As filed with the Securities and Exchange Commission on December 30, 2004
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 No. 811-08261
MEMBERS Mutual Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Kevin S. Thompson, Esq.
Vice President, Deputy General Counsel
CUNA Mutual Group
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
Copy to:
Stephen E. Roth, Esq.
Sutherland Asbill & Brennan LLP
1275 Pennsylvania Avenue, N.W.
Washington, D. C. 20004-2404
-----------------------------------
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 (the "1940 Act") appears beginning on the
following page.
2
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MEMBERS MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2004
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CASH RESERVES FUND
BOND FUND
HIGH INCOME FUND
BALANCED FUND
GROWTH AND INCOME FUND
CAPITAL APPRECIATION FUND
MID-CAP FUND
MULTI-CAP GROWTH FUND
INTERNATIONAL STOCK FUND
[LOGO OF MEMBERS]
M U T U A L F U N D S
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LETTER TO SHAREHOLDERS
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[PHOTO OF LAWRENCE R. HALVERSON]
Dear Fellow Shareholder:
The election is over and many investors may be wondering, "What next"? The stock
market has often moved favorably following elections as the uncertainty of the
outcome is replaced by longer-term optimism. But, the future never exactly
replicates the past and often behaves quite differently from historical
patterns. So, as usual, investors must prepare for whatever the future may hold.
We can all hope, however, that the coming year will build on the past year's
generally favorable patterns.
Both bonds and stocks provided attractive returns for the Funds' fiscal year
ended October 31, 2004. Those returns were lower than in the prior year and they
also were more erratic reflecting the changing domestic and international
economic situations, the spike in energy prices, the din of national and world
politics, continued threats of terrorism, and the waging of a very difficult
war. Still, returns were generally above historical averages and, by the close
of the fiscal year, investors appeared to be adopting a more favorable near-term
outlook.
Each of the funds provided nicely positive performance in this twelve-month
period, with some of the funds' returns well into the teens. Each fund's
specific performance and the primary influences on their returns are summarized
in the attached Annual Report.
We share the current concerns of many investors regarding rising interest rates,
tightening monetary and fiscal policy, stubbornly high energy prices and
continued conflicts overseas. At the same time, we look for continued economic
growth in the United States and generally worldwide. So, in spite of the
near-term issues, we encourage long-term investors to maintain or even
accelerate their investment accumulation programs in the months immediately
ahead.
We are saddened to report that we lost a good friend and outstanding director
for MEMBERS(R) Mutual Funds. Tom Watt died this September after a valiant battle
with cancer, leaving a legacy of shareholder advocacy, charitable giving and
strong community and business leadership. More importantly, he left behind a
loving family who cherished his companionship and guidance as husband, father
and grandfather. He will be missed by all of us.
Richard Struthers, an individual with direct involvement in the asset management
business who is also an attorney with extensive experience in investment
regulatory issues, was elected to the Board by the independent directors to
succeed Tom. This reflects the Board's commitment to assure continuing capable
representation of shareholders. In addition, all Board members will be presented
for shareholder vote early next year. Information on this will be mailed to
shareholders in January.
As another year draws to a close, we thank you once again for your confidence
and trust, and remain committed to your long-term investment success.
Sincerely,
/s/ Lawrence R. Halverson
Lawrence R. Halverson, CFA
President
(Not part of the Annual Report.)
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SUMMARY OF U.S. ECONOMIC AND FINANCIAL MARKET CONDITIONS
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U.S. ECONOMY
The U.S. economy grew at a healthy rate in the twelve months ended October 31,
2004. As the period began, consumers were quite active as low interest rates and
tax refunds spurred heavy purchases of durable goods. To an extent, this surge
in consumer buying of durable goods "stole" from growth for the remainder of the
period, although automakers, for instance, were still able to attract buyers
with incentives and discounts. Consumer spending, particularly among
lower-income consumers, was pinched in the spring as oil and gasoline prices
rose, causing something of a "soft spot" in overall economic growth. Consumer
activity picked up again during the summer of 2004, however, and recent
revisions of economic data suggest that the "soft spot" was not as soft as it
initially appeared. Corporations, meanwhile, took up the slack. Profitable, and
with healthy balance sheets, companies increased their capital spending during
the period. They favored investments in technology infrastructure during the
first part of the period, but over time rotated towards "old economy"
investments such as transportation equipment and machinery. The housing market
was also a significant contributor to economic growth. Inflation stayed below
its historical average of about 3% as intense competition, globalization, and
increasingly transparent markets made it difficult for companies to pass along
higher costs to consumers. The labor market improved throughout the period,
although the economy added fewer jobs than in most past expansions.
U.S. STOCKS
Stocks generally did well during the period as low interest rates, low
inflation, and solid economic growth provided a favorable environment for
corporate earnings. Smaller was better, with the S&P 500 Index of large-cap
stocks returning 9.42% for the period while the S&P 600 Index of small-cap
stocks returned 16.74%. Smaller companies took advantage of low interest rates
to restructure and boost profit margins. Smaller stocks had "fallen behind"
large stocks after a period of under-performance in the late 1990s, and part of
their out-performance during the period was likely due to market participants
adjusting for their under-valuation. Growth out-performed value early in the
period as market participants responded enthusiastically to the resurgence in
corporate spending on information technology. Later in the period, value
out-performed growth as "old economy" manufacturers took the lead and smaller
and more distressed companies were able to reorganize and return to
profitability.
U.S. BONDS
Bonds under-performed stocks, but bond returns still generally out-paced
inflation. As had been the case during the previous annual reporting period,
riskier bonds out-performed. The Lehman Brothers Intermediate Government/Credit
Index of investment grade bonds returned 4.33%, while the Lehman Brothers High
Yield Bond Index returned 12.32%. A mild inflation scare in the spring of 2004
drove bond prices down as market participants feared that an aggressive campaign
of monetary tightening by the U.S. Federal Reserve (the "Fed") was coming. The
Fed did indeed raise short-term interest rates in three quarter-point increments
over the summer and fall, but inflationary fears subsided and market
participants came to believe that short-term rates would only rise gradually
going forward. Shorter-term bond yields rose along with the Fed's moves, but
longer-term bond yields stayed essentially the same or even fell.
INTERNATIONAL ECONOMIES AND FINANCIAL MARKETS
Japan surprised economists and market participants by posting relatively strong
growth as exports made up for lackluster domestic demand and deflationary
conditions. Exporters of commodities, such as Australia and Canada, did very
well as the rapidly growing Chinese economy demanded huge amounts of raw
materials to build its infrastructure. East Asia as a whole grew very strongly,
led by China and India. European economies were much more sluggish, hurt by a
steady rise in the euro that crimped demand for exports from the euro-zone,
persistent inflation, relatively high interest rates, and rising energy prices.
In the spring, emerging markets stocks sold off sharply as market participants
worried that the combination of Fed tightening and higher oil prices would choke
off growth in Asian and Latin American economies. When strong growth persisted
over the summer, stock markets recovered, and emerging markets stocks provided
generous returns. Returns from Japanese and European equity markets were more
modest, but benefited from synchronized global economic expansion during the
period. For U.S. investors, stock returns from international markets were
generally enhanced by a decline in the relative value of the U.S. dollar.
(Not part of the Annual Report.)
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TABLE OF CONTENTS
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PAGE
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FUND PERFORMANCE REVIEWS
Bond Fund ........................................................ 2
High Income Fund ................................................. 4
Balanced Fund .................................................... 6
Growth and Income Fund ........................................... 8
Capital Appreciation Fund ........................................ 10
Mid-Cap Fund ..................................................... 12
Multi-Cap Growth Fund ............................................ 14
International Stock Fund ......................................... 16
PORTFOLIOS OF INVESTMENTS
Cash Reserves Fund ............................................... 18
Bond Fund ........................................................ 20
High Income Fund ................................................. 24
Balanced Fund .................................................... 34
Growth and Income Fund ........................................... 39
Capital Appreciation Fund ........................................ 41
Mid-Cap Fund ..................................................... 43
Multi-Cap Growth Fund ............................................ 46
International Stock Fund ......................................... 48
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ............................. 54
Statements of Operations ......................................... 56
Statements of Changes in Net Assets .............................. 58
Financial Highlights ............................................. 62
NOTES TO FINANCIAL STATEMENTS ........................................ 72
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM .............. 79
OTHER INFORMATION .................................................... 80
TRUSTEES AND OFFICERS ................................................ 82
NONDEPOSIT INVESTMENT PRODUCTS ARE NOT FEDERALLY INSURED, INVOLVE INVESTMENT
RISK, MAY LOSE VALUE AND ARE NOT OBLIGATIONS OF OR GUARANTEED BY THE CREDIT
UNION. For more complete information about MEMBERS Mutual Funds, including
charges and expenses, request a prospectus from your registered representative
or from MEMBERS Mutual Funds, P.O. Box 8390, Boston, MA 02266-8390. Consider the
investment objectives, risks, and charges and expenses of the investment
carefully before investing. The prospectus contains this and other information
about the investment company. For more current performance information, please
call 1-800-877-6089 or visit our website at www.membersfunds.com. Current
performance may be lower or higher than the performance data quoted within. Past
performance does not guarantee future results.
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1
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BOND FUND PERFORMANCE REVIEW
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INVESTMENT OBJECTIVE
The Bond Fund seeks to generate a high level of current income, consistent with
the prudent limitation of investment risk.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
To keep current income relatively stable and to limit share price volatility,
the Bond Fund emphasizes investment grade securities and maintains an
intermediate (typically 3-6 year) average portfolio duration. Under normal
circumstances, the fund invests at least 80% of its assets in such securities.
The fund may invest in the following instruments:
o CORPORATE DEBT SECURITIES: securities issued by domestic and foreign
corporations which have a rating within the four highest categories and, to a
limited extent (up to 20% of its assets), in securities not rated within the
four highest categories;
o U.S. GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by the U.S.
Government or its agencies or instrumentalities;
o FOREIGN GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by a
foreign government or its agencies or instrumentalities, payable in U.S.
dollars, which have a rating within the four highest categories; and
o NON-RATED DEBT SECURITIES: securities issued or guaranteed by corporations,
financial institutions, and others which, although not rated by a national
rating service, are considered by the fund's investment adviser to have an
investment quality equivalent to the four highest categories.
The MEMBERS Bond Fund (Class A shares at net asset value) returned 4.46% during
the twelve-month period ended October 31, 2004, under-performing the Merrill
Lynch U.S. Domestic Master Index, which returned 5.55%. The fund also modestly
under-performed the 4.95% average return of its peer intermediate-term bond
mutual funds as categorized by Morningstar.
The fund's under-performance can be attributed primarily to its conservative
posture with regard to duration, or interest-rate sensitivity, and credit
quality versus indexes and peers during the early part of the reporting period.
The fund has historically attempted to minimize interest-rate and credit risk,
which tends to hold back performance during bull markets for fixed-income
securities. During the reporting period, management gradually and modestly
extended duration to better align the fund with its peer funds, which could
increase both absolute returns and interest-rate risk going forward. This modest
extension of the fund's duration, accomplished as bond market participants were
pricing in a more aggressive monetary tightening campaign on the part of the Fed
than eventually occurred, helped returns later in the reporting period, as did
improved security selection.
Investors should note that the fund's basic investment strategy has not changed.
It is still being managed with the goal of providing current income and
diversification for an investor's portfolio that contains stocks or stock mutual
funds.
MEMBERS CAPITAL ADVISORS' FIXED-INCOME PORTFOLIO MANAGEMENT TEAM - ADVISOR
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2
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BOND FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Lehman Brothers
Class A Shares Class B Shares Merrill Lynch Intermediate
(includes maximum (includes maximum U.S. Domestic Government/Credit
sales charge)(2) applicable CDSC)(3) Master Index Bond Index
----------------- ------------------- ------------- -----------------
12/29/1997 9,525 10,000 10,000 10,000
4/30/1998 9,654 9,667 10,219 10,213
10/31/1998 10,104 10,086 10,803 10,808
4/30/1999 10,252 10,195 10,870 10,863
10/31/1999 10,266 10,235 10,840 10,914
4/30/2000 10,372 10,372 11,005 11,031
10/31/2000 10,768 10,721 11,634 11,619
4/30/2001 11,338 11,418 12,350 12,368
10/31/2001 12,175 12,225 13,331 13,275
4/30/2002 12,095 12,286 13,311 13,256
10/31/2002 12,688 12,852 14,129 14,060
4/30/2003 13,174 13,184 14,739 14,682
10/31/2003 13,132 13,091 14,825 14,824
4/30/2004 13,204 13,214 15,012 14,980
10/31/2004 13,717 13,676 15,648 15,465
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Mortgage Backed 32%
Corporate Notes and Bonds 28%
U.S. Government and Agency Obligations 25%
Asset Backed 6%
Commercial Mortgage Backed 6%
Cash & Other Net Assets 2%
Private Label Mortgage Backed 1%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 4.46% 4.06% 5.97% 5.48% -0.46% 2.39% 4.93% 4.73%
Class B Shares(3) 3.68 3.25 5.16 4.68 -0.82 2.15 4.83 4.68
Merrill Lynch U.S. Domestic
Master Index 5.55 5.48 7.61 6.76 -- -- -- --
Lehman Brothers Intermediate
Government/Credit Bond Index 4.33 5.22 7.22 6.58 -- -- -- --
(2) Maximum Sales Charge is 4.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
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3
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HIGH INCOME FUND PERFORMANCE REVIEW
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INVESTMENT OBJECTIVE
The High Income Fund seeks high current income. The fund also seeks capital
appreciation, but only when consistent with its primary goal.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use one or more subadvisors under a "manager of managers" approach to
make investment decisions for some or all of the assets of this fund.
Massachusetts Financial Services Company ("MFS") is the only subadvisor
currently used by MEMBERS Capital Advisors to manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The High Income Fund invests primarily in lower-rated, higher-yielding income
bearing securities, such as "junk" bonds. Because the performance of these
securities has historically been strongly influenced by economic conditions, the
fund may rotate securities selection by business sector according to the
economic outlook. Under normal market conditions, the fund invests at least 80%
of its assets in bonds rated lower than investment grade (BBB/Baa) and their
unrated equivalents or other high-yielding securities. Types of bonds and other
securities include, but are not limited to, domestic and foreign corporate
bonds, debentures, notes, convertible securities, preferred stocks, municipal
obligations and government obligations. The fund may invest in mortgage-backed
securities.
The MEMBERS High Income Fund (Class A shares at net asset value) returned 10.73%
during the twelve-month period ended October 31, 2004, underperforming the
Lehman Brothers High Yield Bond Index, which returned 12.32%.
High-yield bonds historically have been influenced less by the level of interest
rates and more by economic activity and the balance of supply and demand. At the
beginning of the period, high-yield bonds had been performing well for some
time. At that point, the market experienced some volatility as, in management's
view, investors worried that high yield issues were about to fall out of favor
with the market. That did not come to pass, however. While retail investors did
shift assets out of the high yield sector, institutional investors remained
hungry for the additional yield offered by the asset class. This consistent
demand helped support high-yield bond prices. Default rates continued to improve
along with corporate credit quality. New bond issuance remained healthy during
the first 10 months of 2004, with levels similar to 2003, indicating that
high-yield companies were encountering few problems accessing capital. Any
concerns currently revolve around how much further high-yield bond prices can
improve relative to Treasuries after having enjoyed such a run-up. Investors may
not view high-yield issues as being priced fairly if Treasury yields back up
more due to additional Fed rate hikes.
There were several individual investments that significantly added to the
portfolio's relative performance. In the consumer products sector, Safilo, which
manufactures eyewear frames, rebounded from undervalued status because of a
turnaround strategy implemented by company management. In addition, IMC Global,
a producer of crop nutrients including phosphates and potash, merged with
Cargill's crop nutrition businesses, and the bonds were subsequently upgraded.
Finally, Dex Media, the yellow-pages conglom-erate spun out of Qwest
Communications, saw its zero-coupon bonds rise in price. The company attracted
investors because of its free cash flow, recurring revenues, low capital
expenditures, and progressive deleveraging.
A number of security selections hurt relative performance. Rural wireless
telecommunications service provider Dobson Communications declined because of
rising competitive pressures brought on in part by the merger between AT&T
Wireless and Cingular. This transaction likely will force Dobson to renegotiate
its roaming rates. Another detractor was Calpine, a highly levered merchant
power producer, which struggled in the face of rising natural gas prices. The
company uses natural gas to run its power plants, and higher energy prices
reduced the firm's margins. The company added to capacity through the issuance
of debt, and it is working to maintain liquidity. Finally, Telewest, the
European cable TV company, was also an under-performer.
MEMBERS CAPITAL ADVISORS' FIXED-INCOME PORTFOLIO MANAGEMENT TEAM - ADVISOR
MASSACHUSETTS FINANCIAL SERVICES COMPANY - SUBADVISOR
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4
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HIGH INCOME FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Class A Shares Class B Shares Lehman Brothers
(includes maximum (includes maximum High Yield
sales charge)(2) applicable CDSC)(3) Bond Index
----------------- ------------------- ---------------
12/29/1997 9,525 10,000 10,000
4/30/1998 9,799 9,800 10,398
10/31/1998 8,974 8,962 9,790
4/30/1999 10,171 10,091 10,444
10/31/1999 9,843 9,805 10,215
4/30/2000 10,085 10,114 10,223
10/31/2000 9,763 9,698 10,050
4/30/2001 9,992 10,001 10,334
10/31/2001 9,574 9,571 10,035
4/30/2002 10,054 10,223 10,701
10/31/2002 9,606 9,745 9,484
4/30/2003 10,902 10,947 11,642
10/31/2003 11,630 11,617 12,687
4/30/2004 12,113 12,145 13,388
10/31/2004 12,877 12,862 14,250
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Energy 11%
Industrials 8%
Communication 7%
Recreation 7%
Telecommunications 7%
U.S. Government & Agency 7%
Media 6%
Basic Materials 5%
Containers & Packaging 4%
Retail 4%
Chemicals & Drugs 3%
Health Care Services 3%
Commercial Mortgage Backed 2%
Building & Construction 2%
Consumer Services 2%
Consumer Staples 2%
Durable Goods 2%
Finance 2%
Metals and Mining 2%
Pipeline 2%
Utilities 2%
Asset Backed 1%
Aerospace/Defense 1%
Consumer Cyclicals 1%
Machinery 1%
Printing 1%
Technology 1%
Transportation 1%
Waste Disposal 1%
Foreign Government & Agency 1%
Cash & Other Net Assets 1%
REITS 0%*
Schools 0%*
*Rounds to 0%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 10.73% 10.39% 5.52% 4.51% 5.43% 8.59% 4.51% 3.77%
Class B Shares(3) 10.02 9.59 4.73 3.75 5.52 8.61 4.45 3.75
Lehman Brothers High Yield
Bond Index 12.32 12.40 6.89 5.31 -- -- -- --
(2) Maximum Sales Charge is 4.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
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5
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BALANCED FUND PERFORMANCE REVIEW
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INVESTMENT OBJECTIVE
The Balanced Fund seeks a high total return through the combination of income
and capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
The Balanced Fund invests in a broadly diversified array of securities including
common stocks, bonds and money market instruments. The fund employs regular
rebalancing to maintain a relatively static asset allocation. Stock, bond and
cash components will vary, however, reflecting the relative availability of
attractively priced stocks and bonds. Generally, however, common stocks will
constitute 50% to 70% of the fund's assets, bonds will constitute 25% to 50% of
the fund's assets and money market instruments may constitute up to 25% of the
fund's assets. The Balanced Fund will invest in the same types of equity
securities in which the Capital Appreciation Fund and Growth and Income Fund
invest, the same type of bonds in which the Bond Fund invests, and the same
types of money market instruments in which the Cash Reserves Fund invests.
The MEMBERS Balanced Fund (Class A shares at net asset value) returned 7.71% in
the twelve-month period ended October 31, 2004. During the same period, the
Russell 1000(R) Index returned 9.33% and the Merrill Lynch U.S. Domestic Master
Index returned 5.55%.
Performance of the stock component of the fund versus the Russell 1000(R) Index
was positively affected by an overweight in the energy sector and an underweight
in the health care sector. Performance was hurt by stock selection in the health
care sector, where holdings Applied Biosystems and Wyeth lagged behind the
overall performance of the sector. Stock selection in the information technology
sector was a significant positive contributor to performance, as Autodesk rose
after posting consistently strong earnings, Motorola gained market share in the
highly-competitive market for cellular telephones, and IT services provider
Computer Sciences and data transfer specialist Concord EFS out-performed their
sub-sectors. Performance was also helped by stock selection in the consumer
discretionary sector as Carnival appreciated after cruise bookings and profits
exceeded consensus expectations.
Management gradually and moderately increased the fund's allocation to equities
for strategic reasons during the period, although it generally will maintain a
conservative posture in regard to security selection in both equity and
fixed-income markets. Management's objective has not changed; it is to manage
the fund to be a "core" investment providing both income and capital
appreciation via a broadly diversified array of stocks, bonds, and money market
instruments.
MEMBERS CAPITAL ADVISORS' COMMON STOCK AND FIXED-INCOME PORTFOLIO MANAGEMENT
TEAMS - ADVISOR
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6
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BALANCED FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Blended Synthetic Index
(45% S&P 500 Index return,
40% Lehman Brothers
Intermediate Goverment/
Class A Shares Class B Shares Merrill Lynch Credit Bond Index return,
(includes maximum (includes maximum U.S. Domestic Russell 1000 15% 90-Day U.S. Treasury
sales charge)(2) applicable CDSC)(3) Master Index Index Bill return)
----------------- ------------------- ------------- ------------ --------------------------
12/29/1997 9,425 10,000 10,000 10,000 10,000
4/30/1998 10,281 10,432 10,219 11,671 10,867
10/31/1998 10,266 10,374 10,803 11,459 11,190
4/30/1999 11,736 11,420 10,870 14,041 12,334
10/31/1999 11,866 11,922 10,840 14,391 12,566
4/30/2000 12,653 12,852 11,005 15,789 13,096
10/31/2000 12,893 13,053 11,634 15,694 13,381
4/30/2001 12,579 12,728 12,350 13,632 13,053
10/31/2001 11,792 11,867 13,331 11,608 12,567
4/30/2002 11,993 12,329 13,311 11,999 12,733
10/31/2002 10,897 11,161 14,129 9,913 12,060
4/30/2003 11,228 11,357 14,739 10,384 12,553
10/31/2003 12,284 12,385 14,825 12,125 13,476
4/30/2004 12,792 12,952 15,012 12,866 13,924
10/31/2004 13,231 13,347 15,648 13,256 14,307
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Common Stocks 64%
U.S. Government and Agency Obligations 10%
Corporate Notes and Bonds 9%
Mortgage Backed 9%
Cash & Other Net Assets 3%
Asset Backed 2%
Commercial Mortgage Backed 2%
Private Label Mortgage Backed 1%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 7.71% 3.91% 2.20% 5.08% 1.54% 1.88% 0.99% 4.18%
Class B Shares(3) 6.90 3.13 1.45 4.31 2.40 2.02 1.08 4.31
Russell 1000(R) Index 9.33 4.53 -1.63 4.46 -- -- -- --
Merrill Lynch U.S. Domestic
Master Index 5.55 5.48 7.61 6.67 -- -- -- --
Blended Synthetic Index 7.64 5.07 2.14 5.64 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
7
- --------------------------------------------------------------------------------
GROWTH AND INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Growth and Income Fund seeks long-term capital growth with income as a
secondary consideration.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
The Growth and Income Fund will focus on stocks of companies with financial and
market strength and a long-term record of financial performance, and will, under
normal market conditions, maintain at least 80% of its assets in such stocks.
Primarily through ownership of a diversified portfolio of common stocks and
securities convertible into common stocks, the fund will seek a rate of return
in excess of returns typically available from less variable investment
alternatives. The fund generally follows what is known as a "value" approach
which generally means that the managers seek to invest in stocks at prices below
their perceived intrinsic value as estimated based on fundamental analysis of
the issuing company and its prospects. By investing in value stocks, the fund
attempts to limit the downside risk over time but may also produce smaller gains
than other stock funds if their intrinsic values are not realized by the market
or if growth-oriented investments are favored by investors.
The MEMBERS Growth and Income Fund (Class A shares at net asset value) returned
11.48% during the twelve-month period ended October 31, 2004, under-performing
the Russell 1000(R) Value Index, which returned 15.45%.
The fund's performance versus the Russell 1000(R) Value Index was hurt by
overweights in the health care and information technology sectors. Performance
was helped by stock selection in the consumer discretionary sector as
management's decision to purchase shares of McDonald's and Target when they
appeared to be losing ground to competitors was rewarded when both companies
posted improved results. Performance was hurt by stock selection in the
utilities sector, as the fund's holdings in Ameren, Consolidated Edison, FPL
Group, and Progress Energy - all more conservative, regulated utilities
- -- underperformed in the sector. At-risk, unregulated utilities outperformed
during the early part of the period as market participants apparently decided
that they had overestimated the risks inherent in these shares and bid prices
up. This out-performance persisted later in the period as market participants
came to believe that interest rates would rise less rapidly than they had
expected and higher-yielding utilities saw considerable buying interest.
Management continues to find good values including some higher quality stocks of
industry leaders with solid track records of earnings growth and healthier
balance sheets than possessed by the stereotypical "value" stock. Management
believes that market participants, lured by the exceptional returns that riskier
"deep value" and speculative growth shares provided during 2003, are still
undervaluing a number of these stocks.
MEMBERS CAPITAL ADVISORS' COMMON STOCK PORTFOLIO MANAGEMENT TEAM - ADVISOR
- --------------------------------------------------------------------------------
8
- --------------------------------------------------------------------------------
GROWTH AND INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Class A Shares Class B Shares
(includes maximum (includes maximum Russell 1000(R)
sales charge)(2) applicable CDSC)(3) Value Index S&P 500 Index
----------------- ------------------- --------------- -------------
12/29/1997 9,425 10,000 10,000 10,000
4/30/1998 10,928 11,114 11,429 11,717
10/31/1998 10,327 10,447 10,864 11,670
4/30/1999 12,910 12,287 13,039 13,057
10/31/1999 12,634 12,821 12,659 14,667
4/30/2000 13,654 13,893 12,533 15,725
10/31/2000 13,506 13,682 13,358 15,560
4/30/2001 12,430 12,566 13,339 13,677
10/31/2001 10,748 10,777 11,773 11,680
4/30/2002 11,300 11,609 12,817 11,948
10/31/2002 9,081 9,295 10,593 9,915
4/30/2003 9,286 9,365 11,150 10,359
10/31/2003 10,801 10,861 13,017 11,977
4/30/2004 11,577 11,709 14,078 12,729
10/31/2004 11,903 12,134 15,028 13,105
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Financials 26%
Energy 13%
Consumer Discretionary 11%
Industrials 11%
Information Technology 10%
Consumer Staples 7%
Health Care 7%
Telecommunication Services 5%
Materials 4%
Cash & Other Net Assets 3%
Utilities 3%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 11.48% 3.86% -0.96% 3.65% 5.11% 1.83% -2.13% 2.75%
Class B Shares(3) 10.70 3.09 -1.70 2.87 6.20 1.98 -2.09 2.87
Russell 1000(R) Value Index 15.45 8.48 3.49 6.36 -- -- -- --
S&P 500 Index 9.42 3.92 -2.22 4.31 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
9
- --------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Capital Appreciation Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
The Capital Appreciation Fund invests primarily in common stocks, and will,
under normal market conditions, maintain at least 80% of its assets in such
securities. The fund seeks stocks that have low market prices relative to their
perceived intrinsic value and growth capabilities as estimated based on
fundamental analysis of the issuing companies and their prospects. This is
sometimes referred to as a "core" or "blend" approach. Relative to the Growth
and Income Fund, the Capital Appreciation Fund will seek more earnings growth
capability in the stocks it purchases, and will include some smaller, less
developed issuers and some companies undergoing more significant changes in
their operations or experiencing significant changes in their markets. The fund
will diversify its holdings among various industries and among companies within
those industries, but may often be less diversified then the Growth and Income
Fund. The combination of these factors introduces greater investment risk than
the Growth and Income Fund, but can also provide higher long-term returns than
are typically available from less risky investments.
The MEMBERS Capital Appreciation Fund (Class A shares at net asset value)
returned 8.33% during the twelve-month period ended October 31, 2004, modestly
under-performing the Russell 1000(R) Stock Index, which returned 9.33%.
The fund's performance versus the Russell 1000(R) Index was helped by an
overweight in the energy sector. Performance was hurt by stock selection in the
telecommunications services sector, as holdings BellSouth, CenturyTel, and SBC
Communications under-performed as investors preferred stocks with more direct
exposure to the rapidly growing wireless business. Major index component
Verizon, not held in the fund, was also a strong performer during the period,
which detracted from the fund's relative performance. Performance was helped by
stock selection in the information technology sector, as market participants
rewarded computer-aided design software provider Autodesk for posting consistent
earnings growth.
Management is currently maintaining an overweight in the energy sector,
believing that demand for fossil fuels will tend to exceed production capacity
for the foreseeable future. Management is pleased that the fund's performance
has stabilized in the two years after a difficult period in 2002, and continues
to pursue shares of companies with attractive growth prospects which it believes
are being under-valued due to transitory factors with the goal of continuing the
fund's record of providing long-term capital appreciation for the fund's
investors.
MEMBERS CAPITAL ADVISORS' COMMON STOCK PORTFOLIO MANAGEMENT TEAM - ADVISOR
- --------------------------------------------------------------------------------
10
- --------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Class A Shares Class B Shares
(includes maximum (includes maximum Russell 1000(R) S&P SuperComposite
sales charge)(2) applicable CDSC)(3) Index 1500 Index
----------------- ------------------- --------------- ------------------
12/29/1997 9,425 10,000 10,000 10,000
4/30/1998 11,057 11,261 11,671 11,691
10/31/1998 10,415 10,541 11,459 11,433
4/30/1999 12,558 12,034 14,041 13,911
10/31/1999 12,945 13,153 14,391 14,285
4/30/2000 14,585 14,870 15,789 15,481
10/31/2000 15,550 15,812 15,694 15,460
4/30/2001 14,708 14,940 13,632 13,755
10/31/2001 12,116 12,205 11,608 11,828
4/30/2002 12,057 12,401 11,999 12,334
10/31/2002 9,142 9,364 9,913 10,168
4/30/2003 9,674 9,779 10,384 10,616
10/31/2003 11,278 11,366 12,125 12,406
4/30/2004 11,801 11,969 12,866 13,202
10/31/2004 12,218 12,341 13,256 13,626
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Financials 18%
Information Technology 17%
Consumer Discretionary 12%
Health Care 12%
Industrials 12%
Consumer Staples 10%
Energy 10%
Telecommunication Services 3%
Cash & Other Net Assets 2%
Materials 2%
Utilities 2%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 8.33% 0.28% -1.15% 3.87% 2.14% -1.68% -2.32% 2.97%
Class B Shares(3) 7.63 -0.44 -1.86 3.12 3.13 -1.61 -2.25 3.12
Russell 1000(R) Index 9.33 4.53 -1.63 4.46 -- -- -- --
S&P SuperComposite
1500 Index 9.83 4.83 -0.99 4.62 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
11
- --------------------------------------------------------------------------------
MID-CAP FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Mid-Cap Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use one or more subadvisors under a "manager of managers" approach to
make investment decisions for some or all of the assets of this fund. Wellington
Management Company, LLP is the only subadvisor currently used by MEMBERS Capital
Advisors to manage the assets within the smaller-cap portion of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The Mid-Cap Fund invests primarily in common stocks of midsize and smaller
companies (market capitalization of less than $12 billion, but more than $2
billion, at the time of purchase), and will under normal market conditions,
maintain at least 80% of its assets in such securities. However, the fund will
not automatically sell a stock just because the company's market capitalization
has either grown beyond $12 billion, or fallen below $2 billion, and such
positions may be increased through additional purchases.
The fund seeks stocks in this midsize to smaller range that have a low market
price relative to their value as estimated based on fundamental analysis of the
issuing company and its prospects. This is sometimes referred to as a "value"
approach. Relative to the Growth and Income and Capital Appreciation Funds, the
Mid-Cap Fund includes more small, less developed issuers. These midsize and
smaller companies often have difficulty competing with larger companies, but the
successful ones tend to grow faster than larger companies. They often use
profits to expand rather than to pay dividends.
The combination of these factors introduces greater investment risk than the
Growth and Income Fund, but can also provide higher long-term returns than are
typically available from less risky investments.
The MEMBERS Mid-Cap Fund (Class A shares at net asset value) returned 11.87%
during the twelve-month period ended October 31, 2004, under-performing the
Russell Midcap(R) Value Index, which returned 19.74%.
The fund's performance was helped by overweights in the energy and industrials
sectors and by stock selection in the health care sector, where medical device
makers Apogent Technologies and Becton Dickinson performed strongly, and Biogen
shares appreciated in price due to a merger. Performance was hurt by an
underweight in utilities and by stock selection in the consumer discretionary
sector, where holdings Linens 'N Things, Talbots, Interpublic Group, and Newell
Rubbermaid under-performed their sector. Performance was also hurt by an
underweight in utilities and stock selection in the information technology
sector, where the computers & peripherals (McDATA) and software (Reynolds &
Reynolds and Synopsys) subsectors were problematic areas.
Shares of financially distressed and troubled companies - so-called "deep value"
stocks - were the strongest performers in the mid-cap space during the period,
as these companies were able to take advantage of higher-than-expected earnings
and an exceptionally low cost of capital to refinance, restructure, and shore up
their balance sheets. Management tends to avoid the riskiest shares in the
mid-cap universe. This can lead to periods of under-performance versus its peer
funds, many of which devote a significant portion of their portfolios to "deep
value" stocks, and versus value indexes such as the Russell Midcap(R) Value
Index, which typically includes significant exposure to such shares.
MEMBERS CAPITAL ADVISORS' COMMON STOCK PORTFOLIO MANAGEMENT TEAM - ADVISOR
WELLINGTON MANAGEMENT COMPANY, LLP - SUBADVISOR
- --------------------------------------------------------------------------------
12
- --------------------------------------------------------------------------------
MID-CAP FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Class A Shares Class B Shares
(includes maximum (includes maximum Russell Midcap(R) S&P MidCap
sales charge)(2) applicable CDSC)(3) Value Index 400 Index
----------------- ------------------- ----------------- ----------
2/28/2001 9,425 10,000 10,000 10,000
4/30/2001 9,793 9,930 10,258 10,278
10/31/2001 8,935 9,006 9,255 9,126
4/30/2002 10,601 11,160 11,121 10,954
10/31/2002 8,149 8,540 8,980 8,691
4/30/2003 8,630 8,705 9,621 9,036
10/31/2003 10,488 10,560 11,986 11,362
4/30/2004 11,281 11,370 12,981 12,150
10/31/2004 11,733 11,790 14,352 12,616
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Financials 24%
Consumer Discretionary 15%
Industrials 15%
Information Technology 9%
Energy 8%
Materials 7%
Utilities 7%
Consumer Staples 5%
Health Care 5%
Cash & Other Net Assets 4%
Telecommunication Services 1%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years Inception(5) 1 Year 3 Years Inception(5)
------ ------- ------------ ------ ------- ------------
Class A Shares(2) 11.87% 9.51% 6.14% 5.42% 7.36% 4.45%
Class B Shares(3) 10.82 8.64 5.30 6.32 7.64 4.58
Russell Midcap(R) Value Index 19.74 15.75 10.18 -- -- --
S&P MidCap 400 Index 11.04 11.39 6.27 -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on February 28, 2001.
- --------------------------------------------------------------------------------
13
- --------------------------------------------------------------------------------
MULTI-CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Muti-Cap Growth Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use one or more subadvisors under a "manager of managers" approach to
make investment decisions for some or all of the assets of this fund. Wellington
Management Company, LLP, is the only subadvisor currently used by MEMBERS
Capital Advisors to manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The Multi-Cap Growth Fund invests generally in common stocks, securities
convertible into common stocks and related equity securities. Under normal
market conditions, the fund will maintain at least 80% of its assets in these
securities. The fund is managed by a team of portfolio managers of the
subadviser, each with expertise in a specific range of the market capitalization
spectrum. Each of the portfolio managers has a distinct sub-portfolio that is
focused on the manager's area of market capitalization expertise. Typically,
between 60% to 90% of the fund will be invested in large capitalization
companies (generally over $12 billion of market capitalization). The subadvisor
may invest up to 25% of the fund in mid capitalization companies (generally
between $2 billion and $12 billion of market capitalization) and up to 20% in
smaller capitalization companies (generally under $2 billion of market
capitalization). The fund seeks securities of growth companies across a broad
range of market capitalization, which are companies that may be:
o major enterprises that have demonstrated and are expected to sustain
above-average growth or whose rates of earnings growth are anticipated to
accelerate because of factors such as expectations relative to management, new
or unique products, superior market position, changes in demand for the
company's products, or changes in the economy or segments of the economy
affecting the company; or
o early in their life cycle, but have the potential to become much larger
enterprises.
The MEMBERS Multi-Cap Growth Fund (Class A shares at net asset value) returned
8.30% during the twelve-month period ended October 31, 2004, out-performing the
Russell 3000(R) Growth Stock Index, which returned 3.54%.
Stock selection drove positive benchmark-relative returns during the period.
Selection was strongest within the information technology and financials
sectors. Success in these areas more than offset weaker stock selection in the
health care and industrials sectors.
Key individual contributors to performance were Research in Motion, Yahoo! and
eBay. Research in Motion, which designs, manufactures and markets devices that
facilitate wireless communications, rose sharply in recognition of continued
strong growth in subscribers and from the introduction of an appealing new
messaging and communication device that closely resembles a wireless handheld
phone. Shares of Yahoo! appreciated on favorable trends for online advertising
and paid search. eBay's stock rose steadily over the twelve-month period as a
result of robust earnings growth, increased listings on its online trading
marketplace and growth of its PayPal email payment services.
Positive results were partially offset by the decline of KLA-Tencor, Eli Lilly
and Cardinal Health. Concerns about excess capacity in the semiconductor
industry contributed to a fall in the share price of KLA-Tencor, which
management has eliminated from the fund. Eli Lilly was hurt by concerns about
Zyprexa's share in the U.S. market for mental illness drugs. Lastly, Cardinal
Health was a poor performer during the period due to disappointing earnings and
an SEC investigation into the company's accounting methods. Cardinal Health was
also sold during the twelve-month period.
Management continues to emphasize competitively-advantaged, market share leaders
that are likely to further differentiate themselves from competitors in most
economic scenarios. The fund's investment approach is a "bottom-up" process;
stocks are selected one at a time based on the fundamentals of each holding. As
such, the fund's industry weights are a fallout of the process of finding
undervalued growth companies. At the conclusion of the twelve-month period, the
fund continues to have an overweight position in the information technology
sector relative to the Russell 3000(R) Growth Index. Underweight allocations
include consumer staples, health care and consumer discretionary sectors.
MEMBERS CAPITAL ADVISORS' COMMON STOCK PORTFOLIO MANAGEMENT TEAM - ADVISOR
WELLINGTON MANAGEMENT COMPANY, LLP - SUBADVISOR
- --------------------------------------------------------------------------------
14
- --------------------------------------------------------------------------------
MULTI-CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Class A Shares Class B Shares
(includes maximum (includes maximum Russell 3000(R)
sales charge)(2) applicable CDSC)(3) Growth Index
----------------- ------------------- ---------------
2/29/2000 9,425 10,000 10,000
4/30/2000 8,087 8,194 10,022
10/31/2000 7,417 7,478 9,222
4/30/2001 5,353 5,405 6,840
10/31/2001 4,024 4,051 5,594
4/30/2002 3,949 4,130 5,521
10/31/2002 3,289 3,420 4,491
4/30/2003 3,450 3,473 4,692
10/31/2003 4,204 4,210 5,540
4/30/2004 4,486 4,528 5,768
10/31/2004 4,552 4,577 5,736
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Information Technology 31%
Health Care 17%
Consumer Services 14%
Financials 9%
Cash & Other Net Assets 6%
Consumer Discretionary 5%
Industrials 5%
Technology 4%
Energy 3%
Telecommunications 3%
Consumer Staples 2%
Transportation 1%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years Inception(5) 1 Year 3 Years Inception(5)
------ ------- ------------ ------ ------- ------------
Class A Shares(2) 8.30% 4.19% -14.42% 2.11% 2.16% -15.50%
Class B Shares(3) 7.60 3.44 -15.04 3.10 2.33 -15.41
Russell 3000(R) Growth Index 3.54 0.84 -10.87 -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on February 29, 2000.
- --------------------------------------------------------------------------------
15
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The International Stock Fund seeks long-term growth of capital.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use one or more subadvisors under a "manager of managers" approach to
make investment decisions for some or all of the assets of this fund. Lazard
Asset Management LLC is the only subadvisor currently used by MEMBERS Capital
Advisors to manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
Under normal market conditions, the International Stock Fund invests at least
80% of its assets in foreign equity securities. Foreign equity securities are
securities that are issued by companies organized or whose principal operations
are outside the U.S., are principally traded outside of the U.S., or are quoted
or denominated in a foreign currency. Equity securities include common stocks,
securities convertible into common stocks, preferred stocks, and other
securities representing equity interests such as American Depository Receipts
("ADRs" - receipts typically issued by a U.S. financial institution which
evidence ownership of underlying securities of foreign corporate issuers),
European Depository Receipts ("EDRs") and Global Depository Receipts ("GDRs").
EDRs and GDRs are receipts evidencing an arrangement with a non-U.S. financial
institution similar to that for ADRs and are designed for use in non-U.S.
securities markets. The fund may also invest in debt securities, foreign money
market instruments, and other income bearing securities as well as forward
foreign currency exchange contracts and other derivative securities and
contracts. The fund always holds securities of issuers located in at least three
countries other than the U.S.
The MEMBERS International Stock Fund (Class A shares at net asset value)
returned 19.56% during the twelve-month period ended October 31, 2004,
performing in-line with the MSCI EAFE Index, which returned 19.27%.
INTERNATIONAL EQUITY
The portfolio benefited from stock selection in the health care sector,
particularly in pharmaceuticals and biotechnology. Regionally, an underweight
position in Japan contributed to relative performance. Conversely, stock
selection in the financials sector detracted from returns, as Nomura Holdings
was the biggest detractor for this sector, as well as the overall portfolio.
Being underweight in Australia also detracted from relative performance.
EMERGING MARKETS EQUITY
The portfolio benefited from an underweight position in the information
technology sector, particularly in semiconductors. Stock selection in the
materials and energy sectors also added to performance. Within energy, PTT, SK
Corp. and MOL contributed the most to relative performance. Within materials,
Brazilian iron ore producers, particularly Caemi and CVRD, were top performers.
From a regional standpoint, an overweight position in emerging Latin America was
the biggest relative contributor. Conversely, an overweight position in
diversified financials, and stock selection in the consumer staples sector
detracted from relative returns.
INTERNATIONAL SMALL CAP
The portfolio benefited from an overweight position as well as from stock
selection in the consumer discretionary sector. Stock selection in the
industrials sector, and particularly in capital goods, contributed to relative
performance. Kidde PLC was the top relative contributor to performance in
capital goods, and the second largest relative contributor to performance in the
portfolio. From a regional perspective, the portfolio benefited from an
underweight position in Japan. Conversely, stock selection in energy and in
health care detracted the most from relative performance. Being underweight in
Australia also detracted from relative returns.
MEMBERS CAPITAL ADVISORS' COMMON STOCK PORTFOLIO MANAGEMENT TEAM - ADVISOR
LAZARD ASSET MANAGEMENT - SUBADVISOR
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[CHART OF CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION]
Morgan Stanley Capital
Class A Shares Class B Shares International Europe,
(includes maximum (includes maximum Australasia & Far East
sales charge)(2) applicable CDSC)(3) Index (MSCI EAFE Index)
----------------- ------------------- -----------------------
12/29/1997 9,425 10,000 10,000
4/30/1998 11,104 11,301 11,659
10/31/1998 9,764 9,840 11,090
4/30/1999 11,084 10,916 12,802
10/31/1999 11,413 11,545 13,681
4/30/2000 10,981 11,103 14,616
10/31/2000 10,353 10,413 13,317
4/30/2001 9,632 9,703 12,270
10/31/2001 7,984 8,017 10,031
4/30/2002 9,044 9,291 10,599
10/31/2002 7,646 7,826 8,734
4/30/2003 7,895 7,983 8,912
10/31/2003 9,822 9,885 11,141
4/30/2004 10,942 11,062 12,543
10/31/2004 11,743 11,835 13,288
[END CHART]
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not indicative
of future performance. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or
less than when purchased. Indices are unmanaged and investors cannot invest
in them. Index returns do not reflect expenses or sales charges. The graph
above and the table below do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART OF GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS]
Europe (excluding United Kingdom) 38%
United Kingdom 20%
Japan 13%
Pacific Basin 11%
Latin Amercia 6%
Africa 4%
Cash & Other Net Assets 4%
Other Countries 4%
[END PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2004
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 19.56% 13.72% 0.57% 3.27% 12.74% 11.48% -0.61% 2.38%
Class B Shares(3) 18.67 12.85 -0.19 2.49 14.17 11.93 -0.56 2.49
MSCI EAFE Index 19.27 9.83 -0.58 4.24 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
17
- --------------------------------------------------------------------------------
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERICAL PAPER - 64.70%
- --------------------------------------------------------------------------
CHEMICALS - 3.93%
$ 800,000 E.I. du Pont de Nemours & Co.
1.750%, due 11/09/04 (A) .................... $ 799,689
-------------
CONSUMER STAPLES - 12.76%
800,000 Anheuser Busch, Inc.
1.780%, due 12/13/04 (A) .................... 798,339
800,000 Nestle Capital Corp.
1.750%, due 11/17/04 (A)(D) ................. 799,378
1,000,000 Proctor & Gamble
1.880%, due 12/01/04 (A) .................... 998,433
-------------
2,596,150
-------------
FINANCE - 30.93%
800,000 Bank Of America NA
1.790%, due 11/22/04 (A) .................... 799,165
800,000 CXC, Inc.
1.680%, due 11/19/04 (A)(C) ................. 799,328
800,000 Fountain Square Commercial Funding
1.810%, due 12/15/04 (A)(C) ................. 798,230
500,000 General Electric Capital Corp.
1.760%, due 11/01/04 (A) .................... 500,000
800,000 Goldman Sachs Group, Inc.
1.620%, due 11/23/04 (A) .................... 799,208
800,000 Household Finance Corp.
1.760%, due 11/08/04 (A) .................... 799,726
1,000,000 Morgan Stanley Dean Witter & Co.
1.890%, due 11/01/04 (G) .................... 1,000,000
800,000 Toyota Motor Credit Co.
1.930%, due 12/07/04 (A)(D) ................. 798,456
-------------
6,294,113
-------------
FOREIGN - 4.42%
400,000 Government Of Quebec
1.730%, due 11/15/04 (A)(D) ................. 399,731
500,000 Government Of Quebec
1.740%, due 11/15/04 (A)(D) ................. 499,662
-------------
899,393
-------------
HEALTH CARE - 4.31%
500,000 Merck & Co., Inc.
1.740%, due 11/08/04 (A) .................... 499,831
378,000 Pfizer, Inc.
1.630%, due 11/18/04 (A) .................... 377,709
-------------
877,540
-------------
INDUSTRIALS - 3.93%
800,000 Caterpillar, Inc.
1.780%, due 11/29/04 (A) .................... 798,892
-------------
RETAIL - 4.42%
900,000 Wal-Mart Stores, Inc.
1.740%, due 11/03/04 (A) .................... 899,913
-------------
TOTAL COMMERCIAL PAPER
(Cost $13,165,690) .......................... 13,165,690
CORPORATE NOTES AND BONDS - 8.85%
- --------------------------------------------------------------------------
FINANCE - 6.39%
800,000 American Honda Finance Corp.
1.813%, due 12/10/04 (C)(G) ................. 800,000
500,000 CIT Group, Inc.
1.981%, due 11/15/04 (G) .................... 500,329
-------------
1,300,329
-------------
HEALTH CARE - 2.46%
500,000 Pfizer, Inc.
3.625%, due 11/01/04 ........................ 500,000
-------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $1,800,329) ........................... 1,800,329
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 21.06%
- --------------------------------------------------------------------------
Federal Farm Credit Bank (A) - 4.90%
1,000,000 1.330%, due 01/05/05 ........................ 997,598
-------------
Federal Home Loan Bank - 2.46%
500,000 1.305%, due 04/22/05 ........................ 500,000
-------------
Federal Home Loan Mortgage Corp. (A) - 3.93%
800,000 1.800%, due 11/24/04 ........................ 799,080
-------------
Federal National Mortgage Association - 2.45%
500,000 1.798%, due 11/01/04 (G) .................... 499,921
-------------
U.S. Treasury Bill (A) - 4.87%
1,000,000 1.975%, due 04/21/05 ........................ 990,619
-------------
U.S. Treasury Strip (A) - 2.45%
500,000 1.420%, due 02/15/05 ........................ 497,965
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $4,285,183) ........................... 4,285,183
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
18
- --------------------------------------------------------------------------------
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 5.53%
- --------------------------------------------------------------------------
806,540 One Group Institutional Prime Money
Market Fund ................................. $ 806,540
318,711 SSgA Prime Money Market Fund 318,711
-------------
TOTAL INVESTMENT COMPANIES
(Cost $1,125,251) ........................... 1,125,251
TOTAL INVESTMENTS - 100.14%
- --------------------------------------------------------------------------
(Cost $20,376,453**) ................................... 20,376,453
NET OTHER ASSETS AND LIABILITIES - (0.14)%
- --------------------------------------------------------------------------
(28,431)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 20,348,022
** Aggregate cost for Federal tax purposes was $20,376,453.
(A) Rate noted represents annualized yield at time of purchase.
(C) Security sold within the terms of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 12.28% of total net assets.
(G) Floating rate note. Rate shown is as of October 31, 2004. Date shown is next
reset date.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
19
- --------------------------------------------------------------------------------
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 5.92%
- --------------------------------------------------------------------------
$ 123,990 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.050%, due 09/21/30 ........................ $ 125,268
300,000 Ameriquest Mortgage Co.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ........................ 299,533
860,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 ........................ 852,017
1,000,000 Countrywide Asset-Backed Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due 12/25/32 ........................ 1,021,980
560,000 GMAC Home Equity Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 549,473
700,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 ........................ 763,180
1,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5
5.500%, due 11/25/33 ........................ 1,554,376
1,621,000 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31 ........................ 1,646,663
-------------
TOTAL ASSET BACKED
(Cost $6,651,394) ......................... 6,812,490
COMMERCIAL MORTGAGE BACKED - 6.20%
- --------------------------------------------------------------------------
1,040,681 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ........................ 1,081,969
525,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2004-T16, Class A2 (H)(L)
3.700%, due 08/13/46 ........................ 527,877
525,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2004-T16, Class A6 (H)(L)
4.750%, due 08/13/46 ........................ 527,690
1,200,000 Greenwich Capital Commercial Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 ........................ 1,258,114
988,696 Morgan Stanley Capital I, Inc.,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 ........................ 1,057,174
1,150,000 Morgan Stanley Capital I, Inc.,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ........................ 1,173,722
500,000 Morgan Stanley Capital I, Inc.,
Series 2004-TP13, Class A3
4.390%, due 09/13/45 ........................ 499,690
1,022,564 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 ........................ 1,019,253
-------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $7,040,019) ......................... 7,145,489
PRIVATE LABEL MORTGAGE BACKED - 1.11%
- --------------------------------------------------------------------------
1,270,658 Countrywide Alternative Loan Trust,
Series 2002-5, Class A10
6.750%, due 06/25/32 ........................ 1,278,530
-------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $1,294,637) ......................... 1,278,530
CORPORATE NOTES AND BONDS - 28.45%
- --------------------------------------------------------------------------
CABLE - 1.15%
800,000 Comcast Corp.
5.300%, due 01/15/14 ........................ 815,749
500,000 Cox Communications, Inc.
6.875%, due 06/15/05 ........................ 511,942
-------------
1,327,691
-------------
CAPITAL GOODS - 1.30%
1,000,000 Caterpillar Financial Services Corp.
2.500%, due 10/03/06 ........................ 991,281
500,000 United Technologies Corp.
6.625%, due 11/15/04 ........................ 500,646
-------------
1,491,927
-------------
COMMUNICATION SERVICES - 0.43%
500,000 Clear Channel Communications, Inc.
4.250%, due 05/15/09 497,550
-------------
CONSUMER DISCRETIONARY - 2.34%
750,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 ........................ 905,195
700,000 Carnival Corp. (D)
3.750%, due 11/15/07 ........................ 705,469
1,000,000 Cendant Corp.
6.250%, due 01/15/08 ........................ 1,079,166
-------------
2,689,830
-------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
20
- --------------------------------------------------------------------------------
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
CONSUMER STAPLES - 0.67%
$ 750,000 Coca-Cola Enterprises, Inc.
4.375%, due 09/15/09 ................ $ 769,638
-------------
ENERGY - 3.13%
500,000 Burlington Resources Finance Co.
5.700%, due 03/01/07 ................ 527,374
500,000 Occidental Petroleum Corp.
5.875%, due 01/15/07 ................ 528,986
800,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 ................ 886,400
450,000 Texaco Capital, Inc.
5.700%, due 12/01/08 ................ 460,577
1,000,000 Valero Energy Corp.
7.500%, due 04/15/32 ................ 1,196,004
-------------
3,599,341
-------------
FINANCE - 6.59%
500,000 AIG SunAmerica Global Financing XII (C)
5.300%, due 05/30/07 ................ 523,664
500,000 American General Finance Corp.
4.625%, due 09/01/10 ................ 506,706
850,000 Bank of America Corp.
4.875%, due 01/15/13 ................ 868,012
500,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 ................ 559,461
500,000 CIT Group, Inc.
7.375%, due 04/02/07 ................ 547,634
500,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 ................ 547,486
750,000 Goldman Sachs Group, Inc.
5.700%, due 09/01/12 ................ 798,850
750,000 Household Finance Corp.
6.500%, due 11/15/08 ................ 827,830
500,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 ................ 536,806
500,000 U.S. Bank N.A.
6.300%, due 02/04/14 ................ 562,085
750,000 Wachovia Corp.
4.950%, due 11/01/06 ................ 779,553
500,000 Washington Mutual Finance Corp.
6.250%, due 05/15/06 ................ 526,558
-------------
7,584,645
-------------
INDUSTRIALS - 5.00%
500,000 DaimlerChrysler NA Holding Corp.
4.750%, due 01/15/08 ................ 515,131
1,000,000 Dow Chemical Co.
5.750%, due 12/15/08 ................ 1,073,224
500,000 Ford Motor Credit Co.
7.600%, due 08/01/05 ................ 517,052
800,000 General Electric Co.
5.000%, due 02/01/13 ................ 829,262
500,000 General Motors Acceptance Corp.
6.125%, due 08/28/07 ................ 521,529
600,000 General Motors Acceptance Corp.
6.875%, due 09/15/11 ................ 624,591
200,000 International Paper Co.
7.875%, due 08/01/06 ................ 215,454
400,000 Raytheon Co.
4.500%, due 11/15/07 ................ 413,906
450,000 Waste Management, Inc.
6.375%, due 11/15/12 ................ 499,941
500,000 Weyerhaeuser Co.
6.875%, due 12/15/33 ................ 550,973
-------------
5,761,063
-------------
PIPELINE - 0.66%
750,000 Kinder Morgan, Inc.
6.650%, due 03/01/05 ................ 759,777
-------------
REITS - 0.24%
270,000 Simon Property Group, L.P. (C)
5.625%, due 08/15/14 ................ 279,032
-------------
TELECOMMUNICATIONS - 1.62%
500,000 Bellsouth Capital Funding Corp.
7.875%, due 02/15/30 ................ 616,203
250,000 Sprint Capital Corp.
7.125%, due 01/30/06 ................ 262,951
200,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 ................ 212,301
250,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06 ................ 262,033
500,000 Vodafone Group PLC (D)
5.000%, due 12/16/13 ................ 511,778
-------------
1,865,266
-------------
TRANSPORTATION - 1.44%
750,000 Burlington Northern Santa Fe Corp.
6.375%, due 12/15/05 ................ 777,047
750,000 Norfolk Southern Corp.
7.250%, due 02/15/31 ................ 887,348
-------------
1,664,395
-------------
UTILITIES - 3.88%
550,000 Constellation Energy Group, Inc.
4.550%, due 06/15/15 ................ 525,451
750,000 DTE Energy Co.
6.450%, due 06/01/06 ................ 787,852
500,000 Energy East Corp.
8.050%, due 11/15/10 ................ 595,046
750,000 Niagara Mohawk Power Co.
7.750%, due 05/15/06 ................ 803,758
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
21
- --------------------------------------------------------------------------------
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
UTILITIES - (CONTINUED)
$ 250,000 Progress Energy, Inc.
7.750%, due 03/01/31 ........................ $ 296,814
600,000 Virginia Electric and Power Co., Series A
5.750%, due 03/31/06 ........................ 623,886
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ........................ 840,361
-------------
4,473,168
-------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $31,302,807) .......................... 32,763,323
MORTGAGE BACKED - 31.51%
- --------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 8.03%
1,203,709 5.000%, due 05/01/18
Pool # E96322 ............................... 1,229,109
898,479 7.000%, due 07/15/27
Series 1974, Class ZA ....................... 942,695
2,500,000 5.500%, due 05/15/28
Series 2519, Class NG (N) ................... 2,609,112
16,861 8.000%, due 06/01/30
Pool # C01005 ............................... 18,311
158,912 7.000%, due 03/01/31
Pool # C48133 ............................... 168,878
300,198 6.500%, due 01/01/32
Pool # C62333 ............................... 316,032
819,112 6.000%, due 09/01/32
Pool # C70558 ............................... 849,235
3,118,924 5.000%, due 07/01/33
Pool # A11325 ............................... 3,118,432
-------------
9,251,804
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 18.29%
105,133 6.000%, due 05/01/16
Pool # 582558 ............................... 110,382
1,215,442 5.500%, due 02/01/18
Pool # 673194 ............................... 1,260,864
1,409,885 4.500%, due 09/01/18
Pool # 737144 ............................... 1,417,365
179,121 6.000%, due 05/01/21
Pool # 253847 ............................... 186,837
1,081,509 5.500%, due 12/01/22
Pool # 254587 ............................... 1,112,177
55,000 7.000%, due 12/01/29
Pool # 762813 ............................... 58,779
205,847 7.000%, due 11/01/31
Pool # 607515 ............................... 218,757
241,824 6.000%, due 02/01/32
Pool # 611619 ............................... 251,127
826,746 6.500%, due 03/01/32
Pool # 631377 ............................... 870,765
20,000 7.000%, due 04/01/32
Pool # 641518 ............................... 21,247
88,273 7.000%, due 05/01/32
Pool # 644591 ............................... 93,809
2,261,603 6.500%, due 06/01/32
Pool # 545691 ............................... 2,382,017
35,000 7.000%, due 08/01/32
Pool # 641302 ............................... 37,182
632,776 6.000%, due 12/01/32
Pool # 676552 ............................... 657,119
2,593,651 5.500%, due 04/01/33
Pool # 690206 ............................... 2,645,998
683,625 6.000%, due 08/01/33
Pool # 729418 ............................... 709,789
1,156,829 6.000%, due 08/01/33
Pool # 729423 ............................... 1,201,102
1,375,906 5.000%, due 10/01/33
Pool # 254903 ............................... 1,374,791
2,470,692 5.500%, due 11/01/33
Pool # 555880 ............................... 2,520,557
205,631 5.000%, due 05/01/34
Pool # 775604 ............................... 205,131
490,905 5.000%, due 05/01/34
Pool # 780890 ............................... 489,712
315,995 5.000%, due 06/01/34
Pool # 255230 ............................... 315,226
2,680,883 5.500%, due 06/01/34
Pool # 780384 ............................... 2,733,401
175,000 7.000%, due 07/01/34
Pool # 792636 ............................... 185,902
-------------
21,060,036
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 5.19%
32,793 8.000%, due 10/20/15
Pool # 002995 ............................... 35,004
1,100,000 5.008%, due 12/16/25
Series 2004-43, Class C (G) ................. 1,135,793
1,903,626 6.500%, due 09/20/28
Series 1998-21, Class ZB .................... 1,988,752
140,235 6.500%, due 02/20/29
Pool # 002714 ............................... 148,220
20,884 7.500%, due 05/20/30
Pool # 002921 ............................... 22,387
44,833 7.500%, due 08/20/30
Pool # 002957 ............................... 48,061
107,282 6.500%, due 04/20/31
Pool # 003068 ............................... 113,304
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
22
- --------------------------------------------------------------------------------
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$2,400,000 6.000%, due 07/20/32
Series 2002-50, Class PE .................... $ 2,486,876
-------------
5,978,397
-------------
TOTAL MORTGAGE BACKED
(Cost $35,534,215) .......................... 36,290,237
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 25.23%
- --------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.97%
500,000 6.125%, due 12/29/15 (N)..................... 561,457
500,000 5.875%, due 10/03/16 (N)..................... 549,639
-------------
1,111,096
-------------
FEDERAL HOME LOAN MORTGAGE CORP. - 3.55%
2,500,000 4.875%, due 11/15/13 (N)..................... 2,584,808
1,500,000 4.500%, due 01/15/14 ........................ 1,508,280
-------------
4,093,088
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.78%
3,000,000 4.000%, due 09/02/08 ........................ 3,050,457
1,300,000 4.125%, due 04/15/14 ........................ 1,268,134
1,000,000 6.625%, due 11/15/30 ........................ 1,187,531
-------------
5,506,122
-------------
U.S. TREASURY BOND - 3.45%
3,300,000 6.250%, due 05/15/30 ........................ 3,968,250
-------------
U.S. TREASURY NOTES - 12.48%
600,000 1.500%, due 03/31/06 ........................ 592,945
3,500,000 2.000%, due 05/15/06 ........................ 3,479,903
2,500,000 2.625%, due 11/15/06 ........................ 2,502,735
3,780,000 3.250%, due 01/15/09 ........................ 3,796,390
2,135,000 5.000%, due 02/15/11 ........................ 2,305,467
950,000 4.250%, due 11/15/13 ........................ 969,296
730,000 4.000%, due 02/15/14 ........................ 730,029
-------------
14,376,765
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $28,549,504) .......................... 29,055,321
Shares
- ------
INVESTMENT COMPANIES - 23.30%
- --------------------------------------------------------------------------
2,254,041 SSgA Prime Money Market Fund 2,254,041
24,582,491 State Street Navigator Securities
Lending Prime Portfolio (I) 24,582,491
-------------
TOTAL INVESTMENT COMPANIES
(Cost $26,836,532) .......................... 26,836,532
TOTAL INVESTMENTS - 121.72%
(Cost $137,209,108**)................................... 140,181,922
NET OTHER ASSETS AND LIABILITIES - (21.72)%
- --------------------------------------------------------------------------
(25,012,431)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 115,169,491
* Non-income producing.
** Aggregate cost for Federal tax purposes was $137,425,399.
(C) Security sold within the terms of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 1.06% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2004.
(H) Security purchased on a delayed delivery or when-issued basis.
(I) Represents collateral held in connection with securities lending.
(L) Security valued at fair value using methods determined in good faith by and
under the general supervision of the Board of Trustees (see note 2).
(M) Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below the stated level, the issuer will
either initiate a clean-up call or increase the stated interest rate.
(N) Security pledged as collateral for when-issued purchase committments
outstanding as of October 31, 2004.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
23
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 0.61%
- --------------------------------------------------------------------------
$ 66,447 Continental Airlines, Inc.,
Series 1997-4, Class B
6.900%, due 01/02/17 ........................ $ 49,891
43,369 Continental Airlines, Inc.,
Series 1998-1, Class B
6.748%, due 03/15/17 ........................ 32,042
116,423 Continental Airlines, Inc.,
Series 1999-1, Class B
6.795%, due 08/02/18 ........................ 91,968
134,132 Continental Airlines, Inc.,
Series 1999-2, Class B
7.566%, due 03/15/20 ........................ 103,998
139,500 Crest, Ltd.,
Series 2004-1A, Class G2 (C)(H)(L)
7.000%, due 01/28/40 ........................ 135,350
-------------
TOTAL ASSET BACKED
(Cost $416,916) ............................. 413,249
COMMERCIAL MORTGAGE BACKED - 1.79%
- --------------------------------------------------------------------------
147,840 Arcap Reit, Inc.,
Series 2004-RR3, Class H (C)
6.100%, due 09/21/45 ........................ 124,530
352,233 Asset Securitization Corp.,
Series 1996-MD6, Class A7 (G)
8.005%, due 11/13/29 ........................ 374,719
180,000 Commercial Mortgage Acceptance Corp.,
Series 1998-C2, Class F (C)(G)
5.440%, due 09/15/30 ........................ 184,577
100,000 CS First Boston Mortgage Securities Corp.,
Series 1998-C2, Class F (C)
6.750%, due 11/11/30 ........................ 99,695
120,000 First Union National Bank
Commercial Mortgage,
Series 2000-C2, Class H
6.750%, due 10/15/32 ........................ 119,143
85,000 GE Capital Commerical Mortgage Corp.,
Series 2000-1, Class F (C)(G)
7.512%, due 01/15/33 ........................ 95,909
115,000 GMAC Commercial Mortgage
Securities, Inc.,
Series 2001-C1, Class G (C)(G)
7.653%, due 04/15/34 ........................ 130,872
1,003,958 Morgan Stanley Capital I, Inc.,
Series 2004-RR, Class FX (C)
13.925%, due 04/28/39 IO .................... 77,295
-------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $1,097,376) ........................... 1,206,740
CORPORATE NOTES AND BONDS - 87.32%
- --------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.94%
110,000 K & F Industries, Inc., Series B
9.250%, due 10/15/07 ........................ 112,200
55,000 K & F Industries, Inc., Series B
9.625%, due 12/15/10 ........................ 63,800
235,000 L-3 Communications Corp.
7.625%, due 06/15/12 ........................ 259,675
185,000 TransDigm, Inc.
8.375%, due 07/15/11 ........................ 198,875
-------------
634,550
-------------
BASIC MATERIALS - 5.38%
305,000 Abitibi-Consolidated, Inc. (D)
8.550%, due 08/01/10 ........................ 333,975
155,000 Buckeye Technologies, Inc.
8.500%, due 10/01/13 ........................ 171,275
120,000 Dresser, Inc.
9.375%, due 04/15/11 ........................ 133,200
310,000 Equistar Chemicals LP/Equistar
Funding Corp.
10.625%, due 05/01/11 ....................... 358,050
555,000 Georgia-Pacific Corp.
9.375%, due 02/01/13 ........................ 653,513
30,000 Hexcel Corp.
9.875%, due 10/01/08 ........................ 33,600
220,000 Hexcel Corp.
9.750%, due 01/15/09 ........................ 231,550
30,000 Huntsman International LLC
9.875%, due 03/01/09 ........................ 33,300
350,000 Huntsman International LLC
10.125%, due 07/01/09 ....................... 367,500
137,000 Interface, Inc.
10.375%, due 02/01/10 ....................... 157,550
170,000 Newark Group, Inc. (C)
9.750%, due 03/15/14 ........................ 176,800
195,000 Norske Skog Canada, Ltd., Series D (D)
8.625%, due 06/15/11 ........................ 210,600
190,000 Norske Skog Canada, Ltd. (D)
7.375%, due 03/01/14 ........................ 197,600
455,000 Rhodia S.A. (D)
8.875%, due 06/01/11 ........................ 425,425
65,000 Sovereign Specialty Chemicals, Inc.
11.875%, due 03/15/10 ....................... 69,875
65,000 United States Steel Corp.
9.750%, due 05/15/10 ........................ 74,425
-------------
3,628,238
-------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
24
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
BUILDING AND CONSTRUCTION - 2.25%
$ 120,000 American Standard, Inc.
7.375%, due 02/01/08 ........................ $ 132,600
255,000 Building Materials Corp. of America (C)
7.750%, due 08/01/14 ........................ 253,087
85,000 Corrections Corp. of America
9.875%, due 05/01/09 ........................ 95,625
75,000 Corrections Corp. of America
7.500%, due 05/01/11 ........................ 81,094
260,000 D. R. Horton, Inc.
8.000%, due 02/01/09 ........................ 293,150
175,000 Joy Global, Inc., Series B
8.750%, due 03/15/12 ........................ 197,750
135,000 Nortek, Inc. (C)
8.500%, due 09/01/14 ........................ 143,100
55,000 Ply Gem Industries, Inc. (C)
9.000%, due 02/15/12 ........................ 54,863
250,000 WCI Communities, Inc.
7.875%, due 10/01/13 ........................ 266,250
-------------
1,517,519
-------------
CHEMICALS AND DRUGS - 2.88%
165,000 Acetex Corp. (D)
10.875%, due 08/01/09 ....................... 181,500
120,000 ARCO Chemical, Co.
9.800%, due 02/01/20 ........................ 133,200
190,000 Hercules, Inc.
6.750%, due 10/15/29 ........................ 193,800
210,000 IMC Global, Inc.
10.875%, due 08/01/13 ....................... 265,125
10,000 Kronos International, Inc. (F)
8.875%, due 06/30/09 ........................ 13,704
175,000 Lyondell Chemical Co.
9.500%, due 12/15/08 ........................ 190,750
115,000 Lyondell Chemical Co.
11.125%, due 07/15/12 ....................... 135,556
60,000 Nalco Co.
7.750%, due 11/15/11 ........................ 64,950
60,000 Nalco Co.
8.875%, due 11/15/13 ........................ 65,775
185,000 Nalco Finance Holdings, Inc. (B)(C)
0.000%, due 02/01/14 ........................ 137,363
200,000 Nova Chemicals Corp. (D)
6.500%, due 01/15/12 ........................ 210,500
210,000 Resolution Performance Products LLC
13.500%, due 11/15/10 ....................... 207,900
130,000 Rockwood Specialties Group, Inc.
10.625%, due 05/15/11 ....................... 144,300
-------------
1,944,423
-------------
COMMUNICATION - 6.76%
98,000 American Tower Corp.
9.375%, due 02/01/09 ........................ 103,635
125,000 American Tower Corp. (C)
7.125%, due 10/15/12 ........................ 127,187
85,000 CCO Holdings LLC/
CCO Holdings Capital Corp.
8.750%, due 11/15/13 ........................ 84,788
80,000 Charter Communciations Operating LLC/
Charter Communications Capital Corp. (C)
8.375%, due 04/30/14 ........................ 80,700
820,000 Charter Communications Holdings LLC/
Charter Communications Capital Corp.
8.625%, due 04/01/09 ........................ 660,100
520,000 Charter Communications Holdings LLC/
Charter Communications Capital Corp.
9.920%, due 04/01/11 ........................ 417,300
305,000 Citizens Communications Co.
9.250%, due 05/15/11 ........................ 350,750
15,000 Esprit Telecom Group PLC (D)(E)
10.875%, due 06/15/08 ....................... 2
845,000 Nextel Communications, Inc.
7.375%, due 08/01/15 ........................ 937,950
280,000 Qwest Capital Funding, Inc.
7.250%, due 02/15/11 ........................ 261,100
270,000 Qwest Corp. (C)
7.875%, due 09/01/11 ........................ 287,550
265,000 Qwest Corp. (C)
9.125%, due 03/15/12 ........................ 298,787
805,000 Qwest Services Corp. (C)
14.000%, due 12/15/10 ....................... 955,937
-------------
4,565,786
-------------
CONSUMER CYCLICALS - 1.42%
40,000 Advanced Accesory Systems LLC, Series B
10.750%, due 06/15/11 ....................... 36,400
255,000 Burns, Philp Capital Property, Ltd. (D)
9.750%, due 07/15/12 ........................ 280,500
150,000 Dura Operating Corp., Series B
8.625%, due 04/15/12 ........................ 154,687
300,000 Safilo Capital International S.A. (C)(F)
9.625%, due 05/15/13 ........................ 373,835
65,000 Technical Olympic USA, Inc.
9.000%, due 07/01/10 ........................ 70,850
40,000 Technical Olympic USA, Inc.
7.500%, due 03/15/11 ........................ 40,700
-------------
956,972
-------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
25
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
CONSUMER SERVICES - 2.26%
$ 65,000 GEO Group, Inc.
8.250%, due 07/15/13 ........................ $ 68,250
425,000 Iron Mountain, Inc.
8.625%, due 04/01/13 ........................ 460,062
70,000 Iron Mountain, Inc.
7.750%, due 01/15/15 ........................ 75,600
110,000 Merisant Co. (C)
9.750%, due 07/15/13 ........................ 102,300
285,000 Roundy's, Inc., Series B
8.875%, due 06/15/12 ........................ 309,938
80,000 United Biscuits Finance PLC (F)
10.625%, due 04/15/11 ....................... 110,653
115,000 United Rentals North America, Inc.
6.500%, due 02/15/12 ........................ 113,850
150,000 United Rentals North America, Inc.
7.750%, due 11/15/13 ........................ 145,125
150,000 United Rentals North America, Inc.
7.000%, due 02/15/14 ........................ 138,375
--------------
1,524,153
--------------
CONSUMER STAPLES - 1.56%
185,000 K2, Inc. (C)
7.375%, due 07/01/14 ........................ 201,650
200,000 Levi Strauss & Co.
7.000%, due 11/01/06 ........................ 195,750
125,000 Michael Foods, Inc.
8.000%, due 11/15/13 ........................ 131,875
200,000 Revlon Consumer Products Corp.
8.625%, due 02/01/08 ........................ 165,000
185,000 Samsonite Corp.
8.875%, due 06/01/11 ........................ 197,025
145,000 Seminis Vegetable Seeds, Inc.
10.250%, due 10/01/13 ....................... 162,400
--------------
1,053,700
--------------
CONTAINERS/PACKAGING - 4.29%
7,000 Corp Durango, S.A. de C.V. (D)(E)
13.125%, due 08/01/06 ....................... 4,340
3,000 Corp Durango, S.A. de C.V. (D)(E)
13.500%, due 08/01/08 ....................... 1,860
279,000 Corp Durango, S.A. de C.V.,
Series A (C)(D)(E)
13.750%, due 07/15/09 ....................... 172,980
250,000 Crown European Holdings S.A. (D)
9.500%, due 03/01/11 ........................ 285,000
250,000 Crown European Holdings S.A. (D)
10.875%, due 03/01/13 ....................... 296,875
260,000 Graphic Packaging Corp.
9.500%, due 08/15/13 ........................ 299,650
235,000 Greif, Inc.
8.875%, due 08/01/12 ........................ 261,438
175,000 Jefferson Smurfit Corp.
8.250%, due 10/01/12 ........................ 194,250
170,000 Kappa Beheer BV (D)
10.625%, due 07/15/09 ....................... 180,200
190,000 Owens-Brockway Glass Container, Inc.
8.875%, due 02/15/09 ........................ 208,525
115,000 Owens-Brockway Glass Container, Inc.
8.750%, due 11/15/12 ........................ 129,662
310,000 Owens-Brockway Glass Container, Inc.
8.250%, due 05/15/13 ........................ 341,000
105,000 Plastipak Holdings, Inc.
10.750%, due 09/01/11 ....................... 117,600
25,000 Pliant Corp. (B)
0.000%, due 06/15/09 ........................ 22,250
175,000 Pliant Corp.
13.000%, due 06/01/10 ....................... 163,187
150,000 Pliant Corp.
13.000%, due 06/01/10 ....................... 139,875
75,000 Stone Container Finance Co. (C)(D)
7.375%, due 07/15/14 ........................ 80,063
--------------
2,898,755
--------------
DURABLE GOODS - 1.89%
240,000 Dana Corp
7.000%, due 03/01/29 ........................ 235,200
150,000 Dana Corp.
6.500%, due 03/01/09 ........................ 157,875
30,000 Dana Corp.
10.125%, due 03/15/10 ....................... 33,825
60,000 Dana Corp.
9.000%, due 08/15/11 ........................ 71,400
65,000 Metaldyne Corp.
11.000%, due 06/15/12 ....................... 54,600
100,000 Metaldyne Corp. (C)
10.000%, due 11/01/13 ....................... 95,500
310,000 Navistar International Corp.
7.500%, due 06/15/11 ........................ 334,800
155,000 Rexnord Corp.
10.125%, due 12/15/12 ....................... 175,150
100,000 Tenneco Automotive, Inc., Series B
10.250%, due 07/15/13 ....................... 116,500
--------------
1,274,850
--------------
ENERGY - 10.89%
440,000 AES Corp. (C)
8.750%, due 05/15/13 ........................ 508,200
125,000 AES Corp. (C)
9.000%, due 05/15/15 ........................ 145,625
250,000 Allegheny Energy Supply Co., LLC (C)
8.250%, due 04/15/12 ........................ 281,875
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
26
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
ENERGY (CONTINUED)
$ 135,000 AmeriGas Partners, L.P./ AmeriGas
Eagle Finance Corp., Series B
8.875%, due 05/20/11 ........................ $ 147,825
125,000 Belden & Blake Corp. (C)
8.750%, due 07/15/12 ........................ 135,000
130,000 Calpine Canada Energy Finance ULC (D)
8.500%, due 05/01/08 ........................ 79,950
500,000 Calpine Corp. (C)
8.750%, due 07/15/13 ........................ 362,500
184,000 Centerpoint Energy, Inc, Series B
7.250%, due 09/01/10 ........................ 205,921
120,000 Chesapeake Energy Corp.
8.125%, due 04/01/11 ........................ 131,400
83,000 Chesapeake Energy Corp.
7.000%, due 08/15/14 ........................ 90,055
285,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 ........................ 304,950
235,000 CMS Energy Corp.
8.500%, due 04/15/11 ........................ 266,725
100,000 Edison Mission Energy
7.730%, due 06/15/09 ........................ 106,500
455,000 El Paso Corp.
7.000%, due 05/15/11 ........................ 457,275
245,000 El Paso Natural Gas Co., Series A
7.625%, due 08/01/10 ........................ 264,906
360,000 El Paso Production Holding Co.
7.750%, due 06/01/13 ........................ 375,300
120,000 Encore Acquisition Co.
8.375%, due 06/15/12 ........................ 133,200
35,000 Encore Acquisition Co.
6.250%, due 04/15/14 ........................ 35,875
93,000 Enterprise Products Operating
LP, Series B
6.375%, due 02/01/13 ........................ 100,566
112,000 Enterprise Products Operating LP (C)
5.600%, due 10/15/14 ........................ 114,130
335,000 FirstEnergy Corp., Series B (N)
6.450%, due 11/15/11 ........................ 367,051
175,000 Foundation Pennsylvania Coal Co. (C)
7.250%, due 08/01/14 ........................ 187,031
160,000 Gaz Capital S.A. (C)(D)
8.625%, due 04/28/34 ........................ 178,000
230,000 Hanover Compressor Co.
9.000%, due 06/01/14 ........................ 256,450
100,000 MSW Energy Holdings LLC/MSW Energy
Finance Co., Inc., Series B
7.375%, due 09/01/10 ........................ 105,000
65,000 Newfield Exploration Co. (C)
6.625%, due 09/01/14 ........................ 69,713
355,000 NRG Energy, Inc. (C)
8.000%, due 12/15/13 ........................ 390,944
100,000 OAO Gazprom (C)(D)
9.625%, due 03/01/13 ........................ 115,000
130,000 Peabody Energy Corp., Series B
6.875%, due 03/15/13 ........................ 142,675
185,000 Peabody Energy Corp.
5.875%, due 04/15/16 ........................ 188,700
150,000 Petroleum Geo-Services ASA (D)
10.000%, due 11/05/10 ....................... 171,000
35,000 PG&E Corp.
6.875%, due 07/15/08 ........................ 37,975
95,000 Plains Exploration & Production Co.
7.125%, due 06/15/14 ........................ 105,450
170,000 Premcor Refining Group, Inc.
7.750%, due 02/01/12 ........................ 188,275
120,000 Pride International, Inc. (C)
7.375%, due 07/15/14 ........................ 135,000
50,000 PSE&G Power LLC
7.750%, due 04/15/11 ........................ 58,372
185,000 Reliant Energy, Inc.
9.250%, due 07/15/10 ........................ 205,350
100,000 Reliant Energy, Inc.
9.500%, due 07/15/13 ........................ 112,500
80,000 SESI LLC
8.875%, due 05/15/11 ........................ 87,600
--------------
7,349,864
--------------
FINANCE - 2.13%
191,000 Alamosa, Inc. (B)
0.000%, due 07/31/09 ........................ 203,415
32,000 Alamosa, Inc.
11.000%, due 07/31/10 ....................... 37,440
120,000 BCP Caylux Holdings
Luxembourg S.C.A. (C)(D)
9.625%, due 06/15/14 ........................ 134,400
170,000 Bombardier Recreational
Products, Inc. (C)(D)
8.375%, due 12/15/13 ........................ 182,750
210,000 Eircom Funding (D)
8.250%, due 08/15/13 ........................ 233,625
220,000 JSG Funding PLC (D)
9.625%, due 10/01/12 ........................ 250,800
165,000 PCA LLC/ PCA Finance Corp.
11.875%, due 08/01/09 ....................... 156,750
130,000 Refco Finance Holdings LLC (C)
9.000%, due 08/01/12 ........................ 140,400
90,000 Standard Aero Holdings, Inc. (C)
8.250%, due 09/01/14 ........................ 95,175
--------------
1,434,755
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
27
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
HEALTH CARE SERVICES - 3.16%
$ 190,000 Alliance Imaging, Inc.
10.375%, due 04/15/11 ....................... $ 209,950
140,000 Beverly Enterprises, Inc. (C)
7.875%, due 06/15/14 ........................ 149,975
105,000 Extendicare Health Services, Inc.
6.875%, due 05/01/14 ........................ 107,887
565,000 HCA, Inc.
7.875%, due 02/01/11 ........................ 625,406
135,000 InSight Health Services Corp., Series B
9.875%, due 11/01/11 ........................ 135,000
190,000 Mariner Health Care, Inc. (C)
8.250%, due 12/15/13 ........................ 215,650
55,000 MedCath Holdings Corp. (C)
9.875%, due 07/15/12 ........................ 58,988
215,000 Tenet Healthcare Corp.
6.500%, due 06/01/12 ........................ 195,112
190,000 Tenet Healthcare Corp. (C)
9.875%, due 07/01/14 ........................ 199,025
215,000 US Oncology, Inc. (C)
10.750%, due 08/15/14 ....................... 234,350
--------------
2,131,343
--------------
INDUSTRIALS - 7.06%
280,000 AMSTED Industries, Inc. (C)
10.250%, due 10/15/11 ....................... 308,000
260,000 BE Aerospace, Inc., Series B
8.875%, due 05/01/11 ........................ 273,520
185,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 ........................ 196,100
300,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 ........................ 315,000
195,000 General Binding Corp.
9.375%, due 06/01/08 ........................ 198,900
35,000 Grupo Transportacion Ferroviaria
Mexicana, S.A. de C.V. (D)
12.500%, due 06/15/12 ....................... 39,725
180,000 Invensys PLC (C)(D)
9.875%, due 03/15/11 ........................ 188,100
65,000 Jacuzzi Brands, Inc.
9.625%, due 07/01/10 ........................ 73,125
185,000 JLG Industries, Inc.
8.250%, due 05/01/08 ........................ 197,950
480,000 Johnsondiversey Holdings, Inc. (B)
0.000%, due 05/15/13 ........................ 410,400
230,000 Johnsondiversey, Inc., Series B
9.625%, due 05/15/12 ........................ 258,750
150,000 Manitowoc Co., Inc. (F)
10.375%, due 05/15/11 ....................... 213,210
95,000 Manitowoc Co., Inc.
10.500%, due 08/01/12 ....................... 109,844
205,000 Milacron Escrow Corp. (C)
11.500%, due 05/15/11 ....................... 213,200
145,000 Muzak LLC/ Muzak Finance Corp.
10.000%, due 02/15/09 ....................... 129,775
135,000 Ocean Rig Norway AS (D)
10.250%, due 06/01/08 ....................... 139,050
35,000 Oxford Automotive, Inc. (C)(E)
12.000%, due 10/15/10 ....................... 12,950
180,000 SPX Corp.
7.500%, due 01/01/13 ........................ 192,600
100,000 Thermadyne Holdings Corp.
9.250%, due 02/01/14 ........................ 95,000
132,000 TRW Automotive, Inc.
9.375%, due 02/15/13 ........................ 151,800
130,000 TRW Automotive, Inc.
11.000%, due 02/15/13 ....................... 154,700
185,000 Valmont Industries, Inc. (C)
6.875%, due 05/01/14 ........................ 190,550
135,000 Visteon Corp.
7.000%, due 03/10/14 ........................ 126,900
140,000 Werner Holding Co., Inc., Series A
10.000%, due 11/15/07 ....................... 129,500
405,000 Xerox Corp.
7.625%, due 06/15/13 ........................ 445,500
--------------
4,764,149
--------------
MACHINERY - 0.91%
85,000 AGCO Corp. (F)
6.875%, due 04/15/14 ........................ 108,900
170,000 Case New Holland, Inc. (C)
9.250%, due 08/01/11 ........................ 193,800
230,000 Terex Corp., Series B
10.375%, due 04/01/11 ....................... 258,750
50,000 Terex Corp.
7.375%, due 01/15/14 ........................ 53,500
--------------
614,950
--------------
MEDIA - 6.18%
310,000 Allbritton Communications Co.
7.750%, due 12/15/12 ........................ 323,175
250,000 Cablevision Systems Corp. (C)
8.000%, due 04/15/12 ........................ 268,750
135,000 CBD Media Holdings LLC/CBD Holdings
Finance, Inc. (C)
9.250%, due 07/15/12 ........................ 135,675
435,000 CSC Holdings, Inc., Series B
8.125%, due 08/15/09 ........................ 478,500
150,000 CSC Holdings, Inc. (C)
6.750%, due 04/15/12 ........................ 155,250
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
28
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
MEDIA (CONTINUED)
$ 153,000 Dex Media East LLC/ Dex Media East
Finance Co.
12.125%, due 11/15/12 ....................... $ 190,102
132,000 Dex Media West LLC, Series B
9.875%, due 08/15/13 ........................ 156,090
475,000 Dex Media, Inc. (B)
0.000%, due 11/15/13 ........................ 361,000
165,000 DirecTV Holdings LLC
8.375%, due 03/15/13 ........................ 188,100
130,000 Emmis Operating Co.
6.875%, due 05/15/12 ........................ 136,500
345,000 Granite Broadcasting Corp.
9.750%, due 12/01/10 ........................ 318,262
285,000 Lamar Media Corp.
7.250%, due 01/01/13 ........................ 309,225
250,000 Lighthouse International Co. S.A.(C) (F)
8.000%, due 04/30/14 ........................ 312,326
85,000 MediaCom Broadband LLC
11.000%, due 07/15/13 ....................... 91,375
100,000 MediaCom LLC/ Media Capital Corp.
9.500%, due 01/15/13 ........................ 98,000
200,000 Medianews Group, Inc.
6.875%, due 10/01/13 ........................ 207,500
130,000 PRIMEDIA, Inc.
8.875%, due 05/15/11 ........................ 135,525
50,000 PRIMEDIA, Inc. (C)
8.000%, due 05/15/13 ........................ 50,125
130,000 Spanish Broadcasting Systems, Inc.
9.625%, due 11/01/09 ........................ 136,663
110,000 Young Broadcasting, Inc.
8.500%, due 12/15/08 ........................ 117,700
--------------
4,169,843
--------------
METALS AND MINING - 1.85%
150,000 Century Aluminum Co. (C)
7.500%, due 08/15/14 ........................ 159,000
85,000 Commonwealth Industries, Inc.
10.750%, due 10/01/06 ....................... 85,212
43,337 Doe Run Resources Corp., Series AI (K)
14.500%, due 11/01/08 PIK ................... 37,270
40,000 IMCO Recycling Escrow, Inc. (C)(H)
9.000%, due 11/15/14 ........................ 40,000
240,000 Ispat Inland ULC (D)
9.750%, due 04/01/14 ........................ 291,600
150,000 Oregon Steel Mills, Inc.
10.000%, due 07/15/09 ....................... 166,500
225,000 Russel Metals, Inc. (D)
6.375%, due 03/01/14 ........................ 225,000
60,000 SGL Carbon Luxembourg S.A. (C)(F)
8.500%, due 02/01/12 ........................ 81,460
145,000 Steel Dynamics, Inc.
9.500%, due 03/15/09 ........................ 160,406
--------------
1,246,448
--------------
PIPELINE - 2.15%
265,000 ANR Pipeline, Co.
9.625%, due 11/01/21 ........................ 325,950
175,000 Dynegy Holdings, Inc. (C)
9.875%, due 07/15/10 ........................ 198,844
155,000 Dynegy Holdings, Inc.
6.875%, due 04/01/11 ........................ 149,962
135,000 Markwest Energy Partners, L.P. (C)
6.875%, due 11/01/14 ........................ 137,700
572,000 Williams Cos., Inc.
7.125%, due 09/01/11 ........................ 640,640
--------------
1,453,096
--------------
PRINTING - 0.57%
135,000 Cenveo Corp.
7.875%, due 12/01/13 ........................ 130,275
42,000 Hollinger, Inc. (C)(D)
12.875%, due 03/01/11 ....................... 46,200
115,000 Houghton Mifflin Co.
9.875%, due 02/01/13 ........................ 124,775
75,000 Mail-Well I Corp.
9.625%, due 03/15/12 ........................ 83,250
--------------
384,500
--------------
REITS - 0.36%
165,000 Host Marriott LP
7.125%, due 11/01/13 ........................ 178,200
60,000 MeriStar Hospitality Operating Partnership LP/
MeriStar Hospitality Finance Corp.
10.500%, due 06/15/09 ....................... 66,000
--------------
244,200
--------------
RECREATION - 6.95%
122,000 AMC Entertainment, Inc.
9.500%, due 02/01/11 ........................ 125,965
245,000 AMC Entertainment, Inc. (C)
8.625%, due 08/15/12 ........................ 267,663
95,000 AMF Bowling Worldwide, Inc. (C)
10.000%, due 03/01/10 ....................... 101,650
185,000 Aztar Corp.
7.875%, due 06/15/14 ........................ 200,725
320,000 Boyd Gaming Corp.
6.750%, due 04/15/14 ........................ 335,600
140,000 Caesars Entertainment, Inc.
8.875%, due 09/15/08 ........................ 161,175
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
29
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
RECREATION (CONTINUED)
$ 290,000 Caesars Entertainment, Inc.
8.125%, due 05/15/11 ........................ $ 338,937
470,000 Hilton Hotels Corp. (N)
7.625%, due 12/01/12 ........................ 552,850
55,000 Intrawest Corp. (C)(D)
7.500%, due 10/15/13 ........................ 58,850
185,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14 ........................ 191,475
190,000 Loews Cineplex Entertainment Corp. (C)
9.000%, due 08/01/14 ........................ 199,025
155,000 Mandalay Resort Group
9.375%, due 02/15/10 ........................ 179,800
160,000 MGM Mirage, Inc.
8.500%, due 09/15/10 ........................ 184,000
345,000 MGM Mirage, Inc.
8.375%, due 02/01/11 ........................ 388,987
130,000 Pinnacle Entertainment, Inc.
8.250%, due 03/15/12 ........................ 134,225
150,000 Pinnacle Entertainment, Inc., Series B
8.750%, due 10/01/13 ........................ 159,375
165,000 Royal Caribbean Cruises, Ltd.
6.875%, due 12/01/13 ........................ 181,088
260,000 Six Flags, Inc.
9.750%, due 04/15/13 ........................ 250,575
395,000 Starwood Hotels & Resorts Worldwide, Inc.
7.875%, due 05/01/12 ........................ 463,138
205,000 Station Casinos, Inc.
6.500%, due 02/01/14 ........................ 216,275
--------------
4,691,378
--------------
RETAIL - 3.73%
180,000 Cole National Group, Inc.
8.875%, due 05/15/12 ........................ 210,375
360,000 Couche Tard US L.P.
7.500%, due 12/15/13 ........................ 387,900
220,000 Dollar General Corp.
8.625%, due 06/15/10 ........................ 251,350
125,000 Duane Reade, Inc. (C)
9.750%, due 08/01/11 ........................ 120,000
180,000 Finlay Fine Jewelry Corp.
8.375%, due 06/01/12 ........................ 196,650
180,000 J Crew Operating Corp.
10.375%, due 10/15/07 ....................... 184,950
10,000 Jitney-Jungle Stores of America, Inc. (E)
10.375%, due 09/15/07 ....................... 1
155,000 Remington Arms Co., Inc.
10.500%, due 02/01/11 ....................... 137,175
60,000 Rite Aid Corp.
9.500%, due 02/15/11 ........................ 66,450
385,000 Rite Aid Corp.
9.250%, due 06/01/13 ........................ 401,363
85,000 Rite Aid Corp.
6.875%, due 08/15/13 ........................ 76,075
185,000 Saks, Inc.
7.000%, due 12/01/13 ........................ 187,775
270,000 Williams Scotsman, Inc.
9.875%, due 06/01/07 ........................ 259,200
35,000 Williams Scotsman, Inc.
10.000%, due 08/15/08 ....................... 38,150
--------------
2,517,414
--------------
SCHOOLS - 0.25%
164,000 KinderCare Learning Centers, Inc., Series B
9.500%, due 02/15/09 ........................ 166,050
--------------
TECHNOLOGY - 0.86%
185,000 Argo-Tech Corp. (C)
9.250%, due 06/01/11 ........................ 201,650
80,000 BE Aerospace, Inc.
9.500%, due 11/01/08 ........................ 82,534
223,000 Fisher Scientific International, Inc.
8.125%, due 05/01/12 ........................ 248,645
45,000 ON Semiconductor Corp.
13.000%, due 05/15/08 ....................... 50,850
--------------
583,679
--------------
TELECOMMUNICATIONS - 7.09%
280,000 AT&T Corp. (G)
8.050%, due 11/15/11 ........................ 320,950
240,000 Centennial Cellular Corp Operating Co./
Centennial Communications Corp. LLC
10.125%, due 06/15/13 ....................... 260,400
225,000 Cincinnati Bell, Inc.
8.375%, due 01/15/14 ........................ 214,875
38,000 Citizens Communications Co.
9.000%, due 08/15/31 ........................ 40,565
175,000 Crown Castle International Corp., Series B
7.500%, due 12/01/13 187,250
50,000 Dobson Cellular Systems, Inc. (C)(H)
8.375%, due 11/01/11 ........................ 51,563
90,000 Dobson Communications Corp.
8.875%, due 10/01/13 ........................ 60,525
400,000 EchoStar DBS Corp.
6.375%, due 10/01/11 ........................ 414,500
50,000 FrontierVision Holdings LP (E)
11.875%, due 09/15/07 ....................... 63,750
165,000 FrontierVision Operating Partners LP (E)
11.000%, due 10/15/06 ....................... 207,075
190,000 GCI, Inc.
7.250%, due 02/15/14 ........................ 188,100
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
30
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
$ 150,000 Innova S de RL de CV (D)
9.375%, due 09/19/13 ........................ $ 166,875
95,000 Insight Midwest L.P. / Insight Capital, Inc.
9.750%, due 10/01/09 ........................ 99,869
210,000 Lucent Technologies, Inc.
5.500%, due 11/15/08 ........................ 215,250
150,000 MCI, Inc.
5.908%, due 05/01/07 ........................ 149,625
210,000 MCI, Inc.
6.688%, due 05/01/09 ........................ 207,112
21,000 MCI, Inc.
7.735%, due 05/01/14 ........................ 20,239
360,000 Nortel Networks, Ltd. (D)
6.125%, due 02/15/06 ........................ 368,100
540,000 Paxson Communications Corp. (B)
0.000%, due 01/15/09 ........................ 469,800
100,000 Rogers Wireless Communications, Inc. (D)
6.375%, due 03/01/14 ........................ 95,500
180,000 Rural Cellular Corp.
9.875%, due 02/01/10 ........................ 181,350
40,000 Rural Cellular Corp. (C)
8.250%, due 03/15/12 ........................ 42,000
215,000 Time Warner Telecom Holdings, Inc.
9.250%, due 02/15/14 ........................ 216,075
145,000 Time Warner Telecom, Inc.
10.125%, due 02/01/11 ....................... 140,650
185,000 UbiquiTel Operating Co.
9.875%, due 03/01/11 ........................ 200,262
185,000 US Unwired, Inc., Series B
10.000%, due 06/15/12 ....................... 200,262
--------------
4,782,522
--------------
TRANSPORTATION - 0.88%
110,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14 ........................ 117,150
160,000 GulfMark Offshore, Inc. (C)
7.750%, due 07/15/14 ........................ 168,000
235,000 Kansas City Southern Railway Co.
7.500%, due 06/15/09 ........................ 244,400
60,000 Stena AB (D)
9.625%, due 12/01/12 ........................ 67,575
--------------
597,125
--------------
UTILITIES - 2.13%
300,000 Crystal US Holdings 3 LLC/Crystal
US Sub 3 Corp. (B)(C)
0.000%, due 10/01/14 ........................ 189,000
150,000 Empresa Nacional de Electricidad S.A. (D)
8.350%, due 08/01/13 ........................ 168,489
295,000 Midwest Generation LLC
8.750%, due 05/01/34 ........................ 334,087
120,000 Mission Energy Holding Co.
13.500%, due 07/15/08 ....................... 152,100
35,000 Nevada Power Co.
6.500%, due 04/15/12 ........................ 36,400
60,000 NorthWestern Corp. (C)(H)
5.875%, due 11/01/14 ........................ 61,875
250,000 PSEG Energy Holdings, Inc.
8.625%, due 02/15/08 ........................ 276,250
90,000 Sierra Pacific Power Co.
6.250%, due 04/15/12 ........................ 93,150
110,000 Sierra Pacific Resources
8.625%, due 03/15/14 ........................ 124,850
--------------
1,436,201
--------------
WASTE DISPOSAL - 0.54%
315,000 Allied Waste Industries, Inc.
6.500%, due 11/15/10 ........................ 303,188
60,000 Allied Waste Industries, Inc.
7.875%, due 04/15/13 ........................ 61,050
--------------
364,238
--------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $55,751,676) .......................... 58,930,701
Shares
- ------
COMMON STOCKS - 1.00%
- --------------------------------------------------------------------------
CHEMICALS AND DRUGS - 0.00%
5 Sterling Chemicals, Inc. * .................. 123
--------------
INDUSTRIALS - 0.34%
2,015 Hayes Lemmerz International, Inc. * ......... 16,765
2,700 Magna International, Inc., Class A .......... 196,965
16 Oxford Automotive, Inc. * ................... 0
1,447 Thermadyne Holdings Corp. * ................. 15,193
--------------
228,923
--------------
TELECOMMUNICATIONS - 0.43%
452 Manitoba Telecom Services, Inc. ............. 15,623
3,572 MCI, Inc. ................................... 61,617
921 NTL, Inc. * ................................. 61,256
12,393 Telewest Global, Inc. * ..................... 152,434
480 Versatel Telecom International N.V. * 1,004
--------------
291,934
--------------
UTILITIES - 0.23%
7,046 DPL, Inc. ................................... 152,193
--------------
TOTAL COMMON STOCKS
(Cost $778,320) ............................. 673,173
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
31
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
PREFERRED STOCKS - 0.47%
- --------------------------------------------------------------------------
INDUSTRIALS - 0.29%
3,945 Ford Motor Co. Capital Trust II ............. $ 197,211
11 HLI Operating Co., Inc. * ................... 913
--------------
198,124
--------------
MEDIA - 0.17%
1,350 PRIMEDIA, Inc. .............................. 117,450
1 PTV, Inc. ................................... 6
--------------
117,456
--------------
REITS - 0.01%
100 HRPT Properties Trust ....................... 2,745
--------------
TOTAL PREFERRED STOCKS
(Cost $331,842) ............................. 318,325
WARRANTS AND RIGHTS - 0.00%
- --------------------------------------------------------------------------
CHEMICALS AND DRUGS - 0.00%
8 Sterling Chemicals, Inc.,
Exp. 12/19/08 (L) * ......................... 4
--------------
COMMUNICATION - 0.00%
175 GT Group Telecom, Inc.,
Exp. 02/01/10 (C)(L) * ...................... 2
--------------
FINANCE - 0.00%
150 Ono Finance PLC, Series A,
Exp. 05/31/09 (C)(L) * ...................... 0
--------------
INDUSTRIALS - 0.00%
270 Thermadyne Holdings Corp., Class B,
Exp. 05/23/06 * ............................. 27
--------------
TELECOMMUNICATIONS - 0.00%
55 XM Satellite Radio Holdings, Inc.,
Exp. 03/03/10 (C) * ......................... 3,300
--------------
TOTAL WARRANTS AND RIGHTS
(Cost $4,593) ............................... 3,333
Par Value
- ---------
FOREIGN GOVERNMENT AND AGENCY OBLIGATIONS - 0.66%
- --------------------------------------------------------------------------
BRAZIL - 0.33%
$ 196,000 Federal Republic of Brazil (D)
11.000%, due 08/17/40 ....................... 221,088
--------------
PANAMA - 0.18%
111,000 Panama Government International Bond (D)
9.375%, due 01/16/23 ........................ 120,157
--------------
RUSSIA - 0.15%
65,000 Russia Government International Bond (D)
12.750%, due 06/24/28 ....................... 103,350
--------------
TOTAL FOREIGN GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $442,165) ............................. 444,595
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 6.88%
- --------------------------------------------------------------------------
FEDERAL HOME LOAN BANK (A) - 6.88%
4,645,000 1.690%, due 11/01/04 ........................ 4,645,000
--------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $4,645,000) ........................... 4,645,000
Shares
- ------
INVESTMENT COMPANIES - 22.83%
- --------------------------------------------------------------------------
267 SSgA Prime Money Market Fund ................ 267
15,403,431 State Street Navigator Securities
Lending Prime Portfolio (I) ................. 15,403,431
--------------
TOTAL INVESTMENT COMPANIES
(Cost $15,403,698) ......................... 15,403,698
TOTAL INVESTMENTS - 121.56%
- --------------------------------------------------------------------------
(Cost $78,871,586**)...................................... 82,038,814
NET OTHER ASSETS AND LIABILITIES - (21.56)%
- --------------------------------------------------------------------------
(14,553,004)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 67,485,810
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
32
- --------------------------------------------------------------------------------
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $78,953,737.
(A) Rate noted represents annualized yield at time of purchase.
(B) Represents security that remains a specified coupon until a predetermined
date, at which time the stated rate becomes the effective rate.
(C) Security sold within the terms of a private placement memorandum exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional investors." The securities have been determined
to be liquid under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S.
dollars. The aggregate of these securities is 10.28% of total net assets.
(E) In Default.
(F) Notes and bonds denominated in foreign currencies and converted to U.S.
dollars at period end exchange rates. The aggregate of these securities
is 1.80% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31,
2004.
(H) Security purchased on a delayed delivery or when-issued basis.
(I) Represents collateral held in connection with securities lending.
(L) Security valued at fair value using methods determined in good faith by
and under the general supervision of the Board of Trustees (see note 2).
(N) Security pledged as collateral for when-issued purchase committments
outstanding as of October 31, 2004.
IO Interest Only. The rate shown is an internal rate of return.
PIK Payment-In-Kind.
PLC Public Limited Company.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------
APPRECIATION/
CURRENCY SETTLEMENT DATE LOCAL AMOUNT FACE AMOUNT VALUE (DEPRECIATION)
- -------- --------------- ------------ ----------- ----- --------------
Euro (sell) 11/15/04 753,561 $919,344 $960,589 $(41,245)
Euro (buy) 11/15/04 25,271 32,094 32,214 $ 120
Euro (buy) 11/22/04 55,492 68,872 70,736 $ 1,864
Euro (sell) 11/22/04 205,000 254,712 261,315 $ (6,603)
--------
$(45,864)
========
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
33
- --------------------------------------------------------------------------------
BALANCED FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMONSTOCKS - 63.51%
- --------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 7.49%
45,700 Carnival Corp. .............................. $ 2,310,592
19,834 Comcast Corp., Class A * .................... 585,103
42,400 Home Depot, Inc. ............................ 1,741,792
14,100 Kohl's Corp. * .............................. 715,716
66,200 McDonald's Corp. ............................ 1,929,730
62,700 Target Corp. ................................ 3,136,254
32,500 Tiffany & Co. ............................... 953,225
53,800 Time Warner, Inc. * ......................... 895,232
32,500 Viacom, Inc., Class B ....................... 1,185,925
74,600 Walt Disney Co. ............................. 1,881,412
--------------
15,334,981
--------------
CONSUMER STAPLES - 6.46%
50,900 Coca-Cola Co. ............................... 2,069,594
45,500 CVS Corp. ................................... 1,977,430
41,000 General Mills, Inc. ......................... 1,814,250
21,900 Kimberly-Clark Corp. ........................ 1,306,773
20,400 Procter & Gamble Co. ........................ 1,044,072
82,200 Sara Lee Corp. .............................. 1,913,616
57,500 Wal-Mart Stores, Inc. ....................... 3,100,400
--------------
13,226,135
--------------
ENERGY - 5.96%
18,200 Anadarko Petroleum Corp. .................... 1,227,590
26,964 BP PLC, ADR ................................. 1,570,653
25,600 ChevronTexaco Corp. ......................... 1,358,336
21,900 Devon Energy Corp. .......................... 1,619,943
52,600 Exxon Mobil Corp. ........................... 2,588,972
12,500 Kerr-McGee Corp. ............................ 740,250
33,400 Marathon Oil Corp. .......................... 1,272,874
20,600 Schlumberger, Ltd. .......................... 1,296,564
14,516 Transocean, Inc. * .......................... 511,689
--------------
12,186,871
--------------
FINANCIALS - 12.62%
23,600 ACE, Ltd. ................................... 898,216
49,400 Allstate Corp. .............................. 2,375,646
29,300 American International Group, Inc. .......... 1,778,803
90,592 Bank of America Corp. ....................... 4,057,616
9,400 Chubb Corp. ................................. 678,022
86,700 Citigroup, Inc. ............................. 3,846,879
10,900 Goldman Sachs Group, Inc. ................... 1,072,342
47,902 J.P. Morgan Chase & Co. ..................... 1,849,017
18,900 Marsh & McLennan Cos., Inc. ................. 522,774
29,900 Morgan Stanley .............................. 1,527,591
36,400 National City Corp. ......................... 1,418,508
52,800 Prudential Financial, Inc. .................. 2,453,616
16,600 SunTrust Banks, Inc. ........................ 1,168,308
36,700 Wells Fargo & Co. ........................... 2,191,724
--------------
25,839,062
--------------
HEALTH CARE - 7.32%
36,900 Abbott Laboratories ......................... 1,573,047
48,100 Applera Corp. - Applied Biosystems
Group ....................................... 917,748
47,100 Baxter International, Inc. .................. 1,448,796
60,100 Bristol-Myers Squibb Co. .................... 1,408,143
11,300 Genzyme Corp. * ............................. 592,911
41,200 GlaxoSmithKline PLC, ADR .................... 1,746,880
3,500 Hospira, Inc. * ............................. 111,685
77,500 IMS Health, Inc. ............................ 1,641,450
20,800 MedImmune, Inc. * ........................... 591,136
13,400 Merck & Co., Inc. ........................... 419,554
96,262 Pfizer, Inc. ................................ 2,786,785
43,900 Wyeth ....................................... 1,740,635
--------------
14,978,770
--------------
INDUSTRIALS - 7.64%
32,000 Burlington Northern Santa Fe Corp. .......... 1,337,920
33,000 Dover Corp. ................................. 1,295,910
19,300 Emerson Electric Co. ........................ 1,236,165
15,900 FedEx Corp. ................................. 1,448,808
82,400 General Electric Co. ........................ 2,811,488
51,300 Honeywell International, Inc. ............... 1,727,784
14,000 Illinois Tool Works, Inc. ................... 1,291,920
20,000 Textron, Inc. ............................... 1,363,000
19,300 United Technologies Corp. ................... 1,791,426
47,000 Waste Management, Inc. ...................... 1,338,560
--------------
15,642,981
--------------
INFORMATION TECHNOLOGY - 10.17%
87,800 ADC Telecommunications, Inc. * .............. 194,038
39,000 Applied Materials, Inc. * ................... 627,900
48,000 Autodesk, Inc. .............................. 2,532,000
39,000 Celestica, Inc. * ........................... 564,720
53,900 Cisco Systems, Inc. * ....................... 1,035,419
35,100 Computer Sciences Corp. * ................... 1,743,417
26,400 Dell, Inc. * ................................ 925,584
39,700 EMC Corp. * ................................. 510,939
28,865 First Data Corp. ............................ 1,191,547
51,100 Hewlett-Packard Co. ......................... 953,526
35,500 Intel Corp. ................................. 790,230
25,700 International Business Machines Corp......... 2,306,575
30,238 Koninklijke Philips Electronics N.V.......... 720,269
39,200 Micron Technology, Inc. * ................... 477,456
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
34
- --------------------------------------------------------------------------------
BALANCED FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMONSTOCKS (CONTINUED)
- --------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
73,100 Microsoft Corp. ............................. $ 2,046,069
85,800 Motorola, Inc. .............................. 1,480,908
57,500 PeopleSoft, Inc. * .......................... 1,194,275
49,800 Texas Instruments, Inc. ..................... 1,217,610
14,196 VERITAS Software Corp. * .................... 310,609
--------------
20,823,091
--------------
MATERIALS - 1.83%
26,300 Alcoa, Inc. ................................. 854,750
30,600 E.I. du Pont de Nemours & Co. 1,311,822
37,100 Rohm and Haas Co. ........................... 1,572,669
--------------
3,739,241
--------------
TELECOMMUNICATION SERVICES - 2.41%
29,100 ALLTEL Corp. ................................ 1,598,463
80,900 SBC Communications, Inc. .................... 2,043,534
33,120 Verizon Communications, Inc. ................ 1,294,992
--------------
4,936,989
--------------
UTILITIES - 1.61%
12,900 Ameren Corp. ................................ 619,200
15,500 Consolidated Edison, Inc. ................... 673,475
19,000 FPL Group, Inc. ............................. 1,309,100
16,500 Progress Energy, Inc. ....................... 681,450
--------------
3,283,225
--------------
TOTAL COMMON STOCKS
(Cost $119,653,507) ......................... 129,991,346
Par Value
- ---------
ASSET BACKED - 1.59%
- --------------------------------------------------------------------------
$ 191,620 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.050%, due 09/21/30 ........................ 193,596
500,000 ABSC Manufactured Housing Contract,
Series 2004-OK1, Class A4 (C)
5.019%, due 04/16/30 ........................ 376,000
500,000 Ameriquest Mortgage Co.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ........................ 499,221
340,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 ........................ 336,844
320,000 GMAC Home Equity Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 ........................ 313,984
485,314 Green Tree Financial Corp.,
Series 1996-1, Class M1
7.000%, due 03/15/27 ........................ 480,461
500,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 ........................ 545,129
500,000 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31 ........................ 507,916
--------------
TOTAL ASSET BACKED
(Cost $3,299,481) ........................... 3,253,151
COMMERICAL MORTGAGE BACKED - 2.03%
- --------------------------------------------------------------------------
633,458 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ........................ 658,590
350,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2004-T16, Class A2 (H)(L)
3.700%, due 08/13/46 ........................ 351,918
350,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2004-T16, Class A6 (H)(L)
4.750%, due 08/13/46 ........................ 351,793
400,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 ........................ 419,371
988,696 Morgan Stanley Capital I, Inc.,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 ........................ 1,057,174
700,000 Morgan Stanley Capital I, Inc.,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ........................ 714,439
602,029 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 ........................ 600,080
--------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $4,078,065) ........................... 4,153,365
PRIVATE LABEL MORTGAGE BACKED - 0.67%
- --------------------------------------------------------------------------
1,350,074 Countrywide Alternative Loan Trust,
Series 2002-5, Class A10
6.750%, due 06/25/32 ........................ 1,358,439
--------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $1,370,059) ........................... 1,358,439
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
35
- --------------------------------------------------------------------------------
BALANCED FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 9.21%
- --------------------------------------------------------------------------
CABLE - 0.39%
$ 350,000 Comcast Cable Communications, Inc.
6.875%, due 06/15/09 ........................ $ 391,546
400,000 Comcast Corp.
5.300%, due 01/15/14 ........................ 407,875
--------------
799,421
--------------
CAPITAL GOODS - 0.49%
500,000 Caterpillar Financial Services Corp.
2.500%, due 10/03/06 ........................ 495,641
500,000 United Technologies Corp.
6.625%, due 11/15/04 ........................ 500,646
--------------
996,287
--------------
CONSUMER DISCRETIONARY - 0.69%
750,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 ........................ 905,194
500,000 Carnival Corp. (D)
3.750%, due 11/15/07 ........................ 503,907
--------------
1,409,101
--------------
CONSUMER STAPLES - 0.20%
400,000 Safeway, Inc.
4.125%, due 11/01/08 ........................ 401,971
--------------
ENERGY - 0.75%
500,000 Occidental Petroleum Corp.
5.875%, due 01/15/07 ........................ 528,986
500,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 ........................ 554,000
450,000 Texaco Capital, Inc.
5.700%, due 12/01/08 ........................ 460,577
--------------
1,543,563
--------------
FINANCE - 1.65%
500,000 American General Finance Corp.
4.625%, due 09/01/10 ........................ 506,706
500,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 ........................ 559,462
500,000 CIT Group, Inc.
7.375%, due 04/02/07 ........................ 547,634
350,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 ........................ 383,240
250,000 Household Finance Corp.
6.500%, due 11/15/08 ........................ 275,943
500,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 ........................ 536,806
500,000 U.S. Bank N.A.
6.300%, due 02/04/14 ........................ 562,085
--------------
3,371,876
--------------
INDUSTRIALS - 1.19%
350,000 Ford Motor Credit Co.
7.600%, due 08/01/05 ........................ 361,936
500,000 Ford Motor Credit Co.
5.800%, due 01/12/09 ........................ 515,825
1,000,000 General Motors Acceptance Corp.
6.125%, due 08/28/07 ........................ 1,043,058
500,000 General Motors Acceptance Corp.
6.875%, due 09/15/11 ........................ 520,493
--------------
2,441,312
--------------
PIPELINE - 0.32%
650,000 Kinder Morgan, Inc.
6.650%, due 03/01/05 ........................ 658,473
--------------
REITS - 0.07%
140,000 Simon Property Group, L.P. (C)
5.625%, due 08/15/14 ........................ 144,683
--------------
TELECOMMUNICATIONS - 0.96%
500,000 Bellsouth Capital Funding Corp.
7.875%, due 02/15/30 ........................ 616,202
250,000 Sprint Capital Corp.
7.125%, due 01/30/06 ........................ 262,951
537,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 ........................ 570,029
500,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06 ........................ 524,067
--------------
1,973,249
--------------
TRANSPORTATION - 0.59%
600,000 Burlington Northern Santa Fe Corp.
6.375%, due 12/15/05 ........................ 621,638
500,000 Norfolk Southern Corp.
7.250%, due 02/15/31 ........................ 591,565
--------------
1,213,203
--------------
UTILITIES - 1.91%
375,000 Constellation Energy Group, Inc.
4.550%, due 06/15/15 ........................ 358,262
500,000 DTE Energy Co.
6.450%, due 06/01/06 ........................ 525,235
500,000 Energy East Corp.
8.050%, due 11/15/10 ........................ 595,046
750,000 Niagara Mohawk Power Co.
7.750%, due 05/15/06 ........................ 803,758
350,000 Progress Energy, Inc.
7.750%, due 03/01/31 ........................ 415,539
350,000 Virginia Electric and Power Co., Series A
5.750%, due 03/31/06 ........................ 363,934
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ........................ 840,361
--------------
3,902,135
--------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $17,864,582) .......................... 18,855,274
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
36
- --------------------------------------------------------------------------------
BALANCED FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED - 9.53%
- --------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.80%
$ 898,479 7.000%, due 07/15/27
Series 1974, Class ZA ....................... $ 942,696
31,192 8.000%, due 06/01/30
Pool # C01005 ............................... 33,875
450,297 6.500%, due 01/01/32
Pool # C62333 ............................... 474,048
2,227,803 5.000%, due 07/01/33
Pool # A11325 ............................... 2,227,451
--------------
3,678,070
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 6.52%
157,700 6.000%, due 05/01/16
Pool # 582558 ............................... 165,574
1,337,036 5.000%, due 12/01/17
Pool # 672243 ............................... 1,366,281
1,409,885 4.500%, due 09/01/18
Pool # 737144 ............................... 1,417,365
250,769 6.000%, due 05/01/21
Pool # 253847 ............................... 261,571
35,000 7.000%, due 12/01/29
Pool # 762813 ............................... 37,404
205,847 7.000%, due 11/01/31
Pool # 607515 ............................... 218,757
161,216 6.000%, due 02/01/32
Pool # 611619 ............................... 167,418
141,237 7.000%, due 05/01/32
Pool # 644591 ............................... 150,095
1,085,569 6.500%, due 06/01/32
Pool # 545691 ............................... 1,143,368
25,000 7.000%, due 08/01/32
Pool # 641302 ............................... 26,559
1,723,187 6.000%, due 08/01/33
Pool # 729413 ............................... 1,789,135
1,100,419 6.000%, due 08/01/33
Pool # 729418 ............................... 1,142,534
1,161,401 5.500%, due 10/01/33
Pool # 254904 ............................... 1,184,841
3,294,255 5.500%, due 11/01/33
Pool # 555880 ............................... 3,360,742
34,101 5.000%, due 05/01/34
Pool # 782214 ............................... 34,018
773,258 5.000%, due 06/01/34
Pool # 255230 ............................... 771,378
110,000 7.000%, due 07/01/34
Pool # 792636 ............................... 116,852
--------------
13,353,892
--------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.21%
21,449 8.000%, due 10/20/15
Pool # 002995 ............................... 22,896
600,000 5.008%, due 12/16/25
Series 2004-43, Class C (G) ................. 619,524
196,330 6.500%, due 02/20/29
Pool # 002714 ............................... 207,508
41,768 7.500%, due 05/20/30
Pool # 002921 ............................... 44,775
44,833 7.500%, due 08/20/30
Pool # 002957 ............................... 48,060
178,804 6.500%, due 04/20/31
Pool # 003068 ............................... 188,840
1,300,000 6.000%, due 07/20/32
Series 2002-50, Class PE .................... 1,347,058
--------------
2,478,661
--------------
TOTAL MORTGAGE BACKED
(Cost $19,170,067) .......................... 19,510,623
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 10.09%
- --------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 1.09%
1,000,000 6.125%, due 12/29/15 (N)..................... 1,122,914
1,000,000 5.875%, due 10/03/16 ........................ 1,099,277
--------------
2,222,191
--------------
FEDERAL HOME LOAN MORTGAGE CORP. - 0.74%
1,500,000 4.500%, due 01/15/14 ........................ 1,508,280
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.18%
1,100,000 4.000%, due 09/02/08 ........................ 1,118,501
500,000 5.250%, due 08/01/12 ........................ 522,906
800,000 4.125%, due 04/15/14 ........................ 780,390
--------------
2,421,797
--------------
U.S. TREASURY BOND - 1.26%
2,150,000 6.250%, due 05/15/30 ........................ 2,585,375
--------------
U.S. TREASURY NOTES - 5.82%
1,000,000 1.500%, due 03/31/06 ........................ 988,242
4,400,000 2.000%, due 05/15/06 ........................ 4,374,735
3,850,000 2.625%, due 05/15/08 ........................ 3,806,988
760,000 5.000%, due 02/15/11 ........................ 820,681
550,000 5.000%, due 08/15/11 ........................ 593,979
1,335,000 4.000%, due 02/15/14 ........................ 1,335,052
--------------
11,919,677
--------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $20,196,290) .......................... 20,657,320
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
37
- --------------------------------------------------------------------------------
BALANCED FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 11.25%
- --------------------------------------------------------------------------
1 One Group Institutional Prime Money
Market Fund ................................. $ 1
7,414,796 SSgA Prime Money Market Fund ................ 7,414,796
15,610,165 State Street Navigator Securities
Lending Prime Portfolio (I) ................. 15,610,165
--------------
TOTAL INVESTMENT COMPANIES
(Cost $23,024,962) .......................... 23,024,962
TOTAL INVESTMENTS - 107.88%
- --------------------------------------------------------------------------
(Cost $208,657,013**)..................................... 220,804,480
NET OTHER ASSETS AND LIABILITIES - (7.88)%
- --------------------------------------------------------------------------
(16,120,216)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 204,684,264
* Non-income producing.
** Aggregate cost for Federal tax purposes was $208,870,469.
(C) Security sold within the terms of a private placement memorandum exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional investors." The securities have been determined
to be liquid under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 0.25% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2004.
(H) Security purchased on a delayed delivery or when-issued basis.
(I) Represents collateral held in connection with securities lending.
(L) Security valued at fair value using methods determined in good faith by
and under the general supervision of the Board of Trustees (see note 2).
(M) Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below the stated level, the issuer will
either initiate a clean-up call or increase the stated interest rate.
(N) Security pledged as collateral for when-issued purchase committments
outstanding as of October 31, 2004.
ADR American Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
38
- --------------------------------------------------------------------------------
GROWTH AND INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.30%
- --------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.97%
41,791 Comcast Corp., Class A * .................... $ 1,232,834
84,200 Home Depot, Inc. ............................ 3,458,936
135,500 McDonald's Corp. ............................ 3,949,825
74,100 Target Corp. ................................ 3,706,482
107,100 Time Warner, Inc. * ......................... 1,782,144
44,000 Viacom, Inc., Class B ....................... 1,605,560
112,400 Walt Disney Co. ............................. 2,834,728
--------------
18,570,509
--------------
CONSUMER STAPLES - 7.19%
32,500 Altria Group, Inc. .......................... 1,574,950
17,300 Coca-Cola Co. ............................... 703,418
80,300 General Mills, Inc. ......................... 3,553,275
27,300 Kimberly-Clark Corp. ........................ 1,628,991
16,400 Procter & Gamble Co. ........................ 839,352
166,600 Sara Lee Corp. .............................. 3,878,448
--------------
12,178,434
--------------
ENERGY - 12.49%
25,700 Anadarko Petroleum Corp. .................... 1,733,465
19,700 Apache Corp. ................................ 998,790
44,206 BP PLC, ADR ................................. 2,574,999
59,166 ChevronTexaco Corp. ......................... 3,139,348
29,500 ConocoPhillips .............................. 2,487,145
18,200 Cooper Cameron Corp. * ...................... 879,970
30,000 Devon Energy Corp. .......................... 2,219,100
97,200 Exxon Mobil Corp. ........................... 4,784,184
20,500 Schlumberger, Ltd. .......................... 1,290,270
29,452 Transocean, Inc. * .......................... 1,038,183
--------------
21,145,454
--------------
FINANCIALS - 25.60%
90,000 Allstate Corp. .............................. 4,328,100
11,000 American International Group, Inc. .......... 667,810
120,184 Bank of America Corp. ....................... 5,383,041
5,000 Bear Stearns Cos., Inc. ..................... 473,750
10 Berkshire Hathaway, Inc., Class A * ......... 842,500
132,866 Citigroup, Inc. ............................. 5,895,265
20,000 Freddie Mac ................................. 1,332,000
88,268 J.P. Morgan Chase & Co. ..................... 3,407,145
12,600 Marsh & McLennan Cos., Inc. ................. 348,516
58,400 Morgan Stanley .............................. 2,983,656
57,100 National City Corp. ......................... 2,225,187
11,000 Principal Financial Group, Inc. ............. 415,360
90,000 Prudential Financial, Inc. .................. 4,182,300
20,000 St. Paul Travelers Cos., Inc. ............... 679,200
27,700 SunTrust Banks, Inc. ........................ 1,949,526
41,300 U.S. Bancorp ................................ 1,181,593
66,000 Wachovia Corp. .............................. 3,247,860
56,400 Wells Fargo & Co. ........................... 3,368,208
6,000 XL Capital, Ltd., Class A ................... 435,000
--------------
43,346,017
--------------
HEALTH CARE - 7.29%
82,100 Baxter International, Inc. .................. 2,525,396
107,100 Bristol-Myers Squibb Co. .................... 2,509,353
59,600 GlaxoSmithKline PLC, ADR .................... 2,527,040
53,200 Merck & Co., Inc. ........................... 1,665,692
46,040 Pfizer, Inc. ................................ 1,332,858
45,200 Wyeth ....................................... 1,792,180
--------------
12,352,519
--------------
INDUSTRIALS - 11.20%
52,000 Burlington Northern Santa Fe Corp. .......... 2,174,120
51,700 Emerson Electric Co. ........................ 3,311,385
75,000 General Electric Co. ........................ 2,559,000
107,300 Honeywell International, Inc. ............... 3,613,864
15,000 Masco Corp. ................................. 513,900
32,000 Textron, Inc. ............................... 2,180,800
27,300 United Technologies Corp. ................... 2,533,986
72,800 Waste Management, Inc. ...................... 2,073,344
--------------
18,960,399
--------------
INFORMATION TECHNOLOGY - 10.34%
46,500 Applied Materials, Inc. * ................... 748,650
39,600 Automatic Data Processing, Inc. ............. 1,718,244
75,600 Computer Associates International, Inc. ..... 2,094,876
44,200 Computer Sciences Corp. * ................... 2,195,414
84,600 EMC Corp. * ................................. 1,088,802
108,921 Hewlett-Packard Co. ......................... 2,032,466
54,000 Intel Corp. ................................. 1,202,040
32,100 International Business Machines Corp. ....... 2,880,975
134,900 Motorola, Inc. .............................. 2,328,374
50,300 Texas Instruments, Inc. ..................... 1,229,835
--------------
17,519,676
--------------
MATERIALS - 4.33%
9,000 Air Products & Chemicals, Inc. ............... 478,620
17,800 Alcan, Inc. .................................. 824,496
34,900 Alcoa, Inc. .................................. 1,134,250
66,000 E.I. du Pont de Nemours & Co. ................ 2,829,420
13,000 PPG Industries, Inc. ......................... 828,750
19,700 Weyerhaeuser Co. ............................. 1,234,008
--------------
7,329,544
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
39
- --------------------------------------------------------------------------------
GROWTH AND INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 4.78%
50,700 ALLTEL Corp. ................................ $ 2,784,951
102,000 SBC Communications, Inc. .................... 2,576,520
21,800 Telefonos de Mexico S.A.
de C.V., ADR ................................ 746,432
50,820 Verizon Communications, Inc. ................ 1,987,062
--------------
8,094,965
--------------
UTILITIES - 3.11%
26,800 Ameren Corp. ................................ 1,286,400
30,200 Consolidated Edison, Inc. ................... 1,312,190
17,000 FPL Group, Inc. ............................. 1,171,300
36,200 Progress Energy, Inc. ....................... 1,495,060
--------------
5,264,950
--------------
TOTAL COMMON STOCKS
(Cost $155,006,933).......................... 164,762,467
INVESTMENT COMPANY - 2.73%
- --------------------------------------------------------------------------
4,629,593 SSgA Prime Money Market Fund ................ 4,629,593
--------------
TOTAL INVESTMENT COMPANY
(Cost $4,629,593) ........................... 4,629,593
TOTAL INVESTMENTS - 100.03%
- --------------------------------------------------------------------------
(Cost $159,636,526**)..................................... 169,392,060
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------
(54,869)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$169,337,191
* Non-income producing.
** Aggregate cost for Federal tax purposes was $160,536,525.
ADR American Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
40
- --------------------------------------------------------------------------
CAPITAL APPRECIATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.43%
- --------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 12.06%
56,850 Brinker International, Inc. * ............... $ 1,836,255
45,000 Carnival Corp. .............................. 2,275,200
32,000 Home Depot, Inc. ............................ 1,314,560
50,600 Kohl's Corp. * .............................. 2,568,456
247,500 Liberty Media Corp., Class A * .............. 2,207,700
12,670 Liberty Media International, Inc.* .......... 456,753
15,200 Target Corp. ................................ 760,304
72,000 Tiffany & Co. ............................... 2,111,760
54,200 Time Warner, Inc. * ......................... 901,888
35,300 Viacom, Inc., Class B ....................... 1,288,097
33,000 Walt Disney Co. ............................. 832,260
--------------
16,553,233
--------------
CONSUMER STAPLES - 10.18%
62,800 Coca-Cola Co. ............................... 2,553,448
52,800 CVS Corp. ................................... 2,294,688
33,900 Estee Lauder Cos., Inc., Class A ............ 1,456,005
14,800 General Mills, Inc. ......................... 654,900
58,800 Kraft Foods, Inc., Class A .................. 1,958,628
41,400 Procter & Gamble Co. ........................ 2,118,852
54,400 Wal-Mart Stores, Inc. ....................... 2,933,248
--------------
13,969,769
--------------
ENERGY - 9.86%
40,850 Apache Corp. ................................ 2,071,095
30,600 ChevronTexaco Corp. ......................... 1,623,636
38,100 ConocoPhillips .............................. 3,212,211
28,000 Exxon Mobil Corp. ........................... 1,378,160
29,100 Marathon Oil Corp. .......................... 1,109,001
27,500 Noble Corp. * ............................... 1,256,200
38,800 Weatherford International, Ltd.* ............ 2,027,688
25,700 XTO Energy, Inc. ............................ 857,866
--------------
13,535,857
--------------
FINANCIALS - 17.61%
23,400 ACE, Ltd. ................................... 890,604
42,000 American International Group, Inc. .......... 2,549,820
74,600 Bank of America Corp. ....................... 3,341,334
49,400 Bank of New York Co., Inc. .................. 1,603,524
9,500 Chubb Corp. ................................. 685,235
66,000 Citigroup, Inc. ............................. 2,928,420
33,800 Freddie Mac ................................. 2,251,080
16,800 Goldman Sachs Group, Inc. ................... 1,652,784
19,800 Marsh & McLennan Cos., Inc. ................. 547,668
38,200 MetLife, Inc. ............................... 1,464,970
40,100 U.S. Bancorp ................................ 1,147,261
17,900 Wachovia Corp. .............................. 880,859
42,800 Wells Fargo & Co. ........................... 2,556,016
13,300 XL Capital, Ltd., Class A ................... 964,250
10,500 Zions Bancorporation ........................ 694,785
--------------
24,158,610
--------------
HEALTH CARE - 11.85%
74,800 Abbott Laboratories ......................... 3,188,724
114,200 Applera Corp. - Applied Biosystems Group .... 2,178,936
37,500 Boston Scientific Corp. * ................... 1,323,750
15,700 Genzyme Corp. * ............................. 823,779
7,760 Hospira, Inc. * ............................. 247,622
99,000 IMS Health, Inc. ............................ 2,096,820
30,800 MedImmune, Inc. * ........................... 875,336
14,900 Merck & Co., Inc. ........................... 466,519
140,138 Pfizer, Inc. ................................ 4,056,995
55,300 Schering-Plough Corp. ....................... 1,001,483
--------------
16,259,964
--------------
INDUSTRIALS - 12.00%
20,000 CSX Corp. ................................... 730,000
63,400 Dover Corp. ................................. 2,489,718
27,000 FedEx Corp. ................................. 2,460,240
16,200 General Dynamics Corp. ...................... 1,654,344
97,700 General Electric Co. ........................ 3,333,524
29,400 Honeywell International, Inc. ............... 990,192
22,000 Illinois Tool Works, Inc. ................... 2,030,160
51,200 Masco Corp. ................................. 1,754,112
36,000 Waste Management, Inc. ...................... 1,025,280
--------------
16,467,570
--------------
INFORMATION TECHNOLOGY-17.09%
185,600 ADC Telecommunications, Inc.* ............... 410,176
76,400 Altera Corp. * .............................. 1,736,572
42,500 Autodesk, Inc. .............................. 2,241,875
119,700 Cadence Design Systems, Inc.* ............... 1,489,068
63,100 Celestica, Inc. * ........................... 913,688
57,800 Cisco Systems, Inc. * ....................... 1,110,338
46,600 Dell, Inc. * ................................ 1,633,796
104,100 EMC Corp. * ................................. 1,339,767
34,860 First Data Corp. ............................ 1,439,021
30,500 Hewlett-Packard Co. ......................... 569,130
30,000 KLA-Tencor Corp. * .......................... 1,365,900
86,300 Micron Technology, Inc. * ................... 1,051,134
127,100 Microsoft Corp. ............................. 3,557,529
32,500 Motorola, Inc. .............................. 560,950
20,400 Novellus Systems, Inc. * .................... 528,564
133,500 PeopleSoft, Inc. * .......................... 2,772,795
20,724 Skyworks Solutions, Inc. * .................. 184,236
24,828 VERITAS Software Corp. * .................... 543,237
--------------
23,447,776
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
41
- --------------------------------------------------------------------------
CAPITAL APPRECIATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
MATERIALS - 2.36%
40,900 Praxair, Inc. ............................... $ 1,725,980
35,600 Rohm and Haas Co. ........................... 1,509,084
--------------
3,235,064
--------------
TELECOMMUNICATION SERVICES - 2.77%
27,100 BellSouth Corp. ............................. 722,757
46,700 CenturyTel, Inc. ............................ 1,498,603
62,500 SBC Communications, Inc. .................... 1,578,750
--------------
3,800,110
--------------
UTILITIES - 1.65%
32,800 FPL Group, Inc. ............................. 2,259,920
--------------
TOTAL COMMON STOCKS
(COST $122,357,102) ......................... 133,687,873
INVESTMENT COMPANIES - 4.19%
- --------------------------------------------------------------------------
3,645,744 SSgA Prime Money Market Fund ................ 3,645,744
2,113,262 State Street Navigator Securities
Lending Prime Portfolio (I) ................. 2,113,262
--------------
5,759,006
--------------
TOTAL INVESTMENT COMPANIES
(Cost $5,759,006 ) .......................... 5,759,006
TOTAL INVESTMENTS - 101.62%
- --------------------------------------------------------------------------
(Cost $128,116,108** ) ................................... 139,446,879
NET OTHER ASSETS AND LIABILITIES - 1.62%
- --------------------------------------------------------------------------
(2,228,843)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 137,218,036
* Non-income producing.
** Aggregate cost for Federal tax purposes was $128,922,653.
(I) Represents collateral held in connection with securities lending.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
42
- --------------------------------------------------------------------------
MID-CAP FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.19%
- --------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 15.02%..............
19,600 Abercrombie & Fitch Co., Class A ............ $ 767,928
5,600 ADVO, Inc. .................................. 178,920
35,100 Belo Corp., Class A ......................... 816,075
6,400 Cato Corp., Class A ......................... 146,944
3,000 CEC Entertainment, Inc. * ................... 114,060
2,600 Courier Corp. ............................... 113,100
24,900 Darden Restaurants, Inc. .................... 610,050
25,600 Ethan Allen Interiors, Inc. ................. 975,104
4,700 Gildan Activewear, Inc., Class A * .......... 134,843
13,809 Hibbett Sporting Goods, Inc. * .............. 308,769
30,600 Interpublic Group of Companies, Inc. * ...... 375,156
12,600 Interstate Hotels & Resorts, Inc. * ......... 60,480
15,000 Jones Apparel Group, Inc. ................... 529,500
18,600 Linens 'N Things, Inc. * .................... 447,888
2,200 Meritage Corp. * ............................ 195,140
4,900 Modine Manufacturing Co. .................... 150,479
38,800 Newell Rubbermaid, Inc. ..................... 836,528
9,900 O'Reilly Automotive, Inc. * ................. 426,294
9,400 Outback Steakhouse, Inc. .................... 372,146
6,400 Shoe Carnival, Inc. * ....................... 76,608
3,200 Sonic Corp. * ............................... 87,136
10,300 Spartan Motors, Inc. ........................ 111,961
3,700 Stage Stores, Inc. * ........................ 133,237
25,900 Talbots, Inc. ............................... 683,501
8,300 WCI Communities, Inc. * ..................... 195,880
7,100 Yankee Candle Co., Inc. * ................... 196,670
--------------
9,044,397
--------------
CONSUMER STAPLES - 4.48%
9,600 Casey's General Stores, Inc. ................ 170,880
5,600 Clorox Co. .................................. 305,760
47,300 Hain Celestial Group, Inc. * ................ 765,314
5,300 John B. Sanfilippo & Son, Inc. * ............ 95,559
23,900 McCormick & Co., Inc. ....................... 846,777
10,000 NBTY, Inc. * ................................ 275,400
5,200 Universal Corp. ............................. 238,056
--------------
2,697,746
--------------
ENERGY - 8.43%
5,400 Amerada Hess Corp. .......................... 435,834
12,100 BJ Services Co. ............................. 617,100
5,300 Encore Aquisition Co. * ..................... 173,045
20,100 ENSCO International, Inc. ................... 614,055
15,500 Forest Oil Corp. * .......................... 472,750
13,200 Magnum Hunter Resources, Inc. * ............. 159,720
9,900 Marathon Oil Corp. .......................... 377,289
16,000 Pioneer Natural Resources Co. ............... 518,400
10,800 Plains Exploration and Production Co. * ..... 270,000
14,300 Smith International, Inc. * ................. 830,544
10,200 Valero Energy Corp. ......................... 438,294
7,900 Vintage Petroleum, Inc. ..................... 165,900
--------------
5,072,931
--------------
FINANCIALS - 23.64%
5,900 1st Source Corp. ............................ 159,949
8,400 Acadia Realty Trust, REIT.................... 129,360
6,900 American Capital Strategies, Ltd. ........... 213,555
14,760 Associated Banc-Corp. ....................... 512,024
14,500 Assured Guaranty, Ltd. ...................... 238,090
12,200 Bear Stearns Cos., Inc. ..................... 1,155,950
2,600 Century Bancorp, Inc., Class A .............. 81,588
21,700 Colonial BancGroup, Inc. .................... 469,805
8,500 Compass Bancshares, Inc. .................... 406,045
4,950 Delphi Financial Group, Inc., Class A ....... 202,307
2,600 Financial Federal Corp. * ................... 97,006
9,900 First Horizon National Corp. ................ 428,472
4,000 First Midwest Bancorp, Inc. ................. 139,640
15,600 FirstMerit Corp. ............................ 407,628
4,600 Getty Realty Corp., REIT..................... 129,352
21,700 Hibernia Corp., Class A ..................... 629,300
6,100 IPC Holdings, Ltd. .......................... 246,806
13,600 Jefferson-Pilot Corp. ....................... 656,744
5,300 Laurentian Bank Of Canada.................... 110,534
3,500 M&T Bank Corp. .............................. 360,500
3,900 Maguire Properties, Inc., REIT............... 101,985
17,300 Marshall & Ilsley Corp. ..................... 726,081
12,300 NewAlliance Bancshares, Inc. ................ 170,724
8,500 PartnerRe, Ltd. ............................. 494,275
8,800 Platinum Underwriters Holdings,
Ltd. (Bermuda)............................. 257,400
22,400 Principal Financial Group, Inc. ............. 845,824
11,500 Protective Life Corp. ....................... 451,950
7,500 PS Business Parks, Inc., REIT ............... 329,400
10,400 Radian Group, Inc. .......................... 498,472
5,000 RAIT Investment Trust, REIT.................. 133,550
8,000 Reinsurance Group of America, Inc. .......... 344,640
16,300 SAFECO Corp. ................................ 753,712
6,000 Scottish Re Group Ltd. ...................... 135,000
7,000 Sky Financial Group, Inc. ................... 188,160
8,100 SL Green Realty Corp., REIT.................. 444,042
12,600 TCF Financial Corp. ......................... 397,152
8,400 Torchmark Corp. ............................. 453,768
3,100 U-Store-It Trust, REIT * .................... 51,801
17,200 Universal American Financial Corp. * ........ 209,152
4,600 Ventas, Inc., REIT........................... 123,740
5,300 Zions Bancorporation......................... 350,701
--------------
14,236,184
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
43
- --------------------------------------------------------------------------
MID-CAP FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
HEALTH CARE - 5.33%
2,800 AMERIGROUP Corp. * .......................... $ 168,000
6,900 AmSurg Corp. * .............................. 161,391
16,900 Becton, Dickinson and Co. ................... 887,250
2,900 CorVel Corp. * .............................. 75,820
2,700 Diagnostic Products Corp. ................... 119,205
11,816 Fisher Scientific International, Inc. * ..... 677,766
12,500 IDEXX Laboratories, Inc. * .................. 623,000
11,500 Omnicare, Inc. .............................. 317,285
5,200 PolyMedica Corp. ............................ 182,000
--------------
3,211,717
--------------
INDUSTRIALS - 14.96%
5,900 Acuity Brands, Inc. ......................... 156,527
12,000 AirTran Holdings, Inc. * .................... 139,440
6,300 Albany International Corp., Class A.......... 189,126
9,800 Avery Dennison Corp. ........................ 596,232
3,400 Carlisle Cos., Inc. ......................... 197,642
16,200 CSX Corp. ................................... 591,300
4,700 Curtiss-Wright Corp., Class B ............... 245,575
9,000 Deswell Industries, Inc. (Hong Kong) ........ 180,450
11,625 Genesee & Wyoming, Inc., Class A * .......... 294,345
8,700 Ingersoll-Rand Co., Class A ................. 595,428
8,900 Kadant, Inc. * .............................. 160,645
18,500 Manpower, Inc. .............................. 837,125
19,000 Mueller Industries, Inc. .................... 506,540
10,800 Parker-Hannifin Corp. ....................... 762,804
8,400 Quixote Corp. ............................... 150,990
14,400 R. R. Donnelley & Sons Co. .................. 452,880
28,800 Republic Services, Inc., Class A ............ 887,040
3,400 Simpson Manufacturing Co., Inc. ............. 218,552
11,800 Teleflex, Inc. .............................. 516,722
10,700 United Stationers, Inc. * ................... 476,150
5,700 USF Corp. ................................... 204,288
9,500 W.W. Grainger, Inc. ......................... 556,605
9,000 Wolverine Tube, Inc. * ...................... 89,550
--------------
9,005,956
--------------
INFORMATION TECHNOLOGY - 8.99%
11,100 Affiliated Computer Services, Inc.,
Class A * ................................. 605,505
24,800 Andrew Corp. * .............................. 346,704
17,600 Arrow Electronics, Inc. * ................... 421,696
51,000 Atmel Corp. * ............................... 162,180
9,500 ATMI, Inc. * ................................ 221,825
10,500 Belden CDT, Inc. ............................ 233,415
3,400 Black Box Corp. ............................. 133,552
20,900 Convergys Corp. * ........................... 271,909
9,400 DuPont Photomasks, Inc. * ................... 246,468
8,100 Eletronics For Imaging, Inc. * .............. 146,124
4,500 Intergraph Corp. * .......................... 112,208
20,100 Intersil Corp., Class A ..................... 328,032
25,900 LSI Logic Corp. * ........................... 117,845
7,300 MAXIMUS, Inc. * ............................. 198,414
25,600 McDATA Corp., Class B * ..................... 153,600
7,200 Molex, Inc. ................................. 212,904
800 Nam Tai Electronics, Inc. ................... 16,536
18,300 PeopleSoft, Inc. * .......................... 380,091
10,200 Pericom Semiconductor Corp. * ............... 91,749
15,100 Reynolds and Reynolds Co., Class A .......... 371,611
15,400 SunGard Data Systems, Inc. * ................ 407,946
3,800 Technitrol, Inc. * .......................... 62,016
5,000 Varian Semiconductor Equipment
Associates, Inc. * ........................ 173,050
--------------
5,415,380
--------------
MATERIALS - 7.03%
2,600 Aber Diamond Corp. * ........................ 91,052
19,100 Air Products & Chemicals, Inc. .............. 1,015,738
4,000 AptarGroup, Inc. ............................ 187,680
11,000 Bowater, Inc. ............................... 405,240
2,550 Florida Rock Industries, Inc. ............... 131,708
21,500 Martin Marietta Materials, Inc. ............. 978,895
22,010 MeadWestvaco Corp. .......................... 693,975
8,300 Meridian Gold, Inc. * ....................... 140,270
7,000 PPG Industries, Inc. ........................ 446,250
6,400 Sensient Technologies Corp. ................. 139,008
--------------
4,229,816
--------------
TELECOMMUNICATION SERVICES - 0.91%
17,100 CenturyTel, Inc. ............................ 548,739
--------------
UTILITIES - 7.40%
30,800 Alliant Energy Corp. ........................ 812,504
14,000 Ameren Corp. ................................ 672,000
4,400 Black Hills Corp. ........................... 129,624
18,400 Constellation Energy Group, Inc. ............ 747,408
3,800 New Jersey Resources Corp. .................. 156,218
34,000 Pepco Holdings, Inc. ........................ 700,740
11,850 PNM Resources, Inc. ......................... 275,868
5,500 Weststar Energy, Inc. ....................... 115,225
5,200 WGL Holdings, Inc. .......................... 147,940
21,300 Wisconsin Energy Corp. ...................... 695,232
--------------
4,452,759
--------------
TOTAL COMMON STOCKS
(Cost $49,013,272) .......................... 57,915,625
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
44
- --------------------------------------------------------------------------
MID-CAP FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 0.26%
- --------------------------------------------------------------------------
INDUSTRIALS - 0.26%
$ 161,500 Mueller Industries, Inc. (N)
6.000%, due 11/01/14 ...................... $ 158,274
--------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $158,274) ......................... 158,274
Shares
- ------
INVESTMENT COMPANIES - 9.15%
- --------------------------------------------------------------------------
2,238,272 SSgA Prime Money Market Fund .............. 2,238,272
3,267,745 State Street Navigator Securities
Lending Prime Portfolio (I) ............. 3,267,745
--------------
5,506,017
--------------
TOTAL INVESTMENT COMPANIES
(Cost $5,506,017) ....................... 5,506,017
TOTAL INVESTMENTS - 105.60%
- --------------------------------------------------------------------------
(Cost $54,677,563**) ..................................... 63,579,916
NET OTHER ASSETS AND LIABILITIES - (5.60)%
- --------------------------------------------------------------------------
(3,372,856)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 60,207,060
* Non-income producing.
** Aggregate cost for Federal tax purposes was $54,675,928.
(I) Represents collateral held in connection with securities lending.
(N) Represents security received as part of a corporate action.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
45
- --------------------------------------------------------------------------
MULTI-CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 93.36%
- --------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 4.75%
2,170 A.C. Moore Arts & Crafts, Inc. * ............ $ 55,910
13,100 Accenture, Ltd., Class A * .................. 317,151
2,600 Corporate Executive Board Co. ............... 165,490
6,300 Education Management Corp. * ................ 168,966
2,100 Helen Of Troy, Ltd. * ....................... 55,755
3,110 Landry's Restaurants, Inc. .................. 84,219
15,420 Lions Gate Entertainment Corp. * ............ 151,270
9,000 Michaels Stores, Inc. ....................... 261,900
3,900 New York & Co., Inc. * ...................... 80,730
2,900 Pixar * ..................................... 233,218
26,270 Sirius Satellite Radio, Inc. * .............. 102,453
10,290 TiVo, Inc. * ................................ 69,200
2,700 Williams-Sonoma, Inc. * ..................... 103,059
--------------
1,849,321
--------------
CONSUMER SERVICES - 14.09%
25,440 Apollo Group, Inc., Class A * ............... 1,679,040
3,640 DiamondCluster International,
Inc., Class A * ........................... 44,353
2,700 Lennar Corp., Class A ....................... 121,446
8,370 MPS Group, Inc. * ........................... 88,136
13,425 Omnicom Group, Inc. ......................... 1,059,233
26,520 Research In Motion, Ltd. * .................. 2,339,064
23,160 Service Corp. International * ............... 153,088
--------------
5,484,360
--------------
CONSUMER STAPLES - 1.80%
14,010 Gillette Co. ................................ 581,135
5,740 Jackson Hewitt Tax Service, Inc. ............ 120,540
--------------
701,675
--------------
ENERGY - 2.86%
3,980 Arch Coal, Inc. ............................. 129,430
2,180 Cabot Oil & Gas Corp. ....................... 92,236
3,600 EOG Resources, Inc. ......................... 239,616
6,410 Petro-Canada ................................ 349,281
3,830 Whiting Petroleum Corp. * ................... 113,674
5,675 XTO Energy, Inc. ............................ 189,431
--------------
1,113,668
--------------
FINANCIALS - 9.09%
1,290 Affiliated Managers Group, Inc. * ........... 72,034
1,470 Arch Capital Group, Ltd. * .................. 55,228
16,635 Citigroup, Inc. ............................. 738,095
52,038 Countrywide Financial Corp. ................. 1,661,573
9,730 Freddie Mac ................................. 648,018
3,580 IndyMac Bancorp, Inc. ....................... 115,491
3,150 Legg Mason, Inc. ............................ 200,686
4,960 U.S.I. Holdings Corp. * ..................... 48,186
--------------
3,539,311
--------------
HEALTH CARE - 17.24%
9,090 Abbott Laboratories ......................... 387,507
4,330 Abgenix, Inc. * ............................. 39,446
29,570 AstraZeneca PLC, ADR ........................ 1,218,284
1,600 AtheroGenics, Inc. * ........................ 47,904
3,000 Cephalon, Inc. * ............................ 143,010
2,500 Elan Corp. PLC, ADR * ....................... 64,500
19,560 Eli Lilly & Co. ............................. 1,074,039
5,080 Forest Laboratories, Inc. * ................. 226,568
26,850 Guidant Corp. ............................... 1,788,747
3,980 Medicines Co. * ............................. 106,027
24,580 Medtronic, Inc. ............................. 1,256,284
21,300 Millennium Pharmaceuticals, Inc. * .......... 276,474
3,260 NPS Pharmaceuticals, Inc. * ................. 55,681
1,590 Symbion, Inc. * ............................. 24,709
--------------
6,709,180
--------------
INDUSTRIALS - 4.74%
7,840 Fleetwood Enterprises, Inc. * ............... 98,706
2,850 General Dynamics Corp. ...................... 291,042
19,430 General Electric Co. ........................ 662,951
11,350 GrafTech International, Ltd. * .............. 105,101
3,900 PACCAR, Inc. ................................ 270,309
2,600 Parker-Hannifin Corp. ....................... 183,638
6,600 Rockwell Collins, Inc. ...................... 234,102
--------------
1,845,849
--------------
INFORMATION TECHNOLOGY - 30.80%
4,610 Acxiom Corp. ................................ 115,250
15,700 Aeroflex, Inc. * ............................ 174,270
9,100 Amdocs, Ltd. * .............................. 228,865
24,070 Analog Devices, Inc. ........................ 969,058
3,500 CDW Corp. ................................... 217,105
40,530 Cisco Systems, Inc. * ....................... 778,581
41,870 Dell, Inc. * ................................ 1,467,962
14,000 eBay, Inc. * ................................ 1,366,540
33,110 First Data Corp. ............................ 1,366,781
22,240 MEMC Electronic Materials, Inc. * ........... 209,056
33,230 Microsoft Corp. ............................. 930,108
5,900 Monster Worldwide, Inc. * ................... 165,495
3,750 Navigant Consulting, Inc. * ................. 93,263
5,420 NAVTEQ Corp. * .............................. 218,480
13,300 Network Appliance, Inc. * ................... 325,451
1,750 Plantronics, Inc. ........................... 76,125
6,040 Polycom, Inc. * ............................. 124,726
7,180 Sapient Corp. * ............................. 57,799
3,500 Symantec Corp. * ............................ 199,290
4,200 VeriSign, Inc. * ............................ 112,686
23,550 Xilinx, Inc. ................................ 720,630
57,180 Yahoo!, Inc. * .............................. 2,069,344
--------------
11,986,865
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
46
- --------------------------------------------------------------------------
MULTI-CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
TECHNOLOGY - 4.32%
6,400 Cognizant Technology Solutions Corp. * ...... $ 217,600
28,900 Electronic Arts, Inc. * ..................... 1,298,188
2,560 Take-Two Interactive Software, Inc.* ........ 84,378
4,280 THQ, Inc. * ................................. 80,892
--------------
1,681,058
--------------
TELECOMMUNICATIONS - 2.79%
30,070 American Tower Corp., Class A * ............. 516,904
20,620 Crown Castle International Corp. * .......... 315,692
9,600 Nextel Communications,
Inc., Class A * ........................... 254,304
--------------
1,086,900
--------------
TRANSPORTATION - 0.88%
2,040 Arkansas Best Corp. ......................... 79,743
8,060 Sirva, Inc. * ............................... 193,440
1,440 Yellow Roadway Corp. * ...................... 69,106
--------------
342,289
--------------
TOTAL COMMON STOCKS
(Cost $31,229,633) .......................... 36,340,476
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 3.70%
- --------------------------------------------------------------------------
$1,440,381 State Street Eurodollar ..................... 1,440,381
--------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $1,440,381) ........................... 1,440,381
Shares
- ------
INVESTMENT COMPANIES - 6.83%
- --------------------------------------------------------------------------
1,753,798 SSgA Prime Money Market Fund ................ 1,753,798
905,553 State Street Navigator Securities
Lending Prime Portfolio (I) ............... 905,553
--------------
2,659,351
--------------
TOTAL INVESTMENT COMPANIES
(Cost $2,659,351 ) ........................ 2,659,351
TOTAL INVESTMENTS - 103.89%
- --------------------------------------------------------------------------
(Cost $35,329,365**) ................................... 40,440,208
NET OTHER ASSETS AND LIABILITIES - (3.89)%
- --------------------------------------------------------------------------
(1,513,150)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 38,927,058
* Non-income producing.
** Aggregate cost for Federal tax purposes was $35,384,307.
(I) Represents collateral held in connection with securities lending.
ADR American Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
47
- --------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.70%
- --------------------------------------------------------------------------
ARGENTINA - 0.07%
844 Tenaris S.A., ADR ........................... $ 37,786
--------------
AUSTRALIA - 0.97%
14,121 A.B.C. Learning Centres, Ltd. ............... 50,622
28,500 James Hardie Industries N.V. ................ 134,097
38,252 John Fairfax Holdings, Ltd. ................. 122,559
69,262 Macquarie Infrastructure Group .............. 191,912
--------------
499,190
--------------
AUSTRIA - 0.35%
4,000 Erste Bank der Oesterreichischen
Sparkassen AG ............................... 177,911
--------------
BELGIUM - 0.00%
499 Solvus S.A. Strip VVPR (L) * ................ 6
--------------
BRAZIL - 2.64%
2,900 Brasil de Distribuicao Pao
de Acucar, ADR ............................ 69,020
2,000 Brasil Telecom
Participacoes S.A., ADR ................... 61,320
5,100 Companhia de Bebidas
das Americas, ADR ......................... 126,480
12,100 Companhia de Concessoes
Rodoviarias ............................... 174,281
15,300 Companhia Vale do Rio Doce, ADR * ........... 323,748
35,200 Copel, ADR .................................. 126,016
3,800 Embraer Aircraft Corp., ADR ................. 100,852
3,300 Grendene SA * ............................... 35,851
5,800 Petroleo Brasileiro, S.A., ADR .............. 205,958
12,100 Souza Cruz S.A. ............................. 136,498
--------------
1,360,024
--------------
CHILE - 0.30%
6,300 AFP Provida S.A., ADR ....................... 155,673
--------------
CHINA - 0.69%
9,920 China Mobile HK, Ltd., ADR .................. 144,336
2,260 CNOOC, Ltd., ADR ............................ 117,068
132,000 People's Food Holdings, Ltd. ................ 92,033
--------------
353,437
--------------
CROATIA - 0.29%
9,600 Pliva d.d., GDR (C) ......................... 147,397
--------------
CZECH REPUBLIC - 0.17%
6,800 Cesky Telecom A.S. .......................... 89,167
--------------
EGYPT - 0.91%
27,305 Commercial International
Bank of Egypt, GDR (C) .................... 131,883
17,200 Commercial International
Bank of Egypt ............................. 95,884
14,600 Orascom Construction Industries.............. 169,083
2,000 Orascom Telecom Holding S.A.E. * ............ 69,342
--------------
466,192
--------------
FINLAND - 3.57%
4,400 Amer Group, Ltd. ............................ 211,464
62,500 Nokia Oyj ................................... 963,270
9,000 Sampo Oyj ................................... 107,160
25,300 Stora Enso Oyj .............................. 360,905
3,100 TietoEnator Oyj ............................. 86,941
4,400 Vaisala Oyj ................................. 107,134
--------------
1,836,874
--------------
FRANCE - 6.68%
3,800 Carbone Lorraine S.A. * ..................... 162,331
9,900 Carrefour S.A. .............................. 433,262
22,627 Credit Agricole S.A. ........................ 662,567
4,400 Euronext N.V. ............................... 127,327
4,300 Lagardere S.C.A. ............................ 276,823
4,300 Neopost S.A. ................................ 298,201
9,145 Sanofi-Aventis .............................. 668,006
3,900 Total S.A., Series B ........................ 810,390
--------------
3,438,907
--------------
GERMANY - 7.41%
7,800 BASF AG ..................................... 486,234
38,000 Deutsche Telekom AG * ....................... 727,605
7,400 E. On AG .................................... 601,670
2,000 Fielmann AG ................................. 125,287
10,300 MG Technologies AG * ........................ 121,851
920 PUMA AG ..................................... 230,224
5,500 Schering AG ................................. 353,304
6,200 Siemens AG .................................. 461,184
4,511 Techem AG * ................................. 144,398
12,700 Volkswagen AG ............................... 563,734
--------------
3,815,491
--------------
GREECE - 0.34%
8,590 OPAP S.A. ................................... 174,770
--------------
HONG KONG - 1.37%
49,100 Esprit Asia Holdings, Ltd. .................. 262,422
116,000 Hutchison Telecommunications
International, Ltd. * ..................... 79,733
281,000 Pacific Basin Shipping, Ltd. * .............. 131,772
254,000 Texwinca Holdings, Ltd. ..................... 230,064
--------------
703,991
--------------
HUNGARY - 0.50%
1,280 Gedeon Richter Rt. .......................... 150,652
1,900 MOL Magyar Olaj-es Gazipari Rt. ............. 106,221
--------------
256,873
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
48
- --------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
INDIA - 1.76%
7,200 Hero Honda Motors, Ltd. ..................... $ 67,258
5,650 Hindalco Industries, Ltd. ................... 147,995
34,800 Hindustan Lever, Ltd. ....................... 95,754
17,600 Reliance Industries, Ltd. ................... 205,534
22,200 Satyam Computer Services, Ltd. .............. 183,228
20,800 State Bank of India, Ltd. ................... 205,315
--------------
905,084
--------------
INDONESIA - 0.95%
419,500 HM Sampoerna Tbk PT ......................... 276,609
11,200 Telekomunikasi Indonesia
Tbk PT, ADR ............................... 213,584
--------------
490,193
--------------
IRELAND - 3.00%
14,316 Allied Irish Banks PLC ...................... 278,781
11,265 Anglo Irish Bank Corp. PLC .................. 213,973
31,900 Bank of Ireland ............................. 437,161
12,587 CRH PLC ..................................... 300,058
10,100 DCC PLC ..................................... 204,567
12,200 Grafton Group PLC * ......................... 110,890
--------------
1,545,430
--------------
ISRAEL - 0.22%
42,000 Bank Hapoalim, Ltd. ......................... 114,047
--------------
ITALY - 2.47%
2,500 Davide Campari-Milano SpA ................... 141,662
33,000 Enel SpA .................................... 298,265
29,600 Eni SpA ..................................... 671,667
64,600 Terna SpA ................................... 157,292
--------------
1,268,886
--------------
JAPAN - 12.54%
3,700 ACOM Co., Ltd. .............................. 232,079
1,300 Aiful Corp. ................................. 129,730
4,200 Credit Saison Co., Ltd. ..................... 134,295
5,000 Daito Trust Construction Co., Ltd. .......... 211,281
48 East Japan Railway Co. ...................... 252,179
7,400 Fanuc, Ltd. ................................. 446,708
9,000 Hisamitsu Pharmaceutical Co., Inc. .......... 165,450
7,000 JSR Corp. ................................... 127,297
9,700 Leopalace21 Corp. ........................... 177,129
34,000 Mitsubishi Estate Co., Ltd. ................. 358,857
4,600 NEC Electronics Corp. ....................... 224,750
50,900 Nissan Motor Co., Ltd. ...................... 573,717
43,000 Nomura Holdings, Inc. ....................... 527,259
193 NTT DoCoMo, Inc. ............................ 340,417
3,900 Rinnai Corp. ................................ 106,126
19,000 Sanyo Shokai, Ltd. .......................... 110,753
3,000 Secom Techno Service Co., Ltd. .............. 106,112
3,000 Sega Sammy Holdings, Inc. * ................. 139,219
11,400 Shin-Etsu Chemical Co., Ltd. ................ 433,333
44,000 Sumitomo Trust & Banking Co., Ltd. .......... 256,480
23,000 Suruga Bank, Ltd. ........................... 176,806
5,600 Takeda Pharmaceutical Co., Ltd. ............. 270,440
115,000 Tokyo Gas Co., Ltd. ......................... 428,457
9,000 Uniden Corp. ................................ 194,822
2,100 USS Co., Ltd. ............................... 169,751
2,800 Yamada Denki Co., Ltd. ...................... 99,302
40 Yoshinoya D&C Co., Ltd. ..................... 63,384
--------------
6,456,133
--------------
MEXICO - 1.61%
46,800 America Telecom, S.A.
de C.V., Series A * ....................... 113,573
2,170 Fomento Economico Mexicano S.A.
de C.V., ADR .............................. 95,697
2,500 Grupo Televisa, S.A. de C.V., ADR ........... 137,500
26,900 Kimberly-Clark de Mexico, S.A.
de C.V., Class A .......................... 80,527
8,600 Telefonos de Mexico S.A.
de C.V., ADR .............................. 294,464
28,200 Urbi Desarrollos Urbanos S.A.
de C.V. * ................................. 105,096
--------------
826,857
--------------
NETHERLANDS - 5.73%
4,440 Boskalis Westminster N.V. ................... 119,428
1,100 Efes Breweries International
N.V., GDR (C)(L) * ........................ 25,575
2,848 Fugro N.V. .................................. 221,105
8,221 Heineken N.V. ............................... 258,230
6,073 Hunter Douglas N.V. ......................... 287,223
1,482 IHC Caland N.V. ............................. 84,809
4,900 Imtech N.V. ................................. 131,677
21,663 Philips Electronics N.V. .................... 512,277
19,600 Royal Dutch Petroleum Co. ................... 1,064,157
5,300 Telegraaf Holdings MIJ N.V. ................. 120,602
6,078 United Services Group N.V. .................. 124,901
--------------
2,949,984
--------------
NORWAY - 1.49%
35,900 Den Norske Bank ASA ......................... 303,238
6,300 Ekornes ASA ................................. 143,137
22,200 Statoil ASA ................................. 320,343
--------------
766,718
--------------
PERU - 0.20%
7,000 Credicorp, Ltd. ............................. 100,800
--------------
PHILIPPINES - 0.19%
4,000 Philippine Long Distance
Telephone Co., ADR * ...................... 100,400
--------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
49
- --------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
RUSSIA - 0.37%
955 LUKOIL, ADR ................................. $ 118,840
4,900 Wimm-Bill-Dann Foods OJSC, ADR * ............ 72,324
--------------
191,164
--------------
SINGAPORE - 0.69%
43,000 Overseas Chinese Banking
Corp., Ltd. ............................... 356,664
--------------
SOUTH AFRICA - 2.92%
4,300 Edgars Consolidated Stores, Ltd. ............ 149,931
3,800 Harmony Gold Mining Co., Ltd., ADR .......... 44,840
2,850 Impala Platinum Holdings, Ltd. .............. 229,022
24,300 Kumba Resources, Ltd. ....................... 168,269
97,900 Old Mutual PLC .............................. 206,997
59,100 Sanlam, Ltd. ................................ 103,804
14,900 Sappi, Ltd. ................................. 213,637
9,500 Sasol, Ltd. ................................. 188,065
115,596 Steinhoff International
Holdings, Ltd. ............................ 200,963
--------------
1,505,528
--------------
SOUTH KOREA - 4.89%
5,700 Daewoo Shipbuilding & Marine
Engineering Co., Ltd., GDR (C) ............ 156,750
1,150 Hite Brewery Co., Ltd. ...................... 83,543
2,700 Hyundai Motor Co. ........................... 130,843
9,686 Kookmin Bank * .............................. 323,299
10,540 KT Corp., ADR ............................... 194,569
400 KT Corp. .................................... 12,994
3,200 LG Chem, Ltd. ............................... 119,661
1,500 LG Electronics, Inc. ........................ 84,605
4,400 LG Household & Health Care, Ltd. ............ 113,092
7,400 LG.Philips LCD Co., Ltd., ADR * ............. 100,270
740 POSCO ....................................... 110,620
2,400 POSCO, ADR .................................. 89,736
2,619 Samsung Electronics Co.,
Ltd., GDR (C) ............................. 513,324
2,074 Samsung Fire & Marine
Insurance Co., Ltd. ....................... 123,274
1,120 Samsung SDI Co., Ltd. ....................... 100,955
870 SK Telecom Co., Ltd. ........................ 136,265
6,139 SK Telecom Co., Ltd., ADR ................... 121,123
--------------
2,514,923
--------------
SPAIN - 2.07%
13,400 Abengoa, S.A. ............................... 124,359
4,200 Aldeasa, S.A. ............................... 139,208
8,700 Altadis, S.A. ............................... 319,081
9,100 Corporacion Mapfre S.A. ..................... 114,847
13,200 Indra Sistemas, S.A. ........................ 195,534
10,100 Prosegur, CIA de Seguridad S.A. ............. 173,819
--------------
1,066,848
--------------
SWEDEN - 1.41%
9,200 Alfa Laval AB ............................... 128,957
11,260 Elekta AB * ................................. 299,801
10,300 Getinge AB .................................. 114,993
16,400 Swedish Match AB ............................ 180,785
--------------
724,536
--------------
SWITZERLAND - 3.07%
9,700 Compagnie Financiere
Richemont AG, Class A ..................... 274,773
18,170 Credit Suisse Group * ....................... 620,827
320 Edipresse S.A. .............................. 157,530
100 Geberit AG .................................. 65,081
7,500 Swiss Reinsurance Co. ....................... 459,950
--------------
1,578,161
--------------
TAIWAN - 1.74%
64,624 Advantech Co., Ltd. ......................... 138,321
98,122 Chinatrust Financial Holding
Co., Ltd. ................................. 111,913
11,093 Compal Electronics, Inc., GDR ............... 50,142
35,738 Compal Electronics, Inc. .................... 32,095
139,000 Fubon Group Co., Ltd. ....................... 131,073
51,197 Hon Hai Precision Industry Co., Ltd. ........ 188,511
186,000 Taiwan Semiconductor
Manufacturing Co., Ltd. ................... 243,880
--------------
895,935
--------------
THAILAND - 0.19%
62,300 Delta Electronics (Thailand) Public
Co., Ltd. ................................. 25,503
114,100 Thai Union Frozen Products Public
Co., Ltd. - Foreign ....................... 74,371
--------------
99,874
--------------
TURKEY - 0.26%
29,250,125 Akbank T.A.S. ............................... 131,918
--------------
UNITED KINGDOM - 20.35%
62,500 Barclays PLC ................................ 610,004
44,800 BP PLC ...................................... 433,553
76,800 BRiT Insurance Holdings PLC ................. 100,389
13,100 Bunzl PLC ................................... 99,197
33,300 Cadbury Schweppes PLC ....................... 276,442
9,400 Carpetright PLC ............................. 187,973
21,900 Cattles PLC ................................. 143,033
191,500 Cookson Group PLC * ......................... 112,424
44,700 Diageo PLC .................................. 597,418
11,300 Emap PLC .................................... 162,946
11,300 Enterprise Inns PLC ......................... 128,325
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
50
- --------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
46,000 GlaxoSmithKline PLC ......................... $ 967,972
22,300 Halfords Group PLC * ........................ 116,598
62,030 HSBC Holdings PLC ........................... 1,000,873
15,300 Imperial Tobacco Group PLC .................. 357,043
17,300 Intertek Group PLC .......................... 218,361
47,960 Kesa Electricals PLC ........................ 239,326
55,200 Kidde PLC ................................... 170,133
7,273 Man Group PLC ............................... 174,394
12,783 Marks and Spencer Group PLC ................. 84,192
17,700 Northgate PLC ............................... 242,244
51,600 Prudential PLC .............................. 379,135
96,831 Regus Group PLC * ........................... 139,452
103,400 Rentokil Initial PLC ........................ 294,031
9,800 Rio Tinto PLC ............................... 256,022
26,900 Royal Bank of Scotland Group PLC ............ 792,079
10,500 Signet Group PLC, ADR ....................... 202,755
10,100 Smiths Group PLC ............................ 138,137
14,100 Trinity Mirror PLC .......................... 166,848
33,000 Unilever PLC ................................ 277,887
439,900 Vodafone Group PLC .......................... 1,125,821
18,200 William Hill PLC ............................ 163,276
18,400 Wimpey George PLC ........................... 118,148
--------------
10,476,431
--------------
VENEZUELA - 0.32%
7,234 Compania Anonima Nacional Telefonos
de Venezuela, ADR ......................... 166,382
--------------
TOTAL COMMON STOCKS
(Cost $38,288,756) ........................ 48,746,585
PREFERRED STOCKS - 1.42%
- --------------------------------------------------------------------------
BRAZIL - 1.15%
454,100 Caemi Mineracao e
Metalurgica S.A. * ........................ 272,126
8,000 Telemar Norte Leste S.A. .................... 147,244
11,400 Usinas Siderurgicas de Minas
Gerais S.A. ............................... 171,909
--------------
591,279
--------------
GERMANY - 0.27%
220 Porsche AG .................................. 139,936
--------------
TOTAL PREFERRED STOCKS
(Cost $414,877) ............................. 731,215
WARRANTS AND RIGHTS - 0.03%
- --------------------------------------------------------------------------
JAPAN - 0.00%
240 Belluna Co., Ltd. (L) * ..................... 0
--------------
UNITED KINGDOM - 0.03%
8,600 Prudential PLC * ............................ 14,515
--------------
TOTAL WARRANTS AND RIGHTS
(Cost $227) ................................. 14,515
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 3.03%
- --------------------------------------------------------------------------
$1,557,012 State Street Eurodollar
0.800%, due 11/01/04 ..................... 1,557,012
--------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $1,557,012) ......................... 1,557,012
TOTAL INVESTMENTS - 99.18%
- --------------------------------------------------------------------------
(Cost $40,260,872**) ...................... 51,049,327
NET OTHER ASSETS AND LIABILITIES - 0.82%
- --------------------------------------------------------------------------
424,473
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------
$ 51,473,800
* Non-income producing.
** Aggregate cost for Federal tax purposes was $40,433,590.
(C) Security sold within the terms of a private placement memorandum exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other 'qualified
institutional investors. 'The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(L) Security valued at fair value using methods determined in good faith by
and under the general supervision of the Board of Trustees (see note 2).
ADR American Depository Receipt.
GDR German Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
51
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
OTHER INFORMATION:
INDUSTRY CONCENTRATION AS A
PERCENTAGE OF NET ASSETS
% OF NET ASSETS
---------------
Banks .................................... 13.8%
Oil & Gas ................................ 8.8%
Telecommunications........................ 6.7%
Drugs & Health Care....................... 6.1%
Communication Services ................... 5.3%
Food & Beverages ......................... 4.1%
Retail ................................... 4.1%
Financial Services ....................... 3.9%
Net Other Assets less Liabilities......... 3.8%
Mining.................................... 3.5%
Insurance................................. 3.1%
Automobiles............................... 2.9%
Electronics............................... 2.5%
Tobacco .................................. 2.5%
Chemicals ................................ 2.4%
Household Appliances & Home Furnishings .. 2.4%
Electric Utilities........................ 2.3%
Business Services......................... 2.0%
Computers & Business Equipment............ 1.9%
Manufacturing............................. 1.9%
Construction & Mining Equipment........... 1.5%
Real Estate............................... 1.5%
Industrial Machinery ..................... 1.3%
Apparel & Textiles ....................... 1.2%
Conglomerates............................. 1.1%
Leisure Time ............................. 1.1%
Railroads & Equipment .................... 1.0%
Building Construction..................... 0.9%
Publishing................................ 0.9%
Computer Software/Services................ 0.7%
Forest Products .......................... 0.7%
Paper .................................... 0.6%
Turnpikes & Toll Roads ................... 0.4%
Commercial/Consumer Services.............. 0.3%
Electrical Equipment ..................... 0.3%
Hotels & Restaurants...................... 0.3%
Shipbuilding ............................. 0.3%
Toys & Amusements ........................ 0.3%
Transportation............................ 0.3%
Aerospace................................. 0.2%
Auto Parts ............................... 0.3%
Construction Materials ................... 0.2%
Cosmetics & Toiletries.................... 0.2%
Household Products ....................... 0.2%
Retail-Specialty ......................... 0.2%
School ................................... 0.1%
Diversified .............................. 0.0%*
-----
100.0%
-----
* Rounds to 0.0%.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
52
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This page is left blank intentionally.
- --------------------------------------------------------------------------------
53
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2004
- --------------------------------------------------------------------------------
CASH RESERVES BOND HIGH INCOME
FUND FUND FUND
=============================================================================================================
ASSETS:
Investments:
Investments at cost $ 20,376,453 $ 137,209,108 $ 78,871,586
Net unrealized appreciation -- 2,972,814 3,167,228
-------------------------------------------------
Total investments at value 20,376,453 140,181,922 82,038,814
Cash -- -- 110
Foreign currency (Cost $286,449) -- -- --
Receivables:
Investments sold -- -- 312,475
Fund shares sold 6,280 63,113 74,381
Dividends and interest 16,340 1,189,254 1,365,711
Unrealized appreciation on forward foreign
currency exchange contracts -- -- 1,984
Prepaid insurance and registration fees 658 4,302 2,016
Other assets 16,106 14,284 20,347
-------------------------------------------------
Total Assets 20,415,837 141,452,875 83,815,838
-------------------------------------------------
LIABILITIES:
Payable to custodian-foreign currency (Cost $41,913) -- -- 1,982
Unrealized depreciation on forward foreign currency
contracts -- -- 47,848
Payables:
Investments purchased -- 1,360,169 603,863
Fund shares repurchased 44,832 176,764 64,829
Due to Advisor, net 5,577 46,707 30,914
Upon return of securities loaned -- 24,582,491 15,403,431
Administration and transfer agent fees 4,440 23,111 7,076
Distribution fees - Class B 5,393 35,048 14,760
Shareholder servicing fees -- 24,311 14,108
Accrued expenses and other payables 7,573 34,783 141,217
-------------------------------------------------
Total Liabilities 67,815 26,283,384 16,330,028
-------------------------------------------------
NET ASSETS $ 20,348,022 $ 115,169,491 $ 67,485,810
=================================================
NET ASSETS CONSIST OF:
Paid-in capital $ 20,345,884 $ 113,111,475 $ 69,857,908
Accumulated undistributed
net investment income (loss) 2,138 37,296 37,025
Accumulated net realized gain (loss) on investments
sold and foreign currency related transactions -- (952,094) (5,532,005)
Net unrealized appreciation of investments
(including appreciation (depreciation) of foreign
currency related transactions) -- 2,972,814 3,122,882
-------------------------------------------------
NET ASSETS $ 20,348,022 $ 115,169,491 $ 67,485,810
=================================================
CLASS A SHARES:
Net Assets $ 11,916,444 $ 59,900,136 $ 44,136,471
Shares of beneficial interest outstanding 11,937,617 5,891,691 5,839,125
NET ASSET VALUE and redemption price per share(2) $ 1.00 $ 10.17 $ 7.56
Sales charge of offering price(1) 0.06 0.51 0.38
-------------------------------------------------
Maximum offering price per share $ 1.06 $ 10.68 $ 7.94
=================================================
CLASS B SHARES:
Net Assets $ 8,431,578 $ 55,269,355 $ 23,349,339
Shares of beneficial interest outstanding 8,446,046 5,434,717 3,079,340
NET ASSET VALUE offering and redemption price
per share(2) $ 1.00 $ 10.17 $ 7.58
=================================================
(1) Sales charge of offering price is 5.75% for the Cash Reserves, Balanced,
Growth and Income, Capital Appreciation, Mid-Cap, Multi-Cap Growth, and
International Stock Funds; and 4.75% for the Bond and High Income Funds.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
54
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BALANCED GROWTH AND CAPITAL APP. MID-CAP MULTI-CAP INTERNATIONAL
FUND INCOME FUND FUND FUND GROWTH FUND STOCK FUND
=================================================================================================================
$ 208,657,013 $ 159,636,526 $ 128,116,108 $ 54,677,563 $ 35,329,365 $ 40,260,872
12,147,467 9,755,534 11,330,771 8,902,353 5,110,843 10,788,455
- -----------------------------------------------------------------------------------------------------------------
220,804,480 169,392,060 139,446,879 63,579,916 40,440,208 51,049,327
-- -- -- -- -- --
-- -- -- -- -- 289,410
49,307 34,805 52,208 128,997 445,337 213,267
57,313 36,052 18,576 7,250 55,834 23,501
895,150 277,972 159,458 191,288 14,664 110,629
-- -- -- -- -- --
6,443 5,261 4,340 1,836 1,145 1,498
15,634 16,085 16,101 7,692 8,183 16,960
- -----------------------------------------------------------------------------------------------------------------
221,828,327 169,762,235 139,697,562 63,916,979 40,965,371 51,704,592
- -----------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
885,433 -- -- 215,901 1,046,552 143,591
365,600 204,496 146,980 133,034 33,225 10,920
111,961 75,942 83,938 46,848 19,113 36,625
15,610,165 -- 2,113,262 3,267,745 905,553 --
32,259 36,027 43,527 12,189 10,532 8,696
67,033 53,008 40,355 12,652 8,178 4,744
46,597 35,605 28,853 12,628 8,034 10,722
25,015 19,966 22,611 8,922 7,126 15,494
- -----------------------------------------------------------------------------------------------------------------
17,144,063 425,044 2,479,526 3,709,919 2,038,313 230,792
- -----------------------------------------------------------------------------------------------------------------
$ 204,684,264 $ 169,337,191 $ 137,218,036 $ 60,207,060 $ 38,927,058 $ 51,473,800
=================================================================================================================
$ 205,165,811 $ 184,806,759 $ 156,145,776 $ 51,053,929 $ 55,289,344 $ 48,960,189
(3,578) 1,065,998 -- 265,422 -- 259,120
(12,625,436) (26,291,100) (30,258,511) (14,688) (21,473,135) (8,540,068)
12,147,467 9,755,534 11,330,771 8,902,397 5,110,849 10,794,559
- -----------------------------------------------------------------------------------------------------------------
$ 204,684,264 $ 169,337,191 $ 137,218,036 $ 60,207,060 $ 38,927,058 $ 51,473,800
=================================================================================================================
$ 98,899,928 $ 85,855,254 $ 73,673,677 $ 40,102,672 $ 25,897,517 $ 43,915,120
8,377,358 7,043,518 5,723,610 3,223,123 5,359,338 4,158,860
$ 11.81 $ 12.19 $ 12.87 $ 12.44 $ 4.83 $ 10.56
0.72 0.74 0.79 0.76 0.29 0.64
- -----------------------------------------------------------------------------------------------------------------
$ 12.53 $ 12.93 $ 13.66 $ 13.20 $ 5.12 $ 11.20
=================================================================================================================
$ 105,784,336 $ 83,481,937 $ 63,544,359 $ 20,104,388 $ 13,029,541 $ 7,558,680
8,952,398 6,969,175 5,178,645 1,663,215 2,792,239 725,999
$ 11.82 $ 11.98 $ 12.27 $ 12.09 $ 4.67 $ 10.41
=================================================================================================================
(2) Redemption price per share is equal to the Net Asset Value per share less
any applicable contingent deferred sales charge and/or redemption fee.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
55
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2004
- --------------------------------------------------------------------------------
CASH RESERVES BOND HIGH INCOME
FUND FUND FUND
===========================================================================================================
INVESTMENT INCOME:
Interest $ 266,292 $ 6,258,397 $ 5,116,765
Dividends -- -- 21,709
Less: Foreign taxes withheld -- -- (989)
Securities lending income -- 32,066 28,370
-----------------------------------------------
Total investment income 266,292 6,290,463 5,165,855
-----------------------------------------------
EXPENSES:
Management fees 87,223 681,740 338,945
Administration and transfer agent fees 36,787 230,591 114,634
Registration expenses 20,567 24,836 21,034
Custodian and accounting fees 14,169 39,354 57,060
Professional fees 6,483 14,750 11,559
Reports to shareholder expense 5,977 10,965 5,277
Trustees' fees 2,424 14,621 6,331
Distribution fees - Class B 72,371 443,220 173,429
Shareholder servicing fees - Class A -- 193,130 96,259
Shareholder servicing fees - Class B -- 147,740 57,810
Other expenses 5,204 19,768 4,871
-----------------------------------------------
Total expenses before reimbursement/waiver 251,205 1,820,715 887,209
Less reimbursement/waiver (73,043) (150,645) (97,662)
-----------------------------------------------
Total expenses net of reimbursement/waiver 178,162 1,670,070 789,547
-----------------------------------------------
NET INVESTMENT INCOME (LOSS) 88,130 4,620,393 4,376,308
-----------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on investments (including
net realized gain (loss) on foreign currency
related transactions) 908 (289,786) 245,439
Net change in unrealized appreciation (depreciation)
on investments (including net unrealized
appreciation (depreciation) on foreign currency
related transactions) -- 949,728 1,500,379
-----------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 908 659,942 1,745,818
-----------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 89,038 $ 5,280,335 $ 6,122,126
===============================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
56
BALANCED GROWTH AND CAPITAL APP. MID-CAP MULTI-CAP INTERNATIONAL
FUND INCOME FUND FUND FUND GROWTH FUND STOCK FUND
====================================================================================================
$ 3,689,125 $ 84,664 $ 62,730 $ 22,433 $ 13,845 $ 9,769
2,239,263 3,650,603 1,751,363 1,181,803 172,458 1,212,840
(12,156) (17,730) -- (289) (2,295) (131,691)
18,782 1,367 1,775 5,647 1,500 --
- ----------------------------------------------------------------------------------------------------
5,935,014 3,718,904 1,815,868 1,209,594 185,508 1,090,918
- ----------------------------------------------------------------------------------------------------
1,290,552 900,945 1,062,750 530,143 250,749 484,408
373,708 407,900 412,463 147,916 133,505 86,548
20,411 25,182 14,998 20,883 20,632 19,560
51,168 41,078 37,167 29,102 35,016 122,599
18,473 16,752 13,692 10,620 7,800 11,224
17,246 15,521 14,570 5,458 4,064 4,111
20,263 16,590 14,584 5,683 3,198 4,546
793,824 632,501 487,429 142,161 91,044 51,732
231,758 198,686 191,774 92,125 53,235 98,092
264,608 210,834 162,476 47,387 30,348 17,244
27,067 23,586 26,514 7,599 3,021 4,567
- ----------------------------------------------------------------------------------------------------
3,109,078 2,489,575 2,438,417 1,039,077 632,612 904,631
(131,637) (220,402) (250,709) (115,700) (140,426) (114,012)
- ----------------------------------------------------------------------------------------------------
2,977,441 2,269,173 2,187,708 923,377 492,186 790,619
- ----------------------------------------------------------------------------------------------------
2,957,573 1,449,731 (371,840) 286,217 (306,678) 300,299
- ----------------------------------------------------------------------------------------------------
(150,478) 271,099 3,583,773 2,589,342 957,765 3,720,000
10,811,839 14,930,904 7,521,371 2,989,970 1,550,481 3,942,753
- ----------------------------------------------------------------------------------------------------
10,661,361 15,202,003 11,105,144 5,579,312 2,508,246 7,662,753
- ----------------------------------------------------------------------------------------------------
$ 13,618,934 $ 16,651,734 $ 10,733,304 $ 5,865,529 $ 2,201,568 $ 7,963,052
====================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
57
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES FUND BOND FUND
------------------------------- --------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2004 2003
========================================================================================================================
NET ASSETS at beginning of period $ 26,306,927 $ 34,123,598 $ 142,693,847 $ 123,586,409
-------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 88,130 131,509 4,620,393 4,788,871
Net realized gain (loss) 908 1,584 (289,786) 356,246
Net change in unrealized appreciation
(depreciation) -- -- 949,728 (1,197,091)
-------------------------------------------------------------------
Net increase in net assets from operations 89,038 133,093 5,280,335 3,948,026
-------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (82,767) (119,661) (3,000,397) (2,879,857)
Class B (6,271) (13,432) (1,851,451) (2,109,246)
-------------------------------------------------------------------
TOTAL DISTRIBUTIONS (89,038) (133,093) (4,851,848) (4,989,103)
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 5,818,594 6,650,455 19,152,211 34,514,506
Issued to shareholders in reinvestment
of distributions 80,983 116,802 2,301,902 2,334,521
Shares redeemed (8,219,510) (9,018,299) (39,928,294) (21,156,808)
Redemption Fees -- -- 954 --
-------------------------------------------------------------------
Net increase (decrease) from capital
share transactions (2,319,933) (2,251,042) (18,473,227) 15,692,219
--------------------------------------------------------------------
CLASS B SHARES
Shares sold 2,883,164 5,361,829 4,574,795 19,242,363
Issued to shareholders in reinvestment
of distributions 5,850 11,975 1,700,162 1,943,030
Shares redeemed (6,527,986) (10,939,433) (15,754,573) (16,729,097)
-------------------------------------------------------------------
Net increase (decrease) from capital
share transactions (3,638,972) (5,565,629) (9,479,616) 4,456,296
-------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (5,958,905) (7,816,671) (27,524,356) 19,107,438
-------------------------------------------------------------------
NET ASSETS at end of period (includingline A) $ 20,348,022 $ 26,306,927 $ 115,169,491 $ 142,693,847
===================================================================
(A)Undistributed (distribution in excess of)
net investment income $ 2,138 $ 2,133 $ 37,296 $ 37,300
===================================================================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 5,818,594 6,650,455 1,893,967 3,371,187
Issued to shareholders in reinvestment
of distributions 80,893 116,802 228,022 228,188
Shares redeemed (8,219,510) (9,018,299) (3,955,230) (2,072,910)
-------------------------------------------------------------------
Net increase (decrease) from capital stock
transactions (2,319,933) (2,251,042) (1,833,241) 1,526,465
-------------------------------------------------------------------
CLASS B SHARES
Shares sold 2,883,164 5,361,829 452,070 1,878,376
Issued to shareholders in reinvestment
of distributions 5,851 11,975 168,339 189,937
Shares redeemed (6,527,986) (10,939,433) (1,561,244) (1,638,293)
-------------------------------------------------------------------
Net increase (decrease) from capital stock
transactions (3,638,971) (5,565,629) (940,835) 430,020
===================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
58
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
HIGH INCOME FUND BALANCED FUND GROWTH AND INCOME FUND
- --------------------------- ------------------------------- ------------------------------
2004 2003 2004 2003 2004 2003
===============================================================================================
$ 55,015,483 $ 33,615,728 $ 184,392,585 $ 161,291,500 $ 148,170,626 $ 126,224,262
- -----------------------------------------------------------------------------------------------
4,376,308 3,247,553 2,957,573 3,290,800 1,449,731 1,146,296
245,439 (610,601) (150,478) (6,720,304) 271,099 (9,827,820)
1,500,379 5,343,952 10,811,839 23,092,033 14,930,904 30,800,834
- -----------------------------------------------------------------------------------------------
6,122,126 7,980,904 13,618,934 19,662,529 16,651,734 22,119,310
- -----------------------------------------------------------------------------------------------
(2,905,696) (1,953,581) (1,810,120) (1,810,597) (804,489) (472,121)
(1,555,115) (1,303,045) (1,265,754) (1,539,999) (377,317) (174,442)
- -----------------------------------------------------------------------------------------------
(4,460,811) (3,256,626) (3,075,874) (3,350,596) (1,181,806) (646,563)
14,199,310 14,165,543 21,954,494 18,447,908 18,849,548 17,771,499
1,744,485 1,279,144 1,786,159 1,784,694 795,498 453,660
(5,887,322) (3,165,724) (13,352,483) (14,351,848) (9,631,271) (13,309,076)
141 -- -- -- -- --
- -----------------------------------------------------------------------------------------------
10,056,614 12,278,963 10,388,170 5,880,754 10,013,775 4,916,083
- -----------------------------------------------------------------------------------------------
4,153,847 7,128,350 14,477,124 16,463,827 8,114,554 9,222,020
1,235,860 1,024,743 1,234,785 1,506,439 368,285 172,432
(4,637,309) (3,756,579) (16,351,460) (17,061,868) (12,799,977) (13,836,918)
- -----------------------------------------------------------------------------------------------
752,398 4,396,514 (639,551) 908,398 (4,317,138) (4,442,466)
- -----------------------------------------------------------------------------------------------
12,470,327 21,399,755 20,291,679 23,101,085 21,166,565 21,946,364
- -----------------------------------------------------------------------------------------------
$ 67,485,810 $ 55,015,483 $ 204,684,264 $ 184,392,585 $ 169,337,191 $ 148,170,626
===============================================================================================
$ 37,025 $ 129,354 $ (3,578) $ (3,596) $ 1,065,998 $ 830,848
===============================================================================================
1,907,202 2,010,041 1,895,246 1,768,275 1,600,186 1,787,581
235,436 182,036 153,740 170,700 68,166 48,409
(793,191) (448,775) (1,150,116) (1,386,137) (817,828) (1,393,405)
- -----------------------------------------------------------------------------------------------
1,349,447 1,743,302 898,870 552,838 850,524 442,585
- -----------------------------------------------------------------------------------------------
556,498 1,010,973 1,243,866 1,533,952 699,774 944,572
166,370 145,682 106,275 144,313 31,913 18,539
(626,335) (535,627) (1,405,548) (1,607,072) (1,100,560) (1,456,011)
- -----------------------------------------------------------------------------------------------
96,533 621,028 (55,407) 71,193 (368,873) (492,900)
===============================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
59
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND MID-CAP FUND
------------------------------- ------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2004 2003
======================================================================================================================
NET ASSETS at beginning of period $ 134,565,037 $ 110,464,831 $ 48,311,492 $ 34,415,066
------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) (371,840) (362,743) 286,217 (32,425)
Net realized gain (loss) 3,583,773 (13,902,776) 2,589,342 (810,008)
Net change in unrealized appreciation 7,521,371 38,761,664 2,989,970 11,016,333
------------------------------------------------------------------
Net increase in net assets from operations 10,733,304 24,496,145 5,865,529 10,173,900
------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A -- -- -- --
Class B -- -- -- --
------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- -- -- --
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 16,419,030 21,428,076 8,950,886 5,249,495
Issued to shareholders in reinvestment
of distributions -- -- -- --
Shares redeemed (20,553,236) (18,606,399) (4,441,192) (3,087,968)
Redemption Fees 27 -- 403 --
------------------------------------------------------------------
Net increase (decrease) from capital
share transactions (4,134,179) 2,821,677 4,510,097 2,161,527
------------------------------------------------------------------
CLASS B SHARES
Shares sold 5,818,057 7,443,998 3,918,338 3,617,100
Issued to shareholders in reinvestment
of distributions -- -- -- --
Shares redeemed (9,764,183) (10,661,614) (2,398,396) (2,056,101)
------------------------------------------------------------------
Net increase (decrease) from capital
share transactions (3,946,126) (3,217,616) 1,519,942 1,560,999
------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 2,652,999 24,100,206 11,895,568 13,896,426
------------------------------------------------------------------
NET ASSETS at end of period (including line A) $ 137,218,036 $ 134,565,037 $ 60,207,060 $ 48,311,492
==================================================================
(A)Undistributed (distribution in excess of)
net investment income $ -- $ -- $ 265,422 $ --
==================================================================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 1,310,831 2,090,566 750,450 548,389
Issued to shareholders in reinvestment
of distributions -- -- -- --
Shares redeemed (1,623,309) (1,854,922) (368,375) (329,777)
------------------------------------------------------------------
Net increase (decrease) from capital
stock transactions (312,478) 235,644 382,075 218,612
------------------------------------------------------------------
CLASS B SHARES
Shares sold 481,562 733,844 335,906 380,861
Issued to shareholders in reinvestment
of distributions -- -- -- --
Shares redeemed (812,620) (1,087,117) (205,169) (226,039)
------------------------------------------------------------------
Net increase (decrease) from capital
stock transactions (331,058) (353,273) 130,737 154,822
==================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
60
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MULTI-CAP GROWTH FUND INTERNATIONAL STOCK FUND
- ------------------------------- --------------------------------
2004 2003 2004 2003
====================================================================
$ 24,300,185 $ 13,965,505 $ 39,470,149 $ 30,322,989
- --------------------------------------------------------------------
(306,678) (125,701) 300,299 391,549
957,765 458,015 3,720,000 (1,565,592)
1,550,481 4,064,829 3,942,753 9,799,283
- --------------------------------------------------------------------
2,201,568 4,397,143 7,963,052 8,625,240
- --------------------------------------------------------------------
-- -- (366,092) (212,471)
-- -- (5,505) (404)
- --------------------------------------------------------------------
-- -- (371,597) (212,875)
12,600,469 5,641,381 4,742,731 1,435,692
-- -- 355,467 206,495
(2,485,116) (1,789,330) (1,321,126) (911,371)
-- -- 46 --
- --------------------------------------------------------------------
10,115,353 3,852,051 3,777,118 730,816
- --------------------------------------------------------------------
4,230,494 3,219,398 1,690,657 897,473
-- -- 5,362 393
(1,920,542) (1,133,912) (1,060,941) (893,887)
- --------------------------------------------------------------------
2,309,952 2,085,486 635,078 3,979
- --------------------------------------------------------------------
14,626,873 10,334,680 12,003,651 9,147,160
- --------------------------------------------------------------------
$ 38,927,058 $ 24,300,185 $ 51,473,800 $ 39,470,149
====================================================================
$ -- $ -- $ 259,120 $ 339,139
====================================================================
2,658,740 1,437,061 482,726 189,540
-- -- 36,951 29,122
(519,535) (482,877) (133,210) (122,562)
- --------------------------------------------------------------------
2,139,205 954,184 386,467 96,100
- --------------------------------------------------------------------
920,954 845,667 172,705 119,456
-- -- 562 56
(417,791) (323,851) (108,257) (125,194)
- --------------------------------------------------------------------
503,163 521,816 65,010 (5,682)
====================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
61
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
CASH RESERVES FUND
-----------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-----------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.00(1) 0.01 0.04 0.06
-----------------------------------------------------------------
Total from investment operations 0.01 0.00 0.01 0.04 0.06
-----------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.00)(1) (0.01) (0.04) (0.06)
-----------------------------------------------------------------
Total distributions (0.01) (0.00) (0.01) (0.04) (0.06)
-----------------------------------------------------------------
Net increase (decrease) in net asset value -- -- -- -- --
-----------------------------------------------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=================================================================
TOTAL RETURN(2) 0.68% 0.75% 1.57% 4.50% 5.77%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's) $11,916 $14,236 $16,487 $11,508 $5,104
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 0.82% 0.87% 0.99% 1.25% 2.07%
After reimbursement of expenses by Advisor 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.68% 0.75% 1.46% 3.96% 5.61%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-----------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.00(1) 0.00(1) 0.01 0.04 0.05
-----------------------------------------------------------------
Total from investment operations 0.00 0.00 0.01 0.04 0.05
-----------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income -- (0.00)(1) (0.01) (0.04) (0.05)
-----------------------------------------------------------------
Total distributions -- (0.00) (0.01) (0.04) (0.05)
-----------------------------------------------------------------
Net increase (decrease) in net asset value 0.00 (0.00) -- -- --
-----------------------------------------------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=================================================================
TOTAL RETURN(2) 0.07% 0.08% 0.81% 3.72% 4.97%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 8,432 $12,071 $17,636 $ 9,571 $2,865
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.57% 1.62% 1.74% 2.00% 2.82%
After reimbursement of expenses by Advisor 1.15%(3) 1.23%(3) 1.30% 1.30% 1.30%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.06% 0.08% 0.71% 3.21% 4.86%
(1) Amounts represent less than $0.005 per share.
(2) Total return without applicable sales charge.
(3) Amount includes fees waived by distributor (Note 3).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
62
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
-----------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 10.12 $ 10.17 $ 10.23 $ 9.57 $ 9.74
-----------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.37 0.40 0.47 0.55 0.63
Net realized and unrealized gain (loss)
on investments 0.07 (0.05) (0.06)(2) 0.67 (0.17)
-----------------------------------------------------------------
Total from investment operations 0.44 0.35 0.41 1.22 0.46
-----------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.39) (0.40) (0.47) (0.56) (0.63)
-----------------------------------------------------------------
Total distributions (0.39) (0.40) (0.47) (0.56) (0.63)
-----------------------------------------------------------------
Net increase (decrease) in net asset value 0.05 (0.05) (0.06) 0.66 (0.17)
-----------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.17 $ 10.12 $ 10.17 $ 10.23 $ 9.57
=================================================================
TOTAL RETURN(1) 4.46% 3.51% 4.21% 13.07% 4.89%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's) $59,900 $78,165 $63,069 $28,813 $13,279
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.01% 1.10% 1.17% 1.28% 1.66%
After reimbursement of expenses by Advisor 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 3.73% 3.94% 4.62% 5.53% 6.52%
Portfolio Turnover 81% 75% 90% 109% 366%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 10.12 $ 10.18 $ 10.24 $ 9.58 $ 9.75
-----------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.30 0.33 0.39 0.48 0.55
Net realized and unrealized gain (loss)
on investments 0.07 (0.06) (0.05)(2) 0.66 (0.17)
-----------------------------------------------------------------
Total from investment operations 0.37 0.27 0.34 1.14 0.38
-----------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.32) (0.33) (0.40) (0.48) (0.55)
-----------------------------------------------------------------
Total distributions (0.32) (0.33) (0.40) (0.48) (0.55)
-----------------------------------------------------------------
Net increase (decrease) in net asset value 0.05 (0.06) (0.06) 0.66 (0.17)
-----------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.17 $ 10.12 $ 10.18 $ 10.24 $ 9.58
=================================================================
TOTAL RETURN(1) 3.68% 2.64% 3.44% 12.23% 4.10%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $55,269 $64,529 $60,517 $31,119 $10,982
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.76% 1.85% 1.92% 2.03% 2.41%
After reimbursement of expenses by Advisor 1.65% 1.65% 1.65% 1.65% 1.65%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 2.95% 3.19% 3.87% 4.78% 5.77%
Portfolio Turnover 81% 75% 90% 109% 366%
(1) Total return without applicable sales charge.
(2) The amount shown for a share outstanding does not correspond with the
aggregate net gain (loss) on investments due to the timing of sales and
repurchases of shares in relation to fluctuating market values of the
investments of the fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
63
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
HIGH INCOME FUND
-----------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 7.36 $ 6.57 $ 7.13 $ 8.02 $ 8.88
-----------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.55 0.54 0.58 0.74 0.81
Net realized and unrealized gain (loss)
on investments 0.21 0.80 (0.55) (0.88) (0.86)
-----------------------------------------------------------------
Total from investment operations 0.76 1.34 0.03 (0.14) (0.05)
-----------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.56) (0.55) (0.59) (0.75) (0.81)
-----------------------------------------------------------------
Total distributions (0.56) (0.55) (0.59) (0.75) (0.81)
-----------------------------------------------------------------
Net increase (decrease) in net asset value 0.20 0.79 (0.56) (0.89) (0.86)
-----------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.56 $ 7.36 $ 6.57 $ 7.13 $ 8.02
=================================================================
TOTAL RETURN(1) 10.73% 21.09% 0.33% (1.94)% (0.81)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $44,137 $33,024 $18,055 $10,939 $ 8,394
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.16% 1.38% 1.59% 1.68% 1.62%
After reimbursement of expenses by Advisor 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 7.37% 7.73% 8.55% 9.75% 9.40%
Portfolio Turnover 60% 58% 47% 38% 41%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 7.37 $ 6.59 $ 7.14 $ 8.04 $ 8.90
-----------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.49 0.49 0.54 0.69 0.75
Net realized and unrealized gain (loss)
on investments 0.22 0.78 (0.55) (0.89) (0.86)
-----------------------------------------------------------------
Total from investment operations 0.71 1.27 (0.01) (0.20) (0.11)
-----------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.50) (0.49) (0.54) (0.70) (0.75)
-----------------------------------------------------------------
Total distributions (0.50) (0.49) (0.54) (0.70) (0.75)
-----------------------------------------------------------------
Net increase (decrease) in net asset value 0.21 0.78 (0.55) (0.90) (0.86)
-----------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.58 $ 7.37 $ 6.59 $ 7.14 $ 8.04
=================================================================
TOTAL RETURN(1) 10.02% 19.96% (0.27)% (2.77)% (1.54)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's) $23,349 $21,992 $15,561 $15,063 $12,271
Ratios of expenses to average net assets:
Before reimbursement of expenses by Advisor 1.91% 2.13% 2.34% 2.43% 2.37%
After reimbursement of expenses by Advisor 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 6.63% 6.98% 7.80% 9.00% 8.65%
Portfolio Turnover 60% 58% 47% 38% 41%
(1) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
64
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FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
BALANCED FUND
------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.18 $ 10.16 $ 11.28 $ 12.65 $ 12.05
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.25 0.28 0.30 0.34
Net realized and unrealized gain (loss)
on investments 0.64 1.02 (1.12) (1.37) 0.69
------------------------------------------------------------------
Total from investment operations 0.86 1.27 (0.84) (1.07) 1.03
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.23) (0.25) (0.28) (0.30) (0.35)
Distributions from capital gains -- -- (0.00)(1) -- (0.08)
------------------------------------------------------------------
Total distributions (0.23) (0.25) (0.28) (0.30) (0.43)
------------------------------------------------------------------
Net increase (decrease) in net asset value 0.63 1.02 (1.12) (1.37) 0.60
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.81 $ 11.18 $ 10.16 $ 11.28 $ 12.65
==================================================================
TOTAL RETURN(2) 7.71% 12.72% (7.59)% (8.54)% 8.67%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 98,900 $ 83,606 $70,389 $61,836 $27,088
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.17% 1.32% 1.30% 1.35% 1.28%
After reimbursement of expenses by Advisor 1.10% 1.10% 1.10% 1.10% 1.10%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.88% 2.38% 2.56% 2.55% 2.83%
Portfolio Turnover 39% 35% 48% 57% 187%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.19 $ 10.17 $ 11.29 $ 12.66 $ 12.05
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.13 0.17 0.20 0.21 0.25
Net realized and unrealized gain (loss)
on investments 0.64 1.02 (1.12) (1.37) 0.69
------------------------------------------------------------------
Total from investment operations 0.77 1.19 (0.92) (1.16) 0.94
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.14) (0.17) (0.20) (0.21) (0.25)
Distributions from captital gains -- -- (0.00)(1) -- (0.08)
------------------------------------------------------------------
Total distributions (0.14) (0.17) (0.20) (0.21) (0.33)
------------------------------------------------------------------
Net increase (decrease) in net asset value 0.63 1.02 (1.12) (1.37) 0.61
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.82 $ 11.19 $ 10.17 $ 11.29 $ 12.66
==================================================================
TOTAL RETURN(2) 6.90% 11.87% (8.27)% (9.22)% 7.93%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $105,784 $100,787 $90,903 $92,054 $63,669
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.92% 2.07% 2.05% 2.10% 2.03%
After reimbursement of expenses by Advisor 1.85% 1.85% 1.85% 1.85% 1.85%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.14% 1.63% 1.81% 1.80% 2.08%
Portfolio Turnover 39% 35% 48% 57% 187%
(1) Amounts represent less than $0.005 per share.
(2) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
65
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FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
GROWTH AND INCOME FUND
------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.05 $ 9.37 $ 11.14 $ 14.06 $ 13.21
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.14 0.12 0.10(1) 0.06 0.07(1)
Net realized and unrealized gain (loss)
on investments 1.12 1.64 (1.82) (2.92) 0.84
------------------------------------------------------------------
Total from investment operations 1.26 1.76 (1.72) (2.86) 0.91
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.12) (0.08) (0.05) (0.06) (0.04)
Distributions from capital gains -- -- -- -- (0.02)
------------------------------------------------------------------
Total distributions (0.12) (0.08) (0.05) (0.06) (0.06)
------------------------------------------------------------------
Net increase (decrease) in net asset value 1.14 1.68 (1.77) (2.92) 0.85
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 12.19 $ 11.05 $ 9.37 $ 11.14 $ 14.06
==================================================================
TOTAL RETURN(2) 11.48% 18.95% (15.51)% (20.42)% 6.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $85,855 $68,406 $53,896 $55,966 $ 46,994
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.13% 1.35% 1.30% 1.29% 1.07%
After reimbursement of expenses by Advisor 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.26% 1.29% 0.91% 0.60% 0.54%
Portfolio Turnover 16% 20% 18% 24% 14%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 10.87 $ 9.24 $ 11.02 $ 13.96 $ 13.18
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.05 0.02(1) (0.02) (0.03)(1)
Net realized and unrealized gain (loss)
on investments 1.10 1.60 (1.79) (2.92) 0.84
------------------------------------------------------------------
Total from investment operations 1.16 1.65 (1.77) (2.94) 0.81
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.05) (0.02) (0.01) -- (0.01)
Distributions from capital gains -- -- -- -- (0.02)
------------------------------------------------------------------
Total distributions (0.05) (0.02) (0.01) -- (0.03)
------------------------------------------------------------------
Net increase (decrease) in net asset value 1.11 1.63 (1.78) (2.94) 0.78
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.98 $ 10.87 $ 9.24 $ 11.02 $ 13.96
==================================================================
TOTAL RETURN(2) 10.70% 17.93% (16.09)% (21.06)% 6.13%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's) $83,482 $79,765 $72,329 $97,081 $106,762
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.89% 2.10% 2.05% 2.04% 1.85%
After reimbursement of expenses by Advisor 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Advisor 0.53% 0.54% 0.16% (0.15)% (0.21)%
Portfolio Turnover 16% 20% 18% 24% 14%
(1) Calculated based on average shares outstanding.
(2) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
66
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- --------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND
------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.88 $ 9.63 $ 12.81 $ 16.44 $ 13.70
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 (0.00)(1) (0.02)(2) (0.04)(2) (0.03)(2)
Net realized and unrealized gain (loss)
on investments 0.98 2.25 (3.11) (3.59) 2.78
------------------------------------------------------------------
Total from investment operations 0.99 2.25 (3.13) (3.63) 2.75
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains -- -- (0.05) -- (0.01)
------------------------------------------------------------------
Total distributions -- -- (0.05) -- (0.01)
------------------------------------------------------------------
Net increase (decrease) in net asset value 0.99 2.25 (3.18) (3.63) 2.74
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 12.87 $ 11.88 $ 9.63 $ 12.81 $ 16.44
==================================================================
TOTAL RETURN(3) 8.33% 23.36% (24.54)% (22.08)% 20.12%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $73,674 $71,733 $55,865 $59,801 $35,889
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.38% 1.64% 1.58% 1.58% 1.37%
After reimbursement of expenses by Advisor 1.20% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Advisor 0.08% 0.05% (0.16)% (0.30)% (0.27)%
Portfolio Turnover 27% 25% 25% 30% 18%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.40 $ 9.31 $ 12.48 $ 16.13 $ 13.54
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.08) (0.08) (0.11)(2) (0.15)(2) (0.15)(2)
Net realized and unrealized gain (loss)
on investments 0.95 2.17 (3.01) (3.50) 2.75
------------------------------------------------------------------
Total from investment operations 0.87 2.09 (3.12) (3.65) 2.60
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains -- -- (0.05) -- (0.01)
------------------------------------------------------------------
Total distributions -- -- (0.05) -- (0.01)
------------------------------------------------------------------
Net increase (decrease) in net asset value 0.87 2.09 (3.17) (3.65) 2.59
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 12.27 $ 11.40 $ 9.31 $ 12.48 $ 16.13
==================================================================
TOTAL RETURN(3) 7.63% 22.45% (25.12)% (22.63)% 19.25%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $63,544 $62,832 $54,600 $72,667 $57,082
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.13% 2.39% 2.33% 2.33% 2.12%
After reimbursement of expenses by Advisor 1.95% 1.95% 1.95% 1.95% 1.95%
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Advisor (0.67)% (0.70)% (0.91)% (1.05)% (1.02)%
Portfolio Turnover 27% 25% 25% 30% 18%
(1) Amounts represent less than $0.005 per share.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
67
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- --------------------------------------------------------------------------------
MID-CAP FUND
--------------------------------------------------------
INCEPTION(1) TO
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 10-31-2001
=====================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.12 $ 8.64 $ 9.48 $ 10.00
--------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.01 0.02(2) 0.00(2,3)
Net realized and unrealized gain (loss)
on investments 1.23 2.47 (0.85) (0.52)
--------------------------------------------------------
Total from investment operations 1.32 2.48 (0.83) (0.52)
--------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income -- -- (0.01) --
Distributions from capital gains -- -- (0.00)(3) --
--------------------------------------------------------
Total distributions -- -- (0.01) --
--------------------------------------------------------
Net increase (decrease) in net asset value 1.32 2.48 (0.84) (0.52)
--------------------------------------------------------
NET ASSET VALUE at end of period $ 12.44 $ 11.12 $ 8.64 $ 9.48
========================================================
TOTAL RETURN(4) 11.87% 28.70% (8.79)% (5.20)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $40,103 $31,591 $22,650 $15,345
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.61% 1.92% 1.97% 2.29%(6)
After reimbursement of expenses by Advisor 1.40% 1.40% 1.40% 1.40%(6)
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.77% 0.17% 0.18% 0.03%(6)
Portfolio Turnover 21% 25% 31% 30%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 10.91 $ 8.54 $ 9.43 $ 10.00
--------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss 0.00(3) (0.05) (0.06)(2) (0.05)(2)
Net realized and unrealized gain (loss)
on investments 1.18 2.42 (0.83) (0.52)
--------------------------------------------------------
Total from investment operations 1.18 2.37 (0.89) (0.57)
--------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income -- -- -- --
Distributions from capital gains -- -- (0.00)(3) --
--------------------------------------------------------
Total distributions -- -- (0.00) --
--------------------------------------------------------
Net increase (decrease) in net asset value 1.18 2.37 (0.89) (0.57)
--------------------------------------------------------
NET ASSET VALUE at end of period $ 12.09 $ 10.91 $ 8.54 $ 9.43
========================================================
TOTAL RETURN(4) 10.82% 27.75% (9.43)% (5.70)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's) $20,104 $16,721 $11,765 $ 6,192
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.36% 2.67% 2.72% 3.04%(6)
After reimbursement of expenses by Advisor 2.15% 2.15% 2.15% 2.15%(6)
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Advisor 0.01% (0.58)% (0.57)% (0.72)%(6)
Portfolio Turnover 21% 25% 31% 30%
(1) Fund commenced investment operations on February 28, 2001.
(2) Calculated based on average shares outstanding.
(3) Amounts represent less than $0.005 per share.
(4) Total return without applicable sales charge.
(5) Not annualized.
(6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
68
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FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
MULTI-CAP GROWTH FUND
--------------------------------------------------------------------
INCEPTION(1) TO
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 10-31-2000
=================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 4.46 $ 3.49 $ 4.27 $ 7.87 $ 10.00
--------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.03) (0.03) (0.02)(2) (0.02) (0.02)(2)
Net realized and unrealized gain (loss)
on investments 0.40 1.00 (0.76) (3.58) (2.11)
--------------------------------------------------------------------
Total from investment operations 0.37 0.97 (0.78) (3.60) (2.13)
--------------------------------------------------------------------
Net increase (decrease) in net asset value 0.37 0.97 (0.78) (3.60) (2.13)
--------------------------------------------------------------------
NET ASSET VALUE at end of period $ 4.83 $ 4.46 $ 3.49 $ 4.27 $ 7.87
====================================================================
TOTAL RETURN(3) 8.30% 27.79% (18.27)% (45.74)% (21.30)%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $25,897 $14,366 $ 7,915 $13,263 $20,731
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.62% 2.40% 2.60% 2.36% 1.75%(5)
After reimbursement of expenses by Advisor 1.20% 1.20% 1.20% 1.20% 1.20%(5)
Ratio of net investment loss to average net assets
After reimbursement of expenses by Advisor (0.64)% (0.42)% (0.55)% (0.46)% (0.42)%(5)
Portfolio Turnover 71% 123% 214% 230% 151%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 4.34 $ 3.42 $ 4.22 $ 7.83 $ 10.00
--------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.06) (0.02) (0.05)(2) (0.07) (0.06)(2)
Net realized and unrealized gain (loss)
on investments 0.39 0.94 (0.75) (3.54) (2.11)
--------------------------------------------------------------------
Total from investment operations 0.33 0.92 (0.80) (3.61) (2.17)
--------------------------------------------------------------------
Net increase (decrease) in net asset value 0.33 0.92 (0.80) (3.61) (2.17)
--------------------------------------------------------------------
NET ASSET VALUE at end of period $ 4.67 $ 4.34 $ 3.42 $ 4.22 $ 7.83
====================================================================
TOTAL RETURN(3) 7.60% 26.90% (18.96)% (46.10)% (21.70)%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $13,030 $ 9,935 $ 6,050 $ 6,902 $ 8,666
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.37% 3.15% 3.35% 3.11% 2.50%(5)
After reimbursement of expenses by Advisor 1.95% 1.95% 1.95% 1.95% 1.95%(5)
Ratio of net investment loss to average net assets
After reimbursement of expenses by Advisor (1.39)% (1.17)% (1.30)% (1.21)% (1.17)%(5)
Portfolio Turnover 71% 123% 214% 230% 151%
(1) Fund commenced investment operations on February 29, 2000.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
69
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FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTERESTS OUTSTANDING
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2004 2003 2002 2001 2000
===============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 8.92 $ 7.00 $ 7.31 $ 9.55 $ 11.45
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.10 0.07(2) 0.04 0.04(2)
Net realized and unrealized gain (loss)
on investments 1.66 1.88 (0.38) (2.21) (0.98)
------------------------------------------------------------------
Total from investment operations 1.74 1.98 (0.31) (2.17) (0.94)
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.10) (0.06) -- (0.07) (0.14)
Distributions from capital gains -- -- -- -- (0.82)
------------------------------------------------------------------
Total distributions (0.10) (0.06) -- (0.07) (0.96)
------------------------------------------------------------------
Net increase (decrease) in net asset value 1.64 1.92 (0.31) (2.24) (1.90)
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.56 $ 8.92 $ 7.00 $ 7.31 $ 9.55
==================================================================
TOTAL RETURN(3) 19.56% 28.46% (4.24)% (22.88)% (9.29)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $43,915 $33,664 $25,732 $25,829 $32,071
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.85% 2.11% 2.29% 2.14% 2.06%
After reimbursement of expenses by Advisor 1.60% 1.60% 1.60% 1.60% 1.60%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.76% 1.30% 0.69% 0.45% 0.43%
Portfolio Turnover 45% 34% 47% 86% 117%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 8.78 $ 6.89 $ 7.25 $ 9.48 $ 11.38
------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.00)(1) 0.04 0.02(2) (0.02) (0.03)(2)
Net realized and unrealized gain (loss)
on investments 1.64 1.85 (0.38) (2.20) (0.98)
------------------------------------------------------------------
Total from investment operations 1.64 1.89 (0.36) (2.22) (1.01)
------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.00)(1) -- (0.01) (0.07)
Distributions from capital gains -- -- -- -- (0.82)
------------------------------------------------------------------
Total distributions (0.01) (0.00) -- (0.01) (0.89)
------------------------------------------------------------------
Net increase (decrease) in net asset value 1.63 1.89 (0.36) (2.23) (1.90)
------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.41 $ 8.78 $ 6.89 $ 7.25 $ 9.48
==================================================================
TOTAL RETURN(3) 18.67% 27.44% (4.97)% (23.48)% (9.92)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 7,559 $ 5,806 $ 4,591 $ 4,787 $ 5,497
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.59% 2.86% 3.04% 2.89% 2.81%
After reimbursement of expenses by Advisor 2.35% 2.35% 2.35% 2.35% 2.35%
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Advisor 0.03% 0.55% (0.06)% (0.30)% (0.32)%
Portfolio Turnover 45% 34% 47% 86% 117%
(1) Amounts represent less than $ 0.005 per share.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
70
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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- --------------------------------------------------------------------------------
71
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION
MEMBERS Mutual Funds, a Delaware Business Trust (the "Trust"), is registered
under the Investment Company Act of 1940, as amended (the "1940 Act") as an
open-end, management investment company. As of the date of this report, the
Trust offers nine funds (individually, a "fund," collectively, the "Funds") each
with two classes of shares: Class A and Class B. The Declaration of the Trust
permits the Trustees to issue an unlimited number of shares of beneficial
interest of the Trust without par value. Each class of shares represents an
interest in the assets of the respective fund and has identical voting,
dividend, liquidation and other rights, except that each class of shares bears
its own distribution fees and servicing fees, if any, and its proportional share
of fund level expenses, is subject to its own sales charges, if any, and has
exclusive voting rights on matters pertaining to Rule 12b-1 of the 1940 Act as
it relates to that class. The Trust has entered into an Investment Advisory
Agreement with MEMBERS Capital Advisors, Inc. (the "Investment Advisor"). The
Investment Advisor has entered into subadvisory agreements with certain
subadvisors ("Subadvisors") for the management of the investments of the High
Income Fund, Multi-Cap Growth Fund, International Stock Fund and a portion of
the Mid-Cap Fund. The accompanying financial statements include the Cash
Reserves Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and Income
Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund and
International Stock Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses during
the reported period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently followed
by each fund in the preparation of its financial statements.
PORTFOLIO VALUATION: Securities and other investments are valued as follows.
Equity securities listed on any U.S. or foreign stock exchange or quoted on the
National Association of Securities Dealers Automated Quotation System ("NASDAQ")
are valued at the last quoted sale price or official closing price on that
exchange or NASDAQ on the valuation day (provided that, for securities traded on
NASDAQ, the Funds utilize the NASDAQ Official Closing Price ("NOCP")). If no
sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ are valued at
the mean between the closing bid and closing asked prices and (b) equity
securities traded on a foreign exchange are valued at the official bid price.
Debt securities purchased with a remaining maturity of 61 days or more are
valued by a pricing service selected by the Trust or on the basis of dealer-
supplied quotations. Short-term instruments having maturities of 60 days or less
and all securities in the Cash Reserves Fund are valued on an amortized cost
basis or, if the current market value differs substantially from the amortized
cost, by marking to the market.
Over-the-counter securities not quoted on NASDAQ are valued at the last sale
price on the valuation day. If no sale occurs on the valuation day, an over-the-
counter security is valued at the mean between the last bid and asked prices.
Over-the-counter options are valued based upon prices provided by market makers
in such securities or dealers in such currencies. Financial futures contracts
generally are valued at the settlement price established by the exchange on
which the contracts are primarily traded. The Trust's Securities Valuation
Committee shall estimate the fair value of futures positions affected by the
daily limit by using its valuation procedures for determining fair value, when
necessary. Forward foreign currency exchange contracts are valued based on
quotations supplied by dealers in such contracts.
The value of all assets and liabilities denominated in foreign currencies will
be converted into U.S. dollar values at the noon (Eastern Standard Time) Reuters
spot rate.
All other securities for which either quotations are not readily available, no
other sales have occurred, or do not, in the Investment Advisor's opinion,
reflect the current market value are appraised at their fair values as
determined in good faith by the Investment Advisor, under the general
supervision of the Board of Trustees. A fund's investments will be valued at
fair value if in the judgment of the Investment Advisor an event impacting the
value of an investment occurred between the closing time of a security's primary
market or exchange (for example, a foreign exchange or market) and the time the
fund's share price is calculated. Significant events may include, but are not
limited to the following: (1) significant fluctuations in domestic markets,
foreign markets or foreign currencies; (2) occurrences not directly tied to the
securities markets such as natural disasters, armed conflicts or significant
government actions; and (3) major announcements affecting a single issuer or an
entire market or market sector. In responding to a significant event, the
Security Valuation committee would determine the fair value of affected
securities considering factors including, but not limited to: index options and
futures traded subsequent to the close; ADRs, GDRs or other related receipts;
currency spot or forward markets that trade after pricing or foreign exchange;
other derivative securities traded after the close such as WEBs and SPDRs; and
alternative market quotes on the affected securities.
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NOTES TO FINANCIAL STATEMENTS
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SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales are determined
by the identified cost method. Interest income is recorded on an accrual basis.
Dividend income is recorded on ex-dividend date.
FEDERAL INCOME TAXES: It is each fund's intention to qualify as a regulated
investment company for federal income tax purposes by complying with Subchapter
M of the Internal Revenue Code of 1986, as amended. Accordingly, no provisions
for federal income taxes are recorded in the accompanying financial statements.
EXPENSES: Expenses that are directly related to one fund are charged directly to
that fund. Other operating expenses are prorated to the Funds on the basis of
relative net assets. Class-specific expenses are borne by that class.
CLASSES: Income and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative net assets.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The Funds will enter
into repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities.
The Trust has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Trust's
custodian either physically or in book-entry form and that the collateral must
be marked to market daily to ensure that each repurchase agreement is fully
collateralized at all times. In the event of bankruptcy or other default by a
seller of a repurchase agreement, a fund could experience delays in liquidating
the underlying securities during the period in which the fund seeks to enforce
its rights thereto, possible subnormal levels of income, declines in value of
the underlying securities or lack of access to income during this period and the
expense of enforcing its rights.
FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S.
dollars. Foreign currency denominated transactions (i.e. market value of
investment securities, assets and liabilities, purchases and sales of investment
securities, and income and expenses) are translated into U.S. dollars at the
current rate of exchange.
The High Income Fund, Mid-Cap Fund, Multi-Cap Growth Fund and International
Stock Fund report certain foreign currency-related transactions as components
of realized gains or losses for financial reporting purposes, whereas such
components are treated as ordinary income for federal income tax purposes.
The Funds do not isolate the portion of gains and losses on investments in
securities that is due to changes in the foreign exchange rates from that which
is due to change in market prices of securities. Such amounts are categorized as
gain or loss on investments for financial reporting purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: The High Income Fund, Multi-Cap
Growth Fund and International Stock Fund may each purchase or sell forward
foreign currency exchange contracts for defensive or hedging purposes when the
fund's Investment Advisor or Subadvisor, anticipate that the foreign currency
will appreciate or depreciate in value. When entering into forward foreign
currency exchange contracts, the Funds agree to receive or deliver a fixed
quantity of foreign currency for an agreed-upon price on an agreed future date.
These contracts are valued daily. The Funds' net assets reflect unrealized gains
or losses on the contracts as measured by the difference between the forward
foreign currency exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date. The Funds realize a gain or a loss at the
time the forward foreign currency exchange contracts are settled or closed out
with an offsetting contract. Realized and unrealized gains and losses are
included in the Statements of Operations. For the year ended October 31, 2004,
only the High Income Fund had open forward foreign currency exchange contracts,
which are presented in the fund's Portfolio of Investments.
FUTURES CONTRACTS: The Funds (other than Cash Reserves) may purchase and sell
futures contracts and purchase and write options on futures contracts. The Funds
will engage in futures contracts or related options transactions to hedge
certain market positions. Upon entering into a futures contract, the fund is
required to pledge to the broker an amount of cash, U.S. Government securities
or other assets, equal to a certain percentage of the contract (initial margin
deposit). Subsequent payments, known as "variation margin," are made or received
by the fund each day, depending on the daily fluctuations in the fair value of
the futures contract. When a fund enters into a futures contract, the fund
segregates in cash or liquid securities, of any type or maturity, equal in value
to the fund's commitment. The fund recognizes a gain or loss equal to the daily
change in the value of the futures contracts. Should market conditions move
unexpectedly, the fund may not achieve the anticipated benefits of the futures
contracts and may realize a loss.
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NOTES TO FINANCIAL STATEMENTS
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DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued
or delayed delivery basis. "When-issued" refers to securities whose terms are
available and for which a market exists, but that have not been issued. For
when-issued or delayed delivery transactions, no payment is made until delivery
date, which is typically longer than the normal course of settlement, and often
more than a month or more after the purchase. When a fund enters into an
agreement to purchase securities on a when-issued or delayed delivery basis, the
fund segregates in cash or liquid securities, of any type or maturity, equal in
value to the fund's commitment. Losses may arise due to changes in the market
value of the underlying securities, if the counterparty does not perform under
the contract, or if the issuer does not issue the securities due to political,
economic or other factors. For the year ended October 31, 2004, the Bond Fund
and Balanced Fund entered into such transactions, the market values of which are
identified in each fund's Portfolio of Investments.
RECLASSIFICATION ADJUSTMENTS: Paid-in capital, undistributed net investment
income, and accumulated net realized gain (loss) have been adjusted in the
Statements of Assets and Liabilities for permanent book-tax differences for all
Funds. Differences primarily relate to the tax treatment of net operating
losses, paydown gains and losses, foreign currency gains and losses, and
distributions from real estate investment trusts.
REDEMPTION FEES: The Bond Fund, Balanced Fund, Growth and Income Fund, Capital
Appreciation Fund and Multi-Cap Growth Fund will deduct a fee of 2% from
redemption proceeds on Class A shares held 5 days or less. The High Income Fund,
Mid-Cap Fund and International Stock Fund will deduct a fee of 2% from
redemption proceeds on Class A shares held 30 days or less. Redemption fees are
treated as additional paid-in capital to the fund from which the shares are
redeemed and are designed to help offset any costs associated with short-term
shareholder trading. Please refer to the prospectus for additional information
on redemption fees and waivers.
3. ADVISORY, DISTRIBUTION AND TRUSTEE ARRANGEMENTS
For its investment advisory services to the Funds, the Investment Advisor is
entitled to receive a fee, which is calculated daily and paid monthly, at an
annual rate based upon the following percentages of average daily net assets:
0.40% for the Cash Reserves Fund; 0.50% for the Bond Fund; 0.55% for the High
Income Fund; 0.65% for the Balanced Fund; 0.55% for the Growth and Income Fund;
0.75% for the Capital Appreciation Fund; 0.95% for the Mid-Cap Fund, 0.75% for
the Multi-Cap Growth Fund and 1.05% for the International Stock Fund. The
Investment Advisor is solely responsible for the payment of all fees to the
Subadvisors. The Subadvisors for the Funds are Massachusetts Financial Services
Company (MFS) for the High Income Fund, Wellington Management Company LLP for a
portion of the Mid-Cap Fund and the entire Multi-Cap Growth Fund, and Lazard
Asset Management for the International Stock Fund.
Subsequent to October 31, 2004, the Investment Advisor notified MFS that it is
terminating MFS as the subadvisor of the MEMBERS High Income Fund effective
February 28, 2005. MEMBERS Capital Advisors will continue as the Investment
Advisor to the MEMBER High Income Fund. The Investment Advisor is in
negotiations with a replacement subadvisor. Once an agreement is reached with
the subadvisor, the contract will be presented to the Board of Trustees for
approval and, if approved, the new subadvisor will be disclosed in the
prospectus.
The Investment Advisor has contractually agreed to waive fees and/or reimburse
expenses with respect to the Funds until the effective date of the Funds' post
effective amendment scheduled to be filed in February 2005, such that total
expenses, exclusive of management, 12b-1, and service fees, will not exceed the
following amounts:
FUND CLASS A CLASS B
- ---- ------- -------
Cash Reserves 0.55% 1.30%
Bond 0.90% 1.65%
High Income 1.00% 1.75%
Balanced 1.10% 1.85%
Growth and Income 1.00% 1.75%
Capital Appreciation 1.20% 1.95%
Mid-Cap 1.40% 2.15%
Multi-Cap Growth 1.20% 1.95%
International Stock 1.60% 2.35%
For the year ended October 31, 2004, the Investment Advisor reimbursed expenses
of $58,813 for the Cash Reserves Fund, $150,645 for the Bond Fund, $97,662 for
the High Income Fund, $131,637 for the Balanced Fund, $220,402 for the Growth
and Income Fund, $250,709 for the Capital Appreciation Fund, $115,700 for the
Mid-Cap Fund, $140,426 for the Multi-Cap Growth Fund and $114,012 for the
International Stock Fund.
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74
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
Any reimbursements or fee waivers made by the Investment Advisor to a fund are
subject to repayment by the fund, to the extent that the fund is able to make
the repayment within its Expense Cap Agreement (the "Expense Cap Agreement").
Under the Expense Cap Agreement, such payments must be made within three years,
measured on a fiscal year basis, from when the reimbursement or fee reduction
occurred.
RECOVERY EXPIRING RECOVERY EXPIRING RECOVERY EXPIRING
FUND OCTOBER 31, 2005 OCTOBER 31, 2006 OCTOBER 31, 2007
- ---- ----------------- ----------------- -----------------
Cash Reserves $114,473 $100,514 $ 58,813
Bond 234,662 284,227 150,645
High Income 174,043 168,808 97,662
Balanced 348,289 363,962 131,637
Growth and Income 473,218 460,975 220,402
Capital Appreciation 533,959 520,392 250,709
Mid-Cap 189,165 205,353 115,700
Multi-Cap Growth 247,687 204,794 140,426
International Stock 223,636 166,715 114,012
Through October 31, 2004, none of the Funds made repayments to the Investment
Advisor under the Expense Cap Agreement.
CUNA Brokerage Services, Inc. ("CUNA Brokerage") serves as distributor of the
Funds. The Trust adopted Distribution Plans (the "Plans") with respect to the
Trust's Class A and B shares pursuant to Rule 12b-1 under the 1940 Act. Under
the Plans, the Trust will pay service fees for Class A and Class B shares at an
aggregate annual rate of 0.25% of each fund's daily net assets attributable to
the respective class of shares for all funds except the Cash Reserves Fund. The
Trust will also pay distribution fees for Class B shares at an aggregate annual
rate of 0.75% of each fund's daily net assets attributable to Class B. The
distribution fees are used to reimburse CUNA Brokerage for its distribution
expenses with respect to Class B only, including but not limited to: (1) initial
and ongoing sales compensation to selling brokers and others engaged in the sale
of fund shares, (2) marketing, promotional and overhead expenses incurred in
connection with the distribution of fund shares, and (3) interest expenses on
unreimbursed distribution expenses. The service fees will be used to compensate
selling brokers and others for providing personal and account maintenance
services to shareholders.
The distributor may from time to time voluntarily agree to waive a portion of
its fees or expenses related to the Funds. In that regard, the distributor
waived a portion of 12b-1 fees on the Cash Reserves Fund Class B Shares for the
purpose of maintaining a one-day yield of zero. The amount of the daily waiver
is equal to the amount required to maintain a minimum daily distribution rate of
zero. For the year ended October 31, 2004, the waivers totaled $14,230 and are
reflected as a portion of the expense reimbursement/waiver in the accompanying
Statement of Operations.
In addition to distribution fees, CUNA Brokerage received sales charges paid by
the purchasers or redeemers of the Funds' shares. For the year ended October 31,
2004, sales charges received by CUNA Brokerage were as follows:
FUND CLASS A CLASS B
- ---- ------- -------
Cash Reserves $ 43,943 $ 73,670
Bond 306,084 217,118
High Income 159,930 64,327
Balanced 684,733 305,293
Growth and Income 527,208 198,700
Capital Appreciation 380,986 188,031
Mid-Cap 216,670 46,061
Multi-Cap Growth 278,079 40,812
International Stock 97,201 17,450
Certain officers and trustees of the Funds are also officers of the Investment
Advisor. The Funds do not compensate their officers or affiliated trustees.
Unaffiliated trustees receive from the Trust an attendance fee for each Board or
Committee meeting attended, with additional remuneration paid to the "lead"
trustee and audit committee chair.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to dividends from net investment income, the Cash Reserves Fund and
Bond Fund declared dividends daily. The High Income Fund and Balanced Fund
declare dividends monthly. The Growth and Income Fund, Capital Appreciation
Fund, Mid-Cap Fund, Multi-Cap Growth Fund and the International Stock Fund
declare dividends annually. The Funds' distribute net realized gains from
investment transactions, if any, to shareholders annually.
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75
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
Income and capital gain distributions, if any, are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. Taxable distributions from
income and realized capital gains in the Funds differ from book amounts earned
during the period due to differences in the timing of capital recognition, and
due to the reclassification of certain gains or losses from capital to income.
Dividends from net investment income are determined on a class level. Capital
gains are determined on a fund level.
5. SECURITIES TRANSACTIONS
For the year ended October 31, 2004, aggregate cost of purchases and proceeds
from sales of securities, other than short-term investments, were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- --------- ----- --------- -----
Bond $88,985,446 $108,787,911 $18,570,542 $24,150,542
High Income -- -- 41,763,981 34,664,036
Balanced 47,348,475 52,675,096 36,289,928 23,081,002
Growth and Income -- -- 33,575,009 25,108,669
Capital Appreciation -- -- 37,197,209 41,765,793
Mid-Cap -- -- 17,252,124 11,156,778
Multi-Cap Growth -- -- 33,636,240 22,908,578
International Stock -- -- 23,594,572 19,977,713
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, although only the High Income Fund,
Multi-Cap Growth Fund and International Stock Fund anticipate having significant
investments in such securities. The International Stock Fund, High Income Fund
and Multi-Cap Growth Fund may invest 100%, 50% and 25%, respectively, of their
assets in foreign securities.
Foreign securities means securities that are: (1) issued by companies organized
outside the U.S. or whose principal operations are outside the U.S. ("foreign
issuers"), (2) issued by foreign governments or their agencies or
instrumentalities (also "foreign issuers"), (3) principally traded outside the
U.S., or (4) quoted or denominated in a foreign currency ("non-U.S. Dollar
securities"). Foreign securities include ADRs, EDRs, GDRs, SDRs and foreign
money market securities.
7. RESTRICTED SECURITIES
Each fund may invest in restricted securities. A restricted security is one that
is originally issued in a private placement rather than a public offering and
has a contractual restriction on resale or cannot be resold publicly until it is
registered under the Securities Act of 1933 (the "1933 Act"). If and when such
securities are registered, the costs of registering such securities are paid by
the issuer. At the period ended October 31, 2004, only the High Income Fund held
a restricted security which is presented in the fund's Portfolio of Investments.
The original cost and fair market value of the restricted security held is as
follows:
ACQUISITION ACQUISITION VALUE AS A %
SECURITY NAME DATE COST FAIR VALUE OF NET ASSETS
- ------------- ----------- ----------- ---------- -------------
Doe Run Resources Corp
Series AI PIK 1/23/03-10/15/04 $69,261 $37,270 .06%
8. SECURITIES LENDING
The Funds, excluding the Cash Reserves Fund, entered into a Securities Lending
Agreement (the "Agreement") with State Street Bank and Trust Company ("State
Street"). Under the terms of the Agreement, the Funds may lend portfolio
securities to qualified borrowers in order to earn additional income. The
Agreement requires that loans are collateralized at all times by cash or other
liquid assets at least equal to 102% of the value of the securities, which is
determined on a daily basis. At October 31, 2004, cash collateral received for
Funds engaged in securities lending was invested in the State Street Navigator
Securities Lending Prime Portfolio. The value of all collateral is included
within the Portfolio of Investments with an offsetting liability on the
Statements of Assets and Liabilities.
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76
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NOTES TO FINANCIAL STATEMENTS
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Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statements of Operations. The value of securities on
loan at October 31, 2004 is as follows:
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Bond $24,095,109
High Income 15,088,432
Balanced 15,270,192
Capital Appreciation 2,014,635
Mid-Cap 3,184,707
Multi-Cap Growth 879,984
9. TAX INFORMATION
The tax character of distributions paid during the years ended October 31, 2004
and 2003 was as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAIN
--------------- ----------------------
FUND 2004 2003 2004 2003
- ---- ---- ---- ---- ----
Cash Reserves $ 89,038 $ 133,093 $ -- $ --
Bond 4,851,848 4,989,103 -- --
High Income 4,460,811 3,256,626 -- --
Balanced 3,075,874 3,350,596 -- 17,091
Growth and Income 1,181,806 646,563 -- --
Capital Appreciation -- -- -- 567,807
Mid-Cap -- -- -- --
Multi-Cap Growth -- -- -- --
International Stock 371,597 212,875 -- --
As of October 31, 2004, the components of distributable earnings on a tax basis
were as follows:
FUND ORDINARY INCOME LONG-TERM CAPITAL GAIN
- ---- --------------- ----------------------
Cash Reserves $ 2,138 $ --
Bond 37,296 --
High Income 192,570 --
Balanced -- --
Growth and Income 1,065,998 --
Capital Appreciation -- --
Mid-Cap 265,422 --
Multi-Cap Growth -- --
International Stock 411,590 --
For federal income taxes purposes, the funds listed below have capital loss
carryovers as of October 31, 2004, which are available to offset future capital
gains, if any:
CARRYOVER EXPIRING IN:
FUND 2007 2008 2009 2010 2011 2012
- ---- ---- ---- ---- ---- ---- ----
Bond $ -- $ 194,286 $ -- $ 230,858 $ -- $310,659
High Income 98,674 237,390 2,053,681 2,445,850 614,259 --
Balanced -- -- -- 5,493,333 6,760,762 157,889
Growth and Income -- 1,073,602 2,865,513 11,738,982 9,713,003 --
Capital Appreciation -- -- -- 15,472,794 13,979,170 --
Mid-Cap -- -- -- -- 16,099 --
Multi-Cap Growth -- 5,298,903 10,391,144 5,728,147 -- --
International Stock -- -- 2,132,735 4,881,331 1,505,342 --
The High Income Fund, Growth and Income Fund, Capital Appreciation Fund, Mid-Cap
Fund, Multi-Cap Growth Fund, and International Stock Fund utilized $295,640,
$141,344, $3,583,988, $2,599,196, $939,554 and $3,739,841, respectively, of
prior capital loss carryovers during the year ended October 31, 2004.
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77
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NOTES TO FINANCIAL STATEMENTS
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At October 31, 2004, the aggregate gross unrealized appreciation (depreciation)
and net unrealized appreciation (depreciation) for all securities as computed on
a federal income tax basis for each fund were as follows:
FUND APPRECIATION DEPRECIATION NET
- ---- ------------ ------------ ---
Bond Fund $ 2,901,740 $ 145,217 $ 2,756,523
High Income Fund 3,798,088 713,011 3,085,077
Balanced Fund 20,965,969 9,031,958 11,934,011
Growth and Income Fund 20,988,843 12,133,308 8,855,535
Capital Appreciation Fund 20,595,616 10,071,390 10,524,226
Mid-Cap Fund 11,282,763 2,378,775 8,903,988
Multi-Cap Fund 6,026,048 970,147 5,055,901
International Stock Fund 11,686,355 1,070,618 10,615,737
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
10. CONCENTRATION OF RISK
Investing in certain financial instruments, including forward foreign currency
contracts and futures contracts, involves risk other than that reflected in the
Statements of Assets and Liabilities. Risks associated with these instruments
include potential for an illiquid secondary market for the instruments or
inability of counterparties to perform under the terms of the contracts, changes
in the value of foreign currency relative to the U.S. dollar and financial
statement volatility resulting from an imperfect correlation between the
movements in the prices of the instruments and the prices of the underlying
securities and interest rates being hedged. The High Income Fund, Multi-Cap
Growth Fund and International Stock Fund enter into these contracts primarily to
protect these funds from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in
U.S. markets. These include risks associated with adverse changes in economic,
political, regulatory and other conditions, changes in currency exchange rates,
exchange control regulations, expropriation of assets or nationalization,
imposition of withholding taxes on dividend or interest payments or capital
gains, and possible difficulty in obtaining and enforcing judgments against
foreign entities. Further, issuers of foreign securities are subject to
different, and often less comprehensive, accounting, reporting and disclosure
requirements than domestic issuers.
The High Income Fund invests in securities offering high current income, which
generally will include bonds in the below investment grade categories of
recognized rating agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities. The fund generally invests
at least 80% of its assets in high yield securities.
11. CAPITAL SHARES AND AFFILIATED OWNERSHIP
Each fund is authorized to issue an unlimited number of shares of beneficial
interest with no par value. Each fund currently offers two classes of shares,
Class A and Class B. At October 31, 2004, investments in the Funds by affiliates
were as follows:
CUNA MUTUAL CUNA MUTUAL CUMIS CUNA
LIFE INSURANCE INSURANCE INSURANCE BROKERAGE
FUND CLASS COMPANY SOCIETY SOCIETY, INC. SERVICES, INC.
- ---- ----- -------------- ----------- ------------- --------------
Cash Reserves A $ 1,862,243 $ 1,861,001 $ -- $ --
Bond A 2,160,741 2,159,300 -- --
High Income A 6,761,936 -- -- --
Balanced A 12,275,146 -- 5,343,380 1,329,116
Growth and Income A 2,149,236 2,501,305 3,446,141 --
Capital Appreciation A 12,438,032 1,709,847 -- --
Mid-Cap A 12,447,851 -- -- --
International Stock A 3,727,201 6,210,759 22,188,513 --
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78
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of MEMBERS Mutual Funds:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments of MEMBERS Mutual Funds, including Cash Reserves
Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and Income Fund,
Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund and International
Stock Fund (collectively, the "Funds"), as of October 31, 2004, the related
statements of operations, statements of changes in net assets and the financial
highlights for the year then ended. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits. The Funds' financial statements and financial highlights
for the periods ended prior to October 31, 2004 were audited by other auditors
whose report, dated December 11, 2003, expressed an unqualified opinion on those
statements and highlights.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audits 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. Our procedures included
confirmation of securities owned as of October 31, 2004, by correspondence with
the Funds' custodian and brokers; where replies were not received from brokers,
we performed other auditing procedures. 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 Funds as of October 31, 2004, the results of their operations, changes in
their net assets and the financial highlights for the year then ended, in
conformity with accounting principles generally accepted in the United States of
America.
DELOITTE & TOUCHE LLP
Chicago, Illinois
December 23, 2004
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79
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments, reinvested
dividends, or other distributions; redemption fees; and exchange fees; and (2)
ongoing costs, including management fees; distribution and/or service (12b-1)
fees; and other fund expenses. In the most recent six-month period, the Funds
limited these ongoing costs; had it not done so, expenses would have been
higher. The examples below are intended to help you understand your ongoing
costs (in dollars) of investing in the Funds and to compare these costs with the
ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested at the
beginning of the period and held for the entire six-month period ended October
31, 2004. Expenses paid during the period in the tables below are equal to the
fund's annualized expense ratio, multiplied by the average account value over
the period, multiplied by 184/366 (to reflect the one-half fiscal year period).
ACTUAL EXPENSES
The table below provides information about actual account values using actual
expenses and actual returns for the Funds. You may use the information in this
table, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the table for the fund you own under the heading entitled
"Expenses Paid During Period" to estimate the expenses you paid on your account
during this period.
CLASS A CLASS B
--------------------------------------------------------------------------------
BEGINNING ENDING ANNUAL EXPENSES ENDING ANNUAL EXPENSES
ACCOUNT ACCOUNT EXPENSE PAID DURING ACCOUNT EXPENSE PAID DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- --------- ------- ------- ----------- ------- ------- -----------
Cash Reserves(1) $1,000 $1,004.20 .55% $2.77 $1,000.70 1.23% $ 6.19
Bond $1,000 1,038.90 .90% 4.61 1,035.00 1.65% 8.44
High Income $1,000 1,063.10 1.00% 5.19 1,059.00 1.75% 9.06
Balanced $1,000 1,034.30 1.10% 5.62 1,030.40 1.85% 9.44
Growth and Income $1,000 1,040.10 1.00% 5.13 1,036.30 1.75% 8.96
Capital Appreciation $1,000 1,035.40 1.20% 6.14 1,031.10 1.95% 9.96
Mid-Cap $1,000 1,040.10 1.40% 7.18 1,036.00 2.15% 11.00
Multi-Cap Growth $1,000 1,014.70 1.20% 6.08 1,010.80 1.95% 9.86
International Stock $1,000 1,073.20 1.60% 8.34 1,069.90 2.35% 12.23
(1)Class B expense ratio includes amount waived by distributor (see Note 3), had
the distributor not waived the fees the expense ratio would have been 1.30% with
an ending account value of $1,000.70 and expenses paid during the period of
$6.54.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table below provides information about hypothetical account values and
hypothetical expenses based on the Funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the Funds' actual
returns. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the
Funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds. (See table next page.)
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80
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OTHER INFORMATION (UNAUDITED)
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CLASS A CLASS B
--------------------------------------------------------------------------------
BEGINNING ENDING ANNUAL EXPENSES ENDING ANNUAL EXPENSES
ACCOUNT ACCOUNT EXPENSE PAID DURING ACCOUNT EXPENSE PAID DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- --------- ------- ------- ----------- ------- ------- -----------
Cash Reserves(1) $1,000 $1,022.37 .55% $2.80 $1,018.95 1.23% $ 6.24
Bond $1,000 1,020.61 .90% 4.57 1,016.84 1.65% 8.36
High Income $1,000 1,020.11 1.00% 5.08 1,016.34 1.75% 8.87
Balanced $1,000 1,019.61 1.10% 5.58 1,015.84 1.85% 9.37
Growth and Income $1,000 1,020.11 1.00% 5.08 1,016.34 1.75% 8.87
Capital Appreciation $1,000 1,019.10 1.20% 6.09 1,015.33 1.95% 9.88
Mid-Cap $1,000 1,018.10 1.40% 7.10 1,014.33 2.15% 10.89
Multi-Cap Growth $1,000 1,019.10 1.20% 6.09 1,015.33 1.95% 9.88
International Stock $1,000 1,017.09 1.60% 8.11 1,013.32 2.35% 11.89
(1)Class B expense ratio includes amount waived by distributor (see Note 3), had
the distributor not waived the fees the expense ratio would have been 1.30% with
an ending account value of $1,018.60 and expenses paid during the period of
$6.60.
Please note that the expenses shown in both tables are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. The information provided in
the hypothetical example table is useful in comparing ongoing costs only, and
will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have
been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES. The Funds file its complete
schedule of portfolio holdings with the SEC for the first and third quarters of
each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost
on the Funds' website at www.membersfunds.com and on the SEC's website at
www.sec.gov. Form N-Q may also be reviewed and copied at the Commission's Public
Reference Room in Washington, DC. More information on the operation of the
Public Reference Room may be obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS. A description of the policies and
procedures used by the Funds to vote proxies related to portfolio securities is
available to shareholders at no cost on the Funds' website at
www.membersfunds.com or by calling 1-800-877-6089. The proxy voting records for
the Funds for the twelve-month period ended June 30, 2004 are available to
shareholders at no cost on the Funds' website at www.membersfunds.com and on the
SEC's website at www.sec.gov.
TAX INFORMATION
FOREIGN TAX CREDITS: The International Stock Fund has made an election under
Internal Revenue Code Section 853 to pass through foreign taxes paid by the fund
to its shareholders. For the year ended October 31, 2004, the total amount of
foreign taxes that will be passed through to shareholders and foreign source
income for information reporting purposes will be $131,691 (all of which
represents taxes withheld) and $1,212,840, respectively.
CORPORATE DIVIDENDS RECEIVED DEDUCTION: Of the dividends paid by the High Income
Fund, Balanced Fund, and the Growth and Income Fund, 0.43%, 66.53%, and 100.00%,
respectively, qualify for the corporate dividends received deduction.
QUALIFIED DIVIDEND INCOME: For the fiscal year ended October 31, 2004, the High
Income, Balanced, Growth and Income and International Stock Funds paid dividend
income totaling $4,460,811, $3,075,874, $1,181,806 and $371,597, respectively.
The Funds hereby designate the maximum amount of dividends allowable pursuant to
the Internal Revenue Code, as qualified dividend income ("QDI") eligible for
reduced tax rates (the rates range from 5% to 15% depending upon an individual's
tax bracket). Complete information regarding each fund's income distributions
paid during calendar year 2004, including the portion, if any, which qualify as
QDI, will be reported in conjunction with Form 1099-DIV.
CHANGES IN INDEPENDENT ACCOUNTANTS
On June 8, 2004, PricewaterhouseCoopers LLP resigned as independent registered
public accountants for the MEMBERS Mutual Funds (the "Funds"). The Funds' Board
of Trustees, upon the recommendation of the audit committee, appointed Deloitte
& Touche LLP as independent accountants for the Funds on August 26, 2004 for the
2004 fiscal year. The reports of PricewaterhouseCoopers LLP on the Funds'
financial statements for either of the fiscal years ended October 31, 2003 and
October 31, 2002, contained no adverse opinion or disclaimer of opinion and were
not qualified or modified as to uncertainty, audit scope or accounting
principle. During the Funds' fiscal years ended October 31, 2003 and October 31,
2002, and during the period from October 31, 2003 through June 8, 2004 there
have been no disagreements with PricewaterhouseCoopers LLP on any matter of
accounting principles or practices, financial statement disclosure, or auditing
scope or procedure which, if not resolved to the satisfaction of
PricewaterhouseCoopers LLP, would have caused them to make reference thereto in
their reports on the financial statements for such years.
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81
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TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
>
NO. OF
PORTFOLIOS OTHER
POSITION(S) OVERSEEN OUTSIDE
NAME, ADDRESS AND HELD WITH LENGTH OF PRINCIPAL OCCUPATION IN FUND DIRECTOR-
YEAR OF BIRTH THE FUND SERVICE(1) DURING PAST FIVE YEARS COMPLEX SHIPS
- -----------------------------------------------------------------------------------------------------------------------------------
Michael S. Daubs, CFA(2)(3) Trustee, 1997 - Present CUNA Mutual Insurance Society 19 ---
5910 Mineral Point Road Chairman Chief Officer - Investments,
Madison, WI 53705 1990 - Present
Year of Birth: 1943
MEMBERS Capital Advisors, Inc.
President,
1982 - Present
CUNA Mutual Life Insurance Company
Chief Officer - Investments,
1973 - Present
- -----------------------------------------------------------------------------------------------------------------------------------
Lawrence R. Halverson, CFA(2)(3) Trustee, 1997 - Present MEMBERS Capital Advisors, Inc. 19 ---
5910 Mineral Point Road President Senior Vice President - Equities
Madison, WI 53705 1996 - Present
Year of Birth: 1945
- -----------------------------------------------------------------------------------------------------------------------------------
Mary E. Hoffmann, CPA(2) Treasurer 1998 - Present MEMBERS Capital Advisors, Inc. 19 ---
5910 Mineral Point Road Assistant Vice President - Product
Madison, WI 53705 Operations and Finance,
Year of Birth: 1970 2001 - Present
Product Operations and Finance Manager,
1998 - 2001
- -----------------------------------------------------------------------------------------------------------------------------------
Holly S. Baggot(2) Secretary 1999 - Present MEMBERS Capital Advisors, Inc. 19 ---
5910 Mineral Point Road and Senior Manager - Product and Fund
Madison, WI 53705 Assistant Operations, 2001 - Present
Year of Birth: 1960 Treasurer
Operations & Administration Manager
1998 - 2001
- -----------------------------------------------------------------------------------------------------------------------------------
Dan Owens(2) Assistant 2000 - Present MEMBERS Capital Advisors, Inc. 19 ---
5910 Mineral Point Road Treasurer Senior Manager - Portfolio Operations,
Madison, WI 53705 2001 - Present
Year of Birth: 1966
Investment Operations Manager,
1999 - 2001
- --------------------------------------------------------------------------------
82
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TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
>
NO. OF
PORTFOLIOS OTHER
POSITION(S) OVERSEEN OUTSIDE
NAME, ADDRESS AND HELD WITH LENGTH OF PRINCIPAL OCCUPATION IN FUND DIRECTOR-
YEAR OF BIRTH THE FUND SERVICE(1) DURING PAST FIVE YEARS COMPLEX SHIPS
- -----------------------------------------------------------------------------------------------------------------------------------
Rolf F. Bjelland, CLU Trustee 2003 - Present Fairview Medical Foundation 19 Regis
2000 Heritage Way Director, 2003 - Present Corp.,
Waverly, IA 50677 Director,
Year of Birth: 1938 A.L.S. Society 1982 -
Director, 2002 - Present Present
Viking Counsel Boy Scouts of America
Director, 1967-Present
Lutheran Brotherhood Mutual Funds
Chairman and President
Lutheran Brotherhood
Chief Investment Officer
(now Thrivent Financial)
1983 - 2002
- -----------------------------------------------------------------------------------------------------------------------------------
Gwendolyn M. Boeke Trustee 1997 - Present Wartburg Theological Seminary 19 ---
2000 Heritage Way Development Association,
Waverly, IA 50677 Development Associate,
Year of Birth: 1934 1997 - Present
Evangelical Lutheran Church in America
Foundation
Regional Director, 1990 - Present
Wartburg College
Director, 1986 - 2001
- -----------------------------------------------------------------------------------------------------------------------------------
Alfred L. Disrud Trustee 1997 - Present Planned Giving Services 19 ---
2000 Heritage Way Owner, 1986 - Present
Waverly, IA 50677
Year of Birth: 1921
- -----------------------------------------------------------------------------------------------------------------------------------
Richard E. Struthers Trustee 2004 - Present Clearwater Capital Management 19 ---
2000 Heritage Way Chairman and Chief Executive Officer
Waverly, IA 50677 1998 - Present
Year of Birth: 1952
- -----------------------------------------------------------------------------------------------------------------------------------
(1) The board of trustees and officers of the Fund do not currently have term
limitations.
(2) "Interested person" as defined in the 1940 Act.
(3) Considered an "interested" trustee because of the position he holds with the
investment advisor of the trust.
The Statement of Additional Information (SAI) includes additional information
about the Funds' trustees and officers and is available at no cost on the Funds'
website at www.membersfunds.com or by calling 1-800-877-6089.
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[LOGO OF MEMBERS]
M U T U A L F U N D S
MEMBERS Mutual Funds
Post Office Box 8390
Boston, MA 02266-8390
1 (800) 877-6089
www.membersfunds.com
Distributed by:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677-9202
Member NASD/SIPC
4460-P1053(1004)
ITEM 2. CODE OF ETHICS.
As of the period ended October 31, 2004, MEMBERS Mutual Funds (also referred to
herein as the "Registrant," or the "Trust") has adopted a code of ethics
("Code") that applies to the Fund's principal executive officer and principal
financial officer, principal accounting officer or controller, or person
performing similar functions, a copy of which is posted on the Registrant's
Internet website at www.memberscapitaladvisors.com. Registrant intends to
disclose on its Internet website information related to (1) any amendment of the
Code (with the exception of technical, administrative or other non-substantive
amendments), and (2) any waiver from a provision of the Code that has been
granted to the Registrant's principal executive officer, principal financial
officer, principal accounting officer or controller, or persons performing
similar functions, within five business days following the date of such
amendment or waiver.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's board of trustees has determined that the Registrant has at
least one audit committee financial expert serving on its audit committee. The
name of the audit committee financial expert is Rolf F. Bjelland, who is an
"independent" trustee for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
----------
For the fiscal year ended October 31, 2004, respectively, the aggregate
fees for professional services rendered by Deloitte & Touche LLP
("Deloitte & Touche"), the Trust's independent public accountant, for
the audit of the Trust's annual financial statements and services
normally provided by such firm in connection with statutory and
regulatory filings and engagements for such fiscal years, totaled
$127,750.
For the fiscal year ended October 31, 2003, respectively, the aggregate
fees for professional services rendered by PricewaterhouseCoopers LLP
("PwC"), the Trust's independent public accountant, for the audit of the
Trust's annual financial statements and services normally provided by
such firm in connection with statutory and regulatory filings and
engagements for such fiscal years, totaled $105,500, respectively.
(b) Audit Related Fees
------------------
For the fiscal year ended October 31, 2004, respectively, the aggregate
fees for professional services rendered by Deloitte & Touche for
assurance and related services by such firm that were reasonably related
to the performance of the audit of the Trust's annual financial
statements other than those referenced in paragraph (a) above, totaled
$0, respectively.
For the fiscal year ended October 31, 2004 and October 31, 2003,
respectively, the aggregate fees for professional services rendered by
PwC for assurance and related services by such firm that were reasonably
related to the performance of the audit of the Trust's annual financial
statements other than those referenced in paragraph (a) above, totaled
$0, respectively.
INCLUDED IN THE SCOPE OF THE SERVICES COMPRISING THE FEES DISCLOSED UNDER
THIS ITEM 4(B) WERE THE FOLLOWING SERVICES:
(c) Tax Fees
--------
For the fiscal year ended October 31, 2004, respectively, the aggregate
fees for professional services rendered by Deloitte and Touche for tax
compliance, tax advice and tax planning for such fiscal years, totaled
$19,100, respectively, in each case 100% of which were pre-approved by
the Audit Committee.
For the fiscal year ended October 31, 2003, respectively, the aggregate
fees for professional services rendered by PwC for tax compliance, tax
advice and tax planning for such fiscal years, totaled $17,500,
respectively, in each case 100% of which were preapproved by the Audit
Committee.
In the scope of services comprising the fees disclosed under this Item
4(c) were the following services:
-Review and sign as signature preparer for U.S. income Tax Return for
Regulated Investment Companies, Form 1120-RIC.
-Excise tax assistance, including review of excise tax distribution
calculations prior to distribution and review of Return of Excise Tax on
Undistributed Income of Regulated Investment Companies, Form 8613.
(d) All Other Fees
--------------
For the fiscal year ended October 31, 2004, respectively, the aggregate
fees for professional services rendered by Deloitte & Touche for
products and services other than those reported in subparagraphs (a)
through (c) of this Item 4, for such fiscal years, totaled $0,
respectively.
For the fiscal year ended October 31, 2003, respectively, the aggregate
fees for professional services rendered by PwC for products and services
other than those reported in subparagraphs (a) through (c) of this Item
4, for such fiscal years, totaled $0, respectively.
(e)(1) Pursuant to Rule 2-01(a)(c)(7) of Regulation S-X, the Audit Committee has
established pre-approval policies and procedures with respect to audit,
audit-related, tax, and other
non-audit services. A copy of such pre-approval policies and procedures
is attached hereto as Appendix A.
(e)(2) The Audit Committee has approved, as required by Rule 2-01(c)(7)(i)(C) of
Regulation S-X, 100% of the services described in this Item 4(b) through
(d), which such services are described above.
(f) Not applicable.
(g) During the Trust's fiscal year ended October 31, 2004, the aggregate
non-audit fees billed by Deloitte & Touche for services rendered to the
Trust, and to MEMBERS Capital Advisors, Inc. ("MCA"), the Trust's
investment adviser, and to any entity controlling, controlled by, or
under common control with MCA that provides ongoing services to the
Trust, totaled $0, respectively.
During the Trust's fiscal year ended October 31, 2003, the aggregate
non-audit fees billed by PwC for services rendered to the Trust, and to
MCA, and to any entity controlling, controlled by, or under common
control with MCA that provides ongoing services to the Trust, totaled
$0, respectively.
(h) The Trust's Audit Committee has considered the provision of the non-audit
services that were rendered to MCA, and any entity controlling,
controlled by, or under common control with MCA that provides ongoing
services to the registrant that were not preapproved pursuant to
paragraph Rule 2-01(c)(7)(ii) of Regulation S-X and has determined that
the provision of such services is compatible with maintaining Deloitte &
Touche's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
The Registrant's board of trustees has determined that the Registrant has a
separately-designated standing audit committee. The names of the audit committee
are Rolf F. Bjelland, Gwendolyn M. Boeke, Alfred L. Disrud, and Richard E.
Struthers.
ITEM 6. SCHEDULE OF INVESTMENTS
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES. Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS. Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have not been any material changes to the procedures by which shareholders
may recommend nominees to the registrant's board of directors, since those
procedures were last disclosed in response to the requirements of Item
7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c) under the 1940 Act, the
Registrant's principal executive officer and principal financial
officer have concluded that such disclosure controls and procedures
are reasonably designed and are operating effectively to ensure that
material information relating to the Registrant, including its
consolidated subsidiaries, is made known to them by others within
those entities, particularly during the period in which this report
is being prepared, and that the information required in filings on
Form N-CSR is recorded, processed, summarized, and reported on a
timely basis. This review took place on December 21, 2004.
(b) There were no significant changes in the Trust's internal control
over financial reporting (as defined in Rule 30a-3(d) under the 1940
Act) that occurred during the Registrant's most recent second fiscal
half-year that have materially affected, or are reasonably likely to
materially affect, the Registrant's internal control over financial
reporting.
ITEM 11. EXHIBITS.
(a) Code of Ethics of Principal Executive Officer and Principal Financial
Officer of the Trust.
(b) Certifications of Principal Executive Officer and Principal Financial
Officer of the Trust.
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.
MEMBERS MUTUAL FUNDS
BY: /s/Lawrence R. Halverson
------------------------
Lawrence R. Halverson
President
DATE: December 21, 2004
-----------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
BY: /s/Lawrence R. Halverson
------------------------
Lawrence R. Halverson
President, MEMBERS Mutual Funds
DATE: December 21, 2004
-----------------
BY: /s/Mary E. Hoffmann
-------------------
Mary E. Hoffmann
Treasurer, MEMBERS Mutual Funds
DATE: December 21, 2004
-----------------