As filed with the Securities and Exchange Commission on December 21, 2007
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)
Pamela M. Krill
Associate General Counsel
CUNA Mutual Group
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
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Date of fiscal year end: October 31, 2007
Date of reporting period: October 31, 2007
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.
[LOGO OF MEMBERS
MUTUAL FUNDS]
MEMBERS(TM)
MUTUAL FUNDS
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MEMBERS(R) MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2007
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CONSERVATIVE ALLOCATION FUND
MODERATE ALLOCATION FUND
AGGRESSIVE ALLOCATION FUND
CASH RESERVES FUND
BOND FUND
HIGH INCOME FUND
DIVERSIFIED INCOME FUND
LARGE CAP VALUE FUND
LARGE CAP GROWTH FUND
MID CAP VALUE FUND
MID CAP GROWTH FUND
SMALL CAP VALUE FUND
SMALL CAP GROWTH FUND
INTERNATIONAL STOCK FUND
This material is for reporting purposes only and shall not
be used in connection with a solicitation, offer or any
proposed sale or purchase of securities unless preceded or
accompanied by a prospectus.
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LETTER TO SHAREHOLDERS
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[PHOTO OF DAVID P. MARKS]
David P. Marks
Dear Fellow Shareholder:
For the fiscal year ended October 31, 2007, the MEMBERS Mutual Funds posted
generally good returns across most of the investment sectors and styles
particularly in the equity and allocation funds. Three of our newer funds: the
Conservative, Moderate and Aggressive Allocation Funds, completed their first
year of performance and we hope you are as pleased with the results as we are.
Capitalizing on the asset allocation and fund selection skills that have driven
the success of the MEMBERS Capital Advisors (MCA) Managed Account Program,
beginning January 1, 2008 we will engage this management team to apply the same
consistent disciplines to our asset allocation funds.
2007 has proven to be a very difficult year in the financial markets. Neither
stock investors nor bond investors were immune to the subprime mortgage market
crisis and the resulting liquidity crunch that could continue to impact
financial markets at least for the near term. A falling U.S. Dollar, higher oil
prices and inflationary concerns added to market unease that extended well
beyond the financial sector. The investment professionals managing your
investments are working diligently to identify prevailing risks and prudently
choose stocks and bonds that present sound investment opportunities in this
environment. The reports that follow this letter provide insight on each fund's
performance and portfolio position.
With genuine gratitude for his exemplary service, we must announce that Larry
Halverson, Managing Director - Equities, will be retiring from MCA at the end of
2007 and as a Trustee of MEMBERS Mutual Funds in February 2008. Larry has served
the company very well for more than 20 years, and is one of those rare
individuals who have been able to blend technical expertise with human wisdom
and apply them for the benefit of MCA, CUNA Mutual Group, and credit union
managers and members. While Larry cannot be replaced, we are confident we will
be able to find very qualified individuals to assume his varied
responsibilities.
Your long-term success as a shareholder in MEMBERS Mutual Funds is our top
priority. We appreciate the confidence you have placed in us as managers of your
assets and we vow to be good stewards in this role. Please call me directly with
any questions you may have.
Sincerely,
/s/ David P. Marks
David P. Marks, CFA
President, MEMBERS Mutual Funds
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
Conservative Allocation Fund .................................... 2
Moderate Allocation Fund ........................................ 4
Aggressive Allocation Fund ...................................... 6
Bond Fund ....................................................... 8
High Income Fund ................................................ 10
Diversified Income Fund ......................................... 12
Large Cap Value Fund ............................................ 14
Large Cap Growth Fund ........................................... 16
Mid Cap Value Fund .............................................. 18
Mid Cap Growth Fund ............................................. 20
Small Cap Value Fund ............................................ 22
Small Cap Growth ................................................ 24
International Stock Fund ........................................ 26
PORTFOLIOS OF INVESTMENTS
Conservative Allocation Fund .................................... 28
Moderate Allocation Fund ........................................ 29
Aggressive Allocation Fund ...................................... 30
Cash Reserves Fund .............................................. 31
Bond Fund ....................................................... 32
High Income Fund ................................................ 37
Diversified Income Fund ......................................... 43
Large Cap Value Fund ............................................ 49
Large Cap Growth Fund ........................................... 52
Mid Cap Value Fund .............................................. 56
Mid Cap Growth Fund ............................................. 61
Small Cap Value Fund ............................................ 63
Small Cap Growth Fund ........................................... 65
International Stock Fund ........................................ 68
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ............................ 74
Statements of Operations ........................................ 78
Statements of Changes in Net Assets ............................. 82
Financial Highlights ............................................ 90
NOTES TO FINANCIAL STATEMENTS ............................................ 108
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM .................. 118
OTHER INFORMATION ........................................................ 119
TRUSTEES AND OFFICERS .................................................... 122
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. Nothing in this report represents
a recommendation of a security by the investment adviser. Manager views and
portfolio holdings may have changed since the date of this report.
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1
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CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
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For the twelve month period ended October 31, 2007, the MEMBERS Conservative
Allocation Fund provided a net return (Class A Shares at net asset value) of
6.94%. This was during a period of bond market returns ranging generally from 2%
to 4%, and stock market returns in the high teens for U.S. stock indexes and
even higher for international stock indexes.
The fund's strategic allocation target remains at approximately 66% fixed income
investments and 33% equities. Very attractive absolute returns (Class Y shares
at net asset value) were provided by MEMBERS International Stock Fund (+21.59%),
MEMBERS Mid Cap Growth Fund (+19.11%), and MEMBERS Large Cap Growth Fund
(+18.55%) in the equities area. In the fixed income component of the fund, the
MEMBERS High Income Fund (+6.72%) provided the highest returns. In each of these
cases, the funds modestly lagged their market indexes as more aggressive
investment approaches continued to outperform. Since the close of the fiscal
year, of course, this pattern reversed as the more conservative funds suffered
less in the downturn than the previous leaders.
During the year, the only significant change in fund investments was the
substitution of the State Street Global Advisors Prime money market fund for the
modestly lower yielding MEMBERS Cash Reserves Fund. Within each fund, of course,
the fund managers are making portfolio changes as each deems appropriate to
capitalize on developing opportunities.
After several years of underperformance by higher quality, more liquid
investments in both the equities and fixed income markets, investors appeared to
be experiencing growing concerns regarding the economy and the market as the
fund's year drew to a close. These periods of waning investor confidence and
swooning markets are inevitable, and are why conservative investing makes sense
for many people. The Conservative Allocation Fund, though not impervious to
market setbacks, is designed to cushion such declines, thereby preserving
investment values better than more aggressive funds while providing good
long-term returns.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS
A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Debt Securities 53%
Equity Securities 23%
Money Market Securities and Other Net Assets 13%
Alternative Asset Classes 6%
Foreign Securities 5%
[END CHART]
PORTFOLIO HOLDINGS AS
A PERCENTAGE OF TOTAL MARKET VALUE
AS OF OCTOBER 31, 2007
Dodge & Cox Income Fund 19%
Western Asset Intermediate Bond Portfolio 19%
SSgA Prime Money Market Fund 12%
MEMBERS Large Cap Growth Fund Class Y 11%
MEMBERS Bond Fund Class Y 11%
MEMBERS Large Cap Value Fund Class Y 8%
Cohen & Steers Institutional Realty Shares, Inc. 6%
MEMBERS International Stock Fund Class Y 5%
MEMBERS High Income Fund Class Y 5%
MEMBERS Mid Cap Growth Fund Class Y 4%
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
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2
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CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES MERRILL LYNCH U.S. CONSERVATIVE ALLOCATION
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) DOMESTIC MASTER INDEX(4) FUND CUSTOM INDEX(5)
06/30/06 Inception $ 9,425 $10,000 $10,000 $10,000
10/31/2006 9,925 10,060 10,493 10,548
10/31/2007 10,613 10,757 11,067 11,420
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(8) EXPENSE RATIO(9)
1 Year Since Inception(7) 1 Year Since Inception(7) Gross Net
---------------------------- ---------------------------- ------- -----
Class A Shares(2) 6.94% 9.27% 0.81% 4.54% 2.45% 1.40%
Class B Shares(3) 6.16 8.52 1.66 5.60 3.20 2.15
Merrill Lynch U.S. Domestic Master Index(4) 5.47 7.86 -- -- NA NA
Conservative Allocation Fund Custom Index(5) 8.26 10.42 -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. Domestic Master Index is a broad-based measure of
the total rate of return performance of the U.S. investment-grade bond
markets. The index is a capitalization-weighted aggregation of outstanding
U.S. treasury, agency and supranational mortgage pass-through, and
investment-grade corporate bonds meeting specified selection criteria.
(5) The Conservative Allocation Fund Custom Index consists of 55% Merrill
Lynch U.S. Domestic Master Index, 30% Russell 1000(R) Index, and 15%
90-Day U.S. Treasury Bills. A description of the Merrill Lynch U.S.
Domestic Master Index is set forth above. The Russell 1000(R) Index is a
large-cap market index which measures the performance of the 1,000 largest
U.S. companies based on total market capitalization.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) The fund commenced investment operations on June 30, 2006. The since
inception index returns are also from June 30, 2006.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses to be incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to place a cap on fund expenses by
agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
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3
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MODERATE ALLOCATION FUND PERFORMANCE REVIEW
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For the twelve month period ended October 31, 2007, the MEMBERS Moderate
Allocation Fund provided a net return (A Shares at net asset value) of 12.26%.
This was during a period of bond market returns ranging generally from 2% to 4%,
and stock market returns in the high teens for U.S. stock indexes and even
higher for international stock indexes.
The fund's strategic allocation target remains at approximately 66% equities and
33% fixed income investments. Very attractive absolute returns were provided by
the Vanguard Emerging Markets ETF (+69.90%), Columbia Marsico Focused Equity
Fund (+27.09%), MEMBERS International Stock Fund (+21.59%), MEMBERS Mid Cap
Growth Fund (+19.11%), and MEMBERS Large Cap Growth Fund (+18.55%) in the
equities area, and the MEMBERS High Income Fund (+6.72%) in the fund's fixed
income component as these market sectors outperformed. (MEMBERS Funds returns
are for Class Y shares at net asset value.)
During the year, the only significant change in fund investments was the
substitution of the State Street Global Advisors Prime money market fund for the
modestly lower yielding MEMBERS Cash Reserves Fund. Within each fund, of course,
the fund managers are making portfolio changes as each deems appropriate to
capitalize on developing opportunities.
Late in its fiscal year, the fund began to benefit from its focus on higher
quality assets as the markets reflected growing economic and market concerns
among investors. The fund's great diversity of asset classes, managers, and
individual securities should serve long-term investors well as the markets go
through their inevitable, yet impossible to precisely predict, cycles of
optimism and pessimism, interrupted only occasionally by brief periods of
objectivity.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS
A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Equity Securities 47%
Debt Securities 28%
Foreign Securities 15%
Alternative Asset Classes 5%
Money Market Securities and Other Net Assets 5%
[END CHART]
PORTFOLIO HOLDINGS AS
A PERCENTAGE OF TOTAL MARKET VALUE
AS OF OCTOBER 31, 2007
MEMBERS International Stock Fund Class Y 13%
Western Asset Intermediate Bond Portfolio 12%
MEMBERS Large Cap Growth Fund Class Y 11%
MEMBERS Large Cap Value Fund Class Y 11%
MEMBERS Bond Fund Class Y 10%
MEMBERS Mid Cap Growth Fund Class Y 8%
MEMBERS High Income Fund Class Y 6%
SSgA Prime Money Market Fund 5%
Columbia Marsico Focused Equities Fund, Class Z 5%
Cohen & Steers Institutional Realty Shares, Inc. 5%
MEMBERS Small Cap Growth Fund Class Y 5%
MEMBERS Mid Cap Value Fund Class Y 4%
MEMBERS Small Cap Value Fund Class Y 3%
Vanguard Emerging Markets ETF 2%
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
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4
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MODERATE ALLOCATION FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES MODERATE ALLOCATION
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) FUND CUSTOM INDEX(5) RUSSELL 1000(R) INDEX(6)
06/30/06 Inception $ 9,425 $10,000 $10,000 $10,000
10/31/2006 10,038 10,180 10,702 10,843
10/31/2007 11,268 11,440 11,974 12,473
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(8) EXPENSE RATIO(9)
1 Year Since Inception(7) 1 Year Since Inception(7) Gross Net
---------------------------- ---------------------------- ------- -----
Class A Shares(2) 12.26% 14.26% 5.80% 9.32% 2.65% 1.60%
Class B Shares(3) 11.38 13.43 6.88 10.56 3.40 2.35
Russell 1000(R) Index(4) 15.03 17.94 -- -- NA NA
Moderate Allocation Fund Custom Index(5) 11.89 14.40 -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B
shares, which is reduced after 12 months and eliminated after six years.
(4) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index
(the Russell 3000(R) Index measures the performance of the 3,000 largest
U.S. companies based on total market capitalization).
(5) The Moderate Allocation Fund Custom Index consists of 50% Russell 1000(R)
Index, 30% Merrill Lynch U.S. Domestic Master Index, 10% MSCI EAFE Index
and 10% 90-Day U.S. Treasury Bills. A description of the Russell 1000(R)
Index is set forth above. The Merrill Lynch U.S. Domestic Master Index is
a broad-based measure of the total rate of return performance of the U.S.
investment-grade bond markets. The index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational
mortgage pass-through, and investment-grade corporate bonds meeting
specified selection criteria. The MSCI EAFE (Europe, Australasia & Far
East) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the
U.S. and Canada.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) The fund commenced investment operations on June 30, 2006. The since
inception index returns are also from June 30, 2006.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses to be incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to place a cap on fund expenses by
agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
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5
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AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
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For the twelve month period ended October 31, 2007, the MEMBERS Aggressive
Allocation Fund provided a net return (A Shares at net asset value) of 18.00%,
reflecting a period of stock market returns in the high teens for U.S. stock
indexes and even higher for international stock indexes.
The fund's strategic allocation target remains at essentially 100% equities, but
this equity exposure is diversified among nine asset classes (ranging from
large-cap value to emerging market stocks) and 10 funds, which are managed by
seven different investment management firms and 10 different lead managers. So,
the fund provides well diversified equity exposure, but only equity exposure; it
is not a fully diversified allocation fund of the type that often includes
various fixed income asset classes in addition to equities.
Very attractive absolute returns were provided by the Vanguard Emerging Markets
ETF (+69.90%), Columbia Marsico Focused Equity Fund (+27.09%), MEMBERS
International Stock Fund (+21.59%), MEMBERS Mid Cap Growth Fund (+19.11%), and
MEMBERS Large Cap Growth Fund (+18.55%) as these market sectors outperformed.
(MEMBERS Funds returns are for Class Y shares at net asset value.)
The returns for this twelve-month period reflect the generally strong economy
world-wide, and the very rapid growth being experienced by China and India.
Although we expect only a moderate economic slowdown, returns like these should
not be expected to continue indefinitely. We see no reason, however, why a
diversified portfolio of stocks from global markets worldwide can't continue to
provide investors with superior long-term returns.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS
A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Equity Securities 66%
Foreign Securities 29%
Alternative Asset Classes 4%
Money Market Securities and Other Net Assets 1%
[END CHART]
LARGEST HOLDINGS AS
A PERCENTAGE OF TOTAL MARKET VALUE
AS OF OCTOBER 31, 2007
MEMBERS International Stock Fund Class Y 24%
MEMBERS Large Cap Growth Fund Class Y 14%
MEMBERS Large Cap Value Fund Class Y 14%
MEMBERS Mid Cap Growth Fund Class Y 10%
MEMBERS Mid Cap Value Fund Class Y 8%
MEMBERS Small Cap Growth Fund Class Y 7%
MEMBERS Small Cap Value Fund Class Y 7%
Columbia Marsico Focused Equities Fund, Class Z 6%
Vanguard Emerging Markets ETF 5%
Cohen & Steers Institutional Realty Shares, Inc. 4%
SSgA Prime Money Market Fund 1%
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
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6
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AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES AGGRESSIVE ALLOCATION
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) RUSSELL 3000(R) INDEX(4) FUND CUSTOM INDEX(5)
06/30/06 Inception $ 9,425 $10,000 $10,000 $10,000
10/31/2006 10,141 10,290 10,838 10,953
10/31/2007 11,967 12,178 12,413 13,159
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(8) EXPENSE RATIO(9)
1 Year Since Inception(7) 1 Year Since Inception(7) Gross Net
---------------------------- ---------------------------- ------- -----
Class A Shares(2) 18.00% 19.51% 11.18% 14.34% 2.80% 1.75%
Class B Shares(3) 17.11 18.67 12.61 15.84 3.55 2.50
Russell 3000(R) Index(4) 14.53 17.51 -- -- NA NA
Aggressive Allocation Fund Custom Index(5) 20.13 22.74 -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 3000(R) Index measures the performance of the 3,000 largest
U.S. companies based on total market capitalization, which represents 98%
of the investable U.S. equity market.
(5) The Aggressive Allocation Fund Custom Index consists of 55% Russell
1000(R) Index, 22% MSCI EAFE Index, 15% Russell 2000(R) Index, and 8% MSCI
Emerging Markets Index. The Russell 1000(R) Index is a large-cap market
index which measures the performance of the 1,000 largest companies in the
Russell 3000(R) Index (see definition above). The Russell 2000(R) Index is
a small-cap market index which measures the performance of the remaining
2,000 companies in the Russell 3000(R) Index. The MSCI EAFE (Europe,
Australasia & Far East) Index is a free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the U.S. and Canada. The MSCI Emerging Markets
Index is a free-float adjusted market capitalization index that measures
equity performance in global emerging markets.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) The fund commenced investment operations on June 30, 2006. The since
inception index returns are also from June 30, 2006.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses to be incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to place a cap on fund expenses by
agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
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7
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BOND FUND PERFORMANCE REVIEW
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Over the twelve month period ended October 31, 2007, the broad bond market as
represented by the Merrill Lynch U.S. Domestic Master Index returned 5.47% and
the average peer earned 4.18%. The MEMBERS Bond Fund earned 3.42% (Class A
shares at net asset value).
While a slight overgeneralization, this year consisted of two distinctly
different market periods. From October 2006 through May 2007, the market was
generally stable and spread products (non-Treasury issues) performed well with
the exception of securities backed by subprime mortgages. The period from June
2007 through October 2007 exhibited significant volatility and dramatic
underperformance of all spread products. Over this 12-month period, the yield
curve moved from slightly inverted (short-term rates higher than longer-term
rates) to a positive slope of approximately 0.60% between the two- and ten-year
treasury notes. This, along with increasing credit concerns late in the year,
resulted in investment grade corporate bonds returning less than Treasuries, but
high yield bonds' average returns exceeded Treasury returns by 1.50%.
The largest negative impact on the performance of the fund was its exposure to
subprime mortgages. Our investment in Goldman Sachs' Alternative Mortgage
Products Trust alone cost the fund over 0.80% of return, and two other subprime
issues (Park Place and Wells Fargo) cost it over 0.20%. Absent the
underperformance of these securities, the fund would have performed in line with
the average peer and, gross of fees, in line with the broad market. While being
underweight the high yield sector has benefited the fund since late spring, this
underweight was the second largest negative contributor to performance for the
period as a whole.
Sector weightings on the whole were not a major performance factor for the fund
other than subprime. However, overweighting of asset-backed securities and
commercial mortgage-backed securities, sectors that historically outperformed in
times of credit uncertainty, were negative. Being underexposed to investment
grade corporates was a significant positive, and the fund generally owned the
right corporates, being slightly overweight the better performing subsectors
(industrials and utilities) while significantly underweighting the worst
(financials). All of the underperformance in the residential mortgage sector
occurred after volatility began increasing in June. The fund held a neutral
weighting from last fall through early spring, then paydowns were allowed to
create an underweight to this sector in the spring and through the rest of the
year, protecting the fund somewhat from the sector's erosion which occurred from
June through October 2007.
Security selection generally benefited fund returns this year. Several
asset-backed securities and commercial mortgage-backed securities significantly
outperformed even though the sectors underperformed. We had generally good
security selection in the mortgage sector, particularly some of the higher
coupon mortgages. A number of corporates performed well, most notably a position
in Rogers Communication that was purchased when our analyst discerned the bond
would be called at a very high price. It was called, and provided a return of 9%
in a matter of several months. Additionally several good sales were executed.
Home builder Pulte and Mexico's oil company Pemex were sold near their tightest
spreads before the turmoil commenced.
Not all selections were opportune, of course, especially a Student Loan
Marketing Association issue purchased in the spring, not long before a leveraged
buyout was announced.
The fund's yield curve posture was a modest net positive. While the portfolio
was close to a neutral position most of the year, we ended the year with a small
"bullet" in position -- meaning we were overweight in the mid-maturity bonds
(around 5 years) and underweight the short and long maturities -- and benefited
marginally from the steepening of the yield curve. Duration posture was not a
factor for the year. It had a positive contribution in late spring, but an
offsetting negative contribution in the late summer and early fall.
We remain concerned about the turmoil in the mortgage-related credit markets,
but have minimal exposure to this area and believe the fund is well positioned
as this crisis plays out in the months ahead.
MEMBERS Capital Advisors, Inc. - Adviser
Dean "Jack" Call, CFA, Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
U.S. Government and Agency Obligations 27%
Mortgage Backed 26%
Corporate Notes and Bonds 19%
Cash and Other Net Assets 13%
Commercial Mortgage Backed 9%
Asset Backed 4%
Private Label Mortgage Backed 2%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
8
================================================================================
BOND FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES MERRILL LYNCH U.S.
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) DOMESTIC MASTER INDEX(4)
12/29/97 Inception $ 9,550 $10,000 $10,000
10/31/1998 10,132 10,086 10,803
10/31/1999 10,294 10,235 10,840
10/31/2000 10,797 10,721 11,634
10/31/2001 12,208 12,225 13,331
10/31/2002 12,723 12,852 14,129
10/31/2003 13,169 13,091 14,825
10/31/2004 13,756 13,676 15,648
10/31/2005 13,858 13,675 15,845
10/31/2006 14,509 14,210 16,669
10/31/2007 15,005 14,586 17,580
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
----------------------------------------- ------------------------------------------ ------- -----
Class A Shares(2) 3.42% 2.94% 3.36% 4.70% (1.28)% 1.37% 2.41% 4.21% 1.08% 0.90%
Class B Shares(3) 2.64 2.17 2.56 3.91 (1.81) 1.08 2.21 3.91 1.83 1.65
Class Y Shares(5) 3.58 -- -- 6.00 -- -- -- -- 0.89 0.65
Merrill Lynch
U.S. Domestic
Master Index(4) 5.47 3.96 4.47 5.90 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 4.50% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. Domestic Master Index is a broad-based measure of
the total rate of return performance of the U.S. investment-grade bond
markets. The index is a capitalization-weighted aggregation of outstanding
U.S. treasury, agency and supranational mortgage pass-through, and
investment-grade corporate bonds meeting specified selection criteria.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 29, 1997;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from December 29, 1997.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's
contractual agreement to place a cap on fund expenses by agreeing until at
least February 28, 2008 to reimburse the fund's expenses, other than its
management, 12b-1 and service fees, that exceed a specified amount
(excluding taxes, interest, and other extraordinary items).
- --------------------------------------------------------------------------------
9
================================================================================
HIGH INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
For the twelve month period ended October 31, 2007, the MEMBERS High Income Fund
returned 6.31% (Class A shares at net asset value) and the Merrill Lynch U.S.
High Yield Master II Index returned 6.85%.
The first seven months of the reporting period were very favorable as the
overall high yield market generated a total return of 7.67%. However, after
yields reached record lows with respect to risk premiums in early June, the high
yield market underwent a significant correction in the June/July time period.
This correction was a result of the concerns about the subprime mortgage market
and the potential contagion effect of a U.S. housing recession on the overall
economy. The high yield market was also negatively impacted by a large backlog
of over-leveraged, poorly structured and low rated financings that were
attempting to access the market in early June. While the investment bankers had
already committed to, or bridged, these substandard financings, high yield
buyers rejected them. This technical imbalance (i.e., supply much greater than
demand) also contributed to the substantial correction in the June/July time
period. During the last three months of the reporting period, the high yield
market managed to counter some but not all of the losses incurred during the
early summer downdraft. However, the high yield market ended the year trading at
levels indicating that investors are becoming more focused on the risk of a
weaker U.S. economy. For example, yields spreads, or the premiums that investors
require to compensate for the higher risks of high yield bonds, have risen from
2.71% in May to approximately 4.38% at the end of the reporting period.
Despite the change in sentiment during the latter part of the reporting period,
lower rated and discounted securities (i.e., higher risk securities)
out-performed the overall market for the entire twelve month period. The fund's
underweight in these riskier credits somewhat hurt relative returns. At the same
time, the fund's significant underweight in double B-rated credits benefited
performance as this rating category trailed the performance of the overall
market.
The fund's industry allocations also contributed positively to performance
particularly having no exposure to the home building, real-estate, and banking
sectors. Strategic overweighting to the support services sector, the largest
industry weighting for the period, added positively to performance. The
portfolio also benefited from strong performance in its energy, telecom and
healthcare holdings. However, disappointing performance in the portfolio's drug,
retail and paper holdings detracted from performance during the time period. The
fund remains biased towards investments in less economically sensitive
industries while deemphasizing more cyclical or consumer discretionary-dependent
industries.
We remain vigilant in our effort to identify any credit deterioration in
cyclical and consumer-oriented industries. We have positioned the portfolio to
weather a slower growing U.S. economy in 2008. Our strategy is to avoid
investments in the homebuilding sector and maintain limited exposure to sectors
that may be negatively impacted by a decline in U.S. consumer spending. The
credit markets attracted a lot of negative press during the latter part of the
reporting period, significantly increasing volatility. Despite these headwinds,
we maintained our disciplined approach to evaluating credits and have continued
to invest in companies that we believe are not excessively levered, are
well-managed, and are well-positioned in their respective industries.
MEMBERS Capital Advisors, Inc. - Adviser
Shenkman Capital Management, Inc. - Subadviser
Mark R. Shenkman; Frank X. Whitley; Mark R. Flanagan, CPA, CFA; Robert Stricker,
CFA; and Steve Schweitzer, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
Support Services 8%
Health Care 8%
Gaming 8%
Oil and Gas 7%
Telecommunications 7%
Cash and Other Net Assets 6%
Utilities 5%
Media - Cable 5%
Automotive 5%
Consumer Products 4%
Non Food and Drug Retailers 3%
Media - Diversified and Services 3%
Printing and Publishing 3%
Technology 3%
Metals and Mining 3%
General Industrial and Manufacturing 2%
Forestry/Paper 2%
Media - Broadcasting 2%
Beverage/Food 2%
Chemicals 2%
Environmental 2%
Apparel/Textiles 1%
Transportation 1%
Food and Drug Retailers 1%
Hotels 1%
Steel 1%
Packaging 1%
Real Estate Investment Trusts 1%
Restaurants 1%
Building Materials 1%
Aerospace/Defense 1%
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
10
================================================================================
HIGH INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES MERRILL LYNCH U.S. HIGH
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) YIELD MASTER II INDEX(4)
12/29/97 Inception $ 9,550 $10,000 $10,000
10/31/1998 8,999 8,962 9,809
10/31/1999 9,870 9,805 10,359
10/31/2000 9,790 9,698 10,185
10/31/2001 9,600 9,571 10,191
10/31/2002 9,632 9,745 9,525
10/31/2003 11,663 11,617 12,678
10/31/2004 12,914 12,862 14,223
10/31/2005 13,282 13,127 14,780
10/31/2006 14,388 14,131 16,309
10/31/2007 15,297 14,908 17,425
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 6.31% 5.81% 9.69% 4.90% 1.49% 4.18% 8.69% 4.41% 1.22% 1.00%
Class B Shares(3) 5.50 5.04 8.87 4.14 1.05 4.01 8.59 4.14 1.97 1.75
Class Y Shares(5) 6.72 -- -- 8.55 -- -- -- -- 1.06 0.75
Merrill Lynch
U.S. High
Yield Master II
Index(4) 6.85 7.00 12.84 5.80 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 4.50% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B
shares, which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. High Yield Master II Index tracks the performance
of below investment grade U.S. dollar denominated corporate bonds publicly
issued in the U.S. domestic market.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 29, 1997;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from December 29, 1997.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's
contractual agreement to place a cap on fund expenses by agreeing until at
least February 28, 2008 to reimburse the fund's expenses, other than its
management, 12b-1 and service fees, that exceed a specified amount
(excluding taxes, interest, and other extraordinary items).
- --------------------------------------------------------------------------------
11
================================================================================
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
The past twelve months have been represented by significant volatility in both
the equity and fixed income markets. In the midst of a slowing economy and
steady-to-falling interest rates, it would be rational to expect fairly mundane
performance across equities and fixed income. The markets' uncertainty
surrounding the subprime mortgage crisis was manifest across both the stock and
bond markets.
Amidst this environment, for the twelve month period ended October 31, 2007, the
MEMBERS Diversified Income Fund returned 5.95% (Class A shares at net asset
value) while the Russell 1000(R) Index rose 15.03% and the Merrill Lynch U. S.
Domestic Master Index returned 5.47%.
As mentioned in the semi-annual report for the first six months of the period,
the effects of the losses on asset-backed securities exposed to the subprime
mortgage crisis were formidable. This had a marked impact on the
underperformance of the fund's fixed income portfolio for the fiscal year. In
addition, the fund's focus on generating distributable income resulted in a
smaller weighting in stocks, which outperformed bonds by a large amount. Also
during the period, our stock holdings modestly underperformed the equity
benchmark, primarily due to our large underweight in the low-yielding
information technology sector. This is not uncommon for the fund's equity
portfolio because there are few high dividend paying companies in this segment.
On the plus side, our overweight in the consumer discretionary, consumer staples
and telecommunications services sectors added nicely to the equity portfolio's
return.
The largest negative impact on the performance of the bond portion of the fund
was its exposure to subprime mortgages. Goldman Sachs' Alternative Mortgage
Products Trust, Park Place and Wells Fargo all suffered significant price
declines. While being underweight the high yield sector has benefited the fund
since late spring, this underweight was a negative contributor to performance
over the period as a whole.
Apart from subprime exposures, sector weightings were not a major performance
factor for the fund's fixed-income portion of the portfolio. Security selection
generally benefited fund returns this year. Several asset-backed securities and
commercial mortgage-backed securities significantly outperformed, and a number
of corporates also performed well. For instance, a position in Rogers
Communication was purchased when our analyst discerned the bond was likely to be
called at a very high price. It provided a return of 9% in a matter of several
months. Additionally, several good sales were executed. Home builder Pulte and
Mexico's oil company Pemex were sold near their tightest spreads before the
turmoil commenced. On the negative side, a Student Loan Marketing Association
issue was purchased in the spring shortly before the company announced a
leveraged buyout which caused the security to suffer an immediate, significant
price decline.
We continue to believe that our bond portfolio posture of underweighting credit
risk will prove beneficial in the months ahead. The stock portfolio's increasing
focus on yield may dampen the fund's returns during strong market advances like
we experienced during much of this fiscal year, but should serve to stabilize
returns in volatile markets, such as those we have experienced in recent months.
Importantly, we expect monthly income distributions to shareholders to increase,
thus serving income-seeking investors well in the future.
MEMBERS Capital Advisors, Inc. - Adviser
John H. Brown, CFA; and Dean "Jack" Call, CFA, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Common Stocks 47%
Mortgage Backed 18%
Corporate Notes and Bonds 16%
U.S. Government and Agency Obligations 9%
Commercial Mortgage Backed 5%
Asset Backed 2%
Private Label Mortgage Backed 2%
Cash and Other Net Assets 1%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
12
================================================================================
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES MERRILL LYNCH U.S. HIGH
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) DOMESTIC MASTER INDEX(4) RUSSELL 1000(R) INDEX(5)
12/29/97 Inception $ 9,425 $10,000 $10,000 $10,000
10/31/1998 10,266 10,374 10,803 11,459
10/31/1999 11,866 11,922 10,840 14,391
10/31/2000 12,893 13,053 11,634 15,694
10/31/2001 11,792 11,867 13,331 11,608
10/31/2002 10,897 11,161 14,129 9,913
10/31/2003 12,284 12,385 14,825 12,125
10/31/2004 13,231 13,347 15,648 13,256
10/31/2005 13,991 14,006 15,845 14,644
10/31/2006 15,386 15,299 16,669 16,991
10/31/2007 16,302 16,077 17,580 19,881
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 5.95% 7.21% 8.39% 5.73% (0.17)% 5.11% 7.11% 5.09% 1.21% 1.10%
Class B Shares(3) 5.09 6.40 7.57 4.94 0.59 5.36 7.27 4.94 1.96 1.85
Merril Lynch U.S.
Domestic(4)
Master Index 5.47 3.96 4.47 5.90 -- -- -- -- NA NA
Russell 1000(R)
Index(5) 15.03 13.82 14.54 7.23 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. Domestic Master Index is a broad-based measure of
the total rate of return performance of the U.S. investment-grade bond
markets. The index is a capitalization-weighted aggregation of outstanding
U.S. treasury, agency and supranational mortgage pass-through, and
investment-grade corporate bonds meeting specified selection criteria.
(5) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index
(the Russell 3000(R) Index measures the performance of the 3,000 largest
U.S. companies based on total market capitalization).
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 29, 1997.
The annualized since inception index return is from December 29, 1997.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's
contractual agreement to place a cap on fund expenses by agreeing until at
least February 28, 2008 to reimburse the fund's expenses, other than its
management, 12b-1 and service fees, that exceed a specified amount
(excluding taxes, interest, and other extraordinary items).
- --------------------------------------------------------------------------------
13
================================================================================
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
For the twelve month period ended October 31, 2007, the MEMBERS Large Cap Value
Fund performed well in what proved to be a different environment for value
investors relative to the past several years. What was different? Most notably,
stocks that rode on the coat tails of the consumer spending frenzy of the past
several years suffered in the wake of a housing crisis and tightening credit. As
such, for the first time in seven years, growth outperformed value. While in
general, value-oriented stocks gained across most market capitalizations, as
capitalizations rose so did performance. In summary, for the twelve-month period
ended October 31, 2007, the largest cap value stocks posted double-digit
returns, whereas the returns for micro-cap value stocks were slightly negative
(as measured by the Russell 1000(R) Value Index and the Russell Microcap(R)
Value Index, respectively).
Still, large-cap value stocks posted quite respectable returns for an investment
style that was relatively "out of favor". The fund returned 10.88% (Class A
shares net asset value) during the period and the Russell 1000(R) Value Index
rose 10.83%.
Helping performance were our holdings in the consumer discretionary and energy
sectors. In particular, McDonald's Corp. in the consumer area, and oil-driven
companies such as Chevron, ConocoPhillips, Exxon and Marathon Oil added nicely
to results.
Nimble stock selection across the financial sector, specifically NOT holding
Countrywide Financial, served to bolster downside protection in an area fraught
with trouble. Despite this, weakness in Allstate, American International Group
(AIG), and Bank of America detracted from overall performance.
Going forward, we will continue to work diligently to assess the risks in the
financial sector, which represent a formidable weight in our market benchmark,
to determine a prudent position and related holdings. In the midst of a slowing
economy, we believe buying companies with sound business fundamentals, the
ability to generate free cash flow, and that are trading at reasonable
valuations will likely provide good performance results in the future.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Financials 30%
Energy 14%
Industrials 10%
Consumer Staples 8%
Consumer Discretionary 7%
Health Care 7%
Utilities 6%
Telecommunication Services 6%
Cash and Other Net Assets 4%
Information technology 4%
Materials 4%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
14
================================================================================
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES RUSSELL 1000(R)
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) VALUE INDEX(4)
12/29/97 Inception $ 9,425 $10,000 $10,000
10/31/1998 10,327 10,447 10,864
10/31/1999 12,634 12,821 12,659
10/31/2000 13,506 13,682 13,358
10/31/2001 10,748 10,777 11,773
10/31/2002 9,081 9,295 10,593
10/31/2003 10,801 10,861 13,017
10/31/2004 12,041 12,134 15,028
10/31/2005 13,193 13,194 16,811
10/31/2006 15,666 15,550 20,418
10/31/2007 17,370 17,110 22,959
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 10.88% 12.99% 13.85% 6.41% 4.52% 10.79% 12.51% 5.77% 1.20% 1.20%
Class B Shares(3) 10.03 12.14 12.98 5.61 5.53 11.20 12.73 5.61 1.95 1.95
Class Y Shares(5) 11.21 -- -- 16.25 -- -- -- -- 0.96 0.95
Russell 1000(R)
Value Index(4) 10.83 14.62 16.39 8.81 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B
shares, which is reduced after 12 months and eliminated after six years.
(4) The Russell 1000(R) Value Index is a large-cap market index which measures
the performance of those Russell 1000 companies with lower price-to-book
ratios and lower forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 29, 1997;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from December 29, 1997.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses to be incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to place a cap on fund expenses by
agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
- --------------------------------------------------------------------------------
15
================================================================================
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
For the twelve month period ended October 31, 2007, the MEMBERS Large Cap Growth
Fund participated nicely in the strength of large-cap growth stocks during the
period. The long awaited return of investors to this segment of the market has
been expected by many. Its timing, however, was difficult to pinpoint as events
in recent history -- lower interest rates driving unprecedented mortgage
refinancing and putting that borrowed discretionary cash in consumer's pockets--
had sustained the smaller to midsized value stocks for several years running. On
the heels of a housing market downturn, the subprime mortgage debacle and
climbing commodity prices, we welcome the perceived "flight to safety," which is
leading investors to shares of larger, more growth-oriented companies.
At times, perception becomes reality and the past 12 months are proof as
large-cap growth stocks rose 19.23% as measured by the Russell 1000(R) Growth
Index. In contrast, the smallest/micro-cap value stocks, that were the darlings
of the past several years, posted a -0.33% return for the twelve months ended
October 31, 2007. For the same period, the fund returned 18.30% (Class A shares
at net asset value).
The most significant contributors to the fund's return relative to the index
came, perhaps not surprisingly, from its overweight in energy. In particular,
Schlumberger Ltd. gained 49%, adding nicely to the sector's overall performance.
Information technology experienced strong gains (our holdings in this sector
were up 29.80%) and our overweight position in this sector boosted the fund's
results.
Countering the strength in IT and energy was weak performance in health care, to
the extent that relative underperformance in this sector offset gains made
across the portfolio and thus the modest underperformance relative to the index
for the trailing 12 months.
For some time, we have anticipated a shift in investor preference toward large
cap growth stocks and the portfolio continues to be positioned accordingly.
Growth stocks tend to do well when the economy is slowing and uncertainty is
rising. These two trends seem to be well in place for the near future.
Multi-national companies and global franchises in particular are favored in the
portfolio as we see these having the best potential for sustainable earnings
growth. Looking ahead, we are working steadfastly to invest in companies whose
financial strength can withstand uncertainty in the economy. We continue to see
good investment opportunities in these companies.
MEMBERS Capital Advisors, Inc. - Adviser
Bruce E. Ebel, CFA, CFP(R), Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Information Technology 28%
Health Care 16%
Industrials 12%
Consumer Discretionary 10%
Consumer Staples 9%
Energy 8%
Cash and Other Net Assets 6%
Financials 6%
Materials 3%
Telecommunication Services 1%
Utilities 1%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
16
================================================================================
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES RUSSELL 1000(R)
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) GROWTH INDEX(4)
12/29/97 Inception $ 9,425 $10,000 $10,000
10/31/1998 10,415 10,541 12,318
10/31/1999 12,945 13,153 16,537
10/31/2000 15,550 15,812 18,080
10/31/2001 12,116 12,205 10,858
10/31/2002 9,142 9,364 8,728
10/31/2003 11,278 11,366 10,632
10/31/2004 12,218 12,341 10,991
10/31/2005 13,026 13,055 11,960
10/31/2006 14,031 13,960 13,256
10/31/2007 16,598 16,384 15,805
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 18.30% 10.75% 12.67% 5.92% 11.47% 8.57% 11.34% 5.28% 1.45% 1.20%
Class B Shares(3) 17.36 9.91 11.84 5.15 12.86 8.93 11.58 5.15 2.20 1.95
Class Y Shares(5) 18.55 -- -- 19.73 -- -- -- -- 1.30 0.95
Russell 1000(R)
Growth
Index(4) 19.23 12.87 12.61 4.76 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 1000(R) Growth Index is a large-cap market index which measures
the performance of those Russell 1000 companies with higher price-to-book
ratios and higher forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 29, 1997;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from December 29, 1997.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus, for the fiscal year ended October 31, 2006. The
net figures shown reflect the fund's actual expense ratio after taking
into account the investment adviser's contractual agreement to place a cap
on fund expenses by agreeing until at least February 28, 2008 to reimburse
the fund's expenses, other than its management, 12b-1 and service fees,
that exceed a specified amount (excluding taxes, interest, and other
extraordinary items).
- --------------------------------------------------------------------------------
17
================================================================================
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
For the twelve month period ended October 31, 2007, the MEMBERS Mid Cap Value
Fund performed well in what proved to be a very different environment for value
investors relative to the past several years. What was different? Most notably,
stocks that rode on the coat tails of the consumer spending frenzy of the past
several years suffered in the wake of a housing crisis and tightening credit. As
such, for the first time in seven years, growth outperformed value. While in
general, value-oriented stocks gained across most market capitalizations, as
capitalizations rose so did performance. In summary, for the twelve-month period
ended October 31, 2007, the largest cap value stocks posted double-digit
returns, whereas the returns for micro-cap value stocks were slightly negative
(as measured by the Russell 1000(R) Value Index and the Russell Microcap(R)
Value Index, respectively).
Still, mid-cap value stocks posted quite respectable returns for an investment
style that is relatively "out of favor". The fund returned 9.94% (Class A shares
net asset value) during the period and the Russell Midcap(R) Value Index rose
9.73%.
Stock selection results were the largest contributor to the fund's performance,
particularly in the financial sector (where an underweight position also helped)
and the healthcare sector. Given the recent turmoil in the financial markets due
to the subprime mortgage debacle, navigating away from stocks most exposed to
this area was a priority. For example, NOT owning mortgage insurers such as MGIC
Investment Corp. (down 66.46%) or Radian Group (down 76.33%) bolstered downside
protection in an area fraught with trouble.
The primary detractors from performance relative to the index were our holdings
in information technology and materials. While these sectors do not represent
large positions in the portfolio (less than 15% combined), the performance of
our stocks did not hold up to that of their corresponding market sector as
represented in the Russell Midcap(R) Value benchmark.
Going forward, we will continue to work diligently to assess the risks in the
financial sector, which represent a formidable weight in our market benchmark,
to determine a prudent position and related holdings. In the midst of a slowing
economy, we are emphasizing the larger end of the mid-cap spectrum, particularly
those companies with global exposure, believing these will likely provide good
performance results in the future.
MEMBERS Capital Advisors, Inc. - Adviser
Livia S. Asher, Portfolio Manager
Wellington Management Company, LLP - Subadvisor
Stephen T. O'Brien, CFA, Lead Portfolio Manager; Timothy J. McCormack, CFA;
Shaun F. Pedersen, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Financials 28%
Consumer Discretionary 12%
Industrials 12%
Utilities 12%
Information Technology 8%
Consumer Staples 7%
Energy 7%
Materials 6%
Health Care 4%
Cash and Other Net Assets 2%
Telecommunication Services 2%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
18
================================================================================
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES RUSSELL MIDCAP(R)
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) VALUE INDEX(4)
2/28/01 Inception $ 9,425 $10,000 $10,000
10/31/2001 8,935 9,006 9,255
10/31/2002 8,149 8,540 8,980
10/31/2003 10,488 10,560 11,986
10/31/2004 11,733 11,790 14,352
10/31/2005 13,370 13,471 17,151
10/31/2006 15,768 15,899 20,670
10/31/2007 17,335 17,461 22,561
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 9.94% 13.89% 16.30% 9.56% 3.61% 11.67% 14.92% 8.59% 1.68% 1.40%
Class B Shares(3) 9.14 13.03 15.38 8.71 5.15 12.11 15.15 8.71 2.45 2.15
Class Y Shares(5) 10.25 -- -- 13.09 -- -- -- -- 1.63 1.15
Russell Midcap(R)
Value Index(4) 9.73 16.48 20.36 12.96 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell Midcap(R) Value Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with lower price-to-book
ratios and lower forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on February 28, 2001;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from February 28, 2001.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's
contractual agreement to place a cap on fund expenses by agreeing until at
least February 28, 2008 to reimburse the fund's expenses, other than its
management, 12b-1 and service fees, that exceed a specified amount
(excluding taxes, interest, and other extraordinary items).
- --------------------------------------------------------------------------------
19
================================================================================
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
For the twelve month period ended October 31, 2007, most major indexes posted
positive returns. The S&P 500 returned 14.6% despite a -3.3% drop over June,
July, and August. While the US equity market has rebounded since August, aided
by the Federal Reserve easing of interest rates, ongoing investor concerns about
the credit markets, housing sector weakness, commodity inflation and their
effects on the overall economy persist. Growth stocks outperformed value stocks
as measured by the Russell Midcap(R) Growth and the Russell Midcap(R) Value
Indexes, reversing the pattern of the last several years. The materials, energy,
and utilities sectors were the strongest performers, while the financials and
consumer discretionary sectors were the weakest reflecting the slowing economy
and subprime mortgage-related credit problems.
The MEMBERS Mid Cap Growth Fund returned 18.82% (Class A shares at net asset
value) during the year, while the Russell Midcap(R) Growth Index gained 19.72%.
Strong stock selection produced positive benchmark-relative results in five of
ten sectors. Stock selection was strongest within the health care, information
technology, and consumer staples sectors. Weak stock selection within
industrials and an underweight to the strong-performing materials sector were
the largest detractors to relative performance.
The most notable individual contributors to relative performance were
Priceline.com (retailing), Precision Castparts (capital goods), Flir Systems
(technology hardware & equipment), and Varian Semiconductor Equipment
(semiconductors & semiconductor equipment). Priceline.com, an on-line travel
company, gained as strong non-US travel bookings led to higher-than-expected
quarterly earnings and upward full-year guidance. Shares of Precision Castparts,
a manufacturer of complex metal products and components for aerospace and
general industrial applications, strengthened as the company reported
significant sales and earnings growth driven by continued commercial aerospace
strength and heightened industrial gas turbine sales. Flir Systems, a thermal
imaging and infra-red camera products and systems company, rallied as the
company announced a series of government contract awards.
Detracting from relative performance were E*Trade Financial (diversified
financials), WR Berkley (insurance), Carter's (consumer durables), and Qlogic
(technology hardware & equipment). Shares of E*Trade, a retail and institutional
trading and financial services company, fell on credit concerns regarding the
firm's mortgage and home equity portfolios. Carter's, a marketer of children's
apparel, fell as a turnaround in the company's Oshkosh division is taking longer
than expected to materialize.
We continue to find many high-quality sustainable growth companies to include in
the fund and see no shortage of companies that we think will deliver improving
margins, growing profits, and higher returns on investments. We ended the period
with an overweight to the health care, industrials, and financials sectors and
an underweight to the consumer staples, utilities, and materials sectors
relative to the Russell Midcap(R) Growth Index.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser Francis J. Boggan, CFA,
Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Information Technology 21%
Industrials 19%
Consumer Discretionary 16%
Health Care 16%
Energy 12%
Financials 9%
Materials 3%
Cash & Other Net Assets 2%
Consumer Staples 1%
Telecommunication Services 1%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
20
================================================================================
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES RUSSELL MIDCAP(R)
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) GROWTH INDEX(4)
2-29-00 Inception $9,425 $10,000 $10,000
10/31/2000 7,417 7,478 9,164
10/31/2001 4,024 4,051 5,244
10/31/2002 3,289 3,420 4,320
10/31/2003 4,204 4,210 6,018
10/31/2004 4,552 4,577 6,545
10/31/2005 5,052 5,089 7,587
10/31/2006 5,910 5,970 8,688
10/31/2007 7,022 7,040 10,401
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 18.82% 15.54% 16.38% (3.76)% 12.03% 13.32% 15.02% (4.50)% 1.61% 1.40%
Class B Shares(3) 17.92 14.66 15.53 (4.47) 13.42 13.77 15.31 (4.47) 2.35 2.15
Class Y Shares(5) 19.11 -- -- 20.29 -- -- -- -- 1.47 1.15
Russell Midcap(R)
Growth
Index(4) 19.72 16.69 19.21 0.51 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B
shares, which is reduced after 12 months and eliminated after six years.
(4) The Russell Midcap(R) Growth Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with higher price-to-book
ratios and higher forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on February 29, 2000;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from February 29, 2000.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses to be incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to place a cap on fund expenses by
agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
- --------------------------------------------------------------------------------
21
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
Since its inception on December 27, 2006 through October 31, 2007, the MEMBERS
Small Cap Value Fund advanced 3.60% (Class A shares at net asset value)
outperforming the Russell 2000(R) Value Index return of -1.69%. During this
period, most major indices posted positive returns, but ongoing investor
concerns about the credit markets, housing sector weakness, commodity inflation
and their effects on the overall economy persist. Growth stocks outperformed
value stocks as measured by the Russell 2000(R) Growth and the Russell 2000(R)
Value Indexes, reversing the pattern of the last several years. Within the
Russell 2000(R) Value Index, seven out of ten broad economic sectors posted
positive returns. The materials, energy, and health care sectors were the
strongest performers, while the consumer discretionary and financials sectors
were the weakest reflecting the slowing economy and subprime mortgage-related
credit problems.
Primarily driven by favorable stock selection, the fund's performance was strong
on an absolute and relative basis outperforming the benchmark in eight of ten
sectors. Stock selection was strongest in the consumer discretionary,
financials, and materials sectors. Weak stock selection in industrials detracted
slightly from relative performance. Sector allocation, while just a fall-out of
bottom-up stock selection, contributed positively to portfolio performance. The
fund benefited from an overweight to the strong-performing industrials and
consumer staples sectors and an underweight to the weak-performing financials
sector.
Key individual contributors to relative performance versus the Russell 2000(R)
Value Index were Novelis (materials), Belden (capital goods) and Penn Virginia
(energy). Shares of Novelis, the world's leading aluminum rolled products
producer, appreciated significantly during the first half of 2007 after the
company announced that it had entered into an agreement to be acquired. Belden,
a designer and manufacturer of high-speed electronic cables and connectivity
products, advanced as the market responded favorably to strategic acquisitions.
Detractors from relative performance during the period included RAIT Investment
Trust (real estate), Trex (capital goods), and CF Industries (materials). Shares
of RAIT Investment Trust were weak as the company's acquisition of Taberna, an
entity that originates financing for REITs and other real estate operating
companies primarily in the form of trust preferred securities and subordinated
debt, exposed the company to the recent financial turmoil in the debt markets.
Trex, a leading producer of composite wood products primarily for the
residential housing market, traded lower as the sharp housing downturn hurt
demand and compounded the earnings pressures caused by the company's investments
to rectify quality-control problems.
The small cap value investment approach emphasizes individual stock selection
and sector weights are a residual of the process. We do, however, carefully
consider diversification across economic sectors to limit risk. During the year,
our transactions were spread out across a number of sectors, and were largely
driven by individual stock opportunities. Industrials received the largest
amount of new funds as we opportunistically added to existing positions.
Holdings in the materials and financials sectors were a source of funds. At the
end of the period, our bottom-up investment decisions resulted in
greater-than-benchmark weights in the industrials, consumer discretionary and
consumer staples, and underweight positions in the information technology,
financials, and materials sectors.
MEMBERS Capital Advisors - Adviser
Wellington Management Company, LLP - Subadviser
Stephen T. O'Brien, CFA, Lead Portfolio Manager; Timothy J. McCormack, CFA, and
Shaun F. Pedersen, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Financials 25%
Industrials 24%
Consumer Discretionary 16%
Cash and Other Net Assets 6%
Consumer Staples 6%
Energy 5%
Health Care 5%
Information Technology 5%
Utilities 4%
Materials 3%
Telecommunication Services 1%
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
22
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES RUSSELL 2000(R)
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) VALUE INDEX(4)
12/27/06 Inception $9,425 $10,000 $10,000
10/31/2007 9,764 9,840 9,831
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(8) EXPENSE RATIO(9)
Since Inception(7) Since Inception(7) Gross Net
------------------ ------------------ ------- -----
Class A Shares(2) 3.60% (2.36)% 2.85% 1.50%
Class B Shares(3) 2.90 (1.60) 3.60 2.25
Class Y Shares(5) 5.60 -- 2.60 1.25
Russell 2000(R) Value Index(4) (1.69) -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B
shares, which is reduced after 12 months and eliminated after six years.
(4) The Russell 2000(R) Value Index is a small-cap market index which measures
the performance of those Russell 2000 companies with lower price-to-book
ratios and lower forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 27, 2006;
Class Y shares commenced investment operations on January 9, 2007. The
annualized since inception index return is from December 27, 2006.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on estimated expenses to be incurred by the
fund, as described in the current Prospectus. The net figures shown
reflect the fund's actual expense ratio after taking into account the
investment adviser's contractual agreement to place a cap on fund expenses
by agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
- --------------------------------------------------------------------------------
23
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
Equity markets began the year on a positive note, but concerns about subprime
mortgage defaults, high energy costs and a slowing economy led to a heavy drop
at the end of February. The markets gained back some of their losses in March as
investors believed the Fed had changed its bias from raising interest rates. The
markets continued rising on news of higher-than-expected corporate earnings and
speculation of an imminent Federal Reserve interest rate cut. However, in June
such interest rate bets were reversed and equity markets consolidated into a
holding pattern while investors watched bond prices tumble and yields surge.
Seemingly, bond market proponents were reacting to economic statistics which
reflected a growing economy.
In early July, the S&P 500 and other major indices hit all time highs with
year-to-date gains of over 10%. However, several major banks stated that they
would be increasing their reserves to counter bad loans. Fears that subprime
mortgage defaults would spark a widespread global credit crisis caused world
equity markets to tumble at least 10%, erasing all year-to-date gains. During
the crisis, central banks in the U.S., Asia, and Europe injected emergency funds
to provide liquidity and restore investor confidence. The Federal Reserve also
unexpectedly cut its discount rate by 0.5% to 5.75%. In September, equity
markets bounced back after the Fed lowered its target federal funds rate by half
a point to 4.75%. There was a further 0.25% cut in October. The Fed stated that,
"tight credit conditions have the potential to intensify the housing correction
and to restrain economic growth."
Since its inception on December 27, 2006 through October 31, 2007, the MEMBERS
Small Cap Growth Fund advanced 11.92% (Class A shares at net asset value). The
Russell 2000(R) Growth Index returned 14.31%.
Over the year, the fund has profited from good asset selection, exposure to
positive momentum and a larger capitalization bias. Being overweight in
industrials and materials aided performance while overexposure to financials and
underweight positions in health care and technology hindered returns. Some of
the major contributors to performance were Foster Wheeler Ltd., Deckers Outdoor
Corp. and Washington Group International while weaker performing stocks were
WellCare, Medicines Co. and Daktronics Inc.
The fund remains well diversified and positioned in opportunities that we
believe will serve investors well over the long-term. With uncertainty in the
markets today, a long-term perspective is key to overall investor success.
MEMBERS Capital Advisors - Adviser
Paradigm Asset Management Company, LLC - Subadviser
James E. Francis, Jeffrey E. Marcus and Gregory Pai, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Industrials 27%
Information Technology 19%
Health Care 16%
Consumer Discretionary 15%
Energy 6%
Financials 6%
Materials 6%
Cash and Other Net Assets 3%
Consumer Staples 1%
Telecommunication Services 1%
Utilities 0%**
[END CHART]
* The industry classification method used for purposes of this report may
differ from the industry subclassification(s) used for Trust compliance
purposes.
** Rounds to 0%
- --------------------------------------------------------------------------------
24
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES RUSSELL 2000(R)
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) GROWTH INDEX(4)
12/27/06 Inception $ 9,425 $10,000 $10,000
10/31/2007 10,548 10,661 11,431
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(8) EXPENSE RATIO(9)
Since Inception(7) Since Inception(7) Gross Net
------------------ ------------------ ------- -----
Class A Shares(2) 11.92% 5.48% 2.85% 1.50%
Class B Shares(3) 11.11 6.61 3.60 2.25
Class Y Shares(5) 13.92 -- 2.60 1.25
Russell 2000(R) Growth Index(4) 14.31 -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 2000(R) Growth Index is a small-cap market index which measures
the performance of those Russell 2000 companies with higher price-to-book
ratios and higher forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 27, 2006;
Class Y shares commenced investment operations on January 9, 2007. The
annualized since inception index return is from December 27, 2006.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses to be incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to place a cap on fund expenses by
agreeing until at least February 28, 2008 to reimburse the fund's
expenses, other than its management, 12b-1 and service fees, that exceed a
specified amount (excluding taxes, interest, and other extraordinary
items).
- --------------------------------------------------------------------------------
25
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
The MEMBERS International Stock Fund returned 21.24% (Class A shares at net
asset value) for the twelve month period ended October 31, 2007, while the MSCI
EAFE Index returned 25.43% for the same period. Fund performance was bolstered
by exposure to the emerging markets which advanced over 68% during the period as
measured by the MSCI Emerging Markets Index.
Typical for a broadly diversified fund invested across many countries, there was
a mix of strong performing and weak performing markets. From a regional
perspective, Asian markets outside of Japan rose strongly during the period, as
did European markets. The Japanese market underperformed materially, reflecting
fears that the economic recovery was losing steam. From a sector perspective,
materials, telecom services, and industrial stocks performed well. Conversely,
financial stocks performed poorly, and health care stocks significantly
underperformed, hurt by litigation about drug safety as well as by competition
from generic drugs.
The fund's allocation to large capitalization developed markets helped
performance, due largely to strong stock selection and an overweight position in
the consumer staples sector, an area which we believe offers consistently high
financial productivity. Stock selection in telecom services also helped
performance, as Singapore Telecommunications benefited from continued strong
growth in its emerging-markets wireless services. Holdings in Vodafone also rose
nicely. Conversely, performance was hurt by an underweight position in materials
and, within this sector, a lack of exposure to mining companies along with
weakness in Japanese financial stocks. The small capitalization developed
markets segment's performance lagged that of the MSCI Small Cap (World ex-U.S.)
Index. During the period, stock selection in the energy and materials sectors
contributed positively to the fund's performance, while stock selection in the
industrials and information technology sectors detracted from returns. Shares in
emerging markets rose dramatically throughout the period with particular
strength in Latin America and Asia where stocks in the industrials and materials
sectors outperformed. The fund's holdings in the developing markets of Europe,
the Middle East and Africa hindered performance.
We believe equity markets are usually very efficient at anticipating and
discounting future events, and currently, markets are discounting a slowdown in
corporate earnings. Historically, periods of slowing corporate-earnings growth
have favored larger-cap, more diversified, and more consistently profitable
companies, as investors seek out stability amid a more adverse environment. We
believe the portfolio is well positioned to benefit from those companies that,
from our perspective, are attractively valued yet offer greater than average
sustainability of future earnings. As a result, we expect the portfolio to
perform well in the anticipated market conditions.
MEMBERS Capital Advisors - Adviser
Lazard Asset Management - Subadviser
John R. Reinsberg, Lead Portfolio Manager;
Gabrielle M. Boyle, Michael A. Bennett; Michael G. Fry; Michael Powers,
Brian Pessin, CFA; Edward Rosenfeld, James M. Donald, CFA; Rohit Chopra,
Erik McKee, and Kevin O'Hare, Portfolio Managers
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
OF OCTOBER 31, 2007*
[PIE CHART OF SECTOR ALLOCATION]
Europe (excluding United Kingdom) 43%
United Kingdom 22%
Japan 15%
Pacific Basin 8%
Cash & Other Net Assets 4%
Latin America 3%
Other Countries 3%
Africa 2%
[END CHART]
* The industry classification method used for purposes of this report may differ
from the industry subclassification(s) used for Trust compliance purposes.
- --------------------------------------------------------------------------------
26
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) MSCI EAFE INDEX(4)
12/29/97 Inception $ 9,425 $10,000 $10,000
10/31/1998 9,764 9,840 11,090
10/31/1999 11,413 11,545 13,681
10/31/2000 10,353 10,413 13,317
10/31/2001 7,984 8,017 10,031
10/31/2002 7,646 7,826 8,734
10/31/2003 9,822 9,885 11,141
10/31/2004 11,743 11,835 13,288
10/31/2005 14,187 14,202 15,758
10/31/2006 17,750 17,635 20,177
10/31/2007 21,521 21,217 25,309
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2007(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
1 Year 3 Years 5 Years Inception(7) 1 Year 3 Years 5 Years Inception(7) Gross Net
-------------------------------------------- -------------------------------------------- ------- -----
Class A Shares(2) 21.24% 22.37% 22.99% 8.75% 14.24% 20.00% 21.54% 8.10% 1.87% 1.60%
Class B Shares(3) 20.31 21.48 22.08 7.94 15.81 20.69 21.90 7.94 2.62 2.35
Class Y Shares(5) 21.59 -- -- 22.23 -- -- -- -- 1.72 1.35
MSCI EAFE Index(4) 25.43 23.96 23.71 9.89 -- -- -- -- NA NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The MSCI EAFE (Europe, Australasia & Far East) Index is free
float-adjusted market capitalization index that is designed to measure
developed market equity performance, excluding the U.S. and Canada.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional
shares of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect
fees or expenses.
(7) Class A and B shares commenced investment operations on December 29, 1997;
Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is from December 29, 1997.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's
contractual agreement to place a cap on fund expenses by agreeing until at
least February 28, 2008 to reimburse the fund's expenses, other than its
management, 12b-1 and service fees, that exceed a specified amount
(excluding taxes, interest, and other extraordinary items).
- --------------------------------------------------------------------------------
27
================================================================================
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.40%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 5.97%
22,491 Cohen & Steers Institutional
Realty Shares, Inc. ............................................. $ 1,204,865
-----------
DEBT SECURITIES - 53.24%
299,999 Dodge & Cox Income Fund ......................................... 3,776,990
233,009 MEMBERS Bond Fund, Class Y (R)................................... 2,276,501
125,542 MEMBERS High Income Fund, Class Y (R)............................ 916,459
363,677 Western Asset Intermediate Bond Portfolio ....................... 3,771,332
-----------
10,741,282
-----------
EQUITY SECURITIES - 23.19%
132,226 MEMBERS Large Cap Growth
Fund, Class Y (R)* .............................................. 2,307,336
97,986 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 1,658,898
95,269 MEMBERS Mid Cap Growth
Fund, Class Y (R)* .............................................. 712,608
-----------
4,678,842
-----------
FOREIGN SECURITIES - 5.11%
60,311 MEMBERS International Stock
Fund, Class Y (R) ............................................... 1,030,114
-----------
MONEY MARKET SECURITIES - 11.89%
2,398,940 SSgA Prime Money Market Fund .................................... 2,398,940
-----------
TOTAL INVESTMENT COMPANIES - 99.40%
(Cost $19,562,364**) ............................................ 20,054,043
NET OTHER ASSETS AND LIABILITIES - 0.60%
- --------------------------------------------------------------------------------------------------
121,936
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$20,175,979
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $19,587,089.
(R) Affiliated Company (see Note 10).
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
28
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.85%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 4.81%
68,361 Cohen & Steers Institutional
Realty Shares, Inc. ............................................. $ 3,662,116
-----------
DEBT SECURITIES - 27.78%
757,733 MEMBERS Bond Fund, Class Y (R) .................................. 7,403,054
676,118 MEMBERS High Income Fund,
Class Y (R) ..................................................... 4,935,665
849,688 Western Asset Intermediate
Bond Portfolio .................................................. 8,811,263
-----------
21,149,982
-----------
EQUITY SECURITIES - 46.96%
138,760 Columbia Funds Series
Trust - Columbia Marsico
Focused Equities Fund, Class Z *................................. 3,717,388
502,938 MEMBERS Large Cap
Growth Fund, Class Y (R)*........................................ 8,776,273
485,037 MEMBERS Large Cap
Value Fund, Class Y (R) ......................................... 8,211,676
770,538 MEMBERS Mid Cap Growth
Fund, Class Y (R)* .............................................. 5,763,621
236,163 MEMBERS Mid Cap Value
Fund, Class Y (R) ............................................... 3,287,394
313,907 MEMBERS Small Cap Growth
Fund, Class Y (R)* .............................................. 3,518,894
238,886 MEMBERS Small Cap Value
Fund, Class Y (R)* .............................................. 2,477,250
-----------
35,752,496
-----------
FOREIGN SECURITIES - 15.36%
570,270 MEMBERS International Stock
Fund, Class Y (R) ............................................... 9,740,207
16,700 Vanguard Emerging Markets ETF ................................... 1,958,576
-----------
11,698,783
-----------
MONEY MARKET SECURITIES - 4.94%
3,758,368 SSgA Prime Money Market Fund .................................... 3,758,368
-----------
TOTAL INVESTMENT COMPANIES - 99.85%
(Cost $71,669,539**) ............................................ 76,021,745
NET OTHER ASSETS AND LIABILITIES - 0.15%
- --------------------------------------------------------------------------------------------------
115,713
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$76,137,458
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $71,835,745.
(R) Affiliated Company (see Note 10).
ETF Exchange Traded Fund.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
29
================================================================================
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.95%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 3.88%
18,866 Cohen & Steers Institutional
Realty Shares, Inc. ............................................. $ 1,010,637
-----------
EQUITY SECURITIES - 66.24%
60,135 Columbia Funds Series
Trust - Columbia Marsico
Focused Equities Fund,
Class Z *........................................................ 1,611,020
212,775 MEMBERS Large Cap Growth
Fund, Class Y (R)* .............................................. 3,712,921
209,586 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 3,548,288
359,897 MEMBERS Mid Cap Growth
Fund, Class Y (R)* .............................................. 2,692,030
149,533 MEMBERS Mid Cap Value
Fund, Class Y (R) ............................................... 2,081,493
166,322 MEMBERS Small Cap Growth
Fund, Class Y (R)* .............................................. 1,864,471
168,833 MEMBERS Small Cap Value
Fund, Class Y (R)* .............................................. 1,750,793
-----------
17,261,016
-----------
FOREIGN SECURITIES - 29.68%
373,202 MEMBERS International Stock
Fund, Class Y (R) ............................................... 6,374,296
11,600 Vanguard Emerging Markets
ETF.............................................................. 1,360,448
-----------
7,734,744
-----------
MONEY MARKET SECURITIES - 0.15%
39,443 SSgA Prime Money Market
Fund ............................................................ 39,443
TOTAL INVESTMENT COMPANIES - 99.95%
(Cost $23,748,167**) ............................................ 26,045,840
NET OTHER ASSETS AND LIABILITIES - 0.05%
- --------------------------------------------------------------------------------------------------
12,516
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$26,058,356
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $23,835,813.
(R) Affiliated Company (see Note 10).
ETF Exchange Traded Fund.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
30
================================================================================
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 94.03%
- --------------------------------------------------------------------------------------------------
FEDERAL AGRICULTURAL MORTGAGE CORP. (A) - 1.31%
$200,000 4.690%, due 11/08/07 ............................................ $ 199,818
-----------
FEDERAL FARM CREDIT BANK - 7.97%
440,000 4.720%, due 11/07/07 (A) ........................................ 439,654
205,000 4.600%, due 11/13/07 (A) ........................................ 204,686
175,000 4.660%, due 11/28/07 (A) ........................................ 174,388
400,000 3.000%, due 12/17/07 ............................................ 399,113
-----------
1,217,841
-----------
FEDERAL HOME LOAN BANK - 38.17%
100,000 4.750%, due 11/02/07 (A) ........................................ 99,987
500,000 4.350%, due 11/06/07 (A) ........................................ 499,698
625,000 4.530%, due 11/06/07 (A) ........................................ 624,607
500,000 4.530%, due 11/09/07 (A) ........................................ 499,497
500,000 4.380%, due 11/13/07 (A) ........................................ 499,270
250,000 4.600%, due 11/20/07 (A) ........................................ 249,393
475,000 3.250%, due 12/17/07 ............................................ 474,265
200,000 3.800%, due 12/20/07 ............................................ 199,580
515,000 4.400%, due 12/26/07 (A) ........................................ 511,538
230,000 3.000%, due 12/28/07 ............................................ 229,200
75,000 3.020%, due 12/28/07 ............................................ 74,702
500,000 4.235%, due 02/07/08 (G) ........................................ 500,000
420,000 3.450%, due 02/25/08 ............................................ 417,734
250,000 5.071%, due 04/01/08 (G) ........................................ 249,969
700,000 5.375%, due 08/20/08 ............................................ 700,000
-----------
5,829,440
-----------
FEDERAL HOME LOAN MORTGAGE CORP. - 9.95%
52,000 5.130%, due 11/19/07 (A) ........................................ 51,867
9,000 5.150%, due 12/04/07 (A) ........................................ 8,957
680,000 5.000%, due 12/27/07 ............................................ 680,215
500,000 4.625%, due 02/21/08 ............................................ 499,939
284,000 5.040%, due 03/20/08 (A) ........................................ 278,434
-----------
1,519,412
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 36.63%
750,000 4.590%, due 11/01/07 (A) ........................................ 750,000
524,000 4.700%, due 11/02/07 (A) ........................................ 523,932
500,000 4.710%, due 11/05/07 (A) ........................................ 499,738
75,000 4.750%, due 11/07/07 (A) ........................................ 74,941
625,000 4.700%, due 11/14/07 (A) ........................................ 623,939
657,000 3.250%, due 11/15/07 ............................................ 656,447
390,000 3.550%, due 11/16/07 ............................................ 389,802
600,000 4.430%, due 11/20/07 (A) ........................................ 598,597
500,000 5.115%, due 11/23/07 (A) ........................................ 498,437
350,000 5.250%, due 12/03/07 ............................................ 350,103
275,000 5.134%, due 12/21/07 (A) ........................................ 273,039
360,000 5.050%, due 01/11/08 (A) ........................................ 356,414
-----------
5,595,389
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $14,361,900) .............................................. 14,361,900
Shares
- ------
INVESTMENT COMPANIES - 3.60%
- --------------------------------------------------------------------------------------------------
2,458 JPMorgan Prime Money Market Fund ................................ 2,458
547,105 SSgA Prime Money Marke Fund ..................................... 547,105
-----------
TOTAL INVESTMENT COMPANIES
(Cost $549,563) ................................................. 549,563
TOTAL INVESTMENTS - 97.63%
- --------------------------------------------------------------------------------------------------
(Cost $14,911,463**) .......................................................... 14,911,463
NET OTHER ASSETS AND LIABILITIES - 2.37%
- --------------------------------------------------------------------------------------------------
361,977
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$15,273,440
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $14,911,463.
(A) Rate noted represents annualized yield at time of
purchase.
(G) Floating rate note. Date shown is next reset date.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
31
================================================================================
BOND FUND PORTFOLIO OF I NVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 3.51%
- --------------------------------------------------------------------------------------------------
$ 64,040 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 ............................................ $ 63,838
249,077 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ............................................ 231,800
670,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14 ............................................ 669,890
151,257 Countrywide Asset-Backed Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due 12/25/32 ............................................ 150,650
560,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due 10/25/33 ............................................ 523,046
359,478 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27 ............................................ 355,850
1,500,000 New Century Home Equity Loan
Trust, Series 2003-5, Class AI5 (G)
5.500%, due 11/25/33 ............................................ 1,488,034
109,988 Residential Asset Mortgage Products,
Inc., Series 2003-RS9, Class AI5 (G)
4.990%, due 03/25/31 ............................................ 109,545
184,012 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35 ............................................ 158,408
419,632 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.873%, due 05/25/34 ............................................ 326,551
------------
TOTAL ASSET BACKED
(Cost $4,268,260) ............................................... 4,077,612
COMMERCIAL MORTGAGE BACKED - 8.75%
- -------------------------------------------------------------------------------------------------
344,603 Bear Stearns Commercial Mortgage
Securities, Series 2001-TOP4,
Class A1 5.060%,
due 11/15/16 .................................................... 344,052
640,000 Bear Stearns Commercial Mortgage
Securities, Series 2003-T10,
Class E (C)(G) 5.540%,
due 03/13/40 .................................................... 590,377
325,000 Bear Stearns Commercial Mortgage
Securities, Series 2005-T20,
Class F (C)(G) 5.131%,
due 10/12/42 .................................................... 286,677
35,881 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16, Class A2
3.700%, due 02/13/46 ............................................ 35,757
525,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16, Class A6
(G) 4.750%, due 02/13/46 ........................................ 501,675
1,100,000 Government National Mortgage
Association, Series 2004-43,
Class C (G) 5.008%,
due 12/16/25 .................................................... 1,089,866
1,200,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A7 (G) 5.317%,
due 06/10/36 .................................................... 1,189,114
1,000,000 LB-UBS Commercial Mortgage
Trust, Series 2004-C1, Class A2
3.624%, due 01/15/29 ............................................ 979,671
800,000 LB-UBS Commercial Mortgage
Trust, Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 ............................................ 768,712
1,150,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ............................................ 1,114,507
910,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43 ............................................ 902,224
500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45 ............................................ 483,045
330,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due 11/28/35 ............................................ 304,890
314,126 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C6, Class A1
3.364%, due 08/15/35 ............................................ 310,401
1,295,000 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C8, Class A2
3.894%, due 11/15/35 ............................................ 1,278,551
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $10,382,019) .............................................. 10,179,519
PRIVATE LABEL MORTGAGE BACKED - 2.19%
- -------------------------------------------------------------------------------------------------
888,587 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36 ............................................ 873,945
1,701,231 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36 ............................................ 1,674,640
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $2,567,900)................................................ 2,548,585
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
32
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 19.20%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.86%
$ 750,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 ............................................ $ 928,655
700,000 Carnival Corp. (D)
3.750%, due 11/15/07 ............................................ 699,762
575,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 ............................................ 541,014
------------
2,169,431
------------
CONSUMER STAPLES - 0.95%
750,000 Coca-Cola Enterprises, Inc. (O)
4.375%, due 09/15/09 ............................................ 743,465
365,000 Diageo Capital PLC (D)(O)
5.500%, due 09/30/16 ............................................ 359,020
------------
1,102,485
------------
ENERGY - 0.68%
240,000 Hess Corp.
7.875%, due 10/01/29 ............................................ 281,690
450,000 Valero Energy Corp. (O)
7.500%, due 04/15/32 ............................................ 505,906
------------
787,596
------------
FINANCE - 3.97%
500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10 ............................................ 489,704
290,000 GE Insurance Solutions Corp.
7.000%, due 02/15/26 ............................................ 308,590
330,000 GE Insurance Solutions Corp.
7.750%, due 06/15/30 ............................................ 379,836
750,000 Goldman Sachs Group, Inc./The
5.700%, due 09/01/12 ............................................ 761,644
490,000 HCP, Inc.
6.700%, due 01/30/18 ............................................ 490,396
750,000 HSBC Finance Corp.
6.500%, due 11/15/08 ............................................ 759,677
520,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17 ............................................ 497,933
440,000 SLM Corp.
5.125%, due 08/27/12 ............................................ 397,368
500,000 US Bank NA/Cincinnati OH
6.300%, due 02/04/14 ............................................ 529,767
------------
4,614,915
------------
FINANCIAL SERVICES - 0.42%
485,000 Well Fargo & Co.
5.250%, due 10/23/12 ............................................ 486,164
------------
FORESTRY/PAPER - 0.30%
325,000 Westvaco Corp.
8.200%, due 01/15/30 ............................................ 351,130
------------
HEALTH CARE - 1.24%
500,000 Eli Lilly & Co.
6.570%, due 01/01/16 ............................................ 537,962
325,000 Genentech, Inc.
5.250%, due 07/15/35 ............................................ 295,089
345,000 Merck & Co., Inc. (O)
6.400%, due 03/01/28 ............................................ 364,107
230,000 Wyeth
6.500%, due 02/01/34 ............................................ 242,872
------------
1,440,030
------------
INDUSTRIALS - 4.05%
240,000 Boeing Co. (O)
8.625%, due 11/15/31 ............................................ 326,129
500,000 Daimler Finance North America LLC
4.750%, due 01/15/08 ............................................ 499,294
1,000,000 Dow Chemical Co./The (O)
5.750%, due 12/15/08 ............................................ 1,006,796
215,000 DR Horton, Inc.
5.250%, due 02/15/15 ............................................ 182,372
800,000 General Electric Co.
5.000%, due 02/01/13 ............................................ 793,652
500,000 GMAC LLC
7.250%, due 03/02/11 ............................................ 472,794
192,000 Raytheon Co.
4.500%, due 11/15/07 ............................................ 191,975
235,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................ 249,857
500,000 Weyerhaeuser Co. (O)
6.875%, due 12/15/33 ............................................ 467,545
525,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................ 518,721
------------
4,709,135
------------
MEDIA - 0.98%
525,000 Comcast Cable Communication
Holdings, Inc.
9.455%, due 11/15/22 ............................................ 677,866
455,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13 ............................................ 464,239
------------
1,142,105
------------
PIPELINE - 0.28%
345,000 Knight, Inc.
7.250%, due 03/01/28 ............................................ 325,488
------------
REAL ESTATE INVESTMENT TRUSTS - 0.23%
270,000 Simon Property Group L.P. (O)
5.875%, due 03/01/17 ............................................ 266,833
------------
TELECOMMUNICATIONS - 0.71%
400,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................ 401,550
445,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................ 427,872
------------
829,422
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
33
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.94%
$ 285,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 ............................................ $ 330,193
359,000 Norfolk Southern Corp. ..........................................
5.590%, due 05/17/25 ............................................ 336,507
390,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................ 431,333
------------
1,098,033
------------
UTILITIES - 2.59%
500,000 Energy East Corp.
8.050%, due 11/15/10 ............................................ 540,031
450,000 Illinois Power Co.
7.500%, due 06/15/09 ............................................ 462,435
435,000 New York State Electric & Gas Corp.
4.375%, due 11/15/07 ............................................ 434,811
285,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................ 283,929
250,000 Progress Energy, Inc. (O)
7.750%, due 03/01/31 ............................................ 293,689
200,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16 ............................................ 200,802
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ............................................ 793,201
------------
3,008,898
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $22,521,155) .............................................. 22,331,665
MORTGAGE BACKED - 25.95%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 3.12%
637,259 5.000%, due 05/01/18
Pool # E96322 ................................................... 629,926
6,153 8.000%, due 06/01/30
Pool # C01005 ................................................... 6,534
8,761 7.000%, due 03/01/31
Pool # C48133 ................................................... 9,164
131,894 6.500%, due 01/01/32
Pool # C62333 ................................................... 135,967
2,161,884 5.000%, due 07/01/33
Pool # A11325 ................................................... 2,080,691
216,920 6.000%, due 10/01/34
Pool # A28439 ................................................... 218,799
188,348 6.000%, due 10/01/34
Pool # A28598 ................................................... 189,979
198,112 5.000%, due 04/01/35
Pool # A32315 ................................................... 190,333
168,758 5.000%, due 04/01/35
Pool # A32316 ................................................... 162,131
------------
3,623,524
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 22.73%
1,008,334 4.000%, due 04/01/15
Pool # 255719 ................................................... 980,560
722,222 5.500%, due 04/01/16
Pool # 745444 ................................................... 725,730
44,768 6.000%, due 05/01/16
Pool # 582558 ................................................... 45,635
651,572 5.500%, due 02/01/18
Pool # 673194 ................................................... 655,047
784,558 5.000%, due 05/01/20
Pool # 813965 ................................................... 772,850
952,365 4.500%, due 09/01/20
Pool # 835465 ................................................... 921,550
81,734 6.000%, due 05/01/21
Pool # 253847 ................................................... 83,136
31,066 7.000%, due 12/01/29
Pool # 762813 ................................................... 32,503
72,194 7.000%, due 11/01/31
Pool # 607515 ................................................... 75,600
289,667 6.500%, due 03/01/32
Pool # 631377 ................................................... 298,144
2,305 7.000%, due 04/01/32
Pool # 641518 ................................................... 2,412
35,091 7.000%, due 05/01/32
Pool # 644591 ................................................... 36,747
947,801 6.500%, due 06/01/32
Pool # 545691 ................................................... 975,536
321,332 6.000%, due 12/01/32
Pool # 676552 ................................................... 325,406
2,022,263 5.500%, due 04/01/33
Pool # 690206 ................................................... 1,998,478
915,245 5.000%, due 10/01/33
Pool # 254903 ................................................... 880,882
1,419,137 5.500%, due 11/01/33
Pool # 555880 ................................................... 1,402,446
140,731 5.000%, due 05/01/34
Pool # 775604 ................................................... 135,407
352,816 5.000%, due 05/01/34
Pool # 780890 ................................................... 339,466
217,365 5.000%, due 06/01/34
Pool # 255230 ................................................... 209,141
1,747,443 5.500%, due 06/01/34
Pool # 780384 ................................................... 1,725,693
17,870 7.000%, due 07/01/34
Pool # 792636 ................................................... 18,616
330,651 5.500%, due 08/01/34
Pool # 793647 ................................................... 326,535
1,455,398 5.500%, due 03/01/35
Pool # 815976 ................................................... 1,435,730
694,364 5.500%, due 07/01/35
Pool # 825283 ................................................... 684,981
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
34
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 916,657 5.000%, due 08/01/35
Pool # 829670 ................................................... $ 880,702
451,317 5.500%, due 08/01/35
Pool # 826872 ................................................... 445,218
703,145 5.000%, due 09/01/35
Pool # 820347 ................................................... 675,564
714,107 5.000%, due 09/01/35
Pool # 835699 ................................................... 686,097
915,419 5.000%, due 10/01/35
Pool # 797669 ................................................... 879,512
889,390 5.500%, due 10/01/35
Pool # 836912 ................................................... 877,371
812,906 5.000%, due 11/01/35
Pool # 844504 ................................................... 781,020
961,567 5.000%, due 11/01/35
Pool # 844809 ................................................... 923,850
991,993 5.000%, due 12/01/35
Pool # 850561 ................................................... 953,082
1,008,787 6.000%, due 11/01/36
Pool # 902510 ................................................... 1,017,868
895,334 5.500%, due 05/01/37
Pool # 899323 ................................................... 882,294
1,487,824 5.500%, due 05/01/37
Pool # 928292 (H) ............................................... 1,466,155
900,215 5.500%, due 07/01/37
Pool # 938197.................................................... 887,104
------------
26,444,068
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.10%
20,820 8.000%, due 10/20/15
Pool # 002995 ................................................... 21,953
55,437 6.500%, due 02/20/29
Pool # 002714 ................................................... 57,182
35,453 6.500%, due 04/20/31
Pool # 003068 ................................................... 36,537
------------
115,672
------------
TOTAL MORTGAGE BACKED
(Cost $30,434,413) .............................................. 30,183,264
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 27.04%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.46%
500,000 5.875%, due 10/03/16 ............................................ 534,265
------------
FEDERAL HOME LOAN MORTGAGE
Corp. - 2.50%
2,500,000 4.875%, due 11/15/13 ............................................ 2,515,803
400,000 4.500%, due 01/15/14 (O) ........................................ 394,344
------------
2,910,147
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.13%
1,400,000 4.000%, due 09/02/08 ............................................ 1,393,826
1,095,000 4.625%, due 10/15/14 (O) ........................................ 1,082,676
------------
2,476,502
------------
U.S. TREASURY BONDS - 3.59% (O)
3,405,000 6.625%, due 02/15/27 ............................................ 4,180,434
------------
U.S. TREASURY NOTES - 18.36%
830,000 3.750%, due 05/15/08 (O) ........................................ 828,119
580,000 4.875%, due 05/31/09 (O) ........................................ 587,930
650,000 3.875%, due 05/15/10 (O) ........................................ 649,238
300,000 3.875%, due 09/15/10 (O) ........................................ 299,414
100,000 4.500%, due 11/15/10 (O) ........................................ 101,500
350,000 4.750%, due 03/31/11 ............................................ 358,313
3,600,000 4.625%, due 12/31/11 (O) ........................................ 3,672,843
1,000,000 4.625%, due 02/29/12 (O) ........................................ 1,020,312
1,200,000 4.500%, due 03/31/12 (O) ........................................ 1,218,374
1,915,000 4.875%, due 06/30/12 (O) ........................................ 1,974,095
3,000,000 4.250%, due 09/30/12 (O) ........................................ 3,012,657
1,540,000 3.625%, due 05/15/13 (O) ........................................ 1,498,973
2,440,000 4.625%, due 02/15/17 (O) ........................................ 2,471,644
3,650,000 4.500%, due 05/15/17 (O) ........................................ 3,660,552
------------
21,353,964
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $30,772,314) .............................................. 31,455,312
CERTIFICATE OF DEPOSIT - 9.22%
- --------------------------------------------------------------------------------------------------
10,720,735 State Street Eurodollar
2.650%, due 11/01/07 ............................................ 10,720,735
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $10,720,735) .............................................. 10,720,735
Shares
- ------
INVESTMENT COMPANY - 4.50%
- --------------------------------------------------------------------------------------------------
5,234,734 SSgA Prime Money Market
Fund (N) ........................................................ 5,234,734
------------
TOTAL INVESTMENT COMPANY
(Cost $5,234,734) ............................................... 5,234,734
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
35
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COLLATERAL FOR SECURITIES ON LOAN - 22.47%
- --------------------------------------------------------------------------------------------------
26,142,238 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... $ 26,142,238
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $26,142,238) .............................................. 26,142,238
TOTAL INVESTMENTS - 122.83%
- --------------------------------------------------------------------------------------------------
(Cost $143,043,768**) ......................................................... 142,873,664
NET OTHER ASSETS AND LIABILITIES - (22.83)%
- --------------------------------------------------------------------------------------------------
(26,553,697)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$116,319,967
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $143,043,768.
(C) Security sold within 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 1.31% of total net assets.
(G) Floating rate or variable rate note. Rate shown is asof October 31, 2007.
(H) Security purchased on a delayed delivery or when-issued basis. Rate shown is
at issue date.
(I) Represents investments of cash collateral received in connection with
securities lending.
(M) Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below a stated level, the issuer will
either initiate a clean-up call or increase the stated interest rate.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of October 31, 2007.
(O) All (or portion of security) on loan.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
36
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 93.79%
- --------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.34%
$ 250,000 Alion Science and Technology Corp.
10.250%, due 02/01/15 ........................................... $ 233,750
------------
APPAREL/TEXTILES - 1.40%
500,000 Hanesbrands, Inc., Series B (G)(O)
8.784%, due 12/15/14 ............................................ 502,500
250,000 Oxford Industries, Inc.
8.875%, due 06/01/11 ............................................ 250,000
200,000 Warnaco, Inc.
8.875%, due 06/15/13 ............................................ 211,000
------------
963,500
------------
AUTOMOTIVE - 4.91%
250,000 American Axle & Manufacturing, Inc. (O)
7.875%, due 03/01/17 ............................................ 243,750
100,000 Ford Motor Credit Co. LLC
7.250%, due 10/25/11 ............................................ 93,021
550,000 Ford Motor Credit Co. LLC (G)
9.693%, due 04/15/12 ............................................ 555,223
300,000 General Motors Corp. (O)
7.125%, due 07/15/13 ............................................ 278,250
250,000 General Motors Corp. (O)
7.700%, due 04/15/16 ............................................ 230,000
250,000 General Motors Corp. (O)
8.250%, due 07/15/23 ............................................ 225,625
500,000 Goodyear Tire & Rubber Co./The (G)
9.135%, due 12/01/09 ............................................ 506,250
500,000 Goodyear Tire & Rubber Co./The (O)
7.857%, due 08/15/11 ............................................ 517,500
250,000 KAR Holdings, Inc. (C)(O)
8.750%, due 05/01/14 ............................................ 241,250
250,000 KAR Holdings, Inc. (C)
10.000%, due 05/01/15 ........................................... 238,750
250,000 United Components, Inc.
9.375%, due 06/15/13 ............................................ 255,000
------------
3,384,619
------------
BEVERAGE/FOOD - 2.09%
150,000 B&G Foods, Inc.
8.000%, due 10/01/11 ............................................ 148,500
400,000 Constellation Brands, Inc. (C)
7.250%, due 05/15/17 ............................................ 399,000
250,000 Del Monte Corp. (O)
6.750%, due 02/15/15 ............................................ 243,125
125,000 Michael Foods, Inc.
8.000%, due 11/15/13 ............................................ 125,000
250,000 NBTY, Inc.
7.125%, due 10/01/15 ............................................ 247,500
300,000 Pinnacle Foods Finance LLC/
Pinnacle Foods Finance Corp. (C)(O)
10.625%, due 04/01/17 ........................................... 279,750
------------
1,442,875
------------
BUILDING MATERIALS - 0.50%
87,000 Interface, Inc.
10.375%, due 02/01/10 ........................................... 92,220
250,000 Interline Brands, Inc.
8.125%, due 06/15/14 ............................................ 249,375
------------
341,595
------------
CHEMICALS - 1.97%
100,000 Hexion US Finance Corp./
Hexion Nova Scotia Finance ULC
9.750%, due 11/15/14 ............................................ 109,750
200,000 Lyondell Chemical Co.
8.000%, due 09/15/14 ............................................ 221,500
200,000 Lyondell Chemical Co.
8.250%, due 09/15/16 ............................................ 228,500
150,000 Momentive Performance
Materials, Inc. (C)
9.750%, due 12/01/14 ............................................ 146,250
160,000 Nalco Co. (O)
8.875%, due 11/15/13 ............................................ 168,400
500,000 Tronox Worldwide LLC/
Tronox Finance Corp.
9.500%, due 12/01/12 ............................................ 482,500
------------
1,356,900
------------
CONSUMER PRODUCTS - 3.53%
250,000 American Achievement Corp. (O)
8.250%, due 04/01/12 ............................................ 250,000
300,000 Central Garden and Pet Co. (O)
9.125%, due 02/01/13 ............................................ 286,500
185,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 ............................................ 193,556
500,000 Jarden Corp. (O)
7.500%, due 05/01/17 ............................................ 475,000
300,000 Leslie's Poolmart
7.750%, due 02/01/13 ............................................ 285,000
400,000 Simmons Co. (O)
7.875%, due 01/15/14 ............................................ 383,000
300,000 Visant Corp.
7.625%, due 10/01/12 ............................................ 308,250
250,000 Visant Holding Corp.
8.750%, due 12/01/13 ............................................ 256,250
------------
2,437,556
------------
ENVIRONMENTAL - 1.91%
500,000 Allied Waste North America, Inc.,
Series B (O)
7.125%, due 05/15/16 ............................................ 505,000
350,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13 ............................................ 357,000
200,000 Waste Services, Inc.
9.500%, due 04/15/14 ............................................ 200,000
250,000 WCA Waste Corp.
9.250%, due 06/15/14 ............................................ 258,750
------------
1,320,750
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
37
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOOD & DRUG RETAILERS - 1.10%
$ 250,000 Rite Aid Corp.
8.625%, due 03/01/15 ............................................ $ 221,875
150,000 Rite Aid Corp.
7.500%, due 03/01/17 ............................................ 139,500
150,000 Stater Brothers Holdings (O)
8.125%, due 06/15/12 ............................................ 151,500
250,000 Stater Brothers Holdings (O)
7.750%, due 04/15/15 ............................................ 249,375
------------
762,250
------------
FORESTRY/PAPER - 2.25%
250,000 Abitibi-Consolidated Co. of Canada (D)(G)
9.194%, due 06/15/11 ............................................ 205,000
150,000 Abitibi-Consolidated Co. of Canada (D)(O)
8.375%, due 04/01/15 ............................................ 116,250
250,000 Boise Cascade LLC
7.125%, due 10/15/14 ............................................ 246,250
250,000 Cascades, Inc. (D)
7.250%, due 02/15/13 ............................................ 242,500
250,000 Georgia-Pacific Corp. (C)
7.125%, due 01/15/17 ............................................ 243,750
250,000 Smurfit-Stone Container
Enterprises, Inc.
8.375%, due 07/01/12 ............................................ 250,000
250,000 Smurfit-Stone Container Enterprises, Inc.
8.000%, due 03/15/17 ............................................ 248,438
------------
1,552,188
------------
GAMING - 8.12%
300,000 American Casino & Entertainment
Properties LLC
7.850%, due 02/01/12 ............................................ 310,875
250,000 Boyd Gaming Corp.
7.750%, due 12/15/12 ............................................ 257,500
500,000 Boyd Gaming Corp.
6.750%, due 04/15/14 ............................................ 490,625
200,000 CCM Merger, Inc. (C)
8.000%, due 08/01/13 ............................................ 192,000
100,000 Chukchansi Economic Development
Authority (C)(G)
8.859%, due 11/15/12 ............................................ 100,000
195,000 Global Cash Access LLC/
Global Cash Finance Corp.
8.750%, due 03/15/12 ............................................ 201,825
250,000 Herbst Gaming, Inc.
7.000%, due 11/15/14 ............................................ 202,500
200,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14 ............................................ 177,500
250,000 MGM Mirage
7.625%, due 01/15/17 ............................................ 250,000
250,000 Mohegan Tribal Gaming Authority
6.875%, due 02/15/15 ............................................ 244,375
400,000 MTR Gaming Group, Inc.,
Series B
9.750%, due 04/01/10 ............................................ 410,000
250,000 Penn National Gaming, Inc.
6.750%, due 03/01/15 ............................................ 256,250
200,000 Pinnacle Entertainment, Inc.
8.250%, due 03/15/12 ............................................ 206,000
150,000 Pinnacle Entertainment, Inc.
8.750%, due 10/01/13 ............................................ 156,000
250,000 Pinnacle Entertainment, Inc. (C)
7.500%, due 06/15/15 ............................................ 241,250
750,000 Seneca Gaming Corp.
7.250%, due 05/01/12 ............................................ 755,625
250,000 Shuffle Master, Inc. (P)
1.250%, due 04/15/24 ............................................ 230,625
100,000 Station Casinos, Inc. (O)
6.875%, due 03/01/16 ............................................ 82,750
250,000 Station Casinos, Inc. (O)
7.750%, due 08/15/16 ............................................ 244,687
600,000 Wynn Las Vegas Capital Corp.
6.625%, due 12/01/14 ............................................ 589,500
------------
5,599,887
------------
GENERAL INDUSTRIAL & MANUFACTURING - 2.29%
500,000 Baldor Electric Co.
8.625%, due 02/15/17 ............................................ 521,250
250,000 Chart Industries, Inc.
9.125%, due 10/15/15 ............................................ 260,625
250,000 RBS Global, Inc. and Rexnord Corp.
8.875%, due 09/01/16 ............................................ 253,125
300,000 Trimas Corp.
9.875%, due 06/15/12 ............................................ 308,250
250,000 Wesco Distribution, Inc.
7.500%, due 10/15/17 ............................................ 233,750
------------
1,577,000
------------
HEALTH CARE - 8.44%
250,000 Advanced Medical Optics, Inc.
7.500%, due 05/01/17 ............................................ 235,625
250,000 Advanced Medical Optics, Inc. (O)(P)
3.250%, due 08/01/26 ............................................ 208,125
250,000 Bausch & Lomb, Inc. (C)(O)
9.875%, due 11/01/15 ............................................ 257,500
350,000 Carriage Services, Inc.
7.875%, due 01/15/15 ............................................ 349,125
550,000 Community Health Systems, Inc. (C)
8.875%, due 07/15/15 ............................................ 556,875
450,000 DaVita, Inc. (O)
7.250%, due 03/15/15 ............................................ 455,062
250,000 HCA, Inc./DE (O)
6.500%, due 02/15/16 ............................................ 213,438
500,000 HCA, Inc./DE
9.250%, due 11/15/16 ............................................ 526,250
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
38
===============================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$ 500,000 Health Management Associates, Inc. (P)
4.375%, due 08/01/23 ............................................ $ 486,250
250,000 IASIS Healthcare LLC/IASIS Capital Corp.
8.750%, due 06/15/14 ............................................ 252,500
250,000 LVB Acquisition Merger Sub, Inc. (C)
10.000%, due 10/15/17 ........................................... 256,875
250,000 Omnicare, Inc., Series OCR (P)
3.250%, due 12/15/35 ............................................ 204,688
100,000 Psychiatric Solutions, Inc.
7.750%, due 07/15/15 ............................................ 101,750
250,000 Psychiatric Solutions, Inc. (O)
7.750%, due 07/15/15 ............................................ 254,375
250,000 Res-Care, Inc.
7.750%, due 10/15/13 ............................................ 247,500
200,000 Service Corp. International/US (O)
7.625%, due 10/01/18 ............................................ 205,000
50,000 Teva Pharmaceutical Finance Co. BV,
Series D (D)(P)
1.750%, due 02/01/26 ............................................ 53,125
250,000 United Surgical Partners
International, Inc.
8.875%, due 05/01/17 ............................................ 255,000
250,000 Universal Hospital Services, Inc. (C)(G)
8.759%, due 06/01/15 ............................................ 250,625
200,000 Vanguard Health Holding Co. II LLC
9.000%, due 10/01/14 ............................................ 195,000
250,000 Warner Chilcott Corp.
8.750%, due 02/01/15 ............................................ 258,750
------------
5,823,438
------------
HOTELS - 0.74%
500,000 Gaylord Entertainment Co.
8.000%, due 11/15/13 ............................................ 508,750
------------
MEDIA - BROADCASTING - 2.25%
510,000 Allbritton Communications Co.
7.750%, due 12/15/12 ............................................ 517,650
500,000 LIN Television Corp. (O)
6.500%, due 05/15/13 ............................................ 485,000
250,000 LIN Television Corp. (P)
2.500%, due 05/15/33 ............................................ 243,125
200,000 LIN Television Corp., Series B
6.500%, due 05/15/13 ............................................ 194,000
111,000 Sinclair Television Group, Inc. (O)
8.000%, due 03/15/12 ............................................ 114,053
------------
1,553,828
------------
MEDIA - CABLE - 4.92%
500,000 Cablevision Systems Corp., Series B (G)
9.644%, due 04/01/09 ............................................ 513,750
700,000 Cablevision Systems Corp., Series B
8.000%, due 04/15/12 ............................................ 684,250
250,000 DirecTV Holdings LLC/
DirecTV Financing Co.
8.375%, due 03/15/13 ............................................ 261,250
650,000 Echostar DBS Corp.
6.625%, due 10/01/14 ............................................ 663,000
500,000 Mediacom Broadband LLC
8.500%, due 10/15/15 ............................................ 492,500
250,000 Mediacom LLC/Mediacom Capital Corp.
9.500%, due 01/15/13 ............................................ 250,000
500,000 Virgin Media Finance PLC (D)
9.125%, due 08/15/16 ............................................ 527,500
------------
3,392,250
------------
MEDIA - DIVERSIFIED & SERVICES - 3.41%
400,000 Hughes Network Systems LLC/
HNS Finance Corp.
9.500%, due 04/15/14 ............................................ 410,500
750,000 Intelsat Bermuda, Ltd. (D)(G)
8.886%, due 01/15/15 ............................................ 761,250
150,000 Intelsat Bermuda, Ltd. (D)
9.250%, due 06/15/16 ............................................ 155,625
300,000 Intelsat Bermuda, Ltd. (D)
11.250%, due 06/15/16 ........................................... 322,500
125,000 Lamar Media Corp.
7.250%, due 01/01/13 ............................................ 125,312
100,000 Lamar Media Corp. (O)
6.625%, due 08/15/15 ............................................ 96,000
250,000 Lamar Media Corp. (C)
6.625%, due 08/15/15 ............................................ 239,375
250,000 Quebecor Media, Inc. (D)
7.750%, due 03/15/16 ............................................ 241,875
------------
2,352,437
------------
METALS AND MINING - 2.67%
250,000 Aleris International, Inc.
10.000%, due 12/15/16 ........................................... 220,000
400,000 Alpha Natural Resources LLC/
Alpha Natural Resources Capital Corp.
10.000%, due 06/01/12 ........................................... 426,000
500,000 Arch Western Finance LLC
6.750%, due 07/01/13 ............................................ 487,500
350,000 Massey Energy Co. (O)
6.875%, due 12/15/13 ............................................ 330,750
250,000 Peabody Energy Corp.
7.375%, due 11/01/16 ............................................ 260,000
100,000 Peabody Energy Corp. (O)(P)
4.750%, due 12/15/66 ............................................ 116,500
------------
1,840,750
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
39
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
NON FOOD & DRUG RETAILERS - 3.45%
$ 250,000 AutoNation, Inc. (G)
7.243%, due 04/15/13 ............................................ $ 244,375
300,000 Buhrmann US, Inc.
7.875%, due 03/01/15 ............................................ 288,750
150,000 Pantry, Inc./The
7.750%, due 02/15/14 ............................................ 146,250
250,000 Penske Auto Group, Inc.
7.750%, due 12/15/16 ............................................ 243,125
100,000 Petro Stopping Centers L.P./
Petro Financial Corp.
9.000%, due 02/15/12 ............................................ 104,500
500,000 Sally Holdings LLC (O)
9.250%, due 11/15/14 ............................................ 502,500
200,000 Sally Holdings LLC (O)
10.500%, due 11/15/16 ........................................... 199,000
176,000 Susser Holdings LLC
10.625%, due 12/15/13 ........................................... 183,040
500,000 Yankee Acquisition Corp./
MA, Series B (O)
8.500%, due 02/15/15 ............................................ 468,750
------------
2,380,290
------------
OIL & GAS - 7.01%
250,000 Berry Petroleum Co.
8.250%, due 11/01/16 ............................................ 255,000
166,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 ............................................ 165,170
500,000 Chesapeake Energy Corp.
6.500%, due 08/15/17 ............................................ 482,500
750,000 Complete Production Services, Inc.
8.000%, due 12/15/16 ............................................ 727,500
300,000 Compton Petroleum Finance Corp.
7.625%, due 12/01/13 ............................................ 287,250
250,000 Denbury Resources, Inc.
7.500%, due 04/01/13 ............................................ 254,375
200,000 Encore Acquisition Co.
6.000%, due 07/15/15 ............................................ 181,000
300,000 Energy Partners, Ltd. (G)
10.368%, due 04/15/13 ........................................... 302,250
250,000 Energy Partners, Ltd.
9.750%, due 04/15/14 ............................................ 247,500
365,000 EXCO Resources, Inc.
7.250%, due 01/15/11 ............................................ 360,438
250,000 Mariner Energy, Inc.
8.000%, due 05/15/17 ............................................ 246,875
350,000 PetroHawk Energy Corp.
9.125%, due 07/15/13 ............................................ 371,437
500,000 Petroplus Finance, Ltd. (C)(D)
7.000%, due 05/01/17 ............................................ 470,000
500,000 W&T Offshore, Inc. (C)
8.250%, due 06/15/14 ............................................ 485,000
------------
4,836,295
------------
PACKAGING - 0.73%
250,000 BWAY Corp.
10.000%, due 10/15/10 ........................................... 254,375
250,000 Owens Brockway Glass Container, Inc.
8.875%, due 02/15/09 ............................................ 251,875
------------
506,250
------------
PRINTING & PUBLISHING - 3.18%
250,000 Cenveo Corp.
7.875%, due 12/01/13 ............................................ 234,375
500,000 Dex Media, Inc. (B)(O)
0.000%, due 11/15/13 ............................................ 473,750
750,000 Idearc, Inc.
8.000%, due 11/15/16 ............................................ 751,875
250,000 RH Donnelley Corp.
6.875%, due 01/15/13 ............................................ 235,000
500,000 RH Donnelley Corp., Series A-3
8.875%, due 01/15/16 ............................................ 500,000
------------
2,195,000
------------
REAL ESTATE INVESTMENT TRUSTS - 0.72%
500,000 Felcor Lodging L.P. (G)
7.260%, due 12/01/11 ............................................ 500,000
------------
RESTAURANTS - 0.71%
500,000 Seminole Hard Rock Entertainment, Inc./
Seminole Hard Rock International LLC (C)(G)
8.194%, due 03/15/14 ............................................ 488,750
------------
STEEL - 0.74%
500,000 AK Steel Corp. (O)
7.750%, due 06/15/12 ............................................ 510,000
------------
SUPPORT SERVICES - 8.49%
1,000,000 ARAMARK Corp. (O)
8.500%, due 02/01/15 ............................................ 1,012,500
250,000 Avis Budget Car Rental LLC/
Avis Budget Finance, Inc. (G)(O)
8.058%, due 05/15/14 ............................................ 246,875
200,000 Cardtronics, Inc. (O)
9.250%, due 08/15/13 ............................................ 193,000
250,000 Corrections Corp. of America
7.500%, due 05/01/11 ............................................ 253,125
350,000 Education Management LLC/
Education Management Corp. (O)
10.250%, due 06/01/16 ........................................... 367,500
500,000 FTI Consulting, Inc.
7.750%, due 10/01/16 ............................................ 522,500
250,000 H&E Equipment Services, Inc. (O)
8.375%, due 07/15/16 ............................................ 242,500
200,000 Hertz Corp.
8.875%, due 01/01/14 ............................................ 206,000
500,000 HUB International Holdings, Inc. (C)
10.250%, due 06/15/15 ........................................... 462,500
250,000 Iron Mountain, Inc. (O)
8.625%, due 04/01/13 ............................................ 254,375
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
40
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
SUPPORT SERVICES (CONTINUED)
$ 350,000 Iron Mountain, Inc. (O)
7.750%, due 01/15/15 ............................................ $ 354,375
350,000 Mac-Gray Corp.
7.625%, due 08/15/15 ............................................ 351,750
150,000 Neff Corp.
10.000%, due 06/01/15 ........................................... 108,000
200,000 Norcross Safety Products LLC/
Norcross Capital Corp.,
Series B
9.875%, due 08/15/11 ............................................ 207,500
250,000 Nuveen Investments, Inc. (C)(H)
10.500%, due 11/15/15 ........................................... 250,630
200,000 RSC Equipment Rental, Inc. (O)
9.500%, due 12/01/14 ............................................ 192,250
200,000 United Rentals North America, Inc.
7.750%, due 11/15/13 ............................................ 213,000
250,000 West Corp.
9.500%, due 10/15/14 ............................................ 256,875
150,000 West Corp. (O)
11.000%, due 10/15/16 ........................................... 157,125
------------
5,852,380
------------
TECHNOLOGY - 3.01%
100,000 Celestica, Inc. (D)
7.875%, due 07/01/11 ............................................ 97,750
150,000 Celestica, Inc. (D)(O)
7.625%, due 07/01/13 ............................................ 144,000
150,000 Flextronics International, Ltd. (D)(P)
1.000%, due 08/01/10 ............................................ 149,812
250,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 ............................................ 240,625
250,000 Freescale Semiconductor, Inc. (O)
10.125%, due 12/15/16 ........................................... 226,563
200,000 Sungard Data Systems, Inc.
9.125%, due 08/15/13 ............................................ 204,000
500,000 Sungard Data Systems, Inc. (O)
10.250%, due 08/15/15 ........................................... 521,250
500,000 Syniverse Technologies, Inc.,
Series B
7.750%, due 08/15/13 ............................................ 492,500
------------
2,076,500
------------
TELECOMMUNICATIONS - 6.59%
400,000 Centennial Communications Corp. (G)
10.981%, due 01/01/13 ........................................... 412,000
500,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14 ............................................ 501,250
250,000 Cincinnati Bell Tele Co.
6.300%, due 12/01/28 ............................................ 217,500
600,000 Citizens Communications Co.
7.875%, due 01/15/27 ............................................ 589,500
250,000 Hawaiian Telcom Communications, Inc.,
Series B (G)(O)
10.860%, due 05/01/13 ........................................... 253,125
200,000 Level 3 Financing, Inc.
8.750%, due 02/15/17 ............................................ 182,500
500,000 Nordic Telephone Co.
Holdings ApS (C)(D)
8.875%, due 05/01/16 ............................................ 528,750
250,000 PAETEC Holding Corp. (C)
9.500%, due 07/15/15 ............................................ 256,250
334,000 Qwest Communications
International, Inc. (G)
9.058%, due 02/15/09 ............................................ 335,670
500,000 Qwest Communications
International, Inc., Series B
7.500%, due 02/15/14 ............................................ 506,250
250,000 Windstream Corp.
8.625%, due 08/01/16 ............................................ 267,500
500,000 Windstream Corp.
7.000%, due 03/15/19 ............................................ 492,500
------------
4,542,795
------------
TRANSPORTATION - 1.37%
250,000 Bristow Group, Inc. (C)
7.500%, due 09/15/17 ............................................ 257,500
150,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14 ............................................ 145,125
300,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14 ............................................ 301,500
250,000 Hornbeck Offshore Services, Inc.,
Series B (O)
6.125%, due 12/01/14 ............................................ 238,125
------------
942,250
UTILITIES - 4.96% -----------
500,000 Dynegy Holdings, Inc. (O)
8.375%, due 05/01/16 ............................................ 501,250
250,000 Edison Mission Energy (C)
7.200%, due 05/15/19 ............................................ 244,375
500,000 Edison Mission Energy (C)
7.625%, due 05/15/27 ............................................ 476,250
250,000 El Paso Corp.
7.000%, due 06/15/17 ............................................ 250,510
250,000 Energy Future Holdings (C)
10.875%, due 11/01/17 ........................................... 252,813
400,000 Ferrellgas Partners L.P./
Ferrellgas Partners Finance
8.750%, due 06/15/12 ............................................ 412,000
300,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14 ............................................ 294,000
500,000 NRG Energy, Inc.
7.375%, due 02/01/16 ............................................ 498,750
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
41
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
$ 250,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due 12/15/13 ............................................ $ 243,750
250,000 Texas Competitive Electric
Holdings Co. LLC (C)
10.250%, due 11/01/15 ........................................... 251,250
------------
3,424,948
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $65,015,269) .............................................. 64,699,781
Shares
- ------
INVESTMENT COMPANY - 3.84%
- --------------------------------------------------------------------------------------------------
2,647,573 SSgA Prime Money
Market Fund (N) ................................................. 2,647,573
------------
TOTAL INVESTMENT COMPANY
(Cost $2,647,573) ............................................... 2,647,573
------------
COLLATERAL FOR SECURITIES ON LOAN - 21.27%
- --------------------------------------------------------------------------------------------------
14,670,458 Street Navigator Securities
Lending Prime Portfolio (I) ..................................... 14,670,458
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $14,670,458) .............................................. 14,670,458
TOTAL INVESTMENTS - 118.9%
- --------------------------------------------------------------------------------------------------
(Cost $82,333,300**) .......................................................... 82,017,812
NET OTHER ASSETS AND LIABILITIES - (18.90)%
- --------------------------------------------------------------------------------------------------
(13,037,365)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 68,980,447
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $82,399,462.
(B) Represents a security with a specified coupon until a predetermined
date, at which time the stated rate is adjusted to a new contract rate.
(C) Security sold within 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 6.03% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2007.
(H) Security purchased on a delayed delivery or when- issued basis. Rate
shown is at issue date.
(I) Represents investments of cash collateral received in connection with
securities lending.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of October 31, 2007.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
42
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 47.04%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.64%
15,000 Carnival Corp. .................................................. $ 719,700
14,600 Genuine Parts Co. ............................................... 716,422
22,500 Home Depot, Inc. (O) ............................................ 708,975
4,600 McDonald's Corp. ................................................ 274,620
------------
2,419,717
------------
CONSUMER STAPLES - 7.90%
38,500 Altria Group, Inc. .............................................. 2,807,805
26,700 Anheuser-Busch Cos., Inc. ....................................... 1,369,176
9,300 Clorox Co. (O) .................................................. 581,901
31,200 Coca-Cola Co./The ............................................... 1,926,912
6,800 HJ Heinz Co. .................................................... 318,104
20,400 Kimberly-Clark Corp. (O) ........................................ 1,446,156
10,551 Kraft Foods, Inc., Class A ...................................... 352,509
10,500 PepsiCo, Inc. ................................................... 774,060
11,000 Procter & Gamble Co. ............................................ 764,720
18,500 SYSCO Corp. ..................................................... 634,365
15,500 Wal-Mart Stores, Inc. ........................................... 700,755
------------
11,676,463
------------
ENERGY - 4.16%
23,000 BP PLC, ADR ..................................................... 1,793,770
26,600 Chevron Corp. ................................................... 2,434,166
22,600 ConocoPhillips .................................................. 1,920,096
------------
6,148,032
------------
FINANCIALS - 11.47%
13,000 Allstate Corp./The .............................................. 681,200
62,992 Bank of America Corp. ........................................... 3,041,254
16,500 BB&T Corp. (O) .................................................. 610,005
74,000 Citigroup, Inc. (O) ............................................. 3,100,600
20,200 Federal Home Loan Mortgage Corp. (O) ............................ 1,055,046
5,600 Hartford Financial Services Group, Inc. ......................... 543,368
34,002 JPMorgan Chase & Co. ............................................ 1,598,094
6,200 Travelers Cos., Inc./The ........................................ 323,702
65,000 US Bancorp (O) .................................................. 2,155,400
40,600 Wachovia Corp. .................................................. 1,856,638
58,700 Wells Fargo & Co. ............................................... 1,996,387
------------
16,961,694
------------
HEALTH CARE - 7.98%
20,300 Abbott Laboratories ............................................. 1,108,786
53,300 Bristol-Myers Squibb Co. ........................................ 1,598,467
25,000 Eli Lilly & Co. ................................................. 1,353,750
49,000 Johnson & Johnson ............................................... 3,193,330
31,000 Merck & Co., Inc. ............................................... 1,806,060
111,362 Pfizer, Inc. .................................................... 2,740,619
------------
11,801,012
------------
INDUSTRIALS - 4.39%
8,500 3M Co. .......................................................... 734,060
14,000 Emerson Electric Co. ............................................ 731,780
94,000 General Electric Co. ............................................ 3,869,040
15,400 United Parcel Service, Inc., Class B (O) ........................ 1,156,540
------------
6,491,420
------------
INFORMATION TECHNOLOGY - 1.61%
10,500 Automatic Data Processing, Inc. ................................. 520,380
43,500 Intel Corp. ..................................................... 1,170,150
16,600 Paychex, Inc. (O) ............................................... 693,548
------------
2,384,078
------------
MATERIALS - 2.47%
15,300 Dow Chemical Co./The (O) ........................................ 689,112
21,000 EI Du Pont de Nemours & Co. ..................................... 1,039,710
25,200 Weyerhaeuser Co. (O) ............................................ 1,912,932
------------
3,641,754
------------
TELECOMMUNICATION SERVICES - 3.10%
54,592 AT&T, Inc. ...................................................... 2,281,399
49,900 Verizon Communications, Inc. .................................... 2,298,893
------------
4,580,292
------------
UTILITIES - 2.32%
6,700 Ameren Corp. .................................................... 362,202
15,400 Consolidated Edison, Inc. (O) ................................... 725,186
37,700 Duke Energy Corp. (O) ........................................... 722,709
5,700 FirstEnergy Corp. ............................................... 397,290
7,200 Progress Energy, Inc. (O) ....................................... 345,600
24,000 Southern Co. (O) ................................................ 879,840
------------
3,432,827
------------
TOTAL COMMON STOCKS (Cost $62,637,844) .......................... 69,537,289
COMMON STOCK UNIT - 0.46%
- --------------------------------------------------------------------------------------------------
FINANCIALS - 0.46%
8,000 AllianceBernstein Holding L.P. (O) .............................. 683,440
------------
TOTAL COMMON STOCK UNIT (Cost $683,935) ......................... 683,440
Par Value
- ---------
ASSET BACKED - 1.72%
- --------------------------------------------------------------------------------------------------
$ 98,971 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 ............................................ 98,659
415,129 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ............................................ 86,334
525,000 Carmax Auto Owner Trust,
Series 2007-2, Class B
5.370%, due 03/15/13 ............................................ 525,722
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
43
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$ 465,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14 ............................................ $ 464,924
330,616 CIT Group Home Equity Loan Trust,
Series 2002-2, Class BF (M)
6.830%, due 06/25/33 ............................................ 218,049
320,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due 10/25/33 ............................................ 298,884
217,934 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27 ............................................ 215,734
33,926 Residential Asset Mortgage
Products, Inc.,
Series 2003-RS9, Class AI5 (G)
4.990%, due 03/25/31 ............................................ 33,789
116,833 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35 ............................................ 100,576
257,501 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.873%, due 05/25/34 ............................................ 200,383
------------
TOTAL ASSET BACKED
(Cost $2,772,218) ............................................... 2,543,054
COMMERCIAL MORTGAGE BACKED - 4.93%
- --------------------------------------------------------------------------------------------------
209,758 Bear Stearns Commercial
Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ............................................ 209,423
445,000 Bear Stearns Commercial
Mortgage Securities,
Series 2003-T10, Class E (C)(G)
5.540%, due 03/13/40 ............................................ 410,497
23,921 Bear Stearns Commercial
Mortgage Securities,
Series 2004-T16, Class A2
3.700%, due 02/13/46 ............................................ 23,838
350,000 Bear Stearns Commercial
Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 ............................................ 334,450
200,000 Bear Stearns Commercial
Mortgage Securities,
Series 2005-T20, Class F (C)(G)
5.131%, due 10/12/42 ............................................ 176,417
816,129 GMAC Commercial Mortgage
Securities, Inc.,
Series 2000-C1, Class A2 (G)
7.724%, due 03/15/33 ............................................ 852,603
600,000 Government National
Mortgage Association,
Series 2004-43, Class C (G)
5.008%, due 12/16/25 ............................................ 594,472
400,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 ............................................ 396,371
700,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29 ............................................ 685,770
400,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 ............................................ 384,356
700,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ............................................ 678,395
640,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43 ............................................ 634,531
677,000 Multi Security Asset Trust,
Series 2005-RR4A, Class H (C)(G)
5.880%, due 11/28/35 ............................................ 648,675
200,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due 11/28/35 ............................................ 184,782
184,940 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 ............................................ 182,746
895,000 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C8, Class A2
3.894%, due 11/15/35 ............................................ 883,632
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $7,400,971) ............................................... 7,280,958
PRIVATE LABEL MORTGAGE BACKED - 2.03%
- --------------------------------------------------------------------------------------------------
403,903 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36 ............................................ 397,248
1,787,369 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36 ............................................ 1,759,431
838,966 Banc of America Alternative Loan Trust,
Series 2006-4, Class 5CB1
6.500%, due 05/25/46 ............................................ 850,271
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $3,016,285) ............................................... 3,006,950
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
44
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 16.64%
- --------------------------------------------------------------------------------------------------
BEVERAGE/FOOD - 0.33%
$ 475,000 Kraft Foods, Inc.
6.500%, due 11/01/31 ............................................ $ 483,710
------------
CONSUMER DISCRETIONARY - 1.84%
750,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 ............................................ 928,655
500,000 Carnival Corp. (D)
3.750%, due 11/15/07 ............................................ 499,830
600,000 Centex Corp.
4.875%, due 08/15/08 ............................................ 586,472
325,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 ............................................ 305,790
400,000 Royal Caribbean Cruises, Ltd. (D)
7.250%, due 06/15/16 ............................................ 398,000
------------
2,718,747
------------
CONSUMER STAPLES - 0.44%
250,000 Diageo Capital PLC (D)
5.500%, due 09/30/16 ............................................ 245,904
400,000 Safeway, Inc.
4.125%, due 11/01/08 ............................................ 397,953
------------
643,857
------------
ENERGY - 0.75%
500,000 Chesapeake Energy Corp.
6.375%, due 06/15/15 ............................................ 485,000
150,000 Hess Corp.
7.875%, due 10/01/29 ............................................ 176,056
400,000 Transocean, Inc.
7.500%, due 04/15/31 ............................................ 453,029
------------
1,114,085
------------
FINANCE - 2.65%
500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10 ............................................ 489,704
210,000 GE Insurance Solutions Corp.
7.000%, due 02/15/26 ............................................ 223,462
205,000 GE Insurance Solutions Corp.
7.750%, due 06/15/30 ............................................ 235,959
335,000 HCP, Inc.
6.700%, due 01/30/18 ............................................ 335,271
250,000 HSBC Finance Corp.
6.500%, due 11/15/08 ............................................ 253,225
410,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17 ............................................ 392,601
760,000 Nissan Motor Acceptance Corp. (C)
5.625%, due 03/14/11 ............................................ 772,085
500,000 Residential Capital LLC (G)
7.500%, due 04/17/13 ............................................ 365,000
355,000 SLM Corp.
5.125%, due 08/27/12 ............................................ 320,604
500,000 US Bank NA/Cincinnati OH
6.300%, due 02/04/14 ............................................ 529,767
------------
3,917,678
------------
FINANCIAL SERVICES - 0.66%
600,000 National Rural Utilities
Cooperative Finance Corp.,
Series C
7.250%, due 03/01/12 ............................................ 643,124
330,000 Well Fargo & Co.
5.250%, due 10/23/12 ............................................ 330,792
------------
973,916
------------
FORESTRY/PAPER - 0.13%
175,000 Westvaco Corp.
8.200%, due 01/15/30 ............................................ 189,070
------------
HEALTH CARE - 1.30%
1,050,000 Amgen, Inc. (C)
5.850%, due 06/01/17 ............................................ 1,048,423
300,000 Eli Lilly & Co.
6.570%, due 01/01/16 ............................................ 322,777
195,000 Genentech, Inc.
5.250%, due 07/15/35 ............................................ 177,054
205,000 Merck & Co., Inc.
6.400%, due 03/01/28 ............................................ 216,353
150,000 Wyeth
6.500%, due 02/01/34 ............................................ 158,395
------------
1,923,002
------------
INDUSTRIALS - 1.49%
150,000 Boeing Co.
8.625%, due 11/15/31 ............................................ 203,830
400,000 Daimler Finance North America LLC
4.750%, due 01/15/08 ............................................ 399,436
130,000 DR Horton, Inc.
5.250%, due 02/15/15 ............................................ 110,272
250,000 Ford Motor Credit Co. LLC
5.800%, due 01/12/09 ............................................ 241,189
350,000 GMAC LLC
7.250%, due 03/02/11 ............................................ 330,956
440,000 Overseas Shipholding Group, Inc.
8.250%, due 03/15/13 ............................................ 454,300
150,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................ 159,483
310,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................ 306,292
------------
2,205,758
------------
MEDIA - 0.98%
415,000 Comcast Cable Communication Holdings, Inc.
9.455%, due 11/15/22 ............................................ 535,837
600,000 COX Enterprises, Inc. (C)
4.375%, due 05/01/08 ............................................ 597,577
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
45
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MEDIA (CONTINUED)
$ 315,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13 ............................................ $ 321,396
------------
1,454,810
------------
PIPELINE - 0.40%
205,000 Knight, Inc.
7.250%, due 03/01/28 ............................................ 193,406
400,000 Panhandle Eastern Pipe Line
4.800%, due 08/15/08 ............................................ 398,089
------------
591,495
------------
REAL ESTATE INVESTMENT TRUSTS - 1.01%
715,000 Equity One, Inc.
3.875%, due 04/15/09 ............................................ 699,705
600,000 Nationwide Health Properties, Inc.,
Series D
8.250%, due 07/01/12 ............................................ 652,873
140,000 Simon Property Group L.P.
5.875%, due 03/01/17 ............................................ 138,357
------------
1,490,935
------------
TELECOMMUNICATIONS - 0.64%
400,000 CenturyTel, Inc., Series F
6.300%, due 01/15/08 ............................................ 400,357
240,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................ 240,930
315,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................ 302,876
------------
944,163
------------
TRANSPORTATION - 0.48%
175,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 ............................................ 202,750
239,000 Norfolk Southern Corp.
5.590%, due 05/17/25 ............................................ 224,025
260,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................ 287,556
------------
714,331
------------
UTILITIES - 3.54%
500,000 Energy East Corp.
8.050%, due 11/15/10 ............................................ 540,031
310,000 Illinois Power Co.
7.500%, due 06/15/09 ............................................ 318,566
1,000,000 Midamerican Energy Co.
5.650%, due 07/15/12 ............................................ 1,020,030
400,000 Nevada Power Co., Series R
6.750%, due 07/01/37 ............................................ 418,014
340,000 New York State Electric & Gas Corp.
4.375%, due 11/15/07 ............................................ 339,852
175,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................ 174,342
350,000 Progress Energy, Inc.
7.750%, due 03/01/31 ............................................ 411,164
126,000 Sierra Pacific Power Co.,
Series M
6.000%, due 05/15/16 ............................................ 126,506
500,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17 ............................................ 487,013
600,000 Westar Energy, Inc.
6.000%, due 07/01/14 ............................................ 610,830
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ............................................ 793,201
------------
5,239,549
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $24,716,300) .............................................. 24,605,108
MORTGAGE BACKED - 17.89%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.46%
11,384 8.000%, due 06/01/30
Pool # C01005 ................................................... 12,088
197,841 6.500%, due 01/01/32
Pool # C62333 ................................................... 203,950
1,544,203 5.000%, due 07/01/33
Pool # A11325 ................................................... 1,486,208
127,488 6.000%, due 10/01/34
Pool # A28439 ................................................... 128,592
110,696 6.000%, due 10/01/34
Pool # A28598 ................................................... 111,654
130,754 5.000%, due 04/01/35
Pool # A32315 ................................................... 125,620
95,523 5.000%, due 04/01/35
Pool # A32316 ................................................... 91,773
------------
2,159,885
------------
FEDERAL NATIONAL ASSOCIATION - 16.32%
362,370 4.000%, due 04/01/15
Pool # 255719 ................................................... 352,389
460,601 5.500%, due 04/01/16
Pool # 745444 ................................................... 462,838
67,152 6.000%, due 05/01/16
Pool # 582558 ................................................... 68,453
731,074 5.000%, due 12/01/17
Pool # 672243 ................................................... 722,735
641,911 5.000%, due 05/01/20
Pool # 813965 ................................................... 632,332
952,365 4.500%, due 09/01/20
Pool # 835465 ................................................... 921,550
114,428 6.000%, due 05/01/21
Pool # 253847 ................................................... 116,390
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
46
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 19,769 7.000%, due 12/01/29
Pool # 762813 ................................................... $ 20,683
72,194 7.000%, due 11/01/31
Pool # 607515 ................................................... 75,600
56,146 7.000%, due 05/01/32
Pool # 644591 ................................................... 58,795
454,944 6.500%, due 06/01/32
Pool # 545691 ................................................... 468,257
630,986 5.500%, due 10/01/33
Pool # 254904 ................................................... 623,565
1,892,181 5.500%, due 11/01/33
Pool # 555880 ................................................... 1,869,927
22,407 5.000%, due 05/01/34
Pool # 782214 ................................................... 21,559
531,905 5.000%, due 06/01/34
Pool # 255230 ................................................... 511,780
11,232 7.000%, due 07/01/34
Pool # 792636 ................................................... 11,701
202,243 5.500%, due 08/01/34
Pool # 793647 ................................................... 199,726
395,277 5.500%, due 03/01/35
Pool # 810075 ................................................... 389,935
893,371 5.500%, due 03/01/35
Pool # 815976 ................................................... 881,298
424,579 5.500%, due 07/01/35
Pool # 825283 ................................................... 418,842
532,940 5.000%, due 08/01/35
Pool # 829670 ................................................... 512,036
271,761 5.500%, due 08/01/35
Pool # 826872 ................................................... 268,088
419,420 5.000%, due 09/01/35
Pool # 820347 ................................................... 402,968
444,495 5.000%, due 09/01/35
Pool # 835699 ................................................... 427,060
832,199 5.000%, due 10/01/35
Pool # 797669 ................................................... 799,556
569,034 5.000%, due 11/01/35
Pool # 844504 ................................................... 546,714
611,906 5.000%, due 11/01/35
Pool # 844809 ................................................... 587,904
603,822 5.000%, due 12/01/35
Pool # 850561 ................................................... 580,137
189,874 5.500%, due 02/01/36
Pool # 851330 ................................................... 187,308
736,047 5.500%, due 09/01/36
Pool # 831820 ................................................... 725,396
1,065,593 6.000%, due 09/01/36
Pool # 831741 ................................................... 1,073,642
226,808 5.500%, due 10/01/36
Pool # 896340 ................................................... 223,526
897,115 5.500%, due 10/01/36
Pool # 901723 ................................................... 884,134
643,990 6.500%, due 10/01/36
Pool # 894118 ................................................... 659,224
792,953 6.000%, due 11/01/36
Pool # 902510 ................................................... 800,092
910,996 5.500%, due 12/01/36
Pool # 902853 ................................................... 897,814
921,796 5.500%, due 12/01/36
Pool # 903059 ................................................... 908,458
954,148 5.500%, due 12/01/36
Pool # 907512 ................................................... 940,341
931,469 5.500%, due 12/01/36
Pool # 907635 ................................................... 917,991
815,522 6.000%, due 12/01/36
Pool # 903002 ................................................... 821,683
762,913 5.500%, due 01/01/37
Pool # 906268 ................................................... 751,874
697,470 5.500%, due 05/01/37
Pool # 899323 ................................................... 687,312
706,247 5.500%, due 07/01/37
Pool # 938197 ................................................... 695,961
------------
24,127,574
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.11%
13,618 8.000%, due 10/20/15
Pool # 002995 ................................................... 14,360
77,612 6.500%, due 02/20/29
Pool # 002714 ................................................... 80,054
59,088 6.500%, due 04/20/31
Pool # 003068 ................................................... 60,895
------------
155,309
------------
TOTAL MORTGAGE BACKED
(Cost $26,678,768) .............................................. 26,442,768
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 8.89%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.72%
1,000,000 5.875%, due 10/03/16 ............................................ 1,068,531
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 0.50%
750,000 4.500%, due 01/15/14 ............................................ 739,396
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.56%
600,000 3.800%, due 01/18/08 (O) ........................................ 598,843
525,000 4.000%, due 09/02/08 ............................................ 522,685
500,000 5.250%, due 08/01/12 (O) ........................................ 509,622
675,000 4.625%, due 10/15/14 (O) ........................................ 667,403
------------
2,298,553
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
47
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
- --------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - 0.88% (O)
$1,060,000 6.625%, due 02/15/27 ............................................ $ 1,301,398
------------
U.S. TREASURY NOTES - 5.23% (O)
380,000 4.875%, due 05/31/09 ............................................ 385,195
225,000 3.875%, due 05/15/10 ............................................ 224,736
100,000 3.875%, due 09/15/10 ............................................ 99,805
30,000 4.500%, due 11/15/10 ............................................ 30,450
320,000 4.875%, due 04/30/11 ............................................ 328,850
2,600,000 4.625%, due 12/31/11 ............................................ 2,652,609
1,135,000 4.875%, due 06/30/12 ............................................ 1,170,025
800,000 4.000%, due 02/15/14 ............................................ 789,687
60,000 4.250%, due 08/15/15 ............................................ 59,550
950,000 4.500%, due 02/15/16 ............................................ 957,199
1,025,000 4.500%, due 05/15/17 ............................................ 1,027,963
------------
7,726,069
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $12,824,695) .............................................. 13,133,947
Shares
- ------
INVESTMENT COMPANIES - 0.33%
- --------------------------------------------------------------------------------------------------
1 JPMorgan Prime Money
Market Fund ..................................................... 1
489,644 SSgA Prime Money
Market Fund ..................................................... 489,644
------------
TOTAL INVESTMENT COMPANIES
(Cost $489,645) ................................................. 489,645
COLLATERAL FOR SECURITIES ON LOAN - 16.12%
- --------------------------------------------------------------------------------------------------
23,835,970 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... 23,835,970
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $23,835,970) .............................................. 23,835,970
TOTAL INVESTMENTS - 116.05%
- --------------------------------------------------------------------------------------------------
(Cost $165,056,631**) ......................................................... $171,559,129
NET OTHER ASSETS AND LIABILITIES - (16.05)%
- --------------------------------------------------------------------------------------------------
(23,724,560)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$147,834,569
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $165,264,394.
(C) Security sold within 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 0.99% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2007.
(I) Represents investments of cash collateral received in connection with
securities lending.
(M) Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below a stated level, the issuer will
either initiate a clean-up call or increase the stated interest rate.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
48
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.16%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 7.10%
15,400 CBS Corp., Class B (O) ........................................... $ 441,980
71,986 Comcast Corp., Class A (O)* ...................................... 1,515,305
18,000 Eastman Kodak Co. (O) ............................................ 515,880
43,800 Gap, Inc./The .................................................... 827,820
14,200 General Motors Corp. (O) ......................................... 556,498
28,500 Home Depot, Inc. ................................................. 898,035
3,600 Kohl's Corp. * ................................................... 197,892
26,200 Lowe's Cos., Inc. (O) ............................................ 704,518
11,800 Macy's, Inc . .................................................... 377,954
24,762 McDonald's Corp. ................................................. 1,478,292
37,300 News Corp., Class A .............................................. 808,291
10,400 Nike, Inc., Class B .............................................. 689,104
10,600 Omnicom Group, Inc. .............................................. 540,388
7,400 Sears Holdings Corp. (O)* ........................................ 997,446
10,300 Tiffany & Co. .................................................... 558,054
129,800 Time Warner, Inc. ................................................ 2,370,148
17,600 Viacom, Inc., Class B * .......................................... 726,704
14,900 Walt Disney Co./The .............................................. 515,987
------------
14,720,296
------------
CONSUMER STAPLES - 7.62%
34,500 Altria Group, Inc. ............................................... 2,516,085
16,900 Archer-Daniels-Midland Co. (O) ................................... 604,682
8,400 Clorox Co. (O) ................................................... 525,588
20,500 Coca-Cola Co./The ................................................ 1,266,080
10,000 Costco Wholesale Corp. ........................................... 672,600
25,900 CVS Caremark Corp. ............................................... 1,081,843
8,600 General Mills, Inc. .............................................. 496,478
10,600 HJ Heinz Co. ..................................................... 495,868
5,600 Kellogg Co. ...................................................... 295,624
6,600 Kimberly-Clark Corp. (O) ......................................... 467,874
53,697 Kraft Foods, Inc., Class A ....................................... 1,794,017
57,400 Procter & Gamble Co. ............................................. 3,990,448
35,600 Wal-Mart Stores, Inc. ............................................ 1,609,476
------------
15,816,663
------------
ENERGY - 14.56%
11,200 Anadarko Petroleum Corp. ......................................... 661,024
16,600 Apache Corp. ..................................................... 1,723,246
62,866 Chevron Corp. .................................................... 5,752,868
50,300 ConocoPhillips ................................................... 4,273,488
21,400 Devon Energy Corp. ............................................... 1,998,760
10,000 EOG Resources, Inc. .............................................. 886,000
102,600 Exxon Mobil Corp. ................................................ 9,438,174
25,100 Marathon Oil Corp. ............................................... 1,484,163
31,500 Occidental Petroleum Corp. ....................................... 2,175,075
4,900 Schlumberger, Ltd. ............................................... 473,193
15,100 Spectra Energy Corp. (O) ......................................... 392,298
6,600 Valero Energy Corp. .............................................. 464,838
13,400 Williams Cos., Inc. .............................................. 488,966
------------
30,212,093
------------
FINANCIALS - 29.64%
17,000 ACE, Ltd. ........................................................ 1,030,370
21,100 Allstate Corp./The ............................................... 1,105,640
5,000 American Capital Strategies, Ltd. (O) ............................ 217,050
55,500 American International Group, Inc. ............................... 3,503,160
8,200 Ameriprise Financial, Inc. (O) ................................... 516,436
13,500 AON Corp. (O) .................................................... 611,820
1,800 AvalonBay Communities, Inc., REIT ................................ 220,770
129,284 Bank of America Corp. ............................................ 6,241,832
28,000 Bank of New York Mellon Corp./The ................................ 1,367,800
20,000 BB&T Corp. (O) ................................................... 739,400
2,900 Boston Properties, Inc., REIT .................................... 314,186
8,300 Capital One Financial Corp. ...................................... 544,397
11,600 Chubb Corp. ...................................................... 618,860
129,366 Citigroup, Inc. .................................................. 5,420,435
11,600 Discover Financial Services ...................................... 223,880
7,800 Equity Residential, REIT ......................................... 325,884
13,300 Federal Home Loan Mortage Corp. .................................. 694,659
28,800 Federal National Mortgage Association ............................ 1,642,752
5,900 General Growth Properties, Inc., REIT (O) ........................ 320,724
7,000 Goldman Sachs Group, Inc./The .................................... 1,735,440
15,000 Hartford Financial Services Group, Inc. .......................... 1,455,450
18,100 Host Hotels & Resorts, Inc., REIT ................................ 401,096
92,568 JPMorgan Chase & Co. ............................................. 4,350,696
16,600 Keycorp .......................................................... 472,270
7,200 Kimco Realty Corp., REIT ......................................... 298,944
6,300 Legg Mason, Inc. ................................................. 522,522
14,300 Lehman Brothers Holdings, Inc. ................................... 905,762
10,900 Lincoln National Corp. ........................................... 679,833
10,400 Loews Corp. ...................................................... 510,536
4,100 M&T Bank Corp. ................................................... 407,868
13,300 Marshall & Ilsley Corp. (O)* ..................................... 567,910
19,300 Merrill Lynch & Co., Inc. ........................................ 1,274,186
18,400 MetLife, Inc. .................................................... 1,266,840
27,800 Morgan Stanley ................................................... 1,869,828
21,500 National City Corp. (O) .......................................... 521,375
4,700 PNC Financial Services Group, Inc. ............................... 339,152
10,300 Principal Financial Group, Inc. .................................. 697,001
5,300 Prologis, REIT ................................................... 380,222
12,900 Prudential Financial, Inc. ....................................... 1,247,688
2,500 Public Storage, REIT (O) ......................................... 202,425
12,841 Regions Financial Corp. .......................................... 348,248
4,200 Simon Property Group, Inc., REIT ................................. 437,262
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
49
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
4,000 SL Green Realty Corp., REIT ..................................... $ 482,640
3,200 State Street Corp. .............................................. 255,264
14,500 SunTrust Banks, Inc. ............................................ 1,052,700
26,100 Travelers Cos., Inc./The ........................................ 1,362,681
34,800 Unum Group ...................................................... 812,232
59,300 US Bancorp ...................................................... 1,966,388
7,700 Vornado Realty Trust, REIT (O) .................................. 860,244
64,800 Wachovia Corp. .................................................. 2,963,304
12,500 Washington Mutual, Inc. (O) ..................................... 348,500
110,600 Wells Fargo & Co. ............................................... 3,761,506
11,300 XL Capital, Ltd., Class A ....................................... 813,035
4,500 Zions Bancorporation (O) ........................................ 265,995
------------
61,497,098
------------
HEALTH CARE - 7.34%
5,800 Abbott Laboratories ............................................. 316,796
4,000 Aetna, Inc. ..................................................... 224,680
9,100 Amgen, Inc. * ................................................... 28,801
5,000 Biogen Idec, Inc. * ............................................. 372,200
32,900 Boston Scientific Corp. * ....................................... 456,323
4,700 Cardinal Health, Inc. ........................................... 319,741
10,000 Covidien, Ltd. .................................................. 416,000
16,800 Eli Lilly & Co. ................................................. 909,720
58,700 Johnson & Johnson ............................................... 3,825,479
2,900 Medco Health Solutions, Inc. * .................................. 273,702
17,400 Merck & Co., Inc. ............................................... 1,013,724
176,840 Pfizer, Inc. .................................................... 4,352,032
7,500 Thermo Fisher Scientific, Inc. * ................................ 441,075
11,700 WellPoint, Inc. * ............................................... 926,991
17,400 Wyeth ........................................................... 846,162
------------
15,223,426
------------
INDUSTRIALS - 10.02%
6,700 3M Co. .......................................................... 578,612
5,800 Cooper Industries, Ltd., Class A ................................ 303,862
5,000 CSX Corp. ....................................................... 223,850
5,100 Deere & Co. ..................................................... 789,990
4,200 Dover Corp. ..................................................... 193,200
4,400 Eaton Corp. ..................................................... 407,352
8,200 Emerson Electric Co. ............................................ 428,614
10,000 General Dynamics Corp. .......................................... 909,600
242,400 General Electric Co. ............................................ 9,977,184
9,100 Honeywell International, Inc. ................................... 549,731
3,600 Illinois Tool Works, Inc. ....................................... 206,136
9,700 Ingersoll-Rand Co., Ltd., Class A ............................... 488,395
9,700 Masco Corp. (O) ................................................. 233,576
11,100 Norfolk Southern Corp. .......................................... 573,315
5,300 Northrop Grumman Corp. .......................................... 443,186
11,000 Parker Hannifin Corp. (O) ....................................... 884,070
7,900 Raytheon Co. .................................................... 502,519
19,700 Southwest Airlines Co. (O) ...................................... 279,937
15,400 Tyco International, Ltd. ........................................ 634,018
3,500 Union Pacific Corp. ............................................. 448,140
12,200 United Technologies Corp. ....................................... 934,398
21,800 Waste Management, Inc. .......................................... 793,302
------------
20,782,987
------------
INFORMATION TECHNOLOGY - 3.92%
10,800 Adobe Systems, Inc. * ........................................... 517,320
12,500 Automatic Data Processing, Inc. ................................. 619,500
12,500 Computer Sciences Corp. (O)* .................................... 729,875
33,900 EMC Corp./Massachusetts * ....................................... 860,721
9,521 Hewlett-Packard Co. ............................................. 492,045
12,600 International Business Machines Corp. ........................... 1,463,112
5,500 Lexmark International, Inc., Class A * ....................... 230,945
11,100 Maxim Integrated Products, Inc. ................................. 300,810
72,800 Motorola, Inc. .................................................. 1,367,912
7,300 Novellus Systems, Inc. (O)* ..................................... 207,393
5,700 SanDisk Corp. (O)* .............................................. 253,080
24,900 Symantec Corp. * ................................................ 467,622
35,400 Xerox Corp. * ................................................... 617,376
------------
8,127,711
------------
MATERIALS - 3.66%
9,700 Air Products & Chemicals, Inc. .................................. 949,145
26,800 Alcoa, Inc. ..................................................... 1,061,012
33,100 Dow Chemical Co./The ............................................ 1,490,824
19,600 EI Du Pont de Nemours & Co. (O) ................................. 970,396
6,123 Freeport-McMoRan Copper & Gold, Inc. ............................ 720,555
5,700 International Paper Co. ......................................... 210,672
9,700 Nucor Corp. ..................................................... 601,594
8,300 PPG Industries, Inc. ............................................ 620,342
12,900 Weyerhaeuser Co. (O) ............................................ 979,239
------------
7,603,779
------------
TELECOMMUNICATION SERVICES - 6.43%
5,900 Alltel Corp. .................................................... 419,785
186,032 AT&T, Inc. ...................................................... 7,774,277
53,000 Sprint Nextel Corp. (O) ......................................... 906,300
14,300 TELUS Corp. ..................................................... 838,409
59,720 Verizon Communications, Inc. .................................... 2,751,300
47,722 Windstream Corp. (O) ............................................ 641,861
------------
13,331,932
------------
UTILITIES - 5.87%
11,300 American Electric Power Co., Inc. ............................... 544,773
6,500 Consolidated Edison, Inc. (O) ................................... 306,085
6,800 Dominion Resources, Inc./VA ..................................... 623,084
33,500 Duke Energy Corp. ............................................... 642,195
20,400 Edison International ............................................ 1,186,260
11,200 Entergy Corp. ................................................... 1,342,544
9,600 Exelon Corp. .................................................... 794,688
9,200 FirstEnergy Corp. ............................................... 641,240
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
50
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
22,400 FPL Group, Inc. ................................................. $ 1,532,608
16,400 Mirant Corp. * .................................................. 694,704
9,100 NSTAR ........................................................... 319,956
27,100 PG&E Corp. ...................................................... 1,326,003
6,500 Progress Energy, Inc. ........................................... 312,000
7,000 Public Service Enterprise Group, Inc. ........................... 669,200
3,500 Sempra Energy ................................................... 215,285
22,300 Southern Co. (O) ................................................ 817,518
9,400 Xcel Energy, Inc. (O) ........................................... 211,970
------------
12,180,113
------------
TOTAL COMMON STOCKS (Cost $159,567,457) ......................... 199,496,098
INVESTMENT COMPANIES - 3.89%
- --------------------------------------------------------------------------------------------------
23,608 iShares Russell 1000 Value Index Fund ETF ....................... 2,031,468
8,100 SPDR Trust Series 1 ETF (O) ..................................... 1,252,665
4,780,816 SSgA Prime Money Market Fund .................................... 4,780,816
------------
TOTAL INVESTMENT COMPANIES (Cost $7,762,873) .................... 8,064,949
COLLATERAL FOR SECURITIES ON LOAN - 7.87%
- --------------------------------------------------------------------------------------------------
16,317,786 State Street Navigator Securities Lending
Prime Portfolio (I) ............................................. 16,317,786
TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $16,317,786) ...... 16,317,786
TOTAL INVESTMENTS - 107.92%
- --------------------------------------------------------------------------------------------------
(Cost $183,648,116**) ........................................... 223,878,833
NET OTHER ASSETS AND LIABILITIES - (7.92)%
- --------------------------------------------------------------------------------------------------
(16,426,295)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$207,452,538
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $184,417,823.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
ETF Exchange Traded Fund.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may differ
from the industry sub-classification(s) used for Trust compliance purposes
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
51
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 93.44%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.30%
5,600 Amazon.Com, Inc.* ............................................... $ 499,240
2,300 Apollo Group, Inc., Class A* .................................... 182,298
7,600 Bed Bath & Beyond, Inc.* ........................................ 257,944
4,900 Best Buy Co., Inc. (O) .......................................... 237,748
4,000 Carmax, Inc. (O)* ............................................... 83,480
3,000 Carnival Corp. (O) .............................................. 143,940
6,600 Cheesecake Factory/The (O)* ..................................... 148,038
3,500 Chico's FAS, Inc. (O)* .......................................... 45,990
5,900 Coach, Inc.* .................................................... 215,704
52,849 Comcast Corp., Class A (O)* ..................................... 1,112,471
4,800 Dick's Sporting Goods, Inc. (O)* ................................ 160,176
11,800 DIRECTV Group, Inc./The* ........................................ 312,464
3,300 Dollar Tree Stores, Inc.* ....................................... 126,390
3,300 EchoStar Communications Corp., Class A* ......................... 161,568
3,200 GameStop Corp., Class A* ........................................ 189,504
2,100 Garmin, Ltd. (O) ................................................ 225,540
7,300 Harley-Davidson, Inc. (O) ....................................... 375,950
1,900 Harrah's Entertainment, Inc. (O) ................................ 167,675
15,200 Home Depot, Inc. ................................................ 478,952
5,300 International Game Technology ................................... 231,133
2,300 JC Penney Co., Inc. ............................................. 129,352
8,400 Johnson Controls, Inc. .......................................... 367,248
11,100 Kohl's Corp.* ................................................... 610,167
2,500 Lamar Advertising Co.,Class A (O) ............................... 133,650
2,200 Las Vegas Sands Corp. (O)* ...................................... 292,776
3,500 Liberty Global, Inc.,Series A (O)* .............................. 137,375
27,500 Lowe's Cos., Inc. (O) ........................................... 739,475
6,100 Ltd Brands, Inc. (O) ............................................ 134,261
6,200 Marriott International, Inc./DE, Class A ........................ 254,882
5,400 McDonald's Corp. ................................................ 322,380
6,200 McGraw-Hill Cos., Inc./The ...................................... 310,248
2,200 MGM Mirage* ..................................................... 201,542
2,600 Newell Rubbermaid, Inc. ......................................... 75,816
28,100 News Corp., Class A ............................................. 608,927
11,100 Nike, Inc., Class B ............................................. 735,486
4,400 Nordstrom, Inc. ................................................. 173,536
7,600 Omnicom Group, Inc. ............................................. 387,448
1,600 Panera Bread Co., .Class A (O)*.................................. 65,584
2,500 Penn National Gaming, Inc.* ..................................... 154,375
4,000 Polo Ralph Lauren Corp. (O) ..................................... 275,200
100 Pulte Homes, Inc. (O) ........................................... 1,484
11,000 Staples, Inc. ................................................... 256,740
13,700 Starbucks Corp.* ................................................ 365,516
3,900 Starwood Hotels & Resorts Worldwide, Inc. ....................... 221,754
17,200 Target Corp. .................................................... 1,055,392
6,300 Tiffany & Co. ................................................... 341,334
14,300 Time Warner, Inc. ............................................... 261,118
8,100 TJX Cos., Inc. .................................................. 234,333
14,050 Viacom, Inc., Class B* .......................................... 580,125
14,300 Walt Disney Co./The ............................................. 495,209
1,000 Wynn Resorts, Ltd. (O) .......................................... 161,430
16,600 XM Satellite Radio Holdings, Inc., Class A (O)* ................. 220,448
13,400 Yum! Brands, Inc. ............................................... 539,618
------------
16,200,434
------------
CONSUMER STAPLES - 8.89%
24,800 Altria Group, Inc. .............................................. 1,808,664
5,200 Anheuser-Busch Cos., Inc. ....................................... 266,656
4,700 Avon Products, Inc. ............................................. 192,606
28,000 Coca-Cola Co./The ............................................... 1,729,280
9,600 Colgate-Palmolive Co. ........................................... 732,192
5,900 Costco Wholesale Corp. .......................................... 396,834
17,500 CVS Caremark Corp. .............................................. 730,975
1,300 Energizer Holdings, Inc. (O)* ................................... 135,590
3,300 HJ Heinz Co. .................................................... 154,374
2,700 Kellogg Co. ..................................................... 142,533
3,000 Kimberly-Clark Corp. (O) ........................................ 212,670
6,600 Kroger Co./The .................................................. 193,974
34,600 PepsiCo, Inc. ................................................... 2,550,712
22,000 Procter & Gamble Co. ............................................ 1,529,440
8,500 SYSCO Corp. ..................................................... 291,465
21,900 Walgreen Co. .................................................... 868,335
40,700 Wal-Mart Stores, Inc. ........................................... 1,840,047
3,300 WM Wrigley Jr. Co. .............................................. 203,511
------------
13,979,858
------------
ENERGY - 8.33%
5,700 Baker Hughes, Inc. .............................................. 494,304
5,200 BJ Services Co. (O) ............................................. 130,988
4,200 Cabot Oil & Gas Corp. ........................................... 166,698
4,800 Cameron International Corp. (O)* ................................ 467,328
2,600 Consol Energy, Inc. ............................................. 146,900
5,600 Denbury Resources, Inc. (O)* .................................... 316,960
1,300 Diamond Offshore Drilling, Inc. ................................. 147,199
3,400 ENSCO International, Inc. (O) ................................... 188,666
4,500 EOG Resources, Inc. ............................................. 398,700
25,000 Exxon Mobil Corp. ............................................... 2,299,750
4,300 GlobalSantaFe Corp. ............................................. 348,429
17,800 Halliburton Co. ................................................. 701,676
5,200 National Oilwell Varco, Inc.* ................................... 380,848
11,800 Noble Corp. ..................................................... 624,810
6,500 Peabody Energy Corp. (O) ........................................ 362,375
3,000 Quicksilver Resources, Inc. (O)* ................................ 171,000
3,800 Range Resources Corp. ........................................... 170,734
25,100 Schlumberger, Ltd. .............................................. 2,423,907
3,400 Smith International, Inc. ....................................... 224,570
5,500 Transocean, Inc.* ............................................... 656,535
8,900 Valero Energy Corp. ............................................. 626,827
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
52
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
6,900 Weatherford International, Ltd.* ................................ $ 447,879
10,500 Williams Cos., Inc. ............................................. 383,145
12,166 XTO Energy, Inc. ................................................ 807,579
------------
13,087,807
------------
FINANCIALS - 6.36%
7,900 Aflac, Inc. ..................................................... 495,962
21,200 American Express Co. ............................................ 1,292,140
3,800 American International Group, Inc. .............................. 239,856
9,700 Bank of New York Mellon Corp./The ............................... 473,845
2,400 BlackRock, Inc./New York (O) .................................... 496,680
16,500 Charles Schwab Corp./The ........................................ 383,460
1,237 CME Group, Inc. ................................................. 824,151
4,600 Federal Home Loan Mortgage Corp. ................................ 240,258
2,900 Franklin Resources, Inc. ........................................ 376,072
4,300 Goldman Sachs Group, Inc./The ................................... 1,066,056
1,400 IntercontinentalExchange, Inc. (O)* ............................. 249,480
4,800 Janus Capital Group, Inc. ....................................... 165,648
2,000 Jones Lang LaSalle, Inc. (O) .................................... 190,660
1,000 Mastercard, Inc.,Class A (O) .................................... 189,550
4,100 Merrill Lynch & Co., Inc. ....................................... 270,682
4,200 Moody's Corp. (O) ............................................... 183,624
3,400 Northern Trust Corp. (O) ........................................ 255,714
1,700 Nymex Holdings, Inc. (O) ........................................ 218,484
2,400 NYSE Euronext ................................................... 225,288
3,600 Prologis, REIT .................................................. 258,264
1,500 Prudential Financial, Inc. ...................................... 145,080
2,100 Simon Property Group, Inc., REIT ................................ 218,631
7,200 SLM Corp. ....................................................... 339,552
5,800 State Street Corp. .............................................. 462,666
9,300 T Rowe Price Group, Inc. (O) .................................... 597,432
3,300 Ventas, Inc., REIT .............................................. 141,537
------------
10,000,772
------------
HEALTH CARE - 15.58%
34,300 Abbott Laboratories ............................................. 1,873,466
10,100 Aetna, Inc. ..................................................... 567,317
5,600 Allergan, Inc./United States .................................... 378,448
19,074 Amgen, Inc.* .................................................... 1,108,390
1,300 Amylin Pharmaceuticals, Inc.* ................................... 58,526
11,400 Baxter International, Inc. ...................................... 684,114
4,400 Becton Dickinson & Co. .......................................... 367,224
1,100 Biogen Idec, Inc.* .............................................. 81,884
38,900 Bristol-Myers Squibb Co. ........................................ 1,166,611
12,200 Cardinal Health, Inc. ........................................... 829,966
6,300 Celgene Corp.* .................................................. 415,800
1,200 Cerner Corp. (O)* ............................................... 71,472
5,200 Cigna Corp. ..................................................... 272,948
2,500 Coventry Health Care, Inc.* ..................................... 150,775
1,700 CR Bard, Inc. ................................................... 142,137
12,800 Eli Lilly & Co. ................................................. 693,120
4,000 Express Scripts, Inc.* .......................................... 252,400
5,300 Forest Laboratories, Inc. (O)* .................................. 207,071
20,900 Genentech, Inc.* ................................................ 1,549,317
2,100 Gen-Probe, Inc.* ................................................ 147,042
5,800 Genzyme Corp.* .................................................. 440,626
20,400 Gilead Sciences, Inc.* .......................................... 942,276
3,200 Humana, Inc.* ................................................... 239,840
3,300 IMS Health, Inc. (O) ............................................ 83,193
600 Intuitive Surgical, Inc.* ....................................... 196,122
31,900 Johnson & Johnson ............................................... 2,078,923
2,100 Laboratory Corp. of America Holdings (O)* ....................... 144,375
3,600 McKesson Corp. .................................................. 237,960
8,000 Medco Health Solutions, Inc.* ................................... 755,040
26,100 Medtronic, Inc. ................................................. 1,238,184
39,000 Merck & Co., Inc. ............................................... 2,272,140
2,900 PDL BioPharma, Inc. (O)* ........................................ 61,480
29,600 Schering-Plough Corp. ........................................... 903,392
6,200 St. Jude Medical, Inc.* ......................................... 252,526
6,400 Stryker Corp. ................................................... 454,400
3,600 Thermo Fisher Scientific, Inc.* ................................. 211,716
27,100 UnitedHealth Group, Inc. ........................................ 1,331,965
4,900 VCA Antech, Inc.* ............................................... 225,645
2,900 Vertex Pharmaceuticals, Inc. (O)* ............................... 93,786
500 WellCare Health Plans, Inc. (O)* ................................ 12,095
5,400 WellPoint, Inc.* ................................................ 427,842
10,427 Wyeth ........................................................... 507,065
5,300 Zimmer Holdings, Inc.* .......................................... 368,297
------------
24,496,916
------------
INDUSTRIALS - 11.94%
12,900 3M Co. .......................................................... 1,114,044
5,000 Ametek, Inc. .................................................... 235,000
5,800 AMR Corp. (O)* .................................................. 139,200
15,300 Boeing Co. ...................................................... 1,508,427
6,700 Burlington Northern Santa Fe Corp. .............................. 583,905
13,900 Caterpillar, Inc. ............................................... 1,037,079
6,900 CH Robinson Worldwide, Inc. (O) ................................. 344,448
4,200 Continental Airlines, Inc., Class B (O)* ........................ 144,270
1,800 Cummins, Inc. ................................................... 215,928
6,300 Danaher Corp. ................................................... 539,721
2,600 Deere & Co. ..................................................... 402,740
12,600 Emerson Electric Co. ............................................ 658,602
2,800 Equifax, Inc. (O) ............................................... 107,800
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
53
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
5,700 Expeditors International Washington, Inc. (O) ................... $ 288,705
2,000 Fastenal Co. (O) ................................................ 88,960
9,000 FedEx Corp. ..................................................... 930,060
1,900 Flowserve Corp. ................................................. 150,024
1,600 Fluor Corp. (O) ................................................. 252,800
1,300 Foster Wheeler, Ltd.* ........................................... 192,725
1,000 General Dynamics Corp. .......................................... 90,960
30,400 General Electric Co. ............................................ 1,251,264
2,300 Goodrich Corp. .................................................. 160,218
12,400 Honeywell International, Inc. ................................... 749,084
4,800 Illinois Tool Works, Inc. ....................................... 274,848
2,100 ITT Corp. (O) ................................................... 140,532
1,700 Jacobs Engineering Group, Inc. (O)* ............................. 148,155
1,900 Joy Global, Inc. ................................................ 110,314
700 L-3 Communications Holdings, Inc. ............................... 76,748
6,800 Lockheed Martin Corp. ........................................... 748,272
3,600 Manitowoc Co., Inc./The ......................................... 177,336
5,800 McDermott International, Inc.* .................................. 354,148
5,200 Monster Worldwide, Inc.* ........................................ 211,016
2,300 Oshkosh Truck Corp. (O) ......................................... 124,660
4,950 Paccar, Inc. .................................................... 275,022
2,500 Precision Castparts Corp. ....................................... 374,525
11,900 Quanta Services, Inc. (O)* ...................................... 392,700
5,700 Raytheon Co. .................................................... 362,577
4,100 Robert Half International, Inc. (O) ............................. 123,369
2,700 Rockwell Automation, Inc./DE .................................... 185,976
3,000 Rockwell Collins, Inc. .......................................... 224,430
2,600 Stericycle, Inc.* ............................................... 151,658
1,600 Terex Corp.* .................................................... 118,752
2,800 Textron, Inc. ................................................... 193,788
2,800 Union Pacific Corp. ............................................. 358,512
11,900 United Parcel Service, Inc.,Class B ............................. 893,690
13,400 United Technologies Corp. ....................................... 1,026,306
5,500 Waste Management, Inc. .......................................... 200,145
3,700 WW Grainger, Inc. (O) ........................................... 332,704
------------
18,766,147
------------
INFORMATION TECHNOLOGY - 27.69%
11,600 Accenture, Ltd., Class A ........................................ 452,980
22,100 Adobe Systems, Inc.* ............................................ 1,058,590
8,700 Agilent Technologies, Inc.* ..................................... 320,595
6,600 Altera Corp. (O) ................................................ 129,492
5,900 Analog Devices, Inc. ............................................ 197,414
15,800 Apple, Inc.* .................................................... 3,001,210
18,200 Applied Materials, Inc. ......................................... 353,444
2,700 Autodesk, Inc.* ................................................. 132,030
10,700 Automatic Data Processing, Inc. ................................. 530,292
9,000 Broadcom Corp., Class A* ........................................ 292,950
133,000 Cisco Systems, Inc.* ............................................ 4,396,980
4,000 Citrix Systems, Inc.* ........................................... 71,960
5,000 Cognizant Technology Solutions Corp., Class A* .................. 207,300
31,200 Corning, Inc. ................................................... 757,224
3,300 Cypress Semiconductor Corp.*..................................... 120,615
36,700 Dell, Inc. (O)* ................................................. 1,123,020
24,000 eBay, Inc.* ..................................................... 866,400
5,500 Electronic Arts, Inc.* .......................................... 336,160
54,000 EMC Corp./Massachusetts* ........................................ 1,371,060
3,300 Fidelity National Information Services, Inc. .................... 152,196
900 First Solar, Inc.* .............................................. 142,929
4,279 Fiserv, Inc.* ................................................... 237,057
3,300 Global Payments, Inc. ........................................... 156,948
5,100 Google, Inc., Class A* .......................................... 3,605,700
48,900 Hewlett-Packard Co. ............................................. 2,527,152
113,100 Intel Corp. ..................................................... 3,042,390
22,700 International Business Machines Corp. ........................... 2,635,924
4,600 Intuit, Inc.* ................................................... 147,982
3,100 Iron Mountain, Inc. (O)* ........................................ 107,663
6,000 Juniper Networks, Inc.* ......................................... 216,000
11,200 Kla-Tencor Corp. (O) ............................................ 589,680
2,600 Lexmark International, Inc., Class A (O)* ..................... 109,174
14,600 Maxim Integrated Products, Inc. ............................... 395,660
3,300 MEMC Electronic Materials, Inc.* ................................ 241,626
4,400 Microchip Technology, Inc. (O) .................................. 145,948
7,500 Micron Technology, Inc. (O)* .................................... 78,825
159,700 Microsoft Corp. ................................................. 5,878,557
7,000 Network Appliance, Inc.* ........................................ 220,430
9,550 Nvidia Corp.* ................................................... 337,879
79,300 Oracle Corp.* ................................................... 1,758,081
6,100 Paychex, Inc. ................................................... 254,858
31,300 Qualcomm, Inc. .................................................. 1,337,449
2,200 Salesforce.com, Inc. (O)* ....................................... 124,014
6,600 SanDisk Corp. (O)* .............................................. 293,040
35,600 Texas Instruments, Inc. ......................................... 1,160,560
9,400 Trimble Navigation, Ltd.* ....................................... 391,980
4,000 Varian Semiconductor Equipment Associates, Inc.* ................ 184,080
4,300 VeriSign, Inc. (O)* ............................................. 146,587
470 VMware, Inc., Class A (O)* ...................................... 58,670
13,300 Western Union Co./The ........................................... 293,132
23,700 Yahoo!, Inc.* ................................................... 737,070
------------
43,528,957
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
54
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MATERIALS - 2.61%
1,500 Air Products & Chemicals, Inc. .................................. $ 146,775
1,600 Allegheny Technologies, Inc. .................................... 163,472
2,600 Ball Corp. ...................................................... 128,908
3,000 Ecolab, Inc. .................................................... 141,510
1,200 EI Du Pont de Nemours & Co. ..................................... 59,412
5,800 Freeport-McMoRan Copper & Gold, Inc. ............................ 682,544
12,800 Monsanto Co. .................................................... 1,249,664
9,500 Nalco Holding Co. ............................................... 236,170
3,300 Newmont Mining Corp. ............................................ 167,838
3,400 Owens-Illinois, Inc.* ........................................... 151,028
5,800 Praxair, Inc. ................................................... 495,784
1,300 Southern Copper Corp. (O) ....................................... 181,610
3,100 Steel Dynamics, Inc. (O) ........................................ 164,982
1,500 Vulcan Materials Co. (O) ........................................ 128,265
------------
4,097,962
------------
TELECOMMUNICATION SERVICES - 0.58%
7,500 American Tower Corp., Class A* .................................. 331,350
26,000 Level 3 Communications, Inc. (O)* ............................... 78,780
6,077 NeuStar, Inc., Class A (O)* ..................................... 207,834
5,100 NII Holdings, Inc.* ............................................. 295,800
------------
913,764
------------
UTILITIES - 1.16%
11,800 AES Corp./The* .................................................. 252,638
2,300 Constellation Energy Group, Inc. ................................ 217,810
6,400 Exelon Corp. .................................................... 529,792
4,600 Mirant Corp.* ................................................... 194,856
4,100 NRG Energy, Inc. (O)* ........................................... 187,206
4,300 PPL Corp. ....................................................... 222,310
2,500 Veolia Environment, ADR ......................................... 224,325
------------
1,828,937
------------
TOTAL COMMON STOCKS (Cost $125,732,096) ......................... 146,901,554
INVESTMENT COMPANIES - 6.20%
- --------------------------------------------------------------------------------------------------
107,300 iShares Russell 1000 Growth Index Fund ETF (O) .................. 6,814,623
5,900 iShares S&P 100 Index Fund ETF .................................. 428,340
2,499,392 SSgA Prime Money Market Fund .................................... 2,499,392
------------
TOTAL INVESTMENT COMPANIES (Cost $9,321,230) .................... 9,742,355
COLLATERAL FOR SECURITIES ON LOAN - 8.46%
- --------------------------------------------------------------------------------------------------
13,298,950 State Street Navigator Securities Lending
Prime Portfolio (I) ............................................. 13,298,950
TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $13,298,950) ...... 13,298,950
TOTAL INVESTMENTS - 108.10%
- --------------------------------------------------------------------------------------------------
(Cost $148,352,276**) ......................................................... 169,942,859
NET OTHER ASSETS AND LIABILITIES - (8.10)%
- --------------------------------------------------------------------------------------------------
(12,731,590)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$157,211,269
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $148,992,667.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
ETF Exchange Traded Fund.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
55
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.82%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 11.80%
3,500 Autoliv, Inc. ................................................... $ 221,130
1,500 Black & Decker Corp. (O) ........................................ 134,865
1,400 BorgWarner, Inc. ................................................ 147,994
6,300 Cablevision Systems Corp.,Class A* .............................. 184,779
10,200 Cato Corp./The, Class A (O) ..................................... 204,816
4,400 Centex Corp. (O) ................................................ 110,264
10,200 Eastman Kodak Co. (O) ........................................... 292,332
3,500 EW Scripps Co., Class A (O) ..................................... 157,535
7,000 Expedia, Inc. (O)* .............................................. 228,620
65,500 Ford Motor Co. (O)* ............................................. 580,985
4,000 Fortune Brands, Inc. (O) ........................................ 335,080
7,100 Gannett Co., Inc. ............................................... 301,111
30,300 Gap, Inc./The ................................................... 572,670
5,700 Genuine Parts Co. ............................................... 279,699
3,000 Harrah's Entertainment, Inc. .................................... 264,750
11,100 Hibbett Sports, Inc. (O)* ....................................... 261,849
5,800 JOS A Bank Clothiers, Inc. (O)* ................................. 169,418
4,600 KB Home (O) ..................................................... 127,144
6,500 Liberty Global, Inc., Series A (O)* ............................. 255,125
4,400 Liberty Media Corp. - Capital, Series A* ........................ 549,912
9,500 Liberty Media Corp.- Interactive, Series A* ..................... 201,685
7,200 Mattel, Inc. .................................................... 150,408
5,900 Matthews International Corp.,Class A (O) ........................ 268,863
4,200 Modine Manufacturing Co. (O)..................................... 97,692
2,300 Newell Rubbermaid, Inc. ......................................... 67,068
3,800 Nike, Inc., Class B ............................................. 251,788
11,900 O'Reilly Automotive, Inc. (O)*................................... 392,938
7,100 Pulte Homes, Inc. (O) ........................................... 105,364
2,200 RH Donnelley Corp. (O)* ......................................... 120,670
2,600 Royal Caribbean Cruises, Ltd. ................................... 111,488
10,300 Saks, Inc. (O) .................................................. 217,948
1,400 Sears Holdings Corp. (O)* ....................................... 188,706
1,600 Snap-On, Inc. ................................................... 79,856
3,500 Sonic Corp. (O)* ................................................ 86,730
14,550 Stage Stores, Inc. (O) .......................................... 272,958
2,600 Tempur-Pedic International Inc.(O) .............................. 93,600
4,000 Tiffany & Co. ................................................... 216,720
6,000 TJX Cos., Inc. .................................................. 173,580
11,200 Valassis Communications, Inc. (O)* .............................. 110,320
3,800 VF Corp. ........................................................ 331,094
10,200 Virgin Media, Inc. .............................................. 225,522
200 Washington Post Co./The, Class B ................................ 169,800
5,800 Wyndham Worldwide Corp. ......................................... 190,414
------------
9,505,290
------------
CONSUMER STAPLES - 7.14%
3,400 Altria Group, Inc. .............................................. 247,962
4,200 Bunge, Ltd. ..................................................... 483,798
9,900 Casey's General Stores, Inc. (O) ................................ 282,150
3,400 Clorox Co. (O) .................................................. 212,738
10,500 Coca-Cola Enterprises, Inc. (O) ................................. 271,005
20,200 ConAgra Foods, Inc. ............................................. 479,346
6,700 Constellation Brands, Inc.,Class A (O)* ......................... 168,304
2,600 Costco Wholesale Corp. .......................................... 174,876
5,400 CVS Caremark Corp. .............................................. 225,558
6,600 Dean Foods Co. (O) .............................................. 183,282
4,500 Herbalife, Ltd. ................................................. 198,405
2,200 Hershey Co./The (O) ............................................. 94,842
7,800 HJ Heinz Co. .................................................... 364,884
7,000 Hormel Foods Corp. (O) .......................................... 255,360
5,700 Lance, Inc. (O) ................................................. 120,726
1,200 Loews Corp. - Carolina Group .................................... 102,936
3,700 McCormick & Co., Inc./MD (O) .................................. 129,611
5,500 Molson Coors Brewing Co., Class B ............................... 314,765
19,900 Rite Aid Corp.* ................................................. 77,809
13,400 Safeway, Inc. ................................................... 455,600
12,000 Sara Lee Corp. .................................................. 198,480
7,603 SUPERVALU, Inc. ................................................. 294,616
7,200 Tyson Foods, Inc., Class A ...................................... 113,760
3,400 Universal Corp./Richmond VA (O) ................................. 165,716
2,500 UST, Inc. (O) ................................................... 133,300
------------
5,749,829
------------
ENERGY - 7.32%
11,700 Chesapeake Energy Corp. (O) ..................................... 461,916
16,500 El Paso Corp. ................................................... 291,390
8,400 Forest Oil Corp.* ............................................... 408,156
11,300 Hess Corp. ...................................................... 809,193
5,000 Murphy Oil Corp. ................................................ 368,150
5,200 Nabors Industries, Ltd. (O)* .................................... 146,016
7,700 Newfield Exploration Co.* ....................................... 414,568
7,400 Noble Energy, Inc. (O) .......................................... 566,396
2,200 Overseas Shipholding Group, Inc. (O) ............................ 163,680
4,100 Pioneer Natural Resources Co. ................................... 209,182
4,400 Plains Exploration & Production Co. (O)* ........................ 224,180
4,500 Rowan Cos., Inc. ................................................ 175,410
3,400 Smith International, Inc. (O) ................................... 224,570
16,300 Spectra Energy Corp. ............................................ 423,474
5,300 St. Mary Land & Exploration Co. ................................. 224,508
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
56
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
2,700 Sunoco, Inc. .................................................... $ 198,720
5,900 Whiting Petroleum Corp. (O)* .................................... 318,954
7,300 Williams Cos., Inc. ............................................. 266,377
------------
5,894,840
------------
FINANCIALS - 28.00%
3,600 AMB Property Corp., REIT ........................................ 235,260
1,500 AMBAC Financial Group, Inc. (O) ................................. 245
5,800 American Capital Strategies, Ltd. (O) ........................... 251,778
11,400 Ameriprise Financial, Inc. (O) .................................. 717,972
15,000 AON Corp. (O) ................................................... 679,800
9,800 Ares Capital Corp. (O) .......................................... 163,072
8,300 Asset Acceptance Capital Corp. (O)* ............................. 89,308
12,260 Associated Banc-Corp. (O) ....................................... 353,824
5,100 Assurant, Inc. .................................................. 298,044
13,500 Assured Guaranty, Ltd. (O) ...................................... 311,445
3,300 AvalonBay Communities, Inc.,REIT ................................ 404,745
4,300 Axis Capital Holdings, Ltd. ..................................... 170,882
4,800 Bank of America Corp. ........................................... 231,744
2,100 BlackRock, Inc./New York (O) .................................... 434,595
6,500 Blackstone Group, L.P./The (O)* ................................. 165,295
5,000 Boston Properties, Inc., REIT ................................... 541,700
2,000 Camden Property Trust, REIT ..................................... 124,700
2,100 Capital One Financial Corp. ..................................... 137,739
6,300 Cincinnati Financial Corp. ...................................... 250,614
10,800 CIT Group, Inc. ................................................. 380,592
3,600 City National Corp./CA (O) ...................................... 243,360
12,800 Colonial BancGroup, Inc./The (O) ................................ 245,504
3,500 Comerica, Inc. .................................................. 163,380
2,900 Cousins Properties, Inc., REIT (O) .............................. 83,491
4,200 Credit Acceptance Corp. (O)* .................................... 94,080
1,300 Cullen/Frost Bankers, Inc. (O) .................................. 69,134
4,975 Delphi Financial Group, Inc., Class A ........................... 192,781
3,300 Developers Diversified Realty Corp., REIT ....................... 166,320
8,100 E*Trade Financial Corp. (O)* .................................... 90,234
11,800 Equity Residential, REIT ........................................ 493,004
4,800 Everest Re Group, Ltd. .......................................... 511,392
4,900 Financial Federal Corp. (O) ..................................... 132,398
2,600 First Midwest Bancorp, Inc./IL (O) .............................. 87,568
6,200 General Growth Properties, Inc., REIT ........................... 337,032
12,700 Genworth Financial, Inc., Class A ............................... 346,710
3,000 Hartford Financial Services Group, Inc. ......................... 291,090
4,200 HCP, Inc., REIT ................................................. 142,968
17,000 Host Hotels & Resorts, Inc., REIT ............................... 376,720
3,600 IndyMac Bancorp, Inc. (O) ....................................... 48,312
6,040 International Bancshares Corp. (O) .............................. 132,035
3,200 IPC Holdings, Ltd. (O) .......................................... 95,712
5,400 iStar Financial, Inc., REIT (O) ................................. 164,754
4,400 JPMorgan Chase & Co. ............................................ 206,800
20,300 Keycorp ......................................................... 577,535
10,600 Kimco Realty Corp., REIT (O) .................................... 440,112
5,900 Legg Mason, Inc. ................................................ 489,346
4,400 Leucadia National Corp. (O) ..................................... 222,904
4,100 Lincoln National Corp. .......................................... 255,717
4,400 M&T Bank Corp. .................................................. 437,712
4,200 Maguire Properties, Inc., REIT .................................. 114,450
15,200 Marshall & Ilsley Corp.* ........................................ 649,040
3,000 MB Financial, Inc. (O) .......................................... 100,020
4,500 MBIA, Inc. (O) .................................................. 193,680
3,000 Merrill Lynch & Co., Inc. ....................................... 198,060
8,700 NewAlliance Bancshares, Inc. (O) ................................ 121,713
4,000 PartnerRe, Ltd. (O) ............................................. 333,000
5,000 Platinum Underwriters Holdings, Ltd. ............................ 180,000
3,800 Plum Creek Timber Co., Inc., REIT (O) ........................... 169,746
11,300 Principal Financial Group, Inc. ................................. 764,671
2,100 Prologis, REIT .................................................. 150,654
1,600 PS Business Parks, Inc., REIT (O) ............................... 93,280
3,700 Public Storage, REIT (O) ........................................ 299,589
19,300 RAIT Investment Trust, REIT (O) ................................. 175,630
2,300 Rayonier, Inc., REIT (O) ........................................ 111,067
8,400 Realty Income Corp., REIT ....................................... 248,136
1,500 Regency Centers Corp., REIT ..................................... 107,220
5,100 Reinsurance Group of America, Inc. (O) .......................... 291,363
6,100 RenaissanceRe Holdings, Ltd. .................................... 355,874
4,900 Safeco Corp. (O) ................................................ 283,710
2,100 Simon Property Group, Inc.,REIT ................................. 218,631
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
57
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
3,500 SL Green Realty Corp., REIT ..................................... $ 422,310
5,300 Sovereign Bancorp, Inc. ......................................... 76,479
2,500 StanCorp Financial Group, Inc. .................................. 137,825
2,200 Synovus Financial Corp. ......................................... 57,992
11,200 TCF Financial Corp. (O) ......................................... 255,024
5,200 Torchmark Corp. ................................................. 338,832
7,700 Universal American Financial Corp. (O)* ......................... 186,802
20,900 Unum Group ...................................................... 487,806
9,300 U-Store-It Trust, REIT (O) ...................................... 119,970
3,400 Ventas, Inc., REIT .............................................. 145,826
7,400 Vornado Realty Trust, REIT ...................................... 826,728
3,000 Webster Financial Corp. (O) ..................................... 108,720
2,100 Westamerica Bancorporation (O) .................................. 100,968
6,400 WR Berkley Corp. ................................................ 192,576
6,600 XL Capital, Ltd., Class A ....................................... 474,870
5,303 Zions Bancorporation ............................................ 313,460
------------
22,542,181
------------
HEALTH CARE - 3.48%
2,500 Abbott Laboratories ............................................. 136,550
5,000 AmerisourceBergen Corp. ......................................... 235,550
8,500 Amsurg Corp. (O)* ............................................... 224,825
7,500 Applera Corp. - Applied Biosystems Group ........................ 278,550
3,700 Cardinal Health, Inc. ........................................... 251,711
8,900 Centene Corp. (O)* .............................................. 207,637
4,900 Charles River Laboratories International, Inc. (O)* ............. 284,200
2,200 Dentsply International, Inc. .................................... 91,256
16,400 Health Management Associates, Inc., Class A (O) ................. 108,404
1,500 Invitrogen Corp. (O)* ........................................... 136,305
12,000 King Pharmaceuticals, Inc.* ..................................... 127,200
3,600 LifePoint Hospitals, Inc. (O)* .................................. 109,872
2,600 Medco Health Solutions, Inc.* ................................... 245,388
3,600 Omnicare, Inc. (O) .............................................. 106,200
3,600 Orthofix International N.V. (O)* ................................ 194,040
1,200 Quest Diagnostics, Inc. (O) ..................................... 63,816
------------
2,801,504
------------
INDUSTRIALS - 12.31%
8,700 ACCO Brands Corp. (O)* .......................................... 186,528
5,300 Acuity Brands, Inc. (O) ......................................... 253,340
15,300 Airtran Holdings, Inc.(O)*....................................... 159,273
3,500 Albany International Corp., Class A (O) ......................... 131,250
3,900 Avery Dennison Corp. ............................................ 225,810
4,600 Belden, Inc. (O) ................................................ 268,042
10,300 Carlisle Cos., Inc. (O) ......................................... 406,335
7,100 Cooper Industries, Ltd., Class A ................................ 371,969
10,300 CSX Corp. ....................................................... 461,131
7,200 Dover Corp. ..................................................... 331,200
4,500 Eaton Corp. ..................................................... 416,610
3,700 ESCO Technologies, Inc. (O)* .................................... 153,143
2,000 Flowserve Corp. ................................................. 157,920
3,200 GATX Corp. (O) .................................................. 131,104
4,887 Genesee & Wyoming, Inc., Class A (O)* ........................... 143,287
4,600 Graco, Inc. ..................................................... 181,056
13,700 Ingersoll-Rand Co., Ltd., Class A ............................... 689,795
7,800 ITT Corp. ....................................................... 521,976
11,300 KBR, Inc.* ...................................................... 484,544
5,000 L-3 Communications Holdings, Inc. ............................... 548,200
6,400 Masco Corp. ..................................................... 154,112
8,500 Mueller Industries, Inc. (O) .................................... 305,660
5,200 Norfolk Southern Corp. .......................................... 268,580
8,200 Parker Hannifin Corp. ........................................... 659,034
3,850 Republic Services, Inc. ......................................... 131,631
7,100 RR Donnelley & Sons Co. ......................................... 286,059
4,100 Simpson Manufacturing Co., Inc. (O) ............................. 122,959
20,600 Southwest Airlines Co. (O) ...................................... 292,726
7,200 Spirit Aerosystems Holdings, Inc., Class A* ..................... 249,984
2,000 SPX Corp. (O) ................................................... 202,600
5,900 Timken Co. ...................................................... 196,234
2,600 Trinity Industries, Inc. (O) .................................... 93,964
3,000 United Stationers, Inc. (O)* .................................... 173,730
7,100 US Airways Group, Inc. (O)* ..................................... 196,386
2,000 USG Corp. (O)* .................................................. 79,500
3,100 WW Grainger, Inc. ............................................... 278,752
------------
9,914,424
------------
INFORMATION TECHNOLOGY - 7.74%
10,400 Advanced Micro Devices, Inc. (O)* ............................... 136,032
5,600 Altera Corp. .................................................... 109,872
8,500 Arrow Electronics, Inc.* ........................................ 339,830
11,400 CA, Inc. ........................................................ 301,530
4,300 Citrix Systems, Inc.* ........................................... 184,857
7,800 Computer Sciences Corp. (O)* .................................... 455,442
12,100 Convergys Corp. (O)* ............................................ 221,793
2,800 Diebold, Inc. (O) ............................................... 117,152
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
58
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
5,300 Electronic Data Systems Corp. ................................... $ 114,427
4,500 Electronics for Imaging (O)* .................................... 102,600
6,000 Integrated Device Technology, Inc.* ............................. 80,580
7,300 Intersil Corp., Class A (O) ..................................... 221,482
7,700 Juniper Networks, Inc.* ......................................... 277,200
3,900 Lexmark International, Inc.,Class A (O)* ........................ 163,761
26,900 LSI Corp.* ...................................................... 177,540
4,300 Maxim Integrated Products, Inc. ................................. 116,530
4,300 MAXIMUS, Inc. ................................................... 206,056
25,000 Micron Technology, Inc. (O)*..................................... 262,750
10,400 Molex, Inc. ..................................................... 297,024
11,200 NAM TAI Electronics, Inc. ....................................... 134,960
6,700 NCR Corp.* ...................................................... 184,853
9,200 Novellus Systems, Inc. (O)* ..................................... 261,372
5,300 SanDisk Corp. (O)* .............................................. 235,320
14,900 Seagate Technology (O) .......................................... 414,816
27,900 Tellabs, Inc.* .................................................. 245,799
6,700 Teradata Corp.* ................................................. 191,151
33,100 Xerox Corp.* .................................................... 577,264
6,100 Xyratex, Ltd.* .................................................. 104,188
------------
6,236,181
------------
MATERIALS - 6.31%
6,000 Air Products & Chemicals, Inc. .................................. 587,100
2,600 Allegheny Technologies, Inc. .................................... 265,642
2,700 Aptargroup, Inc. (O) ............................................ 120,690
4,000 Bemis Co., Inc. (O) ............................................. 112,640
5,100 Celanese Corp., Series A ........................................ 213,996
3,200 Compass Minerals International, Inc. (O) ........................ 118,112
2,100 Deltic Timber Corp. (O) ......................................... 117,432
3,600 Eastman Chemical Co. ............................................ 239,724
3,600 EI Du Pont de Nemours & Co. (O) ................................. 178,236
2,600 Freeport-McMoRan Copper & Gold, Inc. ............................ 305,968
7,700 Lyondell Chemical Co. (O) ....................................... 365,365
7,600 MeadWestvaco Corp. .............................................. 255,664
9,000 PPG Industries, Inc. ............................................ 672,660
5,800 Rohm & Haas Co. (O) ............................................. 300,904
5,400 Sealed Air Corp. (O) ............................................ 134,622
2,700 Sigma-Aldrich Corp. ............................................. 139,509
14,200 Smurfit-Stone Container Corp.* .................................. 171,962
3,200 Sonoco Products Co. ............................................. 98,944
3,600 Temple-Inland, Inc. ............................................. 193,212
4,500 United States Steel Corp. ....................................... 485,550
------------
5,077,932
------------
TELECOMMUNICATION SERVICES - 1.65%
4,000 CenturyTel, Inc. ................................................ 176,200
15,500 Citizens Communications Co. (O) ................................. 203,980
5,300 Embarq Corp. .................................................... 280,476
56,700 Qwest Communications International, Inc. (O)* ................... 407,106
19,500 Windstream Corp. (O) ............................................ 262,275
------------
1,330,037
------------
UTILITIES - 12.08%
4,600 Alliant Energy Corp. ............................................ 184,000
8,600 Ameren Corp. .................................................... 464,916
15,000 American Electric Power Co.,Inc. ................................ 723,150
3,400 Atmos Energy Corp. .............................................. 95,370
20,800 CMS Energy Corp. (O) ............................................ 352,976
11,200 Consolidated Edison, Inc. (O) ................................... 527,408
2,000 Constellation Energy Group, Inc. ................................ 189,400
8,200 DTE Energy Co. .................................................. 406,720
15,300 Edison International ............................................ 889,695
6,000 Energy East Corp. (O) ........................................... 167,280
1,900 Entergy Corp. ................................................... 227,753
7,200 Mirant Corp.* ................................................... 304,992
4,800 National Fuel Gas Co. (O) ....................................... 232,752
1,700 New Jersey Resources Corp. (O) .................................. 83,725
5,700 NRG Energy, Inc. (O)* ........................................... 260,262
12,200 NSTAR (O) ....................................................... 428,952
4,900 Oneok, Inc. ..................................................... 244,706
17,600 PG&E Corp. ...................................................... 861,168
8,550 PNM Resources, Inc. (O) ......................................... 213,836
6,600 PPL Corp. ....................................................... 341,220
12,100 Progress Energy, Inc. ........................................... 580,800
4,000 Questar Corp. ................................................... 228,320
9,300 Sempra Energy ................................................... 572,043
5,900 UGI Corp. (O) ................................................... 157,058
6,600 Westar Energy, Inc. (O) ......................................... 175,692
2,400 WGL Holdings, Inc. (O) .......................................... 81,408
5,000 Wisconsin Energy Corp. .......................................... 239,400
21,700 Xcel Energy, Inc. (O) ........................................... 489,335
------------
9,724,337
------------
TOTAL COMMON STOCKS
(Cost $72,065,571) .............................................. 78,776,555
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
59
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANY - 1.89%
- --------------------------------------------------------------------------------------------------
1,522,437 SSgA Prime Money Market Fund .................................... $ 1,522,437
------------
TOTAL INVESTMENT COMPANY (Cost $1,522,437) ...................... 1,522,437
COLLATERAL FOR SECURITIES ON LOAN - 26.55%
- --------------------------------------------------------------------------------------------------
21,383,931 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... 21,383,931
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $21,383,931) .............................................. 21,383,931
TOTAL INVESTMENTS - 126.26%
- --------------------------------------------------------------------------------------------------
(Cost $94,971,939**) .......................................................... 101,682,923
NET OTHER ASSETS AND LIABILITIES - (26.26)%
- --------------------------------------------------------------------------------------------------
(21,147,796)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 80,535,127
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $95,054,711.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
60
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.15%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 16.09%
61,200 American Eagle Outfitters,Inc. (O) .............................. $ 1,455,336
68,900 Carter's, Inc. (O)* ............................................. 1,521,312
29,000 DreamWorks Animation SKG, Inc., Class A (O)* .................... 944,240
29,300 Gildan Activewear, Inc. (O)* .................................... 1,316,449
44,000 Gymboree Corp. (O)* ............................................. 1,497,320
35,700 JOS A Bank Clothiers, Inc. (O)* ................................. 1,042,797
35,200 O'Reilly Automotive, Inc. (O)* .................................. 1,162,304
17,300 priceline.com, Inc. (O)* ........................................ 1,610,630
32,300 Steiner Leisure, Ltd. (O)* ...................................... 1,452,854
25,800 True Religion Apparel, Inc. (O)* ................................ 399,384
10,100 Zumiez, Inc. (O)* ............................................... 422,786
------------
12,825,412
------------
CONSUMER STAPLES - 0.55%
6,400 Hansen Natural Corp. (O)* ....................................... 435,200
------------
ENERGY - 11.91%
11,000 Atwood Oceanics, Inc. (O)* ...................................... 926,640
58,400 Complete Production Services, Inc. (O)* ......................... 1,162,160
14,300 Grant Prideco, Inc. (O)* ........................................ 702,988
49,000 Hercules Offshore, Inc.* ........................................ 1,324,960
21,100 Noble Corp. ..................................................... 1,117,245
7,900 Noble Energy, Inc. .............................................. 604,666
21,100 Pride International, Inc. (O)* .................................. 778,590
30,600 St. Mary Land & Exploration Co. (O) ............................. 1,296,216
22,300 Ultra Petroleum Corp. (O)* ...................................... 1,580,178
------------
9,493,643
------------
FINANCIALS - 9.35%
12,030 Affiliated Managers Group, Inc. (O)* ............................ 1,582,546
7,000 IntercontinentalExchange, Inc. (O)* ............................. 1,247,400
59,900 Invesco PLC, ADR (O) ............................................ 1,836,534
29,600 MBIA, Inc. (O) .................................................. 1,273,984
14,100 optionsXpress Holdings,Inc. (O) ................................. 419,616
36,100 WR Berkley Corp. (O) ............................................ 1,086,249
------------
7,446,329
------------
HEALTH CARE - 16.54%
3,100 Angiodynamics, Inc. (O)* ........................................ 62,000
28,300 Barr Pharmaceuticals, Inc. (O)* ................................. 1,622,156
11,900 Beckman Coulter, Inc. (O) ....................................... 842,758
13,600 Cephalon, Inc. (O)* ............................................. 1,002,864
14,800 Coventry Health Care, Inc. (O)* ................................. 892,588
33,900 Endo Pharmaceuticals Holdings, Inc.* ............................ 993,270
30,900 Health Net, Inc.* ............................................... 1,656,549
9,100 Hologic, Inc. (O)* .............................................. 618,163
38,500 Hospira, Inc.* .................................................. 1,591,205
15,400 Invitrogen Corp.* ............................................... 1,399,398
25,700 Psychiatric Solutions, Inc. (O)* ................................ 017,720
19,200 Waters Corp.* ................................................... 1,478,016
------------
13,176,687
------------
INDUSTRIALS - 18.95%
17,400 Carlisle Cos., Inc. (O) ......................................... 686,430
41,000 Graco, Inc. (O) ................................................. 1,613,760
54,500 Herman Miller, Inc. (O) ......................................... 1,483,490
48,700 HUB Group, Inc., Class A* ...... ................................ 1,235,519
34,300 Manpower, Inc. .................................................. 2,563,582
31,900 Oshkosh Truck Corp. (O) ......................................... 1,728,980
9,600 Precision Castparts Corp. ....................................... 1,438,176
21,000 Robert Half International, ...................................... 631,890
18,100 Terex Corp. (O)* ................................................ 1,343,382
34,800 Thomas & Betts Corp. (O)* ....................................... 1,949,148
5,400 Triumph Group, Inc. (O) ......................................... 429,948
------------
15,104,305
------------
INFORMATION TECHNOLOGY - 20.71%
30,700 Akamai Technologies, Inc. (O)* .................................. 1,203,133
49,700 Amphenol Corp., Class A ......................................... 2,200,219
20,800 Autodesk, Inc.* ................................................. 1,017,120
30,000 Cognizant Technology Solutions Corp., Class A (O)* .............. 1,243,800
12,400 DST Systems, Inc. (O)* .......................................... 1,050,404
20,200 Flir Systems, Inc. (O)* ......................................... 1,401,678
68,400 Foundry Networks, Inc. (O)* ..................................... 1,445,976
33,900 Lam Research Corp. (O)* ......................................... 1,701,780
9,300 MEMC Electronic Materials, Inc. (O)* ............................ 680,946
26,500 Network Appliance, Inc. (O)* .................................... 834,485
77,300 Perot Systems Corp., Class A (O)* .............................. 1,128,580
11,000 Polycom, Inc.* .................................................. 307,780
53,100 QLogic Corp. (O)* ............................................... 824,643
26,199 Varian Semiconductor Equipment Associates, Inc.* ................ 1,205,678
5,200 VeriFone Holdings, Inc.* ........................................ 257,036
------------
16,503,258
------------
MATERIALS - 2.88%
17,000 Cleveland-Cliffs, Inc. (O) ...................................... 1,626,050
26,800 Sealed Air Corp. (O) ............................................ 668,124
------------
2,294,174
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
61
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 1.17%
16,100 NII Holdings, Inc. (O)* ......................................... $ 933,800
------------
TOTAL COMMON STOCKS (Cost $69,628,377) .......................... 78,212,808
------------
INVESTMENT COMPANY - 1.70%
- --------------------------------------------------------------------------------------------------
1,354,127 SSgA Prime Money Market Fund .................................... 1,354,127
------------
TOTAL INVESTMENT COMPANY (Cost $1,354,127) ...................... 1,354,127
COLLATERAL FOR SECURITIES ON LOAN - 22.26%
- --------------------------------------------------------------------------------------------------
17,738,847 State Street Navigator Securities Lending Prime Portfolio (I).... 17,738,847
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $17,738,847) ...... 17,738,847
TOTAL INVESTMENTS - 122.11%
- --------------------------------------------------------------------------------------------------
(Cost $88,721,351**) .......................................................... 97,305,782
NET OTHER ASSETS AND LIABILITIES - (22.11)%
- --------------------------------------------------------------------------------------------------
(17,617,831)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 79,687,951
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $89,487,558.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
62
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- ------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.28%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 15.74%
19,600 Cato Corp./The, Class A ......................................... $ 393,568
10,600 CEC Entertainment, Inc.* ........................................ 315,880
14,800 Helen of Troy, Ltd.* ............................................ 266,400
19,100 Hibbett Sports, Inc.* ........................................... 450,569
8,200 Matthews International Corp., Class A ........................... 373,674
8,800 Modine Manufacturing Co. ........................................ 204,688
6,800 Sonic Corp.* .................................................... 168,504
24,000 Stage Stores, Inc. .............................................. 450,240
5,800 Tempur-Pedic International, Inc. ............................... 208,800
8,600 Unifirst Corp./MA ............................................... 323,618
19,000 Valassis Communications, Inc.* .................................. 187,150
-----------
3,343,091
-----------
CONSUMER STAPLES - 5.92%
17,800 Casey's General Stores, Inc. .................................... 507,300
6,900 Herbalife, Ltd. ................................................. 304,221
9,600 Lance, Inc. ..................................................... 203,328
5,000 Universal Corp./Richmond VA...................................... 243,700
-----------
1,258,549
-----------
ENERGY - 5.02%
10,200 Penn Virginia Corp. ............................................. 493,680
10,600 Whiting Petroleum Corp.* ........................................ 573,036
-----------
1,066,716
-----------
FINANCIALS - 25.55%
5,800 Acadia Realty Trust, REIT ....................................... 153,700
7,300 American Campus Communities, Inc., REIT ......................... 207,612
14,300 Ares Capital Corp. .............................................. 237,952
18,870 Asset Acceptance Capital Corp.* ................................. 203,041
23,300 Assured Guaranty, Ltd. .......................................... 537,531
6,200 Asta Funding, Inc. .............................................. 220,348
5,400 Cousins Properties, Inc., REIT .................................. 155,466
9,000 Credit Acceptance Corp.* ........................................ 201,600
8,900 Delphi Financial Group, Inc., Class A ........................... 344,875
8,400 Financial Federal Corp. ......................................... 226,968
4,900 First Midwest Bancorp, Inc./IL .................................. 165,032
11,620 International Bancshares Corp. .................................. 254,013
4,600 IPC Holdings, Ltd. .............................................. 137,586
6,200 Maguire Properties, Inc., REIT .................................. 168,950
5,200 MB Financial, Inc. .............................................. 173,368
13,600 NewAlliance Bancshares, Inc. .................................... 190,264
1,800 Pennsylvania Real Estate Investment Trust, REIT ................. 68,670
6,400 Platinum Underwriters Holdings, Ltd. ............................ 230,400
2,900 PS Business Parks, Inc., REIT ................................... 169,070
29,300 RAIT Investment Trust, REIT ..................................... 266,630
12,700 Realty Income Corp., REIT ....................................... 375,158
12,200 Universal American Financial Corp.* ............................. 295,972
19,900 U-Store-It Trust, REIT .......................................... 256,710
3,900 Westamerica Bancorporation ...................................... 187,512
-----------
5,428,428
-----------
HEALTH CARE - 5.23%
14,300 Amsurg Corp.* ................................................... 378,235
13,600 Centene Corp.* .................................................. 317,288
4,100 Corvel Corp.* ................................................... 108,978
5,700 Orthofix International N.V.* .................................... 307,230
-----------
1,111,731
-----------
INDUSTRIALS - 23.69%
15,900 ACCO Brands Corp.* .............................................. 340,896
9,600 Acuity Brands, Inc. ............................................. 458,880
25,600 Airtran Holdings, Inc.* ......................................... 266,496
6,500 Albany International Corp., Class A ............................. 243,750
9,700 Belden, Inc. .................................................... 565,219
14,900 Bowne & Co., Inc. ............................................... 258,962
17,500 Carlisle Cos., Inc. ............................................. 690,375
16,500 Deswell Industries, Inc. ........................................ 166,650
6,100 ESCO Technologies, Inc.* ........................................ 252,479
10,700 Genesee & Wyoming, Inc., Class A* .............................. 313,724
12,000 Mueller Industries, Inc. ........................................ 431,520
9,400 Quixote Corp. ................................................... 171,926
8,200 Simpson Manufacturing Co., Inc. ................................. 245,918
9,200 Trex Co., Inc.* ................................................. 99,728
5,600 United Stationers, Inc.* ........................................ 324,296
14,500 Vitran Corp., Inc.* ............................................. 202,710
-----------
5,033,529
-----------
INFORMATION TECHNOLOGY - 4.72%
8,200 Electronics for Imaging* ........................................ 186,960
7,300 MAXIMUS, Inc. ................................................... 349,816
18,100 NAM TAI Electronics, Inc. ....................................... 218,105
14,500 Xyratex, Ltd.* .................................................. 247,660
-----------
1,002,541
-----------
MATERIALS - 2.77%
4,800 Aptargroup, Inc. ................................................ 214,560
4,400 Compass Minerals International, Inc. ............................ 162,404
3,800 Deltic Timber Corp. ............................................. 212,496
-----------
589,460
-----------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
63
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 0.98%
5,800 Atlantic Tele-Network, Inc. ..................................... $ 208,278
-----------
UTILITIES - 4.66%
5,600 Atmos Energy Corp. .............................................. 157,080
2,700 New Jersey Resources Corp. ...................................... 132,975
12,900 PNM Resources, Inc. ............................................. 322,629
8,800 Westar Energy, Inc. ............................................. 234,256
4,200 WGL Holdings, Inc. .............................................. 142,464
-----------
989,404
-----------
TOTAL COMMON STOCKS (Cost $20,237,480) .......................... 20,031,727
-----------
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 1.52%
- --------------------------------------------------------------------------------------------------
$323,427 State Street Eurodollar 2.650%, due 11/01/07 .................... 323,427
-----------
TOTAL CERTIFICATE OF DEPOSIT (Cost $323,427) .................... 323,427
-----------
INVESTMENT COMPANY - 4.41%
- --------------------------------------------------------------------------------------------------
937,582 SSgA Prime Money Market Fund .................................... 937,582
-----------
TOTAL INVESTMENT COMPANY (Cost $937,582) ........................ 937,582
TOTAL INVESTMENTS - 100.21%
- --------------------------------------------------------------------------------------------------
(Cost $21,498,489**) .......................................................... 21,292,736
NET OTHER ASSETS AND LIABILITIES - (0.21)%
- --------------------------------------------------------------------------------------------------
(46,147)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$21,246,589
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $21,500,470.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
64
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.19%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 14.69%
2,500 Applebees International, Inc. ................................... $ 63,350
1,200 Buffalo Wild Wings, Inc.* ....................................... 36,792
4,600 Cabela's, Inc.* ................................................. 89,792
4,900 California Pizza Kitchen, Inc.* ................................. 79,282
3,300 Carmax, Inc.* ................................................... 68,871
3,700 Charlotte Russe Holding, Inc.* .................................. 53,613
3,500 Children's Place Retail Stores, Inc./The* ....................... 89,600
4,300 Coldwater Creek, Inc.* .......................................... 38,485
1,100 Columbia Sportswear Co. ......................................... 53,625
2,500 Ctrip.com International, Ltd., ADR .............................. 140,900
2,300 Deckers Outdoor Corp.* .......................................... 321,517
3,700 Dick's Sporting Goods, Inc.* .................................... 123,469
2,000 Dollar Tree Stores, Inc.* ....................................... 76,600
1,200 DSW, Inc., Class A* ............................................. 27,000
3,700 Focus Media Holding, Ltd., ADR* ................................. 229,400
3,000 Fossil, Inc.* ................................................... 112,680
5,400 FTD Group, Inc. ................................................. 75,870
2,100 GameStop Corp., Class A* ........................................ 124,362
2,600 Genesco, Inc.* .................................................. 120,120
2,500 GSI Commerce, Inc.* ............................................. 71,225
3,200 iRobot Corp.* ................................................... 57,888
4,100 Jack in the Box, Inc.* .......................................... 128,617
1,200 Lamar Advertising Co., Class A .................................. 64,152
2,500 LKQ Corp.* ...................................................... 96,400
1,100 Men's Wearhouse, Inc. ........................................... 46,486
3,200 Outdoor Channel Holdings, Inc.* ................................. 28,768
2,800 Papa John's International, Inc.* ................................ 65,240
5,000 Pinnacle Entertainment, Inc.* ................................... 146,000
500 priceline.com, Inc.* ............................................ 46,550
1,400 Red Robin Gourmet Burgers, Inc.* ................................ 56,028
2,800 Sauer-Danfoss, Inc. ............................................. 72,520
3,600 Scientific Games Corp., Class A* ................................ 30,140
1,300 Sotheby's ....................................................... 70,421
3,900 Systemax, Inc. .................................................. 91,260
1,000 Tractor Supply Co.* ............................................. 41,440
4,600 Volcom, Inc.* ................................................... 134,550
4,600 Warnaco Group, Inc./The* ........................................ 187,174
2,700 Winnebago Industries ............................................ 69,606
10,800 World Wrestling Entertainment, Inc. Class A ..................... 164,160
-----------
3,693,953
-----------
CONSUMER STAPLES - 1.00%
5,800 John B. Sanfilippo & SON* ....................................... 49,590
2,700 Pantry, Inc./The* ............................................... 75,654
3,000 Reddy Ice Holdings, Inc. ........................................ 83,070
1,900 Spartan Stores, Inc. ............................................ 42,237
-----------
250,551
-----------
ENERGY - 5.34%
2,600 Arch Coal, Inc. ................................................. 106,600
4,200 Basic Energy Services, Inc.* .................................... 83,118
8,100 Cabot Oil & Gas Corp. ........................................... 321,489
2,900 Carrizo Oil & Gas, Inc.* ........................................ 149,031
1,300 Dawson Geophysical Co.* ......................................... 103,753
2,400 Lufkin Industries, Inc. ......................................... 142,704
3,500 NATCO Group, Inc., Class A* ..................................... 186,585
1,900 Tetra Technologies, Inc.* ....................................... 37,411
3,700 W-H Energy Services, Inc.* ...................................... 212,972
-----------
1,343,663
-----------
FINANCIALS - 6.35%
1,200 Alexandria Real Estate Equities, Inc., REIT ..................... 123,768
6,400 American Physicians Capital, Inc. ............................... 278,784
2,700 Boston Private Financial Holdings, Inc. ......................... 77,652
3,600 CompuCredit Corp.* .............................................. 71,748
2,500 GFI Group, Inc.* ................................................ 215,800
3,000 Greenhill & Co., Inc. ........................................... 221,940
2,900 Mid-America Apartment Communities, Inc., REIT ................... 150,800
4,800 Penson Worldwide, Inc.* ......................................... 81,264
2,600 SVB Financial Group* ............................................ 134,654
5,350 SWS Group, Inc. ................................................. 101,596
2,400 Tower Group, Inc. ............................................... 72,456
2,000 Waddell & Reed Financial, Inc., Class A ......................... 66,440
-----------
1,596,902
-----------
HEALTH CARE - 15.78%
1,000 Alexion Pharmaceuticals, Inc.* .................................. 76,500
4,800 Align Technology, Inc.* ......................................... 99,360
9,300 Alkermes, Inc.* ................................................. 150,660
2,600 Allscripts Healthcare Solutions, Inc.* .......................... 72,020
4,500 Arthrocare Corp.* ............................................... 291,780
10,900 Bradley Pharmaceuticals, Inc.* .................................. 214,403
4,000 Corvel Corp.* ................................................... 106,320
10,100 Cutera, Inc.* ................................................... 247,652
7,900 Cypress Bioscience, Inc.* ....................................... 106,571
5,500 Hologic, Inc.* .................................................. 373,615
5,000 InterMune, Inc.* ................................................ 99,600
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
65
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
6,400 inVentiv Health, Inc.* .......................................... $ 270,272
5,000 Kendle International, Inc.* ..................................... 201,650
2,900 KV Pharmaceutical Co., Class A* ................................. 90,886
1,900 Kyphon, Inc.* ................................................... 134,672
4,400 LHC Group, Inc.* ................................................ 101,112
3,900 LifePoint Hospitals, Inc.* ...................................... 119,028
5,700 Medcath Corp.* .................................................. 158,061
4,400 Medicines Co./The* .............................................. 84,260
3,900 Noven Pharmaceuticals, Inc.* .................................... 60,294
6,100 Omnicell, Inc.* ................................................. 161,040
4,400 Parexel International Corp.* .................................... 202,400
9,800 Sun Healthcare Group, Inc.* ..................................... 158,270
2,700 Sunrise Senior Living, Inc.* .................................... 99,900
5,400 Trizetto Group* ................................................. 88,236
1,400 Ventana Medical Systems, Inc.* .................................. 123,200
2,800 Wright Medical Group, Inc.* ..................................... 74,200
-----------
3,965,962
-----------
INDUSTRIALS - 27.01%
7,600 AAR Corp.* ...................................................... 243,580
2,100 Actuant Corp., Class A .......................................... 144,858
3,200 Advisory Board Co./The* ......................................... 205,472
1,500 Aecom Technology Corp.* ......................................... 50,655
4,600 American Commercial Lines, Inc.* ................................ 68,586
2,600 American Reprographics Co.* ..................................... 52,728
3,100 BE Aerospace, Inc.* ............................................. 154,101
4,000 Bucyrus International, Inc., Class A ............................ 330,000
3,600 Cenveo, Inc.* ................................................... 81,288
1,100 Clean Harbors, Inc.* ............................................ 54,153
6,000 COMSYS IT Partners, Inc.* ....................................... 106,680
2,600 Continental Airlines, Inc., Class B* ............................ 89,310
1,000 CRA International, Inc.* ........................................ 51,780
3,400 EnPro Industries, Inc.* ......................................... 139,434
4,500 FTI Consulting, Inc.* ........................................... 244,350
3,300 G&K Services, Inc., Class A ..................................... 133,782
3,200 General Cable Corp.* ............................................ 230,368
2,100 Genesee & Wyoming, Inc., Class A* ............................... 61,572
1,500 Geo Group, Inc./The* ............................................ 47,445
6,000 H&E Equipment Services, Inc.* ................................... 105,780
5,600 Healthcare Services Group ....................................... 122,976
4,300 Heico Corp. ..................................................... 234,092
8,000 HUB Group, Inc., Class A* ....................................... 202,960
6,700 Hudson Highland Group, Inc.* .................................... 76,916
1,400 Huron Consulting Group, Inc.* ................................... 97,832
1,400 IHS, Inc., Class A* ............................................. 88,270
6,800 Innovative Solutions & Support, Inc.* ........................... 147,016
4,900 Interface, Inc., Class A ........................................ 93,737
2,000 Kaydon Corp. .................................................... 107,580
2,800 Kenexa Corp.* ................................................... 82,096
4,100 Ladish Co., Inc.* ............................................... 188,149
6,600 Lan Airlines S.A., ADR .......................................... 109,824
1,400 Landstar System, Inc. ........................................... 58,926
6,900 LMI Aerospace, Inc.* ............................................ 184,989
3,800 Middleby Corp.* ................................................. 247,646
1,200 M&F Worldwide Corp.* ............................................ 62,964
2,800 NCI Building Systems, Inc.* ..................................... 109,704
6,700 On Assignment, Inc.* ............................................ 55,878
800 Perini Corp.* ................................................... 45,880
2,700 Polypore International, Inc.* ................................... 46,332
2,300 Quanta Services, Inc.* .......................................... 75,900
2,900 RBC Bearings, Inc.* ............................................. 116,551
1,000 Robbins & Myers, Inc. ........................................... 72,300
1,100 Simpson Manufacturing Co., Inc. ................................. 32,989
1,900 Stericycle, Inc.* ............................................... 110,827
2,700 TeleTech Holdings, Inc.* ........................................ 67,311
3,800 Triumph Group, Inc. ............................................. 302,556
4,100 UAP Holding Corp. ............................................... 130,503
5,500 Wabtec Corp. .................................................... 206,415
3,500 Washington Group International, Inc.* ........................... 340,725
3,500 Watsco, Inc. .................................................... 145,740
8,100 Williams Scotsman International, Inc. (L)* ...................... 228,825
-----------
6,790,331
-----------
INFORMATION TECHNOLOGY - 18.73%
800 Anixter International, Inc.* .................................... 57,480
9,900 Ansoft Corp.* ................................................... 297,792
7,100 Ansys, Inc.* .................................................... 275,551
10,100 Arris Group, Inc.* .............................................. 116,150
3,200 Blackboard, Inc.* ............................................... 159,680
1,000 Cabot Microelectonics Corp.* .................................... 39,680
1,300 CACI International, Inc., Class A* .............................. 70,005
3,400 Cognex Corp. .................................................... 61,132
4,500 Comtech Telecommunications Corp.* ............................... 244,125
3,600 Cymer, Inc.* .................................................... 153,000
5,950 Diodes, Inc.* ................................................... 196,707
3,600 EMS Technologies, Inc.* ......................................... 100,944
3,100 Emulex Corp.* ................................................... 67,146
1,200 FARO Technologies, Inc.* ........................................ 34,512
1,900 Flir Systems, Inc.* ............................................. 131,841
10,300 i2 Technologies, Inc.* .......................................... 174,688
6,400 Infospace, Inc. ................................................. 123,712
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
66
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
900 Itron, Inc.* .................................................... $ 96,741
2,100 Littelfuse, Inc.* ............................................... 66,843
1,300 Loral Space& Communications, Inc.* .............................. 52,494
4,600 Manhattan Associates, Inc.* ..................................... 138,736
2,500 Micros Systems, Inc.* ........................................... 179,550
5,000 Microsemi Corp.* ................................................ 133,050
5,600 Nice Systems, Ltd., ADR* ........................................ 220,808
2,900 Perficient, Inc.* ............................................... 54,665
1,400 Quality Systems, Inc. ........................................... 50,722
4,900 Rackable Systems, Inc.* ......................................... 66,934
5,800 Red Hat, Inc.* .................................................. 125,222
1,200 Rofin-Sinar Technologies, Inc.* ................................. 94,344
2,400 SiRF Technology Holdings, Inc.* ................................. 71,544
2,900 Standard Microsystems Corp.* .................................... 113,100
4,800 SYKES Enterprises, Inc.*......................................... 84,720
1,200 Technitrol, Inc. ................................................ 35,292
1,300 The9, Ltd., ADR* ................................................ 41,275
2,700 THQ, Inc.* ...................................................... 73,143
3,900 Valueclick, Inc.* ............................................... 106,041
2,150 Varian Semiconductor Equipment Associates, Inc.* ................ 98,943
1,100 VeriFone Holdings, Inc.* ........................................ 54,373
4,800 Verint Systems, Inc.* ........................................... 120,384
2,900 Wright Express Corp.* ........................................... 112,230
8,400 Zoran Corp.* .................................................... 214,200
-----------
4,709,499
-----------
MATERIALS - 5.66%
3,300 Airgas, Inc. .................................................... 166,551
3,100 AK Steel Holding Corp.* ......................................... 155,403
2,900 Century Aluminum Co.* ........................................... 168,751
1,400 Greif, Inc., Class A ............................................ 89,040
4,800 Owens-Illinois, Inc.* ........................................... 213,216
1,500 Rock-Tenn Co., Class A .......................................... 43,740
6,800 Silgan Holdings, Inc. ........................................... 371,076
5,800 Terra Industries, Inc.* ......................................... 213,962
-----------
1,421,739
-----------
TELECOMMUNICATION SERVICES - 1.32%
8,100 Dobson Communications Corp., Class A* ........................... 104,814
6,000 NTELOS Holdings Corp. ........................................... 181,140
3,400 PAETEC Holding Corp.* ........................................... 45,730
-----------
331,684
-----------
UTILITIES - 0.31%
600 Energen Corp. ................................................... 38,400
700 ITC Holdings Corp. .............................................. 40,068
-----------
78,468
-----------
TOTAL COMMON STOCKS (Cost $22,521,102) .......................... 24,182,752
COMMON STOCK UNIT - 0.68%
- --------------------------------------------------------------------------------------------------
ENERGY - 0.68%
4,400 Copano Energy LLC ............................................... 170,324
-----------
TOTAL COMMON STOCK UNIT (Cost $185,493) ......................... 170,324
INVESTMENT COMPANY - 2.13%
- --------------------------------------------------------------------------------------------------
536,601 SSgA Prime Money Market Fund .................................... 536,601
-----------
TOTAL INVESTMENT COMPANY (Cost $536,601) ........................ 536,601
TOTAL INVESTMENTS - 99.00%
- --------------------------------------------------------------------------------------------------
(Cost $23,243,196**) .......................................................... 24,889,677
NET OTHER ASSETS AND LIABILITIES - 1.00%
- --------------------------------------------------------------------------------------------------
251,010
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$25,140,687
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $23,286,008.
(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 Depositary Receipt.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
67
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 95.10%
- --------------------------------------------------------------------------------------------------
ARGENTINA - 0.33%
7,900 Tenaris S.A., ADR .................................................. $ 425,020
------------
AUSTRALIA - 0.32%
20,760 ABC Learning Centres, Ltd. (O) ..................................... 127,615
23,748 Fairfax Media, Ltd. (O) ............................................ 104,961
15,935 James Hardie Industries N.V. ....................................... 96,567
28,849 Macquarie Infrastructure Group (O) ................................. 85,189
------------
414,332
------------
AUSTRIA - 0.07%
3,427 CAT Oil AG* ........................................................ 91,782
------------
BAHRAIN - 0.07%
3,089 Investcorp Bank BSC, GDR ........................................... 83,403
14 Investcorp Bank BSC, GDR (C) ....................................... 368
------------
83,771
------------
BELGIUM - 1.20%
15,359 InBev N.V. ......................................................... 1,450,193
2,395 Telenet Group Holding N.V.* ........................................ 88,217
------------
1,538,410
------------
BRAZIL - 1.05%
610 Brasil Telecom Participacoes S.A., ADR ............................. 45,378
5,500 Empresa Brasileira de Aeronautica S.A., ADR ........................ 268,235
18,200 JHSF Participacoes S.A.* ........................................... 85,785
3,650 Petroleo Brasileiro S.A., ADR ...................................... 349,049
10,777 Redecard S.A.* ..................................................... 223,011
8,090 Souza Cruz S.A. .................................................... 227,908
5,130 Tam S.A., ADR ...................................................... 151,335
------------
1,350,701
------------
EGYPT - 0.63%
2,781 Eastern Tobacco* ................................................... 212,464
550 Egyptian Co. for Mobile Services ................................... 19,445
4,104 Orascom Construction Industries .................................... 375,634
13,690 Orascom Telecom Holding S.A.E. ..................................... 197,426
------------
804,969
------------
FINLAND - 2.21%
2,200 Konecranes OYJ ..................................................... 99,442
65,500 Nokia OYJ .......................................................... 2,598,269
4,450 Sampo OYJ, A Shares ................................................ 139,729
------------
2,837,440
------------
FRANCE - 9.92%
21,351 AXA S.A. ........................................................... 957,415
11,256 BNP Paribas ........................................................ 1,245,282
1,419 Carbone Lorraine ................................................... 127,293
38,800 Gaz de France S.A. (O) ............................................. 2,206,664
13,200 Groupe Danone (O) .................................................. 1,132,487
6,108 Lafarge S.A. (O) ................................................... 996,146
1,257 Neopost S.A. ....................................................... 145,868
30,521 Sanofi-Aventis (O) ................................................. 2,682,019
40,115 Total S.A. (O) ..................................................... 3,233,450
------------
12,726,624
------------
GERMANY - 11.38%
1,666 Aareal Bank AG ..................................................... 86,648
17,200 Adidas AG .......................................................... 1,149,168
6,450 Allianz SE ......................................................... 1,453,309
3,596 Compugroup Holding AG* ............................................. 74,653
11,600 Continental AG ..................................................... 1,755,216
31,700 Daimler AG ......................................................... 3,500,513
61,100 Deutsche Post AG ................................................... 1,852,498
9,900 E.ON AG ............................................................ 1,933,312
903 Pfeiffer Vacuum Technology AG ...................................... 77,168
1,627 SGL Carbon AG* ..................................................... 95,469
18,614 Siemens AG ......................................................... 2,533,012
3,147 Symrise AG* ........................................................ 94,121
------------
14,605,087
------------
GREECE - 0.98%
15,510 National Bank of Greece S.A. ....................................... 1,081,703
4,380 Piraeus Bank S.A. .................................................. 176,132
------------
1,257,835
------------
HONG KONG - 0.19%
13,950 Esprit Holdings, Ltd. .............................................. 237,570
------------
HUNGARY - 0.09%
512 Richter Gedeon Nyrt. ............................................... 111,169
------------
INDIA - 1.43%
2,300 Grasim Industries, Ltd. ............................................ 218,547
8,791 Hero Honda Motors, Ltd. ............................................ 162,958
29,254 Hindustan Unilever, Ltd. ........................................... 154,735
13,079 Oil & Natural Gas Corp., Ltd. ...................................... 421,104
13,100 Punjab National Bank, Ltd. ......................................... 176,385
23,424 Satyam Computer Services, Ltd. ..................................... 285,969
7,647 State Bank of India, Ltd. .......................................... 409,040
------------
1,828,738
------------
INDONESIA - 0.62%
329,000 Bank Mandiri Persero Tbk PT ........................................ 138,257
104,500 PT Astra International Tbk ......................................... 296,764
3,870 Telekomunikasi Indonesia Tbk PT, ADR ............................... 186,728
144,000 United Tractors Tbk PT ............................................. 175,943
------------
797,692
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
68
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
IRELAND - 0.97%
8,308 Anglo Irish Bank Corp. PLC ......................................... $ 140,115
25,687 CRH PLC ............................................................ 983,956
4,179 DCC PLC ............................................................ 115,279
------------
1,239,350
------------
ISLE OF MAN - 0.03%
8,900 Hansard Global PLC ................................................. 45,660
------------
ISRAEL - 0.40%
56,270 Bank Hapoalim BM ................................................... 310,486
18,172 Israel Chemicals, Ltd. ............................................. 201,480
------------
511,966
------------
ITALY - 2.79%
15,130 Aicon SpA* ......................................................... 81,594
47,400 ENI SpA (O) ........................................................ 1,730,033
206,074 UniCredito Italiano SpA ............................................ 1,769,787
------------
3,581,414
------------
JAPAN - 14.84%
2,420 ABC-Mart, Inc. ..................................................... 49,633
6,900 Amano Corp. ........................................................ 86,502
3,500 Asahi Pretec Corp. (O) ............................................. 120,422
16,400 Canon, Inc. ........................................................ 829,234
4,300 Chiyoda Corp. (O) .................................................. 79,707
35 Creed Corp. (O) .................................................... 104,983
37,190 Daito Trust Construction Co., Ltd. ................................. 1,723,859
3,360 Don Quijote Co., Ltd. (O) .......................................... 68,149
147 East Japan Railway Co. ............................................. 1,210,952
3,300 Eizo Nanao Corp. ................................................... 110,584
3,000 Hisamitsu Pharmaceutical Co., Inc. (O) ............................. 82,570
28,500 HOYA Corp. ......................................................... 1,036,533
6,320 Ichiyoshi Securities Co., Ltd. (O) ................................. 68,753
2,130 Ito En, Ltd. (O) ................................................... 44,947
1,800 Jafco Co., Ltd. (O) ................................................ 73,821
277 Japan Tobacco, Inc. ................................................ 1,613,317
42,750 JSR Corp. (O) ...................................................... 1,107,178
110 KK DaVinci Advisors (O)* ........................................... 113,714
3,000 Konami Corp. ....................................................... 88,848
1,900 Mars Engineering Corp. (O) ......................................... 27,068
4,900 MISUMI Group, Inc. (O) ............................................. 83,047
16,300 Nidec Corp. (O) .................................................... 1,228,230
55,700 Nomura Holdings, Inc. .............................................. 993,080
7,050 OSG Corp. (O) ...................................................... 89,227
209 Sony Financial Holdings, Inc.* ..................................... 752,353
185 Sumitomo Mitsui Financial Group, Inc. (O) .......................... 1,510,622
141,700 Sumitomo Trust & Banking Co., Ltd./The ............................. 1,053,040
7,000 Suruga Bank, Ltd. .................................................. 92,076
2,100 Sysmex Corp. (O) ................................................... 85,941
13,500 Takeda Pharmaceutical Co., Ltd. .................................... 843,208
43,900 THK Co., Ltd. (O) .................................................. 966,183
336,000 Tokyo Gas Co., Ltd. ................................................ 1,502,795
1,210 USS Co., Ltd. ...................................................... 79,144
10,910 Yamada Denki Co., Ltd. (O) ......................................... 1,123,721
------------
19,043,441
------------
MALAYSIA - 0.14%
11,100 British American Tobacco Malaysia Bhd .............................. 134,354
49,600 PLUS Expressways Bhd ............................................... 49,898
------------
184,252
------------
MEXICO - 0.75%
8,446 Cemex SAB de C.V., ADR* ............................................ 259,039
5,440 Desarrolladora Homex SAB de C.V., ADR* ............................. 307,414
2,400 Fomento Economico Mexicano SAB de C.V., ADR ........................ 85,464
8,090 Grupo Televisa S.A., ADR ........................................... 201,037
26,850 Kimberly-Clark de Mexico SAB de C.V., Class A ...................... 114,392
------------
967,346
------------
NETHERLANDS - 2.60%
2,784 Advanced Metallurgical Group N.V.* ................................. 198,878
3,228 Boskalis Westminster ............................................... 196,617
2,269 Fugro N.V. ......................................................... 199,215
16,400 Heineken N.V. ...................................................... 1,148,595
1,055 Hunter Douglas N.V. ................................................ 98,545
3,847 Ordina N.V. ........................................................ 75,322
2,687 SBM Offshore N.V. .................................................. 103,508
27,280 TNT N.V. ........................................................... 1,120,195
3,373 USG People N.V. .................................................... 103,248
4,939 Wavin N.V. ......................................................... 85,492
------------
3,329,615
------------
NEW ZEALAND - 0.65%
250,189 Telecom Corp. of New Zealand, Ltd. (O) ............................. 838,688
------------
NORWAY - 0.17%
3,500 Acergy S.A. (O) .................................................... 100,851
10,470 Songa Offshore ASA* ................................................ 120,900
------------
221,751
------------
PHILIPPINES - 0.26%
4,800 Philippine Long Distance Telephone Co., ADR ........................ 329,280
------------
PORTUGAL - 0.06%
10,755 Banif SGPS S.A. .................................................... 80,220
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
69
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
RUSSIA - 0.82%
1,810 Evraz Group S.A., GDR .............................................. $ 136,655
3,390 Mobile Telesystems OJSC, ADR ....................................... 281,370
6,230 Oriflame Cosmetics S.A., SDR ....................................... 376,668
55,952 TNK-BP Holding* .................................................... 127,858
400 Vsmpo-Avisma Corp. ................................................. 127,000
------------
1,049,551
------------
SINGAPORE - 2.65%
67,000 DBS Group Holdings, Ltd. ........................................... 1,045,342
828,800 Singapore Telecommunications, Ltd. ................................. 2,351,237
------------
3,396,579
------------
SOUTH AFRICA - 1.71%
10,168 Aquarius Platinum, Ltd. ............................................ 390,014
17,944 Imperial Holdings, Ltd. ............................................ 364,061
8,257 Kumba Iron Ore, Ltd. ............................................... 321,071
5,589 Murray & Roberts Holdings, Ltd. .................................... 85,221
7,436 Naspers, Ltd. ...................................................... 234,661
5,100 Nedbank Group, Ltd. ................................................ 111,703
22,560 Pretoria Portland Cement Co., Ltd. ................................. 163,935
31,223 Sanlam, Ltd. ....................................................... 113,849
44,278 Steinhoff International Holdings, Ltd. ............................. 137,056
54,075 Truworths International, Ltd. ...................................... 270,184
------------
2,191,756
------------
SOUTH KOREA - 1.85%
140 Amorepacific Corp. ................................................. 133,798
644 GS Engineering & Construction Corp. ................................ 135,979
1,165 Hite Brewery Co., Ltd. ............................................. 176,295
820 Kangwon Land, Inc. ................................................. 22,207
7,109 Kookmin Bank ....................................................... 587,044
1,569 Samsung Electronics Co., Ltd., GDR (C) ............................. 480,741
6,620 Shinhan Financial Group Co., Ltd. .................................. 431,613
209 SK Telecom Co., Ltd. ............................................... 49,236
2,000 SK Telecom Co., Ltd., ADR .......................................... 61,620
7,880 Woongjin Coway Co., Ltd. ........................................... 301,360
------------
2,379,893
------------
SPAIN - 1.87%
97,600 Banco Santander S.A. (O) ........................................... 2,130,684
2,200 Codere S.A.* ....................................................... 64,007
3,950 Indra Sistemas S.A. (O) ............................................ 114,774
2,306 Prosegur Cia de Seguridad S.A. ..................................... 89,916
------------
2,399,381
------------
SWEDEN - 0.85%
7,180 Elekta AB, B Shares (O) ............................................ 138,886
3,680 Getinge AB, B Shares ............................................... 97,650
9,010 KappAhl Holding AB ................................................. 111,984
249,000 Telefonaktiebolaget LM Ericsson, B Shares .......................... 746,975
------------
1,095,495
------------
SWITZERLAND - 7.04%
20 Bank Sarasin & Cie AG, Series B .................................... 94,515
176 Banque Cantonale Vaudoise .......................................... 79,867
390 Burckhardt Compression Holding AG .................................. 119,089
24,368 Credit Suisse Group ................................................ 1,644,213
6,417 Nestle S.A. ........................................................ 2,964,638
56,785 Novartis AG ........................................................ 3,023,570
43 Sika AG ............................................................ 85,339
1,500 Swissquote Group Holding S.A. ...................................... 99,801
3,047 Zurich Financial Services AG ....................................... 920,271
------------
9,031,303
------------
TAIWAN - 1.05%
97,000 Advanced Semiconductor Engineering, Inc. ........................... 119,240
35,690 Advantech Co., Ltd. ................................................ 97,411
291,399 Chinatrust Financial Holding Co., Ltd.* ............................ 215,455
195,100 Fubon Financial Holding Co., Ltd. .................................. 190,459
41,664 HON HAI Precision Industry Co., Ltd. ............................... 320,181
30,599 Novatek Microelectronics Corp., Ltd. ............................... 143,325
130,261 Taiwan Semiconductor Manufacturing Co., Ltd. ....................... 259,948
------------
1,346,019
------------
THAILAND - 0.05%
26,000 Kasikornbank PCL ................................................... 69,290
------------
TURKEY - 0.57%
11,100 Ford Otomotiv Sanayi AS ............................................ 130,314
22,947 Turkcell Iletisim Hizmet AS ........................................ 219,712
7,689 Turkcell Iletisim Hizmet AS, ADR ................................... 184,844
27,810 Turkiye Is Bankasi ................................................. 190,596
------------
725,466
------------
UNITED KINGDOM - 22.49%
16,653 Ashmore Group PLC .................................................. 101,437
9,483 Ashtead Group PLC .................................................. 21,564
218,100 BAE Systems PLC .................................................... 2,263,886
194,291 BP PLC ............................................................. 2,523,958
43,800 British American Tobacco PLC ....................................... 1,667,755
5,024 Charter PLC* ....................................................... 113,565
3,416 Chemring Group PLC ................................................. 157,334
85,300 Diageo PLC ......................................................... 1,953,709
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
70
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
27,324 Enodis PLC ....................................................... $ 119,683
7,228 Enterprise Inns PLC .............................................. 94,851
17,002 Filtrona PLC ..................................................... 91,096
92,820 GlaxoSmithKline PLC .............................................. 2,391,774
47,800 HSBC Holdings PLC ................................................ 946,135
31,032 Imperial Tobacco Group PLC ....................................... 1,572,183
5,700 Intertek Group PLC ............................................... 121,940
299,900 ITV PLC .......................................................... 618,736
117,400 Lloyds TSB Group PLC ............................................. 1,334,529
14,474 Man Group PLC .................................................... 177,831
61,208 National Grid PLC ................................................ 1,021,592
5,183 Northgate PLC .................................................... 104,404
380,078 Old Mutual PLC ................................................... 1,457,828
97,100 Prudential PLC ................................................... 1,584,056
24,900 Reckitt Benckiser PLC ............................................ 1,445,577
37,979 Regus Group PLC .................................................. 86,956
20,700 Sepura, Ltd.* .................................................... 75,591
160,900 Tesco PLC ........................................................ 1,635,239
43,500 Unilever PLC ..................................................... 1,472,309
6,097 Victrex PLC ...................................................... 94,768
881,892 Vodafone Group PLC ............................................... 3,475,254
9,596 William Hill PLC ................................................. 123,832
------------
28,849,372
------------
TOTAL COMMON STOCKS
(Cost $98,347,783) ............................................... 122,018,228
COMMON STOCK UNIT - 0.08%
- --------------------------------------------------------------------------------------------------
IRELAND - 0.08%
9,443 Grafton Group PLC* ............................................... 105,628
------------
TOTAL COMMON STOCK UNIT
(Cost $100,364) .................................................. 105,628
PREFERRED STOCKS - 1.16%
- --------------------------------------------------------------------------------------------------
BRAZIL - 1.05%
3,750,916 AES Tiete S.A. ................................................... 130,873
7,320 Cia Energetica de Minas Gerais ................................... 156,103
23,804 Cia Vale do Rio Doce ............................................. 747,766
6,900 Iochpe Maxion S.A. ............................................... 144,370
42,800 Klabin S.A. ...................................................... 174,920
------------
1,354,032
------------
GERMANY - 0.10%
1,232 Fuchs Petrolub AG ................................................ 126,645
------------
JAPAN - 0.01%
639 Ito En, Ltd. (O) ................................................. 10,182
------------
TOTAL PREFERRED STOCKS
(Cost $577,992) .................................................. 1,490,859
INVESTMENT COMPANY - 2.76%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 2.76%
3,533,447 SSgA Prime Money Market
Fund ............................................................. 3,533,447
------------
TOTAL INVESTMENT COMPANY
(Cost $3,533,447) ................................................ 3,533,447
COLLATERAL FOR SECURITIES ON LOAN - 12.19%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 12.19%
15,638,409 State Street Navigator Securities Lending Prime Portfolio (I) .... 15,638,409
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(COST $15,638,409) ............................................... 15,638,409
TOTAL INVESTMENTS - 111.29%
- --------------------------------------------------------------------------------------------------
(COST $118,197,994**) ......................................................... 142,786,570
NET OTHER ASSETS AND LIABILITIES - (11.29)%
- --------------------------------------------------------------------------------------------------
(14,485,863)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$128,300,707
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$118,626,563.
(C) Security sold within 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.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
PLC Public Limited Company.
SDR Swedish Depositary Receipt.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
71
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Commercial Banks 10.5%
Pharmaceuticals 7.1%
Oil, Gas & Consumable Fuels 6.7%
Insurance 5.2%
Food Products 4.3%
Tobacco 4.2%
Beverages 3.8%
Net Other Assets & Liabilities 3.7%
Wireless Telecommunication Services 3.3%
Automobiles 3.2%
Diversified Telecommunication Services 3.2%
Gas Utilities 2.9%
Communications Equipment 2.7%
Diversified Financial Services 2.5%
Electric Utilities 2.5%
Capital Markets 2.5%
Electronic Equipment & Instruments 2.5%
Air Freight & Logistics 2.4%
Aerospace & Defense 2.1%
Electrical Equipment 2.1%
Construction Materials 2.1%
Metals & Mining 1.9%
Real Estate Management & Development 1.6%
Auto Components 1.5%
Machinery 1.4%
Household Products 1.3%
Food & Staples Retailing 1.3%
Chemicals 1.2%
Textiles, Apparel & Luxury Goods 1.2%
Road & Rail 0.9%
Specialty Retail 0.9%
Commercial Services & Supplies 0.9%
Media 0.9%
Office Electronics 0.8%
Construction & Engineering 0.7%
IT Services 0.5%
Household Durables 0.4%
Semiconductors & Semiconductor Equipment 0.4%
Personal Products 0.4%
Energy Equipment & Services 0.3%
Building Products 0.3%
Health Care Equipment & Supplies 0.3%
Industrial Conglomerates 0.2%
Hotels, Restaurants & Leisure 0.2%
Distributors 0.2%
Paper & Forest Products 0.1%
Transportation Infrastructure 0.1%
Marine 0.1%
Leisure Equipment & Products 0.1%
Computers & Peripherals 0.1%
Software 0.1%
Health Care Technology 0.1%
Multiline Retail 0.1%
------
100.0%
======
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
72
================================================================================
This page is left blank intentionally
- --------------------------------------------------------------------------------
73
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2007
- --------------------------------------------------------------------------------
CONSERVATIVE
ALLOCATION
FUND
- ----------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $11,180,419
Affiliated issuers 8,381,945
Net unrealized appreciation (depreciation)
Unaffiliated issuers (28,291)
Affiliated issuers 519,970
-----------
Total investments at value 20,054,043
Cash -
Receivables: -
Investments sold 351
Fund shares sold 135,131
Dividends and interest 682
Due from Adviser, net 4,407
Prepaid insurance and registration fees 9,826
Other assets -
-----------
Total Assets 20,204,440
-----------
LIABILITIES:
Payable to custodian -
Payables:
Investments purchased 80
Fund shares repurchased 351
Due to Adviser, net -
Upon return of securities loaned -
Administration and transfer agent fees 6,170
Distribution fees - Class B 2,560
Shareholder servicing fees 4,150
Accrued expenses and other payables 15,150
-----------
Total Liabilities 28,461
-----------
NET ASSETS $20,175,979
===========
NET ASSETS CONSIST OF:
Paid-in capital $19,356,060
Accumulated undistributed net investment income (loss) 297,219
Accumulated net realized gain (loss) on investments
sold and foreign currency related transactions 31,021
Net unrealized appreciation (depreciation) of investments
(including appreciation (depreciation) of foreign
currency related transactions) 491,679
-----------
$20,175,979
===========
NET ASSETS
CLASS A SHARES:
Net Assets $16,003,221
Shares of beneficial interest outstanding 1,438,103
NET ASSET VALUE and redemption price per share1 $ 11.13
Sales charge of offering price(2) 0.68
Maximum offering price per share $ 11.81
===========
CLASS B SHARES:
Net Assets $ 4,172,758
Shares of beneficial interest outstanding 376,952
NET ASSET VALUE and redemption price per share(1) $ 11.07
===========
CLASS Y SHARES(3):
Net Assets
Shares of beneficial interest outstanding
NET ASSET VALUE and redemption price per share(1)
===========
- ---------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
74
================================================================================
- --------------------------------------------------------------------------------
MODERATE AGGRESSIVE CASH HIGH DIVERSIFIED
ALLOCATION ALLOCATION RESERVES INCOME INCOME
FUND FUND FUND BOND FUND FUND FUND
=============================================================================================
$20,818,242 $ 3,349,726 $14,911,463 $143,043,768 $82,333,300 $165,056,631
50,851,297 20,398,441 - - - -
1,089,469 671,822 - (170,104) (315,488) 6,502,498
3,262,737 1,625,851 - - - -
- ---------------------------------------------------------------------------------------------
76,021,745 26,045,840 14,911,463 142,873,664 82,017,812 171,559,129
- - 32,849 - - -
- - - - - -
- - - - 564,458 -
410,283 278,179 272,683 234,030 248,308 13,723
330 315 74,047 1,035,920 1,481,390 881,753
- 5,332 2,684 - - -
13,197 10,165 5,047 8,216 5,253 7,192
- - - 9,329 18,625 6,073
- ---------------------------------------------------------------------------------------------
76,445,555 26,339,831 15,298,773 144,161,159 84,335,846 172,467,870
- ---------------------------------------------------------------------------------------------
- - - 11,840 38,551 4,948
180,084 248,624 - 1,456,611 510,387 -
66,338 - 3,263 115,450 56,219 584,774
6,371 - - 33,312 20,627 66,700
- - - 26,142,238 14,670,458 23,835,970
9,272 8,002 4,092 21,879 13,645 41,687
12,093 4,327 1,785 17,134 7,972 37,421
15,483 5,233 - 17,453 10,395 35,248
18,456 15,289 16,193 25,275 27,145 26,553
- ---------------------------------------------------------------------------------------------
308,097 281,475 25,333 27,841,192 15,355,399 24,633,301
- ---------------------------------------------------------------------------------------------
$76,137,458 $26,058,356 $15,273,440 $116,319,967 $68,980,447 $147,834,569
=============================================================================================
$71,025,680 $23,635,570 $15,273,385 $117,711,986 $74,019,599 $130,610,753
420,535 - (103) (140) 162,067 -
339,037 125,113 158 (1,221,775) (4,885,731) 10,721,318
4,352,206 2,297,673 - (170,104) (315,488) 6,502,498
- ---------------------------------------------------------------------------------------------
$76,137,458 $26,058,356 $15,273,440 $116,319,967 $68,980,447 $147,834,569
=============================================================================================
$56,311,983 $18,824,509 $12,493,753 $ 55,271,361 $35,609,882 $ 90,253,728
4,764,900 1,501,774 12,495,877 5,652,532 4,884,713 6,817,291
$ 11.82 $ 12.53 $ 1.00 $ 9.78 $ 7.29 $ 13.24
0.72 0.76 0.06 0.46 0.34 0.81
$ 12.54 $ 13.29 $ 1.06 $ 10.24 $ 7.63 $ 14.05
=============================================================================================
$19,825,475 $ 7,233,847 $ 2,779,687 $ 26,506,713 $12,254,981 $ 57,580,841
1,687,572 580,748 2,781,798 2,709,855 1,674,661 4,345,828
$ 11.75 $ 12.46 $ 1.00 $ 9.78 $ 7.32 $ 13.25
=============================================================================================
$ 34,541,893 $21,115,584
3,534,527 2,894,407
$ 9.77 $ 7.30
=============================================================================================
(2) Sales charge of offering price is 5.75% for the Conservative Allocation,
Moderate Allocation, Aggressive Allocation, and Diversified Income Funds;
and 4.50% for the Bond and High Income Funds.
(3) Class Y shares are not available for the Cash Reserves, Diversified Income
or Allocation Funds.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
75
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2007
- --------------------------------------------------------------------------------
LARGE CAP
VALUE FUND
- ----------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $183,648,116
Net unrealized appreciation (depreciation)
Unaffiliated issuers 40,230,717
------------
Total investments at value 223,878,833
Cash -
Foreign currency (cost of $139,814)(Note 2) -
Receivables: -
Investments sold -
Fund shares sold 283,366
Dividends and interest 278,150
Prepaid insurance and registration fees 9,614
Deferred offering costs -
Other assets 4,275
------------
Total Assets 224,454,238
------------
LIABILITIES:
Payables:
Investments purchased -
Fund shares repurchased 429,192
Due to Adviser, net 110,097
Upon return of securities loaned 16,317,786
Administration and transfer agent fees 50,535
Distribution fees - Class B 28,253
Shareholder servicing fees 34,385
Accrued expenses and other payables 31,452
------------
Total Liabilities 17,001,700
------------
$207,452,538
============
NET ASSETS
NET ASSETS CONSIST OF:
Paid-in capital $165,151,429
Accumulated undistributed net investment income (loss) 1,632,391
Accumulated net realized gain (loss) on investments sold and
foreign currency related transactions 438,001
Net unrealized appreciation (depreciation) of investments
(including appreciation (depreciation)of foreign
currency related transactions) 40,230,717
------------
$207,452,538
============
NET ASSETS
CLASS A SHARES:
Net Assets $116,357,280
Shares of beneficial interest outstanding 6,882,535
NET ASSET VALUE and redemption price per share(2) $ 16.91
Sales charge of offering price(3) 1.03
Maximum offering price per share $ 17.94
============
CLASS B SHARES:
Net Assets $ 43,146,005
Shares of beneficial interest outstanding 2,597,607
NET ASSET VALUE and redemption price per share(2) $ 16.61
============
CLASS Y SHARES:
Net Assets $ 47,949,253
Shares of beneficial interest outstanding 2,832,552
NET ASSET VALUE and redemption price per share(2) $ 16.93
============
- ---------------------------------------
(1) Class A and B shares commenced investment operations on December 27, 2006.
Class Y shares commenced investment operations on January 9, 2007.
(2) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
76
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP MID CAP MID CAP SMALL CAP SMALL CAP INTERNATIONAL
GROWTH FUND VALUE FUND GROWTH FUND VALUE FUND(1) GROWTH FUND(1) STOCK FUND
==============================================================================================
$148,352,276 $ 94,971,939 $88,721,351 $21,498,489 $23,243,196 $118,197,994
21,590,583 6,710,984 8,584,431 (205,753) 1,646,481 24,588,576
- ----------------------------------------------------------------------------------------------
169,942,859 101,682,923 97,305,782 21,292,736 24,889,677 142,786,570
- 289 - 728 11,197 -
- - - - - 140,262
- - - - - -
744,853 235,593 916,217 - 177,100 1,170,217
327,704 107,792 181,216 78,876 92,826 341,454
90,255 68,669 17,342 22,060 7,812 207,277
8,109 9,562 8,304 6,882 7,621 5,818
- - - 1,564 1,564 -
4,679 7,732 8,744 - - 62,149
- ----------------------------------------------------------------------------------------------
171,118,459 102,112,560 98,437,605 21,402,846 25,187,797 144,713,747
- ----------------------------------------------------------------------------------------------
371,793 - 858,526 124,026 11,197 551,238
42,339 66,208 38,233 53 - 30,470
75,210 48,162 48,644 4,545 7,540 66,166
13,298,950 21,383,931 17,738,847 - - 15,638,409
44,915 24,759 22,001 6,012 6,134 23,585
22,845 14,094 8,756 128 101 9,718
21,885 13,186 10,056 1,345 1,284 14,646
29,253 27,093 24,591 20,148 20,854 78,808
- ----------------------------------------------------------------------------------------------
13,907,190 21,577,433 18,749,654 156,257 47,110 16,413,040
- ----------------------------------------------------------------------------------------------
$157,211,269 $ 80,535,127 $79,687,951 $21,246,589 $25,140,687 $128,300,707
==============================================================================================
$137,516,157 $ 65,877,793 $71,292,079 $20,928,587 $23,226,684 $ 87,844,811
- 110,610 - 115,760 - 1,107,915
(1,895,471) 7,835,740 (188,559) 407,995 267,522 14,780,837
21,590,583 6,710,984 8,584,431 (205,753) 1,646,481 24,567,144
- ----------------------------------------------------------------------------------------------
$157,211,269 $ 80,535,127 $79,687,951 $21,246,589 $25,140,687 $128,300,707
==============================================================================================
$ 68,253,048 $ 39,708,145 $33,458,389 $ 6,097,812 $ 5,921,535 $ 52,145,454
3,925,426 2,856,811 4,490,649 588,846 529,362 3,057,893
$ 17.39 $ 13.90 $ 7.45 $ 10.36 $ 11.19 $ 17.05
1.06 0.85 0.45 0.63 0.68 1.04
$ 18.45 $ 14.75 $ 7.90 $ 10.99 $ 11.87 $ 18.09
==============================================================================================
$ 36,146,898 $ 21,834,864 $13,598,335 $ 200,036 $ 166,392 $ 15,630,364
2,218,561 1,648,713 1,932,887 19,446 14,972 930,735
$ 16.29 $ 13.24 $ 7.04 $ 10.29 $ 11.11 $ 16.79
==============================================================================================
$ 52,811,323 $ 18,992,118 $32,631,227 $14,948,741 $19,052,760 $ 60,524,889
3,026,276 1,363,935 4,365,479 1,441,203 1,699,944 3,544,560
$ 17.45 $ 13.92 $ 7.47 $ 10.37 $ 11.21 $ 17.08
==============================================================================================
- ---------------------------------------
(3) Sales charge of offering price is 5.75% for the Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth
and International Stock Funds.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
77
================================================================================
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2007
- --------------------------------------------------------------------------------
CONSERVATIVE
ALLOCATION FUND
===================================================================================================================
INVESTMENT INCOME:
Interest $ 1,224
Dividends
Unaffiliated issuers 270,928
Affiliated issuers(1) 156,864
Less: Foreign taxes withheld -
Securities lending income -
---------
Total investment income 429,016
---------
EXPENSES:
Management fees 23,224
Administration and transfer agent fees 70,109
Registration expenses 35,258
Custodian and accounting fees 21,314
Professional fees 16,239
Reports to shareholder expense 2,119
Trustees' fees 958
Distribution fees - Class B 18,501
Shareholder servicing fees - Class A 22,863
Shareholder servicing fees - Class B 6,167
Compliance expense 4,333
Amortization of offering costs 3,671
Other expenses 928
---------
Total expenses before reimbursement/waiver 225,684
Less reimbursement/waiver (125,906)
---------
Total expenses net of reimbursement/waiver 99,778
---------
NET INVESTMENT INCOME (LOSS) 329,238
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments (including net realized gain (loss) on
foreign currency related transactions)
Unaffiliated issuers (16,042)
Affiliated issuers(1) 10,617
Capital gain distributions received from underlying funds
Unaffiliated issuers 23,576
Affiliated issuers(1) 24,502
Net change in unrealized appreciation (depreciation) on investments (including a net unrealized
appreciation (depreciation) on foreign currency related transactions) 404,421
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 447,074
---------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 776,312
=========
- ---------------------------------------
(1) See Note 10 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
78
================================================================================
- --------------------------------------------------------------------------------
MODERATE AGGRESSIVE CASH RESERVES BOND HIGH INCOME DIVERSIFIED
ALLOCATION FUND ALLOCATION FUND FUND FUND FUND INCOME FUND
==============================================================================================================================
2,030 $ 1,512 $962,200 $ 5,601,436 $5,041,364 $ 4,513,891
384,936 15,844 - - 17,802 3,232,844
549,618 35,001 - - - -
- - - - (1,966) (4,211)
- - - 60,840 28,047 46,651
-------------------------------------------------------------------------------------------------------------------------
936,584 52,357 962,200 5,662,276 5,085,247 7,789,175
-------------------------------------------------------------------------------------------------------------------------
88,026 28,020 74,228 533,396 344,871 1,047,632
86,958 78,854 44,754 212,004 133,717 393,927
43,653 36,042 25,242 25,445 24,488 31,359
21,475 20,564 23,640 46,909 41,851 44,990
19,468 16,314 14,945 21,118 23,852 23,354
8,158 2,547 3,548 19,262 11,468 29,398
3,690 1,159 1,805 9,711 5,533 14,971
88,420 29,434 26,029 238,062 112,261 519,693
80,559 25,217 - 141,275 92,752 229,701
29,474 9,811 - 79,354 37,420 173,231
4,333 4,333 8,374 8,374 8,374 8,374
3,672 3,672 - - - -
1,141 937 1,785 6,697 4,094 10,564
-------------------------------------------------------------------------------------------------------------------------
479,027 256,904 224,350 1,341,607 840,681 2,527,194
(82,473) (129,401) (96,265) (189,438) (127,986) (234,637)
-------------------------------------------------------------------------------------------------------------------------
396,554 127,503 128,085 1,152,169 712,695 2,292,557
-------------------------------------------------------------------------------------------------------------------------
540,030 (75,146) 834,115 4,510,107 4,372,552 5,496,618
-------------------------------------------------------------------------------------------------------------------------
(9,206) 10,791 170 (745,391) (105,282) 10,824,517
(97,547) (6,127) - - - -
69,085 16,384 - - - -
461,385 251,357 - - - -
3,974,446 2,103,640 - (266,794) (676,625) (7,526,200)
-------------------------------------------------------------------------------------------------------------------------
4,398,163 2,376,045 170 (1,012,185) (781,907) 3,298,317
-------------------------------------------------------------------------------------------------------------------------
$4,938,193 $2,300,899 $834,285 $ 3,497,922 $3,590,645 $ 8,794,935
=========================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
79
================================================================================
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2007
- --------------------------------------------------------------------------------
LARGE CAP
VALUE FUND
===================================================================================================================
INVESTMENT INCOME:
Interest $ 131,922
Dividends
Unaffiliated issuers 4,692,269
Less: Foreign taxes withheld (3,645)
Securities lending income 13,552
-----------
Total investment income 4,834,098
-----------
EXPENSES:
Management fees 1,085,328
Administration and transfer agent fees 472,765
Registration expenses 29,348
Custodian and accounting fees 57,380
Professional fees 25,199
Reports to shareholder expense 36,188
Trustees' fees 18,072
Distribution fees - Class B 406,371
Shareholder servicing fees - Class A 294,648
Shareholder servicing fees - Class B 135,457
Compliance expense 8,374
Amortization of organization and offering costs -
Other expenses 10,655
-----------
Total expenses before reimbursement/waiver 2,579,785
Less reimbursement/waiver (4,303)
-----------
Total expenses net of reimbursement/waiver 2,575,482
-----------
2,258,616
-----------
NET INVESTMENT INCOME (LOSS)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency
related transactions)(1) 15,894,676
Net change in unrealized appreciation (depreciation) on investments (including a net unrealized
appreciation (depreciation) on foreign currency related transactions)(2) 1,540,285
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 17,434,961
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $19,693,577
===========
- ---------------------------------------
(1) Includes foreign capital gains taxes paid of $5,824 for the International
Stock Fund.
(2) Net of deferred foreign capital gains taxes of $33,868 for the International
Stock Fund.
(3) Fund commenced investment operations on December 27, 2006.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
80
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP MID CAP MID CAP SMALL CAP SMALL CAP INTERNATIONAL
GROWTH FUND VALUE FUND GROWTH FUND VALUE FUND(3) GROWTH FUND(3) STOCK FUND
=====================================================================================================================
$ 100,944 $ 58,633 $ 91,724 $ 35,617 $ 36,946 $ 140,616
1,437,264 1,471,777 190,129 248,146 133,067 2,943,252
(8,538) (22) - - (1,459) (226,609)
20,990 35,032 32,353 - - 30,098
- ---------------------------------------------------------------------------------------------------------------------
1,550,660 1,565,420 314,206 283,763 168,554 2,887,357
- ---------------------------------------------------------------------------------------------------------------------
986,777 696,283 502,286 127,059 140,861 1,127,702
409,785 227,322 202,228 52,313 52,968 219,589
26,987 24,749 25,092 25,612 24,955 27,924
51,181 51,880 50,319 30,188 36,109 321,057
23,078 21,664 20,312 21,110 21,241 29,252
24,007 13,481 12,163 3,379 3,601 18,461
11,912 6,646 6,052 1,030 1,138 9,533
294,860 180,933 113,234 962 773 120,516
162,555 95,826 84,910 12,136 11,346 150,571
98,287 60,311 37,745 321 258 40,172
8,374 8,374 8,374 5,563 5,563 8,374
- - - 7,227 7,227 -
7,379 4,515 3,947 2,220 2,232 6,193
- ---------------------------------------------------------------------------------------------------------------------
2,105,182 1,391,984 1,066,662 289,120 308,272 2,079,344
(297,863) (212,040) (100,481) (116,613) (119,778) (317,536)
- ---------------------------------------------------------------------------------------------------------------------
1,807,319 1,179,944 966,181 172,507 188,494 1,761,808
- ---------------------------------------------------------------------------------------------------------------------
(256,659) 385,476 (651,975) 111,256 (19,940) 1,125,549
- ---------------------------------------------------------------------------------------------------------------------
9,407,200 7,771,340 7,143,170 407,858 283,639 14,950,148
13,584,853 (2,038,673) 4,635,111 (205,753) 1,646,481 5,098,992
- ---------------------------------------------------------------------------------------------------------------------
22,992,053 5,732,667 11,778,281 202,105 1,930,120 20,049,140
- ---------------------------------------------------------------------------------------------------------------------
$22,735,394 $ 6,118,143 $11,126,306 $ 313,361 $1,910,180 $21,174,689
=====================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
81
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
===============================
FOR THE YEAR OR PERIOD ENDED OCTOBER 31, 2007 2006(1)
===================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $ 3,652,901 $ -
-------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 329,238 16,986
Net realized gain (loss) 42,653 2,819
Net change in unrealized appreciation 404,421 87,258
-------------------------------
Net increase in net assets from operations 776,312 107,063
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (51,399) -
Class B (8,831) -
Class Y(2) - -
Net realized gains
Class A (2,755) -
Class B (722) -
-------------------------------
TOTAL DISTRIBUTIONS (63,707) -
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 13,474,311 2,974,268
Issued to shareholders in reinvestment of distributions 53,996 -
Shares redeemed (1,128,574) (37,356)
Redemption fees - 53
-------------------------------
Net increase (decrease) from capital stock transactions 12,399,733 2,936,965
-------------------------------
CLASS B SHARES
Shares sold 4,004,246 640,103
Issued to shareholders in reinvestment of distributions 9,473 -
Shares redeemed (602,979) (31,230)
Redemption fees - -
-------------------------------
Net increase (decrease) from capital stock transactions 3,410,740 608,873
-------------------------------
CLASS Y SHARES(2)
Shares sold - -
Issued to shareholders in reinvestment of distributions - -
Shares redeemed - -
Redemption fees - -
-------------------------------
Net increase (decrease) from capital stock transactions - -
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 16,523,078 3,652,901
-------------------------------
NET ASSETS AT END OF PERIOD $20,175,979 $3,652,901
===============================
Undistributed (distribution in excess of) net investment income $ 297,219 $ 13,565
===============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 1,248,402 291,590
Issued to shareholders in reinvestment of distributions 5,105 -
Shares redeemed (103,385) (3,609)
-------------------------------
Net increase (decrease) from capital stock transactions 1,150,122 287,981
-------------------------------
CLASS B SHARES
Shares sold 372,604 62,123
Issued to shareholders in reinvestment of distributions 895 -
Shares redeemed (55,711) (2,959)
-------------------------------
Net increase (decrease) from capital stock transactions 317,788 59,164
-------------------------------
CLASS Y SHARES(2)
Shares sold - -
Issued to shareholders in reinvestment of distributions - -
Shares redeemed - -
-------------------------------
Net increase (decrease) from capital stock transactions - -
===============================
- --------------------------------------------------
(1) Fund commenced investment operations on June 30, 2006.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
82
================================================================================
- --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND AGGRESSIVE ALLOCATION FUND CASH RESERVES FUND
================================ =============================== ==================================
2007 2006(1) 2007 2006(1) 2007 2006
=====================================================================================================================
$12,050,789 $ - $ 3,839,277 $ - $ 17,976,511 $ 17,347,840
- ---------------------------------------------------------------------------------------------------------------------
540,030 18,061 (75,146) (4,587) 834,115 644,555
423,717 3,306 272,405 1,589 170 (5)
3,974,446 377,760 2,103,640 194,033 - -
- ---------------------------------------------------------------------------------------------------------------------
4,938,193 399,127 2,300,899 191,035 834,285 644,550
- ---------------------------------------------------------------------------------------------------------------------
(181,906) - (59,585) - (507,500) (453,637)
(40,991) - (16,067) - (134,775) (172,164)
- - - - (191,935) (19,565)
(2,871) - - - - -
(1,005) - - - - -
- ---------------------------------------------------------------------------------------------------------------------
(226,773) - (75,652) - (834,210) (645,366)
48,015,621 8,485,312 15,561,209 2,556,341 7,792,344 12,927,325
182,707 - 59,544 - 491,133 443,451
(4,145,538) (19,946) (1,083,829) (25,928) (6,779,116) (13,623,930)
36 - 337 - - -
- ---------------------------------------------------------------------------------------------------------------------
44,052,826 8,465,366 14,537,261 2,530,413 1,504,361 (253,154)
- ---------------------------------------------------------------------------------------------------------------------
17,270,965 3,253,668 5,882,184 1,149,576 1,190,341 1,362,350
41,397 - 15,850 - 125,452 157,059
(1,989,939) (67,372) (441,463) (31,747) (2,777,852) (3,382,216)
- - - - - -
- ---------------------------------------------------------------------------------------------------------------------
15,322,423 3,186,296 5,456,571 1,117,829 (1,462,059) (1,862,807)
- ---------------------------------------------------------------------------------------------------------------------
- - - - 9,720,899 2,939,100
- - - - 177,892 19,565
- - - - (12,644,239) (213,217)
- - - - - -
- ---------------------------------------------------------------------------------------------------------------------
- - - - (2,745,448) 2,745,448
- ---------------------------------------------------------------------------------------------------------------------
64,086,669 12,050,789 22,219,079 3,839,277 (2,703,071) 628,671
- ---------------------------------------------------------------------------------------------------------------------
$76,137,458 $12,050,789 $26,058,356 $3,839,277 $ 15,273,440 $ 17,976,511
=====================================================================================================================
$ 420,535 $ 15,512 $ - $ - $ (103) $ (8)
=====================================================================================================================
4,291,256 824,793 1,340,392 251,071 7,771,788 12,927,380
16,867 - 5,384 - 491,133 443,451
(366,086) (1,930) (92,598) (2,475) (6,779,116) (13,623,930)
- ---------------------------------------------------------------------------------------------------------------------
3,942,037 822,863 1,253,178 248,596 1,483,805 (253,099)
- ---------------------------------------------------------------------------------------------------------------------
1,551,655 315,940 507,991 111,446 1,177,901 1,361,802
3,821 - 1,432 - 125,452 157,059
(177,429) (6,415) (37,025) (3,096) (2,777,852) (3,382,216)
- ---------------------------------------------------------------------------------------------------------------------
1,378,047 309,525 472,398 108,350 (1,474,499) (1,863,355)
- ---------------------------------------------------------------------------------------------------------------------
- - - - 9,720,899 2,939,100
- - - - 177,892 19,565
- - - - (12,644,239) (213,217)
- ---------------------------------------------------------------------------------------------------------------------
- - - - (2,745,448) 2,745,448
=====================================================================================================================
(2) Class Y shares commenced investment operations on June 30, 2006. Class Y is
not available for the Allocation Funds.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
83
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
BOND FUND
==================================
FOR THE YEAR ENDED OCTOBER 31, 2007 2006
====================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $103,020,128 $109,530,215
----------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income 4,510,107 4,112,855
Net realized gain (loss) (745,391) (403,816)
Net change in unrealized appreciation (depreciation) (266,794) 696,586
----------------------------------
Net increase in net assets from operations 3,497,922 4,405,625
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income--Class A (2,111,989) (2,612,420)
Net investment income--Class B (975,176) (1,484,994)
Net investment income--Class Y(1) (630,958) (48,143)
Net realized gains--Class A - -
Net realized gains--Class B - -
RETURN OF CAPITAL
Class A (367,255) -
Class B (176,919) -
Class Y(1) (227,665) -
----------------------------------
TOTAL DISTRIBUTIONS (4,489,962) (4,145,557)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 12,124,570 10,141,287
Issued to shareholders in reinvestment of distributions 2,392,663 2,518,469
Shares redeemed (18,264,489) (15,108,256)
Redemption fees 31 544
----------------------------------
Net (decrease) from capital stock transactions (3,747,225) (2,447,956)
----------------------------------
CLASS B SHARES
Shares sold 825,558 2,127,842
Issued to shareholders in reinvestment of distributions 1,049,574 1,353,157
Shares redeemed (12,204,406) (13,860,774)
----------------------------------
Net (decrease) from capital stock transactions (10,329,274) (10,379,775)
----------------------------------
CLASS Y SHARES(1)
Shares sold 32,727,058 7,826,110
Issued to shareholders in reinvestment of distributions 858,685 48,144
Shares redeemed (5,217,365) (1,816,678)
----------------------------------
Net increase from capital stock transactions 28,368,378 6,057,576
----------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 13,299,839 (6,510,087)
----------------------------------
NET ASSETS AT END OF PERIOD $116,319,967 $103,020,128
==================================
Undistributed (distribution in excess of) net investment income $ (140) $ 2,879
==================================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 1,255,158 1,036,915
Issued to shareholders in reinvestment of distributions 244,847 257,346
Shares redeemed (1,884,192) (1,544,979)
----------------------------------
Net (decrease) from capital stock transactions (384,187) (250,718)
----------------------------------
CLASS B SHARES
Shares sold 84,111 217,901
Issued to shareholders in reinvestment of distributions 107,311 138,200
Shares redeemed (1,248,856) (1,417,962)
----------------------------------
Net (decrease) from capital stock transactions (1,057,434) (1,061,861)
----------------------------------
CLASS Y SHARES(1)
Shares sold 3,357,035 803,148
Issued to shareholders in reinvestment of distributions 88,162 4,897
Shares redeemed (532,542) (186,172)
----------------------------------
Net increase from capital stock transactions 2,912,655 621,873
==================================
- ---------------------------------------------------
(1) Class Y commenced investment operations on June 30, 2006. Class Y is not
available for the Diversified Income Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
84
================================================================================
- --------------------------------------------------------------------------------
HIGH INCOME FUND DIVERSIFIED INCOME FUND LARGE CAP VALUE FUND
================================== ================================== ==================================
2007 2006 2007 2006 2007 2006
==========================================================================================================================
$ 56,016,602 $ 65,126,572 $171,824,889 $205,715,130 $183,376,048 $177,793,189
- --------------------------------------------------------------------------------------------------------------------------
4,372,552 3,653,072 5,496,618 3,179,018 2,258,616 2,228,256
(105,282) 313,613 10,824,517 11,963,911 15,894,676 12,909,804
(676,625) 310,355 (7,526,200) 1,301,919 1,540,285 14,788,053
- --------------------------------------------------------------------------------------------------------------------------
3,590,645 4,277,040 8,794,935 16,444,848 19,693,577 29,926,113
- --------------------------------------------------------------------------------------------------------------------------
(2,607,240) (2,431,599) (3,423,453) (2,031,413) (1,683,244) (1,397,838)
(930,535) (1,189,183) (2,057,792) (1,152,532) (427,319) (417,037)
(832,780) (33,786) - - (194,702) -
- - (1,608,464) - - -
- - (1,343,805) - - -
- - - - - -
- - - - - -
- - - - - -
- --------------------------------------------------------------------------------------------------------------------------
(4,370,555) (3,654,568) (8,433,514) (3,183,945) (2,305,265) (1,814,875)
9,684,345 9,892,530 18,704,073 17,702,055 26,960,207 20,907,477
2,093,408 1,878,657 4,948,390 2,003,495 1,665,527 1,385,357
(12,085,886) (19,763,802) (24,966,159) (42,574,463) (36,223,992) (29,570,359)
121 705 473 1,022 384 46
- --------------------------------------------------------------------------------------------------------------------------
(308,012) (7,991,910) (1,313,223) (22,867,891) (7,597,874) (7,277,479)
- --------------------------------------------------------------------------------------------------------------------------
430,166 1,626,452 2,266,808 4,521,125 2,060,546 3,990,922
778,093 978,918 3,337,211 1,127,458 417,342 406,155
(5,975,944) (6,963,369) (28,642,537) (29,931,836) (27,155,487) (26,471,869)
- --------------------------------------------------------------------------------------------------------------------------
(4,767,685) (4,357,999) (23,038,518) (24,283,253) (24,677,599) (22,074,792)
- --------------------------------------------------------------------------------------------------------------------------
18,609,660 2,800,030 - - 41,005,737 7,945,792
832,780 33,786 - - 194,702 -
(622,988) (216,349) - - (2,236,788) (1,121,900)
- --------------------------------------------------------------------------------------------------------------------------
18,819,452 2,617,467 - - 38,963,651 6,823,892
- --------------------------------------------------------------------------------------------------------------------------
12,963,845 (9,109,970) (23,990,320) (33,890,241) 24,076,490 5,582,859
- --------------------------------------------------------------------------------------------------------------------------
$ 68,980,447 $ 56,016,602 $147,834,569 $171,824,889 $207,452,538 $183,376,048
==========================================================================================================================
$ 162,067 $ 156,711 $ - $ 5,928 $ 1,632,391 $ 1,733,337
==========================================================================================================================
1,300,185 1,350,232 1,416,600 1,401,144 1,634,836 1,480,466
283,698 257,041 375,291 158,390 104,031 103,154
(1,629,326) (2,698,570) (1,892,561) (3,411,546) (2,189,918) (2,112,059)
- --------------------------------------------------------------------------------------------------------------------------
(45,443) (1,091,297) (100,670) (1,852,012) (451,051) (528,439)
- --------------------------------------------------------------------------------------------------------------------------
57,300 221,556 171,863 357,686 128,213 287,531
104,872 133,435 252,769 89,093 26,364 30,584
(802,602) (947,225) (2,168,918) (2,368,149) (1,686,332) (1,896,703)
- --------------------------------------------------------------------------------------------------------------------------
(640,430) (592,234) (1,744,286) (1,921,370) (1,531,755) (1,578,588)
- --------------------------------------------------------------------------------------------------------------------------
2,506,426 382,987 - - 2,494,353 539,416
113,434 4,613 - - 12,176 -
(83,490) (29,563) - - (136,915) (76,478)
- --------------------------------------------------------------------------------------------------------------------------
2,536,370 358,037 - - 2,369,614 462,938
==========================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
85
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
===============================
FOR THE YEAR OR PERIOD ENDED OCTOBER 31, 2007 2006
===================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $119,129,652 $133,731,230
-------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) (256,659) (256,752)
Net realized gain (loss) 9,407,200 15,215,544
Net change in unrealized appreciation (depreciation) 13,584,853 (6,799,789)
-------------------------------
Net increase in net assets from operations 22,735,394 8,159,003
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (422,539)
Class Y(2) - -
Net realized gains
Class A - -
Class B - -
Class Y(2) - -
-------------------------------
TOTAL DISTRIBUTIONS - (422,539)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 13,046,575 11,131,414
Issued to shareholders in reinvestment of distributions - 419,623
Shares redeemed (21,028,231) (29,196,406)
Redemption fees (52) 150
-------------------------------
Net increase (decrease) from capital stock transactions (7,981,708) (17,645,219)
-------------------------------
CLASS B SHARES
Shares sold 1,532,860 2,608,151
Issued to shareholders in reinvestment of distributions - -
Shares redeemed (15,471,513) (16,717,772)
Redemption fees - -
-------------------------------
Net increase (decrease) from capital stock transactions (13,938,653) (14,109,621)
-------------------------------
CLASS Y SHARES(2)
Shares sold 44,290,169 10,230,128
Issued to shareholders in reinvestment of distributions - -
Shares redeemed (7,023,585) (813,330)
Redemption fees - -
-------------------------------
Net increase from capital stock transactions 37,266,584 9,416,798
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 38,081,617 (14,601,578)
-------------------------------
NET ASSETS AT END OF PERIOD $157,211,269 $119,129,652
===============================
Undistributed (distribution in excess of) net investment income $ - $ -
===============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 832,716 793,139
Issued to shareholders in reinvestment of distributions - 30,145
Shares redeemed (1,342,941) (2,129,786)
-------------------------------
Net increase (decrease) from capital stock transactions (510,225) (1,306,502)
-------------------------------
CLASS B SHARES
Shares sold 104,329 196,201
Issued to shareholders in reinvestment of distributions - -
Shares redeemed (1,053,076) (1,260,713)
-------------------------------
Net (decrease) from capital stock transactions (948,747) (1,064,512)
-------------------------------
CLASS Y SHARES(2)
Shares sold 2,810,145 733,687
Issued to shareholders in reinvestment of distributions - -
Shares redeemed (459,007) (58,549)
-------------------------------
Net increase from capital stock transactions 2,351,138 675,138
===============================
- ---------------------------------------------------
(1) Class A and B shares commenced investment operations on December 27, 2006.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
86
================================================================================
- --------------------------------------------------------------------------------
MID CAP VALUE FUND MID CAP GROWTH FUND SMALL CAP VALUE FUND(1)
================================== ================================== =========================
2007 2006 2007 2006 2007
=================================================================================================================
$ 64,708,039 $ 66,758,591 $ 57,482,606 $ 46,859,450 $ -
- -----------------------------------------------------------------------------------------------------------------
385,476 180,120 (651,975) (417,673) 111,256
7,771,340 14,089,064 7,143,170 10,239,937 407,858
(2,038,673) (3,919,762) 4,635,111 (1,880,424) (205,753)
- -----------------------------------------------------------------------------------------------------------------
6,118,143 10,349,422 11,126,306 7,941,840 313,361
- -----------------------------------------------------------------------------------------------------------------
(225,891) (24,039) - - -
(58,245) - - - -
(6,548,150) (2,905,036) - - -
(4,744,286) (1,562,221) - - -
(1,122,905) - - - -
- -----------------------------------------------------------------------------------------------------------------
(12,699,477) (4,491,296) - - -
13,144,708 7,577,181 6,829,470 6,486,021 5,939,231
6,652,422 2,882,740 - - -
(11,010,334) (23,629,914) (13,222,614) (10,206,754) (16,983)
58 371 241 1,156 136
- -----------------------------------------------------------------------------------------------------------------
8,786,854 (13,169,622) (6,392,903) (3,719,577) 5,922,384
- -----------------------------------------------------------------------------------------------------------------
1,328,283 3,462,269 803,608 2,327,950 209,592
4,640,283 1,515,538 - - -
(6,392,245) (4,997,839) (5,476,863) (3,289,072) (10,898)
- - - - -
- -----------------------------------------------------------------------------------------------------------------
(423,679) (20,032) (4,673,255) (961,122) 198,694
- -----------------------------------------------------------------------------------------------------------------
17,152,636 5,787,430 28,518,000 8,014,612 15,159,554
1,181,150 - - - -
(4,288,539) (506,454) (6,372,803) (652,597) (347,404)
- - - - -
- -----------------------------------------------------------------------------------------------------------------
14,045,247 5,280,976 22,145,197 7,362,015 14,812,150
- -----------------------------------------------------------------------------------------------------------------
15,827,088 (2,050,552) 22,205,345 10,623,156 21,246,589
- -----------------------------------------------------------------------------------------------------------------
$ 80,535,127 $ 64,708,039 $ 79,687,951 $ 57,482,606 $21,246,589
=================================================================================================================
$ 110,610 $ 140,425 $ - $ - $ 115,760
=================================================================================================================
931,324 521,717 980,119 1,105,355 590,467
503,679 207,113 - - -
(789,397) (1,651,619) (1,897,780) (1,738,051) (1,621)
- -----------------------------------------------------------------------------------------------------------------
645,606 (922,789) (917,661) (632,696) 588,846
- -----------------------------------------------------------------------------------------------------------------
100,151 246,758 121,556 415,538 20,480
368,569 112,429 - - -
(478,969) (355,404) (830,485) (587,263) (1,034)
- -----------------------------------------------------------------------------------------------------------------
(10,249) 3,783 (708,929) (171,725) 19,446
- -----------------------------------------------------------------------------------------------------------------
1,225,680 389,726 4,081,149 1,359,324 1,474,486
89,247 - - - -
(306,510) (34,208) (963,810) (111,184) (33,283)
- -----------------------------------------------------------------------------------------------------------------
1,008,417 355,518 3,117,339 1,248,140 1,441,203
=================================================================================================================
(2) Class Y shares commenced investment operations on June 30, 2006, except for
the Small Cap Value and Small Cap Growth Funds, which commenced investment
operations on January 9, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
87
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND(1)
==========================
FOR THE YEAR OR PERIOD ENDED OCTOBER 31, 2007
===============================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $ -
-----------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) (19,940)
Net realized gain 283,639
Net change in unrealized appreciation 1,646,481
-----------
Net increase in net assets from operations 1,910,180
-----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (777)
Class B (6)
Class Y(2) -
Net realized gains
Class A -
Class B -
Class Y(2) -
-----------
TOTAL DISTRIBUTIONS (783)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 5,345,507
Issued to shareholders in reinvestment of distributions 777
Shares redeemed (18,928)
Redemption fees 170
-----------
Net increase (decrease) from capital stock transactions 5,327,526
-----------
CLASS B SHARES
Shares sold 173,916
Issued to shareholders in reinvestment of distributions 6
Shares redeemed (19,602)
Redemption fees 5
-----------
Net increase (decrease) from capital stock transactions 154,325
-----------
CLASS Y SHARES(2)
Shares sold 18,337,548
Issued to shareholders in reinvestment of distributions -
Shares redeemed (588,109)
Redemption fees -
-----------
Net increase from capital stock transactions 17,749,439
-----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 25,140,687
-----------
NET ASSETS AT END OF PERIOD $25,140,687
===========
Undistributed (distribution in excess of) net investment income $ -
===========
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 531,024
Issued to shareholders in reinvestment of distributions 79
Shares redeemed (1,741)
-----------
Net increase (decrease) from capital stock transactions 529,362
-----------
CLASS B SHARES
Shares sold 16,744
Issued to shareholders in reinvestment of distributions 1
Shares redeemed (1,773)
-----------
Net increase (decrease) from capital stock transactions 14,972
-----------
CLASS Y SHARES(2)
Shares sold 1,755,432
Issued to shareholders in reinvestment of distributions -
Shares redeemed (55,488)
-----------
Net increase from capital stock transactions 1,699,944
===========
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
88
================================================================================
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
================================
2007 2006
================================
$104,157,984 $ 69,746,931
- --------------------------------
1,125,549 777,112
14,950,148 10,823,451
5,098,992 6,822,444
- --------------------------------
21,174,689 18,423,007
- --------------------------------
(621,924) (635,430)
- (30,964)
(144,326) -
(8,014,544) (31,599)
(1,623,774) (6,158)
(1,290,872) -
- --------------------------------
(11,695,440) (704,151)
18,778,577 11,830,931
8,362,721 647,398
(57,230,976) (6,807,125)
553 990
- --------------------------------
(30,089,125) 5,672,194
- --------------------------------
2,074,401 5,994,867
1,591,060 36,150
(5,539,418) (3,623,098)
80 -
- --------------------------------
(1,873,877) 2,407,919
- --------------------------------
48,128,646 9,549,386
1,435,198 -
(2,937,368) (937,302)
- -
- --------------------------------
46,626,476 8,612,084
- --------------------------------
24,142,723 34,411,053
- --------------------------------
$128,300,707 $104,157,984
================================
$ 1,107,915 $ 589,402
================================
1,201,775 821,660
557,967 48,064
(3,743,256) (477,375)
- --------------------------------
(1,983,514) 392,349
- --------------------------------
134,477 420,428
107,868 2,708
(358,813) (251,326)
- --------------------------------
(116,468) 171,810
- --------------------------------
3,063,591 638,254
95,661 -
(190,443) (62,503)
- --------------------------------
2,968,809 575,751
================================
- --------------------------------
(1) Class A and B shares commenced investment operations on December 27, 2006.
(2) International Stock Fund Class Y shares commenced investment operations on
June 30, 2006. The Small Cap Growth Fund commenced investment operations on
January 9, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
89
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND MODERATE ALLOCATION FUND AGGRESSIVE ALLOCATION FUND
============================ ============================ ============================
FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED
October 31, INCEPTION October 31, INCEPTION October 31, INCEPTION
2007 to 10/31/06(1) 2007 to 10/31/06(1) 2007 to 10/31/06(1)
==================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 10.53 $10.00 $ 10.65 $10.00 $ 10.76 $10.00
-------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.05 0.17 0.02 0.09 (0.01)
Net realized and unrealized gain
on investments 0.49 0.48 1.12 0.63 1.83 0.77
-------------------------------------------------------------------------------------
Total from investment operations 0.73 0.53 1.29 0.65 1.92 0.76
-------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.12) - (0.12) - (0.15) -
Distributions from capital gains (0.01) - (0.00)(5) - - -
-------------------------------------------------------------------------------------
Total distributions (0.13) - (0.12) - (0.15) -
-------------------------------------------------------------------------------------
Net increase in net asset value 0.60 0.53 1.17 0.65 1.77 0.76
-------------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.13 $10.53 $ 11.82 $10.65 $ 12.53 $10.76
=====================================================================================
TOTAL RETURN(2) 6.94% 5.30%(3) 12.26% 6.50%(3) 18.00% 7.60%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $16,003 $3,031 $56,312 $8,762 $18,824 $2,675
Ratios of expenses to average net assets
Before reimbursement of expenses
by Adviser 1.79% 10.53%(4) 0.89% 4.73%(4) 1.62% 10.14%(4)
After reimbursement of expenses by
Adviser 0.70% 0.70%(4) 0.70% 0.70%(4) 0.70% 0.70%(4)
Ratio of net investment income (loss)
to average net assets
After reimbursement of expenses by
Adviser 3.00% 2.78%(4) 1.45% 1.34%(4) (0.33)% (0.56)%(4)
Portfolio Turnover(6) 39% 26%(3) 21% 11%(3) 24% 10%(3)
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 10.51 $10.00 $ 10.63 $10.00 $ 10.74 $10.00
-------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17 0.02 0.09 0.01 0.00(5) (0.01)
Net realized and unrealized gain on
investments 0.48 0.49 1.11 0.62 1.82 0.75
-------------------------------------------------------------------------------------
Total from investment operations 0.65 0.51 1.20 0.63 1.82 0.74
-------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.08) - (0.08) - (0.10) -
Distributions from capital gains (0.01) - - - - -
-------------------------------------------------------------------------------------
Total distributions (0.09) - (0.08) - (0.10) -
-------------------------------------------------------------------------------------
Net increase in net asset value 0.56 0.51 1.12 0.63 1.72 0.74
-------------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.07 $10.51 $ 11.75 $10.63 $ 12.46 $10.74
=====================================================================================
TOTAL RETURN(2) 6.16% 5.10%(3) 11.38% 6.30%(3) 17.11% 7.40%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 4,173 $ 622 $19,825 $3,289 $ 7,234 $1,164
Ratios of expenses to average net assets
Before reimbursement of expenses by
Adviser 2.53% 10.21%(4) 1.64% 4.71%(4) 2.38% 10.07%(4)
After reimbursement of expenses by
Adviser 1.45% 1.45%(4) 1.45% 1.45%(4) 1.45% 1.45%(4)
Ratio of net investment income (loss) to
average net assets
After reimbursement of expenses by
Adviser 2.23% 2.20%(4) 0.63% 0.67%(4) (1.06)% (1.28)%(4)
Portfolio Turnover(6) 39% 26%(3) 21% 11%(3) 24% 10%(3)
- ----------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Amounts represent less than $0.005 per share.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
90
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CASH RESERVES FUND
=======================================================
FOR THE YEAR ENDED OCTOBER 31,
-------------------------------------------------------
2007 2006 2005 2004 2003
=======================================================================================================
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 0.05 0.04 0.02 0.01 0.00(1)
------------------------------------------------------
Total from investment operations 0.05 0.04 0.02 0.01 0.00
------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.05) (0.04) (0.02) (0.01) (0.00)(1)
------------------------------------------------------
Total distributions (0.05) (0.04) (0.02) (0.01) (0.00)
------------------------------------------------------
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) 4.73% 4.27% 2.33% 0.68% 0.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $12,494 $10,989 $11,243 $11,916 $14,236
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.09% 1.09% 0.98% 0.82% 0.87%
After reimbursement of expenses by Adviser 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to average
net assets
After reimbursement of expenses by Adviser 4.64% 4.13% 2.30% 0.68% 0.75%
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 0.04 0.03 0.02 0.00(1) 0.00(1)
------------------------------------------------------
Total from investment operations 0.04 0.03 0.02 0.00 0.00
------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.04) (0.03) (0.02) - 0.00(1)
------------------------------------------------------
Total distributions (0.04) (0.03) (0.02) - 0.00
------------------------------------------------------
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) 3.94% 3.48% 1.57% 0.07% 0.08%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 2,779 $ 4,242 $ 6,105 $ 8,432 $12,071
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.84% 1.84% 1.73% 1.57% 1.62%
After reimbursement of expenses by Adviser 1.30% 1.30% 1.30% 1.15%(3) 1.23%(3)
Ratio of net investment income to average
net assets
After reimbursement of expenses by Adviser 3.88% 3.37% 1.49% 0.06% 0.08%
- -----------------------------------------------
(1) Amounts represent less than $0.005 per share.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Amount includes fees waived by distributor (Note 3).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
91
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CASH RESERVES FUND
==============================
FOR THE
PERIOD ENDED
June 14, INCEPTION
2007(1) to 10/31/06(2)
===================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00
--------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.02
--------------------------
Total from investment operations 0.03 0.02
--------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.03) (0.02)
--------------------------
Total distributions (0.03) (0.02)
--------------------------
Net increase (decrease) in net asset value - -
--------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00
==========================
TOTAL RETURN(3) N/A 1.57%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ - $ 2,746
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.00%(5) 1.35%(5)
After reimbursement of expenses by Adviser 0.55%(5) 0.55%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 4.62%(5) 4.75%(5)
BOND FUND
================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------
2007 2006 2005 2004 2003
===============================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 9.88 $ 9.85 $ 10.17 $ 10.12 $ 10.17
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.43 0.42 0.39 0.37 0.40
Net realized and unrealized gain (loss)
on investments (0.10) 0.03 (0.31) 0.07 (0.05)
------------------------------------------------
Total from investment operations 0.33 0.45 0.08 0.44 0.35
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.36) (0.42) (0.40) (0.39) (0.40)
Return of Capital (0.07) - - - -
------------------------------------------------
Total distributions (0.43) (0.42) (0.40) (0.39) (0.40)
------------------------------------------------
Net increase (decrease) in net asset value (0.10) 0.03 (0.32) 0.05 (0.05)
------------------------------------------------
NET ASSET VALUE at end of period $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12
================================================
TOTAL RETURN(3) 3.42% 4.70% 0.74% 4.46% 3.51%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $55,271 $59,646 $61,942 $59,900 $78,165
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.08% 1.08% 1.07% 1.01% 1.10%
After reimbursement of expenses by Adviser 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average
net assets
After reimbursement of expenses by Adviser 4.40% 4.27% 3.82% 3.73% 3.94%
Portfolio Turnover(6) 40% 33% 43% 81% 75%
- ---------------------------------------------
(1) Cash Reserves Fund Class Y shares were liquidated June 14, 2007.
(2) Commenced investment operations June 30, 2006.
(3) Total return at net asset value and excludes applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
92
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
-------------------------------------------------
2007 2006 2005 2004 2003
=================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 9.88 $ 9.85 $ 10.17 $ 10.12 $ 10.18
-------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.35 0.35 0.31 0.30 0.33
Net realized and unrealized gain (loss) on
investments (0.10) 0.03 (0.31) 0.07 (0.06)
-------------------------------------------------
Total from investment operations 0.25 0.38 - 0.37 0.27
-------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.29) (0.35) (0.32) (0.32) (0.33)
Return of Capital (0.06) - - - -
-------------------------------------------------
Total distributions (0.35) (0.35) (0.32) (0.32) (0.33)
-------------------------------------------------
Net increase (decrease) in net asset value (0.10) 0.03 (0.32) 0.05 (0.06)
-------------------------------------------------
NET ASSET VALUE at end of period $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12
=================================================
TOTAL RETURN(2) 2.64% 3.91% (0.01)% 3.68% 2.64%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $26,507 $37,233 $47,588 $55,269 $64,529
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.83% 1.83% 1.82% 1.76% 1.85%
After reimbursement of expenses by Adviser 1.65% 1.65% 1.65% 1.65% 1.65%
Ratio of net investment income to average net
assets
After reimbursement of expenses by Adviser 3.65% 3.51% 3.08% 2.95% 3.19%
Portfolio Turnover(5) 40% 33% 43% 81% 75%
FOR THE
YEAR ENDED
October 31, INCEPTION
2007 to 10/31/06(1)
===========================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 9.88 $ 9.61
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.45 0.15
Net realized and unrealized gain (loss) on
investments (0.11) 0.27
---------------------------
Total from investment operations 0.34 0.42
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.38) (0.15)
Return of Capital (0.07) -
---------------------------
Total distributions (0.45) (0.15)
---------------------------
Net increase (decrease) in net asset value (0.11) 0.27
---------------------------
NET ASSET VALUE at end of period $ 9.77 $ 9.88
===========================
4.39%(3)
TOTAL RETURN(2) 3.58%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $34,542 $6,141
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 0.82% 0.89%(4)
After reimbursement of expenses by Adviser 0.65% 0.65%(4)
Ratio of net investment income to average net
assets
After reimbursement of expenses by Adviser 4.69% 4.67%(4)
Portfolio Turnover(5) 40% 33%(3)
- ----------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
93
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
HIGH INCOME FUND
===================================================
FOR THE YEAR ENDED OCTOBER 31,
---------------------------------------------------
2007 2006 2005 2004 2003
===================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 7.36 $ 7.29 $ 7.56 $ 7.36 $ 6.57
---------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.53 0.52 0.49 0.55 0.54
Net realized and unrealized gain (loss) on
investments (0.08) 0.07 (0.28) 0.21 0.80
---------------------------------------------------
Total from investment operations 0.45 0.59 0.21 0.76 1.34
---------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.52) (0.52) (0.48) (0.56) (0.55)
---------------------------------------------------
Total distributions (0.52) (0.52) (0.48) (0.56) (0.55)
---------------------------------------------------
Net increase (decrease) in net asset value (0.07) 0.07 (0.27) 0.20 0.79
---------------------------------------------------
NET ASSET VALUE at end of period $ 7.29 $ 7.36 $ 7.29 $ 7.56 $ 7.36
===================================================
TOTAL RETURN(1) 6.31% 8.33% 2.85% 10.73% 21.09%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $35,610 $36,281 $43,872 $44,137 $33,024
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.21% 1.22% 1.23% 1.16% 1.38%
After reimbursement of expenses by Adviser 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net
assets
After reimbursement of expenses by Adviser 7.10% 6.98% 6.50% 7.37% 7.73%
Portfolio Turnover(3) 74% 67% 81%(2) 60% 58%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 7.39 $ 7.31 $ 7.58 $ 7.37 $ 6.59
---------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.49 0.47 0.43 0.49 0.49
Net realized and unrealized gain (loss) on
investments (0.09) 0.07 (0.28) 0.22 0.78
---------------------------------------------------
Total from investment operations 0.40 0.54 0.15 0.71 1.27
---------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.47) (0.46) (0.42) (0.50) (0.49)
---------------------------------------------------
Total distributions (0.47) (0.46) (0.42) (0.50) (0.49)
---------------------------------------------------
Net increase (decrease) in net asset value (0.07) 0.08 (0.27) 0.21 0.78
---------------------------------------------------
NET ASSET VALUE at end of period $ 7.32 $ 7.39 $ 7.31 $ 7.58 $ 7.37
===================================================
TOTAL RETURN(1) 5.50% 7.64% 2.06% 10.02% 19.96%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $12,255 $17,099 $21,255 $23,349 $21,992
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.96% 1.97% 1.98% 1.91% 2.13%
After reimbursement of expenses by Adviser 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to average net
assets
After reimbursement of expenses by Adviser 6.34% 6.24% 5.75% 6.63% 6.98%
Portfolio Turnover(3) 74% 67% 81%(2) 60% 58%
- ----------------------------------------------
(1) Total return at net asset value and excludes applicable sales charge.
(2) Reflects subadviser change as of February 28, 2005.
(3) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
94
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
HIGH INCOME FUND
===========================
FOR THE
YEAR ENDED
October 31, INCEPTION
2007 to 10/31/06(1)
===========================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 7.36 $ 7.21
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.51 0.16
Net realized and unrealized gain (loss) on
investments (0.03) 0.17
---------------------------
Total from investment operations 0.48 0.33
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.54) (0.18)
---------------------------
Total distributions (0.54) (0.18)
---------------------------
Net increase (decrease) in net asset value (0.06) 0.15
---------------------------
NET ASSET VALUE at end of period $ 7.30 $ 7.36
===========================
TOTAL RETURN(2) 6.72% 4.59%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $21,115 $2,637
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 0.94% 1.06%(4)
After reimbursement of expenses by Adviser 0.75% 0.75%(4)
Ratio of net investment income to average net
assets
After reimbursement of expenses by Adviser 7.43% 7.33%(4)
Portfolio Turnover(5) 74% 67%(3)
- ----------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
95
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
-------------------------------------------------
2007 2006 2005 2004 2003
================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 13.20 $ 12.25 $ 11.81 $ 11.18 $ 10.16
-------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.49 0.26 0.24 0.22 0.25
Net realized and unrealized gain on
investments 0.27 0.95 0.44 0.64 1.02
-------------------------------------------------
Total from investment operations 0.76 1.21 0.68 0.86 1.27
-------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.49) (0.26) (0.24) (0.23) (0.25)
Distributions from capital gains (0.23) - - - -
-------------------------------------------------
Total distributions (0.72) (0.26) (0.24) (0.23) (0.25)
-------------------------------------------------
Net increase in net asset value 0.04 0.95 0.44 0.63 1.02
-------------------------------------------------
NET ASSET VALUE at end of period $ 13.24 $ 13.20 $ 12.25 $ 11.81 $ 11.18
=================================================
TOTAL RETURN(1) 5.95% 9.97% 5.74% 7.71% 12.72%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $90,254 $91,339 $107,457 $98,900 $83,606
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.25% 1.21% 1.21% 1.17% 1.32%
After reimbursement of expenses by Adviser 1.10% 1.10% 1.10% 1.10% 1.10%
Ratio of net investment income to average net
assets
After reimbursement of expenses by Adviser 3.73% 2.01% 1.88% 1.88% 2.38%
Portfolio Turnover(2) 62% 62% 34% 39% 35%
- ---------------------------------------------
(1) Total return at net asset value and excludes applicable sales charge.
(2) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
96
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND
=====================================================
FOR THE YEAR ENDED OCTOBER 31,
-----------------------------------------------------
2007 2006 2005 2004 2003
===========================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 13.22 $ 12.26 $ 11.82 $ 11.19 $ 10.17
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.40 0.16 0.14 0.13 0.17
Net realized and unrealized gain on investments 0.26 0.96 0.44 0.64 1.02
-----------------------------------------------------
Total from investment operations 0.66 1.12 0.58 0.77 1.19
-----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.40) (0.16) (0.14) (0.14) (0.17)
Distributions from capital gains (0.23) - - - -
-----------------------------------------------------
Total distributions (0.63) (0.16) (0.14) (0.14) (0.17)
-----------------------------------------------------
Net increase in net asset value 0.03 0.96 0.44 0.63 1.02
-----------------------------------------------------
NET ASSET VALUE at end of period $ 13.25 $ 13.22 $ 12.26 $ 11.82 $ 11.19
=====================================================
TOTAL RETURN(1) 5.09% 9.23% 4.94% 6.90% 11.87%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 57,581 $ 80,486 $ 98,258 $105,784 $100,787
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.00% 1.96% 1.96% 1.92% 2.07%
After reimbursement of expenses by Adviser 1.85% 1.85% 1.85% 1.85% 1.85%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.99% 1.27% 1.15% 1.14% 1.63%
Portfolio Turnover(2) 62% 62% 34% 39% 35%
LARGE CAP VALUE FUND
=====================================================
FOR THE YEAR ENDED OCTOBER 31,
-----------------------------------------------------
2007 2006 2005 2004 2003
===========================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 15.47 $ 13.20 $ 12.19 $ 11.05 $ 9.37
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.22 0.16 0.14 0.12
Net realized and unrealized gain on investments 1.45 2.23 1.00 1.12 1.64
-----------------------------------------------------
Total from investment operations 1.67 2.45 1.16 1.26 1.76
-----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.23) (0.18) (0.15) (0.12) (0.08)
-----------------------------------------------------
Total distributions (0.23) (0.18) (0.15) (0.12) (0.08)
-----------------------------------------------------
Net increase in net asset value 1.44 2.27 1.01 1.14 1.68
-----------------------------------------------------
NET ASSET VALUE at end of period $ 16.91 $ 15.47 $ 13.20 $ 12.19 $ 11.05
=====================================================
TOTAL RETURN(1) 10.88% 18.75% 9.56% 11.48% 18.95%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $116,358 $113,441 $103,765 $ 85,855 $ 68,406
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.13% 1.16% 1.17% 1.13% 1.35%
After reimbursement of expenses by Adviser 1.13% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.32% 1.53% 1.29% 1.26% 1.29%
Portfolio Turnover(2) 47% 45% 12% 16% 20%
- ----------------------------------------------------
(1) Total return at net asset value and excludes applicable sales charge.
(2) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
97
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
-------------------------------------------------
2007 2006 2005 2004 2003
=======================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 15.20 $ 12.97 $ 11.98 $ 10.87 $ 9.24
-------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.16 0.15 0.09 0.06 0.05
Net realized and unrealized gain on investments 1.36 2.16 0.96 1.10 1.60
-------------------------------------------------
Total from investment operations 1.52 2.31 1.05 1.16 1.65
-------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.11) (0.08) (0.06) (0.05) (0.02)
-------------------------------------------------
Total distributions (0.11) (0.08) (0.06) (0.05) (0.02)
-------------------------------------------------
Net increase in net asset value 1.41 2.23 0.99 1.11 1.63
-------------------------------------------------
NET ASSET VALUE at end of period $ 16.61 $ 15.20 $ 12.97 $ 11.98 $ 10.87
=================================================
TOTAL RETURN(2) 10.03% 17.86% 8.73% 10.70% 17.93%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $43,146 $62,766 $74,028 $83,482 $79,765
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.89% 1.90% 1.92% 1.89% 2.10%
After reimbursement of expenses by Adviser 1.88% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.61% 0.80% 0.57% 0.53% 0.54%
Portfolio Turnover(5) 47% 45% 12% 16% 20%
FOR THE
YEAR ENDED
October 31, INCEPTION
2007 to 10/31/06(1)
===========================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 15.48 $14.07
--------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.21 0.03
Net realized and unrealized gain on investments 1.51 1.38
--------------------------
Total from investment operations 1.72 1.41
--------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.27) -
--------------------------
Total distributions (0.27) -
--------------------------
Net increase in net asset value 1.45 1.41
--------------------------
NET ASSET VALUE at end of period $ 16.93 $15.48
==========================
TOTAL RETURN(2) 11.21% 10.02%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $47,949 $7,169
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 0.87% 0.96%(4)
After reimbursement of expenses by Adviser 0.88 0.75%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.47% 1.31%(4)
Portfolio Turnover(5) 47% 45%(3)
- ----------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
98
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
===========================================================
FOR THE YEAR ENDED OCTOBER 31,
-----------------------------------------------------------
2007 2006 2005 2004 2003
========================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 14.70 $ 13.72 $ 12.87 $ 11.88 $ 9.63
-----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.00)(1) 0.00(1) 0.08 0.01 (0.00)(1)
Net realized and unrealized gain on investments 2.69 1.05 0.77 0.98 2.25
-----------------------------------------------------------
Total from investment operations 2.69 1.05 0.85 0.99 2.25
-----------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.07) 0.00(1) - -
-----------------------------------------------------------
Total distributions - (0.07) 0.00(1) - -
-----------------------------------------------------------
Net increase in net asset value 2.69 0.98 0.85 0.99 2.25
-----------------------------------------------------------
NET ASSET VALUE at end of period $ 17.39 $ 14.70 $ 13.72 $ 12.87 $ 11.88
===========================================================
TOTAL RETURN(2) 18.30% 7.71% 6.61% 8.33% 23.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $68,253 $65,216 $78,785 $73,674 $71,733
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.43% 1.45% 1.44% 1.38% 1.64%
After reimbursement of expenses by Adviser 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 Adviser (0.02)% 0.09% 0.62% 0.08% 0.05%
Portfolio Turnover(3) 93% 148% 18% 27% 25%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 13.88 $ 12.98 $ 12.27 $ 11.40 $ 9.31
-----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.13) (0.09) (0.01) (0.08) (0.08)
Net realized and unrealized gain on investments 2.54 0.99 0.72 0.95 2.17
-----------------------------------------------------------
Total from investment operations 2.41 0.90 0.71 0.87 2.09
-----------------------------------------------------------
Net increase in net asset value 2.41 0.90 0.71 0.87 2.09
-----------------------------------------------------------
Net Asset Value at end of period $ 16.29 $ 13.88 $ 12.98 $ 12.27 $ 11.40
===========================================================
TOTAL RETURN(2) 17.36% 6.93% 5.79% 7.63% 22.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $36,147 $43,975 $54,946 $63,544 $62,832
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.18% 2.20% 2.19% 2.13% 2.39%
After reimbursement of expenses by Adviser 1.95% 1.95% 1.94% 1.95% 1.95%
Ratio of net investment loss to average net assets
After reimbursement of expenses by Adviser (0.76)% (0.65)% (0.09)% (0.67)% (0.70)%
Portfolio Turnover(3) 93% 148% 18% 27% 25%
- -----------------------------------------------------------
(1) Amounts represent less than $0.005 per share.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
99
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
===========================
FOR THE
YEAR ENDED
OCTOBER 31, INCEPTION
2007 to 10/31/06(1)
========================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 14.72 $13.71
--------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 (0.00)(3)
Net realized and unrealized gain on investments 2.71 1.01
--------------------------
Total from investment operations 2.73 1.01
--------------------------
Net increase in net asset value 2.73 1.01
--------------------------
NET ASSET VALUE at end of period $ 17.45 $14.72
==========================
Total Return(2) 18.55% 7.37%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $52,811 $9,939
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.16% 1.30%(5)
After reimbursement of expenses by Adviser 0.95% 0.95%(5)
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Adviser 0.19% (0.07)%(5)
Portfolio Turnover(6) 93% 148%(4)
MID CAP VALUE FUND
=====================================================
FOR THE YEAR ENDED OCTOBER 31,
-----------------------------------------------------
2007 2006 2005 2004 2003
==================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 15.54 $ 14.08 $ 12.44 $ 11.12 $ 8.64
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.10 0.03 0.09 0.01
Net realized and unrealized gain on investments 1.27 2.32 1.70 1.23 2.47
-----------------------------------------------------
Total from investment operations 1.36 2.42 1.73 1.32 2.48
-----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.08) (0.01) (0.09) - -
Distributions from capital gains (2.92) (0.95) - - -
-----------------------------------------------------
Total distributions (3.00) (0.96) (0.09) - -
-----------------------------------------------------
Net increase (decrease) in net asset value (1.64) 1.46 1.64 1.32 2.48
-----------------------------------------------------
NET ASSET VALUE at end of period $ 13.90 $ 15.54 $ 14.08 $ 12.44 $ 11.12
=====================================================
TOTAL RETURN(2) 9.94% 17.93% 13.95% 11.87% 28.70%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $39,708 $34,364 $44,126 $40,103 $31,591
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.69% 1.68% 1.70% 1.61% 1.92%
After reimbursement of expenses by Adviser 1.40% 1.40% 1.40% 1.40% 1.40%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.74% 0.53% 0.20% 0.77% 0.17%
Portfolio Turnover(6) 76% 108% 37% 21% 25%
- --------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Amounts represent less than $0.005 per share
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
100
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
===========================================================
FOR THE YEAR ENDED OCTOBER 31,
-----------------------------------------------------------
2007 2006 2005 2004 2003
========================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 14.96 $ 13.67 $ 12.09 $ 10.91 $ 8.54
-----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00(3) (0.03) (0.07) 0.00(3) (0.05)
Net realized and unrealized gain on investments 1.20 2.27 1.65 1.18 2.42
-----------------------------------------------------------
Total from investment operations 1.20 2.24 1.58 1.18 2.37
-----------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (2.92) (0.95) - - -
-----------------------------------------------------------
Total distributions (2.92) (0.95) - - -
-----------------------------------------------------------
Net increase (decrease) in net asset value (1.72) 1.29 1.58 1.18 2.37
-----------------------------------------------------------
NET ASSET VALUE at end of period $ 13.24 $ 14.96 $ 13.67 $ 12.09 $ 10.91
===========================================================
TOTAL RETURN(2) 9.14% 17.04% 13.07% 10.82% 27.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $21,835 $24,813 $22,633 $20,104 $16,721
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.44% 2.45% 2.45% 2.36% 2.67%
After reimbursement of expenses by Adviser 2.15% 2.15% 2.15% 2.15% 2.15%
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Adviser 0.00% (0.20)% (0.55)% 0.01% (0.58)%
Portfolio Turnover(6) 76% 108% 37% 21% 25%
FOR THE
YEAR ENDED
October 31, INCEPTION
2007 to 10/31/06(1)
============================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 15.56 $14.54
----------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.13 0.02
Net realized and unrealized gain on investments 1.27 1.00
----------------------------
Total from investment operations 1.40 1.02
----------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.12) -
Distributions from capital gains (2.92) -
----------------------------
Total distributions (3.04) -
----------------------------
Net increase (decrease) in net asset value (1.64) 1.02
----------------------------
NET ASSET VALUE at end of period $ 13.92 $15.56
============================
TOTAL RETURN(2) 10.25% 6.95%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $18,992 $5,531
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.43% 1.63%(5)
After reimbursement of expenses by Adviser 1.15% 1.15%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.94% 0.97%(5)
Portfolio Turnover(6) 76% 108%(4)
- -----------------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Amounts represent less than $0.005 per share.
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
101
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
=====================================================
FOR THE YEAR ENDED OCTOBER 31,
-----------------------------------------------------
2007 2006 2005 2004 2003
==================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 6.27 $ 5.36 $ 4.83 $ 4.46 $ 3.49
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.07) (0.04) (0.01) (0.03) (0.03)
Net realized and unrealized gain on investments 1.25 0.95 0.54 0.40 1.00
-----------------------------------------------------
Total from investment operations 1.18 0.91 0.53 0.37 0.97
-----------------------------------------------------
Net increase in net asset value 1.18 0.91 0.53 0.37 0.97
-----------------------------------------------------
NET ASSET VALUE at end of period $ 7.45 $ 6.27 $ 5.36 $ 4.83 $ 4.46
=====================================================
TOTAL RETURN(1) 18.82% 16.98% 10.97% 8.30% 27.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $33,459 $33,899 $32,395 $25,897 $14,366
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.50% 1.61% 1.69% 1.62% 2.40%
After reimbursement of expenses by Adviser 1.33% 1.20% 1.19% 1.20% 1.20%
Ratio of net investment income (loss) to average net assets
After reimbursement of expenses by Adviser (0.87)% (0.59)% (0.25)% (0.64)% (0.42)%
Portfolio Turnover(2) 109% 207% 92% 71% 123%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 5.96 $ 5.14 $ 4.67 $ 4.34 $ 3.42
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.13) (0.08) (0.05) (0.06) (0.02)
Net realized and unrealized gain on investments 1.21 0.90 0.52 0.39 0.94
-----------------------------------------------------
Total from investment operations 1.08 0.82 0.47 0.33 0.92
-----------------------------------------------------
Net increase in net asset value 1.08 0.82 0.47 0.33 0.92
-----------------------------------------------------
NET ASSET VALUE at end of period $ 7.04 $ 5.96 $ 5.14 $ 4.67 $ 4.34
=====================================================
TOTAL RETURN(1) 17.92% 16.15% 10.06% 7.60% 26.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $13,598 $15,754 $14,464 $13,030 $ 9,935
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.25% 2.35% 2.44% 2.37% 3.15%
After reimbursement of expenses by Adviser 2.08% 1.95% 1.94% 1.95% 1.95%
Ratio of net investment loss to average net assets
After reimbursement of expenses by Adviser (1.62)% (1.36)% (0.98)% (1.39)% (1.17)%
Portfolio Turnover(2) 109% 207% 92% 71% 123%
- -----------------------------------------------------------
(1) Total return at net asset value and excludes applicable sales charge.
(2) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
102
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
==============================
FOR THE
YEAR ENDED
October 31, INCEPTION
2007 to 10/31/06(1)
====================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 6.27 $ 5.84
-----------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.03) (0.01)
Net realized and unrealized gain on investments 1.23 0.44
-----------------------------
Total from investment operations 1.20 0.43
-----------------------------
Net increase in net asset value 1.20 0.43
-----------------------------
NET ASSET VALUE at end of period $ 7.47 $ 6.27
=============================
TOTAL RETURN(3) 19.11% 7.53%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $32,631 $7,830
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.22% 1.47%(5)
After reimbursement of expenses by Adviser 1.11% 0.95%(5)
Ratio of net investment loss to average net assets
After reimbursement of expenses by Adviser (0.62)% (0.58)%(5)
Portfolio Turnover(6) 109% 207%(4)
SMALL CAP
VALUE FUND
==============
INCEPTION
to 10/31/06(2)
===================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06
Net realized and unrealized gain on investments 0.30
----------
Total from investment operations 0.36
----------
Net increase in net asset value 0.36
----------
NET ASSET VALUE at end of period $10.36
==========
3.60%(4)
TOTAL RETURN(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $6,098
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.61%(5)
After reimbursement of expenses by Adviser 1.50%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.71%(5)
Potfolio Turnover(6) 14%(4)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Commenced investment operations December 27, 2006.
(3) Total return at net asset value and excludes applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
103
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP
VALUE FUND
==============
INCEPTION
to 10/31/07(1)
====================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.00)(4)
Net realized and unrealized gain on investments 0.29
----------
Total from investment operations 0.29
----------
Net increase in net asset value 0.29
----------
NET ASSET VALUE at end of period $10.29
==========
TOTAL RETURN(3) 2.90%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 200
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 11.24%(6)
After reimbursement of expenses by Adviser 2.25%(6)
Ratio of net investment loss to average net assets
After reimbursement of expenses by Adviser (0.01)%(6)
Portfolio Turnover(7) 14%(5)
INCEPTION
to 10/31/07(2)
==============
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 9.82
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05
Net realized and unrealized gain on investments 0.50
-----------
Total from investment operations 0.55
-----------
Net increase in net asset value 0.55
-----------
NET ASSET VALUE at end of period $ 10.37
===========
TOTAL RETURN(3) 5.60%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $14,949
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.91%(6)
After reimbursement of expenses by Adviser 1.25%(6)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.99%(6)
Portfolio Turnover(7) 14%(5)
- ----------------------------------------------------
(1) Commenced investment operations December 27, 2006.
(2) Commenced investment operations January 9, 2007.
(3) Total return at net asset value and excludes applicable sales charge.
(4) Amounts represent less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
(7) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
104
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP
GROWTH FUND
==============
INCEPTION
to 10/31/07(1)
================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)
Net realized and unrealized gain on investments 1.22
----------
Total from investment operations 1.19
----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(3)
----------
Total distributions (0.00)
----------
Net increase in net asset value 1.19
----------
NET ASSET VALUE at end of period $11.19
==========
TOTAL RETURN(2) 11.92%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $5,922
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.61%(5)
After reimbursement of expenses by Adviser 1.50%(5)
Ratio of net investment loss to average net assets
After reimbursement of expenses by Adviser (0.37)%(5)
Portfolio Turnover(6) 90%(4)
INCEPTION
to 10/31/07(1)
==============
CLASS B
- -------
NET ASSET VALUE at beginning of period $10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.08)
Net realized and unrealized gain on investments 1.19
----------
Total from investment operations 1.11
----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(3)
----------
Total distributions (0.00)
----------
Net increase in net asset value 1.11
----------
NET ASSET VALUE at end of period $11.11
==========
TOTAL RETURN(2) 11.11%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 166
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 12.61%(5)
After reimbursement of expenses by Adviser 2.25%(5)
Ratio of net investment loss to average net assets
After reimbursement of expenses by Adviser (1.10)%(5)
Portfolio Turnover(6) 90%(4)
- ---------------------------------------------
(1) Commenced investment operations December 27, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Amounts represent less than $0.005 per share.
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
105
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP
GROWTH FUND
==============
INCEPTION
to 10/31/07(1)
==================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 9.84
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.00)(3)
Net realized and unrealized gain on investments 1.37
------------
Total from investment operations 1.37
------------
Net increase in net asset value 1.37
------------
NET ASSET VALUE at end of period $ 11.21
============
TOTAL RETURN(2) 13.92%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $19,053
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.87%(5)
After reimbursement of expenses by Adviser 1.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.02)%(5)
Portfolio Turnover(6) 90%(4)
INTERNATIONAL STOCK FUND
================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------
2007 2006 2005 2004 2003
===============================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 15.66 $ 12.65 $ 10.56 $ 8.92 $ 7.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.16 0.15 0.14 0.08 0.10
Net realized and unrealized gain on
investments 2.92 3.01 2.05 1.66 1.88
------------------------------------------------
Total from investment operations 3.08 3.16 2.19 1.74 1.98
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.11) (0.14) (0.10) (0.10) (0.06)
Distributions from capital gains (1.58) (0.01) - - -
------------------------------------------------
Total distributions (1.69) (0.15) (0.10) (0.10) (0.06)
------------------------------------------------
Net increase in net asset value 1.39 3.01 2.09 1.64 1.92
------------------------------------------------
NET ASSET VALUE at end of period $ 17.05 $ 15.66 $ 12.65 $ 10.56 $ 8.92
================================================
TOTAL RETURN(2) 21.24% 25.11% 20.81% 19.56% 28.46%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $52,145 $78,958 $58,825 $43,915 $33,664
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.89% 1.87% 1.90% 1.85% 2.11%
After reimbursement of expenses by Adviser 1.60% 1.60% 1.60% 1.60% 1.60%
Ratio of net investment income to average net
assets After reimbursement of
expenses by Adviser 0.99% 1.03% 1.15% 0.76% 1.30%
Portfolio Turnover(6) 79% 63% 64% 45% 34%
- --------------------------------------------------------------------------------
(1) Commenced investment operations January 9, 2007.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Amounts represent less than $0.005 per share.
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
106
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
========================================================
FOR THE YEAR ENDED OCTOBER 31,
--------------------------------------------------------
2007 2006 2005 2004 2003
=======================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 15.45 $ 12.48 $ 10.41 $ 8.78 $ 6.89
--------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.03 0.04 (0.00)(3) 0.04
Net realized and unrealized gain on
investments 2.84 2.98 2.04 1.64 1.85
--------------------------------------------------------
Total from investment operations 2.92 3.01 2.08 1.64 1.89
--------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.03) (0.01) (0.01) (0.00)(3)
Distributions from capital gains (1.58) (0.01) - - -
--------------------------------------------------------
Total distributions (1.58) (0.04) (0.01) (0.01) (0.00)
--------------------------------------------------------
Net increase in net asset value 1.34 2.97 2.07 1.63 1.89
--------------------------------------------------------
NET ASSET VALUE at end of period $ 16.79 $ 15.45 $ 12.48 $10.41 $ 8.78
========================================================
TOTAL RETURN(2) 20.31% 24.18% 20.00% 18.67% 27.44%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $15,630 $16,175 $10,922 $7,559 $5,806
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.64% 2.62% 2.65% 2.59% 2.86%
After reimbursement of expenses by Adviser 2.35% 2.35% 2.35% 2.35% 2.35%
Ratio of net investment income to average net
assets After reimbursement of
expenses by Adviser 0.41% 0.32% 0.41% 0.03% 0.55%
Portfolio Turnover(6) 79% 63% 64% 45% 34%
FOR THE YEAR
ENDED INCEPTION
10/31/2007 to 10/31/06(1)
============================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 15.68 $14.57
----------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.17 0.01
Net realized and unrealized gain on
investments 2.96 1.10
----------------------------
Total from investment operations 3.13 1.11
----------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.15) -
Distributions from capital gains (1.58) -
----------------------------
Total distributions (1.73) -
-----------------------------
Net increase in net asset value 1.40 1.11
----------------------------
NET ASSET VALUE at end of period $ 17.08 $15.68
============================
TOTAL RETURN(2) 21.59% 7.62%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $60,525 $9,025
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.66% 1.72%(5)
After reimbursement of expenses by Adviser 1.35% 1.35%(5)
Ratio of net investment income to average net
assets After reimbursement of
expenses by Adviser 1.48% 0.48%(5)
Portfolio Turnover(6) 79% 63%(5)
- ---------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return at net asset value and excludes applicable sales charge.
(3) Amounts represent less than $0.005 per share
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
107
================================================================================
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION
The MEMBERS Mutual Funds, a Delaware Business Trust (the "Trust"), is registered
under the Investment Company Act of 1940, as amended (the "1940 Act") as a
diversified, open-end, management investment company. As of the date of this
report, the Trust offers fourteen funds (individually, a "fund," collectively,
the "Funds"). The Declaration of Trust permits the Trustees to issue an
unlimited number of shares of beneficial interest of the Trust without par
value. The Trust has entered into an Investment Advisory Agreement with MEMBERS
Capital Advisors, Inc. (the "Investment Adviser"). The Investment Adviser has
entered into subadvisory agreements with certain subadvisers ("Subadvisers") for
the management of the investments of the High Income Fund, Mid Cap Growth Fund,
Small Cap Value Fund, Small Cap Growth Fund, International Stock Fund, and a
portion of the Mid Cap Value Fund. The accompanying financial statements include
the Cash Reserves, Bond, High Income, Diversified Income (formerly Balanced
Fund), Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small
Cap Value, Small Cap Growth, and International Stock Funds (collectively, the
"Core Funds"), and the Conservative Allocation, Moderate Allocation, and
Aggressive Allocation Funds (collectively, the "Allocation Funds"). The Core
Funds, excluding the Cash Reserves and Diversified Income Funds, offer three
classes of shares: Class A, B and Y, and the Allocation Funds, Cash Reserves
Fund and the Diversified Income Fund, offer two classes of shares: Class A and
B. 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.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles ("GAAP") 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, collectively, the "Funds", in the
preparation of its financial statements.
PORTFOLIO VALUATION: Securities and other investments are valued as follows:
Equity securities and exchange-traded funds ("ETFs") listed on any U.S. or
foreign stock exchange or listed and traded 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). 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. Investments in shares of
open-ended mutual funds, including money market funds, are valued at their daily
net asset value ("NAV") which is calculated as of 3:00 p.m. Central Time on each
day on which the New York Stock Exchange is open for business. NAV per share is
determined by dividing each fund's total net assets by the number of shares of
such fund outstanding at the time of calculation. Since the assets of the
Allocation Funds consist primarily of shares of the underlying funds, the NAV of
each Allocation Fund is determined based on the NAV's of the underlying funds.
Total net assets are determined by adding the total current value of portfolio
securities, cash, receivables, and other assets and subtracting liabilities.
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, which
approximates market value.
Over-the-counter securities not listed or traded 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 Funds' Securities
Valuation Committee (the "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.
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The value of all assets and liabilities expressed in foreign currencies will be
converted into U.S. dollar values using the current exchange rate.
All other securities for which either quotations are not readily available, no
other sales have occurred, or in the Investment Adviser's opinion, do not
reflect the current market value, are appraised at their fair values as
determined in good faith by the Committee and under the general supervision of
the Board of Trustees. When fair value pricing of securities is employed, the
prices of securities used by the Funds to calculate their NAV may differ from
market quotations or official closing prices. Because the Allocation Funds will
only invest in underlying funds, government securities and short-term commercial
paper, it is not anticipated that the Investment Adviser will need to "fair"
value any of the investments of the Allocation Funds. However, an underlying
fund may need to "fair" value one or more of its investments.
A fund's investments will be valued at fair value if in the judgment of the
Committee 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 at 3:00
p.m. Central Time. 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 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;
depository receipts; currency spot or forward markets that trade after pricing
or foreign exchange; and other derivative securities traded after the close such
as WEBs and SPDRs. The Committee may rely on an independent fair valuation
service to adjust the valuations of foreign equity securities based on specific
market-movement parameters established by the Committee and approved by the
Funds.
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. Amortization and accretion are
recorded on the effective yield method.
FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated
investment companies and to distribute substantially all it's taxable income to
its shareholders. 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. As of October 31,
2007, none of the funds have open repurchase agreements.
The Trust has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Funds'
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 one of the following:
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.
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NOTES TO FINANCIAL STATEMENTS
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Each fund, except the Cash Reserves Fund, reports 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 Cash Reserves Fund can only invest
in U.S. dollar-denominated foreign money market securities.
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: Each fund, except the Cash Reserves
Fund, may purchase and sell forward foreign currency exchange contracts for
defensive or hedging purposes. 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. As of October 31, 2007, none of the
funds have open forward foreign currency exchange contracts.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash or
other liquid assets in a segregated account with the fund's custodian in an
amount equal to the value of the fund's total assets committed to the
consummation of the forward contract. If the value of the securities in the
segregated account declines, additional cash or securities will be placed in the
segregated account so that the value of the account will equal the amount of the
fund's commitment with respect to the contract.
FUTURES CONTRACTS: Each fund, except the Cash Reserves Fund, 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 other 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. As of October 31, 2007, none of the
funds have open futures contracts.
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 other 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, 2007, the
Bond and High Income Funds 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 and passive foreign investment
companies.
REDEMPTION FEES: The Small Cap Value, Small Cap Growth, and the International
Stock Funds will deduct a fee of 2% from redemption proceeds on Class A and
Class B shares held 30 calendar 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.
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110
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NOTES TO FINANCIAL STATEMENTS
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NEW ACCOUNTING PRONOUNCEMENTS: In July 2006, the Financial Accounting Standards
Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in
Income Taxes -- an Interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48
addresses the accounting for uncertainty in income taxes and establishes for all
entities, including pass-through entities, such as the Funds, a minimum
threshold for financial statement recognition of the benefit of positions taken
in filing tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. The provisions of
FIN 48 are effective for fiscal years beginning after December 15, 2006, and is
to be applied to all open tax years as of the date of effectiveness. As
required, FIN 48 was adopted effective April 30, 2007 for the Small Cap Value
and Small Cap Growth Funds as these funds commenced operations after the
effective date of FIN 48. No material uncertain tax positions existed at the
time of adoption or as of October 31, 2007. Consequently, the Small Cap Value
and Small Cap Growth Funds have not recorded any liabilities for material
unrecognized tax benefits as of October 31, 2007. It is the funds' policy to
recognize accrued interest and penalties related to uncertain tax benefits in
income taxes, as appropriate. All funds other than Small Cap Value and Small Cap
Growth are required to adopt FIN 48 on April 30, 2008, and apply it to all open
tax years as of the date of effectiveness. Management is currently evaluating
the application of FIN 48 to these funds and is not in a position at this time
to estimate the significance of its impact, if any, on the funds' financial
statements.
FASB also issued Statement of Financial Accounting Standards No. 157, Fair Value
Measurements ("FAS 157"), in September 2006, which is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands financial statement disclosures
about fair value measurements. Management is currently evaluating the
application of FAS 157 to the Funds, and is not in a position at this time to
estimate the significance of its impact, if any, on the Funds' financial
statements.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
For its investment advisory services to the Funds, the Investment Adviser is
entitled to receive a fee, which is computed at an annualized percentage rate of
the average daily value of the net assets of each fund as follows: 0.40% for the
Cash Reserves Fund; 0.50% for the Bond Fund; 0.55% for the High Income Fund;
0.65% for the Diversified Income Fund; 0.55% for the Large Cap Value Fund; 0.75%
for the Large Cap Growth Fund; 0.95% for the Mid Cap Value Fund, 0.75% for the
Mid Cap Growth Fund; 1.00% for the Small Cap Value Fund; 1.00% for the Small Cap
Growth Fund; 1.05% for the International Stock Fund, and .20% for the
Conservative Allocation, Moderate Allocation, and Aggressive Allocation Funds.
The Investment Adviser is solely responsible for the payment of all fees to the
Subadvisers. The Subadvisers for the Funds at October 31, 2007, are Shenkman
Capital Management, Inc. for the High Income Fund, Wellington Management
Company, LLP for a portion of the Mid Cap Value Fund and the entire Mid Cap
Growth and Small Cap Growth Funds, Paradigm Asset Management Company, LLC for
the Small Cap Value Fund, and Lazard Asset Management LLC for the International
Stock Fund. The Investment Adviser manages the other portion of the Mid Cap
Value Fund, the Conservative Allocation Fund, Moderate Allocation Fund,
Aggressive Allocation Fund, Cash Reserves Fund, Bond Fund, Diversified Income
Fund, Large Cap Value Fund, and Large Cap Growth Fund.
The Investment Adviser has contractually agreed to waive fees and/or reimburse
expenses with respect to the Funds ("Expense Cap Agreement") until February 28,
2008, such that total expenses, exclusive of management fees, 12b-1 fees, taxes,
interest, service fees, and other extraordinary items will not exceed the
following amounts:
FUND CLASS A CLASS B CLASS Y
- ---- ------- ------- -------
Conservative Allocation 0.70% 1.45% NA
Moderate Allocation 0.70% 1.45% NA
Aggressive Allocation 0.70% 1.45% NA
Cash Reserves 0.55% 1.30% NA
Bond 0.90% 1.65% 0.65%
High Income 1.00% 1.75% 0.75%
Diversified Income 1.10% 1.85% NA
Large Cap Value 1.20% 1.95% 0.95%
Large Cap Growth 1.20% 1.95% 0.95%
Mid Cap Value 1.40% 2.15% 1.15%
Mid Cap Growth 1.40% 2.15% 1.15%
Small Cap Value 1.50% 2.25% 1.25%
Small Cap Growth 1.50% 2.25% 1.25%
International Stock 1.60% 2.35% 1.35%
For the year ended October 31, 2007, the Investment Adviser reimbursed expenses
of $125,906 for the Conservative Allocation Fund, $82,473 for the Moderate
Allocation Fund, $129,401 for the Aggressive Allocation Fund, $96,265 for the
Cash Reserves Fund, $189,438 for the Bond Fund, $127,986 for the High Income
Fund, $234,637 for the Diversified Income Fund, $6,615 for the Large Cap Value
Fund, $297,863 for the Large Cap Growth Fund, $210,040 for the Mid Cap Value
Fund, $100,481 for the Mid Cap Growth Fund, $116,613 for the Small Cap Value
Fund, $119,778 for the Small Cap Growth Fund, and $317,536 for the International
Stock Fund.
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NOTES TO FINANCIAL STATEMENTS
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Any reimbursements or fee waivers made by the Investment Adviser 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. Under the Expense Cap Agreement,
such recoupments 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, 2008 OCTOBER 31, 2009 OCTOBER 31, 2010
- ---- ----------------- ----------------- ----------------
Conservative Allocation NA $ 60,600 $125,906
Moderate Allocation NA 58,861 82,473
Aggressive Allocation NA 60,571 129,401
Cash Reserves $ 78,715 90,538 96,265
Bond 187,908 189,515 189,438
High Income 159,911 122,119 127,986
Diversified Income 238,207 210,578 234,637
Large Cap Value 305,185 273,920 6,615
Large Cap Growth 335,822 310,809 297,863
Mid Cap Value 201,154 195,647 212,040
Mid Cap Growth 222,629 206,584 100,481
Small Cap Value NA NA 116,613
Small Cap Growth NA NA 119,778
International Stock 187,015 230,191 317,536
Through October 31, 2007, the Investment Adviser recouped $107,574 in the Large
Cap Value Fund of fees previously waived or reimbursed 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.
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,
2007, sales charges received by CUNA Brokerage were as follows:
AMOUNT PAID
---------------------------
FUND CLASS A CLASS B
- ---- --------- ---------
Conservative Allocation $ 397,345 $ 7,836
Moderate Allocation 1,316,861 24,158
Aggressive Allocation 471,127 6,800
Cash Reserves 2,230 18,764
Bond 34,934 50,536
High Income 65,317 26,447
Diversified Income 140,546 99,015
Large Cap Value 117,612 61,439
Large Cap Growth 85,920 50,333
Mid Cap Value 69,800 32,925
Mid Cap Growth 55,093 18,600
Small Cap Value 2,152 -
Small Cap Growth 1,790 -
International Stock 95,872 22,075
Certain officers and trustees of the Funds are also officers of the Investment
Adviser. 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.
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112
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NOTES TO FINANCIAL STATEMENTS
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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 declare dividends daily and reinvest monthly. The High Income
Fund and Diversified Income Fund declare and reinvest dividends monthly. The
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Large Cap
Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small
Cap Growth, and the International Stock Funds declare and reinvest dividends
annually. The Funds distribute net realized gains from investment
transactions, if any, to shareholders annually.
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 gains 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, 2007, 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
- ---- --------- ----- --------- -----
Conservative Allocation $ - $ - $ 20,056,709 $ 4,538,633
Moderate Allocation - - 67,836,253 9,152,572
Aggressive Allocation - - 23,161,442 3,385,056
Bond 36,848,619 28,738,708 5,665,542 9,769,025
High Income - - 54,917,633 43,800,950
Diversified Income 24,754,081 28,702,858 72,365,457 82,530,460
Large Cap Value - - 97,834,611 91,201,924
Large Cap Growth - - 134,563,988 120,655,981
Mid Cap Value - - 64,221,750 54,740,500
Mid Cap Growth - - 83,082,627 71,247,874
Small Cap Value(1) - - 22,449,648 2,004,373
Small Cap Growth(1) - - 37,920,104 14,388,658
International Stock - - 85,914,832 81,803,966
- -------------------------------------------------------
(1)Commenced investment operations on December 27, 2006.
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, however, the Cash Reserves is
limited to U.S. dollar-denominated foreign money market securities. Foreign
securities refer to securities that are: (1) issued by companies organized
outside the U.S. or whose principal operations are outside the U.S., (2) issued
by foreign governments or their agencies or instrumentalities, (3) principally
traded outside the U.S., or (4) quoted or denominated in a foreign currency.
Foreign securities include American Depositary Receipts ("ADRs"), European
Depositary Receipts ("EDRs"), Global Depositary Receipts ("GDRs"), Swedish
Depositary Receipts ("SDRs") and foreign money market securities.
Dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic
Master Index are not considered a foreign security.
Certain of the funds have reclaim receivable balances, in which the funds are
due a reclaim on the taxes that have been paid to some foreign jurisdictions.
The values of all reclaims are not significant for any of the funds and are
reflected in Other Assets on the Statement of Assets and Liabilities. On a
periodic basis, these receivables are reviewed to ensure the current receivable
balance is reflective of the amount deemed to be collectible.
7. SECURITIES LENDING
The Core Funds, except 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, 2007, cash collateral received for
Funds engaged in securities lending was invested in the State Street
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
Navigator Securities Lending Prime Portfolio. Additionally, the Bond,
Diversified Income, Large Cap Value, Large Cap Growth, Mid Cap Value and Mid Cap
Growth Funds received non-cash collateral, which they are not permitted to sell
or repledge, in the amounts of $3,378,768, $4,040,125, $1,420,063, $1,524,925,
$854,691, and $807,930, respectively. The value of all cash collateral is
included within the Portfolio of Investments with an offsetting liability,
payable upon return of securities loaned, reflected on the Statement of Assets
and Liabilities.
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statement of Operations. The value of securities on
loan at October 31, 2007 is as follows:
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Bond $28,931,565
High Income 14,373,832
Diversified Income 27,284,247
Large Cap Value 17,357,150
Large Cap Growth 14,493,669
Mid Cap Value 21,702,456
Mid Cap Growth 18,120,194
International Stock 14,882,117
The primary risk associated with securities lending is if the borrower defaults
on its obligation to return the securities loaned because of insolvency or other
reasons, the funds could experience delays and costs in recovering securities
loaned or in gaining access to the collateral.
8. TAX INFORMATION
The tax character of distributions paid during the years ended October 31, 2007
and 2006 was as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAIN RETURN OF CAPITAL
--------------- ---------------------- -----------------
FUND 2007 2006 2007 2006 2007 2006
- ---- ---- ---- ---- ---- ---- ----
Conservative Allocation $ 63,707 $ - $ - $ - $ - $ -
Moderate Allocation 226,773 - - - - -
Aggressive Allocation 48,470 - 27,182 - - -
Cash Reserves 834,210 645,366 - - - -
Bond 3,718,123 4,145,557 - - 771,839 -
High Income 4,370,555 3,654,568 - - - -
Diversified Income 5,408,753 3,183,945 3,024,761 - - -
Large Cap Value 2,305,265 1,814,875 - - - -
Large Cap Growth - 422,539 - - - -
Mid Cap Value 1,301,006 571,830 11,398,471 3,919,466 - -
Mid Cap Growth - - - - - -
Small Cap Value - - - - - -
Small Cap Growth 783 - - - - -
International Stock 2,974,032 666,394 8,721,408 37,757 - -
As of October 31, 2007, the components of distributable earnings on a tax basis
were as follows:
FUND ORDINARY INCOME LONG-TERM CAPITAL GAIN
- ---- --------------- ----------------------
Conservative Allocation $ 297,219 $ 55,746
Moderate Allocation 552,296 373,482
Aggressive Allocation - 212,760
Cash Reserves 1,165 -
Bond - -
High Income 195,971 -
Diversified Income - 10,929,080
Large Cap Value 1,632,391 1,207,706
Large Cap Growth - -
Mid Cap Value 1,995,691 6,033,431
Mid Cap Growth - 577,648
Small Cap Value 525,736 -
Small Cap Growth 310,334 -
International Stock 2,296,319 14,019,896
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114
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
For federal income tax purposes, the funds listed below have capital loss
carryovers as of October 31, 2007, which are available to offset future capital
gains, if any:
FUND 2008 2009 2010 2011 2012 2013 2014 2015
- ---- ---- ---- ---- ---- ---- ---- ---- ----
Bond $194,273 $ - $ 230,858 $ - $310,672 $65,261 $362,802 $57,909
High Income - 1,720,815 2,445,850 614,259 - - - 72,549
Large Cap Growth - - - 1,255,080 - - - -
The Cash Reserves, Large Cap Value, Large Cap Growth and Mid Cap Growth Funds,
utilized $12, $14,805,731, $9,700,279 and $6,900,253, respectively, of prior
capital loss carryovers during the year ended October 31, 2007.
At October 31, 2007, 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
- ---- ------------ ------------ ---
Conservative Allocation $ 514,662 $ (47,708) $ 466,954
Moderate Allocation 4,378,464 (192,464) 4,186,000
Aggressive Allocation 2,210,027 - 2,210,027
Bond 1,247,027 (1,417,131) (170,104)
High Income 819,346 (1,200,996) (381,650)
Diversified Income 9,013,499 (2,718,764) 6,294,735
Large Cap Value 43,192,310 (3,731,300) 39,461,010
Large Cap Growth 23,440,597 (2,490,405) 20,950,192
Mid Cap Value 10,195,033 (3,566,821) 6,628,212
Mid Cap Growth 10,880,815 (3,062,591) 7,818,224
Small Cap Value 1,395,736 (1,603,470) (207,734)
Small Cap Growth 2,820,450 (1,216,781) 1,603,669
International Stock 25,882,170 (1,722,163) 24,160,007
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
9. 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, Mid 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.
The Allocation Funds are fund of funds, meaning that they invest primarily in
the shares of other registered investment companies (the "underlying funds"),
including ETFs. Thus, each fund's investment performance and its ability to
achieve its investment goal are directly related to the performance of the
underlying funds in which it invests; and the underlying
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
fund's performance, in turn, depends on the particular securities in which that
underlying fund invests and the expenses of that fund. Accordingly, the
Allocation Funds are subject to the risks of the underlying funds in direct
proportion to the allocation of its assets among the underlying funds.
Additionally, the Allocation Funds are subject to asset allocation risk, which
is the risk that the selection of the underlying funds and the allocation of the
fund's assets among the various asset classes and market segments will cause the
fund to under perform other funds with a similar investment objective.
10. 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 three classes of shares,
Class A, B, and Y. At October 31, 2007, investments in the Funds by affiliates
were as follows:
CUNA CUNA
MUTUAL LIFE MUTUAL CUMIS CUNA
INSURANCE INSURANCE INSURANCE BROKERAGE
FUND CLASS COMPANY SOCIETY SOCIETY, INC. SERVICES, INC.
- ---- ----- ----------- --------- ------------- --------------
Conservative Allocation A $1,126,015 $ - $ - $ -
Moderate Allocation A 1,195,526 - - -
Aggressive Allocation A 1,269,657 - - -
Cash Reserves A 2,086,920 2,078,988 - -
Bond A 1,352,036 2,355,432 - -
High Income A 8,009,272 - - -
Diversified Income A - - - 1,637,641
Small Cap Value A - - 5,076,400 -
Small Cap Value B - - 102,900 -
Small Cap Growth A - - 5,483,979 -
Small Cap Growth B - - 111,106 -
International Stock A 769,014 5,856,136 - -
The Allocation Funds invest in underlying funds, of which certain underlying
funds (the "affiliated underlying funds"), may be deemed to be under common
control because of the same Board of Trustees. A summary of the transactions
with each affiliated underlying fund during the year ended October 31, 2007
follows:
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2006 ADDITIONS SALES 10/31/2007 10/31/2007 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
CONSERVATIVE ALLOCATION FUND
MEMBERS Bond Fund
Class Y 109,293 293,846 170,130 233,009 $2,276,501 $(8,205) $ 78,144
MEMBERS Cash Reserves Fund
Class Y 423,177 1,212,726 1,635,903 - - - 25,906
MEMBERS High Income Fund
Class Y 22,968 111,386 8,812 125,542 916,459 (502) 41,869
MEMBERS International Stock Fund
Class Y 11,545 54,496 5,730 60,311 1,030,114 (531) 27,327
MEMBERS Large Cap Growth Fund
Class Y(1) 27,263 116,564 11,601 132,226 2,307,336 12,002 -
MEMBERS Large Cap Value Fund
Class Y 20,266 86,973 9,253 97,986 1,658,898 4,671 8,120
MEMBERS Mid Cap Growth Fund
Class Y(1) 20,789 84,434 9,954 95,269 712,608 3,182 -
- ------------------------------------------------------------------------------------------------------------------------------
TOTALS $8,901,916 $10,617 $181,366
- ----------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2006 ADDITIONS SALES 10/31/2007 10/31/2007 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
MODERATE ALLOCATION FUND
MEMBERS Bond Fund
Class Y 121,238 669,645 33,150 757,733 $ 7,403,054 $ (2,115) $ 203,262
MEMBERS Cash Reserves Fund
Class Y 587,248 1,983,787 2,571,035 - - - 42,946
MEMBERS High Income Fund
Class Y 109,168 590,827 23,877 676,118 4,935,665 (1,539) 224,730
MEMBERS International Stock Fund
Class Y 96,584 506,468 32,782 570,270 9,740,207 (20,851) 266,069
MEMBERS Large Cap Growth Fund
Class Y(1) 128,062 467,483 92,607 502,938 8,776,273 20,050 -
MEMBERS Large Cap Value Fund
Class Y 87,713 423,472 26,148 485,037 8,211,676 3,134 40,295
MEMBERS Mid Cap Growth Fund
Class Y(1) 240,080 728,749 198,291 770,538 5,763,621 4,618 -
MEMBERS Mid Cap Value Fund
Class Y 62,670 232,768 59,275 236,163 3,287,394 (96,208) 233,701
MEMBERS Small Cap Growth Fund
Class Y(1) - 326,338 12,431 313,907 3,518,894 (1,898) -
MEMBERS Small Cap Value Fund
Class Y(1) - 248,091 9,205 238,886 2,477,250 (2,738) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $54,114,034 $(97,547) $1,011,003
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2006 ADDITIONS SALES 10/31/2007 10/31/2007 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
AGGRESSIVE ALLOCATION FUND
MEMBERS International Stock Fund
Class Y 58,513 343,849 29,160 373,202 $ 6,374,296 $ (787) $146,000
MEMBERS Large Cap Growth Fund
Class Y(1) 52,342 206,717 46,284 212,775 3,712,921 28,077 -
MEMBERS Large Cap Value Fund
Class Y 35,011 188,309 13,734 209,586 3,548,288 3,438 14,488
MEMBERS Mid Cap Growth Fund
Class Y(1) 111,744 348,625 100,472 359,897 2,692,030 18,314 -
MEMBERS Mid Cap Value Fund
Class Y 38,321 146,732 35,520 149,533 2,081,493 (49,319) 125,870
MEMBERS Small Cap Growth Fund
Class Y(1) - 175,680 9,358 166,322 1,864,471 (3,988) -
MEMBERS Small Cap Value Fund
Class Y(1) - 174,330 5,497 168,833 1,750,793 (1,862) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $22,024,292 $(6,127) $286,358
- ---------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
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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 comprising Cash Reserves
Fund, Bond Fund, Diversified Income Fund (formerly Balanced Fund), High Income
Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap
Growth Fund, International Stock Fund, Conservative Allocation Fund, Moderate
Allocation Fund, Aggressive Allocation Fund, Small Cap Value Fund, and Small Cap
Growth Fund (collectively, the "Funds") as of October 31, 2007 and the related
statements of operations for the respective period then ended. We have audited
the statements of changes in net assets for each of the two years in the period
ended October 31, 2007 and the financial highlights for each of the four years
in the period ended October 31, 2007 for the Cash Reserves Fund, Bond Fund,
Diversified Income Fund, High Income Fund, Large Cap Value Fund, Large Cap
Growth Fund, Mid Cap Value Fund, Mid Cap Growth and International Stock Fund. We
have audited the statements of changes in net assets and financial highlights
for the periods ended October 31, 2006 and 2007 for the Conservative Allocation
Fund, Moderate Allocation Fund, and Aggressive Allocation Fund. We have audited
the statement of changes in net assets and financial highlights for the period
ended October 31, 2007 for the Small Cap Value Fund and Small Cap Growth Fund.
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 highlights for the period ended October 31, 2003 were audited by other
auditors whose report, dated December 11, 2003, expressed an unqualified opinion
on those financial 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 audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. The Funds are not required to
have, nor were we engaged to perform, an audit of their internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Funds' internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of October 31, 2007, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, such financial statements and financial highlights referred to
above present fairly, in all material respects, the respective financial
positions of Cash Reserves Fund, Bond Fund, Diversified Income Fund, High Income
Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap
Growth Fund, International Stock Fund, Conservative Allocation Fund, Moderate
Allocation Fund, Aggressive Allocation Fund, Small Cap Value Fund, and Small Cap
Growth Fund as of October 31, 2007, and the results of their operations, changes
in their net assets and financial highlights for the indicated periods, in
conformity with accounting principles generally accepted in the United States of
America.
/s/ DELOITTE & TOUCHE LLP
Chicago, Illinois
December 20, 2007
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OTHER INFORMATION (UNAUDITED)
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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 and redemption fees;
(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, 2007. 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 184/365 (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
----------------------------------------------- -----------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Conservative Allocation $1,000 $1,026.80 .70% $3.58 $1,023.10 1.45% $ 7.39
Moderate Allocation 1,000 1,048.80 .70% 3.61 1,044.40 1.45% 7.47
Aggressive Allocation 1,000 1,073.70 .70% 3.66 1,070.40 1.45% 7.57
Cash Reserves 1,000 1,023.50 .55% 2.81 1,019.60 1.30% 6.62
Bond 1,000 1,020.10 .90% 4.58 1,016.30 1.65% 8.39
High Income 1,000 998.00 1.00% 5.04 994.30 1.75% 8.80
Diversified Income 1,000 1,017.10 1.10% 5.59 1,013.30 1.85% 9.39
Large Cap Value 1,000 1,019.90 1.20% 6.11 1,015.30 1.95% 9.91
Large Cap Growth 1,000 1,112.60 1.20% 6.39 1,108.20 1.95% 10.36
Mid Cap Value 1,000 992.10 1.40% 7.03 988.10 2.15% 10.77
Mid Cap Growth 1,000 1,064.30 1.40% 7.28 1,060.20 2.15% 11.16
Small Cap Value(1) 1,000 973.70 1.50% 7.46 969.80 2.25% 11.17
Small Cap Growth(1) 1,000 1,063.70 1.50% 7.80 1,059.10 2.25% 11.68
International Stock 1,000 1,080.50 1.60% 8.39 1,076.30 2.35% 12.30
CLASS Y(1)
-----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Bond $1,000 $1,021.40 .65% $3.31
High Income 1,000 999.30 .75% 3.78
Large Cap Value 1,000 1,021.10 .90% 4.59
Large Cap Growth 1,000 1,113.60 .95% 5.06
Mid Cap Value 1,000 992.90 1.15% 5.78
Mid Cap Growth 1,000 1,067.00 1.15% 5.99
Small Cap Value(2) 1,000 973.70 1.25% 6.22
Small Cap Growth(2) 1,000 1,064.60 1.25% 6.50
International Stock 1,000 1,082.40 1.35% 7.09
- ---------------------------------
(1)Commenced investment operations on December 27, 2006.
(2)Commenced investment operations on January 9, 2007.
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OTHER INFORMATION (UNAUDITED)
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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.
CLASS A CLASS B
----------------------------------------------- -----------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Conservative Allocation $1,000 $1,021.68 .70% $3.57 $1,017.90 1.45% $ 7.38
Moderate Allocation 1,000 1,021.68 .70% 3.57 1,017.90 1.45% 7.38
Aggressive Allocation 1,000 1,021.68 .70% 3.57 1,017.90 1.45% 7.38
Cash Reserves 1,000 1,022.43 .55% 2.80 1,018.65 1.30% 6.61
Bond 1,000 1,020.67 .90% 4.58 1,016.89 1.65% 8.39
High Income 1,000 1,020.16 1.00% 5.09 1,016.38 1.75% 8.89
Diversified Income 1,000 1,019.66 1.10% 5.60 1,015.88 1.85% 9.40
Large Cap Value 1,000 1,019.16 1.20% 6.11 1,015.38 1.95% 9.91
Large Cap Growth 1,000 1,019.16 1.20% 6.11 1,015.38 1.95% 9.91
Mid Cap Value 1,000 1,018.15 1.40% 7.12 1,014.37 2.15% 10.92
Mid Cap Growth 1,000 1,018.15 1.40% 7.12 1,014.37 2.15% 10.92
Small Cap Value(1) 1,000 1,017.64 1.50% 7.63 1,013.86 2.25% 11.42
Small Cap Growth(1) 1,000 1,017.64 1.50% 7.63 1,013.86 2.25% 11.42
International Stock 1,000 1,017.14 1.60% 8.13 1,013.36 2.35% 11.93
CLASS Y(1)
-----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Bond $1,000 $1,021.93 .65% $3.31
High Income 1,000 1,021.42 .75% 3.82
Large Cap Value 1,000 1,020.66 .90% 4.59
Large Cap Growth 1,000 1,020.42 .95% 4.84
Mid Cap Value 1,000 1,019.41 1.15% 5.85
Mid Cap Growth 1,000 1,019.41 1.15% 5.85
Small Cap Value(2) 1,000 1,018.90 1.25% 6.36
Small Cap Growth(2) 1,000 1,018.90 1.25% 6.36
International Stock 1,000 1,018.40 1.35% 6.87
- ---------------------------------
(1)Commenced investment operations on December 27, 2006.
(2)Commenced investment operations on January 9, 2007.
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) or redemption 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.
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OTHER INFORMATION (UNAUDITED)
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AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Funds file their 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 SEC'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 most recent twelve-month period ended June
30 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 expects to make 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, 2007, the total
amount of foreign taxes that is expected to be passed through to shareholders
and foreign source income for information reporting purposes will be $162,011
(all of which represents taxes withheld) and $2,943,252, respectively. Complete
information regarding the fund's foreign tax credit pass through to shareholders
for 2007 will be reported in conjunction with Form 1099-DIV.
CORPORATE DIVIDENDS RECEIVED DEDUCTION: Of the dividends paid by the
Conservative Allocation, Moderate Allocation, Aggressive Allocation, High
Income, Diversified Income, Large Cap Value, Mid Cap Value, Small Cap Growth and
International Stock Funds, 1.97%, 5.30%, 30.06%, 0.39%, 43.92%, 100.00%, 77.83%,
34.63%, and 0.96%, respectively, qualify for the corporate dividends received
deduction.
QUALIFIED DIVIDEND INCOME: For the fiscal year ended October 31, 2007, the
Conservative Allocation, Moderate Allocation, Aggressive Allocation, High
Income, Diversified Income, Large Cap Value, Mid Cap Value, Small Cap Growth,
and the International Stock Funds paid dividend income totaling $63,707,
$226,773, $75,652, $4,370,555, $5,481,235, $2,305,265, $1,301,006, $783, and
$2,974,032, 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 the calendar year 2007, including the
portion, if any, which qualify as QDI, will be reported in conjunction with Form
1099-DIV.
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121
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OTHER INFORMATION (UNAUDITED)
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BOARD OF TRUSTEES' APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS
Under the Investment Company Act, each mutual fund's investment advisory
agreement, and any subadvisory agreement, must be approved at least annually by
the fund's board of trustees, including a majority of the trustees who are not
"interested persons" under the Act.
The board of trustees of the MEMBERS Mutual Funds (the "Funds") reviews the
performance of the Funds and their investment adviser and subadvisers at each
regular board meeting, including appropriate comparative information. At these
meetings, the board also receives updates concerning the investment strategies
being pursued by the Funds, changes in the Funds' investment processes and
portfolio management personnel, the expenses incurred by the Funds, and various
other matters which may impact the Funds' performance and that of their
investment adviser and subadvisers.
In addition, the board of trustees considers the formal approval of the Funds'
investment advisory and subadvisory agreements at an in-person meeting held near
the end of each year. The most recent such meeting was held November 29, 2007.
The agreements which the trustees considered at this meeting pertained to 14
Funds. Three of these Funds are so-called "funds-of-funds" which invest in other
mutual funds, including other MEMBERS Funds and unaffiliated funds. These three
Funds (the "Funds-of-Funds") commenced investment operations on June 30, 2006.
In addition, two other Funds (the "Small Cap Funds") commenced investment
operations on December 27, 2006.
Before the November 29 meeting, the board of trustees asked the Funds'
investment adviser and subadvisers to provide written information addressing
factors to be considered by the trustees in deciding whether or not to approve
the agreements. In addition, counsel to the independent trustees provided the
trustees with a memorandum reviewing their duties under the Investment Company
Act and state law with respect to approval of the agreements. Before the
November 29 meeting, the trustees and counsel also asked the adviser and
subadvisers to expand upon certain of the written information they had provided,
and they held a conference call with representatives of the adviser to discuss
the information provided.
At the November 29 meeting, representatives of the investment adviser reviewed
the written information it had provided and responded to further questions from
trustees concerning this information and related matters. In addition, at this
meeting representatives of each subadviser made presentations and responded to
follow-up questions from trustees. After these presentations and discussions,
the board of trustees unanimously approved the investment advisory agreement and
each subadvisory agreement. In determining to approve these agreements, the
board of trustees considered the following factors and reached the following
conclusions:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY THE INVESTMENT ADVISER AND
SUBADVISERS: The trustees received and considered a variety of information
pertaining to the nature, extent and quality of the services provided by the
investment adviser and subadvisers. This information included the professional
qualifications and experience of the portfolio management teams for each Fund;
the portfolio management processes utilized by these teams; the organization,
resources and research capabilities of the investment management companies of
which these teams are a part; and the investment adviser's and subadvisers'
compliance, regulatory and litigation experience, their portfolio transaction
execution policies and practices, and their policies and procedures for
allocating transactions among accounts. In addition, the trustees considered
information concerning the investment adviser's processes for monitoring and
reviewing the subadvisers' performance and practices. After reviewing this
information and discussing it with representatives of the investment adviser and
subadvisers, the board of trustees concluded that it was generally satisfied
with the nature, extent and quality of the services provided by the investment
adviser and subadvisers, and that these services compare satisfactorily to those
provided by others in the industry.
INVESTMENT PERFORMANCE OF THE FUNDS AND THEIR INVESTMENT ADVISER AND
SUBADVISERS: As noted above, the Funds' board of trustees reviews the
performance of the Funds and their investment adviser and subadvisers at each
regular board meeting held throughout the year. In addition, at the board's
November 29 meeting, the trustees reviewed the performance of the Funds compared
to (i) the performance of their respective unmanaged benchmark indices, which
also are used for comparative purposes in the Funds' annual and semi-annual
reports to shareholders, and (ii) the performance of funds which Morningstar
places in the same "style boxes" as are indicated by the respective Funds' names
and which are of similar sizes to the Funds ("peer funds"). Morningstar, Inc.,
an investment research and reporting company, compiles and analyzes stock,
mutual fund and variable annuity data, including performance ratings and
rankings. The trustees also considered written discussions which the investment
adviser and, in the case of the subadvised Funds, the subadviser provided to
them regarding the major elements of each Fund's investment strategy which
contributed
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OTHER INFORMATION (UNAUDITED)
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positively or negatively to the Fund's performance during the preceding year, as
well as the steps which have been or will be taken in order to improve
performance where appropriate.
Among other things, the trustees noted that out of the 12 Funds which had been
in existence for a full year (i.e., the Funds except the Small Cap Funds), two
Funds outperformed or equaled their respective Morningstar peer group medians
for the 12 months ended October 31, 2007, and an additional four Funds ranked in
the middle third of their respective Morningstar peer groups. In addition, the
trustees noted that of the remaining six Funds, (i) all but one showed improved
Morningstar performance for the three months ended October 31, 2007; (ii) two
outperformed their benchmark indices on a gross-of-fees basis for the 12 months
ended October 31, 2007; (iii) the investment mandate of one was changed during
2007 (Diversified Income Fund, formerly Balanced Fund); and (iv) the
underperformance of another was attributable entirely to a single security (Bond
Fund). With respect to the two Small Cap Funds, the trustees noted that for
calendar 2007 through October 31, one Fund outperformed its Morningstar peer
group median; the other ranked in the middle third of its Morningstar peer
group; and both outperformed their benchmark indices on a gross-of-fees basis.
Based on the foregoing reviews, the trustees concluded that they were
comfortable with the Funds' performance or with the steps which the investment
adviser or subadviser is taking to improve their performance. The trustees also
determined that they will closely monitor the progress of the lower performing
Funds during the coming year.
COST OF SERVICES PROVIDED AND PROFITABILITY: At the November 29 meeting, the
trustees reviewed written information prepared by the Funds' investment adviser
setting forth, on a fund-by-fund basis, the adviser's pre-tax profitability
under its investment advisory agreements with the Funds for the year ended
September 30, 2007. The trustees also reviewed the methodology which the adviser
used to allocate expenses for purposes of preparing these profitability figures.
In the course of their review, the trustees noted that several of the Funds were
operated at a loss to the adviser. With respect to the other Funds, the trustees
noted that the pre-tax margins reported by the adviser appeared reasonable and
were substantially lower than the margins which have been upheld in reported
judicial decisions concerning investment advisory fees.
The trustees also considered how each Fund's management fees and total expenses
compare to those of the other funds in its Morningstar peer group. They noted
that 13 of the Funds' management fees after waivers ranked in the first quintile
of their Morningstar peer groups (with the first quintile including the 20% of
funds with the lowest management fees), and that the remaining Fund ranked in
the second quintile. They also noted that two of the Funds' management fees
before waivers ranked in the top quintile, 11 ranked in the middle three
quintiles, and one ranked in the bottom quintile; and that one of the Funds'
total expenses ranked in the top quintile, 12 ranked in the middle three
quintiles, and one ranked in the bottom quintile. In addition, the trustees
considered explanations provided by the investment adviser concerning the Funds'
comparative total expenses, including the negative impact of the Funds'
relatively small average account sizes.
The trustees also considered information provided by the investment adviser and
subadvisers concerning the management fees they charge to other comparable
mutual funds and to other accounts with similar investment objectives and
policies. The trustees concluded that the fees charged to the Funds are
generally comparable to those charged by the adviser or subadviser, as
applicable, to other comparable funds. They also concluded that where the fees
charged to other, non-fund accounts with similar investment objectives and
policies are lower than those charged to the Funds, the non-fund accounts
generally require less work on the part of the adviser or subadviser due to less
active cash flows, the absence of Investment Company Act regulatory
requirements, and other factors.
The trustees noted that to the extent the Funds-of-Funds invest in other MEMBERS
Funds ("Underlying Funds"), the investment adviser receives advisory fees both
from the Underlying Funds and from the Funds-of-Funds which invest in them. The
trustees were satisfied in this regard that the investment adviser provides
services to the Funds-of-Funds which are separate from, and in addition to, the
services which it provides to the Underlying Funds, thus justifying the second
layer of advisory fees which is paid in such instances. The trustees also
considered the investment adviser's explanation of how it allocates the
Funds-of-Funds' investments as between other MEMBERS Funds and unaffiliated
funds.
In addition, the trustees noted that the investment adviser has contractually
agreed to "cap" each Fund's total expenses at a specified level at least through
February 28, 2009. The trustees also noted that during the year ended September
30, 2007, the investment adviser absorbed substantial expenses with respect to
all but one Fund pursuant to the expense "caps" which were then in effect.
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OTHER INFORMATION (UNAUDITED)
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Based on all this information, the trustees concluded that the management fees
and total expenses borne by the Funds are reasonable in relation to the services
provided, and that the investment adviser's level of profitability from its
advisory agreements with the Funds is well within reason.
ECONOMIES OF SCALE: The investment adviser provided the trustees with
information concerning how large a Fund must be before the adviser could cease
subsidizing the Fund, and how much larger than that a Fund must grow before
economies of scale may begin. At September 30, 2007, the Funds ranged in size
from approximately $15 million to $206 million. The trustees observed that only
one of the Funds has reached the size at which the adviser said subsidies could
cease.
The trustees also considered that during the previous year's contract review
process, the investment adviser agreed to add "breakpoints" to the management
fee schedules for the Funds other than the Funds-of-Funds. Under these
breakpoints, a Fund's management fee will be reduced by five basis points on
assets exceeding $500 million, and by another five basis points on assets
exceeding $1 billion. The trustees believe that these "breakpoints" provide a
reasonable sharing, as between the adviser and Fund shareholders, of the
economies of scale which would exist at higher asset levels.
OTHER BENEFITS TO THE INVESTMENT ADVISER AND SUBADVISERS FROM THEIR
RELATIONSHIPS WITH THE FUNDS: The trustees also considered the nature and extent
of other benefits which may flow to the investment adviser and subadvisers from
their relationships with the Funds. The trustees noted that an affiliate of the
investment adviser acts as principal underwriter for the Funds and, in this
capacity, receives front-end sales charges, 12b-1 fees and service fees in
connection with the distribution of Fund shares and the provision of services to
Fund shareholders. As required by the Investment Company Act, the trustees
review and approve the Funds' 12b-1 plans and agreements on an annual basis. In
addition, at each regular board of trustees meeting, the trustees review the
payments which the Funds made under these plans and agreements since the last
such meeting, and the uses to which these payments were put. At its November 29
meeting, the board of trustees approved these plans and agreements for another
year, concluding that there is a reasonable likelihood they will benefit the
Funds and their shareholders.
As discussed above, the trustees noted that to the extent the Funds-of-Funds
invest in Underlying Funds, the fees which the investment adviser receives from
the Underlying Funds are increased. However, the trustees were satisfied that
the investment adviser provides separate services for the two layers of fees
which are paid in such instances. In addition, the trustees noted that the fee
"caps" which are in effect for the Funds-of-Funds and the Underlying Funds
reduce the impact of these two layers of fees.
The trustees also noted that the investment adviser and some subadvisers execute
a portion of the Funds' portfolio transactions on a "soft dollar" basis,
pursuant to which the adviser and subadvisers receive research services from or
through the executing brokers. In connection with each regular board of trustees
meeting, the trustees review a third-party evaluation of the quality of
execution of the portfolio transactions executed by the investment adviser on
behalf of the Funds. The trustees noted that these evaluations generally have
indicated that the quality of the Funds' executions compares favorably with that
of other mutual funds. The trustees also noted that the reported execution and
soft dollar benefits received by the subadvisers were reasonable in light of the
transactions each subadviser executes on behalf of the Funds. Finally, the
trustees noted the investment adviser's and the subadvisers' representations
that they seek to achieve "best execution" in executing all of the Funds'
portfolio transactions, and that their soft dollar practices comply with
applicable law. Based on these reviews, the trustees were satisfied with the
quality of execution of the Funds' portfolio transactions, and they did not
believe the soft dollar benefits received by the investment adviser and
subadvisers were excessive.
Based on the foregoing information, the trustees concluded that while additional
benefits flow to the investment adviser and subadvisers from their relationships
with the Funds, the nature and extent of these additional benefits are not
unreasonable when considered in the context of the overall services provided to,
and fees received from, the Funds by these entities.
BOARD OF TRUSTEES CONCLUSION: After taking the foregoing information and the
other information provided by the investment adviser and subadvisers into
account, the board of trustees, acting in the exercise of its business judgment,
unanimously approved the investment advisory agreement and the subadvisory
agreements referred to above. In doing so, the board did not assign specific
weights to the various factors considered, nor did it deem any one factor or set
of factors to be decisive. Instead, it considered the total mix of information
provided to it in reaching its decisions.
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MEMBERS MUTUAL FUND'S TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
Each trustee and officer oversees 32 portfolios in the fund complex, which
consists of the MEMBERS Mutual Funds with 14 portfolios and the Ultra Series
Fund with 18 portfolios. The address of each trustee and officer is 5910 Mineral
Point Road, Madison WI 53705. The Statement of Additional Information, which
includes additional information about the trustees and officers, is available at
no cost on the Funds' website at www.membersfunds.com or by calling
1-800-877-6089.
NAME;
POSITION(S) HELD WITH THE FUND & PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS;
YEAR ELECTED(1); YEAR OF BIRTH OTHER OUTSIDE DIRECTORSHIPS
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND OFFICERS
- -----------------------------------------------------------------------------------------------------------------------------------
David P. Marks, CFA CUNA Mutual Insurance Society: Chief Investment Officer (since 2005); MEMBERS
Trustee, President & Capital Advisors, Inc.: President (since 2005); CUNA Mutual Life Insurance
Principal Executive Officer ["PEO"](2006) Company: Chief Investment Officer (since 2005); Citigroup Insurance Investors:
1947 Chief Investment Officer (2004-2005); CIGNA Investments: Chief Investment Officer,
(2002-2004); Green Mountain Partners: Partner (2001-2002); Allianz Investments:
Chief Investment Officer (1991-2001).
Other Directorships: CBRE Realty Finance
- -----------------------------------------------------------------------------------------------------------------------------------
Lawrence R. Halverson, CFA MEMBERS Capital Advisors, Inc.: Managing Director, Equities (since 2006),
Trustee (1997) Senior Vice President-Equities (1996-2006).
President & PEO (1997-2005) Other Directorships: None
1945
- -----------------------------------------------------------------------------------------------------------------------------------
Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Vice President-Finance and Operations (since
Treasurer (1998) 2006), Assistant Vice President-Finance and Operations (2001-2005).
1970 Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Director, Mutual Fund Operations, (since 2006),
Secretary and Assistant Treasurer (1999) Operations Officer-Mutual Funds (2005-2006), and Senior Manager Product and
1960 Fund Operations (2001-2005).
Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
Dan P. Owens MEMBERS Capital Advisors, Inc.: Director, Investment Operations, (since June
Assistant Treasurer (2000) 2006), Operations Officer-Investments (2005-2006), and Senior Manager Portfolio
1966 Operations (2001-2005).
Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
Molly Nelson MEMBERS Capital Advisors, Inc.: Vice President and Chief Compliance Officer
Chief Compliance Officer (2005) (since 2005); Harris Associates L.P.: Chief Compliance Officer/Advisor
1962 (1985-2005).
Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
- -----------------------------------------------------------------------------------------------------------------------------------
Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and President (1983-2002);
Chairman (2006) Lutheran Brotherhood (now Thrivent Financial) Chief Investment Officer
Trustee (2003) (1983-2002).
1938 Other Directorships: Regis Corp, Director (since 1982).
- -----------------------------------------------------------------------------------------------------------------------------------
Linda S. Foltz, CPA Dougherty Consulting, LLC: President/Owner (since 2005); Direct Supply, Inc.:
Trustee (Nov. 2006) Executive Vice President of Corporate Development and Chief Financial Officer
1950 (1988-2005).
Other Directorships: Direct Supply, Inc., Director (since 2003).
- -----------------------------------------------------------------------------------------------------------------------------------
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior
Trustee (2005) Vice President Marketing and First Vice President Human Resources (1986-2001).
1954 Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
Richard E. Struthers Clearwater Capital Management: Chairman and Chief Executive Officer
Trustee (2004) (since 1998); Park Nicollet Health Services: Director (since 2001) and
1952 Chairman, Finance and Investment Committee (since 2006);
IAI Mutual Funds, President and Director (1992-1997).
Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
(1)The board of trustees adopted term limits authorizing each independent
trustee to serve in such capacity until the first to occur: (1) serving one
twelve-year term, or (2) reaching the age of 72; provided however, that no
independent trustee serving on the Board on the date of adoption of such term
limits is required to resign pursuant to the adoption of such limits prior to
September 30, 2004.
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126
[LOGO OF MEMBERS
MUTUAL FUNDS]
MEMBERS(TM)
MUTUAL FUNDS
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 FINRA/SIPC
4460-P1053
Rev: 1207
ITEM 2. CODE OF ETHICS.
As of the period ended October 31, 2007, MEMBERS Mutual Funds (also referred to
herein as the "Registrant" or the "Trust") has adopted a code of ethics ("Code")
that applies to the Trust's principal executive officer, 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.membersfunds.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 Richard E, Struthers, who is an
"independent" trustee for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
----------
For the fiscal years ended October 31, 2007 and October 31, 2006, 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
$216,000 and $173,033, respectively.
(b) Audit Related Fees
------------------
For the fiscal years ended October 31, 2007 and October 31, 2006, 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 and $0, respectively.
(c) Tax Fees
--------
For the fiscal years ended October 31, 2007 and October 31, 2006, the
aggregate fees for professional services rendered by Deloitte and Touche
for tax compliance, tax advice and tax planning for such fiscal years,
totaled $37,675 and $21,664, respectively.
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 and the Return of Excise
Tax on Undistributed Income of Regulated Investment Companies, Form
8613.
(d) All Other Fees
--------------
For the fiscal years ended October 31, 2007 and October 31, 2006, 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 and
$0, respectively.
(e)(1) Pursuant to Rule 2-01(c)(7) of Regulation S-X, the Registrant's Audit
Committee has established pre-approval policies and procedures with
respect to audit, audit-related, tax, and other non-audit services. In
accordance with these policies, certain services have received the
Audit Committee's general pre-approval, while other services must be
specifically pre-approved.
(e)(2) The Audit Committee has pre-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 years ended October 31, 2007 and October
31, 2006, the aggregate non-audit fees billed by Deloitte & Touche for
services rendered to the Trust (other than as already disclosed above)
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 and $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 pre-approved 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
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule I - Investments in Securities of Unaffiliated Issuers as of October 31,
2007 is included as part of the report to shareholders filed under Item 1
hereto.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASES.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not Applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The President and Treasurer of the Trust have concluded that the
Trust's Disclosure Controls and Procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940) are effective
based on their evaluation of the Disclosure Controls and
Procedures as of a date within 90 days of the filing date of
this report.
(b) There have been no changes in the Trust's internal control over
financial reporting that occurred during the second fiscal
quarter of the period covered by this report that have materially
affected, or are reasonably likely to materially affect, the
Trust's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not Applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act
of 2002, are filed herewith.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002, are filed herewith.
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/David P. Marks
-----------------
David P. Marks
President
DATE: 12/19/07
--------
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/David P. Marks
-----------------
David P. Marks
President, MEMBERS Mutual Funds
DATE: 12/19/07
--------
BY: /s/Mary E. Hoffmann
-----------------
Mary E. Hoffmann
Treasurer, MEMBERS Mutual Funds
DATE: 12/19/07
--------
EXHIBIT INDEX
12(a)(1) Not Applicable.
12(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002, are filed herewith.
12(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002, are filed herewith.