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 811-08789
-------------------------------------
VALIC COMPANY II
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(Exact name of registrant as specified in charter)
2929 Allen Parkway, Houston, Texas 77019
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(Address of principal executive offices) (Zip code)
Evelyn M. Curran
Senior Vice President
The Variable Annuity Life Insurance Company
2929 Allen Parkway
Houston, Texas 77019
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(Name and address of agent for service)
Registrant's telephone number, including area code: (713) 831-6425
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Date of fiscal year end: August 31
--------------
Date of reporting period: August 31, 2003
-------------------
Item 1. Reports to Shareholders.
Valic Company II, Annual Report at August 31, 2003
VALIC Company II
Annual Report
August 31, 2003
VALIC COMPANY II - ANNUAL REPORT AUGUST 31, 2003
TABLE OF CONTENTS
Schedules of Investments:
Aggressive Growth Lifestyle Fund.... 1
Capital Appreciation Fund........... 2
Conservative Growth Lifestyle Fund.. 3
Core Bond Fund...................... 4
High Yield Bond Fund................ 8
International Growth II Fund........ 14
Large Cap Value Fund................ 17
Mid Cap Growth Fund................. 19
Mid Cap Value Fund.................. 21
Moderate Growth Lifestyle Fund...... 23
Money Market II Fund................ 24
Small Cap Growth Fund............... 25
Small Cap Value Fund................ 27
Socially Responsible Fund........... 30
Strategic Bond Fund................. 33
Statements of Assets and Liabilities 40
Statements of Operations............ 44
Statements of Changes in Net Assets. 46
Notes to Financial Statements....... 49
Financial Highlights................ 56
Report of Independent Auditors...... 61
Trustee Information................. 62
Shareholder Tax Information......... 64
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1
AGGRESSIVE GROWTH LIFESTYLE FUND - SCHEDULE OF INVESTMENTS
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
AFFILIATED INVESTMENT
COMPANIES - 99.97%
BOND FUND - 10.00%
285,639 VC II Core Bond Fund #.................... $ 2,862,105
-----------
INTERNATIONAL EQUITY FUND - 24.99%
788,892 VC II International Growth II Fund #...... 7,155,250
-----------
LARGE CAP EQUITY FUNDS - 34.99%
747,286 VC II Capital Appreciation Fund #......... 5,724,208
391,353 VC II Large Cap Value Fund #.............. 4,293,141
-----------
10,017,349
-----------
MID CAP EQUITY FUNDS - 15.00%
202,986 VC II MidCap Value Fund #................. 2,862,097
251,061 VC II MidCap Growth Fund #................ 1,431,050
-----------
4,293,147
-----------
SMALL CAP EQUITY FUNDS - 14.99%
292,763 VC II Small Cap Growth Fund #............. 2,839,803
124,107 VC II Small Cap Value Fund #.............. 1,452,051
-----------
4,291,854
-----------
TOTAL AFFILIATED
INVESTMENT COMPANIES
(Cost $26,409,931) - 99.97%............... 28,619,705
-----------
Other assets less liabilities, net - 0.03% 7,480
-----------
NET ASSETS - 100.00%...................... $28,627,185
-----------
#Security represents an investment in an
affiliated company.
SEE NOTES TO FINANCIAL STATEMENTS
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2
August 31, 2003
CAPITAL APPRECIATION FUND - SCHEDULE OF INVESTMENTS
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
COMMON STOCK - 95.83%
AEROSPACE/DEFENSE - 1.71%
7,500 United Technologies Corp................. $ 601,875
----------
APPAREL & PRODUCTS - 1.09%
6,600 Coach, Inc. +............................ 383,064
----------
AUTOMOTIVE - 2.70%
6,400 Danaher Corp............................. 494,400
30,500 General Motors Corp., Class H +.......... 455,670
----------
950,070
----------
BANKS - 6.49%
12,200 Bank of America Corp..................... 966,850
21,600 Mellon Financial Corp.................... 677,160
15,100 Wachovia Corp............................ 636,465
----------
2,280,475
----------
BEVERAGES - 3.04%
8,100 Anheuser-Busch Cos., Inc................. 417,474
14,600 PepsiCo, Inc............................. 650,284
----------
1,067,758
----------
BROADCASTING - 5.86%
7,800 Clear Channel Communications, Inc. +..... 351,936
30,300 Comcast Corp., Class A Special +......... 859,308
15,700 Fox Entertainment Group, Inc., Class A +. 495,806
9,400 Univision Communications, Inc., Class A + 352,406
----------
2,059,456
----------
BUILDING MATERIALS - 1.11%
7,100 Lowe's Cos., Inc......................... 389,506
----------
CHEMICAL - 0.94%
7,400 E.I. du Pont de Nemours and Co........... 331,076
----------
COMMERCIAL SERVICES - 2.72%
48,600 WebMD Corp. +............................ 500,580
10,500 Weight Watchers International, Inc. +.... 455,175
----------
955,755
----------
CONGLOMERATES - 2.89%
21,400 General Electric Co...................... 632,798
18,700 Tyco International, Ltd.................. 384,846
----------
1,017,644
----------
DRUGS - 11.58%
7,800 Allergan, Inc............................ 619,788
12,900 Amgen, Inc. +............................ 850,110
10,500 Eli Lilly and Co......................... 698,565
11,800 Forest Laboratories, Inc. +.............. 554,600
15,000 Sicor, Inc. +............................ 297,750
12,800 Watson Pharmaceuticals, Inc. +........... 526,080
12,200 Wyeth.................................... 522,770
----------
4,069,663
----------
SEE NOTES TO FINANCIAL STATEMENTS
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
FINANCE COMPANIES - 0.90%
7,900 SLM Corp.................................. $ 317,422
----------
FREIGHT - 1.34%
7,500 United Parcel Service, Inc., Class B...... 470,700
----------
HEALTHCARE - 3.56%
8,200 Anthem, Inc. +............................ 600,240
19,200 Omnicare, Inc............................. 650,880
----------
1,251,120
----------
HOSPITAL SUPPLIES - 2.96%
12,600 Medtronic, Inc............................ 624,708
8,000 St. Jude Medical, Inc. +.................. 416,560
----------
1,041,268
----------
HOUSEHOLD PRODUCTS - 1.49%
15,200 Estee Lauder Cos., Inc., Class A.......... 524,248
----------
INFORMATION PROCESSING -
HARDWARE - 5.46%
19,700 Dell, Inc. +.............................. 642,811
21,900 Hewlett-Packard Co........................ 436,248
36,500 Seagate Technology........................ 839,865
----------
1,918,924
----------
INFORMATION PROCESSING -
SERVICES - 4.49%
26,400 InterActiveCorp +......................... 977,064
12,200 Monster Worldwide, Inc. +................. 333,304
8,000 Yahoo!, Inc. +............................ 267,200
----------
1,577,568
----------
INFORMATION PROCESSING -
SOFTWARE - 4.37%
26,100 Microsoft Corp............................ 692,172
24,500 VERITAS Software Corp. +.................. 844,760
----------
1,536,932
----------
INSURANCE - 1.65%
4,600 AMBAC Financial Group, Inc................ 298,632
3,600 Wellpoint Health Networks, Inc., Class A + 280,800
----------
579,432
----------
MEDICAL - BIOMEDICAL/GENE - 1.96%
8,700 Genentech, Inc. +......................... 690,780
----------
MULTIMEDIA - 4.99%
40,750 AOL Time Warner, Inc. +................... 666,670
3,900 E.W. Scripps Co., Class A................. 337,701
16,642 Viacom, Inc., Class B..................... 748,890
----------
1,753,261
----------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
OIL AND GAS - 1.02%
125 Cross Timbers Royalty Trust.............. $ 2,794
16,900 XTO Energy, Inc.......................... 354,731
-----------
357,525
-----------
RETAIL - 4.36%
11,500 CVS Corp................................. 374,900
8,950 Home Depot, Inc.......................... 287,832
14,700 Wal-Mart Stores, Inc..................... 869,799
-----------
1,532,531
-----------
SCHOOLS - 1.20%
6,600 Apollo Group, Inc., Class A +............ 422,862
-----------
SEMICONDUCTORS - 7.72%
15,200 Analog Devices, Inc. +................... 623,200
20,600 Applied Materials, Inc. +................ 444,960
43,400 Intel Corp............................... 1,242,108
9,000 Maxim Integrated Products, Inc........... 404,190
-----------
2,714,458
-----------
TELECOMMUNICATIONS - 6.50%
29,800 AT&T Wireless Services, Inc. +........... 256,876
39,500 Cisco Systems, Inc. +.................... 756,425
39,500 Corning, Inc. +.......................... 325,875
13,800 Harris Corp.............................. 458,160
13,500 Nextel Communications, Inc., Class A +... 260,280
43,500 Sprint Corp. (PCS Group) +............... 225,765
-----------
2,283,381
-----------
THERAPEUTICS - 1.73%
9,100 Gilead Sciences, Inc. +.................. 606,970
-----------
TOTAL COMMON STOCK
(Cost $33,356,510)....................... 33,685,724
-----------
PAR
VALUE
- ----------
REPURCHASE AGREEMENT - 4.34%
$1,527,000 Agreement with State Street Bank & Trust,
Co., bearing interest at 0.92%, dated
8/29/03, to be repurchased 9/2/03 in the
amount of $1,527,156 and collateralized
by Federal National Mortgage Assoc.
Bonds, bearing interest at 5.25%, due
6/15/06 and having an approximate
value of $1,574,975
(Cost $1,527,000)...................... 1,527,000
-----------
TOTAL INVESTMENTS
(Cost $34,883,510) - 100.17%............. 35,212,724
-----------
Liabilities in excess of other assets,
net - (0.17)%........................... (60,277)
-----------
NET ASSETS - 100%........................ $35,152,447
-----------
+ Non-income producing
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3
August 31, 2003
CONSERVATIVE GROWTH LIFESTYLE FUND - SCHEDULE OF INVESTMENTS
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
AFFILIATED INVESTMENT
COMPANIES - 99.97%
BOND FUNDS - 54.98%
1,379,507 VC II Core Bond Fund #.................... $13,822,660
178,819 VC II High Yield Bond Fund #.............. 1,382,273
-----------
15,204,933
-----------
INTERNATIONAL EQUITY FUND - 10.00%
304,800 VC II International Growth II Fund #...... 2,764,534
-----------
LARGE CAP EQUITY FUNDS - 21.99%
360,905 VC II Capital Appreciation Fund #......... 2,764,532
302,411 VC II Large Cap Value Fund #.............. 3,317,443
-----------
6,081,975
-----------
MID CAP EQUITY FUNDS - 7.00%
98,033 VC II MidCap Value Fund #................. 1,382,268
97,001 VC II MidCap Growth Fund #................ 552,907
-----------
1,935,175
-----------
SMALL CAP EQUITY FUNDS - 6.00%
84,068 VC II Small Cap Growth Fund #............. 815,456
72,005 VC II Small Cap Value Fund #.............. 842,455
-----------
1,657,911
-----------
TOTAL AFFILIATED
INVESTMENT COMPANIES
(Cost $26,001,843) - 99.97%............... 27,644,528
-----------
Other assets less liabilities, net - 0.03% 7,689
-----------
NET ASSETS - 100.00%...................... $27,652,217
-----------
#Security represents an investment in an
affiliated company.
SEE NOTES TO FINANCIAL STATEMENTS
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4
August 31, 2003
CORE BOND FUND - SCHEDULE OF INVESTMENTS
PAR MARKET
VALUE VALUE
- --------------------------------------------------
CORPORATE BONDS - 28.03%
AEROSPACE/DEFENSE - 0.12%
$ 77,000 Boeing Capital Corp.:
4.75% due 8/25/08......... $ 77,544
----------
AIRLINES - 0.11%
74,235 Continental Airlines, Inc.:
7.08% due 11/1/04......... 69,552
----------
AUTOMOTIVE - 0.66%
62,000 Delphi Corp.:
6.50% due 8/15/13......... 60,183
241,000 Ford Motor Co.:
6.63% due 10/1/28......... 196,736
159,000 General Motors Corp.:
7.20% due 1/15/11......... 162,017
----------
418,936
----------
BANKS - 2.47%
Bank of America Corp.:
131,000 7.13% due 3/1/09.......... 148,741
166,000 3.25% due 8/15/08......... 160,168
135,000 BankBoston NA:
6.38% due 3/25/08......... 147,999
100,000 European Investment Bank:
4.00% due 3/15/05......... 103,139
151,000 Fifth Third Bancorp.:
3.38% due 8/15/08......... 147,826
150,000 Fleet Financial Group, Inc.:
6.88% due 1/15/28......... 160,190
100,000 Key Bank NA:
4.10% due 6/30/05......... 103,449
144,000 National City Bank:
2.50% due 4/17/06......... 143,033
125,000 PNC Bank NA:
7.88% due 4/15/05......... 136,309
150,000 PNC Funding Corp.:
7.50% due 11/1/09......... 174,400
144,000 Wachovia Corp.:
3.50% due 8/15/08......... 140,429
----------
1,565,683
----------
BEVERAGES - 0.75%
148,000 Anheuser-Busch Cos., Inc.:
5.95% due 1/15/33......... 147,376
153,000 Miller Brewing Co.:
5.50% due 8/15/13 *....... 152,878
157,000 Pepsi Bottling Group, Inc.:
7.00% due 3/1/29.......... 174,500
----------
474,754
----------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
BROADCASTING - 0.51%
$ 144,000 Lenfest Communications, Inc.:
7.63% due 2/15/08..................... $ 160,752
78,000 Liberty Media Corp.:
8.25% due 2/1/30...................... 84,895
72,000 TCA Cable TV, Inc.:
6.53% due 2/1/28...................... 76,989
----------
322,636
----------
CHEMICAL - 0.09%
52,000 ICI Wilmington, Inc.:
7.05% due 9/15/07..................... 56,161
----------
CONGLOMERATES - 0.17%
117,000 Textron, Inc.:
4.50% due 8/1/10...................... 110,375
----------
CONTAINERS - PAPER - 0.17%
103,000 Sealed Air Corp.:
6.95% due 5/15/09 *................... 109,969
----------
FINANCE COMPANIES - 3.62%
150,000 Devon Financing Corp., U.L.C.:
6.88% due 9/30/11..................... 165,714
190,000 Ford Motor Credit Co.:
5.80% due 1/12/09..................... 184,485
General Motors Acceptance Corp.:
150,000 7.75% due 1/19/10..................... 159,479
150,000 4.50% due 7/15/06..................... 150,297
1,000,000 Honda Auto Receivables Owner Trust:
2.77% due 11/21/08.................... 993,051
Household Finance Corp.:
144,000 4.75% due 7/15/13..................... 135,068
110,000 3.38% due 2/21/06..................... 111,861
300,000 Morgan Stanley Capital I:
6.48% due 11/15/30.................... 330,103
78,000 SLM Corp.:
5.63% due 8/1/33...................... 71,256
----------
2,301,314
----------
FINANCIAL SERVICES - 6.78%
250,000 Bear Stearns Commercial Mtg. Securities:
6.02% due 2/14/31..................... 270,279
125,000 Bear Stearns Cos., Inc.:
7.63% due 12/7/09..................... 144,825
65,000 Capital One Bank:
4.88% due 5/15/08..................... 64,682
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------
FINANCIAL SERVICES - Continued
Citigroup, Inc.:
$ 153,000 6.50% due 1/18/11.................. $ 168,746
178,000 5.88% due 2/22/33.................. 169,516
144,000 Credit Suisse First Boston USA, Inc.:
6.13% due 11/15/11................. 151,384
151,000 Diageo Capital, PLC:
3.38% due 3/20/08.................. 147,789
500,000 DLJ Commercial Mtg. Corp.:
7.34% due 10/10/32................. 569,705
68,000 Duke Capital Corp., Series A:
6.25% due 7/15/05.................. 70,466
137,000 FPL Group Capital, Inc.:
3.25% due 4/11/06.................. 137,753
144,000 General Electric Capital Corp.:
3.67% due 12/4/06.................. 144,875
Goldman Sachs Group, Inc.:
125,000 6.65% due 5/15/09.................. 138,764
155,000 4.75% due 7/15/13.................. 146,580
78,000 IOS Capital, LLC:
7.25% due 6/30/08.................. 73,710
125,000 John Deere Capital Corp.:
3.90% due 1/15/08.................. 125,193
240,000 LB-UBS Commercial Mtg. Trust:
6.51% due 12/15/26................. 263,640
150,000 Lehman Brothers Holdings, Inc.:
8.25% due 6/15/07.................. 173,753
155,000 Merrill Lynch & Co., Inc.:
3.13% due 7/15/08.................. 148,919
Morgan Stanley:
150,000 6.75% due 4/15/11.................. 165,364
151,000 4.25% due 5/15/10.................. 146,617
150,000 National Rural Utilities Cooperative
Finance Corp.:
5.75% due 8/28/09.................. 159,494
50,000 Principal Life Global Funding:
5.13% due 6/28/07 *................ 52,356
144,000 Rio Tinto Finance USA, Ltd.:
2.63% due 9/30/08.................. 134,391
Sprint Capital Corp.:
65,000 6.90% due 5/1/19................... 63,913
65,000 6.38% due 5/1/09................... 68,116
144,000 Textron Financial Corp.:
2.75% due 6/1/06................... 141,321
50,000 TIAA Global Markets, Inc.:
4.13% due 11/15/07 *............... 50,602
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5
August 31, 2003
CORE BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
FINANCIAL SERVICES - Continued
$200,000 Washington Mutual Finance Corp.:
6.25% due 5/15/06...................... $ 216,631
----------
4,309,384
----------
FOODS - 0.39%
160,000 Tyson Foods, Inc.:
7.25% due 10/1/06...................... 173,810
78,000 Unilever Capital Corp.:
5.90% due 11/15/32..................... 75,598
----------
249,408
----------
HOME BUILDERS - 0.12%
79,000 Toll Brothers, Inc.:
5.95% due 9/15/13 *.................... 78,498
----------
HOSPITAL MANAGEMENT - 0.32%
107,000 HCA, Inc.:
7.88% due 2/1/11....................... 114,066
91,000 Tenet Healthcare Corp.:
7.38% due 2/1/13....................... 89,408
----------
203,474
----------
HOSPITAL SUPPLIES - 0.22%
157,000 Johnson & Johnson:
4.95% due 5/15/33...................... 138,393
----------
INFORMATION PROCESSING -
SERVICES - 0.09%
50,000 Computer Sciences Corp.:
6.75% due 6/15/06...................... 55,235
----------
INSURANCE - 0.94%
250,000 ACE INA Holdings, Inc.:
8.20% due 8/15/04...................... 264,144
78,000 Allstate Corp.:
7.20% due 12/1/09...................... 89,961
80,000 Provident Companies, Inc.:
6.38% due 7/15/05...................... 83,172
79,000 Western & Southern Financial Group, Inc.:
5.75% due 7/15/33 *.................... 72,226
79,000 Zurich Capital Trust:
8.38% due 6/1/37 *..................... 84,605
----------
594,108
----------
METALS - 0.16%
92,000 Phelps Dodge Corp.:
9.50% due 6/1/31....................... 104,660
----------
PAR MARKET
VALUE VALUE
- -----------------------------------------------------
MULTIMEDIA - 0.82%
$150,000 AOL Time Warner, Inc.:
6.13% due 4/15/06................ $160,398
News America, Inc.:
40,000 7.30% due 4/30/28................ 42,720
63,000 6.55% due 3/15/33 *.............. 62,071
148,000 Time Warner Entertainment Co., LP:
8.38% due 3/15/23................ 175,740
Time Warner, Inc.:
47,000 9.15% due 2/1/23................. 56,515
23,000 6.88% due 6/15/18................ 24,135
--------
521,579
--------
OIL AND GAS - 0.76%
69,000 Amerada Hess Corp.:
5.90% due 8/15/06................ 73,583
100,000 Occidental Petroleum Corp.:
6.50% due 4/1/05................. 106,568
79,000 Pemex Project Funding Master Trust:
8.63% due 2/1/22 *............... 83,542
15,000 Pennzoil Co.:
10.25% due 11/1/05............... 17,245
78,000 Petro-Canada:
5.35% due 7/15/33................ 67,824
121,000 Phillips 66 Capital Trust II:
8.00% due 1/15/37................ 131,089
--------
479,851
--------
PAPER/FOREST PRODUCTS - 0.46%
100,000 International Paper Co.:
7.50% due 5/15/04................ 103,802
122,000 Packaging Corp. of America:
5.75% due 8/1/13 *............... 118,494
65,000 Weyerhaeuser Co.:
5.50% due 3/15/05................ 68,001
--------
290,297
--------
POLLUTION CONTROL - 0.58%
75,000 Republic Services, Inc.:
7.13% due 5/15/09................ 84,325
150,000 USA Waste Services, Inc.:
7.13% due 10/1/07................ 165,149
106,000 Waste Management, Inc.:
7.38% due 8/1/10................. 119,037
--------
368,511
--------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
RAILROADS & EQUIPMENT - 0.40%
$125,000 Burlington Northern Santa Fe Corp.:
8.13% due 4/15/20....................... $ 145,578
93,000 Norfolk Southern Corp.:
7.80% due 5/15/27....................... 107,787
----------
253,365
----------
REAL ESTATE - 0.17%
100,000 EOP Operating, LP:
7.00% due 7/15/11....................... 110,173
----------
REAL ESTATE INVESTMENT TRUSTS - 0.20%
125,000 Duke Realty, LP:
5.25% due 1/15/10....................... 126,648
----------
RETAIL - 0.53%
153,000 Office Depot, Inc.:
6.25% due 8/15/13 *..................... 155,025
172,000 Safeway, Inc.:
6.15% due 3/1/06........................ 183,203
----------
338,228
----------
TELECOMMUNICATIONS - 2.42%
144,000 AT&T Broadband Corp.:
8.38% due 3/15/13....................... 171,039
150,000 Citizens Communications Co.:
8.50% due 5/15/06....................... 169,868
Deutsche Telekom International Finance BV:
106,000 8.75% due 6/15/30....................... 127,294
62,000 8.25% due 6/15/05....................... 67,974
79,000 France Telecom SA:
10.00% due 3/1/31....................... 101,831
GTE Corp.:
155,000 7.51% due 4/1/09........................ 176,870
82,000 6.94% due 4/15/28....................... 84,580
25,000 TELUS Corp.:
8.00% due 6/1/11........................ 27,724
78,000 Verizon Maryland, Inc.:
5.13% due 6/15/33....................... 65,130
150,000 Verizon New York, Inc., Series A:
7.38% due 4/1/32........................ 167,845
150,000 Verizon Wireless Capital, LLC:
5.38% due 12/15/06...................... 159,110
125,000 Vodafone Airtouch, PLC:
7.75% due 2/15/10....................... 145,808
75,000 Vodafone Group, PLC:
6.25% due 11/30/32...................... 73,931
----------
1,539,004
----------
- --------------------------------------------------------------------------------
6
CORE BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
UTILITIES - ELECTRIC - 2.76%
$100,000 Appalachian Power Co.:
4.80% due 6/15/05....................... $ 103,711
78,000 Centerpoint Energy, Inc.:
6.85% due 6/1/15 *...................... 72,298
79,000 Consolidated Edison Co. of New York, Inc.:
5.10% due 6/15/33....................... 68,398
72,000 Consumers Energy Co.:
4.00% due 5/15/10 *..................... 66,968
Dominion Resources, Inc.:
130,000 7.63% due 7/15/05....................... 141,832
138,000 5.25% due 8/1/33........................ 130,351
49,000 Duke Energy Corp.:
4.50% due 4/1/10........................ 48,551
130,000 FirstEnergy Corp., Series A:
5.50% due 11/15/06...................... 131,003
125,000 Florida Power Corp.:
5.90% due 3/1/33........................ 121,098
100,000 Georgia Power Co., Series F:
6.20% due 2/1/06........................ 108,460
72,000 Great Lakes Power, Inc.:
8.30% due 3/1/05........................ 76,162
100,000 Niagara Mohawk Power Corp.:
5.38% due 10/1/04....................... 103,434
125,000 NiSource Finance Corp.:
7.63% due 11/15/05...................... 137,348
77,000 Noranda Inc:
7.00% due 7/15/05....................... 81,178
47,000 Old Dominion Electric Cooperative:
5.68% due 12/1/28....................... 45,409
125,000 Pepco Holdings, Inc.:
3.75% due 2/15/06....................... 126,286
78,000 Progress Energy, Inc.:
7.75% due 3/1/31........................ 86,047
25,000 TECO Energy, Inc.:
7.50% due 6/15/10....................... 24,531
72,000 Westar Energy, Inc.:
7.88% due 5/1/07........................ 78,570
----------
1,751,635
----------
UTILITIES - GAS, DISTRIBUTION - 0.43%
250,000 KeySpan Corp.:
6.15% due 6/1/06........................ 271,266
----------
UTILITIES - GAS, PIPELINE - 0.12%
70,000 Reliant Energy Resources Corp., Series B:
8.13% due 7/15/05....................... 74,677
----------
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
U.S. MUNICIPALS - 0.69%
$ 500,000 Illinois State Taxable Pension:
5.10% due 6/1/33.............. $ 437,505
-----------
TOTAL CORPORATE BONDS
(Cost $17,888,968).............. 17,802,823
-----------
FOREIGN GOVERNMENT BONDS - 0.88%
GOVERNMENT - 0.88%
123,000 Government of United Kingdom:
2.25% due 7/8/08 *............ 116,438
Quebec Province Canada:
157,000 7.50% due 7/15/23............. 185,182
125,000 5.00% due 7/17/09............. 129,457
United Mexican States:
50,000 8.00% due 9/24/22............. 52,250
75,000 4.63% due 10/8/08............. 74,250
-----------
557,577
-----------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $570,900)................. 557,577
-----------
UNITED STATES GOVERNMENT
BONDS - 65.08%
GOVERNMENT AGENCIES - 45.61%
Federal Farm Credit Banks:
250,000 3.88% due 12/15/04............ 256,896
420,000 2.50% due 3/15/06............. 420,292
Federal Home Loan Bank:
415,000 5.25% due 8/15/06............. 442,974
510,000 2.75% due 3/14/08............. 490,759
510,000 1.88% due 6/15/06............. 499,404
Federal Home Loan Mtg. Corp.:
18,479 8.00% due 2/1/30.............. 19,791
12,342 8.00% due 7/1/30.............. 13,218
84,059 7.50% due 12/1/30............. 89,533
450,000 7.50% due TBA................. 479,110
171,803 7.00% due 11/1/16............. 182,070
671,000 6.25% due 7/15/32............. 703,318
350,000 6.00% due TBA................. 355,578
473,000 5.88% due 3/21/11............. 494,560
3,150,000 5.50% due TBA................. 3,170,233
326,000 4.50% due 7/15/13............. 311,926
240,000 3.25% due 11/15/04............ 245,035
413,000 2.88% due 9/26/05............. 413,437
413,000 2.70% due 10/2/06............. 411,345
419,000 2.00% due 1/21/05............. 419,725
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Federal National Mtg. Assoc.:
$ 21,698 7.50% due 11/1/14............. $ 23,165
513,000 7.25% due 1/15/10............. 595,431
1,318,234 7.00% due 9/1/31.............. 1,389,820
516,000 6.63% due 11/15/30............ 567,056
255,164 6.50% due 2/1/17.............. 268,460
309,813 6.50% due 3/1/17.............. 325,957
322,923 6.50% due 4/1/29/(1)/......... 334,632
722,273 6.50% due 6/1/29.............. 748,461
533,839 6.50% due 8/1/31.............. 552,549
1,449,200 6.50% due 7/1/32.............. 1,500,072
150,694 6.00% due 12/1/16............. 156,165
3,900,000 6.00% due TBA................. 3,964,592
2,500,000 5.50% due TBA................. 2,501,875
512,000 5.25% due 8/1/12.............. 509,580
2,600,000 5.00% due TBA................. 2,558,626
250,000 4.50% due TBA................. 245,547
521,000 3.25% due 8/15/08............. 507,090
413,000 2.50% due 5/12/06............. 412,627
413,000 2.38% due 3/17/06............. 412,426
413,000 2.38% due 4/13/06............. 411,872
413,000 1.75% due 6/16/06............. 403,012
Government National Mtg. Assoc.:
40,228 8.00% due 4/15/30............. 43,247
154,565 7.00% due 9/15/28/(1)/........ 163,572
156,714 6.50% due 6/15/29/(1)/........ 163,159
766,004 6.50% due 10/15/32............ 796,985
-----------
28,975,182
-----------
GOVERNMENT OBLIGATIONS - 19.47%
United States Treasury Bonds:
107,000 9.38% due 2/15/06............. 125,278
991,000 7.13% due 2/15/23............. 1,207,239
463,000 6.88% due 8/15/25............. 552,815
990,000 6.25% due 8/15/23............. 1,098,939
350,000 5.38% due 2/15/31............. 357,519
United States Treasury Notes:
1,010,000 7.00% due 7/15/06............. 1,136,605
1,020,000 6.88% due 5/15/06............. 1,140,249
902,000 6.50% due 10/15/06............ 1,006,998
66,000 6.50% due 2/15/10............. 75,856
420,000 6.00% due 8/15/09............. 470,466
2,000,000 4.38% due 8/15/12............. 2,001,250
- --------------------------------------------------------------------------------
7
August 31, 2003
CORE BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------------
GOVERNMENT OBLIGATIONS - Continued
United States Treasury Notes - Continued
$ 346,000 4.25% due 8/15/13...................... $ 340,377
14,000 3.88% due 2/15/13...................... 13,413
48,000 3.63% due 5/15/13...................... 45,135
1,020,000 3.50% due 11/15/06..................... 1,047,014
413,000 3.38% due 4/30/04...................... 419,098
76,000 3.25% due 8/15/08...................... 75,329
269,000 3.00% due 1/31/04...................... 271,144
101,000 2.63% due 5/15/08...................... 97,820
30,000 2.00% due 5/15/06...................... 29,767
854,000 1.50% due 2/28/05...................... 852,699
-------------
12,365,010
-------------
TOTAL UNITED STATES
GOVERNMENT BONDS
(Cost $41,803,852)..................... 41,340,192
-------------
SHORT-TERM INVESTMENTS - 9.44%
GOVERNMENT AGENCIES - 9.44%
Federal Home Loan Bank Disc. Notes:
3,000,000 0.84% due 9/2/03/(1)/................ 2,999,930
3,000,000 0.80% due 9/2/03/(1)/................ 2,999,933
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,999,863)...................... 5,999,863
-------------
REPURCHASE AGREEMENT - 16.94%
10,759,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.92%,
dated 8/29/03, to be repurchased
9/2/03 in the amount of $10,760,100
and collateralized by Federal National
Mortgage Assoc. Bonds, bearing
interest at 1.18%, due 7/27/04 and
having an approximate value of
$11,083,838 /(1)/
(Cost $10,759,000).................... 10,759,000
-------------
TOTAL INVESTMENTS
(Cost $77,022,583) - 120.37%........... 76,459,455
-------------
Liabilities in excess of other assets,
net - (20.37)%........................ (12,940,520)
-------------
NET ASSETS - 100%...................... $ 63,518,935
-------------
TBA Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity date.
The actual principal and maturity date will be determined upon
settlement date.
* Securities exempt from registration under rule 144A of the
Securities Act of 1933. These securities may be sold in
transactions exempt from registration, normally to qualified
institutional buyers. At August 31, 2003, the aggregate value of
these securities was $1,275,970 representing 2.01% of net assets.
/(1)/The security or a portion thereof represents collateral for TBA
securities.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
8
August 31, 2003
HIGH YIELD BOND FUND - SCHEDULE OF INVESTMENTS
PAR MARKET
VALUE VALUE
- -----------------------------------------------------
CORPORATE BONDS - 92.63%
AEROSPACE/DEFENSE - 0.13%
$125,000 Condor Systems, Inc.:
11.88% due 5/1/09 /(1)/......... $ 33,750
45,000 Decrane Aircraft Holdings, Inc.:
12.00% due 9/30/08.............. 21,150
----------
54,900
----------
AIRLINES - 1.32%
80,000 American Airlines, Inc.:
7.80% due 10/1/06............... 55,408
124,857 Atlas Air, Inc.:
8.77% due 1/2/11 /(2)/.......... 22,474
Continental Airlines, Inc.:
61,674 7.73% due 3/15/11.............. 42,863
148,309 6.95% due 8/2/09............... 104,221
253,523 Delta Air Lines, Inc.:
7.78% due 1/2/12................ 203,563
150,000 Northwest Airlines, Inc.:
7.63% due 3/15/05............... 126,000
----------
554,529
----------
APPAREL & PRODUCTS - 0.17%
25,000 Levi Strauss & Co.:
7.00% due 11/1/06............... 21,813
50,000 Warnaco, Inc.:
8.88% due 6/15/13 *............. 52,000
----------
73,813
----------
APPLIANCES/FURNISHINGS - 0.26%
Salton, Inc.,
75,000 12.25% due 4/15/08............. 72,750
40,000 10.75% due 12/15/05............ 38,400
----------
111,150
----------
AUTOMOTIVE - 1.66%
115,000 Diamond Triumph Auto Glass, Inc.:
9.25% due 4/1/08................ 100,625
150,000 Eagle-Pincher, Inc.:
9.75% due 9/1/13 *.............. 153,750
250,000 Goodyear Tire & Rubber Co.:
7.86% due 8/15/11............... 195,625
125,000 Pep Boys-Manny, Moe & Jack:
6.92% due 7/7/06................ 125,312
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
AUTOMOTIVE - Continued
$125,000 Prestolite Electric, Inc.:
9.63% due 2/1/08.................... $ 111,563
50,000 Venture Holdings Trust:
11.00% due 6/1/07 /(1)/............. 10,000
----------
696,875
----------
BEVERAGES - 0.19%
75,000 Cott Beverages USA, Inc.:
8.00% due 12/15/11.................. 78,375
----------
BROADCASTING - 9.63%
2,945 Big City Radio, Inc.:
11.25% due 3/15/05 /(1)(3)/......... 2,724
75,000 CF Cable TV, Inc.:
9.13% due 7/15/07................... 76,782
Charter Communications Holdings, LLC:
640,000 11.13% due 1/15/11................. 512,000
550,000 10.75% due 10/1/09................. 440,000
50,000 10.25% due 1/15/10................. 38,250
75,000 10.00% due 5/15/11................. 56,625
750,000 9.63% due 11/15/09................. 573,750
CSC Holdings, Inc.:
250,000 10.50% due 5/15/16................. 272,500
300,000 7.88% due 2/15/18.................. 288,000
75,000 7.63% due 7/15/18.................. 71,250
175,000 Emmis Communications Corp.:
12.50% due 3/15/11 /(3)/............ 153,125
Granite Broadcasting Corp.:
100,000 10.38% due 5/15/05................. 98,500
150,000 8.88% due 5/15/08.................. 144,750
Nexstar Finance Holdings, LLC:
140,000 16.00% due 5/15/09 /(3)/........... 127,750
275,000 11.38% due 4/1/13 /(3)/............ 189,750
25,000 Paxson Communications Corp.:
12.25% due 1/15/09 /(3)/............ 20,000
450,000 Pegasus Satellite Commerce, Inc.:
11.25% due 1/15/10 *................ 364,500
50,000 Rogers Cable, Inc.:
8.75% due 5/1/32.................... 51,750
225,000 Rogers Cablesystems, Ltd.:
11.00% due 12/1/15.................. 246,375
50,000 Salem Communications Holding Corp.:
9.00% due 7/1/11.................... 52,875
PAR MARKET
VALUE VALUE
- -----------------------------------------------------
BROADCASTING - Continued
$ 75,000 Susquehanna Media Co.:
7.38% due 4/15/13............... $ 76,406
185,000 Young Broadcasting, Inc.:
9.00% due 1/15/06............... 185,925
----------
4,043,587
----------
BUILDING MATERIALS - 0.83%
Armstrong World Industries, Inc.:
100,000 9.75% due 4/15/08 /(1)/........ 52,000
150,000 6.50% due 8/15/05 /(1)/........ 78,000
25,000 6.35% due 8/15/49 /(1)/........ 12,500
125,000 Koppers Industries, Inc.:
9.88% due 12/1/07............... 127,500
125,000 MMI Products, Inc.:
11.25% due 4/15/07 /(5)/........ 78,750
----------
348,750
----------
CHEMICAL - 2.16%
200,000 Equistar Chemicals, LP:
10.63% due 5/1/11 *............. 199,000
285,000 Huntsman International, LLC:
9.88% due 3/1/09................ 293,550
100,000 Methanex Corp.:
8.75% due 8/15/12............... 107,250
125,000 Rockwood Specialties Group, Inc.:
10.63% due 5/15/11 *............ 130,312
25,000 Solutia, Inc.:
11.25% due 7/15/09.............. 22,500
150,000 Westlake Chemical Corp.:
8.75% due 7/15/11 *............. 153,000
----------
905,612
----------
COMMERCIAL SERVICES - 3.40%
Crown Cork & Seal Co., Inc.:
605,000 8.38% due 1/15/05.............. 620,125
100,000 8.00% due 4/15/23.............. 81,000
150,000 Crown European Holdings SA:
10.88% due 3/1/13 *............. 165,750
100,000 Mobile Mini, Inc.:
9.50% due 7/1/13 *.............. 104,500
200,000 Monitronics International, Inc.:
11.75% due 9/1/10 *............. 198,250
Owens-Brockway Glass Container:
75,000 8.75% due 11/15/12............. 78,750
150,000 7.75% due 5/15/11 *............ 150,000
- --------------------------------------------------------------------------------
9
HIGH YIELD BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
COMMERCIAL SERVICES - Continued
$ 25,000 Petroleum Helicopters, Inc.:
9.38% due 5/1/09........................ $ 27,250
----------
1,425,625
----------
CONGLOMERATES - 0.95%
Tyco International Group SA:
125,000 6.88% due 1/15/29...................... 117,031
275,000 6.75% due 2/15/11 /(5)/................ 279,813
----------
396,844
----------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.29%
100,000 Flextronics International, Ltd.:
6.50% due 5/15/13 *..................... 95,750
75,000 Pioneer Standard Electronics, Inc.:
9.50% due 8/1/06........................ 77,344
75,000 Xerox Capital Trust I:
8.00% due 2/1/27........................ 60,562
Xerox Corp.:
125,000 7.63% due 6/15/13...................... 121,875
150,000 7.20% due 4/1/16....................... 138,750
50,000 7.13% due 6/15/10...................... 48,500
----------
542,781
----------
FERTILIZERS - 0.31%
125,000 IMC Global, Inc.:
11.25% due 6/1/11 /(5)/................. 129,375
----------
FINANCE COMPANIES - 0.85%
50,000 AmeriCredit Corp.:
9.88% due 4/15/06....................... 48,000
135,000 Hanover Equipment Trust:
8.50% due 9/1/08........................ 135,675
77,904 Jet Equipment Trust:
8.24% due 11/1/12 *..................... 26,585
200,000 United States West Capital Funding, Inc.:
6.88% due 7/15/28....................... 148,000
----------
358,260
----------
FINANCIAL SERVICES - 12.21%
325,000 American Tower Escrow Corp.:
zero coupon due 8/1/08.................. 214,500
500,000 Athena Neurosciences Finance, LLC:
7.25% due 2/21/08....................... 378,750
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------
FINANCIAL SERVICES - Continued
$225,000 Bear Island Paper Co., LLC:
10.00% due 12/1/07................... $ 184,500
200,000 Bluewater Finance, Ltd.:
10.25% due 2/15/12 /(5)/............. 198,000
350,000 Chukchansi Economic Development Auth.:
14.50% due 6/15/09 *................. 429,625
175,000 Eircom Funding:
8.25% due 8/15/13 *.................. 183,750
170,000 ESI Tractebel Acquisition Corp.:
7.99% due 12/30/11................... 167,875
75,000 Frontier Escrow Corp.:
8.00% due 4/15/13 *.................. 76,125
25,000 H&E Equipment Services, LLC:
11.13% due 6/15/12................... 21,000
100,000 Huntsman Advanced Materials, LLC:
11.00% due 7/15/10 *................. 105,500
100,000 IOS Capital, LLC:
7.25% due 6/30/08.................... 94,500
990,000 JP Morgan High Yield Debt Index 100:
8.00% due 6/20/08 *.................. 999,900
650,000 JP Morgan High Yield Debt Index:
6.40% due 6/20/08 *.................. 637,000
75,000 LaBranche & Co., Inc.:
12.00% due 3/2/07.................... 81,750
375,000 Madison River Capital, LLC:
13.25% due 3/1/10.................... 367,500
95,000 Nexstar Finance LLC, Inc.:
12.00% due 4/1/08.................... 106,400
125,000 PCA, LLC/PCA Finance Corp:
11.88% due 8/1/09.................... 135,625
PDVSA Finance, Ltd.:
100,000 8.50% due 11/16/12.................. 86,500
325,000 6.80% due 11/15/08.................. 281,125
100,000 PX Escrow Corp.:
9.63% due 2/1/06 /(3)/............... 74,000
Terra Capital, Inc.:
125,000 12.88% due 10/15/08................. 132,500
200,000 11.50% due 6/1/10................... 170,000
----------
5,126,425
----------
FOODS - 0.49%
50,000 Del Monte Corp.:
8.63% due 12/15/12 *................. 52,063
PAR MARKET
VALUE VALUE
- ------------------------------------------------------
FOODS - Continued
$100,000 Fleming Cos., Inc.:
10.63% due 7/31/07 /(1)/......... $ 10
Smithfield Foods, Inc.:
25,000 8.00% due 10/15/09.............. 26,250
125,000 7.75% due 5/15/13 *............. 128,750
----------
207,073
----------
FREIGHT - 0.00%
169,535 Anthony Crane Rental, LP:
9.38% due 2/1/08 /(2)(4)/........ 17
----------
HEALTHCARE - 1.88%
175,000 Apogent Technologies, Inc.:
6.50% due 5/15/13 *.............. 172,375
HEALTHSOUTH Corp.:
100,000 10.75% due 10/1/08.............. 82,000
225,000 8.38% due 10/1/11............... 185,625
75,000 7.63% due 6/1/12................ 61,125
150,000 Medco Health Solutions, Inc.:
7.25% due 8/15/13................ 155,249
125,000 Psychiatric Solutions, Inc.:
10.63% due 6/15/13 *............. 133,750
----------
790,124
----------
HEAVY DUTY TRUCKS/PARTS - 0.56%
225,000 Dana Corp.:
9.00% due 8/15/11............... 236,250
----------
HOME BUILDERS - 0.10%
150,000 Oakwood Homes Corp.:
7.88% due 3/1/04/ (1)/.......... 42,000
----------
HOSPITAL MANAGEMENT - 1.30%
HCA, Inc.:
225,000 6.95% due 5/1/12................ 227,446
IASIS Healthcare Corp.:
180,000 13.00% due 10/15/09............. 201,150
Tenet Healthcare Corp.:
50,000 7.38% due 2/1/13................ 49,125
75,000 6.50% due 6/1/12................ 69,000
----------
546,721
----------
HOSPITAL SUPPLIES - 0.46%
190,000 Universal Hospital Services, Inc.:
10.25% due 3/1/08............... 193,800
----------
- --------------------------------------------------------------------------------
10
August 31, 2003
HIGH YIELD BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- -----------------------------------------------------
HOUSEHOLD PRODUCTS - 0.27%
$ 75,000 Jacuzzi Brands, Inc.:
9.63% due 7/1/10 *............. $ 78,000
50,000 Royster-Clark, Inc.:
10.25% due 4/1/09.............. 36,000
----------
114,000
----------
INFORMATION PROCESSING -
HARDWARE - 0.13%
50,000 Seagate Technology:
8.00% due 5/15/09.............. 53,875
----------
INSURANCE - 1.07%
300,000 Crum & Forster Holdings Corp.:
10.38% due 6/15/13 *........... 313,500
150,000 Fairfax Financial Holdings, Ltd.:
8.25% due 10/1/15.............. 137,812
----------
451,312
----------
LEISURE AND TOURISM - 6.32%
AMC Entertainment, Inc.:
125,000 9.88% due 2/1/12............... 134,688
125,000 9.50% due 2/1/11............... 131,250
150,000 Courtyard by Marriott II:
10.75% due 2/1/08.............. 147,375
100,000 Hard Rock Hotel, Inc.:
8.88% due 6/1/13 *............. 103,000
260,000 Hollywood Casino Corp.:
13.00% due 8/1/06 /(1)/........ 171,600
75,000 John Q Hammons Hotels, Inc.:
8.88% due 5/15/12.............. 78,375
175,000 Mandalay Resort Group:
10.25% due 8/1/07.............. 195,562
250,000 MGM Mirage, Inc.:
8.50% due 9/15/10.............. 280,625
100,000 Park Place Entertainment Corp.:
9.38% due 2/15/07.............. 109,500
5,000 Perkins Family Restaurants, LP:
10.13% due 12/15/07............ 4,750
75,000 Prime Hospitality Corp.:
8.38% due 5/1/12............... 72,375
200,000 Riviera Holdings Corp.:
11.00% due 6/15/10............. 195,000
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
LEISURE AND TOURISM - Continued
$ 50,000 Six Flags, Inc.:
8.88% due 2/1/10................. $ 46,000
175,000 Steinway Musical Instruments, Inc.:
8.75% due 4/15/11................ 176,750
150,000 Tricon Global Restaurants, Inc.:
8.88% due 4/15/11 /(5)/.......... 169,125
75,000 Vail Resorts, Inc.:
8.75% due 5/15/09................ 76,875
222,000 Waterford Gaming, LLC:
8.63% due 9/15/12 *.............. 229,770
100,000 Worldspan, LP:
9.63% due 6/15/11 *.............. 103,500
200,000 Wynn Las Vegas, LLC:
12.00% due 11/1/10............... 227,000
----------
2,653,120
----------
MACHINERY - 0.85%
75,000 Briggs & Stratton Corp.:
8.88% due 3/15/11................ 82,875
100,000 Dresser, Inc.:
9.38% due 4/15/11................ 102,000
230,000 National Equipment Services, Inc.:
10.00% due 11/30/04 /(1)/........ 43,700
80,000 Park-Ohio Industries, Inc.:
9.25% due 12/1/07................ 73,600
Terex Corp.:
25,000 10.38% due 4/1/11................ 27,687
25,000 9.25% due 7/15/11................ 26,688
----------
356,550
----------
METALS - 0.43%
125,000 Freeport McMoRan Resources:
7.00% due 2/15/08................ 88,750
15,305 National Steel Corp.:
9.88% due 3/1/09 /(1)/........... 1,110
210,000 Renco Metals, Inc.:
11.50% due 7/1/03/ (2)(6)/....... 0
15,000 Russel Metals, Inc.:
10.00% due 6/1/09................ 15,900
75,000 Ryerson Tull, Inc.:
9.13% due 7/15/06................ 72,750
----------
178,510
----------
PAR MARKET
VALUE VALUE
- ------------------------------------------------
MISCELLANEOUS - 0.89%
Doane Pet Care Co.:
$100,000 10.75% due 3/1/10......... $ 107,000
50,000 9.75% due 5/15/07......... 46,500
175,000 Service Corp. International:
7.70% due 4/15/09......... 175,438
40,000 Stewart Enterprises, Inc.:
10.75% due 7/1/08......... 44,800
----------
373,738
----------
MULTIMEDIA - 1.08%
75,000 Haights Cross Operating Co.:
11.75% due 8/15/11 *...... 75,000
Shaw Communications, Inc.:
250,000 8.25% due 4/11/10......... 262,500
75,000 7.25% due 4/6/11.......... 74,625
40,000 7.20% due 12/15/11........ 39,800
----------
451,925
----------
OIL AND GAS - 5.81%
Chesapeake Energy Corp.:
25,000 9.00% due 8/15/12......... 27,000
75,000 7.75% due 1/15/15......... 76,125
25,000 7.50% due 9/15/13 *....... 25,313
275,000 Citgo Petroleum Corp.:
11.38% due 2/1/11 *....... 306,625
175,000 Colorado Interstate Gas Co.:
6.85% due 6/15/37......... 175,000
100,000 Dynegy Holdings, Inc.:
8.75% due 2/15/12......... 85,000
150,000 Encore Acquisition Co.:
8.38% due 6/15/12......... 156,000
Forest Oil Corp.:
50,000 8.00% due 12/15/11........ 50,500
75,000 7.75% due 5/1/14.......... 73,687
Frontier Oil Corp.:
135,000 11.75% due 11/15/09....... 148,500
25,000 9.13% due 2/15/06......... 25,250
25,000 Grant Prideco, Inc.:
9.00% due 12/15/09........ 26,312
125,000 Hilcorp Energy, LP:
10.50% due 9/1/10 *....... 128,281
125,000 KCS Energy, Inc.:
8.88% due 1/15/06......... 118,750
- --------------------------------------------------------------------------------
11
HIGH YIELD BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------
OIL AND GAS - Continued
$154,757 Oslo Seismic Services, Inc.:
8.28% due 6/1/11.................... $ 120,904
100,000 Tesoro Petroleum Corp.:
8.00% due 4/15/08................... 103,750
75,000 Universal Compression, Inc.:
7.25% due 5/15/10 *................. 75,750
Westport Resources Corp.:
100,000 8.25% due 11/1/11................... 107,000
100,000 8.25% due 11/1/11 *................. 107,000
525,000 Williams Cos., Inc.:
7.13% due 9/1/11.................... 504,000
----------
2,440,747
----------
PAPER/FOREST PRODUCTS - 1.58%
100,000 Constar International, Inc.:
11.00% due 12/1/12.................. 90,250
350,000 Georgia-Pacific Corp.:
7.38% due 7/15/08 *................. 348,250
75,000 Graphic Packaging International, Inc.:
8.50% due 8/15/11 *................. 78,375
50,000 Kappa Beheer BV:
10.63% due 7/15/09.................. 53,000
125,000 Speciality Paperboard, Inc.:
9.38% due 10/15/06.................. 91,875
----------
661,750
----------
POLLUTION CONTROL - 0.94%
Allied Waste Industries, Inc.:
25,000 8.88% due 4/1/08.................... 26,813
50,000 8.50% due 12/1/08................... 53,125
100,000 7.88% due 1/1/09.................... 102,375
Allied Waste North America, Inc.:
125,000 9.25% due 9/1/12.................... 135,000
75,000 7.88% due 4/15/13................... 76,500
----------
393,813
----------
PUBLISHING - 0.27%
100,000 Dex Media West, LLC:
9.88% due 8/15/13 *................. 111,500
----------
REAL ESTATE - 0.18%
75,000 LNR Property Corp.:
7.63% due 7/15/13 *.................. 75,750
----------
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 1.19%
$200,000 National Health Investors, Inc.:
7.30% due 7/16/07.................. $192,250
50,000 RFS Partnership, LP:
9.75% due 3/1/12................... 50,750
Senior Housing Properties Trust:
175,000 8.63% due 1/15/12.................. 182,000
75,000 7.88% due 4/15/15.................. 74,250
--------
499,250
--------
RETAIL - 2.22%
61,000 Big 5 Corp.:
10.88% due 11/15/07................ 64,050
125,000 JC Penney, Inc.:
7.38% due 8/15/08.................. 127,812
50,000 MTS, Inc.:
9.38% due 5/1/05/ (1)/............. 9,625
175,000 Rent-Way, Inc.:
11.88% due 6/15/10 *............... 180,250
200,000 Rent-A-Center, Inc.:
7.50% due 5/1/10................... 201,000
Rite Aid Corp.:
50,000 9.50% due 2/15/11 *................ 53,500
100,000 8.13% due 5/1/10 *................. 103,000
100,000 7.70% due 2/15/27.................. 80,500
100,000 Saks, Inc.:
9.88% due 10/1/11.................. 112,750
--------
932,487
--------
SCHOOLS - 0.18%
75,000 KinderCare Learning Centers, Inc.:
9.50% due 2/15/09.................. 75,375
--------
SEMICONDUCTORS - 0.64%
Amkor Technology, Inc.:
100,000 9.25% due 2/15/08.................. 107,250
50,000 7.75% due 5/15/13 *................ 48,625
25,000 ChipPAC, Inc.:
12.75% due 8/1/09.................. 27,688
75,000 ON Semiconductor Corp.:
12.00% due 3/15/10................. 83,250
--------
266,813
--------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
TELECOMMUNICATIONS - 14.74%
Airgate PCS, Inc.:
$525,000 13.50% due 10/1/09/ (3)/............. $315,000
300,000 4.96% due 9/30/08.................... 279,000
175,000 Alamosa Delaware, Inc.:
13.63% due 8/15/11................... 164,500
650,000 Alamosa Holdings, Inc.:
12.88% due 2/15/10/ (3)/............. 477,750
Alaska Communications Systems Holdings,
Inc.:
50,000 9.88% due 8/15/11 *.................. 50,250
100,000 9.38% due 5/15/09.................... 92,000
75,000 Centennial Cellular Communications Co.:
10.13% due 6/15/13 *................. 77,625
100,000 Centennial Cellular Operating Co.:
10.75% due 12/15/08.................. 95,500
75,000 Cincinnati Bell, Inc.:
7.25% due 7/15/13 *.................. 73,500
Fairpoint Communications, Inc.:
175,000 12.50% due 5/1/10.................... 185,500
350,000 9.50% due 5/1/08..................... 332,500
50,000 GCI, Inc.:
9.75% due 8/1/07..................... 50,375
475,000 Horizon PCS, Inc.:
13.75% due 6/15/11/ (1)/............. 78,375
200,000 iPCS, Inc.:
14.00% due 7/15/10/ (1)(3)/.......... 12,000
400,000 LCI International, Inc.:
7.25% due 6/15/07.................... 308,000
Nextel Communications, Inc.:
250,000 9.95% due 2/15/08 /(3)/.............. 261,875
250,000 9.38% due 11/15/09................... 270,000
275,000 7.38% due 8/1/15..................... 275,687
125,000 Nortel Networks, Ltd.:
6.13% due 2/15/06.................... 121,875
PanAmSat Corp.:
100,000 8.50% due 2/1/12..................... 103,250
100,000 6.38% due 1/15/08.................... 102,500
Qwest Capital Funding, Inc.:
500,000 7.90% due 8/15/10.................... 432,500
50,000 7.75% due 2/15/31.................... 40,000
275,000 7.63% due 8/3/21..................... 220,000
150,000 7.25% due 2/15/11.................... 126,750
50,000 7.00% due 8/3/09..................... 42,750
- --------------------------------------------------------------------------------
12
August 31, 2003
HIGH YIELD BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
TELECOMMUNICATIONS - Continued
Qwest Corp.:
$100,000 8.88% due 3/15/12 *................... $ 107,000
Rogers Wireless, Inc.:
50,000 9.63% due 5/1/11...................... 55,063
Rural Cellular Corp.:
100,000 9.75% due 1/15/10..................... 90,000
25,000 9.63% due 5/15/08..................... 22,250
300,000 TELUS Corp.:
8.00% due 6/1/11...................... 332,684
600,000 United States West Communications, Inc.:
6.88% due 9/15/33..................... 498,000
575,000 US Unwired, Inc., Series B:
13.38% due 11/1/09 /(3)/.............. 319,125
175,000 Western Wireless Corp.:
9.25% due 7/15/13 *................... 175,000
----------
6,188,184
----------
TEXTILE - PRODUCTS - 0.12%
50,000 Collins & Aikman Floor Cover:
9.75% due 2/15/10..................... 51,250
----------
UTILITIES - ELECTRIC - 9.52%
510,000 AES Corp.:
8.75% due 5/15/13 *................... 518,925
475,000 AES Drax Energy, Ltd.:
11.50% due 8/30/10/ (1)/.............. 3,562
50,000 BRL Universal Equipment:
8.88% due 2/15/08..................... 53,000
1,275,000 Calpine Canada Energy Finance, ULC:
8.50% due 5/1/08...................... 969,000
Calpine Corp.:
50,000 8.75% due 7/15/07..................... 39,000
50,000 4.00% due 12/26/06.................... 45,250
Edison Mission Energy:
425,000 10.00% due 8/15/08.................... 352,750
225,000 9.88% due 4/15/11..................... 184,500
50,000 7.73% due 6/15/09..................... 38,750
Mirant Americas Generation, LLC:
300,000 8.50% due 10/1/21 /(1)/............... 219,000
75,000 7.63% due 5/1/06 /(1)/................ 55,125
225,000 7.20% due 10/1/08 /(1)/............... 165,375
400,000 Mirant Corp.:
8.30% due 5/1/11 /(1)/................ 292,000
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
UTILITIES - ELECTRIC - Continued
Mirant Mid-Atlantic, LLC:
$89,453 9.13% due 6/30/17 /(1)/............ $ 86,821
100,252 8.63% due 6/30/12 /(1)/............ 96,954
150,000 Mission Energy Holding Co.:
13.50% due 7/15/08................. 84,000
125,000 Pacific Gas & Electric Co.:
10.00% due 11/1/05 *............... 127,500
100,000 PG&E Corp.:
6.88% due 7/15/08 *................ 101,500
Reliant Resources, Inc.:
250,000 9.50% due 7/15/13 *................ 230,000
225,000 9.25% due 7/15/10 *................ 209,250
155,000 Tiverton/Rumford Power Assoc., Ltd.:
9.00% due 7/15/18 *................ 127,100
-----------
3,999,362
-----------
UTILITIES - GAS, PIPELINE - 3.87%
425,000 Dynegy-Roseton Danskammer:
7.27% due 11/8/10.................. 365,500
250,000 El Paso Production Holding Co.:
7.75% due 6/1/13 *................. 242,500
175,000 Leviathan Gas Pipeline:
10.38% due 6/1/09 /(5)/............ 196,437
100,000 Southern Natural Gas Co.:
8.88% due 3/15/10.................. 105,500
350,000 Transcontinental Gas Pipe Line Corp.:
8.88% due 7/15/12.................. 377,125
325,000 Williams Cos., Inc.:
8.63% due 6/1/10................... 338,000
-----------
1,625,062
-----------
WATER SERVICES - 0.18%
75,000 Companhia De Saneamento Basico,
12.00% due 6/20/08 *............... 75,000
-----------
TOTAL CORPORATE BONDS
(Cost $38,537,311)................... $38,892,259
-----------
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
COMMON STOCK - 0.25%
TELECOMMUNICATIONS - 0.25%
$11,585 Dobson Communications.,
Class A + /(2)/ (Cost $79,357).......... $ 106,582
----------
PREFERRED STOCK - 1.69%
BROADCASTING - 0.83%
2,975 Cablevision Systems Corp.:
11.13%................................. 310,887
50 Granite Broadcasting Corp.:
12.75%................................. 37,500
----------
348,387
----------
RETAIL - 0.06%
3 Rent-Way, Inc. /(2)/..................... 25,000
----------
TELECOMMUNICATIONS - 0.80%
180 Dobson Communications Corp.:
6.00%*.................................. 37,080
Rural Cellular Corp.:
128 12.25% /(4)/........................... 66,240
325 11.38% /(4)/........................... 233,188
----------
336,508
----------
TOTAL PREFERRED STOCK
(Cost $533,528).......................... 709,895
----------
WARRANTS - 0.00%
TELECOMMUNICATIONS - 0.00%
200 GT Group Telecom, Inc. * + /(2)/
(Cost $0)................................ 2
----------
PAR
VALUE
-----
REPURCHASE AGREEMENT - 7.70%
$3,233,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.92%, dated
8/29/03, to be repurchased 9/2/03 in the
amount of $3,233,330 and collateralized
by Federal National Mtg. Assn. Notes,
bearing interest at 2.38%, due 10/1/04
and having an approximate value of
$3,334,874
(Cost $3,233,000)....................... 3,233,000
----------
- --------------------------------------------------------------------------------
13
HIGH YIELD BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $42,383,196) - 102.27%........................ $42,941,738
-----------
SHORT BOND POSITION - (0.79%)
AUTOMOTIVE - (0.53%)
$(250,000) Goodyear Tire & Rubber Co.:
8.50% due 3/15/07................................. (220,625)
-----------
LEISURE AND TOURISM - (0.26%)
(100,000) Regal Cinemas, Inc.:
9.38% due 2/1/12.................................. (111,000)
-----------
TOTAL SHORT BOND POSITION
(Proceeds $(317,250))............................... (331,625)
-----------
Liabilities in excess of other assets,
net - (1.48)%...................................... (624,099)
-----------
NET ASSETS - 100%................................... $41,986,014
-----------
+Non-income producing
*Securities exempt from registration
under Rule 144A of the Securities Act of
1933. These securities may be sold in
transactions exempt from registration,
normally to qualified institutional
buyers. At August 31, 2003, the
aggregate value of these securities was
$9,409,456 representing 22.41% of net
assets.
/(1)/Bond in default
/(2)/Fair valued security - see Note 2.
/(3)/The interest rate shown represents the
step-up coupon rate at which the bond
accrues or will accrue at a specified
future date.
/(4)/PIK ("Payment-in-kind") payment made
with additional securities in lieu of cash
/(5)/The security or a portion thereof
represents collateral for securities sold
short
/(6)/Bond is in default and did not pay
principal at maturity.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
14
August 31, 2003
INTERNATIONAL GROWTH II FUND - SCHEDULE OF INVESTMENTS
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
COMMON STOCK - 93.42%
ADVERTISING - 0.93%
42,933 WPP Group, PLC........................ $ 390,445
----------
AIRLINES - 0.22%
43,600 Qantas Airways, Ltd................... 91,730
----------
AUTOMOTIVE - 5.03%
12,110 Bayerische Motoren Werke AG........... 479,140
8,400 Honda Motor Co., Ltd.................. 341,946
3,000 Nissan Motor Co., Ltd................. 32,215
3,901 PSA Peugoet Citroen................... 178,276
1,240 Renault SA +.......................... 74,839
7,400 TI Automotive, Ltd./ (1)/............. 0
36,900 Toyota Motor Corp..................... 1,018,280
----------
2,124,696
----------
BANKS - 14.79%
6,494 ABN AMRO Holding NV................... 113,870
6,099 Allied Irish Banks, PLC (Dublin)...... 85,220
18,336 Allied Irish Banks, PLC (London)...... 256,003
2,419 Australia & New Zealand Banking Group,
Ltd.................................. 27,520
1,100 Banco Bradesco SA..................... 23,617
1,300 Banco Itau SA......................... 49,231
248 Banco Popular Espanol SA.............. 11,178
2,120 Bank of Ireland....................... 25,217
500 Bank of Nova Scotia................... 22,218
4,260 Barclays, PLC......................... 30,913
12,299 BNP Paribas SA +...................... 613,579
8,600 Canadian Imperial Bank of Commerce.... 352,408
21,592 Danske Bank A/S....................... 396,427
16,000 DBS Group Holdings, Ltd............... 114,983
82,294 HSBC Holdings, PLC (GBP).............. 1,055,427
17,400 HSBC Holdings, PLC (HKD).............. 226,445
386 Julius Baer Holding, Ltd.............. 109,210
1,209 National Australia Bank, Ltd.......... 24,408
2,477 National Bank of Canada............... 62,690
23,000 Oversea-Chinese Banking Corp., Ltd.... 144,299
23,633 Royal Bank of Scotland Group, PLC..... 586,804
6,063 Societe Generale, Class A............. 402,588
9,504 Standard Chartered, PLC............... 126,837
17,559 UBS AG................................ 947,796
800 Uniao de Bancos Brasileiros SA GDR.... 15,400
31,000 United Overseas Bank, Ltd............. 224,548
19,145 Westpac Banking Corp.................. 194,558
----------
6,243,394
----------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
BEVERAGES - 3.02%
7,167 Companhia De Bebidas Das Americas
ADR.................................... $ 159,036
72,216 Diageo, PLC............................. 772,383
2,836 Fomento Economico Mexicano
SA de CV ADR........................... 104,932
3,758 Foster's Group, Ltd..................... 11,079
9,147 Interbrew............................... 226,053
----------
1,273,483
----------
BROADCASTING - 1.23%
31,250 Mediaset SpA............................ 274,838
8,003 Societe Television Francaise............ 243,443
----------
518,281
----------
BUILDING MATERIALS - 1.46%
11,388 Bouygues SA............................. 300,215
4,208 CRH, PLC................................ 78,828
11,498 CRH, PLC (Dublin)....................... 219,310
256 Vinci SA................................ 16,633
----------
614,986
----------
CHEMICAL - 2.03%
12,049 BASF AG................................. 555,540
4,036 CIBA Specialty Chemicals Holding, Inc. + 277,833
84 L'Air Liquide SA........................ 12,079
300 Shin Etsu Chemical Co................... 11,775
----------
857,227
----------
COMMERCIAL SERVICES - 0.74%
8,500 Secom Co., Ltd.......................... 291,383
1,749 Securitas AB............................ 21,436
----------
312,819
----------
CONGLOMERATES - 1.26%
8,517 LVMH Moet Hennessy Louis Vuitton SA..... 512,633
300 Siemens AG.............................. 18,601
----------
531,234
----------
DRUGS - 7.12%
25,861 AstraZeneca, PLC........................ 991,337
11,635 GlaxoSmithKline, PLC.................... 221,535
32,993 Novartis AG............................. 1,213,975
307 Roche Holdings AG-Genusschein........... 23,524
3,600 Schering AG............................. 145,009
3,200 Takeda Chemical Industries, Ltd......... 115,730
11,200 Yamanouchi Pharmaceutical Co., Ltd...... 293,714
----------
3,004,824
----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 8.04%
25,000 Canon, Inc............................ $1,201,954
13,623 Elec De Portugal SA................... 29,653
200 Funai Electric Co., Ltd............... 24,253
15,732 Philips Electronics NV................ 383,949
12,000 Ricoh Co., Ltd........................ 221,108
6,185 Samsung Electronics Co., Ltd. GDR *... 1,147,318
1,866 Samsung Electronics Co., Ltd., Reg S
GDR +*............................... 346,143
339 Schneider Electric SA................. 18,328
200 SMC Corp.............................. 22,248
----------
3,394,954
----------
FINANCE COMPANIES - 0.10%
2,500 Credit Saison Co., Ltd................ 43,279
----------
FINANCIAL SERVICES - 3.50%
12,470 3I Group, PLC......................... 123,733
2,670 Acom Co., Ltd......................... 110,750
9,008 Credit Suisse Group................... 281,570
18,001 Grupo Financiero BBVA Bancomer
SA de C.V. +......................... 14,601
30,931 ING Groep NV.......................... 603,911
2,000 ORIX Corp............................. 132,836
1,000 Sun Life Financial Services of Canada,
Inc.................................. 21,951
40,275 UniCredito Italiano SpA............... 187,289
----------
1,476,641
----------
FOODS - 2.91%
5,538 Nestle SA............................. 1,206,795
373 Unilever NV........................... 20,790
----------
1,227,585
----------
FREIGHT - 0.62%
10,662 Deutsche Post AG...................... 171,131
2,000 Mitsui & Co., Ltd..................... 12,769
4,150 TPG NV................................ 77,559
----------
261,459
----------
HOUSEHOLD PRODUCTS - 1.53%
18,000 KAO Corp.............................. 339,375
16,343 Reckitt Benckiser, PLC................ 306,795
----------
646,170
----------
- --------------------------------------------------------------------------------
15
INTERNATIONAL GROWTH II FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - 0.04%
1 Yahoo Japan Corp. +.............. $ 18,083
----------
INSURANCE - 2.32%
2,203 ACE, Ltd......................... 70,937
40 Millea Holdings, Inc............. 414,792
6,233 Swiss Reinsurance +.............. 382,980
1,451 XL Capital, Ltd., Class A........ 109,913
----------
978,622
----------
LEISURE AND TOURISM - 1.05%
3,635 Accor SA......................... 141,823
300 Four Seasons Hotels, Inc......... 14,475
36,142 Ladbroke Group, PLC +............ 110,892
2,100 Nintendo Co., Ltd................ 174,753
----------
441,943
----------
MEDICAL TECHNOLOGY - 0.29%
151 Synthes-Stratec, Inc............. 122,880
----------
METALS - 3.34%
400 Alcan, Inc....................... 14,548
673 Anglo American, PLC.............. 12,554
14,844 BHP Billiton, Ltd................ 105,354
74,081 BHP Billiton, PLC................ 485,565
4,476 Companhia Vale do Rio Doce ADR... 167,626
2,765 Companhia Vale do Rio Doce SP ADR 94,369
900 Hennes & Mauritz AB, Class B..... 18,941
3,820 POSCO ADR........................ 114,600
6,991 Rio Tinto, Ltd................... 155,754
10,980 Rio Tinto, PLC................... 240,935
----------
1,410,246
----------
MISCELLANEOUS - 0.89%
1,000 Fuji Photo Film Co., Ltd......... 29,995
15,000 Olympus Optical Co., Ltd......... 344,518
----------
374,513
----------
MULTIMEDIA - 1.47%
30,598 Carlton Communications, PLC...... 84,228
15,647 News Corp., Ltd. ADR............. 537,475
----------
621,703
----------
OIL AND GAS - 8.49%
6,590 BG Group, PLC.................... 28,354
300 Canadian Natural Resources, Ltd.. 11,639
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
OIL AND GAS - Continued
3,448 EnCana Corp....................... $ 129,316
25,250 ENI SPA +......................... 381,958
102,000 PetroChina Co., Ltd............... 35,638
9,088 Petroleo Brasileiro SA ADR........ 200,845
2,783 Scottish & Southern Energy, PLC... 27,658
36,727 Shell Transport & Trading Co., PLC 229,720
2,780 Statoil ASA....................... 25,009
3,574 Suncor Energy, Inc................ 67,098
102,000 Tokyo Gas Co., Ltd................ 310,323
12,165 TotalFinaElf SA, Class B.......... 1,868,292
700 VEBA AG........................... 36,246
4,050 YUKOS ADR......................... 231,862
----------
3,583,958
----------
PAPER/FOREST PRODUCTS - 0.30%
2,647 Abitibi-Cons., Inc. (CAD) +....... 20,031
16,025 Amcor, Ltd........................ 93,964
856 Sappi, Ltd........................ 10,867
----------
124,862
----------
PUBLISHING - 1.09%
3,923 Reed Elsevier NV.................. 43,300
36,217 Reed Elsevier, PLC................ 277,092
11,000 Singapore Press Holdings, Ltd..... 117,322
2,600 Toppan Printing Co................ 21,034
----------
458,748
----------
RAILROADS & EQUIPMENT - 0.94%
5,305 Canadian National Railway Co.(CAD) 284,154
27 East Japan Railway Co............. 114,076
----------
398,230
----------
RETAIL - 2.80%
1,000 7-Eleven, Inc. (JPY).............. 27,338
28,264 Great Universal Stores, PLC....... 304,972
4,900 Jusco Co., Ltd. +................. 121,151
381 Metro AG.......................... 13,797
1,951 Pinault-Printemps-Redoute SA...... 167,833
2,743 Swatch Group AG +................. 53,698
1,521 Swatch Group AG, Class B +........ 147,791
88,720 Tesco, PLC........................ 302,305
6,409 Walmart De Mexico SA de CV........ 17,509
1,779 Woolworths, Ltd................... 13,585
400 Yamada Denki Co................... 10,833
----------
1,180,812
----------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
SECURITIES RELATED - 0.33%
13,480 Investor AB, Class B................... $ 110,413
2,000 Nomura Holdings, Inc................... 29,104
----------
139,517
----------
SEMICONDUCTORS - 0.27%
200 Rohm Co., Ltd.......................... 26,122
7,500 Taiwan Semiconductor Manufacturing Co.,
Ltd. ADR +............................ 88,350
----------
114,472
----------
TELECOMMUNICATIONS - 9.77%
2,500 China Mobile, Ltd...................... 6,427
304,000 China Telecom Corp., Ltd............... 83,803
23,712 KT Corp. ADR........................... 446,971
4,067 Nokia Oyj.............................. 66,708
521 NTT DoCoMo, Inc........................ 1,339,504
4,712 Portugal Telecom, SGPS SA.............. 34,085
17,037 SK Telecom Co., Ltd. ADR............... 324,725
42,772 Telecom Corp. of New Zealand, Ltd...... 124,923
198,742 Telefonaktiebolaget LM Ericsson,
Class B +............................. 304,185
16,800 Telenor ASA............................ 71,649
723,677 Vodafone Group, PLC.................... 1,321,403
----------
4,124,383
----------
TOBACCO - 1.29%
8,082 Altadis SA............................. 191,027
33,454 British American Tobacco, PLC.......... 337,224
3 Japan Tobacco, Inc..................... 17,534
----------
545,785
----------
UTILITIES - COMMUNICATION - 1.46%
16,900 Deutsche Telekom AG +.................. 241,527
2,298 Telefonica SA.......................... 27,082
11,452 Telefonos de Mexico SA de CV ADR....... 347,110
----------
615,719
----------
UTILITIES - ELECTRIC - 1.93%
3,500 CLP Holdings, Ltd...................... 15,437
42 Electrabel............................. 10,546
33,500 Hong Kong Electric Holdings, Ltd....... 132,295
21,783 Iberdrola SA........................... 370,702
1,400 Kansai Electric Power Co., Inc......... 22,089
24,000 Korea Electric Power Corp. ADR......... 221,520
3,348 Scottish Power, PLC.................... 19,132
1,100 Tokyo Electric Power Co., Inc.......... 21,399
----------
813,120
----------
- --------------------------------------------------------------------------------
16
INTERNATIONAL GROWTH II FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
WATER SERVICES - 0.82%
17,802 Vivendi Environnement..................... $ 347,379
-----------
TOTAL COMMON STOCK
(Cost $36,939,731)........................ 39,428,182
-----------
PREFERRED STOCK - 0.03%
AUTOMOTIVE - 0.03%
29 Porsche AG 0.64%
(Cost $10,333)............................ 12,370
-----------
EXCHANGE-TRADED FUNDS - 4.76%
17,700 iShares MSCI EAFE Index Fund
(Cost $1,971,104)......................... 2,010,189
-----------
PAR
VALUE
- ----------
REPURCHASE AGREEMENT - 1.58%
$668,000 Agreement with Bank of America Securities,
bearing interest at 1.03%, dated
8/29/03, to be repurchased 9/2/03 in the
amount of $668,076 and collateralized
by Federal Home Loan Mtg. Corp.
Notes, bearing interest at 1.75%, due
5/15/05 and having an approximate
value of $682,433
(Cost $668,000).......................... 668,000
-----------
TOTAL INVESTMENTS
(Cost $39,589,168) - 99.79%............... 42,118,741
Other assets less liabilities,
net - 0.21%.............................. 87,566
-----------
NET ASSETS - 100%......................... $42,206,307
-----------
ADR- American Depository Receipt
+Non-income producing
*Securities exempt from registration
under Rule 144A of the Securities Act of
1933. These securities may be sold in
transactions exempt from registration,
normally to qualified institutional
buyers. At August 31, 2003, the
aggregate value of these securities was
$1,493,461 representing 3.54% of net
assets.
/(1)/Fair valued security - see Note 2.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
17
LARGE CAP VALUE FUND - SCHEDULE OF INVESTMENTS
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
COMMON STOCK - 97.60%
AEROSPACE/DEFENSE - 0.92%
8,100 Lockheed Martin Corp................... $ 414,963
-----------
AUTOMOTIVE - 2.71%
3,100 AutoZone, Inc. +....................... 284,580
5,500 Carlisle Cos., Inc..................... 250,195
19,700 Delphi Automotive Systems Corp......... 178,482
5,200 General Motors Corp.................... 213,720
5,200 Lear Corp. +........................... 288,860
-----------
1,215,837
-----------
BANKS - 11.46%
20,800 Bank of America Corp................... 1,648,400
5,000 Bank One Corp.......................... 197,350
13,600 First Tennessee National Corp.......... 562,360
24,000 National City Corp..................... 760,320
33,500 U.S. Bancorp........................... 800,650
15,100 Wachovia Corp.......................... 636,465
10,700 Wells Fargo & Co....................... 536,498
-----------
5,142,043
-----------
BUILDING MATERIALS - 0.76%
11,400 Sherwin-Williams Co.................... 342,912
-----------
CHEMICAL - 1.00%
17,400 Monsanto Co............................ 447,354
-----------
COMMERCIAL SERVICES - 1.00%
5,600 Rent-A-Center, Inc. +.................. 449,064
-----------
DRUGS - 0.84%
7,500 Merck & Co., Inc....................... 377,400
-----------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.98%
19,600 American Power Conversion Corp......... 351,232
16,100 Arrow Electronics, Inc. +.............. 332,304
5,200 Fisher Scientific International, Inc. + 203,944
-----------
887,480
-----------
FINANCE COMPANIES - 0.87%
16,800 MBNA Corp.............................. 392,112
-----------
FINANCIAL SERVICES - 12.05%
6,400 Capital One Financial Corp............. 341,760
51,000 Citigroup, Inc......................... 2,210,850
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
FINANCIAL SERVICES - Continued
4,900 Freddie Mac............................ $ 260,435
31,300 JP Morgan Chase & Co................... 1,071,086
4,600 Lehman Brothers Holdings, Inc.......... 302,358
15,800 Merrill Lynch & Co., Inc............... 849,724
15,200 New Century Financial Corp............. 370,424
-----------
5,406,637
-----------
HEALTHCARE - 0.05%
904 Medco Health Solutions, Inc. +......... 24,137
-----------
HEAVY DUTY TRUCKS/PARTS - 0.62%
18,000 Dana Corp.............................. 277,560
-----------
HOME BUILDERS - 0.82%
6,400 KB Home................................ 366,208
-----------
HOSPITAL SUPPLIES - 0.46%
4,200 Johnson & Johnson...................... 208,236
-----------
HOUSEHOLD PRODUCTS - 1.67%
15,000 Dial Corp.............................. 304,050
5,100 Procter & Gamble Co.................... 445,179
-----------
749,229
-----------
INFORMATIONPROCESSING -
HARDWARE - 2.64%
19,176 Hewlett-Packard Co..................... 381,986
5,500 International Business Machines Corp... 451,055
13,800 Storage Technology Corp. +............. 353,418
-----------
1,186,459
-----------
INFORMATION PROCESSING -
SERVICES - 1.73%
24,300 EMC Corp. +............................ 309,825
9,700 Macromedia, Inc. +..................... 231,248
15,800 VeriSign, Inc. +....................... 236,526
-----------
777,599
-----------
INFORMATION PROCESSING -
SOFTWARE - 2.42%
24,800 Citrix Systems, Inc. +................. 510,632
22,400 Computer Associates International, Inc. 574,112
-----------
1,084,744
-----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
INSURANCE - 10.28%
12,200 AFLAC, Inc........................... $ 390,522
18,300 Allstate Corp........................ 654,225
10,275 Fidelity National Financial, Inc..... 296,947
8,400 GreenPoint Financial Corp............ 284,592
4,900 Health Net, Inc. +................... 155,967
9,600 John Hancock Financial Services, Inc. 293,088
12,700 Old Republic International Corp...... 426,593
10,600 PacifiCare Health Systems, Inc.,
Class A +........................... 527,880
19,300 Prudential Financial, Inc............ 702,713
15,750 W.R. Berkley Corp.................... 521,010
4,600 Wellpoint Health Networks, Inc.,
Class A +........................... 358,800
-----------
4,612,337
-----------
LEISURE AND TOURISM - 1.20%
15,200 Hasbro, Inc.......................... 281,200
13,300 Mattel, Inc.......................... 256,956
-----------
538,156
-----------
MACHINERY - 1.66%
7,400 Deere & Co........................... 418,174
9,300 Precision Castparts Corp............. 329,220
-----------
747,394
-----------
MULTIMEDIA - 3.32%
40,800 AOL Time Warner, Inc. +.............. 667,488
5,700 McGraw-Hill Cos., Inc................ 347,700
5,300 Viacom, Inc., Class B................ 238,500
11,600 Walt Disney Co....................... 237,800
-----------
1,491,488
-----------
OIL AND GAS - 12.31%
8,400 Amerada Hess Corp.................... 396,060
9,600 ChevronTexaco Corp................... 699,552
3,700 ConocoPhillips....................... 206,608
7,900 Devon Energy Corp.................... 408,825
59,040 Exxon Mobil Corp..................... 2,225,808
6,400 Kerr-McGee Corp...................... 281,280
15,100 Marathon Oil Corp.................... 421,139
13,700 Occidental Petroleum Corp............ 470,321
10,200 Sunoco, Inc.......................... 414,426
-----------
5,524,019
-----------
- --------------------------------------------------------------------------------
18
August 31, 2003
LARGE CAP VALUE FUND - SCHEDULE OF INVESTMENTS - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
PAPER/FOREST PRODUCTS - 0.94%
21,100 Pactiv Corp. +.................... $ 423,688
-----------
PUBLISHING - 0.46%
4,500 Tribune Co........................ 208,125
-----------
RAILROADS & EQUIPMENT - 1.16%
18,300 Burlington Northern Santa Fe Corp. 518,805
-----------
RETAIL - 3.68%
10,200 Barnes & Noble, Inc. +............ 267,240
12,400 Federated Department Stores, Inc.. 541,880
13,600 SUPERVALU, Inc.................... 327,760
8,400 United Stationers, Inc. +......... 341,376
17,100 Winn-Dixie Stores, Inc............ 171,855
-----------
1,650,111
-----------
SAVINGS & LOAN - 3.65%
15,900 Flagstar Bancorp, Inc............. 310,527
5,300 Golden West Financial Corp........ 457,231
22,300 Washington Mutual, Inc............ 869,254
-----------
1,637,012
-----------
TELECOMMUNICATIONS - 5.74%
15,980 AT&T Corp......................... 356,354
34,900 Avaya, Inc. +..................... 364,705
15,400 BellSouth Corp.................... 388,080
19,300 Scientific-Atlanta, Inc........... 656,200
23,000 Verizon Communications, Inc....... 812,360
-----------
2,577,699
-----------
TOBACCO - 1.42%
15,500 Altria Group, Inc................. 638,910
-----------
UTILITIES - COMMUNICATION - 2.15%
23,863 SBC Communications, Inc........... 536,679
29,000 Sprint Corp. (FON Group).......... 428,330
-----------
965,009
-----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
UTILITIES - ELECTRIC - 5.63%
7,400 Dominion Resources, Inc................... $ 448,292
8,300 Entergy Corp.............................. 435,335
8,500 Exelon Corp............................... 500,650
5,400 NiSource, Inc............................. 104,436
10,800 PPL Corp.................................. 428,436
9,800 Public Service Enterprise Group, Inc...... 414,932
6,800 Southern Co............................... 192,984
-----------
2,525,065
-----------
TOTAL COMMON STOCK
(Cost $40,447,403)........................ 43,807,792
-----------
PAR
VALUE
- -----------
SHORT-TERM INVESTMENTS - 2.24%
REGISTERED INVESTMENT
COMPANIES - 2.24%
$1,004,416 American AAdvantage Money Market Fund:
0.83% due 9/1/03
(Cost $1,004,416)......................... 1,004,416
-----------
TOTAL INVESTMENTS
(Cost $41,451,819) - 99.84%............... 44,812,208
Other assets less liabilities, net - 0.16% 70,838
-----------
NET ASSETS - 100%......................... $44,883,046
-----------
+ Non-income producing
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
19
August 31, 2003
MID CAP GROWTH FUND - SCHEDULE OF INVESTMENTS
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
COMMON STOCK - 96.93%
ADVERTISING - 1.89%
13,110 Lamar Advertising Co. +.............. $ 438,005
4,960 Omnicom Group, Inc................... 387,376
----------
825,381
----------
AEROSPACE/DEFENSE - 0.44%
3,730 L-3 Communications Holdings, Inc. +.. 190,566
----------
APPAREL & PRODUCTS - 3.24%
8,200 Chicos FAS, Inc. +................... 266,418
5,500 Nike, Inc., Class B.................. 313,390
7,500 Polo Ralph Lauren Corp............... 219,750
5,330 Ross Stores, Inc..................... 268,525
16,200 TJX Cos., Inc........................ 350,892
----------
1,418,975
----------
AUTOMOTIVE - 0.71%
880 Danaher Corp......................... 67,980
900 Donaldson Co., Inc................... 49,410
3,900 SPX Corp. +.......................... 192,465
----------
309,855
----------
AUTO - REPLACEMENT PARTS - 0.65%
3,800 Advance Auto Parts, Inc. +........... 283,670
----------
BANKS - 1.19%
640 M&T Bank Corp........................ 53,913
8,270 Northern Trust Corp.................. 349,325
4,840 Synovus Financial Corp............... 118,338
----------
521,576
----------
BEVERAGES - 0.20%
3,000 Constellation Brands, Inc., Class A + 86,250
----------
BROADCASTING - 2.97%
16,760 COX Communications, Inc., Class A +.. 548,387
14,230 Cox Radio, Inc., Class A +........... 343,512
1,800 Grupo Televisa SA ADR................ 67,500
9,110 Univision Communications, Inc.,
Class A +........................... 341,534
----------
1,300,933
----------
BUILDING MATERIALS - 0.70%
7,530 Fastenal Co.......................... 304,438
----------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
CHEMICAL - 0.74%
5,070 Praxair, Inc............................ $ 323,567
----------
COMMERCIAL SERVICES - 1.58%
2,800 Ball Corp............................... 147,840
4,700 Cintas Corp............................. 187,671
9,945 Paychex, Inc............................ 358,020
----------
693,531
----------
CONGLOMERATES - 1.08%
3,280 Eaton Corp.............................. 307,139
2,580 ITT Industries, Inc..................... 167,907
----------
475,046
----------
DRUGS - 3.46%
6,610 Barr Laboratories, Inc. +............... 447,299
1,200 Mylan Laboratories, Inc................. 43,680
1,500 Pharmaceutical Resources, Inc. +........ 83,910
5,400 Shire Pharmaceuticals Group PLC ADR +... 125,550
13,880 Teva Pharmaceutical Industries, Ltd. ADR 814,922
----------
1,515,361
----------
ELECTRONICS/ELECTRICAL EQUIPMENT - 2.75%
6,100 Amphenol Corp., Class A +............... 332,633
8,900 Jabil Circuit, Inc. +................... 250,535
10,660 Molex, Inc.............................. 313,617
9,700 PMC-Sierra, Inc. +...................... 138,322
28,200 Solectron Corp. +....................... 167,226
----------
1,202,333
----------
FINANCIAL SERVICES - 4.03%
2,250 Bear Stearns Cos., Inc.................. 157,455
8,800 Franklin Resources, Inc................. 380,072
8,290 Legg Mason, Inc......................... 595,471
2,190 Lehman Brothers Holdings, Inc........... 143,949
3,820 Neuberger Berman, Inc................... 158,377
7,700 T. Rowe Price Group, Inc................ 327,250
----------
1,762,574
----------
FOODS - 1.09%
7,330 Bunge, Ltd.............................. 221,806
7,105 Dean Foods Co. +........................ 206,400
1,700 United Natural Foods, Inc. +............ 50,575
----------
478,781
----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
FREIGHT - 0.15%
2,440 Arkansas Best Corp.................... $ 67,198
----------
HEALTHCARE - 2.50%
5,800 AdvancePCS +.......................... 233,044
4,900 Anthem, Inc. +........................ 358,680
10,500 Caremark Rx, Inc. +................... 263,865
6,010 Health Management Associates, Inc.,
Class A.............................. 133,903
2,100 Mid Atlantic Medical Services, Inc. +. 103,026
----------
1,092,518
----------
HEAVY DUTY TRUCKS/PARTS - 0.41%
4,000 Navistar International Corp. +........ 178,920
----------
HOSPITAL SUPPLIES - 3.26%
11,920 Biomet, Inc........................... 354,382
4,850 Boston Scientific Corp. +............. 291,485
1,200 CR Bard, Inc.......................... 80,400
200 Medtronic, Inc........................ 9,916
1,650 Stryker Corp.......................... 125,070
10,170 Varian Medical Systems, Inc. +........ 567,994
----------
1,429,247
----------
HUMAN RESOURCES - 2.79%
6,000 Hewitt Associates, Inc. +............. 149,700
14,030 Manpower, Inc......................... 545,907
23,580 Robert Half International, Inc. +..... 524,419
----------
1,220,026
----------
INFORMATION PROCESSING - HARDWARE - 1.95%
5,820 Lexmark International, Inc., Class A + 390,173
13,940 Network Appliance, Inc. +............. 312,395
6,512 Seagate Technology.................... 149,841
----------
852,409
----------
INFORMATION PROCESSING - SERVICES - 8.44%
15,860 BISYS Group, Inc. +................... 291,031
13,000 Check Point Software Technologies,
Ltd. +............................... 227,110
5,700 Cognos, Inc. +........................ 174,705
6,200 Computer Sciences Corp. +............. 263,934
11,400 DST Systems, Inc. +................... 451,440
10,910 EMC Corp. +........................... 139,103
3,700 Fair Issac & Co., Inc................. 216,820
- --------------------------------------------------------------------------------
20
MID CAP GROWTH FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - Continued
11,380 Fiserv, Inc. +................. $ 442,113
2,300 SunGard Data Systems, Inc. +... 64,860
5,310 Symantec Corp. +............... 304,953
4,300 Synopsys, Inc. +............... 293,303
26,300 VeriSign, Inc. +............... 393,711
12,900 Yahoo!, Inc. +................. 430,860
-------------
3,693,943
-------------
INFORMATION PROCESSING -
SOFTWARE - 6.02%
8,590 Adobe Systems, Inc............. 333,550
27,470 BEA Systems, Inc. +............ 372,218
7,650 ChoicePoint, Inc. +............ 300,263
7,780 Intuit, Inc. +................. 352,590
2,310 Mercury Interactive Corp. +.... 101,386
600 Pixar, Inc. +.................. 43,698
30,890 Siebel Systems, Inc. +......... 311,371
8,800 Software HOLDRs Trust.......... 295,680
15,280 VERITAS Software Corp. +....... 526,854
-------------
2,637,610
-------------
INSURANCE - 2.26%
4,900 Aetna, Inc..................... 279,300
200 AFLAC, Inc..................... 6,402
5,670 AMBAC Financial Group, Inc..... 368,096
2,700 MGIC Investment Corp........... 152,199
5,130 Safeco Corp.................... 184,988
-------------
990,985
-------------
LEISURE AND TOURISM - 5.78%
13,470 CBRL Group, Inc................ 469,833
1,400 Harley-Davidson, Inc........... 69,748
5,040 Harrah's Entertainment, Inc.... 208,757
28,400 Hilton Hotels Corp............. 433,952
5,800 Mandalay Resort Group.......... 220,400
8,200 Marvel Enterprises, Inc. +..... 179,580
16,070 Mattel, Inc.................... 310,472
6,100 Outback Steakhouse, Inc........ 235,765
100 PF Chang's China Bistro, Inc. + 4,650
11,840 Starbucks Corp. +.............. 336,730
3,660 Wynn Resorts, Ltd. +........... 60,939
-------------
2,530,826
-------------
MACHINERY - 1.11%
3,800 Cummins, Inc................... 189,392
4,100 Illinois Tool Works, Inc....... 296,389
-------------
485,781
-------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
MEDICAL TECHNOLOGY - 2.67%
3,480 Biotech HOLDRs Trust +............ $ 458,803
4,600 Chiron Corp. +.................... 233,772
13,020 Smith & Nephew PLC................ 83,389
7,610 Zimmer Holdings, Inc. +........... 393,741
-------------
1,169,705
-------------
OIL AND GAS - 4.99%
6,435 Apache Corp....................... 443,886
5,810 BJ Services Co. +................. 217,120
2,530 Cooper Cameron Corp. +............ 122,857
8,410 Murphy Oil Corp................... 485,509
2,720 Nabors Industries, Ltd. +......... 109,208
12,020 Smith International, Inc. +....... 469,862
4,500 Talisman Energy, Inc.............. 213,525
3,300 Weatherford International, Ltd. +. 124,014
-------------
2,185,981
-------------
OPTICAL INSTRUMENTS & LENSES - 1.61%
13,490 Alcon, Inc........................ 704,853
-------------
POLLUTION CONTROL - 1.05%
18,730 Republic Services, Inc., Class A + 461,133
-------------
RETAIL - 3.21%
8,100 CDW Corp. +....................... 418,041
2,600 Express Scripts, Inc., Class A +.. 168,506
6,510 Family Dollar Stores, Inc......... 261,181
9,000 Staples, Inc. +................... 221,670
6,530 Tiffany & Co...................... 254,148
1,500 Whole Foods Market, Inc. +........ 81,315
-------------
1,404,861
-------------
SCHOOLS - 2.44%
3,960 Apollo Group, Inc., Class A +..... 253,717
10,300 Career Education Corp. +.......... 464,839
8,100 ITT Educational Services, Inc. +.. 351,135
-------------
1,069,691
-------------
SEMICONDUCTORS - 9.41%
30,800 Agere Systems, Inc., Class A +.... 93,016
16,890 Altera Corp. +.................... 379,012
21,700 ASML Holding NV +................. 345,030
34,600 Conexant Systems, Inc. +.......... 189,608
6,800 Cypress Semiconductor Corp. +..... 126,276
4,790 Emulux Corp. +.................... 115,966
8,800 KLA-Tencor Corp. +................ 522,368
13,240 Lam Research Corp. +.............. 340,533
10,800 Linear Technology Corp............ 445,176
10,360 Maxim Integrated Products, Inc.... 465,267
16,105 Microchip Technology, Inc......... 451,101
6,400 Novellus Systems, Inc. +.......... 255,744
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------
SEMICONDUCTORS - Continued
6,700 Semiconductor HOLDRs Trust +.............. $ 250,513
4,490 Xilinx, Inc. +............................ 138,472
-------------
4,118,082
-------------
TELECOMMUNICATIONS - 7.72%
16,200 Alcatel SA ADR +.......................... 176,418
19,050 Amdocs, Ltd. +............................ 426,339
23,930 AT&T Wireless Services, Inc. +............ 206,277
28,900 Corning, Inc. +........................... 238,425
16,270 EchoStar Communications Corp.,
Class A +................................ 600,363
10,100 Foundry Networks, Inc. +.................. 196,445
14,200 Juniper Networks, Inc. +.................. 244,524
19,790 Nextel Communications, Inc., Class A +.... 381,551
20,705 Nextel Partners, Inc., Class A +.......... 170,402
35,140 Sprint Corp. (PCS Group) +................ 182,377
13,000 UTStarcom, Inc. +......................... 558,480
-------------
3,381,601
-------------
THERAPEUTICS - 1.70%
11,190 Gilead Sciences, Inc. +................... 746,373
-------------
MEDICAL - BIOMEDICAL/GENE - 0.74%
6,900 Genzyme Corp. +........................... 325,335
-------------
TOTAL COMMON STOCK
(Cost $35,315,045)........................ 42,439,915
-------------
EXCHANGE-TRADED FUNDS - 0.72%
110 iShares Russell Midcap Growth Index
Funds.................................... 7,375
9,220 Nasdaq-100 Index Tracking Stock +......... 307,856
-------------
TOTAL EXCHANGE-TRADED FUNDS
(Cost $268,140)........................... 315,231
-------------
PAR
VALUE
- -----------
REPURCHASE AGREEMENT - 1.98%
$868,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.92%, dated
8/29/03, to be repurchased 9/2/03 in the
amount of $868,089 and collateralized
by Federal National Mtg. Assoc. Notes,
bearing interest at 1.30%, due 6/28/04
and having an approximate value of
$897,747 (Cost $868,000)................. 868,000
-------------
TOTAL INVESTMENTS
(Cost $36,451,185) - 99.63%............... 43,623,146
Other assets less liabilities, net - 0.37% 161,875
-------------
NET ASSETS - 100%......................... $ 43,785,021
-------------
ADR - American Depository Receipt
+Non-income producing
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
21
MID CAP VALUE FUND - SCHEDULE OF INVESTMENTS
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
COMMON STOCK - 97.28%
AEROSPACE/DEFENSE - 1.18%
417,300 Bombardier, Inc...................... $ 1,600,017
------------
AIRLINES - 1.42%
38,700 Continental Airlines, Inc., Class B + 590,562
98,200 ExpressJet Holdings, Inc. +.......... 1,330,610
------------
1,921,172
------------
APPAREL & PRODUCTS - 3.51%
145,500 Foot Locker, Inc..................... 2,410,935
30,300 Ross Stores, Inc..................... 1,526,514
20,000 VF Corp.............................. 802,000
------------
4,739,449
------------
AUTOMOTIVE - 1.80%
22,600 Borg-Warner, Inc..................... 1,609,572
20,400 Compagnie Generale des Etablissements
Michelin, Class B................... 829,341
------------
2,438,913
------------
BANKS - 5.38%
34,000 Bank of Hawaii Corp.................. 1,152,600
19,100 Comerica, Inc........................ 942,394
11,400 FirstMerit Corp...................... 288,762
109,400 Hibernia Corp., Class A.............. 2,270,050
55,700 UnionBanCal Corp..................... 2,615,115
------------
7,268,921
------------
BEVERAGES - 1.84%
86,700 Constellation Brands, Inc., Class A + 2,492,625
------------
BROADCASTING - 1.61%
326,100 UnitedGlobalCom, Inc., Class A +..... 2,178,348
------------
CHEMICAL - 1.87%
89,900 Engelhard Corp....................... 2,523,493
------------
COMMERCIAL SERVICES - 3.91%
292,700 BearingPoint, Inc. +................. 2,400,140
18,900 Rent-A-Center, Inc. +................ 1,515,591
81,200 United Rentals, Inc. +............... 1,370,656
------------
5,286,387
------------
DRUGS - 0.84%
80,700 King Pharmaceuticals, Inc. +......... 1,133,835
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 8.84%
42,900 Ametek, Inc........................... $ 1,800,084
149,100 Arrow Electronics, Inc. +............. 3,077,424
193,800 Flextronics International, Ltd. +..... 2,614,362
15,100 Harman International Industries, Inc.. 1,504,715
179,600 Vishay Intertechnology, Inc. +........ 2,958,012
------------
11,954,597
------------
FERTILIZERS - 1.52%
262,700 IMC Global, Inc....................... 2,056,941
------------
FINANCIAL SERVICES - 2.01%
79,800 CIT Group, Inc........................ 2,174,550
14,100 Webster Financial Corp................ 549,195
------------
2,723,745
------------
FOODS - 4.70%
86,300 Bunge, Ltd............................ 2,611,438
71,100 Dean Foods Co. +...................... 2,065,455
80,900 Sensient Technologies Corp............ 1,682,720
------------
6,359,613
------------
FREIGHT - 2.66%
68,200 CNF, Inc.............................. 2,025,540
63,200 Werner Enterprises, Inc............... 1,564,200
------------
3,589,740
------------
HARDWARE & TOOLS - 0.32%
10,000 Black & Decker Corp................... 427,800
------------
HEALTHCARE - 2.81%
40,350 Dentsply International, Inc........... 1,765,312
11,700 Laboratory Corp. of America Holdings + 353,925
46,400 Oxford Health Plans, Inc. +........... 1,682,000
------------
3,801,237
------------
HOME BUILDERS - 1.29%
6,000 Beazer Homes USA, Inc. +.............. 498,720
11,740 MDC Holdings, Inc..................... 599,797
21,600 Toll Brothers, Inc. +................. 641,952
------------
1,740,469
------------
HOSPITAL MANAGEMENT - 1.42%
59,200 Triad Hospitals, Inc. +............... 1,918,080
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
HOSPITAL SUPPLIES - 0.58%
13,400 AmerisourceBergen Corp............. $ 780,014
------------
INSURANCE - 12.44%
41,770 ACE, Ltd........................... 1,344,994
54,000 AMBAC Financial Group, Inc......... 3,505,680
78,100 Converium Holding AG ADR........... 1,765,841
49,200 Health Net, Inc. +................. 1,566,036
45,700 Radian Group, Inc.................. 2,174,863
106,200 Reinsurance Group of America, Inc.. 4,016,484
33,800 RenaissanceRe Holdings, Ltd........ 1,412,840
29,500 St. Paul Cos., Inc................. 1,025,420
------------
16,812,158
------------
LEISURE AND TOURISM - 4.21%
178,800 Bally Total Fitness Holding Corp. + 1,730,784
39,300 Blockbuster, Inc., Class A......... 805,257
49,400 CEC Entertainment, Inc. +.......... 1,937,468
54,800 Penn National Gaming, Inc. +....... 1,213,820
------------
5,687,329
------------
MACHINERY - 2.09%
41,500 Flowserve Corp. +.................. 873,575
22,500 Pentair, Inc....................... 963,000
58,900 Timken Co.......................... 983,630
------------
2,820,205
------------
METALS - 0.51%
57,200 Grupo Imsa SA de CV................ 689,260
------------
OIL AND GAS -7.62%
85,600 Cal Dive International, Inc. +..... 1,810,440
862 Cross Timbers Royalty Trust........ 19,259
36,500 EOG Resources, Inc................. 1,547,600
52,807 IHC Caland NV...................... 2,670,457
27,900 Petro-Canada....................... 1,099,260
22,600 Unocal Corp........................ 692,012
117,300 XTO Energy, Inc.................... 2,462,127
------------
10,301,155
------------
PAPER/FOREST PRODUCTS - 3.20%
119,100 Pactiv Corp. +..................... 2,391,528
122,400 Smurfit-Stone Container Corp. +.... 1,931,472
------------
4,323,000
------------
- --------------------------------------------------------------------------------
22
August 31, 2003
MID CAP VALUE FUND - SCHEDULE OF INVESTMENTS - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
POLLUTION CONTROL - 2.38%
130,700 Republic Services, Inc., Class A +.... $ 3,217,834
------------
RAILROADS & EQUIPMENT - 1.26%
31,800 Canadian National Railway Co.......... 1,708,614
------------
REAL ESTATE INVESTMENT TRUSTS - 0.59%
20,100 Rouse Co.............................. 801,387
------------
RETAIL - 2.70%
4,700 Fossil, Inc. +........................ 131,882
51,300 United Stationers, Inc. +............. 2,084,832
60,900 Yankee Candle Co., Inc. +............. 1,428,105
------------
3,644,819
------------
SEMICONDUCTORS - 6.20%
308,800 Axcelis Technologies, Inc. +.......... 2,686,560
185,900 Fairchild Semiconductor International,
Inc., Class A +...................... 3,290,430
135,000 Teradyne, Inc. +...................... 2,407,050
------------
8,384,040
------------
UTILITIES - ELECTRIC - 4.13%
49,700 Cinergy Corp.......................... 1,700,734
55,300 PPL Corp.............................. 2,193,751
77,000 TXU Corp.............................. 1,694,000
------------
5,588,485
------------
UTILITIES - GAS, DISTRIBUTION - 0.44%
21,600 AGL Resources, Inc.................... 601,128
------------
TOTAL COMMON STOCK
(Cost $116,471,610)................... 131,514,810
------------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------
REPURCHASE AGREEMENT - 2.82%
$3,815,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.92%, dated
8/29/03, to be repurchased 9/2/03 in
the amount of $3,815,390 and
collateralized by Federal National Mtg.
Assoc. Notes, bearing interest at
1.76%, due 5/27/05 and having an
approximate value of $3,933,183
(Cost $3,815,000).......................... $ 3,815,000
------------
TOTAL INVESTMENTS
(Cost $120,286,610) - 100.10%............... 135,329,810
Liabilities in excess of other assets, net -
(0.10)%.................................... (140,229)
------------
NET ASSETS - 100%........................... $135,189,581
------------
ADR- American Depository Receipt
+Non-income producing
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
23
MODERATE GROWTH LIFESTYLE FUND - SCHEDULE OF INVESTMENTS
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
AFFILIATED INVESTMENT
COMPANIES - 99.96%
BOND FUNDS - 34.99%
1,427,324 VC II Core Bond Fund #.................... $14,301,789
308,361 VC II High Yield Bond Fund #.............. 2,383,631
-----------
16,685,420
-----------
INTERNATIONAL EQUITY FUND - 17.99%
946,094 VC II International Growth II Fund #...... 8,581,073
-----------
LARGE CAP EQUITY FUNDS - 24.99%
684,594 VC II Capital Appreciation Fund #......... 5,243,989
608,402 VC II Large Cap Value Fund #.............. 6,674,168
-----------
11,918,157
-----------
MID CAP EQUITY FUND - 12.00%
304,293 VC II MidCap Value Fund #................. 4,290,537
250,909 VC II MidCap Growth Fund #................ 1,430,179
-----------
5,720,716
-----------
SMALL CAP EQUITY FUNDS - 9.99%
241,728 VC II Small Cap Growth Fund #............. 2,344,758
206,858 VC II Small Cap Value Fund #.............. 2,420,242
-----------
4,765,000
-----------
TOTAL AFFILIATED
INVESTMENT COMPANIES
(Cost $44,010,503) - 99.96%............... 47,670,366
-----------
Other assets less liabilities, net - 0.04% 21,184
-----------
NET ASSETS - 100.00%...................... $47,691,550
-----------
#Security represents an investment in an
affiliated company.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
24
August 31, 2003
MONEY MARKET II FUND - SCHEDULE OF INVESTMENTS
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
COMMERCIAL PAPER - 61.51%
Amstel Funding Corp.:
$1,000,000 1.08% due 9/29/03...................... $ 999,160
1,000,000 0.90% due 9/15/03...................... 999,650
Apreco, Inc. (LOC - Citibank):
1,000,000 1.05% due 9/23/03...................... 999,358
1,000,000 1.04% due 9/16/03...................... 999,567
Atlantis One Funding Corp.:
1,000,000 1.05% due 9/11/03...................... 999,708
1,000,000 1.04% due 9/18/03...................... 999,509
Barton Capital Corp. (LOC - SocGen):
1,000,000 1.05% due 9/10/03...................... 999,738
1,000,000 1.05% due 9/17/03...................... 999,533
Cafco, LLC:
1,000,000 1.05% due 9/22/03...................... 999,388
1,000,000 1.05% due 10/6/03...................... 998,979
Compass Securitization, LLC (LOC -
AMBAC):
1,115,000 1.06% due 9/22/03...................... 1,114,311
1,000,000 1.05% due 9/19/03...................... 999,475
1,000,000 CRC Funding, LLC:
1.05% due 9/19/03...................... 999,475
CXC, Inc.:
1,000,000 1.06% due 10/1/03...................... 999,117
1,000,000 1.06% due 10/16/03..................... 998,675
1,000,000 1.05% due 10/2/03...................... 999,096
1,000,000 Delaware Funding Corp. (LOC - JP Morgan):
1.05% due 9/8/03....................... 999,796
Dorada Finance, Inc.:
1,000,000 1.06% due 9/19/03...................... 999,470
1,000,000 1.06% due 10/9/03...................... 998,881
Govco, Inc.:
1,000,000 1.05% due 9/23/03...................... 999,358
1,000,000 1.03% due 9/4/03....................... 999,914
1,000,000 0.92% due 9/15/03...................... 999,642
Greyhawk Fund Corp.:
1,000,000 1.07% due 9/26/03...................... 999,257
1,000,000 1.07% due 10/20/03..................... 998,544
1,000,000 K2 USA, LLC:
1.06% due 10/7/03...................... 998,940
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
Old Line Funding Corp.:
$1,000,000 1.06% due 10/2/03................... $ 999,087
1,000,000 1.03% due 9/12/03................... 999,685
Quincy Capital Corp.:
1,000,000 1.06% due 9/17/03................... 999,529
1,000,000 1.05% due 9/2/03.................... 999,971
Royal Bank of Scotland, PLC:
1,000,000 1.05% due 10/15/03.................. 998,717
1,000,000 1.05% due 10/16/03.................. 998,687
Sheffield Receivables Corp. (LOC -
Barclays):
1,000,000 1.06% due 9/9/03.................... 999,764
1,000,000 1.06% due 10/10/03.................. 998,852
1,000,000 Sigma Finance, Inc.:
1.07% due 4/2/04 /(1)/.............. 999,971
Surrey Funding Corp. (LOC - Barclays):
1,000,000 1.07% due 9/12/03................... 999,673
1,000,000 1.07% due 9/25/03................... 999,287
1,000,000 1.06% due 9/2/03.................... 999,971
Sydney Capital, Inc.:
1,000,000 1.06% due 9/8/03.................... 999,794
1,000,000 1.06% due 9/16/03................... 999,558
1,000,000 Tulip Funding Corp. (LOC - ABN AMRO):
1.07% due 9/2/03.................... 999,970
3,000,000 UBS Finance, Inc.:
1.08% due 9/2/03.................... 2,999,910
White Pine Finance, LLC:
1,000,000 1.08% due 9/25/03................... 999,280
1,000,000 1.08% due 10/7/03................... 998,920
1,000,000 1.00% due 10/7/03................... 999,000
Windmill Funding Corp. (LOC - ABN
AMRO):
1,000,000 1.06% due 9/17/03................... 999,529
1,000,000 1.05% due 9/5/03.................... 999,883
1,000,000 1.03% due 9/10/03................... 999,742
-----------
TOTAL COMMERCIAL PAPER
(Cost $49,087,321).................... 49,087,321
-----------
GOVERNMENT AGENCIES - 27.69%
1,000,000 Federal Farm Credit Banks:
1.00% due 7/2/04.................... 1,000,000
1,000,000 1.25% due 7/2/04.................... 1,000,000
1,500,000 1.05% due 9/26/03................... 1,498,906
1,500,000 1.05% due 10/3/03................... 1,498,600
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Federal National Mtg. Assoc.:
$1,000,000 1.45% due 9/14/04......................... $ 1,000,000
2,000,000 1.36% due 9/10/04......................... 2,000,000
1,000,000 1.20% due 8/17/04......................... 1,000,000
1,000,000 1.08% due 7/23/04......................... 1,000,000
1,600,000 1.06% due 10/2/03......................... 1,598,540
1,500,000 1.06% due 11/12/03........................ 1,496,820
1,000,000 1.05% due 9/22/03......................... 999,388
1,510,000 1.05% due 10/8/03......................... 1,508,370
1,500,000 1.04% due 9/30/03......................... 1,498,743
1,500,000 1.00% due 10/1/03......................... 1,498,750
1,500,000 0.88% due 9/24/03......................... 1,499,157
2,000,000 Student Loan Marketing Assn.:
1.187% due 9/18/03........................ 2,000,000
-----------
TOTAL GOVERNMENT AGENCIES
(Cost $22,097,274).......................... 22,097,274
-----------
U.S. TREASURY BILLS - 1.87%
1,500,000 United States Treasury Bills:
1.00% due 2/5/04
(Cost $1,493,458)......................... 1,493,458
-----------
REPURCHASE AGREEMENTS - 5.57%
441,000 State Street Bank & Trust Co., Joint
Repurchase Agreement (see Note 2).......... 441,000
4,000,000 UBS Warburg, LLC, Joint Repurchase
Agreement (see Note 2)..................... 4,000,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $4,441,000)........................... 4,441,000
-----------
TOTAL INVESTMENTS
(Cost $77,119,053) - 96.64%................. 77,119,053
Other assets less liabilities, net - 3.36%.. 2,679,250
-----------
NET ASSETS - 100%........................... $79,798,303
-----------
(1) Security is a "floating rate" bond where the coupon
rate fluctuates. The date reflected is as of August 31,
2003.
LOC - Letter of Credit
Allocation of investments as a percentage of net assets by industry
category as of August 31, 2003:
Government Agencies......................... 27.69%
Securities Holding Company.................. 21.29%
Receivable Company.......................... 18.93%
Multi-Asset Company......................... 12.52%
Banks....................................... 8.07%
Finance..................................... 3.76%
Collateralized Loan Obligations............. 2.51%
U.S. Treasury............................... 1.87%
-----------
96.64%
-----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
25
August 31, 2003
SMALL CAP GROWTH FUND - SCHEDULE OF INVESTMENTS
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
COMMON STOCK - 93.48%
AEROSPACE/DEFENSE - 0.32%
5,400 DRS Technologies, Inc. +................. $ 140,400
----------
APPAREL & PRODUCTS - 0.85%
29,100 Charming Shoppes, Inc. +................. 174,600
13,700 J. Jill Group, Inc. +.................... 204,267
----------
378,867
----------
AUTOMOTIVE - 1.42%
9,000 Oshkosh Truck Corp., Class B............. 352,170
6,400 Superior Industries International, Inc... 276,928
----------
629,098
----------
BANKS - 0.94%
2,300 First State Bancorp...................... 66,539
11,400 Greater Bay Bancorp...................... 234,498
6,200 Umpqua Holdings Corp..................... 115,630
----------
416,667
----------
BROADCASTING - 1.16%
18,000 Acme Communications, Inc. +.............. 139,500
21,100 Pegasus Solutions, Inc. +................ 304,895
6,200 Sinclair Broadcast Group, Inc., Class A + 69,006
----------
513,401
----------
CHEMICAL - 3.99%
14,900 Cabot Corp............................... 405,131
8,200 FMC Corp. +.............................. 204,098
12,700 Minerals Technologies, Inc............... 641,985
17,200 Nova Chemicals Corp...................... 361,200
8,400 Olin Corp................................ 152,964
----------
1,765,378
----------
COMMERCIAL SERVICES - 2.16%
25,000 BearingPoint, Inc. +..................... 205,000
900 Gaiam, Inc., Class A +................... 4,680
10,000 Maximus, Inc. +.......................... 358,200
8,300 Plexus Corp. +........................... 136,950
39,900 PRG-Shultz International, Inc. +......... 251,370
----------
956,200
----------
DRUGS - 1.44%
15,300 Alpharma, Inc., Class A.................. 320,841
4,800 Medicis Pharmaceutical Corp., Class A.... 293,184
1,600 Salix Pharmaceuticals, Ltd. +............ 22,064
----------
636,089
----------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT - 14.84%
21,100 Advanced Energy Industries, Inc.......... 507,666
3,500 Ametek, Inc.............................. 146,860
9,200 C&D Technologies, Inc.................... 183,448
8,900 Coherent, Inc. +......................... 233,180
20,000 Cymer, Inc. +............................ 915,400
3,000 Digital Theater Systems, Inc. +.......... 67,020
27,600 Electro Scientific Industries, Inc. +.... 560,004
13,200 Flir Systems, Inc. +..................... 346,632
10,900 Gentex Corp. +........................... 408,859
16,900 Kemet Corp. +............................ 207,194
18,400 Merix Corp. +............................ 220,984
12,400 Mettler-Toledo International, Inc. +..... 477,524
7,100 Microtune, Inc. +........................ 16,330
7,000 Park Electrochemical Corp................ 160,440
13,300 PMC-Sierra, Inc. +....................... 189,658
19,800 Tektronix, Inc. +........................ 468,072
9,400 Trimble Navigation, Ltd. +............... 251,450
19,200 Varian, Inc. +........................... 652,800
14,100 Wilson Greatbatch Technologies, Inc. +... 557,937
---------
6,571,458
---------
FINANCE COMPANIES - 0.65%
9,000 Financial Federal Corp. +................ 289,260
---------
FINANCIAL SERVICES - 1.85%
7,800 American Capital Strategies, Ltd......... 193,596
6,400 Jeffries Group, Inc...................... 190,080
11,800 NCO Group, Inc. +........................ 250,278
7,200 Waddell & Reed Financial, Inc., Class A.. 185,400
---------
819,354
---------
FREIGHT - 4.13%
29,400 Forward Air Corp. +...................... 892,584
11,600 Knight Transportation, Inc. +............ 318,420
10,000 Landstar System, Inc. +.................. 617,100
---------
1,828,104
---------
HEALTHCARE - 0.67%
13,700 American Medical Systems Holdings, Inc. + 284,412
600 Steris Corp. +........................... 14,052
---------
298,464
---------
HOSPITAL SUPPLIES - 1.38%
14,000 Conceptus, Inc. +........................ 226,940
800 Merit Medical Systems, Inc. +............ 16,568
6,600 Varian Medical Systems, Inc. +........... 368,610
---------
612,118
---------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
HUMAN RESOURCES - 1.85%
12,300 CDI Corp............................. 313,035
8,600 Labor Ready, Inc. +.................. 79,722
15,400 Resources Connection, Inc. +......... 425,810
---------
818,567
---------
INFORMATION PROCESSING - HARDWARE - 1.42%
6,200 Advanced Digital Information Corp. +. 83,700
10,600 Avocent Corp. +...................... 309,520
5,900 Drexler Technology Corp. +........... 107,498
4,000 Logitech International SA ADR +...... 127,840
---------
628,558
---------
INFORMATION PROCESSING - SERVICES - 7.06%
46,600 Adaptec, Inc. +...................... 340,646
11,100 aQuantive, Inc. +.................... 119,214
18,600 Catapult Communications Corp. +...... 247,566
9,000 Cognizant Technology Solutions Corp.,
Class A +........................... 313,470
12,000 Digital Insight Corp. +.............. 287,400
43,400 Entrust, Inc. +...................... 173,600
9,800 FileNET Corp. +...................... 206,682
15,500 Jack Henry & Associates, Inc......... 289,695
24,900 National Instruments Corp............ 986,289
18,000 webMethods, Inc. +................... 162,360
---------
3,126,922
---------
INFORMATION PROCESSING - SOFTWARE - 5.33%
12,625 Ascential Software Corp. +........... 220,938
34,400 Aspen Technologies, Inc. +........... 117,648
24,600 Borland Software Corp. +............. 233,454
8,000 Business Objects SA ADR +............ 216,240
8,600 F5 Networks, Inc. +.................. 168,646
12,000 Global Payments, Inc................. 453,000
7,300 Hyperion Solutions Corp. +........... 240,754
26,900 Informatica Corp. +.................. 239,141
38,800 Lawson Software, Inc. +.............. 273,540
4,200 Seachange International, Inc. +...... 42,966
3,600 Tumbleweed Communications Corp. +.... 13,680
11,800 Verity, Inc. +....................... 140,656
---------
2,360,663
---------
- --------------------------------------------------------------------------------
26
SMALL CAP GROWTH FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
INSURANCE - 1.43%
12,700 AmerUs Group Co................... $ 409,321
14,300 Phoenix Cos., Inc................. 151,866
3,800 Sierra Health Services, Inc. +.... 74,138
------------
635,325
------------
LEISURE AND TOURISM - 3.44%
19,600 Argosy Gaming Co. +............... 473,340
12,400 Four Seasons Hotels, Inc.......... 598,796
1,600 K2, Inc. +........................ 28,624
2,700 Penn National Gaming, Inc. +...... 59,805
12,200 Station Casinos, Inc.............. 362,950
------------
1,523,515
------------
MACHINERY - 3.69%
16,360 CNH Global NV..................... 227,077
7,900 Cognex Corp. +.................... 242,214
8,900 Crane Co.......................... 227,751
5,100 Cuno, Inc. +...................... 214,914
17,200 Flowserve Corp. +................. 362,060
8,400 Pentair, Inc...................... 359,520
------------
1,633,536
------------
MEDICAL TECHNOLOGY - 0.87%
1,400 Connetics Corp. +................. 26,236
9,100 CTI Molecular Imaging, Inc. +..... 136,864
11,600 InterMune, Inc. +................. 220,864
------------
383,964
------------
METALS - 1.27%
6,700 Cleveland-Cliffs, Inc. +.......... 173,530
9,100 Reliance Steel & Aluminum Co...... 209,937
4,200 Roper Industries, Inc............. 179,256
------------
562,723
------------
MULTIMEDIA - 0.67%
30,100 Entravision Communications Corp. + 297,990
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
OIL AND GAS - 6.08%
17,500 Cal Dive International, Inc. +...... $ 370,125
18,700 Chesapeake Energy Corp.............. 202,708
14,000 FMC Technologies, Inc. +............ 331,380
14,600 Patterson-UTI Energy, Inc. +........ 435,664
30,500 PetroQuest Energy, Inc. +........... 61,915
21,100 Premcor, Inc. +..................... 516,950
9,400 Spinnaker Exploration Co. +......... 208,868
5,300 Stone Energy Corp. +................ 205,110
20,200 Superior Energy Services, Inc. +.... 217,554
10,900 Swift Energy Co. +.................. 140,610
------------
2,690,884
------------
REAL ESTATE - 0.63%
15,500 Jones Lang LaSalle, Inc. +.......... 280,550
------------
RETAIL - 4.52%
4,300 Cost Plus, Inc. +................... 173,032
11,400 Fred's, Inc., Class A............... 407,550
6,700 Guitar Center, Inc. +............... 224,718
6,300 Regis Corp.......................... 217,917
1,700 Tractor Supply Co. +................ 58,650
16,100 Tuesday Morning Corp. +............. 557,382
7,400 Urban Outfitters, Inc. +............ 362,822
------------
2,002,071
------------
SEMICONDUCTORS - 16.03%
44,200 ARM Holdings, PLC ADR +............. 242,216
52,100 Atmel Corp. +....................... 239,139
17,200 Exar Corp. +........................ 281,220
34,700 Integrated Circuit Systems, Inc. +.. 1,197,844
19,400 Integrated Device Technology, Inc. + 270,630
21,600 Integrated Silicon Solution, Inc. +. 203,688
6,000 Intersil Corp., Class A +........... 174,780
31,300 Lam Research Corp. +................ 805,036
24,700 Lattice Semiconductor Corp. +....... 217,360
25,000 LTX Corp. +......................... 371,500
34,700 Micrel, Inc. +...................... 471,920
13,600 Pericom Semiconductor Corp. +....... 142,106
47,300 Semtech Corp. +..................... 997,557
36,600 Varian Semiconductor Equipment
Associates, Inc. +................. 1,484,862
------------
7,099,858
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------
TELECOMMUNICATIONS - 2.78%
29,900 Advanced Fibre Communications, Inc. +..... $ 695,773
15,300 Anaren, Inc. +............................ 183,447
5,600 NII Holdings, Inc., Class B +............. 352,744
------------
1,231,964
------------
THERAPEUTICS - 0.30%
4,700 Medicines Co. +........................... 134,655
------------
UTILITIES - ELECTRIC - 0.31%
9,800 Headwaters, Inc. +........................ 136,612
------------
TOTAL COMMON STOCK
(Cost $36,398,230)........................ 41,403,215
------------
PAR
VALUE
- -----------
SHORT-TERM INVESTMENTS - 6.05%
GOVERNMENT AGENCIES - 6.05%
$2,677,000 Student Loan Marketing Assn. Discount
Notes 0.82% due 9/2/03 $ 2,676,939
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $2,676,939)......................... 2,676,939
------------
TOTAL INVESTMENTS
(Cost $39,075,169) - 99.53%............... 44,080,154
Other assets less liabilities, net - 0.47% 210,236
------------
NET ASSETS - 100%......................... $ 44,290,390
------------
ADR - American Depository Receipt
+ Non-income producing
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
27
SMALL CAP VALUE FUND - SCHEDULE OF INVESTMENTS
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
COMMON STOCK - 94.24%
AEROSPACE/DEFENSE - 0.25%
12,450 AAR Corp. +........................... $ 99,725
3,910 Kaman Corp., Class A.................. 50,439
-----------
150,164
-----------
AIRLINES - 0.46%
9,760 Alaska Air Group, Inc. +.............. 269,278
-----------
APPAREL & PRODUCTS - 2.55%
13,060 Dress Barn, Inc. +.................... 168,474
14,160 Footstar, Inc. +...................... 150,521
24,820 Payless ShoeSource, Inc. +............ 365,847
14,820 Russell Corp.......................... 285,730
36,250 Stein Mart, Inc. +.................... 204,087
13,730 Unifi, Inc. +......................... 94,600
16,690 Vans, Inc. +.......................... 154,382
4,050 Wolverine World Wide, Inc............. 81,405
-----------
1,505,046
-----------
APPLIANCES/FURNISHINGS - 2.94%
9,100 Bassett Furniture Industries, Inc..... 126,672
23,750 Bush Industries, Inc., Class A........ 109,488
17,840 CompX International, Inc., Class A.... 97,763
10,860 Furniture Brands International, Inc. + 311,139
20,490 Griffon Corp. +....................... 386,236
10,240 Helen of Troy, Ltd. +................. 222,198
10,600 HON Industries, Inc................... 389,232
15,556 Interface, Inc., Class A +............ 88,825
-----------
1,731,553
-----------
AUTOMOTIVE - 1.27%
12,030 ArvinMeritor, Inc..................... 226,405
28,840 Cooper Tire & Rubber Co............... 519,120
-----------
745,525
-----------
BANKS - 7.80%
11,772 Associated Banc-Corp.................. 449,337
158 BancTrust Financial Group, Inc........ 2,542
8,210 City National Corp.................... 424,457
4,660 Colonial BancGroup, Inc............... 68,269
8,435 Commerce Bancshares, Inc.............. 365,910
3,200 Community Bank Systems, Inc........... 140,160
5,600 Compass Bancshares, Inc............... 192,528
1,600 Corus Bankshares, Inc................. 82,880
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
BANKS - Continued
10,400 First Commonwealth Financial Corp.... $ 134,264
19,030 FirstMerit Corp...................... 482,030
5,775 Fulton Financial Corp................ 116,655
5,916 Humboldt Bancorp..................... 88,083
5,202 Mercantile Bank Corp................. 173,071
4,740 Mercantile Bankshares Corp........... 193,629
8,206 North Valley Bancorp................. 129,245
5,890 Silicon Valley Bancshares +.......... 138,533
1,580 Simmons First National Corp., Class A 37,825
6,850 Susquehanna Bancshares, Inc.......... 180,566
12,180 UMB Financial Corp................... 579,524
6,430 Washington Trust Bancorp, Inc........ 171,424
7,050 WesBanco, Inc........................ 171,597
7,900 Whitney Holding Corp................. 274,525
-----------
4,597,054
-----------
BUILDING MATERIALS - 2.84%
16,470 Butler Manufacturing Co.............. 242,439
9,241 Centex Construction Productions, Inc. 414,459
18,020 Lafarge North America, Inc........... 617,005
10,260 Patrick Industries, Inc.............. 65,869
3,200 Texas Industries, Inc................ 81,824
5,550 Watsco, Inc.......................... 102,675
4,680 York International Corp.............. 151,070
-----------
1,675,341
-----------
CHEMICAL - 1.93%
24,380 Ashland, Inc......................... 806,003
4,070 H.B. Fuller Co....................... 107,814
5,550 Hawkins, Inc......................... 68,099
6,670 Stepan Co............................ 153,743
-----------
1,135,659
-----------
COMMERCIAL SERVICES - 0.81%
10,350 Cornell Cos., Inc. +................. 164,668
8,830 Healthcare Services Group, Inc. +.... 146,137
9,150 Wackenhut Corrections Corp. +........ 165,157
-----------
475,962
-----------
CONGLOMERATES - 1.17%
26,190 Trinity Industries, Inc.............. 689,321
-----------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
DRUGS - 0.97%
13,320 D&K Healthcare Resources, Inc..... $ 205,394
16,030 King Pharmaceuticals, Inc. +...... 225,222
9,960 Perrigo Co........................ 139,938
-----------
570,554
-----------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 5.53%
189 ACT Manufacturing, Inc. +......... 1
27,790 American Power Conversion Corp.... 497,997
8,750 Avnet, Inc. +..................... 157,937
4,830 Belden, Inc....................... 88,582
13,990 Coherent, Inc. +.................. 366,538
25,270 CTS Corp.......................... 325,478
23,240 Cyberoptics Corp. +............... 230,541
13,530 Intermagnetics General Corp. +.... 329,050
14,300 Kemet Corp. +..................... 175,318
6,750 Park Electrochemical Corp......... 154,710
11,340 Paxar Corp. +..................... 146,399
15,650 Pioneer-Standard Electronics, Inc. 151,648
3,060 ScanSource, Inc. +................ 116,249
880 Standex International Corp........ 20,152
7,370 Teleflex, Inc..................... 349,559
13,040 X-Rite, Inc....................... 148,656
-----------
3,258,815
-----------
FINANCIAL SERVICES - 2.37%
10,210 Affiliated Managers Group, Inc. +. 692,238
6,610 Raymond James Financial, Inc...... 236,440
14,680 Sovereign Bancorp, Inc............ 288,902
1,750 Stifel Financial Corp. +.......... 21,875
4,050 Webster Financial Corp............ 157,748
-----------
1,397,203
-----------
FOODS - 0.11%
180 J&J Snack Foods Corp. +........... 6,320
2,070 Ralcorp Holdings, Inc. +.......... 58,829
-----------
65,149
-----------
FREIGHT - 4.84%
5,090 Alexander & Baldwin, Inc.......... 149,035
7,740 CNF, Inc.......................... 229,878
3,200 Kirby Corp. +..................... 93,440
23,840 Offshore Logistics, Inc. +........ 509,222
22,870 Overseas Shipholding Group, Inc... 592,562
- --------------------------------------------------------------------------------
28
August 31, 2003
SMALL CAP VALUE FUND - SCHEDULE OF INVESTMENTS - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
FREIGHT - Continued
10,500 Ryder System, Inc................ $ 315,315
6,075 SCS Transportation, Inc. +....... 91,125
12,340 Teekay Shipping Corp............. 555,917
9,840 USF Corp......................... 313,404
-----------
2,849,898
-----------
GAS & PIPELINE UTILITIES - 0.08%
2,520 Cascade Natural Gas Corp......... 47,930
-----------
HARDWARE & TOOLS - 1.43%
1,680 Lincoln Electric Holdings, Inc... 38,163
9,350 Snap-on, Inc..................... 275,825
17,490 Stanley Works.................... 529,422
-----------
843,410
-----------
HEALTHCARE - 1.19%
16,960 Manor Care, Inc.................. 468,096
11,830 RehabCare Group, Inc. +.......... 186,914
1,770 Vital Signs, Inc................. 48,693
-----------
703,703
-----------
HOSPITAL SUPPLIES - 0.19%
3,750 Datascope Corp................... 111,375
-----------
HOUSEHOLD PRODUCTS - 0.19%
20,570 Oneida, Ltd...................... 114,369
-----------
HUMAN RESOURCES - 0.45%
8,920 Kelly Services, Inc., Class A.... 233,883
3,090 Labor Ready, Inc. +.............. 28,644
-----------
262,527
-----------
INFORMATION PROCESSING -
HARDWARE - 1.98%
7,450 Electronics for Imaging, Inc. +.. 159,579
9,030 Interphase Corp. +............... 74,227
57,530 Optimal Robotics Corp., Class A + 474,622
13,700 Tech Data Corp. +................ 456,895
-----------
1,165,323
-----------
INFORMATION PROCESSING -
SERVICES - 0.80%
8,570 Adaptec, Inc. +.................. 62,647
6,880 Analysts International Corp. +... 20,296
29,950 Braun Consulting, Inc. +......... 47,620
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - Continued
405 Clarent Corp. +...................... $ 4
1 CycleLogic, Inc. +................... 8
7,580 Jack Henry & Associates, Inc......... 141,670
4,850 Micros Systems, Inc. +............... 177,364
2,010 Systems & Computer Technology
Corp. +............................. 22,110
------------
471,719
------------
INFORMATION PROCESSING -
SOFTWARE - 1.52%
6,600 Agile Software Corp. +............... 65,934
11,437 Ascential Software Corp. +........... 200,147
26,070 Autodesk, Inc........................ 466,653
17,460 Retek, Inc. +........................ 126,236
2,180 Sybase, Inc. +....................... 36,864
------------
895,834
------------
INSURANCE - 14.00%
16,880 Alfa Corp............................ 218,258
170 American Physicians Capital, Inc. +.. 4,760
9,570 Astoria Financial Corp............... 307,580
14,380 Axis Capital Holdings, Ltd. +........ 353,029
18,800 Ceres Group, Inc. +.................. 70,876
4,350 Commerce Group, Inc.................. 159,950
6,870 Delphi Financial Group, Inc., Class A 330,172
12,770 Endurance Specialty Holdings, Ltd.... 376,587
4,650 FBL Financial Group, Inc., Class A... 112,809
18,960 Health Net, Inc. +................... 603,497
28,100 Horace Mann Educators Corp........... 423,748
57,420 Humana, Inc. +....................... 1,010,018
5,890 Old Republic International Corp...... 197,845
4,880 PacifiCare Health Systems, Inc.,
Class A +........................... 243,024
53,850 PMI Group, Inc....................... 1,905,213
10,318 PXRE Group, Ltd...................... 187,169
4,950 Radian Group, Inc.................... 235,570
13,590 Reinsurance Group of America, Inc.... 513,974
10,570 Selective Insurance Group, Inc....... 310,969
5,080 StanCorp Financial Group, Inc........ 287,985
13,100 State Auto Financial Corp............ 330,369
9,050 Universal American Financial Corp. +. 68,328
------------
8,251,730
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
LEISURE AND TOURISM - 4.16%
13,830 Arctic Cat, Inc...................... $ 302,047
12,640 Bob Evans Farms, Inc................. 341,659
13,300 Brunswick Corp....................... 358,834
3,210 Callaway Golf Co..................... 48,246
12,680 CEC Entertainment, Inc. +............ 497,310
23,360 Jack in the Box, Inc. +.............. 494,998
4,250 O'Charley's, Inc. +.................. 72,080
16,900 Prime Hospitality Corp. +............ 151,255
12,930 Steak N Shake Co. +.................. 186,839
-----------
2,453,268
-----------
MACHINERY - 3.43%
9,500 Applied Industrial Technologies, Inc. 215,175
6,770 Briggs & Stratton Corp............... 398,076
9,010 Cognex Corp. +....................... 276,247
11,840 Cummins, Inc......................... 590,106
3,420 Lufkin Industries, Inc............... 87,894
2,540 NACCO Industries, Inc., Class A...... 197,358
4,400 Tecumseh Products Co., Class A....... 172,568
2,130 Tennant Co........................... 84,667
-----------
2,022,091
-----------
MEDICAL TECHNOLOGY - 0.86%
2,930 Haemonetics Corp. +.................. 62,145
33,200 Maxim Pharmaceuticals, Inc. +........ 229,080
7,360 West Pharmaceutical Services, Inc.... 213,440
-----------
504,665
-----------
METALS - 2.25%
18,250 AMCOL International Corp............. 198,195
27,420 Brush Engineered Materials, Inc. +... 245,683
5,600 Harsco Corp.......................... 218,344
23,800 Intermet Corp........................ 90,916
1,560 Lawson Products, Inc................. 43,493
11,570 Mueller Industries, Inc. +........... 334,142
24,220 Wolverine Tube, Inc. +............... 111,412
5,660 Worthington Industries, Inc.......... 85,466
-----------
1,327,651
-----------
MOBILE HOMES - 0.71%
6,770 Coachmen Industries, Inc............. 88,484
8,490 Monaco Coach Corp. +................. 157,659
- --------------------------------------------------------------------------------
29
SMALL CAP VALUE FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
MOBILE HOMES - Continued
13,860 National R.V. Holdings, Inc. +....... $ 98,683
4,010 Palm Harbor Homes, Inc. +............ 74,225
-----------
419,051
-----------
MULTIMEDIA - 0.24%
6,090 Belo Corp............................ 142,019
-----------
OIL AND GAS - 3.64%
6,900 Frontier Oil Corp.................... 106,329
3,700 Newfield Exploration Co. +........... 145,373
14,820 ONEOK, Inc........................... 311,072
6,719 Premcor, Inc. +...................... 164,615
27,240 Pride International, Inc. +.......... 465,532
5,190 Seacor Smit, Inc. +.................. 204,071
10,580 Spinnaker Exploration Co. +.......... 235,088
17,880 Tidewater, Inc....................... 513,513
-----------
2,145,593
-----------
OPTICAL INSTRUMENTS & LENSES - 0.00%
80 Ocular Sciences, Inc. +.............. 1,809
-----------
PAPER/FOREST PRODUCTS - 1.77%
14,710 Boise Cascade Corp................... 400,847
7,850 Glatfelter........................... 101,501
10,820 Temple-Inland, Inc................... 538,620
-----------
1,040,968
-----------
PUBLISHING - 0.28%
11,550 Bowne & Co., Inc..................... 167,822
-----------
REAL ESTATE INVESTMENT TRUSTS - 2.69%
11,590 Boykin Lodging Co.................... 90,402
5,240 Brandywine Realty Trust.............. 128,118
11,530 Equity Inns, Inc..................... 79,096
4,150 First Industrial Realty Trust, Inc... 126,368
14,170 Great Lakes REIT, Inc................ 217,509
16,310 Highwoods Properties, Inc............ 374,314
1,390 LaSalle Hotel Properties............. 22,935
3,350 Prentiss Properties Trust............ 100,668
16,120 Summit Properties, Inc............... 354,962
9,590 Winston Hotels, Inc.................. 88,995
-----------
1,583,367
-----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
RETAIL - 8.40%
8,180 BJ's Wholesale Club, Inc. +.......... $ 178,651
11,850 Bon-Ton Stores, Inc. +............... 71,112
29,380 Borders Group, Inc. +................ 568,209
13,518 Brookstone, Inc. +................... 381,883
4,820 Copart, Inc. +....................... 48,393
7,920 Dillard's, Inc., Class A............. 119,830
17,955 Galyans Trading Co., Inc. +.......... 194,471
13,280 Linens 'N Things, Inc. +............. 383,792
7,203 Myers Industries, Inc................ 75,631
15,460 Nordstrom, Inc....................... 403,042
24,550 Rex Stores Corp. +................... 347,382
18,010 Ruddick Corp......................... 298,786
7,360 ShopKo Stores, Inc. +................ 101,347
50,570 Toys "R" Us, Inc. +.................. 688,763
9,630 United Stationers, Inc. +............ 391,363
3,530 Weis Markets, Inc.................... 123,903
3,770 West Marine, Inc. +.................. 79,849
6,670 Winn-Dixie Stores, Inc............... 67,034
8,328 Zale Corp. +......................... 424,312
-----------
4,947,753
-----------
SAVINGS & LOAN - 0.19%
4,334 Washington Federal, Inc.............. 109,910
-----------
SECURITIES RELATED - 0.25%
15,930 E*TRADE Group, Inc. +................ 147,034
-----------
SEMICONDUCTORS - 2.36%
11,988 Actel Corp. +........................ 351,128
7,850 Alliance Semiconductor Corp. +....... 44,509
6,150 Cohu, Inc............................ 135,915
8,530 Credence Systems Corp. +............. 98,010
5,000 Dupont Photomasks, Inc. +............ 128,050
45,630 Lattice Semiconductor Corp. +........ 401,544
20,710 Parlex Corp. +....................... 167,917
2,900 Veeco Instruments, Inc. +............ 61,915
-----------
1,388,988
-----------
TELECOMMUNICATIONS - 1.52%
34,290 Advanced Fibre Communications, Inc. + 797,928
68 MRV Communications, Inc. +........... 146
14,900 Tellabs, Inc. +...................... 97,297
-----------
895,371
-----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
TEXTILE - PRODUCTS - 1.20%
8,720 G&K Services, Inc., Class A............... $ 288,196
16,220 UniFirst Corp............................. 417,665
-----------
705,861
-----------
UTILITIES - ELECTRIC - 2.32%
9,630 Black Hills Corp.......................... 312,108
7,950 MDU Resources Group, Inc.................. 269,903
13,270 PNM Resources, Inc........................ 363,598
19,300 Puget Energy, Inc......................... 420,740
-----------
1,366,349
-----------
UTILITIES - GAS, DISTRIBUTION - 0.30%
7,690 Vectren Corp.............................. 174,563
-----------
TOTAL COMMON STOCK
(Cost $50,449,654)........................ 55,528,575
-----------
EXCHANGE-TRADED FUNDS - 2.34%
9,809 iShares Russell 2000 Value Index Fund
(Cost $1,269,448)......................... 1,379,636
-----------
PAR
VALUE
- -----------
REPURCHASE AGREEMENT - 3.12%
$1,839,000 Agreement with State Street bank & Trust
Co., bearing interest at 0.92%, dated
8/29/03, to be repurchased 9/2/03 in the
amount of $1,839,188 and collateralized
by Federal National Mtg. Assoc. Notes,
bearing interest at 1.30%, due 6/28/04
and having an approximate value of
$1,895,800
(Cost $1,839,000)........................ 1,839,000
-----------
TOTAL INVESTMENTS
(Cost $53,558,102) - 99.70%............... 58,747,211
Other assets less liabilities, net - 0.30% 175,628
-----------
NET ASSETS - 100%......................... $58,922,839
-----------
+ Non-income producing
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
30
August 31, 2003
SOCIALLY RESPONSIBLE FUND - SCHEDULE OF INVESTMENTS
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
COMMON STOCK - 86.86%
AIRLINES - 0.40%
3,850 Delta Air Lines, Inc................ $ 49,549
--------
APPAREL & PRODUCTS - 0.04%
230 Gap, Inc............................ 4,805
--------
APPLIANCES/FURNISHINGS - 0.11%
490 Maytag Corp......................... 13,279
--------
AUTOMOTIVE - 0.64%
290 Borg-Warner, Inc.................... 20,654
400 Danaher Corp........................ 30,900
300 SPX Corp. +......................... 14,805
1,900 Visteon Corp........................ 12,825
--------
79,184
--------
BANKS - 5.82%
2,860 Bank of America Corp................ 226,655
1,170 Comerica, Inc....................... 57,728
1,700 FleetBoston Financial Corp.......... 50,303
540 HSBC Holdings, PLC ADR.............. 34,733
1,780 Mellon Financial Corp............... 55,803
850 National City Corp.................. 26,928
450 Synovus Financial Corp.............. 11,002
750 Wachovia Corp....................... 31,612
3,540 Wells Fargo & Co.................... 177,496
160 Westamerica Bancorp................. 7,053
740 Zions Bancorp....................... 41,218
--------
720,531
--------
BEVERAGES - 3.00%
5,290 Coca-Cola Bottling Co............... 230,221
3,160 PepsiCo, Inc........................ 140,746
--------
370,967
--------
BROADCASTING - 1.24%
710 Clear Channel Communications, Inc. + 32,035
4,080 Comcast Corp., Class A +............ 121,380
--------
153,415
--------
BUILDING MATERIALS - 1.69%
90 Lafarge North America, Inc.......... 3,082
1,260 Lowe's Cos., Inc.................... 69,124
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
BUILDING MATERIALS - Continued
1,760 Masco Corp.......................... $ 43,630
2,250 Vulcan Materials Co................. 93,172
--------
209,008
--------
CHEMICAL - 0.96%
2,750 Ashland, Inc........................ 90,915
920 Engelhard Corp...................... 25,824
770 W.R. Grace & Co. +.................. 2,595
--------
119,334
--------
COMMERCIAL SERVICES - 1.30%
3,820 Cendant Corp. +..................... 68,684
6,620 Concord EFS, Inc. +................. 91,687
30 Fluor Corp.......................... 1,105
--------
161,476
--------
CONGLOMERATES - 4.17%
710 3M Co............................... 101,154
14,030 General Electric Co. @.............. 414,867
--------
516,021
--------
DRUGS - 6.96%
1,880 Abbott Laboratories................. 75,764
360 Allergan, Inc....................... 28,606
1,860 Amgen, Inc. +....................... 122,574
4,450 Bristol-Myers Squibb Co............. 112,897
320 Eli Lilly and Co.................... 21,290
410 Merck & Co., Inc.................... 20,631
9,310 Pfizer, Inc. @...................... 278,555
3,090 Schering-Plough Corp................ 46,937
820 Watson Pharmaceuticals, Inc. +...... 33,702
2,830 Wyeth............................... 121,265
--------
862,221
--------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.37%
560 Agilent Technologies, Inc. +........ 13,619
90 Amphenol Corp., Class A +........... 4,908
50 AVX Corp............................ 699
410 Hawaiian Electric Industries, Inc... 17,622
280 Mettler-Toledo International, Inc. + 10,783
890 Paxar Corp. +....................... 11,490
1,100 Pitney Bowes, Inc................... 42,900
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
190 PMC-Sierra, Inc. +.................... $ 2,709
2,400 Thermo Electron Corp. +............... 54,696
330 Waters Corp. +........................ 10,065
--------
169,491
--------
FERTILIZERS - 0.05%
830 IMC Global, Inc....................... 6,499
--------
FINANCE COMPANIES - 0.69%
3,660 MBNA Corp............................. 85,424
--------
FINANCIAL SERVICES - 6.87%
310 American Express Co................... 13,966
1,550 Capital One Financial Corp............ 82,770
1,360 Charles Schwab Corp................... 14,770
9,170 Citigroup, Inc. @..................... 397,519
1,080 Fannie Mae............................ 69,973
1,180 Freddie Mac........................... 62,717
460 Goldman Sachs Group, Inc.............. 40,705
2,470 JP Morgan Chase & Co.................. 84,523
290 Lehman Brothers Holdings, Inc......... 19,062
1,200 Merrill Lynch & Co., Inc.............. 64,536
--------
850,541
--------
FOODS - 1.03%
1,550 General Mills, Inc.................... 71,858
140 Hershey Foods Corp.................... 9,786
1,710 McCormick & Co., Inc.................. 45,657
--------
127,301
--------
FREIGHT - 0.02%
930 ABX Air, Inc. +....................... 2,186
--------
HARDWARE & TOOLS - 0.51%
1,110 Black & Decker Corp................... 47,486
530 Stanley Works......................... 16,043
--------
63,529
--------
HEALTHCARE - 1.05%
840 Anthem, Inc. +........................ 61,488
280 Health Management Associates, Inc.,
Class A.............................. 6,239
100 Laboratory Corp. of America Holdings + 3,025
- --------------------------------------------------------------------------------
31
SOCIALLY RESPONSIBLE FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
HEALTHCARE - Continued
1,780 McKesson Corp........................... $ 58,277
49 Medco Health Solutions, Inc. +.......... 1,308
--------
130,337
--------
HOSPITAL MANAGEMENT - 0.45%
1,380 HCA, Inc................................ 52,426
110 LifePoint Hospitals, Inc. +............. 3,169
--------
55,595
--------
HOSPITAL SUPPLIES - 2.61%
1,230 AmerisourceBergen Corp.................. 71,598
2,160 Becton, Dickinson and Co................ 78,927
910 Cardinal Health, Inc.................... 51,806
2,440 Johnson & Johnson....................... 120,975
--------
323,306
--------
HOUSEHOLD PRODUCTS - 3.84%
2,150 American Greetings Corp., Class A +..... 39,775
1,020 Colgate-Palmolive Co.................... 56,386
4,020 Gillette Co............................. 130,489
2,310 International Flavors & Fragrances, Inc. 72,765
2,020 Procter & Gamble Co..................... 176,326
--------
475,741
--------
INFORMATION PROCESSING -
HARDWARE - 3.97%
390 Apple Computer, Inc. +.................. 8,826
3,710 Dell, Inc. +............................ 121,057
5,210 Hewlett-Packard Co...................... 103,783
2,320 International Business Machines Corp.... 190,263
730 Lexmark International, Inc., Class A +.. 48,939
4,790 Sun Microsystems, Inc. +................ 18,490
--------
491,358
--------
INFORMATION PROCESSING -
SERVICES - 1.83%
220 Ceridian Corp. +........................ 4,277
1,760 eBay, Inc. +............................ 97,469
1,080 Fiserv, Inc. +.......................... 41,958
1,160 SunGard Data Systems, Inc. +............ 32,712
630 Symantec Corp. +........................ 36,181
1,030 Unisys Corp. +.......................... 13,369
--------
225,966
--------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - 3.84%
290 Adobe Systems, Inc..................... $ 11,260
13,940 Microsoft Corp. @...................... 369,689
7,360 Oracle Corp. +......................... 94,061
--------
475,010
--------
INSURANCE - 6.88%
800 Aetna, Inc............................. 45,600
3,060 AFLAC, Inc............................. 97,950
1,129 American International Group, Inc. #... 67,254
390 Arthur J. Gallagher & Co............... 10,530
690 Chubb Corp............................. 46,879
770 Hartford Financial Services Group, Inc. 40,979
950 Jefferson-Pilot Corp................... 42,056
1,920 John Hancock Financial Services, Inc... 58,618
3,940 Lincoln National Corp.................. 139,555
3,170 Marsh & McLennan Cos., Inc............. 158,500
120 MGIC Investment Corp................... 6,764
470 PMI Group, Inc......................... 16,629
880 St. Paul Cos., Inc..................... 30,589
1,820 UnitedHealth Group, Inc................ 89,963
--------
851,866
--------
LEISURE AND TOURISM - 1.49%
50 Electronic Arts, Inc. +................ 4,488
2,000 Mattel, Inc............................ 38,640
6,320 McDonald's Corp........................ 141,694
--------
184,822
--------
MACHINERY - 0.80%
830 Crane Co............................... 21,240
810 Illinois Tool Works, Inc............... 58,555
450 Pentair, Inc........................... 19,260
--------
99,055
--------
MEDICAL TECHNOLOGY - 0.12%
250 Quest Diagnostics, Inc. +.............. 15,000
--------
MULTIMEDIA - 2.07%
6,930 AOL Time Warner, Inc. +@............... 113,375
2,070 Viacom, Inc., Class B.................. 93,150
2,410 Walt Disney Co......................... 49,405
--------
255,930
--------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
OIL AND GAS - 1.94%
390 Cooper Cameron Corp. +............. $ 18,938
610 Diamond Offshore Drilling, Inc..... 12,322
1,500 Helmerich & Payne, Inc............. 43,875
650 Nabors Industries, Ltd. +.......... 26,097
430 ONEOK, Inc......................... 9,026
1,330 Tidewater, Inc..................... 38,198
2,730 Transocean, Inc. +................. 57,658
860 Valero Energy Corp................. 33,884
--------
239,998
--------
PAPER/FOREST PRODUCTS - 0.23%
270 Boise Cascade Corp................. 7,358
1,580 Louisiana-Pacific Corp. +.......... 20,777
--------
28,135
--------
PUBLISHING - 1.08%
2,890 Tribune Co......................... 133,662
--------
RAILROADS & EQUIPMENT - 0.52%
1,250 CSX Corp........................... 40,350
1,280 Norfolk Southern Corp.............. 24,371
--------
64,721
--------
REAL ESTATE INVESTMENT
TRUSTS - 0.38%
770 First Industrial Realty Trust, Inc. 23,446
2,290 Host Marriott Corp. +.............. 22,946
--------
46,392
--------
RETAIL - 5.64%
1,430 Bed Bath & Beyond, Inc. +.......... 61,533
1,390 Costco Wholesale Corp. +........... 44,605
2,260 Dollar General Corp................ 51,822
250 Dollar Tree Stores, Inc. +......... 9,808
1,310 Home Depot, Inc.................... 42,130
410 Kohl's Corp. +..................... 25,932
4,040 Staples, Inc. +.................... 99,505
1,590 Target Corp........................ 64,554
5,050 Wal-Mart Stores, Inc. @............ 298,808
--------
698,697
--------
SAVINGS & LOAN - 0.33%
1,060 Washington Mutual, Inc............. 41,319
--------
- --------------------------------------------------------------------------------
32
August 31, 2003
SOCIALLY RESPONSIBLE FUND - SCHEDULE OF INVESTMENTS - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
SCHOOLS - 0.37%
710 Apollo Group, Inc., Class A +......... $ 45,490
-----------
SEMICONDUCTORS - 3.41%
810 Advanced Micro Devices, Inc. +........ 9,145
1,200 Analog Devices, Inc. +................ 49,200
2,040 Applied Materials, Inc. +............. 44,064
340 Broadcom Corp., Class A +............. 9,289
7,670 Intel Corp............................ 219,515
160 KLA-Tencor Corp. +.................... 9,498
820 Maxim Integrated Products, Inc........ 36,826
1,540 National Semiconductor Corp. +........ 44,875
-----------
422,412
-----------
TELECOMMUNICATIONS - 5.18%
940 AT&T Corp............................. 20,962
5,100 AT&T Wireless Services, Inc. +........ 43,962
2,200 BellSouth Corp........................ 55,440
2,190 CenturyTel, Inc....................... 76,125
8,040 Cisco Systems, Inc. +................. 153,966
14,020 Lucent Technologies, Inc. +........... 26,778
4,310 Motorola, Inc......................... 46,246
1,520 Nextel Communications, Inc., Class A + 29,306
5,110 RF Micro Devices, Inc. +.............. 45,070
4,060 Verizon Communications, Inc........... 143,399
-----------
641,254
-----------
UTILITIES - ELECTRIC - 0.98%
1,170 DQE, Inc.............................. 17,258
1,250 OGE Energy Corp....................... 27,162
3,520 Puget Energy, Inc..................... 76,736
-----------
121,156
-----------
UTILITIES - GAS, DISTRIBUTION - 0.38%
870 AGL Resources, Inc.................... 24,212
680 KeySpan Corp.......................... 22,950
-----------
47,162
-----------
UTILITIES - GAS, PIPELINE - 0.60%
3,220 National Fuel Gas Co.................. 74,543
-----------
TOTAL COMMON STOCK
(Cost $10,947,051).................... 10,753,688
-----------
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.77%
U.S. TREASURY BILLS - 0.77%
United States Treasury Bills:
$ 75,000 0.96% due 9/25/03 @..................... $ 74,952
10,000 0.89% due 10/16/03 @.................... 9,989
10,000 0.88% due 10/2/03 @..................... 9,993
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $94,934)............................ 94,934
-----------
REPURCHASE AGREEMENT - 11.52%
1,426,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.92%, dated
8/29/03, to be repurchased 9/2/03 in the
amount of $1,426,146 and collateralized
by Federal National Mortgage Assoc.
Bonds, bearing interest at 1.18%, due
7/27/04 and having an approximate value
of $1,471,838
(Cost $1,426,000) @...................... 1,426,000
-----------
TOTAL INVESTMENTS
(Cost $12,467,985) - 99.15%............... 12,274,622
Other assets less liabilities, net - 0.85% 105,778
-----------
NET ASSETS - 100%......................... $12,380,400
-----------
ADR- American Depository Receipt
+Non-income producing
#Security represents an investment in an
affiliated company.
@The security or a portion thereof
represents collateral for open futures
contracts.
OPEN FUTURES CONTRACTS
Number
of Value at Value as of Unrealized
Contracts Description Expiration Date Trade Date August 31, 2003 Appreciation
- --------------------------------------------------------------------------------------
32 Long E-Mini S&P 500 Index September 2003 $1,605,789 $1,612,320 $6,531
- --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS
33
August 31, 2003
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS
PAR MARKET
VALUE VALUE
- ---------------------------------------------------
CORPORATE BONDS - 35.31%
AEROSPACE/DEFENSE - 0.02%
$ 25,000 Condor Systems, Inc.:
11.88% due 5/1/09 /(1)/........ $ 6,750
--------
AIRLINES - 0.50%
57,865 Atlas Air, Inc.:
8.01% due 1/2/10 /(2)/......... 11,573
Continental Airlines, Inc.:
24,669 7.73% due 3/15/11.............. 17,145
82,394 6.95% due 8/2/09............... 57,900
115,238 Delta Air Lines, Inc.:
7.78% due 1/2/12............... 92,529
60,000 Northwest Airlines, Inc.:
7.63% due 3/15/05.............. 50,400
--------
229,547
--------
APPAREL & PRODUCTS - 0.11%
25,000 Levi Strauss & Co.:
7.00% due 11/1/06.............. 21,813
25,000 Warnaco, Inc.:
8.88% due 6/15/13 *............ 26,000
--------
47,813
--------
APPLIANCES/FURNISHINGS - 0.09%
Salton, Inc.:
25,000 12.25% due 4/15/08............. 24,250
15,000 10.75% due 12/15/05............ 14,400
--------
38,650
--------
AUTOMOTIVE - 0.43%
25,000 Diamond Triumph Auto Glass, Inc.:
9.25% due 4/1/08............... 21,875
50,000 Eagle-Pincher, Inc.:
9.75% due 9/1/13 *............. 51,250
50,000 Pep Boys-Manny, Moe & Jack:
6.92% due 7/7/06............... 50,125
75,000 Prestolite Electric, Inc.:
9.63% due 2/1/08............... 66,938
25,000 Venture Holdings Trust:
11.00% due 6/1/07 /(1)/........ 5,000
--------
195,188
--------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
BEVERAGES - 0.11%
$ 50,000 Cott Beverages USA, Inc.:
8.00% due 12/15/11................. $ 52,250
----------
BROADCASTING - 3.69%
25,000 CF Cable TV, Inc.:
9.13% due 7/15/07.................. 25,594
Charter Communications Holdings, LLC:
175,000 11.13% due 1/15/11................. 140,000
225,000 10.75% due 10/1/09................. 180,000
75,000 10.25% due 1/15/10................. 57,375
25,000 10.00% due 5/15/11................. 18,875
350,000 9.63% due 11/15/09................. 267,750
CSC Holdings, Inc.:
125,000 10.50% due 5/15/16................. 136,250
125,000 7.88% due 2/15/18.................. 120,000
25,000 7.63% due 7/15/18.................. 23,750
75,000 Emmis Communications Corp.:
12.50% due 3/15/11 /(3)/........... 65,625
Granite Broadcasting Corp.:
50,000 10.38% due 5/15/05................. 49,250
75,000 8.88% due 5/15/08.................. 72,375
Nexstar Finance Holdings, LLC:
37,000 16.00% due 5/15/09 /(3)/........... 33,762
125,000 11.38% due 4/1/13 /(3)/............ 86,250
25,000 Paxson Communications Corp.:
12.25% due 1/15/09 /(3)/........... 20,000
155,000 Pegasus Satellite Commerce, Inc.
11.25% due 1/15/10 *............... 125,550
125,000 Rogers Cablesystems, Ltd.:...........
11.00% due 12/1/15................. 136,875
25,000 Salem Communications Holding Corp.:
9.00% due 7/1/11................... 26,437
25,000 Susquehanna Media Co.:
7.38% due 4/15/13.................. 25,469
69,000 Young Broadcasting, Inc.:
9.00% due 1/15/06.................. 69,345
----------
1,680,532
----------
BUILDING MATERIALS - 0.33%
Armstrong World Industries, Inc.:
30,000 9.75% due 4/15/08 /(1)/............ 15,600
75,000 6.50% due 8/15/05 /(1)/............ 39,000
25,000 6.35% due 8/15/49 /(1)/............ 12,500
PAR MARKET
VALUE VALUE
- ---------------------------------------------------
BUILDING MATERIALS - Continued
$ 50,000 Koppers Industries, Inc.:
9.88% due 12/1/07.............. $ 51,000
50,000 MMI Products, Inc.:
11.25% due 4/15/07............. 31,500
--------
149,600
--------
CHEMICAL - 0.82%
75,000 Equistar Chemicals, LP:
10.63% due 5/1/11 *............ 74,625
115,000 Huntsman International, LLC:
9.88% due 3/1/09............... 118,450
50,000 Methanex Corp.:
8.75% due 8/15/12.............. 53,625
50,000 Rockwood Specialties Group, Inc.:
10.63% due 5/15/11 *........... 52,125
25,000 Solutia, Inc.:
11.25% due 7/15/09............. 22,500
50,000 Westlake Chemical Corp.:
8.75% due 7/15/11 *............ 51,000
--------
372,325
--------
COMMERCIAL SERVICES - 1.34%
Crown Cork & Seal Co., Inc.:
275,000 8.38% due 1/15/05.............. 281,875
40,000 8.00% due 4/15/23.............. 32,400
60,000 Crown European Holdings SA:
10.88% due 3/1/13 *............ 66,300
50,000 Mobile Mini, Inc.:
9.50% due 7/1/13 *............. 52,250
75,000 Monitronics International, Inc.:
11.75% due 9/1/10 *............ 74,344
Owens-Brockway Glass Container:
25,000 8.75% due 11/15/12............. 26,250
50,000 7.75% due 5/15/11 *............ 50,000
25,000 Petroleum Helicopters, Inc.:
9.38% due 5/1/09............... 27,250
--------
610,669
--------
CONGLOMERATES - 0.38%
Tyco International Group SA:
50,000 6.88% due 1/15/29.............. 46,813
125,000 6.75% due 2/15/11.............. 127,187
--------
174,000
--------
- --------------------------------------------------------------------------------
34
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 0.52%
$ 25,000 Flextronics International, Ltd.:
6.50% due 5/15/13 *.................... $ 23,938
50,000 Pioneer Standard Electronics, Inc.:
9.50% due 8/1/06....................... 51,562
25,000 Xerox Capital Trust I:
8.00% due 2/1/27....................... 20,188
Xerox Corp.:
50,000 7.63% due 6/15/13...................... 48,750
75,000 7.20% due 4/1/16....................... 69,375
25,000 7.13% due 6/15/10...................... 24,250
----------
238,063
----------
FERTILIZERS - 0.11%
50,000 IMC Global, Inc.:
11.25% due 6/1/11...................... 51,750
----------
FINANCE COMPANIES - 0.29%
25,000 AmeriCredit Corp.:
9.88% due 4/15/06...................... 24,000
50,000 Hanover Equipment Trust:
8.50% due 9/1/08....................... 50,250
58,428 Jet Equipment Trust:
8.24% due 11/1/12 *.................... 19,938
50,000 United States West Capital Funding, Inc.:
6.88% due 7/15/28...................... 37,000
----------
131,188
----------
FINANCIAL SERVICES - 3.46%
150,000 American Tower Escrow Corp.:
Zero Coupon due 8/1/08................. 99,000
200,000 Athena Neurosciences Finance, LLC:
7.25% due 2/21/08...................... 151,500
105,000 Bear Island Paper Co., LLC:
10.00% due 12/1/07..................... 86,100
75,000 Bluewater Finance, Ltd.:
10.25% due 2/15/12..................... 74,250
125,000 Chukchansi Economic Development Auth.:
14.50% due 6/15/09 *................... 153,437
75,000 Eircom Funding:
8.25% due 8/15/13 *.................... 78,750
107,000 ESI Tractebel Acquisition Corp.:
7.99% due 12/30/11..................... 105,663
PAR MARKET
VALUE VALUE
- -----------------------------------------------------
FINANCIAL SERVICES - Continued
$ 25,000 Frontier Escrow Corp.:
8.00% due 4/15/13 *............ $ 25,375
50,000 Huntsman Advanced Materials, LLC:
11.00% due 7/15/10 *........... 52,750
50,000 IOS Capital, LLC:
7.25% due 6/30/08.............. 47,250
25,000 LaBranche & Co., Inc.:
12.00% due 3/2/07.............. 27,250
175,000 Madison River Capital, LLC:
13.25% due 3/1/10.............. 171,500
50,000 Nexstar Finance LLC, Inc.:
12.00% due 4/1/08.............. 56,000
50,000 PCA, LLC/PCA Finance Corp:
11.88% due 8/1/09.............. 54,250
PDVSA Finance, Ltd.:
50,000 8.50% due 11/16/12............. 43,250
150,000 6.80% due 11/15/08............. 129,750
100,000 PX Escrow Corp.:
9.63% due 2/1/06/ (3)/......... 74,000
Terra Capital, Inc.:
100,000 12.88% due 10/15/08............ 106,000
50,000 11.50% due 6/1/10.............. 42,500
----------
1,578,575
----------
FOODS - 0.17%
25,000 Del Monte Corp.:
8.63% due 12/15/12 *........... 26,031
75,000 Fleming Cos., Inc.:
10.63% due 7/31/07/ (1)/....... 8
Smithfield Foods, Inc.:
25,000 8.00% due 10/15/09............. 26,250
25,000 7.75% due 5/15/13 *............ 25,750
----------
78,039
----------
HEALTHCARE - 0.71%
75,000 Apogent Technologies, Inc.:
6.50% due 5/15/13 *............ 73,875
HEALTHSOUTH Corp.:
50,000 10.75% due 10/1/08............. 41,000
50,000 8.38% due 10/1/11.............. 41,250
75,000 7.63% due 6/1/12............... 61,125
50,000 Medco Health Solutions, Inc.:
7.25% due 8/15/13.............. 51,750
PAR MARKET
VALUE VALUE
- ------------------------------------------------------
HEALTHCARE - Continued
$ 50,000 Psychiatric Solutions, Inc.:
10.63% due 6/15/13 *............ $ 53,500
----------
322,500
----------
HEAVY DUTY TRUCKS/PARTS - 0.22%
95,000 Dana Corp.,
9.00% due 8/15/11............... 99,750
----------
HOSPITAL MANAGEMENT - 0.51%
100,000 HCA, Inc.:
6.95% due 5/1/12................ 101,087
75,000 IASIS Healthcare Corp.:
13.00% due 10/15/09............. 83,812
Tenet Healthcare Corp.:
25,000 7.38% due 2/1/13................ 24,563
25,000 6.50% due 6/1/12................ 23,000
----------
232,462
----------
HOSPITAL SUPPLIES - 0.19%
85,000 Universal Hospital Services, Inc.:
10.25% due 3/1/08............... 86,700
----------
HOUSEHOLD PRODUCTS - 0.19%
50,000 Jacuzzi Brands, Inc.:
9.63% due 7/1/10 *.............. 52,000
50,000 Royster-Clark, Inc.:
10.25% due 4/1/09............... 36,000
----------
88,000
----------
INFORMATION PROCESSING -
HARDWARE - 0.06%
25,000 Seagate Technology:
8.00% due 5/15/09............... 26,938
----------
INSURANCE - 0.38%
100,000 Crum & Forster Holdings Corp.:
10.38% due 6/15/13 *............ 104,500
75,000 Fairfax Financial Holdings, Ltd.:
8.25% due 10/1/15............... 68,906
----------
173,406
----------
LEISURE AND TOURISM - 2.43%
50,000 AMC Entertainment, Inc.:
9.50% due 2/1/11................ 52,500
- --------------------------------------------------------------------------------
35
August 31, 2003
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
LEISURE AND TOURISM - Continued
$ 75,000 Courtyard by Marriott II:
10.75% due 2/1/08................ $ 73,688
50,000 Hard Rock Hotel, Inc.:
8.88% due 6/1/13 *............... 51,500
125,000 Hollywood Casino Corp.:
13.00% due 8/1/06/ (1)/.......... 82,500
25,000 John Q Hammons Hotels, Inc.:
8.88% due 5/15/12................ 26,125
75,000 Mandalay Resort Group:
10.25% due 8/1/07................ 83,812
125,000 MGM Mirage, Inc.:
8.50% due 9/15/10................ 140,312
50,000 Park Place Entertainment Corp.:
9.38% due 2/15/07................ 54,750
25,000 Prime Hospitality Corp.:
8.38% due 5/1/12................. 24,125
75,000 Riviera Holdings Corp.:
11.00% due 6/15/10............... 73,125
50,000 Six Flags, Inc.:
8.88% due 2/1/10................. 46,000
75,000 Steinway Musical Instruments, Inc.:
8.75% due 4/15/11................ 75,750
50,000 Tricon Global Restaurants, Inc.:
8.88% due 4/15/11................ 56,375
25,000 Vail Resorts, Inc.:
8.75% due 5/15/09................ 25,625
74,000 Waterford Gaming, LLC:
8.63% due 9/15/12 *.............. 76,590
50,000 Worldspan, LP:
9.63% due 6/15/11 *.............. 51,750
100,000 Wynn Las Vegas, LLC:
12.00% due 11/1/10............... 113,500
----------
1,108,027
----------
MACHINERY - 0.42%
50,000 Briggs & Stratton Corp.:
8.88% due 3/15/11................ 55,250
50,000 Dresser, Inc.:
9.38% due 4/15/11................ 51,000
National Equipment Services, Inc.:
25,000 10.00% due 11/30/04/ (1)/........ 4,750
50,000 10.00% due 11/30/04/ (1)/........ 9,500
PAR MARKET
VALUE VALUE
- ---------------------------------------------
MACHINERY - Continued
$50,000 Park-Ohio Industries, Inc.:
9.25% due 12/1/07......... $ 46,000
25,000 Terex Corp.:
9.25% due 7/15/11......... 26,688
--------
193,188
--------
METALS - 0.15%
50,000 Freeport McMoRan Resources:
7.00% due 2/15/08......... 35,500
22,957 National Steel Corp.:
9.88% due 3/1/09/ (1)/.... 1,664
75,000 Renco Metals, Inc.:
11.50% due 7/1/03 /(2)(7)/ 0
5,000 Russel Metals, Inc.:
10.00% due 6/1/09......... 5,300
25,000 Ryerson Tull, Inc.:
9.13% due 7/15/06......... 24,250
--------
66,714
--------
MISCELLANEOUS - 0.37%
Doane Pet Care Co.:
50,000 10.75% due 3/1/10......... 53,500
25,000 9.75% due 5/15/07......... 23,250
Service Corp. International:
50,000 7.70% due 4/15/09......... 50,125
25,000 7.70% due 4/15/09......... 25,063
15,000 Stewart Enterprises, Inc.:
10.75% due 7/1/08......... 16,800
--------
168,738
--------
MOBILE HOMES - 0.02%
25,000 Oakwood Homes Corp.:
8.13% due 3/1/09/ (1)/.... 6,750
--------
MULTIMEDIA - 0.41%
25,000 Haights Cross Operating Co.:
11.75% due 8/15/11 *...... 25,000
Shaw Communications, Inc.:
75,000 8.25% due 4/11/10......... 78,750
50,000 7.25% due 4/6/11.......... 49,750
35,000 7.20% due 12/15/11........ 34,825
--------
188,325
--------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
OIL AND GAS - 2.40%
Chesapeake Energy Corp.:
$25,000 9.00% due 8/15/12................... $ 27,000
50,000 7.75% due 1/15/15................... 50,750
125,000 Citgo Petroleum Corp.:
11.38% due 2/1/11 *................. 139,375
75,000 Colorado Interstate Gas Co.:
6.85% due 6/15/37................... 75,000
50,000 Dynegy Holdings, Inc.:
8.75% due 2/15/12................... 42,500
50,000 Encore Acquisition Co.:
8.38% due 6/15/12................... 52,000
25,000 Forest Oil Corp.:
8.00% due 6/15/08................... 25,500
75,000 Frontier Oil Corp.:
11.75% due 11/15/09................. 82,500
25,000 Grant Prideco, Inc.:
9.00% due 12/15/09.................. 26,313
50,000 Hilcorp Energy, LP:
10.50% due 9/1/10 *................. 51,312
100,000 KCS Energy, Inc.:
8.88% due 1/15/06................... 95,000
34,391 Oslo Seismic Services, Inc.:
8.28% due 6/1/11.................... 26,868
50,000 Tesoro Petroleum Corp.:
8.00% due 4/15/08................... 51,875
25,000 Universal Compression, Inc.:
7.25% due 5/15/10 *................. 25,250
Westport Resources Corp.:
75,000 8.25% due 11/1/11................... 80,250
25,000 8.25% due 11/1/11 *................. 26,750
225,000 Williams Cos., Inc.:
7.13% due 9/1/11.................... 216,000
----------
1,094,243
----------
PAPER/FOREST PRODUCTS - 0.57%
25,000 Constar International, Inc.:
11.00% due 12/1/12.................. 22,562
150,000 Georgia-Pacific Corp.:
7.38% due 7/15/08 *................. 149,250
25,000 Graphic Packaging International, Inc.:
8.50% due 8/15/11 *................. 26,125
25,000 Kappa Beheer BV:
10.63% due 7/15/09.................. 26,500
- --------------------------------------------------------------------------------
36
August 31, 2003
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
PAPER/FOREST PRODUCTS - Continued
Speciality Paperboard, Inc.:
$ 50,000 9.38% due 10/15/06................. $ 36,750
--------
261,187
--------
POLLUTION CONTROL - 0.40%
Allied Waste North America, Inc.:
50,000 9.25% due 9/1/12................... 54,000
125,000 7.88% due 4/15/13.................. 127,500
--------
181,500
--------
PUBLISHING - 0.12%
50,000 Dex Media West, LLC,
9.88% due 8/15/13 *................ 55,750
--------
REAL ESTATE - 0.06%
25,000 LNR Property Corp.,
7.63% due 7/15/13 *................ 25,250
--------
REAL ESTATE INVESTMENT TRUSTS - 0.47%
75,000 National Health Investors, Inc.:
7.30% due 7/16/07.................. 72,094
40,000 RFS Partnership, LP:
9.75% due 3/1/12................... 40,600
Senior Housing Properties Trust:
75,000 8.63% due 1/15/12.................. 78,000
25,000 7.88% due 4/15/15.................. 24,750
--------
215,444
--------
RETAIL - 0.90%
20,000 Big 5 Corp.:
10.88% due 11/15/07................ 21,000
50,000 JC Penney, Inc.:
7.38% due 8/15/08.................. 51,125
50,000 MTS, Inc.:
9.38% due 5/1/05/ (1)/............. 9,625
75,000 Rent-Way, Inc.:
11.88% due 6/15/10 *............... 77,250
100,000 Rent-A-Center, Inc.:
7.50% due 5/1/10................... 100,500
Rite Aid Corp.:
50,000 9.50% due 2/15/11 *................ 53,500
50,000 7.70% due 2/15/27.................. 40,250
50,000 Saks, Inc.:
9.88% due 10/1/11.................. 56,375
--------
409,625
--------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
SCHOOLS - 0.06%
$ 25,000 KinderCare Learning Centers, Inc.:
9.50% due 2/15/09.................... $ 25,125
--------
SEMICONDUCTORS - 0.34%
75,000 Amkor Technology, Inc.:
7.75% due 5/15/13 *.................. 72,937
25,000 ChipPAC, Inc.:
12.75% due 8/1/09.................... 27,688
50,000 ON Semiconductor Corp.:
12.00% due 3/15/10................... 55,500
--------
156,125
--------
TELECOMMUNICATIONS - 6.06%
300,000 Airgate PCS, Inc.:
13.50% due 10/1/09/ (3)/............. 180,000
100,000 Alamosa Delaware, Inc.:
12.50% due 2/1/11.................... 92,000
200,000 Alamosa Holdings, Inc.:
12.88% due 2/15/10/ (3)/............. 147,000
Alaska Communications Systems Holdings,
Inc.:
25,000 9.88% due 8/15/11 *.................. 25,125
50,000 9.38% due 5/15/09.................... 46,000
25,000 Centennial Cellular Communications Co.:
10.13% due 6/15/13 *................. 25,875
50,000 Centennial Cellular Operating Co.:
10.75% due 12/15/08.................. 47,750
25,000 Cincinnati Bell, Inc.:
7.25% due 7/15/13 *.................. 24,500
275,000 Fairpoint Communications, Inc.:
9.50% due 5/1/08..................... 261,250
200,000 Horizon PCS, Inc.:
13.75% due 6/15/11/ (1)/............. 33,000
150,000 LCI International, Inc.:
7.25% due 6/15/07.................... 115,500
Nextel Communications, Inc.:
150,000 9.95% due 2/15/08/ (3)/.............. 157,125
25,000 9.75% due 10/31/07/ (3)/............. 25,750
75,000 7.38% due 8/1/15..................... 75,188
50,000 Nortel Networks, Ltd.:
6.13% due 2/15/06.................... 48,750
PanAmSat Corp.:
25,000 8.50% due 2/1/12..................... 25,813
50,000 6.38% due 1/15/08.................... 51,250
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------
TELECOMMUNICATIONS - Continued
$ 50,000 Pegasus Satellite Communication, Inc.:
13.50% due 3/1/07/ (3)/............... $ 32,250
Qwest Capital Funding, Inc.:
225,000 7.90% due 8/15/10..................... 194,625
25,000 7.75% due 2/15/31..................... 20,000
225,000 7.63% due 8/3/21...................... 180,000
25,000 7.25% due 2/15/11..................... 21,125
50,000 Qwest Corp.:
8.88% due 3/15/12 *................... 53,500
25,000 Rogers Wireless, Inc.:
9.63% due 5/1/11...................... 27,531
50,000 Rural Cellular Corp.:
9.75% due 1/15/10..................... 45,000
200,000 Southwestern Bell Telephone Co.:
6.55% due 10/7/08..................... 219,839
125,000 TELUS Corp.:
8.00% due 6/1/11...................... 138,618
United States West Communications, Inc.:
25,000 7.50% due 6/15/23..................... 22,000
225,000 6.88% due 9/15/33..................... 186,750
250,000 US Unwired, Inc., Series B:
13.38% due 11/1/09/ (3)/.............. 138,750
100,000 Western Wireless Corp.:
9.25% due 7/15/13 *................... 100,000
----------
2,761,864
----------
TEXTILE - PRODUCTS - 0.06%
25,000 Collins & Aikman Floor Cover:
9.75% due 2/15/10..................... 25,625
----------
UTILITIES - ELECTRIC - 3.95%
225,000 AES Corp.:
8.75% due 5/15/13 *................... 228,937
175,000 AES Drax Energy, Ltd.:
11.50% due 8/30/10/ (1)/.............. 1,313
50,000 BRL Universal Equipment:
8.88% due 2/15/08..................... 53,000
475,000 Calpine Canada Energy Finance, ULC:
8.50% due 5/1/08...................... 361,000
Calpine Corp.:
50,000 7.75% due 4/15/09..................... 36,500
25,000 4.00% due 12/26/06.................... 22,625
- --------------------------------------------------------------------------------
37
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------
UTILITIES - ELECTRIC - Continued
Edison Mission Energy:
$150,000 10.00% due 8/15/08................. $ 124,500
125,000 9.88% due 4/15/11.................. 102,500
50,000 7.73% due 6/15/09.................. 38,750
Mirant Americas Generation, LLC:
75,000 8.50% due 10/1/21/ (1)/............ 54,750
125,000 7.63% due 5/1/06/ (1)/............. 18,375
75,000 7.20% due 10/1/08/ (1)/............ 91,875
225,000 Mirant Corp.:
8.30% due 5/1/11/ (1)/............. 164,250
Mirant Mid-Atlantic, LLC:
44,726 9.13% due 6/30/17/ (1)/............ 43,410
50,126 8.63% due 6/30/12/ (1)/............ 48,477
75,000 Mission Energy Holding Co.:
13.50% due 7/15/08................. 42,000
50,000 Pacific Gas & Electric Co.:
10.00% due 11/1/05 *............... 51,000
50,000 PG&E Corp.:
6.88% due 7/15/08 *................ 50,750
Reliant Resources, Inc.:
100,000 9.50% due 7/15/13 *................ 92,000
100,000 9.25% due 7/15/10 *................ 93,000
100,000 Tiverton/Rumford Power Assoc., Ltd.:
9.00% due 7/15/18 *................ 82,000
-----------
1,801,012
-----------
UTILITIES - GAS, PIPELINE - 1.43%
150,000 Dynegy-Roseton Danskammer:
7.27% due 11/8/10.................. 129,000
100,000 El Paso Production Holding Co.:
7.75% due 6/1/13 *................. 97,000
50,000 Leviathan Gas Pipeline:
10.38% due 6/1/09.................. 56,125
50,000 Southern Natural Gas Co.:
8.88% due 3/15/10.................. 52,750
175,000 Transcontinental Gas Pipe Line Corp.:
8.88% due 7/15/12.................. 188,562
125,000 Williams Cos., Inc.:
8.63% due 6/1/10................... 130,000
-----------
653,437
-----------
WATER SERVICES - 0.06%
25,000 Companhia De Saneamento Basico:
12.00% due 6/20/08 *............... 25,000
-----------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $15,827,033)............... $16,087,624
-----------
FOREIGN GOVERNMENT BONDS - 24.99%
$ 395,000 Australian Government:
7.50% due 7/15/05.............. 267,902
Brazil Federative Republic:
100,000 14.50% due 10/15/09............ 117,000
500,000 11.00% due 1/11/12............. 501,250
500,000 11.00% due 8/17/40............. 455,000
150,000 10.25% due 6/17/13............. 142,125
763,474 8.00% due 4/15/14.............. 688,501
100,000 2.19% due 4/15/12/ (5)/........ 80,250
192,000 2.13% due 4/15/06/ (5)/........ 186,067
135,000 Federal Republic of Germany:
4.50% due 8/18/06.............. 154,705
Government of Canada:
338,000 5.75% due 9/1/06............... 259,015
255,000 5.75% due 6/1/29............... 194,256
96,000 Government of France:
5.50% due 4/25/29.............. 114,856
40,000 Government of United Kingdom:
6.25% due 11/25/10............. 69,643
330,000 Kingdom of Belgium:
4.25% due 9/28/13.............. 362,317
304,000 Kingdom of Spain:
5.15% due 7/30/09.............. 359,560
2,100,000 Kingdom Of Sweden:
5.00% due 1/28/09.............. 260,146
124,286 National Republic of Bulgaria:
1.94% due 1/28/04/ (4)/........ 119,780
100,000 Republic of Chile:
6.88% due 4/28/09.............. 110,875
Republic of Colombia:
50,000 11.75% due 2/25/20............. 58,250
150,000 10.75% due 1/15/13............. 168,375
86,816 9.75% due 4/9/11............... 97,452
400,000 Republic of Ecuador:
6.00% due 8/15/30/ (3)/........ 236,000
Republic of El Salvador:
25,000 8.25% due 4/10/32 *............ 23,250
50,000 7.75% due 1/24/23 *............ 51,500
214,000 Republic of Greece:
4.65% due 4/19/07.............. 246,058
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
FOREIGN GOVERNMENT BONDS - Continued
$172,000 Republic of Italy:
5.25% due 12/15/05................ $ 199,280
125,000 Republic of Panama:
9.63% due 2/8/11.................. 140,625
Republic of Peru:
20,000 9.88% due 2/6/15.................. 22,000
110,000 9.13% due 2/21/12................. 117,700
Republic of Philippines:
125,000 9.88% due 1/15/19................. 130,625
275,000 9.00% due 2/15/13................. 284,969
105,000 Republic of South Africa:
7.38% due 4/25/12................. 114,450
Republic of Turkey:
100,000 11.88% due 1/15/30................ 108,375
260,000 11.75% due 6/15/10................ 286,650
150,000 11.00% due 1/14/13................ 158,438
22,000 10.50% due 1/13/08................ 23,760
428,569 Republic of Venezuela:
1.88% due 12/18/07 /(5)/.......... 383,569
Russian Federation:
950,000 8.25% due 3/31/10................. 1,051,175
900,000 5.00% due 3/31/30................. 823,500
200,000 3.00% due 5/14/08 /(3)/........... 175,000
United Mexican States:
450,000 8.38% due 1/14/11................. 517,950
485,000 8.13% due 12/30/19................ 521,375
150,000 7.50% due 1/14/12................. 163,725
540,000 6.63% due 3/3/15.................. 537,300
300,000 6.38% due 1/16/13................. 301,800
-----------
11,386,399
-----------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $10,428,352).................. $11,386,399
-----------
UNITED STATES GOVERNMENT
BONDS - 14.89%
GOVERNMENT AGENCIES - 12.92%
Federal Home Loan Mtg. Corp.:
68,147 7.00% due 6/1/29.................. 71,843
33,016 6.50% due 7/1/29.................. 34,233
101,592 6.00% due 1/1/30.................. 103,401
969,805 6.00% due 2/1/32.................. 985,288
- --------------------------------------------------------------------------------
38
August 31, 2003
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
PAR MARKET
VALUE VALUE
- ------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Federal National Mtg. Assoc.:
$ 93,172 8.50% due 8/1/31............. $ 100,154
67,079 7.50% due 3/1/32............. 71,299
726,750 6.50% due 12/1/31............ 752,221
931,871 6.00% due 2/1/32............. 947,334
208,922 5.50% due 1/1/29............. 209,359
65,283 5.50% due 5/1/29............. 65,296
2,500,000 4.75% due 3/15/04............ 2,547,327
-----------
5,887,755
-----------
GOVERNMENT OBLIGATIONS - 1.97%
United States Treasury Notes:
378,000 6.88% due 5/15/06............ 422,563
399,000 5.00% due 2/15/11............ 52,807
50,000 5.00% due 8/15/11............ 420,072
-----------
895,442
-----------
TOTAL UNITED STATES GOVERNMENT
BONDS
(Cost $6,626,004).............. 6,783,197
-----------
NUMBER
OF SHARES
- -----------
COMMON STOCK - 0.19%
TELECOMMUNICATIONS - 0.19%
9,654 Dobson Communications Corp.,
Class A +
(Cost $66,130)................. 88,817
-----------
PREFERRED STOCK - 0.71%
BROADCASTING - 0.29%
1,100 Cablevision Systems Corp.:
11.13%....................... 114,950
25 Granite Broadcasting Corp.:
12.75%....................... 18,750
-----------
133,700
-----------
RETAIL - 0.06%
3 Rent-Way, Inc. /(2)/........... 25,000
-----------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
TELECOMMUNICATIONS - 0.36%
150 Dobson Communications Corp.:
6.00%*/(2)/................................ $ 30,900
Rural Cellular Corp.:
51 12.25% /(6)/............................... 26,392
150 11.38%/ (6)/............................... 107,625
----------
164,917
----------
TOTAL PREFERRED STOCK
(Cost $256,644).............................. 323,617
----------
WARRANTS - 0.00%
TELECOMMUNICATIONS - 0.00%
50 GT Group Telecom, Inc. * + /(2)/
(Cost $0).................................... 0
----------
PAR
VALUE
- -----------
SHORT-TERM INVESTMENTS - 4.39%
COMMERCIAL PAPER - 4.39%
$2,000,000 Gannett, Inc.:
1.00% due 9/4/03
(Cost $1,999,833).......................... 1,999,833
----------
REPURCHASE AGREEMENTS - 17.84%
6,441,000 Agreement with State Street Bank & Trust Co.,
bearing interest at 0.92%, dated 8/29/03,
to be repurchased 9/2/03 in the amount of
$6,441,658 and collateralized by Student
Loan Marketing Assn. Notes, bearing
interest at 3.63%, due 9/30/04 and having
an approximate value of $6,578,264.......... 6,441,000
1,688,000 Agreement with State Street Bank & Trust Co.,
bearing interest at 0.92%, dated 8/29/03,
to be repurchased 9/2/03 in the amount of
$1,688,173 and collateralized by Federal
National Mtg. Assn. Notes, bearing interest
at 4.75%, due 6/28/04 and having an
approximate value of $1,726,441............. 1,688,000
----------
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost $8,129,000)......................... $ 8,129,000
-----------
TOTAL INVESTMENTS
(Cost $43,332,996) - 98.32%............... 44,798,487
Other assets less liabilities, net - 1.68% 766,565
-----------
NET ASSETS - 100%......................... $45,565,052
-----------
+Non-income producing
*Securities exempt from registration under Rule 144A
of the Securities Act of 1933. These securities may be
sold in transactions exempt from registration,
normally to qualified institutional buyers. At August
31, 2003, the aggregate value of these securities was
$3,275,214 representing 7.19% of net assets.
/(1)/Bond in default
/(2)/Fair valued security - See Note 2.
/(3)/The interest rate shown represents the step-up
coupon rate at which the bond accrues or will accrue
at a specified date.
/(4)/Variable rate security - the rate reflected is as of
August 31, 2003; maturity date reflects next reset
date.
/(5)/Security is a "floating rate" bond where the coupon
rate fluctuates. The rate reflected is as of August 31,
2003.
/(6)/PIK ("Payment-in-kind") payment made with
additional securities in lieu of cash.
/(7)/Bond is in default and did not pay principal at
maturity.
- --------------------------------------------------------------------------------
39
STRATEGIC BOND FUND - SCHEDULE OF INVESTMENTS - CONTINUED
August 31, 2003
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
Gross
Contract To Unrealized
Deliver In Exchange For Delivery Date Appreciation
----------------------------------------------------------
SEK 2,240,000 USD 270,313 11/7/03 $ 3,365
/*/USD 261,289 AUD 410,000 11/7/03 3,100
-------
6,465
-------
Gross
Contract To Unrealized
Deliver In Exchange For Delivery Date Depreciation
----------------------------------------------------------
/*/AUD 410,000 USD 262,892 11/7/03 $(1,497)
CAD 625,000 USD 442,118 11/7/03 (7,706)
-------
(9,203)
-------
Net Unrealized Appreciation (Depreciation) $(2,738)
=======
/*/Represents open forward foreign currency contracts
and offsetting or partially offsetting open forward
foreign currency contracts that do not have additional
market risk but have continued counterparty
settlement risk.
AUD- Australian Dollar
CAD- Canadian Dollar
SEK- Swedish Krona
USD- United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
40
August 31, 2003
STATEMENTS OF ASSETS AND LIABILITIES
AGGRESSIVE CONSERVATIVE
GROWTH CAPITAL GROWTH
LIFESTYLE APPRECIATION LIFESTYLE CORE BOND HIGH YIELD
FUND FUND FUND FUND BOND FUND
- ----------------------------------------------------------------------------------------------------------------------------
ASSETS:
Long-term investments, at market* (unaffiliated)............. $ - $33,685,724 $ - $59,700,592 $39,708,738
Long-term investments, at market** (affiliated).............. 28,619,705 - 27,644,528 - -
Short-term investments (cost equals market).................. - - - 5,999,863 -
Repurchase agreements (cost equals market)................... - 1,527,000 - 10,759,000 3,233,000
Deposit with brokers for securities sold short............... - - - - 322,788
Cash......................................................... 21,129 869 22,044 157 31,530
Foreign cash +............................................... - - - - -
Receivable for:
Investments sold......................................... 11,960 - 35,767 - 290,589
Trust shares sold........................................ 27,726 44,341 18,783 91,368 45,245
Dividends and interest................................... - 31,036 - 476,254 852,736
Expense reimbursements................................... 13,559 14,995 13,272 23,167 16,687
Futures variation margin................................. - - - - -
Unrealized appreciation on forward foreign currency contracts - - - - -
Other assets................................................. 306 2,106 325 2,602 2,365
----------- ----------- ----------- ----------- -----------
TOTAL ASSETS................................................. 28,694,385 35,306,071 27,734,719 77,053,003 44,503,678
----------- ----------- ----------- ----------- -----------
LIABILITIES:
Payable for:
Investments purchased.................................... 33,636 90,080 27,269 13,376,824 1,856,195
Securities sold short, at value#......................... - - - - 331,625
Trust shares reacquired.................................. 6,051 2,774 27,280 65,552 257,834
Interest payable on securities sold short................ - - - - 10,632
Payable to affiliates:
Advisory fees............................................ 2,350 15,961 2,288 26,491 24,240
Shareholder services..................................... - 7,255 - 13,246 8,657
Administrative services.................................. - 2,031 - 3,709 2,424
Transfer agency fees..................................... 151 304 152 303 110
Unrealized depreciation on forward foreign currency contracts - - - - -
Accrued expenses and other liabilities....................... 25,012 35,219 25,513 47,943 25,947
----------- ----------- ----------- ----------- -----------
TOTAL LIABILITIES............................................ 67,200 153,624 82,502 13,534,068 2,517,664
----------- ----------- ----------- ----------- -----------
NET ASSETS................................................... $28,627,185 $35,152,447 $27,652,217 $63,518,935 $41,986,014
----------- ----------- ----------- ----------- -----------
- --------
* Identified cost of investment securities (unaffiliated).... $ - $33,356,510 $ - $60,263,720 $39,150,196
----------- ----------- ----------- ----------- -----------
** Identified cost of investment securities (affiliated)..... $26,409,931 $ - $26,001,843 $ - $ -
----------- ----------- ----------- ----------- -----------
+ Identified cost of foreign cash............................ $ - $ - $ - $ - $ -
----------- ----------- ----------- ----------- -----------
# Proceeds from securities sold short........................ $ - $ - $ - $ - $ 317,250
----------- ----------- ----------- ----------- -----------
INTERNATIONAL MID CAP
GROWTH II LARGE CAP GROWTH
FUND VALUE FUND FUND
- ---------------------------------------------------------------------------------------------------
ASSETS:
Long-term investments, at market* (unaffiliated)............. $41,450,741 $43,807,792 $42,755,146
Long-term investments, at market** (affiliated).............. - - -
Short-term investments (cost equals market).................. - 1,004,416 -
Repurchase agreements (cost equals market)................... 668,000 - 868,000
Deposit with brokers for securities sold short............... - -
Cash......................................................... (47,090) 610 605
Foreign cash +............................................... 179,093 - 31,085
Receivable for:
Investments sold......................................... 558,756 917,666 568,850
Trust shares sold........................................ 24,989 34,871 67,032
Dividends and interest................................... 136,298 80,319 8,297
Expense reimbursements................................... 36,333 17,528 25,148
Futures variation margin................................. - - -
Unrealized appreciation on forward foreign currency contracts - - -
Other assets................................................. 2,159 2,028 2,012
----------- ----------- -----------
TOTAL ASSETS................................................. 43,009,279 45,865,230 44,326,175
----------- ----------- -----------
LIABILITIES:
Payable for:
Investments purchased.................................... 591,235 863,360 449,699
Securities sold short, at value#......................... - - -
Trust shares reacquired.................................. 130,935 49,202 15,915
Interest payable on securities sold short................ - - -
Payable to affiliates:
Advisory fees............................................ 31,551 18,502 28,192
Shareholder services..................................... 8,764 9,251 8,810
Administrative services.................................. 2,454 2,590 2,467
Transfer agency fees..................................... 252 253 252
Unrealized depreciation on forward foreign currency contracts - - -
Accrued expenses and other liabilities....................... 37,781 39,026 35,819
----------- ----------- -----------
TOTAL LIABILITIES............................................ 802,972 982,184 541,154
----------- ----------- -----------
NET ASSETS................................................... $42,206,307 $44,883,046 $43,785,021
----------- ----------- -----------
- --------
* Identified cost of investment securities (unaffiliated).... $38,921,168 $40,447,403 $35,583,185
----------- ----------- -----------
** Identified cost of investment securities (affiliated)..... $ - $ - $ -
----------- ----------- -----------
+ Identified cost of foreign cash............................ $ 178,032 $ - $ 31,784
----------- ----------- -----------
# Proceeds from securities sold short........................ $ - $ - $ -
----------- ----------- -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
41
August 31, 2003
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
CONSERVATIVE
AGGRESSIVE CAPITAL GROWTH
GROWTH APPRECIATION LIFESTYLE
LIFESTYLE FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share...................... $ 34,192 $ 45,884 $ 29,523
Additional paid In capital........................................ 33,558,965 51,408,763 29,243,783
Undistributed net investment income (loss)........................ 7,130 - 10,762
Accumulated undistributed net realized gain (loss) on investments,
futures contracts, securities sold short and foreign exchange
transactions..................................................... (7,182,876) (16,631,414) (3,274,536)
Unrealized appreciation (depreciation) of:
Investments................................................... 2,209,774 329,214 1,642,685
Securities sold short......................................... - - -
Futures contracts............................................. - - -
Foreign currency translations................................. - - -
-------------- -------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING....................... $ 28,627,185 $ 35,152,447 $ 27,652,217
-------------- -------------- --------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................ 1,000,000,000 1,000,000,000 1,000,000,000
Outstanding................................................... 3,419,198 4,588,390 2,952,309
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................................ $ 8.37 $ 7.66 $ 9.37
-------------- -------------- --------------
CORE BOND HIGH YIELD INTERNATIONAL
FUND BOND FUND GROWTH II FUND
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share...................... $ 63,363 $ 54,333 $ 46,537
Additional paid In capital........................................ 62,467,120 43,486,580 49,920,790
Undistributed net investment income (loss)........................ 79,281 97,022 45,000
Accumulated undistributed net realized gain (loss) on investments,
futures contracts, securities sold short and foreign exchange
transactions..................................................... 1,472,299 (2,196,088) (10,334,634)
Unrealized appreciation (depreciation) of:
Investments................................................... (563,128) 558,542 2,529,573
Securities sold short......................................... - (14,375) -
Futures contracts............................................. - - -
Foreign currency translations................................. - - (959)
-------------- -------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING....................... $ 63,518,935 $ 41,986,014 $ 42,206,307
-------------- -------------- --------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................ 1,000,000,000 1,000,000,000 1,000,000,000
Outstanding................................................... 6,336,254 5,433,273 4,653,665
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................................ $ 10.02 $ 7.73 $ 9.07
-------------- -------------- --------------
LARGE CAP MID CAP
VALUE FUND GROWTH FUND
- --------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share...................... $ 40,908 $ 76,818
Additional paid In capital........................................ 43,432,536 54,409,248
Undistributed net investment income (loss)........................ 25,753 (4,433)
Accumulated undistributed net realized gain (loss) on investments,
futures contracts, securities sold short and foreign exchange
transactions..................................................... (1,976,540) (17,867,867)
Unrealized appreciation (depreciation) of:
Investments................................................... 3,360,389 7,171,961
Securities sold short......................................... - -
Futures contracts............................................. - -
Foreign currency translations................................. - (706)
-------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING....................... $ 44,883,046 $ 43,785,021
-------------- --------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................ 1,000,000,000 1,000,000,000
Outstanding................................................... 4,090,838 7,681,848
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................................ $ 10.97 $ 5.70
-------------- --------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
42
August 31, 2003
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
MODERATE MONEY
MID CAP GROWTH MARKET II SMALL CAP SMALL CAP
VALUE FUND LIFESTYLE FUND FUND GROWTH FUND VALUE FUND
- ------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Long-term investments, at market* (unaffiliated)............. $131,514,810 $ - $ - $41,403,215 $56,908,211
Long-term investments, at market** (affiliated).............. - 47,670,366 - - -
Short-term investments (cost equals market).................. - - 72,678,053 2,676,939 -
Repurchase agreements (cost equals market)................... 3,815,000 - 4,441,000 - 1,839,000
Deposit with brokers for securities sold short............... - - - - -
Cash......................................................... 996 28,327 444 925 587
Foreign cash +............................................... 49,426 - - - -
Receivable for:
Investments sold......................................... 849,227 54,911 2,914,062 63,690 183,114
Trust shares sold........................................ 259,472 23,863 - 291,623 76,507
Dividends and interest................................... 86,472 - 21,793 8,074 73,514
Expense reimbursements................................... 30,243 21,248 25,299 16,114 24,688
Futures variation margin................................. - - - - -
Unrealized appreciation on forward foreign currency contracts - - - - -
Other assets................................................. 21,255 13,339 3,510 2,760 2,219
------------ ----------- ----------- ----------- -----------
TOTAL ASSETS................................................. 136,626,901 47,812,054 80,084,161 44,463,340 59,107,840
------------ ----------- ----------- ----------- -----------
LIABILITIES:
Payable for:
Investments purchased.................................... 1,211,936 55,816 - 74,498 82,503
Securities sold short, at value#......................... - - - - -
Trust shares reacquired.................................. 18,669 22,958 168,260 24,569 2,593
Interest payable on securities sold short................ - - - - -
Payable to affiliates:
Advisory fees............................................ 81,060 3,942 16,651 29,458 35,120
Shareholder services..................................... 27,220 - 16,651 8,664 11,874
Administrative services.................................. 7,621 - 4,662 2,426 3,325
Transfer agency fees..................................... 303 151 101 303 253
Unrealized depreciation on forward foreign currency contracts - - - - -
Accrued expenses and other liabilities....................... 90,511 37,637 79,533 33,032 49,333
------------ ----------- ----------- ----------- -----------
TOTAL LIABILITIES............................................ 1,437,320 120,504 285,858 172,950 185,001
------------ ----------- ----------- ----------- -----------
NET ASSETS................................................... $135,189,581 $47,691,550 $79,798,303 $44,290,390 $58,922,839
------------ ----------- ----------- ----------- -----------
- --------
* Identified cost of investment securities (unaffiliated).... $116,471,610 $ - $ - $36,398,230 $51,719,102
------------ ----------- ----------- ----------- -----------
** Identified cost of investment securities (affiliated)..... $ - $44,010,503 $ - $ - $ -
------------ ----------- ----------- ----------- -----------
+ Identified cost of foreign cash............................ $ 49,341 $ - $ - $ - $ -
------------ ----------- ----------- ----------- -----------
# Proceeds from securities sold short........................ $ - $ - $ - $ - $ -
------------ ----------- ----------- ----------- -----------
SOCIALLY
RESPONSIBLE STRATEGIC
FUND BOND FUND
- -------------------------------------------------------------------------------------
ASSETS:
Long-term investments, at market* (unaffiliated)............. $10,686,434 $34,669,654
Long-term investments, at market** (affiliated).............. 67,254 -
Short-term investments (cost equals market).................. 94,934 1,999,833
Repurchase agreements (cost equals market)................... 1,426,000 8,129,000
Deposit with brokers for securities sold short............... - -
Cash......................................................... 834 18,885
Foreign cash +............................................... - 6,679
Receivable for:
Investments sold......................................... 101,545 160,131
Trust shares sold........................................ 7,939 203,296
Dividends and interest................................... 12,989 639,404
Expense reimbursements................................... 9,140 24,088
Futures variation margin................................. 10,410 -
Unrealized appreciation on forward foreign currency contracts - 6,465
Other assets................................................. 1,430 1,266
----------- -----------
TOTAL ASSETS................................................. 12,418,909 45,858,701
----------- -----------
LIABILITIES:
Payable for:
Investments purchased.................................... - 191,419
Securities sold short, at value#......................... - -
Trust shares reacquired.................................. 16,057 12,760
Interest payable on securities sold short................ - -
Payable to affiliates:
Advisory fees............................................ 2,569 22,607
Shareholder services..................................... 2,569 9,419
Administrative services.................................. 719 2,637
Transfer agency fees..................................... 102 -
Unrealized depreciation on forward foreign currency contracts - 9,203
Accrued expenses and other liabilities....................... 16,493 45,604
----------- -----------
TOTAL LIABILITIES............................................ 38,509 293,649
----------- -----------
NET ASSETS................................................... $12,380,400 $45,565,052
----------- -----------
- --------
* Identified cost of investment securities (unaffiliated).... $10,869,438 $33,204,163
----------- -----------
** Identified cost of investment securities (affiliated)..... $ 77,613 $ -
----------- -----------
+ Identified cost of foreign cash............................ $ - $ 6,768
----------- -----------
# Proceeds from securities sold short........................ $ - $ -
----------- -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
43
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
August 31, 2003
MODERATE
MID CAP GROWTH
VALUE FUND LIFESTYLE FUND
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share......................................... $ 95,868 $ 48,650
Additional paid In capital........................................................... 124,046,352 51,909,359
Undistributed net investment income (loss)........................................... (2,003) 12,397
Accumulated undistributed net realized gain (loss) on investments, futures contracts,
securities sold short and foreign exchange transactions............................. (3,993,241) (7,938,719)
Unrealized appreciation (depreciation) of:
Investments...................................................................... 15,043,200 3,659,863
Securities sold short............................................................ - -
Futures contracts................................................................ - -
Foreign currency translations.................................................... (595) -
-------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING...................................... $ 135,189,581 $ 47,691,550
-------------- --------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................................... 1,000,000,000 1,000,000,000
Outstanding...................................................................... 9,586,804 4,864,951
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................... $ 14.10 $ 9.80
-------------- --------------
MONEY
MARKET II SMALL CAP
FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share......................................... $ 797,983 $ 45,651
Additional paid In capital........................................................... 79,000,320 55,763,673
Undistributed net investment income (loss)........................................... - -
Accumulated undistributed net realized gain (loss) on investments, futures contracts,
securities sold short and foreign exchange transactions............................. - (16,523,919)
Unrealized appreciation (depreciation) of:
Investments...................................................................... - 5,004,985
Securities sold short............................................................ - -
Futures contracts................................................................ - -
Foreign currency translations.................................................... - -
-------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING...................................... $ 79,798,303 $ 44,290,390
-------------- --------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................................... 1,000,000,000 1,000,000,000
Outstanding...................................................................... 79,798,303 4,565,068
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................... $ 1.00 $ 9.70
-------------- --------------
SOCIALLY
SMALL CAP RESPONSIBLE
VALUE FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share......................................... $ 50,355 $ 13,137
Additional paid In capital........................................................... 56,771,743 14,713,115
Undistributed net investment income (loss)........................................... 21,591 30,345
Accumulated undistributed net realized gain (loss) on investments, futures contracts,
securities sold short and foreign exchange transactions............................. (3,109,959) (2,189,365)
Unrealized appreciation (depreciation) of:
Investments...................................................................... 5,189,109 (193,363)
Securities sold short............................................................ - -
Futures contracts................................................................ - 6,531
Foreign currency translations.................................................... - -
-------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING...................................... $ 58,922,839 $ 12,380,400
-------------- --------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................................... 1,000,000,000 1,000,000,000
Outstanding...................................................................... 5,035,481 1,313,674
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................... $ 11.70 $ 9.42
-------------- --------------
STRATEGIC
BOND FUND
- -----------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share......................................... $ 44,311
Additional paid In capital........................................................... 43,626,940
Undistributed net investment income (loss)........................................... 191,771
Accumulated undistributed net realized gain (loss) on investments, futures contracts,
securities sold short and foreign exchange transactions............................. 240,010
Unrealized appreciation (depreciation) of:
Investments...................................................................... 1,465,491
Securities sold short............................................................ -
Futures contracts................................................................ -
Foreign currency translations.................................................... (3,471)
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING...................................... $ 45,565,052
--------------
SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)........................................... 1,000,000,000
Outstanding...................................................................... 4,431,133
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................... $ 10.28
--------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
44
For the Year Ended August 31, 2003
STATEMENTS OF OPERATIONS
AGGRESSIVE CONSERVATIVE
GROWTH CAPITAL GROWTH
LIFESTYLE APPRECIATION LIFESTYLE
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (unaffiliated)..................................................... $ - $ 220,298 $ -
Dividends (affiliated)....................................................... 230,750 - 576,138
Interest (unaffiliated)...................................................... - 19,606 -
------------ ----------- -----------
Total investment income*................................................... 230,750 239,904 576,138
------------ ----------- -----------
EXPENSES:
Advisory fees................................................................ 22,635 160,303 22,939
Custodian fees............................................................... 8,001 47,856 8,001
Shareholder service fees..................................................... - 72,865 -
Audit fees and tax services fees............................................. 5,905 5,527 5,889
Legal fees................................................................... 1,946 5,360 1,953
Administrative services...................................................... - 20,402 -
Trustees' fees and expenses.................................................. 17,524 26,722 18,126
Reports to shareholders...................................................... 19,508 25,378 20,024
Transfer agency fees......................................................... 1,250 3,349 1,251
Interest expense on securities sold short.................................... - - -
Miscellaneous................................................................ 702 9,202 624
------------ ----------- -----------
Total expenses............................................................. 77,471 376,964 78,807
Expense reimbursements..................................................... (54,836) (129,224) (55,868)
Fees paid indirectly (Note 6).............................................. - - -
------------ ----------- -----------
Net expenses............................................................... 22,635 247,740 22,939
------------ ----------- -----------
NET INVESTMENT INCOME (LOSS)................................................. 208,115 (7,836) 553,199
------------ ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)................................................. - (4,904,594) -
Investments (affiliated)................................................... (2,368,674) - (1,018,023)
Futures contracts.......................................................... - - -
Foreign currency transactions.............................................. - - -
Net increase from payments by affiliates (Note 3).......................... - - -
------------ ----------- -----------
(2,368,674) (4,904,594) (1,018,023)
------------ ----------- -----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)................................................. - 9,206,092 -
Investments (affiliated)................................................... 5,507,178 - 2,717,921
Futures contracts.......................................................... - - -
Foreign currency translations.............................................. - - -
Securities sold short...................................................... - - -
------------ ----------- -----------
5,507,178 9,206,092 2,717,921
------------ ----------- -----------
Net realized and unrealized gain (loss) on investments and foreign currencies 3,138,504 4,301,498 1,699,898
------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 3,346,619 $ 4,293,662 $ 2,253,097
------------ ----------- -----------
* Net of foreign withholding taxes on dividends and interest of.............. $ - $ 55 $ -
------------ ----------- -----------
INTERNATIONAL
CORE BOND HIGH YIELD GROWTH II LARGE CAP
FUND BOND FUND FUND VALUE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (unaffiliated)..................................................... $ 75 $ 62,469 $ 781,788 $ 712,164
Dividends (affiliated)....................................................... - - - -
Interest (unaffiliated)...................................................... 2,072,534 2,979,735 11,680 8,183
----------- ---------- ----------- -----------
Total investment income*................................................... 2,072,609 3,042,204 793,468 720,347
----------- ---------- ----------- -----------
EXPENSES:
Advisory fees................................................................ 265,970 199,337 303,736 172,268
Custodian fees............................................................... 47,980 47,456 72,913 47,935
Shareholder service fees..................................................... 132,985 71,192 84,371 86,134
Audit fees and tax services fees............................................. 6,690 5,699 15,873 6,006
Legal fees................................................................... 9,351 5,080 6,223 6,212
Administrative services...................................................... 37,236 19,934 23,624 24,117
Trustees' fees and expenses.................................................. 46,378 20,477 29,976 29,602
Reports to shareholders...................................................... 42,064 19,959 27,363 26,932
Transfer agency fees......................................................... 3,349 3,109 2,790 2,791
Interest expense on securities sold short.................................... - 11,064 - -
Miscellaneous................................................................ 5,483 2,432 8,612 9,245
----------- ---------- ----------- -----------
Total expenses............................................................. 597,486 405,739 575,481 411,242
Expense reimbursements..................................................... (187,892) (123,819) (233,206) (132,168)
Fees paid indirectly (Note 6).............................................. - - - -
----------- ---------- ----------- -----------
Net expenses............................................................... 409,594 281,920 342,275 279,074
----------- ---------- ----------- -----------
NET INVESTMENT INCOME (LOSS)................................................. 1,663,015 2,760,284 451,193 441,273
----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)................................................. 2,080,193 763,989 (3,739,918) (1,040,758)
Investments (affiliated)................................................... - - - -
Futures contracts.......................................................... - - - -
Foreign currency transactions.............................................. - - (214) -
Net increase from payments by affiliates (Note 3).......................... - - - -
----------- ---------- ----------- -----------
2,080,193 763,989 (3,740,132) (1,040,758)
----------- ---------- ----------- -----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)................................................. (1,882,030) 2,615,907 6,172,611 4,323,877
Investments (affiliated)................................................... - - - -
Futures contracts.......................................................... - - - -
Foreign currency translations.............................................. - - (2,193) -
Securities sold short...................................................... - (14,125) - -
----------- ---------- ----------- -----------
(1,882,030) 2,601,782 6,170,418 4,323,877
----------- ---------- ----------- -----------
Net realized and unrealized gain (loss) on investments and foreign currencies 198,163 3,365,771 2,430,286 3,283,119
----------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 1,861,178 $6,126,055 $ 2,881,479 $ 3,724,392
----------- ---------- ----------- -----------
* Net of foreign withholding taxes on dividends and interest of.............. $ 1,288 $ 1,467 $ 97,060 $ -
----------- ---------- ----------- -----------
MID CAP
GROWTH
FUND
- ------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (unaffiliated)..................................................... $ 117,254
Dividends (affiliated)....................................................... -
Interest (unaffiliated)...................................................... 21,878
-----------
Total investment income*................................................... 139,132
-----------
EXPENSES:
Advisory fees................................................................ 252,716
Custodian fees............................................................... 47,940
Shareholder service fees..................................................... 78,974
Audit fees and tax services fees............................................. 5,825
Legal fees................................................................... 5,635
Administrative services...................................................... 22,113
Trustees' fees and expenses.................................................. 27,306
Reports to shareholders...................................................... 25,609
Transfer agency fees......................................................... 2,790
Interest expense on securities sold short.................................... -
Miscellaneous................................................................ 8,939
-----------
Total expenses............................................................. 477,847
Expense reimbursements..................................................... (209,335)
Fees paid indirectly (Note 6).............................................. -
-----------
Net expenses............................................................... 268,512
-----------
NET INVESTMENT INCOME (LOSS)................................................. (129,380)
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)................................................. (2,664,757)
Investments (affiliated)................................................... -
Futures contracts.......................................................... -
Foreign currency transactions.............................................. (4,433)
Net increase from payments by affiliates (Note 3).......................... -
-----------
(2,669,190)
-----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)................................................. 11,664,050
Investments (affiliated)................................................... -
Futures contracts.......................................................... -
Foreign currency translations.............................................. (709)
Securities sold short...................................................... -
-----------
11,663,341
-----------
Net realized and unrealized gain (loss) on investments and foreign currencies 8,994,151
-----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 8,864,771
-----------
* Net of foreign withholding taxes on dividends and interest of.............. $ 2,274
-----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
45
STATEMENTS OF OPERATIONS - CONTINUED
For the Year Ended August 31, 2003
MODERATE
GROWTH MONEY SMALL CAP
MID CAP LIFESTYLE MARKET II GROWTH
VALUE FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (unaffiliated)..................................................... $ 1,141,756 $ - $ 79 $ 133,672
Dividends (affiliated)....................................................... - 794,863 - -
Interest (unaffiliated)...................................................... 35,170 - 1,084,524 19,479
----------- ----------- ---------- -----------
Total investment income*................................................... 1,176,926 794,863 1,084,603 153,151
----------- ----------- ---------- -----------
EXPENSES:
Advisory fees................................................................ 762,003 39,050 196,844 258,990
Custodian fees............................................................... 48,872 8,001 48,882 47,804
Shareholder service fees..................................................... 254,567 - 196,844 76,174
Audit fees and tax services fees............................................. 7,965 6,648 7,300 5,343
Legal fees................................................................... 18,794 3,342 14,713 5,396
Administrative services...................................................... 71,279 -- 55,116 21,328
Trustees' fees and expenses.................................................. 90,978 30,492 74,917 26,504
Reports to shareholders...................................................... 80,979 33,944 67,560 25,091
Transfer agency fees......................................................... 3,349 1,250 1,117 3,349
Interest expense on securities sold short.................................... - - - -
Miscellaneous................................................................ 5,412 800 2,998 6,896
----------- ----------- ---------- -----------
Total expenses............................................................... 1,344,198 123,527 666,291 476,875
Expense reimbursements....................................................... (275,017) (84,476) (225,360) (123,429)
Fees paid indirectly (Note 6)................................................ (38,000) - - -
----------- ----------- ---------- -----------
Net expenses................................................................. 1,031,181 39,051 440,931 353,446
----------- ----------- ---------- -----------
NET INVESTMENT INCOME (LOSS)................................................. 145,745 755,812 643,672 (200,295)
----------- ----------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)................................................. (1,391,127) - - (4,265,473)
Investments (affiliated)................................................... - (2,774,285) - -
Futures contracts.......................................................... - - - -
Foreign currency transactions.............................................. (2,203) - - 40
Net increase from payments by affiliates (Note 3)............................ - - - -
----------- ----------- ---------- -----------
(1,393,330) (2,774,285) - (4,265,433)
----------- ----------- ---------- -----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)................................................. 23,565,797 - - 14,419,025
Investments (affiliated)................................................... - 6,801,970 - -
Futures contracts.......................................................... - - - -
Forward currency contracts................................................. - - - -
Foreign currency translations.............................................. (660) - - -
Securities sold short...................................................... - - - -
----------- ----------- ---------- -----------
23,565,137 6,801,970 - 14,419,025
----------- ----------- ---------- -----------
Net realized and unrealized gain (loss) on investments and foreign currencies 22,171,807 4,027,685 - 10,153,592
----------- ----------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $22,317,552 $ 4,783,497 $ 643,672 $ 9,953,297
----------- ----------- ---------- -----------
* Net of foreign withholding taxes on dividends and interest of.............. $ 30,050 $ - $ - $ 1,768
----------- ----------- ---------- -----------
SOCIALLY
SMALL CAP RESPONSIBLE STRATEGIC
VALUE FUND FUND BOND FUND
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (unaffiliated)..................................................... $ 741,601 $ 163,322 $ 27,786
Dividends (affiliated)....................................................... - 228 -
Interest (unaffiliated)...................................................... 17,939 11,449 2,563,449
----------- ----------- ----------
Total investment income*................................................... 759,540 174,999 2,591,235
----------- ----------- ----------
EXPENSES:
Advisory fees................................................................ 340,630 26,232 202,136
Custodian fees............................................................... 47,916 47,994 133,767
Shareholder service fees..................................................... 113,816 26,232 84,477
Audit fees and tax services fees............................................. 6,883 4,764 5,799
Legal fees................................................................... 8,633 1,950 6,119
Administrative services...................................................... 31,868 7,345 23,603
Trustees' fees and expenses.................................................. 42,542 9,781 27,298
Reports to shareholders...................................................... 34,695 9,191 24,745
Transfer agency fees......................................................... 2,791 1,117 2,232
Interest expense on securities sold short.................................... - - -
Miscellaneous................................................................ 9,730 1,572 2,173
----------- ----------- ----------
Total expenses............................................................... 639,504 136,178 512,349
Expense reimbursements....................................................... (207,004) (77,417) (212,247)
Fees paid indirectly (Note 6)................................................ - - -
----------- ----------- ----------
Net expenses................................................................. 432,500 58,761 300,102
----------- ----------- ----------
NET INVESTMENT INCOME (LOSS)................................................. 327,040 116,238 2,291,133
----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)................................................. (2,490,647) (1,345,161) 1,186,942
Investments (affiliated)................................................... - (305) -
Futures contracts.......................................................... - (3,395) -
Foreign currency transactions.............................................. - - 28,041
Net increase from payments by affiliates (Note 3)............................ - 305 -
----------- ----------- ----------
(2,490,647) (1,348,556) 1,214,983
----------- ----------- ----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)................................................. 11,481,647 2,508,654 1,775,860
Investments (affiliated)................................................... - (2,882) -
Futures contracts.......................................................... - 84,250 -
Forward currency contracts................................................. - - -
Foreign currency translations.............................................. - - (3,775)
Securities sold short...................................................... - - -
----------- ----------- ----------
11,481,647 2,590,022 1,772,085
----------- ----------- ----------
Net realized and unrealized gain (loss) on investments and foreign currencies 8,991,000 1,241,466 2,987,068
----------- ----------- ----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 9,318,040 $ 1,357,704 $5,278,201
----------- ----------- ----------
* Net of foreign withholding taxes on dividends and interest of.............. $ $ 72 $ 6,464
----------- ----------- ----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
46
STATEMENTS OF CHANGES IN NET ASSETS
AGGRESSIVE
GROWTH
LIFESTYLE FUND CAPITAL APPRECIATION FUND
------------------------- -------------------------
For the Fiscal Year For the Fiscal Year
Ended August 31, Ended August 31,
------------------------- -------------------------
2003 2002 2003 2002
------------ ----------- ------------ -----------
OPERATIONS:
Net investment income (loss)............................... $ 208,115 $ 130,514 $ (7,836) $ (28,265)
Net realized gain (loss) on investments, futures contracts,
securities sold short and foreign currencies.............. (2,368,674) (2,399,573) (4,904,594) (6,781,732)
Capital gain distributions from underlying funds........... - 111,281 - -
Net unrealized appreciation (depreciation) on investments,
futures contracts, securities sold short and foreign
currencies................................................ 5,507,178 (1,226,505) 9,206,092 (2,384,978)
------------ ----------- ------------ -----------
Increase (decrease) in net assets resulting from
operations................................................ 3,346,619 (3,384,283) 4,293,662 (9,194,975)
------------ ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................................... (210,024) (213,928) (15,000) (325)
Net realized gain on securities............................ - - - -
------------ ----------- ------------ -----------
Decrease in net assets resulting from distributions to
shareholders.............................................. (210,024) (213,928) (15,000) (325)
------------ ----------- ------------ -----------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.................................. 21,640,948 6,356,299 15,419,910 15,422,787
Reinvestment of distributions.............................. 210,024 213,928 15,000 325
Cost of shares reacquired.................................. (16,882,437) (1,299,995) (11,967,390) (9,218,357)
------------ ----------- ------------ -----------
Increase (decrease) in net assets resulting from trust
share transactions...................................... 4,968,535 5,270,232 3,467,520 6,204,755
------------ ----------- ------------ -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................... 8,105,130 1,672,021 7,746,182 (2,990,545)
NET ASSETS:
Beginning of period........................................ 20,522,055 18,850,034 27,406,265 30,396,810
------------ ----------- ------------ -----------
End of period.............................................. $ 28,627,185 $20,522,055 $ 35,152,447 $27,406,265
------------ ----------- ------------ -----------
Undistributed net investment income (loss) included in
net assets at the end of the period....................... $ 7,130 $ 9,039 $ - $ (18)
------------ ----------- ------------ -----------
TRUST SHARES ISSUED AND REACQUIRED:
Sold....................................................... 2,965,863 762,908 2,285,673 1,941,426
Issued for distributions reinvested........................ 27,487 25,270 2,358 35
Reacquired................................................. (2,337,348) (161,377) (1,781,537) (1,194,619)
------------ ----------- ------------ -----------
Increase (decrease) in trust shares outstanding........... 656,002 626,801 506,494 746,842
Trust shares outstanding:
Beginning of period....................................... 2,763,196 2,136,395 4,081,896 3,335,054
------------ ----------- ------------ -----------
End of period............................................. 3,419,198 2,763,196 4,588,390 4,081,896
------------ ----------- ------------ -----------
CONSERVATIVE GROWTH
LIFESTYLE FUND CORE BOND FUND
------------------------- --------------------------
For the Fiscal Year For the Fiscal Year
Ended August 31, Ended August 31,
------------------------- --------------------------
2003 2002 2003 2002
------------ ----------- ------------ ------------
OPERATIONS:
Net investment income (loss)............................... $ 553,199 $ 618,908 $ 1,663,015 $ 1,874,394
Net realized gain (loss) on investments, futures contracts,
securities sold short and foreign currencies.............. (1,018,023) (1,049,874) 2,080,193 (259,986)
Capital gain distributions from underlying funds........... - 120,028 - -
Net unrealized appreciation (depreciation) on investments,
futures contracts, securities sold short and foreign
currencies................................................ 2,717,921 (624,895) (1,882,030) 657,374
------------ ----------- ------------ ------------
Increase (decrease) in net assets resulting from
operations................................................ 2,253,097 (935,833) 1,861,178 2,271,782
------------ ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................................... (555,753) (720,202) (1,772,964) (1,877,947)
Net realized gain on securities............................ - - - (239,854)
------------ ----------- ------------ ------------
Decrease in net assets resulting from distributions to
shareholders.............................................. (555,753) (720,202) (1,772,964) (2,117,801)
------------ ----------- ------------ ------------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.................................. 19,290,638 5,921,459 58,493,116 29,708,223
Reinvestment of distributions.............................. 555,753 720,202 1,772,964 2,117,801
Cost of shares reacquired.................................. (14,732,772) (3,671,822) (39,403,114) (21,662,468)
------------ ----------- ------------ ------------
Increase (decrease) in net assets resulting from trust
share transactions...................................... 5,113,619 2,969,839 20,862,966 10,163,556
------------ ----------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................... 6,810,963 1,313,804 20,951,180 10,317,537
NET ASSETS:
Beginning of period........................................ 20,841,254 19,527,450 42,567,755 32,250,218
------------ ----------- ------------ ------------
End of period.............................................. $ 27,652,217 $20,841,254 $ 63,518,935 $ 42,567,755
------------ ----------- ------------ ------------
Undistributed net investment income (loss) included in
net assets at the end of the period....................... $ 10,762 $ 13,316 $ 79,281 $ -
------------ ----------- ------------ ------------
TRUST SHARES ISSUED AND REACQUIRED:
Sold....................................................... 2,188,411 653,650 5,748,688 3,002,124
Issued for distributions reinvested........................ 61,966 78,187 175,237 215,165
Reacquired................................................. (1,684,195) (407,580) (3,867,618) (2,190,901)
------------ ----------- ------------ ------------
Increase (decrease) in trust shares outstanding........... 566,182 324,257 2,056,307 1,026,388
Trust shares outstanding:
Beginning of period....................................... 2,386,127 2,061,870 4,279,947 3,253,559
------------ ----------- ------------ ------------
End of period............................................. 2,952,309 2,386,127 6,336,254 4,279,947
------------ ----------- ------------ ------------
HIGH YIELD BOND FUND
-------------------------
For the Fiscal Year
Ended August 31,
-------------------------
2003 2002
------------ -----------
OPERATIONS:
Net investment income (loss)............................... $ 2,760,284 $ 1,817,759
Net realized gain (loss) on investments, futures contracts,
securities sold short and foreign currencies.............. 763,989 (1,644,023)
Capital gain distributions from underlying funds........... - -
Net unrealized appreciation (depreciation) on investments,
futures contracts, securities sold short and foreign
currencies................................................ 2,601,782 (1,756,632)
------------ -----------
Increase (decrease) in net assets resulting from
operations................................................ 6,126,055 (1,582,896)
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................................... (2,710,856) (1,800,215)
Net realized gain on securities............................ - -
------------ -----------
Decrease in net assets resulting from distributions to
shareholders.............................................. (2,710,856) (1,800,215)
------------ -----------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.................................. 63,564,855 8,948,459
Reinvestment of distributions.............................. 2,710,856 1,800,215
Cost of shares reacquired.................................. (46,731,169) (5,440,976)
------------ -----------
Increase (decrease) in net assets resulting from trust
share transactions...................................... 19,544,542 5,307,698
------------ -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................... 22,959,741 1,924,587
NET ASSETS:
Beginning of period........................................ 19,026,273 17,101,686
------------ -----------
End of period.............................................. $ 41,986,014 $19,026,273
------------ -----------
Undistributed net investment income (loss) included in
net assets at the end of the period....................... $ 97,022 $ 31,617
------------ -----------
TRUST SHARES ISSUED AND REACQUIRED:
Sold....................................................... 8,454,739 1,162,727
Issued for distributions reinvested........................ 367,969 240,318
Reacquired................................................. (6,178,146) (709,455)
------------ -----------
Increase (decrease) in trust shares outstanding........... 2,644,562 693,590
Trust shares outstanding:
Beginning of period....................................... 2,788,711 2,095,121
------------ -----------
End of period............................................. 5,433,273 2,788,711
------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
47
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
INTERNATIONAL
GROWTH II FUND LARGE CAP VALUE FUND
-------------------------- -------------------------
For the Fiscal Year For the Fiscal Year
Ended August 31, Ended August 31,
-------------------------- -------------------------
2003 2002 2003 2002
------------ ------------ ------------ -----------
OPERATIONS:
Net investment income (loss)....................... $ 451,193 $ 232,666 $ 441,273 $ 244,017
Net realized gain (loss) on investments, futures
contracts, securities sold short and foreign
currencies........................................ (3,740,132) (4,651,109) (1,040,758) (770,532)
Capital gain distributions from underlying funds... - - - -
Net unrealized appreciation (depreciation) on
investments, futures contracts, securities sold
short and foreign currencies...................... 6,170,418 790,327 4,323,877 (1,435,140)
------------ ------------ ------------ -----------
Increase (decrease) in net assets resulting from
operations...................................... 2,881,479 (3,628,116) 3,724,392 (1,961,655)
------------ ------------ ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (469,933) (43,693) (420,981) (239,190)
Net realized gain on securities.................... - - - -
------------ ------------ ------------ -----------
Decrease in net assets resulting from
distributions to shareholders................. (469,933) (43,693) (420,981) (239,190)
------------ ------------ ------------ -----------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.......................... 56,895,584 40,170,315 30,554,582 17,820,931
Reinvestment of distributions...................... 469,933 43,693 420,981 239,190
Cost of shares reacquired.......................... (47,685,126) (34,785,203) (17,426,122) (8,310,808)
------------ ------------ ------------ -----------
Increase (decrease) in net assets resulting from
trust share transactions........................ 9,680,391 5,428,805 13,549,441 9,749,313
------------ ------------ ------------ -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS............ 12,091,937 1,756,996 16,852,852 7,548,468
NET ASSETS:
Beginning of period................................ 30,114,370 28,357,374 28,030,194 20,481,726
------------ ------------ ------------ -----------
End of period...................................... $ 42,206,307 $ 30,114,370 $ 44,883,046 $28,030,194
------------ ------------ ------------ -----------
Undistributed net investment income (loss) included
in net assets at the end of the period............ $ 45,000 $ 63,953 $ 25,753 $ 4,992
------------ ------------ ------------ -----------
TRUST SHARES ISSUED AND REACQUIRED:
Sold............................................... 6,779,221 4,245,759 3,075,002 1,653,322
Issued for distributions reinvested................ 53,795 4,364 41,049 22,030
Reacquired......................................... (5,653,002) (3,620,463) (1,768,085) (778,417)
------------ ------------ ------------ -----------
Increase (decrease) in trust shares outstanding.. 1,180,014 629,660 1,347,966 896,935
Trust shares outstanding:
Beginning of period.............................. 3,473,651 2,843,991 2,742,872 1,845,937
------------ ------------ ------------ -----------
End of period.................................... 4,653,665 3,473,651 4,090,838 2,742,872
------------ ------------ ------------ -----------
MID CAP GROWTH FUND MID CAP VALUE FUND
-------------------------- --------------------------
For the Fiscal Year For the Fiscal Year
Ended August 31, Ended August 31,
-------------------------- --------------------------
2003 2002 2003 2002
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income (loss)....................... $ (129,380) $ (124,382) $ 145,745 $ 296,885
Net realized gain (loss) on investments, futures
contracts, securities sold short and foreign
currencies........................................ (2,669,190) (11,012,675) (1,393,330) (2,394,220)
Capital gain distributions from underlying funds... - - - -
Net unrealized appreciation (depreciation) on
investments, futures contracts, securities sold
short and foreign currencies...................... 11,663,341 1,927,403 23,565,137 (9,044,584)
------------ ------------ ------------ ------------
Increase (decrease) in net assets resulting from
operations...................................... 8,864,771 (9,209,654) 22,317,552 (11,141,919)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. - - (233,002) (245,275)
Net realized gain on securities.................... - - - (2,423,617)
------------ ------------ ------------ ------------
Decrease in net assets resulting from
distributions to shareholders................. - - (233,002) (2,668,892)
------------ ------------ ------------ ------------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.......................... 26,683,279 15,926,216 66,406,586 45,838,614
Reinvestment of distributions...................... - - 233,002 2,668,892
Cost of shares reacquired.......................... (17,289,783) (4,466,415) (46,779,351) (8,911,415)
------------ ------------ ------------ ------------
Increase (decrease) in net assets resulting from
trust share transactions........................ 9,393,496 11,459,801 19,860,237 39,596,091
------------ ------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............ 18,258,267 2,250,147 41,944,787 25,785,280
NET ASSETS:
Beginning of period................................ 25,526,754 23,276,607 93,244,794 67,459,514
------------ ------------ ------------ ------------
End of period...................................... $ 43,785,021 $ 25,526,754 $135,189,581 $ 93,244,794
------------ ------------ ------------ ------------
Undistributed net investment income (loss) included
in net assets at the end of the period............ $ (4,433) $ (834) $ (2,003) $ 55,407
------------ ------------ ------------ ------------
TRUST SHARES ISSUED AND REACQUIRED:
Sold............................................... 5,664,363 2,812,734 5,760,943 3,464,812
Issued for distributions reinvested................ - - 19,492 206,115
Reacquired......................................... (3,727,714) (821,052) (4,130,864) (714,439)
------------ ------------ ------------ ------------
Increase (decrease) in trust shares outstanding.. 1,936,649 1,991,682 1,649,571 2,956,488
Trust shares outstanding:
Beginning of period.............................. 5,745,199 3,753,517 7,937,233 4,980,745
------------ ------------ ------------ ------------
End of period.................................... 7,681,848 5,745,199 9,586,804 7,937,233
------------ ------------ ------------ ------------
MODERATE GROWTH
LIFESTYLE FUND
-------------------------
For the Fiscal Year
Ended August 31,
-------------------------
2003 2002
------------ -----------
OPERATIONS:
Net investment income (loss)....................... $ 755,812 $ 730,217
Net realized gain (loss) on investments, futures
contracts, securities sold short and foreign
currencies........................................ (2,774,285) (2,606,986)
Capital gain distributions from underlying funds... - 220,842
Net unrealized appreciation (depreciation) on
investments, futures contracts, securities sold
short and foreign currencies...................... 6,801,970 (1,412,908)
------------ -----------
Increase (decrease) in net assets resulting from
operations...................................... 4,783,497 (3,068,835)
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (761,188) (903,982)
Net realized gain on securities.................... - (574)
------------ -----------
Decrease in net assets resulting from
distributions to shareholders................. (761,188) (904,556)
------------ -----------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.......................... 35,978,063 10,350,948
Reinvestment of distributions...................... 761,188 904,556
Cost of shares reacquired.......................... (28,817,032) (3,528,218)
------------ -----------
Increase (decrease) in net assets resulting from
trust share transactions........................ 7,922,219 7,727,286
------------ -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS............ 11,944,528 3,753,895
NET ASSETS:
Beginning of period................................ 35,747,022 31,993,127
------------ -----------
End of period...................................... $ 47,691,550 $35,747,022
------------ -----------
Undistributed net investment income (loss) included
in net assets at the end of the period............ $ 12,397 $ 17,773
------------ -----------
TRUST SHARES ISSUED AND REACQUIRED:
Sold............................................... 4,054,801 1,086,179
Issued for distributions reinvested................ 82,867 93,625
Reacquired......................................... (3,275,479) (371,014)
------------ -----------
Increase (decrease) in trust shares outstanding.. 862,189 808,790
Trust shares outstanding:
Beginning of period.............................. 4,002,762 3,193,972
------------ -----------
End of period.................................... 4,864,951 4,002,762
------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
48
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
MONEY MARKET II FUND SMALL CAP GROWTH FUND
--------------------------- --------------------------
For the Fiscal Year For the Fiscal Year
Ended August 31, Ended August 31,
--------------------------- --------------------------
2003 2002 2003 2002
------------- ------------ ------------ ------------
OPERATIONS:
Net investment income (loss)....................... $ 643,672 $ 1,010,487 $ (200,295) $ (214,819)
Net realized gain (loss) on investments, futures
contracts, securities sold short and foreign
currencies........................................ - - (4,265,433) (6,519,059)
Capital gain distributions from underlying funds... - - - -
Net unrealized appreciation (depreciation) on
investments, futures contracts, securities sold
short and foreign currencies...................... - - 14,419,025 (3,450,341)
------------- ------------ ------------ ------------
Increase (decrease) in net assets resulting from
operations........................................ 643,672 1,010,487 9,953,297 (10,184,219)
------------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (643,672) (1,010,487) - -
Net realized gain on securities.................... - - - -
------------- ------------ ------------ ------------
Decrease in net assets resulting from
distributions to shareholders..................... (643,672) (1,010,487) - -
------------- ------------ ------------ ------------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.......................... 226,598,759 71,625,734 41,225,306 16,582,990
Reinvestment of distributions...................... 643,672 1,010,487 - -
Cost of shares reacquired.......................... (218,313,921) (53,745,536) (31,960,214) (8,849,593)
------------- ------------ ------------ ------------
Increase (decrease) in net assets resulting from
trust share transactions........................ 8,928,510 18,890,685 9,265,092 7,733,397
------------- ------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............ 8,928,510 18,890,685 19,218,389 (2,450,822)
NET ASSETS:
Beginning of period................................ 70,869,793 51,979,108 25,072,001 27,522,823
------------- ------------ ------------ ------------
End of period...................................... $ 79,798,303 $ 70,869,793 $ 44,290,390 $ 25,072,001
------------- ------------ ------------ ------------
Undistributed net investment income (loss)
included in net assets at the end of the period... $ - $ - $ - $ -
------------- ------------ ------------ ------------
TRUST SHARES ISSUED AND REACQUIRED:
Sold............................................... 226,598,759 71,625,734 5,322,885 1,761,696
Issued for distributions reinvested................ 643,672 1,010,487 - -
Reacquired......................................... (218,313,921) (53,745,536) (4,146,581) (946,899)
------------- ------------ ------------ ------------
Increase (decrease) in trust shares
outstanding....................................... 8,928,510 18,890,685 1,176,304 814,797
Trust shares outstanding:
Beginning of period............................... 70,869,793 51,979,108 3,388,764 2,573,967
------------- ------------ ------------ ------------
End of period..................................... 79,798,303 70,869,793 4,565,068 3,388,764
------------- ------------ ------------ ------------
SMALL CAP VALUE FUND SOCIALLY RESPONSIBLE FUND
-------------------------- ------------------------
For the Fiscal Year For the Fiscal Year
Ended August 31, Ended August 31,
-------------------------- ------------------------
2003 2002 2003 2002
------------ ------------ ----------- -----------
OPERATIONS:
Net investment income (loss)....................... $ 327,040 $ 349,242 $ 116,238 $ 93,066
Net realized gain (loss) on investments, futures
contracts, securities sold short and foreign
currencies........................................ (2,490,647) 57,573 (1,348,556) (651,941)
Capital gain distributions from underlying funds... - - - -
Net unrealized appreciation (depreciation) on
investments, futures contracts, securities sold
short and foreign currencies...................... 11,481,647 (6,779,216) 2,590,022 (1,738,855)
------------ ------------ ----------- -----------
Increase (decrease) in net assets resulting from
operations........................................ 9,318,040 (6,372,401) 1,357,704 (2,297,730)
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (395,002) (337,469) (89,502) (91,639)
Net realized gain on securities.................... (718,060) (776,890) - -
------------ ------------ ----------- -----------
Decrease in net assets resulting from
distributions to shareholders..................... (1,113,062) (1,114,359) (89,502) (91,639)
------------ ------------ ----------- -----------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.......................... 28,891,499 32,068,532 5,068,704 1,580,842
Reinvestment of distributions...................... 1,113,062 1,114,359 89,502 91,639
Cost of shares reacquired.......................... (24,411,094) (10,975,010) (4,053,715) (887,489)
------------ ------------ ----------- -----------
Increase (decrease) in net assets resulting from
trust share transactions........................ 5,593,467 22,207,881 1,104,491 784,992
------------ ------------ ----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS............ 13,798,445 14,721,121 2,372,693 (1,604,377)
NET ASSETS:
Beginning of period................................ 45,124,394 30,403,273 10,007,707 11,612,084
------------ ------------ ----------- -----------
End of period...................................... $ 58,922,839 $ 45,124,394 $12,380,400 $10,007,707
------------ ------------ ----------- -----------
Undistributed net investment income (loss)
included in net assets at the end of the period... $ 21,591 $ 89,553 $ 30,345 $ 3,862
------------ ------------ ----------- -----------
TRUST SHARES ISSUED AND REACQUIRED:
Sold............................................... 3,008,871 2,745,947 609,464 160,749
Issued for distributions reinvested................ 114,114 101,468 10,721 9,421
Reacquired......................................... (2,583,885) (1,028,179) (492,612) (94,602)
------------ ------------ ----------- -----------
Increase (decrease) in trust shares
outstanding....................................... 539,100 1,819,236 127,573 75,568
Trust shares outstanding:
Beginning of period............................... 4,496,381 2,677,145 1,186,101 1,110,533
------------ ------------ ----------- -----------
End of period..................................... 5,035,481 4,496,381 1,313,674 1,186,101
------------ ------------ ----------- -----------
STRATEGIC BOND FUND
-------------------------
For the Fiscal Year
Ended August 31,
-------------------------
2003 2002
------------ -----------
OPERATIONS:
Net investment income (loss)....................... $ 2,291,133 $ 1,431,099
Net realized gain (loss) on investments, futures
contracts, securities sold short and foreign
currencies........................................ 1,214,983 (418,795)
Capital gain distributions from underlying funds... - -
Net unrealized appreciation (depreciation) on
investments, futures contracts, securities sold
short and foreign currencies...................... 1,772,085 (515,990)
------------ -----------
Increase (decrease) in net assets resulting from
operations........................................ 5,278,201 496,314
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (2,219,077) (1,388,218)
Net realized gain on securities.................... - -
------------ -----------
Decrease in net assets resulting from
distributions to shareholders..................... (2,219,077) (1,388,218)
------------ -----------
TRUST SHARE TRANSACTIONS:
Proceeds from shares sold.......................... 32,083,742 14,694,918
Reinvestment of distributions...................... 2,219,077 1,388,218
Cost of shares reacquired.......................... (17,964,350) (4,136,665)
------------ -----------
Increase (decrease) in net assets resulting from
trust share transactions........................ 16,338,469 11,946,471
------------ -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS............ 19,397,593 11,054,567
NET ASSETS:
Beginning of period................................ 26,167,459 15,112,892
------------ -----------
End of period...................................... $ 45,565,052 $26,167,459
------------ -----------
Undistributed net investment income (loss)
included in net assets at the end of the period... $ 191,771 $ 8,485
------------ -----------
TRUST SHARES ISSUED AND REACQUIRED:
Sold............................................... 3,210,130 1,522,769
Issued for distributions reinvested................ 222,875 145,531
Reacquired......................................... (1,812,087) (432,518)
------------ -----------
Increase (decrease) in trust shares
outstanding....................................... 1,620,918 1,235,782
Trust shares outstanding:
Beginning of period............................... 2,810,215 1,574,433
------------ -----------
End of period..................................... 4,431,133 2,810,215
------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
49
NOTES TO FINANCIAL STATEMENTS
Note 1 -- Organization
VALIC Company II ("VC II") was organized as a Delaware business trust on May
6, 1998, by The Variable Annuity Life Insurance Company ("VALIC") and is
registered under the Investment Company Act of 1940, as amended, (the "1940
Act") as an open-end, management investment company. On August 26, 1998, VALIC
contributed $100,000 to VC II as its initial funding. On September 21, 1998,
VALIC Separate Account A, invested an additional $74,900,000, and VC II
commenced operations. VC II consists of the following 15 separate investment
portfolios or "funds", each of which is, in effect, a separate mutual fund
issuing its own separate class of shares of beneficial interest:
Aggressive Growth Lifestyle Fund*
Capital Appreciation Fund
Conservative Growth Lifestyle Fund*
Core Bond Fund
High Yield Bond Fund
International Growth II Fund
Large Cap Value Fund
Mid Cap Growth Fund
Mid Cap Value Fund
Moderate Growth Lifestyle Fund*
Money Market II Fund
Small Cap Growth Fund
Small Cap Value Fund
Socially Responsible Fund
Strategic Bond Fund
* The Lifestyle Funds represent "funds of funds" which invest in either the
VALIC Company I ("VC I") or VALIC Company II Mutual Funds.
Indemnifications
Under VC II's organizational documents, its officers and trustees are
indemnified against certain liability arising out of the performance of their
duties to VC II. In addition, in the normal course of business VC II enters
into contracts that contain a variety of representations and warranties which
provide general indemnifications. VC II's maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against VC II that have not yet occurred. However, VC II expects the risk of
loss to be remote.
Note 2 -- Significant Accounting Policies
The financial statements have been prepared in accordance with accounting
principles generally accepted in the United States ("GAAP"). GAAP requires
accruals which occasionally are based upon management estimates. Actual results
could differ from estimates. The following is a summary of significant
accounting policies consistently followed by each Fund in the preparation of
its financial statements.
A. Investment Valuation
Securities listed or traded on a national exchange are valued daily at their
last reported sale price as of the close of the customary trading session on
the exchange where the security is principally traded. Securities listed on the
NASDAQ exchange will be valued using the NASDAQ Official Closing Price
("NOCP"). Generally, the NOCP will be the last sale price unless the reported
trade for the security is outside the range of the bid/ask price. In such
cases, the NOCP will be normalized to the nearer of the bid or ask price. For
listed securities having no sales reported and for unlisted securities, such
securities will be valued based upon the last reported bid price.
Futures traded on commodity exchanges are valued as of the close of such
exchange. U.S. Treasury securities and other obligations issued or guaranteed
by the U.S. Government, its agencies or instrumentalities, are valued at
representative quoted prices. Such quotations generally are obtained from third
party pricing services; however, in circumstances where it is deemed
appropriate to do so, quotations may be obtained from dealers in government
securities. Publicly-traded corporate bonds are valued at prices obtained from
third party pricing services. Convertible bonds are valued at prices obtained
from one or more of the major dealers in such bonds. Where there is a
discrepancy between dealers or when no quotes are readily available, values may
be adjusted based on a combination of yields and premium spreads to the
underlying common stock. Senior Secured Floating Rate Loans ("Loans") for which
an active secondary market exists to a reliable degree, will be valued at the
mean of the last available bid and asked prices in the market for such Loans,
as provided by a third party pricing service. Short-term debt securities for
which market quotations are readily available are valued at the last reported
bid price. However, any short-term security with a remaining maturity of 60
days or less and all investments of the Money Market II Fund are valued by the
amortized cost method which approximates fair market value. Portfolio
securities that are primarily traded on foreign security exchanges are
generally valued at the last sale price on the exchange where such security is
primarily traded. All foreign securities traded on the over-the-counter market
are valued at the last sale quote, if market quotations are available, or the
last closing bid price, if there is no active trading in a particular security
for a given day. Securities for which market quotations are not readily
available or if a development/event occurs that may significantly impact the
value of the securities, then these securities are fair valued, as determined
pursuant to procedures adopted in good faith by the Board of Trustees.
Securities of the Lifestyle Funds are valued at the net asset value (market
value) of the underlying VC I and VC II Funds.
B. Futures and Forward Currency Contracts
Futures Contracts. A futures contract is an agreement between two parties to
buy or sell a financial instrument at a set price on a future date. Upon
entering into such a contract VC II is required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded.
The contract amount reflects the extent of a Fund's exposure in these financial
instruments. A Fund's participation in the futures markets involves certain
risks, including imperfect correlation between movements in the price of
futures contracts and movements in the price of the securities hedged or used
for cover. VC II's activities in the futures contracts are conducted through
regulated exchanges which do not result in counterparty credit risks. Pursuant
to a contract, the Funds agree to receive from or pay to the broker an amount
of cash equal to the fluctuation in value of the contract. Such receipts or
payments are known as "variation margin" and are recorded by the Funds as
unrealized appreciation or depreciation. When a contract is closed, the Funds
record a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Securities in the Funds which serve as collateral for open futures contracts
are indicated in the Schedule of Investments.
Forward Currency Contracts. Certain Funds may enter into forward currency
contracts to attempt to protect securities and related receivables and payables
against changes in future foreign exchange rates or to enhance return. Forward
currency contracts are agreements between two parties to buy and sell
currencies at a set price on a future date. The U.S. dollar value of forward
currency contracts is determined using current forward currency exchange rates
supplied by a quotation service. The market value of the
- --------------------------------------------------------------------------------
50
NOTES TO FINANCIAL STATEMENTS - CONTINUED
contract will fluctuate with changes in currency exchange rates. During the
period the forward currency contract is open, the contract is "marked to
market" daily and the change in market value is recorded as an unrealized gain
or loss. When the contract is closed, the Fund records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. The Fund could be exposed to
risk if the value of the currency changes unfavorably, if the counterparties to
the contracts are unable to meet the terms of their contracts, or if the Fund
is unable to enter into a closing position.
The Funds will cover outstanding forward contracts by maintaining liquid
portfolio securities denominated in, or whose value is tied to, the currency
underlying the forward contract or the currency being hedged. To the extent
that a Fund is not able to cover its forward currency positions with underlying
portfolio securities, the custodian will segregate cash or other liquid assets
having a value equal to the aggregate amount of the Fund's commitments under
forward contracts entered into with respect to position hedges, settlement
hedges and anticipatory hedges.
C. Repurchase Agreements
Pursuant to exemptive relief granted by the Securities and Exchange
Commission, the Funds are permitted to participate in joint repurchase
agreement transactions with other affiliated mutual funds. The Funds, along
with other affiliated registered investment companies, may transfer uninvested
cash balances into a single joint account, the daily aggregate balance of which
is invested in one or more repurchase agreements collateralized by U.S.
Treasury or federal agency obligations. The Funds' custodian takes possession
of the collateral pledged for investments in such repurchase agreements. The
underlying collateral is valued daily on a mark to market basis to ensure that
the value is equal to at least 102% of the repurchase price, including accrued
interest. In the event of default of the obligation to repurchase, a Fund has
the right to liquidate the collateral and apply the proceeds in satisfaction of
the obligation. If the seller defaults and the value of the collateral declines
or if bankruptcy proceedings are commenced with respect to the seller of the
security, realization of the collateral by the Fund may be delayed or limited.
At August 31, 2003, Money Market II Fund held 0.29% undivided interest,
representing $441,000 in principal amount in a joint repurchase agreement with
State Street Bank and Trust Co. which is dated August 29, 2003, bears interest
at a rate of 0.88% per annum, has a principal amount of $153,250,000, a
repurchase price of $153,264,984, and matures September 2, 2003. The repurchase
agreement is collateralized by the following:
Interest Maturity Principal Market
Type of Collateral Rate Date Amount Value
---------------------------------------------------------------
U.S. Treasury Bills 0.96% 02/12/04 $102,525,000 $102,012,375
U.S. Treasury Bills 0.87 11/28/03 40,910,000 40,807,725
U.S. Treasury Bills 0.94 02/05/04 13,580,000 13,518,890
In addition, at August 31, 2003, Money Market II Fund held 1.14% undivided
interest, representing $4,000,000 in principal amount in a joint repurchase
agreement with UBS Warburg, LLC which is dated August 29, 2003, bears interest
at a rate of 1.00% per annum, has a principal amount of $350,000,000, a
repurchase price of $350,038,889, and matures September 2, 2003. The repurchase
agreement is collateralized by the following:
Interest Maturity Principal Market
Type of Collateral Rate Date Amount Value
---------------------------------------------------------------
U.S. Treasury Bonds 3.63% 04/15/28 $250,000,000 $331,565,000
U.S. Treasury Bonds 3.88 04/15/29 19,761,000 26,882,074
D. Mortgage-Backed Dollar Rolls
During the period ended August 31, 2003, the Core Bond Fund entered into
dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA
Rolls"). The Fund's policy is to record the components of TBA Rolls as
purchase/sale transactions. Any difference between the purchase and sale price
is recorded as a realized gain or loss on the date the transaction is entered
into. The Core Bond Fund had TBA Rolls outstanding at period end, which are
included in receivable for investments sold and payable for investments
purchased in the Statement of Assets and Liabilities.
E. Foreign Currency Translation
The accounting records of each Fund are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies ("local currencies") are translated into U.S. dollars at prevailing
exchange rates at the date of valuation.
Net realized gains or losses on foreign currency transactions include
exchange rate gains and losses from disposition of foreign currencies, currency
gains and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
In determining realized and unrealized gains or losses on foreign securities
for the period, the Funds do not isolate exchange rate fluctuations from local
security price fluctuations. Such fluctuations are included with net realized
and unrealized gain or loss from investments. Foreign currencies and other
assets and liabilities denominated in local currencies are "marked to market"
daily to reflect fluctuations in foreign exchange rates.
F. Restricted Securities
Each Fund may purchase securities which, while privately placed, are eligible
for purchase and sale pursuant to Rule 144A under the Securities Act of 1933
(the "1933 Act"). This Rule permits certain institutional buyers, such as the
Funds, to trade in privately placed securities even though such securities are
not registered under the 1933 Act. Each Fund may invest in 144A securities (in
accordance with each Fund's investment restrictions as listed in the Statement
of Additional Information) that have been determined to be liquid. In making
this determination, the Fund will consider the trading markets for the specific
security, taking into account the unregistered nature of a Rule 144A security.
In addition, the Fund could consider frequency of trading and available quotes,
number of dealers and potential purchasers, dealer undertakings to make a
market, and the potential limitations on the transfer of ownership.
G. Short Sales
All Funds, except for the Money Market II Fund and the three Lifestyle Funds,
may engage in ''short sales against the box.'' This technique involves selling
either a security that a Fund owns, or a security equivalent in kind and amount
to the security sold short. A Fund may enter into a short sale against the box
to hedge against anticipated declines in the market price of that security. The
High Yield Bond Fund may also engage in ''naked'' short sales. To complete such
transactions, the Fund must borrow the security to make delivery to the buyer.
The Fund then is obligated to replace the security borrowed by purchasing it at
market price at the time of replacement. The price at such time may be more or
less than the price at which the security was sold by the Fund. Until the
security is replaced, the Fund is required to pay to the lender any dividends
or interest that accrue during the period of the loan. To borrow the security,
the Fund also may be required to pay a premium, which would increase the cost
of the security sold. The proceeds of the short sale will be retained by the
broker, to the extent necessary to meet margin requirements, until the short
position is closed out. Until the Fund replaces a borrowed security, the Fund
will maintain daily a segregated account, containing cash or liquid securities,
at such a level that (i) the amount deposited in the account plus the amount
deposited with the broker as collateral will equal the current value of the
security
- --------------------------------------------------------------------------------
51
NOTES TO FINANCIAL STATEMENTS - CONTINUED
sold short and (ii) the amount deposited in the segregated account plus the
amount deposited with the broker as collateral will not be less than the market
value of the security at the time it was sold short. Liabilities for securities
sold short are reported at market value in the financial statements. Such
liabilities are subject to off balance sheet risk to the extent of any future
increases in market value of the securities sold short. The ultimate liability
for securities sold short could exceed the liabilities recorded in the
Statement of Assets and Liabilities. The Fund bears the risk of potential
inability of the broker to meet their obligation to perform.
H. Investment Transactions, Investment Income, Expenses, Dividends and
Distributions to Shareholders
Securities transactions are recorded on a trade date basis. Senior Secured
Floating Rate Loans are recorded on a settlement date basis. Realized gains and
losses on securities sold are determined on the basis of identified cost.
Dividend income and capital gain distributions received are recorded on the
ex-dividend date. Interest income on investments is accrued daily. For
financial statement purposes, VC II amortizes all premiums and accretes all
discounts on fixed income securities. Common expenses incurred by VC II are
allocated among the Funds based upon relative net assets or other appropriate
allocation methods. In all other respects, expenses are charged to each Fund as
incurred on a specific identification basis. For the Lifestyle Funds, the
expenses included in the accompanying financial statements reflect the expenses
of the Lifestyle Funds and do not include any expenses associated with the
underlying Funds.
Distributions to shareholders are recorded on the ex-dividend date. Dividends
from net investment income, if any, are declared and paid quarterly, except for
the Money Market II Fund, which declares daily. Distributions from net realized
capital gains, if any, are normally declared and paid annually.
Investment income and capital gains and losses are recognized in accordance
with GAAP ("book"). Distributions from net investment income and realized
capital gains are based on earnings as determined in accordance with federal
tax regulations ("tax") which may differ from book basis earnings. These
differences are primarily due to differing treatments for capital loss
carryforwards, deferral of wash sales, post-October capital losses, net
operating losses, mortgage-backed securities and foreign currency transactions.
At the end of the fiscal year, offsetting adjustments to undistributed net
investment income, paid in capital and accumulated net realized gains (losses)
are made to eliminate permanent book/tax differences arising in the current
fiscal year. Net assets are not affected by these adjustments.
Each Fund intends to qualify as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and to distribute all of its taxable
net investment income and taxable net realized capital gains, in excess of any
available capital loss carryovers. Therefore, no Federal income tax provision
is required.
Note 3 -- Advisory Fees and Other Transactions with Affiliates
VALIC, an indirect wholly owned subsidiary of American International Group,
Inc. ("AIG"), serves as investment adviser to VC II. Certain officers and
trustees of VC II are officers and directors of VALIC or affiliates of VALIC.
VALIC entered into sub-advisory agreements with the following:
AIG Global Investment Corp. -- sub-adviser for the Socially Responsible
Fund, High Yield Bond Fund, the Strategic Bond Fund, the Core Bond Fund,
Aggressive, Moderate and Conservative Growth Lifestyle Funds.
AIG SunAmerica Asset Management Corp. ("SAAMCO") -- sub-adviser for
the Money Market II Fund.
Banc One Investment Advisors Corp. -- sub-adviser for Small Cap Value Fund.
Credit Suisse Asset Management, LLC -- sub-adviser for the Capital
Appreciation Fund.
Franklin Advisers, Inc. -- sub-adviser for the Small Cap Growth Fund.
INVESCO Funds Group, Inc. -- sub-adviser for the Mid Cap Growth Fund.
Putnam Investment Management, LLC -- sub-adviser for the International
Growth II Fund.
SSgA Funds Management, Inc. -- sub-adviser for the Large Cap Value Fund.
Wellington Management Co. LLP -- sub-adviser for the Mid Cap Value Fund.
The sub-advisers are compensated for their services by VALIC.
VALIC receives from VC II a monthly fee based on each Fund's average daily net
asset value at the following annual rates:
Aggressive Growth Lifestyle Fund 0.10%
------------------------------------------------------------------------
Capital Appreciation Fund 0.55%
------------------------------------------------------------------------
Conservative Growth Lifestyle Fund 0.10%
------------------------------------------------------------------------
Core Bond Fund 0.50% on the first $200 million
0.45% on the next $300 million
0.40% on assets over $500 million
------------------------------------------------------------------------
High Yield Bond Fund 0.70% on the first $200 million
0.60% on the next $300 million
0.55% on assets over $500 million
------------------------------------------------------------------------
International Growth II Fund 0.90% on the first $100 million
0.80% on assets over $100 million
------------------------------------------------------------------------
Large Cap Value Fund 0.50%
------------------------------------------------------------------------
Mid Cap Growth Fund 0.80% on the first $50 million
0.75% on the next $50 million
0.70% on the next $150 million
0.65% on the next $250 million
0.60% on assets over $500 million
------------------------------------------------------------------------
Mid Cap Value Fund 0.75% on the first $100 million
0.725% on the next $150 million
0.70% on the next $250 million
0.675% on the next $250 million
0.65% on the assets over $750 million
------------------------------------------------------------------------
Moderate Growth Lifestyle Fund 0.10%
------------------------------------------------------------------------
Money Market II Fund 0.25%
------------------------------------------------------------------------
Small Cap Growth Fund 0.85%
------------------------------------------------------------------------
Small Cap Value Fund 0.75% on the first $50 million
0.65% on the assets over $50 million
------------------------------------------------------------------------
Socially Responsible Fund 0.25%
------------------------------------------------------------------------
Strategic Bond Fund 0.60% on the first $200 million
0.50% on the next $300 million
0.45% on assets over $500 million
------------------------------------------------------------------------
- --------------------------------------------------------------------------------
52
NOTES TO FINANCIAL STATEMENTS - CONTINUED
VALIC has agreed to waive a portion of its management fee or to reimburse
certain expenses of the Funds listed below through December 31, 2004. The table
below reflects total annual operating expenses by Fund, as limited by the
Adviser, shown as a percentage of average net assets:
Maximum
Expense
Fund Limitation
----------------------------------------
Aggressive Growth Lifestyle.. 0.10%
Capital Appreciation......... 0.85%
Conservative Growth Lifestyle 0.10%
Core Bond.................... 0.77%
High Yield Bond.............. 0.99%
International Growth II *.... 1.01%
Large Cap Value.............. 0.81%
Mid Cap Growth............... 0.85%
Mid Cap Value................ 1.05%
Moderate Growth Lifestyle.... 0.10%
Money Market II.............. 0.56%
Small Cap Growth............. 1.16%
Small Cap Value.............. 0.95%
Socially Responsible......... 0.56%
Strategic Bond............... 0.89%
*Effective September 1, 2003, the maximum expense limitation changed to 1.00%.
Effective October 1, 2001, VC II entered into an Administrative Services
Agreement with SAAMCo. SAAMCo receives from each Fund, other than the Lifestyle
Funds, an annual fee of 0.07% based on the average daily net asset value of the
Fund. Under the agreement, SAAMCo will provide certain accounting and
administrative services to VCII. During the year ended August 31, 2003, VCII
accrued $357,965 for accounting and administrative services.
Effective October 17, 2000, VC II entered into an Amended and Restated
Transfer Agency and Services Agreement with VALIC. Under this agreement, VALIC
provides services which include the issuance and redemption of shares, payment
of dividends between VC II and their "Institutional" shareholders and certain
shareholder reporting services including confirmation of transactions,
statements of account and tax reporting. For the year ended August 31, 2003, VC
II incurred $35,884 in transfer agency and shareholder services fees.
On August 26, 1998, VC II entered into an Administrative Service Agreement
(currently referred to as a Shareholder Services Agreement) with VALIC where
VALIC provides record keeping, account maintenance, and other administrative
and shareholder services for contract owners and participants. VALIC receives
from each Fund, other than the Lifestyle Funds, an annual fee of 0.25% based on
average daily net assets of the Fund. For the year ended August 31, 2003, the
Series incurred $1,278,631 in shareholder services expenses.
On January 23, 2001, the Board of Trustees ratified a Deferred Compensation
Plan for its independent trustees who are not officers, directors, or employees
of VALIC, or an affiliate of VALIC. The effective date of the plan was January
1, 2001. The first deferred payment was made in March of 2001. Under the
deferred compensation plan, trustees may elect to defer all or portion of their
compensation. Amounts deferred may be invested in up to six different
investment options that are specified in the plan as selected by the trustees.
On January 23, 2001, the Board of Trustees approved a retirement plan for its
independent trustees who are not officers, directors, or employees of VALIC or
an affiliate of VALIC. VC II is responsible for the payment of the retirement
benefits, as well as expenses of administration of the plan. Benefits vested
under the plan are payable for a ten-year period upon retirement and are based
upon each trustee's years of service. At the end of the period, VC II had a
retirement plan liability to its independent trustees totaling $306,433 which
is included in the accrued expenses and other liabilities line of the Statement
of Assets and Liabilities. During the period, a total of $5,649 was paid to
retired trustees.
At August 31, 2003 VALIC Separate Account A (a registered separate account of
VALIC), VALIC Separate Account C (a registered separate account of VALIC) and
A.G. Separate Account A owned, directly or indirectly, 100% of the outstanding
shares of all Funds. The ownership breakdown is as follows:
VALIC VALIC A.G.
Separate Separate Separate
Account Account Account
Fund A C A
--------------------------------------------------------
Aggressive Growth Lifestyle.. 98.13% 1.87% -
Capital Appreciation......... 97.76% 2.24% -
Conservative Growth Lifestyle 89.38% 10.62% -
Core Bond.................... 97.00% 3.00%
High Yield Bond.............. 98.56% - 1.44%
International Growth II...... 100.00% - -
Large Cap Value.............. 100.00% - -
Mid Cap Growth............... 100.00% - -
Mid Cap Value................ 98.20% - 1.80%
Moderate Growth Lifestyle.... 96.94% 3.06% -
Money Market II.............. 100.00% - -
Small Cap Growth............. 98.32% 1.68% -
Small Cap Value.............. 100.00% - -
Socially Responsible......... 100.00% - -
Strategic Bond............... 90.95% 5.12% 3.93%
As disclosed in the schedule of investments, certain Funds own securities
issued by AIG or an affiliate thereof. As of August 31, 2003, the following
Funds recorded realized gains (losses) and income on security transactions of
AIG and subsidiaries of AIG as follows:
Realized
Fund Security Gain/(Loss) Income
- --------------------------------------------------------------------------------
Socially Responsible American International Group $ (305) $ 228
Aggressive Growth Lifestyle Various VCII Funds* (2,368,674) 230,750
Conservative Growth Lifestyle Various VCII Funds* (1,018,023) 576,138
Moderate Growth Lifestyle Various VCII Funds* (2,774,285) 794,863
* See Schedule of Investments for details.
On March 13, 2002, November 21, 2002 and February 12, 2003, AIG Global
Investment Corp., the sub-adviser for the Socially Responsible Fund, purchased
181 shares in total, of AIG common stock. Due to VALIC being an indirect wholly
owned subsidiary of AIG, the Fund has an investment restriction that states the
Fund may not purchase any security issued by AIG. On April 23, 2003, AIG Global
Investment Corp. sold the 181 shares of AIG common stock, resulting in a loss
to the Fund of $305. AIG Global Investment Corp. reimbursed the Fund for the
loss of $305. The reimbursement increased the Fund's total return by less than
0.01%.
- --------------------------------------------------------------------------------
53
NOTES TO FINANCIAL STATEMENTS - CONTINUED
Note 4 -- Investment Activity
During the period ended August 31, 2003, the cost of purchases and proceeds
from sales of securities, excluding short-term securities and government
securities, were as follows:
Cost of Proceeds from
Securities Securities
Fund Purchased Sold or Matured
---------------------------------------------------------
Aggressive Growth Lifestyle.. $16,622,786 $11,775,582
Capital Appreciation......... 27,109,062 24,107,800
Conservative Growth Lifestyle 19,796,273 15,000,258
Core Bond.................... 48,959,437 44,280,808
High Yield Bond.............. 53,820,945 32,253,455
International Growth II...... 33,559,064 23,161,431
Large Cap Value.............. 35,477,581 22,608,200
Mid Cap Growth............... 40,414,207 30,138,679
Mid Cap Value................ 67,808,305 48,574,454
Moderate Growth Lifestyle.... 33,140,387 25,642,638
Small Cap Growth............. 17,537,394 10,823,226
Small Cap Value.............. 23,847,792 18,803,298
Socially Responsible......... 9,621,341 9,187,300
Strategic Bond............... 29,243,769 17,122,449
The cost of purchases and proceeds from sales of U.S. government securities
were as follows:
Cost of Proceeds from
Securities Securities
Fund Purchased Sold or Matured
------------------------------------------
Core Bond..... $64,418,116 $55,228,381
Strategic Bond 1,767,705 1,022,581
Note 5 -- Federal Income Taxes
The following tables detail the tax basis of distributions as well as the
components of distributable earnings. As of August 31, 2003, the tax basis
components of distributable earnings differ from the amounts reflected in the
Statements of Assets and Liabilities due to temporary book/tax differences
primarily arising from wash sales, post October losses, investments in passive
foreign investment companies, and derivative transactions. Also included in the
following tables are the capital loss carryforwards at August 31, 2003.
The information in the following table is presented on the basis of cost for
Federal income tax purposes at the end of the period:
Net
Identified Cost Gross Gross Unrealized
of Investments Unrealized Unrealized Appreciation
Fund Owned Appreciation Depreciation (Depreciation)
- --------------------------------------------------------------------------------------
Aggressive Growth Lifestyle.. $ 29,568,681 $ 2,248,837 $3,197,813 $ (948,976)
Capital Appreciation......... 35,184,932 3,071,303 3,043,510 27,793
Conservative Growth Lifestyle 27,337,765 1,688,301 1,381,538 306,763
Core Bond.................... 77,042,799 486,399 1,069,742 (583,343)
High Yield Bond.............. 42,498,098 2,562,805 2,119,165 443,640
International Growth II...... 40,496,679 3,596,358 1,974,297 1,622,061
Large Cap Value.............. 41,536,764 4,621,397 1,345,953 3,275,444
Mid Cap Growth............... 37,338,670 7,395,410 1,110,934 6,284,476
Mid Cap Value................ 120,446,764 18,671,479 3,788,433 14,883,046
Moderate Growth Lifestyle.... 47,759,579 3,810,548 3,899,761 (89,213)
Money Market II.............. 77,119,053 - - -
Small Cap Growth............. 39,358,636 6,752,296 2,030,779 4,721,517
Small Cap Value.............. 53,645,736 8,157,038 3,055,564 5,101,474
Socially Responsible......... 12,616,182 734,241 1,075,802 (341,561)
Strategic Bond............... 43,334,489 2,232,889 768,891 1,463,998
The tax character of distributions paid during the fiscal year ended August
31, 2002 was as follows:
Distributions paid from:
- ---------------------------------
Net Long Total
Term Taxable
Ordinary Capital Distributions
Fund Income Gains Paid
----------------------------- ---------- -------- -------------
Aggressive Growth Lifestyle.. $ 213,928 $ - $ 213,928
Capital Appreciation......... 325 - 325
Conservative Growth Lifestyle 715,697 4,505 720,202
Core Bond.................... 2,117,801 - 2,117,801
High Yield Bond.............. 1,800,215 - 1,800,215
International Growth II...... 43,693 - 43,693
Large Cap Value.............. 239,190 - 239,190
Mid Cap Growth............... - - -
Mid Cap Value................ 2,217,332 451,560 2,668,892
Moderate Growth Lifestyle.... 903,982 574 904,556
Money Market II.............. 1,010,487 - 1,010,487
Small Cap Growth............. - - -
Small Cap Value.............. 950,571 163,788 1,114,359
Socially Responsible......... 91,639 - 91,639
Strategic Bond............... 1,388,218 - 1,388,218
The tax character of distributions paid during the fiscal year ended August
31, 2003 was as follows:
Distributions paid from:
---------------------------------
Net Long Total
Term Taxable
Ordinary Capital Distributions
Fund Income Gains Paid
----------------------------- ---------- -------- -------------
Aggressive Growth Lifestyle.. $ 210,024 $- $ 210,024
Capital Appreciation......... 15,000 - 15,000
Conservative Growth Lifestyle 555,753 - 555,753
Core Bond.................... 1,772,964 - 1,772,964
High Yield Bond.............. 2,710,856 - 2,710,856
International Growth II...... 469,933 - 469,933
Large Cap Value.............. 420,981 - 420,981
Mid Cap Growth............... - - -
Mid Cap Value................ 233,002 - 233,002
Moderate Growth Lifestyle.... 761,188 - 761,188
Money Market II.............. 643,672 - 643,672
Small Cap Growth............. - - -
Small Cap Value.............. 1,113,062 - 1,113,062
Socially Responsible......... 89,502 - 89,502
Strategic Bond............... 2,219,077 - 2,219,077
- --------------------------------------------------------------------------------
54
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
As of August 31, 2003, the components of accumulated earnings/(deficit) on a
tax basis were as follows:
Post October 31, 2002
Undistributed Undistributed -------------------------- Unrealized
Ordinary Long-Term Capital Loss Currency Loss Capital Loss Appreciation/
Fund Income Capital Gains Deferral Deferral Carryforward*+ (Depreciation)
- ----------------------------- ------------- ------------- ------------ ------------- -------------- --------------
Aggressive Growth Lifestyle.. $ 7,130 $ - $ 91,780 $ - $ 3,932,346 $ (948,976)
Capital Appreciation......... - - 4,083,084 - 12,246,908 27,793
Conservative Growth Lifestyle 10,762 - 209,073 - 1,729,541 306,763
Core Bond.................... 1,157,219 414,577 - - - (583,343)
High Yield Bond.............. 346,551 - 227,851 - 1,853,335 429,265
International Growth II...... 81,346 - 1,890,702 25,184 7,547,582 1,621,102
Large Cap Value.............. 25,753 - 297,144 - 1,594,451 3,275,444
Mid Cap Growth............... - - 913,289 4,433 16,067,093 6,283,770
Mid Cap Value................ - - 1,384,898 1,869 2,448,189 14,882,317
Moderate Growth Lifestyle.... 12,397 - 103,021 - 4,086,622 (89,213)
Money Market II.............. - - - - - -
Small Cap Growth............. - - 1,363,374 - 14,877,077 4,721,517
Small Cap Value.............. 21,591 - 2,195,016 - 827,309 5,101,474
Socially Responsible......... 30,028 - 376,199 - 1,658,120 (341,561)
Strategic Bond............... 266,314 241,503 - - - 1,463,264
Total
Accumulated
Fund Earnings/(Deficit)
- ----------------------------- ------------------
Aggressive Growth Lifestyle.. $ (4,965,972)
Capital Appreciation......... (16,302,199)
Conservative Growth Lifestyle (1,621,089)
Core Bond.................... 988,453
High Yield Bond.............. (1,305,370)
International Growth II...... (7,761,020)
Large Cap Value.............. 1,409,602
Mid Cap Growth............... (10,701,045)
Mid Cap Value................ 11,047,361
Moderate Growth Lifestyle.... (4,266,459)
Money Market II.............. -
Small Cap Growth............. (11,518,934)
Small Cap Value.............. 2,100,740
Socially Responsible......... (2,345,852)
Strategic Bond............... 1,971,081
*Net realized capital loss carryforwards may be utilized to offset future
capital gains. During the year ending August 31, 2003, the Strategic Bond Fund
utilized $513,956 of capital loss carryforwards to offset current year gains.
+The expiration dates for the capital loss carryforwards are as follows:
Fund 2007 2008 2009 2010 2011 Total
- ----------------------------- ---- -------- ---------- ---------- ----------- -----------
Aggressive Growth Lifestyle.. $ - $ - $ - $1,619,948 $ 2,312,398 $ 3,932,346
Capital Appreciation......... - - - 5,964,379 6,282,529 12,246,908
Conservative Growth Lifestyle - - - 1,186,130 543,411 1,729,541
Core Bond.................... - - - - - -
High Yield Bond.............. 58 142,890 18,247 1,231,273 460,867 1,853,335
International Growth II...... - - 297,207 2,959,134 4,291,241 7,547,582
Large Cap Value.............. - - - 516,123 1,078,328 1,594,451
Mid Cap Growth............... - - - 5,594,454 10,472,639 16,067,093
Mid Cap Value................ - - - 2,420,083 28,106 2,448,189
Moderate Growth Lifestyle.... - - - 2,541,304 1,545,318 4,086,622
Money Market II.............. - - - - - -
Small Cap Growth............. - - 2,163,741 5,357,576 7,355,760 14,877,077
Small Cap Value.............. - - - - 827,309 827,309
Socially Responsible......... - - 79,361 281,019 1,297,740 1,658,120
Strategic Bond............... - - - - - -
55
NOTES TO FINANCIAL STATEMENTS - CONTINUED
Note 6 -- Expense Reductions
Through expense offset arrangements, resulting from broker commission
recapture, a portion of the Fund's expenses have been reduced. For the period
ended August 31, 2003, the Mid Cap Value Fund received expense reductions in
the amount of $38,000.
Note 7 -- Concentration of Credit Risk
The High Yield Bond Fund's investment in high yield securities, whether rated
or unrated, may be considered speculative and subject to greater market
fluctuations and risk of loss of income and principal than lower-yielding,
higher-rated, fixed-income securities. The risk of loss due to default by the
issuer may be significantly greater for the holders of high yield securities,
because such securities are generally unsecured and are often subordinated to
other creditors of the issuer.
The Core Bond Fund, Money Market II Fund and Strategic Bond Fund invest in
U.S. Government sponsored securities. No assurance can be given that the U.S.
Government will provide support to such U.S. Government sponsored agencies or
instrumentalities in the future since it is not required to do so by law. As a
result of the Funds' concentration in such investments, it may be subject to
risks associated with the U.S. Government. At the end of the period, the Funds
had 55.05%, 27.69% and 12.92%, respectively, of their total net assets invested
in such securities.
At the end of the period, the Strategic Bond Fund had 24.99% of its net assets
invested in securities issued by foreign governments. In addition, the
International Growth II Fund had 20.41% of its net assets invested in
securities issued by the United Kingdom. Future economic and political
developments in a foreign country could adversely affect the liquidity and
value of foreign securities or the currency exchange rates from which foreign
currencies are translated.
Note 8 -- Bank Line of Credit
VC I and VC II have an $85,000,000 committed revolving line of credit and a
$40,000,000 uncommitted revolving line of credit with State Street Bank and
Trust Company to be used for temporary or emergency purposes. Borrowings under
this facility bear interest at a variable rate per annum equal to the overnight
federal funds rate plus 0.50% per annum for the committed line and State
Street's discretionary bid rate on the uncommitted line of credit. All of the
Funds are charged an annual commitment fee equal to 0.10% on the daily unused
portion of the committed line of credit which is included in other expenses on
the Statement of Operations. As of August 31, 2003, there were no borrowings
outstanding.
Note 9 -- Investment Holdings by Country
The following represents investment holdings by country held by the
International Growth II Fund as of August 31, 2003:
International Growth II Fund
----------------------------
Percentage of Market
Country Net Assets Value
----------------------------------------------------------
Australia.................... 1.70% $ 717,951
Belgium...................... 0.56% 236,599
Canada....................... 2.37% 1,000,527
China........................ 0.28% 119,441
Denmark...................... 0.94% 396,427
Finland...................... 0.16% 66,708
France....................... 11.60% 4,897,941
Germany...................... 3.96% 1,673,360
Hong Kong.................... 0.37% 154,159
Ireland...................... 1.57% 664,578
Italy........................ 2.00% 844,085
Japan........................ 17.19% 7,256,263
Korea........................ 0.82% 346,143
Mexico....................... 0.08% 32,110
Netherlands.................. 2.95% 1,243,379
New Zealand.................. 0.30% 124,923
Norway....................... 0.23% 96,657
Portugal..................... 0.15% 63,739
Singapore.................... 1.42% 601,152
South Africa................. 0.03% 10,867
Spain........................ 1.42% 599,989
Sweden....................... 1.08% 454,974
Switzerland.................. 11.01% 4,645,172
United Kingdom............... 20.41% 8,614,691
United States................ 17.19% 7,256,906
------ -----------
Total investments............ 99.79% 42,118,741
Other assets less liabilities 0.21% 87,566
------ -----------
Net assets................... 100.00% $42,206,307
------ -----------
- --------------------------------------------------------------------------------
56
FINANCIAL HIGHLIGHTS
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
Aggressive Growth Lifestyle Fund
---------------------------------------------
Year Ended August 31,
---------------------------------------------
2003 2002 2001 2000
------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 7.43 $ 8.82 $ 14.89 $ 12.77
---------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.07/(g)/ 0.05 /(g)/ 0.18 0.37
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions............................................. 0.94 (1.35) (3.59) 3.31
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - -
---------------------------------------------
Total income from investment operations.................................... 1.01 (1.30) (3.41) 3.68
---------------------------------------------
Distributions:
Distributions from net investment income................................... (0.07) (0.09) (0.38) (1.09)
Distributions from net realized gain on securities......................... - - (2.28) (0.47)
Return of capital.......................................................... - - - -
---------------------------------------------
Total distributions........................................................ (0.07) (0.09) (2.66) (1.56)
---------------------------------------------
Net asset value at end of period............................................. $ 8.37 $ 7.43 $ 8.82 $ 14.89
---------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 13.66% (14.90)% (25.08)% 29.91%
---------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.10% 0.10% 0.10% 0.10%
Ratio of expenses to average net assets/(e)/................................. 0.34% 0.10% 0.10% 0.10%
Ratio of expense reductions to average net assets............................ - - - -
Ratio of net investment income (loss) to average net assets/(d)/............. 0.92% 0.62% - -
Ratio of net investment income (loss) to average net assets/(e)/............. 0.68% 0.62% 0.74% 1.07%
Portfolio turnover rate...................................................... 52% 180% 105% 79%
Number of shares outstanding at end of period (000's)........................ 3,419 2,763 2,136 938
Net assets at the end of period (000's)...................................... $28,627 $20,522 $18,850 $13,963
-------
-------
1999(a)
-------
PER SHARE DATA
Net asset value at beginning of period....................................... $10.00
--------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.08
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions............................................. 2.74
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. -
--------
Total income from investment operations.................................... 2.82
--------
Distributions:
Distributions from net investment income................................... (0.05)
Distributions from net realized gain on securities......................... -
Return of capital.......................................................... -
--------
Total distributions........................................................ (0.05)
--------
Net asset value at end of period............................................. $12.77
--------
TOTAL RETURN/(b)(c)/......................................................... 28.28%
--------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.10%
Ratio of expenses to average net assets/(e)/................................. 0.10%
Ratio of expense reductions to average net assets............................ -
Ratio of net investment income (loss) to average net assets/(d)/............. -
Ratio of net investment income (loss) to average net assets/(e)/............. 0.76%
Portfolio turnover rate...................................................... 9%
Number of shares outstanding at end of period (000's)........................ 664
Net assets at the end of period (000's)...................................... $8,480
Capital Appreciation Fund
------------------------------------------------------
Year Ended August 31,
------------------------------------------------------
2003 2002 2001 2000 1999(a)
---------- ----------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period...................................... $ 6.71 $ 9.11 $ 17.68 $ 13.96 $ 10.00
------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss).............................................. -/(g)/ (0.01)/(g)/ (0.02) (0.02) 0.01
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions............................................ 0.95 (2.41) (7.88) 4.24 3.96
Realized gain (loss) on disposal of investments in violation of investment
restrictions............................................................. - 0.02 - - -
------------------------------------------------------
Total income from investment operations................................... 0.95 (2.40) (7.90) 4.22 3.97
------------------------------------------------------
Distributions:
Distributions from net investment income.................................. - - - - (0.01)
Distributions from net realized gain on securities........................ - - (0.56) (0.50) -
Return of capital......................................................... - - (0.11) - -
------------------------------------------------------
Total distributions....................................................... - - (0.67) (0.50) (0.01)
------------------------------------------------------
Net asset value at end of period............................................ $ 7.66 $ 6.71 $ 9.11 $ 17.68 $ 13.96
------------------------------------------------------
TOTAL RETURN/(b)(c)/........................................................ 14.22% (26.34)%/(f)/ (45.46)% 30.68% 39.77%
------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................ 0.85% 0.85% 0.85% 0.86% 0.81%
Ratio of expenses to average net assets/(e)/................................ 1.29% 1.25% 1.08% 1.44% 1.44%
Ratio of expense reductions to average net assets........................... - - - - -
Ratio of net investment income (loss) to average net assets/(d)/............ (0.03)% (0.09)% (0.16)% (0.12)% 0.13%
Ratio of net investment income (loss) to average net assets/(e)/............ (0.47)% (0.49)% - - -
Portfolio turnover rate..................................................... 87% 126% 67% 68% 76%
Number of shares outstanding at end of period (000's)....................... 4,588 4,082 3,335 2,035 1,383
Net assets at the end of period (000's)..................................... $35,152 $27,406 $30,397 $35,983 $19,309
.
Conservative
Growth Lifestyle Fund
---------------------------------------------
Year Ended August 31,
---------------------------------------------
2003 2002 2001 2000
------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 8.73 $ 9.47 $ 11.33 $ 11.73
----------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.21/(g)/ 0.26 /(g)/ 0.34 0.46
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions............................................. 0.64 (0.68) (1.09) 1.59
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - -
----------------------------------------------
Total income from investment operations.................................... 0.85 (0.42) (0.75) 2.05
----------------------------------------------
Distributions:
Distributions from net investment income................................... (0.21) (0.32) (0.43) (0.92)
Distributions from net realized gain on securities......................... - - (0.68) (1.53)
Return of capital.......................................................... - - - -
----------------------------------------------
Total distributions........................................................ (0.21) (0.32) (1.11) (2.45)
----------------------------------------------
Net asset value at end of period............................................. $ 9.37 $ 8.73 $ 9.47 $ 11.33
----------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 9.90% (4.62)% (6.76)% 19.33%
----------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.10% 0.10% 0.10% 0.10%
Ratio of expenses to average net assets/(e)/................................. 0.34% 0.10% 0.10% 0.10%
Ratio of expense reductions to average net assets............................ - - - -
Ratio of net investment income (loss) to average net assets/(d)/............. 2.41% 2.92% - -
Ratio of net investment income (loss) to average net assets/(e)/............. 2.17% 2.92% 3.28% 2.99%
Portfolio turnover rate...................................................... 65% 181% 122% 63%
Number of shares outstanding at end of period (000's)........................ 2,952 2,386 2,062 1,083
Net assets at the end of period (000's)...................................... $27,652 $20,841 $19,527 $12,268
-------
-------
1999(a)
-------
PER SHARE DATA
Net asset value at beginning of period....................................... $10.00
-------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.25
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions............................................. 1.65
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. -
-------
Total income from investment operations.................................... 1.90
-------
Distributions:
Distributions from net investment income................................... (0.17)
Distributions from net realized gain on securities......................... -
Return of capital.......................................................... -
-------
Total distributions........................................................ (0.17)
-------
Net asset value at end of period............................................. $11.73
-------
TOTAL RETURN/(b)(c)/......................................................... 19.00%
-------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.10%
Ratio of expenses to average net assets/(e)/................................. 0.10%
Ratio of expense reductions to average net assets............................ -
Ratio of net investment income (loss) to average net assets/(d)/............. -
Ratio of net investment income (loss) to average net assets/(e)/............. 2.29%
Portfolio turnover rate...................................................... 94%
Number of shares outstanding at end of period (000's)........................ 633
Net assets at the end of period (000's)...................................... $7,429
/(a)/ Fund commenced operations on September 21, 1998.
/(b)/ The effect of fees and charges incurred at the separate account level are
not reflected in the total returns. If such expenses had been included, the
total return would have been lower for each period presented.
/(c)/ These total returns include expense reimbursements and expense reductions.
/(d)/ Includes expense reimbursements, but excludes expense reductions.
/(e)/ Excludes expense reimbursements and expense reductions.
/(f)/ The Fund's total return increased by 0.11% from reimbursements for losses
realized on the disposal of investments in violation of investment restrictions.
/(g)/ The per share amounts are calculated using the average share method.
- --------------------------------------------------------------------------------
57
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
Core Bond Fund
--------------------------------------------------
Year Ended August 31,
--------------------------------------------------
2003 2002 2001 2000 1999(a)
------- ------- ------- ------ -------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 9.95 $ 9.91 $ 9.46 $ 9.58 $10.00
---------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.31/(f)/ 0.48 /(f)/ 0.53 0.61 0.50
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 0.09 0.09 0.46 (0.12) (0.39)
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - - -
---------------------------------------------------
Total income from investment operations.................................... 0.40 0.57 0.99 0.49 0.11
---------------------------------------------------
Distributions:
Distributions from net investment income................................... (0.33) (0.47) (0.54) (0.61) (0.50)
Distributions from net realized gain on securities......................... - (0.06) - - (0.03)
Return of capital.......................................................... - - - - -
---------------------------------------------------
Total distributions........................................................ (0.33) (0.53) (0.54) (0.61) (0.53)
---------------------------------------------------
Net asset value at end of period............................................. $ 10.02 $ 9.95 $ 9.91 $ 9.46 $ 9.58
---------------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 4.08% 5.98% 10.81% 5.31% 1.12%
---------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.77% 0.77% 0.77% 0.80% 0.80%
Ratio of expenses to average net assets/(e)/................................. 1.12% 1.14% 0.99% 1.42% 1.54%
Ratio of expense reductions to average net assets............................ - - - - -
Ratio of net investment income (loss) to average net assets/(d)/............. 3.13% 4.94% 5.66% 6.39% 5.06%
Ratio of net investment income (loss) to average net assets/(e)/............. 2.77% 4.57% - - -
Portfolio turnover rate...................................................... 197% 248% 341% 476% 489%
Number of shares outstanding at end of period (000's)........................ 6,336 4,280 3,254 573 535
Net assets at the end of period (000's)...................................... $63,519 $42,568 $32,250 $5,420 $5,119
High Yield Bond Fund
--------------------------------------------
Year Ended August 31,
--------------------------------------------
2003 2002 2001 2000
------- ------- ------- ------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 6.82 $ 8.16 $ 9.28 $ 9.69
---------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.69/(f)/ 0.74 /(f)/ 0.88 0.96
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 0.90 (1.35) (1.12) (0.41)
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - -
---------------------------------------------
Total income from investment operations.................................... 1.59 (0.61) (0.24) 0.55
---------------------------------------------
Distributions:
Distributions from net investment income................................... (0.68) (0.73) (0.88) (0.96)
Distributions from net realized gain on securities......................... - - - -
Return of capital.......................................................... - - - -
---------------------------------------------
Total distributions........................................................ (0.68) (0.73) (0.88) (0.96)
---------------------------------------------
Net asset value at end of period............................................. $ 7.73 $ 6.82 $ 8.16 $ 9.28
---------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 24.25% (7.96)% (2.20)% 6.01%
---------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.99% 0.99% 0.99% 0.99%
Ratio of expenses to average net assets/(e)/................................. 1.42% 1.51% 1.19% 1.62%
Ratio of expense reductions to average net assets............................ - - - -
Ratio of net investment income (loss) to average net assets/(d)/............. 9.69% 9.80% 10.64% 10.21%
Ratio of net investment income (loss) to average net assets/(e)/............. 9.26% 9.28% - -
Portfolio turnover rate...................................................... 124% 118% 83% 90%
Number of shares outstanding at end of period (000's)........................ 5,433 2,789 2,095 628
Net assets at the end of period (000's)...................................... $41,986 $19,026 $17,102 $5,830
-------
-------
1999(a)
-------
PER SHARE DATA
Net asset value at beginning of period....................................... $10.00
--------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.87
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... (0.31)
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. -
--------
Total income from investment operations.................................... 0.56
--------
Distributions:
Distributions from net investment income................................... (0.87)
Distributions from net realized gain on securities......................... -
Return of capital.......................................................... -
--------
Total distributions........................................................ (0.87)
--------
Net asset value at end of period............................................. $ 9.69
--------
TOTAL RETURN/(b)(c)/......................................................... 5.50%
--------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.98%
Ratio of expenses to average net assets/(e)/................................. 1.74%
Ratio of expense reductions to average net assets............................ -
Ratio of net investment income (loss) to average net assets/(d)/............. 8.51%
Ratio of net investment income (loss) to average net assets/(e)/............. -
Portfolio turnover rate...................................................... 74%
Number of shares outstanding at end of period (000's)........................ 557
Net assets at the end of period (000's)...................................... $5,397
International Growth II Fund
------------------------------------------------------
Year Ended August 31,
------------------------------------------------------
2003 2002 2001 2000 1999(a)
--------- ---------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 8.67 $ 9.97 $ 14.79 $ 11.22 $10.00
------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.11/(f)/ 0.07 /(f)/ 0.14 0.05 0.13
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 0.40 (1.36) (4.17) 4.16 1.09
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - - -
------------------------------------------------------
Total income from investment operations.................................... 0.51 (1.29) (4.03) 4.21 1.22
------------------------------------------------------
Distributions:
Distributions from net investment income................................... (0.11) (0.01) (0.03) (0.20) -
Distributions from net realized gain on securities......................... - - (0.76) (0.44) -
Return of capital.......................................................... - - - - -
------------------------------------------------------
Total distributions........................................................ (0.11) (0.01) (0.79) (0.64) -
------------------------------------------------------
Net asset value at end of period............................................. $ 9.07 $ 8.67 $ 9.97 $ 14.79 $11.22
------------------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 5.94% (12.91)% (28.14)% 37.31% 12.20%
------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 1.01% 1.01% 1.03% 1.15% 1.13%
Ratio of expenses to average net assets/(e)/................................. 1.71% 1.88% 1.50% 1.81% 1.90%
Ratio of expense reductions to average net assets............................ - 0.02% - - -
Ratio of net investment income (loss) to average net assets/(d)/............. 1.34% 0.76% 0.93% 0.31% 1.40%
Ratio of net investment income (loss) to average net assets/(e)/............. 0.65% (0.11)% - - -
Portfolio turnover rate...................................................... 70% 139% 63% 81% 87%
Number of shares outstanding at end of period (000's)........................ 4,654 3,474 2,844 792 608
Net assets at the end of period (000's)...................................... $42,206 $30,114 $28,357 $11,715 $6,815
/(a)/ Fund commenced operations on September 21, 1998.
/(b)/ The effect of fees and charges incurred at the separate account level are
not reflected in the total returns. If such expenses had been included, the
total return would have been lower for each period presented.
/(c)/ These total returns include expense reimbursements and expense reductions.
/(d)/ Includes expense reimbursements, but excludes expense reductions.
/(e)/ Excludes expense reimbursements and expense reductions.
/(f)/ The per share amounts are calculated using the average share method.
- --------------------------------------------------------------------------------
58
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
Large Cap Value Fund Mid Cap Growth Fund
-------------------------------------------------------- -----------------------------------------
Year Ended August 31, Year Ended August 31,
-------------------------------------------------------- -----------------------------------------
2003 2002 2001 2000 1999(a) 2003 2002 2001
------- ------- ------- ------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at
beginning of period $ 10.22 $ 11.10 $ 11.60 $ 12.85 $10.00 $ 4.44 $ 6.20 $ 16.30
---------------------------------------------------------------------------------------------------
Income (loss) from
investment
operations:
Net investment
income (loss).... 0.13/(f)/ 0.10 /(f)/ 0.10 0.13 0.13 (0.02)/(f)/ (0.03)/(f)/ 0.01
Net realized and
unrealized gain
(loss) on
securities and
foreign currency
related
transactions..... 0.74 (0.88) (0.40) 0.65 2.85 1.28 (1.73) (6.74)
Realized gain
(loss) on
disposal of
investments in
violation of
investment
restrictions..... - - - - - - - -
---------------------------------------------------------------------------------------------------
Total income from
investment
operations....... 0.87 (0.78) (0.30) 0.78 2.98 1.26 (1.76) (6.73)
---------------------------------------------------------------------------------------------------
Distributions:
Distributions from
net investment
income........... (0.12) (0.10) (0.09) (0.13) (0.13) - - (0.02)
Distributions from
net realized
gain on
securities....... - - (0.07) (1.90) - - - (3.27)
Return of capital.. - - (0.04) - - - - (0.08)
---------------------------------------------------------------------------------------------------
Total distributions (0.12) (0.10) (0.20) (2.03) (0.13) - - (3.37)
---------------------------------------------------------------------------------------------------
Net asset value at
end of period...... $ 10.97 $ 10.22 $ 11.10 $ 11.60 $12.85 $ 5.70 $ 4.44 $ 6.20
---------------------------------------------------------------------------------------------------
TOTAL RETURN/(b)(c)/ 8.59% (7.08)% (2.66)% 7.35% 29.87% 28.38% (28.39)% (46.99)%
---------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets/(d)/........ 0.81% 0.81% 0.81% 0.81% 0.80% 0.85% 0.85%/(i)/ 0.83%
Ratio of expenses
to average net
assets/(e)/........ 1.19% 1.29% 1.14% 1.41% 1.51% 1.51% 1.59%/(i)/ 1.38%
Ratio of expense
reductions to
average net assets. - - - - - - - -
Ratio of net
investment income
(loss) to average
net assets/(d)/.... 1.28% 0.98% 0.98% 1.17% 1.10% (0.41)% (0.45)% (0.14)%
Ratio of net
investment income
(loss) to average
net assets/(e)/.... 0.90% 0.50% - - - (1.07)% (1.19)% -
Portfolio turnover
rate............... 67% 85% 106% 142% 93% 99% 69% 114%
Number of shares
outstanding at end
of period (000's).. 4,091 2,743 1,846 955 611 7,682 5,745 3,754
Net assets at the
end of period
(000's)............ $44,883 $28,030 $20,482 $11,084 $7,856 $43,785 $25,527 $23,277
Mid Cap
Growth Fund Mid Cap Value Fund
----------------- ----------------------------------------------------
Year Ended August 31,
----------------- ----------------------------------------------------
2000 1999(a) 2003 2002 2001 2000 1999(a)
------- ------- -------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at
beginning of period $ 12.45 $10.00 $ 11.75 $ 13.54 $ 13.54 $ 13.82 $10.00
------------------------------------------------------------------------
Income (loss) from
investment
operations:
Net investment
income (loss).... (0.02) (0.03) 0.02/(f)/ 0.04 /(f)/ 0.07 0.05 0.08
Net realized and
unrealized gain
(loss) on
securities and
foreign currency
related
transactions..... 5.32 2.48 2.36 (1.36) 0.56 3.13 4.11
Realized gain
(loss) on
disposal of
investments in
violation of
investment
restrictions..... - - - - - - -
------------------------------------------------------------------------
Total income from
investment
operations....... 5.30 2.45 2.38 (1.32) 0.63 3.18 4.19
------------------------------------------------------------------------
Distributions:
Distributions from
net investment
income........... - - (0.03) (0.04) (0.07) (0.05) (0.08)
Distributions from
net realized
gain on
securities....... (1.45) - - (0.43) (0.56) (3.41) (0.29)
Return of capital.. - - - - - - -
------------------------------------------------------------------------
Total distributions (1.45) - (0.03) (0.47) (0.63) (3.46) (0.37)
------------------------------------------------------------------------
Net asset value at
end of period...... $ 16.30 $12.45 $ 14.10 $ 11.75 $ 13.54 $ 13.54 $13.82
------------------------------------------------------------------------
TOTAL RETURN/(b)(c)/ 46.25% 24.50% 20.28% (10.07)% 4.74% 29.31% 42.38%
------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets/(d)/........ 0.79% 0.77% 1.05% 1.05% 1.05% 1.05% 1.03%
Ratio of expenses
to average net
assets/(e)/........ 1.55% 1.64% 1.32% 1.35% 1.26% 1.64% 1.73%
Ratio of expense
reductions to
average net assets. - - 0.04% 0.07% - - -
Ratio of net
investment income
(loss) to average
net assets/(d)/.... (0.20)% (0.24)% 0.11% 0.29% 0.65% 0.41% 0.73%
Ratio of net
investment income
(loss) to average
net assets/(e)/.... - - (0.16)% (0.01)% - - -
Portfolio turnover
rate............... 51% 38% 48% 156% 215% 166% 197%
Number of shares
outstanding at end
of period (000's).. 783 594 9,587 7,937 4,981 1,286 654
Net assets at the
end of period
(000's)............ $12,770 $7,394 $135,190 $93,245 $67,460 $17,411 $9,039
/(a)/ Fund commenced operations on September 21, 1998.
/(b)/ The effect of fees and charges incurred at the separate account level are
not reflected in the total returns. If such expenses had been included, the
total return would have been lower for each period presented.
/(c)/ These total returns include expense reimbursements and expense reductions.
/(d)/ Includes expense reimbursement, but excludes expense reductions.
/(e)/ Excludes expense reimbursements and expense reductions.
/(f)/ The per share amounts are calculated using the average share method.
- --------------------------------------------------------------------------------
59
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
Moderate Growth Lifestyle Fund
-----------------------------------------------------
Year Ended August 31,
-----------------------------------------------------
2003 2002 2001 2000 1999(a)
------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period.............................. $ 8.93 $ 10.02 $ 13.42 $ 12.24 $ 10.00
------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)...................................... 0.17/(f)/ 0.19 /(f)/ 0.30 0.43 0.17
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions.................................... 0.87 (1.04) (2.11) 2.28 2.18
Realized gain (loss) on disposal of investments in violation of
investment restrictions.......................................... - - - - -
------------------------------------------------------
Total income from investment operations........................... 1.04 (0.85) (1.81) 2.71 2.35
------------------------------------------------------
Distributions:
Distributions from net investment income.......................... (0.17) (0.24) (0.45) (1.10) (0.11)
Distributions from net realized gain on securities................ - - (1.14) (0.43) -
Return of capital................................................. - - - - -
------------------------------------------------------
Total distributions............................................... (0.17) (0.24) (1.59) (1.53) (0.11)
------------------------------------------------------
Net asset value at end of period.................................... $ 9.80 $ 8.93 $ 10.02 $ 13.42 $ 12.24
------------------------------------------------------
TOTAL RETURN/(b)(c)/................................................ 11.84% (8.62)% (14.11)% 23.29% 23.52%
------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/........................ 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of expenses to average net assets/(e)/........................ 0.32% 0.10% 0.10% 0.10% 0.10%
Ratio of expense reduction to average net assets.................... - - - - -
Ratio of net investment income (loss) to average net assets/(d)/.... 1.94% 2.03% - - -
Ratio of net investment income (loss) to average net assets/(e)/.... 1.72% 2.03% 2.23% 2.00% 1.60%
Portfolio turnover rate............................................. 65% 184% 109% 72% 13%
Number of shares outstanding at end of period (000's)............... 4,865 4,003 3,194 1,209 845
Net assets at the end of period (000's)............................. $47,692 $35,747 $31,993 $16,222 $10,349
Money Market II Fund
---------------------------------------------------
Year Ended August 31,
---------------------------------------------------
2003 2002 2001 2000 1999(a)
------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-----------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)...................................... 0.01/(f)/ 0.02 /(f)/ 0.05 0.06 0.05
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions.................................... - - - - -
Realized gain (loss) on disposal of investments in violation of
investment restrictions.......................................... - - - - -
-----------------------------------------------------
Total income from investment operations........................... 0.01 0.02 0.05 0.06 0.05
-----------------------------------------------------
Distributions:
Distributions from net investment income.......................... (0.01) (0.02) (0.05) (0.06) (0.05)
Distributions from net realized gain on securities................ - - - - -
Return of capital................................................. - - - - -
-----------------------------------------------------
Total distributions............................................... (0.01) (0.02) (0.05) (0.06) (0.05)
-----------------------------------------------------
Net asset value at end of period.................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-----------------------------------------------------
TOTAL RETURN/(b)(c)/................................................ 0.83% 1.63% 5.07% 5.67% 4.66%
-----------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/........................ 0.56% 0.56% 0.56% 0.56% 0.54%
Ratio of expenses to average net assets/(e)/........................ 0.85% 0.83% 0.71% 1.10% 1.23%
Ratio of expense reduction to average net assets.................... - - - - -
Ratio of net investment income (loss) to average net assets/(d)/.... 0.82% 1.61% 4.72% 5.65% 4.43%
Ratio of net investment income (loss) to average net assets/(e)/.... 0.53% 1.34% - - -
Portfolio turnover rate............................................. N/A N/A N/A N/A N/A
Number of shares outstanding at end of period (000's)............... 79,798 70,870 51,979 25,427 9,784
Net assets at the end of period (000's)............................. $79,798 $70,870 $51,979 $25,427 $9,784
Small Cap Growth Fund
-------------------------------------------------------
Year Ended August 31,
-------------------------------------------------------
2003 2002 2001 2000 1999(a)
------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period.............................. $ 7.40 $ 10.69 $ 23.24 $ 14.86 $ 10.00
--------------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)...................................... (0.05)/(f)/ (0.07)/(f)/ (0.05) (0.10) (0.05)
Net realized and unrealized gain (loss) on securities and foreign
currency related transactions.................................... 2.35 (3.22) (10.38) 10.05 4.96
Realized gain (loss) on disposal of investments in violation of
investment restrictions.......................................... - - - - -
--------------------------------------------------------
Total income from investment operations........................... 2.30 (3.29) (10.43) 9.95 4.91
--------------------------------------------------------
Distributions:
Distributions from net investment income.......................... - - - - -
Distributions from net realized gain on securities................ - - (2.12) (1.57) (0.05)
Return of capital................................................. - - - - -
--------------------------------------------------------
Total distributions............................................... - - (2.12) (1.57) (0.05)
--------------------------------------------------------
Net asset value at end of period.................................... $ 9.70 $ 7.40 $ 10.69 $ 23.24 $ 14.86
--------------------------------------------------------
TOTAL RETURN/(b)(c)/................................................ 31.08% (30.78)% (46.44)% 68.91% 48.82%
--------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/........................ 1.16% 1.16% 1.16% 1.16% 1.11%
Ratio of expenses to average net assets/(e)/........................ 1.57% 1.58% 1.40% 1.71% 1.78%
Ratio of expense reduction to average net assets.................... - - - - -
Ratio of net investment income (loss) to average net assets/(d)/.... (0.66)% (0.76)% (0.49)% (0.64)% (0.45)%
Ratio of net investment income (loss) to average net assets/(e)/.... (1.06)% (1.18)% - - -
Portfolio turnover rate............................................. 37% 153% 111% 133% 126%
Number of shares outstanding at end of period (000's)............... 4,565 3,389 2,574 1,463 730
Net assets at the end of period (000's)............................. $44,290 $25,072 $27,523 $34,000 $10,843
/(a)/ Fund commenced operations on September 21, 1998.
/(b)/ The effect of fees and charges incurred at the separate account level are
not reflected in the total returns. If such expenses had been included, the
total return would have been lower for each period presented.
/(c)/ These total returns include expense reimbursements and expense reductions.
/(d)/ Includes expense reimbursements; but excludes expense reductions.
/(e)/ Excludes expense reimbursements and expense reductions.
/(f)/ The per share amounts are calculated using the average share method.
- --------------------------------------------------------------------------------
60
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
Small Cap Value Fund
--------------------------------------------
Year Ended August 31,
--------------------------------------------
2003 2002 2001 2000
------- ------- ------- ------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 10.04 $ 11.36 $ 11.73 $10.48
--------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.07 /(f)/ 0.10 /(f)/ 0.13 0.15
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 1.84 (1.03) 1.09 1.60
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - -
--------------------------------------------
Total income from investment operations.................................... 1.91 (0.93) 1.22 1.75
--------------------------------------------
Distributions:
Distributions from net investment income................................... (0.09) (0.10) (0.13) (0.15)
Distributions from net realized gain on securities......................... (0.16) (0.29) (1.46) (0.35)
Return of capital.......................................................... - - - -
--------------------------------------------
Total distributions........................................................ (0.25) (0.39) (1.59) (0.50)
--------------------------------------------
Net asset value at end of period............................................. $ 11.70 $ 10.04 $ 11.36 $11.73
--------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 19.47% (8.47)% 11.99% 17.53%
--------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.95% 0.95% 0.95% 0.98%
Ratio of expenses to average net assets/(e)/................................. 1.40% 1.53% 1.55% 1.69%
Ratio of expense reductions to average net assets............................ - 0.01% - -
Ratio of net investment income loss to average net assets/(d)/............... 0.72% 0.91% 1.18% 1.36%
Ratio of net investment income (loss) to average net assets/(e)/............. 0.26% 0.33% - -
Portfolio turnover rate...................................................... 42% 166% 100% 97%
Number of shares outstanding at end of period (000's)........................ 5,035 4,496 2,677 462
Net assets at the end of period (000's)...................................... $58,923 $45,124 $30,403 $5,421
-------
-------
1999(a)
-------
PER SHARE DATA
Net asset value at beginning of period....................................... $10.00
--------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.13
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 0.61
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. -
--------
Total income from investment operations.................................... 0.74
--------
Distributions:
Distributions from net investment income................................... (0.13)
Distributions from net realized gain on securities......................... (0.13)
Return of capital.......................................................... -
--------
Total distributions........................................................ (0.26)
--------
Net asset value at end of period............................................. $10.48
--------
TOTAL RETURN/(b)(c)/......................................................... 7.34%
--------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.96%
Ratio of expenses to average net assets/(e)/................................. 1.75%
Ratio of expense reductions to average net assets............................ -
Ratio of net investment income loss to average net assets/(d)/............... 1.28%
Ratio of net investment income (loss) to average net assets/(e)/............. -
Portfolio turnover rate...................................................... 102%
Number of shares outstanding at end of period (000's)........................ 612
Net assets at the end of period (000's)...................................... $6,414
Socially Responsible Fund
------------------------------------------------------
Year Ended August 31,
------------------------------------------------------
2003 2002 2001 2000 1999(a)
------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 8.44 $ 10.46 $ 14.16 $ 12.88 $ 10.00
-----------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.09/(f)/ 0.08 /(f)/ 0.13 0.13 0.14
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 0.96 (2.02) (3.56) 1.74 3.45
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - - -
-----------------------------------------------------
Total income from investment operations.................................... 1.05 (1.94) (3.43) 1.87 3.59
-----------------------------------------------------
Distributions:
Distributions from net investment income................................... (0.07) (0.08) (0.13) (0.13) (0.14)
Distributions from net realized gain on securities......................... - - (0.14) (0.46) (0.57)
Return of capital.......................................................... - - - - -
-----------------------------------------------------
Total distributions........................................................ (0.07) (0.08) (0.27) (0.59) (0.71)
-----------------------------------------------------
Net asset value at end of period............................................. $ 9.42 $ 8.44 $ 10.46 $ 14.16 $ 12.88
-----------------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 12.58%/(g)/ (18.65)% (24.43)% 14.77% 36.27%
-----------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.56% 0.56% 0.56% 0.56% 0.55%
Ratio of expenses to average net assets/(e)/................................. 1.30% 1.19% 0.76% 1.15% 1.23%
Ratio of expense reductions to average net assets............................ - - - - -
Ratio of net investment income loss to average net assets/(d)/............... 1.11% 0.82% 1.07% 0.99% 1.10%
Ratio of net investment income (loss) to average net assets/(e)/............. 0.37% 0.19% - - -
Portfolio turnover rate...................................................... 96% 25% 58% 40% 29%
Number of shares outstanding at end of period (000's)........................ 1,314 1,186 1,111 1,009 800
Net assets at the end of period (000's)...................................... $12,380 $10,008 $11,612 $14,276 $10,304
Strategic Bond Fund
--------------------------------------------------
Year Ended August 31,
--------------------------------------------------
2003 2002 2001 2000 1999(a)
------- ------- ------- ------ -------
PER SHARE DATA
Net asset value at beginning of period....................................... $ 9.31 $ 9.60 $ 9.82 $ 9.86 $10.00
---------------------------------------------------
Income (loss) from investment operations:
Net investment income (loss)............................................... 0.66/(f)/ 0.62 /(f)/ 0.77 0.81 0.69
Net realized and unrealized gain (loss) on securities and foreign currency
related transactions...................................................... 0.95 (0.32) (0.23) (0.01) (0.16)
Realized gain (loss) on disposal of investments in violation of investment
restrictions.............................................................. - - - - -
---------------------------------------------------
Total income from investment operations.................................... 1.61 0.30 0.54 0.80 0.53
---------------------------------------------------
Distributions:
Distributions from net investment income................................... (0.64) (0.59) (0.76) (0.84) (0.65)
Distributions from net realized gain on securities......................... - - - - (0.02)
Return of capital.......................................................... - - - - -
---------------------------------------------------
Total distributions........................................................ (0.64) (0.59) (0.76) (0.84) (0.67)
---------------------------------------------------
Net asset value at end of period............................................. $ 10.28 $ 9.31 $ 9.60 $ 9.82 $ 9.86
---------------------------------------------------
TOTAL RETURN/(b)(c)/......................................................... 17.73% 3.13% 5.90% 8.43% 5.33%
---------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/................................. 0.89% 0.89% 0.89% 0.89% 0.88%
Ratio of expenses to average net assets/(e)/................................. 1.52% 1.58% 1.09% 1.51% 1.64%
Ratio of expense reductions to average net assets............................ - - - - -
Ratio of net investment income loss to average net assets/(d)/............... 6.79% 6.64% 8.68% 8.27% 6.76%
Ratio of net investment income (loss) to average net assets/(e)/............. 6.17% 5.95% - - -
Portfolio turnover rate...................................................... 63% 109% 69% 100% 143%
Number of shares outstanding at end of period (000's)........................ 4,431 2,810 1,574 598 537
Net assets at the end of period (000's)...................................... $45,565 $26,167 $15,113 $5,870 $5,296
/(a)/ Fund commenced operations on September 21, 1998.
/(b)/ The effect of fees and charges incurred at the separate account level are
not reflected in the total returns. If such expenses had been included, the
total return would have been lower for each period presented.
/(c)/ These total returns include expense reimbursements and expense reductions.
/(d)/ Includes expense reimbursements, but excludes expense reductions.
/(e)/ Excludes expense reimbursements and expense reductions.
/(f)/ The per share amounts are calculated using the average share method.
/(g)/ The Fund's performance figure was increased by less than 0.01% from
reimbursements for losses realized on the disposal of investments in violation
of investment restrictions (see Note 3).
- --------------------------------------------------------------------------------
61
VALIC COMPANY II - REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Board of Trustees of VALIC Company II
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of VALIC Company II (comprised of the
Aggressive Growth Lifestyle Fund, Capital Appreciation Fund, Conservative
Growth Lifestyle Fund, Core Bond Fund, High Yield Bond Fund, International
Growth II Fund, Large Cap Value Fund, Mid Cap Growth Fund, Mid Cap Value Fund,
Moderate Growth Lifestyle Fund, Money Market II Fund, Small Cap Growth Fund,
Small Cap Value Fund, Socially Responsible Fund, Strategic Bond Fund) as of
August 31, 2003, 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 periods
indicated therein. These financial statements and financial highlights are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally
accepted in the 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 August 31, 2003, by correspondence with
the custodian 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 each
of the respective funds constituting VALIC Company II as of August 31, 2003,
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 the
financial highlights for each of the periods indicated therein, in conformity
with accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Houston, Texas
October 15, 2003
62
TRUSTEE INFORMATION (Unaudited)
August 31, 2003
Name, Birth Date and Position Held With
Address* VALIC Complex Date Service Began Principal Occupations During Past Five Years
- --------------------------------------------------------------------------------------------------------------------------------
Independent Trustees
Dr. Judith L. Craven Trustee August, 1998 Retired Administrator. Formerly, President, United Way of
DOB: October 6, 1945 the Texas Gulf Coast, a not for profit organization
(1992-1998).
- --------------------------------------------------------------------------------------------------------------------------------
William F. Devin Trustee October, 2001 Member, Board of Governors, Boston Stock Exchange
DOB: December 30, 1938 (1985-Present). Formerly, Executive Vice President,
Fidelity Capital Markets, a division of National Financial
Services Corp. (1966-1996).
- --------------------------------------------------------------------------------------------------------------------------------
Dr. Timothy J. Ebner Trustee August, 1998 Professor and Head, Department of Neuroscience, and
DOB: July 15, 1949 Visscher Chair of Physiology, University of Minnesota
(1999-Present). Formerly, Director, Graduate Program in
Neuroscience, University of Minnesota (1995-1999);
Professor of Neurosurgery, University of Minnesota
(1980-1999); Consultant to EMPI Inc. (1994-1995); and
Medtronic Inc. (1997-1998).
- --------------------------------------------------------------------------------------------------------------------------------
Judge Gustavo E. Gonzales, Jr. Trustee August, 1998 Municipal Court Judge, Dallas, Texas (1995-Present).
DOB: July 27, 1940
- --------------------------------------------------------------------------------------------------------------------------------
Dr. Norman Hackerman Trustee August, 1998 Chairman--Scientific Advisory Board for The Robert A.
DOB: March 2, 1912 Welch Foundation (1983-Present); President Emeritus,
Rice University, Houston, Texas (1985-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Dr. John Wm. Lancaster Trustee August, 1998 Pastor Emeritus and Director of Planned Giving, First
DOB: December 15, 1923 Presbyterian Church (1997-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Kenneth J. Lavery Trustee October, 2001 Vice President of Massachusetts Capital Resources
DOB: December 30, 1949 Company (1982-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Ben H. Love Trustee August, 1998 Retired. Formerly Director, Mid-American Waste, Inc.,
DOB: September 26, 1930 waste products (1993-1997); Chief Executive, Boy
Scouts of America (1985-1993).
- --------------------------------------------------------------------------------------------------------------------------------
Dr. John E. Maupin, Jr. Trustee August, 1998 President, Meharry Medical College, Nashville,
DOB: October 28, 1946 Tennessee (1994-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Number of Funds in Fund
Name, Birth Date and Complex Overseen by
Address* Trustee (2) Other Directorships Held by Trustee (3)
- -----------------------------------------------------------------------------------------------------------
Independent Trustees
Dr. Judith L. Craven 75 Director, A.G. Belo Corporation, a media company
DOB: October 6, 1945 (1992-Present); Director SYSCO Corporation, a
food marketing and distribution company (1996-
Present); Director, Luby's, Inc., a restaurant chain
(1998-Present); Director, University of Texas Board
of Regents (2001-Present).
- -----------------------------------------------------------------------------------------------------------
William F. Devin 75 None.
DOB: December 30, 1938
- -----------------------------------------------------------------------------------------------------------
Dr. Timothy J. Ebner 37 None.
DOB: July 15, 1949
- -----------------------------------------------------------------------------------------------------------
Judge Gustavo E. Gonzales, Jr. 37 None.
DOB: July 27, 1940
- -----------------------------------------------------------------------------------------------------------
Dr. Norman Hackerman 37 None.
DOB: March 2, 1912
- -----------------------------------------------------------------------------------------------------------
Dr. John Wm. Lancaster 37 None.
DOB: December 15, 1923
- -----------------------------------------------------------------------------------------------------------
Kenneth J. Lavery 37 Director, Board of Overseers, Newton Wellesley
DOB: December 30, 1949 Hospital (1996-Present).
- -----------------------------------------------------------------------------------------------------------
Ben H. Love 37 None.
DOB: September 26, 1930
- -----------------------------------------------------------------------------------------------------------
Dr. John E. Maupin, Jr. 37 Director, Monarch Dental Corporation
DOB: October 28, 1946 (1997-Present); Director, Pinnacle Financial
Partners, Inc. (2000-Present).
- -----------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
63
August 31, 2003
TRUSTEE INFORMATION (Unaudited) - Continued
Name, Birth Date and Position Held With
Address* VALIC Complex Date Service Began Principal Occupations During Past Five Years
- --------------------------------------------------------------------------------------------------------------------------
Interested Trustees
Robert P. Condon (1) Trustee October, 2001 President, VALIC (2000-Present); Executive Vice
DOB: December 28, 1941 President-Sales and Marketing, American General
Retirement Services (1999-Present). Formerly, Executive
Vice President, Fidelity Federal Bank
(1993-1999).
- --------------------------------------------------------------------------------------------------------------------------
Paige T. Davis (1) Trustee July, 2002 Formerly, Regional Manager, VALIC (1976-2001).
DOB: July 4, 1943
- --------------------------------------------------------------------------------------------------------------------------
Peter A. Harbeck (1) Trustee October, 2001 President and Chief Executive Officer, SAAMCo
DOB: January 23, 1954 (1995-Present); President, AIG SunAmerica Fund
Services, Inc. (1988-Present).
- --------------------------------------------------------------------------------------------------------------------------
Number of Funds in Fund
Name, Birth Date and Complex Overseen by
Address* Trustee (2) Other Directorships Held by Trustee (3)
- --------------------------------------------------------------------------------------------------
Interested Trustees
Robert P. Condon (1) 37 None.
DOB: December 28, 1941
- --------------------------------------------------------------------------------------------------
Paige T. Davis (1) 37 Director, Maryland African American Museum
DOB: July 4, 1943 Corporation (1999-Present); Director, Maryland
Racing Commission (1996-Present); Director,
Morgan State University Foundation, Inc.
(1998-Present); Director, Maryland Health and
Higher Education Facilities Authority
(1987-Present).
- --------------------------------------------------------------------------------------------------
Peter A. Harbeck (1) 83 None.
DOB: January 23, 1954
- --------------------------------------------------------------------------------------------------
* The business address for each Trustee is, 2929 Allen Parkway, Houston, TX,
77019.
(1)Interested Trustee, as defined within the Investment Company Act of 1940
(the "1940 Act"), because of current or former employment with VALIC
(Messrs. Condon and Davis) or SAAMCo (Mr. Harbeck), companies affiliated
with VALIC.
(2)The "Fund Complex" consists of all registered investment company portfolios
for which VALIC or an affiliated person of VALIC serves as investment
adviser or business manager. The "Fund Complex" includes the SunAmerica
Equity Funds (7 funds), SunAmerica Income Funds (6 funds), SunAmerica Money
Market Funds, Inc. (2 funds), SunAmerica Senior Floating Rate Fund, Inc. (1
fund), SunAmerica Strategic Investment Series, Inc. (7 funds), SunAmerica
Style Select Series, Inc. (15 portfolios), Anchor Pathway Fund (7 funds),
Anchor Series Trust (8 portfolios), Seasons Series Trust (19 portfolios),
SunAmerica Series Trust (33 portfolios), VALIC Company I (22 funds), and
VALIC Company II (15 funds).
(3)Directorships of companies required to report to the Securities and Exchange
Commission under the Securities Exchange Act of 1934 (i.e. "public
companies") or other investment companies registered under the 1940 Act
other than those listed under the preceding column.
Additional Information concerning the Trustee is contained in the Statement
of Additional Information and is available without charge by calling
1-800-448-2542.
- --------------------------------------------------------------------------------
64
August 31, 2003
VALIC COMPANY II - SHAREHOLDER TAX INFORMATION (Unaudited)
Certain tax information regarding the VALIC Company II Series is required to be
provided to the shareholders based upon each Fund's income and distributions
for the year ended August 31, 2003.
During the year ended August 31, 2003, the Funds paid the following dividends
along with the percentage of ordinary income dividends that qualified for the
70% dividends received deductions for corporations:
Net Net Qualifying % for the
Total Ordinary Long-term Foreign Foreign 70% Dividends
Fund Dividends Income Capital Gains Tax Credit* Source Income Received Deduction
- ---- ---------- ---------- ------------- ----------- ------------- --------------------
Aggressive Growth Lifestyle Fund.. $ 210,024 $ 210,024 $ - $ - $ - 100.00%
Capital Appreciation Fund......... 15,000 15,000 - - - -
Conservative Growth Lifestyle Fund 555,753 555,753 - - - 100.00%
Core Bond Fund.................... 1,772,964 1,772,964 - - - -
High Yield Bond Fund.............. 2,710,856 2,710,856 - - - 1.94%
International Growth II Fund...... 469,933 469,933 - 92,090 708,290 0.78%
Large Cap Value Fund.............. 420,981 420,981 - - - 100.00%
Mid Cap Value Fund................ 233,002 233,002 - - - 100.00%
Moderate Growth Lifestyle Fund.... 761,188 761,188 - - - 100.00%
Money Market II Fund.............. 643,672 643,672 - - - -
Small Cap Value Fund.............. 1,113,062 395,002 718,060 - - 100.00%
Socially Responsible Fund......... 89,502 89,502 - - - 100.00%
Strategic Bond Fund............... 2,219,077 2,219,077 - - - -
The information and distributions reported herein may differ from the
information and distributions taxable to the shareholders for the calendar year
ending December 31, 2003, which will be made available after the end of the
calendar year.
*The Funds make an election under the Internal Revenue Code Section 853 to pass
through foreign taxes paid to shareholders.
- --------------------------------------------------------------------------------
65
VALIC COMPANY II
BOARD OF TRUSTEES INDEPENDENT AUDITORS
Robert P. Condon Ernst & Young LLP
Judith L. Craven 1401 McKinney Street, Suite 1200
Paige T. Davis Houston, Texas 77010
William F. Devin
Timothy J. Ebner TRANSFER AND SHAREHOLDER
Gustavo E. Gonzales, Jr. SERVICE AGENT
Norman Hackerman The Variable Annuity Life
Peter A. Harbeck Insurance Company
John W. Lancaster 2929 Allen Parkway
Kenneth J. Lavery Houston, Texas 77019
Ben H. Love
John E. Maupin, Jr. OFFICERS
Robert P. Condon,
CUSTODIAN Chairman
State Street Bank and Trust Company Evelyn M. Curran,
225 Franklin Street President (Principal Executive Officer)
Boston, Massachusetts 02110 Gregory R. Kingston,
Treasurer (Principal Financial Officer)
INVESTMENT ADVISER John Packs,
The Variable Annuity Life Insurance Company Vice President and Senior Investment Officer
2929 Allen Parkway Nori L. Gabert,
Houston, Texas 77019 Vice President, Secretary and Chief Legal Officer
Robert M. Zakem,
INVESTMENT SUB-ADVISERS Vice President and Assistant Secretary
AIG Global Investment Corp. Donna Handel,
175 Water Street Vice President and Assistant Treasurer
New York, New York 10038 Cynthia A. Gibbons,
Chief Compliance Officer and Assistant Secretary
AIG SunAmerica Asset Management Corp. Kathryn A. Pearce,
Haborside Financial Center Assistant Treasurer
3200 Plaza 5 Donald H. Guire,
Jersey City, NJ 07311-4992 Assistant Treasurer
Banc One Investment Advisors Corporation
1111 Polaris Parkway
Columbus, Ohio 43271-0211
Credit Suisse Asset Management, LLC
466 Lexington Avenue
New York, New York 10017-3147
Franklin Advisers, Inc.
One Franklin Parkway
San Mateo, California 94403-1906
INVESCO Funds Group, Inc.
4530 S. Manoca Street
Denver, Colorado 80237
Putnam Investment Management, LLC
One Post Office Square
Boston, Massachusetts 02109
SSgA Funds Management, Inc.
2 International Place
Boston, Massachusetts 02110
Wellington Management Company, LLP
75 State Street
Boston, Massachusetts 02109
This report is for the information of the shareholders and variable contract
owners participating in the VALIC Company II. It is authorized for distribution
to other persons only when preceded or accompanied by an effective prospectus
which contains information on how to purchase shares and other pertinent
information.
If you would like further information about this material or products issued by
VALIC or American General Life Insurance Company, please contact your financial
professional.
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66
VALIC COMPANY II
AIG VALIC ONLINE
Account Access
Manage your account on the Web through AIG VALIC
Online!
You must establish a Enjoy quick, easy and secure access -- now or anytime.
Go to www.aigvalic.com, and click on "View your
account".
You'll find these exciting features:
Personal Identification . View your current portfolio valuation.
. View your account and transaction confirmation
statements.
Number (PIN) before . View fund performance and unit values.
using the automated . View your transaction history.
account services. . View information about your financial advisor.
. Change your Personal Identification Number (PIN).
. Change your address, e-mail and telephone number.
. Change your allocation of future contributions.
. Transfer money among investment options.
Your PIN is valid for . Rebalance account to your desired allocation mix.
both AIG VALIC by Phone . Perform loan modeling.
. Request forms for a variety of services.
. Enroll in the electronic document delivery service.
Start exploring AIG VALIC Online today by establishing
at 1.800.428.2542 a Personal Identification Number (PIN)!
and AIG VALIC Online. To set up a PIN through AIG VALIC Online:
. Go to www.aigvalic.com.
. Click "View your account".
. Click "I am a new user".
. For verification, enter your Social Security
number, last name and date of birth.
. Choose, enter and verify your numeric PIN.
. Click "I Agree" to accept AIG VALIC's access
agreement (required).
. Verify and/or update your address, e-mail and
telephone number information.
Your PIN setup is complete when the Client Summary
screen appears.
This PIN is valid for both AIG VALIC by Phone at
1.800.428.2542 and AIG VALIC Online.
AIG VALIC by Phone is AIG VALIC's toll-free automated
phone line for 24-hour access to your account.
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VL 11288 VER 03/08
Item 2. Code of Ethics.
VALIC Company II has adopted a Code of Ethics applicable to its Principal
Executive and Principal Accounting Officers pursuant to section 406 of the
Sarbanes-Oxley Act of 2002.
Item 3. Audit Committee Financial Expert.
Currently, VALIC Company II does not have an Audit Committee member who
possesses all of the attributes required to be an "audit committee financial
expert" as defined in Item 3 of Form N-CSR. However, the Board of Trustees
believes that each member of the Audit Committee has substantial experience
relating to the review of financial statements and the operations of audit
committees. Accordingly, the Board believes that the members are qualified to
evaluate the Trust's financial statements, supervise the Trust's preparation of
its financial statements, and oversee the work of the Trust's independent
auditors.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Reserved.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Reserved.
Item 9. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report,
under the supervision and with the participation of the registrant's
management, including the President and Treasurer, of the effectiveness of
the design and operation of the registrant's disclosure controls and
procedures. Based on that evaluation, the registrant's management,
including the President and Treasurer, concluded that the registrant's
disclosure controls and procedures are effective.
(b) There was no change in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act)
that occurred during the Registrant's last fiscal half-year that has
materially affected, or is reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
Item 10. Exhibits.
(a) (1) Code of Ethics applicable to its Principal Executive and Principal
Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of
2002 attached hereto as Exhibit 99.406.Code of Ethics.
(b) (1) Certification pursuant to Rule 30a-2 under the Investment Company Act
of 1940 (17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT.
(2) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
attached hereto as Exhibit 99.906.CERT.
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.
VALIC Company II
By: /s/ Evelyn M. Curran
Evelyn M. Curran
President
Date: November 7, 2003
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: /s/ Evelyn M. Curran
Evelyn M. Curran
President
Date: November 7, 2003
By: /s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: November 7, 2003