RATES TO
PURSUE STRONG RETURNS. WE BUY LONGER BONDS WHEN INTEREST RATES ARE HIGH AND
EXPECTED TO FALL, AND SHORTER BONDS WHEN INTEREST RATES ARE LOW AND EXPECTED TO
RISE. THE CHANGE IN THE AVERAGE MATURITY OR DURATION IS ONE OF THE MOST POWERFUL
DETERMINANTS OF RETURN. THROUGH THE ACTIVE USE OF HIGH-QUALITY INVESTMENTS, WE
STRIVE TO OBTAIN EXCELLENT RETURNS."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 2.83% (Class A Shares at NAV). That
compared to a 4.72% total return for the Fund's benchmark, the Lehman Brothers
Government/Credit Bond Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. Bond yields generally declined during the first half of the period, and
increased near the end of the period. That environment allowed the Fund and its
benchmark to produce small gains.
We positioned the Fund defensively throughout the period, because we expected
bond yields to rise in a strengthening economy. That strategy hurt performance
against the benchmark for the period as a whole, as yields declined during much
of the period. The Fund's defensive posture did boost relative returns near the
end of the period, when yields began to increase.
We held a modest position in Treasury Inflation-Protected Securities (TIPS), a
security not included in the benchmark. That stake helped the Fund's relative
performance, because TIPS were among the best-performing sectors of the bond
market. The Fund also benefited from its overweight stake in mortgage-backed
securities, which fared well late in the period.
We held at least half of the Fund's assets in corporate securities throughout
the period, representing a larger stake than that of the benchmark. Corporate
securities led the market, helping boost returns against the index. The benefit
to the Fund was limited by the fact that we focused our corporate holdings on
high-quality issues rated A or better, and those bonds trailed returns of
lower-quality issues.
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
32
- --------------------------------------------------------------------------------
AMSOUTH BOND FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
----------------------------------------------------------------------------
Lehman Brothers Government/
AmSouth Bond Fund (Class A Shares)* Credit Bond Index
----------------------------------------------------------------------------
7/31/94 9601 10000
----------------------------------------------------------------------------
9460 9853
----------------------------------------------------------------------------
12/31/94 9463 9889
----------------------------------------------------------------------------
9917 10382
----------------------------------------------------------------------------
10565 11055
----------------------------------------------------------------------------
10742 11267
----------------------------------------------------------------------------
12/31/95 11205 11792
----------------------------------------------------------------------------
10956 11516
----------------------------------------------------------------------------
10964 11570
----------------------------------------------------------------------------
11134 11774
----------------------------------------------------------------------------
12/31/96 11492 12134
----------------------------------------------------------------------------
11322 12029
----------------------------------------------------------------------------
11747 12467
----------------------------------------------------------------------------
12179 12904
----------------------------------------------------------------------------
12/31/97 12546 13318
----------------------------------------------------------------------------
12734 13520
----------------------------------------------------------------------------
13027 13873
----------------------------------------------------------------------------
13740 14561
----------------------------------------------------------------------------
12/31/98 13711 14580
----------------------------------------------------------------------------
13549 14405
----------------------------------------------------------------------------
13396 14247
----------------------------------------------------------------------------
13458 14325
----------------------------------------------------------------------------
12/31/99 13360 14266
----------------------------------------------------------------------------
13777 14650
----------------------------------------------------------------------------
13953 14863
----------------------------------------------------------------------------
14333 15290
----------------------------------------------------------------------------
12/31/00 14972 15957
----------------------------------------------------------------------------
15380 16468
----------------------------------------------------------------------------
15352 16517
----------------------------------------------------------------------------
16125 17304
----------------------------------------------------------------------------
12/31/01 16080 17314
----------------------------------------------------------------------------
15993 17232
----------------------------------------------------------------------------
16681 17879
----------------------------------------------------------------------------
17642 18898
----------------------------------------------------------------------------
12/31/02 17794 19225
----------------------------------------------------------------------------
18000 19541
----------------------------------------------------------------------------
18386 20230
----------------------------------------------------------------------------
18303 20128
----------------------------------------------------------------------------
12/31/03 18263 20122
----------------------------------------------------------------------------
18690 20742
----------------------------------------------------------------------------
18203 20085
----------------------------------------------------------------------------
7/31/04 18345 20297
----------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Since 1 5 10
July 31, 2004 Inception Year Year Year
--------------------------------------------------------
Class A Shares* 12/1/88 -1.26% 5.65% 6.26%
--------------------------------------------------------
Class B Shares** 9/16/97(1) -2.82% 5.40% 5.87%
--------------------------------------------------------
Class I Shares 9/2/97(1) 2.99% 6.67% 6.79%
--------------------------------------------------------
* REFLECTS MAXIMUM 4.00% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH BOND FUND IS MEASURED AGAINST THE LEHMAN
GOVERNMENT/CREDIT BOND INDEX, A WIDELY RECOGNIZED UNMANAGED BROAD-BASED INDEX
REPRESENTATIVE OF THE TOTAL RETURN OF LONG-TERM GOVERNMENT AND CORPORATE BONDS.
THE INDEX IS NOT AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE
COMMISSIONS OR OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR
WAIVED AND/OR REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR
REIMBURSEMENTS NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WERE FIRST OFFERED ON
9/16/97 AND 9/2/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
33
- --------------------------------------------------------------------------------
AMSOUTH MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
Dorothy E.Thomas, CFA
Senior Vice President
AmSouth Bank
AmSouth Asset Management, Inc.
DOROTHY THOMAS HAS MORE THAN 20 YEARS OF EXPERIENCE AS AN INVESTMENT PORTFOLIO
MANAGER. SHE HOLDS AN MBA AND A BA IN ECONOMICS AND SERVES AS MANAGER OF
TAX-EXEMPT FIXED INCOME INVESTMENTS FOR AMSOUTH. SHE IS ALSO THE PORTFOLIO
MANAGER FOR THE AMSOUTH FLORIDA TAX-EXEMPT FUND AND THE AMSOUTH TENNESSEE
TAX-EXEMPT FUND.
INVESTMENT CONCERNS
THE FUND'S INCOME MAY BE SUBJECT TO CERTAIN STATE AND LOCAL TAXES AND, DEPENDING
ON YOUR TAX STATUS, THE FEDERAL ALTERNATIVE MINIMUM TAX.
BOND FUNDS WILL TEND TO EXPERIENCE SMALLER FLUCTUATIONS IN VALUE THAN STOCK
FUNDS. HOWEVER, INVESTORS IN ANY BOND FUND SHOULD ANTICIPATE FLUCTUATIONS IN
PRICE, ESPECIALLY FOR LONGER-TERM ISSUES AND IN ENVIRONMENTS OF RISING INTEREST
RATES.
PORTFOLIO MANAGER'S PERSPECTIVE
"WITH THE AMSOUTH MUNICIPAL BOND FUND, WE CONCENTRATE ON HIGH-QUALITY MUNICIPAL
BONDS--THOSE IN THE TOP THREE RATING CLASSES, OR OF COMPARABLE QUALITY. AS WITH
OTHER AMSOUTH BOND FUNDS, WE STRIVE TO ACHIEVE STRONG RETURNS BY TAKING
ADVANTAGE OF ANTICIPATED CHANGES IN INTEREST RATES."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 2.93% (Class A Shares at NAV) during the
period. In comparison, the Fund's benchmark the Merrill Lynch 1-12-Year
Municipal Bond Index returned 5.31%.
Q. WHAT FACTORS AFFECTED THE FUND DURING THE PERIOD?
A. Interest rates were very low at the start of the period. We expected rates to
rise as the expanding economy increased the likelihood of inflation, and
therefore we maintained a shorter duration than that of the Fund's benchmark
throughout the period. That strategy caused the Fund to forego some yield in
exchange for a lower likelihood of capital losses if interest rates were to
increase.
Interest rates were very volatile throughout the period as investors tried to
make sense of conflicting data about the direction of the economy. Rates did
rise, but not as quickly or as dramatically as we had anticipated. What's more,
rates on short-term securities increased more than yields on longer-term issues.
The Fund's relatively short duration hurt performance against the benchmark in
that environment.
We maintained the Fund's high credit quality during the period. High-quality
securities provided the best protection for shareholders' capital during a
period in which many municipalities suffered from declining revenues. The Fund's
high-quality focus hurt relative performance during the first six months of the
period, but helped relative returns during the six months through July.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
34
- --------------------------------------------------------------------------------
AMSOUTH MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AmSouth Tennessee Tax-Exempt Fund (Class A
Shares)* Merrill Lynch 1-12-Year Municipal Bond Index
----------------------------------------------------------------------------------------------------
7/31/94 9600 10000
----------------------------------------------------------------------------------------------------
9505 9912
----------------------------------------------------------------------------------------------------
12/31/94 9352 9848
----------------------------------------------------------------------------------------------------
9904 10311
----------------------------------------------------------------------------------------------------
10030 10628
----------------------------------------------------------------------------------------------------
10245 10833
----------------------------------------------------------------------------------------------------
12/31/95 10605 11167
----------------------------------------------------------------------------------------------------
10393 11170
----------------------------------------------------------------------------------------------------
10388 11227
----------------------------------------------------------------------------------------------------
10520 11445
----------------------------------------------------------------------------------------------------
12/31/96 10752 11685
----------------------------------------------------------------------------------------------------
10655 11680
----------------------------------------------------------------------------------------------------
10921 12015
----------------------------------------------------------------------------------------------------
11221 12321
----------------------------------------------------------------------------------------------------
12/31/97 11518 12584
----------------------------------------------------------------------------------------------------
11563 12726
----------------------------------------------------------------------------------------------------
11653 12888
----------------------------------------------------------------------------------------------------
11995 13269
----------------------------------------------------------------------------------------------------
12/31/98 12008 13372
----------------------------------------------------------------------------------------------------
12030 13466
----------------------------------------------------------------------------------------------------
11745 13237
----------------------------------------------------------------------------------------------------
11740 13354
----------------------------------------------------------------------------------------------------
12/31/99 11640 13371
----------------------------------------------------------------------------------------------------
11835 13594
----------------------------------------------------------------------------------------------------
11977 13820
----------------------------------------------------------------------------------------------------
12191 14132
----------------------------------------------------------------------------------------------------
12/31/00 12647 14660
----------------------------------------------------------------------------------------------------
12873 15034
----------------------------------------------------------------------------------------------------
12886 15147
----------------------------------------------------------------------------------------------------
13198 15578
----------------------------------------------------------------------------------------------------
12/31/01 13077 15414
----------------------------------------------------------------------------------------------------
13112 15547
----------------------------------------------------------------------------------------------------
13625 16207
----------------------------------------------------------------------------------------------------
14155 17001
----------------------------------------------------------------------------------------------------
12/31/02 14179 17029
----------------------------------------------------------------------------------------------------
14252 17190
----------------------------------------------------------------------------------------------------
14509 17653
----------------------------------------------------------------------------------------------------
14524 17686
----------------------------------------------------------------------------------------------------
12/31/03 14550 17849
----------------------------------------------------------------------------------------------------
14665 18113
----------------------------------------------------------------------------------------------------
14389 17701
----------------------------------------------------------------------------------------------------
7/31/04 14500 17892
----------------------------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Since 1 5 10
July 31, 2004 Inception Year Year Year
--------------------------------------------------------
Class A Shares* 7/1/97(1) -1.19% 3.91% 4.23%
--------------------------------------------------------
Class B Shares** 2/3/99(2) -2.81% 3.61% 3.75%
--------------------------------------------------------
Class I Shares 9/2/97(2) 3.08% 4.93% 4.76%
--------------------------------------------------------
* REFLECTS MAXIMUM 4.00% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE REPRESENTS A COMPARISON OF A HYPOTHETICAL $10,000
INVESTMENT FROM 7/31/94 TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR
INVESTMENT IN THE FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH MUNICIPAL BOND FUND IS MEASURED AGAINST THE
MERRILL LYNCH 1-12-YEAR MUNICIPAL BOND INDEX, A WIDELY RECOGNIZED UNMANAGED
INDEX GENERALLY REPRESENTATIVE OF MUNICIPAL BONDS WITH INTERMEDIATE MATURITIES
OF NO LESS THAN ONE YEAR AND NO MORE THAN TWELVE YEARS. THE INDEX IS NOT
AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR
OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR
REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS
NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
(1) THE FUND COMMENCED OPERATIONS ON 7/1/97, THROUGH A TRANSFER OF ASSETS FROM
CERTAIN COLLECTIVE TRUST FUND ("COMMINGLED") ACCOUNTS ADVISED BY AMSOUTH
BANK USING SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVE, POLICIES AND
METHODOLOGIES AS THE FUND. THE QUOTED PERFORMANCE OF THE FUND INCLUDES
PERFORMANCE OF THE PREDECESSOR FUND AND THE COMMINGLED ACCOUNTS FOR PERIODS
DATING BACK TO 7/31/94 AND PRIOR TO THE FUND'S COMMENCEMENT OF OPERATIONS,
RESTATED TO REFLECT THE EXPENSES ASSOCIATED WITH THE FUND. THE COMMINGLED
ACCOUNTS WERE NOT REGISTERED WITH THE SECURITIES AND EXCHANGE COMMISSION
AND, THEREFORE, WERE NOT SUBJECT TO THE INVESTMENT RESTRICTIONS IMPOSED BY
LAW ON REGISTERED MUTUAL FUNDS. IF THE COMMINGLED ACCOUNTS HAD BEEN
REGISTERED, THEIR PERFORMANCE MAY HAVE BEEN ADVERSELY AFFECTED.
(2) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
2/3/99 AND 9/2/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE OF
THE CLASS A SHARES, INCLUDING THE PERFORMANCE OF THE COMMINGLED ACCOUNTS,
(WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE COMMINGLED ACCOUNTS WERE
MANAGED USING SUBSTANTIALLY THE SAME INVESTMENT OBJECTIVE, POLICIES AND
METHODOLOGIES AS THE FUND. THE HISTORICAL PERFORMANCE FOR THE CLASS B
SHARES HAS BEEN RESTATED TO REFLECT THE CLASS B 12B-1 FEES AND THE
CONTINGENT DEFERRED SALES CHARGE.
35
- --------------------------------------------------------------------------------
AMSOUTH FLORIDA TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
Dorothy E.Thomas, CFA
Senior Vice President
AmSouth Bank
AmSouth Asset Management, Inc.
DOROTHY THOMAS HAS MORE THAN 20 YEARS OF EXPERIENCE AS AN INVESTMENT PORTFOLIO
MANAGER. SHE HOLDS AN MBA AND A BA IN ECONOMICS AND SERVES AS MANAGER OF
TAX-EXEMPT FIXED INCOME INVESTMENTS FOR AMSOUTH. SHE ALSO IS THE PORTFOLIO
MANAGER FOR THE AMSOUTH MUNICIPAL BOND FUND AND THE AMSOUTH TENNESSEE TAX-EXEMPT
FUND.
INVESTMENT CONCERNS
THE GEOGRAPHICAL CONCENTRATION OF PORTFOLIO HOLDINGS IN THIS FUND MAY INVOLVE
INCREASED RISK.
THE FUND'S INCOME MAY BE SUBJECT TO CERTAIN STATE AND LOCAL TAXES AND, DEPENDING
ON YOUR TAX STATUS, THE FEDERAL ALTERNATIVE MINIMUM TAX.
BOND FUNDS WILL TEND TO EXPERIENCE SMALLER FLUCTUATIONS IN VALUE THAN STOCK
FUNDS. HOWEVER, INVESTORS IN ANY BOND FUND SHOULD ANTICIPATE FLUCTUATIONS IN
PRICE, ESPECIALLY FOR LONGER-TERM ISSUES AND IN ENVIRONMENTS OF RISING INTEREST
RATES.
PORTFOLIO MANAGER'S PERSPECTIVE
"THE AMSOUTH FLORIDA TAX-EXEMPT FUND HAS A PORTFOLIO OF HIGH-QUALITY ISSUES IN A
FAST-GROWING STATE WITH A STRONG ECONOMIC BASE. INTEREST ON THE BONDS IS EXEMPT
FROM BOTH FEDERAL INCOME TAX AND THE FLORIDA INTANGIBLES TAX.THIS PORTFOLIO IS
MANAGED TO POTENTIALLY BENEFIT FROM ANTICIPATED INTEREST RATE MOVES."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 2.89% (Class A Shares at NAV). That
compared to a 5.31% return for the Fund's benchmark, the Merrill Lynch 1-12-Year
Municipal Bond Index.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE?
A. Interest rates were very low at the beginning of the period. We expected
rates to rise as economic growth increased the likelihood of higher inflation,
and we held the Fund's average duration shorter than that of its benchmark
throughout the period. Interest rates were volatile and did rise during the
12-month period, but not as rapidly as we had expected. Moreover, yields on
short-term bonds increased more than yields on longer-term issues. The Fund's
relatively short duration caused it to lag the benchmark in that environment.
Many municipalities struggled with weak revenues during this period. We focused
the Fund's portfolio in high-quality bonds to protect shareholders' principal.
That emphasis on high-quality issues hurt performance against the Fund's
benchmark during the first half of the period, as low-quality issues benefited
from an improving economic outlook, but boosted relative returns during the six
months through July.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
36
- --------------------------------------------------------------------------------
AMSOUTH FLORIDA TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
-------------------------------------------------------------------------------------------
AmSouth Florida Tax-Exempt Fund Merrill Lynch 1-12-Year Municipal
(Class A Shares)* Bond Index
-------------------------------------------------------------------------------------------
9/30/94 9597 10000
-------------------------------------------------------------------------------------------
12/31/94 9497 9936
-------------------------------------------------------------------------------------------
9915 10403
-------------------------------------------------------------------------------------------
10149 10723
-------------------------------------------------------------------------------------------
10304 10929
-------------------------------------------------------------------------------------------
12/31/95 10545 11266
-------------------------------------------------------------------------------------------
10512 11269
-------------------------------------------------------------------------------------------
10553 11327
-------------------------------------------------------------------------------------------
10722 11547
-------------------------------------------------------------------------------------------
12/31/96 10925 11789
-------------------------------------------------------------------------------------------
10910 11784
-------------------------------------------------------------------------------------------
11163 12123
-------------------------------------------------------------------------------------------
11416 12431
-------------------------------------------------------------------------------------------
12/31/97 11640 12696
-------------------------------------------------------------------------------------------
11736 12840
-------------------------------------------------------------------------------------------
11876 13003
-------------------------------------------------------------------------------------------
12204 13387
-------------------------------------------------------------------------------------------
12/31/98 12273 13492
-------------------------------------------------------------------------------------------
12307 13586
-------------------------------------------------------------------------------------------
12079 13355
-------------------------------------------------------------------------------------------
12108 13473
-------------------------------------------------------------------------------------------
12/31/99 12109 13491
-------------------------------------------------------------------------------------------
12326 13715
-------------------------------------------------------------------------------------------
12474 13944
-------------------------------------------------------------------------------------------
12709 14258
-------------------------------------------------------------------------------------------
12/31/00 13122 14790
-------------------------------------------------------------------------------------------
13385 15168
-------------------------------------------------------------------------------------------
13437 15282
-------------------------------------------------------------------------------------------
13754 15717
-------------------------------------------------------------------------------------------
12/31/01 13708 15552
-------------------------------------------------------------------------------------------
13764 15685
-------------------------------------------------------------------------------------------
14247 16351
-------------------------------------------------------------------------------------------
14802 17152
-------------------------------------------------------------------------------------------
12/31/02 14863 17181
-------------------------------------------------------------------------------------------
14959 17343
-------------------------------------------------------------------------------------------
15243 17810
-------------------------------------------------------------------------------------------
15272 17844
-------------------------------------------------------------------------------------------
12/31/03 15315 18008
-------------------------------------------------------------------------------------------
15433 18275
-------------------------------------------------------------------------------------------
15106 17858
-------------------------------------------------------------------------------------------
7/31/04 15233 18052
-------------------------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Inception 1 5 Since
July 31, 2004 Date Year Year Inception
--------------------------------------------------------
Class A Shares* 9/30/94 -1.27% 3.78% 4.37%
--------------------------------------------------------
Class B Shares** 3/16/99(1) -2.85% 3.50% 3.90%
--------------------------------------------------------
Class I Shares 9/2/97(1) 3.14% 4.81% 4.93%
--------------------------------------------------------
* REFLECTS MAXIMUM 4.00% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 9/30/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH FLORIDA TAX-EXEMPT FUND IS MEASURED AGAINST THE
MERRILL LYNCH 1-12-YEAR MUNICIPAL BOND INDEX, A WIDELY RECOGNIZED UNMANAGED
INDEX GENERALLY REPRESENTATIVE OF MUNICIPAL BONDS WITH INTERMEDIATE MATURITIES
OF NO LESS THAN ONE YEAR AND NO MORE THAN TWELVE YEARS. THE INDEX IS NOT
AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSIONS OR
OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR
REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS
NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
3/16/99 AND 9/2/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
37
- --------------------------------------------------------------------------------
AMSOUTH TENNESSEE TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
PORTFOLIO MANAGER
Dorothy E.Thomas, CFA
Senior Vice President
AmSouth Bank
AmSouth Asset Management, Inc.
DOROTHY THOMAS HAS MORE THAN 20 YEARS OF EXPERIENCE AS AN INVESTMENT PORTFOLIO
MANAGER. SHE HOLDS AN MBA AND A BA IN ECONOMICS AND SERVES AS MANAGER OF
TAX-EXEMPT FIXED INCOME INVESTMENTS FOR AMSOUTH. SHE ALSO IS THE PORTFOLIO
MANAGER FOR THE AMSOUTH MUNICIPAL BOND AND THE AMSOUTH FLORIDA TAX-EXEMPT FUND
INVESTMENT CONCERNS
THE GEOGRAPHICAL CONCENTRATION OF PORTFOLIO HOLDINGS IN THIS FUND MAY INVOLVE
INCREASED RISK.
THE FUND'S INCOME MAY BE SUBJECT TO CERTAIN STATE AND LOCAL TAXES AND, DEPENDING
ON YOUR TAX STATUS, THE FEDERAL ALTERNATIVE MINIMUM TAX.
BOND FUNDS WILL TEND TO EXPERIENCE SMALLER FLUCTUATIONS IN VALUE THAN STOCK
FUNDS. HOWEVER, INVESTORS IN ANY BOND FUND SHOULD ANTICIPATE FLUCTUATIONS IN
PRICE, ESPECIALLY FOR LONGER-TERM ISSUES AND IN ENVIRONMENTS OF RISING INTEREST
RATES.
PORTFOLIO MANAGER'S PERSPECTIVE
"THE AMSOUTH TENNESSEE TAX-EXEMPT FUND GENERATES INCOME THAT IS EXEMPT FROM BOTH
FEDERAL AND THE STATE OF TENNESSEE INCOME TAX.THE FUND ONLY INVESTS IN
SECURITIES IN THE TOP THREE RATING CLASSES, OR OF COMPARABLE QUALITY. AS WITH
THE OTHER AMSOUTH BOND FUNDS, WE STRIVE TO ENHANCE LONG-TERM PERFORMANCE BY
CAPITALIZING ON EXPECTED CHANGES IN INTEREST RATES."
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD ENDED JULY 31, 2004?
A. The Fund delivered a total return of 2.69% (Class A Shares at NAV). The
Fund's benchmark, the Merrill Lynch 1-12-Year Municipal Bond Index, returned
5.31%.
Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE DURING THE PERIOD?
A. The Fund maintained a short average duration relative to its benchmark
throughout the period. We took that defensive approach in anticipation of higher
interest rates, which we believed would result from strong economic growth.
Rates were very volatile during the period, however, as bond investors grappled
with conflicting data about the direction of the economy and inflation. Interest
rates did increase over the 12-month period as a whole, but not as much as we
anticipated. Furthermore, the short end of the yield curve saw the largest
increase. The Fund's short duration dragged on relative returns in that
environment.
The Fund held primarily high-quality bonds throughout the period. Many
municipalities were struggling with low revenues, and high-quality securities
presented a better option for protecting shareholders' principal. This approach
hurt the Fund's relative returns during the first half of the period, as
lower-quality municipal issues delivered strong performance, but boosted
relative performance during the six months through July.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER.TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
38
- --------------------------------------------------------------------------------
AMSOUTH TENNESSEE TAX-EXEMPT FUND
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL.]
----------------------------------------------------------------------
VALUE OF A $10,000 INVESTMENT
----------------------------------------------------------------------
---------------------------------------------------------------------------
AmSouth Municipal Bond Fund (Class A Merrill Lynch 1-12-Year Municipal
Shares)* Bond Index
---------------------------------------------------------------------------
7/31/94 9603 10000
---------------------------------------------------------------------------
9559 9912
---------------------------------------------------------------------------
12/31/94 9481 9848
---------------------------------------------------------------------------
9834 10311
---------------------------------------------------------------------------
10055 10628
---------------------------------------------------------------------------
10254 10833
---------------------------------------------------------------------------
12/31/95 10464 11167
---------------------------------------------------------------------------
10430 11170
---------------------------------------------------------------------------
10464 11227
---------------------------------------------------------------------------
10629 11445
---------------------------------------------------------------------------
12/31/96 10828 11685
---------------------------------------------------------------------------
10762 11680
---------------------------------------------------------------------------
11038 12015
---------------------------------------------------------------------------
11278 12321
---------------------------------------------------------------------------
12/31/97 11497 12584
---------------------------------------------------------------------------
11569 12726
---------------------------------------------------------------------------
11709 12888
---------------------------------------------------------------------------
12060 13269
---------------------------------------------------------------------------
12/31/98 12120 13372
---------------------------------------------------------------------------
12166 13466
---------------------------------------------------------------------------
11897 13237
---------------------------------------------------------------------------
11972 13354
---------------------------------------------------------------------------
12/31/99 11918 13371
---------------------------------------------------------------------------
12117 13594
---------------------------------------------------------------------------
12264 13820
---------------------------------------------------------------------------
12524 14132
---------------------------------------------------------------------------
12/31/00 12969 14660
---------------------------------------------------------------------------
13274 15034
---------------------------------------------------------------------------
13335 15147
---------------------------------------------------------------------------
13663 15578
---------------------------------------------------------------------------
12/31/01 13552 15414
---------------------------------------------------------------------------
13616 15547
---------------------------------------------------------------------------
14117 16207
---------------------------------------------------------------------------
14652 17001
---------------------------------------------------------------------------
12/31/02 14722 17029
---------------------------------------------------------------------------
14836 17190
---------------------------------------------------------------------------
15108 17653
---------------------------------------------------------------------------
15148 17686
---------------------------------------------------------------------------
12/31/03 15180 17849
---------------------------------------------------------------------------
15313 18113
---------------------------------------------------------------------------
15020 17701
---------------------------------------------------------------------------
7/31/04 15139 17892
---------------------------------------------------------------------------
THE CHART REFLECTS THE PERFORMANCE OF THE CLASS A SHARES. THE
PERFORMANCE OF THE CLASS B SHARES AND THE CLASS I SHARES WILL BE
GREATER OR LESS THAN THE LINE SHOWN IN THE ABOVE CHART BASED ON THE
DIFFERENCES IN THE SALES CHARGES AND THE EXPENSES PAID BY SHAREHOLDERS
INVESTING IN CLASS A SHARES, CLASS B SHARES, AND CLASS I SHARES.
--------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------
As of Since 1 5 10
July 31, 2004 Inception Year Year Year
--------------------------------------------------------
Class A Shares* 3/28/94 -1.41% 3.38% 3.79%
--------------------------------------------------------
Class B Shares** 2/24/98(1) -3.13% 3.08% 3.36%
--------------------------------------------------------
Class I Shares 10/3/97(1) 2.85% 4.38% 4.33%
--------------------------------------------------------
* REFLECTS MAXIMUM 4.00% SALES CHARGE.
** REFLECTS APPLICABLE CONTINGENT DEFERRED SALES CHARGE (MAXIMUM
5.00%).
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL
RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON DISTRIBUTIONS AND REDEMPTIONS. THE INVESTMENT RETURN AND PRINCIPAL
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, CALL 1-800-451-8382.
THE CHART AND TABLE ABOVE COMPARE A HYPOTHETICAL $10,000 INVESTMENT FROM 7/31/94
TO 7/31/04 IN THE INDICATED SHARE CLASS VERSUS A SIMILAR INVESTMENT IN THE
FUND'S BENCHMARK.
THE PERFORMANCE OF THE AMSOUTH TENNESSEE TAX-EXEMPT FUND IS MEASURED AGAINST THE
MERRILL LYNCH 1-12-YEAR MUNICIPAL BOND INDEX, A WIDELY RECOGNIZED UNMANAGED
INDEX GENERALLY REPRESENTATIVE OF MUNICIPAL BONDS WITH INTERMEDIATE MATURITIES
OF NO LESS THAN ONE YEAR AND NO MORE THAN TWELVE YEARS. THE INDEX IS NOT
AVAILABLE FOR INVESTMENT AND DOES NOT REFLECT FEES, BROKERAGE COMMISSION OR
OTHER EXPENSES OF INVESTING. DURING THE PERIOD SHOWN, THE ADVISOR WAIVED AND/OR
REIMBURSED FEES FOR VARIOUS EXPENSES. HAD THESE WAIVERS AND/OR REIMBURSEMENTS
NOT BEEN IN EFFECT, PERFORMANCE QUOTED WOULD HAVE BEEN LOWER.
THE QUOTED RETURNS REFLECT THE PERFORMANCE FROM 3/28/94 TO 3/12/00 OF THE ISG
TENNESSEE TAX-EXEMPT FUND, AN OPEN-END INVESTMENT COMPANY THAT WAS THE
PREDECESSOR FUND TO THE AMSOUTH TENNESSEE TAX-EXEMPT FUND.
(1) PERFORMANCE FOR THE CLASS B AND CLASS I SHARES, WHICH WERE FIRST OFFERED ON
2/24/98 AND 10/3/97, RESPECTIVELY, ARE BASED ON THE HISTORICAL PERFORMANCE
OF THE CLASS A SHARES, INCLUDING THE PERFORMANCE OF THE PREDECESSOR FUND
AND COMMINGLED ACCOUNTS, (WITHOUT SALES CHARGE) PRIOR TO THAT DATE. THE
PREDECESSOR FUND AND COMMINGLED ACCOUNTS WERE MANAGED USING SUBSTANTIALLY
THE SAME INVESTMENT OBJECTIVE, POLICIES AND METHODOLOGIES AS THE FUND. THE
HISTORICAL PERFORMANCE FOR THE CLASS B SHARES HAS BEEN RESTATED TO REFLECT
THE CLASS B 12B-1 FEES AND THE CONTINGENT DEFERRED SALES CHARGE.
39
- --------------------------------------------------------------------------------
AMSOUTH MONEY MARKET FUNDS
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
Christine Taylor
Investment Officer
Kristie K. Jones
Investment Officer
AmSouth Bank
AmSouth Asset Management, Inc.
MS. TAYLOR MANAGES THE AMSOUTH MONEY MARKET MUTUAL FUNDS. SHE JOINED THE AMSOUTH
ASSET MANAGEMENT DIVISION IN 2002 AFTER COMPLETING AMSOUTH BANK'S MANAGEMENT
ASSOCIATE PROGRAM. PRIOR TO MOVING TO THE FIXED INCOME TEAM, SHE WAS A PORTFOLIO
MANAGER WITH THE EQUITY TEAM AT AMSOUTH. SHE EARNED A B.S. IN FINANCE FROM THE
UNIVERSITY OF SOUTH ALABAMA. CHRISTINE CURRENTLY HOLDS A SERIES 7, 63, AND 65
LICENSE AND IS A LEVEL II CANDIDATE FOR THE CHARTERED FINANCIAL ANALYST
DESIGNATION.
MRS. JONES IS A JUNIOR PORTFOLIO MANAGER. SHE EARNED HER B.S. IN FINANCE WITH A
CONCENTRATION IN REAL ESTATE FROM THE UNIVERSITY OF ALABAMA. SHE HOLDS HER
SERIES 7 AND SERIES 66 LICENSES. MRS. JONES IS CURRENTLY A CANDIDATE FOR LEVEL
II OF THE CHARTERED FINANCIAL ANALYST EXAM. INVESTMENT CONCERNS
INVESTMENTS CONCERNS
INVESTMENTS IN THE PRIME, THE TREASURY RESERVE, THE TAX-EXEMPT, AND THE
INSTITUTIONAL PRIME OBLIGATIONS MONEY MARKET FUNDS ARE NEITHER INSURED OR
GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE FUNDS SEEK
TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO
LOSE MONEY BY INVESTING IN THE FUNDS.
THE AMSOUTH TAX EXEMPT MONEY MARKET FUND'S INCOME MAY BE SUBJECT TO CERTAIN
STATE AND LOCAL TAXES AND, DEPENDING ON ONE'S TAX STATUS, THE FEDERAL
ALTERNATIVE MINIMUM TAX.
- --------------------------------------------------------------------------------
Q&A
- --------------------------------------------------------------------------------
Q. WHAT FACTORS AFFECTED THE FUNDS' PERFORMANCE DURING THE 12-MONTH PERIOD ENDED
JULY 31, 2004?
A. Short-term interest rates held steady at historically low levels throughout
most of the period. We kept the Funds' average maturities near their benchmarks
during this period of stable rates. We shortened the Funds' maturities in late
spring, because we expected the Fed to raise short-term interest rates in order
to forestall rising inflation. The Fed at its June 30 meeting did raise the
Federal Funds rate, from 1.00% to 1.25%--the first increase in four years.
Short-term rates rose leading up to that meeting, and the Funds' relatively
short maturities helped performance against their benchmarks.
The Funds emphasize high-quality securities, and high-quality commercial paper
was in short supply throughout the period. As a result of this shortage we
increased the Funds' investments in repurchase agreements. Strong demand and
weak supply of municipal issues during June and July caused the Tax-Exempt Money
Market Fund's yield to increase less than the yields on the taxable Money Market
Funds. The U.S. Treasury Money Market Fund merged with the Treasury Reserve
Money Market Fund at the end of November.
o As of July 31, 2004, the Prime Obligations Fund's average maturity was 28
days, compared with 59 days on January 31, 2004 and 62 days on July 31, 2003.+
o As of July 31, 2004, the Tax-Exempt Fund's average maturity was 19 days,
compared with 35 days on January 31, 2004 and 36 days on July 31, 2003.+
o As of July 31, 2004, the Treasury Reserve Fund's average maturity was 22 days,
compared with 45 days on January 31, 2004 and 55 days on July 31, 2003.+
o As of July 31, 2004, the Institutional Prime Obligations Fund's average
maturity was 29 days, compared with 64 days on January 31, 2004 and 56 days on
July 31, 2003.+
+ THE FUND'S PORTFOLIO IS CURRENT TO JULY 31, 2004 AND SUBJECT TO CHANGE.
THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, CALL 1-800-451-8382.
40
AMSOUTH FUNDS
ANNUAL REPORT
JULY 31, 2004
Investment Advisor Distributor
AmSouth Asset Management, Inc. BISYS Fund Services
1901 6th Avenue North 3435 Stelzer Road, Suite 1000
Suite 620 Columbus OH 43219
Birmingham AL 35203
Legal Counsel
Investment Subadvisors
Kirkpatrick & Lockhart, LLP
OakBrook Investments, LLC 1800 Massachusetts Avenue, N.W.
701 Warrenville Road, Suite 135 Washington DC 20036
Lisle IL 60532
o Enhanced Market Fund
o Mid Cap Fund
o Select Equity Fund Transfer Agent
BISYS Fund Services Ohio, Inc.
Sawgrass Asset Management, LLC 3435 Stelzer Road, Suite 1000
1579 The Greens Way, Suite 20 Columbus OH 43219
Jacksonville FL 32250
o Small Cap Fund
Auditors
Dimensional Fund Advisors, Inc.
1299 Ocean Avenue Ernst & Young, LLP
Santa Monica CA 90401 1100 Huntington Center
o International Equity Fund 41 South High Street
Columbus OH 43215
9/04
ASO-OR
-------------------------------------
VALUE FUND
Schedule of Portfolio Investments
-------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
-------- --------
COMMON STOCKS (99.1%)
ACE Ltd. .......................................... 159,229 $ 6,463
AFLAC, Inc. ....................................... 315,600 12,510
Alcoa, Inc. ....................................... 335,000 10,730
American Electric Power Co., Inc. ................. 230,194 7,161
American International Group, Inc. ................ 192,000 13,565
Anadarko Petroleum Corp. .......................... 110,000 6,577
Archer-Daniels-Midland Co. ........................ 78,600 1,213
Bank of America Corp. ............................. 240,000 20,402
Becton, Dickinson & Co. ........................... 104,510 4,936
BellSouth Corp. ................................... 643,166 17,423
Black & Decker Corp. # ............................ 77,000 5,383
Bristol-Myers Squibb Co. # ........................ 570,306 13,060
Burlington Resources, Inc. ........................ 33,900 1,294
Capital One Financial Corp. ....................... 82,800 5,740
Carnival Corp. .................................... 170,000 7,924
ChevronTexaco Corp. ............................... 137,265 13,130
CIT Group, Inc. ................................... 551,660 19,176
Citigroup, Inc. ................................... 490,980 21,646
Colgate-Palmolive Co. ............................. 200,000 10,640
Computer Associates International, Inc. # ......... 243,900 6,156
ConocoPhillips .................................... 166,498 13,115
Costco Wholesale Corp. # .......................... 214,000 8,701
Devon Energy Corp. ................................ 98,000 6,810
Dominion Resources, Inc. # ........................ 92,746 5,886
Dow Chemical Co. .................................. 79,223 3,160
EMC Corp. (b) ..................................... 756,500 8,299
Entergy Corp. ..................................... 132,400 7,613
FedEx Corp. ....................................... 110,400 9,040
Freddie Mac ....................................... 134,835 8,671
Goldman Sachs Group, Inc. ......................... 54,900 4,842
Halliburton Co. # ................................. 258,187 8,197
Health Management Associates, Inc.,
Class A ......................................... 62,000 1,244
Hewlett-Packard Co. ............................... 834,748 16,820
Home Depot, Inc. .................................. 404,245 13,630
Honeywell International, Inc. ..................... 150,118 5,646
IBM Corp. ......................................... 62,135 5,410
Illinois Tool Works, Inc. # ....................... 25,052 2,268
International Paper Co. ........................... 58,500 2,529
J.P. Morgan Chase & Co. ........................... 199,919 7,463
Kerr-McGee Corp. .................................. 68,988 3,622
Kohl's Corp. (b) .................................. 18,000 824
Limited Brands .................................... 315,881 6,457
Lockheed Martin Corp. ............................. 10,000 530
McDonald's Corp. .................................. 78,724 2,165
MeadWestvaco Corp. ................................ 125,649 3,752
MetLife, Inc. ..................................... 276,271 9,855
Nike, Inc., Class B # ............................. 129,800 9,438
Occidental Petroleum Corp. ........................ 68,000 3,350
Office Depot, Inc. (b) ............................ 237,000 3,887
Prudential Financial, Inc. ........................ 93,184 4,339
Raytheon Co. ...................................... 253,954 8,520
SBC Communications, Inc. .......................... 618,703 15,678
Simon Property Group, Inc. ........................ 51,000 2,632
Sprint Corp. # .................................... 193,998 3,624
Continued
Shares Value
-------- --------
COMMON STOCKS, continued
St. Paul Cos., Inc. # ............................. 346,226 $ 12,835
SunTrust Banks, Inc. # ............................ 45,988 3,033
Texas Instruments, Inc. ........................... 263,151 5,613
Time Warner, Inc. (b) # ........................... 300,000 4,995
Tyco International, Ltd. # ........................ 433,993 13,453
United Technologies Corp. ......................... 65,752 6,148
Verizon Communications, Inc. ...................... 108,966 4,200
Viacom, Inc., Class B ............................. 311,500 10,463
Wachovia Corp. .................................... 124,500 5,517
Washington Mutual, Inc. ........................... 410,000 15,908
XL Capital, Ltd. .................................. 56,500 3,993
--------
TOTAL COMMON STOCKS ............................... 509,304
--------
AFFILIATED SECURITIES (0.1%)
AmSouth Prime Money Market Fund ................... 468,664 469
AmSouth Treasury Reserve Money Market
Fund ............................................ 34,376 34
--------
TOTAL AFFILIATED SECURITIES ....................... 503
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (11.1%)
BNY Institutional Cash Reserve Fund ............... 56,798,162 56,798
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING .............................. 56,798
--------
TOTAL INVESTMENTS
(Cost $448,515) (a) -- 110.3% ................... 566,605
Liabilities in excess of other assets --
(10.3%) ......................................... (52,716)
--------
NET ASSETS -- 100.0% .............................. $513,889
========
- ---------------
(a) Cost for federal income tax purposes is $452,448. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $122,432
Unrealized depreciation ............. (8,275)
--------
Net unrealized appreciation ......... $114,157
========
(b) Represents non-income producing security.
# A portion or all of this security is on loan as of July 31, 2004.
BNY -- Bank of New York
Continued
41
- -----------------------------------
VALUE FUND
Schedule of Portfolio Investments
- -----------------------------------
July 31, 2004
(amounts in thousands, except shares)
The table below sets forth the diversification of the Value Fund investments by
industry.
Industry Diversification Percent*
- ------------------------ --------
Aerospace/Defense ....................... 3.0%
Affiliated Securities ................... 0.1%
Apparel ................................. 1.8%
Banking ................................. 5.6%
Cash Equivalents ........................ 11.1%
Chemicals -- Specialty .................. 0.6%
Computer Hardware ....................... 4.3%
Computer Software & Services ............ 2.8%
Consumer Goods .......................... 2.1%
Consumer Staples ........................ 0.2%
Diversified Manufacturing ............... 4.2%
Entertainment ........................... 1.5%
Financial Services ...................... 17.2%
Forest & Paper Products ................. 1.2%
Health Care ............................. 0.2%
Insurance ............................... 11.6%
Machinery & Equipment ................... 1.0%
Medical Products ........................ 1.0%
Metals & Mining ......................... 2.1%
Multimedia .............................. 3.0%
Oil & Gas Production & Services ......... 10.9%
Pharmaceutical .......................... 2.5%
Real Estate ............................. 0.5%
Restaurants ............................. 0.4%
Retail .................................. 6.5%
Semiconductors .......................... 1.1%
Transportation & Shipping ............... 1.8%
Utilities -- Electric & Gas ............. 4.0%
Utilities -- Telecommunications ......... 8.0%
-----
Total Investments .................. 110.3%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
SELECT EQUITY FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
--------- ---------
COMMON STOCKS (99.1%)
American Power Conversion Corp. .................. 321,200 $ 4,850
Automatic Data Processing, Inc. .................. 209,200 8,782
Briggs & Stratton Corp. .......................... 39,700 3,315
Gannett Co., Inc. ................................ 93,700 7,790
General Mills, Inc. .............................. 124,900 5,608
Gillette Co. ..................................... 87,100 3,395
H.J. Heinz Co. ................................... 152,900 5,640
Harley-Davidson, Inc. ............................ 95,500 5,718
Home Depot, Inc. ................................. 251,100 8,467
International Flavors & Fragrances, Inc. ......... 143,900 5,258
J.M. Smucker Co. ................................. 74,778 3,126
Kimberly-Clark Corp. ............................. 123,600 7,920
McDonald's Corp. ................................. 324,300 8,918
Pfizer, Inc. ..................................... 108,020 3,452
Pitney Bowes, Inc. ............................... 208,100 8,782
Snap-on, Inc. .................................... 98,200 3,153
SYSCO Corp. ...................................... 165,100 5,688
Tribune Co. ...................................... 128,000 5,434
Walt Disney Co. .................................. 242,000 5,588
Waste Management, Inc. ........................... 286,160 8,053
--------
TOTAL COMMON STOCKS .............................. 118,937
--------
AFFILIATED SECURITIES (1.8%)
AmSouth Prime Money Market Fund .................. 2,106,145 2,106
AmSouth Treasury Reserve Money
Market Fund .................................... 1,763 2
--------
TOTAL AFFILIATED SECURITIES ...................... 2,108
--------
TOTAL INVESTMENTS
(Cost $112,704) (a) -- 100.9%................... 121,045
Liabilities in excess of other assets --
(0.9)% ......................................... (1,077)
--------
NET ASSETS -- 100.0% ............................. $119,968
========
- ---------------
(a) Represents cost for financial reporting purposes, and is the same as cost
for federal income tax purposes, and differs from value by unrealized
appreciation of securities as follows:
Unrealized appreciation ............. $11,749
Unrealized depreciation ............. (3,408)
-------
Net unrealized appreciation ......... $ 8,341
=======
The table below sets forth the diversification of the Select Equity Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ --------
Affiliated Securities .......... 1.8%
Consumer Discretionary ......... 37.5%
Consumer Staples ............... 26.2%
Health Care .................... 2.9%
Industrials .................... 28.1%
Materials ...................... 4.4%
-----
Total Investments ......... 100.9%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
42
--------------------------------------
ENHANCED MARKET FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------ --------
COMMON STOCKS (98.5%)
3M Co. ........................................ 13,300 $ 1,095
Abbott Laboratories ........................... 26,700 1,051
ACE Ltd. ...................................... 9,700 394
ADC Telecommunications, Inc. (b) .............. 27,700 66
Adobe Systems, Inc. ........................... 4,100 173
Adolph Coors Co., Class B ..................... 1,300 89
AES Corp. (b) ................................. 10,100 97
Aetna, Inc. ................................... 5,200 446
AFLAC, Inc. ................................... 8,700 345
Agilent Technologies, Inc. (b) ................ 16,500 393
Air Products and Chemicals, Inc. .............. 7,800 404
Alberto-Culver Co. ............................ 3,050 142
Alcoa, Inc. ................................... 21,600 692
Allegheny Energy, Inc. (b) # .................. 2,000 30
Allegheny Technologies, Inc. .................. 1,300 26
Allergan, Inc. ................................ 4,500 340
Allstate Corp. ................................ 24,100 1,135
Altria Group, Inc. ............................ 35,100 1,671
Ambac Financial Group, Inc. ................... 3,200 228
Amerada Hess Corp. ............................ 1,500 125
Ameren Corp. .................................. 3,100 139
American Electric Power Co. ................... 6,620 206
American Express Co. .......................... 21,900 1,100
American International Group, Inc. ............ 35,916 2,537
American Power Conversion Corp. ............... 3,400 51
American Standard Cos., Inc. (b) .............. 3,600 136
AmerisourceBergen Corp. ....................... 1,900 103
Amgen, Inc. (b) ............................... 21,748 1,237
Anadarko Petroleum Corp. ...................... 8,600 514
Analog Devices, Inc. .......................... 11,300 449
Anheuser-Busch Cos., Inc. ..................... 13,900 721
Anthem, Inc. (b) # ............................ 2,300 190
Apache Corp. .................................. 10,802 503
Apartment Investment & Management Co.,
Class A ..................................... 1,500 48
Apple Computer, Inc. (b) ...................... 6,300 204
Applera Corp. -- Applied Biosystems Group ..... 3,500 72
Applied Materials, Inc. (b) ................... 40,600 689
Applied Micro Circuits Corp. (b) .............. 10,700 39
Archer-Daniels-Midland Co. .................... 22,311 344
Ashland, Inc. ................................. 2,400 125
AT&T Wireless Services, Inc. (b) .............. 46,721 675
Autodesk, Inc. ................................ 3,800 153
Avaya, Inc. (b) ............................... 12,179 178
Avery Dennison Corp. .......................... 1,900 115
Avon Products, Inc. ........................... 8,100 348
Ball Corp. .................................... 1,900 137
Bank of America Corp. ......................... 27,438 2,333
Bank of New York Co., Inc. .................... 26,600 764
Bausch & Lomb, Inc. ........................... 900 55
Baxter International, Inc. .................... 17,100 514
Becton, Dickinson & Co. ....................... 8,700 411
BellSouth Corp. ............................... 40,300 1,092
Bemis Co., Inc. ............................... 1,800 48
Best Buy Co., Inc. ............................ 9,800 472
Big Lots, Inc. (b) # .......................... 2,000 24
BJ Services Co. (b) ........................... 4,600 228
Continued
Shares Value
------- ---------
COMMON STOCKS, continued
Black & Decker Corp. # ........................ 2,600 $ 182
BMC Software, Inc. (b) ........................ 7,700 121
Boeing Co. .................................... 21,800 1,106
Boise Cascade Corp. ........................... 3,000 97
Boston Scientific Corp. (b) ................... 14,300 547
Bristol-Myers Squibb Co. # .................... 42,500 973
Broadcom Corp., Class A (b) ................... 10,300 364
Brunswick Corp. ............................... 3,300 129
Burlington Resources, Inc. .................... 13,600 519
C.R. Bard, Inc. ............................... 3,600 199
Calpine Corp. (b) # ........................... 6,700 26
Caterpillar, Inc. ............................. 11,300 830
CenterPoint Energy, Inc. ...................... 4,900 57
Centex Corp. .................................. 3,900 165
CenturyTel, Inc. .............................. 4,800 149
Charter One Financial, Inc. ................... 6,354 282
ChevronTexaco Corp. ........................... 18,219 1,743
Chubb Corp. ................................... 6,500 447
CIENA Corp. (b) ............................... 19,600 55
CIGNA Corp. ................................... 4,100 254
Cinergy Corp. ................................. 2,900 111
Circuit City Stores, Inc. ..................... 7,200 102
Cisco Systems, Inc. (b) ....................... 139,700 2,913
Citigroup, Inc. ............................... 97,666 4,305
Citrix Systems, Inc. (b) ...................... 5,800 102
Clorox Co. .................................... 7,300 363
CMS Energy Corp. (b) .......................... 2,600 23
Coca-Cola Co. ................................. 46,200 2,026
Colgate-Palmolive Co. ......................... 13,000 692
Comcast Corp., Class A (b) .................... 15,512 425
Comerica, Inc. ................................ 2,900 170
Compuware Corp. (b) ........................... 13,300 66
ConocoPhillips ................................ 20,064 1,580
Consolidated Edison, Inc. ..................... 4,100 168
Constellation Energy Group .................... 2,800 108
Convergys Corp. (b) ........................... 4,900 65
Cooper Industries, Ltd., Class A .............. 3,200 182
Cooper Tire & Rubber Co. ...................... 1,100 26
Corning, Inc. (b) ............................. 47,000 581
Countrywide Financial Corp. ................... 4,750 342
CSX Corp. ..................................... 6,200 194
Cummins, Inc. ................................. 1,500 104
Dana Corp. .................................... 2,600 50
Darden Restaurants, Inc. ...................... 2,850 61
Deere & Co. ................................... 8,500 534
Dell, Inc. (b) ................................ 43,200 1,532
Delta Air Lines, Inc. (b) # ................... 2,100 11
Devon Energy Corp. ............................ 4,000 278
Dillard's, Inc., Class A ...................... 1,400 32
Dollar General Corp. .......................... 9,800 189
Dominion Resources, Inc. ...................... 5,604 356
Dover Corp. ................................... 6,500 258
Dow Chemical Co. .............................. 26,600 1,060
DTE Energy Co. ................................ 2,800 112
Duke Energy Corp. ............................. 15,200 327
Dynergy, Inc., Class A (b) # .................. 5,900 25
E*TRADE Financial Corp. (b) ................... 6,300 70
Continued
43
- --------------------------------------
ENHANCED MARKET FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- ---------
COMMON STOCKS, continued
E.I. du Pont de Nemours & Co. .................... 31,578 $ 1,353
Eaton Corp. ...................................... 4,300 278
eBay, Inc. (b) ................................... 4,400 345
Ecolab, Inc. ..................................... 4,400 134
Edison International ............................. 5,500 147
El Paso Energy Corp. # ........................... 9,853 78
Electronic Arts, Inc. (b) ........................ 5,000 251
Eli Lilly & Co. .................................. 10,500 669
EMC Corp. (b) .................................... 83,662 918
Emerson Electric Co. ............................. 13,300 807
Engelhard Corp. .................................. 4,300 126
Entergy Corp. .................................... 3,800 219
Equity Office Properties Trust ................... 6,700 174
Equity Residential Property ...................... 4,500 133
Exelon Corp. ..................................... 11,350 395
Exxon Mobil Corp. ................................ 126,164 5,841
Family Dollar Stores, Inc. ....................... 5,900 164
Fannie Mae ....................................... 16,600 1,178
Federated Department Stores, Inc. ................ 5,000 240
Federated Investors, Inc., Class B ............... 3,700 104
FedEx Corp. ...................................... 10,300 843
First Data Corp. ................................. 20,110 897
FirstEnergy Corp. ................................ 5,497 215
Fiserv, Inc. (b) ................................. 3,300 113
Forest Laboratories, Inc. (b) .................... 12,700 639
Fortune Brands, Inc. ............................. 5,000 361
FPL Group, Inc. # ................................ 3,100 209
Franklin Resources, Inc. ......................... 8,500 410
Freddie Mac ...................................... 21,900 1,408
Freeport-McMoRan Copper & Gold, Inc.,
Class B ........................................ 5,500 192
Gannett Co., Inc. ................................ 4,600 382
Gateway, Inc. (b) ................................ 5,100 23
General Dynamics Corp. ........................... 6,800 672
General Electric Co. ............................. 192,200 6,392
Gillette Co. ..................................... 2,100 82
Golden West Financial Corp. ...................... 2,600 278
Goldman Sachs Group, Inc. ........................ 12,800 1,129
Goodrich Corp. ................................... 4,000 129
Goodyear Tire & Rubber Co. (b) ................... 3,000 33
Great Lakes Chemical Corp. ....................... 900 22
Guidant Corp. .................................... 10,800 597
H & R Block, Inc. ................................ 5,600 275
H.J. Heinz Co. ................................... 12,000 443
Harrah's Entertainment, Inc. ..................... 1,900 88
Hartford Financial Services Group ................ 5,000 326
Hasbro, Inc. ..................................... 2,800 51
Hercules, Inc. (b) ............................... 1,800 21
Hewlett-Packard Co. .............................. 78,711 1,586
Home Depot, Inc. ................................. 38,100 1,285
Honeywell International, Inc. .................... 29,400 1,107
Hospira, Inc. (b) ................................ 2,680 69
Humana, Inc. (b) ................................. 5,500 100
Huntington Bancshares, Inc. ...................... 3,900 95
IBM Corp. ........................................ 31,400 2,733
IMS Health, Inc. ................................. 7,200 175
Ingersoll Rand Co. ............................... 6,000 412
Continued
Shares Value
------- ---------
COMMON STOCKS, continued
Intel Corp. ...................................... 118,800 $ 2,895
International Flavors & Fragrances, Inc. ......... 3,200 117
ITT Industries, Inc. ............................. 2,900 232
J.C. Penney Co., Inc., Holding Co. ............... 4,900 196
J.P. Morgan Chase & Co., Inc. .................... 61,024 2,278
Jabil Circuit, Inc. (b) .......................... 6,700 146
JDS Uniphase Corp. (b) # ......................... 43,100 149
Johnson & Johnson ................................ 50,800 2,808
Johnson Controls, Inc. ........................... 6,500 367
Jones Apparel Group, Inc. ........................ 4,200 157
KB Home .......................................... 1,600 102
KeySpan Corp. .................................... 2,600 94
Kimberly-Clark Corp. ............................. 12,100 775
Kinder Morgan, Inc. .............................. 2,000 120
King Pharmaceuticals, Inc. (b) ................... 8,266 93
KLA-Tencor Corp. (b) ............................. 5,000 206
Kohl's Corp. (b) ................................. 11,700 535
Leggett & Platt, Inc. ............................ 6,600 179
Lehman Brothers Holdings, Inc. ................... 7,700 540
Limited Brands ................................... 13,052 267
Lincoln National Corp. ........................... 5,500 240
Linear Technology Corp. .......................... 5,300 207
Liz Claiborne, Inc. .............................. 3,800 138
Lockheed Martin Corp. ............................ 7,700 408
Loews Corp. ...................................... 6,300 357
Louisiana-Pacific Corp. .......................... 1,900 45
Lowe's Cos., Inc. ................................ 17,600 857
LSI Logic Corp. (b) .............................. 13,100 67
Lucent Technologies, Inc. (b) # .................. 73,400 224
M&T Bank Corp. ................................... 4,100 382
Manor Care, Inc. ................................. 1,500 47
Marathon Oil Corp. ............................... 11,800 445
Marsh & McLennan Cos., Inc. ...................... 17,900 794
Marshall & Ilsley Corp. .......................... 6,600 254
Masco Corp. ...................................... 7,700 233
Mattel, Inc. ..................................... 11,400 200
MBNA Corp. ....................................... 38,250 944
McDonald's Corp. ................................. 30,100 828
McGraw Hill Cos., Inc. ........................... 6,200 465
McKesson Corp. ................................... 7,900 254
MeadWestvaco Corp. ............................... 6,800 203
Medco Health Solutions, Inc. (b) ................. 4,574 139
MedImmune, Inc. (b) .............................. 7,300 168
Medtronic, Inc. .................................. 28,400 1,411
Mellon Financial Corp. ........................... 14,600 401
Merck & Co., Inc. ................................ 42,900 1,946
Meredith Corp. ................................... 1,700 90
Merrill Lynch & Co., Inc. ........................ 20,500 1,019
MetLife, Inc. .................................... 25,900 924
Micron Technology, Inc. (b) ...................... 10,400 141
Microsoft Corp. .................................. 162,400 4,621
Millipore Corp. (b) .............................. 1,700 90
Monsanto Co. ..................................... 7,131 259
Moody's Corp. .................................... 2,600 177
Morgan Stanley ................................... 23,100 1,140
Motorola, Inc. ................................... 71,100 1,133
Mylan Laboratories, Inc. ......................... 8,400 124
Continued
44
--------------------------------------
ENHANCED MARKET FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- --------
COMMON STOCKS, continued
Nabors Industries, Ltd. (b) ..................... 2,400 $ 112
National City Corp. ............................. 10,600 387
National Semiconductor Corp. (b) ................ 10,100 173
New York Times Co., Class A ..................... 4,300 179
Newmont Mining Corp. ............................ 13,300 538
Nicor, Inc. ..................................... 700 23
NIKE, Inc., Class B ............................. 9,100 662
NiSource, Inc. .................................. 4,400 91
Noble Corp. (b) ................................. 4,600 178
Nordstrom, Inc. ................................. 4,300 189
Norfolk Southern Corp. .......................... 13,400 358
North Fork Bancorporation, Inc. ................. 2,900 113
Northern Trust Corp. ............................ 6,400 257
Novell, Inc. (b) ................................ 13,300 91
Novellus Systems, Inc. (b) ...................... 5,000 135
NVIDIA Corp. (b) ................................ 5,700 88
Office Depot, Inc. (b) .......................... 5,300 87
Omnicom Group, Inc. ............................. 3,300 238
Oracle Corp. (b) ................................ 88,900 934
Pactiv Corp. (b) ................................ 5,300 125
Pall Corp. ...................................... 2,100 49
Parametric Technology Corp. (b) ................. 4,200 19
Parker Hannifin Corp. ........................... 3,700 212
Peoples Energy Corp. ............................ 600 23
Peoplesoft, Inc. (b) ............................ 6,100 110
Pepsi Bottling Group, Inc. ...................... 8,800 245
PepsiCo, Inc. ................................... 33,390 1,670
PerkinElmer, Inc. ............................... 4,400 77
Pfizer, Inc. .................................... 137,273 4,387
PG&E Corp. (b) # ................................ 7,000 200
Phelps Dodge Corp. .............................. 2,900 226
Pinnacle West Capital Corp. ..................... 1,500 61
Pitney Bowes, Inc. .............................. 4,000 169
Plum Creek Timber Co., Inc. ..................... 6,300 198
PMC-Sierra, Inc. (b) # .......................... 3,000 36
PNC Financial Services Group .................... 4,700 238
Power-One, Inc. (b) ............................. 1,300 11
PPG Industries, Inc. ............................ 5,900 348
PPL Corp. ....................................... 2,950 137
Praxair, Inc. ................................... 11,100 438
Principal Financial Group, Inc. ................. 5,400 184
Procter & Gamble Co. ............................ 48,300 2,519
Progress Energy, Inc. ........................... 4,137 174
Progress Energy, Inc., CVO (b) .................. 500 --*
Progressive Corp. ............................... 3,700 283
ProLogis ........................................ 2,900 99
Providian Financial Corp. (b) ................... 4,900 68
Prudential Financial, Inc. ...................... 9,100 424
Public Service Enterprise Group, Inc. ........... 3,900 152
Pulte Homes, Inc. ............................... 2,200 120
QLogic Corp. (b) ................................ 1,600 39
Qualcomm, Inc. .................................. 13,900 960
Qwest Communications International,
Inc. (b) ...................................... 51,100 199
R.R. Donnelley & Sons Co. ....................... 7,500 238
Reebok International, Ltd. ...................... 2,000 68
Regions Financial Corp. ......................... 11,571 344
Continued
Shares Value
------- --------
COMMON STOCKS, continued
Rockwell Automation ............................. 5,300 $ 198
Rockwell Collins, Inc. .......................... 3,000 103
Rohm & Haas Co. ................................. 6,200 243
Rowan Cos., Inc. (b) ............................ 3,600 88
Ryder System, Inc. .............................. 2,200 94
Sabre Holdings Corp. ............................ 2,400 61
Sara Lee Corp. .................................. 13,500 296
SBC Communications, Inc. ........................ 72,080 1,826
Schlumberger Ltd. ............................... 10,000 643
Scientific-Atlanta, Inc. ........................ 4,900 151
Seagate Technology, Inc., Escrow Shares (b) ..... 2,400 --*
Sempra Energy ................................... 3,800 136
Sherwin-Williams Co. ............................ 5,000 202
Siebel Systems, Inc. (b) ........................ 15,700 127
Simon Property Group, Inc. ...................... 3,500 181
Snap-on, Inc. ................................... 1,000 32
Solectron Corp. (b) ............................. 28,200 155
Southern Co. .................................... 12,300 360
St. Jude Medical, Inc. (b) ...................... 6,000 409
Starwood Hotels & Resorts Worldwide, Inc. ....... 3,300 149
Sun Microsystems, Inc. (b) ...................... 113,900 450
Sunoco, Inc. .................................... 2,600 177
SUPERVALU, Inc. ................................. 2,300 66
Symbol Technologies, Inc. ....................... 8,100 106
Target Corp. .................................... 1,300 57
TECO Energy, Inc. ............................... 3,000 39
Tektronix, Inc. ................................. 2,900 88
Temple-Inland, Inc. ............................. 1,900 130
Teradyne, Inc. (b) .............................. 6,700 115
Texas Instruments, Inc. ......................... 38,900 830
Textron, Inc. ................................... 2,400 147
Thermo Electron Corp. (b) ....................... 5,400 139
Thomas & Betts Corp. ............................ 900 24
Tiffany & Co. ................................... 4,700 168
Time Warner, Inc. (b) ........................... 78,100 1,299
Toys "R" Us, Inc. (b) ........................... 7,300 120
Tribune Co. ..................................... 10,600 450
TXU Corp. ....................................... 5,300 210
Tyco International, Ltd. # ...................... 34,069 1,056
U.S. Bancorp .................................... 47,707 1,350
Union Pacific Corp. ............................. 8,900 501
Unisys Corp. (b) ................................ 11,300 116
United Parcel Service, Inc., Class B ............ 10,900 784
United States Steel Corp. ....................... 3,900 149
United Technologies Corp. ....................... 13,000 1,217
UnitedHealth Group, Inc. ........................ 10,700 673
Unocal Corp. .................................... 7,500 291
V.F. Corp. ...................................... 3,800 190
Valero Energy Corp. ............................. 2,200 165
Veritas Software Corp. (b) ...................... 7,300 139
Verizon Communications .......................... 53,706 2,069
Viacom, Inc., Class B ........................... 45,224 1,518
Visteon Corp. ................................... 2,091 21
W. W. Grainger, Inc. ............................ 3,100 164
Wachovia Corp. .................................. 8,600 381
Wal-Mart Stores, Inc. ........................... 81,500 4,321
Walgreen Co. .................................... 300 11
Continued
45
- --------------------------------------
ENHANCED MARKET FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
--------- -------
COMMON STOCKS, continued
Walt Disney Co. ............................. 49,800 $ 1,150
Waters Corp. (b) ............................ 3,800 167
Watson Pharmaceuticals, Inc. (b) ............ 3,700 93
WellPoint Health Networks, Inc. (b) ......... 2,700 273
Wells Fargo & Co. ........................... 28,800 1,653
Wendy's International, Inc. ................. 3,900 140
Weyerhaeuser Co. ............................ 8,300 515
Whirlpool Corp. ............................. 1,200 75
Williams Cos., Inc. ......................... 8,700 106
Winn-Dixie Stores, Inc. ..................... 2,400 15
Worthington Industries, Inc. ................ 1,400 29
Wyeth ....................................... 29,100 1,030
Xcel Energy, Inc. # ......................... 6,685 114
Xilinx, Inc. ................................ 5,700 168
Yahoo!, Inc. (b) ............................ 5,200 160
YUM! Brands, Inc. ........................... 10,000 384
Zimmer Holdings, Inc. (b) ................... 4,110 314
Zions Bancorp. .............................. 1,600 97
--------
TOTAL COMMON STOCKS ......................... 176,012
--------
AFFILIATED SECURITIES (1.4%)
AmSouth Prime Money Market Fund ............. 2,441,290 2,441
AmSouth Treasury Reserve Money Market
Fund ...................................... 7,532 8
--------
TOTAL AFFILIATED SECURITIES ................. 2,449
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (1.3%)
BNY Institutional Cash Reserve Fund ......... 2,323,170 2,323
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................ 2,323
--------
TOTAL INVESTMENTS
(Cost $169,323) (a) -- 101.2% ............. 180,784
Liabilities in excess of other assets --
(1.2%) .................................... (2,132)
--------
NET ASSETS -- 100.0% ........................ $178,652
========
- ---------------
(a) Cost for federal income tax purposes is $172,650. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $15,264
Unrealized depreciation ............. (7,130)
-------
Net unrealized appreciation ......... $ 8,134
=======
(b) Represents non-income producing security.
# A portion or all of this security is on loan as of July 31, 2004.
* Due to rounding, figure is below thousand-dollar threshold.
BNY -- Bank of New York
Continued
Open Futures Contracts
-----------------------------------------------------
# of Contract Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- -------- ---------- -----------
S&P 500 Index ......... 8 $2,202 9/16/04 $(63)
The table below sets forth the diversification of the Enhanced Market Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ --------
Affiliated Securities .............. 1.4%
Cash Equivalents ................... 1.3%
Consumer Discretionary ............. 9.3%
Consumer Staples ................... 9.4%
Energy ............................. 7.6%
Financials ......................... 19.8%
Health Care ........................ 12.8%
Industrials ........................ 12.7%
Information Technology ............. 16.5%
Materials .......................... 4.2%
Telecommunication Services ......... 3.4%
Utilities .......................... 2.8%
-----
Total Investments ............. 101.2%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
46
--------------------------------------
LARGE CAP FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- --------
COMMON STOCKS (99.6%)
Abbott Laboratories ......................... 185,000 $ 7,280
AFLAC, Inc. ................................. 90,000 3,568
Agilent Technologies, Inc. (b) .............. 100,000 2,381
Allergan, Inc. .............................. 36,000 2,723
American Express Co. ........................ 75,000 3,769
American International Group, Inc. .......... 60,000 4,238
Amgen, Inc. (b) ............................. 170,000 9,670
Apollo Group, Inc., Class A (b) # ........... 37,000 3,091
Applied Materials, Inc. (b) ................. 520,000 8,824
Automatic Data Processing, Inc. ............. 225,000 9,445
Avery Dennison Corp. ........................ 50,000 3,029
Bed Bath & Beyond, Inc. (b) ................. 90,000 3,185
BMC Software, Inc. (b) # .................... 100,000 1,568
Boeing Co. .................................. 110,000 5,582
Bristol-Myers Squibb Co. # .................. 110,000 2,519
Cardinal Health, Inc. # ..................... 90,000 4,005
Cisco Systems, Inc. (b) ..................... 370,000 7,718
Citigroup, Inc. ............................. 75,000 3,307
Clorox Co. .................................. 40,000 1,991
Coca-Cola Co. ............................... 150,000 6,579
Dell, Inc. (b) .............................. 150,000 5,321
Dollar General Corp. ........................ 200,000 3,860
Dover Corp. ................................. 120,000 4,762
EMC Corp. (b) ............................... 450,000 4,937
Gap, Inc. # ................................. 175,000 3,973
Genentech, Inc. (b) # ....................... 100,000 4,868
General Dynamics Corp. ...................... 40,000 3,953
General Electric Co. ........................ 320,000 10,640
Gillette Co. ................................ 100,000 3,898
Harley-Davidson, Inc. ....................... 35,000 2,095
Hewlett-Packard Co. # ....................... 450,000 9,067
Home Depot, Inc. ............................ 225,000 7,586
Honeywell International, Inc. ............... 50,000 1,881
IBM Corp. ................................... 150,000 13,060
Illinois Tool Works, Inc. # ................. 50,000 4,526
Intel Corp. ................................. 270,000 6,583
Johnson & Johnson ........................... 225,000 12,436
Linear Technology Corp. ..................... 150,000 5,865
Lowe's Cos., Inc. # ......................... 52,500 2,558
Marsh & McLennan Cos., Inc. ................. 65,000 2,885
McDonald's Corp. ............................ 220,000 6,050
McGraw Hill Cos., Inc. ...................... 50,000 3,753
MedImmune, Inc. (b) ......................... 135,000 3,110
Medtronic, Inc. # ........................... 200,000 9,934
Merck & Co., Inc. ........................... 215,000 9,750
Microsoft Corp. ............................. 400,000 11,383
Motorola, Inc. # ............................ 200,000 3,186
Network Appliance, Inc. (b) # ............... 260,000 5,021
Nokia Oyj -- ADR ............................ 190,000 2,208
Oracle Corp. (b) ............................ 520,000 5,465
Paychex, Inc. ............................... 150,000 4,607
PepsiCo, Inc. ............................... 130,000 6,500
Pfizer, Inc. ................................ 320,000 10,227
Pitney Bowes, Inc. .......................... 100,000 4,220
Procter & Gamble Co. ........................ 80,000 4,172
Schering-Plough Corp. ....................... 300,000 5,838
Staples, Inc. ............................... 97,500 2,816
Continued
Shares Value
---------- --------
COMMON STOCKS, continued
Starbucks Corp. (b) ......................... 60,000 $ 2,818
Sun Microsystems, Inc. (b) .................. 400,000 1,580
SunGard Data Systems, Inc. (b) .............. 190,000 4,429
Sysco Corp. ................................. 250,000 8,613
Tellabs, Inc. (b) # ......................... 200,000 1,782
TJX Cos., Inc. .............................. 300,000 7,041
United Technologies Corp. ................... 55,000 5,143
UnitedHealth Group, Inc. # .................. 100,000 6,290
Wal-Mart Stores, Inc. ....................... 170,000 9,011
Walgreen Co. ................................ 150,000 5,460
Walt Disney Co. ............................. 225,000 5,195
Wyeth ....................................... 170,000 6,018
--------
TOTAL COMMON STOCK .......................... 370,846
--------
INVESTMENT COMPANIES (0.4%)
AIM Liquid Assets Money Market Fund ......... 1,640,785 1,641
--------
TOTAL INVESTMENT COMPANIES .................. 1,641
--------
AFFILIATED SECURITIES (+)
AmSouth Prime Money Market Fund ............. 10,138 10
--------
TOTAL AFFILIATED SECURITIES ................. 10
--------
SHORT TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (15.0%)
BNY Institutional Cash Reserve Fund ......... 56,027,105 56,027
--------
TOTAL SHORT TERM SECURITIES
HELD COLLATERAL FOR
SECURITIES LENDING ........................ 56,027
--------
TOTAL INVESTMENTS
(Cost $334,895) (a) -- 115.0% ............. 428,524
Liabilities in excess of other assets --
(15.0%) ................................... (55,967)
--------
NET ASSETS -- 100.0% ........................ $372,557
========
- ---------------
(a) Represents cost for financial reporting purposes, and is the same as cost
for federal income tax purposes, and differs from value by unrealized
appreciation of securities as follows:
Unrealized appreciation ............. $133,636
Unrealized depreciation ............. (40,007)
--------
Net unrealized appreciation ......... $ 93,629
========
(b) Represents non-income producing security.
# Part or all of this security is on loan as of July 31, 2004.
+ Amount less than 0.1%.
ADR -- American Depositary Receipt
BNY -- Bank of New York
Continued
47
- --------------------------------------
LARGE CAP FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
The table below sets forth the diversification of the Large Cap Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ --------
Aerospace/Defense ....................... 3.9%
Affiliated Securities ................... +
Beverages ............................... 3.5%
Business Equipment & Services ........... 1.2%
Cash Equivalents ........................ 15.0%
Computer Hardware ....................... 9.1%
Computer Software & Services ............ 10.0%
Consumer Goods .......................... 2.7%
Diversified Manufacturing ............... 4.6%
Electronic Components ................... 0.6%
Entertainment ........................... 1.4%
Financial Services ...................... 1.9%
Food Distributors & Wholesalers ......... 2.3%
Health Care ............................. 6.1%
Health Care -- Drugs .................... 3.3%
Industrials ............................. 0.8%
Insurance ............................... 2.9%
Investment Companies .................... 0.4%
Machinery & Equipment ................... 1.3%
Media ................................... 1.0%
Medical Equipment & Supplies ............ 2.7%
Office Equipment & Services ............. 1.1%
Pharmaceuticals ......................... 13.4%
Raw Materials ........................... 0.8%
Restaurants ............................. 2.4%
Retail .................................. 12.9%
Semiconductors .......................... 5.7%
Technical Hardware ...................... 2.1%
Telecommunications -- Equipment ......... 1.9%
-----
Total Investments .................. 115.0%
=====
* Percentages indicated are based on net assets.
+ Amount less than 0.1%.
See notes to financial statements.
--------------------------------------
CAPITAL GROWTH FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- --------
COMMON STOCKS (95.7%)
3M Co. ........................................... 45,000 $ 3,706
Abbott Laboratories .............................. 85,000 3,345
AFLAC, Inc. ...................................... 35,500 1,407
American Express Co. ............................. 75,000 3,769
American International Group, Inc. ............... 39,400 2,784
American Power Conversion Corp. .................. 85,000 1,284
Amgen, Inc. (b) .................................. 90,000 5,119
Apollo Group, Inc., Class A (b) # ................ 48,000 4,010
Applied Materials, Inc. (b) ...................... 220,000 3,733
Automatic Data Processing, Inc. .................. 45,000 1,889
Barr Laboratories, Inc. (b) # .................... 67,500 2,319
Bed Bath & Beyond, Inc. (b) ...................... 36,000 1,274
Best Buy Co., Inc. # ............................. 60,000 2,890
Cardinal Health, Inc. ............................ 48,000 2,136
Chico's FAS, Inc. (b) # .......................... 60,500 2,533
Cintas Corp. # ................................... 38,000 1,594
Cisco Systems, Inc. (b) .......................... 392,000 8,177
Citigroup, Inc. .................................. 140,000 6,172
Coca-Cola Co. .................................... 56,000 2,456
Dell, Inc. (b) ................................... 181,000 6,420
eBay, Inc. (b) # ................................. 25,000 1,958
Electronic Arts, Inc. (b) ........................ 30,000 1,504
Eli Lilly & Co. .................................. 38,000 2,421
EMC Corp. (b) .................................... 110,000 1,207
Fifth Third Bancorp # ............................ 23,000 1,135
First Data Corp. # ............................... 75,000 3,346
Flextronics International, Ltd. (b) .............. 85,000 1,068
Forest Laboratories, Inc. (b) .................... 40,000 2,012
Genentech, Inc. (b) # ............................ 53,000 2,580
General Dynamics Corp. ........................... 19,000 1,878
General Electric Co. ............................. 350,000 11,637
Goldman Sachs Group, Inc. ........................ 29,000 2,558
Guidant Corp. .................................... 23,000 1,272
Home Depot, Inc. ................................. 122,000 4,114
IBM Corp. ........................................ 68,000 5,921
Illinois Tool Works, Inc. # ...................... 30,000 2,716
Intel Corp. ...................................... 350,000 8,533
Johnson & Johnson ................................ 164,000 9,064
Kohl's Corp. (b) # ............................... 36,000 1,647
Linear Technology Corp. .......................... 75,000 2,933
Lowe's Cos., Inc. # .............................. 65,000 3,167
Marsh & McLennan Cos., Inc. ...................... 56,000 2,485
Medtronic, Inc. .................................. 100,000 4,967
Mercury Interactive Corp. (b) # .................. 30,000 1,097
Microsoft Corp. .................................. 380,000 10,814
Network Appliance, Inc. (b) # .................... 80,000 1,545
Nextel Communications, Inc., Class A (b) ......... 112,000 2,549
Nike, Inc., Class B # ............................ 14,000 1,018
Oracle Corp. (b) ................................. 345,000 3,626
Paychex, Inc. .................................... 100,000 3,071
PepsiCo, Inc. .................................... 92,000 4,600
Pfizer, Inc. ..................................... 310,000 9,907
Procter & Gamble Co. ............................. 98,000 5,111
Schlumberger Ltd. ................................ 45,000 2,894
Staples, Inc. .................................... 79,000 2,282
Starbucks Corp. (b) # ............................ 65,000 3,052
Stryker Corp. .................................... 112,000 5,341
Continued
48
--------------------------------------
CAPITAL GROWTH FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
---------- --------
COMMON STOCKS, continued
Symantec Corp. (b) # ........................... 33,100 $ 1,548
Sysco Corp. .................................... 138,000 4,754
Target Corp. ................................... 60,000 2,616
Texas Instruments, Inc. ........................ 143,000 3,050
United Parcel Service, Inc., Class B # ......... 69,200 4,980
United Technologies Corp. ...................... 60,000 5,610
UnitedHealth Group, Inc. # ..................... 55,000 3,460
Veritas Software Corp. (b) ..................... 75,000 1,430
Wal-Mart Stores, Inc. .......................... 166,000 8,799
Walgreen Co. ................................... 73,000 2,657
Walt Disney Co. ................................ 91,000 2,101
Wyeth .......................................... 75,000 2,655
Yahoo!, Inc. (b) # ............................. 90,000 2,772
--------
TOTAL COMMON STOCKS ............................ 250,479
--------
INVESTMENT COMPANIES (4.3%)
AIM Liquid Assets Money Market Fund ............ 8,258,294 8,258
S & P Depositary Receipt # ..................... 28,000 2,965
--------
TOTAL INVESTMENT COMPANIES ..................... 11,223
--------
AFFILIATED SECURITIES (+)
AmSouth Prime Money Market Fund ................ 11,791 12
--------
TOTAL AFFILIATED SECURITIES .................... 12
--------
SHORT-TERM SECURITES HELD
AS COLLATERAL FOR
SECURITIES LENDING (15.2%)
BNY Institutional Cash Reserve Fund ............ 39,847,920 39,848
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................... 39,848
--------
TOTAL INVESTMENTS
(Cost $279,486) (a) -- 115.2% ................ 301,562
Liabilities in excess of other assets --
(15.2%) ...................................... (39,890)
--------
NET ASSETS -- 100.0% ........................... $261,672
========
- ---------------
(a) Cost for federal income tax purposes is $283,977. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $28,551
Unrealized depreciation ............. (10,966)
-------
Net unrealized appreciation ......... $17,585
=======
(b) Represents non-income producing security.
# Part or all of this security is on loan as of July 31, 2004.
+ Amount is less than 0.1%
BNY -- Bank of New York
Continued
The table below sets forth the diversification of the Capital Growth Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ --------
Aerospace/Defense .................................... 2.9%
Affiliated Securities ................................ +
Apparel .............................................. 0.4%
Beverages ............................................ 2.7%
Business Equipment & Services ........................ 1.8%
Cash Equivalents ..................................... 15.2%
Computer Hardware .................................... 5.3%
Computer Software & Services ......................... 14.7%
Consumer Goods ....................................... 2.0%
Diversified Manufacturing ............................ 6.9%
E-Commerce and Services .............................. 1.8%
Electronic Components ................................ 0.4%
Entertainment ........................................ 0.8%
Financial Services ................................... 5.2%
Food Distributors & Wholesalers ...................... 1.8%
Health Care .......................................... 5.6%
Health Care -- Drugs ................................. 2.0%
Investment Companies ................................. 4.3%
Insurance ............................................ 2.6%
Medical Equipment & Supplies ......................... 4.4%
Oil & Gas Exploration, Production & Services ......... 1.1%
Pharmaceuticals ...................................... 9.6%
Retail ............................................... 13.3%
Semiconductors ....................................... 7.0%
Technology ........................................... 0.5%
Telecommunications ................................... 1.0%
Transportation & Shipping ............................ 1.9%
-----
Total Investments ............................... 115.2%
=====
* Percentages indicated are based on net assets.
+ Amount is less than 0.1%.
See notes to financial statements.
49
- -------------------------------------
MID CAP FUND
Schedule of Portfolio Investments
- -------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------ --------
COMMON STOCKS (99.0%)
3Com Corp. (b) .................................. 69,800 $ 344
A.G. Edwards, Inc. .............................. 24,400 793
Abercrombie & Fitch Co., Class A ................ 29,200 1,077
Activision, Inc. (b) ............................ 24,650 361
Acxiom Corp. .................................... 15,400 339
ADTRAN, Inc. .................................... 14,300 382
Advanced Fibre Communications, Inc. (b) ......... 31,500 528
Advent Software, Inc. (b) ....................... 5,900 94
Aeropostale, Inc. (b) ........................... 9,900 302
AGCO Corp. (b) .................................. 16,100 337
AGL Resources, Inc. ............................. 11,600 343
Airgas, Inc. .................................... 13,300 289
Airtran Holdings, Inc. (b) ...................... 15,100 168
Alaska Air Group, Inc. (b) ...................... 4,400 92
Albemarle Corp. ................................. 7,400 228
Alexander & Baldwin, Inc. ....................... 7,600 250
ALLETE, Inc. .................................... 15,800 438
Alliance Data Systems Corp. (b) ................. 14,400 572
Alliant Energy Corp. ............................ 19,900 516
Alliant Techsystems, Inc. ....................... 12,400 781
Allmerica Financial Corp. (b) ................... 19,000 566
AMB Property Corp. .............................. 14,800 520
American Eagle Outfitters, Inc. (b) ............. 12,800 419
American Financial Group, Inc. .................. 3,100 92
American Greetings Corp., Class A (b) ........... 12,200 285
AmeriCredit Corp. (b) # ......................... 12,600 241
AmerUs Group Co. ................................ 7,000 270
Ametek, Inc. .................................... 12,100 373
Ann Taylor Stores Corp. (b) ..................... 24,400 655
Applebee's International, Inc. .................. 14,750 393
Apria Healthcare Group, Inc. (b) # .............. 8,900 261
Aqua America, Inc. .............................. 16,650 324
Aquila, Inc. (b) ................................ 35,000 115
Arch Coal, Inc. # ............................... 1,500 51
Arrow Electronics, Inc. (b) ..................... 20,600 487
Arthur J. Gallagher & Co. ....................... 6,400 198
ArvinMeritor, Inc. .............................. 12,400 246
Ascential Software Corp. (b) .................... 10,625 130
Associated Banc-Corp. ........................... 6,350 191
Astoria Financial Corp. ......................... 14,000 478
Atmel Corp. (b) ................................. 85,100 364
Avnet, Inc. (b) ................................. 21,600 419
Avocent Corp. (b) ............................... 200 6
Bandag, Inc. .................................... 3,500 156
Bank of Hawaii Corp. ............................ 9,500 427
Banknorth Group, Inc. ........................... 30,800 983
Banta Corp. ..................................... 4,200 167
Barnes & Noble, Inc. (b) # ...................... 12,300 423
Barr Laboratories, Inc. (b) ..................... 31,475 1,082
Beckman Coulter, Inc. ........................... 11,000 607
Belo Corp., Class A ............................. 20,800 486
BJ's Wholesale Club, Inc. (b) ................... 12,500 291
Black Hills Corp. # ............................. 5,800 160
Blyth, Inc. ..................................... 8,200 286
Bob Evans Farms, Inc. ........................... 6,300 168
Borders Group, Inc. ............................. 13,900 318
BorgWarner, Inc. ................................ 400 19
Continued
Shares Value
------ --------
COMMON STOCKS, continued
Bowater, Inc. ................................... 1,700 $ 63
Boyd Gaming Corp. (b) ........................... 11,900 313
Brink's Co. ..................................... 10,200 330
Brinker International, Inc. (b) ................. 5,400 193
Brown & Brown, Inc. ............................. 2,700 115
C.H. Robinson Worldwide, Inc. ................... 5,700 249
Cabot Corp. ..................................... 11,100 423
Cabot Microelectronics Corp. (b) # .............. 4,500 160
Cadence Design System, Inc. (b) # ............... 48,900 659
Caesars Entertainment, Inc. (b) ................. 55,000 810
Callaway Golf Co. # ............................. 13,500 149
Career Education Corp. (b) ...................... 28,000 947
Carlisle Cos., Inc. ............................. 11,100 705
CarMax, Inc. (b) # .............................. 18,600 387
Catalina Marketing Corp. (b) # .................. 9,300 186
CBRL Group, Inc. ................................ 8,700 289
CDW Corp. # ..................................... 15,000 965
Cephalon, Inc. (b) # ............................ 10,000 505
Ceridian Corp. (b) .............................. 49,400 889
Certegy, Inc. # ................................. 11,400 432
Charles River Laboratories International,
Inc. (b) # .................................... 8,300 374
CheckFree Corp. (b) ............................. 4,200 126
Cheesecake Factory, Inc. (b) .................... 3,100 129
Chico's FAS, Inc. (b) # ......................... 6,700 281
ChoicePoint, Inc. (b) ........................... 15,800 664
Church & Dwight, Inc. ........................... 7,300 323
Cincinnati Bell, Inc. (b) ....................... 43,800 177
City National Corp. ............................. 8,700 561
Claire's Stores, Inc. ........................... 32,400 747
CNF, Inc. ....................................... 15,600 644
Coach, Inc. (b) ................................. 44,000 1,884
Cognizant Technology Solutions Corp.,
Class A (b) ................................... 23,200 639
Colonial BancGroup, Inc. ........................ 44,700 862
Commerce Bancorp, Inc. .......................... 6,000 302
CommScope, Inc. (b) ............................. 11,000 227
Community Health Systems, Inc. (b) .............. 31,100 765
Compass Bancshares, Inc. ........................ 12,800 564
Constellation Brands, Inc., Class A (b) ......... 19,100 724
Cooper Cameron Corp. (b) ........................ 14,400 736
Copart, Inc. (b) ................................ 16,100 358
Corinthian Colleges, Inc. (b) ................... 4,400 82
Covance, Inc. (b) ............................... 11,200 411
Coventry Health Care, Inc. (b) .................. 23,700 1,212
Credence Systems Corp. (b) ...................... 17,300 155
Cree, Inc. (b) # ................................ 13,300 298
Crompton Corp. .................................. 20,500 122
CSG Systems International, Inc. (b) ............. 9,300 153
Cullen/Frost Bankers, Inc. ...................... 9,200 396
Cypress Semiconductor Corp. (b) ................. 44,200 501
Cytec Industries, Inc. .......................... 7,000 326
Cytyc Corp. (b) ................................. 19,800 479
D. R. Horton, Inc. .............................. 57,600 1,591
Dean Foods Co. (b) .............................. 28,100 1,039
DENTSPLY International, Inc. .................... 14,400 700
Diebold, Inc. ................................... 22,000 1,014
Continued
50
--------------------------------------
MID CAP FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------ --------
COMMON STOCKS, continued
Dollar Tree Stores, Inc. (b) ................... 20,300 $ 546
DPL, Inc. ...................................... 22,600 451
DST Systems, Inc. (b) # ........................ 15,100 688
Dun & Bradstreet Corp. (b) ..................... 20,400 1,145
Duquesne Light Holdings, Inc. # ................ 13,600 258
Dycom Industries, Inc. (b) # ................... 8,700 234
Eaton Vance Corp. .............................. 4,300 163
Education Management Corp. (b) ................. 13,100 364
Emmis Communications Corp., Class A (b) ........ 10,000 197
Energizer Holdings, Inc. (b) ................... 24,200 922
Energy East Corp. .............................. 26,200 637
ENSCO International, Inc. ...................... 27,000 813
Entercom Communications Corp. (b) .............. 18,400 707
Equitable Resources, Inc. ...................... 11,200 574
Everest Re Group, Ltd. ......................... 15,700 1,154
Expeditors International of Washington, Inc. 9,800 455
Fair Issac Corp. ............................... 25,250 722
Fairchild Semiconductor Corp., Class A (b) ..... 42,700 627
Fastenal Co. ................................... 6,400 399
Federal Signal Corp. ........................... 8,600 146
Ferro Corp. .................................... 7,500 149
Fidelity National Financial, Inc. .............. 42,485 1,540
First American Corp. ........................... 28,500 766
FirstMerit Corp. ............................... 3,900 101
Flowserve Corp. (b) ............................ 9,700 232
FMC Corp. (b) .................................. 6,500 286
FMC Technologies, Inc. (b) ..................... 12,000 360
Foot Locker, Inc. .............................. 12,700 286
Forest Oil Corp. (b) ........................... 10,400 294
Furniture Brands International, Inc. ........... 20,100 462
Gartner, Inc., Class A (b) ..................... 23,600 296
GATX Corp. ..................................... 8,800 224
Gentex Corp. ................................... 1,600 57
Glatfelter ..................................... 7,200 96
Graco, Inc. .................................... 24,550 773
Granite Construction, Inc. ..................... 7,400 132
Grant Prideco, Inc. (b) ........................ 21,900 414
Great Plains Energy, Inc. ...................... 13,300 382
Greater Bay Bancorp # .......................... 9,200 242
GreenPoint Financial Corp. ..................... 33,800 1,373
GTECH Holdings Corp. # ......................... 20,100 852
Hanover Compressor Co. (b) # ................... 13,800 162
Harman International Industries, Inc. .......... 16,800 1,440
Harris Corp. ................................... 21,200 1,007
Harsco Corp. ................................... 14,700 660
Harte-Hanks, Inc. .............................. 15,600 377
Hawaiian Electric Industries, Inc. ............. 14,400 368
HCC Insurance Holdings, Inc. ................... 2,000 61
Health Net, Inc. (b) ........................... 20,200 487
Helmerich & Payne, Inc. ........................ 9,000 228
Henry Schein, Inc. (b) ......................... 2,500 168
Herman Miller, Inc. ............................ 1,100 29
Hibernia Corp., Class A ........................ 44,600 1,128
Highwood Properties, Inc. ...................... 9,600 223
Hillenbrand Industries, Inc. ................... 18,500 1,051
HNI Corp. ...................................... 19,700 797
Horace Mann Educators Corp. .................... 7,600 127
Continued
Shares Value
------ --------
COMMON STOCKS, continued
Hormel Foods Corp. ............................. 39,400 $ 1,169
Hospitality Properties Trust ................... 12,000 479
Hovnanian Enterprises, Inc., Class A (b) # ..... 10,900 338
Hubbell, Inc., Class B ......................... 10,800 488
IDACORP, Inc. .................................. 6,800 187
Imation Corp. .................................. 6,400 212
IMC Global, Inc. # ............................. 20,700 283
INAMED Corp. (b) ............................... 6,400 347
Independence Community Bank Corp. .............. 14,900 556
IndyMac Bancorp, Inc. .......................... 10,900 362
Integrated Device Technology, Inc. (b) # ....... 38,000 434
International Rectifier Corp. (b) # ............ 23,700 929
International Speedway Corp., Class A .......... 1,100 57
Intersil Corp., Class A ........................ 25,100 461
Interstate Bakeries Corp. # .................... 7,300 72
Investors Financial Services Corp. ............. 5,100 233
ITT Educational Services, Inc. (b) ............. 16,400 522
IVAX Corp. (b) ................................. 35,300 842
J.B. Hunt Transport Services, Inc. ............. 3,000 115
J.M. Smucker Co. ............................... 10,500 439
Jacobs Engineering Group, Inc. (b) ............. 10,100 404
Jefferies Group, Inc. .......................... 800 25
JetBlue Airways Corp. # ........................ 18,400 438
Keane, Inc. (b) ................................ 11,400 168
Kelly Services, Inc., Class A .................. 6,300 171
KEMET Corp. (b) ................................ 15,500 156
Kennametal, Inc. ............................... 6,500 286
Korn/Ferry International (b) ................... 6,800 121
L-3 Communications Holdings, Inc. .............. 18,950 1,159
LaBranche & Co., Inc. (b) # .................... 9,800 80
Lam Research Corp. (b) ......................... 5,300 126
Lancaster Colony Corp. ......................... 6,400 258
Lattice Semiconductor Corp. (b) # .............. 20,200 99
Laureate Education, Inc. (b) ................... 8,100 286
Lear Corp. ..................................... 19,900 1,097
Legg Mason, Inc. ............................... 6,800 534
Lennar Corp. ................................... 27,900 1,191
Leucadia National Corp. ........................ 4,900 252
Liberty Property Trust ......................... 15,200 584
LifePoint Hospitals, Inc. (b) .................. 6,800 227
Lincare Holdings, Inc. (b) # ................... 5,200 166
Longview Fibre Co. (b) ......................... 9,200 119
LTX Corp. (b) .................................. 10,900 89
Lubrizol Corp. ................................. 18,500 641
Lyondell Chemical Co. .......................... 14,400 262
Macfee, Inc. (b) # ............................. 55,700 1,001
Mack-Cali Realty Corp. ......................... 10,800 442
Macromedia, Inc. (b) ........................... 12,400 250
Macrovision Corp. (b) .......................... 8,800 190
Mandalay Resort Group .......................... 18,300 1,235
Manpower, Inc. # ............................... 25,400 1,106
Martin Marietta Materials, Inc. ................ 1,500 66
McDATA Corp., Class A (b) # .................... 21,000 108
MDU Resources Group, Inc. ...................... 20,900 511
Media General, Inc., Class A ................... 4,300 257
Mentor Graphics Corp. (b) # .................... 12,600 149
Mercantile Bankshares Corp. .................... 5,300 241
Continued
51
- --------------------------------------
MID CAP FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------ --------
COMMON STOCKS, continued
Micheal Stores, Inc. ............................ 12,200 $ 659
Micrel, Inc. (b) ................................ 16,500 169
Microchip Technology, Inc. ...................... 52,675 1,527
Millenium Pharmaceuticals, Inc. (b) ............. 54,500 606
Minerals Technologies, Inc. ..................... 3,700 207
Modine Manufacturing Co. ........................ 6,200 184
Mohawk Industries, Inc. (b) ..................... 12,000 882
Moneygram International, Inc. (b) ............... 15,900 297
MPS Group, Inc. (b) ............................. 18,800 169
Murphy Oil Corp. ................................ 19,600 1,516
National Commerce Financial Corp. ............... 49,300 1,602
National Fuel Gas Co. ........................... 14,700 375
National-Oilwell, Inc. (b) ...................... 15,400 515
New Plan Excel Realty Trust ..................... 17,900 425
New York Community Bancorp, Inc. ................ 47,266 909
Newfield Exploration Co. (b) .................... 14,500 857
Newport Corp. (b) ............................... 6,400 92
Nieman Marcus Group, Inc. ....................... 800 44
Noble Energy, Inc. .............................. 14,900 824
Nordson Corp. ................................... 6,400 268
Northeast Utilities ............................. 22,900 428
NSTAR ........................................... 9,500 445
O'Reilly Automotive, Inc. (b) ................... 3,200 130
OGE Energy Corp. ................................ 15,700 391
Ohio Casualty Corp. (b) ......................... 11,000 206
Old Republic International Corp. ................ 50,950 1,187
Olin Corp. ...................................... 12,400 214
Omnicare, Inc. .................................. 32,900 930
ONEOK, Inc. ..................................... 18,400 386
Outback Steakhouse, Inc. ........................ 2,700 110
Overseas Shipholding Group, Inc. ................ 7,000 314
Pacific Sunwear of California, Inc. (b) ......... 13,700 279
PacifiCare Health Systems, Inc. (b) ............. 5,700 174
Packaging Corp. of America (b) .................. 32,600 762
Par Pharmaceutical Cos., Inc. (b) ............... 12,300 463
Patterson Cos., Inc. (b) ........................ 7,500 551
Patterson-UTI Energy, Inc. ...................... 29,800 543
Payless ShoeSource, Inc. (b) # .................. 12,200 158
Peabody Energy Corp. ............................ 11,400 640
Pentair, Inc. ................................... 30,900 968
Pepco Holdings, Inc. # .......................... 30,800 554
PepsiAmericas, Inc. ............................. 3,700 69
Perrigo Co. ..................................... 12,700 212
PETsMART, Inc. .................................. 13,700 425
Pier 1 Imports, Inc. ............................ 15,800 283
Pioneer Natural Resources Co. ................... 21,500 775
Plains Exploration & Product (b) ................ 13,800 288
Plantronics, Inc. (b) ........................... 17,100 661
Plexus Corp. (b) ................................ 7,000 78
PMI Group, Inc. ................................. 17,100 705
PNM Resources, Inc. ............................. 10,800 225
Pogo Producing Co. .............................. 17,000 754
Polycom, Inc. (b) ............................... 17,900 345
Potlatch Corp. .................................. 5,300 212
Powerwave Technologies, Inc. (b) ................ 17,000 94
Precision Castparts Corp. ....................... 19,000 1,070
Pride International, Inc. (b) ................... 38,300 689
Continued
Shares Value
------ --------
COMMON STOCKS, continued
Protective Life Corp. ........................... 12,400 $ 450
Protein Design Labs, Inc. (b) ................... 16,800 272
Puget Energy, Inc. .............................. 17,800 384
Quanta Services, Inc. (b) ....................... 21,000 132
Quantum Corp. (b) ............................... 29,400 72
Questar Corp. ................................... 15,000 615
Radian Group, Inc. .............................. 26,000 1,197
Raymond James Financial, Inc. ................... 1,250 29
Rayonier, Inc. .................................. 8,899 391
Readers Digest Assoc., Class A .................. 17,700 253
Regis Corp. ..................................... 15,800 650
Renal Care Group, Inc. (b) ...................... 12,000 382
Rent-A-Center, Inc. (b) ......................... 4,800 141
Republic Services, Inc. ......................... 42,000 1,200
Retek, Inc. (b) ................................. 8,900 36
Reynolds & Reynolds Co., Class A ................ 11,700 259
RF Micro Devices, Inc. (b) # .................... 33,400 198
Rollins, Inc. ................................... 8,100 188
Ross Stores, Inc. ............................... 26,800 620
RPM International, Inc. ......................... 41,500 625
RSA Security, Inc. (b) .......................... 11,100 207
Ruddick Corp. ................................... 8,400 164
Ryland Group, Inc. .............................. 8,600 666
Saks, Inc. ...................................... 25,500 333
SanDisk Corp. (b) ............................... 11,000 268
SCANA Corp. # ................................... 19,900 728
Scholastic Corp. (b) # .......................... 7,100 195
SEI Investments Co. ............................. 18,500 567
Semtech Corp. (b) ............................... 13,500 268
Sensient Technologies Corp. ..................... 8,400 173
Sepracor, Inc. (b) # ............................ 5,600 257
Sequa Corp., Class A (b) ........................ 1,700 89
Sierra Pacific Resources (b) # .................. 21,000 173
Silicon Laboratories, Inc. (b) # ................ 1,100 39
Silicon Valley Bancshares (b) ................... 6,300 231
Six Flags, Inc. (b) ............................. 15,100 71
Smith International, Inc. (b) ................... 18,700 1,090
Smithfield Foods, Inc. (b) ...................... 19,900 564
Sonoco Products Co. ............................. 5,600 145
Sotheby's Holdings Inc., Class A (b) ............ 11,200 179
SPX Corp. ....................................... 3,700 152
StanCorp Financial Group, Inc. .................. 10,300 724
Stericycle, Inc. (b) ............................ 2,700 132
Steris Corp. (b) ................................ 12,300 253
Storage Technology Corp. (b) .................... 3,100 77
Superior Industries International, Inc. ......... 4,800 157
Sybase, Inc. (b) ................................ 17,400 254
Synopsys, Inc. (b) .............................. 10,300 260
TCF Financial Corp. ............................. 6,100 368
Tech Data Corp. (b) ............................. 10,400 390
Tecumseh Products, Inc., Class A ................ 3,300 135
Teleflex, Inc. .................................. 7,200 320
Telephone and Data Systems, Inc. ................ 10,300 782
Thor Industries, Inc. ........................... 10,200 319
Tidewater, Inc. ................................. 10,800 328
Timberland Co., Class A (b) # ................... 11,800 685
Titan Corp. (b) ................................. 30,000 359
Continued
52
--------------------------------------
MID CAP FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------ --------
COMMON STOCKS, continued
Toll Brothers, Inc. (b) ......................... 13,300 $ 529
Tootsie Roll Industries ......................... 9,400 275
Transaction Systems Architects, Inc.,
Class A (b) ................................... 6,200 106
Triad Hospitals, Inc. (b) ....................... 1,800 61
Trinity Industries, Inc. # ...................... 8,400 253
TriQuint Semiconductor, Inc. (b) ................ 24,400 99
Tupperware Corp. ................................ 10,500 180
Tyson Foods, Inc., Class A ...................... 63,000 1,202
United Dominion Realty Trust, Inc. .............. 22,900 444
United Rentals, Inc. (b) ........................ 13,800 274
UnitedHealth Group, Inc. ........................ 9,281 584
Unitrin, Inc. ................................... 2,800 117
Universal Corp. ................................. 4,600 222
Universal Health Services, Inc. ................. 19,500 887
UTStarcom, Inc. (b) ............................. 3,700 68
Valassis Communications, Inc. (b) ............... 9,300 272
Valspar Corp. ................................... 17,600 862
Varco International, Inc. (b) ................... 17,400 421
Varian Medical Systems, Inc. (b) ................ 12,200 842
Varian, Inc. (b) ................................ 6,200 235
Vectren Corp. ................................... 13,600 337
Vertex Pharmaceuticals, Inc. (b) # .............. 14,100 130
Vishay Intertechnology, Inc. (b) # .............. 28,700 445
VISX, Inc. (b) .................................. 8,700 186
W.R. Berkley Corp. .............................. 25,450 1,042
Waddell & Reed Financial, Inc., Class A ......... 14,800 287
Washington Federal, Inc. ........................ 2,460 62
Washington Post Co., Class B .................... 1,200 1,041
Weatherford International, Ltd. (b) ............. 23,700 1,109
Webster Financial Corp. ......................... 18,500 868
Werner Enterprises, Inc. ........................ 14,200 283
Westamerica Bancorporation ...................... 5,700 289
Westar Energy, Inc. ............................. 15,300 309
Western Gas Resources, Inc. ..................... 13,200 445
Westwood One, Inc. (b) .......................... 32,800 781
WGL Holdings, Inc. .............................. 8,700 239
Whole Foods Market, Inc. ........................ 6,200 510
Williams-Sonoma, Inc. (b) ....................... 8,900 289
Wilmington Trust Corp. .......................... 3,600 126
Wind River Systems, Inc. (b) .................... 14,600 143
Wisconsin Energy Corp. .......................... 21,200 681
WPS Resources Corp. ............................. 6,600 303
XTO Energy, Inc. ................................ 54,715 1,635
York International Corp. ........................ 7,400 263
Zebra Technologies Corp., Class A (b) ........... 8,500 702
--------
TOTAL COMMON STOCKS ............................. 170,557
--------
Continued
Shares Value
--------- --------
AFFILIATED SECURITIES (1.1%)
AmSouth Prime Money Market Fund ............. 1,865,960 $ 1,865
AmSouth Treasury Reserve Money Market
Fund ...................................... 75,537 76
--------
TOTAL AFFILIATED SECURITIES ................. 1,941
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (4.5%)
BNY Institutional Cash Reserve Fund ......... 7,715,565 7,716
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................ 7,716
--------
TOTAL INVESTMENTS
(Cost $169,511) (a) -- 104.6% ............. 180,214
Liabilities in excess of other assets --
(4.6%) .................................... (7,928)
--------
NET ASSETS -- 100.0% ........................ $172,286
========
- ---------------
(a) Cost for federal income tax purposes is $169,591. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $18,433
Unrealized depreciation ............. (7,810)
-------
Net unrealized appreciation ......... $10,623
=======
(b) Represents non-income producing security.
# Part or all of this security is on loan as of July 31, 2004.
BNY -- Bank of New York
Open Futures Contracts
-----------------------------------------------------
# of Contract Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- -------- ---------- -----------
S&P 400 Index ......... 6 $1,737 9/17/04 $(17)
The table below sets forth the diversification of the Mid Cap Fund investments
by industry.
Industry Diversification Percent*
- ------------------------ --------
Affiliated Securities .............. 1.1%
Cash Equivalents ................... 4.5%
Consumer Discretionary ............. 19.7%
Consumer Staples ................... 4.0%
Energy ............................. 8.9%
Financials ......................... 17.4%
Health Care ........................ 9.6%
Industrials ........................ 15.6%
Information Technology ............. 12.4%
Materials .......................... 4.3%
Telecommunication Services ......... 0.6%
Utilities .......................... 6.5%
-----
Total Investments ............. 104.6%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
53
- ---------------------------------------
SMALL CAP FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- --------
COMMON STOCKS (98.1%)
Aeropostale, Inc. (b) ......................... 187,200 $ 5,706
American Eagle Outfitters, Inc. (b) # ......... 86,000 2,819
American Medical Systems Holdings,
Inc. (b) .................................... 49,800 1,585
Ameristar Casinos, Inc. ....................... 77,200 2,075
Anixter International, Inc. (b) ............... 100,100 3,351
ANSYS, Inc. (b) ............................... 61,900 2,937
Armor Holdings, Inc. (b) ...................... 101,100 3,690
Aviall Inc. (b) ............................... 213,000 4,271
BEI Technologies, Inc. ........................ 63,300 1,520
Big 5 Sporting Goods Corp. (b) # .............. 156,500 3,345
Briggs & Stratton Corp. ....................... 37,200 3,106
Cal Dive International, Inc. (b) .............. 99,500 3,085
Carpenter Technology Corp. .................... 17,800 765
Cash America International, Inc. .............. 101,000 2,267
Charlotte Russe Holding, Inc. (b) ............. 107,400 2,206
Chattem, Inc. (b) ............................. 44,500 1,282
Choice Hotels International, Inc. ............. 41,500 2,183
CKE Restaurants, Inc. (b) ..................... 93,500 1,348
Coinstar, Inc. (b) ............................ 52,600 1,070
Coldwater Creek, Inc. (b) ..................... 63,300 1,191
CommScope, Inc. (b) ........................... 91,100 1,877
Comstock Resources, Inc. (b) .................. 177,500 3,735
Cooper Cos., Inc. ............................. 84,600 5,029
Denbury Resources, Inc. (b) ................... 83,100 1,816
Digital River, Inc. (b) # ..................... 83,400 2,344
Dionex Corp. (b) .............................. 22,700 1,071
Dycom Industries, Inc. (b) .................... 135,900 3,662
Eagle Materials, Inc. # ....................... 19,300 1,273
Earthlink, Inc. (b) ........................... 280,900 2,772
eFunds Corp. (b) .............................. 136,700 2,236
Electronics for Imaging, Inc. (b) ............. 73,400 1,473
Elizabeth Arden, Inc. (b) ..................... 75,200 1,479
Energen Corp. ................................. 74,600 3,532
Energy Partners, Ltd. (b) ..................... 78,000 1,220
Euronet Worldwide, Inc. (b) # ................. 57,200 1,030
Forward Air Corp. (b) ......................... 48,200 1,914
Genesco, Inc. (b) # ........................... 104,500 2,243
Guitar Center, Inc. (b) ....................... 45,300 2,036
HealthExtras, Inc. (b) ........................ 195,500 2,901
Hibbett Sporting Goods, Inc. (b) .............. 97,700 1,862
Hughes Supply, Inc. ........................... 65,600 3,996
IDX Systems Corp. (b) ......................... 19,800 595
Inveresk Research Group, Inc. (b) ............. 88,800 3,223
Jarden Corp. (b) # ............................ 77,850 2,814
Joy Global, Inc. .............................. 134,800 4,002
Kellwood Co. .................................. 67,600 2,714
Kindred Healthcare, Inc. (b) # ................ 61,800 1,499
Labor Ready, Inc. (b) # ....................... 320,900 4,499
Littelfuse, Inc. (b) .......................... 53,200 2,064
Longview Fibre Co. (b) ........................ 82,400 1,064
Meridian Resource Corp. (b) # ................. 130,000 1,086
MICROS Systems, Inc. (b) # .................... 77,500 3,768
Middleby Corp. # .............................. 38,600 2,092
Monaco Coach Corp. ............................ 21,600 524
Navigant Consulting, Inc. (b) ................. 191,300 4,008
NCI Building Systems, Inc. (b) ................ 69,600 2,145
Continued
Shares Value
---------- --------
COMMON STOCKS, continued
Ocular Sciences, Inc. (b) ..................... 59,200 $ 2,612
Orbital Sciences Corp. (b) # .................. 227,100 2,600
Overnite Corp. ................................ 60,200 1,799
Overseas Shipholding Group, Inc. .............. 61,800 2,776
Patina Oil & Gas Corp. ........................ 120,900 3,565
Pediatrix Medical Group, Inc. (b) ............. 54,000 3,415
Penn National Gaming, Inc. (b) ................ 86,700 3,122
Philadelphia Consolidated Holding
Corp. (b) ................................... 18,900 1,033
Pilgrim's Pride Corp. ......................... 134,000 3,757
Plantronics, Inc. (b) ......................... 110,700 4,282
ProAssurance Corp. (b) ........................ 140,300 4,447
Province Healthcare Co. (b) ................... 66,100 960
Reliance Steel & Aluminum Co. ................. 94,000 3,743
Respironics, Inc. (b) ......................... 44,100 2,457
RSA Security, Inc. (b) ........................ 241,700 4,501
Scientific Games Corp. (b) .................... 185,200 3,298
SCP Pool Corp. ................................ 44,300 1,826
Selective Insurance Group, Inc. ............... 82,900 2,985
Sierra Health Services, Inc. (b) # ............ 112,500 4,973
State Auto Financial Corp. .................... 15,400 476
Synaptics, Inc. (b) ........................... 93,300 1,380
Tesoro Petroleum Corp. (b) .................... 171,600 4,975
THQ, Inc. (b) ................................. 100,600 1,916
United Surgical Partners International,
Inc. (b) .................................... 99,200 3,496
VCA Antech, Inc. (b) .......................... 74,700 3,140
Veritas DGC, Inc. (b) ......................... 129,800 3,197
ViaSat, Inc. (b) .............................. 3,000 54
VISX, Inc. (b) ................................ 140,100 3,000
Wolverine World Wide, Inc. .................... 32,700 765
--------
TOTAL COMMON STOCKS ........................... 215,950
--------
AFFILIATED SECURITIES (1.8%)
AmSouth Prime Money Market Fund ............... 3,937,137 3,937
--------
TOTAL AFFILIATED SECURITIES ................... 3,937
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (7.0%)
BNY Institutional Cash Reserve Fund ........... 15,494,135 15,494
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING .......................... 15,494
--------
TOTAL INVESTMENTS
(Cost $215,296) (a) -- 106.9%................ 235,381
Liabilities in excess of other assets --
(6.9%) ...................................... (15,308)
--------
NET ASSETS -- 100.0% .......................... $220,073
========
- ---------------
(a) Cost for federal income tax purposes is $215,676. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $25,565
Unrealized depreciation ............. (5,860)
-------
Net unrealized appreciation ......... $19,705
=======
Continued
54
- ---------------------------------------
SMALL CAP FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
(b) Represents non-income producing security.
# A portion or all of this security is on loan as of July 31, 2004.
BNY -- Bank of New York
The table below sets forth the diversification of the Small Cap Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ --------
Aerospace/Defense Equipment .......................... 2.9%
Affiliated Securities ................................ 1.8%
Apparel .............................................. 4.2%
Business Services .................................... 3.5%
Cash Equivalents ..................................... 7.0%
Commercial Services .................................. 1.0%
Computers & Peripherals .............................. 2.6%
Construction ......................................... 2.2%
Consumer Goods ....................................... 2.5%
Distribution/Wholesale ............................... 4.6%
Electrical & Electronic .............................. 0.9%
Entertainment ........................................ 2.3%
Financial Services ................................... 1.0%
Food Producers ....................................... 1.7%
Forest & Paper Products .............................. 0.5%
Health Care .......................................... 3.4%
Hotels & Lodging ..................................... 1.9%
Human Resources ...................................... 2.0%
Insurance ............................................ 4.1%
Internet Services .................................... 1.1%
Machinery & Equipment ................................ 3.2%
Management Consulting Services ....................... 1.8%
Manufacturing ........................................ 2.2%
Medical Equipment & Supplies ......................... 6.7%
Medical Services ..................................... 7.6%
Metal Products ....................................... 2.0%
Oil & Gas Exploration Production, & Services ......... 12.0%
Retail ............................................... 8.8%
Technology ........................................... 6.1%
Telecommunications -- Equipment ...................... 2.4%
Transportation ....................................... 2.9%
-----
Total Investments ............................... 106.9%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
--------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- -------
COMMON STOCKS (99.2%)
Australia (5.0%)
Amcor Ltd. .............................. 59,370 $ 286
AMP Ltd. ................................ 497,366 2,188
Ansell Ltd. ............................. 42,951 237
APN News & Media, Ltd. .................. 2,252 7
AXA Asia Pacific Holdings, Ltd. ......... 452,900 1,007
BHP Steel, Ltd. ......................... 210,920 1,095
Boral Ltd. .............................. 175,371 892
Brambles Industries, Ltd. ............... 14,503 61
Caltex Australia, Ltd. .................. 62,640 402
CSR Ltd. ................................ 240,599 387
Insurance Australia Group, Ltd. ......... 377,957 1,321
Lend Lease Corp., Ltd. .................. 98,363 718
Lion Nathan, Ltd. ....................... 142,100 695
Mayne Group, Ltd. ....................... 2,999 7
Mirvac Group ............................ 161,603 516
OneSteel Ltd. ........................... 130,575 244
Origin Energy, Ltd. ..................... 174,099 743
PaperlinX Ltd. .......................... 124,518 439
Publishing & Broadcasting, Ltd. ......... 168,201 1,593
Qantas Airways, Ltd. .................... 447,336 1,095
QBE Insurance Group, Ltd. # ............. 164,909 1,444
Rinker Group, Ltd. ...................... 240,599 1,391
Santos Ltd. ............................. 155,030 789
Seven Network, Ltd. ..................... 50,074 182
Southcorp Ltd. (b) ...................... 197,966 435
WMC Resources, Ltd. ..................... 303,694 1,108
--------
19,282
--------
Austria (0.3%)
Bank Austria Creditanstalt .............. 2,234 132
Boehler-Uddeholm AG (b) ................. 957 77
Voestalpine AG .......................... 13,266 627
Wienerberger AG ......................... 7,637 273
--------
1,109
--------
Belgium (1.1%)
Ackermans & van Haaren NV ............... 803 20
Algemene Maatschappij voor
Nijverheidskredit NV .................. 28,500 1,689
Banque Nationale de Belgique ............ 102 336
Bekaert NV .............................. 5,300 318
Cofinimmo ............................... 212 28
Delhaize Group .......................... 23,804 1,138
Dexia (b) ............................... 13,573 226
D' Ieteren NV ........................... 132 28
Tessenderlo Chemie NV ................... 6,968 245
Umicore ................................. 3,045 190
Umicore Strip (b) ....................... 145 --*
--------
4,218
--------
Canada (0.1%)
Alcan, Inc. ............................. 4,896 194
--------
Denmark (1.0%)
Carlsberg A/S, B Shares ................. 7,737 389
Codan A/S ............................... 6,140 267
Danisco A/S ............................. 5,630 286
Danske Bank A/S ......................... 68,900 1,586
Continued
55
- --------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- --------
COMMON STOCKS, continued
Denmark, continued
Jyske Bank A/S (b) ............................. 3,560 $ 207
Rockwool International A/S, B Shares ........... 2,200 94
Sydbank A/S .................................... 640 95
TDC A/S ........................................ 27,660 899
--------
3,823
--------
Finland (2.1%)
Fortum Oyj ..................................... 261,437 3,599
Kemira Oyj ..................................... 51,800 679
Kesko Oyj, B Shares ............................ 47,600 914
M-real Oyj, B Shares ........................... 85,300 733
Metso Oyj ...................................... 24,388 316
OKO Bank, A Shares ............................. 3,200 34
Outokumpu Oyj .................................. 73,450 1,148
Stora Enso Oyj, R Shares ....................... 30,700 426
UPM-Kymmene Oyj ................................ 7,800 151
Wartsila Oyj, B Shares ......................... 2,600 58
--------
8,058
--------
France (9.8%)
Air France ..................................... 35,339 551
Alstom (b) # ................................... 141,022 76
Alstom RIGHTS (b) .............................. 141,022 2
Assurances Generales de France ................. 23,342 1,375
AXA ............................................ 232,931 4,780
BNP Paribas SA ................................. 11,239 654
Bongrain SA .................................... 1,900 120
Business Objects SA (b) ........................ 3,780 81
Cap Gemini SA (b) .............................. 19,882 661
Ciments Francais SA # .......................... 4,990 395
Club Mediterranee SA (b) ....................... 2,497 110
Compagnie de Saint-Gobain ...................... 50,398 2,460
Compagnie Gernerale des Etablissements
Michelin ..................................... 18,496 1,027
Credit Agricole SA ............................. 43,900 1,034
Eiffage SA ..................................... 3,200 270
Esso S.A.F. .................................... 1,000 135
Euler & Hermes SA .............................. 4,100 219
Eurazeo (b) .................................... 2,820 181
Faurecia ....................................... 3,872 279
Financiere Marc de Lacharriere ................. 5,918 227
France Telecom SA (b) .......................... 109,600 2,712
Gecina SA ...................................... 1,000 79
Havas SA ....................................... 37,200 184
Imerys SA ...................................... 6,400 389
Lafarge SA ..................................... 19,478 1,667
Lagardere S.C.A. ............................... 15,000 912
Nexans SA ...................................... 2,982 97
Pinault-Printemps Redoute SA ................... 6,431 627
PSA Peugeot Citroen ............................ 31,847 1,836
Remy Cointreau SA .............................. 7,035 235
Renault SA ..................................... 37,326 2,942
Rexel SA ....................................... 5,100 213
Schneider Electric SA .......................... 29,712 1,888
Scor SA (b) # .................................. 105,685 151
Societe BIC SA (b) # ........................... 7,062 302
Societe Generale, A Shares ..................... 14,186 1,163
Continued
Shares Value
------- --------
COMMON STOCKS, continued
France, continued
Sodexho Alliance SA ............................ 5,831 $ 158
Suez SA ........................................ 124,500 2,458
Technip-Coflexip SA ............................ 3,062 426
Thomson ........................................ 36,199 673
Unibail (b) .................................... 1,837 192
Valeo SA ....................................... 10,595 430
Vallourec SA ................................... 1,200 120
Vivendi Universal SA (b) ....................... 145,652 3,636
Wendel Investissement .......................... 6,000 278
--------
38,405
--------
Germany (6.9%)
Aareal Bank AG ................................. 3,957 140
Allianz AG (b) ................................. 2,993 288
AMG Generali Holding AG ........................ 5,752 415
Bayer AG ....................................... 81,798 2,171
Bayerische Hypo-und Vereinsbank AG (b) ......... 96,485 1,551
Bilfinger Berger AG ............................ 4,109 135
Commerzbank AG (b) ............................. 70,415 1,202
DaimlerChrysler AG ............................. 119,432 5,333
Deutsche Bank AG ............................... 54,700 3,782
Deutsche Lufthansa AG (b) ...................... 37,015 437
E.On AG ........................................ 39,934 2,833
Fraport AG ..................................... 10,784 328
Fresenius Medical Care AG ...................... 3,500 254
HeidelbergCement AG ............................ 13,473 611
Heidelberger Druckmaschinen AG (b) ............. 10,048 312
Hochtief AG .................................... 7,839 182
Hypo Real Estate Holding AG (b) ................ 11,475 356
Infineon Technologies AG (b) ................... 75,700 825
KarstadtQuelle AG # ............................ 9,514 194
Linde AG ....................................... 11,568 624
MAN AG ......................................... 12,850 476
Merck KGaA ..................................... 5,543 310
MG Technologies AG (b) ......................... 25,691 322
Munich RE AG (b) ............................... 3,059 294
Salzgitter AG .................................. 6,052 74
ThyssenKrupp AG ................................ 68,364 1,216
TUI AG # ....................................... 22,930 392
Volkswagen AG .................................. 41,163 1,668
--------
26,725
--------
Greece (0.4%)
Agricultural Bank of Greece (b) ................ 30,900 178
Bank of Greece ................................. 3,010 312
Commercial Bank of Greece ...................... 21,740 495
Hellenic Petroleum SA .......................... 37,800 311
Intracom SA .................................... 27,100 113
--------
1,409
--------
Hong Kong (2.0%)
Cheung Kong Holdings, Ltd. ..................... 86,000 637
Hang Lung Group, Ltd. .......................... 194,000 277
Henderson Land Development Co., Ltd. ........... 265,000 1,166
Hopewell Holdings, Ltd. ........................ 84,000 166
Hutchison Whampoa, Ltd. ........................ 128,000 866
Hysan Development Co., Ltd. .................... 180,188 325
Continued
56
--------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
--------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- --------
COMMON STOCKS, continued
Hong Kong, continued
i-CABLE Communications, Ltd. ......................... 33,500 $ 12
Kerry Properties, Ltd. ............................... 173,713 277
New Asia Realty & Trust Co., Ltd. .................... 45,000 17
New World Development Co., Ltd. ...................... 513,928 415
Shagri-La Asia, Ltd. ................................. 394,000 369
Sino Land Co., Ltd. .................................. 697,383 438
Sun Hung Kai Properties, Ltd. ........................ 19,000 161
Swire Pacific, Ltd. .................................. 144,000 959
Wharf Ltd. ........................................... 335,000 1,030
Wheelock & Co., Ltd. ................................. 358,000 466
--------
7,581
--------
Ireland (1.3%)
Allied Irish Banks PLC ............................... 15,342 236
CRH PLC .............................................. 93,947 2,117
Elan Corp. PLC (b) ................................... 100,566 2,086
Irish Life & Permanent PLC ........................... 47,968 725
--------
5,164
--------
Italy (3.7%)
Alitalia S.p.A (b) # ................................. 495,790 135
Banca Antonveneta S.p.A. (b) ......................... 3,170 64
Banca Intesa S.p.A. .................................. 672,950 2,493
Banca Monte dei Paschi di Siena S.p.A. # ............. 313,406 936
Banca Nazionale del Lavoro S.p.A. (b) ................ 457,031 1,069
Banca Popolare de Lodi S.c.r.l. ...................... 43,973 426
Banca Popolare di Milano S.c.r.l. .................... 80,000 491
Benetton Group S.p.A. (b) ............................ 23,239 250
Beni Stabili S.p.A. .................................. 355,000 272
Buzzi Unicem S.p.A. .................................. 20,000 247
Caltagirone Editore S.p.A. ........................... 13,962 107
Capitalia S.p.A. ..................................... 355,000 1,075
Edison S.p.A. (b) # .................................. 356,434 597
ERG S.p.A. ........................................... 20,708 157
Ericsson S.p.A ....................................... 2,239 88
Fiat S.p.A. (b) # .................................... 102,453 806
Fondiaria-SAI S.p.A. ................................. 16,477 355
Ifil S.p.A. .......................................... 104,000 343
Italcementi S.p.A. # ................................. 37,000 486
Italmobiliare S.p.A .................................. 2,839 133
Pirelli & C. S.p.A. .................................. 533,332 525
SanPaolo IMI S.p.A (b) ............................... 15,937 182
Societa' Cattolica di Assicurazioni S.c.r.l. ......... 9,900 383
Telecom Italia S.p.A. ................................ 866,478 2,568
Tiscali S.p.A. (b) # ................................. 74,000 264
--------
14,452
--------
Japan (21.9%)
77th Bank, Ltd. ...................................... 57,000 360
Acom Co., Ltd. ....................................... 23,700 1,529
Aichi Steel Corp. .................................... 29,000 127
Aioi Insurance Co., Ltd. ............................. 110,000 469
Aisin Seiki Co., Ltd. ................................ 42,200 924
Akita Bank, Ltd. ..................................... 29,000 115
Amada Co., Ltd. ...................................... 59,000 335
Aoyama Trading Co., Ltd. ............................. 9,800 221
Asahi Breweries, Ltd. ................................ 42,000 447
Continued
Shares Value
------- --------
COMMON STOCKS, continued
Japan, continued
Asahi National Broadcasting Co., Ltd. ................ 146 $ 252
Asatsu-dk, Inc. ...................................... 6,800 180
Autobacs Seven Co., Ltd. ............................. 4,900 154
Awa Bank, Ltd. ....................................... 31,000 184
Bank of Fukuoka, Ltd. ................................ 92,000 477
Bank of Kyoto, Ltd. # ................................ 49,000 313
Bank of Nagoya, Ltd. ................................. 26,000 124
Benesse Corp. ........................................ 14,200 421
Chiba Bank, Ltd. ..................................... 123,000 659
Chudenko Corp. ....................................... 8,500 122
Chugoku Bank, Ltd. ................................... 35,000 356
Citizen Watch Co., Ltd. .............................. 41,000 409
Coca-Cola West Japan Co., Ltd. ....................... 15,300 400
COMSYS Holdings Corp. (b) ............................ 21,000 151
Cosmo Oil Co., Ltd. .................................. 83,000 239
Dai Nippon Printing Co., Ltd. ........................ 63,000 894
Daicel Chemical Industries, Ltd. ..................... 48,000 227
Daihatsu Motor Co., Ltd. ............................. 63,000 492
Daiichi Pharmaceutical Co., Ltd. ..................... 15,400 284
Dainippon Ink & Chemicals, Inc. ...................... 115,000 265
Dainippon Pharmaceutical Co., Ltd. ................... 24,000 193
Daishi Bank, Ltd. .................................... 50,000 166
Daiwa House Industry Co., Ltd. ....................... 80,000 833
Denso Corp. .......................................... 114,300 2,807
Ebara Corp. # ........................................ 40,000 173
Ezaki Glico Co., Ltd. ................................ 19,000 136
Fuji Electric Co., Ltd. .............................. 111,000 273
Fuji Fire & Marine Insurance Co., Ltd. ............... 71,000 223
Fuji Heavy Industries, Ltd. .......................... 116,000 636
Fuji Oil Co., Ltd. ................................... 8,200 97
Fuji Photo Film Co., Ltd. ............................ 67,000 2,013
Fujikura Ltd. ........................................ 57,000 277
Fukui Bank, Ltd. ..................................... 36,000 144
Fukuyama Transporting Co., Ltd. ...................... 36,000 178
Furukawa Electric Co., Ltd. (b) ...................... 95,000 388
Futaba Industrial Co., Ltd. .......................... 10,000 167
Glory Ltd. ........................................... 11,000 148
Gunma Bank, Ltd. ..................................... 74,000 363
Gunze Ltd. ........................................... 31,000 145
Hachijuni Bank, Ltd. ................................. 79,000 501
Hanshin Electric Railway Co., Ltd. ................... 50,000 158
Heiwa Corp. .......................................... 10,400 158
Higo Bank, Ltd. ...................................... 37,000 223
Hitachi Cable, Ltd. .................................. 55,000 233
Hitachi Ltd. ......................................... 501,000 3,064
Hitachi Maxell, Ltd. ................................. 13,000 198
Hitachi Metals, Ltd. ................................. 47,000 236
Hokkoku Bank, Ltd. ................................... 52,000 243
Hokuetsu Paper Mills, Ltd. ........................... 23,000 129
House Foods Corp. .................................... 16,500 219
Hyakugo Bank, Ltd. ................................... 33,000 195
Hyakujushi Bank, Ltd. ................................ 47,000 267
Ishikawajima-Harima Heavy
Industries Co., Ltd. ............................... 189,000 280
Itoham Foods, Inc. ................................... 31,000 159
Iyo Bank, Ltd. ....................................... 47,000 312
Continued
57
- --------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
-------- --------
COMMON STOCKS, continued
Japan, continued
Joyo Bank, Ltd. .............................. 126,000 $ 513
Juroku Bank, Ltd. ............................ 54,000 225
Kagoshima Bank, Ltd. ......................... 30,000 182
Kamigumi Co., Ltd. ........................... 40,000 275
Kandenko Co., Ltd. ........................... 30,000 154
Kansai Paint Co., Ltd. ....................... 14,000 83
Katokichi Co., Ltd. .......................... 7,900 154
Kawasaki Heavy Industries, Ltd. .............. 203,000 298
Kikkoman Corp. ............................... 29,000 250
Kinden Corp. ................................. 35,000 214
Kirin Brewery Co., Ltd. ...................... 143,000 1,402
Kissei Pharmaceutical Co., Ltd. .............. 9,000 187
Kobe Steel, Ltd. ............................. 378,000 524
Koito Manufacturing Co., Ltd. ................ 23,000 183
Kokusai Securities Co., Ltd. ................. 47,000 545
Kokuyo Co., Ltd. ............................. 18,700 222
Komatsu Ltd. ................................. 140,000 827
Komori Corp. ................................. 11,000 169
Kuraray Co., Ltd. ............................ 55,000 417
Kuraya Sanseido, Inc. ........................ 7,600 106
Kureha Chemical Industry Co., Ltd. ........... 28,000 109
Kyorin Pharmaceutical Co., Ltd. .............. 12,000 187
Makita Corp. ................................. 20,000 284
Marubeni Corp. ............................... 213,000 483
Marui Co., Ltd. .............................. 56,000 677
Maruichi Steel Tube, Ltd. .................... 13,000 213
Matsushita Electric Industrial Co., Ltd. ..... 365,000 4,872
Matsushita Electric Works, Ltd. .............. 36,000 308
Meiji Seika Kaisha, Ltd. ..................... 57,000 246
Michinoku Bank, Ltd. ......................... 20,000 107
Mitsubishi Gas Chemical Co., Inc. ............ 72,000 278
Mitsubishi Heavy Industries, Ltd. ............ 502,000 1,313
Mitsubishi Logistics Corp. ................... 25,000 236
Mitsubishi Materials Corp. ................... 165,000 340
Mitsubishi Motors Corp. (b) # ................ 96,000 84
Mitsubishi Tokyo Financial Group, Inc. ....... 297 2,663
Mitsui Engineering & Shipbuilding Co., Ltd. 123,000 184
Mitsui Trust Holdings, Inc. .................. 119,000 835
Mitsumi Electric Co., Ltd. ................... 10,600 115
Mizuho Financial Group, Inc. ................. 1,376 5,222
Musashino Bank, Ltd. ......................... 4,700 172
Nagase & Co., Ltd. ........................... 20,000 171
Nanto Bank, Ltd. ............................. 36,000 159
NGK Insulators, Ltd. ......................... 53,000 419
NGK Spark Plug Co., Ltd. ..................... 33,000 323
Nichicon Corp. ............................... 10,700 126
Nichirei Corp. ............................... 46,000 161
Nihon Unisys, Ltd. ........................... 16,000 126
Nikko Cordial Corp. .......................... 152,000 690
Nippon Broadcasting System, Inc. ............. 4,500 223
Nippon Electric Glass Co., Ltd. .............. 21,000 374
Nippon Kayaku Co., Ltd. ...................... 26,000 141
Nippon Meat Packers, Inc. .................... 33,000 404
Nippon Oil Corp. ............................. 221,000 1,361
Nippon Paint Co., Ltd. ....................... 38,000 142
Nippon Sheet Glass Co., Ltd. ................. 66,000 248
Continued
Share s Value
-------- ---------
COMMON STOCKS, continued
Japan, continued
Nippon Shinpan Co., Ltd. (b) ................. 44,000 $ 151
Nippon Shokubai Co., Ltd. .................... 25,000 190
Nippon Television Network Corp. .............. 1,360 217
Nishimatsu Construction Co., Ltd. ............ 36,000 111
Nissay Dowa General Insurance Co., Ltd. ...... 61,000 320
Nisshin Seifun Group, Inc. ................... 35,000 348
Nisshin Steel Co., Ltd. ...................... 145,000 279
Nisshinbo Industries, Inc. ................... 28,000 201
NSK Ltd. ..................................... 80,000 358
Obayashi Corp. ............................... 105,000 501
Okumura Corp. ................................ 33,000 156
Onward Kashiyama Co., Ltd. ................... 25,000 341
PanaHome Corp. ............................... 24,000 126
Promise Co., Ltd. ............................ 19,500 1,267
Q.P. Corp. ................................... 23,100 196
Rengo Co., Ltd. .............................. 35,000 163
Resona Holdings, Inc. (b) .................... 822,000 1,272
San-in Godo Bank, Ltd. ....................... 23,000 177
Santen Pharmaceutical Co., Ltd. .............. 4,000 70
Sanwa Shutter Corp. .......................... 18,000 87
Sanyo Shinpan Finance Co., Ltd. .............. 5,000 277
Sapporo Hokuyo Holdings, Inc. ................ 48 297
Sapporo Holdings, Ltd. ....................... 52,000 195
Seino Transportation Co., Ltd. ............... 26,000 251
Sekisui Chemical Co., Ltd. ................... 78,000 563
Sekisui House, Ltd. .......................... 103,000 1,039
Shiga Bank, Ltd. ............................. 39,000 193
Shimachu Co., Ltd. ........................... 6,700 162
Shinko Securities Co., Ltd. .................. 107,000 329
Shizuoka Bank, Ltd. .......................... 109,000 888
Shohkoh Fund & Co., Ltd. ..................... 1,690 344
Sumitomo Bakelite Co., Ltd. .................. 24,000 145
Sumitomo Corp. ............................... 107,000 749
Sumitomo Electric Industries, Ltd. ........... 109,000 1,039
Sumitomo Forestry Co., Ltd. .................. 23,000 232
Sumitomo Metal Industries, Ltd. .............. 479,000 517
Sumitomo Metal Mining Co., Ltd. .............. 47,000 281
Sumitomo Osaka Cement Co., Ltd. .............. 62,000 156
Sumitomo Realty & Development Co., Ltd. ...... 54,000 617
Sumitomo Rubber Industries, Ltd. ............. 32,000 279
Sumitomo Trust & Banking Co., Ltd. ........... 121,000 710
Suzuken Co., Ltd. ............................ 6,000 175
Taiheiyo Cement Corp. ........................ 138,000 331
Taiyo Yuden Co., Ltd. ........................ 16,000 193
Takara Standard Co., Ltd. .................... 22,000 131
Takashimaya Co., Ltd. ........................ 44,000 410
Takefuji Corp. ............................... 17,570 1,264
TDK Corp. .................................... 11,000 762
Teijin Ltd. .................................. 135,000 470
Teikoku Oil Co., Ltd. ........................ 44,000 229
Toda Corp. ................................... 47,000 187
Toho Bank, Ltd. .............................. 33,000 123
Tokuyama Corp. ............................... 37,000 180
Tokyo Broadcasting System, Inc. .............. 26,000 444
Tokyo Steel Manufacturing Co., Ltd. # ........ 23,100 353
Tokyo Style Co., Ltd. ........................ 13,000 147
Continued
58
---------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
-------- --------
COMMON STOCKS, continued
Japan, continued
Tokyo Tatemono Co., Ltd. ....................... 12,000 $ 62
Toppan Printing Co., Ltd. ...................... 102,000 1,022
Toray Industries, Inc. ......................... 204,000 968
Toshiba TEC Corp. .............................. 42,000 187
Tostem Inax Holding Corp. ...................... 27,000 550
Toyo Ink Manufacturing Co., Ltd. ............... 40,000 142
Toyo Seikan Kaisha, Ltd. ....................... 31,000 491
Toyo Suisan Kaisha, Ltd. ....................... 7,000 86
Toyota Auto Body Co., Ltd. ..................... 12,800 198
Toyota Industries Corp. ........................ 45,700 1,075
UNY Co., Ltd. .................................. 27,000 311
Wacoal Corp. ................................... 19,000 191
Yamaguchi Bank, Ltd. ........................... 29,000 301
Yamanashi Chuo Bank, Ltd. ...................... 28,000 157
Yamazaki Baking Co., Ltd. ...................... 29,000 276
Yokohama Rubber Co., Ltd. ...................... 45,000 175
--------
85,376
--------
Netherlands (4.7%)
ABN AMRO Holding NV ............................ 99,643 2,084
Aegon NV ....................................... 242,300 2,753
AM NV .......................................... 13,643 121
Buhrmann NV .................................... 21,050 195
DSM NV ......................................... 16,542 829
Hagemeyer NV (b) ............................... 75,855 169
Hunter Douglas NV .............................. 7,838 367
IHC Caland NV (b) .............................. 4,437 188
ING Groep NV ................................... 213,829 4,957
Koninklijke Ahold NV (b) ....................... 111,789 831
Koninklijke KPN NV ............................. 38,382 283
Koninklijke Numico NV (b) ...................... 18,747 584
Koninklijke Philips Electronics NV ............. 122,350 2,963
Koninklijke Vopak NV ........................... 9,588 165
New Skies Satellites NV ........................ 15,048 116
Nutreco Holding NV ............................. 5,436 163
NV Holdingsmaatschappij De Telegraaf ........... 3,200 70
Oce NV ......................................... 13,438 202
Royal Nedlloyd NV .............................. 2,900 100
Vedior NV ...................................... 13,287 195
Versatel Telecom International NV (b) .......... 74,287 124
VNU NV ......................................... 39,262 1,036
--------
18,495
--------
New Zealand (0.2%)
Auckland International Airport, Ltd. ........... 67,870 305
Carter Holt Harvey, Ltd. ....................... 317,000 446
Fletcher Building, Ltd. ........................ 34,200 108
--------
859
--------
Norway (0.7%)
Aker Kvaerner ASA (b) .......................... 7,361 129
Aker Yards AS (b) .............................. 4,538 49
DnB Holding ASA ................................ 57,600 394
Norsk Hydro ASA ................................ 10,020 633
Norske Skogindustrier ASA ...................... 47,500 848
Storebrand ASA ................................. 74,200 482
--------
2,535
--------
Continued
Shares Value
-------- --------
COMMON STOCKS, continued
Portugal (0.4%)
Banco BPI SA ................................... 14,440 $ 53
Banco Espirito Santo SA (b) .................... 3,990 65
Portucel-Empresa Produtora de Pasta e
Papel SA ..................................... 121,265 225
Portugal Telecom, SGPS, SA ..................... 110,300 1,129
--------
1,472
--------
Singapore (0.9%)
DBS Group Holdings, Ltd. ....................... 102,000 920
Fraser & Neave, Ltd. ........................... 22,600 187
Keppel Corp., Ltd. ............................. 49,000 208
Neptune Orient Lines, Ltd. ..................... 82,000 116
Oversea-Chinese Banking Corp., Ltd. ............ 77,000 574
SembCorp Industries, Ltd. ...................... 51,000 38
Singapore Airlines, Ltd. (b) ................... 107,000 691
Singapore Land, Ltd. ........................... 20,000 52
United Overseas Bank, Ltd. ..................... 94,000 750
United Overseas Land, Ltd. (b) ................. 33,000 43
--------
3,579
--------
Spain (3.8%)
Acerinox SA .................................... 28,744 398
Antena 3 Television SA (b) ..................... 871 46
Banco Bilbao Vizcaya Argentaria SA ............. 99,000 1,316
Banco de Andalucia SA .......................... 900 76
Banco de Sabadell SA ........................... 18,768 362
Banco Pastor SA ................................ 2,400 71
Banco Santander Central Hispano SA ............. 290,459 2,758
Cementos Portland SA ........................... 2,890 166
Corporacion Mapfre SA .......................... 21,977 252
Ebro Puleva SA ................................. 15,256 178
Endesa SA ...................................... 78,204 1,422
Iberia Lineas Aereas de Espana SA # ............ 104,580 267
Inmobiliaria Colonial SA ....................... 4,000 113
Inmobiliaria Urbis SA .......................... 11,738 131
Red Electrica de Espana ........................ 6,000 99
Repsol YPF SA .................................. 130,632 2,770
Sociedad General de Aguas de Barcelona SA ...... 16,099 274
Sol Melia SA ................................... 18,888 159
Telefonica SA .................................. 257,754 3,752
Vallehermoso SA ................................ 6,900 93
--------
14,703
--------
Sweden (2.6%)
Fabege AB, B Shares (b) ........................ 9,700 135
Gambro AB, A Shares ............................ 32,500 340
Gambro AB, B Shares ............................ 10,500 109
Holmen AB, B Shares ............................ 9,900 284
Industriforvaltnings Kinnevik AB, B Shares ..... 6,900 201
NCC AB, B Shares ............................... 4,000 36
Nordea AB ...................................... 334,300 2,276
Skandia Forsakrings AB ......................... 108,400 422
Skandinaviska Enskilda Banken AB ............... 76,700 1,035
Skanska AB, B Shares ........................... 4,900 43
SSAB, A Shares ................................. 9,400 169
SSAB, B Shares ................................. 2,000 34
Svenska Cellulosa AB, B Shares ................. 26,100 966
Continued
59
- --------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
- --------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
--------- -------
COMMON STOCKS, continued
Sweden, continued
Tele2 AB, A Shares ............................ 2,300 $ 91
Tele2 AB, B Shares ............................ 13,300 529
TeliaSonera AB (b) ............................ 358,000 1,595
Trelleborg AB, B Shares ....................... 9,000 138
Volvo AB, A Shares ............................ 16,900 585
Volvo AB, B Shares ............................ 35,900 1,287
-------
10,275
-------
Switzerland (6.9%)
Baloise Holding, Ltd. ......................... 30,600 1,198
Bank Sarasin & Cie AG, B Shares ............... 90 126
Banque Cantonale Vaudoise ..................... 2,200 232
Berner Kantonalbank ........................... 4,900 571
Ciba Specialty Chemicals AG ................... 18,300 1,261
Clariant AG (b) ............................... 47,100 634
Compagnie Financiere Richemont AG ............. 175,900 4,539
Converium Holding AG .......................... 7,200 159
Credit Suisse Group (b) ....................... 19,600 629
Ems-Chemie Holding AG (b) ..................... 1,150 96
Georg Fischer AG (b) .......................... 1,910 451
Givaudan SA ................................... 200 114
Helvetia Patria Holding ....................... 3,400 534
Holcim Ltd. ................................... 65,100 3,403
Julius Baer Holding, Ltd., B Shares ........... 120 32
Luzerner Kantonalbank ......................... 2,393 370
PSP Swiss Property AG ......................... 16,800 602
Rieter Holding AG ............................. 1,590 407
SIG Holding AG ................................ 3,000 558
Sika AG (b) ................................... 380 199
St. Galler Kantonalbank ....................... 2,770 577
Swiss Life Holding (b) ........................ 12,920 1,506
Swiss Prime Site (b) .......................... 720 147
Swiss Re ...................................... 5,400 315
Syngenta AG (b) ............................... 40,600 3,353
Unaxis Holding AG ............................. 7,000 723
Valiant Holding (b) ........................... 4,300 348
Valora Holding AG ............................. 2,230 492
Vontobel Holding AG ........................... 14,200 272
Zurich Financial Services AG .................. 20,500 2,896
-------
26,744
-------
United Kingdom (23.4%)
Abbey National PLC ............................ 424,494 4,382
Aggregate Industries PLC ...................... 310,752 482
Amvescap PLC .................................. 128,900 664
Arriva PLC .................................... 48,410 367
Associated British Foods PLC .................. 166,073 1,905
Associated British Ports Holdings PLC ......... 71,400 524
Aviva PLC ..................................... 564,393 5,754
BAA PLC ....................................... 258,000 2,628
BAE Systems PLC ............................... 731,996 2,849
Barratt Developments PLC ...................... 57,000 586
BBA Group PLC ................................. 116,000 553
Bellway PLC ................................... 12,000 158
Berkeley Group PLC ............................ 35,610 755
Big Food Group PLC ............................ 72,054 111
Bovis Homes Group PLC ......................... 19,000 178
Continued
Shares Value
--------- -------
COMMON STOCKS, continued
United Kingdom, continued
Bradford & Bingley PLC ........................ 74,000 $ 362
Brambles Industries PLC ....................... 142,000 550
Britannic Group PLC ........................... 31,800 207
British Airways PLC (b) ....................... 298,000 1,252
British Land Co. PLC .......................... 136,012 1,741
British Vita PLC .............................. 40,829 184
Brixton PLC ................................... 55,200 301
Cable & Wireless PLC .......................... 657,646 1,299
COLT Telecom Group PLC (b) .................... 416,000 312
Corus Group PLC (b) ........................... 1,223,858 1,014
De Vere Group PLC ............................. 23,984 188
DS Smith PLC .................................. 78,167 226
Duelguide PLC (b) ............................. 5,727 --*
easyJet PLC (b) ............................... 108,000 291
FKI PLC ....................................... 122,150 269
Friends Provident PLC ......................... 418,000 998
Galen Holdings PLC ............................ 41,000 448
George Wimpey PLC ............................. 95,673 645
Great Portland Estates PLC .................... 34,119 175
Greene King PLC ............................... 16,000 304
Hammerson PLC ................................. 76,100 959
Hanson PLC .................................... 179,000 1,245
HHG PLC (b) ................................... 408,291 364
Hilton Group PLC .............................. 445,026 2,113
Inchcape PLC .................................. 11,000 325
InterContinental Hotels Group PLC ............. 178,389 1,898
International Power PLC (b) ................... 308,400 824
ITV PLC ....................................... 625,987 1,191
J Sainsbury PLC ............................... 476,514 2,340
Kingfisher PLC ................................ 120,511 623
Land Securities Group PLC ..................... 18,653 385
Lex Service PLC ............................... 16,900 212
Liberty International PLC ..................... 75,374 1,092
Logica PLC .................................... 97,950 293
London Merchant Securities PLC ................ 51,163 168
Mersey Docks & Harbour Co. .................... 16,401 209
Millennium & Copthorne Hotels PLC ............. 78,000 456
Mitchells & Butlers PLC ....................... 125,921 618
mmO2 PLC (b) .................................. 2,392,000 3,897
Pearson PLC ................................... 174,000 1,953
Peninsular & Oriental Steam Navigation Co. 162,000 659
Persimmon PLC ................................. 53,282 567
Pilkington PLC ................................ 314,151 549
Pillar Property PLC ........................... 22,798 254
Premier Oil PLC (b) ........................... 17,081 185
Quintain Estates & Development PLC ............ 22,000 186
RMC Group PLC ................................. 73,000 795
Rolls-Royce PLC ............................... 460,715 2,023
Royal & Sun Alliance Insurance
Group PLC ................................... 604,850 851
SABMiller PLC ................................. 99,059 1,264
Schroders PLC ................................. 49,000 508
Scottish & Newcastle PLC ...................... 155,500 1,130
Scottish Power PLC ............................ 351,325 2,520
Shire Pharmaceuticals Group PLC (b) ........... 100,389 880
Singer & Friedlander Group PLC (b) ............ 36,185 152
Continued
60
---------------------------------------
INTERNATIONAL EQUITY FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
--------- ---------
COMMON STOCKS, continued
United Kingdom, continued
Slough Estates PLC ........................... 114,800 $ 934
Somerfield PLC ............................... 105,223 278
Stagecoach Group PLC ......................... 364,000 583
Standard Chartered PLC ....................... 190,316 3,151
Stanley Leisure PLC .......................... 26,625 205
Tate & Lyle PLC .............................. 101,294 605
Taylor Woodrow PLC ........................... 136,744 620
Thus Group PLC (b) ........................... 236,007 73
Trinity Mirror PLC ........................... 80,510 912
Vodafone Group PLC ........................... 6,573,300 14,271
Westbury PLC ................................. 20,310 147
WH Smith Group PLC ........................... 62,000 327
Whitbread PLC ................................ 81,000 1,208
William Morrison Supermarkets PLC ............ 257,994 850
Wilson Bowden PLC ............................ 18,000 324
Wolverhampton & Dudley Breweries PLC ......... 15,306 242
Woolworths Group PLC ......................... 247,175 192
--------
91,272
--------
TOTAL COMMON STOCKS .......................... 385,730
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (1.2%)
BNY Institutional Cash Reserve Fund .......... 4,817,353 4,817
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ......................... 4,817
--------
TOTAL INVESTMENTS
(Cost $304,344) (a) -- 100.4% .............. 390,547
Liabilities in excess of other assets --
(0.4%) ..................................... (1,828)
--------
NET ASSETS -- 100.0% ......................... $388,719
========
- ---------------
(a) Cost for federal income tax purposes is $306,846. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............................... $94,723
Unrealized depreciation ............................... (11,022)
-------
Net unrealized appreciation ........................... $83,701
=======
(b) Represents non-income producing security.
# A portion or all of this security is out on loan as of July 31, 2004.
* Due to rounding, figure is below thousand-dollar threshold.
BNY -- Bank of New York
PLC -- Public Limited Company
Continued
The table below sets forth the diversification of the International Equity Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ ---------
Advertising ............................. 0.1%
Aerospace/Defense ....................... 1.3%
Airlines ................................ 2.1%
Automobile .............................. 5.8%
Banking ................................. 16.1%
Beverages ............................... 1.6%
Building Products ....................... 5.7%
Cash Equivalents ........................ 1.2%
Chemicals ............................... 3.6%
Computer Systems ........................ 0.3%
Diversified ............................. 3.4%
Education ............................... 0.1%
Electrical & Electronics ................ 6.2%
Energy Sources .......................... 0.9%
Financial Services ...................... 3.2%
Food & Household Products ............... 1.5%
Food Products ........................... 0.8%
Food Retailers .......................... 1.9%
Forest Products & Paper ................. 1.3%
Gambling ................................ 0.1%
Home Furnishing ......................... 0.1%
Hotels & Lodging ........................ 1.3%
Insurance ............................... 9.8%
Machinery ............................... 1.5%
Materials & Commodities ................. 4.3%
Medical Products ........................ 0.3%
Office Equipment ........................ 0.3%
Oil & Gas Production & Services ......... 3.1%
Pharmaceutical .......................... 1.2%
Photographic Products ................... 0.5%
Publishing .............................. 3.5%
Real Estate ............................. 4.3%
Retail .................................. 3.0%
Telecommunications ...................... 9.2%
Transportation .......................... 0.8%
-----
Total Investments .................. 100.4%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
61
- ---------------------------------------
BALANCED FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
----------- --------
COMMON STOCKS (58.2%)
AFLAC, Inc. ................................... 48,380 $ 1,918
Allstate Corp. ................................ 25,000 1,177
American Electric Power Co., Inc. ............. 37,065 1,153
Amgen, Inc. (b) ............................... 54,041 3,074
Avery Dennison Corp. .......................... 10,830 656
Bank of America Corp. ......................... 33,106 2,814
Bear Stearns Cos., Inc. ....................... 7,474 623
Becton, Dickinson & Co. ....................... 16,589 784
BellSouth Corp. ............................... 59,398 1,610
Boeing Co. # .................................. 41,107 2,086
BP PLC -- ADR ................................. 19,516 1,100
Bristol-Myers Squibb Co. ...................... 69,603 1,594
Capital One Financial Corp. # ................. 33,695 2,336
Carnival Corp. ................................ 34,466 1,606
ChevronTexaco Corp. ........................... 20,881 1,997
Cisco Systems, Inc. (b) # ..................... 233,554 4,872
CIT Group, Inc. ............................... 27,000 939
Citigroup, Inc. ............................... 84,083 3,707
Colgate-Palmolive Co. ......................... 20,000 1,064
Dell, Inc. (b) ................................ 78,439 2,783
Dollar General Corp. .......................... 67,967 1,312
Dominion Resources, Inc. ...................... 14,084 894
Dow Chemical Co. .............................. 13,705 547
E.I. du Pont de Nemours & Co. ................. 19,190 822
Exxon Mobil Corp. ............................. 88,030 4,076
Freddie Mac ................................... 20,487 1,318
Gannett Co., Inc. # ........................... 5,440 452
Genentech, Inc. (b) # ......................... 55,000 2,677
Genuine Parts Co. ............................. 16,834 635
Goldman Sachs Group, Inc. ..................... 32,246 2,844
H & R Block, Inc. # ........................... 31,143 1,530
Harris Corp. .................................. 27,999 1,329
Health Management Associates, Inc.,
Class A ..................................... 5,100 102
Hewlett-Packard Co. ........................... 129,678 2,613
Home Depot, Inc. .............................. 27,193 917
Honeywell International, Inc. ................. 31,581 1,187
IBM Corp. ..................................... 9,260 806
Illinois Tool Works, Inc. # ................... 6,447 584
International Paper Co. ....................... 31,864 1,377
J.P. Morgan Chase & Co. ....................... 53,672 2,004
Johnson & Johnson ............................. 13,521 747
Limited Brands ................................ 64,181 1,311
McDonald's Corp. .............................. 27,003 742
McGraw Hill Cos., Inc. ........................ 7,028 528
Merck & Co., Inc. ............................. 13,938 632
Microsoft Corp. ............................... 103,441 2,944
Moody's Corp. ................................. 8,040 548
Newell Rubbermaid, Inc. # ..................... 13,319 288
Office Depot, Inc. (b) # ...................... 34,727 570
Outback Steakhouse, Inc. ...................... 11,889 483
PACCAR, Inc. .................................. 11,542 692
Procter & Gamble Co. .......................... 71,196 3,713
Raytheon Co. .................................. 40,142 1,347
Continued
Shares or
Principal
Amount Value
----------- --------
COMMON STOCKS, continued
Rockwell Automation, Inc. ..................... 28,155 $ 1,053
Sara Lee Corp. ................................ 155,301 3,410
SBC Communications, Inc. ...................... 40,583 1,028
Southern Co. .................................. 29,763 871
Texas Instruments, Inc. ....................... 35,173 750
Time Warner, Inc. (b) # ....................... 98,810 1,645
U.S. Bancorp .................................. 37,139 1,051
United Technologies Corp. ..................... 8,780 821
Verizon Communications, Inc. .................. 32,023 1,234
Walt Disney Co. ............................... 22,375 517
Washington Mutual, Inc. ....................... 87,147 3,381
WellPoint Health Networks, Inc. (b) ........... 43,345 4,383
Zimmer Holdings, Inc. (b) ..................... 8,113 619
--------
TOTAL COMMON STOCKS ........................... 101,227
--------
CORPORATE BONDS (16.7%)
Alcoa, Inc., 7.38%, 8/1/10 .................... $ 900 1,037
Berkshire Hathaway, Inc., 3.38%, 10/15/08 ..... 1,000 977
Boeing Capital Corp., 7.38%, 9/27/10 .......... 1,000 1,139
Bottling Group LLC, 2.45%, 10/16/06 ........... 1,000 988
Branch Banking & Trust, 4.88%, 1/15/13 ........ 500 490
Caterpillar Financial Services Corp.,
2.50%, 10/3/06, MTN ......................... 1,000 986
Coca-Cola Co., 4.00%, 6/1/05 .................. 1,000 1,012
Conoco, Inc., 6.35%, 4/15/09 # ................ 1,500 1,642
Diageo Capital PLC, 3.50%, 11/19/07 ........... 1,000 993
First Data Corp., 6.75%, 7/15/05 .............. 2,000 2,079
General Dynamics Corp., 4.50%, 8/15/10 ........ 1,000 1,004
General Electric Co., 5.00%, 2/1/13 # ......... 1,500 1,500
Lehman Brothers Holdings, Inc.,
3.50%, 8/7/08 ............................... 1,000 978
Marsh & McLennan Cos., Inc.,
5.38%, 7/15/14 .............................. 500 501
McDonald's Corp., 5.75%, 3/1/12 ............... 1,200 1,264
Northern Trust Co., 7.10%, 8/1/09 ............. 1,000 1,124
Prudential Funding LLC, 6.60%,
5/15/08 (c) ................................. 2,000 2,198
St. Paul Cos., Inc., 5.75%, 3/15/07 ........... 750 788
SunTrust Banks, Inc., 7.38%, 7/1/06 ........... 2,000 2,161
Sysco Corp., 4.75%, 7/30/05 ................... 1,000 1,019
Target Corp., 5.88%, 3/1/12 ................... 500 533
Unilever Capital Corp., 6.88%, 11/1/05 ........ 2,000 2,106
Unilever Capital Corp., 7.13%, 11/1/10 ........ 800 911
Wachovia Corp., 6.63%, 11/15/06 ............... 1,475 1,587
--------
TOTAL CORPORATE BONDS ......................... 29,017
--------
MUNICIPAL BONDS (2.3%)
Chicago Public Building, 7.00%, 1/1/06 ........ 3,800 4,016
--------
TOTAL MUNICIPAL BONDS ......................... 4,016
--------
U.S. GOVERNMENT AGENCIES (9.7%)
Fannie Mae (3.2%)
6.21%, 11/7/07 ................................ 2,300 2,492
5.50%, 11/1/16 - 11/1/17 ...................... 3,007 3,095
--------
5,587
--------
Continued
62
---------------------------------------
BALANCED FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
U.S. GOVERNMENT AGENCIES, continued
Freddie Mac (2.6%)
5.83%, 2/9/06 ................................ $ 2,000 $ 2,096
6.25%, 3/5/12, Callable 3/5/07 @ 100 ......... 1,500 1,579
5.50%, 9/1/17 ................................ 767 788
--------
4,463
--------
Government National Mortgage Assoc. (3.9%)
6.00%, 6/15/33 ............................... 1,239 1,276
6.50%, 11/20/28 - 10/15/33 ................... 5,335 5,589
--------
6,865
--------
TOTAL U.S. GOVERNMENT
AGENCIES ................................... 16,915
--------
U.S. TREASURY BONDS (5.9%)
7.50%, 11/15/16 # ............................ 1,300 1,621
7.25%, 8/15/22 ............................... 1,500 1,861
6.25%, 8/15/23 # ............................. 6,125 6,871
--------
TOTAL U.S. TREASURY BONDS .................... 10,353
--------
U.S. TREASURY INFLATION
PROTECTION BONDS (1.0%)
3.88%, 4/15/29 # ............................. 1,200 1,749
--------
TOTAL U.S. TREASURY INFLATION
PROTECTION BONDS ........................... 1,749
--------
U.S. TREASURY NOTES (3.1%)
3.00%, 2/15/09 # ............................. 2,000 1,950
4.00%, 6/15/09 # ............................. 1,500 1,522
4.25%, 11/15/13 # ............................ 2,000 1,969
--------
TOTAL U.S. TREASURY NOTES .................... 5,441
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (17.8%)
BNY Institutional Cash Reserve Fund .......... 30,991,271 30,991
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ......................... 30,991
--------
AFFILIATED SECURITIES (2.2%)
AmSouth Prime Money Market Fund .............. 3,776,378 3,776
AmSouth Treasury Reserve Money Market
Fund ....................................... 120,771 121
--------
TOTAL AFFILIATED SECURITIES .................. 3,897
--------
TOTAL INVESTMENTS
(Cost $174,121) (a) -- 116.9% .............. 203,606
Liabilities in excess of other assets --
(16.9%) .................................... (29,402)
--------
NET ASSETS -- 100.0% ......................... $174,204
========
- ---------------
(a) Cost for federal income tax purposes is $174,819. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation $29,592
Unrealized depreciation (805)
-------
Net unrealized appreciation $28,787
=======
Continued
(b) Represents non-income producing security.
(c) Represents a restricted security, purchased under Rule 144A, which is
exempt from registration under the Security Act of 1933, as amended. These
securities have been deemed liquid under guidelines established by the
Board of Trustees.
# A portion or all of this security is on loan as of July 31, 2004.
ADR -- American Depositary Receipt
BNY -- Bank of New York
LLC -- Limited Liability Company
MTN -- Medium Term Note
PLC -- Public Limited Company
The table below sets forth the diversification of the Balanced Fund investments
by industry.
Industry Diversification Percent*
- ------------------------ ---------
Aerospace/Defense .................................... 3.0%
Affiliated Securities ................................ 2.2%
Aluminum ............................................. 0.6%
Auto Trucks & Parts .................................. 0.4%
Banking .............................................. 5.3%
Beverages ............................................ 1.1%
Brokerage Services ................................... 0.6%
Cash Equivalents ..................................... 17.8%
Chemicals -- Specialty ............................... 0.8%
Computer Hardware .................................... 3.6%
Computer Software & Services ......................... 4.5%
Consumer Goods ....................................... 5.2%
Data Processing -- Management ........................ 1.2%
Distribution/Wholesale ............................... 0.4%
Diversified Manufacturing ............................ 1.0%
Electrical & Electronic .............................. 0.9%
Entertainment ........................................ 1.2%
Financial Services ................................... 12.2%
Food Products, Processing & Packaging ................ 2.6%
Forest & Paper Products .............................. 0.8%
Health Care .......................................... 3.0%
Health Care -- Drugs ................................. 1.8%
Industrial Automation -- Robotics .................... 0.6%
Insurance ............................................ 4.4%
Media ................................................ 0.3%
Medical Products ..................................... 0.8%
Multimedia ........................................... 0.9%
Newspapers ........................................... 0.3%
Oil & Gas Exploration, Production & Services ......... 5.0%
Pharmaceuticals ...................................... 2.8%
Raw Materials ........................................ 0.4%
Restaurants .......................................... 1.4%
Retail ............................................... 2.7%
Semiconductors ....................................... 0.4%
Telecommunications -- Equipment ...................... 0.8%
Urban Development .................................... 2.3%
Utilities -- Electric & Gas .......................... 1.7%
Utilities -- Telecommunications ...................... 2.2%
Sovereign ............................................ 19.7%
-----
Total Investments ............................... 116.9%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
63
- ---------------------------------------
STRATEGIC PORTFOLIOS:
AGGRESSIVE GROWTH PORTFOLIO
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- -------
AFFILIATED SECURITIES (99.6%)
Investment Companies (99.6%)
AmSouth Capital Growth Fund, I Shares ............. 709,550 $ 6,585
AmSouth Enhanced Market Fund, I Shares ............ 818,281 9,041
AmSouth International Equity Fund,
I Shares ........................................ 389,883 4,484
AmSouth Large Cap Fund, I Shares .................. 251,863 4,418
AmSouth Limited Term Bond Fund,
I Shares ........................................ 187 2
AmSouth Mid Cap Fund, I Shares .................... 361,376 4,445
AmSouth Prime Money Market Fund,
I Shares ........................................ 469,840 470
AmSouth Select Equity Fund, I Shares .............. 328,151 4,397
AmSouth Small Cap Fund, I Shares (b) .............. 538,642 4,444
AmSouth Value Fund, I Shares ...................... 456,472 6,769
-------
TOTAL INVESTMENTS IN
AFFILIATES ...................................... 45,055
-------
TOTAL INVESTMENTS
(Cost $39,873) (a) -- 99.6% ..................... 45,055
Other assets in excess of liabilities -- 0.4% ..... 199
-------
NET ASSETS--100.0% ................................ $45,254
=======
- ---------------
(a) Cost for federal income tax purposes is $40,986. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ................................. $4,474
Unrealized depreciation ................................. (405)
------
Net unrealized appreciation ............................. $4,069
======
(b) Represents non-income producing security.
The table below sets forth the diversification of the Strategic Portfolios:
Aggressive Growth Portfolio investments by asset type.
Asset Type Diversification Percent*
- -------------------------- ---------
Bond Funds ................................................. +
Equity Funds ............................................... 98.6%
Money Market Funds ......................................... 1.0%
----
Total Investments ..................................... 99.6%
====
* Percentages indicated are based on net assets.
+ Amount is less than 0.1%.
See notes to financial statements.
---------------------------------------
STRATEGIC PORTFOLIOS:
GROWTH PORTFOLIO
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- -------
AFFILIATED SECURITIES (99.8%)
Investment Companies (99.8%)
AmSouth Bond Fund, I Shares ........................... 344,523 $ 3,817
AmSouth Capital Growth Fund,
I Shares ............................................ 582,450 5,405
AmSouth Enhanced Market Fund,
I Shares ............................................ 691,225 7,639
AmSouth Government Income Fund,
I Shares ............................................ 437,466 4,313
AmSouth International Equity Fund,
I Shares ............................................ 353,147 4,061
AmSouth Large Cap Fund, I Shares ...................... 207,485 3,639
AmSouth Limited Term Bond Fund,
I Shares ............................................ 409,388 4,286
AmSouth Mid Cap Fund, I Shares ........................ 307,683 3,785
AmSouth Prime Money Market Fund,
I Shares ............................................ 498,726 499
AmSouth Select Equity Fund, I Shares .................. 281,464 3,772
AmSouth Small Cap Fund, I Shares (b) .................. 442,777 3,653
AmSouth Value Fund, I Shares .......................... 391,062 5,799
-------
TOTAL AFFILIATED SECURITIES ........................... 50,668
-------
TOTAL INVESTMENTS
(Cost $47,445) (a) -- 99.8% ......................... 50,668
Other assets in excess of liabilities -- 0.2% ......... 84
-------
NET ASSETS -- 100.0% .................................. $50,752
=======
- ---------------
(a) Cost for federal income tax purposes is $47,984. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ..................................... $3,295
Unrealized depreciation ..................................... (611)
------
Net unrealized appreciation ................................. $2,684
======
(b) Represents non-income producing security.
The table below sets forth the diversification of the Strategic Portfolios:
Growth Portfolio by asset type.
Asset Type Diversification Percent*
- -------------------------- ---------
Bond Funds ...................................................... 24.4%
Equity Funds .................................................... 74.4%
Money Market Funds .............................................. 1.0%
----
Total Investments .......................................... 99.8%
====
* Percentages indicated are based on net assets.
See notes to financial statements.
64
- ---------------------------------------
STRATEGIC PORTFOLIOS:
GROWTH AND INCOME PORTFOLIO
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
--------- --------
AFFILIATED SECURITIES (100.0%)
Investment Companies (100.0%)
AmSouth Bond Fund, I Shares ........................ 1,224,619 $ 13,569
AmSouth Capital Growth Fund, I Shares .............. 958,370 8,894
AmSouth Enhanced Market Fund, I Shares ............. 1,146,368 12,667
AmSouth Government Income Fund,
I Shares ......................................... 1,384,387 13,650
AmSouth International Equity Fund,
I Shares ......................................... 594,548 6,837
AmSouth Large Cap Fund, I Shares ................... 346,426 6,076
AmSouth Limited Term Bond Fund,
I Shares ......................................... 1,294,357 13,552
AmSouth Mid Cap Fund, I Shares ..................... 510,123 6,275
AmSouth Prime Money Market Fund,
I Shares ......................................... 1,022,110 1,022
AmSouth Select Equity Fund, I Shares ............... 468,644 6,280
AmSouth Small Cap Fund, I Shares (b) ............... 724,823 5,980
AmSouth Value Fund, I Shares ....................... 648,575 9,618
--------
TOTAL INVESTMENTS IN
AFFILIATES ....................................... 104,420
--------
TOTAL INVESTMENTS
(Cost $97,835) (a) -- 100.0% ..................... 104,420
Other assets in excess of liabilities -- + ......... 3
--------
NET ASSETS -- 100.0% ............................... $104,423
========
- ---------------
(a) Cost for federal income tax purposes is $99,413. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ...................................... $6,591
Unrealized depreciation ...................................... (1,584)
------
Net unrealized appreciation .................................. $5,007
======
(b) Represents non-income producing security.
+ Amount is less than 0.1%.
The table below sets forth the diversification of the Strategic Portfolios:
Growth & Income Portfolio investments by asset type.
Asset Type Diversification Percent*
- -------------------------- ---------
Bond Funds ...................................................... 39.0%
Equity Funds .................................................... 60.0%
Money Market Funds .............................................. 1.0%
-----
Total Investments .......................................... 100.0%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
STRATEGIC PORTFOLIOS: MODERATE
GROWTH AND INCOME PORTFOLIO
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares Value
------- -------
AFFILIATED SECURITIES (100.0%)
Investment Companies (100.0%)
AmSouth Bond Fund, I Shares ........................ 717,005 $ 7,944
AmSouth Capital Growth Fund, I Shares .............. 351,440 3,261
AmSouth Enhanced Market Fund, I Shares ............. 408,108 4,510
AmSouth Government Income Fund,
I Shares ......................................... 757,503 7,469
AmSouth International Equity Fund,
I Shares ......................................... 197,561 2,272
AmSouth Large Cap Fund, I Shares ................... 125,296 2,198
AmSouth Limited Term Bond Fund,
I Shares ......................................... 710,004 7,434
AmSouth Mid Cap Fund, I Shares ..................... 179,465 2,207
AmSouth Prime Money Market Fund,
I Shares ......................................... 464,210 464
AmSouth Select Equity Fund, I Shares ............... 161,744 2,167
AmSouth Small Cap Fund, I Shares (b) ............... 272,429 2,248
AmSouth Value Fund, I Shares ....................... 229,941 3,410
-------
TOTAL INVESTMENTS IN
AFFILIATES ....................................... 45,584
-------
TOTAL INVESTMENTS
(Cost $44,063) (a) -- 100.0% ..................... 45,584
Liabilities in excess of other assets -- + ......... (19)
-------
NET ASSETS -- 100.0% ............................... $45,565
=======
- ---------------
(a) Cost for federal income tax purposes is $44,253. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation .................................. $2,248
Unrealized depreciation .................................. (917)
------
Net unrealized appreciation .............................. $1,331
======
(b) Represents non-income producing security.
+ Amount is less than 0.1%.
The table below sets forth the diversification of the Strategic Portfolios:
Moderate Growth & Income Portfolio investments by asset type.
Asset Type Diversification Percent*
- -------------------------- ---------
Bond Funds ................................................... 50.1%
Equity Funds ................................................. 48.9%
Money Market Funds ........................................... 1.0%
-----
Total Investments ....................................... 100.0%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
65
- ---------------------------------------
GOVERNMENT INCOME FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Principal
Amount Value
----------- --------
U.S. GOVERNMENT AGENCIES (88.8%)
Fannie Mae (15.5%)
5.75%, 6/15/05 ............................... $ 250 $ 258
3.30%, 7/30/07, Callable 10/30/04 @ 100 ...... 3,500 3,489
6.44%, 8/14/07, MTN .......................... 500 544
6.00%, 5/15/08 # ............................. 7,000 7,562
7.50%, 4/1/15 - 6/1/15 ....................... 780 832
5.00%, 6/30/15, Callable 12/30/04 @ 100 ...... 1,000 980
8.00%, 7/1/15 ................................ 518 553
6.50%, 12/1/31 - 2/1/34 ...................... 22,491 23,525
--------
37,743
--------
Federal Farm Credit Bank (10.3%)
3.88%, 12/15/04 .............................. 1,000 1,009
5.75%, 9/1/05, MTN ........................... 500 518
2.48%, 2/27/06, Callable 8/27/04 @ 100 ....... 3,000 2,993
3.00%, 12/15/06, Callable 12/15/04 @ 100 ..... 8,000 7,972
5.70%, 9/3/08 ................................ 7,000 7,480
5.05%, 12/27/12, Callable 12/27/05 @ 100 ..... 5,000 5,000
--------
24,972
--------
Federal Home Loan Bank (9.3%)
4.13%, 11/15/04 .............................. 1,000 1,008
7.25%, 5/13/05 # ............................. 10,000 10,397
5.50%, 8/15/08 ............................... 375 398
5.80%, 9/2/08 # .............................. 4,000 4,283
5.82%, 3/30/09 ............................... 1,000 1,078
5.89%, 3/30/09 ............................... 5,000 5,402
--------
22,566
--------
Freddie Mac (4.6%)
3.25%, 3/14/08 ............................... 2,000 1,963
5.50%, 8/1/08 ................................ 723 739
4.00%, 2/1/10 ................................ 2,620 2,577
6.25%, 3/5/12, Callable 3/5/07 @ 100 ......... 2,000 2,105
6.00%, 5/1/16 - 8/1/18 ....................... 2,858 2,985
6.50%, 5/1/31 ................................ 306 320
7.00%, 6/1/31 ................................ 562 595
--------
11,284
--------
Government National Mortgage Assoc. (32.5%)
7.50%, 5/15/10 - 8/20/30 ..................... 3,297 3,551
7.00%, 8/15/11 - 12/15/30 ................... 2,991 3,184
5.50%, 2/15/14 - 2/20/32 ..................... 8,867 9,106
6.50%, 7/15/14 - 3/15/33 ..................... 8,159 8,621
6.00%, 5/15/16 - 6/15/31 ..................... 16,977 17,655
5.00%, 12/15/17 - 6/15/18 .................... 19,187 19,495
9.50%, 5/15/18 - 8/15/21 ..................... 113 129
9.00%, 6/15/18 - 9/15/22 ..................... 114 127
4.50%, 7/15/18 - 11/15/18 .................... 14,989 14,853
8.50%, 11/15/20 - 2/15/23 .................... 25 28
6.75%, 4/15/26 ............................... 749 795
8.00%, 7/15/26 - 6/20/30 ..................... 1,367 1,495
--------
79,039
--------
Private Export Funding (8.2%)
6.31%, 9/30/04, Series C ..................... 2,000 2,015
6.45%, 9/30/04, Series H ..................... 1,000 1,008
Continued
Shares or
Principal
Amount Value
----------- --------
U.S. GOVERNMENT AGENCIES, continued
Private Export Funding, continued
5.34%, 3/15/06, Series M .................... $ 990 $ 1,031
5.53%, 4/30/06 .............................. 3,500 3,661
7.11%, 4/15/07, Series ZZ ................... 1,200 1,320
6.49%, 7/15/07, Series B .................... 2,000 2,163
5.75%, 1/15/08 .............................. 4,300 4,595
5.87%, 7/31/08, Series D .................... 3,000 3,225
4.97%, 8/15/13 .............................. 1,000 1,004
--------
20,022
--------
Sallie Mae (2.2%)
3.63%, 9/30/04, MTN ......................... 3,000 3,011
5.25%, 3/15/06 .............................. 2,300 2,392
--------
5,403
--------
Tennessee Valley Authority (6.2%)
5.38%, 11/13/08 ............................. 3,850 4,075
5.63%, 1/18/11, Series A .................... 5,000 5,307
6.75%, 11/1/25 .............................. 5,000 5,663
--------
15,045
--------
TOTAL U.S. GOVERNMENT
AGENCIES .................................. 216,074
--------
U.S. TREASURY OBLIGATIONS (12.8%)
1.17%, 8/12/04 *# ........................... 6,500 6,500
1.28%, 8/19/04 * ............................ 1,000 999
7.50%, 2/15/05 # ............................ 2,000 2,061
5.63%, 2/15/06 # ............................ 2,000 2,098
3.50%, 11/15/06 # ........................... 1,000 1,015
4.38%, 5/15/07 # ............................ 1,500 1,554
3.25%, 8/15/07 # ............................ 7,500 7,534
6.25%, 8/15/23 # ............................ 2,700 3,029
3.88%, 4/15/29 # ............................ 4,300 6,266
--------
TOTAL U.S. TREASURY
OBLIGATIONS ............................... 31,056
--------
INVESTMENT COMPANIES (+)
AIM Treasury Money Market Fund .............. 2,948 3
--------
TOTAL INVESTMENT COMPANIES .................. 3
--------
AFFILIATED SECURITIES (0.2%)
AmSouth Treasury Reserve Money
Market Fund ............................... 578,947 579
--------
TOTAL AFFILIATED SECURITIES ................. 579
--------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (22.8%)
BNY Institutional Cash Reserve Fund ......... 55,527,069 55,527
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................ 55,527
--------
TOTAL INVESTMENTS
(Cost $297,434) (a) -- 124.6% ............. 303,239
Liabilities in excess of other assets --
(24.6%) ................................... (59,966)
--------
NET ASSETS -- 100.0% ........................ $243,273
========
Continued
66
- ---------------------------------------
GOVERNMENT INCOME FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
- ---------------
(a) Cost for federal income tax purposes is $297,948. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $6,451
Unrealized depreciation ............. (1,160)
------
Net unrealized appreciation ......... $5,291
======
BNY -- Bank of New York
MTN -- Medium Term Note
* Rates disclosed represent yield effective at purchase.
+ Amount is less than 0.1%.
# A portion or all of this security is on loan as of July 31, 2004.
The table below sets forth the diversification of the Government Income Fund
investments by agency.
Agency Diversification Percent*
- ---------------------- ---------
Affiliated Securities ....................... 0.2%
Cash Equivalents ............................ 22.8%
Fannie Mae .................................. 15.5%
Federal Farm Credit Bank .................... 10.3%
Federal Home Loan Bank ...................... 9.3%
Freddie Mac ................................. 4.6%
Government National Mortgage Assoc. ......... 32.5%
Investment Companies ........................ +
Private Export Funding ...................... 8.2%
Sallie Mae .................................. 2.2%
Tennessee Valley Authority .................. 6.2%
U.S. Treasury Obligations ................... 12.8%
-----
Total Investments ...................... 124.6%
=====
* Percentages indicated are based on net assets.
+ Amount is less than 0.1%.
See notes to financial statements.
---------------------------------------
LIMITED TERM BOND FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
----------- --------
CORPORATE BONDS (55.7%)
3M Co., 4.15%, 6/30/05, MTN ..................... $ 500 $ 512
Abbott Laboratories, 5.40%, 9/15/08 ............. 2,000 2,108
Alabama Power Co., 2.65%, 2/15/06 ............... 500 499
Alabama Power Co., 2.80%, 12/1/06 ............... 1,000 991
Allstate Financial Global Fund,
7.13%, 9/26/05 (b) ............................ 2,000 2,099
American Express Credit Corp.,
4.25%, 2/7/05, MTN ............................ 2,000 2,023
American Honda Finance,
1.34%, 5/11/07, MTN* .......................... 3,000 3,000
Amoco Co., 6.25%, 10/15/04 ...................... 3,200 3,228
Asif Global Finance, 1.51%, 12/11/06 (b)* 3,000 3,004
Bank of New York, 3.90%, 9/1/07 ................. 1,000 1,014
Becton Dickinson, 7.15%, 10/1/09 ................ 1,000 1,128
Berkshire Hathaway, Inc., 3.38%, 10/15/08 3,000 2,932
Boeing Capital Corp., 5.65%, 5/15/06 ............ 403 424
Bottling Group LLC, 2.45%, 10/16/06 ............. 3,000 2,964
Bristol-Myers Squibb Co., 4.75%, 10/1/06 ........ 1,650 1,705
Caterpillar Financial Services Corp.,
2.50%, 10/3/06, MTN ........................... 2,000 1,972
Caterpillar Financial Services Corp.,
3.10%, 5/15/07, MTN ........................... 500 495
Chase Manhattan Corp., 7.13%, 2/1/07 ............ 2,500 2,735
Chevron Corp., 6.63%, 10/1/04 ................... 2,000 2,016
Coca-Cola Enterprises, 2.50%, 9/15/06 ........... 1,000 988
Coca-Cola Enterprises, 5.25%, 5/15/07 ........... 1,000 1,050
Colgate-Palmolive Co., 5.34%, 3/27/06 ........... 2,000 2,085
Consolidated Edison, Inc., 3.63%, 8/1/08 ........ 500 493
Diageo Capital PLC, 3.50%, 11/19/07 ............. 1,000 993
Diageo Finance BV, 3.00%, 12/15/06 .............. 1,000 995
Donaldson Lufkin & Jenrette, 6.90%,
10/1/07, MTN .................................. 1,500 1,640
Eli Lilly & Co., 5.50%, 7/15/06 ................. 2,000 2,100
Emerson Electric Co., 7.88%, 6/1/05 ............. 2,000 2,085
Fifth Third Bank, 2.70%, 1/30/07 ................ 2,000 1,981
First Data Corp., 4.70%, 11/1/06 ................ 3,000 3,094
First Union Corp., 6.88%, 9/15/05 ............... 2,000 2,094
FleetBoston Financial Corp., 4.88%, 12/1/06 ..... 2,000 2,077
General Electric Capital Corp., 5.00%,
2/15/07, MTN # ................................ 3,700 3,856
Gillette Co., 2.50%, 6/1/08 ..................... 2,000 1,921
GlaxoSmithKline Capital PLC,
2.38%, 4/16/07 ................................ 1,100 1,074
Goldman Sachs Group, Inc.,
1.72%, 1/9/07, MTN* ........................... 3,000 3,004
GTE California, Inc., 7.65%, 3/15/07 ............ 2,000 2,201
Hershey Foods Corp., 6.70%, 10/1/05 ............. 1,710 1,789
IBM Corp., 4.13%, 6/30/05 ....................... 1,000 1,017
Keycorp, 2.75%, 2/27/07, MTN .................... 2,000 1,962
Lehman Brothers Holdings, Inc.,
3.50%, 8/7/08 ................................. 2,000 1,956
Lowe's Cos., Inc., 6.38%, 12/15/05 .............. 1,000 1,048
Marsh & McLennan Cos., Inc.,
5.38%, 3/15/07 ................................ 2,750 2,891
May Department Stores Co., 7.15%, 8/15/04 ....... 1,750 1,752
Continued
67
- ---------------------------------------
LIMITED TERM BOND FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
----------- ---------
CORPORATE BONDS, continued
McDonald's Corp., 3.88%, 8/15/07, MTN ........ $ 3,000 $ 3,002
Merck & Co., Inc., 4.13%, 1/18/05 ............ 1,150 1,162
Merrill Lynch & Co., 6.00%, 11/15/04 # ....... 4,000 4,046
Morgan Stanley Group, Inc.,
6.10%, 4/15/06 # ........................... 3,500 3,684
National City Bank of Indiana,
2.38%, 8/15/06 ............................. 2,000 1,978
Nationwide Life Global Fund,
2.75%, 5/15/07 (b) ......................... 2,000 1,966
New York Times Co., 7.63%, 3/15/05 ........... 2,000 2,070
New York Times Co., 4.63%, 6/25/07,
MTN ........................................ 2,000 2,076
Northern Trust Co., 6.70%, 9/15/05 ........... 1,725 1,796
Norwest Financial, Inc., 6.70%, 9/22/04 ...... 3,000 3,019
Pacific Life Global Funding,
3.75%, 1/15/09 (b) ......................... 1,000 988
Phillips Petroleum Co., 8.50%, 5/25/05 ....... 2,000 2,100
Procter & Gamble Co., 3.50%, 12/15/08 ........ 1,000 985
Province of Ontario, 3.35%, 7/16/07 .......... 3,000 2,993
R.R. Donnelley & Sons, 5.00%, 11/15/06 ....... 1,000 1,033
Sears Credit Account Master Trust,
6.75%, 9/16/09 ............................. 5,000 5,226
Smith Enron, 5.97%, 12/15/06 ................. 508 510
St. Paul Cos., Inc., 5.75%, 3/15/07 .......... 2,500 2,626
SunTrust Banks, Inc., 6.90%, 7/1/07 .......... 510 558
SunTrust Banks, Inc., 6.25%, 6/1/08 .......... 1,000 1,089
Sysco Corp., 4.75%, 7/30/05 .................. 1,500 1,528
Sysco Corp., 7.25%, 4/15/07 .................. 1,115 1,226
Target Corp., 7.50%, 2/15/05 ................. 1,000 1,028
Target Corp., 3.38%, 3/1/08 # ................ 800 790
Toyota Motor Credit Corp., 5.65%, 1/15/07 3,000 3,161
U.S. Bancorp, 2.75%, 3/30/06 ................. 2,000 2,000
Unilever Capital Corp., 6.88%, 11/1/05 ....... 3,000 3,159
United Technologies Corp., 4.88%, 11/1/06 2,000 2,077
USAA Capital Corp., 4.00%,
12/10/07, MTN (b) .......................... 2,200 2,229
Wal-Mart Stores, Inc., 5.45%, 8/1/06 ......... 2,000 2,095
Wells Fargo & Co., 1.61%, 9/15/06 * .......... 1,000 1,001
---------
TOTAL CORPORATE BONDS ........................ 144,196
---------
U.S. TREASURY OBLIGATIONS (27.9%)
1.63%, 4/30/05 # ............................. 18,500 18,467
2.00%, 5/15/06 # ............................. 10,000 9,913
2.25%, 2/15/07 # ............................. 28,000 27,553
3.88%, 5/15/09 # ............................. 15,000 15,141
4.00%, 6/15/09 # ............................. 1,000 1,014
---------
TOTAL U.S. TREASURY
OBLIGATIONS ................................ 72,088
---------
U.S. GOVERNMENT AGENCIES (14.9%)
Fannie Mae (4.0%)
7.00%, 7/15/05 ............................... 5,000 5,223
3.50%, 10/15/07, Callable 10/15/04
@ 100 # .................................... 5,000 4,975
---------
10,198
---------
Continued
Shares or
Principal
Amount Value
----------- ---------
U.S. GOVERNMENT AGENCIES, continued
Federal Farm Credit Bank (2.7%)
2.38%, 12/23/05, Callable 8/23/04 @ 100 ...... $ 5,000 $ 4,969
2.70%, 11/24/06, Callable 11/24/04 @ 100 ..... 2,000 1,980
---------
6,949
---------
Federal Home Loan Bank (3.8%)
2.38%, 8/15/06 ............................... 10,000 9,890
---------
Freddie Mac (3.9%)
6.88%, 1/15/05 ............................... 5,000 5,113
2.50%, 12/4/06 ............................... 5,000 4,935
---------
10,048
---------
Government National Mortgage Assoc. (0.5%)
7.50%, 4/15/09 - 8/15/11 ..................... 411 440
8.00%, 12/15/07 - 4/15/10 .................... 767 817
8.50%, 9/15/09 - 12/15/09 .................... 100 109
---------
1,366
---------
TOTAL U.S. GOVERNMENT
AGENCIES ................................... 38,451
---------
AFFILIATED SECURITIES (0.5%)
AmSouth Prime Money Market Fund .............. 1,294,223 1,294
AmSouth Treasury Reserve Money Market
Fund ....................................... 726 1
---------
TOTAL AFFILIATED SECURITIES .................. 1,295
---------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (29.3%)
BNY Institutional Cash Reserve Fund .......... 75,884,560 75,885
---------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ......................... 75,885
---------
TOTAL INVESTMENTS
(Cost $330,721) (a) -- 128.3% .............. 331,915
Liabilities in excess of other assets --
(28.3%) .................................... (73,352)
---------
NET ASSETS -- 100.0% ......................... $ 258,563
=========
- ---------------
(a) Cost for federal income tax purposes is $331,649. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $1,941
Unrealized depreciation ............. (1,675)
------
Net unrealized appreciation ......... $ 266
======
(b) Represents a restricted security, purchased under Rule 144A, which is
exempt from registration under the Security Act of 1933, as amended. These
securities have been deemed liquid under guidelines established by the
Board of Trustees.
* Variable rate security. Rate presented represents rate in effect at July 31,
2004.
# Part or all of this security is on loan as of July 31, 2004.
BNY -- Bank of New York
MTN -- Medium Term Note
PLC -- Public Limited Company
LLC -- Limited Liability Company
Continued
68
- ---------------------------------------
LIMITED TERM BOND FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
The table below sets forth the diversification of the Limited Term Bond Fund
investments by industry.
Industry Diversification Percent*
- ------------------------ ---------
Aerospace/Defense ..................................... 0.8%
Affiliated Securities ................................. 0.5%
Automotive -- Finance ................................. 1.2%
Banking ............................................... 7.7%
Beverages ............................................. 2.7%
Brokerage Services .................................... 4.9%
Cash Equivalents ...................................... 29.3%
Computers & Peripherals ............................... 0.4%
Consumer Goods ........................................ 1.2%
Cosmetics/Personal Care ............................... 1.9%
Data Processing/Management ............................ 1.2%
Electronic Components/Instruments ..................... 0.8%
Financial Services .................................... 7.2%
Food Products & Services .............................. 1.8%
Foreign Government .................................... 1.2%
Industrial Goods & Services ........................... 0.2%
Insurance ............................................. 6.4%
Newspapers ............................................ 1.6%
Oil & Gas Exploration, Production, & Services ......... 2.8%
Pharmaceuticals ....................................... 3.6%
Printing .............................................. 0.4%
Restaurants ........................................... 1.2%
Retail ................................................ 4.6%
Sovereign ............................................. 42.8%
Utilities -- Electric & Gas ........................... 1.0%
Utilities -- Telecommunications ....................... 0.9%
-----
Total Investments ................................ 128.3%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
BOND FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- -------
CORPORATE BONDS (50.0%)
Abbott Laboratories, 5.63%, 7/1/06 # ........... $ 4,000 $ 4,200
Alabama Power Co., 7.13%, 10/1/07 .............. 1,700 1,868
Alcoa, Inc., 7.38%, 8/1/10 ..................... 4,000 4,608
Allstate Financial Global Fund,
7.13%, 9/26/05 (b) ........................... 1,000 1,050
Asif Global Financing, 3.85%, 11/26/07 (b) ..... 5,000 5,009
Baltimore Gas & Electric, 7.50%, 1/15/07 ....... 3,100 3,389
Bank One Corp., 7.00%, 7/15/05 ................. 3,157 3,291
Bank One, Texas, 6.25%, 2/15/08 ................ 1,000 1,074
Bear Stearns Cos., Inc., 4.00%, 1/31/08 ........ 2,800 2,810
BellSouth Telecommunications,
6.50%, 6/15/05 ............................... 3,500 3,622
Berkshire Hathaway, Inc., 3.38%, 10/15/08 ...... 3,000 2,932
Boeing Capital Corp., 7.38%, 9/27/10 # ......... 6,251 7,122
Boeing Corp., 6.88%, 11/1/06 ................... 2,145 2,309
Bottling Group LLC, 2.45%, 10/16/06 ............ 5,500 5,434
Branch Banking & Trust, 4.88%, 1/15/13 ......... 4,500 4,409
British Columbia, 4.63%, 10/3/06 # ............. 3,000 3,089
Caterpillar Financial Services Corp.,
2.50%, 10/3/06, MTN .......................... 2,100 2,071
Caterpillar Financial Services Corp.,
3.10%, 5/15/07, MTN .......................... 2,300 2,278
Caterpillar, Inc., 6.55%, 5/1/11 # ............. 1,000 1,118
Chubb Corp., 6.15%, 8/15/05 .................... 1,000 1,034
Chubb Corp., 6.00%, 11/15/11 ................... 1,000 1,063
Clorox Co., 6.13%, 2/1/11 ...................... 500 543
Coca-Cola Co., 5.75%, 3/15/11 # ................ 4,000 4,290
Colgate-Palmolive Co., 5.34%, 3/27/06 .......... 4,400 4,587
Conoco, Inc., 6.35%, 4/15/09 ................... 1,000 1,095
Countrywide Home Loan, 6.84%, 10/22/04 ......... 2,125 2,149
Dean Witter Discover & Co.,
6.50%, 11/1/05 ............................... 3,500 3,675
Eli Lilly & Co., 5.50%, 7/15/06 # .............. 6,000 6,301
Emerson Electric, 6.30%, 11/1/05 ............... 1,500 1,564
Fifth Third Bank, 6.75%, 7/15/05 ............... 4,000 4,155
Fifth Third Bank, 2.70%, 1/30/07 ............... 1,000 991
First Data Corp., 4.70%, 11/1/06 # ............. 7,000 7,219
First Union Corp., 6.88%, 9/15/05 .............. 5,000 5,238
FleetBoston Financial Corp.,
4.88%, 12/1/06 # ............................. 2,100 2,181
Ford Motor Credit Co., 6.25%, 12/8/05 # ........ 3,485 3,618
General Electric Co., 5.00%, 2/1/13 # .......... 12,000 11,999
General Motors Acceptance Corp.,
7.50%, 7/15/05 # ............................. 3,000 3,128
General Motors Acceptance Corp.,
6.15%, 4/5/07 # .............................. 2,000 2,095
Georgia Power Co., 4.00%, 1/15/11 .............. 3,000 2,893
GlaxoSmithKline Capital PLC.,
2.38%, 4/16/07 ............................... 1,000 976
GTE California, Inc., 7.65%, 3/15/07 ........... 1,000 1,101
GTE California, Inc., 6.70%, 9/1/09 ............ 1,500 1,635
Honeywell, Inc., 7.00%, 3/15/07 ................ 2,000 2,178
Hormel Foods Corp., 6.63%, 6/1/11 .............. 7,000 7,744
Household Finance Corp., 6.50%, 1/24/06 ........ 5,000 5,269
IBM Corp., 5.38%, 2/1/09 # ..................... 5,000 5,256
Continued
69
- ---------------------------------------
BOND FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
CORPORATE BONDS, continued
John Hancock, 5.63%, 12/1/08 .................. $ 5,000 $ 5,294
Kimberly-Clark Corp., 7.10%, 8/1/07 ........... 1,700 1,885
Lehman Brothers Holdings, Inc.,
3.50%, 8/7/08 ............................... 6,000 5,868
Marsh & McLennan Cos., Inc.,
5.38%, 3/15/07 .............................. 1,500 1,577
Marsh & Mclennan Cos., Inc.,
5.38%, 7/15/14 .............................. 3,000 3,004
May Department Stores Co.,
7.15%, 8/15/04 .............................. 1,000 1,001
May Department Stores Co.,
7.90%, 10/15/07 ............................. 1,000 1,120
McDonald's Corp., 5.38%, 4/30/07, MTN ......... 2,000 2,101
McDonald's Corp., 5.35%, 9/15/08 .............. 5,500 5,795
McDonald's Corp., 6.00%, 4/15/11, MTN ......... 700 749
Mellon Funding Corp., 6.40%, 5/14/11 .......... 2,000 2,198
MetLife, Inc., 6.13%, 12/1/11 ................. 1,000 1,071
National Rural Utilities Corp.,
6.38%, 10/15/04 ............................. 3,100 3,127
NationsBank Corp., 7.75%, 8/15/15 ............. 1,100 1,291
New York Times Co., 7.63%, 3/15/05 ............ 2,000 2,070
New York Times Co., 4.63%, 6/25/07, MTN 2,800 2,906
Nike, Inc., 5.50%, 8/15/06 .................... 3,500 3,686
Northern Trust Co., 7.10%, 8/1/09 ............. 6,000 6,747
Pfizer, Inc., 5.63%, 2/1/06 ................... 3,900 4,080
Pharmacia Corp., 5.75%, 12/1/05 ............... 2,600 2,707
Phillips Petroleum Co., 6.38%, 3/30/09 ........ 2,000 2,188
PPG Industries, Inc., 7.05%, 8/15/09 .......... 2,500 2,803
Prudential Funding LLC,
6.60%, 5/15/08 (b) .......................... 6,000 6,593
Rockwell International Corp.,
6.63%, 6/1/05 ............................... 3,456 3,564
Sara Lee Corp., 6.15%, 6/19/08, MTN ........... 5,625 6,043
Sears Credit Account Master Trust,
6.75%, 9/16/09 .............................. 5,000 5,226
Smith Enron, 5.97%, 12/15/06 .................. 787 791
Southwestern Bell Telephone,
6.63%, 4/1/05 ............................... 2,000 2,055
St. Paul Cos., Inc., 5.75%, 3/15/07 ........... 9,125 9,582
State Street Boston, 7.65%, 6/15/10 ........... 5,000 5,861
SunTrust Bank, 6.38%, 4/1/11 .................. 5,500 6,016
SunTrust Banks, Inc., 7.38%, 7/1/06 ........... 3,159 3,411
Sysco Corp., 4.75%, 7/30/05 ................... 2,500 2,547
Target Corp., 7.50%, 2/15/05 .................. 2,000 2,055
Target Corp., 5.88%, 3/1/12 # ................. 3,500 3,732
Texaco Capital, 7.09%, 2/1/07 ................. 4,000 4,369
Toyota Motor Credit Corp., 5.65%, 1/15/07 ..... 5,000 5,269
Unilever Capital Corp., 7.13%, 11/1/10 ........ 5,000 5,692
United Technologies Corp.,
7.13%, 11/15/10 ............................. 5,000 5,709
U.S. Bank NA, 3.75%, 2/6/09 ................... 2,000 1,973
Continued
Shares or
Principal
Amount Value
---------- --------
CORPORATE BONDS, continued
Vulcan Materials Co., 6.00%, 4/1/09 ........... $ 2,000 $ 2,153
Wachovia Corp., 6.61%, 10/1/25 ................ 1,875 1,999
Wal-Mart Stores, Inc., 5.45%, 8/1/06 # ........ 4,500 4,715
Wisconsin Electric Power,
6.63%, 11/15/06 ............................. 3,500 3,740
--------
TOTAL CORPORATE BONDS ......................... 312,023
--------
U.S. TREASURY OBLIGATIONS (26.9%)
3.00%, 2/15/09 # .............................. 38,000 37,049
3.88%, 4/15/29 # .............................. 11,000 16,029
4.00%, 6/15/09 # .............................. 6,000 6,087
4.25%, 11/15/13 # ............................. 12,000 11,817
7.50%, 11/15/16 # ............................. 19,000 23,691
6.25%, 8/15/23 # .............................. 64,900 72,814
--------
TOTAL U.S. TREASURY
OBLIGATIONS ................................. 167,487
--------
U.S. GOVERNMENT AGENCIES (21.0%)
Fannie Mae (9.6%)
2.63%, 1/19/07, Callable 1/19/05 @ 100 ........ 10,000 9,879
3.52%, 1/28/08, Callable 1/28/05 @ 100 ........ 5,000 4,986
5.00%, 1/1/18 ................................. 3,038 3,065
5.50%, 11/1/17 - 12/1/17 ...................... 15,562 16,028
6.00%, 6/15/33 - 1/1/34 ....................... 19,538 20,069
7.13%, 3/15/07 ................................ 5,000 5,491
--------
59,518
--------
Federal Home Loan Bank (0.8%)
2.38%, 8/15/06 ................................ 5,000 4,945
--------
Freddie Mac (4.2%)
5.00%, 11/1/18 ................................ 3,193 3,221
5.50%, 9/1/17 ................................. 12,265 12,622
6.25%, 3/5/12, Callable 3/5/07 @ 100 # ........ 10,000 10,525
--------
26,368
--------
Government National Mortgage Association (6.4%)
6.00%, 6/15/33 ................................ 4,473 4,608
6.50%, 8/15/11 - 12/15/32 ..................... 28,628 30,000
7.00%, 9/15/11 - 5/15/32 ...................... 4,743 5,042
7.50%, 8/15/11 ................................ 141 151
8.00%, 5/15/10 ................................ 86 92
--------
39,893
--------
TOTAL U.S. GOVERNMENT
AGENCIES .................................... 130,724
--------
MUNICIPAL BONDS (0.1%)
Georgia (0.1%)
Atlanta Downtown Development Lease
Revenue Bond, 6.88%, 2/1/21 ................. 800 914
--------
TOTAL MUNICIPAL BONDS ......................... 914
--------
AFFILIATED SECURITIES (0.6%)
AmSouth Prime Money Market Fund ............... 3,853,300 3,853
AmSouth Treasury Reserve Money Market
Fund ........................................ 4,917 5
--------
TOTAL AFFILIATED SECURITIES ................... 3,858
--------
Continued
70
---------------------------------------
BOND FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
----------- --------
SHORT-TERM SECURITIES HELD
AS COLLATERAL FOR
SECURITIES LENDING (30.0%)
BNY Institutional Cash Reserve Fund ......... 186,806,688 $186,807
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................ 186,807
--------
TOTAL INVESTMENTS
(Cost $780,631) (a) -- 128.6% ............. 801,813
Liabilities in excess of other
assets -- (28.6%) ......................... (178,273)
--------
NET ASSETS -- 100.0% ........................ $623,540
========
- ---------------
(a) Cost for federal income tax purposes is $782,919. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $21,349
Unrealized depreciation ............. (2,455)
-------
Net unrealized appreciation ......... $18,894
=======
(b) Represents a restricted security, purchased under Rule 144A, which is
exempt from registration under the Security Act of 1933, as amended. These
securities have been deemed liquid under guidelines established by the
Board of Trustees.
# A portion or all of this security is on loan as of July 31, 2004.
BNY -- Bank of New York
LLC -- Limited Liability Company
NA -- National Association
PLC -- Public Limited Company
MTN -- Medium Term Note
Continued
The table below sets forth the diversification of the Bond Fund investments by
Industry.
Industry Diversification Percent*
- ------------------------ ---------
Aerospace/Defense ..................................... 2.4%
Affiliated Securities ................................. 0.6%
Aluminum .............................................. 0.7%
Automotive -- Finance ................................. 2.3%
Banking ............................................... 7.9%
Beverages ............................................. 1.6%
Brokerage Services .................................... 2.0%
Building Products ..................................... 0.3%
Cash Equivalents ...................................... 30.0%
Computers & Peripherals ............................... 0.8%
Consumer Goods ........................................ 1.5%
Consumer Products ..................................... 0.1%
Cosmetics/Personal Care ............................... 1.0%
Data Processing/Management ............................ 1.2%
Electric -- Integrated ................................ 0.8%
Electrical & Electronic ............................... 1.9%
Electronic Components/Instruments ..................... 0.6%
Financial Services .................................... 2.3%
Food Products & Services .............................. 1.4%
Foreign Government .................................... 0.5%
Industrial Goods & Services ........................... 0.6%
Insurance ............................................. 5.3%
Machinery -- Construction and Mining .................. 0.9%
Manufacturing ......................................... 0.4%
Meat Packing Plants ................................... 1.2%
Newspapers ............................................ 0.8%
Oil & Gas Exploration, Production, & Services ......... 1.2%
Pharmaceuticals ....................................... 2.9%
Restaurants ........................................... 1.4%
Retail ................................................ 2.9%
Sovereign ............................................. 47.9%
Urban Development ..................................... 0.1%
Utilities -- Electric & Gas ........................... 1.8%
Utilities -- Telecommunications ....................... 1.3%
-----
Total Investments ................................ 128.6%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
71
- ---------------------------------------
MUNICIPAL BOND FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS (97.5%)
Alabama (41.2%)
Alabama 21st Century Authority Tobacco
Settlement Revenue, 5.13%, 12/1/05 ............. $ 1,000 $ 1,023
Alabama 21st Century Authority Tobacco
Settlement Revenue, 5.25%, 12/1/06 ............. 1,000 1,033
Alabama State Agriculture & Mechanical
University, Revenue, 4.55%, 11/1/09,
Callable 5/1/08 @ 102, MBIA .................... 2,245 2,392
Alabama State Agriculture & Mechanical
University, Revenue, 4.65%, 11/1/10,
Callable 5/1/08 @ 102, MBIA .................... 2,355 2,501
Alabama State Agriculture & Mechanical
University, Revenue, 6.50%, 11/1/25,
Callable 11/1/05 @ 102, MBIA ................... 2,035 2,197
Alabama State Judicial Building Authority,
Judicial Facilities Project, 4.75%,
1/1/05, AMBAC .................................. 3,700 3,753
Alabama State Judicial Building Authority,
Judicial Facilities Project, 4.85%,
1/1/06, AMBAC .................................. 3,880 4,039
Alabama State Public School & College
Authority, 5.00%, 12/1/05, Callable
8/30/04 @ 102 .................................. 3,390 3,467
Alabama State Public School & College
Authority, 5.13%, 11/1/14, Callable
11/1/08 @ 101.5, FSA ........................... 8,000 8,653
Alabama State Public School & College
Authority, Capital Improvement,
4.75%, 11/1/06, Callable 11/1/05 @ 101 ......... 5,000 5,224
Alabama State Water Pollution Control
Authority, Revolving Fund, Series B,
5.25%, 8/15/08, Callable 8/15/06 @ 100,
AMBAC .......................................... 1,095 1,162
Alabama State Water Pollution Control
Authority, Revolving Fund, Series B,
5.38%, 8/15/10, Callable 8/15/06 @ 100,
AMBAC .......................................... 860 914
Alabama State Water Pollution Control
Authority, Revolving Fund, Series B,
5.40%, 8/15/11, Callable 8/15/06 @ 100,
AMBAC .......................................... 1,840 1,957
Alabama State Water Pollution Control
Authority, Revolving Fund, Series B,
5.50%, 8/15/16, Callable 8/15/06 @ 100,
AMBAC .......................................... 3,890 4,118
Alabama State, Series A, GO,
4.60%, 10/1/05 ................................. 3,500 3,623
Alabama State, Series E, GO,
4.00%, 9/1/08 .................................. 2,855 2,986
Alabama State, Series E, GO,
4.00%, 9/1/09 .................................. 4,210 4,393
Athens, Warrants, GO,
1.85%, 2/1/06, MBIA ............................ 680 679
Athens, Warrants, GO,
2.35%, 2/1/07, MBIA ............................ 690 689
Continued
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Alabama, continued
Auburn University, University Revenues,
General Fee, 5.00%, 6/1/13, Callable
6/1/12 @ 100, AMBAC ............................ $ 4,800 $ 5,188
Auburn University, University Revenues,
General Fee, Series A, 5.50%, 6/1/12,
Callable 6/1/11 @ 100, MBIA .................... 2,125 2,368
Birmingham, GO, 4.90%, 7/1/06 .................... 1,500 1,582
Birmingham, Capital Improvements,
Series A, GO, 4.75%, 10/1/10, Callable
4/1/08 @ 102 ................................... 1,340 1,429
Birmingham, Capital Improvements,
Series A, GO, 4.85%, 10/1/11, Callable
4/1/08 @ 102 ................................... 1,430 1,520
Birmingham, Capital Improvements,
Series B, GO, 4.80%, 10/1/08, Callable
4/1/07 @ 102 ................................... 1,040 1,111
Birmingham, Industrial Water Board,
Industrial Water Supply, 5.40%, 3/1/05,
Callable 9/13/04 @ 101, OID, ETM ............... 1,000 1,023
Birmingham, Industrial Water Board,
Industrial Water Supply, 5.50%, 3/1/06,
Prerefunded 3/1/05 @ 100, OID .................. 1,300 1,331
Birmingham, Industrial Water Board,
Industrial Water Supply, 6.20%, 7/1/08,
Prerefunded 1/1/07 @ 100 ....................... 1,885 2,018
Birmingham, Special Care Facilities Funding
Authority, Series D, 4.95%, 11/1/14,
Prerefunded 11/1/07 @ 100 ...................... 2,415 2,586
Clark & Mobile County, Gas District, 5.60%,
12/1/17, Callable 12/1/06 @ 102, MBIA .......... 1,045 1,136
Decatur, Warrants, Series A, GO,
2.25%, 12/1/04 ................................. 180 181
Decatur, Warrants, Series A, GO,
2.25%, 12/1/05 ................................. 435 438
Decatur, Warrants, Series A, GO,
2.40%, 12/1/06 ................................. 205 206
Decatur, Warrants, Series A, GO,
2.50%, 12/1/07 ................................. 210 209
Decatur, Warrants, Series B, GO,
2.25%, 12/1/05 ................................. 215 217
Decatur, Warrants, Series B, GO,
2.40%, 12/1/06 ................................. 100 100
Decatur, Warrants, Series B, GO,
2.50%, 12/1/07 ................................. 140 139
Decatur, Warrants, Series C, GO,
2.50%, 8/1/05 .................................. 245 247
Decatur, Warrants, Series C, GO,
2.88%, 8/1/06 .................................. 200 203
Decatur, Warrants, Series C, GO,
2.88%, 8/1/07 .................................. 220 222
Decatur, Warrants, Series D, GO,
2.50%, 8/1/05 .................................. 580 585
Decatur, Warrants, Series D, GO,
2.88%, 8/1/06 .................................. 590 599
Continued
72
---------------------------------------
MUNICIPAL BOND FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Alabama, continued
Decatur, Warrants, Series D, GO,
2.88%, 8/1/07 .................................. $ 610 $ 616
Dothan, GO, 5.05%, 9/1/09, FSA ................... 905 987
Dothan, GO, 5.10%, 9/1/10, Callable
9/1/09 @ 101, FSA .............................. 1,515 1,654
Florence Water, Series B, 4.70%, 12/1/13,
Callable 12/1/08 @ 102, FSA .................... 1,025 1,074
Florence, Warrants, GO, 4.00%,
9/1/13, FSA .................................... 1,340 1,358
Florence, Warrants, GO, 4.00%, 9/1/14,
Callable 3/1/14 @ 100, FSA ..................... 1,245 1,251
Florence, Warrants, Series A, GO,
4.35%, 12/1/07 ................................. 390 413
Florence, Warrants, Series A, GO,
2.40%, 9/1/08 .................................. 1,370 1,335
Florence, Warrants, Series A, GO,
4.40%, 12/1/08 ................................. 405 430
Florence, Warrants, Series A, GO,
4.50%, 12/1/09 ................................. 425 454
Florence, Warrants, Series A, GO,
4.60%, 12/1/10, Callable 12/1/08 @ 102 ......... 445 476
Florence, Warrants, Series B, GO,
4.35%, 12/1/07, FSA ............................ 790 836
Florence, Warrants, Series B, GO,
4.40%, 12/1/08, FSA ............................ 825 876
Florence, Warrants, Series B, GO,
4.50%, 12/1/09, Callable 12/1/08 @ 102,
FSA ............................................ 865 923
Florence, Warrants, Series B, GO, 4.60%,
12/1/10, Callable 12/1/08 @ 102, FSA ........... 900 962
Homewood Board of Education, Warrants,
Capital Outlay, 4.00%, 2/1/10, FSA ............. 1,085 1,126
Homewood Board of Education, Warrants,
Capital Outlay, 4.00%, 2/1/11, FSA ............. 1,000 1,032
Homewood Board of Education, Warrants,
Capital Outlay, 4.00%, 2/1/12, FSA ............. 1,010 1,036
Huntsville, Series A, GO, 4.75%, 11/1/18,
Callable 11/1/08 @ 101 ......................... 1,445 1,475
Huntsville Electric, 4.60%, 12/1/09, Callable
12/1/07 @ 102 .................................. 550 584
Huntsville Electric, 4.70%, 12/1/10, Callable
12/1/07 @ 102 .................................. 660 699
Huntsville Electric, 4.80%, 12/1/11, Callable
12/1/07 @ 102 .................................. 680 722
Huntsville, Warrants, Series B, GO, 4.00%,
11/1/05 ........................................ 3,120 3,211
Huntsville, Warrants, Series B, GO, 4.00%,
11/1/06 ........................................ 3,245 3,378
Huntsville, Warrants, Series B, GO, 4.10%,
11/1/07 ........................................ 3,380 3,546
Huntsville, Water Treatment Systems,
Series A, GO, 5.13%, 5/1/20, Callable
5/1/12 @ 102, OID .............................. 1,895 2,002
Continued
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Alabama, continued
Jefferson County, Warrants, GO,
5.10%, 2/15/10, FSA ............................ $ 1,000 $ 1,093
Madison Water & Wastewater Board,
Water & Sewer Revenue, 4.60%, 12/1/11,
AMBAC .......................................... 725 765
Mobile County, Warrants, GO,
5.25%, 8/1/12, FSA ............................. 6,165 6,835
Mobile County, Warrants, GO,
5.25%, 8/1/13, FSA ............................. 3,440 3,813
Mobile, Warrants, GO, 4.85%, 2/15/09 ............. 1,505 1,569
Montgomery Downtown Redevelopment
Authority, Lease Revenue,
5.00%, 10/1/08 ................................. 1,895 2,050
Montgomery, Warrants, GO,
5.00%, 5/1/11, AMBAC ........................... 1,530 1,668
Montgomery, Warrants, GO,
5.25%, 5/1/12, AMBAC ........................... 2,545 2,820
Montgomery, Waterworks & Sanitation
Sewer Board, Water & Sewer Systems
Revenue, 5.50%, 9/1/08, Callable 9/1/06
@ 101, AMBAC ................................... 3,000 3,230
Montgomery, Waterworks & Sanitation
Sewer Board, Water & Sewer Systems
Revenue, 5.25%, 9/1/18, Callable 9/1/11
@ 101, AMBAC ................................... 4,125 4,406
Shelby County Board of Education,
Warrants, Capital Outlay, 4.80%, 2/1/10,
Callable 2/1/09 @ 101, AMBAC ................... 1,005 1,079
Talladega County, Industrial
Development Board, Cyprus 1 Project,
9.75%, 12/1/13 ................................. 335 337
University of Alabama General Fee, 4.75%,
6/1/11, Callable 6/1/07 @ 102, MBIA ............ 1,500 1,586
University of Alabama General Fee,
4.60%, 6/1/09, Callable 6/1/07 @ 102,
MBIA ........................................... 1,200 1,272
University of Alabama General Fee, 4.70%,
6/1/10, Callable 6/1/07 @ 102, MBIA ............ 1,300 1,373
University of South Alabama, University
Revenues, Tuition, 4.70%, 11/15/08,
Callable 5/15/06 @ 102, AMBAC .................. 2,185 2,304
--------
148,097
--------
Arizona (0.9%)
Arizona School Facilities, Board Revenue
State School Improvement,
5.50%, 7/1/10 .................................. 3,000 3,363
--------
California (1.8%)
Franklin-McKinley School District, GO,
6.00%, 7/1/16, FSA ............................. 1,000 1,176
San Mateo County Transit District, Sales Tax
Revenue, Series A, 5.25%, 6/1/16,
Callable 6/1/09 @ 101, FSA ..................... 4,765 5,150
--------
6,326
--------
Continued
73
- ---------------------------------------
MUNICIPAL BOND FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Colorado (1.8%)
Central Platte Valley Metropolitan District,
5.20%, 12/1/17, Prerefunded 12/1/09
@ 101, OID, ACA .............................. $ 5,940 $ 6,606
--------
Florida (8.9%)
Dade County, Series DD, GO,
7.70%, 10/1/08, AMBAC ........................ 1,760 2,090
Dade County, Series DD, GO,
7.70%, 10/1/12, AMBAC ........................ 1,000 1,263
Florida State Board of Education, Capital
Outlay, Series A, GO, 5.00%, 6/1/08 .......... 6,500 7,029
Jacksonville, Water & Sewer District,
Revenue, 5.00%, 10/1/20, MBIA ................ 9,550 10,265
Key West Utilities Board, Electric Revenue,
6.00%, 10/1/13, AMBAC ........................ 2,450 2,865
Reedy Creek, Improvement District, Series
1, 5.50%, 10/1/08, Callable 10/1/07
@ 101, AMBAC ................................. 8,070 8,825
--------
32,337
--------
Hawaii (1.1%)
Hawaii State, GO, 5.50%, 3/1/16,
Prerefunded 3/1/07 @ 102, FGIC ............... 3,625 3,983
--------
Illinois (2.8%)
Chicago Metropolitan Water Reclamation
District, Greater Chicago Capital
Improvements, GO, 6.90%, 1/1/07 .............. 7,830 8,644
Will County Forest Preservation District,
Series B, 0.00%, 12/1/18, FGIC ............... 3,000 1,486
--------
10,130
--------
Kentucky (0.6%)
Carrollton & Henderson Public Energy
Authority, Gas Revenue, Series A, 5.00%,
1/1/09, FSA .................................. 2,000 2,158
--------
Louisiana (0.3%)
Louisiana Local Government Environmental
Facilities, Community Development
Authority Revenue, Capital Projects &
Equipment Acquisition, 5.25%, 12/1/18,
AMBAC ........................................ 1,085 1,185
--------
Maryland (1.5%)
Maryland State Department of
Transportation, Construction Revenue,
4.00%, 12/15/07 .............................. 5,000 5,247
--------
Minnesota (0.7%)
Centennial Independent School District
No. 12, Series A, GO, 5.60%, 2/1/07,
MBIA ......................................... 2,175 2,350
--------
Mississippi (0.9%)
Medical Center Educational Building Corp.
of Mississippi, Revenue, University of
Mississippi Medical Center Project,
5.90%, 12/1/23, Prerefunded 12/1/04
@ 102, MBIA .................................. 2,075 2,148
Continued
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Mississippi, continued
Mississippi State, Series B, GO,
5.90%, 11/15/09 .............................. $ 1,000 $ 1,134
--------
3,282
--------
Ohio (3.0%)
Ohio State Higher Education, Series A, GO,
5.20%, 2/1/10 ................................ 9,700 10,659
--------
Oklahoma (0.5%)
Moore, GO, 5.75%, 4/1/12, MBIA ................. 1,530 1,725
--------
Oregon (2.3%)
Salem, GO, 4.45%, 12/1/10, Callable
6/1/09 @ 100, FSA ............................ 2,365 2,486
Washington County Criminal Justice
Facilities, GO, 5.00%, 12/1/09, Callable
12/1/07 @ 100 ................................ 5,285 5,663
--------
8,149
--------
Rhode Island (1.0%)
Rhode Island State, Series A, GO,
5.75%, 9/1/13, Callable 9/1/09 @ 101,
FGIC ......................................... 3,065 3,483
--------
South Carolina (2.8%)
Beaufort County School District,
Series B, GO, 4.10%, 2/1/09, Callable
2/1/07 @ 101, SCSDE .......................... 5,525 5,724
Beaufort County School District,
Series B, GO, 4.90%, 3/1/09, Callable
3/1/05 @ 101 ................................. 4,125 4,243
--------
9,967
--------
Tennessee (3.7%)
Jackson, Improvements, 5.00%, 3/1/10,
Prerefunded 3/1/05 @ 102 ..................... 2,000 2,079
Metropolitan Government, Nashville &
Davidson County, Industrial Development
Board, Revenue, Multi-Family Housing,
Arbor, Series B, 7.50%, 11/15/10,
Prerefunded 5/15/10 @ 100 .................... 2,050 2,509
Metropolitan Government, Nashville &
Davidson County, Industrial Development
Board, Revenue, Multi-Family Housing,
Arbor, Series C, 7.50%, 11/15/12,
Prerefunded 5/15/12 @100 ..................... 1,000 1,260
Tennessee State, Series B, GO,
5.00%, 5/1/15, Callable 5/1/08 @ 100 ......... 1,500 1,580
Tennessee State, Series B, GO,
4.60%, 5/1/07, Callable 5/1/06 @ 100 ......... 5,495 5,707
--------
13,135
--------
Texas (9.7%)
Dallas County, Series A, GO,
5.25%, 8/15/09 ............................... 3,000 3,299
Harris County, Housing Financial Corp.,
Multi-Family Housing Revenue, Breton
Mill Partners, 7.00%, 3/1/07, Prerefunded
2/15/07 @ 100 ................................ 1,000 1,114
Continued
74
---------------------------------------
MUNICIPAL BOND FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Texas, continued
Katy Independent School District, Series A,
GO, 4.50%, 2/15/20, Callable 2/15/08
@ 100, PSF-GTD ...................................... $ 3,600 $ 3,558
Lubbock Health Facilities Development
Corp., Hospital Revenue, Methodist
Hospital, Series B, 6.75%, 12/1/10,
AMBAC ............................................... 1,000 1,191
Mesquite Independent School District,
Series A, GO, 4.70%, 8/15/08, Callable
8/15/07 @ 100 ....................................... 4,000 4,211
Richardson Independent School District,
Series C, 4.75%, 2/15/22, Callable 2/15/08
@ 100 PSF-GTD ....................................... 1,000 1,000
San Antonio, Series A, GO, 4.75%, 2/1/19,
Prerefunded 2/1/09 @ 100, OID ....................... 10 11
San Antonio, Series A, GO, 4.75%, 2/1/19,
Unrefunded Portion, Callable 2/1/09
@ 100, OID .......................................... 1,580 1,605
Texas State, Public Finance Authority,
Series A, GO, 5.25%, 10/1/08 ........................ 7,965 8,710
University of Texas, 4.60%, 7/1/08, Callable
7/1/06 @ 100 ........................................ 3,575 3,722
University of Texas, Series B,
4.25%, 8/15/09, Callable 8/15/07 @ 100 .............. 5,455 5,747
Whitehouse Independent School District,
GO, 4.80%, 2/15/12, Callable 2/15/08
@ 100 ............................................... 1,000 1,037
--------
35,205
--------
Utah (2.6%)
Davis County, School District, GO,
4.38%, 6/1/08, School Board Guaranty ................ 4,805 5,086
Jordan School District, GO, 4.80%, 6/15/08,
Callable 6/15/07 @ 100 .............................. 3,810 4,071
--------
9,157
--------
Virginia (3.2%)
Virginia College Building Authority,
Series A, 5.00%, 9/1/12, Callable 9/1/07
@ 101 ............................................... 2,000 2,145
Virginia State, GO, 5.00%, 6/1/08, Callable
6/1/07 @ 100 ........................................ 5,000 5,319
Virginia State, Public School Authority,
Series S, 5.25%, 8/1/09 ............................. 3,500 3,857
--------
11,321
--------
Washington (5.1%)
King & Snohomish County School District,
School District No. 417 -- Northshore,
GO, 5.00%, 6/1/16, Callable 6/1/15
@ 100, FSA .......................................... 3,000 3,200
King County Public Hospital District
No. 002, GO, 5.25%, 12/1/13, MBIA ................... 1,095 1,198
Snohomish County, GO,
3.13%, 12/1/11, OID ................................. 1,225 1,181
Continued
Shares or
Principal
Amount Value
---------- --------
MUNICIPAL BONDS, continued
Washington, continued
Washington State, GO, 5.75%, 9/1/08 ................... $ 6,500 $ 7,209
Washington State, Series 2-A, GO,
5.00%, 7/1/10, FSA .................................. 5,000 5,444
--------
18,232
--------
West Virginia (0.3%)
Raleigh Fayette & Nicholas Counties,
6.20%, 8/1/04 ....................................... 1,000 1,000
--------
Wisconsin (0.8%)
Wisconsin State Health & Educational
Facilities Authority, Revenue, Wheaton
Franciscan Services, Inc., 6.10%, 8/15/09,
MBIA ................................................ 2,420 2,735
--------
TOTAL MUNICIPAL BONDS ................................. 349,832
--------
INVESTMENT COMPANIES (0.9%)
Goldman Sachs Tax-Free Money
Market Fund ......................................... 3,188,898 3,189
--------
TOTAL INVESTMENT COMPANIES ............................ 3,189
--------
AFFILIATED SECURITIES (0.4%)
AmSouth Tax-Exempt Fund ............................... 1,302,229 1,302
--------
TOTAL AFFILIATED SECURITIES ........................... 1,302
--------
TOTAL INVESTMENTS
(Cost $336,384) (a) -- 98.8%......................... 354,323
Other assets in excess of liabilities -- 1.2% ......... 4,452
--------
NET ASSETS -- 100.0% .................................. $358,775
========
- ---------------
(a) Cost for federal income tax purposes is $335,752. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $19,024
Unrealized depreciation ............. (453)
-------
Net unrealized appreciation ......... $18,571
=======
ACA -- Insured by American Capital Access
AMBAC -- Insured by AMBAC Indemnity Corp.
ETM -- Escrowed to Maturity
FGIC -- Insured by Financial Guaranty Insurance Corp.
FSA -- Insured by Financial Security Assurance Inc.
GO -- General Obligation
MBIA -- Insured by Municipal Bond Insurance Assoc.
OID -- Original Issue Discount
PSF-GTD -- Permanent School Fund Guarantee
SCSDE -- South Carolina School District Enhancement
Continued
75
- ---------------------------------------
MUNICIPAL BOND FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
The table below sets forth the diversification of the Municipal Bond Fund
investments by revenue source.
Revenue Source Percent*
- -------------- ---------
Affiliated Securities ................ 0.4%
Development .......................... 2.8%
Education ............................ 32.1%
Environment .......................... 10.2%
Finance, Taxation & Monetary ......... 3.2%
General Obligation ................... 33.4%
Investment Companies ................. 0.9%
Justice and Public Order ............. 2.2%
Medical .............................. 2.8%
Multi-Family Housing ................. 1.9%
Transportation ....................... 2.9%
Utilities ............................ 6.0%
----
Total Investments ............... 98.8%
====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
FLORIDA TAX-EXEMPT FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- -------
MUNICIPAL BONDS (94.7%)
Altamonte Springs, Health Facilities
Authority, Hospital Revenue, ETM,
5.60%, 10/1/10 ............................... $ 545 $ 617
Broward County Gas Tax Revenue,
5.25%, 9/1/09 ................................ 500 550
Broward County, Series B, GO,
5.00%, 1/1/09 ................................ 800 868
Broward County, Series B, GO,
5.00%, 1/1/10 ................................ 1,000 1,089
Clearwater Utility Revenue, ETM,
6.10%, 12/1/07 ............................... 700 782
Dade County Aviation Authority,
Series 1994 B, 6.25%, 10/1/04, AMBAC ......... 1,000 1,008
Dade County School Board, Certificates
of Participation, Series C,
5.25%, 8/1/06, FSA ........................... 750 796
Dade County School District, GO,
5.00%, 2/15/14, Callable 2/15/07 @ 101,
MBIA ......................................... 1,000 1,067
Escambia County Utility Authority, Utility
System Revenue, 5.00%, 1/1/08, FGIC .......... 1,000 1,075
Florida Housing Finance Agency,
Homeowner Mortgages, Series 1995 A-1,
5.65%, 1/1/09, Callable 1/1/06 @ 102 ......... 390 409
Florida State Board of Education, Lottery
Revenue, Series B, 5.25%, 7/1/09,
Callable 7/1/08 @ 101, FGIC .................. 1,000 1,091
Florida State Board of Education, Lottery
Revenue, Series C, 5.00%, 1/1/14,
Callable 1/1/13 @101, MBIA ................... 1,000 1,085
Florida State Board of Education, Series A,
GO, 5.00%, 1/1/15, Callable 1/1/08
@ 101 ........................................ 1,000 1,053
Florida State Board of Education, Series B,
GO, 5.38%, 6/1/08, Callable 6/1/07
@ 101 ........................................ 1,000 1,085
Florida State Department of Environmental
Protection and Preservation, Revenue,
Florida Forever, Series B,
5.00%, 7/1/10, MBIA .......................... 2,000 2,186
Florida State Department of Transportation,
Right of Way, Series B, GO, 5.50%,
7/1/08, Callable 7/1/07 @ 101 ................ 3,310 3,610
Florida State Division of Bond Finance,
Department of General Services Revenues,
Preservation 2000, Series A, 5.70%,
7/1/09, Callable 7/1/05 @ 101, AMBAC ......... 1,000 1,048
Florida State Division of Bond Finance,
Department of General Services Revenues,
Preservation 2000, Series A, 5.00%,
7/1/12, Callable 7/1/07 @ 101, AMBAC ......... 2,000 2,143
Florida State Turnpike Authority, Turnpike
Revenue, Department of Transportation,
Series A, 5.50%, 7/1/11, Callable 7/1/05
@ 101, FGIC .................................. 1,000 1,046
Continued
76
---------------------------------------
FLORIDA TAX-EXEMPT FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- -------
MUNICIPAL BONDS, continued
Florida, continued
Florida State, Senior Lien, Jacksonville
Transportation, GO, 5.25%, 7/1/15,
Callable 7/1/07 @ 101 ............................... $ 1,000 $ 1,070
Florida Water PCR, 5.50%, 1/15/14 ..................... 1,000 1,106
Hillsborough County, Capital Improvement,
County Center Project, Series B, 5.00%,
7/1/13, Callable 7/1/06 @ 102, MBIA ................. 1,000 1,071
Jacksonville Water & Sewer Systems
Revenue, Series B, 5.25%, 10/1/09, FSA .............. 1,000 1,099
Jacksonville, Sales Tax Revenue,
5.00%, 10/1/09, AMBAC ............................... 1,000 1,090
Key West Utilities Board, Electric Revenue,
6.00%, 10/1/13, AMBAC ............................... 1,500 1,754
Lee County Transportation Facilities,
Revenue, Series A, 5.50%, 10/1/11,
AMBAC ............................................... 1,500 1,689
Manatee County School Board, Certificates
of Participation, 5.75%, 7/1/09, Callable
7/1/06 @ 102, MBIA .................................. 500 546
Marco Island Utilities System Revenue,
5.25%, 10/1/14, Callable 10/1/13 @ 100,
MBIA ................................................ 600 661
Miami Beach Water & Sewer Revenue,
5.38%, 9/1/08, Callable 9/1/05 @ 102,
OID, FSA ............................................ 1,000 1,059
Miami-Dade County Educational Facilities
Authority Revenue, Series A, 5.75%,
4/1/13, Callable 4/1/10 @ 101, AMBAC ................ 1,060 1,195
Okeechobee Utility Authority, Utility System
Revenue, 5.25%, 10/1/14, Callable 10/1/09
@ 101, FSA .......................................... 1,675 1,829
Orange County, Sales Tax Revenue, 4.80%,
1/1/17, Callable 1/1/07 @ 101, FGIC ................. 1,000 1,017
Orange County, Tourist Development,
Tax Revenue, 5.00%, 10/1/08, AMBAC .................. 1,500 1,629
Orlando Utilities Commission, Water &
Electric Revenue, Series B, 5.10%,
10/1/11, Callable 10/1/06 @ 100 ..................... 1,500 1,590
Palm Beach County, Criminal Justice
Facilities, 5.38%, 6/1/10, FGIC ..................... 1,000 1,112
Palm Beach County, Criminal Justice
Facilities Revenue, 5.00%, 6/1/12 ................... 1,095 1,198
Palm Beach County, Public Improvement
Revenue, 2.80%, 8/1/11, OID ......................... 1,225 1,151
South Florida, Water Management District,
Special Obligation, Land Acquisition,
5.25%, 10/1/13 ...................................... 1,000 1,113
St. Johns River Management District, Land
Acquisition, 5.10%, 7/1/09, Callable
7/1/05 @ 100, FSA ................................... 1,000 1,031
St. Petersburg Utility Tax Revenue, 5.00%,
6/1/08, AMBAC........................................ 1,145 1,239
Continued
Shares or
Principal
Amount Value
---------- -------
MUNICIPAL BONDS, continued
Florida, continued
Tampa Bay Occupational License Tax,
Series A, 5.38%, 10/1/14, Callable 10/1/12
@ 100, FGIC, 5.38%, 10/1/14 ......................... $ 1,000 $ 1,107
Tampa Bay Water Utility System Revenue,
5.00%, 10/1/11, FGIC ................................ 1,000 1,095
Tampa Bay Water Utility System Revenue,
Series A, 4.40%, 10/1/10, Callable 10/1/08
@ 101, OID .......................................... 550 579
Tampa-Hillsborough County, Expressway,
5.00%, 7/1/10, Callable 7/1/07 @ 101 ................ 1,000 1,071
Volusia County Sales Tax Revenue, 5.00%,
10/1/13, Callable 10/1/08 @ 101, MBIA ............... 1,000 1,076
-------
TOTAL MUNICIPAL BONDS ................................. 52,785
-------
AFFILIATED SECURITIES (2.7%)
AmSouth Tax-Exempt Fund ............................... 1,496,408 1,497
-------
TOTAL AFFILIATED SECURITIES ........................... 1,497
-------
INVESTMENT COMPANIES (1.7%)
Dreyfus Florida Money Market Fund ..................... 973,484 973
-------
TOTAL INVESTMENT COMPANIES ............................ 973
-------
TOTAL INVESTMENTS
(Cost $53,073) (a) -- 99.1%.......................... 55,255
Other assets in excess of liabilities -- 0.9% ......... 516
-------
NET ASSETS -- 100.0% .................................. $55,771
=======
- ---------------
(a) Cost for federal income tax purposes is $53,050. The gross unrealized
appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation ............. $2,383
Unrealized depreciation ............. (178)
------
Net unrealized appreciation ......... $2,205
======
AMBAC -- Insured by AMBAC Indemnity Corp.
ETM -- Escrowed to Maturity
FGIC -- Insured by Financial Guaranty Insurance Corp.
FSA -- Insured by Financial Security Assurance Inc.
GO -- General Obligation
MBIA -- Insured by Municipal Bond Insurance Assoc.
OID -- Original Issue Discount
PCR -- Pollution Control Revenue
Continued
77
- ---------------------------------------
FLORIDA TAX-EXEMPT FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
The table below sets forth the diversification of the Florida Tax-Exempt Fund
investments by revenue source.
Revenue Source Percent*
- -------------- ---------
Affiliated Securities ................. 2.7%
Air, Water & Solid Waste .............. 5.8%
Airports .............................. 1.8%
Colleges & Universities ............... 2.1%
Economic Development .................. 2.0%
Educational Services .................. 12.1%
Finance & Taxation .................... 16.6%
General Obligation .................... 3.5%
Highway & Street Construction ......... 1.9%
Hospitals ............................. 1.1%
Housing ............................... 0.7%
Investment Companies .................. 1.7%
Justice & Public Order ................ 4.1%
Urban & Community Development ......... 5.0%
Transportation ........................ 13.3%
Utilities ............................. 17.7%
Water ................................. 7.0%
----
Total Investments ................ 99.1%
====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
TENNESSEE TAX-EXEMPT FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
-------- -------
MUNICIPAL BONDS (94.6%)
Tennessee (94.6%)
Anderson County, GO, 5.00%, 4/1/09, FSA ........... $ 1,055 $ 1,145
Chattanooga, GO, 5.00%, 9/1/13,
Prerefunded 9/1/06 @101, OID, FGIC .............. 100 107
Chattanooga, Series A, GO, 5.00%, 11/1/06 ......... 1,000 1,063
Clarksville, Water Sewer & Gas Revenue,
5.15%, 2/1/14, FSA .............................. 1,570 1,722
Dickson County, Public Improvements &
Schools, GO, 5.25%, 4/1/16, Callable
4/1/10 @ 100, OID, FSA .......................... 1,000 1,106
Franklin Special School District, GO,
5.00%, 6/1/10 ................................... 1,020 1,110
Germantown, GO, 4.50%, 8/1/05 ..................... 500 515
Hamilton County, GO, 5.00%, 11/1/11,
Callable 11/1/08 @ 101 .......................... 1,000 1,082
Johnson City, GO, 4.70%, 6/1/12, OID,
FGIC ............................................ 1,000 1,071
Knox County Health Educational & Housing
Facility Board, Hospital Facilities
Revenue, Fort Sanders Alliance, 7.25%,
1/1/08, MBIA .................................... 750 856
Knox County, GO, 4.50%, 4/1/08 .................... 1,000 1,061
Knox County, Public Improvements, GO,
5.00%, 5/1/06 ................................... 425 447
Knoxville, Water Revenue, 5.00%, 3/1/13,
Callable 3/1/10 @ 100, MBIA ..................... 1,000 1,074
Marion County, GO, 5.00%, 4/1/11,
AMBAC ........................................... 1,000 1,090
Memphis, GO, 6.00%, 11/1/06 ....................... 1,000 1,085
Metropolitan Government, Nashville &
Davidson County, Electric Revenue,
Series B, 5.50%, 5/15/12 ........................ 1,000 1,124
Metropolitan Government, Nashville &
Davidson County, Electric Revenue,
Series B, 5.50%, 5/15/14 ........................ 1,000 1,127
Metropolitan Government, Nashville &
Davidson County, GO, 5.00%, 12/1/06 ............. 600 639
Metropolitan Government, Nashville &
Davidson County, GO, 6.00%, 12/1/09 ............. 1,500 1,708
Metropolitan Government, Nashville &
Davidson County, Health & Education
Facilities Board Revenue, The Vanderbilt
University, Series A, 6.00%, 7/1/07 ............. 500 550
Metropolitan Nashville Airport Authority,
Airport Revenue Improvement, Series A,
6.63%, 7/1/07, FGIC ............................. 500 557
Oak Ridge, GO, 5.00%, 4/1/13, Callable
4/1/11 @ 100, AMBAC ............................. 1,000 1,074
Putnam County Schools, GO, 5.50%, 4/1/19,
OID, Prerefunded 4/1/10 @ 100, FGIC ............. 1,000 1,119
Rutherford County, Capital Outlay Notes,
Series A, GO, 6.50%, 5/1/06 ..................... 1,050 1,131
Rutherford County, Public Improvements,
GO, 5.40%, 4/1/13, Prerefunded 4/1/06
@ 100, OID ...................................... 1,000 1,058
Continued
78
---------------------------------------
TENNESSEE TAX-EXEMPT FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
--------- -------
MUNICIPAL BONDS, continued
Tennessee, continued
Shelby County Health Educational &
Housing Facility Board, Hospital Revenue,
Methodist Health Systems, Inc., 6.25%,
8/1/07, MBIA ........................................ $ 3,500 $ 3,887
Shelby County Health Educational &
Housing Facility Board, Hospital Revenue,
Methodist Healthcare, 5.50%, 4/1/05,
MBIA ................................................ 165 169
Shelby County Health Educational &
Housing Facility Board, Hospital Revenue,
Methodist Healthcare, 5.50%, 4/1/05,
ETM, MBIA ........................................... 435 447
Shelby County Schools, Series A, GO,
5.88%, 6/1/19, Prerefunded 6/1/06
@ 100 ............................................... 1,000 1,071
Shelby County, Public Improvements,
Series A, GO, 5.88%, 6/1/20, Prerefunded
6/1/06 @ 100, OID ................................... 1,500 1,607
Shelby County, Series A, GO,
6.75%, 4/1/05 ....................................... 1,000 1,035
Shelby County, Series B, GO,
5.25%, 12/1/10, Callable 12/1/06
@ 101, OID .......................................... 1,000 1,076
Tennessee State School Board Authority,
Higher Educational Facilities, Series A,
5.00%, 5/1/11, FSA .................................. 2,000 2,182
Tennessee State, GO, 5.00%, 5/1/09,
Callable 5/1/07 @ 101.5, OID ........................ 500 538
Williamson County, GO,
6.00%, 3/1/08, OID .................................. 500 555
Williamson County, GO, 5.00%, 3/1/11 .................. 1,000 1,093
Wilson County, GO, 4.50%, 4/1/06 ...................... 1,135 1,183
-------
TOTAL MUNICIPAL BONDS ................................. 39,464
-------
INVESTMENT COMPANIES (2.2%)
AIM Tax-Free Money Market Fund ........................ 907,343 907
-------
TOTAL INVESTMENT COMPANIES ............................ 907
-------
AFFILIATED SECURITIES (1.8%)
AmSouth Tax-Exempt Fund ............................... 755,709 756
-------
TOTAL AFFILIATED SECURITIES ........................... 756
-------
TOTAL INVESTMENTS
(Cost $39,670) (a) -- 98.6%.......................... 41,127
Other assets in excess of liabilities -- 1.4% ......... 571
-------
NET ASSETS -- 100.0% .................................. $41,698
=======
Continued
- ---------------
(a) Represents cost for financial reporting purposes, and is the same as cost
for federal income tax purposes, and differs from value by unrealized
appreciation of securities as follows:
Unrealized appreciation ............. $1,506
Unrealized depreciation ............. (49)
------
Net unrealized appreciation ......... $1,457
======
AMBAC -- Insured by AMBAC Indemnity Corp.
ETM -- Escrowed to Maturity
FGIC -- Insured by Financial Guaranty Insurance Corp.
FSA -- Insured by Financial Security Assurance Inc.
GO -- General Obligation
MBIA -- Insured by Municipal Bond Insurance Assoc.
OID -- Original Issue Discount
The table below sets forth the diversification of the Tennessee Tax-Exempt Fund
investments by revenue source.
Revenue Source Percent*
- -------------- ---------
Administration of Public Health ............ 10.8%
Affiliated Securities ...................... 1.8%
Airports ................................... 1.3%
Air, Water, Solid Waste .................... 6.7%
Colleges and Universities .................. 1.3%
Educational Services ....................... 5.2%
Elementary and Secondary Education ......... 5.4%
General Obligation ......................... 56.4%
Health Services ............................ 2.1%
Investment Companies ....................... 2.2%
Utilities .................................. 5.4%
----
Total Investments ..................... 98.6%
====
* Percentages indicated are based on net assets.
See notes to financial statements.
79
- ---------------------------------------
PRIME MONEY MARKET FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
----------- --------
COMMERCIAL PAPER -- DOMESTIC* (56.6%)
3M Co., 1.31%, 8/18/04 ........................ $ 18,000 $ 17,989
Abbey National North America LLC,
1.52%, 9/28/04 .............................. 18,000 17,956
AIG Funding, 1.37%, 9/8/04 .................... 20,000 19,971
Alfa Corp., 1.28%, 8/11/04 .................... 17,000 16,994
Bank of America Corp., 1.37%, 9/8/04 .......... 20,000 19,971
Bear Stearns & Cos., Inc., 1.35%, 8/16/04 ..... 20,000 19,989
Citicorp, 1.30%, 8/4/04 ....................... 8,000 7,999
Citicorp, 1.47%, 9/9/04 ....................... 15,000 14,976
E.I. du Pont de Nemours & Co.,
1.33%, 9/2/04 ............................... 20,000 19,976
General Electric Capital Corp.,
1.44%, 9/20/04 .............................. 22,000 21,956
GlaxoSmithKline Capital PLC,
1.46%, 9/22/04 .............................. 19,000 18,960
Goldman Sachs Group, Inc., 1.10%, 8/19/04 20,000 19,989
Household Finance Corp., 1.40%, 9/7/04 ........ 20,000 19,971
MGIC Investment Corp., 1.34%, 8/20/04 ......... 17,000 16,988
Morgan Stanley Group, Inc., 1.38%,
8/25/04 ..................................... 9,000 8,992
Pfizer, Inc., 1.13%, 8/5/04 ................... 19,000 18,998
UBS Financial Services, Inc., 1.06%,
8/2/04 ...................................... 20,000 20,000
Wal-Mart Stores, Inc., 1.09%, 8/24/04 ......... 20,000 19,986
Wells Fargo & Co., 1.30%, 8/12/04 ............. 20,000 19,992
--------
TOTAL COMMERCIAL PAPER --
DOMESTIC .................................... 341,653
--------
U.S. GOVERNMENT AGENCIES* (24.1%)
Fannie Mae (7.8%)
1.15%, 9/1/04 ................................. 29,000 28,972
1.46%, 10/6/04 ................................ 18,000 17,952
--------
46,924
--------
Federal Home Loan Bank (8.2%)
1.03%, 8/11/04 ................................ 12,000 11,997
1.34%, 8/27/04 ................................ 20,000 19,980
1.56%, 10/27/04 ............................... 18,000 17,932
--------
49,909
--------
Freddie Mac (8.1%)
1.08%, 8/17/04 ................................ 17,000 16,992
1.23%, 8/31/04 ................................ 20,000 19,980
1.22%, 10/7/04 ................................ 12,000 11,973
--------
48,945
--------
TOTAL U.S. GOVERNMENT
AGENCIES .................................... 145,778
--------
U.S. TREASURY NOTES (3.4%)
1.88%, 9/30/04 # .............................. 20,500 20,523
--------
TOTAL U.S. TREASURY NOTES ..................... 20,523
--------
Continued
Shares or
Principal
Amount Value
----------- --------
REPURCHASE AGREEMENTS (16.0%)
Goldman Sachs, 1.36%, 8/2/04, dated
7/30/04, with a maturity value
of $48,359 .................................. $ 48,354 $ 48,354
Wachovia, 1.35%, 8/2/04, dated 7/30/04,
with a maturity value of $48,359 ............ 48,353 48,353
--------
TOTAL REPURCHASE
AGREEMENTS .................................. 96,707
--------
SHORT-TERM SECURITIES HELD AS
COLLATERAL FOR SECURITIES
LENDING (3.4%)
BNY Institutional Cash Reserve Fund ........... 20,627,511 20,628
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING .......................... 20,628
--------
TOTAL INVESTMENTS
(Cost $625,289) (a) -- 103.5% ............... 625,289
Liabilities in excess of other assets --
(3.5%) ...................................... (21,144)
--------
NET ASSETS -- 100.0% .......................... $604,145
========
- ---------------
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
* Rates disclosed represent yield effective at purchase.
# A portion or all or this security is on loan as of July 31, 2004.
BNY -- Bank of New York
LLC -- Limited Liability Company
PLC -- Public Limited Company
The table below sets forth the diversification of the Prime Money Market Fund
investments by industry.
Industry Diversification Percent+
- ------------------------ ---------
Banking ........................ 10.4%
Cash Equivalents ............... 19.4%
Electric ....................... 3.6%
Financial Services ............. 17.8%
Insurance ...................... 8.9%
Manufacturing .................. 3.0%
Materials ...................... 3.3%
Pharmaceuticals ................ 6.3%
Retail ......................... 3.3%
Sovereign ...................... 27.5%
-----
Total Investments ......... 103.5%
=====
+ Percentages indicated are based on net assets.
See notes to financial statements.
80
- ---------------------------------------
TREASURY RESERVE MONEY
MARKET FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Principal
Amount Value
---------- --------
U.S. TREASURY BILLS* (36.6%)
1.05%, 8/5/04 # ................................ $10,500 $ 10,499
1.18%, 8/12/04 - 8/26/04 # ..................... 21,000 20,988
1.19%, 8/19/04 # ............................... 12,000 11,992
1.03%, 9/16/04 # ............................... 5,500 5,493
1.27%, 10/7/04 # ............................... 5,000 4,988
1.32%, 10/14/04 # .............................. 6,000 5,984
1.39%, 11/4/04 # ............................... 6,000 5,978
1.41%, 11/12/04 # .............................. 10,000 9,960
--------
TOTAL U.S. TREASURY BILLS ...................... 75,882
--------
U.S. TREASURY NOTES (7.5%)
2.13%, 8/31/04 # ............................... 6,000 6,006
1.88%, 9/30/04 #+ .............................. 4,500 4,505
5.88%, 11/15/04 # .............................. 5,000 5,066
--------
TOTAL U.S. TREASURY NOTES ...................... 15,577
--------
REPURCHASE AGREEMENTS (56.0%)
Morgan Stanley, 1.31%, 8/2/04, dated
7/30/04, with a maturity value of $57,905..... 57,899 57,899
Wachovia, 1.31%, 8/2/04, dated 7/30/04,
with a maturity value of $57,905.............. 57,899 57,899
--------
TOTAL REPURCHASE AGREEMENTS..................... 115,798
--------
SHORT-TERM SECURITIES HELD AS
COLLATERAL FOR SECURITIES
LENDING (29.6%)
Goldman Sachs Group, Inc. Repurchase
Agreement, 1.36%, 8/2/04, dated 7/30/04,
with a maturity value of $61,380.............. 61,373 61,373
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................... 61,373
--------
TOTAL INVESTMENTS
(Cost $268,630) (a) -- 129.7% ................ 268,630
Liabilities in excess of other assets --
(29.7%) ...................................... (61,519)
--------
NET ASSETS -- 100.0% ........................... $207,111
========
- ---------------
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
* Rates disclosed represent yield effective at purchase.
# A portion or all of this security is on loan as of July 31, 2004.
+ A portion of this security is used as collateral for securities on loan.
The table below sets forth the maturity schedule of the Treasury Reserve Money
Market Fund investments.
Days Percent*
- ---- ---------
1 - 2 .......................... 85.6%
3 - 14 ......................... 9.9%
15 - 29 ........................ 11.1%
30 - 59 ........................ 5.5%
60 - 89 ........................ 7.5%
90 - 179 ....................... 10.1%
-----
Total Investments ......... 129.7%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
TAX-EXEMPT MONEY
MARKET FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
DEMAND NOTES* (86.7%)
Alabama (4.3%)
Alabama Housing Finance Authority,
Multi-Family Housing Revenue, Rime
Village Huntsville Project, Series B,
1.08%, 6/15/26, FNMA ............................ $ 1,500 $ 1,500
Mobile Industrial Development Board, PCR,
Alabama Power Co. Project, Series B,
1.08%, 8/1/17 ................................... 2,000 2,000
Port City Medical Clinic Board Mobile,
Revenue, Infirmary Health, 1.10%, 2/1/25,
SPA: The Bank of Nova Scotia and KBC
Bank N.V. ....................................... 2,000 2,000
Special Care Facilities Financing Authority,
Montgomery Hospital Revenue, 1.01%,
4/1/15, FGIC, SPA: SPI .......................... 1,400 1,400
--------
6,900
--------
Alaska (0.8%)
Valdez, Marine Term Revenue, Exxon Mobil
Corp., Pipeline Project, 1.04%, 10/1/25 ......... 1,335 1,335
--------
Arizona (2.2%)
Phoenix Industrial Development Authority,
Multi-Family Housing Revenue, Del Mar
Terrace, Series A, 1.09%, 10/1/29 ............... 3,450 3,450
--------
California (3.2%)
Irvine Ranch Water District, Construction
Improvement Districts, 1.04%, 6/1/15 ............ 3,100 3,100
State Economic Recovery, Revenue,
Series C-5, 1.08%, 7/1/23, SPA: Bank of
America NA ...................................... 2,000 2,000
--------
5,100
--------
Colorado (1.7%)
Colorado Health Facilities Authority,
Revenue, North Colorado Medical Center,
1.04%, 5/15/20, MBIA ............................ 2,700 2,700
--------
Connecticut (3.8%)
Connecticut State Health & Educational
Facilities Authority, Revenue, Yale
University Series V-1, 1.10%, 7/1/36 ............ 1,000 1,000
Connecticut State Health & Educational
Facilities Authority, Revenue, Yale
University, Series T-1, 1.05%, 7/1/29 ........... 5,000 5,000
--------
6,000
--------
District of Columbia (1.1%)
District of Columbia Institute for
International Economics, Revenue,
1.08%, 6/1/25, LOC: SunTrust Bank ............... 1,800 1,800
--------
Florida (9.2%)
Broward County Educational Facilities
Authority, Nova Southeastern University,
Revenue, 1.13%, 4/1/24, LOC: Bank of
America NA ...................................... 3,200 3,200
Continued
81
- ---------------------------------------
TAX-EXEMPT MONEY
MARKET FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
DEMAND NOTES*, continued
Florida, continued
Higher Educational Facilities Financing
Authority, Revenue, St. Thomas
University Project, 1.13%, 1/1/19,
LOC: SunTrust Bank ........................ $ 1,600 $ 1,600
Hillsborough County Industrial
Development Authority, Goodwill
Industries, Suncoast Project, 1.08%,
11/1/21, LOC: SunTrust Bank ............... 3,100 3,100
Orange County Housing Finance Authority,
Multi-Family Housing, Revenue, Post
Lake Apartments Project, 1.08%, 6/1/25,
FNMA ...................................... 1,915 1,915
Pinellas County Health Facilities, Bayfront
Projects, Revenue, 1.13%, 7/1/34, LOC:
SunTrust Bank ............................. 2,000 2,000
Sarasota County Public Hospital Board,
Revenue, Sarasota Memorial Hospital,
Series A, 1.15%, 7/1/37, AMBAC ............ 2,925 2,925
--------
14,740
--------
Georgia (12.4%)
Appling County, Development Authority,
PCR, Georgia Power Co., 1.13%, 9/1/29 ..... 1,900 1,900
Burke County Development Authority,
PCR, Oglethorpe Power Corp., Series A,
1.13%, 1/1/20, AMBAC, SPA: Morgan
Guaranty Trust ............................ 1,400 1,400
Burke County Development Authority, PCR,
Oglethorpe Power Corporation Project,
Series C, 1.13%, 1/1/18, MBIA, SPA:
JP Morgan Chase Bank ...................... 4,500 4,500
Cobb County Housing Authority, Multi-
Family Housing Revenue, Post Mill
Project, 1.08%, 6/1/25, FNMA .............. 1,000 1,000
Fulton County Development Authority,
Revenue, Lovett School Project, 1.08%,
7/1/26, LOC: SunTrust Bank ................ 2,200 2,200
Macon-Bibb County Georgia Hospital
Authority, Revenue Anticipation
Certificates, 1.13%, 5/1/30, LOC:
SunTrust Bank ............................. 2,800 2,800
Monroe County Development Authority,
PCR, Oglethorpe Power Corp., Series B,
1.13%, 1/1/20, AMBAC, SPA: Morgan
Guaranty Trust ............................ 1,000 1,000
Municipal Electric Authority, Revenue,
Project One, Sub Series D, 1.02%,
1/1/20, MBIA .............................. 5,000 5,000
--------
19,800
--------
Idaho (0.6%)
Health Facilities Authority, St. Lukes
Medical Center, Revenue, 1.12%, 7/1/30,
FSA, SPA: Harris Trust & Savings Bank ..... 1,000 1,000
--------
Continued
Shares or
Principal
Amount Value
---------- --------
DEMAND NOTES*, continued
Illinois (4.6%)
Elmhurst, Revenue, Joint Common
Accredation, 1.09%, 7/1/18, LOC: Dexia
Credit Local de France .................... $ 4,230 $ 4,230
Illinois Developmental Finance Authority,
Revenue, Provena Health Series C, 1.05%,
5/1/28, MBIA, SPA: Bank One NA ............ 3,100 3,100
--------
7,330
--------
Indiana (2.8%)
Health Facilities Financing Authority,
Hospital Revenue, Clarian Health
Obligation, Series B, 1.12%, 3/1/30, SPA:
Chase Manhattan Bank ...................... 4,400 4,400
--------
Kansas (2.2%)
State Department of Transportation, Series
B-1, Highway Revenue, 1.08%, 9/1/20 ....... 3,575 3,575
--------
Louisiana (1.6%)
State Offshore Term Authority, Revenue,
Deepwater Port, Loop LLC Project, Series
A, 1.13%, 9/1/14, LOC: SunTrust Bank ...... 2,600 2,600
--------
Michigan (1.4%)
Huron County Economic Development,
Huron Memorial Hospital Project,
Corporate Limited Obligation Revenue,
1.08%, 10/1/28, LOC: Fifth Third Bank ..... 2,185 2,185
--------
Missouri (2.3%)
State Health & Educational Facilities
Authority, Dialysis Clinic, Inc. Project,
Revenue, 1.08%, 11/1/20, LOC: SunTrust
Bank ...................................... 3,700 3,700
--------
Nevada (2.5%)
Clark County Airport, Revenue, Series B-2,
1.05%, 7/1/29, LOC: Bayerische
Hypo-Und Vereinsbank ...................... 3,000 3,000
Reno Hospital, Revenue, St. Mary's Regional
Medical Center, Series B, 1.12%, 5/15/23,
MBIA, SPA: Wachovia Bank NA ............... 1,050 1,050
--------
4,050
--------
New Jersey (1.8%)
New Jersey State Educational Facilities
Authority, Revenue, Princeton University,
Series B, 1.10%, 7/1/21 ................... 2,900 2,900
--------
New York (6.6%)
New York, Series F-3, GO, 1.08%, 2/15/13,
LOC: Morgan Guaranty Trust ................ 5,000 5,000
New York, Sub Series A-7, GO, 1.04%,
11/1/24, AMBAC, SPA: Bank of
Nova Scotia ............................... 1,400 1,400
New York, Sub Series B-2, GO, 1.08%,
8/15/20, LOC: Morgan Guaranty Trust ....... 2,160 2,160
New York, Sub Series E2, GO, 1.08%,
8/1/20 .................................... 2,000 2,000
--------
10,560
--------
Continued
82
---------------------------------------
TAX-EXEMPT MONEY
MARKET FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
DEMAND NOTES*, continued
North Carolina (2.0%)
University of North Carolina Hospital at
Chapel Hill, Hospital Revenue, Series A,
1.08%, 2/15/31, SPA: Landesbank
Hessen-Thueringen ............................... $ 3,200 $ 3,200
--------
Pennsylvania (2.0%)
Lehigh County General Purpose Authority,
Revenue, Lehigh Valley Health Network,
Series B, 1.08%, 7/1/29, MBIA, SPA:
First Union National Bank ....................... 1,790 1,790
Lehigh County General Purpose Authority,
Revenue, Lehigh Valley Hospital, Series
A, 1.08%, 7/1/28, AMBAC, SPA: Chase
Manhattan Bank .................................. 1,400 1,400
--------
3,190
--------
Tennessee (10.5%)
Blount County Health Educational &
Housing Facilities Board, Revenue,
Presbyterian Homes Tennessee Project,
1.08%, 1/1/19, LOC: SunTrust Bank ............... 1,200 1,200
Chattanooga Health Educational & Housing
Facilty Board, Baylor School Project,
Revenue, 1.08%, 1/1/23, LOC: SunTrust
Bank ............................................ 2,500 2,500
Clarksville Public Building Authority,
Revenue, 1.08%, 7/1/16, LOC: SunTrust
Bank ............................................ 2,700 2,700
Dickson County Tennessee Industrial
Development Board, Revenue,
Renaissance Learning Center, 1.08%,
11/1/12, LOC: SunTrust Bank ..................... 1,600 1,600
Metropolitan Government, Nashville &
Davidson County, Industrial Development
Board, Revenue, Country Music Hall of
Fame, 1.09%, 6/1/22, LOC: Bank of
America NA ...................................... 2,760 2,760
Sevier County Tennessee Public Building
Authority, Local Government Series
III-A-1, Revenue, 1.10%, 6/1/07,
AMBAC, SPA: Landesbank Hessen-
Thueringen ...................................... 2,050 2,050
Sumner County, School Capital Outlay
Notes, 1.08%, 6/1/05, LOC: SunTrust
Bank ............................................ 4,000 4,000
--------
16,810
--------
Virginia (2.3%)
Loudoun County Industrial Development
Authority, Revenue, Howard Hughes
Medical, Series C, 1.12%, 2/15/38 ............... 1,500 1,500
Roanoke Industrial Development Authority,
Revenue, Carilion Health System, Series
E, 1.13%, 7/1/27, LOC: SunTrust Bank ............ 2,200 2,200
--------
3,700
--------
Continued
Shares or
Principal
Amount Value
---------- --------
DEMAND NOTES*, continued
Washington (2.8%)
Washington State, Series VR 96B, GO,
1.00%, 6/1/20, SPA: Landesbank
Hessen-Thueringen ............................... $ 4,400 $ 4,400
--------
Wyoming (2.0%)
Lincoln County PCR, Exxon Mobil Corp.
Project, Series C, 1.04%, 11/1/14 ............... 2,000 2,000
Lincoln County PCR, Exxon Mobil Corp.
Project, Series A, 1.04%, 11/1/14 ............... 1,200 1,200
--------
3,200
--------
TOTAL DEMAND NOTES ................................ 138,625
--------
MUNICIPAL BONDS (9.3%)
Colorado (1.7%)
Arapahoe County School District Number
005, Cherry Creek, 1.50%, 12/15/04 .............. 2,705 2,709
--------
Florida (1.8%)
Broward County, Certificates of
Participation, 2.00%, 6/1/05, MBIA .............. 2,880 2,892
--------
Georgia (0.8%)
Ware County, Sales Tax Revenue, 1.50%,
10/1/04, XLCA ................................... 1,235 1,236
--------
Massachusetts (2.7%)
Ashburnham & Westminister Regional
School District, Bond Anticipation Notes,
GO, 1.75%, 1/28/05 .............................. 2,500 2,506
Salem, Bond Anticipation Notes, GO, 1.50%,
1/13/05 ......................................... 2,000 2,004
--------
4,510
--------
Tennessee (0.7%)
Memphis, GO, Series 92, 6.00%, 9/1/04 ............. 1,060 1,064
--------
Vermont (1.0%)
Vermont State, GO, Series A, 1.10%, 2/1/05......... 1,535 1,535
--------
Wisconsin (0.6%)
Madison, GO, Promissory Notes, Series A,
2.00%, 9/1/04 ................................... 1,000 1,001
--------
TOTAL MUNICIPAL BONDS ............................. 14,947
--------
INVESTMENT COMPANIES (3.9%)
AIM Tax-Free Money Market Fund .................... 70,509 71
Goldman Sachs Tax-Free Money Market
Fund ............................................ 6,176,477 6,176
--------
TOTAL INVESTMENT COMPANIES ........................ 6,247
--------
TOTAL INVESTMENTS
(Cost $159,819) (a) -- 99.9%..................... 159,819
Other assets in excess of liabilities -- 0.1% ..... 103
--------
NET ASSETS -- 100.0% .............................. $159,922
========
Continued
83
- ---------------------------------------
TAX-EXEMPT MONEY
MARKET FUND
Schedule of Portfolio Investments
- ---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
- ---------------
(a) Cost for federal income tax and financial reporting purposes is the same.
* Variable rate security. Rate presented represents rate in effect at July 31,
2004. Put and demand features exist allowing the fund to require the
repurchase of the instrument within variable time periods including daily,
weekly, monthly, and semiannually.
AMBAC -- Insured by AMBAC Indemnity Corp.
FGIC -- Insured by Financial Guaranty Insurance Corp.
FNMA -- Insured by Federal National Mortgage Assoc.
FSA -- Insured by Financial Security Assurance, Inc.
GO -- General Obligation
LLC -- Limited Liability Company
LOC -- Letter of Credit
MBIA -- Insured by Municipal Bond Insurance Assoc.
NA -- National Association
PCR -- Pollution Control Revenue
SPA -- Standby Purchase Agreement
SPI -- Securities Purchase, Inc.
XLCA -- Insured by XL Capital Assurance
The table below sets forth the diversification of the Tax-Exempt Money Market
Fund investments by revenue source.
Revenue Source Percent*
- -------------- ---------
Air, Water, & Solid Waste ..................... 3.7%
Airports ...................................... 1.9%
Colleges and Universities ..................... 6.4%
Educational Services .......................... 4.9%
Educational -- Elementary & Secondary ......... 3.3%
Environment ................................... 4.7%
Facilities Support Services ................... 3.0%
Finance & Taxation ............................ 4.7%
General Economy ............................... 2.5%
General Obligation ............................ 15.4%
Health Services ............................... 22.9%
Industrial Revenue ............................ 4.1%
Investment Companies .......................... 3.9%
Housing ....................................... 8.8%
Travel ........................................ 3.9%
Utilities ..................................... 3.1%
Urban Development ............................. 2.7%
----
Total investments ........................ 99.9%
====
* Percentages indicated are based on net assets.
See notes to financial statements.
---------------------------------------
INSTITUTIONAL PRIME OBLIGATIONS
MONEY MARKET FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
----------- --------
COMMERCIAL PAPER -- DOMESTIC* (47.7%)
AIG Funding, Inc., 1.36%, 9/7/04 ................ $ 12,000 $ 11,984
Alfa Corp., 1.30%, 8/9/04 ....................... 10,000 9,997
Bank of America Corp., 1.37%, 9/8/04 ............ 10,000 9,986
Bear Stearns Cos., Inc., 1.35%, 8/16/04 ......... 12,000 11,993
Citicorp, 1.30%, 8/4/04 ......................... 7,000 6,999
Citicorp, 1.47%, 9/9/04 ......................... 5,000 4,992
E.I. du Pont de Nemours & Co.,
1.33%, 9/2/04 ................................. 10,000 9,988
General Electric Capital Corp.,
1.44%, 9/20/04 ................................ 12,000 11,976
GlaxoSmithKline Capital PLC,
1.46%, 9/22/04 ................................ 10,000 9,979
Household Finance Corp., 1.40%, 9/7/04 .......... 11,000 10,984
MGIC Investment Corp., 1.34%, 8/20/04 ........... 8,000 7,994
Morgan Stanley Group, Inc.,
1.33%, 8/16/04 ................................ 10,000 9,994
Morgan Stanley Group, Inc.,
1.38%, 8/25/04 ................................ 7,000 6,994
UBS Financial Services, Inc.,
1.06%, 8/2/04 ................................. 10,000 10,000
Wal-Mart Stores, Inc., 1.09%, 8/24/04 ........... 8,000 7,994
Wells Fargo & Co., 1.30%, 8/12/04 ............... 10,000 9,996
--------
TOTAL COMMERCIAL PAPER --
DOMESTIC ...................................... 151,850
--------
U.S. GOVERNMENT AGENCIES* (28.2%)
Fannie Mae (9.7%)
1.15%, 9/1/04 ................................... 21,000 20,980
1.46%, 10/6/04 .................................. 10,000 9,973
--------
30,953
--------
Federal Home Loan Bank (9.4%)
1.32%, 8/27/04 .................................. 10,000 9,990
1.20%, 9/10/04 .................................. 11,000 10,986
1.56%, 10/27/04 ................................. 9,000 8,966
--------
29,942
--------
Freddie Mac (9.1%)
1.08%, 8/17/04 .................................. 7,000 6,997
1.23%, 8/31/04 .................................. 11,000 10,989
1.22%, 10/7/04 .................................. 11,000 10,975
--------
28,961
--------
TOTAL U.S. GOVERNMENT
AGENCIES ...................................... 89,856
--------
U.S. TREASURY NOTES (4.6%)
1.88%, 9/30/04 #+ ............................... 14,500 14,516
--------
TOTAL U.S. TREASURY NOTES ....................... 14,516
--------
Continued
84
---------------------------------------
INSTITUTIONAL PRIME OBLIGATIONS
MONEY MARKET FUND
Schedule of Portfolio Investments
---------------------------------------
July 31, 2004
(amounts in thousands, except shares)
Shares or
Principal
Amount Value
---------- --------
REPURCHASE AGREEMENTS
(19.6%)
Goldman Sachs, 1.36%, 8/2/04, dated
7/30/04, with a maturity value of
$31,208.................................... $ 31,204 $ 31,204
Wachovia, 1.35%, 8/2/04, dated 7/30/04,
with a maturity value of $31,208........... 31,204 31,204
--------
TOTAL REPURCHASE
AGREEMENTS ................................ 62,408
--------
SHORT-TERM SECURITIES HELD AS
COLLATERAL FOR SECURITIES
LENDING (4.3%)
BNY Institutional Cash Reserve Fund ......... 13,615,998 13,616
--------
TOTAL SHORT-TERM SECURITIES
HELD AS COLLATERAL FOR
SECURITIES LENDING ........................ 13,616
--------
TOTAL INVESTMENTS
(Cost $332,246) (a) -- 104.4% ............. 332,246
Liabilities in excess of other assets --
(4.4%) .................................... (13,910)
--------
NET ASSETS -- 100.0% ........................ $318,336
========
Continued
- ---------------
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
* Rates disclosed represent yield effective at purchase.
# A portion or all of this security is on loan as of July, 2004.
+ A portion of this security is used as collateral for securities on loan.
BNY -- Bank of New York
PLC -- Public Limited Company
The table below sets forth the diversification of the Institutional Prime
Obligations Money Market Fund investments by industry.
Industry Diversification Percent*
- ------------------------ ---------
Banking ........................ 10.0%
Cash Equivalents ............... 23.9%
Electric ....................... 3.8%
Financial Services ............. 15.8%
Insurance ...................... 9.4%
Materials ...................... 3.1%
Pharmaceuticals ................ 3.1%
Retail ......................... 2.5%
Sovereign ...................... 32.8%
-----
Total Investments ......... 104.4%
=====
* Percentages indicated are based on net assets.
See notes to financial statements.
85
- ---------------------------------------------------
AMSOUTH FUNDS July 31, 2004
Statements of Assets and Liabilities
(amounts in thousands, except per share amounts)
- ---------------------------------------------------
Select
Value Equity
Fund Fund
------------- --------------
Assets:
Investments:
Investments, at cost* ........................................................ $ 391,717 $ 112,704
Net unrealized appreciation/(depreciation) ................................... 118,090 8,341
----------- ----------
Investments, at value ........................................................ 509,807 121,045
Foreign currency, at value** .................................................. -- --
Cash .......................................................................... -- --
Collateral for securities loaned .............................................. 56,798 --
Interest and dividends receivable ............................................. 1,231 53
Receivable from capital shares issued ......................................... 7 132
Receivable from investments sold .............................................. 2,869 --
Receivable from foreign tax withholding reclaims .............................. -- --
Receivable from affiliates for investment losses .............................. 406 --
Prepaid expenses and other assets ............................................. 11 5
----------- ----------
Total Assets ................................................................. 571,129 121,235
Liabilities:
Payable to custodian .......................................................... -- --
Payable for investments purchased ............................................. -- 1,192
Payable for securities loaned ................................................. 56,798 --
Payable for capital shares redeemed ........................................... 139 9
Payable for margin variations on futures ...................................... -- --
Accrued expenses and other payables:
Investment advisory fees ..................................................... 111 26
Administration fees .......................................................... 14 2
Shareholder servicing and distribution fees .................................. 82 23
Custodian fees ............................................................... 4 1
Other ........................................................................ 92 14
----------- ----------
Total Liabilities ............................................................ 57,240 1,267
----------- ----------
Net Assets .................................................................... $ 513,889 $ 119,968
=========== ==========
Composition of Net Assets:
Capital ....................................................................... $ 508,712 $ 111,508
Accumulated net investment income/(loss) ...................................... 310 --
Accumulated net realized gains/(losses) from investments, foreign currency,
futures, and option transactions ............................................. (113,223) 119
Unrealized appreciation/(depreciation) from investments, futures, and
translation of assets and liabilities denominated in foreign currencies ...... 118,090 8,341
----------- ----------
Net Assets .................................................................... $ 513,889 $ 119,968
=========== ==========
Class A Shares:
Net Assets ................................................................... $ 121,862 $ 15,730
Shares Outstanding ........................................................... 8,199 1,179
Net Asset Value and Redemption Price per share ............................... $ 14.86 $ 13.34
=========== ==========
Maximum Sales Load ........................................................... 5.50% 5.50%
=========== ==========
Maximum Offering Price per share (Net Assets Value/(100% -- maximum
sales charge)) .............................................................. $ 15.72 $ 14.12
=========== ==========
Class B Shares:
Net Assets ................................................................... $ 28,634 $ 13,476
Shares Outstanding ........................................................... 1,966 1,039
Net Asset Value and Offering Price per share*** .............................. $ 14.56 $ 12.97
=========== ==========
Class I Shares:
Net Assets ................................................................... $ 363,393 $ 90,762
Shares Outstanding ........................................................... 24,493 6,773
Net Asset Value, Offering Price, and Redemption Price per share .............. $ 14.84 $ 13.40
=========== ==========
Enhanced Large
Market Cap
Fund Fund
----------------- --------------
Assets:
Investments:
Investments, at cost* ........................................................ $167,000 $ 278,868
Net unrealized appreciation/(depreciation) ................................... 11,461 93,629
-------- ----------
Investments, at value ........................................................ 178,461 372,497
Foreign currency, at value** .................................................. -- --
Cash .......................................................................... 128**** --
Collateral for securities loaned .............................................. 2,323 56,027
Interest and dividends receivable ............................................. 237 233
Receivable from capital shares issued ......................................... 7 111
Receivable from investments sold .............................................. -- --
Receivable from foreign tax withholding reclaims .............................. -- --
Receivable from affiliates for investment losses .............................. -- --
Prepaid expenses and other assets ............................................. 23 19
-------- ----------
Total Assets ................................................................. 181,179 428,887
Liabilities:
Payable to custodian .......................................................... -- --
Payable for investments purchased ............................................. -- --
Payable for securities loaned ................................................. 2,323 56,027
Payable for capital shares redeemed ........................................... 122 93
Payable for margin variations on futures ...................................... -- --
Accrued expenses and other payables:
Investment advisory fees ..................................................... 22 76
Administration fees .......................................................... 4 8
Shareholder servicing and distribution fees .................................. 27 64
Custodian fees ............................................................... 2 3
Other ........................................................................ 27 59
-------- ----------
Total Liabilities ............................................................ 2,527 56,330
-------- ----------
Net Assets .................................................................... $178,652 $ 372,557
======== ==========
Composition of Net Assets:
Capital ....................................................................... $167,208 $ 269,506
Accumulated net investment income/(loss) ...................................... 47 --
Accumulated net realized gains/(losses) from investments, foreign currency,
futures, and option transactions ............................................. (1) 9,422
Unrealized appreciation/(depreciation) from investments, futures, and
translation of assets and liabilities denominated in foreign currencies ...... 11,398 93,629
-------- ----------
Net Assets .................................................................... $178,652 $ 372,557
======== ==========
Class A Shares:
Net Assets ................................................................... $ 24,665 $ 99,518
Shares Outstanding ........................................................... 2,235 5,701
Net Asset Value and Redemption Price per share ............................... $ 11.04 $ 17.46
======== ==========
Maximum Sales Load ........................................................... 5.50% 5.50%
======== ==========
Maximum Offering Price per share (Net Assets Value/(100% -- maximum
sales charge)) .............................................................. $ 11.68 $ 18.48
======== ==========
Class B Shares:
Net Assets ................................................................... $ 10,839 $ 24,733
Shares Outstanding ........................................................... 1,003 1,488
Net Asset Value and Offering Price per share*** .............................. $ 10.80 $ 16.62
======== ==========
Class I Shares:
Net Assets ................................................................... $143,148 $ 248,306
Shares Outstanding ........................................................... 12,952 14,157
Net Asset Value, Offering Price, and Redemption Price per share .............. $ 11.05 $ 17.54
======== ==========
* Represents investments in affiliates for the Strategic Portfolios.
** Cost of foreign currency for the International Equity Fund is $964.
*** Redemption Price per share varies by length of time shares are held.
**** Deposits for financial futures.
See notes to financial statements.
86
---------------------------------------------------
July 31, 2004 AMSOUTH FUNDS
Statements of Assets and Liabilities
(amounts in thousands, except per share amounts)
---------------------------------------------------
Strategic
Strategic Strategic Portfolios:
Portfolios: Strategic Portfolios: Moderate
Capital Small Aggressive Portfolios: Growth & Growth &
Growth Mid Cap Cap International Balanced Growth Growth Income Income
Fund Fund Fund Equity Fund Fund Portfolio Portfolio Portfolio Portfolio
- ------------- ----------------- ------------ --------------- ------------ ------------- ------------- ------------- ------------
$ 239,638 $161,795 $ 199,802 $ 299,527 $ 143,130 $ 39,873 $ 47,445 $ 97,835 $ 44,063
22,076 10,703 20,085 86,203 29,485 5,182 3,223 6,585 1,521
---------- --------- --------- --------- --------- -------- -------- --------- --------
261,714 172,498 219,887 385,730 172,615 45,055 50,668 104,420 45,584
-- -- -- 950 -- -- -- -- --
-- 84**** -- 1,659 -- -- -- -- --
39,848 7,716 15,494 4,817 30,991 -- -- -- --
149 114 8 395 1,132 -- -- 1 --
2 10 7 15 5 214 134 49 11
-- -- 1,807 -- 700 -- -- -- --
-- -- -- 204 -- -- -- -- --
-- -- -- -- -- -- -- -- --
13 25 5 7 7 9 7 -- --
---------- --------- --------- --------- --------- -------- -------- --------- --------
301,726 180,447 237,208 393,777 205,450 45,278 50,809 104,470 45,595
-- -- -- -- 105 -- -- -- --
-- 310 1,472 -- -- -- -- -- --
39,848 7,716 15,494 4,817 30,991 -- -- -- --
62 54 42 42 34 3 30 -- 7
-- 1 -- -- -- -- -- -- --
57 28 65 85 38 1 1 3 1
5 3 4 8 4 1 1 3 1
32 22 22 37 45 11 17 20 11
2 1 2 27 1 -- -- 1 --
48 26 34 42 28 8 8 20 10
---------- --------- --------- --------- --------- -------- -------- --------- --------
40,054 8,161 17,135 5,058 31,246 24 57 47 30
---------- --------- --------- --------- --------- -------- -------- --------- --------
$ 261,672 $172,286 $ 220,073 $ 388,719 $ 174,204 $ 45,254 $ 50,752 $ 104,423 $ 45,565
========== ========= ========= ========= ========= ======== ======== ========= ========
$ 354,360 $178,668 $ 252,423 $ 330,635 $ 146,922 $ 49,125 $ 52,176 $ 108,178 $ 45,669
-- 1 -- 3,099 (49) -- 53 144 79
(114,764) (17,069) (52,435) (31,203) (2,154) (9,053) (4,700) (10,484) (1,704)
22,076 10,686 20,085 86,188 29,485 5,182 3,223 6,585 1,521
---------- --------- --------- --------- --------- -------- -------- --------- --------
$ 261,672 $172,286 $ 220,073 $ 388,719 $ 174,204 $ 45,254 $ 50,752 $ 104,423 $ 45,565
========== ========= ========= ========= ========= ======== ======== ========= ========
$ 26,181 $ 15,681 $ 7,940 $ 15,782 $ 90,369 $ 18,440 $ 23,117 $ 43,856 $ 16,640
2,824 1,279 975 1,378 7,466 2,132 2,576 4,625 1,754
$ 9.27 $ 12.26 $ 8.14 $ 11.45 $ 12.10 $ 8.65 $ 8.98 $ 9.48 $ 9.49
========== ========= ========= ========= ========= ======== ======== ========= ========
5.50% 5.50% 5.50% 5.50% 5.50% 5.50% 5.50% 5.50% 5.50%
========== ========= ========= ========= ========= ======== ======== ========= ========
$ 9.81 $ 12.97 $ 8.61 $ 12.12 $ 12.80 $ 9.15 $ 9.50 $ 10.03 $ 10.04
========== ========= ========= ========= ========= ======== ======== ========= ========
$ 7,818 $ 7,376 $ 2,575 $ 2,147 $ 24,755 $ 10,062 $ 17,334 $ 13,141 $ 10,280
901 626 332 192 2,052 1,209 1,951 1,389 1,089
$ 8.67 $ 11.78 $ 7.75 $ 11.19 $ 12.07 $ 8.32 $ 8.88 $ 9.46 $ 9.44
========== ========= ========= ========= ========= ======== ======== ========= ========
$ 227,673 $149,229 $ 209,558 $ 370,790 $ 59,080 $ 16,752 $ 10,301 $ 47,426 $ 18,645
24,533 12,131 25,387 32,231 4,880 1,937 1,143 4,983 1,959
$ 9.28 $ 12.30 $ 8.25 $ 11.50 $ 12.11 $ 8.65 $ 9.01 $ 9.52 $ 9.52
========== ========= ========= ========= ========= ======== ======== ========= ========
See notes to financial statements.
87
- ---------------------------------------------------
AMSOUTH FUNDS July 31, 2004
Statements of Assets and Liabilities
(amounts in thousands, except per share amounts)
- ---------------------------------------------------
Limited
Government Term Municipal
Income Bond Bond Bond
Fund Fund Fund Fund
------------ ------------ ------------ --------------
Assets:
Investments:
Investments, at cost .................................................... $ 241,907 $ 254,836 $ 593,824 $ 336,384
Net unrealized appreciation ............................................. 5,805 1,194 21,182 17,939
Repurchase agreements, at cost .......................................... -- -- -- --
--------- --------- --------- ----------
Investments, at value ................................................... 247,712 256,030 615,006 354,323
Cash ..................................................................... -- -- -- --
Collateral for securities loaned ......................................... 55,527 75,885 186,807 --
Interest and dividends receivable ........................................ 2,241 2,722 8,785 4,582
Receivable from capital shares issued .................................... -- 21 12 --
Receivable from investments sold ......................................... -- -- -- --
Prepaid expenses and other assets ........................................ 17 5 8 3
--------- --------- --------- ----------
Total Assets ............................................................ 305,497 334,663 810,618 358,908
Liabilities:
Dividends payable ........................................................ -- -- -- --
Payable to custodian ..................................................... -- -- -- 1
Payable for investments purchased ........................................ 6,591 -- -- --
Payable for securities loaned ............................................ 55,527 75,885 186,807 --
Payable for capital shares redeemed ...................................... 4 100 6 3
Accrued expenses and other payables:
Investment advisory fees ................................................ 33 35 85 39
Administration fees ..................................................... 5 5 13 7
Shareholder servicing and distribution fees ............................. 29 41 64 36
Custodian fees .......................................................... 2 2 5 3
Other ................................................................... 33 32 98 44
--------- --------- --------- ----------
Total Liabilities ....................................................... 62,224 76,100 187,078 133
--------- --------- --------- ----------
Net Assets ............................................................... $ 243,273 $ 258,563 $ 623,540 $ 358,775
========= ========= ========= ==========
Composition of Net Assets:
Capital .................................................................. $ 237,874 $ 259,895 $ 602,799 $ 338,955
Accumulated net investment income (loss) ................................. (211) (644) (1,200) 977
Accumulated net realized gains/(losses) from investment transactions ..... (195) (1,882) 759 904
Unrealized appreciation from investments ................................. 5,805 1,194 21,182 17,939
--------- --------- --------- ----------
Net Assets ............................................................... $ 243,273 $ 258,563 $ 623,540 $ 358,775
========= ========= ========= ==========
Class A Shares (a):
Net Assets .............................................................. $ 16,943 $ 28,945 $ 43,044 $ 16,038
Shares Outstanding ...................................................... 1,719 2,767 3,886 1,563
Net Asset Value and Redemption Price per share .......................... $ 9.86 $ 10.46 $ 11.08 $ 10.26
========= ========= ========= ==========
Maximum Sales Load ...................................................... 4.00% 4.00% 4.00% 4.00%
========= ========= ========= ==========
Maximum Offering Price per share (Net Assets Value/(100% -- maximum
sales charge)) ......................................................... $ 10.27 $ 10.90 $ 11.54 $ 10.69
========= ========= ========= ==========
Class B Shares (b):
Net Assets .............................................................. $ 7,558 $ 19,641 $ 7,356 $ 4,157
Shares Outstanding ...................................................... 767 1,880 666 406
Net Asset Value and Offering Price per share* ........................... $ 9.85 $ 10.45 $ 11.05 $ 10.24
========= ========= ========= ==========
Class I Shares (c):
Net Assets .............................................................. $ 218,772 $ 209,977 $ 573,140 $ 338,580
Shares Outstanding ...................................................... 22,193 20,062 51,737 32,976
Net Asset Value, Offering Price, and Redemption Price per share ......... $ 9.86 $ 10.47 $ 11.08 $ 10.27
========= ========= ========= ==========
* Redemption price per share varies by length of time shares are held.
(a) Represents Class 2 Shares for the Institutional Prime Obligations Money
Market Fund.
(b) Represents Class 3 Shares for the Institutional Prime Obligations Money
Market Fund.
(c) Represents Class 1 Shares for the Institutional Prime Obligations Money
Market Fund.
See notes to financial statements.
88
---------------------------------------------------
July 31, 2004 AMSOUTH FUNDS
Statements of Assets and Liabilities
(amounts in thousands, except per share amounts)
---------------------------------------------------
Institutional
Treasury Prime
Prime Reserve Tax-Exempt Obligations
Florida Tennessee Money Money Money Money
Tax-Exempt Tax-Exempt Market Market Market Market
Fund Fund Fund Fund Fund Fund
- -------------- ------------ --------------- --------------- ---------------- --------------
$ 53,073 $ 39,670 $ 507,954 $ 91,459 $ 159,819 $ 256,222
2,182 1,457 -- -- -- --
-- -- 96,707 115,798 -- 62,408
---------- --------- --------- ---------- --------- ----------
55,255 41,127 604,661 207,257 159,819 318,630
-- -- -- -- -- --
-- -- 20,628 61,373 -- 13,616
546 585 138 158 219 97
-- -- -- -- -- --
-- -- -- -- -- --
2 6 8 3 1 3
---------- --------- --------- ---------- --------- ----------
55,803 41,718 625,435 268,791 160,039 332,346
-- -- 261 109 49 252
-- -- -- -- -- --
-- -- -- -- -- --
-- -- 20,628 61,373 -- 13,616
10 -- -- -- 1 --
6 6 185 59 32 21
1 1 8 3 4 4
8 6 110 20 13 43
-- -- 5 2 1 3
7 7 93 114 17 71
---------- --------- --------- ---------- --------- ----------
32 20 21,290 61,680 117 14,010
---------- --------- --------- ---------- --------- ----------
$ 55,771 $ 41,698 $604,145 $ 207,111 $ 159,922 $ 318,336
========== ========= ========= ========== ========= ==========
$ 53,234 $ 40,028 $604,148 $ 207,105 $ 160,221 $ 318,305
68 27 -- 4 -- 31
287 186 (3) 2 (299) --
2,182 1,457 -- -- -- --
---------- --------- ---------- ---------- --------- ----------
$ 55,771 $ 41,698 $ 604,145 $ 207,111 $ 159,922 $ 318,336
========== ========= ========== ========== ========= ==========
$ 4,925 $ 6,954 $ 436,063 $ 72,929 $ 31,833 $ 89,613
463 678 436,101 72,939 31,893 89,605
$ 10.64 $ 10.26 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========= ========== ========== ========= ==========
4.00% 4.00% -- -- -- --
========== ========= ========== ========== ========= ==========
$ 11.08 $ 10.69
========== ========
$ 2,988 $ 2,473 $ 3,175 N/A N/A $ 52,183
281 241 3,175 N/A N/A 52,175
$ 10.62 $ 10.26 $ 1.00 N/A N/A $ 1.00
========== ========= ========== ========== ========= ==========
$ 47,858 $ 32,271 $ 164,907 $ 134,182 $ 128,089 $ 176,540
4,491 3,150 164,896 134,191 128,329 176,531
$ 10.66 $ 10.25 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========= ========== ========== ========= ==========
See notes to financial statements.
89
- -------------------------
AMSOUTH FUNDS For the year ended July 31, 2004
Statements of Operations
(amounts in thousands)
- -------------------------
Value
Fund
--------------
Investment Income:
Dividends ................................................................................ $ 11,568
Dividends from affiliates ................................................................ 25
Interest ................................................................................. --
Securities lending, net .................................................................. 51
-------
Total Investment Income ................................................................. 11,644
-------
Expenses:
Investment advisory ...................................................................... 4,387
Administration ........................................................................... 1,097
Distribution -- Class B Shares ........................................................... 225
Shareholder servicing -- Class A Shares .................................................. 304
Shareholder servicing -- Class B Shares .................................................. 75
Shareholder servicing -- Class I Shares .................................................. 595
Fund accounting .......................................................................... 121
Custodian ................................................................................ 151
Transfer agent ........................................................................... 182
Registration and filing .................................................................. 25
Other .................................................................................... 209
-------
Total expenses before fee reductions .................................................... 7,371
Expenses reduced by:
Investment Advisor ..................................................................... (34)
Administrator .......................................................................... (9)
Custodian .............................................................................. (79)
Transfer Agent ......................................................................... --
Distributor ............................................................................ (198)
Fund Accountant ........................................................................ (82)
-------
Net Expenses ............................................................................ 6,969
-------
Net Investment Income/(Loss) ............................................................. 4,675
-------
Realized/Unrealized Gains/(Losses) from Investments
Net realized gains/(losses) from investment transactions and futures** ................... 41,594#
Realized gain distributions from underlying funds ........................................ --
Change in unrealized appreciation/depreciation from investments, futures, and translation
of assets and liabilities denominated in foreign currencies ............................. 29,509
-------
Net Realized/Unrealized Gains/(Losses) from Investments .................................. 71,103
-------
Change in Net Assets Resulting from Operations ........................................... $75,778
=======
Select Enhanced
Equity Market
Fund Fund
------------- -------------
Investment Income:
Dividends ................................................................................ $ 1,452 $ 2,770
Dividends from affiliates ................................................................ 8 16
Interest ................................................................................. -- --
Securities lending, net .................................................................. -- 2
------ -------
Total Investment Income ................................................................. 1,460 2,788
------ -------
Expenses:
Investment advisory ...................................................................... 702 732
Administration ........................................................................... 176 325
Distribution -- Class B Shares ........................................................... 81 81
Shareholder servicing -- Class A Shares .................................................. 29 61
Shareholder servicing -- Class B Shares .................................................. 27 27
Shareholder servicing -- Class I Shares .................................................. 98 191
Fund accounting .......................................................................... 20 54
Custodian ................................................................................ 24 45
Transfer agent ........................................................................... 43 63
Registration and filing .................................................................. 13 15
Other .................................................................................... 36 67
------ -------
Total expenses before fee reductions .................................................... 1,249 1,661
Expenses reduced by:
Investment Advisor ..................................................................... (6) (15)
Administrator .......................................................................... (46) (85)
Custodian .............................................................................. (13) (24)
Transfer Agent ......................................................................... (17) (6)
Distributor ............................................................................ (33) (64)
Fund Accountant ........................................................................ (13) (24)
------ -------
Net Expenses ............................................................................ 1,121 1,443
------ -------
Net Investment Income/(Loss) ............................................................. 339 1,345
------ -------
Realized/Unrealized Gains/(Losses) from Investments
Net realized gains/(losses) from investment transactions and futures** ................... 2,506 7,726
Realized gain distributions from underlying funds ........................................ -- --
Change in unrealized appreciation/depreciation from investments, futures, and translation
of assets and liabilities denominated in foreign currencies ............................. 4,784 8,460
------ -------
Net Realized/Unrealized Gains/(Losses) from Investments .................................. 7,290 16,186
------ -------
Change in Net Assets Resulting from Operations ........................................... $7,629 $ 17,531
====== ========
Large
Cap
Fund
------------
Investment Income:
Dividends ................................................................................ $ 4,891
Dividends from affiliates ................................................................ 21
Interest ................................................................................. --
Securities lending, net .................................................................. 32
----------
Total Investment Income ................................................................. 4,944
----------
Expenses:
Investment advisory ...................................................................... 3,466
Administration ........................................................................... 867
Distribution -- Class B Shares ........................................................... 192
Shareholder servicing -- Class A Shares .................................................. 249
Shareholder servicing -- Class B Shares .................................................. 64
Shareholder servicing -- Class I Shares .................................................. 462
Fund accounting .......................................................................... 96
Custodian ................................................................................ 119
Transfer agent ........................................................................... 182
Registration and filing .................................................................. 37
Other .................................................................................... 175
----------
Total expenses before fee reductions .................................................... 5,909
Expenses reduced by:
Investment Advisor ..................................................................... (217)
Administrator .......................................................................... (217)
Custodian .............................................................................. (61)
Transfer Agent ......................................................................... --
Distributor ............................................................................ (154)
Fund Accountant ........................................................................ (65)
----------
Net Expenses ............................................................................ 5,195
----------
Net Investment Income/(Loss) ............................................................. (251)
----------
Realized/Unrealized Gains/(Losses) from Investments
Net realized gains/(losses) from investment transactions and futures** ................... 77,919
Realized gain distributions from underlying funds ........................................ --
Change in unrealized appreciation/depreciation from investments, futures, and translation
of assets and liabilities denominated in foreign currencies ............................. (43,628)
----------
Net Realized/Unrealized Gains/(Losses) from Investments .................................. 34,291
----------
Change in Net Assets Resulting from Operations ........................................... $ 34,040
==========
* Dividends for the International Equity Fund are net of foreign withholding
taxes of $991.
** Represents realized gains/(losses) from investment transactions with
affiliates for the Strategic Portfolios.
# Includes reimbursement of $406 by advisor and administrator for losses
realized on the disposal of investments in violation of restrictions.
+ Includes realized gain/loss attributable to foreign currency of ($359).
See notes to financial statements.
90
-------------------------
For the year ended July 31, 2004 AMSOUTH FUNDS
Statements of Operations
(amounts in thousands)
-------------------------
Strategic
Strategic Strategic Portfolios:
Portfolios: Strategic Portfolios: Moderate
Capital International Aggressive Portfolios: Growth & Growth &
Growth Mid Cap Small Cap Equity Balanced Growth Growth Income Income
Fund Fund Fund Fund Fund Portfolio Portfolio Portfolio Portfolio
- ------------- ------------- ----------- --------------- ------------- ------------- ------------- ------------- ------------
$ 2,526 $ 1,695 $ 542 $ 7,931* $ 1,828 $ -- $ -- $ -- $ --
59 31 25 -- 17 224 525 1,862 867
-- 1 13 1 3,235 -- -- -- --
43 8 41 107 25 -- -- -- --
------- ------- -------- --------- ------- ------ ------ ------- ------
2,628 1,735 621 8,039 5,105 224 525 1,862 867
------- ------- -------- --------- ------- ------ ------ ------- ------
2,220 1,481 2,490 4,312 1,378 77 78 199 76
555 296 415 690 344 77 78 199 76
66 56 19 12 175 46 81 62 48
70 32 19 26 217 41 45 96 33
22 18 6 4 59 15 27 21 16
361 192 296 500 93 24 15 79 28
64 50 49 106 45 8 8 21 8
76 41 57 153 47 11 11 27 10
70 58 54 67 105 68 46 74 63
21 17 14 33 24 18 17 13 22
125 45 88 141 67 14 16 43 23
------- ------- -------- --------- ------- ------ ------ ------- ------
3,650 2,286 3,507 6,044 2,554 399 422 834 403
(2) (598) (227) (1,518) (20) (38) (39) (100) (38)
(139) (82) (109) (172) (91) (38) (39) -- (38)
(40) (22) (30) -- (25) (6) (6) (15) (6)
-- (8) -- -- (4) (24) (24) (15) (24)
(120) (64) (99) (167) (31) (30) (34) (73) (29)
(42) (22) (31) (52) (26) (6) (6) (15) (6)
------- ------- -------- --------- ------- ------ ------ ------- ------
3,307 1,490 3,011 4,135 2,357 257 274 616 262
------- ------- -------- --------- ------- ------ ------ ------- ------
(679) 245 (2,390) 3,904 2,748 (33) 251 1,246 605
------- ------- -------- --------- ------- ------ ------ ------- ------
25,035 26,138 33,469 8,248+ 2,534 1,577 1,197 4,435 1,158
-- -- -- -- -- 26 44 150 68
(8,058) (4,252) (8,325) 73,633 8,066 1,826 1,075 1,145 106
------- ------- -------- --------- ------- ------ ------ ------- ------
16,977 21,886 25,144 81,881 10,600 3,429 2,316 5,730 1,332
------- ------- -------- --------- ------- ------ ------ ------- ------
$16,298 $22,131 $ 22,754 $ 85,785 $13,348 $3,396 $2,567 $ 6,976 $1,937
======= ======= ======== ========= ======= ====== ====== ======= ======
See notes to financial statements.
91
- -------------------------
AMSOUTH FUNDS For the year ended July 31, 2004
Statements of Operations
(amounts in thousands)
- -------------------------
Limited
Government Term Municipal
Income Bond Bond Bond
Fund Fund Fund Fund
------------ ----------- ------------ ------------
Investment Income:
Dividends ............................................................... $ -- $ -- $ -- $ --
Dividends from affiliates ............................................... 69 20 39 59
Interest ................................................................ 11,577 8,833 30,313 15,546
Securities lending, net ................................................. 63 120 176 --
-------- -------- --------- --------
Total Investment Income ................................................ 11,709 8,973 30,528 15,605
-------- -------- --------- --------
Expenses:
Investment advisory ..................................................... 1,700 1,728 4,182 2,396
Administration .......................................................... 523 532 1,287 737
Distribution -- Class B Shares (b) ...................................... 65 163 64 33
Shareholder servicing -- Class A Shares (a) ............................. 47 82 115 40
Shareholder servicing -- Class B Shares (b) ............................. 22 55 22 11
Shareholder servicing -- Class I Shares (c) ............................. 351 317 883 522
Fund accounting ......................................................... 81 69 177 99
Custodian ............................................................... 72 73 153 101
Transfer agent .......................................................... 61 57 200 51
Registration and filing ................................................. 28 11 15 8
Other ................................................................... 102 103 255 148
-------- -------- --------- --------
Total expenses before fee reductions ................................... 3,052 3,190 7,353 4,146
Expenses reduced by:
Investment Advisor .................................................... (397) (421) (999) (931)
Administrator ......................................................... (134) (138) (331) (191)
Custodian ............................................................. (37) (38) (92) (53)
Transfer Agent ........................................................ -- -- -- --
Distributor ........................................................... (117) (106) (294) (174)
Fund Accountant ....................................................... (39) (40) (96) (55)
-------- -------- --------- --------
Net Expenses ........................................................... 2,328 2,447 5,541 2,742
-------- -------- --------- --------
Net Investment Income ................................................... 9,381 6,526 24,987 12,863
-------- -------- --------- --------
Realized/Unrealized Gains/(Losses) from Investments
Net realized gains from investment transactions ......................... 1,082 881 4,168 1,026
Change in unrealized appreciation/depreciation from investments ......... (3,917) (4,549) (10,284) (2,779)
-------- -------- --------- --------
Net Realized/Unrealized Gains/(Losses) from Investments ................. (2,835) (3,668) (6,116) (1,753)
-------- -------- --------- --------
Change in Net Assets Resulting from Operations .......................... $ 6,546 $ 2,858 $ 18,871 $ 11,110
======== ======== ========= ========
(a) Represents Class 2 Shares for the Institutional Prime Obligations Money
Market Fund.
(b) Represents Class 3 Shares for the Institutional Prime Obligations Money
Market Fund.
(c) Represents Class 1 Shares for the Institutional Prime Obligations Money
Market Fund.
See notes to financial statements.
92
-------------------------
For the year ended July 31, 2004 AMSOUTH FUNDS
Statements of Operations
(amounts in thousands)
-------------------------
Institutional
Treasury Prime
Prime Reserve Tax-Exempt Obligations
Florida Tennessee Money Money Money Money
Tax-Exempt Tax-Exempt Market Market Market Market
Fund Fund Fund Fund Fund Fund
- ------------ ------------ ----------- ---------- ------------ --------------
$ -- $ -- $ -- $ -- $ 61 $ --
11 9 -- -- -- --
2,448 1,745 7,324 1,618 1,447 4,460
-- -- 93 36 -- 60
------ ------ ------- ------ ------ -------
2,459 1,754 7,417 1,654 1,508 4,520
------ ------ ------- ------ ------ -------
393 303 2,685 638 617 816
121 93 1,343 319 309 408
28 22 23 -- -- 332
11 18 1,131 175 80 348
9 7 8 -- -- --
79 55 324 134 183 --
20 16 144 36 41 88
17 13 185 44 42 112
31 19 167 87 19 64
2 16 32 26 -- 5
23 23 303 81 75 193
------ ------ ------- ------ ------ -------
734 585 6,345 1,540 1,366 2,366
(154) (72) (336) (80) (231) (531)
(63) (24) (671) (160) -- --
(9) (7) (96) (25) (22) (58)
(21) (23) -- -- -- --
(26) (18) (126) (96) (109) --
(9) (7) (101) (24) (23) (61)
------ ------ ------- ------ ------ -------
452 434 5,015 1,155 981 1,716
------ ------ ------- ------ ------ -------
2,007 1,320 2,402 499 527 2,804
------ ------ ------- ------ ------ -------
344 308 -- 3 -- --
(512) (246) -- -- -- --
------ ------ ------- ------ ------ -------
(168) 62 -- 3 -- --
------ ------ ------- ------ ------ -------
$1,839 $1,382 $ 2,402 $ 502 $ 527 $ 2,804
====== ====== ======= ====== ====== =======
See notes to financial statements.
93
- -----------------------------------
AMSOUTH FUNDS
Statements of Changes in Net Assets
(amounts in thousands)
- -----------------------------------
Year Ended Year Ended Year Ended Year Ended
July 31, July 31, July 31, July 31,
2004 2003 2004 2003
------------ --------------- ------------ ---------------
Value Fund Select Equity Fund
---------------------------- ----------------------------
Net Assets, Beginning of Period ............................... $ 532,221 $ 530,580 $ 59,412 $ 17,730
--------- ---------- -------- --------
Operations:
Net investment income/(loss) ................................. 4,675 6,663 339 153
Net realized gains/(losses) from investment transactions
and option contracts ........................................ 41,594# (117,200) 2,506 825
Change in unrealized appreciation/depreciation from
investments ................................................. 29,509 153,621 4,784 4,147
--------- ---------- -------- --------
Change in net assets resulting from operations ................ 75,778 43,084 7,629 5,125
--------- ---------- -------- --------
Dividends to:
Class A Shareholders:
From net investment income ................................... (951) (1,165) (50) (24)
From net realized gains from investment transactions ......... -- (3,842) (76) --
Class B Shareholders:
From net investment income ................................... (84) (131) (17) (9)
From net realized gains from investment transactions ......... -- (507) (77) --
Class I Shareholders:
From net investment income ................................... (3,633) (5,099) (322) (123)
From net realized gains from investment transactions ......... -- (17,634) (459) --
--------- ---------- -------- --------
Change in net assets from dividends to shareholders ........... (4,668) (28,378) (1,001) (156)
--------- ---------- -------- --------
Change in net assets from capital share transactions .......... (89,442) (13,065) 53,928 36,713
--------- ---------- -------- --------
Proceeds from redemption fees collected ....................... -- -- -- --
--------- ---------- -------- --------
Change in net assets .......................................... (18,332) 1,641 60,556 41,682
--------- ---------- -------- --------
Net Assets, End of Period ..................................... $ 513,889 $ 532,221 $119,968 $ 59,412
========= ========== ======== ========
Accumulated Net Investment Income/(Loss) ...................... $ 310 $ 304 $ -- $ --
========= ========== ======== ========
International Equity Fund Balanced Fund
---------------------------- ----------------------------
Net Assets, Beginning of Period ............................... $ 260,257 $ 189,777 $161,459 $154,958
---------- ---------- ---------- --------
Operations:
Net investment income/(loss) ................................. 3,904 3,196 2,748 3,035
Net realized gains/(losses) from investments, futures, and
foreign currency transactions* .............................. 8,248 3,252 2,534 (3,406)
Realized gain distributions from underlying funds ............ -- -- -- --
Change in unrealized appreciation/depreciation from
investments, futures, and translation of assets and
liabilities in foreign currencies ........................... 73,633 27,352 8,066 12,184
---------- ---------- ---------- --------
Change in net assets resulting from operations ................ 85,785 33,800 13,348 11,813
---------- ---------- ---------- --------
Dividends to:
Class A Shareholders:
From net investment income ................................... (63) (3) (1,566) (1,672)
From net realized gains from investment transactions ......... -- -- -- (916)
From tax return of capital ................................... -- -- -- --
Class B Shareholders:
From net investment income ................................... -- -- (251) (287)
From net realized gains from investment transactions ......... -- -- -- (234)
From tax return of capital ................................... -- -- -- --
Class I Shareholders:
From net investment income ................................... (3,090) (425) (1,216) (1,566)
From net realized gains from investment transactions ......... -- -- -- (846)
From tax return of capital ................................... -- -- -- --
---------- ---------- ---------- --------
Change in net assets from dividends to shareholders ........... (3,153) (428) (3,033) (5,521)
---------- ---------- ---------- --------
Change in net assets from capital transactions ................ 45,636 36,942 2,430 209
---------- ---------- ---------- --------
Proceeds from redemption fees collected ....................... 194 166 -- --
---------- ---------- ---------- --------
Change in net assets .......................................... 128,462 70,480 12,745 6,501
---------- ---------- ---------- --------
Net Assets, End of Period ..................................... $ 388,719 $ 260,257 $174,204 $161,459
========== ========== ========== ========
Accumulated Net Investment Income/(Loss) ...................... $ 3,099 $ 2,646 $ (49) $ (103)
========== ========== ========== ========
Year Ended Year Ended
July 31, July 31,
2004 2003
-------------- --------------
Enhanced Market Fund
-----------------------------
Net Assets, Beginning of Period ............................... $129,130 $32,910
-------- ---------
Operations:
Net investment income/(loss) ................................. 1,345 605
Net realized gains/(losses) from investment transactions
and option contracts ........................................ 7,726 (3,413)
Change in unrealized appreciation/depreciation from
investments ................................................. 8,460 15,444
-------- --------
Change in net assets resulting from operations ................ 17,531 12,636
-------- --------
Dividends to:
Class A Shareholders:
From net investment income ................................... (186) (132)
From net realized gains from investment transactions ......... -- --
Class B Shareholders:
From net investment income ................................... (26) (9)
From net realized gains from investment transactions ......... -- --
Class I Shareholders:
From net investment income ................................... (1,122) (428)
From net realized gains from investment transactions ......... -- --
-------- --------
Change in net assets from dividends to shareholders ........... (1,334) (569)
-------- --------
Change in net assets from capital share transactions .......... 33,325 84,153
-------- --------
Proceeds from redemption fees collected ....................... -- --
-------- --------
Change in net assets .......................................... 49,522 96,220
-------- --------
Net Assets, End of Period ..................................... $178,652 $129,130
======== ========
Accumulated Net Investment Income/(Loss) ...................... $ 47 $ 36
======== ========
Strategic Portfolios:
Aggressive Growth
Portfolio
-----------------------------
Net Assets, Beginning of Period ............................... $ 27,727 $ 21,823
-------- --------
Operations:
Net investment income/(loss) ................................. (33) (6)
Net realized gains/(losses) from investments, futures, and
foreign currency transactions* .............................. 1,577 (7,110)
Realized gain distributions from underlying funds ............ 26 182
Change in unrealized appreciation/depreciation from
investments, futures, and translation of assets and
liabilities in foreign currencies ........................... 1,826 9,529
-------- --------
Change in net assets resulting from operations ................ 3,396 2,595
-------- --------
Dividends to:
Class A Shareholders:
From net investment income ................................... -- (1)
From net realized gains from investment transactions ......... -- --
From tax return of capital ................................... (18) --
Class B Shareholders:
From net investment income ................................... -- --
From net realized gains from investment transactions ......... -- --
From tax return of capital ................................... (4) --
Class I Shareholders:
From net investment income ................................... -- (2)
From net realized gains from investment transactions ......... -- --
From tax return of capital ................................... (18) --
-------- --------
Change in net assets from dividends to shareholders ........... (40) (3)
-------- --------
Change in net assets from capital transactions ................ 14,167 3,312
-------- --------
Proceeds from redemption fees collected ....................... 4 --
-------- --------
Change in net assets .......................................... 17,527 5,904
-------- --------
Net Assets, End of Period ..................................... $ 45,254 $ 27,727
======== ========
Accumulated Net Investment Income/(Loss) ...................... $ -- $ --
======== ========
* Represents realized gains/(losses) from investment transactions with
affiliates for the Strategic Portfolios.
# Includes reimbursement of $406 by advisor and administrator for losses
realized on the disposal of investments in violation of restrictions.
See notes to financial statements.
94
-----------------------------------
AMSOUTH FUNDS
Statements of Changes in Net Assets
(amounts in thousands)
-----------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
July 31, July 31, July 31, July 31, July 31, July 31, July 31, July 31,
2004 2003 2004 2003 2004 2003 2004 2003
- ------------- -------------- ------------ -------------- -------------- -------------- ------------ ------------
Large Cap Fund Capital Growth Fund Mid Cap Fund Small Cap Fund
- ------------------------------ ----------------------------- ------------------------------- ---------------------------
$ 506,066 $473,011 $ 257,284 $267,396 $133,108 $ 45,753 $182,657 $146,227
---------- -------- --------- -------- -------- -------- -------- --------
(251) 841 (679) (892) 245 142 (2,390) (1,694)
77,919 (4,493) 25,035 (31,626) 26,138 (2,855) 33,469 (26,523)
(43,628) 51,641 (8,058) 55,752 (4,252) 20,382 (8,325) 34,595
---------- -------- --------- -------- -------- -------- -------- --------
34,040 47,989 16,298 23,234 22,131 17,669 22,754 6,378
---------- -------- --------- -------- -------- -------- -------- --------
-- (100) -- -- (19) (8) -- --
(15) (2,938) -- -- -- -- -- --
-- -- -- -- (1) -- -- --
-- (898) -- -- -- -- -- --
-- (832) -- (6) (224) (148) -- --
(118) (15,666) -- -- -- -- -- --
---------- -------- --------- -------- -------- -------- -------- --------
(133) (20,434) -- (6) (244) (156) -- --
---------- -------- --------- -------- -------- -------- -------- --------
(167,416) 5,500 (11,910) (33,340) 17,268 69,842 14,607 30,052
---------- -------- --------- -------- -------- -------- -------- --------
-- -- -- -- 23 -- 55 --
---------- -------- --------- -------- -------- -------- -------- --------
(133,509) 33,055 4,388 (10,112) 39,178 87,355 37,416 36,430
---------- -------- --------- -------- -------- -------- -------- --------
$ 372,557 $506,066 $ 261,672 $257,284 $172,286 $133,108 $220,073 $182,657
========== ======== ========= ======== ======== ======== ======== ========
$ -- $ -- $ -- $ -- $ 1 $ -- $ -- $ --
========== ======== ========= ======== ======== ======== ======== ========
Strategic Portfolios: Strategic Portfolios:
Strategic Portfolios: Growth & Income Moderate Growth &
Growth Portfolio Portfolio Income Portfolio
- -------------------------- --------------------------- -----------------------------
$ 26,102 $ 18,264 $ 84,244 $ 71,099 $31,300 $25,049
- ----------- -------- --------- -------- ------- -------
251 182 1,246 1,173 605 511
1,197 (3,618) 4,435 (8,020) 1,158 (1,846)
44 -- 150 476 68 175
1,075 5,461 1,145 12,754 106 3,250
- ----------- -------- --------- -------- ------- -------
2,567 2,025 6,976 6,383 1,937 2,090
- ----------- -------- --------- -------- ------- -------
(120) (68) (476) (313) (209) (154)
-- -- -- -- -- (29)
-- -- -- -- -- --
(29) (7) (51) (18) (62) (18)
-- -- -- -- -- (4)
-- -- -- -- -- --
(72) (102) (694) (863) (309) (339)
-- -- -- -- -- (64)
-- -- -- -- -- --
- ----------- -------- --------- -------- ------- -------
(221) (177) (1,221) (1,194) (580) (608)
- ----------- -------- --------- -------- ------- -------
22,303 5,990 14,422 7,956 12,907 4,769
- ----------- -------- --------- -------- ------- -------
1 -- 2 -- 1 --
- ----------- -------- --------- -------- ------- -------
24,650 7,838 20,179 13,145 14,265 6,251
- ----------- -------- --------- -------- ------- -------
$ 50,752 $ 26,102 $ 104,423 $ 84,244 $45,565 $31,300
=========== ======== ========= ======== ======= =======
$ 53 $ 23 $ 144 $ 119 $ 79 $ 54
=========== ======== ========= ======== ======= =======
See notes to financial statements.
95
- -----------------------------------
AMSOUTH FUNDS
Statements of Changes in Net Assets
(amounts in thousands)
- -----------------------------------
Year Ended Year Ended Year Ended Year Ended
July 31, July 31, July 31, July 31,
2004 2003 2004 2003
-------------- -------------- ------------ ------------
Government Income Fund Limited Term Bond Fund
----------------------------- -------------------------
Net Assets, Beginning of Period ..................................... $284,396 $ 275,553 $242,588 $ 184,939
-------- ---------- -------- ----------
Operations:
Net investment income .............................................. 9,381 11,605 6,526 6,960
Net realized gains/(losses) from investment transactions ........... 1,082 8,185 881 1,070
Change in unrealized appreciation/depreciation from investments .... (3,917) (10,035) (4,549) (1,377)
-------- ---------- -------- ----------
Change in net assets resulting from operations ...................... 6,546 9,755 2,858 6,653
-------- ---------- -------- ----------
Dividends to:
Class A Shareholders:
From net investment income ......................................... (770) (670) (960) (1,030)
From net realized gains from investment transactions ............... (21) (150) -- --
Class B Shareholders:
From net investment income ......................................... (289) (275) (480) (512)
From net realized gains from investment transactions ............... (11) (60) -- --
Class I Shareholders:
From net investment income ......................................... (10,008) (10,935) (6,563) (6,543)
From net realized gains from investment transactions ............... (281) (3,633) -- --
-------- ---------- -------- ----------
Change in net assets from dividends to shareholders ................. (11,380) (15,723) (8,003) (8,085)
-------- ---------- -------- ----------
Change in net assets from capital share transactions ................ (36,389) 14,811 21,016 59,081
-------- ---------- -------- ----------
Proceeds from redemption fees collected ............................. 100 -- 104 --
-------- ---------- -------- ----------
Change in net assets ................................................ (41,123) 8,843 15,975 57,649
-------- ---------- -------- ----------
Net Assets, End of Period ........................................... $243,273 $ 284,396 $258,563 $ 242,588
======== ========== ======== ==========
Accumulated Net Investment Income/(Loss) ............................ $ (211) $ 198 $ (644) $ (565)
======== ========== ======== ==========
Prime Treasury Reserve
Money Market Fund Money Market Fund
----------------------------- --------------------------
Net Assets, Beginning of Period ..................................... $664,565 $1,326,177 $ 88,429 $ 316,986
--------- ---------- -------- ----------
Operations:
Net investment income .............................................. 2,402 6,176 499 1,197
Net realized gains/(losses) from investment transactions ........... -- -- 3 --
Change in unrealized appreciation/depreciation from investments .... -- -- -- --
-------- ---------- -------- ----------
Change in net assets resulting from operations ...................... 2,402 6,176 502 1,197
-------- ---------- -------- ----------
Dividends to:
Class A Shareholders (a):
From net investment income ......................................... (1,406) (3,110) (185) (376)
Class B Shareholders (b):
From net investment income ......................................... (5) (10) -- --
Class I Shareholders (c):
From net investment income ......................................... (991) (3,056) (314) (821)
-------- ---------- -------- ----------
Change in net assets from dividends to shareholders ................. (2,402) (6,176) (499) (1,197)
-------- ---------- -------- ----------
Change in net assets from capital share transactions ................ (60,420) (661,612) 118,679 (228,557)
-------- ---------- -------- ----------
Change in net assets ................................................ (60,420) (661,612) 118,682 (228,557)
-------- ---------- -------- ----------
Net Assets, End of Period ........................................... $604,145 $ 664,565 $207,111 $ 88,429
======== ========== ======== ==========
Accumulated Net Investment Income/(Loss) ............................ $ -- $ -- $ 4 $ 4
======== ========== ======== ==========
(a) Represents Class 2 for Institutional Prime Obligations Money Market Fund.
(b) Represents Class 3 for Institutional Prime Obligations Money Market Fund.
(c) Represents Class 1 for Institutional Prime Obligations Money Market Fund.
See notes to financial statements.
96
-----------------------------------
AMSOUTH FUNDS
Statements of Changes in Net Assets
(amounts in thousands)
-----------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
July 31, July 31, July 31, July 31, July 31, July 31, July 31, July 31,
2004 2003 2004 2003 2004 2003 2004 2003
- ------------ ------------ -------------- ------------ ------------ -------------- ------------ ------------
Municipal Florida Tennessee
Bond Fund Bond Fund Tax-Exempt Fund Tax-Exempt Fund
- --------------------------- ----------------------------- ----------------------------- ---------------------------
$ 660,008 $ 634,644 $ 371,902 $ 386,523 $61,298 $61,550 $ 51,830 $ 54,419
--------- --------- --------- ---------- ------- ------- --------- --------
24,987 27,039 12,863 13,227 2,007 2,171 1,320 1,554
4,168 11,539 1,026 1,238 344 26 308 343
(10,284) (5,808) (2,779) (2,667) (512) (525) (246) (499)
--------- --------- --------- ---------- ------- ------- --------- --------
18,871 32,770 11,110 11,798 1,839 1,672 1,382 1,398
--------- --------- --------- ---------- ------- ------- --------- --------
(1,933) (2,037) (542) (450) (145) (213) (205) (217)
(356) (588) (14) (43) (5) (1) (31) --
(297) (392) (116) (112) (92) (91) (60) (49)
(68) (139) (4) (14) (5) -- (14) --
(25,832) (27,765) (12,316) (11,952) (1,791) (1,866) (1,110) (1,258)
(4,584) (7,893) (307) (1,118) (73) (5) (178) --
--------- --------- --------- ---------- ------- ------- --------- --------
(33,070) (38,814) (13,299) (13,689) (2,111) (2,176) (1,598) (1,524)
--------- --------- --------- ---------- ------- ------- --------- --------
(22,322) 31,408 (10,938) (12,730) (5,255) 252 (9,916) (2,463)
--------- --------- --------- ---------- ------- ------- --------- --------
53 -- -- -- -- -- -- --
--------- --------- --------- ---------- ------- ------- --------- --------
(36,468) 25,364 (13,127) (14,621) (5,527) (252) (10,132) (2,589)
--------- --------- --------- ---------- ------- ------- --------- --------
$ 623,540 $ 660,008 $ 358,775 $ 371,902 $55,771 $61,298 $ 41,698 $ 51,830
========= ========= ========= ========== ======= ======= ========= ========
$ (1,200) $ (933) $ 977 $ 1,134 $ 68 $ 89 $ 27 $ 82
========= ========= ========= ========== ======= ======= ========= ========
Institutional
Tax-Exempt Prime Obligations
Money Market Fund Money Market Fund
- --------------------------- -----------------------------
$ 163,163 $ 206,543 $ 461,070 $ 667,633
--------- --------- --------- ----------
527 1,103 2,804 5,274
-- -- -- --
-- -- -- --
--------- --------- --------- ----------
527 1,103 2,804 5,274
--------- --------- --------- ----------
(110) (173) (837) (1,709)
-- -- (234) (1,003)
(417) (930) (1,733) (2,562)
--------- --------- --------- ----------
(527) (1,103) (2,804) (5,274)
--------- --------- --------- ----------
(3,241) (43,380) (142,734) (206,563)
--------- --------- --------- ----------
(3,241) (43,380) (142,734) (206,563)
--------- --------- --------- ----------
$ 159,922 $ 163,163 $ 318,336 $ 461,070
========= ========= ========= ==========
$ -- $ -- $ 31 $ 31
========= ========= ========= ==========
See notes to financial statements.
97
- -----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
July 31, 2004
- -----------------------------------
1. Organization:
AmSouth Funds (the "Trust") was organized on October 1, 1987, and is
registered under the Investment Company Act of 1940, as amended ("the 1940
Act"), as an open-end investment company established as a Massachusetts business
trust.
The Trust is authorized to issue an unlimited number of shares without par
value. The Trust currently offers shares of the AmSouth Value Fund, the AmSouth
Select Equity Fund, the AmSouth Enhanced Market Fund, the AmSouth Large Cap
Fund, the AmSouth Capital Growth Fund, the AmSouth Mid Cap Fund, the AmSouth
Small Cap Fund, the AmSouth International Equity Fund, the AmSouth Balanced
Fund, the AmSouth Strategic Portfolios: Aggressive Growth Portfolio, the AmSouth
Strategic Portfolios: Growth Portfolio, the AmSouth Strategic Portfolios: Growth
and Income Portfolio, the AmSouth Strategic Portfolios: Moderate Growth and
Income Portfolio, the AmSouth Government Income Fund, the AmSouth Limited Term
Bond Fund, the AmSouth Bond Fund, the AmSouth Municipal Bond Fund, the AmSouth
Florida Tax-Exempt Fund, the AmSouth Tennessee Tax-Exempt Fund, (collectively,
"the variable net asset funds"), the AmSouth Prime Money Market Fund, the
AmSouth Treasury Reserve Money Market Fund, the AmSouth Tax-Exempt Money Market
Fund and the AmSouth Institutional Prime Obligations Money Market Fund
(collectively, "the money market funds") (collectively, "the Funds" and
individually "a Fund").
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, in the normal course of business, the Trust
enters into contracts with their vendors and others that provide for general
indemnifications. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust.
However, based on experience, the Trust expects that risk of loss to be remote.
2. Reorganization:
At a meeting held on September 23, 2003, the AmSouth Funds' Board of
Trustees ("Trustees") approved a Plan of Reorganization and Termination under
which the AmSouth U.S. Treasury Money Market Fund ("U.S. Treasury Fund") would
transfer its assets to the AmSouth Treasury Reserve Money Market Fund ("Treasury
Reserve Fund") in exchange for Treasury Reserve Fund's shares and its assumption
of U.S. Treasury Fund's liabilities. The merger became effective on November 28,
2003. On that date, shareholders of the U.S. Treasury Fund received shares of
the Treasury Reserve Fund in exchange for their U.S. Treasury Fund shares and
the U.S. Treasury Fund ceased operations.
After
Before Reorganization Reorganization
-------------------------------- ---------------
AmSouth AmSouth
AmSouth Treasury Treasury
U.S. Treasury Reserve Reserve
Money Market Money Market Money Market
Fund Fund Fund
--------------- ------------ -------------
Class A
Shares ................................... 52,531,116 43,899,119 96,430,235
Net Assets ............................... $ 52,529,478 $ 43,893,037 $ 96,422,515
Net Asset Value .......................... $ 1.00 $ 1.00 $ 1.00
Class I
Shares ................................... 70,965,893 40,327,725 111,293,618
Net Assets ............................... $ 70,970,297 $ 40,314,573 $111,284,870
Net Asset Value .......................... $ 1.00 $ 1.00 $ 1.00
Undistributed Realized Capital Loss ......... $ (5,232) $ (3,936) $ (9,168)
The Treasury Reserve Money Market Fund retained its investment objective
and financial history after the reorganization.
Continued
98
-----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
-----------------------------------
3. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by
the Funds in the preparation of their financial statements. These policies are
in conformity with U.S. generally accepted accounting principles ("GAAP"). The
preparation of financial statements requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses for the period.
Actual results could differ from those estimates.
Securities Valuation:
Investments of the money market funds are valued at amortized cost. Under
the amortized cost method, discount or premium is amortized on a constant basis
to the maturity of the security.
Bond and other fixed income securities (other than short-term obligations
but including listed issues) are valued on the basis of valuations furnished by
a pricing service, the use of which has been approved by the Trustees. In making
such valuations, the pricing service utilizes both dealer-supplied valuations
and the use of electronic and matrix techniques which take into account
appropriate factors such as institutional-sized trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics other than market data and without exclusive reliance upon
quoted prices or exchanges of over-the-counter prices, since such valuations are
believed to reflect more accurately the fair value of such securities. All debt
portfolio securities with a remaining maturity of 60 days or less are valued at
amortized cost, which approximates market value.
Portfolio securities listed or traded on domestic securities exchanges or
the NASDAQ/NMS, including American Depositary Receipts ("ADR's"), are valued at
the closing price on the exchange or system where the security is principally
traded or at the Nasdaq Official Closing Price, if applicable. Investments for
which market quotations are not readily available are valued at fair value using
guidelines adopted by the Trustees.
Most foreign markets close before the close of trading on the New York
Stock Exchange ("NYSE"). If the International Equity Fund determines that
developments between the close of a foreign market and the close of the NYSE
will, in its judgment, materially affect the value of some or all of its
portfolio securities, which in turn will affect the Fund's share price, the Fund
will adjust the previous closing prices to reflect the fair value of the
securities as of the close of the NYSE, as determined in good faith by the
Pricing Committee established by the Fund's Trustees. A Fund may also fair value
securities in other situations, such as when a particular foreign market is
closed but the Fund is open. In deciding whether to make fair value adjustments,
the Fund reviews a variety of factors, including developments in foreign
markets, the performance of U.S. securities markets, and the performance of
instruments trading in U.S. markets that represent foreign securities and
baskets of foreign securities. The Fund uses outside pricing services to provide
it with closing market prices and information used for adjusting those prices.
Investments in investment companies are valued at their net asset values as
reported by such companies.
The differences between cost and market values of investments are reflected
as unrealized appreciation or depreciation.
Investments in restricted securities are valued by the Trustees, or by
procedures approved by the Trustees, by considering pertinent factors, including
the results of operations and the sales price of recent private placements in
its common stock. It is possible that the estimated value may differ
significantly from the amount that might ultimately be realized in the near
term.
Securities Transactions and Related Income:
Changes in holdings of portfolio securities shall be reflected no later
than in the calculation on the first business day following the trade date.
However, for financial reporting purposes, portfolio security transactions are
reported on trade date. Net realized gains or losses from sales of securities
are determined on the specific identification cost method. Interest income and
expenses are recognized on the accrual basis. Dividends are recorded on the
ex-dividend date. Interest income includes premium amortization and discount
accretion for financial reporting.
Continued
99
- -----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- -----------------------------------
3. Significant Accounting Policies (continued)
Financial Futures Contracts:
The Enhanced Market, Select Equity, Large Cap, Capital Growth, Mid Cap,
International Equity, Limited Term Bond, Bond, and Tennessee Tax-Exempt Funds
may invest in financial futures contracts for the purpose of hedging its
existing portfolio securities, or securities that it intends to purchase,
against fluctuations in fair value caused by changes in prevailing market
interest rates. Upon entering into a financial futures contract, a Fund is
required to pledge to the broker an amount of cash and/or other assets equal to
a certain percentage of the contract amount (initial margin deposit). Subsequent
payments, known as "variation margin," are made or received by a Fund each day,
depending on the daily fluctuations in the fair value of the underlying
security. A Fund recognizes a gain or loss equal to the daily variation margin.
Should market conditions move unexpectedly, the Fund may not achieve the
anticipated benefits of the financial futures contracts and may realize a loss.
The use of futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates, and the underlying
hedged assets.
Repurchase Agreements:
The Funds may invest in repurchase agreements with institutions that are
deemed by AmSouth Asset Management, Inc. ("AAMI"), (the "Advisor"), to be of
good standing and creditworthy under guidelines established by the Trustees.
Each repurchase agreement is valued at cost. The Fund requires that collateral
received in a repurchase agreement transaction be transferred to a custodian in
a manner sufficient to enable the Fund to obtain collateral in the event of a
counterparty default. If the counterparty defaults and the fair value of the
collateral declines, realization of the collateral by the Funds may be delayed
or limited. The Funds, along with other affiliates of the Fund, may transfer
uninvested cash balances into one or more joint trading accounts. These balances
are invested in one or more repurchase agreements which are fully collateralized
by U.S. Treasury or U.S. government agency obligations, with counterparties
approved by the Trustees, consistent with the Fund's investment policy. As of
July 31, 2004, all repurchase agreements were fully collateralized by U.S.
Treasury or U.S. Government Agency obligations.
Foreign Currency Translation:
The market value of investment securities, other assets and liabilities of
the International Equity Fund denominated in a foreign currency are translated
into U.S. dollars at the current exchange rate. Purchases and sales of
securities, income receipts and expense payments are translated into U.S.
dollars at the exchange rate on the dates of the transactions.
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gains or losses
from investments.
Reported net realized foreign exchange gains or losses arise from sales and
maturities of fund securities, sales of foreign currencies, currency exchange
fluctuations between the trade and settlement dates of securities transactions,
and the difference between the amounts of assets and liabilities recorded and
the U.S. dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities, including investments in securities, resulting from
changes in currency exchange rates.
Risks Associated with Foreign Securities and Currencies:
Investments in securities of foreign issuers carry certain risks not
ordinarily associated with investments in securities of domestic issuers. Such
risks include future political and economic developments and the possible
imposition of exchange controls or other foreign governmental laws and
restrictions. In addition, with respect to certain countries, there is the
possibility of expropriation of assets, confiscatory taxation, political or
social instability or diplomatic developments which could adversely affect
investments in those countries.
Certain countries may also impose substantial restrictions on investments
in their capital markets by foreign entities, including restrictions on
investments in issuers or industries deemed sensitive to relevant national
interests. These factors may limit the
Continued
100
-----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
-----------------------------------
3. Significant Accounting Policies (continued)
investment opportunities available to the International Equity Fund or result in
a lack of liquidity and high price volatility with respect to securities of
issuers from developing countries.
Forwards may involve market or credit risk in excess of the amounts
reflected on the Fund's statement of assets and liabilities. The gain or loss
from the difference between the cost of original contracts and the amount
realized upon the closing of such contracts is included in net realized
gains/losses from investment and foreign currency transactions. Fluctuations in
the value of forwards held are recorded for financial reporting purposes as
unrealized gains and losses by the Fund.
Securities Lending:
To generate additional income, the Funds may lend up to 331/3% of total
assets pursuant to agreements requiring that the loan be continuously secured by
cash, U.S. government or U.S. government agency securities, shares of an
investment trust or mutual fund, or any combination of cash and such securities
as collateral equal at all times to at least 100% of the prior day's market
value plus accrued interest on the securities loaned. The Funds continue to earn
interest and dividends on securities loaned while simultaneously seeking to earn
interest on the investment of collateral.
When cash is received as collateral for securities loaned, the Funds may
invest such cash in short-term U.S. government securities, repurchase
agreements, or other short-term corporate securities. The cash or subsequent
short-term investments are recorded as assets of the Funds, offset by a
corresponding liability to repay the cash at the termination of the loan. Fixed
income securities received as collateral are not recorded as an asset or
liability of the Fund because the Fund does not have effective control of such
securities.
There may be risks of delay in recovery of the securities or even loss of
rights in the collateral should the borrower of the securities fail financially.
However, loans will be made only to borrowers deemed by the Advisor to be of
good standing and creditworthy under guidelines established by the Trustees and
when, in the judgment of the Advisor, the consideration which can be earned
currently from such securities loans justifies the attendant risks. Loans are
subject to termination by the Funds or the borrower at any time, and are,
therefore, not considered to be illiquid investments. The Bank of New York
serves as the Securities Lending Agent. For providing this service, the
Securities Lending Agent retains 25% of the securities lending income. The fee
is shown net of the securities lending income on the Statement of Operations. As
of July 31, 2004, the following Funds had securities on loan (amounts in
thousands):
Market
Fees Paid to Market Value of
The Bank Value of Loaned
of New York Collateral Securities
-------------- ------------ -----------
Value Fund ................................................ $15 $ 56,798 $ 54,908
Enhanced Market Fund ...................................... 1 2,323 2,234
Large Cap Equity .......................................... 9 56,027 54,360
Capital Growth ............................................ 13 39,848 38,853
Mid Cap Equity ............................................ 2 7,716 7,455
Small Cap Fund ............................................ 10 15,494 15,100
International Equity Fund ................................. 27 4,817 4,616
Balanced Fund ............................................. 8 30,991 30,278
Government Income Fund .................................... 19 55,527 54,553
Limited Term Bond Fund .................................... 44 75,885 74,737
Bond Fund ................................................. 55 186,807 184,241
Prime Money Market Fund ................................... 31 20,628 20,218
Treasury Reserve Money Market Fund ........................ 12 64,130 63,805
Institutional Prime Obligations Money Market Fund ......... 20 14,874 14,604
Continued
101
- -----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- -----------------------------------
3. Significant Accounting Policies (continued)
Dividends to Shareholders:
Dividends from net investment income are declared daily and paid monthly
for the money market funds. Dividends from net investment income are declared
and paid monthly for the variable net asset value funds, except for the
International Equity Fund, which dividends are declared and paid annually.
Distributable net realized gains, if any, are declared and distributed at least
annually.
The amounts of dividends from net investment income and of distributions
from net realized gains are determined in accordance with federal income tax
regulations, which may differ from GAAP. These differences are primarily due to
differing treatments for mortgage-backed securities, amortization and/or
accretion of securities, foreign currency transactions, expiring capital loss
carryforwards and deferrals of certain losses. These "book/tax" differences are
either considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within the
composition of net assets based on their federal tax-basis treatment; temporary
differences do not require reclassification. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
The Funds may utilize equalization accounting for tax purposes and
designate earnings and profits distributed to shareholders on redemption of
shares, as a part of the dividends paid deduction for income tax purposes.
Federal Income Taxes:
It is the policy of each Fund to continue to qualify as a regulated
investment company by complying with the provisions available to certain
investment companies, as defined in applicable sections, including Subchapter M,
of the Internal Revenue Code ("the Code"), and to make distributions of net
investment income and net realized capital gains sufficient to relieve it from
all, or substantially all, federal income taxes.
In-Kind Redemptions:
In certain circumstances, the Funds may distribute portfolio securities
rather than cash as payment for a redemption of fund shares (in-kind
redemption). For financial reporting purposes, the Funds recognize a gain on the
in-kind redemptions to the extent the value of the distributed securities on the
date of redemption exceeds the cost of those securities; the Funds recognize a
loss if cost exceeds value. Gains and losses realized on in-kind redemptions are
not recognized for tax purposes and are reclassified from undistributed realized
gain (loss) to paid-in-capital. During the year ended July 31, 2004, the Select
Equity Fund, the Large Cap Fund, and the Mid Cap Fund realized $2,057,555,
$63,353,561, and $13,261,988 of net gain on $7,304,757, $131,940,139, and
$55,244,692 of in-kind redemptions, respectively.
Other:
Expenses that are directly related to one of the Funds are charged directly
to that Fund. Other operating expenses for the Trust are prorated to all the
Funds on the basis of relative net assets. Fees paid under a Fund's shareholder
servicing or distribution plans are borne by the specific class of shares to
which they apply. Income, expenses, and realized and unrealized gains or losses
on investments are allocated to each class of shares based on its relative net
assets, except that each class separately bears expenses related specifically to
that class, such as distribution fees.
Redemption Fee:
The variable net asset funds may impose a redemption fee. This fee can be
assessed on redemptions and exchanges of fund shares within 30 days from the
date the fund shares were acquired.
Continued
102
-----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
-----------------------------------
4. Purchases and Sales of Securities:
Purchases and sales of securities (excluding short-term securities and U.S.
Government securities) for the year ended July 31, 2004 were as follows (amounts
in thousands):
Purchases Sales
----------- -----------
Value Fund .......................................................... $105,315 $185,477
Select Equity Fund .................................................. 68,490 15,321
Enhanced Market Fund ................................................ 140,363 100,673
Large Cap Equity .................................................... 36,127 204,240
Capital Growth ...................................................... 189,951 271,726
Mid Cap Equity ...................................................... 168,736 149,676
Small Cap Fund ...................................................... 358,503 342,206
International Equity Fund ........................................... 72,857 23,055
Balanced Fund ....................................................... 23,526 16,453
Strategic Portfolios: Aggressive Growth Portfolio ................... 25,676 11,904
Strategic Portfolios: Growth Portfolio .............................. 32,665 10,531
Strategic Portfolios: Growth and Income Portfolio ................... 51,771 37,252
Strategic Portfolios: Moderate Growth and Income Portfolio .......... 25,448 12,588
Government Income Fund .............................................. 70,360 50,634
Limited Term Bond Fund .............................................. 52,102 29,593
Bond Fund ........................................................... 133,952 139,143
Municipal Bond Fund ................................................. 18,007 18,842
Florida Tax-Exempt Fund ............................................. 6,294 12,505
Tennessee Tax-Exempt Fund ........................................... -- 8,062
5. Affiliated Party Transactions:
Advisor
AAMI serves as Investment Advisor for the Trust. Under the terms of the
investment advisory agreement, AAMI, a separate, wholly-owned subsidiary of
AmSouth Bank ("AmSouth"), is entitled to receive fees based on a percentage of
the average daily net assets of each of the Funds as follows:
Annual Fee as a
Percentage of Average
Daily Net Assets
----------------------
Value Fund ......................................................... 0.80%
Select Equity Fund ................................................. 0.80%
Enhanced Market Fund ............................................... 0.45%
Large Cap .......................................................... 0.80%
Capital Growth ..................................................... 0.80%
Mid Cap Equity ..................................................... 1.00%
Small Cap Fund ..................................................... 1.20%
International Equity Fund .......................................... 1.25%
Balanced Fund ...................................................... 0.80%
Strategic Portfolios: Aggressive Growth Portfolio .................. 0.20%
Strategic Portfolios: Growth Portfolio ............................. 0.20%
Strategic Portfolios: Growth and Income Portfolio .................. 0.20%
Strategic Portfolios: Moderate Growth and Income Portfolio ......... 0.20%
Government Income Fund ............................................. 0.65%
Limited Term Bond Fund ............................................. 0.65%
Bond Fund .......................................................... 0.65%
Municipal Bond Fund ................................................ 0.65%
Florida Tax-Exempt Fund ............................................ 0.65%
Tennessee Tax-Exempt Fund .......................................... 0.65%
Prime Money Market Fund ............................................ 0.40%
Treasury Reserve Money Market Fund ................................. 0.40%
Tax-Exempt Money Market Fund ....................................... 0.40%
Institutional Prime Obligations Money Market Fund .................. 0.20%
Continued
103
- -----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- -----------------------------------
5. Affiliated Party Transactions (continued)
As a result of certain trading errors, the Value Fund was reimbursed
$202,786 by the Advisor to offset losses realized on the disposal of
investments.
Effective October 5, 2004, the Advisor will provide an employee to serve as
Chief Compliance Officer for the Funds, for which the Funds will incur an
additional expense.
AmSouth serves as Custodian for the Trust, with the exception of the
International Equity Fund. Pursuant to the custodian agreement with the Trust,
AmSouth receives compensation from each Fund for such services in an amount
equal to an asset-based fee plus fixed fees charged for certain portfolio
transactions and out-of-pocket expenses. The Bank of New York serves as
custodian for the International Equity Fund.
Administrator
BISYS Fund Services Limited Partnership d/b/a BISYS Fund Services
("BISYS"), an Ohio Limited Partnership, BISYS Fund Services Ohio, Inc. ("BISYS
Ohio"), and BISYS Fund Services, Inc. ("BISYS Inc.") are subsidiaries of the
BISYS Group, Inc.
ASO Services Company ("ASO"), a wholly-owned subsidiary of the BISYS Group,
Inc., serves the Funds as Administrator ("Administrator"). Under the terms of
the administration agreement, the Administrator receives a fee computed based on
an annual percentage of 0.20% of the average daily net assets of each of the
Funds except the Institutional Prime Obligations Money Market Fund, which is
0.10%. AmSouth and BISYS Ohio, with whom certain officers and trustees of the
Trust are affiliated, serve as the Funds' sub-administrators. Such officers and
trustees are paid no fees directly by the Funds for serving as officers and
trustees of the Trust. Pursuant to its current agreement with the Administrator,
AmSouth has assumed certain administration duties, for which AmSouth receives a
fee, paid by the Administrator, based on a percentage of each Fund's average
daily net assets. ASO also serves the Funds as fund accountant for which ASO
receives a fee based on a percentage of each Fund's average daily net assets.
BISYS Ohio and the Advisor may, from time to time, directly or through an
affiliate, use their fee revenue, past profits, or other revenue sources,
without limitation, to pay promotional, administrative, shareholder support, and
other expenses to third parties, including broker-dealers, in connection with
the offer, sale and administration of shares of the Funds.
As a result of certain trading errors, the Value Fund was reimbursed
$202,786 by the Administrator to offset losses realized on the disposal of
investments.
In December 2003, BISYS Ohio reimbursed $23,362 to the Mid Cap Fund,
$55,100 to the Small Cap Fund, $193,326 to the International Equity Fund,
$98,588 to the Government Income Fund, $103,880 to the Limited Term Bond Fund,
and $52,874 to the Bond Fund representing redemption fees that would have been
incurred by shareholders pursuant to the AmSouth Funds' redemption fee policy.
Pursuant to its agreement with the Administrator, BISYS Ohio, as
sub-administrator, is entitled to compensation as mutually agreed upon from time
to time by it and the Administrator. BISYS serves as the Funds' distributor and
is entitled to receive commissions on sales of shares of the variable net asset
value funds. For the year ended July 31, 2004, BISYS received $3,909,734 from
commissions earned on sales of shares of the Funds' variable net asset value
funds. BISYS reallowed $12,161 to affiliated broker dealers of the Fund's
shares. BISYS receives no fees from the Funds for providing distribution
services to the Funds.
BISYS Ohio, serves the Funds as transfer agent. Under the terms of the
transfer agent agreement, BISYS Ohio, receives a fee based on a percentage of
each Fund's average daily net assets, plus out of pocket charges.
Class A Shares and Class I Shares of the Trust are subject to a Shareholder
Servicing Plan (the "Servicing Plan") permitting payment of compensation to
financial institutions that agree to provide certain administrative support
services for their customers or account holders. Each Fund with Class A Shares
or Class I Shares has entered into a specific arrangement with BISYS for the
Continued
104
-----------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
-----------------------------------
5. Affiliated Party Transactions (continued)
provision of such services and reimburses BISYS for its cost of providing these
services, subject to a maximum rate of 0.25% of the Class A Shares and Class B
Shares and 0.15% of the Class I Shares of the average daily net assets of each
of the Funds.
Class B Shares, Class 2 Shares and Class 3 Shares of the Trust are subject
to a Distribution and Shareholder Servicing Plan (the "Distribution Plan")
permitting payment of compensation to a participating organization as payment
for its services or expenses in connection with distribution assistance of the
Funds' Class B Shares, Class 2 Shares and Class 3 Shares to the participating
organizations customers. Each Fund has entered into a specific arrangement with
BISYS for the provision of such services and pays BISYS for its cost of
providing such services, subject to a maximum rate of 1.00% of the average daily
net assets of the Class B Shares of each of the Funds, which includes a
Shareholder Servicing Fee of 0.25% of the average daily net assets of the Class
B Shares of each Fund. Class 2 Shares and Class 3 Shares are subject to a
maximum rate of 0.25% and 0.50% of daily average net assets, respectively, for
such services.
During the period, there were no commissions paid to affiliated brokers for
security transactions.
AAMI, AmSouth, ASO, BISYS, and BISYS Ohio have voluntarily agreed to waive
a portion of their fees. These expense waivers are voluntary and may be
discontinued at any time.
The officers of the Trust receive no compensation directly from the Trust
for performing the duties of their offices. ASO receives fees from the Trust for
acting as Administrator and BISYS Fund Services, Inc. receives fees from the
Trust for acting as Transfer Agent for and for providing fund accounting
services to the Trust.
The Independent Trustees are compensated directly from the Trust for a
quarterly meeting fee of $3,500 and a quarterly retainer fee of $3,750. The
Advisory Trustees are also compensated from the Trust for a quarterly meeting
fee of $3,500 and a quarterly retainer fee of $2,500. The Independent Trustees
and the Advisory Trustees both receive compensation for special meetings of
$1,000.
6. Concentration of Credit Risk
The Municipal Bond Fund invests a large portion of its assets in tax-exempt
debt obligations issued by the State of Alabama, its municipalities, counties,
and other taxing districts. The issuers' abilities to meet their obligations may
be affected by Alabama's economic, regional, and political developments.
The Florida Tax-Exempt Fund invests substantially all of its assets in a
non-diversified portfolio of tax-exempt debt obligations primarily consisting of
securities issued by the State of Florida, its municipalities, counties and
other taxing districts. The issuers' abilities to meet their obligations may be
affected by Florida's economic, regional, and political developments.
The Tennessee Tax-Exempt Fund invests substantially all of its assets in a
non-diversified portfolio of tax-exempt debt obligations primarily consisting of
securities issued by the State of Tennessee, its municipalities, counties and
other taxing districts. The issuers' abilities to meet their obligations may be
affected by Tennessee's economic, regional, and political developments.
7. Capital Share Transactions:
The Trust has issued three classes of Fund shares: Class A Shares, Class I
Shares, and Class B Shares in the Prime Money Market Fund and the variable net
asset funds. The Trust has issued three classes of fund shares in the
Institutional Prime Obligations Money Market Fund: Class 1 Shares, Class 2
Shares, and Class 3 Shares. The Trust has issued two classes of fund shares:
Class A Shares and Class I Shares in the other money market funds. Each class of
shares in a Fund has identical rights and privileges except with respect to fees
paid under shareholder servicing or distribution plans, expenses allocable
exclusively to each class of shares, voting rights on matters affecting a single
class of shares, and the exchange privilege of each class of shares.
Continued
105
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- --------------------------------------------------------------------------------
7. Capital Share Transactions (continued)
Transactions in capital shares for the Funds were as follows (amounts in
thousands):
CAPITAL TRANSACTIONS (amounts in thousands):
-------------------------------------------------------
Class A Shares:
-------------------------------------------------------
Proceeds Cost of Total
from shares Dividends shares Class A
issued reinvested redeemed Shares
----------------- ------------ ------------ -----------
Value Fund
Year Ended July 31, 2004 .......... $20,214 883 (27,203) (6,106)
Year Ended July 31, 2003 .......... $39,558(a) 4,804 (33,262) 11,100
Select Equity Fund
Year Ended July 31, 2004 .......... $10,389 113 (2,671) 7,831
Year Ended July 31, 2003 .......... $ 3,518 22 (1,523) 2,017
Enhanced Market Fund
Year Ended July 31, 2004 .......... $ 8,421 175 (7,935) 661
Year Ended July 31, 2003 .......... $ 6,711 123 (4,476) 2,358
Large Cap Fund
Year Ended July 31, 2004 .......... $29,837 14 (25,341) 4,510
Year Ended July 31, 2003 .......... $44,810 2,565 (21,821) 25,554
Capital Growth Fund
Year Ended July 31, 2004 .......... $ 8,936 -- (8,211) 725
Year Ended July 31, 2003 .......... $11,310 -- (5,662) 5,648
Mid Cap Fund
Year Ended July 31, 2004 .......... $ 8,312 19 (3,401) 4,930
Year Ended July 31, 2003 .......... $ 4,350 7 (4,347) 10
Small Cap Fund
Year Ended July 31, 2004 .......... $ 4,241 -- (2,995) 1,246
Year Ended July 31, 2003 .......... $12,165 -- (11,416) 749
International Equity Fund
Year Ended July 31, 2004 .......... $17,312 60 (7,958) 9,414
Year Ended July 31, 2003 .......... $76,156 2 (76,657) (499)
Balanced Fund
Year Ended July 31, 2004 .......... $24,380 1,502 (19,149) 6,733
Year Ended July 31, 2003 .......... $17,167 2,508 (13,840) 5,835
Aggressive Growth Portfolio
Year Ended July 31, 2004 .......... $11,247 18 (5,635) 5,630
Year Ended July 31, 2003 .......... $ 5,884 1 (3,329) 2,556
Growth Portfolio
Year Ended July 31, 2004 .......... $15,856 118 (4,928) 11,046
Year Ended July 31, 2003 .......... $ 7,283 67 (1,619) 5,731
Growth & Income Portfolio
Year Ended July 31, 2004 .......... $25,497 474 (12,745) 13,226
Year Ended July 31, 2003 .......... $16,228 311 (3,905) 12,634
Moderate Growth & Income Portfolio
Year Ended July 31, 2004 .......... $ 9,637 200 (4,624) 5,213
Year Ended July 31, 2003 .......... $ 5,828 180 (1,760) 4,248
CAPITAL TRANSACTIONS (amounts in thousands):
----------------------------------------------------------------------------------
Class B Shares: Class I Shares:
--------------------------------------------------- -----------------------------
Proceeds Cost of Total Proceeds
from shares Dividends shares Class B from shares Dividends
issued reinvested redeemed Shares issued reinvested
--------------- ------------ ---------- ----------- ---------------- ------------
Value Fund
Year Ended July 31, 2004 .......... 1,365 76 (5,404) (3,963) 44,063 1,076
Year Ended July 31, 2003 .......... 19,110(b) 595 (6,057) 13,648 123,675(c) 10,502
Select Equity Fund
Year Ended July 31, 2004 .......... 5,979 82 (1,204) 4,857 58,750 382
Year Ended July 31, 2003 .......... 3,648 8 (1,194) 2,462 37,387 59
Enhanced Market Fund
Year Ended July 31, 2004 .......... 2,203 24 (2,109) 118 61,507 381
Year Ended July 31, 2003 .......... 2,347 8 (2,044) 311 98,456 135
Large Cap Fund
Year Ended July 31, 2004 .......... 4,125 -- (4,140) (15) 47,648 65
Year Ended July 31, 2003 .......... 4,266 819 (4,573) 512 65,963 11,719
Capital Growth Fund
Year Ended July 31, 2004 .......... 790 -- (2,043) (1,253) 60,638 --
Year Ended July 31, 2003 .......... 962 -- (1,806) (844) 54,309 1
Mid Cap Fund
Year Ended July 31, 2004 .......... 1,036 1 (1,284) (247) 84,163 77
Year Ended July 31, 2003 .......... 501 -- (1,607) (1,106) 81,930 102
Small Cap Fund
Year Ended July 31, 2004 .......... 886 -- (532) 354 54,797 --
Year Ended July 31, 2003 .......... 334 -- (354) (20) 83,733 --
International Equity Fund
Year Ended July 31, 2004 .......... 1,266 -- (244) 1,022 69,560 1,368
Year Ended July 31, 2003 .......... 1,247 -- (1,000) 247 211,555 196
Balanced Fund
Year Ended July 31, 2004 .......... 7,302 226 (4,128) 3,400 10,088 1,097
Year Ended July 31, 2003 .......... 5,980 482 (4,005) 2,457 7,572 2,204
Aggressive Growth Portfolio
Year Ended July 31, 2004 .......... 8,623 4 (763) 7,864 3,507 17
Year Ended July 31, 2003 .......... 1,299 -- (182) 1,117 3,307 2
Growth Portfolio
Year Ended July 31, 2004 .......... 13,564 28 (1,125) 12,467 4,040 72
Year Ended July 31, 2003 .......... 2,822 7 (493) 2,336 2,438 100
Growth & Income Portfolio
Year Ended July 31, 2004 .......... 10,279 49 (1,245) 9,083 6,559 675
Year Ended July 31, 2003 .......... 2,492 18 (455) 2,055 9,776 844
Moderate Growth & Income Portfolio
Year Ended July 31, 2004 .......... 8,489 59 (1,143) 7,405 2,953 309
Year Ended July 31, 2003 .......... 1,922 22 (217) 1,727 3,448 402
CAPITAL TRANSACTIONS (amounts in thousands):
------------------------------------------------
Class I Shares: Class I Shares:
-------------------------- --------------------------
Cost of Total Total net increase
shares Class I (decrease) from
redeemed Shares capital transactions
------------- ------------ ---------------------
Value Fund
Year Ended July 31, 2004 .......... (124,512) (79,373) $ (89,442)
Year Ended July 31, 2003 .......... (171,990) (37,813) $ (13,065)
Select Equity Fund
Year Ended July 31, 2004 .......... (17,892) 41,240 $ 53,928
Year Ended July 31, 2003 .......... (5,212) 32,234 $ 36,713
Enhanced Market Fund
Year Ended July 31, 2004 .......... (29,342) 32,546 $ 33,325
Year Ended July 31, 2003 .......... (17,107) 81,484 $ 84,153
Large Cap Fund
Year Ended July 31, 2004 .......... (219,624) (171,911) $(167,416)
Year Ended July 31, 2003 .......... (98,249) (20,567) $ 5,499
Capital Growth Fund
Year Ended July 31, 2004 .......... (72,020) (11,382) $ (11,910)
Year Ended July 31, 2003 .......... (92,454) (38,144) $ (33,340)
Mid Cap Fund
Year Ended July 31, 2004 .......... (71,632) 12,608 $ 17,291
Year Ended July 31, 2003 .......... (11,094) 70,938 $ 69,842
Small Cap Fund
Year Ended July 31, 2004 .......... (41,735) 13,062 $ 14,662
Year Ended July 31, 2003 .......... (54,410) 29,323 $ 30,052
International Equity Fund
Year Ended July 31, 2004 .......... (35,534) 35,394 $ 45,830
Year Ended July 31, 2003 .......... (174,391) 37,360 $ 37,108
Balanced Fund
Year Ended July 31, 2004 .......... (18,888) (7,703) $ 2,430
Year Ended July 31, 2003 .......... (17,859) (8,083) $ 209
Aggressive Growth Portfolio
Year Ended July 31, 2004 .......... (2,847) 677 $ 14,171
Year Ended July 31, 2003 .......... (3,670) (361) $ 3,312
Growth Portfolio
Year Ended July 31, 2004 .......... (5,321) (1,209) $ 22,304
Year Ended July 31, 2003 .......... (4,615) (2,077) $ 5,990
Growth & Income Portfolio
Year Ended July 31, 2004 .......... (15,119) (7,885) $ 14,424
Year Ended July 31, 2003 .......... (17,353) (6,733) $ 7,956
Moderate Growth & Income Portfolio
Year Ended July 31, 2004 .......... (2,972) 290 $ 12,908
Year Ended July 31, 2003 .......... (5,056) (1,206) $ 4,769
- -----------
(a) Proceeds from Shares Issued include $18,206 issued in connection with the
AmSouth Equity Income Fund Merger.
(b) Proceeds from Shares Issued include $17,577 issued in connection with the
AmSouth Equity Income Fund Merger.
(c) Proceeds from Shares Issued include $28,903 issued in connection with the
AmSouth Equity Income Fund Merger.
Continued
106
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- --------------------------------------------------------------------------------
7. Capital Share Transactions (continued)
SHARE TRANSACTIONS (amounts in thousands):
--------------------------------------------------------------------------------
Class A Shares: Class B Shares:
---------------------------------------------------- ---------------------------
Total
Class A
Issued Reinvested Redeemed Shares Issued Reinvested
-------------- ------------ ------------ ----------- -------------- ------------
Value Fund
Year Ended July 31, 2004 ............. 1,394 62 (1,884) (428) 97 6
Year Ended July 31, 2003 ............. 3,327(a) 407 (2,737) 997 1,665(b) 51
Select Equity Fund
Year Ended July 31, 2004 ............. 774 9 (196) 587 457 6
Year Ended July 31, 2003 ............. 321 2 (142) 181 335 1
Enhanced Market Fund
Year Ended July 31, 2004 ............. 773 16 (726) 63 208 2
Year Ended July 31, 2003 ............. 748 14 (498) 264 261 1
Large Cap Fund
Year Ended July 31, 2004 ............. 1,679 1 (1,424) 256 243 --
Year Ended July 31, 2003 ............. 3,012 174 (1,451) 1,735 294 58
Capital Growth Fund
Year Ended July 31, 2004 ............. 952 -- (862) 90 89 --
Year Ended July 31, 2003 ............. 1,379 -- (713) 666 124 --
Mid Cap Fund
Year Ended July 31, 2004 ............. 690 2 (285) 407 89 --
Year Ended July 31, 2003 ............. 478 1 (484) (5) 56 --
Small Cap Fund
Year Ended July 31, 2004 ............. 521 -- (367) 154 114 --
Year Ended July 31, 2003 ............. 1,914 -- (1,810) 104 53 --
International Equity Fund
Year Ended July 31, 2004 ............. 1,630 6 (800) 836 120 --
Year Ended July 31, 2003 ............. 10,512 -- (10,473) 39 163 --
Balanced Fund
Year Ended July 31, 2004 ............. 2,021 125 (1,597) 549 611 19
Year Ended July 31, 2003 ............. 1,565 231 (1,274) 522 549 45
Aggressive Growth Portfolio
Year Ended July 31, 2004 ............. 1,309 2 (641) 670 1,030 --
Year Ended July 31, 2003 ............. 861 -- (474) 387 185 --
Growth Portfolio
Year Ended July 31, 2004 ............. 1,794 13 (568) 1,239 1,525 3
Year Ended July 31, 2003 ............. 957 9 (215) 751 366 1
Growth & Income Portfolio
Year Ended July 31, 2004 ............. 2,686 50 (1,349) 1,387 1,082 5
Year Ended July 31, 2003 ............. 1,954 37 (471) 1,520 293 2
Moderate Growth & Income Portfolio
Year Ended July 31, 2004 ............. 1,011 21 (493) 539 891 6
Year Ended July 31, 2003 ............. 670 21 (203) 488 222 3
SHARE TRANSACTIONS (amounts in thousands):
----------------------------------------------------------------------------
Class B Shares: Class I Shares:
---------------------- -----------------------------------------------------
Total Total
Class B Class I
Redeemed Shares Issued Reinvested Redeemed Shares
---------- ----------- --------------- ------------ ------------ -----------
Value Fund
Year Ended July 31, 2004 ............. (380) (277) 3,084 76 (8,635) (5,475)
Year Ended July 31, 2003 ............. (518) 1,198 10,567(c) 892 (14,458) (2,999)
Select Equity Fund
Year Ended July 31, 2004 ............. (92) 371 4,360 29 (1,357) 3,032
Year Ended July 31, 2003 ............. (114) 222 3,447 5 (475) 2,977
Enhanced Market Fund
Year Ended July 31, 2004 ............. (195) 15 5,717 35 (2,736) 3,016
Year Ended July 31, 2003 ............. (235) 27 11,073 15 (1,893) 9,195
Large Cap Fund
Year Ended July 31, 2004 ............. (243) -- 2,683 4 (12,537) (9,850)
Year Ended July 31, 2003 ............. (319) 33 4,431 791 (6,640) (1,418)
Capital Growth Fund
Year Ended July 31, 2004 ............. (227) (138) 6,444 -- (7,622) (1,178)
Year Ended July 31, 2003 ............. (242) (118) 6,892 -- (11,671) (4,779)
Mid Cap Fund
Year Ended July 31, 2004 ............. (111) (22) 7,006 6 (6,134) 878
Year Ended July 31, 2003 ............. (182) (126) 9,201 11 (1,198) 8,014
Small Cap Fund
Year Ended July 31, 2004 ............. (69) 45 6,656 -- (5,168) 1,488
Year Ended July 31, 2003 ............. (58) (5) 12,769 -- (8,161) 4,608
International Equity Fund
Year Ended July 31, 2004 ............. (23) 97 6,298 127 (3,381) 3,044
Year Ended July 31, 2003 ............. (130) 33 29,150 27 (23,678) 5,499
Balanced Fund
Year Ended July 31, 2004 ............. (342) 288 836 92 (1,566) (638)
Year Ended July 31, 2003 ............. (371) 223 687 203 (1,663) (773)
Aggressive Growth Portfolio
Year Ended July 31, 2004 ............. (90) 940 410 2 (339) 73
Year Ended July 31, 2003 ............. (27) 158 472 -- (529) (57)
Growth Portfolio
Year Ended July 31, 2004 ............. (127) 1,401 455 8 (610) (147)
Year Ended July 31, 2003 ............. (67) 300 316 13 (603) (274)
Growth & Income Portfolio
Year Ended July 31, 2004 ............. (131) 956 701 71 (1,586) (814)
Year Ended July 31, 2003 ............. (55) 240 1,173 100 (2,076) (803)
Moderate Growth & Income Portfolio
Year Ended July 31, 2004 ............. (120) 777 309 32 (312) 29
Year Ended July 31, 2003 ............. (26) 199 397 46 (586) (143)
SHARE TRANSACTIONS
(amounts in
thousands):
-------------------
Total net increase
(decrease) from
share transactions
-------------------
Value Fund
Year Ended July 31, 2004 ............. (6,180)
Year Ended July 31, 2003 ............. (804)
Select Equity Fund
Year Ended July 31, 2004 ............. 3,990
Year Ended July 31, 2003 ............. 3,380
Enhanced Market Fund
Year Ended July 31, 2004 ............. 3,094
Year Ended July 31, 2003 ............. 9,486
Large Cap Fund
Year Ended July 31, 2004 ............. (9,594)
Year Ended July 31, 2003 ............. 350
Capital Growth Fund
Year Ended July 31, 2004 ............. (1,226)
Year Ended July 31, 2003 ............. (4,231)
Mid Cap Fund
Year Ended July 31, 2004 ............. 1,263
Year Ended July 31, 2003 ............. 7,883
Small Cap Fund
Year Ended July 31, 2004 ............. 1,687
Year Ended July 31, 2003 ............. 4,707
International Equity Fund
Year Ended July 31, 2004 ............. 3,977
Year Ended July 31, 2003 ............. 5,571
Balanced Fund
Year Ended July 31, 2004 ............. 199
Year Ended July 31, 2003 ............. (28)
Aggressive Growth Portfolio
Year Ended July 31, 2004 ............. 1,683
Year Ended July 31, 2003 ............. 488
Growth Portfolio
Year Ended July 31, 2004 ............. 2,493
Year Ended July 31, 2003 ............. 777
Growth & Income Portfolio
Year Ended July 31, 2004 ............. 1,529
Year Ended July 31, 2003 ............. 957
Moderate Growth & Income Portfolio
Year Ended July 31, 2004 ............. 1,345
Year Ended July 31, 2003 ............. 544
- ---------
(a) Shares Issued include 1,563 issued in connection with the AmSouth Equity
Income Fund Merger.
(b) Shares Issued include 1,534 issued in connection with the AmSouth Equity
Income Fund Merger.
(c) Shares Issued include 2,487 issued in connection with the AmSouth Equity
Income Fund Merger.
Continued
107
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- --------------------------------------------------------------------------------
7. Capital Share Transactions (continued)
CAPITAL TRANSACTIONS (amounts in thousands):
----------------------------------------------------------------------------------
Class A Shares: Class B Shares:
------------------------------------------------------- --------------------------
Proceeds Cost of Total Proceeds
from shares Dividends shares Class A from shares Dividends
issued reinvested redeemed Shares issued reinvested
----------------- ------------ ------------ ----------- ------------- ------------
Government Income Fund
Year Ended July 31, 2004 ......... $ 5,663 721 (9,813) (3,429) 720 235
Year Ended July 31, 2003 ......... $32,625(a) 672 (20,921) 12,376 8,586(b) 244
Limited Term Bond Fund
Year Ended July 31, 2004 ......... $10,698 759 (20,123) (8,666) 3,529 346
Year Ended July 31, 2003 ......... $50,401 907 (35,598) 15,710 15,766 387
Bond Fund
Year Ended July 31, 2004 ......... $20,113 1,959 (28,575) (6,503) 710 279
Year Ended July 31, 2003 ......... $41,640 2,337 (28,589) 15,388 3,069 395
Municipal Bond Fund
Year Ended July 31, 2004 ......... $ 2,737 393 (3,379) (249) 594 62
Year Ended July 31, 2003 ......... $ 8,975 361 (4,348) 4,988 1,416 57
Florida Tax-Exempt Fund
Year Ended July 31, 2004 ......... $ 2,983 89 (5,119) (2,047) 505 60
Year Ended July 31, 2003 ......... $ 4,496 145 (1,595) 3,046 2,049 59
Tennessee Tax-Exempt Fund
Year Ended July 31, 2004 ......... $ 982 82 (3,409) (2,345) 189 50
Year Ended July 31, 2003 ......... $11,462(d) 47 (5,575) 5,934 1,613(e) 34
CAPITAL TRANSACTIONS (amounts in thousands):
-------------------------------------------------------------------------------
Class B Shares:
----------------------
Cost of Total Proceeds Cost of Total
shares Class B from shares Dividends shares Class I
redeemed Shares issued reinvested redeemed Shares
---------- ----------- ---------------- ------------ ------------ ------------
Government Income Fund
Year Ended July 31, 2004 ......... (3,469) (2,514) 48,149 5,080 (83,575) (30,346)
Year Ended July 31, 2003 ......... (1,915) 6,915 117,972(c) 7,062 (129,514) (4,480)
Limited Term Bond Fund
Year Ended July 31, 2004 ......... (7,024) (3,149) 116,705 2,029 (85,799) 32,935
Year Ended July 31, 2003 ......... (3,084) 13,069 103,771 1,776 (75,245) 30,302
Bond Fund
Year Ended July 31, 2004 ......... (3,617) (2,628) 110,317 9,136 (132,591) (13,138)
Year Ended July 31, 2003 ......... (2,994) 470 172,275 11,759 (168,484) 15,550
Municipal Bond Fund
Year Ended July 31, 2004 ......... (965) (309) 41,254 804 (52,438) (10,380)
Year Ended July 31, 2003 ......... (794) 679 50,653 726 (69,776) (18,397)
Florida Tax-Exempt Fund
Year Ended July 31, 2004 ......... (1,366) (801) 10,158 38 (12,603) (2,407)
Year Ended July 31, 2003 ......... (899) 1,209 5,932 14 (9,949) (4,003)
Tennessee Tax-Exempt Fund
Year Ended July 31, 2004 ......... (689) (450) 3,366 155 (10,642) (7,121)
Year Ended July 31, 2003 ......... (533) 1,114 6,990 4 (16,505) (9,511)
CAPITAL TRANSACTIONS
(amounts in
thousands):
---------------------
Total net increase
(decrease) from
capital transactions
---------------------
Government Income Fund
Year Ended July 31, 2004 ......... $(36,289)
Year Ended July 31, 2003 ......... $ 14,811
Limited Term Bond Fund
Year Ended July 31, 2004 ......... $ 21,120
Year Ended July 31, 2003 ......... $ 59,081
Bond Fund
Year Ended July 31, 2004 ......... $(22,269)
Year Ended July 31, 2003 ......... $ 31,408
Municipal Bond Fund
Year Ended July 31, 2004 ......... $(10,938)
Year Ended July 31, 2003 ......... $(12,730)
Florida Tax-Exempt Fund
Year Ended July 31, 2004 ......... $ (5,255)
Year Ended July 31, 2003 ......... $ 252
Tennessee Tax-Exempt Fund
Year Ended July 31, 2004 ......... $ (9,916)
Year Ended July 31, 2003 ......... $ (2,463)
- ------------
(a) Proceeds from Shares Issued include $6,985 issued in connection with the
AmSouth Limited Term U.S. Government Fund Merger.
(b) Proceeds from Shares Issued include $5,656 issued in connection with the
AmSouth Limited Term U.S. Government Fund Merger.
(c) Proceeds from Shares Issued include $32,828 issued in connection with the
AmSouth Limited Term U.S. Government Fund Merger.
(d) Proceeds from Shares Issued include $8,770 issued in connection with the
AmSouth Limited Term Tennessee Tax-Exempt Fund Merger.
(e) Proceeds from Shares Issued include $1,001 issued in connection with the
AmSouth Limited Term Tennessee Tax-Exempt Fund Merger.
Continued
108
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- --------------------------------------------------------------------------------
7. Capital Share Transactions (continued)
SHARE TRANSACTIONS (amounts in thousands):
-----------------------------------------------------------
Class A Shares:*
-----------------------------------------------------------
Total
Class A
Issued Reinvested Redeemed Shares
---------------- ------------ --------------- -------------
Government Income Fund
Year Ended July 31, 2004 ......... 564 72 (980) (344)
Year Ended July 31, 2003 ......... 3,175(a) 65 (2,035) 1,205
Limited Term Bond Fund
Year Ended July 31, 2004 ......... 1,007 72 (1,898) (819)
Year Ended July 31, 2003 ......... 4,681 85 (3,313) 1,453
Bond Fund
Year Ended July 31, 2004 ......... 1,776 174 (2,528) (578)
Year Ended July 31, 2003 ......... 3,585 203 (2,462) 1,326
Municipal Bond Fund
Year Ended July 31, 2004 ......... 263 38 (325) (24)
Year Ended July 31, 2003 ......... 854 34 (414) 474
Florida Tax-Exempt Fund
Year Ended July 31, 2004 ......... 278 8 (473) (187)
Year Ended July 31, 2003 ......... 412 13 (146) 279
Tennessee Tax-Exempt Fund
Year Ended July 31, 2004 ......... 95 8 (328) (225)
Year Ended July 31, 2003 ......... 1,099(d) 4 (531) 572
Prime Money Market Fund+
Year Ended July 31, 2004 ......... 509,997 1,318 (514,313) (2,998)
Year Ended July 31, 2003 ......... 425,086 3,333 (541,125) (112,706)
Treasury Reserve Money Market Fund+
Year Ended July 31, 2004 ......... 211,979(f) 35 (185,836) 26,178
Year Ended July 31, 2003 ......... 167,611 33 (219,473) (51,829)
Tax-Exempt Money Market Fund+
Year Ended July 31, 2004 ......... 72,294 103 (74,312) (1,915)
Year Ended July 31, 2003 ......... 67,924 181 (65,765) 2,340
Institutional Prime Obligations
Money Market Fund+
Year Ended July 31, 2004 ......... 999,579 -- (1,103,434) (103,855)
Year Ended July 31, 2003 ......... 1,137,073 1 (1,151,117) (14,043)
SHARE TRANSACTIONS (amounts in thousands):
-----------------------------------------------------------------------------------------
Class B Shares:** Class I Shares:***
--------------------------------------------------------- ------------------------------
Total
Issued Reinvested Redeemed Class B Shares Issued Reinvested
------------- ------------ ------------- ---------------- ----------------- ------------
Government Income Fund
Year Ended July 31, 2004 ......... 72 23 (346) (251) 4,804 508
Year Ended July 31, 2003 ......... 836(b) 24 (187) 673 11,455(c) 687
Limited Term Bond Fund
Year Ended July 31, 2004 ......... 332 33 (664) (299) 10,951 192
Year Ended July 31, 2003 ......... 1,465 36 (286) 1,215 9,638 165
Bond Fund
Year Ended July 31, 2004 ......... 63 25 (322) (234) 9,765 810
Year Ended July 31, 2003 ......... 265 34 (258) 41 14,844 1,021
Municipal Bond Fund
Year Ended July 31, 2004 ......... 57 6 (93) (30) 3,947 77
Year Ended July 31, 2003 ......... 136 5 (76) 65 4,808 69
Florida Tax-Exempt Fund
Year Ended July 31, 2004 ......... 47 6 (128) (75) 935 3
Year Ended July 31, 2003 ......... 187 5 (82) 110 544 1
Tennessee Tax-Exempt Fund
Year Ended July 31, 2004 ......... 18 5 (66) (43) 323 15
Year Ended July 31, 2003 ......... 154(e) 3 (50) 107 664 --
Prime Money Market Fund+
Year Ended July 31, 2004 ......... 1,926 4 (2,322) (392) 1,237,080 237
Year Ended July 31, 2003 ......... 2,741 10 (3,075) (324) 1,595,328 616
Treasury Reserve Money Market Fund+
Year Ended July 31, 2004 ......... -- -- -- -- 366,375(g) 76
Year Ended July 31, 2003 ......... -- -- -- -- 330,764 97
Tax-Exempt Money Market Fund+
Year Ended July 31, 2004 ......... -- -- -- -- 187,036 17
Year Ended July 31, 2003 ......... -- -- -- -- 250,044 39
Institutional Prime Obligations
Money Market Fund+
Year Ended July 31, 2004 ......... 412,435 -- (452,075) (39,640) 625,457 251
Year Ended July 31, 2003 ......... 443,865 -- (562,072) (118,207) 815,952 386
SHARE TRANSACTIONS (amounts in thousands):
-------------------------------------------------
Class I Shares:***
-----------------------------
Total Total net increase
Class I (decrease) from
Redeemed Shares share transactions
--------------- ------------- -------------------
Government Income Fund
Year Ended July 31, 2004 ......... (8,341) (3,029) (3,624)
Year Ended July 31, 2003 ......... (12,569) (427) 1,451
Limited Term Bond Fund
Year Ended July 31, 2004 ......... (8,076) 3,067 1,949
Year Ended July 31, 2003 ......... (6,990) 2,813 5,481
Bond Fund
Year Ended July 31, 2004 ......... (11,710) (1,135) (1,947)
Year Ended July 31, 2003 ......... (14,518) 1,347 2,714
Municipal Bond Fund
Year Ended July 31, 2004 ......... (5,033) (1,099) (1,063)
Year Ended July 31, 2003 ......... (6,633) (1,756) (1,217)
Florida Tax-Exempt Fund
Year Ended July 31, 2004 ......... (1,165) (227) (489)
Year Ended July 31, 2003 ......... (912) (367) 22
Tennessee Tax-Exempt Fund
Year Ended July 31, 2004 ......... (1,022) (684) (952)
Year Ended July 31, 2003 ......... (1,574) (910) (231)
Prime Money Market Fund+
Year Ended July 31, 2004 ......... (1,294,347) (57,030) (60,420)
Year Ended July 31, 2003 ......... (2,144,526) (548,582) (661,612)
Treasury Reserve Money Market Fund+
Year Ended July 31, 2004 ......... (273,950) 92,501 118,679
Year Ended July 31, 2003 ......... (507,589) (176,728) (228,557)
Tax-Exempt Money Market Fund+
Year Ended July 31, 2004 ......... (188,379) (1,326) (3,241)
Year Ended July 31, 2003 ......... (295,803) (45,720) (43,380)
Institutional Prime Obligations
Money Market Fund+
Year Ended July 31, 2004 ......... (624,947) 761 (142,734)
Year Ended July 31, 2003 ......... (890,651) (74,313) (206,563)
- ------------
+ Capital Transactions are done at par value of $1.00 per share.
* Represents Class 2 Shares for Institutional Prime Obligations Money Market
Fund.
** Represents Class 3 Shares for Institutional Prime Obligations Money Market
Fund.
*** Represents Class 1 Shares for Institutional Prime Obligations Money Market
Fund.
(a) Shares Issued include 681 issued in connection with the AmSouth Limited
Term U.S. Government Fund Merger.
(b) Shares Issued include 552 issued in connection with the AmSouth Limited
Term U.S. Government Fund Merger.
(c) Shares Issued include 3,202 issued in connection with the AmSouth Limited
Term U.S. Government Fund Merger.
(d) Shares Issued include 842 issued in connection with the AmSouth Limited
Term Tennessee Tax-Exempt Fund Merger.
(e) Shares Issued include 96 issued in connection with the AmSouth Limited Term
Tennessee Tax-Exempt Fund Merger.
(f) Shares Issued include 52,531 issued in connection with the AmSouth U.S.
Treasury Money Market Fund Merger. (see Reorganization (#2 in Notes to
Financial Statements))
(g) Shares Issued include 70,966 issued in connection with the AmSouth U.S.
Treasury Money Market Fund Merger. (see Reorganization (#2 in Notes to
Financial Statements))
Continued
109
- -------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- -------------------------------------
8. Federal Income Tax Information:
As of July 31, 2004 the following Funds have capital loss carryforwards,
which are available to offset future capital gains, if any, on security
transactions to the extent provided for in the Code (amounts in thousands):
Amount Expires
--------- --------
Value Fund .......................................................... $ 1,059 2006*
284 2007*
4,005 2008*
25,113 2009*
4,926 2010*
6,939 2011
66,992 2012
Capital Growth Fund ................................................. 14,079 2009*
40,208 2010
55,985 2011
Mid Cap Fund ........................................................ 14,024 2010
2,982 2011
Small Cap Fund ...................................................... 22,279 2010
29,777 2011
International Equity Fund ........................................... 4,706 2010
24,219 2011
Balanced Fund ....................................................... 1,675 2012
Strategic Portfolios: Aggressive Growth Portfolio ................... 59 2010
1,912 2011
4,167 2012
Strategic Portfolios: Growth Portfolio .............................. 2,498 2011
330 2012
Strategic Portfolios: Growth and Income Portfolio ................... 6,515 2011
211 2012
Strategic Portfolios: Moderate Growth and Income Portfolio .......... 1,484 2011
Government Income Fund .............................................. 195 2012
Limited Term Bond Fund .............................................. 304 2005
117 2006
338 2007
50 2008
518 2009
38 2010
Prime Money Market Fund ............................................. 2 2007
Treasury Reserve Money Market Fund .................................. 3 2010
Tax-Exempt Money Market Fund ........................................ 117 2006
92 2007
75 2009
15 2011
* As the successor of a merger, the utilization of the capital loss
carryforward in subsequent years may be limited pursuant to sections 382 and
383 of the Internal Revenue Code.
Continued
110
-------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
-------------------------------------
8. Federal Income Tax Information (continued)
During the current fiscal year, the following funds utilized prior years'
capital losses carried forward as follows:
Small Cap .................................. 24,127,213
Enhanced Market ............................ 5,996,610
Mid Cap .................................... 12,451,302
Large Cap .................................. 4,493,128
International Equity ....................... 8,835,330
Capital Growth ............................. 4,738,625
Moderate Growth & Income Portfolio ......... 1,059,940
The tax character of distributions paid during the fiscal year ended July 31,
2004 were as follows (Total distributions paid differ from the Statements of
Changes in Net Assets because for tax purposes dividends are recognized when
actually paid.) (amounts in thousands):
Distributions paid from
----------------------------
Net Net
Investment Long Term
Income Capital Gains
------------ ---------------
Value Fund ............................................ $ 4,668 $ --
Select Equity Fund .................................... 475 525
Enhanced Market Fund .................................. 1,336 --
Large Cap ............................................. -- 650
Capital Growth Fund ................................... -- --
Mid Cap Equity ........................................ 244 --
Small Cap Fund ........................................ -- --
International Equity Fund ............................. 3,153 --
Balanced Fund ......................................... 3,033 --
Strategic Portfolios: Aggressive Growth Portfolio ..... -- --
Strategic Portfolios: Growth Portfolio ................ 221 --
Strategic Portfolios: Growth and Income Portfolio ..... 1,221 --
Strategic Portfolios: Moderate Growth and
Income Portfolio ..................................... 580 --
Limited Term Bond Fund ................................ 8,002 --
Government Income Fund ................................ 11,067 313
Bond Fund ............................................. 28,061 5,604
Municipal Bond Fund ................................... -- 493
Florida Tax-Exempt Fund ............................... 26 83
Tennessee Tax-Exempt Fund ............................. -- 224
Prime Money Market Fund ............................... 2,402 --
Treasury Reserve Money Market Fund .................... 499 --
Tax-Exempt Money Market Fund .......................... -- --
Institutional Prime Obligations Money
Market Fund .......................................... 2,804 --
Total Tax Tax Return Total
Taxable Exempt of Distributions
Distributions Distributions Capital Paid
--------------- --------------- ------------ --------------
Value Fund ............................................ $ 4,668 $ -- $-- $ 4,668
Select Equity Fund .................................... 1,000 -- -- 1,000
Enhanced Market Fund .................................. 1,336 -- -- 1,336
Large Cap ............................................. 650 -- -- 650
Capital Growth Fund ................................... -- -- -- --
Mid Cap Equity ........................................ 244 -- -- 244
Small Cap Fund ........................................ -- -- -- --
International Equity Fund ............................. 3,153 -- -- 3,153
Balanced Fund ......................................... 3,033 -- -- 3,033
Strategic Portfolios: Aggressive Growth Portfolio ..... -- -- 40 40
Strategic Portfolios: Growth Portfolio ................ 221 -- -- 221
Strategic Portfolios: Growth and Income Portfolio ..... 1,221 -- -- 1,221
Strategic Portfolios: Moderate Growth and
Income Portfolio ..................................... 580 -- -- 580
Limited Term Bond Fund ................................ 8,002 -- -- 8,002
Government Income Fund ................................ 11,380 -- -- 11,380
Bond Fund ............................................. 33,665 -- -- 33,665
Municipal Bond Fund ................................... 493 12,973 -- 13,466
Florida Tax-Exempt Fund ............................... 110 2,002 -- 2,111
Tennessee Tax-Exempt Fund ............................. 223 1,374 -- 1,598
Prime Money Market Fund ............................... 2,402 -- -- 2,402
Treasury Reserve Money Market Fund .................... 499 -- -- 499
Tax-Exempt Money Market Fund .......................... -- 527 -- 527
Institutional Prime Obligations Money
Market Fund .......................................... 2,804 -- -- 2,804
Continued
111
- -------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- -------------------------------------
8. Federal Income Tax Information (continued)
The tax character of distributions paid during the fiscal year ended July 31,
2003 were as follows (Total distributions paid differ from the Statements of
Changes in Net Assets because for tax purposes dividends are recognized when
actually paid.) (amounts in thousands):
Distributions paid from
----------------------------
Net Net
Investment Long Term
Income Capital Gains
------------ ---------------
Value Fund ............................................ $ 6,394 $ 21,984
Select Equity Fund .................................... 153 3
Enhanced Market Fund .................................. 569 --
Large Cap ............................................. 841 19,503
Capital Growth ........................................ 6 --
Mid Cap Equity ........................................ 156 --
Small Cap Fund ........................................ -- --
International Equity Fund ............................. 428 --
Balanced Fund ......................................... 3,525 1,996
Strategic Portfolios: Aggressive Growth Portfolio ..... 3 --
Strategic Portfolios: Growth Portfolio ................ 177 --
Strategic Portfolios: Growth and Income Portfolio ..... 1,195 --
Strategic Portfolios: Moderate Growth
And Income Portfolio ................................. 511 97
Limited Term Bond Fund ................................ 8,085 --
Government Income Fund ................................ 11,880 3,843
Bond Fund ............................................. 30,195 8,620
Municipal Bond Fund ................................... 16 1,175
Florida Tax-Exempt Fund ............................... -- 6
Tennessee Tax-Exempt Fund ............................. -- --
Prime Money Market Fund ............................... 6,176 --
U.S. Treasury Money Market Fund ....................... 1,122 --
Treasury Reserve Money Market Fund .................... 1,197 --
Tax-Exempt Money Market Fund .......................... 49 --
Institutional Prime Obligations Money
Market Fund .......................................... 5,274 --
Total Tax Tax Return Total
Taxable Exempt of Distributions
Distributions Distributions Capital Paid
--------------- --------------- ------------ --------------
Value Fund ............................................ $ 28,378 $ -- $-- $ 28,378
Select Equity Fund .................................... 156 -- -- 156
Enhanced Market Fund .................................. 569 -- -- 569
Large Cap ............................................. 20,344 -- 91 20,435
Capital Growth ........................................ 6 -- -- 6
Mid Cap Equity ........................................ 156 -- -- 156
Small Cap Fund ........................................ -- -- -- --
International Equity Fund ............................. 428 -- -- 428
Balanced Fund ......................................... 5,521 -- -- 5,521
Strategic Portfolios: Aggressive Growth Portfolio ..... 3 -- -- 3
Strategic Portfolios: Growth Portfolio ................ 177 -- -- 177
Strategic Portfolios: Growth and Income Portfolio ..... 1,195 -- -- 1,195
Strategic Portfolios: Moderate Growth
And Income Portfolio ................................. 608 -- -- 608
Limited Term Bond Fund ................................ 8,085 -- -- 8,085
Government Income Fund ................................ 15,723 -- -- 15,723
Bond Fund ............................................. 38,815 -- -- 38,815
Municipal Bond Fund ................................... 1,191 12,498 -- 13,689
Florida Tax-Exempt Fund ............................... 6 2,170 -- 2,176
Tennessee Tax-Exempt Fund ............................. -- 1,524 -- 1,524
Prime Money Market Fund ............................... 6,176 -- -- 6,176
U.S. Treasury Money Market Fund ....................... 1,122 -- -- 1,122
Treasury Reserve Money Market Fund .................... 1,197 -- -- 1,197
Tax-Exempt Money Market Fund .......................... 49 1,054 -- 1,103
Institutional Prime Obligations Money
Market Fund .......................................... 5,274 -- -- 5,274
Continued
112
-------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
-------------------------------------
8. Federal Income Tax Information (continued)
As of July 31, 2004 the components of accumulated earnings/(deficit) on a tax
basis were as follows (The differences between book-tax-basis and tax-basis
unrealized appreciation/(depreciation) is attributed primarily to tax deferral
of losses on wash sales and the difference between book and tax amortization
methods for premium and market discounts.) (amounts in thousands):
Undistributed
Undistributed Undistributed Long-Term
Tax-Exempt Ordinary Capital Accumulated
Income Income Gains Earnings
--------------- --------------- --------------- -------------
Value Fund .................................... $ -- $ 338 $ -- $ 338
Select Equity Fund ............................ -- -- 120 120
Enhanced Market Fund .......................... -- 424 2,885 3,309
Large Cap ..................................... -- -- 9,422 9,422
Capital Growth Fund ........................... -- -- -- --
Mid Cap Equity ................................ -- 1 -- 1
Small Cap Fund ................................ -- -- -- --
International Equity Fund ..................... -- 3,320 -- 3,320
Balanced Fund ................................. -- 170 -- 170
Strategic Portfolios: Aggressive Growth
Portfolio .................................... -- -- -- --
Strategic Portfolios: Growth Portfolio ........ -- 53 -- 53
Strategic Portfolios: Growth and Income
Portfolio .................................... -- 142 -- 142
Strategic Portfolios: Moderate Growth and
Income Portfolio ............................. -- 78 -- 78
Limited Term Bond Fund ........................ -- 283 -- 283
Government Income Fund ........................ -- 302 -- 302
Bond Fund ..................................... -- 1,080 764 1,844
Municipal Bond Fund ........................... 346 -- 903 1,249
Florida Tax-Exempt Fund ....................... 45 -- 287 332
Tennessee Tax-Exempt Fund ..................... 29 -- 184 213
Prime Money Market Fund ....................... -- 261 -- 261
Treasury Reserve Money Market Fund ............ -- 113 -- 113
Tax-Exempt Money Market Fund .................. 49 -- -- 49
Institutional Prime Obligations Money
Market Fund .................................. -- 283 -- 283
Accumulated Total
Capital Unrealized Accumulated
Distributions and Other Appreciation/ Earnings/
Payable Losses Depreciation (Deficit)
--------------- ----------------- --------------- --------------
Value Fund .................................... $ -- $ (109,318) $ 114,157 $ 5,177
Select Equity Fund ............................ -- -- 8,340 8,460
Enhanced Market Fund .......................... -- -- 8,134 11,443
Large Cap ..................................... -- -- 93,630 103,052
Capital Growth Fund ........................... -- (110,272) 17,585 (92,687)
Mid Cap Equity ................................ -- (17,006) 10,623 (6,382)
Small Cap Fund ................................ -- (52,056) 19,705 (32,351)
International Equity Fund ..................... -- (28,925) 83,692 58,087
Balanced Fund ................................. -- (1,675) 28,787 27,282
Strategic Portfolios: Aggressive Growth
Portfolio .................................... -- (7,941) 4,069 (3,872)
Strategic Portfolios: Growth Portfolio ........ -- (4,161) 2,684 (1,424)
Strategic Portfolios: Growth and Income
Portfolio .................................... -- (8,905) 5,007 (3,756)
Strategic Portfolios: Moderate Growth and
Income Portfolio ............................. -- (1,484) 1,331 (75)
Limited Term Bond Fund ........................ -- (1,882) 266 (1,333)
Government Income Fund ........................ (195) 5,291 5,398
Bond Fund ..................................... -- -- 18,894 20,738
Municipal Bond Fund ........................... -- -- 18,571 19,820
Florida Tax-Exempt Fund ....................... -- -- 2,205 2,537
Tennessee Tax-Exempt Fund ..................... -- -- 1,458 1,671
Prime Money Market Fund ....................... (261) (2) -- (2)
Treasury Reserve Money Market Fund ............ (109) (3) -- 1
Tax-Exempt Money Market Fund .................. (49) (299) -- (299)
Institutional Prime Obligations Money
Market Fund .................................. (252) -- -- 31
Continued
113
- -------------------------------------
AMSOUTH FUNDS
Notes to Financial Statements
- -------------------------------------
Under current tax law, capital losses realized after October 31, within the
Fund's fiscal year may be deferred and treated as occurring on the first day of
the following fiscal year. The following deferred losses will be treated as
arising on the first day of the fiscal year ended July 31, 2005 (amounts in
thousands):
Deferred
Losses
---------
Strategic Portfolios: Aggressive Growth Portfolio ......... $1,802
Strategic Portfolios: Growth Portfolio .................... 1,332
Strategic Portfolios: Growth and Income Portfolio ......... 2,180
Limited Term Bond Fund .................................... 517
114
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
A SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities Less Dividends from
-------------------------------------------- ---------------------------------------
Net Realized
Net Asset Net and Unrealized Net Realized
Value, Investment Gains (Losses) Total from Net Gains from
Beginning Income from Investments Investment Investment Investment Total
of Period (Loss) and Futures Activities Income Transactions Dividends
----------- ------------ ------------------ ------------ ------------ -------------- -----------
VALUE FUND
Year Ended July 31, 2004 ... $ 13.06 0.11 1.80* 1.91 (0.11) -- (0.11)
Year Ended July 31, 2003 ... $ 12.76 0.14 0.81 0.95 (0.13) (0.52) (0.65)
Year Ended July 31, 2002 ... $ 20.38 0.09 (6.01) (5.92) (0.09) (1.61) (1.70)
Year Ended July 31, 2001+ .. $ 19.54 0.11 3.64 3.75 (0.14) (2.77) (2.91)
Year Ended July 31, 2000 ... $ 25.25 0.23 (2.21) (1.98) (0.23) (3.50) (3.73)
SELECT EQUITY FUND
Year Ended July 31, 2004 ... $ 11.89 0.06 1.55 1.61 (0.06) (0.10) (0.16)
Year Ended July 31, 2003 ... $ 10.98 0.05 0.91 0.96 (0.05) -- (0.05)
Year Ended July 31, 2002 ... $ 11.23 0.02 (0.25) (0.23) (0.02) -- (0.02)
Year Ended July 31, 2001+ .. $ 8.72 0.01 2.51 2.52 (0.01) -- (0.01)
Year Ended July 31, 2000+ .. $ 11.88 0.07 (2.35) (2.28) (0.07) (0.81) (0.88)
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... $ 9.87 0.08 1.17 1.25 (0.08) -- (0.08)
Year Ended July 31, 2003 ... $ 9.16 0.08 0.70 0.78 (0.07) -- (0.07)
Year Ended July 31, 2002 ... $ 12.27 0.04 (2.96) (2.92) (0.03) (0.16) (0.19)
Year Ended July 31, 2001+ .. $ 14.64 0.03 (2.15) (2.12) (0.03) (0.22) (0.25)
Year Ended July 31, 2000 ... $ 13.86 0.07 1.23 1.30 (0.07) (0.45) (0.52)
LARGE CAP FUND
Year Ended July 31, 2004 ... $ 16.34 (0.02) 1.14 1.12 -- -- --
Year Ended July 31, 2003 ... $ 15.45 0.01 1.53 1.54 (0.02) (0.63) (0.65)
Year Ended July 31, 2002 ... $ 21.22 (0.01) (4.57) (4.58) -- (1.19) (1.19)
Year Ended July 31, 2001+ .. $ 28.14 (0.04) (2.82) (2.86) -- (4.06) (4.06)
Period Ended
July 31, 2000(a) ......... $ 28.02 (0.01) 0.14 0.13 (0.01) -- (0.01)
Year Ended
December 31, 1999+ ....... $ 27.55 0.03 5.07 5.10 (0.03) (4.60) (4.63)
Net Asset
Value, Total Return
Redemption End (Excluding
Fees of Period Sales Charge)
------------ ----------- ---------------
VALUE FUND
Year Ended July 31, 2004 ... --# $ 14.86 14.69%##
Year Ended July 31, 2003 ... -- $ 13.06 8.02%
Year Ended July 31, 2002 ... -- $ 12.76 (31.21)%
Year Ended July 31, 2001+ .. -- $ 20.38 21.10%
Year Ended July 31, 2000 ... -- $ 19.54 (8.19)%
SELECT EQUITY FUND
Year Ended July 31, 2004 ... --# $ 13.34 13.54%
Year Ended July 31, 2003 ... -- $ 11.89 8.77%
Year Ended July 31, 2002 ... -- $ 10.98 (2.01)%
Year Ended July 31, 2001+ .. -- $ 11.23 28.96%
Year Ended July 31, 2000+ .. -- $ 8.72 (19.86)%
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... --# $ 11.04 12.73%
Year Ended July 31, 2003 ... -- $ 9.87 8.54%
Year Ended July 31, 2002 ... -- $ 9.16 (24.10)%
Year Ended July 31, 2001+ .. -- $ 12.27 (14.60)%
Year Ended July 31, 2000 ... -- $ 14.64 9.46%
LARGE CAP FUND
Year Ended July 31, 2004 ... --# $ 17.46 6.87%
Year Ended July 31, 2003 ... -- $ 16.34 10.45%
Year Ended July 31, 2002 ... -- $ 15.45 (22.75)%
Year Ended July 31, 2001+ .. -- $ 21.22 (11.72)%
Period Ended
July 31, 2000(a) ......... -- $ 28.14 0.45%^
Year Ended
December 31, 1999+ ....... -- $ 28.02 18.85%
Ratios (to average net assets)/Supplemental Data
----------------------------------------------------------------------------
Net Expenses (before Portfolio Net Assets,
Investment Net Reductions/ Turnover End of Period
Income Expenses Reimbursements) Rate** (000's)
---------------- ------------- ------------------ ----------- --------------
VALUE FUND
Year Ended July 31, 2004 ... 0.78% 1.34% 1.38% 44% $121,862
Year Ended July 31, 2003 ... 1.17% 1.36% 1.39% 117% $112,701
Year Ended July 31, 2002 ... 0.49% 1.35% 1.36% 59% $ 97,393
Year Ended July 31, 2001+ .. 0.53% 1.34% 1.35% 43% $113,164
Year Ended July 31, 2000 ... 1.07% 1.35% 1.35% 17% $ 45,255
SELECT EQUITY FUND
Year Ended July 31, 2004 ... 0.39% 1.29% 1.39% 18% $ 15,730
Year Ended July 31, 2003 ... 0.48% 1.34% 1.49% 8% $ 7,034
Year Ended July 31, 2002 ... 0.28% 1.46% 1.71% 38% $ 4,511
Year Ended July 31, 2001+ .. 0.05% 1.71% 2.07% 19% $ 2,665
Year Ended July 31, 2000+ .. 0.67% 1.44% 1.96% 25% $ 2,512
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... 0.76% 0.95% 1.04% 64% $ 24,665
Year Ended July 31, 2003 ... 0.81% 1.00% 1.12% 27% $ 21,431
Year Ended July 31, 2002 ... 0.41% 1.07% 1.19% 34% $ 17,473
Year Ended July 31, 2001+ .. 0.26% 1.04% 1.14% 42% $ 24,666
Year Ended July 31, 2000 ... 0.48% 1.01% 1.22% 30% $ 20,555
LARGE CAP FUND
Year Ended July 31, 2004 ... (0.12)% 1.26% 1.39% 8% $ 99,518
Year Ended July 31, 2003 ... 0.09% 1.26% 1.39% 7% $ 88,989
Year Ended July 31, 2002 ... (0.05)% 1.26% 1.37% 11% $ 57,330
Year Ended July 31, 2001+ .. (0.16)% 1.25% 1.36% 10% $ 66,813
Period Ended
July 31, 2000(a) ......... (0.07)%^^ 1.14%^^ 1.37%^^ 10% $ 81,099
Year Ended
December 31, 1999+ ....... 0.12% 1.04% 1.39% 15% $ 79,211
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Includes 0.01 from reimbursement from affiliates for investment losses.
## The total return shown includes the losses on the disposal of investments
that were reimbursed by the advisor and administrator, which otherwise
would have reduced the total return by 0.08%.
** Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
115
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
A SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
----------------------------------------------
Net Realized
and Unrealized
Net Asset Net Gains (Losses)
Value, Investment from Investments, Total from
Beginning Income Futures, and Investment
of Period (Loss) Foreign Currencies Activities
----------- ------------ -------------------- ------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... $ 8.75 (0.03) 0.55 0.52
Year Ended July 31, 2003 ... $ 7.96 (0.03) 0.82 0.79
Year Ended July 31, 2002 ... $ 10.86 (0.07) (2.83) (2.90)
Year Ended July 31, 2001+ .. $ 14.97 (0.09) (2.86) (2.95)
Period Ended
July 31, 2000(a) ......... $ 14.37 (0.04) 0.64 0.60
Year Ended
December 31, 1999+ ....... $ 14.20 (0.04) 2.97 2.93
MID CAP FUND
Year Ended July 31, 2004 ... $ 10.42 0.01 1.85 1.86
Year Ended July 31, 2003 ... $ 9.39 0.01 1.03 1.04
Year Ended July 31, 2002 ... $ 12.06 (0.16) (2.51) (2.67)
Year Ended July 31, 2001+ .. $ 16.67 (0.17) (4.44) (4.61)
Period Ended
July 31, 2000(a)+ ........ $ 17.33 (0.13) (0.53) (0.66)
Period Ended
December 31, 1999(b)+ .... $ 10.00 (0.14) 7.47 7.33
SMALL CAP FUND
Year Ended July 31, 2004 ... $ 7.22 (0.10) 1.02 0.92
Year Ended July 31, 2003 ... $ 7.13 (0.07) 0.16 0.09
Year Ended July 31, 2002 ... $ 10.12 (0.11) (2.88) (2.99)
Year Ended July 31, 2001+ .. $ 12.52 (0.14) (1.05) (1.19)
Year Ended July 31, 2000 ... $ 8.40 (0.08) 4.20 4.12
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... $ 8.69 0.07 2.78 2.85
Year Ended July 31, 2003 ... $ 7.81 0.01 0.87 0.88
Year Ended July 31, 2002 ... $ 9.49 0.02 (1.70) (1.68)
Year Ended July 31, 2001+ .. $ 12.36 0.06 (2.54) (2.48)
Period Ended
July 31, 2000(a)+ ........ $ 13.27 0.05 (0.96) (0.91)
Year Ended
December 31, 1999 ........ $ 10.58 0.02 2.81 2.83
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------- ----------------
Net Realized Net Asset
Net Gains from Value, Total Return Net
Investment Investment Total Redemption End (Excluding Investment
Income Transactions Dividends Fees of Period Sales Charge) Income
------------ -------------- ----------- ------------ ----------- --------------- ----------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... -- -- -- --# $ 9.27 5.94% (0.35)%
Year Ended July 31, 2003 ... -- -- -- -- $ 8.75 9.92% (0.47)%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.96 (26.70)% (0.76)%
Year Ended July 31, 2001+ .. -- (1.16) (1.16) -- $10.86 (21.27)% (0.67)%
Period Ended
July 31, 2000(a) ......... -- -- -- -- $14.97 4.18%^ (0.49)%^^
Year Ended
December 31, 1999+ ....... -- (2.76) (2.76) -- $14.37 21.85% (0.33)%
MID CAP FUND
Year Ended July 31, 2004 ... (0.02) -- (0.02) --# $12.26 17.84% 0.08%
Year Ended July 31, 2003 ... (0.01) -- (0.01) -- $10.42 11.08% 0.08%
Year Ended July 31, 2002 ... -- -- -- -- $ 9.39 (22.14)% (1.31)%
Year Ended July 31, 2001+ .. -- -- -- -- $12.06 (27.65)% (1.17)%
Period Ended
July 31, 2000(a)+ ........ -- -- -- -- $16.67 (3.81)%^ (1.27)%^^
Period Ended
December 31, 1999(b)+ .... -- -- -- -- $17.33 73.30%^ (1.62)%^^
SMALL CAP FUND
Year Ended July 31, 2004 ... -- -- -- --# $ 8.14 12.74% (1.29)%
Year Ended July 31, 2003 ... -- -- -- -- $ 7.22 1.26% (1.25)%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.13 (29.55)% (1.25)%
Year Ended July 31, 2001+ .. -- (1.21) (1.21) -- $10.12 (10.33)% (1.22)%
Year Ended July 31, 2000 ... -- -- -- -- $12.52 49.05% (1.11)%
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... (0.09) -- (0.09) --# $11.45 32.90% 1.20%
Year Ended July 31, 2003 ... (0.01) -- (0.01) 0.01 $ 8.69 11.35% 1.25%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.81 (17.70)% 0.35%
Year Ended July 31, 2001+ .. (0.03) (0.36) (0.39) -- $ 9.49 (20.62)% 0.52%
Period Ended
July 31, 2000(a)+ ........ -- -- -- -- $12.36 (6.78)%^ 0.69%^^
Year Ended
December 31, 1999 ........ (0.14) -- (0.14) -- $13.27 26.77% 0.26%
Ratios (to average net assets)/Supplemental Data
-----------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate* (000's)
------------- ------------------ ----------- --------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... 1.30% 1.38% 71% $26,181
Year Ended July 31, 2003 ... 1.31% 1.38% 151% $23,915
Year Ended July 31, 2002 ... 1.31% 1.37% 115% $16,457
Year Ended July 31, 2001+ .. 1.30% 1.36% 100% $19,574
Period Ended
July 31, 2000(a) ......... 1.32%^^ 1.37%^^ 91% $14,137
Year Ended
December 31, 1999+ ....... 1.32% 1.33% 178% $10,310
MID CAP FUND
Year Ended July 31, 2004 ... 1.10% 1.60% 105% $15,681
Year Ended July 31, 2003 ... 1.15% 1.65% 59% $ 9,085
Year Ended July 31, 2002 ... 1.66% 1.83% 221% $ 8,234
Year Ended July 31, 2001+ .. 1.57% 1.65% 120% $12,546
Period Ended
July 31, 2000(a)+ ........ 1.62%^^ 1.65%^^ 39% $11,536
Period Ended
December 31, 1999(b)+ .... 2.28%^^ 2.29%^^ 20% $ 2,357
SMALL CAP FUND
Year Ended July 31, 2004 ... 1.58% 1.78% 171% $ 7,940
Year Ended July 31, 2003 ... 1.60% 1.78% 221% $ 5,929
Year Ended July 31, 2002 ... 1.61% 1.77% 227% $ 5,114
Year Ended July 31, 2001+ .. 1.61% 1.77% 220% $ 8,346
Year Ended July 31, 2000 ... 1.53% 1.85% 318% $ 8,408
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... 1.34% 1.85% 7% $15,782
Year Ended July 31, 2003 ... 1.36% 1.86% 18% $ 4,711
Year Ended July 31, 2002 ... 1.60% 1.89% 160% $ 3,932
Year Ended July 31, 2001+ .. 1.62% 1.89% 45% $ 2,685
Period Ended
July 31, 2000(a)+ ........ 1.69%^^ 2.01%^^ 32% $ 1,799
Year Ended
December 31, 1999 ........ 1.59% 2.12% 40% $ 1,033
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
(b) For the period from May 4, 1999 (commencement of operations) through
December 31, 1999.
See notes to financial statements.
116
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
A SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
---------------------------------------------
Net Asset Net Net Realized
Value, Investment and Unrealized Total from
Beginning Income Gains (Losses) Investment
of Period (Loss) from Investments* Activities
----------- ------------ ------------------- ------------
BALANCED FUND
Year Ended July 31, 2004 ...... $11.37 0.20 0.75 0.95
Year Ended July 31, 2003 ...... $10.89 0.22 0.66 0.88
Year Ended July 31, 2002 ...... $12.46 0.30 (1.20) (0.90)
Year Ended July 31, 2001+ ..... $12.48 0.36 1.28 1.64
Year Ended July 31, 2000 ...... $14.93 0.44 (0.64) (0.20)
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ...... $ 7.73 -- 0.93 0.93
Year Ended July 31, 2003 ...... $ 7.04 -- 0.69 0.69
Year Ended July 31, 2002 ...... $ 9.91 (0.02) (2.21) (2.23)
Year Ended July 31, 2001+ ..... $11.53 0.08 (0.39) (0.31)
Period Ended
July 31, 2000(a) ............ $11.54 0.02 (0.01) 0.01
Period Ended
December 31, 1999(b) ........ $10.00 0.09 1.60 1.69
GROWTH PORTFOLIO
Year Ended July 31, 2004 ...... $ 8.21 0.07 0.76 0.83
Year Ended July 31, 2003 ...... $ 7.59 0.07 0.62 0.69
Year Ended July 31, 2002 ...... $ 9.38 0.08 (1.48) (1.40)
Year Ended July 31, 2001+ ..... $10.47 0.23 (0.42) (0.19)
Period Ended
July 31, 2000(a) ............ $10.58 0.07 (0.11) (0.04)
Period Ended
December 31, 1999(c) ........ $ 9.93 0.14 0.73 0.87
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ...... $ 8.88 0.12 0.60 0.72
Year Ended July 31, 2003 ...... $ 8.33 0.12 0.56 0.68
Year Ended July 31, 2002 ...... $ 9.76 0.18 (1.14) (0.96)
Year Ended July 31, 2001+ ..... $10.54 0.24 (0.07) 0.17
Period Ended
July 31, 2000(a) ............ $10.48 0.14 0.04 0.18
Period Ended
December 31, 1999(d) ........ $10.10 0.11 0.41 0.52
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ...... $ 9.04 0.16 0.45 0.61
Year Ended July 31, 2003 ...... $ 8.58 0.16 0.50 0.66
Year Ended July 31, 2002 ...... $ 9.74 0.21 (0.94) (0.73)
Year Ended July 31, 2001+ ..... $10.06 0.32 0.15 0.47
Period Ended
July 31, 2000(a) ............ $ 9.96 0.14 0.10 0.24
Period Ended
December 31, 1999(e) ........ $ 9.86 0.17 0.16 0.33
Less Dividends from
---------------------------------------------------
Net Realized Net Asset
Net Gains from From Tax Value, Total Return
Investment Investment Return of Total Redemption End (Excluding
Income Transactions Capital Dividends Fees of Period Sales Charge)
------------ -------------- ----------- ----------- ------------ ----------- ---------------
BALANCED FUND
Year Ended July 31, 2004 ...... (0.22) -- -- (0.22) --# $12.10 8.36%
Year Ended July 31, 2003 ...... (0.26) (0.14) -- (0.40) -- $11.37 8.34%
Year Ended July 31, 2002 ...... (0.31) (0.36) -- (0.67) -- $10.89 (7.55)%
Year Ended July 31, 2001+ ..... (0.39) (1.27) -- (1.66) -- $12.46 13.93%
Year Ended July 31, 2000 ...... (0.47) (1.78) -- (2.25) -- $12.48 (1.05)%
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ...... -- -- (0.01) (0.01) --# $ 8.65 12.01%
Year Ended July 31, 2003 ...... -- -- -- -- -- $ 7.73 9.81%
Year Ended July 31, 2002 ...... -- (0.64) -- (0.64) -- $ 7.04 (23.76)%
Year Ended July 31, 2001+ ..... (0.15) (1.16) -- (1.31) -- $ 9.91 (3.42)%
Period Ended
July 31, 2000(a) ............ (0.02) -- -- (0.02) -- $11.53 0.06%^
Period Ended
December 31, 1999(b) ........ (0.11) (0.04) -- (0.15) -- $11.54 16.92%^
GROWTH PORTFOLIO
Year Ended July 31, 2004 ...... (0.06) -- -- (0.06) --# $ 8.98 10.14%
Year Ended July 31, 2003 ...... (0.07) -- -- (0.07) -- $ 8.21 9.18%
Year Ended July 31, 2002 ...... (0.09) (0.30) -- (0.39) -- $ 7.59 (15.49)%
Year Ended July 31, 2001+ ..... (0.23) (0.67) -- (0.90) -- $ 9.38 (2.04)%
Period Ended
July 31, 2000(a) ............ (0.07) -- -- (0.07) -- $10.47 (0.43)%^
Period Ended
December 31, 1999(c) ........ (0.14) (0.08) -- (0.22) -- $10.58 8.85%^
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ...... (0.12) -- -- (0.12) --# $ 9.48 8.13%
Year Ended July 31, 2003 ...... (0.13) -- -- (0.13) -- $ 8.88 8.30%
Year Ended July 31, 2002 ...... (0.19) (0.28) -- (0.47) -- $ 8.33 (10.17)%
Year Ended July 31, 2001+ ..... (0.32) (0.63) -- (0.95) -- $ 9.76 1.61%
Period Ended
July 31, 2000(a) ............ (0.12) -- -- (0.12) -- $10.54 1.69%^
Period Ended
December 31, 1999(d) ........ (0.11) (0.03) -- (0.14) -- $10.48 5.21%^
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ...... (0.16) -- -- (0.16) --# $ 9.49 6.71%
Year Ended July 31, 2003 ...... (0.17) (0.03) -- (0.20) -- $ 9.04 7.85%
Year Ended July 31, 2002 ...... (0.23) (0.20) -- (0.43) -- $ 8.58 (7.80)%
Year Ended July 31, 2001+ ..... (0.34) (0.45) -- (0.79) -- $ 9.74 4.91%
Period Ended
July 31, 2000(a) ............ (0.14) -- -- (0.14) -- $10.06 2.43%^
Period Ended
December 31, 1999(e) ........ (0.17) (0.06) -- (0.23) -- $ 9.96 3.37%^
Ratios (to average net assets)/Supplemental Data
--------------------------------------------------------------------------
Net Expenses (before Portfolio Net Assets,
Investment Net Reductions/ Turnover End of Period
Income Expenses Reimbursements) Rate** (000's)
-------------- ------------- ------------------ ----------- --------------
BALANCED FUND
Year Ended July 31, 2004 ...... 1.64% 1.32% 1.41% 19% $90,369
Year Ended July 31, 2003 ...... 2.03% 1.34% 1.42% 86% $78,679
Year Ended July 31, 2002 ...... 2.57% 1.34% 1.41% 34% $69,674
Year Ended July 31, 2001+ ..... 2.90% 1.31% 1.38% 14% $54,978
Year Ended July 31, 2000 ...... 3.28% 1.35% 1.37% 16% $21,951
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ...... 0.02% 0.57% 0.96% 31% $18,440
Year Ended July 31, 2003 ...... (0.02)% 0.66% 1.09% 100% $11,310
Year Ended July 31, 2002 ...... (0.31)% 0.71% 1.12% 50% $ 7,565
Year Ended July 31, 2001+ ..... 0.78% 0.79% 1.20% 36% $ 1,393
Period Ended
July 31, 2000(a) ............ 0.26%^^ 0.86%^^ 1.24%^^ 22% $ 476
Period Ended
December 31, 1999(b) ........ 1.65%^^ 0.96%^^ 6.10%^^ 95% $ 450
GROWTH PORTFOLIO
Year Ended July 31, 2004 ...... 0.84% 0.51% 0.90% 27% $23,117
Year Ended July 31, 2003 ...... 0.94% 0.61% 1.06% 128% $10,978
Year Ended July 31, 2002 ...... 0.96% 0.71% 1.14% 63% $ 4,448
Year Ended July 31, 2001+ ..... 2.31% 0.78% 1.22% 38% $ 981
Period Ended
July 31, 2000(a) ............ 1.27%^^ 0.86%^^ 1.25%^^ 97% $ 763
Period Ended
December 31, 1999(c) ........ 2.44%^^ 0.94%^^ 9.41%^^ 76% $ 164
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ...... 1.27% 0.58% 0.83% 38% $43,856
Year Ended July 31, 2003 ...... 1.51% 0.62% 0.86% 135% $28,745
Year Ended July 31, 2002 ...... 2.04% 0.60% 0.82% 69% $14,312
Year Ended July 31, 2001+ ..... 2.44% 0.63% 0.87% 51% $ 6,535
Period Ended
July 31, 2000(a) ............ 2.15%^^ 0.72%^^ 0.88%^^ 21% $ 271
Period Ended
December 31, 1999(d) ........ 2.44%^^ 0.95%^^ 2.27%^^ 57% $ 535
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ...... 1.68% 0.59% 0.98% 34% $16,640
Year Ended July 31, 2003 ...... 1.87% 0.64% 1.07% 136% $10,988
Year Ended July 31, 2002 ...... 2.48% 0.65% 1.07% 65% $ 6,236
Year Ended July 31, 2001+ ..... 3.26% 0.77% 1.20% 62% $ 231
Period Ended
July 31, 2000(a) ............ 2.85%^^ 0.91%^^ 1.26%^^ 21% $ 48
Period Ended
December 31, 1999(e) ........ 3.32%^^ 0.93%^^ 9.78%^^ 124% $ 172
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Represents investments in affiliates for the Strategic Portfolios.
** Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
(b) For the period from January 13, 1999 (commencement of operations) through
December 31, 1999.
(c) For the period from February 11, 1999 (commencement of operations) through
December 31, 1999.
(d) For the period from March 8, 1999 (commencement of operations) through
December 31, 1999.
(e) For the period from February 9, 1999 (commencement of operations) through
December 31, 1999.
See notes to financial statements.
117
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
A SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
--------------------------------------------
Net Asset Net Realized
Value, Net and Unrealized Total from
Beginning Investment Gains (Losses) Investment
of Period Income from Investments Activities
----------- ------------ ------------------ ------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... $10.05 0.34 (0.11) 0.23
Year Ended July 31, 2003 ... $10.26 0.41 (0.05) 0.36
Year Ended July 31, 2002 ... $10.10 0.48 0.20 0.68
Year Ended July 31, 2001+ .. $ 9.60 0.55 0.50 1.05
Year Ended July 31, 2000 ... $ 9.62 0.56 (0.04) 0.52
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... $10.65 0.23 (0.11) 0.12
Year Ended July 31, 2003 ... $10.70 0.36 0.01 0.37
Year Ended July 31, 2002 ... $10.55 0.48 0.18 0.66
Year Ended July 31, 2001+ .. $10.13 0.57 0.43 1.00
Year Ended July 31, 2000 ... $10.29 0.59 (0.13) 0.46
BOND FUND
Year Ended July 31, 2004 ... $11.33 0.43 (0.11) 0.32
Year Ended July 31, 2003 ... $11.43 0.46 0.11 0.57
Year Ended July 31, 2002 ... $11.13 0.53 0.36 0.89
Year Ended July 31, 2001+ .. $10.52 0.58 0.62 1.20
Year Ended July 31, 2000 ... $10.63 0.58 (0.06) 0.52
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------- -------------
Net Realized Net Asset
Net Gains from Value, Total Return Net
Investment Investment Total Redemption End (Excluding Investment
Income Transactions Dividends Fees of Period Sales Charge) Income
------------ -------------- ----------- ------------ ----------- --------------- -------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... (0.41) (0.01) (0.42) --# $ 9.86 2.36% 3.48%
Year Ended July 31, 2003 ... (0.42) (0.15) (0.57) -- $10.05 3.47% 3.84%
Year Ended July 31, 2002 ... (0.52) -- (0.52) -- $10.26 6.96% 4.74%
Year Ended July 31, 2001+ .. (0.55) -- (0.55) -- $10.10 11.25% 5.47%
Year Ended July 31, 2000 ... (0.54) -- (0.54) -- $ 9.60 5.55% 5.77%
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... (0.31) -- (0.31) --# $10.46 1.17% 2.40%
Year Ended July 31, 2003 ... (0.42) -- (0.42) -- $10.65 3.52% 3.28%
Year Ended July 31, 2002 ... (0.51) -- (0.51) -- $10.70 6.44% 4.54%
Year Ended July 31, 2001+ .. (0.58) -- (0.58) -- $10.55 10.12% 5.43%
Year Ended July 31, 2000 ... (0.62) -- (0.62) -- $10.13 4.59% 5.60%
BOND FUND
Year Ended July 31, 2004 ... (0.48) (0.09) (0.57) --# $11.08 2.83% 3.76%
Year Ended July 31, 2003 ... (0.52) (0.15) (0.67) -- $11.33 5.04% 3.97%
Year Ended July 31, 2002 ... (0.56) (0.03) (0.59) -- $11.43 8.19% 4.69%
Year Ended July 31, 2001+ .. (0.59) -- (0.59) -- $11.13 11.63% 5.30%
Year Ended July 31, 2000 ... (0.61) (0.02) (0.63) -- $10.52 5.10% 5.54%
Ratios (to average net assets)/Supplemental Data
--------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate* (000's)
---------- ------------------ ----------- --------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... 1.00% 1.23% 39% $16,943
Year Ended July 31, 2003 ... 1.01% 1.23% 43% $20,721
Year Ended July 31, 2002 ... 1.00% 1.21% 18% $ 8,800
Year Ended July 31, 2001+ .. 0.99% 1.20% 25% $ 5,672
Year Ended July 31, 2000 ... 0.85% 1.30% 42% $ 5,879
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... 0.98% 1.22% 34% $28,945
Year Ended July 31, 2003 ... 0.98% 1.22% 32% $38,211
Year Ended July 31, 2002 ... 1.00% 1.21% 29% $22,813
Year Ended July 31, 2001+ .. 1.00% 1.22% 44% $ 9,918
Year Ended July 31, 2000 ... 0.96% 1.24% 34% $ 7,913
BOND FUND
Year Ended July 31, 2004 ... 0.99% 1.22% 37% $43,044
Year Ended July 31, 2003 ... 0.99% 1.22% 33% $50,591
Year Ended July 31, 2002 ... 0.99% 1.20% 35% $35,869
Year Ended July 31, 2001+ .. 0.99% 1.20% 24% $16,877
Year Ended July 31, 2000 ... 0.91% 1.21% 27% $ 9,500
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
See notes to financial statements.
118
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
A SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
--------------------------------------------
Net Asset Net Realized
Value, Net and Unrealized Total from
Beginning Investment Gains (Losses) Investment
of Period Income from Investments Activities
----------- ------------ ------------------ ------------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... $10.32 0.35 (0.05) 0.30
Year Ended July 31, 2003 ... $10.38 0.35 (0.05) 0.30
Year Ended July 31, 2002 ... $10.18 0.37 0.23 0.60
Year Ended July 31, 2001+ .. $ 9.76 0.39 0.41 0.80
Year Ended July 31, 2000 ... $ 9.87 0.40 (0.06) 0.34
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.70 0.35 (0.05) 0.30
Year Ended July 31, 2003 ... $10.79 0.36 (0.08) 0.28
Year Ended July 31, 2002 ... $10.51 0.39 0.27 0.66
Year Ended July 31, 2001+ .. $10.16 0.40 0.35 0.75
Year Ended July 31, 2000 ... $10.22 0.44 (0.06) 0.38
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.33 0.29 (0.01) 0.28
Year Ended July 31, 2003 ... $10.37 0.29 (0.05) 0.24
Year Ended July 31, 2002 ... $10.10 0.31 0.27 0.58
Year Ended July 31, 2001+ .. $ 9.74 0.36 0.36 0.72
Period Ended
July 31, 2000(a) ......... $ 9.55 0.21 0.18 0.39
Year Ended
December 31, 1999 ........ $10.19 0.33 (0.64) (0.31)
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------- -------------
Net Realized Net Asset
Net Gains from Value, Total Return Net
Investment Investment Total Redemption End (Excluding Investment
Income Transactions Dividends Fees of Period Sales Charge) Income
------------ -------------- ----------- ------------ ----------- --------------- -------------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... (0.35) (0.01) (0.36) --# $10.26 2.93% 3.36%
Year Ended July 31, 2003 ... (0.33) (0.03) (0.36) -- $10.32 2.96% 3.35%
Year Ended July 31, 2002 ... (0.39) (0.01) (0.40) -- $10.38 6.05% 3.72%
Year Ended July 31, 2001+ .. (0.38) -- (0.38) -- $10.18 8.36% 3.88%
Year Ended July 31, 2000 ... (0.40) (0.05) (0.45) -- $ 9.76 3.62% 4.12%
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... (0.35) (0.01) (0.36) -- $10.64 2.89% 3.25%
Year Ended July 31, 2003 ... (0.37) -- (0.37) -- $10.70 2.58% 3.35%
Year Ended July 31, 2002 ... (0.38) -- (0.38) -- $10.79 6.38% 3.64%
Year Ended July 31, 2001+ .. (0.40) -- (0.40) -- $10.51 7.46% 3.79%
Year Ended July 31, 2000 ... (0.41) (0.03) (0.44) -- $10.16 3.99% 4.10%
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... (0.30) (0.05) (0.35) -- $10.26 2.69% 2.76%
Year Ended July 31, 2003 ... (0.28) -- (0.28) -- $10.33 2.29% 2.70%
Year Ended July 31, 2002 ... (0.31) -- (0.31) -- $10.37 5.87% 3.02%
Year Ended July 31, 2001+ .. (0.36) -- (0.36) -- $10.10 7.55% 3.63%
Period Ended
July 31, 2000(a) ......... (0.20) -- (0.20) -- $ 9.74 4.15%^ 3.78%^^
Year Ended
December 31, 1999 ........ (0.33) -- (0.33) -- $ 9.55 (3.07)% 3.34%
Ratios (to average net assets)/Supplemental Data
-----------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate* (000's)
------------- ------------------ ----------- --------------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... 0.88% 1.21% 5% $16,038
Year Ended July 31, 2003 ... 0.89% 1.21% 7% $16,385
Year Ended July 31, 2002 ... 0.89% 1.20% 10% $11,553
Year Ended July 31, 2001+ .. 0.89% 1.20% 5% $ 8,022
Year Ended July 31, 2000 ... 0.82% 1.20% 9% $ 6,516
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... 0.83% 1.25% 11% $ 4,925
Year Ended July 31, 2003 ... 0.84% 1.25% 6% $ 6,955
Year Ended July 31, 2002 ... 0.87% 1.26% 13% $ 4,002
Year Ended July 31, 2001+ .. 0.90% 1.29% 7% $ 3,267
Year Ended July 31, 2000 ... 0.74% 1.30% 11% $ 2,655
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... 1.00% 1.29% 0% $ 6,954
Year Ended July 31, 2003 ... 1.07% 1.34% 21% $ 9,325
Year Ended July 31, 2002 ... 1.08% 1.31% 60% $ 3,432
Year Ended July 31, 2001+ .. 1.09% 1.33% 123% $ 3,764
Period Ended
July 31, 2000(a) ......... 1.13%^^ 1.27%^^ 23% $ 2,919
Year Ended
December 31, 1999 ........ 1.25% 1.26% 64% $ 3,324
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
119
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
A SHARES+
Selected data for a share outstanding throughout the period indicated.
Investment Activities
--------------------------------------------
Less
Net Asset Net Realized Dividends
Value, Net and Unrealized Total from from Net
Beginning Investment Gains (Losses) Investment Investment
of Period Income from Investments Activities Income
----------- ------------ ------------------ ------------ ------------
PRIME MONEY MARKET FUND
Year Ended July 31, 2004 ......... $1.000 0.003 -- 0.003 (0.003)
Year Ended July 31, 2003 ......... $1.000 0.006 -- 0.006 (0.006)
Year Ended July 31, 2002 ......... $1.000 0.015 -- 0.015 (0.015)
Year Ended July 31, 2001 ......... $1.000 0.049 -- 0.049 (0.049)
Year Ended July 31, 2000 ......... $1.000 0.051 -- 0.051 (0.051)
TREASURY RESERVE MONEY MARKET FUND
Year Ended July 31, 2004 ......... $1.000 0.002 -- 0.002 (0.002)
Year Ended July 31, 2003 ......... $1.000 0.006 -- 0.006 (0.006)
Year Ended July 31, 2002 ......... $1.000 0.015 -- 0.015 (0.015)
Year Ended July 31, 2001 ......... $1.000 0.048 -- 0.048 (0.048)
Period Ended July 31, 2000(a) .... $1.000 0.030 -- 0.030 (0.030)
Year Ended December 31, 1999 ..... $1.000 0.043 -- 0.043 (0.043)
TAX-EXEMPT MONEY MARKET FUND
Year Ended July 31, 2004 ......... $1.000 0.003 -- 0.003 (0.003)
Year Ended July 31, 2003 ......... $1.000 0.005 -- 0.005 (0.005)
Year Ended July 31, 2002 ......... $0.999 0.009 (0.001) 0.008 (0.009)
Year Ended July 31, 2001 ......... $0.998 0.028 0.001 0.029 (0.028)
Year Ended July 31, 2000 ......... $1.000 0.031 (0.002) 0.029 (0.031)
INSTITUTIONAL PRIME OBLIGATIONS
MONEY MARKET FUND
Year Ended July 31, 2004 ......... $1.000 0.006 -- 0.006 (0.006)
Year Ended July 31, 2003 ......... $1.000 0.009 -- 0.009 (0.009)
Year Ended July 31, 2002 ......... $1.000 0.018 -- 0.018 (0.018)
Year Ended July 31, 2001 ......... $1.000 0.052 -- 0.052 (0.052)
Year Ended July 31, 2000 ......... $1.000 0.054 -- 0.054 (0.054)
Ratios (to average net assets)/Supplemental Data
----------------------------------------------------------------------------
Net Asset
Value, Total Return Net Expenses (before Net Assets,
End (Excluding Investment Net Reductions/ End of Period
of Period Sales Charge) Income Expenses Reimbursements) (000's)
----------- --------------- ------------ ------------- ------------------ --------------
PRIME MONEY MARKET FUND
Year Ended July 31, 2004 ......... $ 1.000 0.31% 0.31% 0.79% 0.97% $436,063
Year Ended July 31, 2003 ......... $ 1.000 0.63% 0.64% 0.80% 0.97% $439,061
Year Ended July 31, 2002 ......... $ 1.000 1.53% 1.53% 0.79% 0.94% $551,767
Year Ended July 31, 2001 ......... $ 1.000 5.03% 4.96% 0.77% 0.94% $564,977
Year Ended July 31, 2000 ......... $ 1.000 5.20% 5.35% 0.75% 0.94% $645,275
TREASURY RESERVE MONEY MARKET FUND
Year Ended July 31, 2004 ......... $ 1.000 0.25% 0.26% 0.77% 1.02% $ 72,929
Year Ended July 31, 2003 ......... $ 1.000 0.56% 0.60% 0.84% 1.01% $ 46,753
Year Ended July 31, 2002 ......... $ 1.000 1.53% 1.54% 0.79% 0.96% $ 98,582
Year Ended July 31, 2001 ......... $ 1.000 4.95% 4.90% 0.72% 0.95% $ 99,777
Period Ended July 31, 2000(a) .... $ 1.000 3.07%^ 5.21%^^ 0.65%^^ 0.86%^^ $143,901
Year Ended December 31, 1999 ..... $ 1.000 4.38% 4.28% 0.60% 0.70% $143,208
TAX-EXEMPT MONEY MARKET FUND
Year Ended July 31, 2004 ......... $ 1.000 0.34% 0.34% 0.64% 0.96% $ 31,833
Year Ended July 31, 2003 ......... $ 1.000 0.48% 0.48% 0.79% 0.97% $ 33,748
Year Ended July 31, 2002 ......... $ 0.998 0.87% 0.87% 0.81% 0.96% $ 31,408
Year Ended July 31, 2001 ......... $ 0.999 2.83% 2.84% 0.80% 0.96% $ 40,728
Year Ended July 31, 2000 ......... $ 0.998 3.11% 3.14% 0.71% 0.97% $ 51,260
INSTITUTIONAL PRIME OBLIGATIONS
MONEY MARKET FUND
Year Ended July 31, 2004 ......... $ 1.000 0.61% 0.60% 0.50% 0.66% $ 89,613
Year Ended July 31, 2003 ......... $ 1.000 0.93% 0.92% 0.51% 0.66% $193,468
Year Ended July 31, 2002 ......... $ 1.000 1.83% 1.91% 0.50% 0.64% $207,511
Year Ended July 31, 2001 ......... $ 1.000 5.31% 5.00% 0.50% 0.65% $361,629
Year Ended July 31, 2000 ......... $ 1.000 5.55% 5.69% 0.45% 0.66% $180,873
+ Represents Class 2 Shares for Institutional Prime Obligations Money Market
Fund.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
120
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
B SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities Less Dividends from
-------------------------------------------- ---------------------------------------
Net Realized
Net Asset Net and Unrealized Net Realized
Value, Investment Gains (Losses) Total from Net Gains from
Beginning Income from Investments Investment Investment Investment Total
of Period (Loss) and Futures Activities Income Transactions Dividends
----------- ------------ ------------------ ------------ ------------ -------------- -----------
VALUE FUND
Year Ended July 31, 2004 ... $12.83 -- 1.77* 1.77 (0.04) -- (0.04)
Year Ended July 31, 2003 ... $12.57 0.05 0.79 0.84 (0.06) (0.52) (0.58)
Year Ended July 31, 2002 ... $20.15 (0.02) (5.93) (5.95) (0.02) (1.61) (1.63)
Year Ended July 31, 2001+ .. $19.41 (0.03) 3.58 3.55 (0.04) (2.77) (2.81)
Year Ended July 31, 2000 ... $25.14 0.07 (2.19) (2.12) (0.11) (3.50) (3.61)
SELECT EQUITY FUND
Year Ended July 31, 2004 ... $11.61 (0.03) 1.51 1.48 (0.02) (0.10) (0.12)
Year Ended July 31, 2003 ... $10.77 (0.02) 0.88 0.86 (0.02) -- (0.02)
Year Ended July 31, 2002 ... $11.08 (0.03) (0.28) (0.31) -- -- --
Year Ended July 31, 2001+ .. $ 8.64 (0.08) 2.52 2.44 -- -- --
Year Ended July 31, 2000+ .. $11.83 (0.01) (2.34) (2.35) (0.03) (0.81) (0.84)
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... $ 9.68 0.01 1.14 1.15 (0.03) -- (0.03)
Year Ended July 31, 2003 ... $ 8.99 0.01 0.69 0.70 (0.01) -- (0.01)
Year Ended July 31, 2002 ... $12.11 (0.05) (2.91) (2.96) -- (0.16) (0.16)
Year Ended July 31, 2001+ .. $14.55 (0.06) (2.14) (2.20) (0.02) (0.22) (0.24)
Year Ended July 31, 2000 ... $13.82 (0.04) 1.22 1.18 -- (0.45) (0.45)
LARGE CAP FUND
Year Ended July 31, 2004 ... $15.68 (0.15) 1.09 0.94 -- -- --
Year Ended July 31, 2003 ... $14.94 (0.09) 1.46 1.37 -- (0.63) (0.63)
Year Ended July 31, 2002 ... $20.70 (0.15) (4.42) (4.57) -- (1.19) (1.19)
Year Ended July 31, 2001+ .. $27.74 (0.21) (2.77) (2.98) -- (4.06) (4.06)
Period Ended
July 31, 2000(a) ......... $27.75 (0.13) 0.12 (0.01) -- -- --
Year Ended
December 31, 1999+ ....... $27.54 (0.23) 5.04 4.81 -- (4.60) (4.60)
Net Asset Total Return
Value, (Excluding
Redemption End Redemption
Fees of Period Charge)
------------ ----------- ---------------
VALUE FUND
Year Ended July 31, 2004 ... --# $14.56 13.81%##
Year Ended July 31, 2003 ... -- $12.83 7.17%
Year Ended July 31, 2002 ... -- $12.57 (31.68)%
Year Ended July 31, 2001+ .. -- $20.15 20.09%
Year Ended July 31, 2000 ... -- $19.41 (8.86)%
SELECT EQUITY FUND
Year Ended July 31, 2004 ... --# $12.97 12.74%
Year Ended July 31, 2003 ... -- $11.61 7.98%
Year Ended July 31, 2002 ... -- $10.77 (2.77)%
Year Ended July 31, 2001+ .. -- $11.08 28.24%
Year Ended July 31, 2000+ .. -- $ 8.64 (20.47)%
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... --# $10.80 11.84%
Year Ended July 31, 2003 ... -- $ 9.68 7.79%
Year Ended July 31, 2002 ... -- $ 8.99 (24.73)%
Year Ended July 31, 2001+ .. -- $12.11 (15.28)%
Year Ended July 31, 2000 ... -- $14.55 8.65%
LARGE CAP FUND
Year Ended July 31, 2004 ... --# $16.62 5.99%
Year Ended July 31, 2003 ... -- $15.68 9.63%
Year Ended July 31, 2002 ... -- $14.94 (23.31)%
Year Ended July 31, 2001+ .. -- $20.70 (12.40)%
Period Ended
July 31, 2000(a) ......... -- $27.74 (0.04)%^
Year Ended
December 31, 1999+ ....... -- $27.75 17.78%
Ratios (to average net assets)/Supplemental Data
----------------------------------------------------------------------------
Net Expenses (before Portfolio Net Assets,
Investment Net Reductions/ Turnover End of Period
Income Expenses Reimbursements) Rate** (000's)
---------------- ------------- ------------------ ----------- --------------
VALUE FUND
Year Ended July 31, 2004 ... 0.04% 2.09% 2.13% 44% $28,634
Year Ended July 31, 2003 ... 0.45% 2.11% 2.14% 117% $28,786
Year Ended July 31, 2002 ... (0.27)% 2.10% 2.11% 59% $13,133
Year Ended July 31, 2001+ .. (0.16)% 2.09% 2.10% 43% $10,322
Year Ended July 31, 2000 ... 0.32% 2.10% 2.11% 17% $ 7,949
SELECT EQUITY FUND
Year Ended July 31, 2004 ... (0.35)% 2.04% 2.14% 18% $13,476
Year Ended July 31, 2003 ... (0.28)% 2.08% 2.24% 8% $ 7,758
Year Ended July 31, 2002 ... (0.45)% 2.19% 2.44% 38% $ 4,800
Year Ended July 31, 2001+ .. (0.75)% 2.44% 2.80% 19% $ 1,586
Year Ended July 31, 2000+ .. (0.08)% 2.21% 2.72% 25% $ 715
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... 0.02% 1.70% 1.79% 64% $10,839
Year Ended July 31, 2003 ... 0.06% 1.75% 1.87% 27% $ 9,566
Year Ended July 31, 2002 ... (0.34)% 1.82% 1.94% 34% $ 8,644
Year Ended July 31, 2001+ .. (0.48)% 1.80% 1.89% 42% $13,713
Year Ended July 31, 2000 ... (0.31)% 1.77% 1.93% 30% $17,095
LARGE CAP FUND
Year Ended July 31, 2004 ... (0.87)% 2.01% 2.14% 8% $24,733
Year Ended July 31, 2003 ... (0.66)% 2.01% 2.14% 7% $23,334
Year Ended July 31, 2002 ... (0.80)% 2.01% 2.12% 11% $21,739
Year Ended July 31, 2001+ .. (0.91)% 2.00% 2.11% 10% $28,118
Period Ended
July 31, 2000(a) ......... (0.93)%^^ 2.00%^^ 2.07%^^ 10% $24,655
Year Ended
December 31, 1999+ ....... (0.79)% 1.98% 2.00% 15% $18,584
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Includes 0.01 from reimbursement from affiliates for investment losses.
## The total return shown includes the losses on the disposal of investments
that were reimbursed by the advisor and administrator, which otherwise
would have reduced the total return by 0.08%.
** Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
121
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
B SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
----------------------------------------------
Net Realized
and Unrealized
Net Asset Net Gains (Losses)
Value, Investment from Investments, Total from
Beginning Income Futures, and Investment
of Period (Loss) Foreign Currencies Activities
----------- ------------ -------------------- ------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... $ 8.25 (0.11) 0.53 0.42
Year Ended July 31, 2003 ... $ 7.56 (0.10) 0.79 0.69
Year Ended July 31, 2002 ... $10.39 (0.27) (2.56) (2.83)
Year Ended July 31, 2001+ .. $14.46 (0.17) (2.74) (2.91)
Period Ended
July 31, 2000(a) ......... $13.93 (0.09) 0.62 0.53
Year Ended
December 31, 1999+ ....... $13.92 (0.14) 2.91 2.77
MID CAP FUND
Year Ended July 31, 2004 ... $10.07 (0.08) 1.79 1.71
Year Ended July 31, 2003 ... $ 9.13 (0.07) 1.01 0.94
Year Ended July 31, 2002 ... $11.83 (0.25) (2.45) (2.70)
Year Ended July 31, 2001+ .. $16.52 (0.27) (4.42) (4.69)
Period Ended
July 31, 2000(a)+ ........ $17.28 (0.20) (0.56) (0.76)
Period Ended
December 31, 1999(b)+ .... $10.00 (0.19) 7.47 7.28
SMALL CAP FUND
Year Ended July 31, 2004 ... $ 6.92 (0.15) 0.98 0.83
Year Ended July 31, 2003 ... $ 6.89 (0.12) 0.15 0.03
Year Ended July 31, 2002 ... $ 9.85 (0.17) (2.79) (2.96)
Year Ended July 31, 2001+ .. $12.31 (0.22) (1.03) (1.25)
Year Ended July 31, 2000 ... $ 8.31 (0.14) 4.14 4.00
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... $ 8.49 (0.03) 2.73 2.70
Year Ended July 31, 2003 ... $ 7.64 -- 0.85 0.85
Year Ended July 31, 2002 ... $ 9.35 (0.03) (1.68) (1.71)
Year Ended July 31, 2001+ .. $12.25 (0.05) (2.49) (2.54)
Period Ended
July 31, 2000(a)+ ........ $13.21 -- (0.96) (0.96)
Period Ended
December 31, 1999(c) ..... $10.66 (0.02) 2.69 2.67
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------- ----------------
Net Realized Net Asset Total Return
Net Gains from Value, (Excluding Net
Investment Investment Total Redemption End Redemption Investment
Income Transactions Dividends Fees of Period Charge) Income
------------ -------------- ----------- ------------ ----------- --------------- ----------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... -- -- -- --# $ 8.67 5.09% (1.10)%
Year Ended July 31, 2003 ... -- -- -- -- $ 8.25 9.13% (1.21)%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.56 (27.24)% (3.86)%
Year Ended July 31, 2001+ .. -- (1.16) (1.16) -- $10.39 (21.77)% (1.35)%
Period Ended
July 31, 2000(a) ......... -- -- -- -- $14.46 3.80%^ (1.11)%^^
Year Ended
December 31, 1999+ ....... -- (2.76) (2.76) -- $13.93 21.11% (0.93)%
MID CAP FUND
Year Ended July 31, 2004 ... -- -- -- --# $11.78 17.00% (0.67)%
Year Ended July 31, 2003 ... -- -- -- -- $10.07 10.30% (0.68)%
Year Ended July 31, 2002 ... -- -- -- -- $ 9.13 (22.82)% (2.07)%
Year Ended July 31, 2001+ .. -- -- -- -- $11.83 (28.29)% (1.91)%
Period Ended
July 31, 2000(a)+ ........ -- -- -- -- $16.52 (4.40)%^ (2.00)%^^
Period Ended
December 31, 1999(b)+ .... -- -- -- -- $17.28 72.80%^ (2.17)%^^
SMALL CAP FUND
Year Ended July 31, 2004 ... -- -- -- --# $ 7.75 11.99% (2.03)%
Year Ended July 31, 2003 ... -- -- -- -- $ 6.92 0.44% (2.01)%
Year Ended July 31, 2002 ... -- -- -- -- $ 6.89 (30.05)% (2.01)%
Year Ended July 31, 2001+ .. -- (1.21) (1.21) -- $ 9.85 (11.03)% (1.97)%
Year Ended July 31, 2000 ... -- -- -- -- $12.31 48.13% (1.99)%
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... -- -- -- --# $11.19 31.80% 0.30%
Year Ended July 31, 2003 ... -- -- -- -- $ 8.49 11.13% 0.75%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.64 (18.29)% (0.39)%
Year Ended July 31, 2001+ .. -- (0.36) (0.36) -- $ 9.35 (21.25)% (0.44)%
Period Ended
July 31, 2000(a)+ ........ -- -- -- -- $12.25 (7.19)%^ (0.04)%^^
Period Ended
December 31, 1999(c) ..... (0.12) -- (0.12) -- $13.21 25.98%^ (0.54)%^^
Ratios (to average net assets)/Supplemental Data
-----------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate* (000's)
------------- ------------------ ----------- --------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... 2.05% 2.13% 71% $ 7,818
Year Ended July 31, 2003 ... 2.06% 2.13% 151% $ 8,571
Year Ended July 31, 2002 ... 2.04% 2.12% 115% $ 8,746
Year Ended July 31, 2001+ .. 1.96% 2.11% 100% $ 8,967
Period Ended
July 31, 2000(a) ......... 1.96%^^ 2.07%^^ 91% $ 8,939
Year Ended
December 31, 1999+ ....... 1.92% 1.93% 178% $ 7,704
MID CAP FUND
Year Ended July 31, 2004 ... 1.85% 2.35% 105% $ 7,376
Year Ended July 31, 2003 ... 1.90% 2.40% 59% $ 6,525
Year Ended July 31, 2002 ... 2.41% 2.58% 221% $ 7,066
Year Ended July 31, 2001+ .. 2.32% 2.41% 120% $11,323
Period Ended
July 31, 2000(a)+ ........ 2.33%^^ 2.37%^^ 39% $12,912
Period Ended
December 31, 1999(b)+ .... 2.86%^^ 2.86%^^ 20% $ 2,177
SMALL CAP FUND
Year Ended July 31, 2004 ... 2.33% 2.52% 171% $ 2,575
Year Ended July 31, 2003 ... 2.35% 2.53% 221% $ 1,987
Year Ended July 31, 2002 ... 2.36% 2.52% 227% $ 2,014
Year Ended July 31, 2001+ .. 2.36% 2.52% 220% $ 2,975
Year Ended July 31, 2000 ... 2.39% 2.59% 318% $ 2,619
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... 2.09% 2.59% 7% $ 2,147
Year Ended July 31, 2003 ... 2.11% 2.61% 18% $ 810
Year Ended July 31, 2002 ... 2.36% 2.64% 160% $ 471
Year Ended July 31, 2001+ .. 2.38% 2.65% 45% $ 516
Period Ended
July 31, 2000(a)+ ........ 2.47%^^ 2.72%^^ 32% $ 595
Period Ended
December 31, 1999(c) ..... 2.45%^^ 2.73%^^ 40% $ 228
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
(b) For the period from May 4, 1999 (commencement of operations) through
December 31, 1999.
(c) For the period from February 2, 1999 (commencement of operations) through
December 31, 1999.
See notes to financial statements.
122
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
B SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
---------------------------------------------
Net Asset Net Net Realized
Value, Investment and Unrealized Total from
Beginning Income Gains (Losses) Investment
of Period (Loss) from Investments* Activities
----------- ------------ ------------------- ------------
BALANCED FUND
Year Ended July 31, 2004 ...... $11.34 0.11 0.75 0.86
Year Ended July 31, 2003 ...... $10.86 0.14 0.66 0.80
Year Ended July 31, 2002 ...... $12.42 0.22 (1.19) (0.97)
Year Ended July 31, 2001+ ..... $12.45 0.28 1.26 1.54
Year Ended July 31, 2000 ...... $14.90 0.34 (0.64) (0.30)
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ...... $ 7.49 (0.03) 0.87 0.84
Year Ended July 31, 2003 ...... $ 6.87 (0.03) 0.65 0.62
Year Ended July 31, 2002 ...... $ 9.77 (0.07) (2.19) (2.26)
Year Ended July 31, 2001+ ..... $11.42 0.06 (0.44) (0.38)
Period Ended
July 31, 2000(a) ............ $11.47 (0.03) (0.02) (0.05)
Period Ended
December 31, 1999(b) ........ $10.03 0.07 1.50 1.57
GROWTH PORTFOLIO
Year Ended July 31, 2004 ...... $ 8.16 0.01 0.74 0.75
Year Ended July 31, 2003 ...... $ 7.55 0.01 0.62 0.63
Year Ended July 31, 2002 ...... $ 9.34 0.02 (1.48) (1.46)
Year Ended July 31, 2001+ ..... $10.44 0.15 (0.41) (0.26)
Period Ended
July 31, 2000(a) ............ $10.57 0.03 (0.12) (0.09)
Period Ended
December 31, 1999(c) ........ $ 9.84 0.12 0.81 0.93
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ...... $ 8.86 0.05 0.61 0.66
Year Ended July 31, 2003 ...... $ 8.32 0.06 0.56 0.62
Year Ended July 31, 2002 ...... $ 9.77 0.12 (1.16) (1.04)
Year Ended July 31, 2001+ ..... $10.53 0.24 (0.12) 0.12
Period Ended
July 31, 2000(a) ............ $10.50 0.10 0.02 0.12
Period Ended
December 31, 1999(b) ........ $10.00 0.08 0.53 0.61
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ...... $ 9.01 0.08 0.45 0.53
Year Ended July 31, 2003 ...... $ 8.56 0.09 0.50 0.59
Year Ended July 31, 2002 ...... $ 9.71 0.17 (0.95) (0.78)
Year Ended July 31, 2001+ ..... $10.04 0.25 0.15 0.40
Period Ended
July 31, 2000(a) ............ $ 9.96 0.13 0.07 0.20
Period Ended
December 31, 1999(d) ........ $10.00 0.13 0.02 0.15
Less Dividends from
---------------------------------------------------
Net Realized Net Asset Total Return
Net Gains from From Tax Value, (Excluding
Investment Investment Return of Total Redemption End Redemption
Income Transactions Capital Dividends Fees of Period Charge)
------------ -------------- ----------- ----------- ------------ ----------- ---------------
BALANCED FUND
Year Ended July 31, 2004 ...... (0.13) -- -- (0.13) --# $12.07 7.59%
Year Ended July 31, 2003 ...... (0.18) (0.14) -- (0.32) -- $11.34 7.55%
Year Ended July 31, 2002 ...... (0.23) (0.36) -- (0.59) -- $10.86 (8.17)%
Year Ended July 31, 2001+ ..... (0.30) (1.27) -- (1.57) -- $12.42 13.03%
Year Ended July 31, 2000 ...... (0.37) (1.78) -- (2.15) -- $12.45 (1.80)%
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ...... -- -- (0.01) (0.01) --# $ 8.32 11.16%
Year Ended July 31, 2003 ...... -- -- -- -- -- $ 7.49 9.02%
Year Ended July 31, 2002 ...... -- (0.64) -- (0.64) -- $ 6.87 (24.43)%
Year Ended July 31, 2001+ ..... (0.11) (1.16) -- (1.27) -- $ 9.77 (4.06)%
Period Ended
July 31, 2000(a) ............ -- -- -- -- -- $11.42 (0.43)%^
Period Ended
December 31, 1999(b) ........ (0.09) (0.04) -- (0.13) -- $11.47 15.70%^
GROWTH PORTFOLIO
Year Ended July 31, 2004 ...... (0.03) -- -- (0.03) --# $ 8.88 9.15%
Year Ended July 31, 2003 ...... (0.02) -- -- (0.02) -- $ 8.16 8.39%
Year Ended July 31, 2002 ...... (0.03) (0.30) -- (0.33) -- $ 7.55 (16.13)%
Year Ended July 31, 2001+ ..... (0.17) (0.67) -- (0.84) -- $ 9.34 (2.82)%
Period Ended
July 31, 2000(a) ............ (0.04) -- -- (0.04) -- $10.44 (0.84)%^
Period Ended
December 31, 1999(c) ........ (0.12) (0.08) -- (0.20) -- $10.57 9.48%^
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ...... (0.06) -- -- (0.06) --# $ 9.46 7.49%
Year Ended July 31, 2003 ...... (0.08) -- -- (0.08) -- $ 8.86 7.45%
Year Ended July 31, 2002 ...... (0.13) (0.28) -- (0.41) -- $ 8.32 (10.98)%
Year Ended July 31, 2001+ ..... (0.25) (0.63) -- (0.88) -- $ 9.77 1.09%
Period Ended
July 31, 2000(a) ............ (0.09) -- -- (0.09) -- $10.53 1.13%^
Period Ended
December 31, 1999(b) ........ (0.08) (0.03) -- (0.11) -- $10.50 6.10%^
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ...... (0.10) -- -- (0.10) --# $ 9.44 5.86%
Year Ended July 31, 2003 ...... (0.11) (0.03) -- (0.14) -- $ 9.01 7.02%
Year Ended July 31, 2002 ...... (0.17) (0.20) -- (0.37) -- $ 8.56 (8.38)%
Year Ended July 31, 2001+ ..... (0.28) (0.45) -- (0.73) -- $ 9.71 4.09%
Period Ended
July 31, 2000(a) ............ (0.12) -- -- (0.12) -- $10.04 2.00%^
Period Ended
December 31, 1999(d) ........ (0.13) (0.06) -- (0.19) -- $ 9.96 1.50%^
Ratios (to average net assets)/Supplemental Data
----------------------------------------------------------------------------
Net Expenses (before Portfolio Net Assets,
Investment Net Reductions/ Turnover End of Period
Income Expenses Reimbursements) Rate** (000's)
---------------- ------------- ------------------ ----------- --------------
BALANCED FUND
Year Ended July 31, 2004 ...... 0.89% 2.07% 2.16% 19% $24,755
Year Ended July 31, 2003 ...... 1.27% 2.09% 2.17% 86% $20,004
Year Ended July 31, 2002 ...... 1.81% 2.09% 2.16% 34% $16,742
Year Ended July 31, 2001+ ..... 2.20% 2.06% 2.12% 14% $ 9,004
Year Ended July 31, 2000 ...... 2.54% 2.10% 2.12% 16% $ 7,072
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ...... (0.79)% 1.31% 1.70% 31% $10,062
Year Ended July 31, 2003 ...... (0.78)% 1.40% 1.83% 100% $ 2,014
Year Ended July 31, 2002 ...... (1.04)% 1.46% 1.87% 50% $ 761
Year Ended July 31, 2001+ ..... 0.58% 1.52% 1.93% 36% $ 386
Period Ended
July 31, 2000(a) ............ (0.44)%^^ 1.56%^^ 1.94%^^ 22% $ 390
Period Ended
December 31, 1999(b) ........ 0.92%^^ 1.52%^^ 7.86%^^ 95% $ 456
GROWTH PORTFOLIO
Year Ended July 31, 2004 ...... 0.08% 1.25% 1.64% 27% $17,334
Year Ended July 31, 2003 ...... 0.19% 1.36% 1.81% 128% $ 4,491
Year Ended July 31, 2002 ...... 0.22% 1.45% 1.89% 63% $ 1,886
Year Ended July 31, 2001+ ..... 1.53% 1.53% 1.97% 38% $ 1,710
Period Ended
July 31, 2000(a) ............ 0.46%^^ 1.56%^^ 1.97%^^ 97% $ 1,241
Period Ended
December 31, 1999(c) ........ 2.14%^^ 1.55%^^ 6.75%^^ 76% $ 998
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ...... 0.52% 1.33% 1.58% 38% $13,141
Year Ended July 31, 2003 ...... 0.76% 1.37% 1.61% 135% $ 3,839
Year Ended July 31, 2002 ...... 1.31% 1.35% 1.58% 69% $ 1,607
Year Ended July 31, 2001+ ..... 2.40% 1.37% 1.60% 51% $ 1,656
Period Ended
July 31, 2000(a) ............ 1.58%^^ 1.40%^^ 1.57%^^ 21% $ 1,613
Period Ended
December 31, 1999(b) ........ 1.74%^^ 1.52%^^ 4.26%^^ 57% $ 1,725
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ...... 0.95% 1.33% 1.72% 34% $10,280
Year Ended July 31, 2003 ...... 1.12% 1.40% 1.82% 136% $ 2,812
Year Ended July 31, 2002 ...... 1.74% 1.39% 1.81% 65% $ 970
Year Ended July 31, 2001+ ..... 2.59% 1.51% 1.92% 62% $ 1,231
Period Ended
July 31, 2000(a) ............ 2.19%^^ 1.55%^^ 1.88%^^ 21% $ 832
Period Ended
December 31, 1999(d) ........ 2.80%^^ 1.54%^^ 6.90%^^ 124% $ 941
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Represents investments in affiliates for the Strategic Portfolios.
** Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
(b) For the period from January 27, 1999 (commencement of operations) through
December 31, 1999.
(c) For the period from February 15, 1999 (commencement of operations) through
December 31, 1999.
(d) For the period from January 28, 1999 (commencement of operations) through
December 31, 1999.
See notes to financial statements.
123
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
B SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
--------------------------------------------
Net Asset Net Realized
Value, Net and Unrealized Total from
Beginning Investment Gains (Losses) Investment
of Period Income from Investments Activities
----------- ------------ ------------------ ------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... $10.04 0.27 (0.11) 0.16
Year Ended July 31, 2003 ... $10.26 0.33 (0.06) 0.27
Year Ended July 31, 2002 ... $10.10 0.42 0.19 0.61
Year Ended July 31, 2001+ .. $ 9.61 0.47 0.51 0.98
Period Ended
July 31, 2000(a) ........... $ 9.48 0.18 0.10 0.28
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... $10.64 0.16 (0.12) 0.04
Year Ended July 31, 2003 ... $10.69 0.28 0.01 0.29
Year Ended July 31, 2002 ... $10.54 0.42 0.17 0.59
Year Ended July 31, 2001 ... $10.13 0.49 0.42 0.91
Year Ended July 31, 2000 ... $10.27 0.48 (0.10) 0.38
BOND FUND
Year Ended July 31, 2004 ... $11.30 0.33 (0.10) 0.23
Year Ended July 31, 2003 ... $11.40 0.37 0.11 0.48
Year Ended July 31, 2002 ... $11.10 0.43 0.37 0.80
Year Ended July 31, 2001+ .. $10.50 0.50 0.61 1.11
Year Ended July 31, 2000 ... $10.60 0.49 (0.05) 0.44
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------- -------------
Net Realized Net Asset Total Return
Net Gains from Value, (Excluding Net
Investment Investment Total Redemption End Redemption Investment
Income Transactions Dividends Fees of Period Charge) Income
------------ -------------- ----------- ------------ ----------- ------------- ------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... (0.34) (0.01) (0.35) --# $ 9.85 1.58% 2.73%
Year Ended July 31, 2003 ... (0.34) (0.15) (0.49) -- $10.04 2.61% 3.08%
Year Ended July 31, 2002 ... (0.45) -- (0.45) -- $10.26 6.18% 4.00%
Year Ended July 31, 2001+ .. (0.49) -- (0.49) -- $10.10 10.36% 4.65%
Period Ended
July 31, 2000(a) ......... (0.15) -- (0.15) -- $ 9.61 2.98%^ 4.77%^^
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... (0.23) -- (0.23) --# $10.45 0.41% 1.65%
Year Ended July 31, 2003 ... (0.34) -- (0.34) -- $10.64 2.76% 2.52%
Year Ended July 31, 2002 ... (0.44) -- (0.44) -- $10.69 5.69% 3.78%
Year Ended July 31, 2001 ... (0.50) -- (0.50) -- $10.54 9.20% 4.66%
Year Ended July 31, 2000 ... (0.52) -- (0.52) -- $10.13 3.85% 4.79%
BOND FUND
Year Ended July 31, 2004 ... (0.39) (0.09) (0.48) --# $11.05 2.07% 3.00%
Year Ended July 31, 2003 ... (0.43) (0.15) (0.58) -- $11.30 4.27% 3.24%
Year Ended July 31, 2002 ... (0.47) (0.03) (0.50) -- $11.40 7.43% 3.90%
Year Ended July 31, 2001+ .. (0.51) -- (0.51) -- $11.10 10.77% 4.55%
Year Ended July 31, 2000 ... (0.52) (0.02) (0.54) -- $10.50 4.30% 4.72%
Ratios (to average net assets)/Supplemental Data
-----------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate* (000's)
------------- ------------------ ----------- --------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... 1.75% 1.98% 39% $ 7,558
Year Ended July 31, 2003 ... 1.76% 1.98% 43% $10,228
Year Ended July 31, 2002 ... 1.75% 1.96% 18% $ 3,542
Year Ended July 31, 2001+ .. 1.74% 1.95% 25% $ 1,635
Period Ended
July 31, 2000(a) ......... 1.75%^^ 1.98%^^ 42% $ 520
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... 1.73% 1.97% 34% $19,641
Year Ended July 31, 2003 ... 1.73% 1.97% 32% $23,190
Year Ended July 31, 2002 ... 1.75% 1.96% 29% $10,307
Year Ended July 31, 2001 ... 1.75% 1.97% 44% $ 2,614
Year Ended July 31, 2000 ... 1.76% 1.99% 34% $ 1,815
BOND FUND
Year Ended July 31, 2004 ... 1.74% 1.98% 37% $ 7,356
Year Ended July 31, 2003 ... 1.74% 1.97% 33% $10,168
Year Ended July 31, 2002 ... 1.74% 1.95% 35% $ 9,796
Year Ended July 31, 2001+ .. 1.73% 1.95% 24% $ 7,342
Year Ended July 31, 2000 ... 1.74% 1.96% 27% $ 3,636
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from March 13, 2000 (commencement of operations) through
July 31, 2000.
See notes to financial statements.
124
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
B SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities Less Dividends from
-------------------------------------------- ---------------------------------------
Net Asset Net Realized Net Realized
Value, Net and Unrealized Total from Net Gains from
Beginning Investment Gains (Losses) Investment Investment Investment Total
of Period Income from Investments Activities Income Transactions Dividends
----------- ------------ ------------------ ------------ ------------ -------------- -----------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... $10.31 0.27 (0.06) 0.21 (0.27) (0.01) (0.28)
Year Ended July 31, 2003 ... $10.36 0.27 (0.04) 0.23 (0.25) (0.03) (0.28)
Year Ended July 31, 2002 ... $10.17 0.30 0.22 0.52 (0.32) (0.01) (0.33)
Year Ended July 31, 2001+ .. $ 9.75 0.32 0.41 0.73 (0.31) -- (0.31)
Year Ended July 31, 2000 ... $ 9.87 0.31 (0.05) 0.26 (0.33) (0.05) (0.38)
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.68 0.27 (0.05) 0.22 (0.27) (0.01) (0.28)
Year Ended July 31, 2003 ... $10.76 0.29 (0.08) 0.21 (0.29) -- (0.29)
Year Ended July 31, 2002 ... $10.49 0.29 0.28 0.57 (0.30) -- (0.30)
Year Ended July 31, 2001+ .. $10.15 0.32 0.34 0.66 (0.32) -- (0.32)
Year Ended July 31, 2000 ... $10.20 0.32 (0.01) 0.31 (0.33) (0.03) (0.36)
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.34 0.21 (0.02) 0.19 (0.22) (0.05) (0.27)
Year Ended July 31, 2003 ... $10.38 0.20 (0.04) 0.16 (0.20) -- (0.20)
Year Ended July 31, 2002 ... $10.12 0.24 0.26 0.50 (0.24) -- (0.24)
Year Ended July 31, 2001+ .. $ 9.76 0.29 0.36 0.65 (0.29) -- (0.29)
Period Ended July 2000(a) .. $ 9.57 0.17 0.18 0.35 (0.16) -- (0.16)
Year Ended
December 31, 1999 ........ $10.21 0.27 (0.64) (0.37) (0.27) -- (0.27)
Ratios (to average net assets)/Supplemental Data
------------------------------------------------------------------------
Net Asset Total Return
Value, (Excluding Net Expenses (before Portfolio Net Assets,
End Redemption Investment Net Reductions/ Turnover End of Period
of Period Charge) Income Expenses Reimbursements) Rate* (000's)
----------- ------------- ------------ ------------- ------------------ ----------- --------------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... $10.24 2.06% 2.61% 1.63% 1.96% 5% $4,157
Year Ended July 31, 2003 ... $10.31 2.19% 2.61% 1.64% 1.96% 7% $4,496
Year Ended July 31, 2002 ... $10.36 5.20% 2.95% 1.64% 1.95% 10% $3,844
Year Ended July 31, 2001+ .. $10.17 7.60% 3.12% 1.64% 1.95% 5% $1,777
Year Ended July 31, 2000 ... $ 9.75 2.75% 3.30% 1.64% 1.96% 9% $ 889
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.62 2.12% 2.49% 1.58% 2.00% 11% $2,988
Year Ended July 31, 2003 ... $10.68 1.91% 2.61% 1.59% 2.00% 6% $3,807
Year Ended July 31, 2002 ... $10.76 5.56% 2.90% 1.62% 2.01% 13% $2,647
Year Ended July 31, 2001+ .. $10.49 6.61% 3.03% 1.64% 2.04% 7% $1,385
Year Ended July 31, 2000 ... $10.15 3.14% 3.22% 1.62% 2.05% 11% $ 729
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.26 1.83% 2.01% 1.75% 2.04% 0% $2,473
Year Ended July 31, 2003 ... $10.34 1.56% 1.95% 1.82% 2.09% 21% $2,936
Year Ended July 31, 2002 ... $10.38 4.98% 2.29% 1.82% 2.07% 60% $1,839
Year Ended July 31, 2001+ .. $10.12 6.75% 2.85% 1.84% 2.08% 123% $1,432
Period Ended July 2000(a) .. $ 9.76 3.74%^ 3.07%^^ 1.83%^^ 1.96%^^ 23% $1,054
Year Ended
December 31, 1999 ........ $ 9.57 (3.65)% 2.72% 1.84% 1.85% 64% $1,288
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
125
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
B SHARES+
Selected data for a share outstanding throughout the period indicated.
Less
Net Asset Dividends Net Asset
Value, Net from Net Value,
Beginning Investment Investment End
of Period Income Income of Period
----------- ------------ ------------ -----------
PRIME MONEY MARKET FUND
Year Ended July 31, 2004 ....................... $1.000 0.002 (0.002) $1.000
Year Ended July 31, 2003 ....................... $1.000 0.003 (0.003) $1.000
Year Ended July 31, 2002 ....................... $1.000 0.008 (0.008) $1.000
Year Ended July 31, 2001 ....................... $1.000 0.042 (0.042) $1.000
Year Ended July 31, 2000 ....................... $1.000 0.042 (0.042) $1.000
INSTITUTIONAL PRIME OBLIGATIONS MONEY MARKET FUND
Year Ended July 31, 2004 ....................... $1.000 0.004 (0.004) $1.000
Year Ended July 31, 2003 ....................... $1.000 0.007 (0.007) $1.000
Year Ended July 31, 2002 ....................... $1.000 0.016 (0.016) $1.000
Year Ended July 31, 2001 ....................... $1.000 0.049 (0.049) $1.000
Year Ended July 31, 2000 ....................... $1.000 0.052 (0.052) $1.000
Ratios (to average net assets)/Supplemental Data
---------------------------------------------------------
Net Expenses (before Net Assets,
Total Investment Net Reductions/ End of Period
Return Income Expenses Reimbursements) (000's)
---------- ------------ ---------- ------------------ --------------
PRIME MONEY MARKET FUND
Year Ended July 31, 2004 ....................... 0.16% 0.16% 0.94% 1.72% $ 3,175
Year Ended July 31, 2003 ....................... 0.26% 0.26% 1.18% 1.72% $ 3,567
Year Ended July 31, 2002 ....................... 0.77% 0.71% 1.54% 1.69% $ 3,891
Year Ended July 31, 2001 ....................... 4.25% 3.75% 1.52% 1.69% $ 1,908
Year Ended July 31, 2000 ....................... 4.31% 4.35% 1.61% 1.69% $ 727
INSTITUTIONAL PRIME OBLIGATIONS MONEY MARKET FUND
Year Ended July 31, 2004 ....................... 0.36% 0.35% 0.75% 0.91% $ 52,183
Year Ended July 31, 2003 ....................... 0.68% 0.77% 0.76% 0.91% $ 91,824
Year Ended July 31, 2002 ....................... 1.58% 1.50% 0.75% 0.89% $210,031
Year Ended July 31, 2001 ....................... 5.04% 4.81% 0.75% 0.90% $169,676
Year Ended July 31, 2000 ....................... 5.29% 5.43% 0.71% 0.91% $114,401
+ Represents Class 3 Shares for Institutional Prime Obligations Money Market
Fund.
See notes to financial statements.
126
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
I SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities Less Dividends from
-------------------------------------------- ---------------------------------------
Net Realized
Net Asset and Unrealized Net Realized
Value, Net Gains (Losses) Total from Net Gains from
Beginning Investment from Investments Investment Investment Investment Total
of Period Income and Futures Activities Income Transactions Dividends
----------- ------------ ------------------ ------------ ------------ -------------- -----------
VALUE FUND
Year Ended July 31, 2004 ... $13.04 0.13 1.80* 1.93 (0.13) -- (0.13)
Year Ended July 31, 2003 ... $12.74 0.16 0.81 0.97 (0.15) (0.52) (0.67)
Year Ended July 31, 2002 ... $20.34 0.11 (5.99) (5.88) (0.11) (1.61) (1.72)
Year Ended July 31, 2001+ .. $19.53 0.15 3.59 3.74 (0.16) (2.77) (2.93)
Year Ended July 31, 2000 ... $25.27 0.28 (2.24) (1.96) (0.28) (3.50) (3.78)
SELECT EQUITY FUND
Year Ended July 31, 2004 ... $11.93 0.07 1.57 1.64 (0.07) (0.10) (0.17)
Year Ended July 31, 2003 ... $11.01 0.07 0.91 0.98 (0.06) -- (0.06)
Year Ended July 31, 2002 ... $11.25 0.04 (0.25) (0.21) (0.03) -- (0.03)
Year Ended July 31, 2001+ .. $ 8.73 0.02 2.52 2.54 (0.02) -- (0.02)
Year Ended July 31, 2000+ .. $11.89 0.09 (2.36) (2.27) (0.08) (0.81) (0.89)
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... $ 9.88 0.10 1.17 1.27 (0.10) -- (0.10)
Year Ended July 31, 2003 ... $ 9.17 0.08 0.71 0.79 (0.08) -- (0.08)
Year Ended July 31, 2002 ... $12.28 0.06 (2.97) (2.91) (0.04) (0.16) (0.20)
Year Ended July 31, 2001+ .. $14.65 0.06 (2.17) (2.11) (0.04) (0.22) (0.26)
Year Ended July 31, 2000 ... $13.86 0.10 1.23 1.33 (0.09) (0.45) (0.54)
LARGE CAP FUND
Year Ended July 31, 2004 ... $16.40 -- 1.14 1.14 -- -- --
Year Ended July 31, 2003 ... $15.49 0.03 1.54 1.57 (0.03) (0.63) (0.66)
Year Ended July 31, 2002 ... $21.25 0.02 (4.58) (4.56) (0.01) (1.19) (1.20)
Year Ended July 31, 2001+ .. $28.14 -- (2.83) (2.83) -- (4.06) (4.06)
Period Ended
July 31, 2000(a) ......... $28.01 -- 0.14 0.14 (0.01) -- (0.01)
Year Ended
December 31, 1999+ ....... $27.54 0.03 5.07 5.10 (0.03) (4.60) (4.63)
Net Asset
Value,
End Total
of Period Return
----------- -----------
VALUE FUND
Year Ended July 31, 2004 ... $14.84 14.86%##
Year Ended July 31, 2003 ... $13.04 8.21%
Year Ended July 31, 2002 ... $12.74 (31.09)%
Year Ended July 31, 2001+ .. $20.34 21.10%
Year Ended July 31, 2000 ... $19.53 (8.11)%
SELECT EQUITY FUND
Year Ended July 31, 2004 ... $13.40 13.73%
Year Ended July 31, 2003 ... $11.93 8.96%
Year Ended July 31, 2002 ... $11.01 (1.84)%
Year Ended July 31, 2001+ .. $11.25 29.12%
Year Ended July 31, 2000+ .. $ 8.73 (19.72)%
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... $11.05 12.85%
Year Ended July 31, 2003 ... $ 9.88 8.71%
Year Ended July 31, 2002 ... $ 9.17 (24.00)%
Year Ended July 31, 2001+ .. $12.28 (14.53)%
Year Ended July 31, 2000 ... $14.65 9.73%
LARGE CAP FUND
Year Ended July 31, 2004 ... $17.54 6.99%
Year Ended July 31, 2003 ... $16.40 10.65%
Year Ended July 31, 2002 ... $15.49 (22.64)%
Year Ended July 31, 2001+ .. $21.25 (11.60)%
Period Ended
July 31, 2000(a) ......... $28.14 (0.50)%^
Year Ended
December 31, 1999+ ....... $28.01 18.84%
Ratios (to average net assets)/Supplemental Data
--------------------------------------------------------------------------
Net Expenses (before Portfolio Net Assets,
Investment Net Reductions/ Turnover End of Period
Income Expenses Reimbursements) Rate** (000's)
-------------- ------------- ------------------ ----------- --------------
VALUE FUND
Year Ended July 31, 2004 ... 0.94% 1.19% 1.28% 44% $363,393
Year Ended July 31, 2003 ... 1.32% 1.20% 1.29% 117% $390,734
Year Ended July 31, 2002 ... 0.64% 1.20% 1.26% 59% $420,054
Year Ended July 31, 2001+ .. 0.76% 1.19% 1.25% 43% $565,484
Year Ended July 31, 2000 ... 1.30% 1.13% 1.15% 17% $560,804
SELECT EQUITY FUND
Year Ended July 31, 2004 ... 0.51% 1.14% 1.29% 18% $ 90,762
Year Ended July 31, 2003 ... 0.57% 1.19% 1.39% 8% $ 44,620
Year Ended July 31, 2002 ... 0.42% 1.33% 1.63% 38% $ 8,419
Year Ended July 31, 2001+ .. 0.19% 1.56% 1.97% 19% $ 7,043
Year Ended July 31, 2000+ .. 0.88% 1.25% 1.78% 25% $ 5,100
ENHANCED MARKET
FUND
Year Ended July 31, 2004 ... 0.91% 0.80% 0.94% 64% $143,148
Year Ended July 31, 2003 ... 0.92% 0.83% 1.00% 27% $ 98,133
Year Ended July 31, 2002 ... 0.53% 0.93% 1.10% 34% $ 6,793
Year Ended July 31, 2001+ .. 0.43% 0.90% 1.04% 42% $ 15,469
Year Ended July 31, 2000 ... 0.65% 0.81% 0.98% 30% $ 31,622
LARGE CAP FUND
Year Ended July 31, 2004 ... 0.03% 1.11% 1.29% 8% $248,306
Year Ended July 31, 2003 ... 0.25% 1.11% 1.29% 7% $393,743
Year Ended July 31, 2002 ... 0.10% 1.11% 1.27% 11% $393,942
Year Ended July 31, 2001+ .. (0.01)% 1.10% 1.26% 10% $521,412
Period Ended
July 31, 2000(a) ......... 0.00%^^ 1.07%^^ 1.22%^^ 10% $694,107
Year Ended
December 31, 1999+ ....... 0.11% 1.04% 1.14% 15% $706,313
+ Net investment income (loss) is based on average shares outstanding during
the period.
* Includes 0.01 from reimbursement from affiliates for investment losses.
## The total return shown includes the losses on the disposal of investments
that were reimbursed by the advisor and administrator, which otherwise
would have reduced the total return by 0.08%.
** Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
127
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
I SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
----------------------------------------------
Net Realized
and Unrealized
Net Asset Net Gains (Losses)
Value, Investment from Investments, Total from
Beginning Income Futures, and Investment
of Period (Loss) Foreign Currencies Activities
----------- ------------ -------------------- ------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... $ 8.74 (0.02) 0.56 0.54
Year Ended July 31, 2003 ... $ 7.94 (0.03) 0.83 0.80
Year Ended July 31, 2002 ... $10.82 (0.04) (2.84) (2.88)
Year Ended July 31, 2001+ .. $14.89 (0.06) (2.85) (2.91)
Period Ended
July 31, 2000(a) ......... $14.27 (0.02) 0.64 0.62
Year Ended
December 31, 1999+ ....... $14.09 (0.01) 2.95 2.94
MID CAP FUND
Year Ended July 31, 2004 ... $10.44 0.03 1.85 1.88
Year Ended July 31, 2003 ... $ 9.40 0.02 1.04 1.06
Year Ended July 31, 2002 ... $12.06 (0.13) (2.53) (2.66)
Year Ended July 31, 2001+ .. $16.70 (0.15) (4.49) (4.64)
Period Ended
July 31, 2000(a)+ ........ $17.37 (0.11) (0.56) (0.67)
Period Ended
December 31, 1999(b)+ .... $10.00 (0.12) 7.49 7.37
SMALL CAP FUND
Year Ended July 31, 2004 ... $ 7.31 (0.09) 1.03 0.94
Year Ended July 31, 2003 ... $ 7.21 (0.07) 0.17 0.10
Year Ended July 31, 2002 ... $10.22 (0.08) (2.93) (3.01)
Year Ended July 31, 2001+ .. $12.61 (0.12) (1.06) (1.18)
Year Ended July 31, 2000 ... $ 8.44 (0.07) 4.24 4.17
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... $ 8.73 0.11 2.76 2.87
Year Ended July 31, 2003 ... $ 7.83 0.02 0.89 0.91
Year Ended July 31, 2002 ... $ 9.50 0.04 (1.70) (1.66)
Year Ended July 31, 2001+ .. $12.37 0.06 (2.53) (2.47)
Period Ended
July 31, 2000(a)+ ........ $13.27 0.06 (0.96) (0.90)
Year Ended
December 31, 1999 ........ $10.58 0.08 2.75 2.83
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------- ----------------
Net Realized Net Asset
Net Gains from Value, Net
Investment Investment Total Redemption End Total Investment
Income Transactions Dividends Fees of Period Return Income
------------ -------------- ----------- ------------ ----------- --------------- ----------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... -- -- -- -- $ 9.28 6.18% (0.20)%
Year Ended July 31, 2003 ... -- -- -- -- $ 8.74 10.08% (0.31)%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.94 (26.62)% (0.48)%
Year Ended July 31, 2001+ .. -- (1.16) (1.16) -- $10.82 (21.11)% (0.50)%
Period Ended
July 31, 2000(a) ......... -- -- -- -- $14.89 4.36%^ (0.26)%^^
Year Ended
December 31, 1999+ ....... -- (2.76) (2.76) -- $14.27 22.09% (0.09)%
MID CAP FUND
Year Ended July 31, 2004 ... (0.02) -- (0.02) --# $12.30 18.05% 0.22%
Year Ended July 31, 2003 ... (0.02) -- (0.02) -- $10.44 11.26% 0.23%
Year Ended July 31, 2002 ... -- -- -- -- $ 9.40 (22.06)% (1.16)%
Year Ended July 31, 2001+ .. -- -- -- -- $12.06 (27.78)% (1.03)%
Period Ended
July 31, 2000(a)+ ........ -- -- -- -- $16.70 (3.86)%^ (1.08)%^^
Period Ended
December 31, 1999(b)+ .... -- -- -- -- $17.37 73.70%^ (1.47)%^^
SMALL CAP FUND
Year Ended July 31, 2004 ... -- -- -- --# $ 8.25 12.86% (1.13)%
Year Ended July 31, 2003 ... -- -- -- -- $ 7.31 1.39% (1.11)%
Year Ended July 31, 2002 ... -- -- -- -- $ 7.21 (29.45)% (1.11)%
Year Ended July 31, 2001+ .. -- (1.21) (1.21) -- $10.22 (10.16)% (1.07)%
Year Ended July 31, 2000 ... -- -- -- -- $12.61 49.41% (1.01)%
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... (0.11) -- (0.11) 0.01 $11.50 33.02% 1.13%
Year Ended July 31, 2003 ... (0.02) -- (0.02) 0.01 $ 8.73 11.73% 1.52%
Year Ended July 31, 2002 ... (0.01) -- (0.01) -- $ 7.83 (17.49)% 0.56%
Year Ended July 31, 2001+ .. (0.04) (0.36) (0.40) -- $ 9.50 (20.50)% 0.59%
Period Ended
July 31, 2000(a)+ ........ -- -- -- -- $12.37 (6.71)%^ 0.83%^^
Year Ended
December 31, 1999 ........ (0.14) -- (0.14) -- $13.27 26.72% 0.80%
Ratios (to average net assets)/Supplemental Data
-----------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate* (000's)
------------- ------------------ ----------- --------------
CAPITAL GROWTH FUND
Year Ended July 31, 2004 ... 1.15% 1.28% 71% $227,673
Year Ended July 31, 2003 ... 1.16% 1.28% 151% $224,798
Year Ended July 31, 2002 ... 1.15% 1.27% 115% $242,193
Year Ended July 31, 2001+ .. 1.11% 1.26% 100% $299,177
Period Ended
July 31, 2000(a) ......... 1.11%^^ 1.22%^^ 91% $298,771
Year Ended
December 31, 1999+ ....... 1.07% 1.08% 178% $241,810
MID CAP FUND
Year Ended July 31, 2004 ... 0.95% 1.50% 105% $149,229
Year Ended July 31, 2003 ... 0.99% 1.54% 59% $117,498
Year Ended July 31, 2002 ... 1.51% 1.73% 221% $ 30,453
Year Ended July 31, 2001+ .. 1.42% 1.55% 120% $ 41,611
Period Ended
July 31, 2000(a)+ ........ 1.46%^^ 1.53%^^ 39% $ 63,696
Period Ended
December 31, 1999(b)+ .... 2.18%^^ 2.18%^^ 20% $ 37,186
SMALL CAP FUND
Year Ended July 31, 2004 ... 1.43% 1.68% 171% $209,558
Year Ended July 31, 2003 ... 1.45% 1.68% 221% $174,741
Year Ended July 31, 2002 ... 1.46% 1.67% 227% $139,099
Year Ended July 31, 2001+ .. 1.46% 1.67% 220% $172,735
Year Ended July 31, 2000 ... 1.42% 1.70% 318% $162,215
INTERNATIONAL EQUITY
FUND
Year Ended July 31, 2004 ... 1.19% 1.74% 7% $370,790
Year Ended July 31, 2003 ... 1.21% 1.76% 18% $254,736
Year Ended July 31, 2002 ... 1.45% 1.79% 160% $185,374
Year Ended July 31, 2001+ .. 1.47% 1.79% 45% $145,744
Period Ended
July 31, 2000(a)+ ........ 1.59%^^ 1.88%^^ 32% $105,034
Year Ended
December 31, 1999 ........ 1.56% 1.84% 40% $ 46,104
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
(b) For the period from May 4, 1999 (commencement of operations) through
December 31, 1999.
See notes to financial statements.
128
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
I SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
---------------------------------------------
Net Asset Net Net Realized
Value, Investment and Unrealized Total from
Beginning Income Gains (Losses) Investment
of Period (Loss) from Investments* Activities
----------- ------------ ------------------- ------------
BALANCED FUND
Year Ended July 31, 2004 ... $11.38 0.22 0.75 0.97
Year Ended July 31, 2003 ... $10.90 0.23 0.66 0.89
Year Ended July 31, 2002 ... $12.45 0.32 (1.18) (0.86)
Year Ended July 31, 2001+ .. $12.47 0.40 1.26 1.66
Year Ended July 31, 2000 ... $14.93 0.46 (0.64) (0.18)
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ... $ 7.73 0.01 0.92 0.93
Year Ended July 31, 2003 ... $ 7.03 -- 0.70 0.70
Year Ended July 31, 2002 ... $ 9.90 (0.02) (2.21) (2.23)
Year Ended July 31, 2001+ .. $11.51 0.14 (0.44) (0.30)
Period Ended
July 31, 2000(a) ......... $11.53 0.02 (0.02) --
Period Ended
December 31, 1999(b) ..... $10.05 0.12 1.52 1.64
GROWTH PORTFOLIO
Year Ended July 31, 2004 ... $ 8.24 0.07 0.76 0.83
Year Ended July 31, 2003 ... $ 7.62 0.07 0.62 0.69
Year Ended July 31, 2002 ... $ 9.42 0.09 (1.50) (1.41)
Year Ended July 31, 2001+ .. $10.51 0.24 (0.42) (0.18)
Period Ended
July 31, 2000(a) ......... $10.61 0.08 (0.11) (0.03)
Period Ended
December 31, 1999(c) ..... $10.00 0.16 0.69 0.85
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ... $ 8.91 0.13 0.60 0.73
Year Ended July 31, 2003 ... $ 8.36 0.14 0.55 0.69
Year Ended July 31, 2002 ... $ 9.80 0.20 (1.16) (0.96)
Year Ended July 31, 2001+ .. $10.56 0.32 (0.12) 0.20
Period Ended
July 31, 2000(a) ......... $10.51 0.14 0.03 0.17
Period Ended
December 31, 1999(d) ..... $ 9.85 0.13 0.69 0.82
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ... $ 9.07 0.16 0.45 0.61
Year Ended July 31, 2003 ... $ 8.61 0.17 0.49 0.66
Year Ended July 31, 2002 ... $ 9.76 0.23 (0.95) (0.72)
Year Ended July 31, 2001+ .. $10.08 0.34 0.14 0.48
Period Ended
July 31, 2000(a) ......... $ 9.98 0.18 0.07 0.25
Period Ended
December 31, 1999(e) ..... $ 9.88 0.20 0.16 0.36
Ratios (to
average net
assets)/
Supplemental
Less Dividends from Data
--------------------------------------------------- --------------
Net Realized Net Asset
Net Gains from From Tax Value, Net
Investment Investment Return of Total End Total Investment
Income Transactions Capital Dividends of Period Return Income
------------ -------------- ----------- ----------- ----------- --------------- --------------
BALANCED FUND
Year Ended July 31, 2004 ... (0.24) -- -- (0.24) $12.11 8.52% 1.80%
Year Ended July 31, 2003 ... (0.27) (0.14) -- (0.41) $11.38 8.49% 2.19%
Year Ended July 31, 2002 ... (0.33) (0.36) -- (0.69) $10.90 (7.27)% 2.72%
Year Ended July 31, 2001+ .. (0.41) (1.27) -- (1.68) $12.45 14.09% 3.16%
Year Ended July 31, 2000 ... (0.50) (1.78) -- (2.28) $12.47 (0.90)% 3.50%
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ... -- -- (0.01) (0.01) $ 8.65 12.02% 0.08%
Year Ended July 31, 2003 ... -- -- -- -- $ 7.73 9.97% 0.03%
Year Ended July 31, 2002 ... -- (0.64) -- (0.64) $ 7.03 (23.78)% (0.23)%
Year Ended July 31, 2001+ .. (0.15) (1.16) -- (1.31) $ 9.90 (3.30)% 1.34%
Period Ended
July 31, 2000(a) ......... (0.02) -- -- (0.02) $11.51 0.01%^ 0.38%^^
Period Ended
December 31, 1999(b) ..... (0.12) (0.04) -- (0.16) $11.53 16.31%^ 3.23%^^
GROWTH PORTFOLIO
Year Ended July 31, 2004 ... (0.06) -- -- (0.06) $ 9.01 10.13% 0.88%
Year Ended July 31, 2003 ... (0.07) -- -- (0.07) $ 8.24 9.19% 1.01%
Year Ended July 31, 2002 ... (0.09) (0.30) -- (0.39) $ 7.62 (15.50)% 1.03%
Year Ended July 31, 2001+ .. (0.24) (0.67) -- (0.91) $ 9.42 (1.98)% 2.40%
Period Ended
July 31, 2000(a) ......... (0.07) -- -- (0.07) $10.51 (0.29)%^ 1.28%^^
Period Ended
December 31, 1999(c) ..... (0.16) (0.08) -- (0.24) $10.61 8.59%^ 4.82%^^
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ... (0.12) -- -- (0.12) $ 9.52 8.25% 1.35%
Year Ended July 31, 2003 ... (0.14) -- -- (0.14) $ 8.91 8.32% 1.60%
Year Ended July 31, 2002 ... (0.20) (0.28) -- (0.48) $ 8.36 (10.19)% 2.07%
Year Ended July 31, 2001+ .. (0.33) (0.63) -- (0.96) $ 9.80 1.84% 3.25%
Period Ended
July 31, 2000(a) ......... (0.12) -- -- (0.12) $10.56 1.64%^ 2.39%^^
Period Ended
December 31, 1999(d) ..... (0.13) (0.03) -- (0.16) $10.51 8.40%^ 3.43%^^
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ... (0.16) -- -- (0.16) $ 9.52 6.73% 1.76%
Year Ended July 31, 2003 ... (0.17) (0.03) -- (0.20) $ 9.07 7.87% 1.99%
Year Ended July 31, 2002 ... (0.23) (0.20) -- (0.43) $ 8.61 (7.65)% 2.54%
Year Ended July 31, 2001+ .. (0.35) (0.45) -- (0.80) $ 9.76 4.93% 3.48%
Period Ended
July 31, 2000(a) ......... (0.15) -- -- (0.15) $10.08 2.50%^ 3.03%^^
Period Ended
December 31, 1999(e) ..... (0.20) (0.06) -- (0.26) $ 9.98 3.64%^ 4.46%^^
Ratios (to average net assets)/Supplemental Data
-----------------------------------------------------------
Expenses (before Portfolio Net Assets,
Net Reductions/ Turnover End of Period
Expenses Reimbursements) Rate** (000's)
------------- ------------------ ----------- --------------
BALANCED FUND
Year Ended July 31, 2004 ... 1.17% 1.31% 19% $ 59,080
Year Ended July 31, 2003 ... 1.19% 1.32% 86% $ 62,776
Year Ended July 31, 2002 ... 1.19% 1.31% 34% $ 68,542
Year Ended July 31, 2001+ .. 1.16% 1.27% 14% $102,780
Year Ended July 31, 2000 ... 1.13% 1.17% 16% $166,797
AGGRESSIVE GROWTH
PORTFOLIO
Year Ended July 31, 2004 ... 0.52% 0.86% 31% $ 16,752
Year Ended July 31, 2003 ... 0.61% 0.99% 100% $ 14,403
Year Ended July 31, 2002 ... 0.68% 1.04% 50% $ 13,497
Year Ended July 31, 2001+ .. 0.72% 1.08% 36% $ 23,313
Period Ended
July 31, 2000(a) ......... 0.75%^^ 1.09%^^ 22% $ 20,485
Period Ended
December 31, 1999(b) ..... 0.73%^^ 2.10%^^ 95% $ 18,847
GROWTH PORTFOLIO
Year Ended July 31, 2004 ... 0.46% 0.80% 27% $ 10,301
Year Ended July 31, 2003 ... 0.55% 0.95% 128% $ 10,633
Year Ended July 31, 2002 ... 0.66% 1.05% 63% $ 11,930
Year Ended July 31, 2001+ .. 0.73% 1.12% 38% $ 18,048
Period Ended
July 31, 2000(a) ......... 0.76%^^ 1.10%^^ 97% $ 19,495
Period Ended
December 31, 1999(c) ..... 0.73%^^ 3.14%^^ 76% $ 11,372
GROWTH AND INCOME
PORTFOLIO
Year Ended July 31, 2004 ... 0.53% 0.73% 38% $ 47,426
Year Ended July 31, 2003 ... 0.57% 0.76% 135% $ 51,660
Year Ended July 31, 2002 ... 0.55% 0.73% 69% $ 55,180
Year Ended July 31, 2001+ .. 0.57% 0.75% 51% $ 74,878
Period Ended
July 31, 2000(a) ......... 0.58%^^ 0.72%^^ 21% $ 87,453
Period Ended
December 31, 1999(d) ..... 0.70%^^ 0.98%^^ 57% $ 86,700
MODERATE GROWTH AND
INCOME PORTFOLIO
Year Ended July 31, 2004 ... 0.54% 0.88% 34% $ 18,645
Year Ended July 31, 2003 ... 0.59% 0.96% 136% $ 17,500
Year Ended July 31, 2002 ... 0.59% 0.97% 65% $ 17,843
Year Ended July 31, 2001+ .. 0.71% 1.09% 62% $ 20,264
Period Ended
July 31, 2000(a) ......... 0.74%^^ 1.03%^^ 21% $ 20,081
Period Ended
December 31, 1999(e) ..... 0.73%^^ 1.87%^^ 124% $ 21,384
+ Net investment income (loss) is based on average shares outstanding during
the period.
* Represents investments in affiliates for the Strategic Portfolios.
** Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
(b) For the period from January 28, 1999 (commencement of operations) through
December 31, 1999.
(c) For the period from February 1, 1999 (commencement of operations) through
December 31, 1999.
(d) For the period from February 8, 1999 (commencement of operations) through
December 31, 1999.
(e) For the period from February 10, 1999 (commencement of operations) through
December 31, 1999.
See notes to financial statements.
129
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
I SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities
--------------------------------------------
Net Asset Net Realized
Value, Net and Unrealized Total from
Beginning Investment Gains (Losses) Investment
of Period Income from Investments Activities
----------- ------------ ------------------ ------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... $10.05 0.36 (0.11) 0.25
Year Ended July 31, 2003 ... $10.26 0.42 (0.05) 0.37
Year Ended July 31, 2002 ... $10.10 0.49 0.21 0.70
Year Ended July 31, 2001+ .. $ 9.61 0.56 0.50 1.06
Year Ended July 31, 2000 ... $ 9.62 0.57 (0.03) 0.54
LIMITED TERM BOND
FUND
Year Ended July 31, 2004 ... $10.66 0.27 (0.13) 0.14
Year Ended July 31, 2003 ... $10.70 0.38 0.02 0.40
Year Ended July 31, 2002 ... $10.55 0.50 0.18 0.68
Year Ended July 31, 2001+ .. $10.13 0.58 0.43 1.01
Year Ended July 31, 2000 ... $10.29 0.59 (0.12) 0.47
BOND FUND
Year Ended July 31, 2004 ... $11.33 0.45 (0.11) 0.34
Year Ended July 31, 2003 ... $11.43 0.49 0.10 0.59
Year Ended July 31, 2002 ... $11.13 0.53 0.37 0.90
Year Ended July 31, 2001+ .. $10.52 0.60 0.61 1.21
Year Ended July 31, 2000 ... $10.63 0.59 (0.06) 0.53
Ratios (to average net
assets)/Supplemental
Less Dividends from Data
--------------------------------------- -----------------------
Net Realized Net Asset
Net Gains from Value, Net
Investment Investment Total Redemption End Total Investment Net
Income Transactions Dividends Fees of Period Return Income Expenses
------------ -------------- ----------- ------------ ----------- ---------- ------------ ----------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... (0.43) (0.01) (0.44) --# $ 9.86 2.51% 3.63% 0.85%
Year Ended July 31, 2003 ... (0.43) (0.15) (0.58) -- $10.05 3.62% 4.08% 0.86%
Year Ended July 31, 2002 ... (0.54) -- (0.54) -- $10.26 7.12% 4.88% 0.85%
Year Ended July 31, 2001+ .. (0.57) -- (0.57) -- $10.10 11.30% 5.62% 0.84%
Year Ended July 31, 2000 ... (0.55) -- (0.55) -- $ 9.61 5.91% 5.68% 0.85%
LIMITED TERM BOND FUND
Year Ended July 31, 2004 ... (0.33) -- (0.33) --# $10.47 1.32% 2.55% 0.83%
Year Ended July 31, 2003 ... (0.44) -- (0.44) -- $10.66 3.76% 3.52% 0.83%
Year Ended July 31, 2002 ... (0.53) -- (0.53) -- $10.70 6.57% 4.71% 0.86%
Year Ended July 31, 2001+ .. (0.59) -- (0.59) -- $10.55 10.26% 5.59% 0.86%
Year Ended July 31, 2000 ... (0.63) -- (0.63) -- $10.13 4.71% 5.74% 0.82%
BOND FUND
Year Ended July 31, 2004 ... (0.50) (0.09) (0.59) --# $11.08 2.99% 3.91% 0.84%
Year Ended July 31, 2003 ... (0.54) (0.15) (0.69) -- $11.33 5.19% 4.14% 0.84%
Year Ended July 31, 2002 ... (0.57) (0.03) (0.60) -- $11.43 8.34% 4.77% 0.84%
Year Ended July 31, 2001+ .. (0.60) -- (0.60) -- $11.13 11.79% 5.47% 0.84%
Year Ended July 31, 2000 ... (0.62) (0.02) (0.64) -- $10.52 5.24% 5.66% 0.78%
Ratios (to average net assets)/Supplemental
Data
---------------------------------------------
Expenses (before Portfolio Net Assets,
Reductions/ Turnover End of Period
Reimbursements) Rate* (000's)
------------------ ----------- --------------
GOVERNMENT INCOME
FUND
Year Ended July 31, 2004 ... 1.13% 39% $218,772
Year Ended July 31, 2003 ... 1.13% 43% $253,447
Year Ended July 31, 2002 ... 1.11% 18% $263,211
Year Ended July 31, 2001+ .. 1.10% 25% $302,099
Year Ended July 31, 2000 ... 1.13% 42% $356,642
LIMITED TERM BOND FUND
Year Ended July 31, 2004 ... 1.12% 34% $209,977
Year Ended July 31, 2003 ... 1.12% 32% $181,187
Year Ended July 31, 2002 ... 1.12% 29% $151,819
Year Ended July 31, 2001+ .. 1.12% 44% $155,261
Year Ended July 31, 2000 ... 1.07% 34% $177,323
BOND FUND
Year Ended July 31, 2004 ... 1.12% 37% $573,140
Year Ended July 31, 2003 ... 1.12% 33% $599,249
Year Ended July 31, 2002 ... 1.10% 35% $588,979
Year Ended July 31, 2001+ .. 1.10% 24% $609,708
Year Ended July 31, 2000 ... 1.03% 27% $501,550
+ Net investment income (loss) is based on average shares outstanding during
the period.
# Less than one cent per share.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
See notes to financial statements.
130
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
I SHARES
Selected data for a share outstanding throughout the period indicated.
Investment Activities Less Dividends from
-------------------------------------------- ---------------------------------------
Net Asset Net Realized Net Realized
Value, Net and Unrealized Total from Net Gains from
Beginning Investment Gains (Losses) Investment Investment Investment Total
of Period Income from Investments Activities Income Transactions Dividends
----------- ------------ ------------------ ------------ ------------ -------------- -----------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... $10.33 0.37 (0.05) 0.32 (0.37) (0.01) (0.38)
Year Ended July 31, 2003 ... $10.38 0.37 (0.04) 0.33 (0.35) (0.03) (0.38)
Year Ended July 31, 2002 ... $10.19 0.40 0.21 0.61 (0.41) (0.01) (0.42)
Year Ended July 31, 2001+ .. $ 9.77 0.41 0.41 0.82 (0.40) -- (0.40)
Year Ended July 31, 2000 ... $ 9.87 0.41 (0.05) 0.36 (0.41) (0.05) (0.46)
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.71 0.36 (0.03) 0.33 (0.37) (0.01) (0.38)
Year Ended July 31, 2003 ... $10.80 0.38 (0.09) 0.29 (0.38) -- (0.38)
Year Ended July 31, 2002 ... $10.52 0.40 0.27 0.67 (0.39) -- (0.39)
Year Ended July 31, 2001+ .. $10.16 0.41 0.36 0.77 (0.41) -- (0.41)
Year Ended July 31, 2000 ... $10.22 0.42 (0.02) 0.40 (0.43) (0.03) (0.46)
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.32 0.30 (0.01) 0.29 (0.31) (0.05) (0.36)
Year Ended July 31, 2003 ... $10.36 0.31 (0.05) 0.26 (0.30) -- (0.30)
Year Ended July 31, 2002 ... $10.10 0.33 0.26 0.59 (0.33) -- (0.33)
Year Ended July 31, 2001+ .. $ 9.74 0.38 0.36 0.74 (0.38) -- (0.38)
Period Ended
July 31, 2000(a) .......... $ 9.55 0.22 0.18 0.40 (0.21) -- (0.21)
Year Ended
December 31, 1999 ......... $10.19 0.35 (0.64) (0.29) (0.35) -- (0.35)
Ratios (to average net assets)/Supplemental Data
------------------------------------------------------------------------
Net Asset
Value, Net Expenses (before Portfolio Net Assets,
End Total Investment Net Reductions/ Turnover End of Period
of Period Return Income Expenses Reimbursements) Rate* (000's)
----------- ------------ ------------ ------------- ------------------ ----------- --------------
MUNICIPAL BOND FUND
Year Ended July 31, 2004 ... $10.27 3.08% 3.51% 0.73% 1.11% 5% $338,580
Year Ended July 31, 2003 ... $10.33 3.21% 3.51% 0.74% 1.11% 7% $351,021
Year Ended July 31, 2002 ... $10.38 6.10% 3.89% 0.75% 1.10% 10% $371,126
Year Ended July 31, 2001+ .. $10.19 8.52% 4.04% 0.74% 1.10% 5% $380,330
Year Ended July 31, 2000 ... $ 9.77 3.85% 4.25% 0.68% 1.02% 9% $387,511
FLORIDA TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.66 3.14% 3.38% 0.68% 1.15% 11% $ 47,858
Year Ended July 31, 2003 ... $10.71 2.72% 3.51% 0.69% 1.15% 6% $ 50,536
Year Ended July 31, 2002 ... $10.80 6.54% 3.80% 0.72% 1.16% 13% $ 54,901
Year Ended July 31, 2001+ .. $10.52 7.72% 3.95% 0.75% 1.19% 7% $ 57,181
Year Ended July 31, 2000 ... $10.16 4.02% 4.19% 0.65% 1.11% 11% $ 61,877
TENNESSEE TAX-EXEMPT
FUND
Year Ended July 31, 2004 ... $10.25 2.85% 2.91% 0.85% 1.19% 0% $ 32,271
Year Ended July 31, 2003 ... $10.32 2.47% 2.86% 0.92% 1.24% 21% $ 39,569
Year Ended July 31, 2002 ... $10.36 5.93% 3.18% 0.93% 1.21% 60% $ 49,148
Year Ended July 31, 2001+ .. $10.10 7.70% 3.77% 0.94% 1.23% 123% $ 56,693
Period Ended
July 31, 2000(a) .......... $ 9.74 4.26%^ 3.95%^^ 0.95%^^ 1.11%^^ 23% $ 65,160
Year Ended
December 31, 1999 ......... $ 9.55 (2.83)% 3.57% 1.00% 1.00% 64% $ 75,537
+ Net investment income (loss) is based on average shares outstanding during
the period.
* Portfolio turnover is calculated on the basis of the fund as a whole
without distinguishing between the classes of shares issued.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
131
- --------------------------------------------------------------------------------
AMSOUTH FUNDS
Financial Highlights
- --------------------------------------------------------------------------------
I SHARES+
Selected data for a share outstanding throughout the period indicated.
Investment Activities
--------------------------------------------
Less
Net Asset Net Realized Dividends
Value, Net and Unrealized Total from from Net
Beginning Investment Gains (Losses) Investment Investment
of Period Income from Investments Activities Income
----------- ------------ ------------------ ------------ ------------
PRIME MONEY MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.005 -- 0.005 (0.005)
Year Ended July 31, 2003 ............... $1.000 0.008 -- 0.008 (0.008)
Year Ended July 31, 2002 ............... $1.000 0.017 -- 0.017 (0.017)
Year Ended July 31, 2001 ............... $1.000 0.051 -- 0.051 (0.051)
Year Ended July 31, 2000 ............... $1.000 0.052 -- 0.052 (0.052)
TREASURY RESERVE MONEY MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.003 -- 0.003 (0.003)
Year Ended July 31, 2003 ............... $1.000 0.007 -- 0.007 (0.007)
Year Ended July 31, 2002 ............... $1.000 0.017 -- 0.017 (0.017)
Year Ended July 31, 2001 ............... $1.000 0.049 -- 0.049 (0.049)
Period Ended July 31, 2000(a) .......... $1.000 0.031 -- 0.031 (0.031)
Year Ended December 31, 1999 ........... $1.000 0.043 -- 0.043 (0.043)
TAX-EXEMPT MONEY MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.003 -- 0.003 (0.003)
Year Ended July 31, 2003 ............... $0.999 0.006 0.001 0.007 (0.006)
Year Ended July 31, 2002 ............... $0.998 0.010 0.001 0.011 (0.010)
Year Ended July 31, 2001 ............... $0.998 0.029 -- 0.029 (0.029)
Year Ended July 31, 2000 ............... $1.000 0.032 (0.002) 0.030 (0.032)
INSTITUTIONAL PRIME OBLIGATIONS MONEY
MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.009 -- 0.009 (0.009)
Year Ended July 31, 2003 ............... $1.000 0.012 -- 0.012 (0.012)
Year Ended July 31, 2002 ............... $1.000 0.021 -- 0.021 (0.021)
Year Ended July 31, 2001 ............... $1.000 0.054 -- 0.054 (0.054)
Year Ended July 31, 2000 ............... $1.000 0.057 -- 0.057 (0.057)
Ratios (to average net assets)/Supplemental Data
------------------------------------------------------------
Net Asset
Value, Net Expenses (before Net Assets,
End Total Investment Net Reductions/ End of Period
of Period Return Income Expenses Reimbursements) (000's)
----------- ---------- ------------ ------------- ------------------ --------------
PRIME MONEY MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.46% 0.46% 0.64% 0.87% $164,907
Year Ended July 31, 2003 ............... $1.000 0.78% 0.83% 0.65% 0.87% $221,937
Year Ended July 31, 2002 ............... $1.000 1.68% 1.68% 0.64% 0.84% $770,519
Year Ended July 31, 2001 ............... $1.000 5.18% 5.06% 0.63% 0.84% $745,662
Year Ended July 31, 2000 ............... $1.000 5.31% 5.24% 0.67% 0.76% $731,762
TREASURY RESERVE MONEY MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.33% 0.35% 0.69% 0.92% $134,182
Year Ended July 31, 2003 ............... $1.000 0.71% 0.78% 0.68% 0.90% $ 41,676
Year Ended July 31, 2002 ............... $1.000 1.68% 1.70% 0.65% 0.86% $218,404
Year Ended July 31, 2001 ............... $1.000 5.06% 4.99% 0.62% 0.85% $266,738
Period Ended July 31, 2000(a) .......... $1.000 3.10%^ 5.24%^^ 0.61%^^ 0.76%^^ $280,546
Year Ended December 31, 1999 ........... $1.000 4.39% 4.31% 0.59% 0.60% $341,803
TAX-EXEMPT MONEY MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.34% 0.34% 0.64% 0.86% $128,089
Year Ended July 31, 2003 ............... $1.000 0.62% 0.63% 0.65% 0.87% $129,415
Year Ended July 31, 2002 ............... $0.999 1.02% 1.02% 0.66% 0.86% $175,135
Year Ended July 31, 2001 ............... $0.998 2.98% 2.95% 0.65% 0.86% $151,905
Year Ended July 31, 2000 ............... $0.998 3.23% 3.28% 0.59% 0.80% $141,874
INSTITUTIONAL PRIME OBLIGATIONS MONEY
MARKET FUND
Year Ended July 31, 2004 ............... $1.000 0.86% 0.85% 0.25% 0.41% $176,540
Year Ended July 31, 2003 ............... $1.000 1.19% 1.20% 0.26% 0.41% $175,778
Year Ended July 31, 2002 ............... $1.000 2.09% 2.08% 0.25% 0.39% $250,091
Year Ended July 31, 2001 ............... $1.000 5.57% 5.12% 0.25% 0.40% $221,876
Year Ended July 31, 2000 ............... $1.000 5.82% 5.73% 0.21% 0.41% $138,779
+ Represents Class 1 Shares for Institutional Prime Obligations Money Market
Fund.
^ Not annualized.
^^ Annualized.
(a) For the period from January 1, 2000 through July 31, 2000. In conjunction
with the reorganization of the AmSouth Funds, the Fund changed its fiscal
year end to July 31.
See notes to financial statements.
132
----------------------------------------
AMSOUTH FUNDS
Report of Independent
Registered Public Accounting Firm
----------------------------------------
The Shareholders and
Board of Trustees of AmSouth Funds
We have audited the accompanying statements of assets and liabilities of
AmSouth Funds (comprised of AmSouth Value Fund, AmSouth Capital Growth Fund,
AmSouth Large Cap Fund, AmSouth Mid Cap Fund, AmSouth Small Cap Fund, AmSouth
Balanced Fund, AmSouth Select Equity Fund, AmSouth Enhanced Market Fund, AmSouth
International Equity Fund, AmSouth Strategic Portfolios: Aggressive Growth
Portfolio, AmSouth Strategic Portfolios: Growth Portfolio, AmSouth Strategic
Portfolios: Growth and Income Portfolio, AmSouth Strategic Portfolios: Moderate
Growth and Income Portfolio, AmSouth Bond Fund, AmSouth Limited Term Bond Fund,
AmSouth Government Income Fund, AmSouth Municipal Bond Fund, AmSouth Florida
Tax-Exempt Fund, AmSouth Tennessee Tax-Exempt Fund, AmSouth Prime Money Market
Fund, AmSouth Treasury Reserve Money Market Fund, AmSouth Tax-Exempt Money
Market Fund and AmSouth Institutional Prime Obligations Money Market Fund) ("the
Funds") including the schedules of portfolio investments, as of July 31, 2004,
and the related statements of operations for the year then ended, the statements
of changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years or periods in the period
then ended. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights presented herein for each of the respective
period ended December 31, 1999 were audited by other auditors whose report dated
February 22, 2000, expressed an unqualified opinion.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements and financial highlights. Our
procedures included confirmation of securities owned as of July 31, 2004, by
correspondence with the custodians and brokers or by other appropriate auditing
procedures where replies from brokers were not received. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
AmSouth Funds as of July 31, 2004, the results of their operations for the year
then ended, the changes in their net assets for each of the two years in the
period then ended, and their financial highlights for each of the five years or
periods in the period then ended, in conformity with U.S. generally accepted
accounting principles.
/s/ Ernst & Young LLP
Columbus, Ohio
September 29, 2004
133
Expense Examples (Unaudited):
As a shareholder of the AmSouth Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases, reinvested
dividends, or other distributions; redemption fees; and exchange fees; (2)
ongoing costs, including management fees; distribution [and/or service] 12b-1
fees; and other Fund expenses. This example is intended to help you understand
your ongoing costs (in dollars) of investing in the AmSouth Funds and to compare
these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period from February 1, 2004 through July
31, 2004.
Actual Expenses (Unaudited):
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
Beginning Ending Account Expense Paid Expense Ratio
Account Value Value During Period* During Period
2/1/04 7/31/04 2/1/04 - 7/31/04 2/1/04 - 7/31/04
--------------- ---------------- ------------------ -----------------
Value Fund ....................... Class A Shares $ 1,000.00 $ 991.30 $ 6.58 1.33%
Class B Shares 1,000.00 987.40 10.28 2.08%
Class I Shares 1,000.00 992.60 5.85 1.18%
Select Equity Fund ............... Class A Shares 1,000.00 985.10 6.37 1.29%
Class B Shares 1,000.00 981.40 10.05 2.04%
Class I Shares 1,000.00 986.20 5.63 1.14%
Enhanced Market Fund ............. Class A Shares 1,000.00 977.20 4.72 0.96%
Class B Shares 1,000.00 972.60 8.34 1.70%
Class I Shares 1,000.00 976.90 3.98 0.81%
Large Cap Fund ................... Class A Shares 1,000.00 945.30 6.09 1.26%
Class B Shares 1,000.00 941.10 9.70 2.01%
Class I Shares 1,000.00 945.60 5.37 1.11%
Capital Growth Fund .............. Class A Shares 1,000.00 943.00 6.28 1.30%
Class B Shares 1,000.00 939.40 9.84 2.04%
Class I Shares 1,000.00 943.10 5.56 1.15%
Mid Cap Fund ..................... Class A Shares 1,000.00 985.50 5.38 1.09%
Class B Shares 1,000.00 981.70 9.07 1.84%
Class I Shares 1,000.00 985.80 4.64 0.94%
Small Cap Fund ................... Class A Shares 1,000.00 978.40 7.77 1.58%
Class B Shares 1,000.00 974.80 11.44 2.33%
Class I Shares 1,000.00 978.60 7.03 1.43%
International Equity Fund ........ Class A Shares 1,000.00 1,009.70 6.75 1.35%
Class B Shares 1,000.00 1,006.30 10.48 2.10%
Class I Shares 1,000.00 1,010.50 6.00 1.20%
Balanced Fund .................... Class A Shares 1,000.00 984.30 6.51 1.32%
Class B Shares 1,000.00 981.40 10.20 2.07%
Class I Shares 1,000.00 985.80 5.78 1.17%
Strategic Portfolios: Aggressive
Growth Portfolio ................ Class A Shares 1,000.00 974.10 2.75 0.56%
Class B Shares 1,000.00 969.70 6.42 1.31%
Class I Shares 1,000.00 974.10 2.50 0.51%
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recently fiscal
half-year divided by the number of days in the fiscal year.
134
Beginning Ending Account Expense Paid Expense Ratio
Account Value Value During Period* During Period
2/1/04 7/31/04 2/1/04 - 7/31/04 2/1/04 - 7/31/04
--------------- ---------------- ------------------ -----------------
Strategic Portfolios: Growth Portfolio .... Class A Shares $ 1,000.00 $ 980.90 $ 2.41 0.49%
Class B Shares 1,000.00 976.30 6.04 1.23%
Class I Shares 1,000.00 980.00 2.17 0.44%
Strategic Portfolios: Growth and
Income Portfolio ......................... Class A Shares 1,000.00 983.00 2.86 0.58%
Class B Shares 1,000.00 980.00 6.50 1.32%
Class I Shares 1,000.00 983.30 2.61 0.53%
Strategic Portfolios: Moderate Growth and
Income Portfolio ......................... Class A Shares 1,000.00 984.80 2.81 0.57%
Class B Shares 1,000.00 980.80 6.50 1.32%
Class I Shares 1,000.00 985.10 2.57 0.52%
Government Income Fund .................... Class A Shares 1,000.00 1,001.00 4.93 0.99%
Class B Shares 1,000.00 996.20 8.64 1.74%
Class I Shares 1,000.00 1,001.70 4.18 0.84%
Limited Term Bond Fund .................... Class A Shares 1,000.00 998.70 4.87 0.98%
Class B Shares 1,000.00 995.00 8.58 1.73%
Class I Shares 1,000.00 999.50 4.13 0.83%
Bond Fund ................................. Class A Shares 1,000.00 998.50 4.92 0.99%
Class B Shares 1,000.00 994.70 8.63 1.74%
Class I Shares 1,000.00 998.40 4.17 0.84%
Municipal Bond Fund ....................... Class A Shares 1,000.00 995.00 4.32 0.87%
Class B Shares 1,000.00 991.30 8.02 1.62%
Class I Shares 1,000.00 995.80 3.57 0.72%
Florida Tax-Exempt Fund ................... Class A Shares 1,000.00 993.80 4.11 0.83%
Class B Shares 1,000.00 989.90 7.82 1.58%
Class I Shares 1,000.00 995.40 3.37 0.68%
Tennessee Tax-Exempt Fund ................. Class A Shares 1,000.00 994.00 4.81 0.97%
Class B Shares 1,000.00 994.70 8.53 1.72%
Class I Shares 1,000.00 990.10 4.06 0.82%
Prime Money Market Fund ................... Class A Shares 1,000.00 1,001.60 3.93 0.79%
Class B Shares 1,000.00 1,000.80 4.68 0.94%
Class I Shares 1,000.00 1,002.30 3.19 0.64%
Treasury Reserve Money Market Fund ........ Class A Shares 1,000.00 1,001.60 3.58 0.72%
Class I Shares 1,000.00 1,001.90 3.33 0.67%
Tax-Exempt Money Market Fund .............. Class A Shares 1,000.00 1,001.80 3.14 0.63%
Class I Shares 1,000.00 1,001.80 3.14 0.63%
Institutional Prime Obligations
Money Market Fund ........................ Class 1 Shares 1,000.00 1,004.30 1.30 0.26%
Class 2 Shares 1,000.00 1,003.10 2.49 0.50%
Class 3 Shares 1,000.00 1,001.80 3.73 0.75%
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recently fiscal
half-year divided by the number of days in the fiscal year.
135
Hypothetical Example for Comparison Purposes (Unaudited):
The table below provides information about hypothetical account values and
hypothetical expenses based on each AmSouth Funds' actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund's
actual return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such as
sales charges (loads), redemption fees, or exchange fees. Therefore, the table
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Beginning Ending Expense Paid Expense Ratio
Account Value Account Value During Period* During Period
2/1/04 7/31/04 2/1/04 - 7/31/04 2/1/04 - 7/31/04
--------------- --------------- ------------------ -----------------
Value Fund ......................... Class A Shares $1,000.00 $1,018.25 $ 6.67 1.33%
Class B Shares 1,000.00 1,014.52 10.42 2.08%
Class I Shares 1,000.00 1,019.00 5.92 1.18%
Select Equity Fund ................. Class A Shares 1,000.00 1,018.45 6.47 1.29%
Class B Shares 1,000.00 1,014.72 10.22 2.04%
Class I Shares 1,000.00 1,019.19 5.72 1.14%
Enhanced Market Fund ............... Class A Shares 1,000.00 1,020.09 4.82 0.96%
Class B Shares 1,000.00 1,016.41 8.52 1.70%
Class I Shares 1,000.00 1,020.84 4.07 0.81%
Large Cap Fund ..................... Class A Shares 1,000.00 1,018.60 6.32 1.26%
Class B Shares 1,000.00 1,014.87 10.07 2.01%
Class I Shares 1,000.00 1,019.34 5.57 1.11%
Capital Growth Fund ................ Class A Shares 1,000.00 1,018.40 6.52 1.30%
Class B Shares 1,000.00 1,014.72 10.22 2.04%
Class I Shares 1,000.00 1,019.14 5.77 1.15%
Mid Cap Fund ....................... Class A Shares 1,000.00 1,019.44 5.47 1.09%
Class B Shares 1,000.00 1,015.71 9.22 1.84%
Class I Shares 1,000.00 1,020.19 4.72 0.94%
Small Cap Fund ..................... Class A Shares 1,000.00 1,017.01 7.92 1.58%
Class B Shares 1,000.00 1,013.28 11.66 2.33%
Class I Shares 1,000.00 1,017.75 7.17 1.43%
International Equity Fund .......... Class A Shares 1,000.00 1,018.15 6.77 1.35%
Class B Shares 1,000.00 1,014.42 10.52 2.10%
Class I Shares 1,000.00 1,018.90 6.02 1.20%
Balanced Fund ...................... Class A Shares 1,000.00 1,018.30 6.62 1.32%
Class B Shares 1,000.00 1,014.57 10.37 2.07%
Class I Shares 1,000.00 1,019.05 5.87 1.17%
Strategic Portfolios: Aggressive
Growth Portfolio .................. Class A Shares 1,000.00 1,022.08 2.82 0.56%
Class B Shares 1,000.00 1,018.35 6.57 1.31%
Class I Shares 1,000.00 1,022.33 2.56 0.51%
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recently fiscal
half-year divided by the number of days in the fiscal year.
136
Beginning Ending Expense Paid Expense Ratio
Account Value Account Value During Period* During Period
2/1/04 7/31/04 2/1/04 - 7/31/04 2/1/04 - 7/31/04
--------------- --------------- ------------------ -----------------
Strategic Portfolios: Growth Portfolio ..... Class A Shares $ 1,000.00 $ 1,022.43 $ 2.46 0.49%
Class B Shares 1,000.00 1,018.75 6.17 1.23%
Class I Shares 1,000.00 1,022.68 2.21 0.44%
Strategic Portfolios: Growth and Income
Portfolio ................................. Class A Shares 1,000.00 1,021.98 2.92 0.58%
Class B Shares 1,000.00 1,018.30 6.62 1.32%
Class I Shares 1,000.00 1,022.23 2.66 0.53%
Strategic Portfolios: Moderate Growth and
Income Portfolio .......................... Class A Shares 1,000.00 1,022.03 2.87 0.57%
Class B Shares 1,000.00 1,018.30 6.62 1.32%
Class I Shares 1,000.00 1,022.28 2.61 0.52%
Government Income Fund ..................... Class A Shares 1,000.00 1,019.94 4.97 0.99%
Class B Shares 1,000.00 1,016.21 8.72 1.74%
Class I Shares 1,000.00 1,020.69 4.22 0.84%
Limited Term Bond Fund ..................... Class A Shares 1,000.00 1,019.99 4.92 0.98%
Class B Shares 1,000.00 1,016.26 8.67 1.73%
Class I Shares 1,000.00 1,020.74 4.17 0.83%
Bond Fund .................................. Class A Shares 1,000.00 1,019.94 4.97 0.99%
Class B Shares 1,000.00 1,016.21 8.72 1.74%
Class I Shares 1,000.00 1,020.69 4.22 0.84%
Municipal Bond Fund ........................ Class A Shares 1,000.00 1,020.54 4.37 0.87%
Class B Shares 1,000.00 1,016.81 8.12 1.62%
Class I Shares 1,000.00 1,021.28 3.62 0.72%
Florida Tax-Exempt Fund .................... Class A Shares 1,000.00 1,020.74 4.17 0.83%
Class B Shares 1,000.00 1,017.01 7.92 1.58%
Class I Shares 1,000.00 1,021.48 3.42 0.68%
Tennessee Tax-Exempt Fund .................. Class A Shares 1,000.00 1,020.04 4.87 0.97%
Class B Shares 1,000.00 1,016.31 8.62 1.72%
Class I Shares 1,000.00 1,020.79 4.12 0.82%
Prime Money Market Fund .................... Class A Shares 1,000.00 1,020.93 3.97 0.79%
Class B Shares 1,000.00 1,020.19 4.72 0.94%
Class I Shares 1,000.00 1,021.68 3.22 0.64%
Treasury Reserve Money Market Fund ......... Class A Shares 1,000.00 1,021.28 3.62 0.72%
Class I Shares 1,000.00 1,021.53 3.37 0.67%
Tax-Exempt Money Market Fund ............... Class A Shares 1,000.00 1,021.73 3.17 0.63%
Class I Shares 1,000.00 1,021.73 3.17 0.63%
Institutional Prime Obligations
Money Market Fund ......................... Class 1 Shares 1,000.00 1,023.57 1.31 0.26%
Class 2 Shares 1,000.00 1,022.38 2.51 0.50%
Class 3 Shares 1,000.00 1,021.13 3.77 0.75%
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recently fiscal
half-year divided by the number of days in the fiscal year.
137
Eligible Distributions (Unaudited):
The AmSouth Funds designate the following eligible distributions for the
dividends received deductions for corporations for the year ended July 31, 2004:
Percentage
-----------
Value Fund .......................................................... 100.00%
Select Equity Fund .................................................. 100.00%
Enhanced Market Fund ................................................ 100.00%
Mid Cap Fund ........................................................ 100.00%
Balanced Fund ....................................................... 57.45%
Strategic Portfolios: Growth Portfolio .............................. 44.29%
Strategic Portfolios: Growth and Income Portfolio ................... 17.50%
Strategic Portfolios: Moderate Growth and Income Portfolio .......... 11.69%
Qualified Dividends Paid (Unaudited)
For the fiscal year ended July 31, 2004 the following dividends paid by the
Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs
and Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate
the maximum amount allowable as taxed at a maximum rate of 15%. Completed
information will be reported in conjunction with your 2004 Form 1099-DIV
(amounts in thousands):
Qualified
Dividends
Paid
----------
Value Fund ......................................................... $ 4,668
Select Equity Fund ................................................. 475
Enhanced Market Fund ............................................... 1,334
Mid Cap Fund ....................................................... 244
International Equity Fund .......................................... 3,153
Balanced Fund ...................................................... 1,829
Strategic Portfolios: Growth Portfolio ............................. 119
Strategic Portfolios: Growth and Income Portfolio .................. 280
Strategic Portfolios: Moderate Growth and Income Portfolio ......... 80
Foreign Income Tax Credit (Unaudited)
The International Equity Fund intends to elect to pass through to
shareholders the income tax credit for taxes paid to foreign countries. Foreign
source income and foreign tax expense per outstanding share on July 31, 2004 are
as follows:
Foreign Foreign
Source Tax
Income Expense
--------- --------
International Equity Fund ......... 0.26 0.03
The pass-through of the foreign tax credit will only affect those persons
who are shareholders on the dividend record date in December 2004. These
shareholders will receive more detailed information along with their 2004 Form
1099-DIV.
138
Trustees and Officers of AmSouth Funds (the "Trust") (Unaudited)
Position
Held with Term of Office and
AmSouth Length of Time Number of Funds
Name and Date of Birth Funds Served* Overseen
- ---------------------------- ----------- -------------------- ----------------------
INDEPENDENT TRUSTEES:
Dick D. Briggs, Jr., M.D.... Trustee Since 1992 Trustee of AmSouth
Date of Birth: 1/28/1934 Funds (consisting of
23 portfolios).
Wendell D. Cleaver ......... Trustee Since 1992 Trustee of AmSouth
Date of Birth: 9/23/1934 Funds (consisting of
23 portfolios).
James H. Woodward, Jr. ..... Trustee Since 1987 Trustee of AmSouth
Date of Birth: 11/24/1939 Funds (consisting of
23 portfolios);
Trustee of Variable
Insurance Funds
(consisting of
15 portfolios, 7 of
which are advised by
the Advisor).
Edward P. Farley ........... Trustee Since 2001 Trustee of AmSouth
Date of Birth: 9/19/1939 Funds (consisting of
23 funds).
Samuel W. Jackson .......... Trustee Since 2003 Trustee of AmSouth
Date of Birth: 12/1/1951 Funds (consisting of
23 portfolios).
Robert J. McMullan ......... Trustee Since 2003 Trustee of AmSouth
Date of Birth: 3/31/1954 Funds (consisting of
23 portfolios).
Other
Directorships Principal Occupation(s) During
Name and Date of Birth Held the Past Five Years
- ---------------------------- --------------- -------------------------------------------
INDEPENDENT TRUSTEES:
Dick D. Briggs, Jr., M.D. .. N/A From March 1997 to present, Chief
Date of Birth: 1/28/1934 Medical Officer, Best DoctorsTM
Worldwide Healthcare Services; from
September 1967 to present, Emeritus
Professor and Eminent Scholar Chair,
Univ. of Alabama at Birmingham: from
October 1971 to present, Physician,
University of Alabama Health
Services Foundation
Wendell D. Cleaver ......... N/A From September 3, 1993 to present,
Date of Birth: 9/23/1934 retired; from December 1988 to August
1993, Executive Vice President, Chief
Operating Officer and Director, Mobile
Gas Service Corporation.
James H. Woodward, Jr. ..... N/A From 1992 to 2002, Trustee, J.A. Jones,
Date of Birth: 11/24/1939 Inc., Construction Company; from
July 1989 to present, Chancellor, The
University of North Carolina at Charlotte.
Edward P. Farley ........... N/A Retired, 1999; Executive Vice President,
Date of Birth: 9/19/1939 Old Kent Bank from January 1981-
March 1999; Director, Kent Funds, an
open-end investment management
company, for which BISYS Fund
Services L.P. serves as distributor, from
March 1999 until December 2001.
Samuel W. Jackson .......... N/A From 1997 to present, Principal, Jackson
Date of Birth: 12/1/1951 Fowlkes & Co., Inc.
Robert J. McMullan ......... N/A From 1998 to present, Chief Financial
Date of Birth: 3/31/1954 Officer, GlobeSpan Virata, Inc.' from
1989 through 1998, Executive Vice
President & Chief Financial Officer,
The BISYS Group, Inc.
139
Trustees and Officers of AmSouth Funds (the "Trust") (Unaudited) (Continued)
Position
Held with Term of Office and
AmSouth Length of Time
Name and Date of Birth Funds Served*
- ---------------------------- ------------- --------------------
INTERESTED TRUSTEES:
J. David Huber ............. Chairman Since 1987
Date of Birth: 5/3/1946 and Trustee
Geoffrey von Kuhn .......... Trustee Since 2002
Date of Birth: 10/26/1951
ADVISORY TRUSTEES:
Norma A. Coldwell .......... Advisory Since 2002
Date of Birth: 6/23/1925 Trustee
Homer H. Turner, Jr. ....... Advisory Since 2002
Date of Birth: 2/18/1928 Trustee
Other
Number of Funds Directorships Principal Occupation(s) During
Name and Date of Birth Overseen Held the Past Five Years
- ---------------------------- ---------------------- --------------- ---------------------------------------
INTERESTED TRUSTEES:
J. David Huber ............. Chairman and Trustee N/A From June 1987 to present, employee
Date of Birth: 5/3/1946 of AmSouth Funds of BISYS Funds Services L.P.
(consisting of
23 portfolios).
Geoffrey von Kuhn .......... Trustee of AmSouth N/A From April 2001 to present, Senior
Date of Birth: 10/26/1951 Funds (consisting of Executive Vice President, AmSouth
23 portfolios). Bancorporation and AmSouth Bank,
Head Wealth Management Group;
April 200 to April 2001, Head,
U.S. Private Bank, Citigroup:
February 1998 to April 2000,
Senior Managing Director and
Vice Chairman, Banc One
Capital Markets.
ADVISORY TRUSTEES:
Norma A. Coldwell .......... Advisory Trustee N/A Trustee, AmSouth Funds 2000-2002;
Date of Birth: 6/23/1925 of AmSouth Funds Formerly, International Economist and
(consisting of Consultant; Executive Vice President
23 portfolios). of Coldwell Financial Consultants;
Trustee, Meridian International Center
(International Education and Cultural
Group); Member of the Board of
Advisors of Meridian International
Center; formerly, Chief International
Economist of riggs National Bank,
Washington, D.C.
Homer H. Turner, Jr. ....... Advisory Trustee N/A Formerly, Trustee, AmSouth Funds;
Date of Birth: 2/18/1928 of AmSouth Funds June 1991 through 2002, retired.
(consisting of
23 portfolios).
- ------------
* There is no defined term of office for Trustees of AmSouth Funds.
The address for each Trustee is 3435 Stelzer Road, Columbus, Ohio 43219.
Messrs. Huber and von Kuhn are considered to be interested persons (as
defined in the 1940 Act) of AmSouth Funds. Mr. Huber is considered an interested
person on the basis of his employment with BISYS Fund Services L.P., AmSouth
Funds' Distributor. Mr. von Kuhn is considered to be an interested person on the
basis of his employment by AmSouth Bank, the Advisor's parent company.
140
Trustees and Officers of AmSouth Funds (the "Trust") (Unaudited) (Continued)
Executive Officers
Position
Held with Term of Office and
AmSouth Length of Time
Name and Date of Birth Funds Served*
- ---------------------------- ---------------- --------------------
John F. Calvano ............ President Since 1999
Date of Birth: 3/30/1960
Walter B. Grimm ............ Vice President Since 1994
Date of Birth: 6/30/1945
Trent Statczar ............. Treasurer Since 2004
Date of Birth: 8/31/1971
Rodney L. Ruehle ........... Secretary Since 1999
Date of Birth: 4/26/1968
Alaina V. Metz ............. Assistant Since 1995
Date of Birth: 4/7/1967 Secretary
Other
Number of Funds Directorships Principal Occupation(s) During
Name and Date of Birth Overseen Held the Past Five Years
- ------------------------------ ------------------------------ --------------- -------------------------------------------
John F. Calvano .............. President of AmSouth N/A From September 1999 to present,
Date of Birth: 3/30/1960 Funds (consisting of Senior Vice President, AmSouth Bank;
23 portfolios). from October 1994 to September 1999,
employee of BISYS Fund Services
Limited Partnership.
Walter B. Grimm .............. Vice President of AmSouth N/A From June 1992 to present, employee
Date of Birth: 6/30/1945 Funds (consisting of of BISYS Fund Services Ohio, Inc.
23 portfolios).
Trent Statczar ............... Treasurer of AmSouth N/A From June 1993 to present, employee of
Date of Birth: 8/31/1971 Funds (consisting of BISYS Fund Services Ohio, Inc.
23 portfolios).
Rodney L. Ruehle ............. Secretary of AmSouth N/A From August 1995 to present, Director
Date of Birth: 4/26/1968 Funds (consisting of Administration Services, BISYS Fund
23 portfolios). Services, Inc.; From 1999 to present,
Vice President and Secretary, Fifth Third
Funds, an open-end management
investment company for which BISYS
Fund Services, L.P. serves as distributor.
Alaina V. Metz ............... Assistant Secretary of N/A From June 1995 to present,
Date of Birth: 4/7/1967 AmSouth Funds (consisting Vice President, Administrative and
of 23 portfolios). Assistant Regulatory Services, BISYS Fund
Secretary of Variable Services Ohio, Inc.
Insurance Funds (consisting
of 15 portfolios, 7 of which
are advised by the advisor.
- ------------
* There is no defined term of office for officers of the Trust.
The officers of the Trust are interested persons (as defined in the 1940
Act) and receive no compensation directly from the Trust for performing the
duties of their offices.
The Statement of Additional Information ("SAI") includes additional
information about the Trustees and Officers of the Trust. To obtain a copy of
the SAI, without charge, call (800) 451-8382.
141
Compensation of Trustees and Officers of AmSouth Funds (the "Trust")
(Unaudited)
The officers of the Trust receive no compensation directly from the Trust
for performing the duties of their offices. BISYS receives fees from the Trust
for acting as Administrator and BISYS Fund Services, Inc., receives fees from
the Trust for acting as Transfer Agent and for providing fund accounting
services to the Trust. Messrs. Grimm, Ruehle, and Statczar and Ms. Metz are
employees of BISYS Fund Services Limited Partnerships.
COMPENSATION TABLE (1)
Total
Aggregate Pension or Compensation
Compensation Retirement Benefits Estimated from AmSouth
from AmSouth Accrued as Part of Annual Benefits Mutual Funds
Name Fund Expenses Fund Expenses upon Retirement Paid to Trustee
- ------------------------------------ --------------- --------------------- ----------------- ----------------
J. David Huber .................... None None None None
Geoffrey A. von Kuhn .............. None None None None
James H. Woodward, Jr. ............ $29,000 None None $29,000
* Homer H. Turner ................. $24,000 None None $24,000
Wendell D. Cleaver ................ $29,000 None None $29,000
Dick D. Briggs, Jr., M.D. ......... $29,000 None None $29,000
* Norma S. Coldwell ............... $24,000 None None $24,000
Edward P. Farley .................. $29,000 None None $29,000
Samuel W. Jackson, Jr. ............ $29,000 None None $29,000
Robert J. McMullan ................ $29,000 None None $29,000
(1) Figures are for the Trust's fiscal year ended July 31, 2004.
* Mr. Turner and Ms. Coldwell retired from the Board of Trustees and assumed
"Advisory Trustee" status in March, 2002.
Proxy Voting
A description of the policies and procedures that the Funds use to
determine how to vote proxies relating to portfolio securities and information
regarding how the Funds voted proxies relating to portfolio securities during
the most recent 12-month period ended June 30 is available (i) without charge,
upon request by calling (800) 451-8379/8382 and (ii) on the Securities and
Exchange Commission's website at http://www.sec.gov.
142
================================================================================
AMSOUTH FUNDS(R)
ANNUAL REPORT
JULY 31, 2004
Investment Advisor Distributor
AmSouth Asset Management, Inc. BISYS Fund Services
1901 6th Avenue North 3435 Stelzer Road, Suite 1000
Suite 620 Columbus OH 43219
Birmingham AL 35203
Legal Counsel
Investment Subadvisors
Kirkpatrick & Lockhart, LLP
OakBrook Investments, LLC 1800 Massachusetts Avenue, N.W.
701 Warrenville Road, Suite 135 Washington DC 20036
Lisle IL 60532
o Enhanced Market Fund Transfer Agent
o Mid Cap Fund
o Select Equity Fund BISYS Fund Services Ohio, Inc.
3435 Stelzer Road, Suite 1000
Sawgrass Asset Management, LLC Columbus OH 43219
1579 The Greens Way, Suite 20
Jacksonville FL 32250 Auditors
o Small Cap Fund
Ernst & Young, LLP
Dimensional Fund Advisors, Inc. 1100 Huntington Center
1299 Ocean Avenue 41 South High Street
Santa Monica CA 90401 Columbus OH 43215
o International Equity Fund
9/04
ASO-AR
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Item 2. Code of Ethics.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
The board of trustees of the registrant adopted a code of ethics that
applies to the registrant's principal executive officer and principal
financial officer or persons performing similar functions. This code of
ethics is included as Exhibit 11(a)(1).
The registrant must briefly describe the nature of any amendment, during
the period covered by the report, to a provision of its code of ethics that
applies to the registrant's principal executive officer, principal
financial officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these individuals are
employed by the registrant or a third party, and that relates to any
element of the code of ethics definition enumerated in paragraph (b) of
this Item. The registrant must file a copy of any such amendment as an
exhibit pursuant to Item 11(a)(1), unless the registrant has elected to
satisfy
paragraph (f) of this Item by posting its code of ethics on its website
pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its
code of ethics to any person without charge, upon request, pursuant to
paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a
waiver, including an implicit waiver, from a provision of the code of
ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, that relates
to one or more items set forth in paragraph (b) of this Item, the
registrant must briefly describe the nature of the waiver, the name of the
person to whom the waiver was granted, and the date of the waiver.
During the period covered by the report, with respect to the registrant's
code of ethics that applies to its principal executive officer and
principal financial officer or persons performing similar functions; there
have been no amendments to, nor any waivers granted from, a provision that
relates to any element of the code of ethics definition enumerated in
paragraph (b) of this Item 2.
Item 3. Audit Committee Financial Expert.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving on its
audit committee; or
(ii) Does not have an audit committee financial expert serving on its
audit committee.
The registrant's board of trustees has determined that the registrant has two
financial experts serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit committee
financial expert and whether that person is "independent." In order to be
considered "independent" for purposes of this Item, a member of an audit
committee may not, other than in his or her capacity as a member of the
audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other
compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as defined in
Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)).
The audit committee financial experts are Samuel W. Jackson, Jr. and Robert J.
McMullan. Each audit committee financial expert is independent within the
meaning of Form N-CSR.
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an audit
committee financial expert.
Item 4. Principal Accountant Fees and Services.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for
each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
Audit Fees.
For the fiscal years ended July 31, 2004 and July 31, 2003, Audit Fees for the
registrant totaled approximately $207,400 and $247,150, respectively, including
fees associated with the annual audit and filings of the registrant's Form N-1A.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
Audit-Related Fees.
For the fiscal years ended July 31, 2004 and July 31, 2003, Audit-Related Fees
for the registrant totaled approximately $0 and $0, respectively.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each
of the last two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning. Registrants shall
describe the nature of the services comprising the fees disclosed under this
category.
Tax Fees.
For the fiscal years ended July 31, 2004 and July 31, 2003, Tax Fees for the
registrant including tax compliance, tax advice and tax planning, totaled
approximately $36,600 and $34,000, respectively.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed
in each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
All Other Fees
For the fiscal years ended July 31, 2004 and July 31, 2003, Other Fees billed to
the registrant totaled approximately $0 and $0, respectively.
(e) (1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation
S-X.
Except as permitted by Rule 2-01(c)(7)(i)(C) of Regulation S-X, the registrant's
Audit Committee must pre-approve all audit and non-audit services provided by
the independent accountants relating to the operations or financial reporting of
the funds. Prior to the commencement of any audit or non-audit services to a
fund, the Audit Committee reviews the services to determine whether they are
appropriate and permissible under applicable law.
(2) Disclose the percentage of services described in each of paragraphs (b)
through (d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
None of the services summarized in (a)-(d), above, were approved by the Audit
Committee pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended
on the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons other than the principal
accountant's full-time, permanent employees.
Not applicable.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted with
or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the adviser
that provides ongoing services to the registrant for each of the last
two fiscal years of the registrant.
For the fiscal years ended July 31, 2004 and July 31, 2003, Non-Audit Fees
billed to the registrant for services provided to the registrant and any of the
registrant's investment advisers and any entity controlling, controlled by, or
under common control with the investment adviser that provides ongoing services
to the registrant for each of the last two fiscal years of the registrant,
totaled approximately $518,600 and $385,500, respectively.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
The Audit Committee has considered that the provision of non-audit services that
were rendered to the registrant's investment adviser and any entity controlling,
controlled by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under
the Exchange Act (17 CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange Act
(15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee,
however designated, identify each committee member. If the entire
board of directors is acting as the registrant's audit committee as
specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C.
78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under
the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the
listing standards for all audit committees.
Not applicable.
Item 6. Schedule of Investments.
File Schedule I - Investments in securities of unaffiliated issuers as of the
close of the reporting period as set forth in ss. 210.12-12 of Regulation S-X,
unless the schedule is included as part of the report to shareholders filed
under Item 1 of this Form.
The registrant's complete schedule of investments is included as part of the
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.
A closed-end management investment company that is filing an annual report
on this Form N-CSR must, unless it invests exclusively in non-voting securities,
describe the policies and procedures that it uses to determine how to vote
proxies relating to portfolio securities, including the procedures that the
company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers. (a) If the registrant is a closed-end
management investment company, provide the information specified in paragraph
(b) of this Item with respect to any purchase made by or on behalf of the
registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under
the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any
class of the registrant's equity securities that is registered by the registrant
pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders.
Describe any material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors, where those changes
were implemented after the registrant last provided disclosure in response to
the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or
this Item.
Not applicable.
Item 10. Controls and Procedures.
(a) Disclose the conclusions of the registrant's principal executive and
principal financial officers, or persons performing similar functions, regarding
the effectiveness of the registrant's disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date
within 90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded, based on their evaluation of the registrant's disclosure
controls and procedures as conducted within 90 days of the filing date of this
report, that these disclosure controls and procedures are adequately designed
and are operating effectively to ensure that information required to be
disclosed by the registrant on Form N-CSR is: (i) accumulated and communicated
to the investment company's management, including its certifying officers, to
allow timely decisions regarding required disclosure; and (ii) recorded,
processed, summarized and reported within the time periods specified in the
Securities and Exchange Commission's rules and forms.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that
occurred during the registrant's last fiscal half-year (the registrant's second
fiscal half-year in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control
over financial reporting.
There were no changes in the registrant's internal control over financial
reporting that occurred during the registrant's most recent fiscal half-year
(the registrant's second fiscal half-year in the case of an annual report) that
have materially affected or are reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 11. Exhibits.
(a) File the exhibits listed below as part of this Form. Letter or number
the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit.
The code of ethics that is the subject of the disclosure required by Item 2 is
attached hereto as Exhibit 11(a)(1).
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2(a)).
Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are
attached hereto as Exhibit 99.CERT.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange
Act, provide the certifications required by rule 30a-2(b) under the Act (17 CFR
270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference.
Certifications pursuant to Rule 30a-2(b) are furnished herewith as
Exhibit 99.906CERT.
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) AmSouth Funds
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By (Signature and Title)* /s/ Trent Statczar Trent Statczar, Treasurer
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Date October 12, 2004
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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/ John Calvano John Calvano, President
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Date October 12, 2004
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By (Signature and Title)* /s/ Trent Statczar Trent Statczar, Treasurer
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Date October 12, 2004
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* Print the name and title of each signing officer under his or her signature.