As filed with the Securities and Exchange Commission on June 27, 2008
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, Esquire
CUNA Mutual Insurance Society
Managing Associate General Counsel
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
------------------------------------
Date of fiscal year end: October 31
Date of reporting period: April 30, 2008
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to shareholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 (the "1940 Act") appears beginning on the
following page.
2
[LOGO OF MEMBERS
MUTUAL FUNDS]
MEMBERS(TM)
MUTUAL FUNDS
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MEMBERS(R) MUTUAL FUNDS
SEMIANNUAL REPORT
APRIL 30, 2008
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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 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:
This is an unprecedented time in the financial markets. The global credit crisis
brought on by the proliferation of sub-prime loans is still developing with the
effects likely to be long-lasting and broad for world economies. Managing
portfolios of bonds and stocks in this environment is challenging to say the
least. Performance through April, 2008 for the MEMBERS(R) Mutual Funds was
generally in line with respective benchmarks.
The volatility in the markets along with a weak U.S. Dollar, high oil prices and
inflationary concerns continue to stress investors. The investment professionals
managing your assets are working diligently to identify prevailing risks and
prudently choose stocks and bonds that present sound investment opportunities
that will focus on delivering long-term value generation rather than short term
immediate impact. The reports that follow this letter provide insight on each
fund's performance and portfolio positioning.
You will notice a change in this and future reports. In an effort to keep you
better informed about your investments, the portfolio managers' commentaries are
now available on a quarterly basis via our website: www.membersfunds.com. We
encourage you to visit the website often for news and updates related to your
funds.
As always, your long-term success as a shareholder in MEMBERS Mutual Funds is
our top priority. We appreciate the confidence you have placed in us and we are
focusing on our role as stewards of your assets as our primary responsibility.
Please call me directly if you have any questions or concerns.
Sincerely,
/s/ David P. Marks
David P. Marks, CFA
President, MEMBERS Mutual Funds
Not part of the Semiannual Report.
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This page is left blank intentionally
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TABLE OF CONTENTS
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PAGE
----
FUND PERFORMANCE REVIEWS
Conservative Allocation Fund .................................... 2
Moderate Allocation Fund ........................................ 3
Aggressive Allocation Fund ...................................... 4
Bond Fund ....................................................... 5
High Income Fund ................................................ 6
Diversified Income Fund ......................................... 7
Large Cap Value Fund ............................................ 8
Large Cap Growth Fund ........................................... 9
Mid Cap Value Fund .............................................. 10
Mid Cap Growth Fund ............................................. 11
Small Cap Value Fund ............................................ 12
Small Cap Growth ................................................ 13
International Stock Fund ........................................ 14
PORTFOLIOS OF INVESTMENTS
Conservative Allocation Fund .................................... 15
Moderate Allocation Fund ........................................ 16
Aggressive Allocation Fund ...................................... 18
Cash Reserves Fund .............................................. 19
Bond Fund ....................................................... 20
High Income Fund ................................................ 25
Diversified Income Fund ......................................... 31
Large Cap Value Fund ............................................ 37
Large Cap Growth Fund ........................................... 40
Mid Cap Value Fund .............................................. 43
Mid Cap Growth Fund ............................................. 47
Small Cap Value Fund ............................................ 49
Small Cap Growth Fund ........................................... 51
International Stock Fund ........................................ 55
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ............................ 62
Statements of Operations ........................................ 66
Statements of Changes in Net Assets ............................. 70
Financial Highlights ............................................ 78
NOTES TO FINANCIAL STATEMENTS ............................................ 99
OTHER INFORMATION ........................................................ 108
TRUSTEES AND OFFICERS .................................................... 111
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. 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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CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MERRILL LYNCH U.S. CONSERVATIVE ALLOCATION
MAXIMUM SALES CHARGE)(2) DOMESTIC MASTER INDEX(4) FUND CUSTOM INDEX(5)
6/30/06 Inception 9,425 10,000 10,000
4/30/07 10,337 10,767 11,027
4/30/08 10,473 11,539 11,381
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
1 Year Since Inception(7) Since Inception(8) 1 Year Since Inception Gross Net
------------------------------------------------ ---------------------------- -------- -----
Class A Shares(2) 1.31% 5.91% -- (4.50)% 2.55%(7) 2.44% 1.35%
Class B Shares(3) 0.64 5.20 -- (3.80) 3.09(7) 3.18 2.10
Class C Shares(11) -- -- 1.91% -- 0.91(8) 3.18 2.10
Merrill Lynch U.S.
Domestic Master Index(4) 7.17 8.10 0.50 NA NA NA NA
Customized Benchmark
(Conservative)(5) 3.21 7.29 1.23 NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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 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 June 30, 2006. The
since inception index returns (without sales charges) are also from June
30, 2006.
(8) Class C shares commenced investment operations on February 29, 2008. The
since inception index returns (without sales charges) are also from
February 29, 2008.
(9) Assumes maximum applicable sales charge.
(10)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 limit fund expenses.
(11)Maximum contingent deferred sales charge (CDSC) is 1% for class C shares,
which is eliminated after one year.
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2
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MODERATE ALLOCATION FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MODERATE ALLOCATION
MAXIMUM SALES CHARGE)(2) RUSSELL 1000(R) INDEX(4) FUND CUSTOM INDEX(5)
6/30/06 Inception 9,425 10,000 10,000
4/30/07 10,744 11,830 11,452
4/30/08 10,674 11,283 11,445
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
1 Year Since Inception(7) Since Inception(8) 1 Year Since Inception Gross Net
------------------------------------------------ ---------------------------- -------- -----
Class A Shares(2) (0.66)% 7.01% -- (6.39)% 3.61%(7) 1.77% 1.58%
Class B Shares(3) (1.41) 6.24 -- (5.78) 4.16(7) 2.52 2.33
Class C Shares(11) -- -- 3.02% -- 2.02(8) 2.52 2.33
Russell 1000(R) Index(4) (4.62) 6.79 1.56 NA NA NA NA
Customized Benchmark
(Moderate)(5) (0.06) 7.62 2.57 NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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) Class A and B shares commenced investment operations on June 30, 2006. The
since inception index returns (without sales charges) are also from June
30, 2006.
(8) Class C shares commenced investment operations on February 29, 2008. The
since inception index returns (without sales charges) are also from
February 29, 2008.
(9) Assumes maximum applicable sales charge.
(10)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 limit fund expenses.
(11)Maximum contingent deferred sales charge (CDSC) is 1% for class C shares,
which is eliminated after one year.
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3
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AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES AGGRESSIVE ALLOCATION
MAXIMUM SALES CHARGE)(2) RUSSELL 3000(R) INDEX(4) FUND CUSTOM INDEX(5)
6/30/06 Inception 9,425 10,000 10,000
4/30/07 11,146 11,802 12,166
4/30/08 10,869 11,194 11,856
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
1 Year Since Inception(7) Since Inception(8) 1 Year Since Inception Gross Net
------------------------------------------------ ---------------------------- ------- -----
Class A Shares(2) (2.49)% 8.07% -- (8.08)% 4.64%(7) 2.69% 1.77%
Class B Shares(3) (3.23) 7.25 -- (7.53) 5.17(7) 3.45 2.52
Class C Shares(11) -- -- 4.11% -- 3.11(8) 3.45 2.52
Russell 3000(R) Index(4) (5.16) 6.33 1.57 NA NA NA NA
Customized Benchmark
(Aggressive)(5) (2.54) 9.71 4.24 NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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) Class A and B shares commenced investment operations on June 30, 2006. The
since inception index returns (without sales charges) are also from June
30, 2006.
(8) Class C shares commenced investment operations on February 29, 2008. The
since inception index returns (without sales charges) are also from
February 29, 2008.
(9) Assumes maximum applicable sales charge.
(10)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 limit fund expenses.
(11)Maximum contingent deferred sales charge (CDSC) is 1% for class C shares,
which is eliminated after one year.
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4
================================================================================
BOND FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES MERRILL LYNCH U.S.
(INCLUDES MAXIMUM SALES CHARGE)(2) DOMESTIC MASTER INDEX(4)
04/30/1998 $ 9,550 $10,000
04/30/1999 10,142 10,637
04/30/2000 10,261 10,769
04/30/2001 11,217 12,085
04/30/2002 11,965 13,026
04/30/2003 13,034 14,423
04/30/2004 13,064 14,690
04/30/2005 13,689 15,478
04/30/2006 13,725 15,582
04/30/2007 14,512 16,738
04/30/2008 15,252 17,938
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since
1 Year 3 Years 5 Years 10 Years Inception(7) 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------- ------------------------------------- ----- -----
Class A Shares(2) 5.11% 3.67% 3.19% 4.79% -- 0.40% 2.11% 2.24% 4.31% 1.09% 0.90%
Class B Shares(3) 4.33 2.90 2.42 4.00 -- (0.17) 1.80 2.07 4.00 1.84 1.65
Class Y Shares(5) 5.38 -- -- -- 6.13% -- -- -- -- 0.82 0.65
Merrill Lynch
U.S. Domestic
Master Index(4) 7.17 5.04 4.45 6.01 8.10 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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 June 30, 2006.
(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 limit fund expenses.
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5
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HIGH INCOME FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,7)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES MERRILL LYNCH U.S. MERRILL LYNCH U.S. HIGH
(INCLUDES MAXIMUM SALES CHARGE)(2) HIGH YIELD MASTER II CONSTRAINED INDEX(4) YIELD MASTER II INDEX(5)
04/30/1998 $ 9,550 $10,000 $10,000
04/30/1999 9,912 10,322 10,323
04/30/2000 9,829 10,025 10,038
04/30/2001 9,738 10,377 10,104
04/30/2002 9,798 10,745 10,457
04/30/2003 10,626 11,704 11,252
04/30/2004 11,806 13,430 12,910
04/30/2005 12,450 14,298 13,748
04/30/2006 13,496 15,562 14,998
04/30/2007 14,897 17,398 16,852
04/30/2008 14,770 16,788 16,713
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(7)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(9) EXPENSE RATIO(10)
Since
1 Year 3 Years 5 Years 10 Years Inception(8) 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------- ------------------------------------- ----- -----
Class A Shares(2) (0.88)% 5.85% 6.80% 4.45% -- (5.38)% 4.25% 5.81% 3.98% 1.21% 1.00%
Class B Shares(3) (1.60) 5.10 6.02 3.71 -- (5.79) 4.06 5.70 3.71 1.96 1.75
Class Y Shares(6) (0.68) -- -- -- 5.81% -- -- -- -- 0.94 0.75
Merrill Lynch
U.S. High
Yield Master II
Constrained
Index(4) (0.73) 6.49 8.08 5.31 6.49 NA NA NA NA NA NA
Merrill Lynch
U.S. High
Yield Master II
Index(5) (0.83) 6.72 8.23 5.27 6.61 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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) Effective February 2008, the benchmark for the fund changed from the
Merrill Lynch U.S. High Yield Master II Index to the Merrill Lynch U.S.
High Yield Master II Constrained Index to better reflect the fund's
portfolio. The Merrill Lynch U.S. High Yield Master II Constrained Index
tracks the performance of below investment grade U.S. dollar denominated
corporate bonds publicly issued in the U.S. domestic market, but limits
any individual issuer to a maximum weighting of 2%.
(5) 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.
(6) 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.
(7) 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.
(8) 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 June 30, 2006.
(9) Assumes maximum applicable sales charge.
(10) 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 limit fund expenses.
- --------------------------------------------------------------------------------
6
================================================================================
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES MERILL LYNCH U.S.
(INCLUDES MAXIMUM SALES CHARGE)(2) DOMESTIC MASTER INDEX(4) RUSSELL 1000(R) INDEX(5)
04/30/1998 $ 9,425 $10,000 $10,000
04/30/1999 10,759 10,637 12,031
04/30/2000 11,599 10,769 13,528
04/30/2001 11,532 12,085 11,680
04/30/2002 10,994 13,026 10,281
04/30/2003 10,293 14,423 8,897
04/30/2004 11,726 14,690 11,023
04/30/2005 12,474 15,478 11,817
04/30/2006 13,456 15,582 13,792
04/30/2007 14,693 16,738 15,882
04/30/2008 14,418 17,938 15,148
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(7) EXPENSE RATIO(8)
1 Year 3 Years 5 Years 10 Years 1 Year 3 Years 5 Years 10 Years Gross Net
------------------------------------- ------------------------------------- ----- -----
Class A Shares(2) (1.88)% 4.95% 6.97% 4.34% (7.53)% 2.90% 5.71% 3.73% 1.21% 1.10%
Class B Shares(3) (2.57) 4.17 6.18 3.57 (6.51) 3.12 5.86 3.57 1.96 1.85
Russell 1000(R)
Index(5) (4.62) 8.63 11.23 4.24 NA NA NA NA NA NA
Merrill Lynch
U.S. Domestic
Master Index(4) 7.17 5.04 4.45 6.01 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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) Assumes maximum applicable sales charge.
(8) 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 limit fund expenses.
- --------------------------------------------------------------------------------
7
================================================================================
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) RUSSELL 1000(R) VALUE INDEX(4)
04/30/1998 $ 9,425 $10,000
04/30/1999 11,135 11,409
04/30/2000 11,776 10,966
04/30/2001 10,721 11,671
04/30/2002 9,746 11,215
04/30/2003 8,009 9,756
04/30/2004 9,985 12,318
04/30/2005 10,904 14,033
04/30/2006 12,542 16,602
04/30/2007 14,688 19,615
04/30/2008 13,517 17,855
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since
1 Year 3 Years 5 Years 10 Years Inception(7) 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------- ------------------------------------- ----- -----
Class A Shares(2) (7.94)% 7.44% 11.04% 3.68% -- (13.23)% 5.34% 9.74% 3.06% 1.20% 1.20%
Class B Shares(3) (8.63) 6.65 10.24 2.91 -- (12.69) 5.61 9.97 2.91 1.95 1.95
Class Y Shares(5) (7.65) -- -- -- 5.67% -- -- -- -- 0.89 0.89
Russell 1000(R)
Value Index(4) (8.97) 8.36 12.85 5.97 5.08 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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 June 30, 2006.
(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 limit fund expenses.
- --------------------------------------------------------------------------------
8
================================================================================
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) RUSSELL 1000(R) GROWTH INDEX(4)
04/30/1998 $ 9,425 $10,000
04/30/1999 10,705 12,652
04/30/2000 12,432 16,141
04/30/2001 12,537 10,936
04/30/2002 10,277 8,737
04/30/2003 8,246 7,483
04/30/2004 10,059 9,103
04/30/2005 10,634 9,140
04/30/2006 11,618 10,527
04/30/2007 12,717 11,817
04/30/2008 12,907 11,789
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since
1 Year 3 Years 5 Years 10 Years Inception(7) 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------- ------------------------------------- ----- -----
Chass A Shares(2) 1.54% 6.68% 9.38% 3.20% -- (4.28)% 4.60% 8.10% 2.58% 1.43% 1.20%
Chass B Shares(3) 0.82 5.90 8.58 2.44 -- (3.68) 4.84 8.29 2.44 2.18 1.95
Chass Y Shares(5) 1.79 -- -- -- 8.59% -- -- -- -- 1.16 0.95
Russell 1000(R)
Growth Index(4) (0.23) 8.86 9.52 1.66 8.44 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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 June 30, 2006.
(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 limit fund expenses.
- --------------------------------------------------------------------------------
9
================================================================================
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) RUSSELL MIDCAP(R) VALUE INDEX(4)
2/28/2001 Inception $ 9,425 $10,000
4/30/2001 9,793 10,258
4/30/2002 10,601 11,121
4/30/2003 8,630 9,621
4/30/2004 11,281 12,981
4/30/2005 12,212 15,616
4/30/2006 15,139 19,481
4/30/2007 17,472 23,310
4/30/2008 15,719 20,486
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(9) EXPENSE RATIO(10)
Since Since
1 Year 3 Years 5 Years Inception(7) Inception(8) 1 Year 3 Years 5 Years 10 Years Gross Net
------------------------------------------------------ ------------------------------------- ----- -----
Class A Shares(2) (10.04)% 8.78% 12.74% 7.39% -- (15.18)% 6.66% 11.41% 6.51% 1.69% 1.40%
Class B Shares(3) (10.85) 7.93 11.80 6.54 -- (14.44) 7.07 11.54 6.54 2.44 2.15
Class Y Shares(5) (8.76) -- -- -- 4.47% -- -- -- -- 1.43 1.15
Russell Midcap(R)
Value Index(4) (11.65) 9.66 16.44 10.51 4.02 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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.
The annualized since inception index return is also from February 28, 2001.
(8) Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is also from June 30, 2006.
(9) Assumes maximum applicable sales charge.
(10) 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 limit fund expenses.
- --------------------------------------------------------------------------------
10
================================================================================
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) RUSSELL MIDCAP(R) GROWTH INDEX(4)
2/29/2000 Inception $9,425 $10,000
4/30/2000 8,087 9,357
4/30/2001 5,353 6,599
4/30/2002 3,949 5,609
4/30/2003 3,450 4,674
4/30/2004 4,486 6,363
4/30/2005 4,562 6,812
4/30/2006 5,825 8,738
4/30/2007 6,598 9,710
4/30/2008 6,161 9,522
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(9) EXPENSE RATIO(10)
Since Since Since
1 Year 3 Years 5 Years Inception(7) Inception(8) 1 Year 3 Years 5 Years Inception(7) Gross Net
---------------------------------------------------- -------------------------------------- ----- -----
Class A Shares(2) (6.62)% 10.54% 12.30% (5.07)% -- (12.03)% 8.34% 10.99% (5.76)% 1.50% 1.40%
Class B Shares(3) (7.43) 9.67 11.42 (5.78) -- (11.57) 8.69 11.15 (5.78) 2.25 2.15
Class Y Shares(5) (6.33) -- -- -- 6.59% -- -- -- -- 1.22 1.15
Russell Midcap(R)
Growth Index(4) (1.93) 11.81 15.29 (0.60) 7.92 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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.
The annualized since inception index return is also from February 29, 2000.
(8) Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return is also from June 30, 2006.
(9) Assumes maximum applicable sales charge.
(10) 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 limit fund expenses.
- --------------------------------------------------------------------------------
11
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) RUSSELL 2000(R) VALUE INDEX(4)
12/27/2006 Inception $ 9,425 $10,000
4/30/2007 10,028 10,246
4/30/2008 8,986 8,696
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(9) EXPENSE RATIO(10)
1 Year Since Inception(7) Since Inception(8) 1 Year Since Inception(7) Gross Net
-------------------------------------------------- ----------------------------- ----- -----
Class A Shares(2) (10.39)% (3.49)% -- (15.55)% (7.65)% 2.85% 1.50%
Class B Shares(3) (11.06) (4.22) -- (14.99) (7.04) 3.60 2.25
Class Y Shares(5) (10.25) -- (2.04)% -- -- 2.60 1.25
Russell 2000(R)
Value Index(4) (15.13) (9.87) (9.00) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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.
The annualized since inception index return is also from December 27, 2006.
(8) Class Y shares commenced investment operations on January 9, 2007. The
annualized since inception index return is also from January 9, 2007.
(9) Assumes maximum applicable sales charge.
(10) The expense ratio is based on estimated 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 limit fund expenses.
- --------------------------------------------------------------------------------
12
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) RUSSELL 2000(R) GROWTH INDEX(4)
12/27/2006 Inception $9,425 $10,000
4/30/2007 9,917 10,520
4/30/2008 9,070 9,815
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(9) EXPENSE RATIO(10)
1 Year Since Inception(7) Since Inception(8) 1 Year Since Inception(7) Gross Net
-------------------------------------------------- ----------------------------- ----- -----
Class A Shares(2) (8.54)% (2.82)% -- (13.78)% (7.00)% 2.85% 1.50%
Class B Shares(3) (9.23) (3.58) -- (13.27) (6.43) 3.60 2.25
Class Y Shares(5) (8.34) -- (1.46)% -- -- 2.60 1.25
Russell 2000(R)
Growth Index(4) (6.71) (1.38) (0.61) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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.
The annualized since inception index return is also from December 27, 2006.
(8) Class Y shares commenced investment operations on January 9, 2007. The
annualized since inception index return is also from January 9, 2007.
(9) Assumes maximum applicable sales charge.
(10) 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 limit fund expenses.
- --------------------------------------------------------------------------------
13
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES
(INCLUDES MAXIMUM SALES CHARGE)(2) MSCI EAFE INDEX(4)
04/30/1998 $ 9,425 $10,000
04/30/1999 9,408 10,981
04/30/2000 9,321 12,537
04/30/2001 8,176 10,524
04/30/2002 7,676 9,091
04/30/2003 6,701 7,644
04/30/2004 9,288 10,758
04/30/2005 10,966 12,417
04/30/2006 14,835 16,639
04/30/2007 16,906 20,020
04/30/2008 17,075 19,757
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2008(6)
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(8) EXPENSE RATIO(9)
Since
1 Year 3 Years 5 Years 10 Years Inception(7) 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------- ------------------------------------- ----- -----
Chass A Shares(2) 1.01% 15.91% 20.57% 6.12% -- (4.78)% 13.65% 19.15% 5.50% 1.89% 1.60%
Chass B Shares(3) 0.22 15.02 19.66 5.33 -- (3.57) 14.13 19.46 5.33 2.64 2.35
Chass Y Shares(5) 1.20 -- -- -- 11.61% -- -- -- -- 1.66 1.35
MSCI EAFE Index(4) (1.31) 16.74 20.92 7.05 14.25 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, 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 June 30, 2006.
(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 limit fund expenses.
- --------------------------------------------------------------------------------
14
================================================================================
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Debt Securities 58%
Equity Securities 27%
Foreign Securities 14%
Money Market Securities and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF APRIL 30, 2008
MEMBERS Large Cap Growth Fund Class Y 14%
MEMBERS Bond Fund Class Y 14%
T. Rowe Price Spectrum Income Fund 13%
Oppenheimer International Bond Fund 12%
MEMBERS International Stock Fund Class Y 10%
MEMBERS High Income Fund Class Y 10%
Western Asset Intermediate Bond Portfolio 10%
MEMBERS Large Cap Value Fund Class Y 9%
MEMBERS Mid Cap Growth Fund Class Y 4%
Principal International Emerging Markets Fund 3%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.94%
- --------------------------------------------------------------------------------------------------
DEBT SECURITIES - 58.43%
409,368 MEMBERS Bond Fund,
Class Y (R)...................................................... $ 4,036,366
423,464 MEMBERS High Income Fund,
Class Y (R)...................................................... 2,960,011
533,006 Oppenheimer International
Bond Fund........................................................ 3,533,829
314,533 T. Rowe Price Spectrum
Income Fund...................................................... 3,793,264
279,721 Western Asset Intermediate Bond
Portfolio........................................................ 2,881,124
-----------
17,204,594
-----------
EQUITY SECURITIES - 27.18%
265,319 MEMBERS Large Cap
Growth Fund, Class Y (R)*........................................ 4,231,843
171,333 MEMBERS Large Cap
Value Fund, Class Y (R) ........................................ 2,569,994
184,255 MEMBERS Mid Cap Growth Fund,
Class Y (R)...................................................... 1,201,341
-----------
8,003,178
-----------
FOREIGN SECURITIES - 13.46%
227,750 MEMBERS International
Stock Fund, Class Y (R) ........................................ 3,026,797
32,314 Principal International
Emerging Markets Fund............................................ 934,846
-----------
3,961,643
-----------
MONEY MARKET SECURITIES - 0.87%
255,412 SSgA Prime Money Market
Fund............................................................. 255,412
-----------
TOTAL INVESTMENT COMPANIES - 99.94%
(Cost $29,327,320**) ............................................ 29,424,827
NET OTHER ASSETS AND LIABILITIES - 0.06%
- --------------------------------------------------------------------------------------------------
17,883
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$29,442,710
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $29,369,654.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
15
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Equity Securities 41%
Debt Securities 28%
Foreign Securities 27%
Alternative Asset Classes 3%
Money Market Securities and Other Net Assets 1%
[END CHART]
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF APRIL 30, 2008
MEMBERS International Stock Fund Class Y 14%
MEMBERS Large Cap Growth Fund Class Y 14%
MEMBERS Bond Fund Class Y 10%
Thornburg International Value Value Fund 8%
Oppenheimer International Bond Fund 7%
T. Rowe Price Spectrum Income Fund 7%
MEMBERS Mid Cap Growth Fund Class Y 6%
MEMBERS Large Cap Value Fund Class Y 5%
MEMBERS High Income Fund Class Y 5%
Principal International Emerging Markets Fund 5%
MEMBERS Small Cap Growth Fund Class Y 4%
Ivy Global Natural Resources Fund 3%
MEMBERS Small Cap Value Fund Class Y 3%
Victory Special Value Fund 3%
American Beacon Large Cap Value Fund 3%
Neuberger Berman Partners Fund 2%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.98%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 3.22%
69,383 Ivy Global Natural Resources
Fund ............................................................ $ 2,786,430
-----------
DEBT SECURITIES - 28.19%
841,565 MEMBERS Bond Fund,
Class Y (R)...................................................... 8,297,834
610,824 MEMBERS High Income Fund,
Class Y (R)...................................................... 4,269,657
898,983 Oppenheimer International
Bond Fund ..................................................... 5,960,260
487,321 T. Rowe Price Spectrum
Income Fund ................................................... 5,877,092
-----------
24,404,843
-----------
EQUITY SECURITIES - 40.70%
113,191 American Beacon Large Cap
Value Fund ...................................................... 2,519,624
762,471 MEMBERS Large Cap
Growth Fund, Class Y (R)*........................................ 12,161,413
299,467 MEMBERS Large Cap
Value Fund, Class Y (R) ........................................ 4,492,008
798,606 MEMBERS Mid Cap
Growth Fund, Class Y (R)......................................... 5,206,908
354,605 MEMBERS Small Cap
Growth Fund, Class Y (R)......................................... 3,382,935
285,063 MEMBERS Small Cap
Value Fund, Class Y (R) ......................................... 2,656,789
68,336 Neuberger Berman
Partners Fund .................................................. 2,192,902
147,593 Victory Special Value Fund ...................................... 2,625,674
-----------
35,238,253
-----------
FOREIGN SECURITIES - 27.00%
917,458 MEMBERS International
Stock Fund, Class Y (R) ......................................... 12,193,022
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
16
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOREIGN SECURITIES (CONTINUED)
144,732 Principal International
Emerging Markets Fund............................................ $ 4,187,096
219,052 Thornburg International
Value Fund ...................................................... 7,000,886
-----------
23,381,004
-----------
MONEY MARKET SECURITIES - 0.87%
750,813 SSgA Prime Money Market
Fund ............................................................ 750,813
-----------
TOTAL INVESTMENT COMPANIES - 99.98%
(Cost $86,572,066**) ............................................ 86,561,343
NET OTHER ASSETS AND LIABILITIES - 0.02%
- --------------------------------------------------------------------------------------------------
$ 15,734
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$86,577,077
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $86,999,383.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
17
================================================================================
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Equity Securities 62%
Foreign Securities 33%
Alternative Asset Classes 4%
Money Market Securities and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF APRIL 30, 2008
MEMBERS Large Cap Growth Fund Class Y 16%
MEMBERS International Stock Fund Class Y 15%
MEMBERS Mid Cap Growth Fund Class Y 10%
Thornburg International Value Fund 7%
Laudus International MarketMasters Fund 7%
Victory Special Value Fund 7%
MEMBERS Small Cap Growth Fund Class Y 7%
MEMBERS Small Cap Value Fund Class Y 6%
Neuberger Berman Partners Fund 6%
American Beacon Large Cap Value 5%
MEMBERS Large Cap Value Fund Class Y 5%
Ivy Global Natural Resources Fund 4%
Principal International Emerging Markets Fund 4%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.85%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 4.24%
30,476 Ivy Global Natural Resources
Fund ........................................................... $ 1,223,916
-----------
EQUITY SECURITIES - 61.75%
62,197 American Beacon Large Cap
Value Fund ...................................................... 1,384,510
287,383 MEMBERS Large Cap
Growth Fund, Class Y (R)*........................................ 4,583,758
94,664 MEMBERS Large Cap
Value Fund, Class Y (R) ........................................ 1,419,963
438,317 MEMBERS Mid Cap
Growth Fund, Class Y (R)......................................... 2,857,824
204,522 MEMBERS Small Cap
Growth Fund, Class Y (R)......................................... 1,951,144
199,835 MEMBERS Small Cap
Value Fund, Class Y (R) ........................................ 1,862,467
53,996 Neuberger Berman
Partners Fund .................................................. 1,732,741
113,364 Victory Special Value Fund ...................................... 2,016,740
-----------
17,809,147
-----------
FOREIGN SECURITIES - 33.15%
98,075 Laudus International
MarketMasters Fund .............................................. 2,030,161
324,900 MEMBERS International
Stock Fund, Class Y (R) ........................................ 4,317,915
40,723 Principal International
Emerging Markets Fund............................................ 1,178,129
63,684 Thornburg International
Value Fund ...................................................... 2,035,349
-----------
9,561,554
-----------
MONEY MARKET SECURITIES - 0.71%
204,325 SSgA Prime Money
Market Fund ..................................................... 204,325
-----------
TOTAL INVESTMENT COMPANIES - 99.85%
(Cost $28,953,690**) ............................................ 28,798,942
NET OTHER ASSETS AND LIABILITIES - 0.15%
- --------------------------------------------------------------------------------------------------
43,720
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$28,842,662
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $29,196,943.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
18
================================================================================
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
U.S. Treasury Bills 46%
FNMA 29%
Federal Home Loan Mortgage Corp. 20%
Money Market Securities and Other Net Assets 5%
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 95.52%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 20.22%
$800,000 1.750%, due 05/05/08 (A)......................................... $ 799,844
850,000 1.800%, due 05/12/08 (A)......................................... 849,533
750,000 1.800%, due 05/14/08 (A)......................................... 749,512
175,000 2.050%, due 05/19/08 (A)......................................... 174,821
200,000 3.875%, due 06/15/08............................................. 199,831
500,000 2.010%, due 06/16/08 (A)......................................... 498,716
550,000 2.010%, due 06/25/08 (A)......................................... 548,311
-----------
3,820,568
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 29.47% (A)
750,000 1.750%, due 05/07/08............................................. 749,781
600,000 1.900%, due 05/19/08............................................. 599,430
750,000 2.040%, due 05/21/08............................................. 749,150
750,000 2.000%, due 05/28/08............................................. 748,875
750,000 2.000%, due 06/02/08............................................. 748,667
650,000 1.980%, due 06/04/08............................................. 648,785
825,000 2.035%, due 06/11/08............................................. 823,088
500,000 1.990%, due 06/23/08............................................. 498,535
-----------
5,566,311
-----------
U.S. Treasury Bills - 45.83% (A)
750,000 2.060%, due 05/01/08............................................. 750,000
750,000 2.200%, due 05/08/08............................................. 749,679
750,000 2.148%, due 05/15/08............................................. 749,374
750,000 2.138%, due 05/22/08............................................. 749,065
750,000 1.450%, due 05/29/08............................................. 749,154
550,000 1.398%, due 06/05/08............................................. 549,253
650,000 1.450%, due 06/12/08............................................. 648,900
750,000 1.283%, due 06/19/08............................................. 748,691
750,000 1.347%, due 06/26/08............................................. 748,428
750,000 1.190%, due 07/10/08............................................. 748,265
750,000 1.395%, due 07/31/08............................................. 747,355
725,000 1.630%, due 10/23/08............................................. 719,255
-----------
8,657,419
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $18,044,298) .............................................. 18,044,298
Shares
- ------
INVESTMENT COMPANIES - 4.38%
- --------------------------------------------------------------------------------------------------
2,513 JPMorgan Prime Money
Market Fund .................................................... 2,513
825,884 SSgA Prime Money
Market Fund .................................................... 825,884
-----------
TOTAL INVESTMENT COMPANIES
(Cost $828,397).................................................. 828,397
TOTAL INVESTMENTS - 99.90%
- --------------------------------------------------------------------------------------------------
(Cost $18,872,695**)........................................................... 18,872,695
NET OTHER ASSETS AND LIABILITIES - 0.10%
- --------------------------------------------------------------------------------------------------
18,081
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$18,890,776
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $18,872,695.
(A) Rate noted represents annualized yield at time of purchase.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from the
industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
19
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
U.S. Government and Agency Obligations 36%
Mortgage Backed 23%
Corporate Notes and Bonds 19%
Cash and Other Net Assets 10%
Commercial Mortgage Backed 7%
Asset Backed 3%
Private Label Mortgage Backed 2%
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 2.70%
- --------------------------------------------------------------------------------------------------
$ 64,040 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30............................................. $ 60,060
234,214 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34............................................. 180,181
670,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14............................................. 676,282
495,000 Daimler Chrysler Auto Trust,
Series 2007-A, Class A3A
5.000%, due 02/08/12............................................. 497,201
560,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33............................................. 496,345
332,529 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27............................................. 341,100
1,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5 (G)
5.500%, due 11/25/33............................................. 1,301,654
294,752 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
5.895%, due 05/25/34............................................. 99,486
-----------
TOTAL ASSET BACKED
(Cost $4,149,934) ............................................... 3,652,309
COMMERCIAL MORTGAGE BACKED - 7.21%
- --------------------------------------------------------------------------------------------------
266,451 Bear Stearns Commercial Mortgage
Securities, Series 2001-TOP4, Class A1
5.060%, due 11/15/16............................................. 267,276
640,000 Bear Stearns Commercial Mortgage
Securities, Series 2003-T10,
Class E (C)(G)
5.540%, due 03/13/40............................................. 570,894
525,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16,
Class A6 (G)
4.750%, due 02/13/46............................................. 510,490
325,000 Bear Stearns Commercial Mortgage
Securities, Series 2005-T20,
Class F (C)(G)
5.302%, due 10/12/42............................................. 252,796
1,100,000 Government National Mortgage
Association, Series 2004-43,
Class C (G)
5.008%, due 12/16/25............................................. 1,103,106
1,200,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A7 (G)
5.317%, due 06/10/36............................................. 1,218,904
1,000,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29............................................. 990,408
800,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29............................................. 783,370
1,150,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40............................................. 1,136,392
500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45............................................. 485,461
910,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43............................................. 899,820
330,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35............................................. 87,427
173,189 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C6, Class A1
3.364%, due 08/15/35............................................. 172,621
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
20
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$1,295,000 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C8, Class A2
3.894%, due 11/15/35............................................. $ 1,289,723
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $10,146,149 ).............................................. 9,768,688
PRIVATE LABEL MORTGAGE BACKED - 1.60%
- --------------------------------------------------------------------------------------------------
821,234 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36............................................. 721,754
1,638,370 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36............................................. 1,442,078
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $2,441,894) ............................................... 2,163,832
CORPORATE NOTES AND BONDS - 19.10%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.05%
750,000 American Association of Retired Persons (C)
7.500%, due 05/01/31............................................. 957,145
575,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34............................................. 464,975
-----------
1,422,120
-----------
CONSUMER STAPLES - 0.99%
750,000 Coca-Cola Enterprises, Inc.
4.375%, due 09/15/09............................................. 755,429
365,000 Diageo Capital PLC (D)(O)
5.500%, due 09/30/16............................................. 366,276
215,000 PepsiCo, Inc.
4.650%, due 02/15/13............................................. 219,487
-----------
1,341,192
-----------
ENERGY - 1.20%
240,000 Hess Corp.
7.875%, due 10/01/29............................................. 286,947
850,000 Transocean, Inc.
6.000%, due 03/15/18............................................. 879,267
450,000 Valero Energy Corp.
7.500%, due 04/15/32............................................. 465,798
-----------
1,632,012
-----------
FINANCE - 5.11%
500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10............................................. 488,892
215,000 Bank of America Corp.
5.750%, due 12/01/17............................................. 219,072
420,000 Bear Stearns Cos., Inc./The
7.250%, due 02/01/18............................................. 459,196
505,000 CIT Group, Inc. (O)
7.625%, due 11/30/12............................................. 471,061
290,000 GE Insurance Solutions Corp.
7.000%, due 02/15/26............................................. 293,381
330,000 GE Insurance Solutions Corp.
7.750%, due 06/15/30............................................. 349,373
750,000 Goldman Sachs Group, Inc./The (O)
5.700%, due 09/01/12............................................. 765,050
490,000 HCP, Inc.
6.700%, due 01/30/18............................................. 439,455
750,000 HSBC Finance Corp.
6.500%, due 11/15/08............................................. 756,957
520,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17............................................. 485,991
530,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13............................................. 528,892
440,000 SLM Corp.
5.125%, due 08/27/12............................................. 379,265
250,000 UBS AG/Stamford Branch
5.750%, due 04/25/18............................................. 249,614
500,000 US Bank NA/Cincinnati OH
6.300%, due 02/04/14............................................. 530,826
485,000 Well Fargo & Co.
5.250%, due 10/23/12............................................. 499,754
-----------
6,916,779
-----------
FORESTRY/PAPER - 0.23%
325,000 Westvaco Corp.
8.200%, due 01/15/30............................................. 309,589
-----------
HEALTH CARE - 1.08%
500,000 Eli Lilly & Co.
6.570%, due 01/01/16............................................. 557,383
325,000 Genentech, Inc.
5.250%, due 07/15/35............................................. 294,093
345,000 Merck & Co., Inc.
6.400%, due 03/01/28............................................. 366,907
230,000 Wyeth
6.500%, due 02/01/34............................................. 240,614
-----------
1,458,997
-----------
INDUSTRIALS - 3.28%
240,000 Boeing Co.
8.625%, due 11/15/31............................................. 325,669
1,000,000 Dow Chemical Co./The
5.750%, due 12/15/08............................................. 1,010,591
215,000 DR Horton, Inc.
5.250%, due 02/15/15............................................. 191,350
105,000 EI Du Pont de Nemours & Co.
5.000%, due 01/15/13............................................. 107,143
800,000 General Electric Co.
5.000%, due 02/01/13............................................. 816,092
500,000 GMAC LLC
7.250%, due 03/02/11............................................. 424,152
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
21
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
$ 270,000 Lockheed Martin Corp.
7.650%, due 05/01/16 ............................................ $ 312,028
235,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................ 254,792
500,000 Weyerhaeuser Co. (O)
6.875%, due 12/15/33 ............................................ 473,070
525,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................ 532,997
------------
4,447,884
------------
MEDIA - 0.81%
525,000 Comcast Cable Communications Holdings, Inc.
9.455%, due 11/15/22 ............................................ 638,565
455,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13 ............................................ 462,905
------------
1,101,470
------------
REAL ESTATE INVESTMENT TRUSTS - 0.19%
270,000 Simon Property Group L.P.
5.875%, due 03/01/17 ............................................ 262,118
------------
Telecommunications - 1.08%
400,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................ 414,320
775,000 New Cingular Wireless Services, Inc.
7.875%, due 03/01/11 ............................................ 838,399
265,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................ 215,975
------------
1,468,694
------------
TRANSPORTATION - 1.26%
285,000 Burlington Northern Santa Fe Corp. (O)
8.125%, due 04/15/20 ............................................ 326,633
600,000 CSX Corp.
6.250%, due 10/15/08 ............................................ 605,552
359,000 Norfolk Southern Corp. (O)
5.590%, due 05/17/25 ............................................ 334,725
390,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................ 432,601
------------
1,699,511
------------
UTILITIES - 2.82%
500,000 Energy East Corp.
8.050%, due 11/15/10 ............................................ 542,901
450,000 Illinois Power Co.
7.500%, due 06/15/09 ............................................ 463,088
285,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................ 283,460
250,000 Progress Energy, Inc.
7.750%, due 03/01/31 ............................................ 295,888
600,000 Public Service Co. of New Mexico
4.400%, due 09/15/08 ............................................ 598,335
650,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16 ............................................ 645,460
215,000 Virginia Electric and Power Co.
5.100%, due 11/30/12 ............................................ 218,580
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ............................................ 77,255
------------
3,824,967
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $26,182,399) .................. 25,885,333
MORTGAGE BACKED - 23.24%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 3.67%
572,883 5.000%, due 05/01/18
Pool # E96322 ................................................... 579,250
5,630 8.000%, due 06/01/30
Pool # C01005 ................................................... 6,098
8,694 7.000%, due 03/01/31
Pool # C48133 ................................................... 9,250
130,455 6.500%, due 01/01/32
Pool # C62333 ................................................... 136,146
2,041,250 5.000%, due 07/01/33
Pool # A11325 ................................................... 2,012,918
215,215 6.000%, due 10/01/34
Pool # A28439 ................................................... 220,904
186,716 6.000%, due 10/01/34
Pool # A28598 ................................................... 191,651
183,924 5.000%, due 04/01/35
Pool # A32315 ................................................... 181,084
160,659 5.000%, due 04/01/35
Pool # A32316 ................................................... 158,179
1,469,971 5.500%, due 11/01/37
Pool # A68787 ................................................... 1,480,806
------------
4,976,286
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 19.49%
885,949 4.000%, due 04/01/15
Pool # 255719 ................................................... 874,152
629,096 5.500%, due 04/01/16
Pool # 745444 ................................................... 643,605
41,904 6.000%, due 05/01/16
Pool # 582558 ................................................... 43,279
504,679 5.500%, due 02/01/18
Pool # 673194 ................................................... 516,912
713,724 5.000%, due 05/01/20
Pool # 813965 ................................................... 719,202
891,460 4.500%, due 09/01/20
Pool # 835465 ................................................... 883,260
75,591 6.000%, due 05/01/21
Pool # 253847 ................................................... 78,041
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
22
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 30,347 7.000%, due 12/01/29
Pool # 762813 ................................................... $ 32,314
62,833 7.000%, due 11/01/31
Pool # 607515 ................................................... 66,881
286,093 6.500%, due 03/01/32
Pool # 631377 ................................................... 297,817
2,288 7.000%, due 04/01/32
Pool # 641518 ................................................... 2,433
34,758 7.000%, due 05/01/32
Pool # 644591 ................................................... 36,997
867,587 6.500%, due 06/01/32
Pool # 545691 ................................................... 903,141
309,490 6.000%, due 12/01/32
Pool # 676552 ................................................... 318,691
1,845,421 5.500%, due 04/01/33
Pool # 690206 ................................................... 1,861,907
874,872 5.000%, due 10/01/33
Pool # 254903 ................................................... 862,333
1,342,128 5.500%, due 11/01/33
Pool # 555880 ................................................... 1,354,118
135,289 5.000%, due 05/01/34
Pool # 775604 ................................................... 133,265
338,686 5.000%, due 05/01/34
Pool # 780890 ................................................... 333,620
208,452 5.000%, due 06/01/34
Pool # 255230 ................................................... 205,334
1,639,644 5.500%, due 06/01/34
Pool # 780384 ................................................... 1,653,267
17,762 7.000%, due 07/01/34
Pool # 792636 ................................................... 18,792
305,628 5.500%, due 08/01/34
Pool # 793647 ................................................... 308,167
1,406,430 5.500%, due 03/01/35
Pool # 815976 ................................................... 1,416,577
663,568 5.500%, due 07/01/35
Pool # 825283 ................................................... 668,355
871,461 5.000%, due 08/01/35
Pool # 829670 ................................................... 857,609
402,759 5.500%, due 08/01/35
Pool # 826872 ................................................... 405,665
666,925 5.000%, due 09/01/35
Pool # 820347 ................................................... 656,325
693,781 5.000%, due 09/01/35
Pool # 835699 ................................................... 682,754
856,388 5.000%, due 10/01/35
Pool # 797669 ................................................... 842,777
837,717 5.500%, due 10/01/35
Pool # 836912 ................................................... 843,761
782,531 5.000%, due 11/01/35
Pool # 844504 ................................................... 770,093
917,741 5.000%, due 11/01/35
Pool # 844809 ................................................... 903,154
946,836 5.000%, due 12/01/35
Pool # 850561 ................................................... 931,786
940,005 6.000%, due 11/01/36
Pool # 902510 ................................................... 965,432
826,683 5.500%, due 02/01/37
Pool # 905140 ................................................... 832,259
877,823 5.500%, due 05/01/37
Pool # 899323 ................................................... 883,558
1,447,044 5.500%, due 05/01/37
Pool # 928292 ................................................... 1,456,497
1,119,018 6.000%, due 10/01/37
Pool # 947563 ................................................... 1,145,055
------------
26,409,185
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.08%
19,759 8.000%, due 10/20/15
Pool # 002995 ................................................... 20,959
51,435 6.500%, due 02/20/29
Pool # 002714 ................................................... 53,699
32,446 6.500%, due 04/20/31
Pool # 003068 ................................................... 33,856
------------
108,514
------------
TOTAL MORTGAGE BACKED
(Cost $31,078,229) .............................................. 31,493,985
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 36.07%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.41%
500,000 5.875%, due 10/03/16 ............................................ 558,449
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 2.26%
2,500,000 4.875%, due 11/15/13 ............................................ 2,641,468
400,000 4.500%, due 01/15/14 (O) ........................................ 414,858
------------
3,056,326
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.88%
1,400,000 4.000%, due 09/02/08 ............................................ 1,407,538
1,095,000 4.625%, due 10/15/14 (O) ........................................ 1,141,063
------------
2,548,601
------------
U.S. TREASURY BONDS - 2.72% (O)
2,905,000 6.625%, due 02/15/27 ............................................ 3,685,039
------------
U.S. TREASURY NOTES - 28.80%
830,000 3.750%, due 05/15/08 (O) ........................................ 830,648
580,000 4.875%, due 05/31/09 (O) ........................................ 597,763
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
23
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
- --------------------------------------------------------------------------------------------------
U.S. TREASURY NOTES (CONTINUED)
$9,000,000 2.125%, due 04/30/10 ............................................ $ 8,973,981
650,000 3.875%, due 05/15/10 (O) ........................................ 671,531
100,000 4.500%, due 11/15/10 (O) ........................................ 105,445
350,000 4.750%, due 03/31/11 (O) ........................................ 372,531
3,600,000 4.625%, due 12/31/11 (O) ........................................ 3,843,000
1,000,000 4.625%, due 02/29/12 (O) ........................................ 1,066,172
1,200,000 4.500%, due 03/31/12 (O) ........................................ 1,273,781
1,915,000 4.875%, due 06/30/12 (O) ........................................ 2,061,768
3,000,000 4.250%, due 09/30/12 (O) ........................................ 3,157,734
1,540,000 3.625%, due 05/15/13 (O) ........................................ 1,582,710
6,500,000 4.000%, due 02/15/14 (O) ........................................ 6,791,486
1,200,000 4.250%, due 08/15/15 (O) ........................................ 1,263,656
2,240,000 4.625%, due 02/15/17 (O) ........................................ 2,396,451
1,850,000 4.500%, due 05/15/17 (O) ........................................ 1,960,423
2,000,000 4.250%, due 11/15/17 ............................................ 2,077,500
------------
39,026,580
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $47,097,955) .............................................. 48,874,995
COMMERCIAL PAPER - 5.17% (A)
- --------------------------------------------------------------------------------------------------
FINANCE - 5.17%
4,000,000 General Electric Capital Corp.
2.260%, due 05/02/08 ............................................ 3,999,749
3,000,000 Toyota Motor Credit Corp.
2.250%, due 05/06/08 ............................................ 2,999,062
------------
TOTAL COMMERCIAL PAPER
(Cost $6,998,811) ............................................... 6,998,811
CERTIFICATE OF DEPOSIT - 1.84%
- --------------------------------------------------------------------------------------------------
2,487,477 State Street Eurodollar
0.650%, due 05/01/08 ............................................ 2,487,477
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $2,487,477) ............................................... 2,487,477
Shares
- ------
INVESTMENT COMPANY - 4.47%
- --------------------------------------------------------------------------------------------------
6,058,031 SSgA Prime Money Market Fund..................................... 6,058,031
------------
TOTAL INVESTMENT COMPANY
(Cost $6,058,031) ............................................... 6,058,031
COLLATERAL FOR SECURITIES ON LOAN - 25.03%
- --------------------------------------------------------------------------------------------------
33,919,219 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... $ 33,919,219
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $33,919,219) .............................................. 33,919,219
TOTAL INVESTMENTS - 126.43%
- --------------------------------------------------------------------------------------------------
(Cost $170,560,098**) ......................................................... 171,302,680
NET OTHER ASSETS AND LIABILITIES - (26.43)%
- --------------------------------------------------------------------------------------------------
(35,810,921)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 135,491,759
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $170,560,098.
(A) Rate noted represents annualized yield at time of purchase.
(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 0.61% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of April 30, 2008.
(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.
PLC Public Limited Company.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from the
industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
24
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
Health Care 10%
Cash and Other Net Assets 8%
Media - Cable 8%
Oil and Gas 8%
Telecommunications 7%
Utilities 7%
Support Services 6%
Automotive 5%
Forestry/Paper 4%
Gaming 4%
General Industrial and Manufacturing 3%
Media - Diversified and Services 3%
Technology 3%
Beverage/Food 2%
Consumer Products 2%
Environmental 2%
Media - Broadcasting 2%
Metals and Mining 2%
Non Food and Drug Retailers 2%
Aerospace/Defense 1%
Apparel/Textiles 1%
Chemicals 1%
Energy 1%
Food and Drug Retailers 1%
Hotels 1%
Leisure and Entertainment 1%
Packaging 1%
Printing and Publishing 1%
Restaurants 1%
Steel 1%
Transportation 1%
Building Materials 0%*
Investment Management 0%*
* Rounds to 0%
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 92.27%
- --------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.33%
$250,000 DRS Techologies, Inc.
6.625%, due 02/01/16 ............................................ $ 247,500
------------
APPAREL/TEXTILES - 0.78%
350,000 Hanesbrands, Inc., Series B (G)(O)
8.204%, due 12/15/14 ............................................ 329,875
50,000 Oxford Industries, Inc. (O)
8.875%, due 06/01/11 ............................................ 47,625
200,000 Warnaco, Inc.
8.875%, due 06/15/13 ............................................ 208,500
------------
586,000
------------
AUTOMOTIVE - 5.01%
250,000 American Axle & Manufacturing, Inc.
7.875%, due 03/01/17 ............................................ 223,750
500,000 Ford Motor Co. (O)
7.250%, due 10/01/08 ............................................ 498,125
550,000 Ford Motor Credit Co. LLC (G)
7.163%, due 04/15/12 ............................................ 539,161
500,000 General Motors Nova Scotia
Finance Co. (D)
6.850%, due 10/15/08 ............................................ 497,500
500,000 GMAC LLC
5.125%, due 05/09/08 ............................................ 499,876
250,000 GMAC LLC (O)
5.850%, due 01/14/09 ............................................ 244,389
500,000 Goodyear Tire & Rubber Co./The (G)
8.663%, due 12/01/09 ............................................ 500,625
500,000 Goodyear Tire & Rubber Co./The
7.857%, due 08/15/11 ............................................ 521,250
250,000 Tenneco, Inc. (C)
8.125%, due 11/15/15 ............................................ 256,250
------------
3,780,926
------------
BEVERAGE/FOOD - 2.17%
150,000 B&G Foods, Inc.
8.000%, due 10/01/11 ............................................ 148,500
400,000 Constellation Brands, Inc.
7.250%, due 05/15/17 ............................................ 403,000
200,000 Constellation Brands, Inc.,
Series B (O)
8.125%, due 01/15/12 ............................................ 203,750
500,000 Del Monte Corp.
8.625%, due 12/15/12 ............................................ 517,500
125,000 Michael Foods, Inc.
8.000%, due 11/15/13 ............................................ 121,250
250,000 NBTY, Inc.
7.125%, due 10/01/15 ............................................ 240,000
------------
1,634,000
------------
BUILDING MATERIALS - 0.44%
87,000 Interface, Inc.
10.375%, due 02/01/10 ........................................... 91,132
250,000 Interline Brands, Inc.
8.125%, due 06/15/14 ............................................ 243,125
------------
334,257
------------
CHEMICALS - 0.99%
350,000 Hercules, Inc.
6.750%, due 10/15/29 ............................................ 337,750
250,000 Momentive Performance
Materials, Inc.
1.000%, due 12/01/14 ............................................ 244,375
160,000 Nalco Co. (O)
8.875%, due 11/15/13 ............................................ 168,400
------------
750,525
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
25
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS - 1.96%
$250,000 Church & Dwight Co., Inc.
6.000%, due 12/15/12 ............................................ $ 246,250
185,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 ............................................ 175,750
250,000 Jarden Corp. (O)
7.500%, due 05/01/17 ............................................ 230,000
300,000 Leslie's Poolmart
7.750%, due 02/01/13 ............................................ 279,000
300,000 Visant Corp.
7.625%, due 10/01/12 ............................................ 298,500
250,000 Visant Holding Corp.
8.750%, due 12/01/13 ............................................ 246,250
------------
1,475,750
------------
ENERGY - 0.32%
250,000 Encore Acquisition Co.
7.250%, due 12/01/17 ............................................ 242,500
------------
ENVIRONMENTAL - 2.05%
750,000 Allied Waste North America, Inc.,
Series B
7.125%, due 05/15/16 ............................................ 755,625
350,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13 ............................................ 343,000
200,000 Waste Services, Inc.
9.500%, due 04/15/14 ............................................ 196,000
250,000 WCA Waste Corp.
9.250%, due 06/15/14 ............................................ 252,500
------------
1,547,125
------------
FOOD & DRUG RETAILERS - 0.94%
450,000 Stater Brothers Holdings (O)
8.125%, due 06/15/12 ............................................ 456,750
250,000 Stater Brothers Holdings (O)
7.750%, due 04/15/15 ............................................ 250,625
------------
707,375
------------
FORESTRY/PAPER - 3.80%
60,000 Boise Cascade LLC
7.125%, due 10/15/14 ............................................ 53,400
500,000 Domtar Corp.
7.875%, due 10/15/11 ............................................ 510,000
250,000 Georgia-Pacific LLC (C)
7.125%, due 01/15/17 ............................................ 247,500
250,000 Graphic Packaging International, Inc.
8.500%, due 08/15/11 ............................................ 252,500
250,000 Jefferson Smurfit Corp. US
7.500%, due 06/01/13 ............................................ 215,625
200,000 NewPage Corp. (C)
10.000%, due 05/01/12 ........................................... 213,500
500,000 Rock-Tenn Co.
8.200%, due 08/15/11 ............................................ 518,750
250,000 Rock-Tenn Co. (C)
9.250%, due 03/15/16 ............................................ 262,500
250,000 Smurfit-Stone Container Enterprises, Inc.
8.375%, due 07/01/12 ............................................ 228,750
350,000 Verso Paper Holdings LLC/Verso Paper, Inc., Series B (O)
9.125%, due 08/01/14 ............................................ 361,375
------------
2,863,900
------------
GAMING - 3.96%
250,000 Boyd Gaming Corp. (O)
7.750%, due 12/15/12 ............................................ 233,437
100,000 Chukchansi Economic Development Authority (C)(G)
8.238%, due 11/15/12 ............................................ 85,750
195,000 Global Cash Access LLC/Global Cash Finance Corp.
8.750%, due 03/15/12 ............................................ 192,075
150,000 MGM Mirage
6.000%, due 10/01/09 ............................................ 149,625
100,000 MGM Mirage (O)
7.625%, due 01/15/17 ............................................ 91,250
250,000 Mohegan Tribal Gaming Authority (O)
6.875%, due 02/15/15 ............................................ 211,875
400,000 MTR Gaming Group, Inc., Series B
9.750%, due 04/01/10 ............................................ 389,000
150,000 Penn National Gaming, Inc.
6.875%, due 12/01/11 ............................................ 143,250
250,000 Penn National Gaming, Inc.
6.750%, due 03/01/15 ............................................ 231,250
200,000 Pinnacle Entertainment, Inc. (O)
8.250%, due 03/15/12 ............................................ 199,000
150,000 Pinnacle Entertainment, Inc. (O)
8.750%, due 10/01/13 ............................................ 152,250
250,000 Pinnacle Entertainment, Inc. (C)
7.500%, due 06/15/15 ............................................ 206,875
500,000 Seneca Gaming Corp.
7.250%, due 05/01/12 ............................................ 483,125
250,000 Shuffle Master, Inc. (P)
1.250%, due 04/15/24 ............................................ 218,125
------------
2,986,887
------------
GENERAL INDUSTRIAL & MANUFACTURING - 3.42%
500,000 Baldor Electric Co. (O)
8.625%, due 02/15/17 ............................................ 510,000
250,000 Chart Industries, Inc. (O)
9.125%, due 10/15/15 ............................................ 255,000
350,000 SPX Corp. (C)
7.625%, due 12/15/14 ............................................ 365,750
500,000 Steel Dynamics, Inc. (C)
7.750%, due 04/15/16 ............................................ 511,250
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
26
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
GENERAL INDUSTRIAL & MANUFACTURING (CONTINUED)
$ 750,000 Terex Corp.
8.000%, due 11/15/17 ............................................ $ 766,875
200,000 Trimas Corp.
9.875%, due 06/15/12 ............................................ 174,500
------------
2,583,375
------------
HEALTH CARE - 10.23%
250,000 Advanced Medical Optics, Inc.
7.500%, due 05/01/17 ............................................ 226,250
250,000 Advanced Medical Optics, Inc. (P)
3.250%, due 08/01/26 ............................................ 180,938
250,000 Bausch & Lomb, Inc. (C)(O)
9.875%, due 11/01/15 ............................................ 266,250
350,000 Carriage Services, Inc.
7.875%, due 01/15/15 ............................................ 348,250
800,000 Community Health Systems, Inc.
8.875%, due 07/15/15 ............................................ 832,000
750,000 DaVita, Inc. (O)
7.250%, due 03/15/15 ............................................ 751,875
500,000 HCA, Inc./DE
8.750%, due 09/01/10 ............................................ 513,750
250,000 HCA, Inc./DE
6.750%, due 07/15/13 ............................................ 231,250
500,000 HCA, Inc./DE
9.250%, due 11/15/16 ............................................ 537,500
500,000 Health Management Associates, Inc. (P)
4.375%, due 08/01/23 ............................................ 497,500
250,000 IASIS Healthcare LLC/IASIS Capital Corp.
8.750%, due 06/15/14 ............................................ 256,250
250,000 LVB Acquisition Merger Sub, Inc. (C)
10.000%, due 10/15/17 ........................................... 268,125
400,000 Psychiatric Solutions, Inc.
7.750%, due 07/15/15 ............................................ 409,000
250,000 Res-Care, Inc.
7.750%, due 10/15/13 ............................................ 237,500
250,000 Service Corp. International/US
7.375%, due 10/01/14 ............................................ 257,500
500,000 Service Corp. International/US
6.750%, due 04/01/16 ............................................ 495,625
200,000 Service Corp. International/US
7.625%, due 10/01/18 ............................................ 209,250
250,000 United Surgical Partners
International, Inc. (O)
8.875%, due 05/01/17 ............................................ 250,000
250,000 Universal Hospital Services, Inc. (G)
8.288%, due 06/01/15 ............................................ 236,250
200,000 Vanguard Health Holding Co. II LLC
9.000%, due 10/01/14 ............................................ 203,500
500,000 Warner Chilcott Corp.
8.750%, due 02/01/15 ............................................ 507,500
------------
7,716,063
------------
HOTELS - 1.05%
350,000 Felcor Lodging L.P., REIT (G)
6.788%, due 12/01/11 ............................................ 319,375
500,000 Gaylord Entertainment Co.
8.000%, due 11/15/13 ............................................ 473,750
------------
793,125
------------
INVESTMENT MANAGEMENT - 0.32%
250,000 Nuveen Investments, Inc. (C)
10.500%, due 11/15/15 ........................................... 240,625
------------
LEISURE & ENTERTAINMENT - 0.45%
350,000 Vail Resorts, Inc.
6.750%, due 02/15/14 ............................................ 343,000
------------
MEDIA - BROADCASTING - 2.44%
410,000 Allbritton Communications Co.
7.750%, due 12/15/12 ............................................ 414,612
500,000 LIN Television Corp. (O)
6.500%, due 05/15/13 ............................................ 481,250
250,000 LIN Television Corp. (P)
2.500%, due 05/15/33 ............................................ 248,438
200,000 LIN Television Corp., Series B
6.500%, due 05/15/13 ............................................ 192,500
500,000 Sinclair Television Group, Inc. (O)
8.000%, due 03/15/12 ............................................ 506,875
------------
1,843,675
------------
MEDIA - CABLE - 8.02%
1,000,000 Cablevision Systems Corp., Series B (G)
7.133%, due 04/01/09 ............................................ 1,007,500
700,000 Cablevision Systems Corp., Series B (O)
8.000%, due 04/15/12 ............................................ 696,500
1,500,000 DirecTV Holdings LLC/DirecTV Financing Co.
8.375%, due 03/15/13 ............................................ 1,541,250
500,000 Echostar DBS Corp.
5.750%, due 10/01/08 ............................................ 500,000
650,000 Echostar DBS Corp.
6.625%, due 10/01/14 ............................................ 635,375
500,000 Mediacom Broadband LLC (O)
8.500%, due 10/15/15 ............................................ 460,000
500,000 Videotron, Ltd. (C)(D)
9.125%, due 04/15/18 ............................................ 532,500
700,000 Virgin Media Finance PLC (D)
9.125%, due 08/15/16 ............................................ 675,500
------------
6,048,625
------------
MEDIA - DIVERSIFIED & SERVICES - 3.42%
400,000 Hughes Network Systems LLC/HNS Finance Corp.
9.500%, due 04/15/14 ............................................ 400,000
150,000 Intelsat Jackson Holdings, Ltd. (D)
9.250%, due 06/15/16 ............................................ 151,312
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
27
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MEDIA - DIVERSIFIED & SERVICES (CONTINUED)
$ 300,000 Intelsat Jackson Holdings, Ltd. (D)
11.250%, due 06/15/16 ........................................... $ 304,125
375,000 Lamar Media Corp.
7.250%, due 01/01/13 ............................................ 371,250
100,000 Lamar Media Corp. (O)
6.625%, due 08/15/15 ............................................ 94,250
250,000 Lamar Media Corp., Series C
6.625%, due 08/15/15 ............................................ 235,625
750,000 Nielsen Finance LLC/Nielsen Finance Co.
10.000%, due 08/01/14 ........................................... 780,000
250,000 Quebecor Media, Inc. (D)
7.750%, due 03/15/16 ............................................ 240,625
------------
2,577,187
------------
METALS AND MINING - 2.19%
500,000 Arch Western Finance LLC
6.750%, due 07/01/13 ............................................ 508,750
250,000 Foundation PA Coal Co.
7.250%, due 08/01/14 ............................................ 256,875
250,000 Freeport-McMoRan Copper & Gold, Inc.
8.375%, due 04/01/17 ............................................ 276,250
350,000 Massey Energy Co.
6.875%, due 12/15/13 ............................................ 350,000
250,000 Peabody Energy Corp.
7.375%, due 11/01/16 ............................................ 262,500
------------
1,654,375
------------
NON FOOD & DRUG RETAILERS - 1.95%
300,000 Buhrmann US, Inc.
7.875%, due 03/01/15 ............................................ 287,250
250,000 Penske Auto Group, Inc.
7.750%, due 12/15/16 ............................................ 227,500
350,000 Sally Holdings LLC (O)
9.250%, due 11/15/14 ............................................ 353,500
176,000 Susser Holdings LLC
10.625%, due 12/15/13 ........................................... 180,400
500,000 Yankee Acquisition Corp./MA, Series B (O)
8.500%, due 02/15/15 ............................................ 422,500
------------
1,471,150
------------
OIL & GAS - 7.64%
250,000 Basic Energy Services, Inc.
7.125%, due 04/15/16 ............................................ 245,000
250,000 Berry Petroleum Co.
8.250%, due 11/01/16 ............................................ 259,375
166,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 ............................................ 167,660
500,000 Chesapeake Energy Corp. (O)
6.500%, due 08/15/17 ............................................ 492,500
150,000 Cimarex Energy Co.
7.125%, due 05/01/17 ............................................ 152,250
750,000 Complete Production Services, Inc.
8.000%, due 12/15/16 ............................................ 751,875
300,000 Compton Petroleum Finance Corp.
7.625%, due 12/01/13 ............................................ 296,250
250,000 Denbury Resources, Inc.
7.500%, due 04/01/13 ............................................ 257,188
200,000 Encore Acquisition Co.
6.000%, due 07/15/15 ............................................ 184,000
365,000 EXCO Resources, Inc.
7.250%, due 01/15/11 ............................................ 363,175
500,000 Helix Energy Solutions Group, Inc. (C)
9.500%, due 01/15/16 ............................................ 521,250
250,000 Key Energy Services, Inc. (C)(O)
8.375%, due 12/01/14 ............................................ 258,750
250,000 Mariner Energy, Inc.
8.000%, due 05/15/17 ............................................ 245,625
350,000 PetroHawk Energy Corp.
9.125%, due 07/15/13 ............................................ 370,125
500,000 Petroplus Finance, Ltd. (C)(D)
7.000%, due 05/01/17 ............................................ 465,000
250,000 Range Resources Corp. (O)
6.375%, due 03/15/15 ............................................ 245,625
500,000 W&T Offshore, Inc. (C)
8.250%, due 06/15/14 ............................................ 490,000
------------
5,765,648
------------
PACKAGING - 1.47%
500,000 Ball Corp.
6.625%, due 03/15/18 ............................................ 498,750
375,000 BWAY Corp.
10.000%, due 10/15/10 ........................................... 361,875
250,000 Greif, Inc.
6.750%, due 02/01/17 ............................................ 248,125
------------
1,108,750
------------
PRINTING & PUBLISHING - 0.76%
250,000 Cenveo Corp. (O)
7.875%, due 12/01/13 ............................................ 209,375
350,000 Dex Media, Inc. (B)
0.000%, due 11/15/13 ............................................ 263,375
150,000 Local Insight Regatta Holdings, Inc. (C)
11.000%, due 12/01/17 ........................................... 100,500
------------
573,250
------------
RESTAURANTS - 0.56%
500,000 Seminole Hard Rock Entertainment, Inc. (C)(G)
5.300%, due 03/15/14 ............................................ 418,750
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
28
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
STEEL - 0.68%
$ 500,000 AK Steel Corp.
7.750%, due 06/15/12 ............................................ $ 510,625
------------
SUPPORT SERVICES - 6.17%
1,000,000 ARAMARK Corp. (O)
8.500%, due 02/01/15 ............................................ 1,042,500
200,000 Cardtronics, Inc.
9.250%, due 08/15/13 ............................................ 190,250
300,000 Corrections Corp. of America
7.500%, due 05/01/11 ............................................ 304,500
350,000 Education Management LLC/Education Management Corp. (O)
10.250%, due 06/01/16 ........................................... 294,000
500,000 FTI Consulting, Inc.
7.750%, due 10/01/16 ............................................ 520,000
200,000 Hertz Corp./The
8.875%, due 01/01/14 ............................................ 201,500
350,000 Hertz Corp./The (O)
10.500%, due 01/01/16 ........................................... 352,188
350,000 HUB International Holdings, Inc. (C)
10.250%, due 06/15/15 ........................................... 255,500
250,000 Iron Mountain, Inc. (O)
8.625%, due 04/01/13 ............................................ 254,375
350,000 Iron Mountain, Inc.
7.750%, due 01/15/15 ............................................ 357,000
350,000 Mac-Gray Corp.
7.625%, due 08/15/15 ............................................ 340,375
200,000 Norcross Safety Products LLC/Norcross Capital Corp., Series B
9.875%, due 08/15/11 ............................................ 210,376
350,000 West Corp.
9.500%, due 10/15/14 ............................................ 334,250
------------
4,656,814
------------
TECHNOLOGY - 3.37%
100,000 Celestica, Inc. (D)
7.875%, due 07/01/11 ............................................ 100,625
250,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 ............................................ 244,375
500,000 Lucent Technologies, Inc.
5.500%, due 11/15/08 ............................................ 500,000
450,000 Sungard Data Systems, Inc.
9.125%, due 08/15/13 ............................................ 470,250
500,000 Sungard Data Systems, Inc. (O)
10.250%, due 08/15/15 ........................................... 531,250
500,000 Syniverse Technologies, Inc., Series B
7.750%, due 08/15/13 ............................................ 475,625
300,000 VeriFone Holdings, Inc. (C)(P)
1.625%, due 06/15/12 ............................................ 218,625
------------
2,540,750
------------
TELECOMMUNICATIONS - 6.79%
300,000 American Tower Corp. (C)
7.000%, due 10/15/17 ............................................ 303,000
400,000 Centennial Communications Corp. (G)
8.448%, due 01/01/13 ............................................ 381,000
250,000 Centennial Communications Corp. (O)
10.000%, due 01/01/13 ........................................... 252,500
500,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14 ............................................ 497,500
250,000 Cincinnati Bell Tele Co. (O)
6.300%, due 12/01/28 ............................................ 211,250
700,000 Citizens Communications Co. (O)
6.625%, due 03/15/15 ............................................ 656,250
300,000 Citizens Communications Co.
7.875%, due 01/15/27 ............................................ 266,250
500,000 Nordic Telephone Co. Holdings ApS (C)(D)
8.875%, due 05/01/16 ............................................ 511,250
250,000 PAETEC Holding Corp.
9.500%, due 07/15/15 ............................................ 235,000
250,000 Qwest Capital Funding, Inc.
7.250%, due 02/15/11 ............................................ 245,000
334,000 Qwest Communications International, Inc. (G)
6.565%, due 02/15/09 ............................................ 334,000
500,000 Qwest Communications International, Inc., Series B
7.500%, due 02/15/14 ............................................ 491,250
250,000 Windstream Corp.
8.625%, due 08/01/16 ............................................ 261,875
500,000 Windstream Corp.
7.000%, due 03/15/19 ............................................ 472,500
------------
5,118,625
------------
TRANSPORTATION - 1.28%
250,000 Bristow Group, Inc.
7.500%, due 09/15/17 ............................................ 258,125
150,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14 ............................................ 151,500
300,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14 ............................................ 310,500
250,000 Hornbeck Offshore Services, Inc., Series B
6.125%, due 12/01/14 ............................................ 243,125
------------
963,250
------------
UTILITIES - 7.31%
250,000 Dynegy Holdings, Inc.
6.875%, due 04/01/11 ............................................ 251,875
500,000 Dynegy Holdings, Inc.
8.375%, due 05/01/16 ............................................ 521,250
1,000,000 Edison Mission Energy
7.200%, due 05/15/19 ............................................ 1,007,500
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
29
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
$ 250,000 El Paso Corp.
7.000%, due 06/15/17 ............................................ $ 260,895
500,000 Energy Future Holdings
Corp. (C)
10.875%, due 11/01/17 ........................................... 532,500
400,000 Ferrellgas Partners L.P./
Ferrellgas Partners
Finance (O)
8.750%, due 06/15/12 ............................................ 411,000
500,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14 ............................................ 486,875
500,000 MarkWest Energy Partners L.P./
MarkWest Energy Finance
Corp. (C)
8.750%, due 04/15/18 ............................................ 518,750
750,000 NRG Energy, Inc.
7.375%, due 02/01/16 ............................................ 772,500
500,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due 12/15/13 ............................................ 492,500
250,000 Texas Competitive Electric
Holdings Co. LLC (C)
10.250%, due 11/01/15 ........................................... 260,625
------------
5,516,270
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $70,179,061) .............................................. 69,600,677
CERTIFICATE OF DEPOSIT - 1.81%
- --------------------------------------------------------------------------------------------------
1,360,365 State Street Eurodollar
0.650%, due 05/01/08 ............................................ 1,360,365
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $1,360,365) ............................................... 1,360,365
Shares
- ------
INVESTMENT COMPANY - 4.49%
- --------------------------------------------------------------------------------------------------
3,386,599 SSgA Prime Money
Market Fund ..................................................... 3,386,599
------------
TOTAL INVESTMENT COMPANY
(Cost $3,386,599) ............................................... 3,386,599
COLLATERAL FOR SECURITIES ON LOAN - 17.77%
- --------------------------------------------------------------------------------------------------
13,404,520 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... $ 13,404,520
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $13,404,520) .............................................. 13,404,520
TOTAL INVESTMENTS - 116.34%
- --------------------------------------------------------------------------------------------------
(Cost $88,330,545**) .......................................................... 87,752,161
NET OTHER ASSETS AND LIABILITIES - (16.34)%
- --------------------------------------------------------------------------------------------------
(12,323,278)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 75,428,883
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $88,361,012.
(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 5.14% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of April 30, 2008.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
30
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Common Stocks 45%
Mortgage Backed 19%
Corporate Notes and Bonds 18%
U.S. Government and Agency Obligations 8%
Commercial Mortgage Backed 5%
Private Label Mortgage Backed 2%
Asset Backed 2%
Cash and Other Net Assets 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 44.56%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.31%
20,000 Carnival Corp. (O) ............................................... $ 803,400
15,000 Harley-Davidson, Inc. (O) ........................................ 573,750
29,900 Home Depot, Inc. (O) ............................................. 861,120
11,500 McDonald's Corp. ................................................. 685,170
------------
2,923,440
------------
CONSUMER STAPLES - 5.96%
35,000 Altria Group, Inc. ............................................... 700,000
23,100 Anheuser-Busch Cos., Inc. ........................................ 1,136,520
14,200 Coca-Cola Co./The ................................................ 835,954
6,800 HJ Heinz Co. ..................................................... 319,804
13,300 Kimberly-Clark Corp. ............................................. 851,067
10,551 Kraft Foods, Inc., Class A ....................................... 333,728
35,000 Philip Morris International, Inc. * .............................. 1,786,050
9,000 Procter & Gamble Co. ............................................. 603,450
22,000 SYSCO Corp. (O) .................................................. 672,540
5,000 Wal-Mart Stores, Inc. ............................................ 289,900
------------
7,529,013
------------
ENERGY - 3.82%
8,500 BP PLC, ADR ...................................................... 618,715
29,300 Chevron Corp. .................................................... 2,817,195
16,100 ConocoPhillips ................................................... 1,387,015
------------
4,822,925
------------
FINANCIALS - 10.80%
13,000 Allstate Corp./The ............................................... 654,680
63,992 Bank of America Corp. ............................................ 2,402,260
16,500 BB&T Corp. (O).................................................... 565,785
45,700 Citigroup, Inc. (O) .............................................. 1,154,839
4,200 Hartford Financial Services Group, Inc. .......................... 299,334
45,502 JPMorgan Chase & Co. ............................................. 2,168,170
21,900 Marsh & McLennan Cos., Inc. ...................................... 604,221
4,800 PNC Financial Services Group, Inc. (O) ........................... 332,880
8,500 SunTrust Banks, Inc. ............................................. 473,875
6,200 Travelers Cos., Inc./The ......................................... 312,480
56,000 US Bancorp ....................................................... 1,897,840
25,200 Wachovia Corp. (O) ............................................... 734,580
68,700 Wells Fargo & Co. (O) ............................................ 2,043,825
------------
13,644,769
------------
HEALTH CARE - 7.73%
16,000 Abbott Laboratories .............................................. 844,000
45,300 Bristol-Myers Squibb Co. ......................................... 995,241
13,000 Eli Lilly & Co. .................................................. 625,820
44,000 Johnson & Johnson (O) ............................................ 2,951,960
34,500 Merck & Co., Inc. ................................................ 1,312,380
104,862 Pfizer, Inc. ..................................................... 2,108,775
21,000 Wyeth ............................................................ 933,870
------------
9,772,046
------------
INDUSTRIALS - 4.18%
7,500 3M Co. ........................................................... 576,750
94,000 General Electric Co. ............................................. 3,073,800
17,600 United Parcel Service, Inc., Class B ............................. 1,274,416
9,900 Waste Management, Inc. ........................................... 357,390
------------
5,282,356
------------
INFORMATION TECHNOLOGY - 1.18%
18,500 Automatic Data Processing, Inc. .................................. 817,700
18,400 Paychex, Inc. (O) ................................................ 669,208
------------
1,486,908
------------
MATERIALS - 2.50%
28,800 EI Du Pont de Nemours & Co. (O) .................................. 1,408,608
8,500 Nucor Corp. ...................................................... 641,750
17,300 Weyerhaeuser Co. (O) ............................................. 1,105,124
------------
3,155,482
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
31
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 3.43%
67,292 AT&T, Inc. ....................................................... $ 2,604,873
5,500 Embarq Corp. ..................................................... 228,635
39,200 Verizon Communications, Inc. ..................................... 1,508,416
------------
4,341,924
------------
UTILITIES - 2.65%
12,800 Consolidated Edison, Inc. (O) .................................... 532,480
32,000 Duke Energy Corp. (O) ............................................ 585,920
7,100 FirstEnergy Corp. ................................................ 537,044
14,000 PG&E Corp. (O) ................................................... 560,000
12,500 Progress Energy, Inc. ............................................ 524,875
16,500 Southern Co. (O).................................................. 614,295
------------
3,354,614
------------
TOTAL COMMON STOCKS
(Cost $55,771,126) ............................................... 56,313,477
COMMON STOCK UNIT - 0.39%
- --------------------------------------------------------------------------------------------------
FINANCIALS - 0.39%
8,000 AllianceBernstein Holding L.P. (O)................................ 496,160
------------
TOTAL COMMON STOCK UNIT
(Cost $683,935) .................................................. 496,160
Par Value
- ---------
ASSET BACKED - 1.89%
- --------------------------------------------------------------------------------------------------
$ 98,971 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 ............................................. 92,820
390,356 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.210%, due 05/25/34 ............................................. 300,302
525,000 Carmax Auto Owner Trust,
Series 2007-2, Class B
5.370%, due 03/15/13 ............................................. 500,465
465,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14 ............................................. 469,360
312,924 CIT Group Home Equity Loan Trust,
Series 2002-2, Class BF (M)
6.830%, due 06/25/33 ............................................. 151,160
325,000 Daimler Chrysler Auto Trust,
Series 2007-A, Class A3A
5.000%, due 02/08/12 ............................................. 326,445
320,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 ............................................. 283,626
201,596 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27 ............................................. 206,792
180,871 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
5.895%, due 05/25/34 ............................................. 61,048
------------
TOTAL ASSET BACKED
(Cost $2,814,744) ................................................ 2,392,018
COMMERCIAL MORTGAGE BACKED - 5.28%
- --------------------------------------------------------------------------------------------------
162,187 Bear Stearns Commercial
Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ............................................. 162,690
445,000 Bear Stearns Commercial
Mortgage Securities,
Series 2003-T10, Class E (C)(G)
5.540%, due 03/13/40 ............................................. 396,950
350,000 Bear Stearns Commercial
Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 ............................................. 340,327
200,000 Bear Stearns Commercial
Mortgage Securities,
Series 2005-T20, Class F (C)(G)
5.302%, due 10/12/42 ............................................. 155,567
807,301 GMAC Commercial
Mortgage Securities, Inc.,
Series 2000-C1, Class A2 (G)
7.724%, due 03/15/33 ............................................. 838,050
600,000 Government National
Mortgage Association,
Series 2004-43, Class C (G)
5.008%, due 12/16/25 ............................................. 601,694
400,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 ............................................. 406,301
700,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29 ............................................. 693,286
400,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 ............................................. 391,685
700,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ............................................. 691,717
640,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43 ............................................. 632,840
677,000 Multi Security Asset Trust,
Series 2005-RR4A, Class H (C)(G)
5.880%, due 11/28/35 ............................................. 318,738
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
32
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$ 200,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 ............................................. $ 52,986
101,964 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 ............................................. 101,630
895,000 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C8, Class A2
3.894%, due 11/15/35 ............................................. 891,353
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $7,242,026) ................................................ 6,675,814
PRIVATE LABEL MORTGAGE BACKED - 2.04%
- --------------------------------------------------------------------------------------------------
373,288 Banc of America Alternative Loan Trust,
Trust, Series 2005-12, Class 3CB1
6.000%, due 01/25/36 ............................................. 328,070
1,721,325 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36 .............. 1,515,094
781,804 Banc of America Alternative Loan Trust,
Series 2006-4, Class 5CB1
6.500%, due 05/25/46 ............................................. 730,743
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $2,865,155) ................................................ 2,573,907
CORPORATE NOTES AND BONDS - 18.35%
- --------------------------------------------------------------------------------------------------
BEVERAGE/FOOD - 0.36%
475,000 Kraft Foods, Inc.
6.500%, due 11/01/31 ............................................. 461,645
CONSUMER DISCRETIONARY - 1.73%
750,000 American Association of Retired
Persons (C)
7.500%, due 05/01/31 ............................................. 957,145
600,000 Centex Corp.
4.875%, due 08/15/08 ............................................. 594,000
325,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 ............................................. 262,812
400,000 Royal Caribbean Cruises, Ltd. (D)
7.250%, due 06/15/16 ............................................. 369,000
------------
2,182,957
------------
CONSUMER STAPLES - 0.51%
250,000 Diageo Capital PLC (D)
5.500%, due 09/30/16 ............................................. 250,874
400,000 Safeway, Inc.
4.125%, due 11/01/08 ............................................. 400,601
------------
651,475
------------
ENERGY - 0.88%
500,000 Chesapeake Energy Corp.
6.375%, due 06/15/15 ............................................. 492,500
150,000 Hess Corp.
7.875%, due 10/01/29 ............................................. 179,342
400,000 Transocean, Inc.
7.500%, due 04/15/31 ............................................. 440,209
------------
1,112,051
------------
FINANCE - 4.41%
500,000 American General Finance Corp., Series H
4.625%, due 09/01/10 ............................................. 488,892
250,000 Bear Stearns Cos., Inc./The
7.250%, due 02/01/18 ............................................. 273,331
320,000 CIT Group, Inc.
7.625%, due 11/30/12 ............................................. 298,494
210,000 GE Insurance Solutions Corp.
7.000%, due 02/15/26 ............................................. 212,448
205,000 GE Insurance Solutions Corp.
7.750%, due 06/15/30 ............................................ 217,035
335,000 HCP, Inc.
6.700%, due 01/30/18 ............................................. 300,443
250,000 HSBC Finance Corp.
6.500%, due 11/15/08 ............................................. 252,319
410,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17 ............................................ 383,186
315,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13 ............................................. 314,341
600,000 National Rural Utilities
Cooperative Finance Corp., Series C
7.250%, due 03/01/12 ............................................. 644,442
760,000 Nissan Motor Acceptance Corp. (C)
5.625%, due 03/14/11 ............................................. 761,327
500,000 Residential Capital LLC
8.500%, due 04/17/13 ............................................. 252,500
355,000 SLM Corp.
5.125%, due 08/27/12 ............................................. 305,998
500,000 US Bank NA/Cincinnati OH
6.300%, due 02/04/14 ............................................. 530,827
330,000 Well Fargo & Co.
5.250%, due 10/23/12 ............................................. 340,039
------------
5,575,622
------------
FORESTRY/PAPER - 0.13%
175,000 Westvaco Corp.
8.200%, due 01/15/30 ............................................. 166,702
------------
HEALTH CARE - 1.54%
1,050,000 Amgen, Inc.
5.850%, due 06/01/17 ............................................. 1,057,288
300,000 Eli Lilly & Co.
6.570%, due 01/01/16 ............................................. 334,430
195,000 Genentech, Inc.
5.250%, due 07/15/35 ............................................. 176,456
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
33
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$ 205,000 Merck & Co., Inc.
6.400%, due 03/01/28 ............................................. $ 218,017
150,000 Wyeth
6.500%, due 02/01/34 ............................................. 156,922
------------
1,943,113
------------
INDUSTRIALS - 1.42%
150,000 Boeing Co.
8.625%, due 11/15/31 ............................................. 203,543
130,000 DR Horton, Inc.
5.250%, due 02/15/15 ............................................. 115,700
250,000 Ford Motor Credit Co. LLC
5.800%, due 01/12/09 ............................................. 244,452
350,000 GMAC LLC
7.250%, due 03/02/11 ............................................. 296,906
440,000 Overseas Shipholding Group, Inc.
8.250%, due 03/15/13 ............................................. 458,150
150,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................. 162,633
310,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................. 314,722
------------
1,796,106
------------
MEDIA - 1.13%
415,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22 ............................................. 504,770
600,000 COX Enterprises, Inc. (C)
4.375%, due 05/01/08 ............................................. 600,000
315,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13 ............................................. 320,473
------------
1,425,243
------------
PIPELINE - 0.32%
400,000 Panhandle Eastern Pipeline Co.
4.800%, due 08/15/08 ............................................. 399,419
------------
REAL ESTATE INVESTMENT TRUSTS - 1.17%
715,000 Equity One, Inc.
3.875%, due 04/15/09 ............................................. 698,527
600,000 Nationwide Health Properties, Inc.,
Series D
8.250%, due 07/01/12 ............................................. 645,019
140,000 Simon Property Group L.P.
5.875%, due 03/01/17 ............................................. 135,913
------------
1,479,459
------------
TELECOMMUNICATIONS - 0.32%
240,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................. 248,592
190,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................. 154,850
------------
403,442
------------
TRANSPORTATION - 0.56%
175,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 ............................................. 200,564
239,000 Norfolk Southern Corp.
5.590%, due 05/17/25 ............................................. 222,839
260,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................. 288,401
------------
711,804
------------
UTILITIES - 3.87%
500,000 Energy East Corp.
8.050%, due 11/15/10 ............................................. 542,901
310,000 Illinois Power Co.
7.500%, due 06/15/09 ............................................. 319,016
1,000,000 Midamerican Energy Co.
5.650%, due 07/15/12 ............................................. 1,039,952
400,000 Nevada Power Co., Series R
6.750%, due 07/01/37 ............................................. 393,395
175,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................. 174,054
350,000 Progress Energy, Inc.
7.750%, due 03/01/31 ............................................. 414,243
126,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16 ............................................. 125,120
500,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17 ............................................. 479,621
600,000 Westar Energy, Inc.
6.000%, due 07/01/14 ............................................. 619,826
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ............................................. 777,255
------------
4,885,383
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $23,593,069) ............................................... 23,194,421
MORTGAGE BACKED - 18.51%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.67%
10,416 8.000%, due 06/01/30
Pool # C01005 .................................................... 11,282
195,683 6.500%, due 01/01/32
Pool # C62333 .................................................... 204,218
1,458,035 5.000%, due 07/01/33
Pool # A11325 .................................................... 1,437,799
126,486 6.000%, due 10/01/34
Pool # A28439 .................................................... 129,830
109,736 6.000%, due 10/01/34
Pool # A28598 .................................................... 112,637
121,390 5.000%, due 04/01/35
Pool # A32315 .................................................... 119,516
90,939 5.000%, due 04/01/35
Pool # A32316 .................................................... 89,535
------------
2,104,817
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
34
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 16.72%
$ 318,388 4.000%, due 04/01/15
Pool # 255719 .................................................... $ 314,148
401,209 5.500%, due 04/01/16
Pool # 745444 .................................................... 410,462
62,857 6.000%, due 05/01/16
Pool # 582558 .................................................... 64,918
663,685 5.000%, due 12/01/17
Pool # 672243 .................................................... 671,268
583,956 5.000%, due 05/01/20
Pool # 813965 .................................................... 588,438
891,460 4.500%, due 09/01/20
Pool # 835465 .................................................... 883,260
105,828 6.000%, due 05/01/21
Pool # 253847 .................................................... 109,258
19,312 7.000%, due 12/01/29
Pool # 762813 .................................................... 20,563
62,833 7.000%, due 11/01/31
Pool # 607515 .................................................... 66,881
55,613 7.000%, due 05/01/32
Pool # 644591 .................................................... 59,196
416,442 6.500%, due 06/01/32
Pool # 545691 .................................................... 433,508
592,493 5.500%, due 10/01/33
Pool # 254904 .................................................... 597,786
20,547 5.000%, due 05/01/34
Pool # 782214 .................................................... 20,239
510,093 5.000%, due 06/01/34
Pool # 255230 .................................................... 502,464
11,164 7.000%, due 07/01/34
Pool # 792636 .................................................... 11,812
186,937 5.500%, due 08/01/34
Pool # 793647 .................................................... 188,490
372,648 5.500%, due 03/01/35
Pool # 810075 .................................................... 375,337
863,313 5.500%, due 03/01/35
Pool # 815976 .................................................... 869,541
405,749 5.500%, due 07/01/35
Pool # 825283 .................................................... 408,676
506,663 5.000%, due 08/01/35
Pool # 829670 .................................................... 498,610
242,522 5.500%, due 08/01/35
Pool # 826872 .................................................... 244,271
397,815 5.000%, due 09/01/35
Pool # 820347 .................................................... 391,492
431,843 5.000%, due 09/01/35
Pool # 835699 .................................................... 424,979
778,535 5.000%, due 10/01/35
Pool # 797669 .................................................... 766,161
547,772 5.000%, due 11/01/35
Pool # 844504 .................................................... 539,065
584,017 5.000%, due 11/01/35
Pool # 844809 .................................................... 574,734
576,335 5.000%, due 12/01/35
Pool # 850561 .................................................... 567,174
188,282 5.500%, due 02/01/36
Pool # 851330 .................................................... 189,640
711,998 5.500%, due 09/01/36
Pool # 831820 .................................................... 716,801
934,971 6.000%, due 09/01/36
Pool # 831741 .................................................... 956,925
193,644 5.500%, due 10/01/36
Pool # 896340 .................................................... 194,951
849,183 5.500%, due 10/01/36
Pool # 901723 .................................................... 854,911
584,794 6.500%, due 10/01/36
Pool # 894118 .................................................... 605,835
738,888 6.000%, due 11/01/36
Pool # 902510 .................................................... 758,874
833,971 5.500%, due 12/01/36
Pool # 902853 .................................................... 839,597
812,090 5.500%, due 12/01/36
Pool # 903059 .................................................... 817,568
858,592 5.500%, due 12/01/36
Pool # 907512 .................................................... 864,384
904,730 5.500%, due 12/01/36
Pool # 907635 .................................................... 910,833
756,020 6.000%, due 12/01/36
Pool # 903002 .................................................... 773,772
701,842 5.500%, due 01/01/37
Pool # 906268 .................................................... 706,577
648,558 5.500%, due 02/01/37
Pool # 905140 .................................................... 652,933
683,829 5.500%, due 05/01/37
Pool # 899323 .................................................... 688,297
------------
21,134,629
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.12%
12,924 8.000%, due 10/20/15
Pool # 002995 .................................................... 13,709
72,009 6.500%, due 02/20/29
Pool # 002714 .................................................... 75,179
54,077 6.500%, due 04/20/31
Pool # 003068 .................................................... 56,426
------------
145,314
------------
TOTAL MORTGAGE BACKED
(Cost $23,073,851) ............................................... 23,384,760
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
35
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 7.68%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.88%
$1,000,000 5.875%, due 10/03/16 ............................................. $ 1,116,899
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 0.62%
750,000 4.500%, due 01/15/14 ............................................. 777,859
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.83%
525,000 4.000%, due 09/02/08 ............................................. 527,826
500,000 5.250%, due 08/01/12 (O) ......................................... 518,269
------------
1,046,095
------------
U.S. TREASURY BONDS - 0.86% (O)
860,000 6.625%, due 02/15/27 ............................................. 1,090,924
------------
U.S. TREASURY NOTES - 4.49% (O)
30,000 4.500%, due 11/15/10 ............................................. 31,634
320,000 4.875%, due 04/30/11 ............................................. 342,175
2,100,000 4.625%, due 12/31/11 ............................................. 2,241,750
835,000 4.875%, due 06/30/12 ............................................. 898,995
60,000 4.250%, due 08/15/15 ............................................. 63,183
950,000 4.500%, due 02/15/16 ............................................. 1,013,903
1,025,000 4.500%, due 05/15/17 ............................................. 1,086,180
------------
5,677,820
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $9,042,030) ................................................ 9,709,597
Shares
- ------
INVESTMENT COMPANY - 0.80%
- --------------------------------------------------------------------------------------------------
1,006,490 SSgA Prime Money
Market Fund ...................................................... 1,006,490
------------
TOTAL INVESTMENT COMPANY
(Cost $1,006,490) ................................................ 1,006,490
COLLATERAL FOR SECURITIES ON LOAN - 16.27%
- --------------------------------------------------------------------------------------------------
20,557,121 State Street Navigator Securities
Lending Prime Portfolio (I) ......................................... 20,557,121
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $20,557,121) .................................................. 20,557,121
TOTAL INVESTMENTS - 115.77%
- --------------------------------------------------------------------------------------------------
(Cost $146,649,547**) .......................................................... $146,303,765
NET OTHER ASSETS AND LIABILITIES - (15.77)%
- --------------------------------------------------------------------------------------------------
(19,932,880)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$126,370,885
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $146,942,693.
(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 0.74% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of April 30, 2008.
(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's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
36
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF SECTOR ALLOCATION]
Financials 27%
Energy 18%
Industrials 10%
Consumer Staples 9%
Health Care 7%
Utilities 7%
Consumer Discretionary 6%
Telecommunication Services 6%
Materials 5%
Information technology 3%
Cash and Other Net Assets 2%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.14%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 5.83%
10,100 Carnival Corp. ................................................... $ 405,717
12,700 CBS Corp., Class B ............................................... 292,989
10,100 Clear Channel Communications, Inc. ............................... 304,515
28,886 Comcast Corp., Class A (O) ....................................... 593,607
24,400 Eastman Kodak Co. (O) ............................................ 436,516
3,700 Fortune Brands, Inc. ............................................. 250,194
11,800 Gap, Inc./The .................................................... 219,716
13,500 General Motors Corp. (O) ......................................... 313,200
18,000 Home Depot, Inc. ................................................. 518,400
11,200 Macy's, Inc. ..................................................... 283,248
24,462 McDonald's Corp. ................................................. 1,457,446
50,800 News Corp., Class A .............................................. 909,320
4,700 Nordstrom, Inc. (O) .............................................. 165,722
11,200 Omnicom Group, Inc. .............................................. 534,688
2,800 Sears Holdings Corp. (O)* ........................................ 276,108
122,800 Time Warner, Inc. ................................................ 1,823,580
13,300 Viacom, Inc., Class B * .......................................... 511,252
15,800 Walt Disney Co./The .............................................. 512,394
------------
9,808,612
------------
CONSUMER STAPLES - 9.25%
29,800 Altria Group, Inc. ............................................... 596,000
5,500 Anheuser-Busch Cos., Inc. ........................................ 270,600
16,100 Archer-Daniels-Midland Co. ....................................... 709,366
7,500 Clorox Co. ....................................................... 397,500
19,500 Coca-Cola Co./The ................................................ 1,147,965
4,900 Costco Wholesale Corp. ........................................... 349,125
22,300 CVS Caremark Corp. ............................................... 900,251
4,300 Energizer Holdings, Inc. * ....................................... 339,958
9,300 General Mills, Inc. .............................................. 561,720
13,800 HJ Heinz Co. ..................................................... 649,014
5,300 Kellogg Co. ...................................................... 271,201
5,800 Kimberly-Clark Corp. ............................................. 371,142
42,297 Kraft Foods, Inc., Class A ....................................... 1,337,854
3,100 Loews Corp. - Carolina Group (S) ................................. 203,577
9,200 Molson Coors Brewing Co., Class B ................................ 504,528
29,800 Philip Morris International, Inc. * .............................. 1,520,694
55,000 Procter & Gamble Co. ............................................. 3,687,750
30,200 Wal-Mart Stores, Inc. ............................................ 1,750,996
------------
15,569,241
------------
ENERGY - 18.10%
13,400 Anadarko Petroleum Corp. ......................................... 891,904
16,300 Apache Corp. ..................................................... 2,195,284
56,666 Chevron Corp. .................................................... 5,448,436
46,300 ConocoPhillips ................................................... 3,988,745
18,900 Devon Energy Corp. ............................................... 2,143,260
10,400 EOG Resources, Inc. .............................................. 1,356,992
104,200 Exxon Mobil Corp. ................................................ 9,697,894
20,700 Marathon Oil Corp. ............................................... 943,299
30,400 Occidental Petroleum Corp. ....................................... 2,529,584
3,700 Schlumberger, Ltd. ............................................... 372,035
9,500 Valero Energy Corp. .............................................. 464,075
12,100 Williams Cos., Inc. .............................................. 429,550
------------
30,461,058
------------
FINANCIALS - 27.33%
8,600 ACE, Ltd. ........................................................ 518,494
16,900 Allstate Corp./The ............................................... 851,084
56,800 American International Group, Inc. ............................... 2,624,160
8,700 Ameriprise Financial, Inc. ....................................... 413,163
10,100 AON Corp. ........................................................ 458,439
5,800 Arch Capital Group, Ltd. * ....................................... 409,770
5,000 Assurant, Inc. ................................................... 325,000
112,684 Bank of America Corp. ............................................ 4,230,157
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
37
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
19,800 Bank of New York Mellon
Corp./The ........................................................ $ 861,894
21,000 BB&T Corp. (O).................................................... 720,090
2,200 Black Rock, Inc./New York (O) 443,938
2,800 Boston Properties, Inc., REIT . 281,372
8,900 Capital One Financial Corp. (O) 471,700
9,300 Chubb Corp........................................................ 492,621
132,166 Citigroup, Inc. .................................................. 3,339,835
7,400 Equity Residential, REIT.......................................... 307,248
10,500 Federal Home Loan Mortgage
Corp.............................................................. 261,555
23,700 Federal National Mortgage
Association ...................................................... 670,710
9,700 Fifth Third Bancorp .............................................. 207,871
7,900 Goldman Sachs Group,
Inc./The ......................................................... 1,511,823
12,400 Hartford Financial Services
Group, Inc. ...................................................... 883,748
99,968 JPMorgan Chase & Co. ............................................. 4,763,475
15,800 Keycorp .......................................................... 381,254
6,900 Kimco Realty Corp., REIT ......................................... 275,379
3,400 Legg Mason, Inc. ................................................. 204,952
19,700 Lehman Brothers Holdings,
Inc. (O) ......................................................... 871,528
6,500 Lincoln National Corp. ........................................... 349,440
11,100 Loews Corp. ...................................................... 467,421
2,700 M&T Bank Corp. (O) ............................................... 251,721
14,900 Marsh & McLennan Cos.,
Inc. (O) ......................................................... 411,091
14,700 Marshall & Ilsley Corp. .......................................... 367,206
18,200 Merrill Lynch & Co., Inc. ........................................ 906,906
21,200 MetLife, Inc. .................................................... 1,290,020
28,000 Morgan Stanley ................................................... 1,360,800
7,500 PNC Financial Services
Group, Inc. ...................................................... 520,125
6,300 Principal Financial Group, Inc. 338,058
4,300 Prologis, REIT ................................................... 269,223
10,100 Prudential Financial, Inc. ....................................... 764,671
12,241 Regions Financial Corp. (O) ...................................... 268,323
4,700 Simon Property Group,
Inc., REIT ....................................................... 469,342
7,000 State Street Corp. ............................................... 504,980
12,800 SunTrust Banks, Inc. (O) ......................................... 713,600
27,200 Travelers Cos., Inc./The.......................................... 1,370,880
10,700 Unum Group ....................................................... 248,347
72,000 US Bancorp ....................................................... 2,440,080
8,000 Vornado Realty Trust, REIT .... 744,720
51,100 Wachovia Corp. (O) ............................................... 1,489,565
111,600 Wells Fargo & Co. ................................................ 3,320,100
9,900 XL Capital, Ltd., Class A (O) .................................... 345,411
------------
45,993,290
------------
HEALTH CARE - 7.41%
7,700 Amgen, Inc. * .................................................... 322,399
4,800 Biogen Idec, Inc. * .............................................. 291,312
31,300 Boston Scientific Corp. * ........................................ 417,229
12,600 Covidien, Ltd. ................................................... 588,294
9,400 Eli Lilly & Co. .................................................. 452,516
57,700 Johnson & Johnson ................................................ 3,871,093
6,700 Medco Health Solutions, Inc. * 331,918
13,500 Merck & Co., Inc. ................................................ 513,540
173,640 Pfizer, Inc. ..................................................... 3,491,901
10,800 Schering-Plough Corp. .......... 198,828
10,700 Thermo Fisher Scientific, Inc. * 619,209
8,400 WellPoint, Inc. * ................................................ 417,900
21,400 Wyeth ............................................................ 951,658
------------
12,467,797
------------
INDUSTRIALS - 10.37%
6,400 3M Co. ........................................................... 492,160
4,800 CSX Corp. ........................................................ 302,160
5,100 Deere & Co. ...................................................... 428,757
3,000 Eaton Corp. ...................................................... 263,520
7,100 Emerson Electric Co. ............................................. 371,046
9,500 General Dynamics Corp. ........ 858,990
228,200 General Electric Co. ............................................. 7,462,140
8,600 Honeywell International, Inc. 510,840
7,100 Illinois Tool Works, Inc. ........................................ 371,259
10,300 Ingersoll-Rand Co., Ltd.,
Class A .......................................................... 457,114
4,200 ITT Corp. ........................................................ 268,800
5,300 KBR, Inc. ........................................................ 152,852
9,200 Masco Corp. (O) .................................................. 167,532
11,800 Norfolk Southern Corp. . ......................................... 703,044
5,600 Northrop Grumman Corp. ...... 411,992
10,500 Parker Hannifin Corp. ............................................ 838,425
7,500 Raytheon Co. ..................................................... 479,775
18,800 Southwest Airlines Co. ........................................... 248,912
12,700 Tyco International, Ltd. ......................................... 594,233
3,300 Union Pacific Corp. .............................................. 479,127
13,800 United Technologies Corp. ...... 1,000,086
16,600 Waste Management, Inc. ........ 599,260
------------
17,462,024
------------
INFORMATION TECHNOLOGY - 3.19%
10,200 Automatic Data Processing,
Inc. ............................................................. 450,840
10,300 Computer Sciences Corp. (O)* 448,977
5,000 EMC Corp./Massachusetts * .... 77,000
7,321 Hewlett-Packard Co. .............................................. 339,328
12,000 International Business
Machines Corp. ................................................... 1,448,400
11,300 Microsoft Corp. .................................................. 322,276
67,100 Motorola, Inc. ................................................... 668,316
7,000 Novellus Systems, Inc. (O)* .... 153,020
5,400 SanDisk Corp. * .................................................. 146,286
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
38
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
10,300 Seagate Technology................................................ $ 194,361
8,300 Sun Microsystems, Inc. * ........ 129,978
16,100 Symantec Corp. * ................................................. 277,242
12,800 Tyco Electronics, Ltd. ........................................... 478,848
16,700 Xerox Corp. ...................................................... 233,299
------------
5,368,171
------------
MATERIALS - 4.46%
9,200 Air Products & Chemicals, Inc. 905,556
4,500 Albemarle Corp. .................................................. 168,345
27,600 Alcoa, Inc. ...................................................... 959,928
3,100 Cytec Industries, Inc. ........................................... 182,931
20,200 Dow Chemical Co./The ............ 811,030
23,000 EI Du Pont de Nemours &
Co. (O) .......................................................... 1,124,930
5,823 Freeport-McMoRan Copper &
Gold, Inc. ....................................................... 662,366
11,000 International Paper Co. .......... 287,870
10,800 Nucor Corp. ...................................................... 815,400
7,900 PPG Industries, Inc. (O) ......................................... 484,823
17,200 Weyerhaeuser Co. (O) ............................................. 1,098,736
------------
7,501,915
------------
TELECOMMUNICATION SERVICES - 5.64%
144,232 AT&T, Inc. ....................................................... 5,583,221
10,300 Embarq Corp. ..................................................... 428,171
63,300 Sprint Nextel Corp. .............................................. 505,767
10,200 TELUS Corp. ...................................................... 452,370
59,220 Verizon Communications, Inc. 2,278,786
21,122 Windstream Corp. ................................................. 247,972
------------
9,496,287
------------
UTILITIES - 6.56%
13,400 American Electric Power
Co., Inc. ........................................................ 598,042
6,200 Consolidated Edison, Inc. (O) 257,920
2,700 Constellation Energy
Group, Inc. ...................................................... 228,555
15,700 Dominion Resources, Inc./VA . 681,223
35,400 Duke Energy Corp. ................................................ 648,174
18,000 Edison International ............................................. 939,060
9,600 Entergy Corp. .................................................... 1,102,656
9,900 Exelon Corp. ..................................................... 846,252
10,200 FirstEnergy Corp. ................................................ 771,528
17,800 FPL Group, Inc. .................................................. 1,179,962
10,000 Mirant Corp. (O)* ................................................ 411,100
8,700 NSTAR (O) ........................................................ 280,227
15,300 PG&E Corp. (O) ................................................... 612,000
3,600 PPL Corp. ........................................................ 172,872
6,200 Progress Energy, Inc. (O) ........ 260,338
14,800 Public Service Enterprise
Group, Inc. ...................................................... 649,868
2,900 Questar Corp. .................................................... 179,887
3,300 Sempra Energy (O) ................................................ 187,011
23,000 Southern Co. (O).................................................. 856,290
9,000 Xcel Energy, Inc. (O)............................................. 187,200
------------
11,050,165
------------
TOTAL COMMON STOCKS
(Cost $146,203,727) .............................................. 165,178,560
INVESTMENT COMPANIES - 2.00%
- --------------------------------------------------------------------------------------------------
3,000 SPDR Trust Series 1 ETF .......................................... 414,780
2,957,492 SSgA Prime Money
Market Fund ...................................................... 2,957,492
------------
TOTAL INVESTMENT COMPANIES
(Cost $3,375,009) ................................................ 3,372,272
COLLATERAL FOR SECURITIES ON LOAN - 8.05%
- --------------------------------------------------------------------------------------------------
13,543,474 State Street Navigator Securities
Lending Prime Portfolio (I) ...................................... 13,543,474
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $13,543,474) ............................................... 13,543,474
TOTAL INVESTMENTS - 108.19%
- --------------------------------------------------------------------------------------------------
(Cost $163,122,210**) .......................................................... 182,094,306
NET OTHER ASSETS AND LIABILITIES - (8.19)%
- --------------------------------------------------------------------------------------------------
(13,780,891)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$168,313,415
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $164,007,745.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
(S) Tracking Stock - Security issued by a parent company that tracks the
performance of a particular division.
ETF Exchange Traded Fund.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
39
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF SECTOR ALLOCATION]
Information Technology 31%
Health Care 16%
Energy 10%
Industrials 10%
Consumer Staples 9%
Consumer Discretionary 7%
Cash and Other Net Assets 6%
Materials 5%
Financials 4%
Utilities 1%
Telecommunication Services 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.00%
--------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 7.26%
7,500 Amazon.Com, Inc. (O)* ............................................ $ 589,725
16,000 Coach, Inc. * .................................................... 569,120
36,249 Comcast Corp., Class A (O) ....................................... 744,917
2,900 Garmin, Ltd. (O) ................................................. 118,610
34,700 Harley-Davidson, Inc. (O) ........................................ 1,327,275
23,100 Kohl's Corp. * ................................................... 1,128,435
36,600 Lamar Advertising Co.,
Class A (O)* ..................................................... 1,447,164
10,800 Las Vegas Sands Corp. (O)* ....................................... 823,176
8,400 Marriott International, Inc./
DE, Class A ...................................................... 288,120
12,400 McDonald's Corp. ................................................. 738,792
35,300 News Corp., Class A .............................................. 631,870
21,000 Nordstrom, Inc. (O) .............................................. 740,460
26,600 Omnicom Group, Inc. .............................................. 1,269,884
15,500 Polo Ralph Lauren Corp. (O) .. 962,705
29,800 Staples, Inc. .................................................... 646,660
4,300 Starwood Hotels & Resorts
Worldwide, Inc. .................................................. 224,503
20,600 Tiffany & Co. .................................................... 896,924
------------
13,148,340
------------
CONSUMER STAPLES - 8.99%
69,800 Coca-Cola Co./The ................................................ 4,109,126
48,900 Colgate-Palmolive Co. ............................................ 3,457,230
19,600 Costco Wholesale Corp. ........................................... 1,396,500
22,900 Molson Coors Brewing Co.,
Class B .......................................................... 1,255,836
52,600 Philip Morris International,
Inc. * ........................................................... 2,684,178
58,300 Wal-Mart Stores, Inc. ............................................ 3,380,234
------------
16,283,104
------------
ENERGY - 10.21%
8,100 Baker Hughes, Inc. ............................................... 655,128
5,200 Cabot Oil & Gas Corp. ............................................ 296,244
11,200 Cameron International Corp. * 551,376
6,800 Chesapeake Energy Corp. (O)....................................... 351,560
4,600 Consol Energy, Inc. .............................................. 372,416
5,200 Diamond Offshore Drilling,
Inc. (O) ......................................................... 652,132
2,600 EOG Resources, Inc. .............................................. 339,248
32,000 Exxon Mobil Corp. ................................................ 2,978,240
22,600 Halliburton Co. .................................................. 1,037,566
13,700 Noble Corp. (O) .................................................. 771,036
22,100 Peabody Energy Corp. ............................................. 1,350,973
7,300 Quicksilver Resources,
Inc. (O)* ........................................................ 302,877
4,600 Range Resources Corp. ............................................ 305,348
37,700 Schlumberger, Ltd. ............................................... 3,790,735
10,300 Southwestern Energy Co. * ........................................ 435,793
8,192 Transocean, Inc. *................................................ 1,207,992
16,000 Valero Energy Corp. .............................................. 781,600
14,100 Weatherford International,
Ltd. * ........................................................... 1,137,447
19,082 XTO Energy, Inc. ................................................. 1,180,413
------------
18,498,124
------------
FINANCIALS - 4.35%
17,100 Aflac, Inc. ...................................................... 1,140,057
24,000 American Express Co. ............................................. 1,152,480
3,900 Black Rock, Inc./New York (O) 786,981
1,337 CME Group, Inc. .................................................. 611,610
5,600 Goldman Sachs Group,
Inc./The ......................................................... 1,071,672
5,000 IntercontinentalExchange,
Inc. * ........................................................... 775,750
24,900 Janus Capital Group, Inc. ........................................ 698,694
6,300 Jones Lang LaSalle, Inc. (O)...................................... 488,943
1,300 Mastercard, Inc., Class A (O) .................................... 361,608
13,400 T Rowe Price Group, Inc. (O)...................................... 784,704
------------
7,872,499
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
40
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------
HEALTH CARE - 15.98%
30,100 Abbott Laboratories ............................................. $ 1,587,775
7,400 Allergan, Inc./United States .................................... 417,138
18,774 Amgen, Inc. * ................................................... 786,067
22,400 Baxter International, Inc. ...................................... 1,395,968
52,900 Bristol-Myers Squibb Co. ........................................ 1,162,213
10,100 Celgene Corp. (O)* .............................................. 627,614
5,800 Covance, Inc. * ................................................. 485,982
16,200 Express Scripts, Inc. * ......................................... 1,134,324
37,300 Genentech, Inc. * ............................................... 2,543,860
17,900 Gen-Probe, Inc. * ............................................... 1,008,844
8,000 Genzyme Corp. * ................................................. 562,800
27,300 Gilead Sciences, Inc. * ......................................... 1,413,048
23,000 Health Net, Inc. * .............................................. 673,670
25,200 Hospira, Inc. * ................................................. 1,036,980
1,300 Intuitive Surgical, Inc. *....................................... 376,038
46,000 Johnson & Johnson ............................................... 3,086,140
15,500 KV Pharmaceutical Co.,
Class A (O)*..................................................... 378,820
52,401 Medtronic, Inc. ................................................. 2,550,881
57,000 Merck & Co., Inc. ............................................... 2,168,280
93,100 Schering-Plough Corp. ........................................... 1,713,971
7,800 Stryker Corp. ................................................... 505,674
26,400 Vertex Pharmaceuticals,
Inc. (O)* ....................................................... 673,728
42,027 Wyeth ........................................................... 1,868,941
10,500 Zimmer Holdings, Inc. *.......................................... 778,680
-------------
28,937,436
-------------
INDUSTRIALS - 10.40%
40,800 AMR Corp. (O)*................................................... 357,816
23,600 Boeing Co. ...................................................... 2,002,696
8,100 Burlington Northern
Santa Fe Corp. .................................................. 830,655
22,900 Caterpillar, Inc. ............................................... 1,875,052
9,900 CH Robinson Worldwide, Inc. (O) 620,532
9,900 Deere & Co. ..................................................... 832,293
27,500 Emerson Electric Co. ............................................ 1,437,150
10,900 Expeditors International of
Washington, Inc. (O) ............................................ 507,831
4,000 Flowserve Corp. ................................................. 496,360
78,200 General Electric Co. ............................................ 2,557,140
18,600 Honeywell International, Inc. 1,104,840
9,900 Joy Global, Inc. ................................................ 735,075
8,500 Manitowoc Co., Inc./The.......................................... 321,470
13,400 McDermott International, Inc. * 717,972
4,200 Norfolk Southern Corp. .......................................... 250,236
3,600 Precision Castparts Corp. ....................................... 423,216
32,000 Quanta Services, Inc. (O)* ...................................... 849,280
24,400 Robert Half International,
Inc. (O) ........................................................ 578,280
4,000 Rockwell Collins, Inc. .......................................... 252,440
22,900 United Parcel Service, Inc.,
Class B ......................................................... 1,658,189
5,000 WW Grainger, Inc. (O) ..................................... 433,550
-------------
18,842,073
-------------
INFORMATION TECHNOLOGY - 30.49%
14,700 Accenture, Ltd., Class A ........................................ 551,985
22,500 Adobe Systems, Inc. * ........................................... 839,025
27,300 Affiliated Computer Services,
Inc., Class A * ................................................. 1,446,081
49,900 Altera Corp. .................................................... 1,061,872
23,100 Apple, Inc. *.................................................... 4,018,245
47,200 Applied Materials, Inc. ......................................... 880,752
224,800 Cisco Systems, Inc. * ........................................... 5,763,872
21,400 Citrix Systems, Inc. *........................................... 700,850
19,200 Cognizant Technology Solutions
Corp., Class A * ................................................ 619,200
42,700 Corning, Inc. ................................................... 1,140,517
56,900 Dell, Inc. * .................................................... 1,060,047
34,100 eBay, Inc. * .................................................... 1,066,989
68,200 EMC Corp./Massachusetts * ....................................... 1,050,280
3,100 First Solar, Inc. * ............................................. 905,169
9,400 Google, Inc., Class A *.......................................... 5,398,326
64,600 Hewlett-Packard Co. ............................................. 2,994,210
204,900 Intel Corp. ..................................................... 4,561,074
30,300 International Business
Machines Corp. .................................................. 3,657,210
16,500 Kla-Tencor Corp. (O) ............................................ 720,720
60,600 Maxim Integrated Products, Inc. 1,274,418
6,100 MEMC Electronic Materials, Inc. * 384,117
22,300 Microchip Technology, Inc. (O) 819,525
201,900 Microsoft Corp. ................................................. 5,758,188
16,500 Novellus Systems, Inc. (O)* ..................................... 360,690
110,400 Oracle Corp. * .................................................. 2,301,840
42,300 QUALCOMM, Inc. .................................................. 1,826,937
3,800 Research in Motion, Ltd. * ...................................... 462,194
2,400 Salesforce.com, Inc. (O)* ....................................... 160,152
16,300 SanDisk Corp. (O)*............................................... 441,567
48,600 Texas Instruments, Inc. ......................................... 1,417,176
21,800 Varian Semiconductor
Equipment Associates, Inc. (O)* 798,534
28,900 Yahoo!, Inc. * .................................................. 792,149
-------------
55,233,911
-------------
MATERIALS - 4.97%
28,100 EI Du Pont de Nemours & Co. 1,374,371
15,200 Freeport-McMoRan Copper &
Gold, Inc. ...................................................... 1,729,000
12,400 Monsanto Co. .................................................... 1,413,848
1,300 Mosaic Co./The *................................................. 159,263
20,100 Nucor Corp. ..................................................... 1,517,550
16,400 Praxair, Inc. ................................................... 1,497,484
4,700 Southern Copper Corp. (O)........................................ 539,372
12,100 Weyerhaeuser Co. (O) ............................................ 772,948
-------------
9,003,836
-------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
41
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 0.73%
3,477 NeuStar, Inc., Class A (O)* ..................................... $ 95,652
21,000 NII Holdings, Inc. *............................................. 960,540
12,800 Turkcell Iletisim Hizmet AS,
ADR ............................................................. 257,920
-------------
1,314,112
-------------
UTILITIES - 0.62%
9,300 Exelon Corp. .................................................... 794,964
4,500 Veolia Environment, ADR ......................................... 326,025
-------------
1,120,989
-------------
TOTAL COMMON STOCKS
(Cost $158,852,860) ............................................. 170,254,424
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 0.08%
- -------------------------------------------------------------------------------------------------
$ 137,861 State Street Eurodollar
0.650%, due 05/01/08 ............................................ 137,861
-------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $137,861).................................................. 137,861
Shares
- ------
INVESTMENT COMPANIES - 8.09%
- -------------------------------------------------------------------------------------------------
88,900 iShares Russell 1000 Growth
Index Fund ETF .................................................. 5,108,194
28,800 Powershares QQQ ETF (O) ......................................... 1,359,648
8,192,526 SSgA Prime Money
Market Fund ..................................................... 8,192,526
-------------
TOTAL INVESTMENT COMPANIES
(Cost $14,506,925) .............................................. 14,660,368
COLLATERAL FOR SECURITIES ON LOAN - 10.67%
- -------------------------------------------------------------------------------------------------
19,319,833 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... $ 19,319,833
-------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $19,319,833) .............................................. 19,319,833
TOTAL INVESTMENTS - 112.84%
- -------------------------------------------------------------------------------------------------
(Cost $192,817,479**) .......................................................... 204,372,486
NET OTHER ASSETS AND LIABILITIES - (12.84)%
- -------------------------------------------------------------------------------------------------
(23,247,821)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------
$181,124,665
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $194,293,861.
(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.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from the
industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
42
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF SECTOR ALLOCATION]
Financials 26%
Utilities 13%
Consumer Discretionary 12%
Industrials 12%
Energy 10%
Materials 8%
Consumer Staples 7%
Information Technology 7%
Health Care 3%
Cash and Other Net Assets 1%
Telecommunication Services 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 99.24%
- -------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 11.47%
2,600 Arbitron, Inc. (O) .............................................. $ 124,384
2,800 Autoliv, Inc. ................................................... 171,472
1,200 Black & Decker Corp. (O)......................................... 78,756
2,100 BorgWarner, Inc. (O) ............................................ 103,215
4,700 Cablevision Systems Corp.,
Class A (O)*..................................................... 108,100
5,100 Carnival Corp. (O) .............................................. 204,867
9,000 Cato Corp./The, Class A (O) ..................................... 155,250
2,700 CEC Entertainment, Inc. (O)* 100,440
3,000 Centex Corp. (O) ................................................ 62,460
12,100 Eastman Kodak Co. (O) ........................................... 216,469
4,300 EW Scripps Co., Class A (O) ..................................... 193,113
5,200 Expedia, Inc. *.................................................. 131,352
38,600 Ford Motor Co. (O)* ............................................. 318,836
3,000 Fortune Brands, Inc. (O) ........................................ 202,860
4,200 Gannett Co., Inc. (O) ........................................... 120,204
16,400 Gap, Inc./The (O) ............................................... 305,368
4,500 Genuine Parts Co. (O) ........................................... 191,070
2,500 Hasbro, Inc. (O) ................................................ 88,900
10,600 Hibbett Sports, Inc. (O)*........................................ 193,556
21,800 Interpublic Group of Cos.,
Inc. (O)* ....................................................... 197,290
3,800 KB Home (O)...................................................... 85,500
5,100 Liberty Global, Inc.,
Series A (O)* ................................................... 180,489
10,400 Liberty Media Corp. -
Entertainment, Series A (S)* .................................... 269,880
6,500 Liberty Media Corp. -
Interactive, Series A (S)*....................................... 98,345
4,800 Mattel, Inc. .................................................... 90,000
2,300 Matthews International Corp.,
Class A ......................................................... 113,712
8,300 Modine Manufacturing Co. (O) 145,831
10,000 O'Reilly Automotive, Inc. (O)* 288,700
11,900 Pulte Homes, Inc. (O)............................................ 155,176
4,000 Royal Caribbean Cruises,
Ltd. (O) ........................................................ 127,600
9,100 Saks, Inc. (O)* ................................................. 118,391
3,600 Sonic Corp. (O)* ................................................ 79,164
12,350 Stage Stores, Inc. (O) .......................................... 194,389
7,200 Tempur-Pedic International,
Inc. (O) ........................................................ 79,992
6,000 TJX Cos., Inc. .................................................. 193,320
5,700 Valassis Communications,
Inc. (O)* ....................................................... 80,940
2,300 VF Corp. ........................................................ 171,074
7,000 Virgin Media, Inc. .............................................. 90,300
-------------
5,830,765
-------------
CONSUMER STAPLES - 7.37%
5,600 Altria Group, Inc. .............................................. 112,000
4,500 Bunge, Ltd. (O) ................................................. 513,405
7,800 Casey's General Stores, Inc. (O) 172,614
8,300 Coca-Cola Enterprises, Inc. ..................................... 186,750
12,100 ConAgra Foods, Inc. ............................................. 285,076
5,400 Constellation Brands, Inc.,
Class A (O)*..................................................... 99,144
2,600 Costco Wholesale Corp. (O) ...................................... 185,250
4,000 CVS Caremark Corp. .............................................. 161,480
2,300 Energizer Holdings, Inc. (O)* 181,838
2,900 Herbalife, Ltd. (O) ............................................. 126,962
6,000 HJ Heinz Co. .................................................... 282,180
4,200 Hormel Foods Corp. .............................................. 165,522
4,100 Lance, Inc. (O) ................................................. 85,936
2,700 Loews Corp. - Carolina
Group (S) ....................................................... 177,309
7,000 Molson Coors Brewing Co.,
Class B (O)...................................................... 383,880
10,400 Safeway, Inc. ................................................... 328,640
13,800 Sara Lee Corp. (O) .............................................. 200,238
1,900 UST, Inc. (O) ................................................... 98,933
-------------
3,747,157
-------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
43
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------
ENERGY - 9.77%
8,500 Chesapeake Energy Corp. (O).. $ 439,450
10,800 El Paso Corp. ................................................... 185,112
6,500 Forest Oil Corp. *............................................... 383,045
8,000 Hess Corp. (O) .................................................. 849,600
4,000 Murphy Oil Corp.................................................. 361,360
3,900 Nabors Industries, Ltd. (O)* .................................... 146,406
2,300 Newfield Exploration Co. (O)* 139,748
5,300 Noble Energy, Inc. .............................................. 461,100
1,200 Overseas Shipholding Group,
Inc. (O) ........................................................ 90,312
5,500 Patterson-UTI Energy, Inc. ...................................... 153,670
3,300 Pioneer Natural
Resources Co. (O) ............................................... 190,509
6,700 Plains Exploration &
Production Co. (O)* ............................................. 417,276
3,600 Rowan Cos., Inc. (O) ............................................ 140,364
13,500 Spectra Energy Corp. (O) ........................................ 333,450
3,600 St. Mary Land & Exploration
Co. (O).......................................................... 157,392
1,000 Sunoco, Inc. (O) ................................................ 46,410
3,800 Whiting Petroleum Corp. *........................................ 290,776
5,100 Williams Cos., Inc. ............................................. 181,050
-------------
4,967,030
-------------
FINANCIALS - 25.97%
2,600 AMB Property Corp., REIT......................................... 150,150
7,100 American Capital Strategies,
Ltd. (O) ........................................................ 225,425
6,000 Ameriprise Financial, Inc. ...................................... 284,940
14,000 Annaly Capital Management,
Inc., REIT ...................................................... 234,640
10,200 AON Corp. (O) ................................................... 462,978
2,900 Arch Capital Group, Ltd. * ...................................... 204,885
8,799 Ares Capital Corp. (O)........................................... 99,077
5,500 Asset Acceptance Capital
Corp. (O)* ...................................................... 66,275
6,260 Associated Banc-Corp. (O) ....................................... 176,970
4,400 Assurant, Inc. .................................................. 286,000
6,200 Assured Guaranty, Ltd. (O) ...................................... 156,798
2,600 AvalonBay Communities, Inc.,
REIT (O) ........................................................ 259,350
4,800 Axis Capital Holdings, Ltd. ..................................... 162,768
3,800 Bank of America Corp. ........................................... 142,652
1,800 Black Rock, Inc./New York (O) 363,222
7,700 Blackstone Group L.P./The (O) 143,759
3,800 Boston Properties, Inc., REIT ................................... 381,862
2,600 Cincinnati Financial Corp. ...................................... 93,340
8,300 CIT Group, Inc. (O) ............................................. 90,387
3,200 City National Corp./CA (O)....................................... 155,264
3,200 Comerica, Inc. (O) .............................................. 111,136
2,700 Credit Acceptance Corp. (O)* .................................... 51,975
1,800 Cullen/Frost Bankers, Inc. (O) 100,476
4,975 Delphi Financial Group, Inc.,
Class A (O)...................................................... 135,419
2,400 Developers Diversified Realty
Corp., REIT (O).................................................. 103,080
7,800 E*Trade Financial Corp. (O)* 31,044
6,900 Equity Residential, REIT......................................... 286,488
3,100 Everest Re Group, Ltd. .......................................... 280,085
3,300 Financial Federal Corp. (O) ..................................... 77,055
1,800 First Midwest Bancorp,
Inc./IL (O)...................................................... 45,954
10,500 Genworth Financial, Inc.,
Class A ......................................................... 242,130
3,400 HCP, Inc., REIT (O) ............................................. 121,380
10,900 Host Hotels & Resorts, Inc.,
REIT (O) ........................................................ 187,480
2,700 Hudson City Bancorp, Inc. ....................................... 51,651
4,040 International Bancshares
Corp. (O) ....................................................... 100,960
2,300 IPC Holdings, Ltd. (O) .......................................... 66,953
8,200 iStar Financial, Inc., REIT (O) 157,850
4,200 JPMorgan Chase & Co. ............................................ 200,130
12,400 Keycorp (O) ..................................................... 299,212
7,100 Kimco Realty Corp., REIT (O) 283,361
3,400 Legg Mason, Inc. ................................................ 204,952
2,500 Leucadia National Corp. (O) ..................................... 128,050
3,000 M&T Bank Corp. (O) .............................................. 279,690
10,198 Marshall & Ilsley Corp. (O) ..................................... 254,746
2,000 MB Financial, Inc. (O) .......................................... 57,400
2,700 MBIA, Inc. (O)................................................... 28,080
3,600 NewAlliance Bancshares, Inc. (O) 48,456
2,600 PartnerRe, Ltd. ................................................. 192,348
3,400 Platinum Underwriters
Holdings, Ltd. .................................................. 121,958
3,100 Plum Creek Timber Co., Inc.,
REIT (O) ........................................................ 126,604
9,700 Principal Financial Group,
Inc. (O) ........................................................ 520,502
1,000 Prologis, REIT .................................................. 62,610
1,000 PS Business Parks, Inc., REIT 57,240
2,700 Public Storage, REIT (O) ........................................ 244,890
13,000 RAIT Investment Trust, REIT (O) 98,800
2,000 Rayonier, Inc., REIT (O) ........................................ 84,060
5,600 Realty Income Corp., REIT (O) 147,336
1,300 Regency Centers Corp., REIT ..................................... 93,041
3,400 Reinsurance Group of America,
Inc. (O) ........................................................ 176,732
3,500 RenaissanceRe Holdings,
Ltd. (O) ........................................................ 180,040
3,900 Safeco Corp. (O) ................................................ 260,286
1,500 Simon Property Group, Inc.,
REIT............................................................. 149,790
2,700 SL Green Realty Corp., REIT...................................... 250,560
11,500 Sovereign Bancorp, Inc. (O)...................................... 85,905
3,200 State Street Corp. .............................................. 230,848
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
44
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
4,200 TCF Financial Corp. (O).......................................... $ 73,080
4,100 Torchmark Corp. ................................................. 265,434
16,700 Unum Group (O) .................................................. 387,607
6,200 U-Store-It Trust, REIT (O) ...................................... 74,834
1,600 Ventas, Inc., REIT .............................................. 77,696
5,300 Vornado Realty Trust,
REIT (O) ........................................................ 493,377
2,500 Webster Financial Corp. ......................................... 65,125
1,400 Westamerica Bancorporation (O) 81,816
9,200 WR Berkley Corp.................................................. 236,348
2,800 XL Capital, Ltd., Class A (O) ................................... 97,692
4,103 Zions Bancorporation (O) ........................................ 190,174
-------------
13,202,668
-------------
HEALTH CARE - 3.44%
5,000 AmerisourceBergen Corp. ......................................... 202,750
4,200 Amsurg Corp. (O)* ............................................... 107,268
6,100 Applera Corp. - Applied
Biosystems Group (O)(S) ......................................... 194,651
6,100 Centene Corp. (O)* .............................................. 112,057
1,200 Charles River Laboratories
International, Inc. * ........................................... 69,660
2,500 Invitrogen Corp. (O)* ........................................... 233,925
4,800 Medco Health Solutions,
Inc. (O)* ....................................................... 237,792
3,700 Orthofix International
N.V. (O)* ....................................................... 113,812
10,500 Schering-Plough Corp. (O) .... 193,305
10,600 Universal American Corp. (O)* 113,738
3,800 Wyeth ........................................................... 168,986
-------------
1,747,944
-------------
INDUSTRIALS - 12.24%
9,400 ACCO Brands Corp. (O)*........................................... 130,848
2,900 Acuity Brands, Inc. (O) ......................................... 138,736
12,200 Airtran Holdings, Inc. (O)*...................................... 41,602
2,300 Albany International Corp.,
Class A (O)...................................................... 83,490
2,300 Avery Dennison Corp. ............................................ 110,837
6,500 Belden, Inc. (O)................................................. 219,310
8,100 Carlisle Cos., Inc. (O) ......................................... 233,928
5,200 Cooper Industries, Ltd.,
Class A (O)...................................................... 220,428
6,800 CSX Corp. (O) ................................................... 428,060
6,100 Diana Shipping, Inc. (O) ........................................ 185,196
5,900 Dover Corp. ..................................................... 291,873
3,500 Eaton Corp. ..................................................... 307,440
3,000 ESCO Technologies, Inc. (O)* 139,680
2,200 GATX Corp. (O) .................................................. 96,800
2,987 Genesee & Wyoming, Inc.,
Class A (O)*..................................................... 106,576
3,100 Graco, Inc. (O) ................................................. 128,371
9,600 Ingersoll-Rand Co., Ltd., Class A 426,048
7,800 ITT Corp. ....................................................... 499,200
8,200 KBR, Inc. (O).................................................... 236,488
2,100 L-3 Communications
Holdings, Inc. .................................................. 234,045
4,700 Masco Corp. (O) ................................................. 85,587
5,700 Mueller Industries, Inc. ........................................ 184,509
2,900 Norfolk Southern Corp. .......................................... 172,782
6,300 Parker Hannifin Corp. (O) ....................................... 503,055
3,150 Republic Services, Inc. ......................................... 100,139
5,600 RR Donnelley & Sons Co. ......................................... 171,584
2,700 Simpson Manufacturing
Co., Inc. (O) ................................................... 71,253
11,400 Southwest Airlines Co. .......................................... 150,936
4,800 Spirit Aerosystems Holdings, Inc.,
Class A (O)*..................................................... 140,016
3,200 United Stationers, Inc. (O)* .................................... 141,088
2,800 WW Grainger, Inc. (O) ........................................... 242,788
-------------
6,222,693
-------------
INFORMATION TECHNOLOGY - 6.84%
4,800 Affiliated Computer Services,
Inc., Class A (O)* .............................................. 254,256
6,300 Altera Corp. .................................................... 134,064
8,200 Arrow Electronics, Inc. * ....................................... 223,122
7,500 CA, Inc. (O) .................................................... 166,050
7,400 Computer Sciences Corp. (O)* 322,566
1,900 Diebold, Inc. (O) ............................................... 74,480
4,400 Electronics for Imaging, Inc. * 63,448
4,900 Intersil Corp., Class A (O) ..................................... 130,928
5,900 Juniper Networks, Inc. (O)* .... 162,958
19,900 LSI Corp. *...................................................... 123,380
8,600 Maxim Integrated Products, Inc. 180,858
2,900 MAXIMUS, Inc. ................................................... 109,968
19,600 Micron Technology, Inc. (O)* 151,312
5,200 Molex, Inc. (O) ................................................. 147,576
7,500 NAM TAI Electronics, Inc. ....................................... 77,325
5,300 NCR Corp. *...................................................... 130,539
5,600 Novellus Systems, Inc. (O)* ..................................... 122,416
3,900 SanDisk Corp. (O)*............................................... 105,651
11,700 Seagate Technology (O) .......................................... 220,779
2,900 Teradata Corp. * ................................................ 61,741
4,800 Websense, Inc. (O)* ............................................. 93,360
24,200 Xerox Corp. (O).................................................. 338,074
4,100 Xyratex, Ltd. (O)* .............................................. 80,647
-------------
3,475,498
-------------
MATERIALS - 7.87%
1,900 Air Products & Chemicals,
Inc. (O) ........................................................ 187,017
1,800 Aptargroup, Inc. (O) ............................................ 79,470
5,300 Celanese Corp., Series A ........................................ 237,175
800 Compass Minerals International,
Inc. ............................................................ 50,400
2,100 Cytec Industries, Inc. .......................................... 123,921
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
45
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MATERIALS (CONTINUED)
1,800 Deltic Timber Corp. (O) .......... $ 94,950
6,600 EI Du Pont de Nemours & Co. (O) ...................................... 322,806
3,435 Freeport-McMoRan Copper & Gold, Inc. ................................. 390,731
4,300 Mosaic Co./The *...................................................... 526,793
3,000 Nucor Corp. .......................................................... 226,500
5,300 Pactiv Corp. * ....................................................... 126,087
3,700 Reliance Steel & Aluminum Co.......................................... 224,886
4,200 Rohm & Haas Co. (O) .................................................. 224,490
8,800 Sealed Air Corp. ..................................................... 222,552
3,600 Sigma-Aldrich Corp. .................................................. 205,272
2,900 United States Steel Corp. (O) ........................................ 446,455
4,900 Weyerhaeuser Co. (O) ................................................. 313,012
-----------
4,002,517
-----------
TELECOMMUNICATION SERVICES - 1.25%
12,200 Citizens Communications Co. (O) 130,784
4,200 Embarq Corp. ......................................................... 174,594
43,500 Qwest Communications International, Inc. (O) ......................... 224,460
9,100 Windstream Corp. (O).................................................. 106,834
-----------
636,672
-----------
UTILITIES - 13.02%
6,700 Ameren Corp. (O) ..................................................... 303,912
12,700 American Electric Power Co., Inc. (O) ................................ 566,801
2,300 Atmos Energy Corp. (O) ............................................... 63,664
11,200 CMS Energy Corp. (O) ................................................. 163,296
8,500 Consolidated Edison, Inc. (O)......................................... 353,600
2,200 Constellation Energy Group, Inc. (O) ................................. 186,230
6,400 DTE Energy Co. ....................................................... 257,984
11,100 Edison International (O) ............................................. 579,087
1,900 Energen Corp. ........................................................ 129,656
5,000 Energy East Corp. .................................................... 114,000
1,100 Entergy Corp. ........................................................ 126,346
5,200 Mirant Corp. (O)* .................................................... 213,772
3,800 National Fuel Gas Co. (O) ............................................ 194,484
1,700 New Jersey Resources Corp. (O) ....................................... 54,145
5,000 NRG Energy, Inc. * ................................................... 219,750
8,200 NSTAR (O) ............................................................ 264,122
3,900 Oneok, Inc. (O) ...................................................... 187,668
11,100 PG&E Corp. ........................................................... 444,000
5,200 PPL Corp. ............................................................ 249,704
7,200 Progress Energy, Inc. ................................................ 302,328
4,000 Questar Corp. (O) .................................................... 248,120
6,100 Reliant Energy, Inc. * ............................................... 157,014
7,700 Sempra Energy (O) .................................................... 436,359
3,900 UGI Corp. ............................................................ 101,400
4,400 Westar Energy, Inc. (O)............................................... 102,036
1,600 WGL Holdings, Inc. (O) ............................................... 52,480
4,000 Wisconsin Energy Corp. ............................................... 189,840
17,300 Xcel Energy, Inc. (O)................................................. 359,840
-----------
6,621,638
-----------
TOTAL COMMON STOCKS
(Cost $49,543,852) ................................................... 50,454,582
INVESTMENT COMPANY - 0.51%
- --------------------------------------------------------------------------------------------------
258,978 SSgA Prime Money Market Fund.......................................... 258,978
-----------
TOTAL INVESTMENT COMPANY
(Cost $258,978) ...................................................... 258,978
COLLATERAL FOR SECURITIES ON LOAN - 26.07%
- --------------------------------------------------------------------------------------------------
13,254,711 State Street Navigator Securities Lending Prime Portfolio (I) ........ 13,254,711
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $13,254,711) ................................................... 13,254,711
TOTAL INVESTMENTS - 125.82%
- --------------------------------------------------------------------------------------------------
(Cost $63,057,541**) ............................................................... 63,968,271
NET OTHER ASSETS AND LIABILITIES - (25.82)%
- --------------------------------------------------------------------------------------------------
(13,125,641)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 50,842,630
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $63,639,867.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
(S) Tracking Stock - Security issued by a parent company that tracks the
performance of a particular division.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
46
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF SECTOR ALLOCATION]
Information Technology 19%
Industrials 19%
Health Care 16%
Energy 15%
Consumer Discretionary 14%
Financials 6%
Materials 4%
Consumer Staples 3%
Cash & Other Net Assets 2%
Telecommunication Services 2%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS- 97.62%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 14.09%
4,700 Aeropostale, Inc. * .................................................. $ 149,413
80,600 Carter's, Inc. (O)* .................................................. 1,139,684
26,100 Darden Restaurants, Inc. (O) ......................................... 928,638
25,900 Gildan Activewear, Inc. (O)*.......................................... 666,407
13,800 Guess ?, Inc. (O) .................................................... 528,264
45,400 Gymboree Corp. (O)* .................................................. 1,962,188
42,200 JOS A Bank Clothiers, Inc. (O)* ...................................... 1,030,102
30,000 O'Reilly Automotive, Inc. (O)* ....................................... 866,100
8,000 priceline.com, Inc. (O)* ............................................. 1,021,120
33,700 Sotheby's (O) ........................................................ 933,490
30,900 Steiner Leisure, Ltd. (O)* ........................................... 1,022,481
38,200 True Religion Apparel, Inc. (O)*...................................... 701,352
-----------
10,949,239
-----------
CONSUMER STAPLES - 2.86%
17,100 Avon Products, Inc. .................................................. 667,242
20,000 Hansen Natural Corp. (O)* ............................................ 707,800
19,300 Herbalife, Ltd. ...................................................... 844,954
-----------
2,219,996
-----------
ENERGY - 15.01%
12,700 Atwood Oceanics, Inc. (O)* ........................................... 1,278,763
20,900 Complete Production Services, Inc. (O)* .............................. 564,509
50,000 Hercules Offshore, Inc. * ............................................ 1,318,000
20,100 National Oilwell Varco, Inc. *........................................ 1,375,845
35,600 Noble Corp. (O) ...................................................... 2,003,568
16,300 Noble Energy, Inc. (O) ............................................... 1,418,100
49,800 St. Mary Land & Exploration Co. (O) .................................. 2,177,256
18,400 Ultra Petroleum Corp. (O)* ........................................... 1,528,488
-----------
11,664,529
-----------
FINANCIALS - 5.48%
31,600 Assured Guaranty, Ltd. (O) ........................................... 799,164
63,800 Huntington Bancshares, Inc./OH (O) ................................... 599,082
51,200 Invesco, Ltd. (O) .................................................... 1,313,280
8,300 Lehman Brothers Holdings, Inc. (O) ................................... 367,192
44,100 MBIA, Inc. (O) ....................................................... 458,640
28,200 WR Berkley Corp. ..................................................... 724,458
-----------
4,261,816
-----------
HEALTH CARE - 16.24%
20,900 Barr Pharmaceuticals, Inc. * ......................................... 1,049,807
11,000 Beckman Coulter, Inc. (O) ............................................ 751,300
18,500 Cephalon, Inc. (O)* .................................................. 1,154,585
8,500 China Medical Technologies, Inc., ADR ................................ 317,900
40,300 Coventry Health Care, Inc. (O)* ..................................... 1,802,619
38,500 Health Net, Inc. (O)* ................................................ 1,127,665
8,800 Hologic, Inc. (O)* ................................................... 256,872
27,600 Hospira, Inc. (O)* ................................................... 1,135,740
16,100 Invitrogen Corp. (O)* ................................................ 1,506,477
39,600 Psychiatric Solutions, Inc. (O)* ..................................... 1,374,516
10,100 St. Jude Medical, Inc. (O)* .......................................... 442,178
27,700 Waters Corp. * ....................................................... 1,702,442
-----------
12,622,101
-----------
INDUSTRIALS - 18.86%
22,500 Carlisle Cos., Inc. (O) .............................................. 649,800
7,600 Foster Wheeler, Ltd. * ............................................... 484,044
35,100 Graco, Inc. (O) ...................................................... 1,453,491
64,800 Herman Miller, Inc. (O) .............................................. 1,511,784
37,300 HUB Group, Inc., Class A (O)*......................................... 1,219,337
38,400 Manpower, Inc. (O) ................................................... 2,577,792
31,900 Oshkosh Corp. (O) .................................................... 1,295,140
8,800 Precision Castparts Corp. ............................................ 1,034,528
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
47
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
8,100 Suntech Power Holdings Co., Ltd., ADR* ............................... $ 362,313
34,700 Terex Corp. * ........................................................ 2,417,896
44,100 Thomas & Betts Corp. * ............................................... 1,651,986
-----------
14,658,111
-----------
INFORMATION TECHNOLOGY - 19.04%
33,100 Akamai Technologies, Inc. (O)* ....................................... 1,183,987
22,900 Amphenol Corp., Class A .............................................. 1,057,522
40,700 Autodesk, Inc. (O)* .................................................. 1,546,600
27,800 BMC Software, Inc. (O)* .............................................. 966,328
38,200 Cognizant Technology Solutions Corp., Class A (O)* ................... 1,231,950
19,400 Flir Systems, Inc. (O)* .............................................. 666,002
97,200 Foundry Networks, Inc. (O)* .......................................... 1,237,356
27,800 Lam Research Corp. (O)* .............................................. 1,135,352
38,200 NetApp, Inc. (O)* .................................................... 924,440
96,400 Perot Systems Corp., Class A (O)* .................................... 1,507,696
55,400 Polycom, Inc. * ...................................................... 1,240,960
28,699 Varian Semiconductor Equipment Associates, Inc. (O)* ................. 1,051,244
45,400 Western Union Co./The (O) ............................................ 1,044,200
-----------
14,793,637
-----------
MATERIALS - 4.25%
16,100 Agrium, Inc. ......................................................... 1,271,900
4,600 Cleveland-Cliffs, Inc. (O) ........................................... 737,840
8,500 Teck Cominco, Ltd., Class B .......................................... 371,195
71,800 Yamana Gold, Inc. .................................................... 920,476
-----------
3,301,411
-----------
TELECOMMUNICATION SERVICES - 1.79%
30,400 NII Holdings, Inc. (O)*............................................... 1,390,496
-----------
TOTAL COMMON STOCKS
(Cost $75,163,637) ................................................... 75,861,336
INVESTMENT COMPANY - 2.93%
- --------------------------------------------------------------------------------------------------
2,278,564 SSgA Prime Money Market Fund ......................................... 2,278,564
-----------
TOTAL INVESTMENT COMPANY
(Cost $2,278,564) .................................................... 2,278,564
COLLATERAL FOR SECURITIES ON LOAN - 19.39%
- --------------------------------------------------------------------------------------------------
15,062,634 State Street Navigator Securities Lending Prime Portfolio (I) ........ 15,062,634
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $15,062,634) ................................................... 15,062,634
TOTAL INVESTMENTS - 119.94%
- --------------------------------------------------------------------------------------------------
(Cost $92,504,835**) ............................................................... 93,202,534
NET OTHER ASSETS AND LIABILITIES - (19.94)%
- --------------------------------------------------------------------------------------------------
(15,494,498)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 77,708,037
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $95,656,806.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
48
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF SECTOR ALLOCATION]
Industrials 23%
Financials 22%
Consumer Discretionary 18%
Energy 7%
Health Care 7%
Information Technology 6%
Consumer Staples 5%
Cash and Other Net Assets 4%
Utilities 4%
Materials 4%
Telecommunication Services 0%*
[END CHART]
* Rounds to 0%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS- 95.76%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 18.18%
7,500 Arbitron, Inc. ....................................................... $ 358,800
24,500 Cato Corp./The, Class A .............................................. 422,625
7,900 CEC Entertainment, Inc. * ............................................ 293,880
18,400 Helen of Troy, Ltd. * ................................................ 311,144
32,500 Hibbett Sports, Inc. * ............................................... 593,450
6,500 Matthews International Corp., Class A ................................ 321,360
20,800 Modine Manufacturing Co. ............................................. 365,456
8,400 Sonic Corp. * ........................................................ 184,716
36,600 Stage Stores, Inc. ................................................... 576,084
19,200 Tempur-Pedic International, Inc. ..................................... 213,312
8,600 Unifirst Corp./MA .................................................... 402,566
16,200 Valassis Communications, Inc. * ...................................... 230,040
-----------
4,273,433
-----------
CONSUMER STAPLES - 4.56%
20,700 Casey's General Stores, Inc. ......................................... 458,091
8,300 Herbalife, Ltd. ...................................................... 363,374
11,900 Lance, Inc. .......................................................... 249,424
-----------
1,070,889
-----------
ENERGY - 7.34%
16,400 Penn Virginia Corp. .................................................. 861,000
11,300 Whiting Petroleum Corp. * ............................................ 864,676
-----------
1,725,676
-----------
FINANCIALS - 22.30%
6,200 Acadia Realty Trust, REIT ............................................ 158,968
7,800 American Campus Communities, Inc., REIT .............................. 238,134
25,000 Ares Capital Corp. ................................................... 281,500
22,400 Asset Acceptance Capital Corp. * ..................................... 269,920
16,800 Assured Guaranty, Ltd. ............................................... 424,872
13,200 Asta Funding, Inc. ................................................... 188,364
9,600 Credit Acceptance Corp. * ............................................ 184,800
12,200 Delphi Financial Group, Inc., Class A ................................ 332,084
15,500 Financial Federal Corp. .............................................. 361,925
5,200 First Midwest Bancorp, Inc./IL ....................................... 132,756
12,420 International Bancshares Corp. ....................................... 310,376
6,900 IPC Holdings, Ltd. ................................................... 200,859
5,600 MB Financial, Inc. ................................................... 160,720
8,300 NewAlliance Bancshares, Inc. ......................................... 111,718
1,900 Pennsylvania Real Estate Investment Trust, REIT ...................... 47,842
9,500 Platinum Underwriters Holdings, Ltd. ................................. 340,765
4,100 PS Business Parks, Inc., REIT ....................................... 234,684
41,900 RAIT Investment Trust, REIT .......................................... 318,440
13,600 Realty Income Corp., REIT ............................................ 357,816
24,300 U-Store-It Trust, REIT ............................................... 293,301
5,000 Westamerica Bancorporation ........................................... 292,200
-----------
5,242,044
-----------
HEALTH CARE - 6.82%
12,100 Amsurg Corp. * ....................................................... 309,034
17,300 Centene Corp. * ...................................................... 317,801
9,400 Corvel Corp. * ....................................................... 309,260
10,700 Orthofix International N.V. * ........................................ 329,132
31,400 Universal American Corp. * ........................................... 336,922
-----------
1,602,149
-----------
INDUSTRIALS - 22.92%
26,800 ACCO Brands Corp. *................................................... 373,056
8,100 Acuity Brands, Inc. .................................................. 387,504
41,200 Airtran Holdings, Inc. *.............................................. 140,492
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
49
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
6,900 Albany International Corp., Class A .................................. $ 250,470
18,300 Belden, Inc. ......................................................... 617,442
20,800 Bowne & Co., Inc. .................................................... 346,112
25,100 Carlisle Cos., Inc. .................................................. 724,888
17,600 Deswell Industries, Inc. ............................................. 113,520
8,500 ESCO Technologies, Inc. * ............................................ 395,760
8,300 Genesee & Wyoming, Inc., Class A * ................................... 296,144
16,000 Mueller Industries, Inc. ............................................. 517,920
10,000 Quixote Corp. ........................................................ 118,200
8,800 Simpson Manufacturing Co., Inc. ...................................... 232,232
9,600 Sterling Construction Co., Inc. * .................................... 92,768
9,300 United Stationers, Inc. * ............................................ 410,037
18,800 Vitran Corp., Inc. * ................................................. 269,404
-----------
5,385,949
-----------
INFORMATION TECHNOLOGY - 5.83%
12,500 Electronics for Imaging, Inc. * ..................................... 180,250
8,900 MAXIMUS, Inc. ........................................................ 337,488
24,900 NAM TAI Electronics, Inc. ............................................ 256,719
15,000 Websense, Inc. * ..................................................... 291,750
15,500 Xyratex, Ltd. * ...................................................... 304,885
-----------
1,371,092
-----------
MATERIALS - 4.15%
5,100 Aptargroup, Inc. ..................................................... 225,165
3,200 Compass Minerals International, Inc. ................................. 201,600
4,900 Deltic Timber Corp. .................................................. 258,475
19,600 Zep, Inc. ............................................................ 290,472
-----------
975,712
-----------
TELECOMMUNICATION SERVICES - 0.15%
1,100 Atlantic Tele-Network, Inc. .......................................... 34,243
-----------
UTILITIES - 3.51%
8,700 Atmos Energy Corp. ................................................... 240,816
4,350 New Jersey Resources Corp. ........................................... 138,548
11,600 Westar Energy, Inc. .................................................. 269,004
5,400 WGL Holdings, Inc. ................................................... 177,120
-----------
825,488
-----------
TOTAL COMMON STOCKS
(Cost $24,106,018) ................................................... 22,506,675
INVESTMENT COMPANY - 3.77%
- --------------------------------------------------------------------------------------------------
886,923 SSgA Prime Money Market Fund ......................................... 886,923
-----------
TOTAL INVESTMENT COMPANY
(Cost $886,923) ...................................................... 886,923
TOTAL INVESTMENTS - 99.53%
- --------------------------------------------------------------------------------------------------
(Cost $24,992,941**) ............................................................... 23,393,598
NET OTHER ASSETS AND LIABILITIES - 0.47%
- --------------------------------------------------------------------------------------------------
110,573
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 23,504,171
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $25,027,272.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
50
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF SECTOR ALLOCATION]
Industrials 26%
Information Technology 25%
Health Care 17%
Energy 10%
Consumer Discretionary 9%
Financials 5%
Materials 3%
Cash and Other Net Assets 2%
Consumer Staples 1%
Telecommunication Services 1%
Utilities 1%
[END CHART]
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.87%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 8.95%
1,500 Abercrombie & Fitch Co.,
Class A ......................................................... $ 111,465
7,200 Cabela's, Inc. * ................................................ 97,416
5,600 California Pizza Kitchen, Inc. * ................................ 87,304
11,200 CKX, Inc. *...................................................... 100,800
4,000 Columbia Sportswear Co. ......................................... 167,840
1,300 Ctrip. com International, Ltd., ADR ............................. 80,678
2,300 Deckers Outdoor Corp. * ......................................... 317,561
1,000 Dick's Sporting Goods, Inc. * ................................... 28,600
4,100 Dolan Media Co. *................................................ 71,094
3,200 Focus Media Holding, Ltd., ADR* ................................. 118,048
1,400 Fossil, Inc. *................................................... 50,106
3,900 Genesco, Inc. * ................................................. 86,424
9,300 Great Wolf Resorts, Inc. * ...................................... 56,823
1,200 hhgregg, Inc. * ................................................. 12,324
3,800 Iconix Brand Group, Inc. *....................................... 60,496
3,900 Interactive Data Corp. .......................................... 105,222
1,500 Men's Wearhouse, Inc. ........................................... 39,945
7,400 Outdoor Channel Holdings, Inc. * ................................ 55,278
5,700 Pinnacle Entertainment, Inc. * .................................. 88,464
300 priceline. com, Inc. * .......................................... 38,292
5,100 Scientific Games Corp., Class A* ................................ 143,616
1,900 Universal Electronics, Inc. * ................................... 48,830
4,600 Urban Outfitters, Inc. * ........................................ 157,550
4,200 Volcom, Inc. * .................................................. 79,758
2,800 Warnaco Group, Inc./The * ....................................... 129,192
8,600 World Wrestling Entertainment, Inc., Class A .................... 151,790
-----------
2,484,916
-----------
CONSUMER STAPLES - 0.87%
700 Boston Beer Co., Inc., Class A * $ .............................. 31,010
200 Central European Distribution Corp. *............................ 12,184
4,800 John B. Sanfilippo & Son, Inc. * ................................ 51,504
2,400 Pantry, Inc./The * .............................................. 26,040
3,200 Reddy Ice Holdings, Inc. ........................................ 42,368
400 WD-40 Co. ....................................................... 12,448
3,800 Winn-Dixie Stores, Inc. * ....................................... 67,374
-----------
242,928
-----------
ENERGY - 9.78%
3,500 Alpha Natural Resources, Inc. * ................................. 170,275
1,800 Atwood Oceanics, Inc. * ......................................... 181,242
5,800 Basic Energy Services, Inc. *.................................... 134,560
5,500 Cabot Oil & Gas Corp. ........................................... 313,335
4,200 Carrizo Oil & Gas, Inc. *........................................ 266,658
1,800 Dawson Geophysical Co. * ........................................ 130,212
4,600 Dril-Quip, Inc. * ............................................... 262,936
5,400 Hercules Offshore, Inc. *........................................ 142,344
2,200 Lufkin Industries, Inc. ......................................... 165,990
4,300 NATCO Group, Inc., Class A * .................................... 217,580
3,800 Oceaneering International, Inc. * ............................... 253,764
12,600 Petroquest Energy, Inc. * ....................................... 261,828
2,800 W-H Energy Services, Inc. * ..................................... 216,412
-----------
2,717,136
-----------
FINANCIALS - 5.13%
600 Affiliated Managers Group, Inc. * ............................... 59,604
700 Alexandria Real Estate Equities, Inc., REIT ..................... 73,521
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
51
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
5,600 American Physicians Capital, Inc. ............................... $ 259,560
3,800 Boston Private Financial Holdings, Inc. ......................... 35,340
12,200 GFI Group, Inc. ................................................. 143,350
3,700 Greenhill & Co., Inc. ........................................... 240,685
3,300 Mid-America Apartment Communities, Inc., REIT ................... 173,250
3,500 Signature Bank/New York NY *..................................... 92,330
1,600 SVB Financial Group * ........................................... 77,856
5,400 Tower Group, Inc. ............................................... 126,846
4,200 Waddell & Reed Financial, Inc., Class A ......................... 142,212
-----------
1,424,554
-----------
HEALTH CARE - 16.91%
1,400 Air Methods Corp. *.............................................. 56,140
2,200 Alexion Pharmaceuticals, Inc. * ................................. 154,836
6,300 Align Technology, Inc. * ........................................ 77,364
4,800 Alkermes, Inc. *................................................. 59,664
5,300 AMN Healthcare Services, Inc. * ................................. 77,327
2,200 Arthrocare Corp. * .............................................. 99,132
5,400 Bruker Corp. * .................................................. 65,448
1,900 Corvel Corp. * .................................................. 62,510
4,500 Cutera, Inc. *................................................... 59,850
2,500 Gen-Probe, Inc. * ............................................... 140,900
6,900 HMS Holdings Corp. *............................................. 177,813
9,000 Hologic, Inc. * ................................................. 262,710
3,500 Icon PLC, ADR * ................................................. 252,000
3,500 Immucor, Inc. * ................................................. 94,430
4,400 InterMune, Inc. * ............................................... 69,740
6,000 inVentiv Health, Inc. * ......................................... 178,380
2,700 Kendle International, Inc. * .................................... 115,263
5,500 KV Pharmaceutical Co., Class A* ................................. 134,420
3,300 Magellan Health Services, Inc. * ................................ 127,347
1,800 Matria Healthcare, Inc. * ....................................... 45,900
7,800 Medcath Corp. * ................................................. 144,768
3,600 Medicines Co./The * ............................................. 71,100
6,500 Medicis Pharmaceutical Corp., Class A ........................... 133,900
2,500 Myriad Genetics, Inc. * ......................................... 103,850
4,000 Omnicell, Inc. *................................................. 48,080
8,800 Parexel International Corp. *.................................... 223,520
5,700 Pediatrix Medical Group, Inc. * ................................. 387,714
7,200 PharmaNet Development Group, Inc. * ............................. 171,792
4,900 PSS World Medical, Inc. *........................................ 80,703
6,900 Psychiatric Solutions, Inc. * ................................... 239,499
3,600 SonoSite, Inc. * ................................................ 114,804
7,900 Sun Healthcare Group, Inc. *..................................... 103,885
7,300 Trizetto Group * ................................................ 153,665
6,000 Wright Medical Group, Inc. * .................................... 167,520
1,000 XenoPort, Inc. *................................................. 42,780
5,900 Zoll Medical Corp. * ............................................ 196,942
-----------
4,695,696
-----------
INDUSTRIALS - 25.83%
10,900 AAR Corp. * ..................................................... 255,060
5,700 Actuant Corp., Class A .......................................... 193,059
1,300 Acuity Brands, Inc. ............................................. 62,192
3,200 Advisory Board Co./The * ........................................ 149,184
1,900 American Commercial Lines, Inc. * ............................... 30,058
7,300 BE Aerospace, Inc. * ............................................ 294,628
3,100 Bucyrus International, Inc., Class A ............................ 390,383
4,600 Chart Industries, Inc. * ........................................ 186,944
2,700 Clean Harbors, Inc. * ........................................... 178,119
12,700 Comfort Systems USA, Inc. ....................................... 172,720
9,600 Diamond Management & Technology Consultants, Inc. ............... 59,040
4,100 EnPro Industries, Inc. * ........................................ 148,830
5,200 FTI Consulting, Inc. *........................................... 332,800
2,500 G&K Services, Inc., Class A ..................................... 78,825
5,100 Genesis Lease, Ltd., ADR ........................................ 68,850
6,600 Geo Group, Inc./The * ........................................... 174,570
3,400 GeoEye, Inc. * .................................................. 78,302
4,900 Healthcare Services Group ....................................... 74,774
3,700 Heico Corp. ..................................................... 190,587
6,700 HUB Group, Inc., Class A* ....................................... 219,023
10,000 Hudson Highland Group, Inc. * ................................... 88,700
1,600 Huron Consulting Group, Inc. * .................................. 66,976
3,100 IHS, Inc., Class A* ............................................. 204,755
2,600 II-VI, Inc. * ................................................... 96,564
14,200 Innovative Solutions & Support, Inc. *........................... 131,350
2,900 Kaydon Corp. .................................................... 151,873
4,100 Kenexa Corp. * .................................................. 71,709
2,400 Kirby Corp. * ................................................... 131,616
4,700 Ladish Co., Inc. * .............................................. 141,282
6,500 LMI Aerospace, Inc. * ........................................... 124,800
2,900 Middleby Corp. * ................................................ 181,975
1,900 Perini Corp. * .................................................. 68,742
4,500 RBC Bearings, Inc. * ............................................ 179,865
8,400 Simpson Manufacturing Co., Inc. ................................. 221,676
1,800 Stericycle, Inc. * .............................................. 96,084
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
52
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
4,900 TransDigm Group, Inc. * ......................................... $ 186,053
6,500 Triumph Group, Inc. ............................................. 382,655
4,500 UAP Holding Corp. ............................................... 175,095
3,800 URS Corp. * ..................................................... 153,292
10,000 Wabtec Corp. .................................................... 428,800
2,600 Walter Industries, Inc. ......................................... 180,336
6,300 Waste Connections, Inc. *........................................ 202,041
2,900 Watson Wyatt Worldwide, Inc., Class A ........................... 169,998
-----------
7,174,185
-----------
INFORMATION TECHNOLOGY - 25.36%
4,500 ACI Worldwide, Inc. * ........................................... 99,450
1,200 Anixter International, Inc. *.................................... 68,364
4,100 Ansoft Corp. * .................................................. 135,956
6,800 Ansys, Inc. *.................................................... 273,564
5,000 Aspen Technology, Inc. *......................................... 68,700
3,900 Atheros Communications, Inc. * .................................. 103,818
7,500 Blackboard, Inc. * .............................................. 259,050
3,400 Cabot Microelectonics Corp. * ................................... 115,770
2,300 CACI International, Inc., Class A* .............................. 115,276
6,600 Commvault Systems, Inc. * ....................................... 81,180
5,200 Comtech Telecommunications Corp. * .............................. 201,396
1,800 Cymer, Inc. * ................................................... 46,782
9,900 Dice Holdings, Inc. *............................................ 67,518
7,750 Diodes, Inc. *................................................... 209,560
9,100 DivX, Inc. * .................................................... 68,068
4,900 Double-Take Software, Inc. * .................................... 72,912
5,300 EMS Technologies, Inc. * ........................................ 137,058
3,900 Emulex Corp. * .................................................. 51,051
10,800 ExlService Holdings, Inc. * ..................................... 271,296
1,800 FARO Technologies, Inc. * ....................................... 63,432
11,400 Flir Systems, Inc. * ............................................ 391,362
12,600 Forrester Research, Inc. * ...................................... 363,384
13,500 i2 Technologies, Inc. * ......................................... 141,750
7,000 Informatica Corp. *.............................................. 111,720
15,000 Kulicke & Soffa Industries, Inc. * .............................. 98,850
12,000 Manhattan Associates, Inc. * .................................... 312,120
6,800 Micros Systems, Inc. *........................................... 242,420
10,500 Microsemi Corp. * ............................................... 257,250
14,000 MPS Group, Inc. *................................................ 150,220
4,800 Netlogic Microsystems, Inc. * ................................... 157,392
2,800 Neutral Tandem, Inc. *........................................... 53,844
11,700 Nice Systems, Ltd., ADR*......................................... 372,528
12,800 Perficient, Inc. * .............................................. 117,504
2,200 Power Integrations, Inc. *....................................... 68,574
3,000 Quality Systems, Inc. ........................................... 96,360
800 Rofin-Sinar Technologies, Inc. * ................................ 30,464
5,300 Satyam Computer Services, Ltd., ADR ............................. 136,104
1,700 Scansource, Inc. * .............................................. 42,449
17,200 Secure Computing Corp. * ........................................ 113,864
3,000 SiRF Technology Holdings, Inc. * ................................ 17,730
8,100 SkillSoft PLC, ADR*.............................................. 81,405
15,800 SonicWALL, Inc. * ............................................... 121,502
5,500 Standard Microsystems Corp. * ................................... 163,075
7,600 SuccessFactors, Inc. * .......................................... 83,904
9,700 SYKES Enterprises, Inc. * ....................................... 161,214
9,500 Technitrol, Inc. ................................................ 199,500
4,500 THQ, Inc. * ..................................................... 95,760
7,600 Travelzoo, Inc. * ............................................... 84,664
3,100 Valueclick, Inc. *............................................... 61,845
4,200 Wright Express Corp. * .......................................... 138,600
5,000 Zoran Corp. *.................................................... 65,800
-----------
7,043,359
-----------
MATERIALS - 3.61%
1,200 Aptargroup, Inc. ................................................ 52,980
2,400 Buckeye Technologies, Inc. * .................................... 20,712
2,500 Century Aluminum Co. * .......................................... 173,225
1,800 Haynes International, Inc. *..................................... 112,770
1,300 Owens-Illinois, Inc. * .......................................... 71,695
3,500 RTI International Metals, Inc. * ................................ 144,165
4,700 Silgan Holdings, Inc. ........................................... 250,416
4,700 Terra Industries, Inc. * ........................................ 177,942
-----------
1,003,905
-----------
TELECOMMUNICATION SERVICES - 0.96%
1,900 Cbeyond, Inc. * ................................................. 37,506
6,400 NTELOS Holdings Corp. ........................................... 165,632
8,100 PAETEC Holding Corp. *........................................... 62,451
-----------
265,589
-----------
UTILITIES - 0.47%
1,100 Energen Corp. ................................................... 75,064
1,000 ITC Holdings Corp. .............................................. 55,780
-----------
130,844
-----------
TOTAL COMMON STOCKS
(Cost $27,673,982) .............................................. 27,183,112
INVESTMENT COMPANY - 2.03%
- --------------------------------------------------------------------------------------------------
563,760 SSgA Prime Money Market
Fund ............................................................. 563,760
-----------
TOTAL INVESTMENT COMPANY
(Cost $563,760)................................................... 563,760
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
53
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
TOTAL INVESTMENTS - 99.90%
- --------------------------------------------------------------------------------------------------
(Cost $28,237,742**) ............................................ $27,746,872
NET OTHER ASSETS AND LIABILITIES - 0.10%
- --------------------------------------------------------------------------------------------------
27,053
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$27,773,925
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $28,541,296.
ADR American Depositary Receipt.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
54
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF APRIL 30, 2008
[PIE CHART OF GEOGRAPHICAL ALLOCATION]
Europe (excluding United Kingdom) 44%
United Kingdom 19%
Japan 12%
Pacific Basin 8%
Cash & Other Net Assets 5%
Other Countries 5%
Latin America 4%
Africa 3%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 93.72%
- ----------------------------------------------------------------------------------------------------
ARGENTINA - 0.54%
14,300 Tenaris S.A., ADR ................................................ $ 758,043
------------
AUSTRALIA - 0.16%
25,044 ABC Learning Centres, Ltd. (O) ................................... 31,486
17,048 Fairfax Media, Ltd. (O) .......................................... 56,192
12,015 James Hardie Industries N.V. (O) ................................. 67,325
26,819 Macquarie Infrastructure Group (O) ............................... 71,477
------------
226,480
------------
AUSTRIA - 0.05%
1,285 ANDRITZ AG ....................................................... 76,451
------------
BAHRAIN - 0.08%
3,589 Investcorp Bank BSC, GDR ......................................... 96,006
914 Investcorp Bank BSC, GDR (C) 24,449
------------
120,455
------------
BELGIUM - 0.83%
5,180 Arseus N.V. *..................................................... 73,781
13,359 InBev N.V. (O) ................................................... 1,097,991
------------
1,171,772
------------
BRAZIL - 1.59%
20,100 Banco do Brasil S.A. ............................................. 342,577
9,900 Cia de Concessoes Rodoviarias 186,831
7,070 Empresa Brasileira de Aeronautica S.A., ADR ...................... 294,678
7,341 Iochpe Maxion S.A. ............................................... 154,686
43,390 JHSF Participacoes S.A. .......................................... 167,352
28,877 Redecard S.A. .................................................... 551,774
10,390 Souza Cruz S.A. .................................................. 285,416
11,130 Tam S.A., ADR .................................................... 262,668
------------
2,245,982
------------
CANADA - 1.56%
48,100 TELUS Corp. ...................................................... 2,207,244
------------
EGYPT - 0.61%
2,777 Eastern Tobacco .................................................. 201,682
6,542 Egyptian Co. for Mobile Services ................................. 239,995
2,841 Orascom Construction Industries................................. 233,311
12,170 Orascom Telecom Holding S.A.E. ................................... 183,796
------------
858,784
------------
FINLAND - 1.92%
1,920 Konecranes OYJ ................................................... 83,805
79,700 Nokia OYJ......................................................... 2,446,563
3,710 Sampo OYJ, A Shares............................................... 104,819
1,770 Vacon PLC (O)..................................................... 81,280
------------
2,716,467
------------
FRANCE - 11.21%
37,151 AXA S.A. (O)...................................................... 1,382,453
13,736 BNP Paribas....................................................... 1,480,714
47,600 Gaz de France S.A. (O) ........................................... 3,137,248
21,100 Groupe Danone (O) ................................................ 1,866,928
1,147 Neopost S.A. ..................................................... 119,627
32,021 Sanofi-Aventis S.A. (O) .......................................... 2,499,752
884 Sechilienne-Sidec ................................................ 70,042
8,300 Societe Generale (O) ............................................. 971,082
1,900 Societe Generale, New Shares * 219,457
48,115 Total S.A. (O).................................................... 4,040,011
696 Virbac S.A. ...................................................... 65,548
------------
15,852,862
------------
GERMANY - 10.69%
25,329 Adidas AG......................................................... 1,616,170
8,650 Allianz SE ....................................................... 1,762,976
5,750 Compugroup Holding AG * .......................................... 87,717
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
55
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- ----------------------------------------------------------------------------------------------------
GERMANY (CONTINUED)
9,400 Continental AG (O) ................................................. $ 1,105,194
1,730 CTS Eventim AG ..................................................... 65,979
4,680 D+S europe AG *..................................................... 95,435
25,800 Daimler AG ......................................................... 2,005,268
73,300 Deutsche Post AG.................................................... 2,285,472
15,700 E.ON AG (O) ........................................................ 3,194,475
1,063 Pfeiffer Vacuum Technology AG....................................... 101,765
1,537 SGL Carbon AG *..................................................... 104,819
21,614 Siemens AG ......................................................... 2,542,586
2,887 Symrise AG.......................................................... 71,590
897 Wincor Nixdorf AG .................................................. 68,615
------------
15,108,061
------------
GREECE - 1.71%
19,380 National Bank of Greece S.A. .. 1,072,770
31,190 OPAP S.A. .......................................................... 1,213,798
3,850 Piraeus Bank S.A. .................................................. 130,890
------------
2,417,458
------------
HONG KONG - 0.11%
12,320 Esprit Holdings, Ltd. .............................................. 151,727
------------
INDIA - 1.38%
3,000 Grasim Industries, Ltd. *........................................... 178,082
11,291 Hero Honda Motors, Ltd. ............................................ 237,985
24,826 Hindustan Unilever, Ltd. ........................................... 153,803
21,426 Oil & Natural Gas Corp., Ltd. ...................................... 545,394
16,820 Punjab National Bank, Ltd. ......................................... 227,899
37,197 Satyam Computer Services, Ltd. ..................................... 434,264
3,799 State Bank of India, Ltd. .......................................... 167,000
------------
1,944,427
------------
INDONESIA - 0.60%
769,500 Bank Mandiri Persero Tbk PT 239,895
90,500 PT Astra International Tbk ......................................... 196,270
10,170 Telekomunikasi Indonesia Tbk PT, ADR ............................ 394,799
13,000 United Tractors Tbk PT ............................................. 16,987
------------
847,951
------------
IRELAND - 1.54%
7,795 Anglo Irish Bank Corp. PLC ......................................... 109,207
51,887 CRH PLC ............................................................ 1,983,709
3,709 DCC PLC ............................................................ 85,276
------------
2,178,192
------------
ISLE OF MAN - 0.04%
19,553 Hansard Global PLC ................................................. 62,474
------------
ISRAEL - 0.43%
57,870 Bank Hapoalim BM.................................................... 244,497
5,700 Delek Automotive Systems, Ltd. ..................................... 87,875
15,082 Israel Chemicals, Ltd. ............................................. 276,855
------------
609,227
------------
ITALY - 2.99%
79,680 ENI SpA ............................................................ 3,068,599
152,474 UniCredit SpA ...................................................... 1,158,262
------------
4,226,861
------------
JAPAN - 12.14%
6,390 Amano Corp. ........................................................ 67,421
3,600 Asahi Pretec Corp. (O) ............................................. 94,701
20,500 Canon, Inc. ........................................................ 1,019,705
43,650 Daito Trust Construction Co., Ltd. ................................. 2,020,911
2,760 Don Quijote Co., Ltd. (O) .......................................... 49,872
177 East Japan Railway Co. ............................................. 1,403,606
2,280 Hisamitsu Pharmaceutical Co., Inc. (O) ............................. 84,840
35,100 HOYA Corp. (O) ..................................................... 966,980
5,310 Ichiyoshi Securities Co., Ltd. (O) ................................. 57,600
106 Inpex Holdings, Inc. ............................................... 1,176,200
1,870 Jafco Co., Ltd. (O) ................................................ 74,056
393 Japan Tobacco, Inc. ................................................ 1,902,219
48,350 JSR Corp. .......................................................... 1,084,568
89 KK DaVinci Advisors (O)* ........................................... 83,773
3,130 Konami Corp. (O) ................................................... 111,379
4,390 MISUMI Group, Inc. (O).............................................. 84,827
19,800 Nidec Corp. (O) .................................................... 1,483,011
5,090 Ohara, Inc. ........................................................ 87,641
6,220 OSG Corp. (O) ...................................................... 87,047
179 Sumitomo Mitsui Financial Group, Inc. (O) .......................... 1,532,476
266,400 Sumitomo Trust & Banking Co., Ltd./The ............................. 2,382,667
5,000 Suruga Bank, Ltd. .................................................. 70,165
1,920 Sysmex Corp. (O) ................................................... 77,689
17,000 Takeda Pharmaceutical Co., Ltd. .................................... 892,768
3,720 THK Co., Ltd. ...................................................... 82,022
2,810 Union Tool Co. (O) ................................................. 102,680
1,100 USS Co., Ltd. ...................................................... 77,444
------------
17,158,268
------------
KAZAKHSTAN - 0.09%
5,135 Eurasia Natural Resources Corp. * .................................. 122,288
------------
MALAYSIA - 0.22%
11,700 British American Tobacco Malaysia Bhd............................... 158,333
152,200 PLUS Expressways Bhd ............................................... 155,139
------------
313,472
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
56
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- ----------------------------------------------------------------------------------------------------
MEXICO - 0.98%
10,846 Cemex SAB de C.V., ADR *............................................ $ 299,892
5,390 Desarrolladora Homex SAB de C.V., ADR * ............................ 321,136
4,900 Fomento Economico Mexicano SAB de C.V., ADR ........................ 212,905
13,130 Grupo Televisa S.A., ADR ........................................... 324,049
47,910 Kimberly-Clark de Mexico SAB de C.V., Class A ...................... 227,447
------------
1,385,429
------------
NETHERLANDS - 2.07%
2,514 Advanced Metallurgical Group N.V. (O)* ............................. 171,877
1,810 Boskalis Westminster................ 108,982
1,786 Fugro N.V. ......................................................... 159,360
17,940 Heineken N.V........................................................ 1,044,165
4,072 Innoconcepts ....................................................... 68,902
4,773 Ordina N.V. ........................................................ 79,128
2,397 SBM Offshore N.V. .................................................. 91,641
29,130 TNT N.V............................................................. 1,131,363
2,972 USG People N.V. (O) ................................................ 68,840
------------
2,924,258
------------
NORWAY - 0.21%
3,340 Acergy S.A. (O)..................................................... 82,353
5,080 ODIM ASA* .......................................................... 89,292
8,370 Songa Offshore ASA (O)* ............................................ 122,192
------------
293,837
------------
PHILIPPINES - 0.31%
7,260 Philippine Long Distance Telephone Co., ADR ........................ 443,586
------------
PORTUGAL - 0.04%
12,175 Banif SGPS S.A. .................................................... 58,183
------------
RUSSIA - 0.97%
6,400 Eurasia Drilling Co., Ltd., GDR (C)* ............................... 148,480
1,660 Evraz Group S.A., GDR .............................................. 172,225
5,750 Mobile Telesystems OJSC, ADR ....................................... 446,085
4,422 Oriflame Cosmetics S.A., SDR ....................................... 338,625
79,352 TNK-BP Holding ..................................................... 155,133
540 Vsmpo-Avisma Corp. ................................................. 116,640
------------
1,377,188
------------
SINGAPORE - 2.99%
8,300 Cosco Corp. Singapore, Ltd., ADR ................................... 93,375
86,000 DBS Group Holdings, Ltd. ........................................... 1,257,934
1,010,300 Singapore Telecommunications, Ltd. ................................. 2,872,221
------------
4,223,530
------------
SOUTH AFRICA - 2.17%
17,959 Aquarius Platinum, Ltd. ............................................ 282,451
29,139 Imperial Holdings, Ltd. * .......................................... 294,647
10,836 Kumba Iron Ore, Ltd. ............................................... 472,350
26,718 Massmart Holdings, Ltd. ............................................ 249,696
12,000 Murray & Roberts Holdings, Ltd. .................................... 140,283
14,563 Naspers, Ltd. ...................................................... 315,983
17,337 Nedbank Group, Ltd. ................................................ 262,217
60,042 Pretoria Portland Cement Co., Ltd. ................................. 317,246
70,758 Sanlam, Ltd. ....................................................... 186,933
93,618 Steinhoff International Holdings, Ltd. ............................. 229,395
93,279 Truworths International, Ltd. ...................................... 315,432
------------
3,066,633
------------
SOUTH KOREA - 2.27%
237 Amorepacific Corp. ................................................. 150,097
1,742 GS Engineering & Construction Corp. ................................ 256,266
1,545 Hite Brewery Co., Ltd. ............................................. 182,598
12,372 Kookmin Bank ....................................................... 862,517
2,069 Samsung Electronics Co., Ltd., GDR (C).............................. 736,564
11,178 Shinhan Financial Group Co., Ltd. .................................. 645,496
11,890 Woongjin Coway Co., Ltd. ........................................... 375,917
------------
3,209,455
------------
SPAIN - 1.30%
78,250 Banco Santander S.A. (O)............................................ 1,687,040
2,510 Codere S.A. * ...................................................... 46,847
3,690 Indra Sistemas S.A. ................................................ 100,693
------------
1,834,580
------------
SWEDEN - 0.88%
10,707 Duni AB *........................................................... 83,956
6,390 Elekta AB, B Shares ................................................ 111,138
4,043 Getinge AB, B Shares (O) ........................................... 103,201
3,240 Indutrade AB (O) ................................................... 77,568
7,460 KappAhl Holding AB (O)*............................................. 64,719
313,300 Telefonaktiebolaget LM Ericsson, B B Shares (O)..................... 798,676
------------
1,239,258
------------
SWITZERLAND - 8.84%
13 Bank Sarasin & Cie AG, Series B .................................... 59,169
156 Banque Cantonale Vaudoise .......................................... 61,327
350 Burckhardt Compression Holding AG .................................. 112,156
600 Dufry Group ........................................................ 64,991
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
57
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- ----------------------------------------------------------------------------------------------------
SWITZERLAND (CONTINUED)
1,236 Gottex Fund Management
Holdings, Ltd. * ................................................... $ 45,062
7,817 Nestle S.A. ........................................................ 3,727,380
78,185 Novartis AG ........................................................ 3,953,132
12,900 Roche Holding AG.................................................... 2,138,655
3,105 Swisscom AG (O)..................................................... 1,102,226
1,831 Swissquote Group Holding S.A. ...................................... 86,605
3,747 Zurich Financial Services AG ....................................... 1,140,493
------------
12,491,196
------------
TAIWAN - 0.83%
156,000 Advanced Semiconductor Engineering, Inc. ........................... 160,368
44,690 Advantech Co., Ltd. ................................................ 115,220
52,664 HON HAI Precision Industry Co., Ltd. ............................... 305,286
56,599 Novatek Microelectronics Corp., Ltd. ............................... 218,421
168,261 Taiwan Semiconductor Manufacturing Co., Ltd. ....................... 368,602
------------
1,167,897
------------
TURKEY - 0.73%
15,459 Ford Otomotiv Sanayi AS ............................................ 145,371
49,015 Turkcell Iletisim Hizmet AS ........................................ 391,782
4,392 Turkcell Iletisim Hizmet AS, ADR ................................... 88,499
87,760 Turkiye Is Bankasi.................................................. 405,755
------------
1,031,407
------------
UNITED KINGDOM - 18.64%
13,693 Ashmore Group PLC .................................................. 77,855
296,400 BAE Systems PLC .................................................... 2,745,517
228,091 BP PLC ............................................................. 2,765,738
28,620 British American Tobacco PLC ....................................... 1,077,454
4,764 Charter PLC ........................................................ 84,995
2,046 Chemring Group PLC ................................................. 100,048
103,600 Diageo PLC ......................................................... 2,123,840
15,778 Enodis PLC ......................................................... 76,167
15,782 Filtrona PLC ....................................................... 47,450
75,120 GlaxoSmithKline PLC ................................................ 1,671,179
28,618 Hampson Industries PLC ............................................. 82,351
59,900 HSBC Holdings PLC................................................... 1,045,501
39,432 Imperial Tobacco Group PLC ......................................... 1,892,981
5,430 Intertek Group PLC ................................................. 104,851
120,500 Lloyds TSB Group PLC ............................................... 1,034,272
9,119 Man Group PLC....................................................... 105,235
75,308 National Grid PLC................................................... 1,046,914
4,743 Northgate PLC ...................................................... 55,911
573,578 Old Mutual PLC...................................................... 1,459,292
121,000 Prudential PLC ..................................................... 1,656,899
30,500 Reckitt Benckiser PLC .............................................. 1,778,334
46,969 Regus Group PLC .................................................... 85,988
18,700 Sepura, Ltd. *...................................................... 34,513
196,800 Tesco PLC........................................................... 1,675,499
53,100 Unilever PLC ....................................................... 1,793,559
6,467 Victrex PLC......................................................... 91,379
515,892 Vodafone Group PLC ................................................. 1,641,172
------------
26,354,894
------------
TOTAL COMMON STOCKS
(Cost $121,688,339) ................................................ 132,476,277
COMMON STOCK UNIT - 0.05%
- ----------------------------------------------------------------------------------------------------
IRELAND - 0.05%
8,563 Grafton Group PLC *................................................. 68,771
------------
TOTAL COMMON STOCK UNIT
(Cost $82,902)...................................................... 68,771
PREFERRED STOCKS - 0.98%
- ----------------------------------------------------------------------------------------------------
BRAZIL - 0.89%
18,603 AES Tiete S.A. ..................................................... 164,565
12,767 Cia Energetica de Minas Gerais 259,760
10,554 Cia Vale do Rio Doce................................................ 333,553
59,100 Klabin S.A. ........................................................ 226,550
16,100 Suzano Papel e Celulose S.A. ....................................... 275,351
------------
1,259,779
------------
GERMANY - 0.09%
1,202 Fuchs Petrolub AG................................................... 123,380
------------
TOTAL PREFERRED STOCKS
(Cost $976,314)..................................................... 1,383,159
INVESTMENT COMPANY - 4.47%
- ----------------------------------------------------------------------------------------------------
UNITED STATES - 4.47%
6,317,671 SSgA Prime Money Market Fund ....................................... 6,317,671
------------
TOTAL INVESTMENT COMPANY
(Cost $6,317,671) .................................................. 6,317,671
COLLATERAL FOR SECURITIES ON LOAN - 14.44%
- ----------------------------------------------------------------------------------------------------
UNITED STATES - 14.44%
20,403,577 State Street Navigator Securities Lending Prime Portfolio (I) ...... 20,403,577
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $20,403,577) ................................................. 20,403,577
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
58
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Value (Note 2)
--------------
TOTAL INVESTMENTS - 113.66%
- ----------------------------------------------------------------------------------------------------
(Cost $149,468,803**) ......................................................... $160,649,455
NET OTHER ASSETS AND LIABILITIES - (13.66)%
- ----------------------------------------------------------------------------------------------------
(19,302,237)
TOTAL NET ASSETS - 100.00%
- ----------------------------------------------------------------------------------------------------
$141,347,218
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $150,035,377.
(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.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
59
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Commercial Banks 11.0%
Oil, Gas & Consumable Fuels 8.5%
Pharmaceuticals 8.0%
Insurance 5.5%
Net Other Assets & Liabilities 5.2%
Food Products 5.2%
Tobacco 3.9%
Diversified Telecommunication Services 3.7%
Wireless Telecommunication Services 3.4%
Electric Utilities 3.3%
Beverages 3.3%
Air Freight & Logistics 2.6%
Electronic Equipment & Instruments 2.5%
Communications Equipment 2.3%
Aerospace & Defense 2.3%
Gas Utilities 2.2%
Electrical Equipment 1.9%
Construction Materials 1.9%
Automobiles 1.8%
Diversified Financial Services 1.8%
Metals & Mining 1.8%
Real Estate Management & Development 1.6%
Household Products 1.6%
Textiles, Apparel & Luxury Goods 1.4%
Food & Staples Retailing 1.4%
Chemicals 1.1%
Road & Rail 1.0%
Hotels, Restaurants & Leisure 0.9%
Auto Components 0.9%
Office Electronics 0.8%
IT Services 0.8%
Machinery 0.7%
Commercial Services & Supplies 0.6%
Semiconductors & Semiconductor Equipment 0.5%
Construction & Engineering 0.5%
Media 0.5%
Household Durables 0.4%
Capital Markets 0.4%
Paper & Forest Products 0.4%
Personal Products 0.3%
Industrial Conglomerates 0.3%
Transportation Infrastructure 0.3%
Energy Equipment & Services 0.3%
Building Products 0.3%
Health Care Equipment & Supplies 0.3%
Computers & Peripherals 0.1%
Specialty Retail 0.1%
Distributors 0.1%
Marine 0.1%
Software 0.1%
Health Care Technology 0.1%
Multi-Utilities* 0.0%
Leisure Equipment & Products* 0.0%
Consumer Discretionary* 0.0%
Multiline Retail* 0.0%
------
100.0%
======
*Rounds to 0.0%
The industry classification method used for purposes of the industry
concentration table above may differ from the industry subclassification(s)
used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
60
- --------------------------------------------------------------------------------
This page is left blank intentionally
- --------------------------------------------------------------------------------
61
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF APRIL 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
===================================================================================================================================
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $11,282,633 $33,163,595 $11,388,349
Affiliated issuers(4) 18,044,687 53,408,471 17,565,341
Net unrealized appreciation (depreciation)
Unaffiliated issuers 115,842 737,182 417,522
Affiliated issuers(4) (18,335) (747,905) (572,270)
--------------------------------------------------
Total investments at value 29,424,827 86,561,343 28,798,942
Receivables:
Investments sold 558 558 2,924
Fund shares sold 41,940 45,993 51,484
Dividends and interest 82 105 112
Due from Adviser, net 7,697 - 9,588
Prepaid insurance and registration fees 24,854 31,926 23,082
Deferred offering costs 11,762 11,762 11,762
--------------------------------------------------
Total Assets 29,511,720 86,651,687 28,897,894
--------------------------------------------------
LIABILITIES:
Payables:
Investments purchased 38,545 10,327 17,142
Fund shares repurchased 2,002 6,870 10,619
Due to Adviser, net - 8,004 -
Administration and transfer agent fees 4,382 2,687 3,673
Distribution fees - Class B 3,759 13,742 4,906
Distribution fees - Class C 546 413 111
Shareholder servicing fees 5,793 17,032 5,669
Accrued expenses and other payables 13,983 15,535 13,112
--------------------------------------------------
Total Liabilities 69,010 74,610 55,232
--------------------------------------------------
NET ASSETS $29,442,710 $86,577,077 $28,842,662
==================================================
NET ASSETS CONSIST OF:
Paid-in capital $29,269,519 $86,967,232 $29,237,139
Accumulated undistributed net investment income (loss) 136,634 (21,909 (178,498)
Accumulated net realized loss on investments sold
and foreign currency related transactions (60,950 (357,523 (61,231)
Net unrealized appreciation (depreciation) of investments (including
appreciation (depreciation) of foreign currency related transactions) 97,507 (10,723 (154,748)
--------------------------------------------------
NET ASSETS $29,442,710 $86,577,077 $28,842,662
==================================================
CLASS A SHARES:
Net Assets $22,150,143 $62,623,347 $20,359,301
Shares of beneficial interest outstanding 2,073,687 5,717,098 1,824,444
NET ASSET VALUE and redemption price per share(1) $ 10.68 $ 10.95 $ 11.16
Sales charge of offering price(2) 0.65 0.67 0.68
Maximum offering price per share $ 11.33 $ 11.62 $ 11.84
==================================================
CLASS B SHARES:
Net Assets $ 6,291,557 $23,044,763 $ 8,281,973
Shares of beneficial interest outstanding 589,873 2,108,548 744,117
NET ASSET VALUE and redemption price per share(1) $ 10.67 $ 10.93 $ 11.13
==================================================
CLASS C SHARES(3):
Net Assets $ 1,001,010 $ 908,967 $ 201,388
Shares of beneficial interest outstanding 93,831 83,160 18,078
NET ASSET VALUE and redemption price per share(1) $ 10.67 $ 10.93 $ 11.14
==================================================
- -------------------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) There is a maximum sales charge of 5.75% on the purchase of shares of the
Conservative Allocation, Moderate Allocation, and Aggressive Allocation
Funds.
(3) Class C shares commenced investment operations on February 29, 2008.
(4) See Note 10 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
62
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF APRIL 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
CASH HIGH
RESERVES INCOME
FUND BOND FUND FUND
===================================================================================================================================
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $18,872,695 $170,560,098 $88,330,545
Net unrealized appreciation (depreciation)
Unaffiliated issuers - 742,582 (578,384)
--------------------------------------------------
Total investments at value 18,872,695 171,302,680 87,752,161
Receivables:
Investments sold - 524,011 597,964
Fund shares sold 33,179 144,812 96,070
Dividends and interest 4,871 1,134,691 1,490,714
Due from Adviser, net 181 - -
Prepaid insurance and registration fees 14,037 15,189 14,789
Other assets - 18,888 19,066
--------------------------------------------------
Total Assets 18,924,963 173,140,271 89,970,764
--------------------------------------------------
LIABILITIES:
Payable to custodian 382 9,137 33,558
Payables:
Investments purchased - 3,517,975 1,010,373
Fund shares repurchased 16,384 85,177 14,589
Due to Adviser, net - 39,662 24,805
Upon return of securities loaned - 33,919,219 13,404,520
Administration and transfer agent fees 1,087 25,664 16,210
Distribution fees - Class B 2,215 13,980 5,828
Shareholder servicing fees - 13,475 8,312
Accrued expenses and other payables 14,119 24,223 23,686
--------------------------------------------------
Total Liabilities 34,187 37,648,512 14,541,881
--------------------------------------------------
NET ASSETS $18,890,776 $135,491,759 $75,428,883
==================================================
NET ASSETS CONSIST OF:
Paid-in capital $18,890,873 $135,880,360 $83,157,703
Accumulated undistributed net investment income (loss) (5,069) 11,754 175,758
Accumulated net realized gain (loss) on investments sold
and foreign currency related transactions 4,972 (1,142,937) (7,326,194)
Net unrealized appreciation (depreciation) of investments (including
appreciation (depreciation) of foreign currency related transactions) - 742,582 (578,384)
--------------------------------------------------
NET ASSETS $18,890,776 $135,491,759 $75,428,883
==================================================
CLASS A SHARES:
Net Assets $15,153,932 $ 42,993,239 $31,425,753
Shares of beneficial interest outstanding 15,156,192 4,356,550 4,489,307
NET ASSET VALUE and redemption price per share(1) $ 1.00 $ 9.87 $ 7.00
Sales charge of offering price(2) - 0.47 0.33
Maximum offering price per share $ 1.00 $ 10.34 $ 7.33
==================================================
CLASS B SHARES:
Net Assets $ 3,736,844 $ 22,421,215 $ 9,487,256
Shares of beneficial interest outstanding 3,738,971 2,271,240 1,340,611
NET ASSET VALUE and redemption price per share(1) $ 1.00 $ 9.87 $ 7.08
==================================================
CLASS Y SHARES(3):
Net Assets $ 70,077,305 $34,515,874
Shares of beneficial interest outstanding 7,104,316 4,938,692
NET ASSET VALUE and redemption price per share(1) $ 9.86 $ 6.99
==================================================
- -------------------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) There is a maximum sales charge of 4.50% on the purchase of shares of the
Bond and High Income Funds.
(3) Class Y shares are not available for the Cash Reserves Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
63
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF APRIL 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
DIVERSIFIED LARGE CAP
INCOME FUND VALUE FUND
===================================================================================================================================
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $146,649,547 $163,122,210
Net unrealized appreciation (depreciation)
Unaffiliated issuers (345,782) 18,972,096
--------------------------------
Total investments at value 146,303,765 182,094,306
Cash - -
Foreign currency (cost of $785,924)(Note 2) - -
Receivables:
Investments sold 598,809 -
Fund shares sold 11,188 103,728
Dividends and interest 810,288 211,363
Prepaid insurance and registration fees 17,412 18,380
Other assets 8,761 8,049
--------------------------------
Total Assets 147,750,223 182,435,826
--------------------------------
LIABILITIES:
Payable to custodian 1,283 -
Payables:
Investments purchased 513,418 153,175
Fund shares repurchased 130,951 248,172
Due to Adviser, net 48,874 49,091
Upon return of securities loaned 20,557,121 13,543,474
Administration and transfer agent fees 46,604 56,730
Distribution fees - Class B 26,588 17,477
Shareholder servicing fees 29,431 23,609
Accrued expenses and other payables 25,068 30,683
--------------------------------
Total Liabilities 21,379,338 14,122,411
--------------------------------
NET ASSETS $126,370,885 $168,313,415
================================
NET ASSETS CONSIST OF:
Paid-in capital $127,808,590 $149,311,212
Accumulated undistributed net investment income (loss) 25,077 855,747
Accumulated net realized gain (loss) on investments sold
and foreign currency related transactions (1,117,000) (825,640)
Net unrealized appreciation (depreciation) of investments (including
appreciation (depreciation) of foreign currency related transactions) (345,782) 18,972,096
--------------------------------
NET ASSETS $126,370,885 $168,313,415
================================
CLASS A SHARES:
Net Assets $ 83,604,397 $ 87,063,350
Shares of beneficial interest outstanding 7,235,666 5,806,209
NET ASSET VALUE and redemption price per share(1) $ 11.55 14.99
Sales charge of offering price(2) 0.70 0.91
Maximum offering price per share $ 12.25 $ 15.90
================================
CLASS B SHARES:
Net Assets $ 42,766,488 $ 28,226,101
Shares of beneficial interest outstanding 3,683,435 1,908,959
NET ASSET VALUE and redemption price per share(1) $ 11.61 $ 14.79
================================
CLASS Y SHARES(3):
Net Assets $ 53,023,964
Shares of beneficial interest outstanding 3,535,908
NET ASSET VALUE and redemption price per share(1) $ 15.00
================================
- -------------------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) Sales charge of offering price is 5.75% for the Diversified Income, Large
Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value,
Small Cap Growth, and International Stock Funds.
(3) Class Y shares are not available for the Diversified Income Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
64
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP MID CAP MID CAP SMALL CAP SMALL CAP INTERNATIONAL
GROWTH FUND VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND STOCK FUND
==============================================================================================
$192,817,479 $63,057,541 $92,504,835 $24,992,941 $28,237,742 $149,468,803
11,555,007 910,730 697,699 (1,599,343) (490,870) 11,180,652
- ----------------------------------------------------------------------------------------------
204,372,486 63,968,271 93,202,534 23,393,598 27,746,872 160,649,455
- - 78,409 - 8,670 29,500
- - - - - 783,546
3,214,092 1,121,464 985,068 256,663 - 511,765
224,429 22,551 94,421 - 49,400 206,509
113,697 47,536 46,109 30,182 6,345 712,180
17,161 16,285 18,001 12,703 12,925 14,572
10,644 8,622 11,603 - - 68,866
- ----------------------------------------------------------------------------------------------
207,952,509 65,184,729 94,436,145 23,693,146 27,824,212 162,976,393
- ----------------------------------------------------------------------------------------------
103,150 3,551 - - - -
7,083,292 896,563 1,519,418 147,779 8,670 973,248
124,280 95,813 42,761 - 227 78,395
89,109 17,839 41,164 11,325 13,150 75,887
19,319,833 13,254,711 15,062,634 - - 20,403,577
47,407 27,488 23,927 6,346 6,453 25,741
15,980 10,112 5,978 107 97 7,560
16,559 9,272 6,787 1,168 1,042 9,623
28,234 26,750 25,439 22,250 20,648 55,144
- ----------------------------------------------------------------------------------------------
26,827,844 14,342,099 16,728,108 188,975 50,287 21,629,175
- ----------------------------------------------------------------------------------------------
$181,124,665 $50,842,630 $77,708,037 $23,504,171 $27,773,925 $141,347,218
==============================================================================================
$173,905,311 $52,668,674 $79,798,336 $25,426,402 $29,793,320 $122,333,596
61,918 155,076 (270,959) 40,676 (15,980) 835,729
(4,397,571) (2,891,850) (2,517,039) (363,564) (1,512,545) 7,009,042
11,555,007 910,730 697,699 (1,599,343) (490,870) 11,168,851
- ----------------------------------------------------------------------------------------------
$181,124,665 $50,842,630 $77,708,037 $23,504,171 $27,773,925 $141,347,218
==============================================================================================
$ 55,488,328 $29,007,791 $23,777,417 $ 5,645,705 $ 5,010,253 $ 35,011,988
3,495,611 2,568,896 3,663,575 605,786 526,910 2,633,118
$ 15.87 $ 11.29 $ 6.49 $ 9.32 $ 9.51 $ 13.30
0.97 0.69 0.40 0.57 0.58 0.81
$ 16.84 $ 11.98 $ 6.89 $ 9.89 $ 10.09 $ 14.11
==============================================================================================
$ 25,882,213 $16,395,594 $ 9,837,973 $ 175,981 $ 163,335 $ 12,388,099
1,746,505 1,533,139 1,612,041 18,988 17,356 944,051
$ 14.82 $ 10.69 $ 6.10 $ 9.27 $ 9.41 $ 13.12
==============================================================================================
$ 99,754,124 $ 5,439,245 $44,092,647 $17,682,485 $22,600,337 $ 93,947,131
6,253,479 475,877 6,762,352 1,896,728 2,369,289 7,066,598
$ 15.95 $ 11.43 $ 6.52 $ 9.32 $ 9.54 $ 13.29
==============================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
65
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED APRIL 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
=====================================================================================================================
INVESTMENT INCOME:
Interest $ 577 $ 1,581 $ 1,013
Dividends
Unaffiliated issuers 240,118 356,966 37,787
Affiliated issuers(1) 174,040 583,688 131,553
-----------------------------------------
Total investment income 414,735 942,235 170,353
-----------------------------------------
EXPENSES:
Management fees 22,730 76,779 25,427
Administration and transfer agent fees 36,091 50,797 43,066
Registration expenses 12,746 17,136 13,751
Custodian and accounting fees 11,947 12,042 11,524
Professional fees 8,998 10,369 9,135
Reports to shareholder expense 1,577 5,793 1,924
Trustees' fees 1,035 3,808 1,262
Distribution fees - Class B 18,526 75,910 27,181
Distribution fees - Class C(2) 754 528 182
Shareholder servicing fees - Class A 21,996 70,503 22,666
Shareholder servicing fees - Class B 6,175 25,303 9,060
Shareholder servicing fees - Class C(2) 252 176 61
Compliance expense 1,951 1,951 1,951
Amortization of offering costs 1,612 1,612 1,612
Other expenses 200 1,235 260
-----------------------------------------
Total expenses before reimbursement/waiver 146,590 353,942 169,062
Less reimbursement/waiver (47,726) (8,763) (52,694)
-----------------------------------------
Total expenses net of reimbursement/waiver 98,864 345,179 116,368
-----------------------------------------
NET INVESTMENT INCOME 315,871 597,056 53,985
-----------------------------------------
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 (380,120) (1,027,316) (375,615)
Affiliated issuers(1) 12,064 (922,433) (520,692)
Capital gain distributions received from underlying funds
Unaffiliated issuers 173,073 534,977 152,845
Affiliated issuers(1) 166,950 1,230,849 769,876
Net change in unrealized depreciation on investments
(including a net unrealized appreciation (depreciation) on
foreign currency related transactions) (394,172) (4,362,929) (2,452,421)
-----------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (422,205) (4,546,852) (2,426,007)
-----------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $(106,334) $(3,949,796) $(2,372,022)
=========================================
- --------------------------------------
(1) See Note 10 for information on affiliated issuers.
(2) Class C shares commenced investment operations on February 29, 2008.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
66
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED APRIL 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
CASH HIGH
RESERVES INCOME
FUND BOND FUND FUND
=====================================================================================================================
INVESTMENT INCOME:
Interest $287,786 $3,038,769 $ 2,678,584
Securities lending income - 126,220 32,655
-----------------------------------------
Total investment income 287,786 3,164,989 2,711,239
-----------------------------------------
EXPENSES:
Management fees 33,706 309,514 190,868
Administration and transfer agent fees 18,026 100,939 63,398
Registration expenses 13,178 15,453 12,469
Custodian and accounting fees 8,602 25,494 22,232
Professional fees 7,837 12,545 13,272
Reports to shareholder expense 1,241 9,406 5,471
Trustees' fees 825 6,244 2,582
Distribution fees - Class B 11,455 91,610 39,584
Shareholder servicing fees - Class A - 65,456 41,311
Shareholder servicing fees - Class B - 30,537 13,195
Compliance expense 3,094 3,094 3,094
Other expenses 422 2,898 1,713
-----------------------------------------
Total expenses before reimbursement/waiver 98,386 673,190 409,189
Less reimbursement/waiver (40,584) (81,809) (54,815)
-----------------------------------------
Total expenses net of reimbursement/waiver 57,802 591,381 354,374
-----------------------------------------
NET INVESTMENT INCOME 229,984 2,573,608 2,356,865
-----------------------------------------
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 4,966 78,838 (2,440,463)
Net change in unrealized appreciation (depreciation) on investments
(including a net unrealized appreciation (depreciation) on foreign
currency related transactions) - 912,686 (262,896)
-----------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 4,966 991,524 (2,703,359)
-----------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $234,950 $3,565,132 $ (346,494)
=========================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
67
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED APRIL 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
DIVERSIFIED LARGE CAP
INCOME FUND VALUE FUND
=====================================================================================================================
INVESTMENT INCOME:
Interest $ 2,059,338 $ 72,032
Dividends
Unaffiliated issuers 1,182,365 2,449,093
Less: Foreign taxes withheld - (1,421)
Securities lending income 60,346 43,528
-----------------------------
Total investment income 3,302,049 2,563,232
-----------------------------
EXPENSES:
Management fees 438,506 482,654
Administration and transfer agent fees 176,171 216,776
Registration expenses 14,780 15,313
Custodian and accounting fees 22,683 30,911
Professional fees 13,715 15,155
Reports to shareholder expense 11,506 15,361
Trustees' fees 7,693 10,211
Distribution fees - Class B 183,677 125,921
Shareholder servicing fees - Class A 107,431 124,542
Shareholder servicing fees - Class B 61,226 41,974
Compliance expense 3,094 3,094
Amortization of organization and offering costs - -
Other expenses 3,929 5,074
-----------------------------
Total expenses before reimbursement/waiver 1,044,411 1,086,986
Less reimbursement/waiver (118,641) -
-----------------------------
Total expenses net of reimbursement/waiver 925,770 1,086,986
-----------------------------
2,376,279 1,476,246
-----------------------------
NET INVESTMENT INCOME (LOSS)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments and futures (including net realized gain
(loss) on foreign currency related transactions)(1)
Unaffiliated issuers (909,272) (55,971)
Net change in unrealized depreciation on investments
(including a net unrealized appreciation (depreciation) on foreign
currency related transactions)(2) (6,848,280) (21,258,621)
-----------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (7,757,552) (21,314,592)
-----------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $(5,381,273) $(19,838,346)
=============================
- --------------------------------------
(1) Includes foreign capital gains taxes paid of $13,196 for the International
Stock Fund.
(2) Net of deferred foreign capital gains taxes of $11,822 for the International
Stock Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
68
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP MID CAP MID CAP SMALL CAP SMALL CAP INTERNATIONAL
GROWTH FUND VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND STOCK FUND
=====================================================================================================================
$ 35,004 $ 24,748 $ 34,034 $ 19,581 $ 20,052 $ 97,869
947,575 754,969 146,321 207,671 126,095 2,067,136
(27) - (106) - - (149,418)
52,019 46,366 60,288 - - 49,318
- ---------------------------------------------------------------------------------------------------------------------
1,034,571 826,083 240,537 227,252 146,147 2,064,905
- ---------------------------------------------------------------------------------------------------------------------
592,193 296,699 275,385 109,073 123,951 621,484
195,595 105,157 96,828 32,560 33,138 105,823
14,457 14,258 13,169 15,214 15,603 15,011
31,542 28,563 28,335 18,755 19,583 218,649
13,658 11,904 11,387 10,354 10,427 16,656
12,002 5,900 5,970 1,655 1,892 9,164
7,914 3,930 3,941 1,087 1,241 6,114
110,309 67,925 41,010 673 584 49,771
75,844 41,681 34,732 6,936 6,505 54,451
36,770 22,642 13,670 224 195 16,590
3,094 3,094 3,094 2,927 2,927 3,094
- - - 1,564 1,564 -
3,633 1,975 1,858 137 186 2,927
- ---------------------------------------------------------------------------------------------------------------------
1,097,011 603,728 529,379 201,159 217,796 1,119,734
(124,358) (112,964) (17,883) (57,083) (55,669) (199,802)
- ---------------------------------------------------------------------------------------------------------------------
972,653 490,764 511,496 144,076 162,127 919,932
- ---------------------------------------------------------------------------------------------------------------------
61,918 335,319 (270,959) 83,176 (15,980) 1,144,973
- ---------------------------------------------------------------------------------------------------------------------
(2,502,100) (2,809,165) (1,750,783) (361,593) (1,469,728) 7,278,101
(10,035,576) (5,800,254) (7,886,732) (1,393,590) (2,137,351) (13,398,293)
- ---------------------------------------------------------------------------------------------------------------------
(12,537,676) (8,609,419) (9,637,515) (1,755,183) (3,607,079) (6,120,192)
- ---------------------------------------------------------------------------------------------------------------------
$(12,475,758) $(8,274,100) $(9,908,474) $(1,672,007) $(3,623,059) $ (4,975,219)
=====================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
69
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED
(unaudited) 10/31/07
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $20,175,979 $ 3,652,901
------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 315,871 329,238
Net realized gain (loss) (28,033) 42,653
Net change in unrealized appreciation (depreciation) (394,172) 404,421
------------------------------
Net increase (decrease) in net assets from operations (106,334) 776,312
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (399,196) (51,399)
Class B (77,260) (8,831)
Net realized gains
Class A (49,979) (2,755)
Class B (13,959) (722)
------------------------------
(540,394) (63,707)
TOTAL DISTRIBUTIONS
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 8,827,899 13,474,311
Issued to shareholders in reinvestment of distributions 444,548 53,996
Shares redeemed (2,583,711) (1,128,574)
Redemption fees - -
------------------------------
Net increase (decrease) from capital stock transactions 6,688,736 12,399,733
------------------------------
CLASS B SHARES
Shares sold 2,629,571 4,004,246
Issued to shareholders in reinvestment of distributions 89,168 9,473
Shares redeemed (476,197) (602,979)
------------------------------
Net increase (decrease) from capital stock transactions 2,242,542 3,410,740
------------------------------
CLASS C SHARES(1)
Shares sold 982,740 -
Shares redeemed (559) -
------------------------------
Net increase from capital stock transactions 982,181 -
------------------------------
TOTAL INCREASE IN NET ASSETS 9,266,731 16,523,078
------------------------------
NET ASSETS AT END OF PERIOD $29,442,710 $20,175,979
==============================
Undistributed (distribution in excess of) net investment income $ 136,634 $ 297,219
==============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 836,145 1,248,402
Issued to shareholders in reinvestment of distributions 41,781 5,105
Shares redeemed (242,342) (103,385)
------------------------------
Net increase from capital stock transactions 635,584 1,150,122
------------------------------
CLASS B SHARES
Shares sold 249,501 372,604
Issued to shareholders in reinvestment of distributions 8,372 895
Shares redeemed (44,952) (55,711)
------------------------------
Net increase from capital stock transactions 212,921 317,788
------------------------------
CLASS C SHARES(1)
Shares sold 93,883 -
Shares redeemed (52) -
------------------------------
Net increase from capital stock transactions 93,831 -
==============================
- --------------------------------------
(1) Class C shares commenced investment operations on February 29, 2008.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
70
================================================================================
- --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND AGGRESSIVE ALLOCATION FUND
================================= ===================================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
4/30/08 YEAR ENDED 4/30/08 YEAR ENDED
(unaudited) 10/31/07 (unaudited) 10/31/07
============================================================================
$76,137,458 $12,050,789 $26,058,356 $ 3,839,277
- ----------------------------------------------------------------------------
597,056 540,030 53,985 (75,146)
(183,923) 423,717 26,414 272,405
(4,362,929) 3,974,446 (2,452,421) 2,103,640
- ----------------------------------------------------------------------------
(3,949,796) 4,938,193 (2,372,022) 2,300,899
- ----------------------------------------------------------------------------
(878,298) (181,906) (205,693) (59,585)
(161,202) (40,991) (26,790) (16,067)
(377,095) (2,871) (151,810) -
(135,542) (1,005) (60,948) -
- ----------------------------------------------------------------------------
(1,552,137) (226,773) (445,241) (75,652)
19,231,783 48,015,621 6,681,933 15,561,209
1,249,151 182,707 357,331 59,544
(9,985,111) (4,145,538) (3,440,977) (1,083,829)
- 36 - 337
- ----------------------------------------------------------------------------
10,495,823 44,052,826 3,598,287 14,537,261
- ----------------------------------------------------------------------------
6,354,332 17,270,965 2,303,007 5,882,184
294,535 41,397 87,324 15,850
(2,090,497) (1,989,939) (581,473) (441,463)
- ----------------------------------------------------------------------------
4,558,370 15,322,423 1,808,858 5,456,571
- ----------------------------------------------------------------------------
888,918 - 194,424 -
(1,559) - - -
- ----------------------------------------------------------------------------
887,359 - 194,424 -
- ----------------------------------------------------------------------------
10,439,619 64,086,669 2,784,306 22,219,079
- ----------------------------------------------------------------------------
$86,577,077 $76,137,458 $28,842,662 $26,058,356
============================================================================
$ (21,909) $ 420,535 $ (178,498) $ -
============================================================================
1,769,636 4,291,256 605,734 1,340,392
111,931 16,867 30,567 5,384
(929,369) (366,086) (313,631) (92,598)
- ----------------------------------------------------------------------------
952,198 3,942,037 322,670 1,253,178
- ----------------------------------------------------------------------------
587,448 1,551,655 208,468 507,991
26,368 3,821 7,470 1,432
(192,840) (177,429) (52,569) (37,025)
- ----------------------------------------------------------------------------
420,976 1,378,047 163,369 472,398
- ----------------------------------------------------------------------------
83,304 - 18,078 -
(144) - - -
- ----------------------------------------------------------------------------
83,160 - 18,078 -
============================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
71
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES FUND
================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED
(unaudited) 10/31/07
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $15,273,440 $ 17,976,511
------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income 229,984 834,115
Net realized gain (loss) 4,966 170
Net change in unrealized appreciation (depreciation) - -
------------------------------
Net increase (decrease) in net assets from operations 234,950 834,285
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (202,253) (507,500)
Class B (32,697) (134,775)
Class Y(1) - (191,935)
Net realized gains
Class A (125) -
Class B (27) -
Return of Capital
Class A - -
Class B - -
Class Y(1) - -
------------------------------
TOTAL DISTRIBUTIONS (235,102) (834,210)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 5,850,652 7,792,344
Issued to shareholders in reinvestment of distributions 197,237 491,133
Shares redeemed (3,387,574) (6,779,116)
Redemption fees - -
------------------------------
Net increase (decrease) from capital stock transactions 2,660,315 1,504,361
------------------------------
CLASS B SHARES
Shares sold 2,619,435 1,190,341
Issued to shareholders in reinvestment of distributions 30,693 125,452
Shares redeemed (1,692,955) (2,777,852)
------------------------------
Net increase (decrease) from capital stock transactions 957,173 (1,462,059)
------------------------------
CLASS Y SHARES(1)
Shares sold - 9,720,899
Issued to shareholders in reinvestment of distributions - 177,892
Shares redeemed - (12,644,239)
------------------------------
Net increase (decrease) from capital stock transactions - (2,745,448)
------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 3,617,336 (2,703,071)
------------------------------
NET ASSETS AT END OF PERIOD $18,890,776 $15,273,440
==============================
Undistributed (distribution in excess of) net investment income $ (5,069) $ (103)
==============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 5,850,652 7,771,788
Issued to shareholders in reinvestment of distributions 197,236 491,133
Shares redeemed (3,387,573) (6,779,116)
------------------------------
Net increase (decrease) from capital stock transactions 2,660,315 1,483,805
------------------------------
CLASS B SHARES
Shares sold 2,619,435 1,177,901
Issued to shareholders in reinvestment of distributions 30,693 125,452
Shares redeemed (1,692,955) (2,777,852)
------------------------------
Net increase (decrease) from capital stock transactions 957,173 (1,474,499)
------------------------------
CLASS Y SHARES(1)
Shares sold - 9,720,899
Issued to shareholders in reinvestment of distributions - 177,892
Shares redeemed - (12,644,239)
------------------------------
Net increase (decrease) from capital stock transactions - (2,745,448)
==============================
- --------------------------------
(1) Class Y is not available for the Cash Reserves and Diversified Income Funds.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
72
================================================================================
- --------------------------------------------------------------------------------
BOND FUND HIGH INCOME FUND DIVERSIFIED INCOME FUND
================================= =================================== ===============================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
4/30/08 YEAR ENDED 4/30/08 YEAR ENDED 4/30/08 YEAR ENDED
(unaudited) 10/31/07 (unaudited) 10/31/07 (unaudited) 10/31/07
===================================================================================================================
$116,319,967 $103,020,128 $68,980,447 $ 56,016,602 $147,834,569 $171,824,889
- -------------------------------------------------------------------------------------------------------------------
2,573,608 4,510,107 2,356,865 4,372,552 2,376,279 5,496,618
78,838 (745,391) (2,440,463) (105,282) (909,272) 10,824,517
912,686 (266,794) (262,896) (676,625) (6,848,280) (7,526,200)
- -------------------------------------------------------------------------------------------------------------------
3,565,132 3,497,922 (346,494) 3,590,645 (5,381,273) 8,794,935
- -------------------------------------------------------------------------------------------------------------------
(1,098,632) (2,111,989) (1,115,281) (2,607,240) (1,736,215) (3,423,453)
(419,819) (975,176) (236,604) (930,535) (614,987) (2,057,792)
(1,043,263) (630,958) (991,289) (832,780) - -
- - - - (6,854,069) (1,608,464)
- - - - (4,074,977) (1,343,805)
- (367,255) - - - -
- (176,919) - - - -
- (227,665) - - - -
- -------------------------------------------------------------------------------------------------------------------
(2,561,714) (4,489,962) (2,343,174) (4,370,555) (13,280,248) (8,433,514)
4,653,924 12,124,570 1,922,128 9,684,345 8,703,882 18,704,073
1,032,024 2,392,663 962,500 2,093,408 8,448,576 4,948,390
(18,549,528) (18,264,489) (5,590,509) (12,085,886) (11,961,910) (24,966,159)
- 31 - 121 - 473
- -------------------------------------------------------------------------------------------------------------------
(12,863,580) (3,747,225) (2,705,881) (308,012) 5,190,548 (1,313,223)
- -------------------------------------------------------------------------------------------------------------------
902,676 825,558 188,818 430,166 932,672 2,266,808
382,662 1,049,574 196,658 778,093 4,620,348 3,337,211
(5,629,225) (12,204,406) (2,738,053) (5,975,944) (13,545,731) (28,642,537)
- -------------------------------------------------------------------------------------------------------------------
(4,343,887) (10,329,274) (2,352,577) (4,767,685) (7,992,711) (23,038,518)
- -------------------------------------------------------------------------------------------------------------------
38,524,450 32,727,058 19,516,435 18,609,660 - -
1,043,263 858,685 991,289 832,780 - -
(4,191,872) (5,217,365) (6,311,162) (622,988) - -
- -------------------------------------------------------------------------------------------------------------------
35,375,841 28,368,378 14,196,562 18,819,452 - -
- -------------------------------------------------------------------------------------------------------------------
19,171,792 13,299,839 6,448,436 12,963,845 (21,463,684) (23,990,320)
- -------------------------------------------------------------------------------------------------------------------
$135,491,759 $116,319,967 $75,428,883 $ 68,980,447 $126,370,885 $147,834,569
===================================================================================================================
$ 11,754 $ (140) $ 175,758 $ 162,067 $ 25,077 $ -
===================================================================================================================
469,001 1,255,158 274,202 1,300,185 726,504 1,416,600
103,871 244,847 137,606 283,698 707,050 375,291
(1,868,854) (1,884,192) (807,214) (1,629,326) (1,015,179) (1,892,561)
- -------------------------------------------------------------------------------------------------------------------
(1,295,982) (384,187) (395,406) (45,443) 418,375 (100,670)
- -------------------------------------------------------------------------------------------------------------------
90,713 84,111 26,747 57,300 78,000 171,863
38,507 107,311 27,969 104,872 384,543 252,769
(567,835) (1,248,856) (388,766) (802,602) (1,124,936) (2,168,918)
- -------------------------------------------------------------------------------------------------------------------
(438,615) (1,057,434) (334,050) (640,430) (662,393) (1,744,286)
- -------------------------------------------------------------------------------------------------------------------
3,885,235 3,357,035 2,808,530 2,506,426 - -
105,146 88,162 142,130 113,434 - -
(420,592) (532,542) (906,375) (83,490) - -
- -------------------------------------------------------------------------------------------------------------------
3,569,789 2,912,655 2,044,285 2,536,370 - -
===================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
73
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED
(unaudited) 10/31/07
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $207,452,538 $183,376,048
-------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 1,476,246 2,258,616
Net realized gain (loss) (55,971) 15,894,676
Net change in unrealized appreciation (depreciation) (21,258,621) 1,540,285
-------------------------------
Net increase (decrease) in net assets from operations (19,838,346) 19,693,577
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (1,320,422) (1,683,244)
Class B (174,455) (427,319)
Class Y (758,013) (194,702)
Net realized gains
Class A (660,475) -
Class B (233,526) -
Class Y (313,669) -
-------------------------------
TOTAL DISTRIBUTIONS (3,460,560) (2,305,265)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 8,510,223 26,960,207
Issued to shareholders in reinvestment of distributions 1,958,638 1,665,527
Shares redeemed (25,486,672) (36,223,992)
Redemption fees - 384
-------------------------------
Net increase (decrease) from capital stock transactions (15,017,811) (7,597,874)
-------------------------------
CLASS B SHARES
Shares sold 595,586 2,060,546
Issued to shareholders in reinvestment of distributions 402,492 417,342
Shares redeemed (11,174,354) (27,155,487)
-------------------------------
Net decrease from capital stock transactions (10,176,276) (24,677,599)
-------------------------------
CLASS Y SHARES
Shares sold 34,082,176 41,005,737
Issued to shareholders in reinvestment of distributions 1,071,682 194,702
Shares redeemed (25,799,988) (2,236,788)
-------------------------------
Net increase from capital stock transactions 9,353,870 38,963,651
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (39,139,123) 24,076,490
-------------------------------
NET ASSETS AT END OF PERIOD $168,313,415 $207,452,538
===============================
Undistributed (distribution in excess of) net investment income $ 855,747 $ 1,632,391
===============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 564,790 1,634,836
Issued to shareholders in reinvestment of distributions 122,876 104,031
Shares redeemed (1,763,992) (2,189,918)
-------------------------------
Net increase (decrease) from capital stock transactions (1,076,326) (451,051)
-------------------------------
CLASS B SHARES
Shares sold 40,282 128,213
Issued to shareholders in reinvestment of distributions 25,539 26,364
Shares redeemed (754,469) (1,686,332)
-------------------------------
Net decrease from capital stock transactions (688,648) (1,531,755)
-------------------------------
CLASS Y SHARES
Shares sold 2,331,978 2,494,353
Issued to shareholders in reinvestment of distributions 67,275 12,176
Shares redeemed (1,695,897) (136,915)
-------------------------------
Net decrease from capital stock transactions 703,356 2,369,614
===============================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
74
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND MID CAP VALUE FUND MID CAP GROWTH FUND
================================= =================================== ===============================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
4/30/08 YEAR ENDED 4/30/08 YEAR ENDED 4/30/08 YEAR ENDED
(unaudited) 10/31/07 (unaudited) 10/31/07 (unaudited) 10/31/07
===================================================================================================================
$157,211,269 $119,129,652 $ 80,535,127 $ 64,708,039 $79,687,951 $57,482,606
- -------------------------------------------------------------------------------------------------------------------
61,918 (256,659) 335,319 385,476 (270,959) (651,975)
(2,502,100) 9,407,200 (2,809,165) 7,771,340 (1,750,783) 7,143,170
(10,035,576) 13,584,853 (5,800,254) (2,038,673) (7,886,732) 4,635,111
- -------------------------------------------------------------------------------------------------------------------
(12,475,758) 22,735,394 (8,274,100) 6,118,143 (9,908,474) 11,126,306
- -------------------------------------------------------------------------------------------------------------------
- - (156,311) (225,891) - -
- - - - - -
- - (134,542) (58,245) - -
- - (3,770,988) (6,548,150) (228,134) -
- - (2,115,276) (4,744,286) (94,791) -
- - (2,032,161) (1,122,905) (254,772) -
- -------------------------------------------------------------------------------------------------------------------
- - (8,209,278) (12,699,477) (577,697) -
- -------------------------------------------------------------------------------------------------------------------
8,099,364 13,046,575 2,240,563 13,144,708 2,169,705 6,829,470
- - 3,870,252 6,652,422 225,949 -
(14,205,489) (21,028,231) (8,782,081) (11,010,334) (7,370,546) (13,222,614)
- (52) - 58 - 241
- -------------------------------------------------------------------------------------------------------------------
(6,106,125) (7,981,708) (2,671,266) 8,786,854 (4,974,892) (6,392,903)
- -------------------------------------------------------------------------------------------------------------------
988,960 1,532,860 342,453 1,328,283 334,688 803,608
- - 2,080,810 4,640,283 93,385 -
(7,925,086) (15,471,513) (3,572,045) (6,392,245) (2,379,918) (5,476,863)
- -------------------------------------------------------------------------------------------------------------------
(6,936,126) (13,938,653) (1,148,782) (423,679) (1,951,845) (4,673,255)
- -------------------------------------------------------------------------------------------------------------------
53,114,601 44,290,169 8,948,417 17,152,636 20,141,574 28,518,000
- - 2,166,703 1,181,150 254,772 -
(3,683,196) (7,023,585) (20,504,191) (4,288,539) (4,963,352) (6,372,803)
- -------------------------------------------------------------------------------------------------------------------
49,431,405 37,266,584 (9,389,071) 14,045,247 15,432,994 22,145,197
- -------------------------------------------------------------------------------------------------------------------
23,913,396 38,081,617 (29,692,497) 15,827,088 (1,979,914) 22,205,345
- -------------------------------------------------------------------------------------------------------------------
$181,124,665 $157,211,269 $ 50,842,630 $ 80,535,127 $77,708,037 $79,687,951
===================================================================================================================
$ 61,918 $ - $ 155,076 $ 110,610 $ (270,959) $ -
===================================================================================================================
514,336 832,716 193,734 931,324 331,202 980,119
- - 324,686 503,679 31,824 -
(944,151) (1,342,941) (806,335) (789,397) (1,190,100) (1,897,780)
- -------------------------------------------------------------------------------------------------------------------
(429,815) (510,225) (287,915) 645,606 (827,074) (917,661)
- -------------------------------------------------------------------------------------------------------------------
67,489 104,329 31,903 100,151 54,731 121,556
- - 183,655 368,569 13,938 -
(539,545) (1,053,076) (331,132) (478,969) (389,515) (830,485)
- -------------------------------------------------------------------------------------------------------------------
(472,056) (948,747) (115,574) (10,249) (320,846) (708,929)
- -------------------------------------------------------------------------------------------------------------------
3,453,937 2,810,145 792,405 1,225,680 3,139,921 4,081,149
- - 181,770 89,247 35,732 -
(226,734) (459,007) (1,862,233) (306,510) (778,780) (963,810)
- -------------------------------------------------------------------------------------------------------------------
3,227,203 2,351,138 (888,058) 1,008,417 2,396,873 3,117,339
===================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
75
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
==========================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED
(unaudited) 10/31/07
==================================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $21,246,589 $ -
-----------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 83,176 111,256
Net realized gain (loss) (361,593) 407,858
Net change in unrealized appreciation (depreciation) (1,393,590) (205,753)
-----------------------------------------
Net increase (decrease) in net assets from operations (1,672,007) 313,361
-----------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (29,762) -
Class B - -
Class Y(1) (128,498) -
Net realized gains
Class A (105,139) -
Class B (3,496) -
Class Y(1) (301,331) -
-----------------------------------------
TOTAL DISTRIBUTIONS (568,226) -
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 184,684 5,939,231
Issued to shareholders in reinvestment of distributions 134,901 -
Shares redeemed (142,145) (16,983)
Redemption fees 200 136
-----------------------------------------
Net increase (decrease) from capital stock transactions 177,640 5,922,384
-----------------------------------------
CLASS B SHARES
Shares sold 14,102 209,592
Issued to shareholders in reinvestment of distributions 3,443 -
Shares redeemed (21,141) (10,898)
Redemption fees - -
-----------------------------------------
Net increase (decrease) from capital stock transactions (3,596) 198,694
-----------------------------------------
CLASS Y SHARES(1)
Shares sold 4,412,683 15,159,554
Issued to shareholders in reinvestment of distributions 429,829 -
Shares redeemed (518,741) (347,404)
-----------------------------------------
Net increase from capital stock transactions 4,323,771 14,812,150
-----------------------------------------
TOTAL INCREASE IN NET ASSETS 2,257,582 21,246,589
-----------------------------------------
NET ASSETS AT END OF PERIOD $23,504,171 $21,246,589
=========================================
Undistributed (distribution in excess of) net investment income $ 40,676 $ 115,760
=========================================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 19,954 590,467
Issued to shareholders in reinvestment of distributions 13,807 -
Shares redeemed (16,821) (1,621)
-----------------------------------------
Net increase (decrease) from capital stock transactions 16,940 588,846
-----------------------------------------
CLASS B SHARES
Shares sold 1,561 20,480
Issued to shareholders in reinvestment of distributions 354 -
Shares redeemed (2,373) (1,034)
-----------------------------------------
Net increase (decrease) from capital stock transactions (458) 19,446
-----------------------------------------
CLASS Y SHARES(1)
Shares sold 466,770 1,474,486
Issued to shareholders in reinvestment of distributions 44,040 -
Shares redeemed (55,285) (33,283)
-----------------------------------------
Net increase from capital stock transactions 455,525 1,441,203
=========================================
- ---------------------------------
(1) Class Y shares for the Small Cap Value and Small Cap Growth Funds commenced
investment operations on January 9, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
76
================================================================================
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND INTERNATIONAL STOCK FUND
================================== ======================================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
4/30/08 YEAR ENDED 4/30/08 YEAR ENDED
(unaudited) 10/31/07 (unaudited) 10/31/07
===================================================================================
$25,140,687 $ - $128,300,707 $104,157,984
- -----------------------------------------------------------------------------------
(15,980) (19,940) 1,144,973 1,125,549
(1,469,728) 283,639 7,278,101 14,950,148
(2,137,351) 1,646,481 (13,398,293) 5,098,992
- -----------------------------------------------------------------------------------
(3,623,059) 1,910,180 (4,975,219) 21,174,689
- -----------------------------------------------------------------------------------
- (777) (744,049) (621,924)
- (6) (103,291) -
- - (569,819) (144,326)
(67,567) - (7,754,716) (8,014,544)
(2,008) - (2,225,021) (1,623,774)
(240,764) - (5,070,159) (1,290,872)
- -----------------------------------------------------------------------------------
(310,339) (783) (16,467,055) (11,695,440)
215,296 5,345,507 3,594,304 18,778,577
67,567 777 6,944,808 8,362,721
(266,102) (18,928) (15,204,465) (57,230,976)
- 170 393 553
- -----------------------------------------------------------------------------------
16,761 5,327,526 (4,664,960) (30,089,125)
- -----------------------------------------------------------------------------------
25,808 173,916 982,054 2,074,401
2,008 6 2,246,163 1,591,060
(4,594) (19,602) (3,068,779) (5,539,418)
- 5 292 80
- -----------------------------------------------------------------------------------
23,222 154,325 159,730 (1,873,877)
- -----------------------------------------------------------------------------------
8,116,039 18,337,548 66,556,673 48,128,646
240,764 - 5,639,978 1,435,198
(1,830,150) (588,109) (33,202,636) (2,937,368)
- -----------------------------------------------------------------------------------
6,526,653 17,749,439 38,994,015 46,626,476
- -----------------------------------------------------------------------------------
2,633,238 25,140,687 13,046,511 24,142,723
- -----------------------------------------------------------------------------------
$27,773,925 $25,140,687 $141,347,218 $128,300,707
===================================================================================
$ (15,980) $ - $ 835,729 $ 1,107,915
===================================================================================
21,727 531,024 254,724 1,201,775
6,309 79 501,066 557,967
(30,488) (1,741) (1,180,565) (3,743,256)
- -----------------------------------------------------------------------------------
(2,452) 529,362 (424,775) (1,983,514)
- -----------------------------------------------------------------------------------
2,668 16,744 73,861 134,477
189 1 163,834 107,868
(473) (1,773) (224,379) (358,813)
- -----------------------------------------------------------------------------------
2,384 14,972 13,316 (116,468)
- -----------------------------------------------------------------------------------
838,729 1,755,432 5,124,650 3,063,591
22,438 - 407,218 95,661
(191,822) (55,488) (2,009,830) (190,443)
- -----------------------------------------------------------------------------------
669,345 1,699,944 3,522,038 2,968,809
===================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
77
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
===================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
===========================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.13 $ 10.53 $10.00
---------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.15 0.24 0.05
Net realized and unrealized gain (loss) on investments (0.30) 0.49 0.48
---------------------------------------------------
Total from investment operations (0.15) 0.73 0.53
---------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.27) (0.12) -
Distributions from capital gains (0.03) (0.01) -
---------------------------------------------------
Total distributions (0.30) (0.13) -
---------------------------------------------------
Net increase (decrease) in net asset value (0.45) 0.60 0.53
---------------------------------------------------
NET ASSET VALUE at end of period $ 10.68 $ 11.13 $10.53
===================================================
TOTAL RETURN(2) (1.33)%(3) 6.94% 5.30%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $22,150 $16,003 $3,031
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.10%(4) 1.79% 10.53%(4)
After reimbursement of expenses by Adviser 0.70%(4) 0.70% 0.70%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.95%(4) 3.00% 2.78%(4)
Portfolio Turnover(5) 53%(3) 39% 26%(3)
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.07 $ 10.51 $10.00
---------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.17 0.02
Net realized and unrealized gain (loss) on investments (0.27) 0.48 0.49
---------------------------------------------------
Total from investment operations (0.18) 0.65 0.51
---------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.19) (0.08) -
Distributions from capital gains (0.03) (0.01) -
---------------------------------------------------
Total distributions (0.22) (0.09) -
---------------------------------------------------
Net increase (decrease) in net asset value (0.40) 0.56 0.51
---------------------------------------------------
NET ASSET VALUE at end of period $ 10.67 $ 11.07 $10.51
===================================================
TOTAL RETURN(2) (1.63)%(3) 6.16% 5.10%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,292 $ 4,173 $ 622
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.85%(4) 2.53% 10.21%(4)
After reimbursement of expenses by Adviser 1.45%(4) 1.45% 1.45%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.17%(4) 2.23% 2.20%(4)
Portfolio Turnover(5) 53%(3) 39% 26%(3)
- ---------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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.
- --------------------------------------------------------------------------------
78
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE
ALLOCATION FUND
===============
INCEPTION
to 4/30/08(2)
(unaudited)
====================================================================================
CLASS C
- -------
NET ASSET VALUE at beginning of period $10.47
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02
Net realized and unrealized gain on investments 0.18
------
Total from investment operations 0.20
------
Net increase in net asset value 0.20
------
NET ASSET VALUE at end of period $10.67
======
TOTAL RETURN(3) (1.91)%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $1,001
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 3.52%(5)
After reimbursement of expenses by Adviser 1.45%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.70%(5)
Portfolio Turnover(7) 53%(4)
MODERATE ALLOCATION FUND
=====================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.82 $ 10.65 $10.00
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10 0.17 0.02
Net realized and unrealized gain (loss) on investments (0.71) 1.12 0.63
----------------------------------------------------
Total from investment operations (0.61) 1.29 0.65
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.18) (0.12) -
Distributions from capital gains (0.08) (0.00)(6) -
----------------------------------------------------
Total distributions (0.26) (0.12) -
----------------------------------------------------
Net increase (decrease) in net asset value (0.87) 1.17 0.65
----------------------------------------------------
NET ASSET VALUE at end of period $ 10.95 $ 11.82 $10.65
====================================================
TOTAL RETURN(3) (5.28)%(4) 12.26% 6.50%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $62,623 $56,312 $8,762
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 0.72%(5) 0.89% 4.73%(5)
After reimbursement of expenses by Adviser 0.70%(5) 0.70% 0.70%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.77%(5) 1.45% 1.34%(5)
Portfolio Turnover(7) 55%(4) 21% 11%(4)
- --------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Commenced investment operations on February 29, 2008.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share.
(7) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
79
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND
=====================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
============================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.75 $ 10.63 $10.00
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.09 0.01
Net realized and unrealized gain (loss) on investments (0.70) 1.11 0.62
----------------------------------------------------
Total from investment operations (0.65) 1.20 0.63
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.09) (0.08) -
Distributions from capital gains (0.08) - -
----------------------------------------------------
Total distributions (0.17) (0.08) -
----------------------------------------------------
Net increase (decrease) in net asset value (0.82) 1.12 0.63
----------------------------------------------------
NET ASSET VALUE at end of period $ 10.93 $ 11.75 $10.63
====================================================
TOTAL RETURN(3) (5.60)%(4) 11.38% 6.30%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $23,045 $19,825 $3,289
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.47%(5) 1.64% 4.71%(5)
After reimbursement of expenses by Adviser 1.45%(5) 1.45% 1.45%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.97%(5) 0.63% 0.67%(5)
Portfolio Turnover(7) 55%(4) 21% 11%(4)
INCEPTION
to 4/30/08(2)
(unaudited)
=============
CLASS C
- -------
NET ASSET VALUE at beginning of period $10.61
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.00(6)
Net realized and unrealized gain on investments 0.32
----------
Total from investment operations 0.32
----------
Net increase in net asset value 0.32
----------
NET ASSET VALUE at end of period $10.93
==========
TOTAL RETURN(3) 3.02%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 909
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 3.80%(5)
After reimbursement of expenses by Adviser 1.45%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.14%(5)
Portfolio Turnover(7) 55%(4)
- ---------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Commenced investment operations on February 29, 2008.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share.
(7) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
80
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND
=====================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 12.53 $ 10.76 $10.00
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.09 (0.01)
Net realized and unrealized gain on investments (1.19) 1.83 0.77
----------------------------------------------------
Total from investment operations (1.14) 1.92 0.76
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.13) (0.15) -
Distributions from capital gains (0.10) - -
----------------------------------------------------
Total distributions (0.23) (0.15) -
----------------------------------------------------
Net increase in net asset value (1.37) 1.77 0.76
----------------------------------------------------
NET ASSET VALUE at end of period $ 11.16 $ 12.53 $10.76
====================================================
TOTAL RETURN(2) (9.18)%(3) 18.00% 7.60%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $20,359 $18,824 $2,675
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.10%(4) 1.62% 10.14%(4)
After reimbursement of expenses by Adviser 0.70%(4) 0.70% 0.70%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.67%(4) (0.33)% (0.56)%(4)
Portfolio Turnover(6) 58%(3) 24% 10%(3)
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 12.46 $ 10.74 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.00(5) 0.00(5) (0.01)
Net realized and unrealized gain (loss) on investments (1.19) 1.82 0.75
----------------------------------------------------
Total from investment operations (1.19) 1.82 0.74
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.04) (0.10) -
Distributions from capital gains (0.10) - -
----------------------------------------------------
Total distributions (0.14) (0.10) -
----------------------------------------------------
Net increase (decrease) in net asset value (1.33) 1.72 0.74
----------------------------------------------------
NET ASSET VALUE at end of period $ 11.13 $ 12.46 $10.74
====================================================
TOTAL RETURN(2) (9.60)%(3) 17.11% 7.40%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 8,282 $ 7,234 $1,164
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.85%(4) 2.38% 10.07%(4)
After reimbursement of expenses by Adviser 1.45%(4) 1.45% 1.45%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.18)%(4) (1.06)% (1.28)%(4)
Portfolio Turnover(6) 58%(3) 24% 10%(3)
- ---------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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.
- --------------------------------------------------------------------------------
81
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
AGGRESSIVE
ALLOCATION FUND
===============
INCEPTION
to 4/30/08(1)
(unaudited)
==============
CLASS C
- -------
NET ASSET VALUE at beginning of period $10.70
--------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.02)
Net realized and unrealized gain (loss) on investments 0.46
--------
Total from investment operations 0.44
--------
Net increase (decrease) in net asset value 0.44
--------
NET ASSET VALUE at end of period $11.14
========
TOTAL RETURN(2) 4.11%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 202
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 8.64%(4)
After reimbursement of expenses by Adviser 1.45%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (1.40)%(4)
Portfolio Turnover(6) 58%(3)
CASH RESERVES FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 -----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.05 0.04 0.02 0.01 0.00(5)
--------------------------------------------------------------------------
Total from investment operations 0.01 0.05 0.04 0.02 0.01 0.00
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.05) (0.04) (0.02) (0.01) (0.00)(5)
--------------------------------------------------------------------------
Total distributions (0.01) (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 $ 1.00
==========================================================================
TOTAL RETURN(2) 1.51%(3) 4.73% 4.27% 2.33% 0.68% 0.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $15,154 $12,494 $10,989 $11,243 $11,916 $14,236
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.03%(4) 1.09% 1.09% 0.98% 0.82% 0.87%
After reimbursement of expenses by Adviser 0.55%(4) 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 2.87%(4) 4.64% 4.13% 2.30% 0.68% 0.75%
- -------------------------------------------------------
(1) Commenced investment operations on February 29, 2008.
(2) Total return without 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.
- --------------------------------------------------------------------------------
82
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CASH RESERVES FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 -----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==================================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.04 0.03 0.02 0.00(7) 0.00(7)
--------------------------------------------------------------------------
Total from investment operations 0.01 0.04 0.03 0.02 0.00 0.00
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.04) (0.03) (0.02) - (0.00)(7)
--------------------------------------------------------------------------
Total distributions (0.01) (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 $ 1.00
==========================================================================
TOTAL RETURN(3) 1.13%(5) 3.94% 3.48% 1.57% 0.07% 0.08%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $3,737 $2,779 $4,242 $6,105 $8,432 $12,071
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.78%(6) 1.84% 1.84% 1.73% 1.57% 1.62%
After reimbursement of expenses by Adviser 1.30%(6) 1.30% 1.30% 1.30% 1.15%(4) 1.23%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.08%(6) 3.88% 3.37% 1.49% 0.06% 0.08%
FOR THE
PERIOD ENDED INCEPTION
6/14/07(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%(5)
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%(6) 1.35%(6)
After reimbursement of expenses by Adviser 0.55%(6) 0.55%(6)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 4.62%(6) 4.75%(6)
- ----------------------------------------------------
(1) Cash Reserves Fund Class Y shares were liquidated June 14, 2007.
(2) Commenced investment operations on June 30, 2006.
(3) Total return without applicable sales charge.
(4) Amount includes fees waived by distributor.
(5) Not annualized.
(6) Annualized.
(7) Amounts represent less than $0.005 per share.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
83
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 -----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12 $ 10.17
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.21 0.43 0.42 0.39 0.37 0.40
Net realized and unrealized gain (loss)
on investments 0.09 (0.10) 0.03 (0.31) 0.07 (0.05)
--------------------------------------------------------------------------
Total from investment operations 0.30 0.33 0.45 0.08 0.44 0.35
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.21) (0.36) (0.42) (0.40) (0.39) (0.40)
Return of capital - (0.07) - - - -
--------------------------------------------------------------------------
Total distributions (0.21) (0.43) (0.42) (0.40) (0.39) (0.40)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.09 (0.10) 0.03 (0.32) 0.05 (0.05)
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.87 $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12
==========================================================================
TOTAL RETURN(1) 3.03%(2) 3.42% 4.70% 0.74% 4.46% 3.51%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $42,993 $55,271 $59,646 $61,942 $59,900 $78,165
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.03%(3) 1.08% 1.08% 1.07% 1.01% 1.10%
After reimbursement of expenses by Adviser 0.90%(3) 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 4.22%(3) 4.40% 4.27% 3.82% 3.73% 3.94%
Portfolio Turnover(4) 9%(2) 40% 33% 43% 81% 75%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12 $ 10.18
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.17 0.35 0.35 0.31 0.30 0.33
Net realized and unrealized gain (loss)
on investments 0.09 (0.10) 0.03 (0.31) 0.07 (0.06)
--------------------------------------------------------------------------
Total from investment operations 0.26 0.25 0.38 - 0.37 0.27
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.17) (0.29) (0.35) (0.32) (0.32) (0.33)
Return of capital - (0.06) - - - -
--------------------------------------------------------------------------
Total distributions (0.17) (0.35) (0.35) (0.32) (0.32) (0.33)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.09 (0.10) 0.03 (0.32) 0.05 (0.06)
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.87 $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12
==========================================================================
TOTAL RETURN(1) 2.65%(2) 2.64% 3.91% (0.01)% 3.68% 2.64%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $22,421 $26,507 $37,233 $47,588 $55,269 $64,529
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.78%(3) 1.83% 1.83% 1.82% 1.76% 1.85%
After reimbursement of expenses by Adviser 1.65%(3) 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 3.46%(3) 3.65% 3.51% 3.08% 2.95% 3.19%
Portfolio Turnover(4) 9%(2) 40% 33% 43% 81% 75%
- --------------------------------------------------
(1) Total return without applicable sales charge.
(2) Not annualized.
(3) Annualized.
(4) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
84
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
=====================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
===================================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 9.77 $ 9.88 $ 9.61
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.45 0.15
Net realized and unrealized gain (loss)
on investments 0.09 (0.11) 0.27
----------------------------------------------------
Total from investment operations 0.31 0.34 0.42
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.22) (0.38) (0.15)
Return of capital - (0.07) -
----------------------------------------------------
Total distributions (0.22) (0.45) (0.15)
----------------------------------------------------
Net increase (decrease) in net asset value 0.09 (0.11) 0.27
----------------------------------------------------
NET ASSET VALUE at end of period $ 9.86 $ 9.77 $ 9.88
====================================================
TOTAL RETURN(2) 3.17%(3) 3.58% 4.39%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $70,078 $34,542 $6,141
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 0.79%(4) 0.82% 0.89%(4)
After reimbursement of expenses by Adviser 0.65%(4) 0.65% 0.65%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 4.45%(4) 4.69% 4.67%(4)
Portfolio Turnover(6) 9%(3) 40% 33%(3)
HIGH INCOME FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 7.29 $ 7.36 $ 7.29 $ 7.56 $ 7.36 $ 6.57
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.24 0.53 0.52 0.49 0.55 0.54
Net realized and unrealized gain (loss)
on investments (0.29) (0.08) 0.07 (0.28) 0.21 0.80
--------------------------------------------------------------------------
Total from investment operations (0.05) 0.45 0.59 0.21 0.76 1.34
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.24) (0.52) (0.52) (0.48) (0.56) (0.55)
--------------------------------------------------------------------------
Total distributions (0.24) (0.52) (0.52) (0.48) (0.56) (0.55)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.29) (0.07) 0.07 (0.27) 0.20 0.79
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.00 $ 7.29 $ 7.36 $ 7.29 $ 7.56 $ 7.36
==========================================================================
TOTAL RETURN(2) (0.69)%(3) 6.31% 8.33% 2.85% 10.73% 21.09%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $31,426 $35,610 $36,281 $43,872 $44,137 $33,024
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.16%(4) 1.21% 1.22% 1.23% 1.16% 1.38%
After reimbursement of expenses by Adviser 1.00%(4) 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 6.82%(4) 7.10% 6.98% 6.50% 7.37% 7.73%
Portfolio Turnover(6) 29%(3) 74% 67% 81%(5) 60% 58%
- ------------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Reflects subadviser change as of February 28, 2005.
(6) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
85
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
HIGH INCOME FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 7.32 $ 7.39 $ 7.31 $ 7.58 $ 7.37 $ 6.59
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.23 0.49 0.47 0.43 0.49 0.49
Net realized and unrealized gain (loss)
on investments (0.31) (0.09) 0.07 (0.28) 0.22 0.78
--------------------------------------------------------------------------
Total from investment operations (0.08) 0.40 0.54 0.15 0.71 1.27
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.16) (0.47) (0.46) (0.42) (0.50) (0.49)
--------------------------------------------------------------------------
Total distributions (0.16) (0.47) (0.46) (0.42) (0.50) (0.49)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.24) (0.07) 0.08 (0.27) 0.21 0.78
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.08 $ 7.32 $ 7.39 $ 7.31 $ 7.58 $ 7.37
==========================================================================
TOTAL RETURN(2) (1.04)%(3) 5.50% 7.64% 2.06% 10.02% 19.96%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 9,487 $12,255 $17,099 $21,255 $23,349 $21,992
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.91%(4) 1.96% 1.97% 1.98% 1.91% 2.13%
After reimbursement of expenses by Adviser 1.75%(4) 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 6.07%(4) 6.34% 6.24% 5.75% 6.63% 6.98%
Portfolio Turnover(6) 29%(3) 74% 67% 81%(5) 60% 58%
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
=====================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 7.30 $ 7.36 $ 7.21
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.24 0.51 0.16
Net realized and unrealized gain (loss)
on investments (0.29) (0.03) 0.17
----------------------------------------------------
Total from investment operations (0.05) 0.48 0.33
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.26) (0.54) (0.18)
----------------------------------------------------
Total distributions (0.26) (0.54) (0.18)
----------------------------------------------------
Net increase (decrease) in net asset value (0.31) (0.06) 0.15
----------------------------------------------------
NET ASSET VALUE at end of period $ 6.99 $ 7.30 $ 7.36
====================================================
TOTAL RETURN(2) (0.61)%(3) 6.72% 4.59%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $34,516 $21,115 $2,637
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 0.91%(4) 0.94% 1.06%(4)
After reimbursement of expenses by Adviser 0.75%(4) 0.75% 0.75%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 7.05%(4) 7.43% 7.33%(4)
Portfolio Turnover(6) 29%(3) 74% 67%(3)
- ------------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Reflects subadviser change as of February 28, 2005.
(6) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
86
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 13.24 $ 13.20 $ 12.25 $ 11.81 $ 11.18 $ 10.16
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.23 0.49 0.26 0.24 0.22 0.25
Net realized and unrealized gain (loss)
on investments (0.68) 0.27 0.95 0.44 0.64 1.02
--------------------------------------------------------------------------
Total from investment operations (0.45) 0.76 1.21 0.68 0.86 1.27
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.24) (0.49) (0.26) (0.24) (0.23) (0.25)
Distributions from capital gains (1.00) (0.23) - - - -
--------------------------------------------------------------------------
Total distributions (1.24) (0.72) (0.26) (0.24) (0.23) (0.25)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.69) 0.04 0.95 0.44 0.63 1.02
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.55 $ 13.24 $ 13.20 $ 12.25 $ 11.81 $ 11.18
==========================================================================
TOTAL RETURN(1) (3.52)%(2) 5.95% 9.97% 5.74% 7.71% 12.72%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $83,604 $90,254 $91,339 $107,457 $ 98,900 $ 83,606
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.28%(3) 1.25% 1.21% 1.21% 1.17% 1.32%
After reimbursement of expenses by Adviser 1.10%(3) 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 3.79%(3) 3.73% 2.01% 1.88% 1.88% 2.38%
Portfolio Turnover(4) 9%(2) 62% 62% 34% 39% 35%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 13.25 $ 13.22 $ 12.26 $ 11.82 $ 11.19 $ 10.17
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.19 0.40 0.16 0.14 0.13 0.17
Net realized and unrealized gain (loss)
on investments (0.68) 0.26 0.96 0.44 0.64 1.02
--------------------------------------------------------------------------
Total from investment operations (0.49) 0.66 1.12 0.58 0.77 1.19
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.15) (0.40) (0.16) (0.14) (0.14) (0.17)
Distributions from capital gains (1.00) (0.23) - - - -
--------------------------------------------------------------------------
Total distributions (1.15) (0.63) (0.16) (0.14) (0.14) (0.17)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.64) 0.03 0.96 0.44 0.63 1.02
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.61 $ 13.25 $ 13.22 $ 12.26 $ 11.82 $ 11.19
==========================================================================
TOTAL RETURN(1) (3.85)%(2) 5.09% 9.23% 4.94% 6.90% 11.87%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $42,767 $57,581 $80,486 $ 98,258 $105,784 $100,787
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.03%(3) 2.00% 1.96% 1.96% 1.92% 2.07%
After reimbursement of expenses by Adviser 1.85%(3) 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 3.06%(3) 2.99% 1.27% 1.15% 1.14% 1.63%
Portfolio Turnover(4) 9%(2) 62% 62% 34% 39% 35%
- ------------------------------------------------------
(1) Total return without applicable sales charge.
(2) Not annualized.
(3) Annualized.
(4) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
87
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 16.91 $ 15.47 $ 13.20 $ 12.19 $ 11.05 $ 9.37
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.14 0.22 0.22 0.16 0.14 0.12
Net realized and unrealized gain (loss)
on investments (1.77) 1.45 2.23 1.00 1.12 1.64
--------------------------------------------------------------------------
Total from investment operations (1.63) 1.67 2.45 1.16 1.26 1.76
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.19) (0.23) (0.18) (0.15) (0.12) (0.08)
Distributions from capital gains (0.10) - - - - -
--------------------------------------------------------------------------
Total distributions (0.29) (0.23) (0.18) (0.15) (0.12) (0.08)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.92) 1.44 2.27 1.01 1.14 1.68
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.99 $ 16.91 $ 15.47 $ 13.20 $ 12.19 $ 11.05
==========================================================================
TOTAL RETURN(1) (9.74)%(2) 10.88% 18.75% 9.56% 11.48% 18.95%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $87,063 $116,358 $113,441 $103,765 $85,855 $68,406
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.16%(3) 1.13% 1.16% 1.17% 1.13% 1.35%
After reimbursement of expenses by Adviser 1.16%(3) 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 1.80%(3) 1.32% 1.53% 1.29% 1.26% 1.29%
Portfolio Turnover(4) 15%(2) 47% 45% 12% 16% 20%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 16.61 $ 15.20 $ 12.97 $ 11.98 $ 10.87 $ 9.24
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.12 0.16 0.15 0.09 0.06 0.05
Net realized and unrealized gain (loss)
on investments (1.77) 1.36 2.16 0.96 1.10 1.60
--------------------------------------------------------------------------
Total from investment operations (1.65) 1.52 2.31 1.05 1.16 1.65
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.07) (0.11) (0.08) (0.06) (0.05) (0.02)
Distributions from capital gains (0.10) - - - - -
--------------------------------------------------------------------------
Total distributions (0.17) (0.11) (0.08) (0.06) (0.05) (0.02)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.82) 1.41 2.23 0.99 1.11 1.63
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.79 $ 16.61 $ 15.20 $ 12.97 $ 11.98 $ 10.87
==========================================================================
TOTAL RETURN(1) (10.00)%(2) 10.03% 17.86% 8.73% 10.70% 17.93%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $28,226 $ 43,146 $ 62,766 $ 74,028 $83,482 $79,765
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.91%(3) 1.89% 1.90% 1.92% 1.89% 2.10%
After reimbursement of expenses by Adviser 1.91%(3) 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 1.05%(3) 0.61% 0.80% 0.57% 0.53% 0.54%
Portfolio Turnover(4) 15%(2) 47% 45% 12% 16% 20%
- ------------------------------------------------------
(1) Total return without applicable sales charge.
(2) Not annualized.
(3) Annualized.
(4) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
88
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
=====================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
===================================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 16.93 $ 15.48 $14.07
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10 0.21 0.03
Net realized and unrealized gain (loss)
on investments (1.70) 1.51 1.38
----------------------------------------------------
Total from investment operations (1.60) 1.72 1.41
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.23) (0.27) -
Distributions from capital gains (0.10) - -
----------------------------------------------------
Total distributions (0.33) (0.27) -
----------------------------------------------------
Net increase (decrease) in net asset value (1.93) 1.45 1.41
----------------------------------------------------
NET ASSET VALUE at end of period $ 15.00 $ 16.93 $15.48
====================================================
TOTAL RETURN(2) (9.56)%(3) 11.21% 10.02%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $53,024 $47,949 $7,169
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 0.91%(4) 0.87% 0.96%(4)
After reimbursement of expenses by Adviser 0.91%(4) 0.88% 0.75%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.91%(4) 1.47% 1.31%(4)
Portfolio Turnover(6) 15%(3) 47% 45%(3)
LARGE CAP GROWTH FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 17.39 $ 14.70 $ 13.72 $ 12.87 $ 11.88 $ 9.63
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 (0.00)(5) 0.00(5) 0.08 0.01 (0.00)(5)
Net realized and unrealized gain (loss)
on investments (1.53) 2.69 1.05 0.77 0.98 2.25
--------------------------------------------------------------------------
Total from investment operations (1.52) 2.69 1.05 0.85 0.99 2.25
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - - (0.07) (0.00)(5) - -
--------------------------------------------------------------------------
Total distributions - - (0.07) (0.00) - -
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.52) 2.69 0.98 0.85 0.99 2.25
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 15.87 $ 17.39 $ 14.70 $ 13.72 $ 12.87 $ 11.88
==========================================================================
TOTAL RETURN(2) (8.74)%(3) 18.30% 7.71% 6.61% 8.33% 23.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $55,489 $68,253 $65,216 $78,785 $73,674 $71,733
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.36%(4) 1.43% 1.45% 1.44% 1.38% 1.64%
After reimbursement of expenses by Adviser 1.20%(4) 1.20% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.12%(4) (0.02)% 0.09% 0.62% 0.08% 0.05%
Portfolio Turnover(6) 69%(3) 93% 148% 18% 27% 25%
- ------------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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.
- --------------------------------------------------------------------------------
89
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 16.29 $ 13.88 $ 12.98 $ 12.27 $ 11.40 $ 9.31
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.05) (0.13) (0.09) (0.01) (0.08) (0.08)
Net realized and unrealized gain (loss)
on investments (1.42) 2.54 0.99 0.72 0.95 2.17
--------------------------------------------------------------------------
Total from investment operations (1.47) 2.41 0.90 0.71 0.87 2.09
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.47) 2.41 0.90 0.71 0.87 2.09
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.82 $ 16.29 $ 13.88 $ 12.98 $ 12.27 $ 11.40
==========================================================================
TOTAL RETURN(2) (9.02)%(3) 17.36% 6.93% 5.79% 7.63% 22.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $25,882 $36,147 $43,975 $54,946 $63,544 $62,832
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.11%(4) 2.18% 2.20% 2.19% 2.13% 2.39%
After reimbursement of expenses by Adviser 1.95%(4) 1.95% 1.95% 1.94% 1.95% 1.95%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.63)%(4) (0.76)% (0.65)% (0.09)% (0.67)% (0.70)%
Portfolio Turnover(6) 69%(3) 93% 148% 18% 27% 25%
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
=====================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 17.45 $ 14.72 $ 13.71
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.02 (0.00)(5)
Net realized and unrealized gain (loss)
on investments (1.52) 2.71 1.01
----------------------------------------------------
Total from investment operations (1.50) 2.73 1.01
----------------------------------------------------
Net increase (decrease) in net asset value (1.50) 2.73 1.01
----------------------------------------------------
NET ASSET VALUE at end of period $ 15.95 $ 17.45 $ 14.72
====================================================
TOTAL RETURN(2) (8.60)%(3) 18.55% 7.37%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $99,754 $52,811 $ 9,939
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.11%(4) 1.16% 1.30%(4)
After reimbursement of expenses by Adviser 0.95%(4) 0.95% 0.95%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.35%(4) 0.19% (0.07)%(4)
Portfolio Turnover(6) 69%(3) 93% 148%(3)
- ------------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 13.90 $ 15.54 $ 14.08 $ 12.44 $ 11.12 $ 8.64
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.09 0.10 0.03 0.09 0.01
Net realized and unrealized gain (loss)
on investments (1.30) 1.27 2.32 1.70 1.23 2.47
--------------------------------------------------------------------------
Total from investment operations (1.22) 1.36 2.42 1.73 1.32 2.48
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.06) (0.08) (0.01) (0.09) - -
Distributions from capital gains (1.33) (2.92) (0.95) - - -
--------------------------------------------------------------------------
Total distributions (1.39) (3.00) (0.96) (0.09) - -
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (2.61) (1.64) 1.46 1.64 1.32 2.48
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.29 $ 13.90 $ 15.54 $ 14.08 $ 12.44 $ 11.12
==========================================================================
TOTAL RETURN(1) (9.33)%(2) 9.94% 17.93% 13.95% 11.87% 28.70%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $29,008 $39,708 $34,364 $44,126 $40,103 $31,591
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.77%(3) 1.69% 1.68% 1.70% 1.61% 1.92%
After reimbursement of expenses by Adviser 1.40%(3) 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 1.25%(3) 0.74% 0.53% 0.20% 0.77% 0.17%
Portfolio Turnover(5) 32%(2) 76% 108% 37% 21% 25%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 13.24 $ 14.96 $ 13.67 $ 12.09 $ 10.91 $ 8.54
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.00(4) (0.03) (0.07) 0.00(4) (0.05)
Net realized and unrealized gain (loss)
on investments (1.25) 1.20 2.27 1.65 1.18 2.42
--------------------------------------------------------------------------
Total from investment operations (1.22) 1.20 2.24 1.58 1.18 2.37
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (1.33) (2.92) (0.95) - - -
--------------------------------------------------------------------------
Total distributions (1.33) (2.92) (0.95) - - -
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (2.55) (1.72) 1.29 1.58 1.18 2.37
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.69 $ 13.24 $ 14.96 $ 13.67 $ 12.09 $ 10.91
==========================================================================
TOTAL RETURN(1) (9.77)%(2) 9.14% 17.04% 13.07% 10.82% 27.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $16,396 $21,835 $24,813 $22,633 $20,104 $16,721
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.53%(3) 2.44% 2.45% 2.45% 2.36% 2.67%
After reimbursement of expenses by Adviser 2.15%(3) 2.15% 2.15% 2.15% 2.15% 2.15%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.50%(3) 0.00% (0.20)% (0.55)% 0.01% (0.58)%
Portfolio Turnover(5) 32%(2) 76% 108% 37% 21% 25%
- ------------------------------------------------------
(1) Total return without applicable sales charge.
(2) Not annualized.
(3) Annualized.
(4) Amounts represent less than $0.005 per share.
(5) Portfolio Turnover is calculated at the fund level and represents the entire
fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
91
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
=====================================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
===================================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 13.92 $ 15.56 $ 14.54
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.13 0.02
Net realized and unrealized gain (loss)
on investments (1.08) 1.27 1.00
----------------------------------------------------
Total from investment operations (1.07) 1.40 1.02
----------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.09) (0.12) -
Distributions from capital gains (1.33) (2.92) -
----------------------------------------------------
Total distributions (1.42) (3.04) -
----------------------------------------------------
Net increase (decrease) in net asset value (2.49) (1.64) 1.02
----------------------------------------------------
NET ASSET VALUE at end of period $ 11.43 $ 13.92 $ 15.56
====================================================
TOTAL RETURN(2) (8.11)%(3) 10.25% 6.95%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 5,439 $18,992 $ 5,531
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.45%(4) 1.43% 1.63%(4)
After reimbursement of expenses by Adviser 1.15%(4) 1.15% 1.15%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.49%(4) 0.94% 0.97%(4)
Portfolio Turnover(5) 32%(3) 76% 108%(3)
MID CAP GROWTH FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ---------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 7.45 $ 6.27 $ 5.36 $ 4.83 $ 4.46 $ 3.49
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.03) (0.07) (0.04) (0.01) (0.03) (0.03)
Net realized and unrealized gain (loss)
on investments (0.88) 1.25 0.95 0.54 0.40 1.00
--------------------------------------------------------------------------
Total from investment operations (0.91) 1.18 0.91 0.53 0.37 0.97
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.05) - - - - -
--------------------------------------------------------------------------
Total distributions (0.05) - - - - -
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.96) 1.18 0.91 0.53 0.37 0.97
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 6.49 $ 7.45 $ 6.27 $ 5.36 $ 4.83 $ 4.46
==========================================================================
TOTAL RETURN(2) (12.26)%(3) 18.82% 16.98% 10.97% 8.30% 27.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $23,777 $33,459 $33,899 $32,395 $25,897 $14,366
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.44%(4) 1.50% 1.61% 1.69% 1.62% 2.40%
After reimbursement of expenses by Adviser 1.40%(4) 1.33% 1.20% 1.19% 1.20% 1.20%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.76)%(4) (0.87)% (0.59)% (0.25)% (0.64)% (0.42)%
Portfolio Turnover(5) 56%(3) 109% 207% 92% 71% 123%
- --------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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.
- --------------------------------------------------------------------------------
92
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
============================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 -----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==================================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 7.04 $ 5.96 $ 5.14 $ 4.67 $ 4.34 $ 3.42
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.05) (0.13) (0.08) (0.05) (0.06) (0.02)
Net realized and unrealized gain (loss)
on investments (0.84) 1.21 0.90 0.52 0.39 0.94
--------------------------------------------------------------------------
Total from investment operations (0.89) 1.08 0.82 0.47 0.33 0.92
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.05) - - - - -
--------------------------------------------------------------------------
Total distributions (0.05) - - - - -
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.94) 1.08 0.82 0.47 0.33 0.92
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 6.10 $ 7.04 $ 5.96 $ 5.14 $ 4.67 $ 4.34
==========================================================================
TOTAL RETURN(2) (12.69)%(3) 17.92% 16.15% 10.06% 7.60% 26.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 9,838 $13,598 $15,754 $14,464 $13,030 $9,935
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.20%(4) 2.25% 2.35% 2.44% 2.37% 3.15%
After reimbursement of expenses by Adviser 2.15%(4) 2.08% 1.95% 1.94% 1.95% 1.95%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (1.50)%(4) (1.62)% (1.36)% (0.98)% (1.39)% (1.17)%
Portfolio Turnover(5) 56%(3) 109% 207% 92% 71% 123%
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 7.47 $ 6.27 $ 5.84
-----------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.01) (0.03) (0.01)
Net realized and unrealized gain (loss)
on investments (0.89) 1.23 0.44
-----------------------------------------------
Total from investment operations (0.90) 1.20 0.43
-----------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.05) - -
-----------------------------------------------
Total distributions (0.05) - -
-----------------------------------------------
Net increase (decrease) in net asset value (0.95) 1.20 0.43
-----------------------------------------------
NET ASSET VALUE at end of period $ 6.52 $ 7.47 $ 6.27
===============================================
TOTAL RETURN(2) (12.21)%(3) 19.11% 7.53%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $44,093 $32,631 $7,830
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.20%(4) 1.22% 1.47%(4)
After reimbursement of expenses by Adviser 1.15%(4) 1.11% 0.95%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.48)%(4) (0.62)% (0.58)%(4)
Portfolio Turnover(5) 56%(3) 109% 207%(3)
- -----------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
========================================
SIX MONTHS
Ended 4/30/08 INCEPTION
(unaudited) to 10/31/07(1)
=============================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $10.36 $10.00
---------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.06
Net realized and unrealized gain (loss) on investments (0.84) 0.30
---------------------------------
Total from investment operations (0.82) 0.36
---------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.05) -
Distributions from capital gains (0.17) -
---------------------------------
Total distributions (0.22) -
---------------------------------
Net increase (decrease) in net asset value (1.04) 0.36
---------------------------------
NET ASSET VALUE at end of period $ 9.32 $10.36
=================================
TOTAL RETURN(2) (7.97)%(3) 3.60%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $5,646 $6,098
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.22%(4) 2.61%(4)
After reimbursement of expenses by Adviser 1.50%(4) 1.50%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.59%(4) 0.71%(4)
Portfolio Turnover(6) 14%(3) 14%(3)
CLASS B
- -------
NET ASSET VALUE at beginning of period $10.29 $10.00
---------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.00)(5) (0.00)(5)
Net realized and unrealized gain (loss) on investments (0.85) 0.29
---------------------------------
Total from investment operations (0.85) 0.29
---------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.17) -
---------------------------------
Total distributions (0.17) -
---------------------------------
Net increase (decrease) in net asset value (1.02) 0.29
---------------------------------
NET ASSET VALUE at end of period $ 9.27 $10.29
=================================
TOTAL RETURN(2) (8.29)%(3) 2.90%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 176 $ 200
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 9.01%(4) 11.24%(4)
After reimbursement of expenses by Adviser 2.25%(4) 2.25%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.15)%(4) (0.01)%(4)
Portfolio Turnover(6) 14%(3) 14%(3)
- --------------------------------------------
(1) Commenced investment operations on December 27, 2006.
(2) Total return without 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.
- --------------------------------------------------------------------------------
94
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
========================================
SIX MONTHS
Ended 4/30/08 INCEPTION
(unaudited) to 10/31/07(1)
=============================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 10.37 $ 9.82
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.05
Net realized and unrealized gain (loss) on investments (0.83) 0.50
----------------------------------
Total from investment operations (0.81) 0.55
----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.07) -
Distributions from capital gains (0.17) -
----------------------------------
Total distributions (0.24) -
----------------------------------
Net increase (decrease) in net asset value (1.05) 0.55
----------------------------------
NET ASSET VALUE at end of period $ 9.32 $ 10.37
==================================
TOTAL RETURN(3) (7.83)%(4) 5.60%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $17,682 $14,949
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.63%(5) 1.91%(5)
After reimbursement of expenses by Adviser 1.25%(5) 1.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.83%(5) 0.99%(5)
Portfolio Turnover(7) 14%(4) 14%(4)
SMALL CAP GROWTH FUND
========================================
SIX MONTHS
Ended 4/30/08 INCEPTION
(unaudited) to 10/31/07(2)
=============================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.19 $ 10.00
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.02) (0.03)
Net realized and unrealized gain (loss) on investments (1.53) 1.22
----------------------------------
Total from investment operations (1.55) 1.19
----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.00)(6)
Distributions from capital gains (0.13) -
----------------------------------
Total distributions (0.13) (0.00)
----------------------------------
Net increase (decrease) in net asset value (1.68) 1.19
----------------------------------
NET ASSET VALUE at end of period $ 9.51 $ 11.19
==================================
TOTAL RETURN(3) (14.01)%(4) 11.92%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 5,010 $ 5,922
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.18%(5) 2.61%(5)
After reimbursement of expenses by Adviser 1.50%(5) 1.50%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.31)%(5) (0.37)%(5)
Portfolio Turnover(7) 50%(4) 90%(4)
- --------------------------------------------
(1) Commenced investment operations on January 9, 2007.
(2) Commenced investment operations on December 27, 2006.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share.
(7) 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
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
====================================
SIX MONTHS
Ended 4/30/08 INCEPTION
(unaudited) to 10/31/07(1)
=============================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.11 $ 10.00
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.05) (0.08)
Net realized and unrealized gain (loss) on investments (1.52) 1.19
----------------------------------
Total from investment operations (1.57) 1.11
----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.00)(6)
Distributions from capital gains (0.13) -
----------------------------------
Total distributions (0.13) (0.00)
----------------------------------
Net increase (decrease) in net asset value (1.70) 1.11
----------------------------------
NET ASSET VALUE at end of period $ 9.41 $ 11.11
==================================
TOTAL RETURN(3) (14.30)%(4) 11.11%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 163 $ 166
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 10.37%(5) 12.61%(5)
After reimbursement of expenses by Adviser 2.25%(5) 2.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (1.08)%(5) (1.10)%(5)
Portfolio Turnover(7) 50%(4) 90%(4)
SIX MONTHS
Ended 4/30/08 INCEPTION
(unaudited) to 10/31/07(2)
=====================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 11.21 $ 9.84
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.00)(6) (0.00)(6)
Net realized and unrealized gain (loss) on investments (1.54) 1.37
----------------------------------
Total from investment operations (1.54) 1.37
----------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.13) -
----------------------------------
Total distributions (0.13) -
----------------------------------
Net increase (decrease) in net asset value (1.67) 1.37
----------------------------------
NET ASSET VALUE at end of period $ 9.54 $ 11.21
==================================
TOTAL RETURN(3) (13.90)%(4) 13.92%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $22,601 $19,053
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.57%(5) 1.87%(5)
After reimbursement of expenses by Adviser 1.25%(5) 1.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.07)%(5) (0.02)%(5)
Portfolio Turnover(7) 50%(4) 90%(4)
- --------------------------------------------
(1) Commenced investment operations on December 27, 2006.
(2) Commenced investment operations on January 9, 2007.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share.
(7) 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
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
=========================================================================
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
Ended 4/30/08 ----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
=================================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 17.05 $ 15.66 $ 12.65 $ 10.56 $ 8.92 $ 7.00
-------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.12 0.16 0.15 0.14 0.08 0.10
Net realized and unrealized gain (loss)
on investments (1.12) 2.92 3.01 2.05 1.66 1.88
-------------------------------------------------------------------------
Total from investment operations (1.00) 3.08 3.16 2.19 1.74 1.98
-------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.24) (0.11) (0.14) (0.10) (0.10) (0.06)
Distributions from capital gains (2.51) (1.58) (0.01) - - -
-------------------------------------------------------------------------
Total distributions (2.75) (1.69) (0.15) (0.10) (0.10) (0.06)
-------------------------------------------------------------------------
Net increase (decrease) in net asset value (3.75) 1.39 3.01 2.09 1.64 1.92
-------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 13.30 $ 17.05 $ 15.66 $ 12.65 $ 10.56 $ 8.92
=========================================================================
TOTAL RETURN(1) (6.51)%(2) 21.24% 25.11% 20.81% 19.56% 28.46%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $35,012 $52,145 $78,958 $58,825 $43,915 $33,664
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.93%(3) 1.89% 1.87% 1.90% 1.85% 2.11%
After reimbursement of expenses by Adviser 1.60%(3) 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 1.43%(3) 0.99% 1.03% 1.15% 0.76% 1.30%
Portfolio Turnover(5) 45%(2) 79% 63% 64% 45% 34%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 16.79 $ 15.45 $ 12.48 $ 10.41 $ 8.78 $ 6.89
-------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.07 0.08 0.03 0.04 (0.00)(4) 0.04
Net realized and unrealized gain (loss)
on investments (1.11) 2.84 2.98 2.04 1.64 1.85
-------------------------------------------------------------------------
Total from investment operations (1.04) 2.92 3.01 2.08 1.64 1.89
-------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.12) - (0.03) (0.01) (0.01) (0.00)(4)
Distributions from capital gains (2.51) (1.58) (0.01) - - -
-------------------------------------------------------------------------
Total distributions (2.63) (1.58) (0.04) (0.01) (0.01) (0.00)
-------------------------------------------------------------------------
Net increase (decrease) in net asset value (3.67) 1.34 2.97 2.07 1.63 1.89
-------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 13.12 $ 16.79 $ 15.45 $ 12.48 $ 10.41 $ 8.78
=========================================================================
TOTAL RETURN(1) (6.89)%(2) 20.31% 24.18% 20.00% 18.67% 27.44%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $12,388 $15,630 $16,175 $10,922 $ 7,559 $ 5,806
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.69%(3) 2.64% 2.62% 2.65% 2.59% 2.86%
After reimbursement of expenses by Adviser 2.35%(3) 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 0.83%(3) 0.41% 0.32% 0.41% 0.03% 0.55%
Portfolio Turnover(5) 45%(2) 79% 63% 64% 45% 34%
- --------------------------------------------
(1) Total return without applicable sales charge.
(2) Not annualized.
(3) Annualized.
(4) Amounts represent less than $0.005 per share.
(5) 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
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
==========================================
SIX MONTHS
ENDED FOR THE
4/30/08 YEAR ENDED INCEPTION
(unaudited) 10/31/07 to 10/31/06(1)
========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 17.08 $ 15.68 $14.57
-----------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.30 0.17 0.01
Net realized and unrealized gain (loss)
on investments (1.30) 2.96 1.10
-----------------------------------------
Total from investment operations (1.00) 3.13 1.11
-----------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.28) (0.15) -
Distributions from capital gains (2.51) (1.58) -
-----------------------------------------
Total distributions (2.79) (1.73) -
-----------------------------------------
Net increase (decrease) in net asset value (3.79) 1.40 1.11
-----------------------------------------
NET ASSET VALUE at end of period $ 13.29 $ 17.08 $15.68
=========================================
TOTAL RETURN(2) (6.50)%(3) 21.59% 7.62%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $93,947 $60,525 $9,025
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.69%(4) 1.66% 1.72%(4)
After reimbursement of expenses by Adviser 1.35%(4) 1.35% 1.35%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.52%(4) 1.48% 0.48%(4)
Portfolio Turnover(5) 45%(3) 79% 63%(3)
- --------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without 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
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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, in
turn, 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,
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 "Target Allocation Funds"). The Core Funds,
excluding the Cash Reserves and Diversified Income Funds, offer three classes of
shares: Class A, B and Y, the Target Allocation Funds offer three classes of
shares: Class A, B and C, and the 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 and other class-specific matters.
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 quoted on the National Association of Securities
Dealers Automated Quotation System ("NASDAQ") are valued at the last quoted sale
price or official closing price on that exchange or NASDAQ on the valuation day
(provided that, for securities traded on NASDAQ, the Funds utilize the NASDAQ
Official Closing Price). 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. Because the assets of the
Target Allocation Funds consist primarily of shares of the underlying funds, the
NAV of each Target Allocation Fund is determined based on the NAVs 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. Exchange traded
options are valued at the last sale or bid price on the exchange where such
option contract is principally traded. Financial futures contracts generally are
valued at the settlement price established by the exchange(s) 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. Spot and forward foreign currency exchange contracts are valued
based on quotations supplied by dealers in such contracts. Overnight repurchase
agreements are valued at cost, and term repurchase agreements (i.e., those whose
maturity exceeds seven days), swaps, caps, collars and floors are valued at the
average of the closing bids obtained daily from at least one dealer.
- --------------------------------------------------------------------------------
99
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The value of all assets and liabilities expressed in foreign currencies will be
converted into U.S. dollar values using the then-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 theFunds to calculate NAV may differ from market
quotations or official closing prices. Because the Target Allocation Funds
primarily invest in underlying funds, government securities and short-term
paper, it is not anticipated that the Investment Adviser will need to "fair"
value any of the investments of these funds. However, an underlying fund may
need to "fair" value one or more of its investments, which may, in turn, require
a Target Allocation Fund to do the same because of delays in obtaining the
underlying fund's NAV.
A fund's investments (or underlying fund) 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: fundamental analytical data relating to
the investment; the nature and duration of any restrictions on the disposition
of the investment; and the forces influencing the market(s) in which the
investment is purchased or sold. 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.
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 became
effective for regulated investment companies as of the last business day of the
first semi-annual reporting period for fiscal years beginning after December 15,
2006, and are to be applied to all open tax years as of the date of
effectiveness. As required, FIN 48 was adopted for all open tax years 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, and effective
April 30, 2008 for all other MEMBERS funds. No material uncertain tax positions
existed at the time of adoption or as of April 30, 2008. As a result, the funds
have not recorded any liabilities for material unrecognized tax benefits as of
April 30, 2008. It is the funds' policy to recognize accrued interest and
penalties related to uncertain tax benefits in income taxes, as appropriate. Tax
years that remain open to examination by major tax jurisdictions include tax
years ended October 31, 2004 through October 31, 2007.
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
- --------------------------------------------------------------------------------
100
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
of the Federal Reserve System and with "primary dealers" in U.S. Government
securities. As of April 30, 2008, none of the funds had 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.
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 April 30, 2008, none of the
Funds had 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 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 April 30, 2008, none of the
Funds had 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
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 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
- --------------------------------------------------------------------------------
101
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
due to political, economic or other factors. As of April 30, 2008, none of the
Funds held delayed delivery or when-issued securities.
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 Fund, Small Cap Growth Fund, and the
International Stock Fund 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.
NEW ACCOUNTING PRONOUNCEMENTS: In September 2006, FASB issued Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
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 their impacts, if any, on
the Funds' financial statements. In March 2008, the FASB also issued Statement
of Financial Accounting Standards No. 161, "Disclosures about Derivative
Instruments and Hedging Activities" ("FAS 161").FAS 161 is effective for fiscal
years and interim periods beginning after November 15, 2008. FAS 161 requires
enhanced disclosures about Funds' derivative and hedging activities. Management
is currently evaluating the impact the adoption of FAS 161 will have on the
Funds' financial statement disclosures.
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 daily and paid monthly, at an
annualized percentage rate of the average daily value of the net assets of each
fund as follows: 0.20% for the Conservative, Moderate and Aggressive Allocation
Funds (collectively, the Target Allocation Funds"); 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;
and 1.05% for the International Stock Fund. Except for the Target Allocations
Funds, each fund's management fee will be reduced by 0.05% on assets exceeding
$500 million, and by another 0.05% on assets exceeding $1 billion. The
Investment Adviser is solely responsible for the payment of all fees to the
Subadvisers. The Subadvisers for the Funds at April 30, 2008, 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 Value Funds, Paradigm Asset Management Company, LLC for the
Small Cap Growth Fund, and Lazard Asset Management LLC for the International
Stock Fund. The Investment Adviser manages the other portion of the Mid Cap
Value Fund, and 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 Funds.
Effective February 29, 2008, MCA contractually agreed, until at least February
27, 2009, to reimburse all ordinary expenses, other than management, 12b-1, and
service fees, of each fund in excess of the following percentages of the average
daily net assets of the fund (excluding taxes, interest, brokerage commissions
and extraordinary expenses incurred by each fund):
FUND EXPENSE LIMIT FUND EXPENSE LIMIT
- ---- ------------- ---- -------------
Conservative Allocation 0.25% Large Cap Value 0.40%
Moderate Allocation 0.25% Large Cap Growth 0.20%
Aggressive Allocation 0.25% Mid Cap Value 0.20%
Cash Reserves 0.15% Mid Cap Growth 0.40%
Bond 0.15% Small Cap Value 0.25%
High Income 0.20% Small Cap Growth 0.25%
Diversified Income 0.20% International Stock 0.30%
Prior to February 29, 2008, a different expense cap agreement was in place.
For the six months ended April 30, 2008, the Investment Adviser reimbursed
expenses of $47,726 for the Conservative Allocation Fund, $8,763 for the
Moderate Allocation Fund, $52,694 for the Aggressive Allocation Fund, $40,584
for the
- --------------------------------------------------------------------------------
102
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Cash Reserves Fund, $81,809 for the Bond Fund, $54,815 for the High Income Fund,
$118,641 for the Diversified Income Fund, $124,358 for the Large Cap Growth
Fund, $112,964 for the Mid Cap Value Fund, $17,883 for the Mid Cap Growth Fund,
$57,083 for the Small Cap Value Fund, $55,669 for the Small Cap Growth Fund, and
$199,802 for the International Stock Fund.
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, measured on a fiscal year basis, must be made within three
years from when the reimbursement or fee reduction occurred and cannot exceed
the expense caps in place during the year in which the expenses were initially
waived.
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
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, B, and C shares pursuant to Rule 12b-1 under the 1940 Act.
Under the Plans, the Trust will pay service fees for Class A, Class B, and Class
C 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 and Class C
shares at an aggregate annual rate of 0.75% of each fund's daily net assets
attributable to their respective classes. The distribution fees are used to
reimburse CUNA Brokerage for its distribution expenses with respect to Class B
and Class C 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 are 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 six months ended April
30, 2008, sales charges received by CUNA Brokerage were as follows:
AMOUNT PAID AMOUNT PAID
---------------------- ---------------------
FUND CLASS A CLASS B CLASS C FUND CLASS A CLASS B
- ---- -------- ------- ------- ---- ------- -------
Conservative Allocation $244,320 $ 7,090 $ - Large Cap Value $38,559 $27,562
Moderate Allocation 635,400 26,882 - Large Cap Growth 38,601 17,543
Aggressive Allocation 207,511 10,282 - Mid Cap Value 21,185 9,187
Cash Reserves - 5,919 Mid Cap Growth 19,028 8,769
Bond 17,000 11,450 Small Cap Value 1,291 -
High Income 12,577 9,295 Small Cap Growth 2,426 72
Diversified Income 51,159 28,259 International Stock 42,222 12,716
Certain officers and trustees of the Funds are also officers of the Investment
Adviser. With the exception of the Chief Compliance Officer, the Funds do not
compensate their officers or affiliated trustees. As part of the Funds' required
compliance program, the Funds pay a pro rata portion of the Chief Compliance
Officer's annual salary. Unaffiliated trustees
- --------------------------------------------------------------------------------
103
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
receive from the Trust an attendance fee for each Board or Committee meeting
attended, with additional remuneration paid to the "lead" trustee and audit
committee chair.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to dividends from net investment income, the Cash Reserves Fund and
Bond Fund 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 Fund,
Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Small Cap Value
Fund, Small Cap Growth Fund, and the International Stock Fund declare and
reinvest dividends annually. The Funds distribute net realized gains from
investment transactions, if any, to shareholders annually.
Distributions to shareholders of the High Income Fund from net investment
income for the period ended April 30, 2008 include $620,800 which the Fund will
not include in its dividends paid deduction for Federal income tax purposes.
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 six months ended April 30, 2008, 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 $ - $ - $ 21,670,733 $12,265,625
Moderate Allocation - - 57,259,289 43,005,941
Aggressive Allocation - - 20,155,752 15,103,748
Bond 22,796,124 6,130,087 5,904,039 3,218,344
High Income - - 22,897,913 18,017,774
Diversified Income 663,257 8,187,279 11,232,238 18,045,104
Large Cap Value - - 26,240,097 41,659,278
Large Cap Growth - - 146,720,132 111,145,015
Mid Cap Value - - 19,754,944 38,472,005
Mid Cap Growth - - 48,501,656 41,214,915
Small Cap Value - - 7,232,344 3,058,322
Small Cap Growth - - 19,894,486 12,345,235
International Stock - - 70,363,369 54,216,405
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, however, the Cash Reserves Fund 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
Each fund, except the Target Allocation, Cash Reserves, Small Cap Value, and
Small Cap Growth Funds, entered into a Securities Lending Agreement (the
"Agreement") with State Street Bank and Trust Company ("State Street"). Under
the terms of the
- --------------------------------------------------------------------------------
104
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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
April 30, 2008, cash collateral received for Funds engaged in securities lending
was invested in the State Street Navigator Securities Lending Prime Portfolio.
Additionally, the Diversified Income, Large Cap Value, Large Cap Growth, Mid Cap
Value, Mid Cap Growth and International Stock Funds received non-cash
collateral, which they are not permitted to sell or repledge, in the amounts of
$684,885, $462,675, $1,119,375, $806,031, $349,012, and $41,378, respectively.
The value of all cash collateral is included within the relevant fund's
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 April 30, 2008 is as follows:
FUND VALUE OF SECURITIES ON LOAN FUND VALUE OF SECURITIES ON LOAN
- ---- --------------------------- ---- ---------------------------
Bond $33,239,465 Large Cap Growth $19,981,477
High Income 13,131,515 Mid Cap Value 13,717,063
Diversified Income 20,778,765 Mid Cap Growth 15,048,127
Large Cap Value 13,699,907 International Stock 19,459,698
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
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 April 30, 2008, 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 $ 237,846 $ (182,673) $ 55,173
Moderate Allocation 1,044,879 (1,482,919) (438,040)
Aggressive Allocation 442,554 (840,555) (398,001)
Bond 2,935,321 (2,192,739) 742,582
High Income 966,764 (1,575,615) (608,851)
Diversified Income 5,608,381 (6,247,309) (638,928)
Large Cap Value 30,981,170 (12,894,609) 18,086,561
Large Cap Growth 14,805,071 (4,726,446) 10,078,625
Mid Cap Value 4,911,710 (4,583,306) 328,404
Mid Cap Growth 3,237,083 (5,691,355) (2,454,272)
Small Cap Value 1,770,696 (3,404,370) (1,633,674)
Small Cap Growth 1,824,241 (2,618,665) (794,424)
International Stock 13,398,472 (2,784,394) 10,614,078
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
- --------------------------------------------------------------------------------
105
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
9. CONCENTRATION OF RISK
Investing in certain financial instruments, including forward foreign currency
contracts and futures contracts, involves certain risks, 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 Target Allocation Funds are structured as 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
fund's performance, in turn, depends on the particular securities in which that
underlying fund invests and the expenses of that fund. Accordingly, the Target
Allocation Funds are subject to the risks of the underlying funds in direct
proportion to the allocation of their respective assets among the underlying
funds.
Additionally, the Target Allocation Funds are subject to asset allocation risk
and manager risk. Manager risk (i.e., fund selection risk) is the risk that the
fund(s) selected to fulfill a particular asset class under performs their peer.
Asset allocation risk is the risk that 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. At April 30, 2008, investments in the Funds by
affiliates were as follows:
CUNA
MUTUAL CUMIS CUNA
INSURANCE INSURANCE BROKERAGE
FUND CLASS SOCIETY SOCIETY, INC. SERVICES, INC.
- ---- ----- --------- ------------- --------------
Conservative Allocation A $ 107,003 $ - $ -
Moderate Allocation A 178,820
Cash Reserves A 4,228,745
Bond A 3,819,913 - -
High Income A 7,954,303 - -
Diversified Income A 1,579,933
Small Cap Value A - 4,671,696 -
Small Cap Value B - 94,365 -
Small Cap Growth A - 4,715,469 -
Small Cap Growth B - 95,221 -
International Stock A 5,168,005 - -
- --------------------------------------------------------------------------------
106
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Target 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 six months ended
April 30, 2008 follows:
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2007 ADDITIONS SALES 04/30/2008 04/30/2008 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
CONSERVATIVE ALLOCATION
MEMBERS Bond
Class Y 233,009 202,129 25,770 409,368 $ 4,036,366 $ 1,776 $ 65,090
MEMBERS High Income
Class Y 125,542 314,089 16,167 423,464 2,960,011 (7,365) 66,514
MEMBERS International Stock
Class Y 60,311 178,837 11,398 227,750 3,026,797 (3,784) 168,190
MEMBERS Large Cap Growth
Class Y(1) 132,226 152,004 18,911 265,319 4,231,843 24,209 -
MEMBERS Large Cap Value
Class Y 97,986 83,541 10,194 171,333 2,569,994 (4,673) 35,972
MEMBERS Mid Cap Growth
Class Y 95,269 98,907 9,921 184,255 1,201,341 1,901 5,224
- ------------------------------------------------------------------------------------------------------------------------------
TOTALS $18,026,352 $12,064 $340,990
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2007 ADDITIONS SALES 04/30/2008 04/30/2008 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
MODERATE ALLOCATION
MEMBERS Bond
Class Y 757,733 220,544 136,712 841,565 $ 8,297,834 $ 11,280 $ 172,573
MEMBERS High Income
Class Y 676,118 187,684 252,978 610,824 4,269,657 (112,244) 167,454
MEMBERS International Stock
Class Y 570,270 708,780 361,592 917,458 12,193,022 159,242 794,701
MEMBERS Large Cap Growth
Class Y(1) 502,938 325,098 65,565 762,471 12,161,413 51,152 -
MEMBERS Large Cap Value
Class Y 485,037 104,869 290,439 299,467 4,492,008 227,399) 170,570
MEMBERS Mid Cap Growth
Class Y 770,538 209,558 181,490 798,606 5,206,908 (9,599) 41,620
MEMBERS Mid Cap Value
Class Y 236,163 60,007 296,170 - - (738,091) 356,854
MEMBERS Small Cap Growth
Class Y 313,907 91,638 50,940 354,605 3,382,935 (41,486) 41,969
MEMBERS Small Cap Value
Class Y 238,886 58,521 12,344 285,063 2,656,789 (15,288) 68,796
- ------------------------------------------------------------------------------------------------------------------------------
TOTALS $52,660,566 $(922,433) $1,814,537
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2007 ADDITIONS SALES 04/30/2008 04/30/2008 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
AGGRESSIVE ALLOCATION
MEMBERS International Stock
Class Y 373,202 184,523 232,825 324,900 $ 4,317,915 $ 106,595 $517,554
MEMBERS Large Cap Growth
Class Y(1) 212,775 102,933 28,325 287,383 4,583,758 17,121 -
MEMBERS Large Cap Value
Class Y 209,586 46,208 161,130 94,664 1,419,963 (148,044) 72,606
MEMBERS Mid Cap Growth
Class Y 359,897 135,895 57,475 438,317 2,857,824 (5,695) 19,760
MEMBERS Mid Cap Value
Class Y 149,533 42,490 192,023 - - (454,611) 222,424
MEMBERS Small Cap Growth
Class Y 166,322 58,703 20,503 204,522 1,951,144 (22,644) 21,930
MEMBERS Small Cap Value
Class Y 168,833 43,038 12,036 199,835 1,862,467 (13,414) 47,155
- ------------------------------------------------------------------------------------------------------------------------------
TOTALS $16,993,071 $(520,692) $901,429
- ---------------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income and
from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
107
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments, 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 April 30,
2008. 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 182/366 (to reflect the one-half fiscal year period),
except for the Target Allocation Fund's Class C shares, which had 62 days in the
most recent fiscal period due to the commenced operations on February 29, 2008.
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 $ 986.70 .70% $3.46 $ 983.70 1.45% $ 7.15
Moderate Allocation 1,000 947.20 .70% 3.39 944.00 1.45% 7.01
Aggressive Allocation 1,000 908.20 .70% 3.32 904.00 1.45% 6.86
Cash Reserves 1,000 1,015.10 .55% 2.76 1,011.30 1.30% 6.50
Bond 1,000 1,030.30 .90% 4.54 1,026.50 1.65% 8.31
High Income 1,000 993.10 1.00% 4.96 989.60 1.75% 8.66
Diversified Income 1,000 964.80 1.10% 5.37 961.50 1.85% 9.02
Large Cap Value 1,000 902.60 1.16% 5.49 900.00 1.91% 9.02
Large Cap Growth 1,000 912.60 1.20% 5.71 909.80 1.95% 9.26
Mid Cap Value 1,000 906.70 1.40% 6.64 902.30 2.15% 10.17
Mid Cap Growth 1,000 877.40 1.40% 6.53 873.10 2.15% 10.01
Small Cap Value 1,000 920.30 1.50% 7.16 917.10 2.25% 10.72
Small Cap Growth 1,000 859.90 1.50% 6.94 857.00 2.25% 10.39
International Stock 1,000 934.90 1.60% 7.70 931.10 2.35% 11.28
- --------------------------------------------------------------------------------
108
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
CLASS C(1)
----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Conservative Allocation $1,000 $1,019.10 1.45% $2.48
Moderate Allocation 1,000 1,030.20 1.45% 2.49
Aggressive Allocation 1,000 1,041.10 1.45% 2.51
CLASS Y
----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Bond 1,000 1,031.70 .65% 3.28
High Income 1,000 993.90 .75% 3.72
Large Cap Value 1,000 904.40 .91% 4.31
Large Cap Growth 1,000 914.00 .95% 4.52
Mid Cap Value 1,000 918.90 1.15% 5.49
Mid Cap Growth 1,000 877.90 1.15% 5.37
Small Cap Value 1,000 921.70 1.25% 5.97
Small Cap Growth 1,000 861.00 1.25% 5.78
International Stock 1,000 935.00 1.35% 6.49
- -------------------------------------
(1) Commenced investment operations on February 29, 2008.
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. The Target Allocation Funds' Class C's
hypothetical expenses reflect amounts as if the Class had been in existence for
the entire fiscal half year.
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 $1,021.38 .70% $3.52 $1,017.65 1.45% $ 7.27
Moderate Allocation 1,000 1,021.38 .70% 3.52 1,017.65 1.45% 7.27
Aggressive Allocation 1,000 1,021.38 .70% 3.52 1,017.65 1.45% 7.27
Cash Reserves 1,000 1,022.13 .55% 2.77 1,018.40 1.30% 6.52
Bond 1,000 1,020.39 .90% 4.52 1,016.66 1.65% 8.27
High Income 1,000 1,019.89 1.00% 5.02 1,016.16 1.75% 8.77
Diversified Income 1,000 1,019.39 1.10% 5.52 1,015.66 1.85% 9.27
Large Cap Value 1,000 1,019.10 1.16% 5.82 1,015.37 1.91% 9.57
Large Cap Growth 1,000 1,018.90 1.20% 6.02 1,015.17 1.95% 9.77
Mid Cap Value 1,000 1,017.90 1.40% 7.02 1,014.17 2.15% 10.77
Mid Cap Growth 1,000 1,017.90 1.40% 7.02 1,014.17 2.15% 10.77
Small Cap Value 1,000 1,017.40 1.50% 7.52 1,013.67 2.25% 11.27
Small Cap Growth 1,000 1,017.40 1.50% 7.52 1,013.67 2.25% 11.27
International Stock 1,000 1,016.91 1.60% 8.02 1,013.18 2.35% 11.76
- --------------------------------------------------------------------------------
109
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
CLASS C(1)
-----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Conservative Allocation $1,000 $1,006.01 1.45% $2.46
Moderate Allocation 1,000 1,006.01 1.45% 2.46
Aggressive Allocation 1,000 1,006.01 1.45% 2.46
CLASS Y
-----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Bond 1,000 1,021.63 .65% 3.27
High Income 1,000 1,021.13 .75% 3.77
Large Cap Value 1,000 1,020.34 .91% 4.57
Large Cap Growth 1,000 1,020.14 .95% 4.77
Mid Cap Value 1,000 1,019.14 1.15% 5.77
Mid Cap Growth 1,000 1,019.14 1.15% 5.77
Small Cap Value 1,000 1,018.65 1.25% 6.27
Small Cap Growth 1,000 1,018.65 1.25% 6.27
International Stock 1,000 1,018.15 1.35% 6.77
- -------------------------------------
(1) Commenced investment operations on February 29, 2008.
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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Funds file its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the Funds' website at www.membersfunds.com and on
the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at
the Commission's Public Reference Room in Washington, DC. More information on
the operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Funds to vote proxies
related to portfolio securities is available to shareholders at no cost on the
Funds' website at www.membersfunds.com or by calling 1-800-877-6089. The proxy
voting records for the Funds for the 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.
- --------------------------------------------------------------------------------
110
================================================================================
MEMBERS MUTUAL FUNDS' 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
- -----------------------------------------------------------------------------------------------------------------------------------
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. (since 1982).
- -----------------------------------------------------------------------------------------------------------------------------------
Linda S. Foltz, CPA Dougherty Consulting, LLC: President/Owner (since 2005); Direct Supply, Inc.:
Trustee (2006) Executive Vice President of Corporate Development and Chief Financial Officer
1950 (1988-2005).
Other Directorships: Direct Supply, Inc. (since 2003).
- -----------------------------------------------------------------------------------------------------------------------------------
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior
Trustee (2005) Vice President Marketing and 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: Park Nicollet Health Services (since 2001).
- -----------------------------------------------------------------------------------------------------------------------------------
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 (2006) Company: Chief Investment Officer (2005-2007); 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 (since 2005).
- -----------------------------------------------------------------------------------------------------------------------------------
Scott R. Powell, CFA MEMBERS Capital Advisors, Inc: Managing Director-Managed Accounts
Vice President (2008) and Mutual Funds (since 2006); Virchow Krause Wealth Management,
1962 LLC: Partner, Managing Director, (2003-2006); Jacobus Wealth
Management, Inc.: (2001-2003).
- -----------------------------------------------------------------------------------------------------------------------------------
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).
- -----------------------------------------------------------------------------------------------------------------------------------
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Director, Mutual Fund Operations, (since 2006),
Secretary (1999) and Treasurer (2008) Operations Officer-Mutual Funds (2005-2006), and Senior Manager-Product and
1960 Fund Operations (2001-2005).
- -----------------------------------------------------------------------------------------------------------------------------------
Dan P. Owens MEMBERS Capital Advisors, Inc.: Director, Investment Operations, (since June
Assistant Treasurer (2000) 2006), Investment Operations Officer (2005-2006), and Senior Manager-Portfolio
1966 Operations (2001-2005).
- -----------------------------------------------------------------------------------------------------------------------------------
(1) Independent trustees serve in such capacity until the trustee reaches the
age of 75.
- --------------------------------------------------------------------------------
111
------------------
[LOGO OF MEMBERS Presorted Standard
MUTUAL FUNDS] U.S. POSTAGE
PAID
MEMBERS Mutual Funds Louisville, KY
Post Office Box 8390 Permit No. 1051
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-P1060
Rev: 0608
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule I - Investments in Securities of Unaffiliated Issuers as of April 30,
2008 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 Registrant have concluded that
the Registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the 1940 Act) 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 to the Registrant's internal control
over financial reporting (as defined in Rule 30a-3(d) under the
1940 Act) 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 Registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable for semi-annual reports.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act
of 2002, are filed herewith.
(a)(3) Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002, are furnished 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: 06/23/08
--------
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: 06/23/08
--------
BY: /s/Holly S. Baggot
------------------
Holly S. Baggot
Treasurer, MEMBERS Mutual Funds
DATE: 06/23/08
--------
EXHIBIT INDEX
12(a)(1) Not applicable for semi-annual reports.
12(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002, are filed herewith.
12(a)(3) Not applicable.
12(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002, are furnished herewith.