As filed with the Securities and Exchange Commission on August 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. 811-04815
Ultra Series Fund
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)
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Date of fiscal year end: December 31
Date of reporting period: June 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
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SEMIANNUAL REPORT
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FOR PERIOD ENDED JUNE 30, 2008
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money
Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth,
Global Securities, International Stock, Target Retirement 2020, Target
Retirement 2030, and Target Retirement 2040 Funds of the Ultra Series Fund
MEMBERS(R) Variable Annuity
MEMBERS(R) Variable Annuity II
MEMBERS(R) Choice Variable Annuity
MEMBERS(R) Variable Annuity III
MEMBERS(R) Variable Universal Life
MEMBERS(R) Variable Universal Life II
DISTRIBUTED BY:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677
Member FINRA & SIPC
TELEPHONE:
(319) 352-4090
(800) 798-5500
[LOGO OF MEMBERS](TM)
INSURANCE & INVESTMENTS
This material is for reporting purposes only and shall not be used in
connection with a solicitation, offer or any proposed sale or purchase of
securities unless preceded or accompanied by a prospectus.
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MOVE CONFIDENTLY INTO THE FUTURE(TM)
SEMIANNUAL REPORT
This booklet contains a semiannual report for the Ultra Series Fund which is
available through our family of MEMBERS(R) Variable Annuity and MEMBERS(R)
Variable Universal Life contracts. The Ultra Series Fund is one of the
underlying mutual fund families supporting the subaccounts of the CUNA Mutual
Variable Life Insurance Account and CUNA Mutual Variable Annuity Account.
The Ultra Series Fund includes the Conservative Allocation, Moderate Allocation,
Aggressive Allocation, Money Market, Bond, High Income, Diversified Income,
Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap
Value, Small Cap Growth, Global Securities, International Stock, Target
Retirement 2020, Target Retirement 2030, and Target Retirement 2040 Funds.
If you own a MEMBERS(R) Variable Universal Life or Ultra Vers-ALL LIFE(SM)
policy, as you refer to the semiannual report for the Ultra Series Fund, the
funds available on your policy are the Mid Cap Growth Fund, Large Cap Growth
Fund, Large Cap Value Fund, Diversified Income Fund, Bond Fund, and Money Market
Funds.
If you own a MEMBERS(R) Variable Annuity, MEMBERS(R) Variable Annuity II,
MEMBERS(R) Choice Variable Annuity, MEMBERS(R) Variable Annuity III, or
MEMBERS(R) Variable Universal Life II policy, as you refer to the semiannual
report for the Ultra Series Fund, the funds available on your policy are the
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money
Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth, Global
Securities and International Stock Funds.
Nothing in this report represents a recommendation of a security by the
investment adviser. Manager views and portfolio holdings may have changed since
the date of this report.
For more complete information about the Ultra Series Fund, including charges and
expenses, obtain a prospectus from your representative or call the Home Office
at 1-800-798-5500, Monday through Friday, 7:00 a.m. to 8:00 p.m. Central time.
Consider the investment objectives, risks and charges and expenses of the
investment carefully before allocating to any subaccount.
As with all mutual funds, the Securities and Exchange Commission (the "SEC") has
not approved or disapproved the shares of these funds, nor does the SEC
guarantee the accuracy or adequacy of the prospectus. Any statement to the
contrary is a criminal offense.
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LETTER TO SHAREHOLDERS
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[PHOTO OF DAVID P. MARKS]
DAVID P. MARKS
Dear Investor:
I am pleased to present the semiannual report for the Ultra Series Fund for the
six-month period ended June 30, 2008. Despite this being an unprecedented time
in the financial markets, the Ultra Series Fund posted very respectable
competitive investment returns for the first half of the year across most of the
18 investment portfolios (the "funds"). The reports that follow provide specific
details on each fund's investment performance, portfolio holdings, and financial
statements and highlights.
The volatility in the markets along with a weak U.S. Dollar, high oil prices and
inflationary concerns continue to stress investors. 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. The investment professionals managing your investments 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.
As always, your long-term success as an investor in the Ultra Series Fund 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, Ultra Series Fund
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This page is left blank intentionally
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TABLE OF CONTENTS
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PAGE
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FUND PERFORMANCE REVIEWS
Conservative Allocation Fund ................................... 2
Moderate Allocation Fund ....................................... 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 Fund .......................................... 13
Global Securities Fund ......................................... 14
International Stock Fund ....................................... 15
Target Retirement 2020 Fund .................................... 16
Target Retirement 2030 Fund .................................... 17
Target Retirement 2040 Fund .................................... 18
PORTFOLIOS OF INVESTMENTS
Conservative Allocation Fund ................................... 19
Moderate Allocation Fund ....................................... 20
Aggressive Allocation Fund ..................................... 22
Money Market Fund .............................................. 23
Bond Fund ...................................................... 24
High Income Fund ............................................... 30
Diversified Income Fund ........................................ 36
Large Cap Value Fund ........................................... 43
Large Cap Growth Fund .......................................... 46
Mid Cap Value Fund ............................................. 49
Mid Cap Growth Fund ............................................ 53
Small Cap Value Fund ........................................... 55
Small Cap Growth Fund .......................................... 57
Global Securities Fund ......................................... 61
International Stock Fund ....................................... 64
Target Retirement 2020 Fund .................................... 70
Target Retirement 2030 Fund .................................... 71
Target Retirement 2040 Fund .................................... 72
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ........................... 74
Statements of Operations ....................................... 78
Statements of Changes in Net Assets ............................ 82
Financial Highlights ........................................... 90
NOTES TO FINANCIAL STATEMENTS ......................................... 99
OTHER INFORMATION ..................................................... 109
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 the Ultra Series Fund, including
charges and expenses, request a prospectus from your registered representative
or from CUNA Mutual Insurance Society, 2000 Heritage Way, Waverly, IA 50677.
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 1-800-798-5500. Current performance may be lower or
higher than the performance data quoted within. Past performance does not
guarantee future results.
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CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
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[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
CONSERVATIVE MERRILL LYNCH
CONSERVATIVE ALLOCATION U.S. CORPORATE,
ALLOCATION FUND CUSTOM GOVERNMENT & MORTGAGE
FUND INDEX(2) INDEX(3)
6/30/2006 $10,000 $10,000 $10,000
12/31/2006 10,734 10,701 10,550
6/30/2007 10,986 11,030 10,650
12/31/2007 11,155 11,398 11,306
6/30/2008 10,865 11,119 11,456
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4,7)
EXPENSE
1 Year Since Inception(5) RATIO(6)
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CONSERVATIVE ALLOCATION FUND -1.10% 4.23% 0.96%
Conservative Allocation Fund Custom Index(2) 0.81 5.43 NA
Merrill Lynch U.S. Corporate, Government & Mortgage Index(3) 7.57 7.01 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Conservative Allocation Fund Custom Index consists of 55% Merrill Lynch
U.S. Corporate, Government & Mortgage Index, 30% Russell 1000(R) Index, and
15% 90-Day U.S. Treasury Bills. A description of the Merrill Lynch U.S.
Corporate, Government & Mortgage Index is set forth below. 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).
(3) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the
Merrill Lynch U.S. Domestic Master Index, is 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.
(4) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(5) The fund commenced investment operations on June 30, 2006. The since
inception index returns are also from June 30, 2006.
(6) The expense ratio is based on expenses incurred by the fund, as described
in the current Prospectus.
(7) MEMBERS Capital Advisors reduced its management fee for the Conservative
Allocation Fund from June 30, 2006 through April 30, 2008. If the
management fee had not been reduced, returns would have been lower.
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2
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MODERATE ALLOCATION FUND PERFORMANCE REVIEW
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[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
MODERATE MODERATE
ALLOCATION ALLOCATION FUND RUSSELL 1000(R)
FUND CUSTOM INDEX(2) INDEX(3)
6/30/2006 $10,000 $10,000 $10,000
12/31/2006 10,987 10,976 11,216
6/30/2007 11,558 11,547 12,021
12/31/2007 11,598 11,688 11,864
6/30/2008 10,987 10,983 10,536
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4,7)
EXPENSE
1 Year Since Inception(5) RATIO(6)
---------------------------- --------
MODERATE ALLOCATION FUND -4.93% 4.81% 1.18%
Moderate Allocation Fund Custom Index(2) -4.88 4.79 NA
Russell 1000(R) Index(3) -12.36 2.64 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Moderate Allocation Fund Custom Index consists of 50% Russell 3000(R)
Index, 30% Merrill Lynch U.S. Corporate, Government & Mortgage Index, 10%
MSCI EAFE Index and 10% 90-Day U.S. Treasury Bills. A description of the
Russell 3000(R) Index is set forth below. The Merrill Lynch U.S. Corporate,
Government & Mortgage Index, formerly 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.
(3) 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).
(4) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(5) The fund commenced investment operations on June 30, 2006. The since
inception index returns are also from June 30, 2006.
(6) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
(7) MEMBERS Capital Advisors reduced its management fee for the Moderate
Allocation Fund from June 30, 2006 through April 30, 2008. If the management
fee had not been reduced, returns would have been lower.
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3
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AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
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[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
AGGRESSIVE AGGRESSIVE
ALLOCATION ALLOCATION FUND RUSSELL 3000(R)
FUND CUSTOM INDEX(2) INDEX(3)
6/30/2006 $10,000 $10,000 $10,000
12/31/2006 11,249 11,467 11,206
6/30/2007 12,197 12,473 12,003
12/31/2007 12,115 12,435 11,782
6/30/2008 11,145 11,099 10,480
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4,7)
EXPENSE
1 Year Since Inception(5) RATIO(6)
---------------------------- --------
AGGRESSIVE ALLOCATION FUND -8.62% 5.56% 1.37%
Aggressive Allocation Fund Custom Index(2) -11.01 5.34 NA
Russell 3000(R) Index(3) -12.69 2.37 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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 below). 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.
(3) 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.
(4) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(5) The fund commenced investment operations on June 30, 2006. The since
inception index returns are also from June 30, 2006.
(6) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
(7) MEMBERS Capital Advisors reduced its management fee for the Aggressive
Allocation Fund from June 30, 2006 through April 30, 2008. If the management
fee had not been reduced, returns would have been lower.
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4
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BOND FUND PERFORMANCE REVIEW
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[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
MERRILL LYNCH
CORPORATE, GOVERNMENT &
BOND FUND MORTGAGE INDEX(2)
6/30/1998 $10,000 $10,000
12/31/1998 10,275 10,465
6/30/1999 10,249 10,308
12/31/1999 10,350 10,365
6/30/2000 10,617 10,779
12/31/2000 11,189 11,581
6/30/2001 11,599 11,975
12/31/2001 12,120 12,545
6/30/2002 12,536 13,004
12/31/2002 13,156 13,851
6/30/2003 13,557 14,398
12/31/2003 13,556 14,421
6/30/2004 13,510 14,441
12/31/2004 14,013 15,047
6/30/2005 14,388 15,448
12/31/2005 14,365 15,432
6/30/2006 14,253 15,312
12/31/2006 14,941 16,100
6/30/2007 14,916 16,253
12/31/2007 15,695 17,254
6/30/2008 15,846 17,483
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(4)
------------------------------------- --------
BOND FUND 6.23% 3.27% 3.17% 4.71% 0.56%
Merrill Lynch U.S. Corporate, Government & Mortgage Index(2) 7.57 4.21 3.95 5.74 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
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5
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HIGH INCOME FUND PERFORMANCE REVIEW
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[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
MERRILL LYNCH
U.S. HIGH YIELD MERRILL LYNCH
MASTER II U.S. HIGH YIELD
HIGH INCOME FUND CONSTRAINED INDEX(2) MASTER II INDEX(3)
10/31/2000 $10,000 $10,000 $10,000
12/31/2000 9,997 9,797 9,796
6/30/2001 10,197 10,129 10,127
12/31/2001 10,342 10,236 10,235
6/30/2002 10,257 9,829 9,685
12/31/2002 10,659 10,182 10,041
6/30/2003 11,756 11,987 11,836
12/31/2003 12,628 13,030 12,867
6/30/2004 12,654 13,210 13,042
12/31/2004 13,755 14,446 14,266
6/30/2005 13,785 14,588 14,428
12/31/2005 14,100 14,847 14,657
6/30/2006 14,364 15,220 15,107
12/31/2006 15,376 16,444 16,382
6/30/2007 15,805 16,960 16,882
12/31/2007 15,727 16,861 16,741
6/30/2008 15,603 16,681 16,526
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4)
EXPENSE
1 YEAR 3 YEARS 5 YEARS Since Inception(5) RATIO(6)
----------------------------------------------- --------
HIGH INCOME FUND -1.28% 4.21% 5.83% 5.97% 0.76%
Merrill Lynch U.S. High Yield Master II Constrained Index(2) -1.64 4.57 6.82 6.90 NA
Merrill Lynch U.S. High Yield Master II Index(3) -2.11 4.63 6.90 6.77 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a
$10,000 investment made in the index.
(2) Effective May 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%.
(3) 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.
(4) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(5) The fund commenced investment operations on October 31, 2000. The since
inception index returns are also from October 31, 2000.
(6) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
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6
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DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
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[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
MERRILL LYNCH
U.S. CORPORATE,
DIVERSIFIED GOVERNMENT & MORTGAGE RUSSELL 1000(R)
INCOME FUND INDEX(2) INDEX(3)
6/30/1998 $10,000 $10,000 $10,000
12/31/1998 10,540 10,465 10,931
6/30/1999 11,618 10,308 12,193
12/31/1999 12,067 10,365 13,217
6/30/2000 12,430 10,779 13,320
12/31/2000 12,533 11,581 12,187
6/30/2001 12,069 11,975 11,328
12/31/2001 12,148 12,545 10,670
6/30/2002 11,284 13,004 9,302
12/31/2002 10,796 13,851 8,360
6/30/2003 11,566 14,398 9,391
12/31/2003 12,611 14,421 10,859
6/30/2004 12,838 14,441 11,220
12/31/2004 13,663 15,047 12,096
6/30/2005 13,783 15,448 12,110
12/31/2005 14,195 15,432 12,854
6/30/2006 14,216 15,312 13,209
12/31/2006 15,611 16,100 14,842
6/30/2007 15,883 16,253 15,908
12/31/2007 16,002 17,254 15,699
6/30/2008 14,951 17,483 13,941
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4)
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(5)
------------------------------------- --------
DIVERSIFIED INCOME FUND -5.87% 2.75% 5.27% 4.10% 0.71%
Merrill Lynch U.S. Corporate, Government &
Mortgage Index(2) 7.57 4.21 3.95 5.74 NA
Russell 1000(R) Index(3) -12.36 4.81 8.22 3.38 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly 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.
(3) 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).
(4) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
7
================================================================================
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000(R)
LARGE CAP VALUE FUND VALUE INDEX(2)
6/30/1998 $10,000 $10,000
12/31/1998 10,509 10,310
6/30/1999 12,670 11,637
12/31/1999 12,396 11,067
6/30/2000 12,680 10,599
12/31/2000 12,497 11,843
6/30/2001 11,370 11,694
12/31/2001 11,159 11,181
6/30/2002 9,985 10,647
12/31/2002 8,755 9,446
6/30/2003 9,541 10,538
12/31/2003 11,020 12,282
6/30/2004 11,315 12,766
12/31/2004 12,390 14,308
6/30/2005 12,416 14,560
12/31/2005 13,082 15,317
6/30/2006 13,715 16,322
12/31/2006 15,771 18,725
6/30/2007 16,657 19,891
12/31/2007 15,865 18,693
6/30/2008 13,773 16,156
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(4)
------------------------------------- --------
LARGE CAP VALUE FUND -17.32% 3.52% 7.62% 3.25% 0.61%
Russell 1000(R) Value Index(2) -18.78 3.53 8.92 4.91 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
8
================================================================================
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000(R)
LARGE CAP GROWTH FUND GROWTH INDEX(2)
6/30/1998 $10,000 $10,000
12/31/1998 10,629 11,522
6/30/1999 11,987 12,726
12/31/1999 13,307 15,343
6/30/2000 13,741 15,993
12/31/2000 13,877 11,902
6/30/2001 13,569 10,208
12/31/2001 12,612 9,472
6/30/2002 9,623 7,504
12/31/2002 8,651 6,831
6/30/2003 9,718 7,724
12/31/2003 11,171 8,863
6/30/2004 11,424 9,105
12/31/2004 12,169 9,421
6/30/2005 12,101 9,259
12/31/2005 12,464 9,917
6/30/2006 12,303 9,825
12/31/2006 13,446 10,816
6/30/2007 14,394 11,695
12/31/2007 15,108 12,094
6/30/2008 13,900 10,999
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(4)
------------------------------------- --------
LARGE CAP GROWTH FUND -3.43% 4.73% 7.42% 3.35% 0.81%
Russell 1000(R) Growth Index(2) -5.96 5.91 7.32 0.96 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
9
================================================================================
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R)
MID CAP VALUE FUND VALUE INDEX(2)
5/1/1999 $10,000 $10,000
6/30/1999 10,470 10,156
12/31/1999 11,368 9,418
6/30/2000 12,114 9,353
12/31/2000 14,079 11,224
6/30/2001 15,216 11,591
12/31/2001 15,651 11,486
6/30/2002 15,145 11,814
12/31/2002 12,926 10,378
6/30/2003 14,398 11,739
12/31/2003 16,960 14,328
6/30/2004 18,141 15,356
12/31/2004 19,651 17,725
6/30/2005 20,326 18,704
12/31/2005 21,678 19,968
6/30/2006 22,977 21,370
12/31/2006 25,355 24,004
6/30/2007 27,470 26,090
12/31/2007 25,419 23,664
6/30/2008 23,358 21,633
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5)
----------------------------------------------- --------
MID CAP VALUE FUND -14.97% 4.74% 10.16% 9.70% 1.01%
Russell Midcap(R) Value Index(2) -17.09 4.97 13.00 8.77 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on May 1, 1999. The since inception
index returns are also from May 1, 1999.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
10
================================================================================
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R)
MID CAP GROWTH FUND GROWTH INDEX(2)
10/31/2000 $10,000 $10,000
12/31/2000 9,047 8,715
6/30/2001 7,081 7,586
12/31/2001 6,252 6,959
6/30/2002 4,941 5,588
12/31/2002 4,676 5,052
6/30/2003 5,375 5,999
12/31/2003 6,238 7,210
6/30/2004 6,834 7,638
12/31/2004 7,076 8,326
6/30/2005 7,013 8,468
12/31/2005 7,695 9,333
6/30/2006 7,691 9,572
12/31/2006 8,571 10,327
6/30/2007 9,807 11,460
12/31/2007 9,294 11,508
6/30/2008 8,624 10,724
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5)
----------------------------------------------- --------
MID CAP GROWTH FUND -12.06% 7.14% 9.92% -1.91% 0.86%
Russell Midcap(R) Growth Index(2) -6.42 8.19 12.32 0.92 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 31, 2000. The since
inception index returns are also from October 31, 2000.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
11
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R)
SMALL CAP VALUE FUND VALUE INDEX(2)
5/1/2007 $10,000 $10,000
6/30/2007 10,078 10,125
12/31/2007 9,038 8,801
6/30/2008 8,619 7,935
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 Year Since Inception(4) RATIO(5)
---------------------------- --------
SMALL CAP VALUE FUND -14.48% -11.96% 1.11%
Russell 2000(R) Value Index(2) -21.63 -17.94 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on May 1, 2007. The since inception
index returns are also from May 1, 2007.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
12
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R)
SMALL CAP GROWTH FUND GROWTH INDEX(2)
5/1/2007 $10,000 $10,000
6/30/2007 10,556 10,396
12/31/2007 10,026 10,179
6/30/2008 9,136 9,270
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 Year Since Inception(4) RATIO(5)
---------------------------- --------
SMALL CAP GROWTH FUND -13.46% -7.46% 1.11%
Russell 2000(R) Growth Index(2) -10.83 -6.27 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on May 1, 2007. The since inception
index returns are also from May 1, 2007.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
13
================================================================================
GLOBAL SECURITIES FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL
INTERNATIONAL WORLD INDEX(2)
GLOBAL SECURITIES FUND (MSCI WORLD INDEX)
10/31/2000 $10,000 $10,000
12/31/2000 9,989 9,699
6/30/2001 9,237 8,694
12/31/2001 8,959 8,096
6/30/2002 8,311 7,400
12/31/2002 7,008 6,514
6/30/2003 7,790 7,260
12/31/2003 9,899 8,713
6/30/2004 10,229 9,043
12/31/2004 11,723 10,042
6/30/2005 11,682 10,001
12/31/2005 13,360 11,049
6/30/2006 13,841 11,752
12/31/2006 15,683 13,331
6/30/2007 16,862 14,594
12/31/2007 16,588 14,605
6/30/2008 14,138 13,109
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5)
----------------------------------------------- --------
GLOBAL SECURITIES FUND -16.16% 6.57% 12.66% 4.62% 0.96%
MSCI World Index(2) -10.18 9.44 12.55 3.59 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The MSCI World Index is free float-adjusted market capitalization index that
is designed to measure global developed market equity performance, including
the U.S. and Canada.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 31, 2000. The since
inception index returns are also from October 31, 2000.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
14
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL
INTERNATIONAL EUROPE,
AUSTRALASIA & FAR
INTERNATIONAL STOCK FUND EAST INDEX(2) (MSCI EAFE)
10/31/2000 $10,000 $10,000
12/31/2000 9,745 10,033
6/30/2001 8,766 8,588
12/31/2001 7,946 7,906
6/30/2002 8,235 7,797
12/31/2002 7,312 6,668
6/30/2003 8,013 7,325
12/31/2003 9,769 9,280
6/30/2004 10,044 9,731
12/31/2004 11,771 11,200
6/30/2005 11,770 11,105
12/31/2005 13,717 12,769
6/30/2006 14,871 14,110
12/31/2006 17,034 16,198
6/30/2007 18,456 17,995
12/31/2007 18,980 18,082
6/30/2008 16,727 16,169
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5)
----------------------------------------------- --------
INTERNATIONAL STOCK FUND -9.37% 12.43% 15.86% 6.94% 1.21%
MSCI EAFE Index(2) -10.15 13.34 17.16 6.47 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) 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.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 31, 2000. The since
inception index returns are also from October 31, 2000.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
15
================================================================================
TARGET RETIREMENT 2020 FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
DOW JONES GLOBAL
TARGET RETIREMENT 2020 FUND TARGET 2020 INDEX(2)
10/1/2007 $10,000 $10,000
12/31/2007 9,806 9,978
6/30/2008 9,215 9,484
[END CHART]
CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
Since Inception(4) RATIO(5)
------------------ --------
TARGET RETIREMENT 2020 FUND -7.85% 1.34%
Dow Jones Global Target 2020 Index(2) -5.16 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Dow Jones Global Target 2020 Index is a benchmark for multi-asset class
portfolios with risk profiles that become more conservative as the year 2020
approaches. The index is a composite of other indexes that represent stocks,
bonds and cash.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 1, 2007. The since
inception index returns are also from October 1, 2007.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
16
================================================================================
TARGET RETIREMENT 2030 FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
DOW JONES GLOBAL
TARGET RETIREMENT 2030 FUND TARGET 2030 INDEX(2)
10/1/2007 $10,000 $10,000
12/31/2007 9,749 9,843
6/30/2008 9,052 9,091
[END CHART]
CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
Since Inception(4) RATIO(5)
------------------ --------
TARGET RETIREMENT 2030 FUND -9.48% 1.42%
Dow Jones Global Target 2030 Index(2) -9.09 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Dow Jones Global Target 2030 Index is a benchmark for multi-asset class
portfolios with risk profiles that become more conservative as the year 2030
approaches. The index is a composite of other indexes that represent stocks,
bonds and cash.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 1, 2007. The since
inception index returns are also from October 1, 2007.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
17
================================================================================
TARGET RETIREMENT 2040 FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
DOW JONES GLOBAL
TARGET RETIREMENT 2040 FUND TARGET 2040 INDEX(2)
10/1/2007 $10,000 $10,000
12/31/2007 9,714 9,777
6/30/2008 8,950 8,897
[END CHART]
CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE
Since Inception(4) RATIO(5)
------------------ --------
TARGET RETIREMENT 2040 FUND -10.50% 1.41%
Dow Jones Global Target 2040 Index(2) -11.03 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Dow Jones Global Target 2040 Index is a benchmark for multi-asset class
portfolios with risk profiles that become more conservative as the year 2040
approaches. The index is a composite of other indexes that represent stocks,
bonds and cash.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. 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 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 1, 2007. The since
inception index returns are also from October 1, 2007.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus.
- --------------------------------------------------------------------------------
18
================================================================================
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Debt Securities 59%
Equity Securities 27%
Foreign Securities 13%
Money Market Securities and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 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, Class Y 12%
MEMBERS High Income Fund, Class Y 10%
Western Asset Intermediate Bond Portfolio, Class I 10%
MEMBERS International Stock Fund, Class Y 10%
MEMBERS Large Cap Value Fund, Class Y 9%
MEMBERS Mid Cap Growth Fund, Class Y 4%
Principal International Emerging Markets Fund, Class I 3%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.03%
- --------------------------------------------------------------------------------------------------
DEBT SECURITIES - 59.40%
1,589,669 MEMBERS Bond Fund,
Class Y (R)...................................................... $ 15,515,165
1,656,066 MEMBERS High Income Fund,
Class Y (R)...................................................... 11,277,808
2,067,557 Oppenheimer International
Bond Fund, Class Y .............................................. 13,377,095
1,223,356 T. Rowe Price Spectrum Income
Fund ............................................................ 14,288,803
1,100,071 Western Asset Intermediate Bond
Portfolio, Class I .............................................. 11,011,709
------------
65,470,580
------------
EQUITY SECURITIES - 26.82%
1,017,980 MEMBERS Large Cap Growth Fund,
Class Y (R)*..................................................... 15,687,077
686,050 MEMBERS Large Cap Value Fund,
Class Y (R)...................................................... 9,309,694
707,336 MEMBERS Mid Cap Growth Fund,
Class Y (R) ..................................................... 4,562,319
------------
29,559,090
------------
FOREIGN SECURITIES - 12.77%
875,961 MEMBERS International Stock
Fund, Class Y (R) ............................................... 10,739,284
123,952 Principal International Emerging
Markets Fund, Class I ........................................... 3,330,591
------------
14,069,875
------------
MONEY MARKET SECURITIES - 1.04%
1,149,515 SSgA Prime Money Market
Fund............................................................. 1,149,515
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $114,137,642**) ........................................... 110,249,060
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(32,261)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$110,216,799
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $114,446,097.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
19
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Equity Securities 40%
Debt Securities 29%
Foreign Securities 27%
Money Market Securities and Other Net Assets 1%
Alternative Asset Classes 3%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2008
MEMBERS Large Cap Growth Fund, Class Y 14%
MEMBERS International Stock Fund, Class Y 13%
MEMBERS Bond Fund, Class Y 10%
Thornburg International Value Fund, Class I 8%
Oppenheimer International Bond Fund, Class Y 7%
T. Rowe Price Spectrum Income Fund 7%
MEMBERS Mid Cap Growth Fund, Class Y 6%
Principal International Emerging Markets Fund, Class I 5%
MEMBERS High Income Fund, Class Y 5%
MEMBERS Large Cap Value Fund, Class Y 5%
MEMBERS Small Cap Growth Fund, Class Y 4%
Ivy Global Natural Resources Fund, Class I 3%
Victory Special Value Fund, Class I 3%
American Beacon Large Cap Value Fund, Institutional Class 3%
MEMBERS Small Cap Value Fund, Class Y 3%
Neuberger Berman Partners Fund, Institutional Class 3%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 3.42%
235,129 Ivy Global Natural Resources
Fund, Class I ................................................... $ 9,743,734
------------
DEBT SECURITIES - 29.08%
2,912,673 MEMBERS Bond Fund,
Class Y (R)...................................................... 28,427,688
2,126,395 MEMBERS High Income Fund,
Class Y (R)...................................................... 14,480,749
3,106,312 Oppenheimer International Bond
Fund, Class Y ................................................... 20,097,841
1,689,849 T. Rowe Price Spectrum Income
Fund ............................................................ 19,737,435
------------
82,743,713
------------
EQUITY SECURITIES - 40.07%
390,259 American Beacon Large CapValue
Fund, Institutional Class ...................................... 7,824,694
2,609,978 MEMBERS Large Cap Growth Fund,
Class Y (R)*..................................................... 40,219,759
982,422 MEMBERS Large Cap Value Fund,
Class Y (R)...................................................... 13,331,466
2,725,576 MEMBERS Mid Cap Growth Fund,
Class Y (R)...................................................... 17,579,967
1,215,697 MEMBERS Small Cap Growth Fund,
Class Y (R)...................................................... 11,500,490
829,894 MEMBERS Small Cap Value Fund,
Class Y (R)...................................................... 7,419,248
233,488 Neuberger Berman Partners
Fund, Institutional Class ....................................... 7,364,217
504,825 Victory Special Value
Fund, Class I ................................................... 8,773,852
------------
114,013,693
------------
FOREIGN SECURITIES - 26.49%
3,149,417 MEMBERS International
Stock Fund, Class Y (R) ......................................... 38,611,852
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
20
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOREIGN SECURITIES (CONTINUED)
542,995 Principal International Emerging
Markets Fund, Class I ........................................... $ 14,590,276
757,561 Thornburg International Value
Fund, Class I ................................................... 22,188,957
------------
75,391,085
------------
MONEY MARKET SECURITIES - 0.97%
2,760,869 SSgA Prime Money Market
Fund ............................................................ 2,760,869
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $297,869,330**) ........................................... 284,653,094
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(84,922)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$284,568,172
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $298,386,187.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
21
================================================================================
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Equity Securities 61%
Foreign Securities 33%
Alternative Asset Classes 5%
Money Market Securities and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2008
MEMBERS Large Cap Growth Fund, Class Y 16%
MEMBERS International Stock Fund, Class Y 14%
MEMBERS Mid Cap Growth Fund, Class Y 10%
Victory Special Value Fund, Class I 7%
Laudus International MarketMasters Fund, Select Shares 7%
MEMBERS Small Cap Growth Fund, Class Y 7%
Thornburg International Value Fund, Class I 7%
Neuberger Berman Partners Fund, Institutional Class 6%
MEMBERS Small Cap Value Fund, Class Y 5%
MEMBERS Large Cap Value Fund, Class Y 5%
Principal International Emerging Markets Fund, Class I 5%
American Beacon Large Cap Value Fund, Institutional Class 5%
Ivy Global Natural Resources Fund, Class I 5%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 4.54%
99,314 Ivy Global Natural Resources
Fund, Class I ................................................... $ 4,115,571
------------
EQUITY SECURITIES - 61.43%
206,078 American Beacon Large Cap
Value Fund, Institutional Class ................................. 4,131,868
945,331 MEMBERS Large Cap Growth
Fund, Class Y (R)* .............................................. 14,567,555
325,340 MEMBERS Large Cap Value Fund,
Class Y (R)...................................................... 4,414,858
1,437,076 MEMBERS Mid Cap Growth Fund,
Class Y (R)...................................................... 9,269,139
673,964 MEMBERS Small Cap Growth
Fund, Class Y (R) ............................................... 6,375,701
547,524 MEMBERS Small Cap Value Fund,
Class Y (R)...................................................... 4,894,861
177,524 Neuberger Berman Partners
Fund, Institutional Class ....................................... 5,599,119
373,246 Victory Special Value
Fund, Class I ................................................... 6,487,021
------------
55,740,122
------------
FOREIGN SECURITIES - 33.14%
322,736 Laudus International MarketMasters
Fund, Select Shares.............................................. 6,386,947
1,070,715 MEMBERS International Stock
Fund, Class Y (R) ............................................... 13,126,965
163,016 Principal International Emerging
Markets Fund, Class I ........................................... 4,380,241
210,678 Thornburg International
Value Fund, Class I ............................................. 6,170,766
------------
30,064,919
------------
MONEY MARKET SECURITIES - 0.92%
838,683 SSgA Prime Money Market Fund .................................... 838,683
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $95,149,393) .............................................. 90,759,295
------------
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(27,969)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$90,731,326
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $95,535,782.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
22
================================================================================
MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
U.S. Treasury Bills 34%
FNMA 31%
Freddle Mac (FHLMC) 31%
Money Market Securities and Other Net Assets 4%
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 96.02%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 31.25% (A)
$3,200,000 2.010%, due 07/09/08............................................ $ 3,198,571
2,350,000 2.070%, due 07/14/08............................................ 2,348,243
4,000,000 2.035%, due 07/21/08............................................ 3,995,478
1,500,000 2.040%, due 07/21/08............................................ 1,498,300
5,100,000 2.120%, due 07/28/08............................................ 5,091,891
1,750,000 2.170%, due 07/28/08............................................ 1,747,152
5,045,000 2.200%, due 08/06/08............................................ 5,033,901
5,000,000 2.220%, due 08/11/08............................................ 4,987,358
2,250,000 2.240%, due 08/18/08............................................ 2,243,280
2,250,000 2.240%, due 08/20/08............................................ 2,243,000
2,350,000 2.260%, due 08/20/08............................................ 2,342,624
------------
34,729,798
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 31.15% (A)
2,500,000 2.060%, due 07/09/08............................................ 2,498,856
3,000,000 2.080%, due 07/14/08............................................ 2,997,747
2,000,000 2.080%, due 07/16/08............................................ 1,998,267
3,000,000 2.100%, due 07/16/08............................................ 2,997,375
5,250,000 2.110%, due 07/23/08............................................ 5,243,230
4,400,000 2.150%, due 07/30/08............................................ 4,392,379
576,000 2.170%, due 07/30/08............................................ 574,993
5,000,000 2.180%, due 08/04/08............................................ 4,989,706
4,900,000 2.250%, due 08/13/08............................................ 4,886,831
1,500,000 2.220%, due 08/18/08............................................ 1,495,560
1,650,000 2.230%, due 08/18/08............................................ 1,645,094
900,000 2.270%, due 08/20/08............................................ 897,162
------------
34,617,200
------------
U.S. Treasury Bills - 33.62% (A)
5,250,000 1.190%, due 07/10/08............................................ 5,248,438
5,000,000 1.325%, due 07/17/08............................................ 4,997,056
5,000,000 1.620%, due 07/24/08............................................ 4,994,825
5,000,000 1.395%, due 07/31/08............................................ 4,994,188
3,000,000 1.777%, due 08/07/08............................................ 2,994,522
5,000,000 1.725%, due 08/14/08............................................ 4,989,458
4,100,000 1.805%, due 08/21/08............................................ 4,089,516
5,075,000 1.630%, due 10/23/08............................................ 5,048,805
------------
37,356,808
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $106,703,806) ............................................ 106,703,806
------------
Shares
- ------
INVESTMENT COMPANIES - 4.35%
- --------------------------------------------------------------------------------------------------
20,191 JPMorgan Prime Money
Market Fund ..................................................... 20,191
4,809,852 SSgA Prime Money
Market Fund ..................................................... 4,809,852
TOTAL INVESTMENT COMPANIES
(Cost $4,830,043) ............................................... 4,830,043
TOTAL INVESTMENTS - 100.37%
- --------------------------------------------------------------------------------------------------
(Cost $111,533,849**).......................................................... 111,533,849
NET OTHER ASSETS AND LIABILITIES - (0.37)%
- --------------------------------------------------------------------------------------------------
(415,073)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$111,118,776
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $111,533,849.
(A) Rate noted represents annualized yield at time of purchase.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
23
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
U.S. Government and Agency Obligations 31%
Corporate Notes and Bonds 27%
Mortgage Backed 25%
Commercial Mortgage Backed 9%
Cash and Other Net Assets 4%
Asset Backed 3%
Private Label Mortgage Backed 1%
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 2.65%
- --------------------------------------------------------------------------------------------------
$ 652,045 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30............................................. $ 599,714
1,609,532 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34............................................. 1,217,370
3,820,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14............................................. 3,804,612
2,720,000 Daimler Chrysler Auto Trust,
Series 2007-A, Class A3A
5.000%, due 02/08/12............................................. 2,734,629
2,000,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due 10/25/33............................................. 1,767,587
1,703,663 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27............................................. 1,655,252
3,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5 (G)
5.500%, due 11/25/33............................................. 2,977,524
2,475,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36............................................. 1,091,455
1,450,366 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
5.483%, due 05/25/34............................................. 589,267
------------
TOTAL ASSET BACKED
(Cost $19,782,395) .............................................. 16,437,410
COMMERCIAL MORTGAGE BACKED - 8.58%
- --------------------------------------------------------------------------------------------------
1,185,087 Bear Stearns Commercial Mortgage
Securities, Series 2001-TOP4, Class A1
5.060%, due 11/15/16............................................. 1,188,063
4,100,000 Bear Stearns Commercial Mortgage
Securities, Series 2003-T10, Class E (C)(G)
5.540%, due 03/13/40............................................. 3,443,417
2,800,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16,
Class A6 (G)
4.750%, due 02/13/46............................................. 2,644,169
1,810,000 Bear Stearns Commercial Mortgage
Securities, Series 2005-T20,
Class F (C)(G)
4.832%, due 10/12/42............................................. 1,355,026
4,200,000 Government National Mortgage
Association, Series 2004-43,
Class C (G)
5.008%, due 12/16/25............................................. 4,160,043
3,000,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A7 (G) 5.317%,
due 06/10/36..................................................... 2,948,287
6,450,000 LB-UBS Commercial Mortgage
Trust, Series 2004-C1, Class A2
3.624%, due 01/15/29............................................. 6,397,824
3,200,000 LB-UBS Commercial Mortgage
Trust, Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29............................................. 3,043,747
5,550,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40............................................. 5,326,429
7,000,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45............................................. 6,735,621
5,740,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43............................................. 5,623,573
1,695,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due 11/28/35............................................. 1,196,179
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
24
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$ 698,008 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C6, Class A1
3.364%, due 08/15/35............................................. $ 696,875
8,450,000 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C8, Class A2
3.894%, due 11/15/35............................................. 8,426,852
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $55,517,303) .............................................. 53,186,105
PRIVATE LABEL MORTGAGE BACKED - 1.22%
- --------------------------------------------------------------------------------------------------
5,481,400 Banc of America Alternative Loan
Trust, Series 2005-12, Class 3CB1
6.000%, due 01/25/36............................................. 5,205,555
2,553,304 Banc of America Alternative Loan
Trust, Series 2006-3, Class 2CB1
6.000%, due 04/25/36............................................. 2,331,542
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $8,009,038) ............................................... 7,537,097
CORPORATE NOTES AND BONDS - 26.90%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.09%
2,500,000 American Association of Retired Persons (C)
7.500%, due 05/01/31............................................. 3,172,238
4,400,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34............................................. 3,603,516
------------
6,775,754
------------
CONSUMER STAPLES - 1.20%
1,250,000 Coca-Cola Enterprises, Inc.
4.375%, due 09/15/09............................................. 1,265,704
2,330,000 Diageo Capital PLC (D)(O)
5.500%, due 09/30/16............................................. 2,280,003
1,165,000 PepsiCo, Inc.
4.650%, due 02/15/13............................................. 1,182,293
2,700,000 Safeway, Inc.
4.125%, due 11/01/08............................................. 2,701,747
------------
7,429,747
------------
ENERGY - 1.46%
2,460,000 Hess Corp.
7.875%, due 10/01/29............................................. 2,821,391
1,400,000 Transocean, Inc.
6.000%, due 03/15/18............................................. 1,402,094
2,310,000 Transocean, Inc.
7.500%, due 04/15/31............................................. 2,529,757
2,275,000 Valero Energy Corp.
7.500%, due 04/15/32............................................. 2,302,455
------------
9,055,697
------------
FINANCE - 6.22%
2,885,000 American General Finance Corp. (O)
5.850%, due 06/01/13............................................. 2,544,354
2,500,000 American General Finance
Corp., Series H
4.625%, due 09/01/10............................................. 2,422,277
1,165,000 Bank of America Corp.
5.750%, due 12/01/17............................................. 1,094,070
2,200,000 Bear Stearns Cos., Inc./The
7.250%, due 02/01/18............................................. 2,295,843
2,725,000 CIT Group, Inc.
7.625%, due 11/30/12............................................. 2,264,960
2,750,000 Goldman Sachs Group, Inc./The (O)
5.700%, due 09/01/12............................................. 2,758,627
2,725,000 HCP, Inc.
6.700%, due 01/30/18............................................. 2,449,974
4,250,000 HSBC Finance Corp.
6.500%, due 11/15/08............................................. 4,283,979
3,135,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17............................................. 2,766,534
2,740,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13............................................. 2,655,611
2,700,000 SLM Corp.
5.125%, due 08/27/12............................................. 2,349,313
1,250,000 Swiss Re Insurance Solutions
Holding Corp.
7.000%, due 02/15/26............................................. 1,260,101
1,680,000 Swiss Re Insurance Solutions
Holding Corp.
7.750%, due 06/15/30............................................. 1,822,385
750,000 UBS AG/Stamford Branch
5.750%, due 04/25/18............................................. 715,662
2,000,000 US Bank NA/Cincinnati OH
6.300%, due 02/04/14............................................. 2,109,556
2,735,000 Well Fargo & Co.
5.250%, due 10/23/12............................................. 2,715,085
2,065,000 Western Union Co./The
5.930%, due 10/01/16............................................. 2,025,292
------------
38,533,623
------------
FOOD & DRUG RETAILERS - 0.59%
3,450,000 Medco Health Solutions, Inc.
7.250%, due 08/15/13............................................. 3,662,768
------------
HEALTH CARE - 2.77%
2,600,000 Eli Lilly & Co.
6.570%, due 01/01/16............................................. 2,824,310
1,740,000 Genentech, Inc.
5.250%, due 07/15/35............................................. 1,577,206
3,480,000 Merck & Co., Inc. (O)
6.400%, due 03/01/28............................................. 3,632,149
3,500,000 Quest Diagnostics, Inc.
5.450%, due 11/01/15............................................. 3,311,801
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
25
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$3,600,000 WellPoint, Inc.
5.000%, due 12/15/14............................................. $ 3,378,053
2,370,000 Wyeth
6.500%, due 02/01/34............................................. 2,457,363
------------
17,180,882
------------
INDUSTRIALS - 4.14%
760,000 Boeing Co.
8.625%, due 11/15/31............................................. 1,014,766
1,380,000 Boeing Co.
6.875%, due 10/15/43............................................. 1,512,639
3,850,000 Dow Chemical Co./The
5.750%, due 12/15/08............................................. 3,879,029
1,140,000 DR Horton, Inc.
5.250%, due 02/15/15............................................. 906,300
585,000 EI Du Pont de Nemours & Co.
5.000%, due 01/15/13............................................. 589,937
3,200,000 General Electric Co.
5.000%, due 02/01/13............................................. 3,223,034
3,265,000 GMAC LLC
7.250%, due 03/02/11............................................. 2,399,811
1,450,000 Lockheed Martin Corp.
7.650%, due 05/01/16............................................. 1,646,700
2,465,000 Waste Management, Inc.
7.125%, due 12/15/17............................................. 2,638,852
2,250,000 Westvaco Corp.
8.200%, due 01/15/30............................................. 2,178,220
3,000,000 Weyerhaeuser Co. (O)
6.875%, due 12/15/33............................................. 2,785,443
2,870,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10............................................. 2,888,491
------------
25,663,222
------------
MEDIA - 1.10%
3,080,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22............................................. 3,723,655
3,000,000 Rogers Communications, Inc. (D)
6.250%, due 06/15/13............................................. 3,065,520
------------
6,789,175
------------
REAL ESTATE INVESTMENT TRUSTS - 0.17%
1,060,000 Simon Property Group L.P. (O)
5.875%, due 03/01/17............................................. 1,017,890
------------
TELECOMMUNICATIONS - 1.36%
2,400,000 Cisco Systems, Inc.
5.500%, due 02/22/16............................................. 2,421,377
4,225,000 New Cingular Wireless Services, Inc.,
7.875%, due 03/01/11............................................. 4,498,171
1,750,000 Sprint Nextel Corp.
6.000%, due 12/01/16............................................. 1,505,000
------------
8,424,548
------------
TRANSPORTATION - 1.49%
2,925,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20............................................. 3,355,999
3,175,000 CSX Corp.
6.250%, due 10/15/08............................................. 3,192,386
1,268,000 Norfolk Southern Corp.
5.590%, due 05/17/25............................................. 1,146,219
1,400,000 Norfolk Southern Corp.
7.050%, due 05/01/37............................................. 1,512,459
7,633 Southwest Airlines Co. 1994-A
Pass Through Trust, Series A3
8.700%, due 07/01/11............................................. 8,008
------------
9,215,071
------------
UTILITIES - 5.31%
2,750,000 Consumers Energy Co.
5.650%, due 04/15/20............................................. 2,685,548
2,000,000 Energy East Corp.
8.050%, due 11/15/10............................................. 2,149,634
2,940,000 Illinois Power Co.
7.500%, due 06/15/09............................................. 2,990,306
3,445,000 Indianapolis Power & Light Co. (C)
6.050%, due 10/01/36............................................. 3,108,978
2,925,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34............................................. 2,820,382
2,400,000 Progress Energy, Inc.
7.750%, due 03/01/31............................................. 2,742,593
3,250,000 Public Service Co. of New Mexico
4.400%, due 09/15/08............................................. 3,238,762
3,250,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16............................................. 3,214,094
3,500,000 Southern Power Co., Series B
6.250%, due 07/15/12............................................. 3,646,797
2,165,000 Southwestern Electric Power Co.,
Series E (O)
5.550%, due 01/15/17............................................. 2,048,363
1,165,000 Virginia Electric and Power Co.
5.100%, due 11/30/12............................................. 1,165,581
3,000,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28............................................. 3,073,161
------------
32,884,199
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $173,463,439) ............................................. 166,632,576
MORTGAGE BACKED - 25.17%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 4.05%
3,539,562 5.000%, due 05/01/18
Pool # E96322.................................................... 3,531,303
107,200 8.000%, due 06/01/30
Pool # C01005.................................................... 116,122
564,999 7.000%, due 03/01/31
Pool # C48129.................................................... 596,642
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
26
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. (CONTINUED)
$ 261,112 6.500%, due 03/01/32
Pool # C65648.................................................... $ 271,388
4,021,403 5.000%, due 07/01/33
Pool # A11325 ................................................... 3,878,219
900,876 6.000%, due 10/01/34
Pool # A28439 ................................................... 913,527
901,486 6.000%, due 10/01/34
Pool # A28598 ................................................... 914,145
6,135,667 5.500%, due 11/01/34
Pool # A28282 ................................................... 6,067,600
511,652 5.000%, due 04/01/35
Pool # A32314 ................................................... 491,996
1,277,464 5.000%, due 04/01/35
Pool # A32315 ................................................... 1,228,386
1,356,392 5.000%, due 04/01/35
Pool # A32316 ................................................... 1,304,282
393,180 5.000%, due 04/01/35
Pool # A32509 ................................................... 378,075
5,631,016 5.000%, due 01/01/37
Pool # A56371 ................................................... 5,407,645
------------
25,099,330
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.02%
2,843,258 4.000%, due 04/01/15
Pool # 255719 ................................................... 2,774,102
3,706,321 5.500%, due 04/01/16
Pool # 745444 ................................................... 3,757,683
202,107 6.000%, due 05/01/16
Pool # 582558 ................................................... 207,943
960,281 5.500%, due 09/01/17
Pool # 657335 ................................................... 975,576
1,189,704 5.500%, due 02/01/18
Pool # 673194 ................................................... 1,208,653
3,784,234 5.000%, due 05/01/20
Pool # 813965 ................................................... 3,760,543
3,636,116 4.500%, due 09/01/20
Pool # 835465 ................................................... 3,537,713
480,865 6.000%, due 05/01/21
Pool # 253847 ................................................... 491,539
151,963 7.000%, due 12/01/29
Pool # 762813 ................................................... 161,308
204,420 7.000%, due 11/01/31
Pool # 607515 ................................................... 216,037
332,000 6.500%, due 03/01/32
Pool # 631377 ................................................... 344,651
5,327 7.000%, due 04/01/32
Pool # 641518 ................................................... 5,630
410,378 7.000%, due 05/01/32
Pool # 644591 ................................................... 433,701
3,498,135 6.500%, due 06/01/32
Pool # 545691 ................................................... 3,631,433
4,754,508 5.500%, due 04/01/33
Pool # 690206 ................................................... 4,714,299
6,013,198 5.000%, due 10/01/33
Pool # 254903 ................................................... 5,800,974
6,123,852 5.500%, due 11/01/33
Pool # 555880 ................................................... 6,072,063
108,070 5.000%, due 05/01/34
Pool # 782214 ................................................... 104,121
1,538,248 5.000%, due 06/01/34
Pool # 778891 ................................................... 1,482,036
5,817,487 5.500%, due 06/01/34
Pool # 780384 ................................................... 5,757,380
85,701 7.000%, due 07/01/34
Pool # 792636 ................................................... 90,381
697,912 5.500%, due 08/01/34
Pool # 793647 ................................................... 690,702
3,003,116 5.500%, due 03/01/35
Pool # 810075 ................................................... 2,969,273
3,080,703 5.500%, due 03/01/35
Pool # 815976 ................................................... 3,045,985
3,700,648 5.500%, due 07/01/35
Pool # 825283 ................................................... 3,658,944
4,715,915 5.000%, due 08/01/35
Pool # 829670 ................................................... 4,536,213
2,126,671 5.500%, due 08/01/35
Pool # 826872 ................................................... 2,102,704
3,586,080 5.000%, due 09/01/35
Pool # 820347 ................................................... 3,449,431
3,876,677 5.000%, due 09/01/35
Pool # 835699 ................................................... 3,728,955
6,354,914 5.000%, due 10/01/35
Pool # 797669 ................................................... 6,112,757
869,062 5.500%, due 10/01/35
Pool # 836912 ................................................... 859,268
5,101,480 5.000%, due 11/01/35
Pool # 844809 ................................................... 4,907,086
5,078,303 5.000%, due 12/01/35
Pool # 850561 ................................................... 4,884,792
1,753,406 5.500%, due 02/01/36
Pool # 851330 ................................................... 1,733,645
1,819,410 5.500%, due 10/01/36
Pool # 896340 ................................................... 1,796,632
9,833,069 5.500%, due 10/01/36
Pool # 901723 ................................................... 9,709,964
5,237,696 6.500%, due 10/01/36
Pool # 894118 ................................................... 5,399,635
5,836,783 6.000%, due 11/01/36
Pool # 902510 ................................................... 5,911,646
4,883,597 5.500%, due 02/01/37
Pool # 905140 ................................................... 4,822,457
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
27
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 5,182,605 5.500%, due 05/01/37
Pool # 899323 ................................................... $ 5,115,001
3,250,825 5.500%, due 05/01/37
Pool # 928292 ................................................... 3,208,420
6,024,181 6.000%, due 10/01/37
Pool # 947563 ................................................... 6,084,907
-------------
130,256,183
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.10%
77,585 8.000%, due 10/20/15
Pool # 002995 ................................................... 82,259
260,592 6.500%, due 02/20/29
Pool # 002714 ................................................... 270,200
235,750 6.500%, due 04/20/31
Pool # 003068 ................................................... 244,269
-------------
596,728
-------------
TOTAL MORTGAGE BACKED
(Cost $156,656,196) ............................................. 155,952,241
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 31.14%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.70%
4,000,000 5.875%, due 10/03/16............................................. 4,330,832
-------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.31% (O)
2,500,000 4.875%, due 11/15/13............................................. 2,572,518
5,500,000 4.500%, due 01/15/14............................................. 5,566,456
-------------
8,138,974
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.79%
4,675,000 4.000%, due 09/02/08............................................. 4,682,807
2,400,000 5.250%, due 08/01/12 (O) ........................................ 2,428,858
3,905,000 4.625%, due 10/15/14 (O) ........................................ 3,970,467
-------------
11,082,132
-------------
U.S. TREASURY BONDS - 1.72% (O)
1,000,000 10.625%, due 08/15/15............................................ 1,430,234
7,350,000 6.625%, due 02/15/27............................................. 9,212,769
-------------
10,643,003
-------------
U.S. TREASURY NOTES - 25.62% (O)
12,000,000 2.625%, due 03/15/09............................................. 12,031,872
3,640,000 4.875%, due 05/31/09............................................. 3,721,900
2,000,000 3.500%, due 02/15/10............................................. 2,033,750
7,500,000 2.125%, due 04/30/10............................................. 7,445,505
9,625,000 3.875%, due 05/15/10............................................. 9,861,111
8,750,000 3.875%, due 09/15/10............................................. 8,976,958
13,000,000 4.500%, due 11/15/10............................................. 13,533,208
1,485,000 4.750%, due 03/31/11............................................. 1,558,206
23,100,000 4.625%, due 12/31/11............................................. 24,269,438
6,425,000 4.625%, due 02/29/12............................................. 6,758,297
6,000,000 4.875%, due 06/30/12............................................. 6,375,936
5,660,000 3.625%, due 05/15/13............................................. 5,742,687
1,915,000 4.000%, due 02/15/14............................................. 1,974,993
6,150,000 4.250%, due 08/15/14............................................. 6,425,311
6,565,000 4.250%, due 11/15/14............................................. 6,854,267
2,750,000 4.000%, due 02/15/15............................................. 2,826,700
8,900,000 4.250%, due 08/15/15............................................. 9,246,958
13,100,000 4.625%, due 02/15/17............................................. 13,791,837
11,120,000 4.500%, due 05/15/17............................................. 11,582,169
3,600,000 4.250%, due 11/15/17............................................. 3,677,342
-------------
158,688,445
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $185,622,142) ............................................. 192,883,386
Shares
- ------
INVESTMENT COMPANY - 3.58%
- --------------------------------------------------------------------------------------------------
22,195,101 SSgA Prime Money Market
Fund ............................................................ 22,195,101
------------
TOTAL INVESTMENT COMPANY
(Cost $22,195,101) .............................................. 22,195,101
COLLATERAL FOR SECURITIES ON LOAN - 18.47%
- --------------------------------------------------------------------------------------------------
114,421,830 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... 114,421,830
-------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $114,421,830) ............................................. 114,421,830
TOTAL INVESTMENTS - 117.71%
- --------------------------------------------------------------------------------------------------
(Cost $735,667,444**).......................................................... 729,245,746
NET OTHER ASSETS AND LIABILITIES - (17.71)%
- --------------------------------------------------------------------------------------------------
(109,742,413)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 619,503,333
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
28
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $735,936,404.
(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 0.86% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of June 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.
- --------------------------------------------------------------------------------
29
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Health Care 13%
Utilities 10%
Oil and Gas 9%
Telecommunications 8%
Support Services 7%
Gaming 6%
Media - Cable 5%
Automotive 4%
Cash and Other Net Assets 3%
Consumer Products 3%
Environmental 3%
Media - Broadcasting 3%
Media - Diversified and Services 3%
Beverage/Food 2%
Forestry/Paper 2%
General Industrial and Manufacturing 2%
Metals and Mining 2%
Non Food and Drug Retailers 2%
Packaging 2%
Technology 2%
Transportation 2%
Aerospace/Defense 1%
Chemicals 1%
Food and Drug Retailers 1%
Hotels 1%
Leisure and Entertainment 1%
Printing and Publishing 1%
Restaurants 1%
Investment Management 0%*
* Rounds to 0%
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 97.13%
- --------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.82%
$ 500,000 DRS Techologies, Inc.
6.625%, due 02/01/16............................................. $ 507,500
500,000 Moog, Inc. (C)
7.250%, due 06/15/18............................................. 495,000
------------
1,002,500
------------
AUTOMOTIVE - 3.70%
1,850,000 Ford Motor Credit Co. LLC
7.375%, due 10/28/09............................................. 1,684,941
750,000 General Motors Nova Scotia
Finance Co. (D)
6.850%, due 10/15/08............................................. 725,625
500,000 GMAC LLC (O)
5.850%, due 01/14/09............................................. 474,790
400,000 GMAC LLC (G)
3.926%, due 05/15/09............................................. 376,108
1,250,000 Goodyear Tire & Rubber Co./The (G)
6.678%, due 12/01/09............................................. 1,240,625
------------
4,502,089
------------
BEVERAGE/FOOD - 2.33%
500,000 B&G Foods, Inc.
8.000%, due 10/01/11............................................. 491,250
500,000 Constellation Brands, Inc.
7.250%, due 05/15/17............................................. 467,500
250,000 Constellation Brands, Inc., Series B (O)
8.125%, due 01/15/12............................................. 248,750
1,000,000 Del Monte Corp.
8.625%, due 12/15/12............................................. 1,015,000
180,000 Michael Foods, Inc.
8.000%, due 11/15/13............................................. 177,300
450,000 NBTY, Inc.
7.125%, due 10/01/15............................................. 429,750
------------
2,829,550
------------
CHEMICALS - 0.88%
450,000 Airgas, Inc. (C)(O)
7.125%, due 10/01/18............................................ 453,375
600,000 Nalco Co. (O)
8.875%, due 11/15/13............................................. 615,000
------------
1,068,375
------------
CONSUMER PRODUCTS - 2.58%
150,000 Church & Dwight Co., Inc.
6.000%, due 12/15/12............................................. 144,000
290,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11............................................. 278,400
750,000 Jarden Corp. (O)
7.500%, due 05/01/17............................................. 652,500
900,000 Leslie's Poolmart
7.750%, due 02/01/13............................................. 841,500
500,000 Visant Corp.
7.625%, due 10/01/12............................................. 491,250
750,000 Visant Holding Corp.
8.750%, due 12/01/13............................................. 735,000
------------
3,142,650
------------
ENVIRONMENTAL - 3.28%
1,500,000 Allied Waste North America, Inc.,
Series B
7.125%, due 05/15/16............................................. 1,492,500
1,000,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13............................................. 995,000
500,000 Waste Services, Inc. (O)
9.500%, due 04/15/14............................................. 505,000
1,000,000 WCA Waste Corp.
9.250%, due 06/15/14............................................. 1,002,500
------------
3,995,000
------------
FOOD & DRUG RETAILERS - 0.61%
250,000 Stater Brothers Holdings (O)
8.125%, due 06/15/12............................................. 251,250
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
30
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOOD & DRUG RETAILERS (CONTINUED)
$ 500,000 Stater Brothers Holdings (O)
7.750%, due 04/15/15............................................. $ 496,250
------------
747,500
------------
FORESTRY/PAPER - 2.33%
250,000 Domtar Corp. (O)
7.875%, due 10/15/11............................................. 251,250
750,000 Georgia-Pacific LLC (C)
7.125%, due 01/15/17............................................. 705,000
150,000 NewPage Corp.
10.000%, due 05/01/12............................................ 151,875
750,000 Rock-Tenn Co. (C)
9.250%, due 03/15/16............................................. 795,000
500,000 Smurfit-Stone Container
Enterprises, Inc.
8.375%, due 07/01/12............................................. 438,750
500,000 Verso Paper Holdings LLC/
Verso Paper, Inc., Series B
9.125%, due 08/01/14............................................. 488,750
------------
2,830,625
------------
GAMING - 6.50%
500,000 Caesars Entertainment, Inc. (O)
7.875%, due 03/15/10............................................. 455,000
200,000 Chukchansi Economic Development
Authority (C)(G)
6.328%, due 11/15/12............................................. 167,500
650,000 Global Cash Access LLC/
Global Cash Finance Corp.
8.750%, due 03/15/12............................................. 638,625
350,000 MGM Mirage
6.000%, due 10/01/09............................................. 344,313
400,000 MGM Mirage (O)
8.375%, due 02/01/11............................................. 386,000
1,000,000 MTR Gaming Group, Inc., Series B
9.750%, due 04/01/10............................................. 1,000,000
500,000 Penn National Gaming, Inc.
6.750%, due 03/01/15............................................. 485,000
1,000,000 Pinnacle Entertainment, Inc. (O)
8.250%, due 03/15/12............................................. 982,500
365,000 Pinnacle Entertainment, Inc. (O)
8.750%, due 10/01/13............................................. 365,000
750,000 Scientific Games Corp. (C)
7.875%, due 06/15/16............................................. 746,250
750,000 Seneca Gaming Corp.
7.250%, due 05/01/12............................................. 703,125
1,000,000 Seneca Gaming Corp., Series B
7.250%, due 05/01/12............................................. 937,500
750,000 Shuffle Master, Inc. (P)
1.250%, due 04/15/24............................................. 693,750
------------
7,904,563
------------
GENERAL INDUSTRIAL & MANUFACTURING - 2.27%
750,000 Baldor Electric Co. (O)
8.625%, due 02/15/17............................................. 753,750
250,000 Chart Industries, Inc.
9.125%, due 10/15/15............................................. 259,375
750,000 SPX Corp. (C)
7.625%, due 12/15/14............................................. 761,250
500,000 Terex Corp. (O)
8.000%, due 11/15/17............................................. 496,250
550,000 Trimas Corp.
9.875%, due 06/15/12............................................. 485,375
------------
2,756,000
------------
HEALTH CARE - 12.89%
250,000 Advanced Medical Optics, Inc. (O)
7.500%, due 05/01/17............................................. 230,000
750,000 Advanced Medical Optics, Inc. (P)
3.250%, due 08/01/26............................................. 546,563
450,000 Biomet, Inc.
10.000%, due 10/15/17............................................ 480,375
1,000,000 Carriage Services, Inc.
7.875%, due 01/15/15............................................. 960,000
1,500,000 Community Health Systems, Inc.
8.875%, due 07/15/15............................................. 1,509,375
1,500,000 DaVita, Inc. (O)
7.250%, due 03/15/15............................................. 1,458,750
750,000 HCA, Inc./DE
8.750%, due 09/01/10............................................. 759,375
500,000 HCA, Inc./DE
6.750%, due 07/15/13............................................. 438,750
1,250,000 HCA, Inc./DE
9.250%, due 11/15/16............................................. 1,287,500
1,000,000 Health Management Associates,
Inc. (O)(P)
4.375%, due 08/01/23............................................. 996,250
750,000 IASIS Healthcare LLC/
IASIS Capital Corp.
8.750%, due 06/15/14............................................. 757,500
750,000 Psychiatric Solutions, Inc.
7.750%, due 07/15/15............................................. 742,500
650,000 ReAble Therapeutics Finance LLC/
ReAble Therapeutics Finance Corp. (C)
10.875%, due 11/15/14............................................ 650,000
500,000 Res-Care, Inc.
7.750%, due 10/15/13............................................. 476,250
500,000 Service Corp. International/US
7.375%, due 10/01/14............................................. 500,000
500,000 Service Corp. International/US
7.625%, due 10/01/18............................................. 498,750
500,000 Stewart Enterprises, Inc.
6.250%, due 02/15/13............................................. 475,000
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
31
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$ 750,000 United Surgical Partners
International, Inc.
8.875%, due 05/01/17............................................. $ 697,500
650,000 Universal Hospital Services, Inc. (G)
6.303%, due 06/01/15............................................. 607,750
600,000 Vanguard Health Holding Co. II LLC
9.000%, due 10/01/14............................................. 594,000
1,000,000 Warner Chilcott Corp.
8.750%, due 02/01/15............................................. 1,015,000
------------
15,681,188
------------
HOTELS - 0.94%
1,000,000 Gaylord Entertainment Co. (O)
8.000%, due 11/15/13............................................. 960,000
200,000 Host Hotels & Resorts L.P., Series O
6.375%, due 03/15/15............................................. 177,000
------------
1,137,000
------------
INVESTMENT MANAGEMENT - 0.38%
500,000 Nuveen Investments, Inc. (C)
10.500%, due 11/15/15............................................ 461,250
------------
LEISURE & ENTERTAINMENT - 0.52%
650,000 Speedway Motorsports, Inc.
6.750%, due 06/01/13............................................. 633,750
------------
MEDIA - BROADCASTING - 2.60%
1,254,000 Allbritton Communications Co.
7.750%, due 12/15/12............................................. 1,219,515
1,500,000 LIN Television Corp. (O)
6.500%, due 05/15/13............................................. 1,372,500
250,000 LIN Television Corp., Series B
6.500%, due 05/15/13............................................. 228,750
341,000 Sinclair Television Group, Inc. (O)
8.000%, due 03/15/12............................................. 343,558
------------
3,164,323
------------
MEDIA - CABLE - 5.21%
1,500,000 Cablevision Systems Corp., Series B (G)
7.133%, due 04/01/09............................................. 1,500,000
750,000 Cablevision Systems Corp., Series B
8.000%, due 04/15/12............................................. 708,750
500,000 DirecTV Holdings LLC/
DirecTV Financing Co. (O)
8.375%, due 03/15/13............................................. 515,000
500,000 Echostar DBS Corp.
5.750%, due 10/01/08............................................. 500,000
1,250,000 Echostar DBS Corp.
7.125%, due 02/01/16............................................. 1,153,125
750,000 Mediacom Broadband LLC (O)
8.500%, due 10/15/15............................................. 670,312
250,000 Videotron, Ltd. (C)(D)
9.125%, due 04/15/18............................................. 261,250
1,100,000 Virgin Media Finance PLC (D)
9.125%, due 08/15/16............................................. 1,031,250
------------
6,339,687
------------
MEDIA - DIVERSIFIED & SERVICES - 3.36%
1,000,000 Hughes Network Systems LLC/
HNS Finance Corp.
9.500%, due 04/15/14............................................. 1,011,250
500,000 Intelsat Jackson Holdings, Ltd. (D)
9.250%, due 06/15/16............................................. 503,750
750,000 Intelsat Jackson Holdings, Ltd. (D)
11.250%, due 06/15/16............................................ 759,375
210,000 Lamar Media Corp. (O)
7.250%, due 01/01/13............................................. 201,862
500,000 Lamar Media Corp. (O)
6.625%, due 08/15/15............................................. 455,000
500,000 Lamar Media Corp., Series C
6.625%, due 08/15/15............................................. 455,000
750,000 Quebecor Media, Inc. (D)
7.750%, due 03/15/16............................................. 697,500
------------
4,083,737
------------
METALS AND MINING - 2.32%
1,100,000 Arch Western Finance LLC
6.750%, due 07/01/13............................................. 1,078,000
1,000,000 Massey Energy Co.
6.625%, due 11/15/10............................................. 1,000,000
750,000 Peabody Energy Corp. (O)
7.375%, due 11/01/16............................................. 748,125
------------
2,826,125
------------
NON FOOD & DRUG RETAILERS - 2.10%
500,000 Buhrmann US, Inc.
7.875%, due 03/01/15............................................. 558,690
1,000,000 Sally Holdings LLC (O)
9.250%, due 11/15/14............................................. 960,000
640,000 Susser Holdings LLC
10.625%, due 12/15/13............................................ 649,600
500,000 Yankee Acquisition Corp./
MA, Series B (O)
8.500%, due 02/15/15............................................. 390,000
------------
2,558,290
------------
OIL & GAS - 8.95%
500,000 Chesapeake Energy Corp.
6.375%, due 06/15/15............................................. 472,500
500,000 Cimarex Energy Co.
7.125%, due 05/01/17............................................. 491,250
1,000,000 Complete Production Services, Inc................................
8.000%, due 12/15/16............................................. 998,750
700,000 Compton Petroleum Finance Corp.
7.625%, due 12/01/13............................................. 687,750
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
32
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
OIL & GAS (CONTINUED)
$ 500,000 Encore Acquisition Co.
6.000%, due 07/15/15............................................. $ 470,000
1,000,000 EXCO Resources, Inc.
7.250%, due 01/15/11............................................. 982,500
250,000 Helix Energy Solutions Group, Inc. (C)
9.500%, due 01/15/16............................................. 256,250
750,000 Key Energy Services, Inc. (C)
8.375%, due 12/01/14............................................. 765,000
750,000 Mariner Energy, Inc.
8.000%, due 05/15/17............................................. 725,625
1,000,000 PetroHawk Energy Corp.
9.125%, due 07/15/13............................................. 1,025,000
500,000 PetroHawk Energy Corp. (C)
7.875%, due 06/01/15............................................. 488,125
1,500,000 Petroplus Finance, Ltd. (C)(D)
7.000%, due 05/01/17............................................. 1,323,750
250,000 Range Resources Corp.
6.375%, due 03/15/15............................................. 238,750
500,000 Range Resources Corp.
7.250%, due 05/01/18............................................. 496,250
500,000 SandRidge Energy, Inc. (C)
8.000%, due 06/01/18............................................. 502,500
1,000,000 W&T Offshore, Inc. (C)
8.250%, due 06/15/14............................................. 965,000
------------
10,889,000
------------
PACKAGING - 1.62%
1,000,000 Ball Corp.
6.625%, due 03/15/18............................................. 975,000
750,000 BWAY Corp.
10.000%, due 10/15/10............................................ 750,000
250,000 Greif, Inc.
6.750%, due 02/01/17............................................. 241,250
------------
1,966,250
------------
PRINTING & PUBLISHING - 0.52%
750,000 Cenveo Corp. (O)
7.875%, due 12/01/13............................................. 626,250
------------
RESTAURANTS - 0.69%
1,000,000 Seminole Hard Rock
Entertainment, Inc. (C)(G)
5.276%, due 03/15/14............................................. 840,000
------------
SUPPORT SERVICES - 7.25%
1,750,000 ARAMARK Corp. (O)
8.500%, due 02/01/15............................................. 1,715,000
500,000 Cardtronics, Inc.
9.250%, due 08/15/13............................................. 472,500
1,000,000 Corrections Corp. of America
7.500%, due 05/01/11............................................. 1,005,000
750,000 Education Management LLC/
Education Management Finance Corp.
10.250%, due 06/01/16............ 690,000
1,000,000 FTI Consulting, Inc.
7.750%, due 10/01/16............................................. 1,025,000
850,000 Hertz Corp./The
8.875%, due 01/01/14............................................. 777,750
500,000 HUB International Holdings,
Inc. (C)
10.250%, due 06/15/15............ 410,000
300,000 Iron Mountain, Inc. (O)
8.625%, due 04/01/13............................................. 301,500
640,000 Iron Mountain, Inc.
7.750%, due 01/15/15............................................. 636,800
300,000 Lender Processing Services,
Inc. (C)(H)
8.125%, due 07/01/16............................................. 300,375
500,000 Mac-Gray Corp.
7.625%, due 08/15/15............................................. 477,500
750,000 VeriFone Holdings, Inc. (C)(P)
1.625%, due 06/15/12............................................. 553,125
500,000 West Corp.
9.500%, due 10/15/14............................................. 450,000
------------
8,814,550
------------
TECHNOLOGY - 2.19%
500,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13............................................. 477,500
500,000 Sungard Data Systems, Inc.
9.125%, due 08/15/13............................................. 505,000
500,000 Sungard Data Systems, Inc. (O)
10.250%, due 08/15/15............................................ 502,500
1,250,000 Syniverse Technologies, Inc.,
Series B
7.750%, due 08/15/13............................................. 1,175,000
------------
2,660,000
------------
TELECOMMUNICATIONS - 8.00%
1,000,000 Centennial Communications Corp. (G)
8.448%, due 01/01/13............................................. 965,000
1,000,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14............................................. 967,500
700,000 Cincinnati Bell Telephone Co. LLC
6.300%, due 12/01/28............................................. 560,000
1,250,000 Citizens Communications Co. (O)
6.625%, due 03/15/15............................................. 1,134,375
500,000 Citizens Communications Co.
7.875%, due 01/15/27............................................. 437,500
1,500,000 Nordic Telephone Co.
Holdings ApS (C)(D)
8.875%, due 05/01/16............................................. 1,470,000
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
33
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
$ 750,000 PAETEC Holding Corp.
9.500%, due 07/15/15............................................. $ 691,875
500,000 Qwest Capital Funding, Inc.
7.250%, due 02/15/11............................................. 485,000
625,000 Qwest Communications
International, Inc. (G)
6.176%, due 02/15/09............................................. 621,875
1,000,000 Qwest Communications
International, Inc., Series B
7.500%, due 02/15/14............................................. 950,000
1,000,000 Windstream Corp.
8.625%, due 08/01/16............................................. 997,500
500,000 Windstream Corp.
7.000%, due 03/15/19............................................. 453,750
------------
9,734,375
------------
TRANSPORTATION - 2.38%
500,000 Bristow Group, Inc.
6.125%, due 06/15/13............................................. 481,250
750,000 Bristow Group, Inc.
7.500%, due 09/15/17............................................. 751,875
500,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14............................................. 518,750
755,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14............................................. 760,662
400,000 Hornbeck Offshore Services, Inc.,
Series B
6.125%, due 12/01/14............................................. 384,000
------------
2,896,537
------------
UTILITIES - 9.91%
1,000,000 AES Corp./The (C)
8.000%, due 06/01/20............................................. 965,000
250,000 Dynegy Holdings, Inc.
6.875%, due 04/01/11............................................. 247,188
1,000,000 Dynegy Holdings, Inc.
8.375%, due 05/01/16............................................. 970,000
1,500,000 Edison Mission Energy
7.200%, due 05/15/19............................................. 1,398,750
1,700,000 El Paso Corp.
7.250%, due 06/01/18............................................. 1,674,500
1,000,000 Energy Future Holdings Corp. (C)(O)
10.875%, due 11/01/17............................................ 1,010,000
1,000,000 Ferrellgas Partners L.P./
Ferrellgas Partners Finance
8.750%, due 06/15/12............................................. 980,000
500,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14............................................. 465,000
1,000,000 MarkWest Energy Partners L.P./
MarkWest Energy Finance Corp. (C)
8.750%, due 04/15/18............................................. 1,022,500
1,750,000 NRG Energy, Inc.
7.375%, due 02/01/16............................................. 1,647,187
1,000,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp. (O)
6.875%, due 12/15/13............................................. 945,000
750,000 Texas Competitive Electric
Holdings Co. LLC (C)
10.250%, due 11/01/15............................................ 735,000
------------
12,060,125
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $122,012,700) ............................................. 118,151,289
Shares
- ------
INVESTMENT COMPANY - 1.32%
- --------------------------------------------------------------------------------------------------
1,605,830 SSgA Prime Money
Market Fund (N).................................................. 1,605,830
------------
TOTAL INVESTMENT COMPANY
(Cost $1,605,830) ............................................... 1,605,830
------------
COLLATERAL FOR SECURITIES ON LOAN - 16.32%
- --------------------------------------------------------------------------------------------------
19,855,472 State Street Navigator Securities
Lending Prime Portfolio (I)...................................... 19,855,472
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $19,855,472) .............................................. 19,855,472
TOTAL INVESTMENTS - 114.77%
- --------------------------------------------------------------------------------------------------
(Cost $143,474,002**).......................................................... 139,612,591
NET OTHER ASSETS AND LIABILITIES - (14.77)%
- --------------------------------------------------------------------------------------------------
(17,973,733)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$121,638,858
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $143,596,234.
(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.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
34
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 6.39% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of June 30, 2008.
(H) Security purchased on a delayed delivery or when-issued basis. Rate shown is
at issue date.
(I) Represents investments of cash collateral received in connection with
securities lending.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of June 30, 2008.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
35
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Common Stocks 42%
Corporate Notes and Bonds 20%
Mortgage Backed 17%
U.S. Government and Agency Obligations 11%
Commercial Mortgage Backed 5%
Asset Backed 2%
Cash and Other Net Assets 2%
Private Label Mortgage Backed 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- --------- --------------
COMMON STOCKS - 41.40%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.16%
96,000 Carnival Corp. (O) .............................................. $ 3,164,160
65,000 Harley-Davidson, Inc. (O) ....................................... 2,356,900
135,000 Home Depot, Inc. ................................................ 3,161,700
52,000 McDonald's Corp. ................................................ 2,923,440
------------
11,606,200
------------
CONSUMER STAPLES - 5.68%
159,000 Altria Group, Inc. .............................................. 3,269,040
56,800 Anheuser-Busch Cos., Inc. ....................................... 3,528,416
64,000 Coca-Cola Co./The ............................................... 3,326,720
60,200 Kimberly-Clark Corp. ............................................ 3,598,756
81,918 Kraft Foods, Inc., Class A ...................................... 2,330,567
19,000 PepsiCo, Inc. ................................................... 1,208,210
151,000 Philip Morris International,
Inc. ............................................................ 7,457,890
38,300 Procter & Gamble Co.............................................. 2,329,023
126,000 SYSCO Corp. (O).................................................. 3,466,260
------------
30,514,882
------------
ENERGY - 3.85%
35,200 BP PLC, ADR ..................................................... 2,448,864
127,000 Chevron Corp. ................................................... 12,589,510
59,600 ConocoPhillips .................................................. 5,625,644
------------
20,664,018
------------
FINANCIALS - 8.60%
53,014 Allstate Corp./The .............................................. 2,416,908
268,996 Bank of America Corp. ........................................... 6,420,935
76,400 BB&T Corp. (O)................................................... 1,739,628
200,005 Citigroup, Inc. ................................................. 3,352,084
19,000 Hartford Financial Services
Group, Inc. ..................................................... 1,226,830
227,054 JPMorgan Chase & Co. ............................................ 7,790,223
95,000 Marsh & McLennan Cos., Inc. 2,522,250
31,000 PNC Financial Services Group,
Inc. ............................................................ 1,770,100
38,700 SunTrust Banks, Inc. (O) ........................................ 1,401,714
28,500 Travelers Cos., Inc./The......................................... 1,236,900
256,000 US Bancorp (O)................................................... 7,139,840
113,600 Wachovia Corp. (O) .............................................. 1,764,208
310,000 Wells Fargo & Co. ............................................... 7,362,500
------------
46,144,120
------------
HEALTH CARE - 7.78%
70,500 Abbott Laboratories ............................................. 3,734,385
193,000 Bristol-Myers Squibb Co. ........................................ 3,962,290
59,000 Eli Lilly & Co. ................................................. 2,723,440
193,000 Johnson & Johnson................................................ 12,417,620
156,000 Merck & Co., Inc. ............................................... 5,879,640
475,019 Pfizer, Inc. .................................................... 8,298,582
99,000 Wyeth............................................................ 4,748,040
------------
41,763,997
------------
INDUSTRIALS - 3.62%
34,000 3M Co. .......................................................... 2,366,060
383,000 General Electric Co. ............................................ 10,222,270
84,000 United Parcel Service,
Inc., Class B.................................................... 5,163,480
45,100 Waste Management, Inc. .......................................... 1,700,721
------------
19,452,531
------------
INFORMATION TECHNOLOGY - 1.35%
85,000 Automatic Data Processing,
Inc. ............................................................ 3,561,500
50,000 Intel Corp. ..................................................... 1,074,000
83,700 Paychex, Inc. ................................................... 2,618,136
------------
7,253,636
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
36
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- --------- --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MATERIALS - 2.30%
30,000 Dow Chemical Co./The (O) ........................................ $ 1,047,300
130,500 EI Du Pont de Nemours & Co. ..................................... 5,597,145
5,300 Freeport-McMoRan Copper &
Gold, Inc. ...................................................... 621,107
39,000 Nucor Corp. (O) ................................................. 2,912,130
42,700 Weyerhaeuser Co. (O)............................................. 2,183,678
------------
12,361,360
------------
TELECOMMUNICATION SERVICES - 3.28%
304,515 AT&T, Inc. ...................................................... 10,259,110
25,000 Embarq Corp. .................................................... 1,181,750
174,000 Verizon Communications, Inc. .................................... 6,159,600
------------
17,600,460
------------
UTILITIES - 2.78%
60,800 Consolidated Edison, Inc. (O) 2,376,672
149,000 Duke Energy Corp. ............................................... 2,589,620
30,500 FirstEnergy Corp. ............................................... 2,511,065
64,000 PG&E Corp. (O) .................................................. 2,540,160
56,500 Progress Energy, Inc. ........................................... 2,363,395
72,000 Southern Co. .................................................... 2,514,240
------------
14,895,152
------------
TOTAL COMMON STOCKS
(Cost $231,574,927) ............................................. 222,256,356
COMMON STOCK UNIT - 0.39%
- --------------------------------------------------------------------------------------------------
FINANCIALS - 0.39%
38,000 AllianceBernstein Holding L.P. .................................. 2,077,840
------------
TOTAL COMMON STOCK UNIT
(Cost $3,229,736) ............................................... 2,077,840
PAR VALUE
- ---------
ASSET BACKED - 1.81%
- --------------------------------------------------------------------------------------------------
$ 599,648 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30............................................. 551,523
843,088 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34............................................. 637,670
1,975,000 Carmax Auto Owner Trust,
Series 2007-2, Class B
5.370%, due 03/15/13............................................. 1,905,844
2,045,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14............................................. 2,036,762
1,300,372 CIT Group Home Equity Loan Trust,
Series 2002-2, Class BF (M)
6.830%, due 06/25/33............................................. 646,325
1,460,000 Daimler Chrysler Auto Trust,
Series 2007-A, Class A3A
5.000%, due 02/08/12............................................. 1,467,852
1,120,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due 10/25/33............................................. 989,849
756,959 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27............................................. 735,449
1,025,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36............................................. 452,017
675,115 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
5.483%, due 05/25/34............................................. 274,292
------------
TOTAL ASSET BACKED
(Cost $11,730,200) .............................................. 9,697,583
COMMERCIAL MORTGAGE BACKED - 5.45%
- --------------------------------------------------------------------------------------------------
555,176 Bear Stearns Commercial
Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16............................................. 556,570
1,815,000 Bear Stearns Commercial
Mortgage Securities,
Series 2003-T10, Class E (C)(G)
5.540%, due 03/13/40............................................. 1,524,342
1,325,000 Bear Stearns Commercial
Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46............................................. 1,251,258
765,000 Bear Stearns Commercial
Mortgage Securities,
Series 2005-T20, Class F (C)(G)
4.832%, due 10/12/42............................................. 572,705
3,025,583 GMAC Commercial Mortgage
Securities, Inc.,
Series 2000-C1, Class A2 (G)
7.724%, due 03/15/33............................................. 3,125,505
2,100,000 Government National
Mortgage Association,
Series 2004-43, Class C (G)
5.008%, due 12/16/25............................................. 2,080,022
1,400,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36............................................. 1,375,867
2,900,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29............................................. 2,876,541
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
37
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$1,600,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29............................................. $ 1,521,873
2,600,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40............................................. 2,495,264
2,500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45............................................. 2,405,579
2,710,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43............................................. 2,655,032
2,690,000 Multi Security Asset Trust,
Series 2005-RR4A, Class H (C)(G)
5.880%, due 11/28/35............................................. 2,216,883
775,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due 11/28/35............................................. 546,925
326,114 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35............................................. 325,584
3,760,000 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-C8, Class A2
3.894%, due 11/15/35............................................. 3,749,700
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $30,718,573) .............................................. 29,279,650
PRIVATE LABEL MORTGAGE BACKED - 1.38%
- --------------------------------------------------------------------------------------------------
2,119,475 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36............................................. 2,012,814
2,834,770 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36............................................. 2,588,563
3,041,388 Banc of America Alternative Loan Trust,
Series 2006-4, Class 5CB1
6.500%, due 05/25/46............................................. 2,826,590
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $7,995,264) ............................................... 7,427,967
CORPORATE NOTES AND BONDS - 19.64%
- --------------------------------------------------------------------------------------------------
BEVERAGE/FOOD - 0.35%
2,025,000 Kraft Foods, Inc.
6.500%, due 11/01/31............................................. 1,874,247
------------
CONSUMER DISCRETIONARY - 1.46%
2,000,000 American Association of Retired
Persons (C)
7.500%, due 05/01/31............................................. 2,537,790
2,400,000 Centex Corp.
4.875%, due 08/15/08............................................. 2,391,000
1,850,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34............................................. 1,515,115
1,600,000 Royal Caribbean Cruises, Ltd. (D)
7.250%, due 06/15/16............................................. 1,400,000
------------
7,843,905
------------
CONSUMER STAPLES - 0.57%
1,055,000 Diageo Capital PLC (D)
5.500%, due 09/30/16............................................. 1,032,362
620,000 PepsiCo, Inc.
4.650%, due 02/15/13............................................. 629,203
1,400,000 Safeway, Inc.
4.125%, due 11/01/08............................................. 1,400,906
------------
3,062,471
------------
ENERGY - 1.26%
2,000,000 Chesapeake Energy Corp.
6.375%, due 06/15/15............................................. 1,890,000
1,500,000 ConocoPhillips
6.650%, due 07/15/18............................................. 1,643,745
1,150,000 Hess Corp.
7.875%, due 10/01/29............................................. 1,318,943
750,000 Transocean, Inc.
6.000%, due 03/15/18............................................. 751,122
1,030,000 Transocean, Inc.
7.500%, due 04/15/31............................................. 1,127,987
------------
6,731,797
------------
FINANCE - 4.54%
1,115,000 American General Finance Corp.
5.850%, due 06/01/13............................................. 983,346
1,500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10............................................. 1,453,367
620,000 Bank of America Corp.
5.750%, due 12/01/17............................................. 582,252
1,130,000 Bear Stearns Cos., Inc./The
7.250%, due 02/01/18............................................. 1,179,228
1,450,000 CIT Group, Inc.
7.625%, due 11/30/12............................................. 1,205,208
1,450,000 HCP, Inc.
6.700%, due 01/30/18............................................. 1,303,656
1,350,000 HSBC Finance Corp.
6.500%, due 11/15/08............................................. 1,360,793
1,735,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17............................................. 1,531,080
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
38
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCE (CONTINUED)
$1,415,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13............................................. $ 1,371,419
2,400,000 National Rural Utilities
Cooperative Finance Corp., Series C
7.250%, due 03/01/12............................................. 2,554,802
3,240,000 Nissan Motor Acceptance Corp. (C)
5.625%, due 03/14/11............................................. 3,216,575
1,505,000 SLM Corp.
5.125%, due 08/27/12............................................. 1,309,525
1,000,000 Swiss Re Insurance Solutions
Holding Corp.
7.000%, due 02/15/26............................................. 1,008,081
785,000 Swiss Re Insurance Solutions
Holding Corp.
7.750%, due 06/15/30............................................. 851,531
2,000,000 US Bank NA/Cincinnati OH
6.300%, due 02/04/14............................................. 2,109,556
1,450,000 Well Fargo & Co.
5.250%, due 10/23/12............................................. 1,439,442
935,000 Western Union Co./The
5.930%, due 10/01/16............................................. 917,021
------------
24,376,882
------------
FOOD & DRUG RETAILERS - 0.31%
1,550,000 Medco Health Solutions, Inc.
7.250%, due 08/15/13............................................. 1,645,592
------------
HEALTH CARE - 2.05%
3,950,000 Amgen, Inc.
5.850%, due 06/01/17............................................. 3,890,612
1,200,000 Eli Lilly & Co.
6.570%, due 01/01/16............................................. 1,303,528
740,000 Genentech, Inc.
5.250%, due 07/15/35............................................. 670,765
1,220,000 Merck & Co., Inc.
6.400%, due 03/01/28............................................. 1,273,340
1,500,000 Quest Diagnostics, Inc.
5.450%, due 11/01/15............................................. 1,419,343
1,400,000 WellPoint, Inc.
5.000%, due 12/15/14............................................. 1,313,687
1,100,000 Wyeth
6.500%, due 02/01/34............................................. 1,140,548
------------
11,011,823
------------
INDUSTRIALS - 1.52%
350,000 Boeing Co.
8.625%, due 11/15/31............................................. 467,327
620,000 Boeing Co.
6.875%, due 10/15/43............................................. 679,591
515,000 DR Horton, Inc.
5.250%, due 02/15/15............................................. 409,425
310,000 EI Du Pont de Nemours & Co.
5.000%, due 01/15/13............................................. 312,616
1,000,000 Ford Motor Credit Co. LLC
5.800%, due 01/12/09............................................. 954,857
1,450,000 GMAC LLC
7.250%, due 03/02/11............................................. 1,065,766
780,000 Lockheed Martin Corp.
7.650%, due 05/01/16............................................. 885,811
1,150,000 Waste Management, Inc.
7.125%, due 12/15/17............................................. 1,231,107
1,025,000 Westvaco Corp.
8.200%, due 01/15/30............................................. 992,301
1,170,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10............................................. 1,177,538
------------
8,176,339
------------
MEDIA - 0.65%
1,780,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22............................................. 2,151,983
1,315,000 Rogers Communications, Inc. (D)
6.250%, due 06/15/13............................................. 1,343,719
------------
3,495,702
------------
PIPELINE - 0.30%
1,600,000 Panhandle Eastern Pipeline Co.
4.800%, due 08/15/08............................................. 1,599,610
------------
REAL ESTATE INVESTMENT TRUSTS - 1.05%
2,685,000 Equity One, Inc.
3.875%, due 04/15/09............................................. 2,631,214
2,400,000 Nationwide Health Properties, Inc.,
Series D
8.250%, due 07/01/12............................................. 2,513,983
530,000 Simon Property Group L.P.
5.875%, due 03/01/17............................................. 508,945
------------
5,654,142
------------
TELECOMMUNICATIONS - 0.31%
960,000 Cisco Systems, Inc.
5.500%, due 02/22/16............................................. 968,551
795,000 Sprint Nextel Corp.
6.000%, due 12/01/16............................................. 683,700
------------
1,652,251
------------
TRANSPORTATION - 0.99%
1,365,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20............................................. 1,566,133
1,725,000 CSX Corp.
6.250%, due 10/15/08............................................. 1,734,446
957,000 Norfolk Southern Corp.
5.590%, due 05/17/25............................................. 865,088
1,050,000 Norfolk Southern Corp.
7.050%, due 05/01/37............................................. 1,134,344
------------
5,300,011
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
39
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES - 4.28%
$1,250,000 Consumers Energy Co.
5.650%, due 04/15/20............................................. $ 1,220,704
2,000,000 Energy East Corp.
8.050%, due 11/15/10............................................. 2,149,634
1,300,000 Illinois Power Co.
7.500%, due 06/15/09............................................. 1,322,244
1,555,000 Indianapolis Power & Light Co. (C)
6.050%, due 10/01/36............................................. 1,403,327
4,000,000 Midamerican Energy Co.
5.650%, due 07/15/12............................................. 4,103,216
1,600,000 Nevada Power Co., Series R
6.750%, due 07/01/37............................................. 1,563,611
1,365,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34............................................. 1,316,178
2,000,000 Progress Energy, Inc.
7.750%, due 03/01/31............................................. 2,285,494
1,750,000 Public Service Co. of New Mexico
4.400%, due 09/15/08............................................. 1,743,949
474,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16............................................. 468,763
1,500,000 Southern Power Co., Series B
6.250%, due 07/15/12............................................. 1,562,913
835,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17............................................. 790,015
620,000 Virginia Electric and Power Co.
5.100%, due 11/30/12............................................. 620,310
2,400,000 Westar Energy, Inc.
6.000%, due 07/01/14............................................. 2,432,719
------------
22,983,077
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $108,663,982) ............................................. 105,407,849
MORTGAGE BACKED - 17.34%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.78%
85,760 8.000%, due 06/01/30
Pool # C01005.................................................... 92,898
418,445 6.500%, due 01/01/32
Pool # C62333.................................................... 435,175
106,226 6.500%, due 03/01/32
Pool # C65648.................................................... 110,406
4,021,403 5.000%, due 07/01/33
Pool # A11325 ................................................... 3,878,219
417,797 6.000%, due 10/01/34
Pool # A28439 ................................................... 423,664
418,081 6.000%, due 10/01/34
Pool # A28598 ................................................... 423,952
276,683 5.000%, due 04/01/35
Pool # A32314 ................................................... 266,054
570,444 5.000%, due 04/01/35
Pool # A32315 ................................................... 548,529
466,258 5.000%, due 04/01/35
Pool # A32316 ................................................... 448,345
261,129 5.000%, due 04/01/35
Pool # A32509 ................................................... 251,096
2,815,508 5.000%, due 01/01/37
Pool # A56371 ................................................... 2,703,822
------------
9,582,160
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 15.52%
1,334,863 4.000%, due 04/01/15
Pool # 255719 ................................................... 1,302,395
1,432,335 5.500%, due 04/01/16
Pool # 745444 ................................................... 1,452,185
370,530 6.000%, due 05/01/16
Pool # 582558 ................................................... 381,229
2,230,802 5.000%, due 12/01/17
Pool # 672243 ................................................... 2,228,688
2,235,317 4.500%, due 09/01/20
Pool # 835465 ................................................... 2,174,823
409,094 6.000%, due 05/01/21
Pool # 253847 ................................................... 418,175
71,165 7.000%, due 12/01/29
Pool # 762813 ................................................... 75,542
204,420 7.000%, due 11/01/31
Pool # 607515 ................................................... 216,037
2,853 7.000%, due 04/01/32
Pool # 641518 ................................................... 3,015
225,611 7.000%, due 05/01/32
Pool # 644591 ................................................... 238,433
1,264,710 6.500%, due 06/01/32
Pool # 545691 ................................................... 1,312,903
1,043,596 6.500%, due 09/01/33
Pool # 737582 ................................................... 1,082,058
1,652,720 5.500%, due 10/01/33
Pool # 254904 ................................................... 1,638,743
6,123,852 5.500%, due 11/01/33
Pool # 555880 ................................................... 6,072,063
4,684,027 5.000%, due 05/01/34
Pool # 780890 ................................................... 4,512,859
41,020 7.000%, due 07/01/34
Pool # 792636 ................................................... 43,260
674,254 5.500%, due 08/01/34
Pool # 793647 ................................................... 667,288
2,988,966 5.500%, due 03/01/35
Pool # 815976 ................................................... 2,955,282
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
40
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$1,538,513 5.500%, due 07/01/35
Pool # 825283 ................................................... $ 1,521,174
933,218 5.500%, due 08/01/35
Pool # 826872 ................................................... 922,701
1,465,648 5.000%, due 09/01/35
Pool # 820347 ................................................... 1,409,799
1,622,731 5.000%, due 09/01/35
Pool # 835699 ................................................... 1,560,896
1,990,696 5.000%, due 10/01/35
Pool # 797669 ................................................... 1,914,840
1,899,096 5.500%, due 10/01/35
Pool # 836912 ................................................... 1,877,694
2,124,390 5.000%, due 12/01/35
Pool # 850561 ................................................... 2,043,439
3,854,193 5.500%, due 12/01/35
Pool # 844583 ................................................... 3,810,758
787,523 5.500%, due 02/01/36
Pool # 851330 ................................................... 778,648
2,788,417 5.500%, due 09/01/36
Pool # 831820 ................................................... 2,753,507
3,566,995 6.000%, due 09/01/36
Pool # 831741 ................................................... 3,603,710
818,609 5.500%, due 10/01/36
Pool # 896340 ................................................... 808,360
3,687,401 5.500%, due 10/01/36
Pool # 901723 ................................................... 3,641,236
2,410,032 6.500%, due 10/01/36
Pool # 894118 ................................................... 2,484,545
3,027,271 6.000%, due 11/01/36
Pool # 902510 ................................................... 3,066,099
3,461,385 5.500%, due 12/01/36
Pool # 902853 ................................................... 3,418,050
3,198,976 5.500%, due 12/01/36
Pool # 903059 ................................................... 3,158,926
3,343,566 5.500%, due 12/01/36
Pool # 907512 ................................................... 3,301,706
3,439,507 5.500%, due 12/01/36
Pool # 907635 ................................................... 3,396,446
3,080,523 6.000%, due 12/01/36
Pool # 903002 ................................................... 3,112,231
2,713,949 5.500%, due 01/01/37
Pool # 906268 ................................................... 2,679,972
2,595,665 5.500%, due 02/01/37
Pool # 905140 ................................................... 2,563,169
2,744,844 5.500%, due 05/01/37
Pool # 899323 ................................................... 2,709,039
------------
83,311,923
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.04%
194,147 6.500%, due 04/20/31
Pool # 003068 ................................................... 201,163
------------
TOTAL MORTGAGE BACKED
(Cost $93,320,623) .............................................. 93,095,246
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.18%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 0.64% (O)
3,400,000 4.500%, due 01/15/14............................................. 3,441,082
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.11%
2,250,000 4.000%, due 09/02/08............................................. 2,253,758
750,000 5.250%, due 08/01/12 (O) ........................................ 759,018
2,500,000 6.625%, due 11/15/30 (O) ........................................ 2,967,640
------------
5,980,416
------------
U.S. TREASURY BONDS - 1.23% (O)
5,270,000 6.625%, due 02/15/27............................................. 6,605,618
------------
U.S. TREASURY NOTES - 8.20% (O)
3,175,000 3.000%, due 02/15/09............................................. 3,190,627
700,000 2.625%, due 03/15/09............................................. 701,859
1,400,000 4.875%, due 05/31/09............................................. 1,431,500
1,850,000 3.875%, due 05/15/10............................................. 1,895,382
500,000 4.500%, due 11/15/10............................................. 520,508
500,000 4.750%, due 03/31/11............................................. 524,649
3,900,000 4.875%, due 04/30/11............................................. 4,111,150
6,150,000 4.625%, due 12/31/11............................................. 6,461,344
3,400,000 4.625%, due 02/29/12............................................. 3,576,375
2,000,000 4.875%, due 06/30/12............................................. 2,125,312
5,500,000 4.000%, due 11/15/12............................................. 5,684,767
1,980,000 3.625%, due 05/15/13............................................. 2,008,926
310,000 4.000%, due 02/15/14............................................. 319,712
2,450,000 4.250%, due 08/15/14............................................. 2,559,677
3,550,000 4.500%, due 02/15/16............................................. 3,734,433
1,100,000 4.625%, due 02/15/17............................................. 1,158,093
3,830,000 4.500%, due 05/15/17............................................. 3,989,182
------------
43,993,496
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $57,235,604) .............................................. 60,020,612
INVESTMENT COMPANY - 0.90%
- --------------------------------------------------------------------------------------------------
4,821,705 SSgA Prime Money
Market Fund ..................................................... 4,821,705
------------
TOTAL INVESTMENT COMPANY
(Cost $4,821,705) ............................................... 4,821,705
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
41
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SHARE Value (Note 2)
- ----- --------------
COLLATERAL FOR SECURITIES ON LOAN - 12.16%
- --------------------------------------------------------------------------------------------------
65,290,985 State Street Navigator Securities
Lending Prime Portfolio (I)...................................... $ 65,290,985
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $65,290,985) .............................................. 65,290,985
TOTAL INVESTMENTS - 111.65%
- --------------------------------------------------------------------------------------------------
(Cost $614,581,599**).......................................................... 599,375,793
NET OTHER ASSETS AND LIABILITIES - (11.65)%
- --------------------------------------------------------------------------------------------------
(62,536,065)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$536,839,728
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $615,857,008.
(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 0.70% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of June 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.
- --------------------------------------------------------------------------------
42
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Financials 23%
Energy 19%
Health Care 10%
Industrials 10%
Consumer Staples 9%
Consumer Discretionary 6%
Utilities 6%
Telecommunication Services 5%
Cash and Other Net Assets 4%
Information Technology 4%
Materials 4%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.26%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 5.94%
93,100 Carnival Corp. .................................................. $ 3,068,576
82,900 CBS Corp. ....................................................... 1,615,721
316,342 Comcast Corp., Class A .......................................... 6,001,008
146,200 Eastman Kodak Co. (O) ........................................... 2,109,666
93,300 General Motors Corp. (O) ........................................ 1,072,950
109,700 Home Depot, Inc. ................................................ 2,569,174
48,500 Johnson Controls, Inc. .......................................... 1,390,980
221,500 Lowe's Cos., Inc. ............................................... 4,596,125
390,500 News Corp., Class A ............................................. 5,873,120
54,800 Nordstrom, Inc. (O) ............................................. 1,660,440
68,100 Omnicom Group, Inc. ............................................. 3,056,328
58,400 Target Corp. .................................................... 2,715,016
769,200 Time Warner, Inc. ............................................... 11,384,160
85,700 Viacom, Inc., Class B * ......................................... 2,617,278
182,700 Walt Disney Co./The ............................................. 5,700,240
------------
55,430,782
------------
CONSUMER STAPLES - 9.26%
166,400 Altria Group, Inc. .............................................. 3,421,184
34,500 Anheuser-Busch Cos., Inc. ....................................... 2,143,140
109,000 Archer-Daniels-Midland Co. ...................................... 3,678,750
48,700 Clorox Co. ...................................................... 2,542,140
123,700 Coca-Cola Co./The ............................................... 6,429,926
32,100 Costco Wholesale Corp. .......................................... 2,251,494
126,600 CVS/Caremark Corp. .............................................. 5,009,562
27,400 Energizer Holdings, Inc. * ...................................... 2,002,666
57,800 General Mills, Inc. ............................................. 3,512,506
89,600 HJ Heinz Co...................................................... 4,287,360
36,000 Kellogg Co....................................................... 1,728,720
37,700 Kimberly-Clark Corp. ............................................ 2,253,706
272,857 Kraft Foods, Inc., Class A....................................... 7,762,782
20,100 Lorillard, Inc. * ............................................... 1,390,116
71,200 Molson Coors Brewing Co.,
Class B ......................................................... 3,868,296
46,800 Philip Morris International,
Inc. ............................................................ 2,311,452
345,500 Procter & Gamble Co. ............................................ 21,009,855
192,200 Wal-Mart Stores, Inc. ........................................... 10,801,640
------------
86,405,295
------------
ENERGY - 19.33%
83,900 Anadarko Petroleum Corp. ........................................ 6,279,076
97,500 Apache Corp. .................................................... 13,552,500
50,800 Chesapeake Energy Corp. ......................................... 3,350,768
334,246 Chevron Corp. ................................................... 33,133,806
289,800 ConocoPhillips .................................................. 27,354,222
118,300 Devon Energy Corp. .............................................. 14,214,928
29,400 EOG Resources, Inc. ............................................. 3,857,280
609,200 Exxon Mobil Corp. ............................................... 53,688,796
48,900 Forest Oil Corp. (O)*............................................ 3,643,050
124,900 Marathon Oil Corp. .............................................. 6,478,563
33,700 Schlumberger, Ltd. .............................................. 3,620,391
59,900 Valero Energy Corp. ............................................. 2,466,682
78,000 Williams Cos., Inc. ............................................. 3,144,180
81,800 XTO Energy, Inc. ................................................ 5,604,118
------------
180,388,360
------------
FINANCIALS - 23.03%
49,200 ACE, Ltd. ....................................................... 2,710,428
109,726 Allstate Corp./The .............................................. 5,002,408
354,200 American International
Group, Inc. ..................................................... 9,372,132
89,500 Annaly Capital Management,
Inc., REIT ...................................................... 1,388,145
111,000 AON Corp. ....................................................... 5,099,340
37,200 Arch Capital Group, Ltd. * ...................................... 2,467,104
78,100 Assurant, Inc. .................................................. 5,151,476
652,842 Bank of America Corp. ........................................... 15,583,338
194,200 Bank of New York Mellon
Corp./The........................................................ 7,346,586
160,800 BB&T Corp. (O)................................................... 3,661,416
19,400 BlackRock, Inc. (O) ............................................. 3,433,800
18,300 Boston Properties, Inc.,
REIT (O) ........................................................ 1,651,026
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
43
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
53,000 Capital One Financial
Corp. (O) ....................................................... $ 2,014,530
54,100 Chubb Corp. ..................................................... 2,651,441
927,014 Citigroup, Inc. ................................................. 15,536,755
69,400 Equity Residential, REIT......................................... 2,655,938
136,500 Federal National Mortgage
Association...................................................... 2,663,115
63,900 Goldman Sachs Group,
Inc./The ........................................................ 11,176,110
80,300 Hartford Financial Services
Group, Inc. ..................................................... 5,184,971
602,088 JPMorgan Chase & Co. ............................................ 20,657,639
152,900 Lehman Brothers Holdings,
Inc. (O) ........................................................ 3,028,949
88,699 Marshall & Ilsley Corp. (O) ..................................... 1,359,756
112,500 Merrill Lynch & Co., Inc. ....................................... 3,567,375
152,600 MetLife, Inc. ................................................... 8,052,702
160,000 Morgan Stanley .................................................. 5,771,200
66,200 PNC Financial Services Group,
Inc. ............................................................ 3,780,020
63,400 Prologis, REIT .................................................. 3,445,790
81,400 Prudential Financial, Inc. ...................................... 4,862,836
25,200 Simon Property Group, Inc.,
REIT............................................................. 2,265,228
86,300 State Street Corp. .............................................. 5,522,337
80,000 SunTrust Banks, Inc. ............................................ 2,897,600
207,400 Travelers Cos., Inc./The......................................... 9,001,160
426,100 US Bancorp (O)................................................... 11,883,929
50,500 Vornado Realty Trust, REIT ...................................... 4,444,000
245,300 Wachovia Corp. .................................................. 3,809,509
608,900 Wells Fargo & Co. ............................................... 14,461,375
65,100 XL Capital, Ltd., Class A ....................................... 1,338,456
------------
214,899,920
------------
HEALTH CARE - 9.76%
151,300 Amgen, Inc. * ................................................... 7,135,308
113,500 Boston Scientific Corp. *........................................ 1,394,915
59,500 Coventry Health Care, Inc. *..................................... 1,809,990
79,575 Covidien, Ltd.................................................... 3,810,847
59,200 Eli Lilly & Co. ................................................. 2,732,672
63,800 Hologic, Inc. * ................................................. 1,390,840
362,000 Johnson & Johnson ............................................... 23,291,080
50,000 Medco Health Solutions, Inc. * .................................. 2,360,000
246,800 Merck & Co., Inc. ............................................... 9,301,892
916,600 Pfizer, Inc. .................................................... 16,013,002
119,800 Schering-Plough Corp. ........................................... 2,358,862
85,700 Thermo Fisher Scientific,
Inc. * .......................................................... 4,776,061
52,800 WellPoint, Inc. * ............................................... 2,516,448
254,100 Wyeth ........................................................... 12,186,636
------------
91,078,553
------------
INDUSTRIALS - 9.55%
26,600 3M Co. .......................................................... 1,851,094
26,200 Deere & Co. ..................................................... 1,889,806
20,300 Eaton Corp. ..................................................... 1,724,891
45,300 Emerson Electric Co.............................................. 2,240,085
29,900 FedEx Corp. ..................................................... 2,355,821
63,900 General Dynamics Corp. .......................................... 5,380,380
1,455,900 General Electric Co.............................................. 38,857,971
83,600 Illinois Tool Works, Inc. ....................................... 3,971,836
62,300 Ingersoll-Rand Co., Ltd.,
Class A ......................................................... 2,331,889
27,100 ITT Corp. ....................................................... 1,716,243
33,500 KBR, Inc. ....................................................... 1,169,485
72,500 Norfolk Southern Corp. .......................................... 4,543,575
33,900 Northrop Grumman Corp. .......................................... 2,267,910
39,350 Parker Hannifin Corp. ........................................... 2,806,442
50,400 Raytheon Co. .................................................... 2,836,512
127,500 Southwest Airlines Co............................................ 1,662,600
57,675 Tyco International, Ltd. ........................................ 2,309,307
86,700 United Technologies Corp. ....................................... 5,349,390
104,000 Waste Management, Inc. .......................................... 3,921,840
------------
89,187,077
------------
INFORMATION TECHNOLOGY - 3.56%
66,000 Automatic Data Processing,
Inc. ............................................................ 2,765,400
66,800 Computer Sciences Corp. * ....................................... 3,128,912
124,800 EMC Corp./Massachusetts * ....................................... 1,833,312
70,735 Hewlett-Packard Co. ............................................. 3,127,194
173,100 Intel Corp. ..................................................... 3,718,188
39,000 International Business
Machines Corp. .................................................. 4,622,670
73,400 Microsoft Corp. ................................................. 2,019,234
437,800 Motorola, Inc. .................................................. 3,213,452
9,110 Nortel Networks Corp. * ......................................... 74,884
47,300 Novellus Systems, Inc. (O)* ..................................... 1,002,287
66,400 Seagate Technology............................................... 1,270,232
104,500 Symantec Corp. * ................................................ 2,022,075
82,600 Tyco Electronics, Ltd. .......................................... 2,958,732
108,300 Xerox Corp. ..................................................... 1,468,548
------------
33,225,120
------------
MATERIALS - 4.32%
23,500 Air Products & Chemicals, Inc. .................................. 2,323,210
42,500 Albemarle Corp. ................................................. 1,696,175
105,500 Alcoa, Inc. ..................................................... 3,757,910
19,500 Cytec Industries, Inc. .......................................... 1,063,920
147,100 Dow Chemical Co./The (O) ........................................ 5,135,261
169,500 EI Du Pont de Nemours & Co. ..................................... 7,269,855
78,996 Freeport-McMoRan Copper
& Gold, Inc. .................................................... 9,257,541
81,600 Nucor Corp. ..................................................... 6,093,072
72,400 Weyerhaeuser Co. ................................................ 3,702,536
------------
40,299,480
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
44
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 5.25%
818,987 AT&T, Inc. ...................................................... $ 27,591,672
65,300 Embarq Corp. .................................................... 3,086,731
427,200 Sprint Nextel Corp. ............................................. 4,058,400
66,000 TELUS Corp. ..................................................... 2,661,780
328,335 Verizon Communications, Inc. .................................... 11,623,059
------------
49,021,642
------------
UTILITIES - 6.26%
86,700 American Electric Power Co.,
Inc. ............................................................ 3,487,941
17,500 Constellation Energy Group,
Inc. ............................................................ 1,436,750
79,800 Dominion Resources, Inc./VA ..................................... 3,789,702
189,000 Duke Energy Corp. ............................................... 3,284,820
88,300 Edison International............................................. 4,536,854
19,600 Entergy Corp. ................................................... 2,361,408
58,200 Exelon Corp. .................................................... 5,235,672
57,700 FirstEnergy Corp. ............................................... 4,750,441
73,100 FPL Group, Inc. ................................................. 4,793,898
35,000 Mirant Corp. (O)*................................................ 1,370,250
59,400 NSTAR ........................................................... 2,008,908
77,500 PG&E Corp. (O) .................................................. 3,075,975
35,600 PPL Corp. ....................................................... 1,860,812
42,400 Progress Energy, Inc. ........................................... 1,773,592
94,300 Public Service Enterprise
Group, Inc. ..................................................... 4,331,199
18,700 Questar Corp. ................................................... 1,328,448
51,000 Sempra Energy ................................................... 2,878,950
107,600 Southern Co. .................................................... 3,757,392
117,300 Xcel Energy, Inc. (O)............................................ 2,354,211
------------
58,417,223
------------
TOTAL COMMON STOCKS
(Cost $839,906,749) ............................................. 898,353,452
INVESTMENT COMPANIES - 2.42%
- --------------------------------------------------------------------------------------------------
163,900 SPDR Trust Series 1 ETF (O) ..................................... 20,975,922
1,564,813 SSgA Prime Money Market
Fund ............................................................ 1,564,813
------------
TOTAL INVESTMENT COMPANIES
(Cost $22,718,364) .............................................. 22,540,735
COLLATERAL FOR SECURITIES ON LOAN - 4.49%
- --------------------------------------------------------------------------------------------------
41,897,052 State Street Navigator Securities
Lending Prime Portfolio (I)...................................... 41,897,052
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $41,897,052) .............................................. 41,897,052
TOTAL INVESTMENTS - 103.17%
- --------------------------------------------------------------------------------------------------
(Cost $904,522,165**).......................................................... 962,791,239
NET OTHER ASSETS AND LIABILITIES - (3.17)%
- --------------------------------------------------------------------------------------------------
(29,541,644)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$933,249,595
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $904,717,157.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
ETF Exchange Traded Fund.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report'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.
- --------------------------------------------------------------------------------
45
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Information Technology 32%
Health Care 14%
Energy 13%
Industrials 11%
Consumer Staples 10%
Consumer Discretionary 7%
Materials 6%
Financials 4%
Cash and Other Net Assets 1%
Telecommunication Services 1%
Utilities 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.86%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 7.20%
27,200 Amazon.com, Inc. * .............................................. $ 1,994,576
18,200 Coach, Inc. *.................................................... 525,616
94,200 Harley-Davidson, Inc. (O) ....................................... 3,415,692
131,000 Kohl's Corp. * .................................................. 5,245,240
132,300 Lamar Advertising Co.,
Class A (O)*..................................................... 4,766,769
94,500 McDonald's Corp. ................................................ 5,312,790
73,300 News Corp., Class A ............................................. 1,102,432
71,400 Nordstrom, Inc. (O) ............................................. 2,163,420
105,400 Omnicom Group, Inc. ............................................. 4,730,352
55,300 Polo Ralph Lauren Corp. (O) ..................................... 3,471,734
164,500 Staples, Inc. ................................................... 3,906,875
35,300 Starwood Hotels & Resorts
Worldwide, Inc. ................................................. 1,414,471
110,300 Tiffany & Co. (O) ............................................... 4,494,725
------------
42,544,692
------------
CONSUMER STAPLES - 10.24%
35,500 Archer-Daniels-Midland Co. ...................................... 1,198,125
256,400 Coca-Cola Co./The ............................................... 13,327,672
173,100 Colgate-Palmolive Co............................................. 11,961,210
89,200 Costco Wholesale Corp. .......................................... 6,256,488
53,400 Molson Coors Brewing Co.,
Class B ......................................................... 2,901,222
216,800 Philip Morris
International, Inc. ............................................. 10,707,752
79,700 Walgreen Co. .................................................... 2,591,047
205,200 Wal-Mart Stores, Inc. ........................................... 11,532,240
------------
60,475,756
------------
ENERGY - 12.94%
18,300 Cabot Oil & Gas Corp. ........................................... 1,239,459
57,400 Cameron International
Corp. *.......................................................... 3,177,090
16,500 Consol Energy, Inc. ............................................. 1,854,105
17,700 Diamond Offshore Drilling,
Inc. (O) ........................................................ 2,462,778
15,900 EOG Resources, Inc. ............................................. 2,086,080
69,700 Exxon Mobil Corp. ............................................... 6,142,661
83,000 Halliburton Co. ................................................. 4,404,810
32,800 National Oilwell Varco, Inc. *................................... 2,910,016
48,100 Noble Corp. ..................................................... 3,124,576
68,800 Occidental Petroleum Corp. ...................................... 6,182,368
66,900 Peabody Energy Corp. (O) ........................................ 5,890,545
16,300 Quicksilver Resources,
Inc. (O)* ....................................................... 629,832
18,400 Range Resources Corp. ........................................... 1,205,936
131,900 Schlumberger, Ltd. .............................................. 14,170,017
36,200 Southwestern Energy Co. *........................................ 1,723,482
32,161 Transocean, Inc. ................................................ 4,901,015
148,300 Valero Energy Corp. ............................................. 6,106,994
100,800 Weatherford International,
Ltd. * .......................................................... 4,998,672
47,266 XTO Energy, Inc. ................................................ 3,238,193
------------
76,448,629
------------
FINANCIALS - 4.03%
55,700 Aflac, Inc. ..................................................... 3,497,960
82,100 American Capital Strategies,
Ltd. (O) ........................................................ 1,951,517
73,200 American Express Co. ............................................ 2,757,444
13,700 BlackRock, Inc. (O) ............................................. 2,424,900
81,700 Blackstone Group L.P./The (O) 1,487,757
63,200 Federal Home Loan Mortgage
Corp. ........................................................... 1,036,480
9,900 Goldman Sachs Group,
Inc./The......................................................... 1,731,510
17,200 IntercontinentalExchange,
Inc. * .......................................................... 1,960,800
161,700 Janus Capital Group, Inc. (O) ................................... 4,280,199
22,100 Jones Lang LaSalle, Inc. (O) .................................... 1,330,199
5,200 Mastercard, Inc., Class A (O) ................................... 1,380,704
------------
23,839,470
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
46
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE - 14.34%
107,700 Abbott Laboratories ............................................. $ 5,704,869
25,300 Baxter International, Inc. ...................................... 1,617,682
107,000 Bristol-Myers Squibb Co. ........................................ 2,196,710
46,500 Celgene Corp. * ................................................. 2,969,955
20,700 Covance, Inc. * ................................................. 1,780,614
92,600 Express Scripts, Inc. * ......................................... 5,807,872
138,900 Genentech, Inc. * ............................................... 10,542,510
71,900 Gen-Probe, Inc. * ............................................... 3,413,812
77,700 Gilead Sciences, Inc. * ......................................... 4,114,215
84,800 Health Net, Inc. * .............................................. 2,040,288
161,700 Hologic, Inc. (O)*............................................... 3,525,060
3,200 Intuitive Surgical, Inc. * ...................................... 862,080
114,400 Johnson & Johnson................................................ 7,360,496
63,000 KV Pharmaceutical Co.,
Class A (O)*..................................................... 1,217,790
115,099 Medtronic, Inc. ................................................. 5,956,373
64,900 Merck & Co., Inc. ............................................... 2,446,081
506,881 Schering-Plough Corp. ........................................... 9,980,487
28,100 Stryker Corp. ................................................... 1,766,928
92,700 Vertex Pharmaceuticals,
Inc. (O)* ....................................................... 3,102,669
153,673 Wyeth ........................................................... 7,370,157
13,900 Zimmer Holdings, Inc. * ......................................... 945,895
------------
84,722,543
------------
INDUSTRIALS - 11.18%
62,800 3M Co. .......................................................... 4,370,252
34,800 Boeing Co. ...................................................... 2,287,056
28,700 Burlington Northern Santa Fe
Corp. ........................................................... 2,866,843
81,500 Caterpillar, Inc. (O) ........................................... 6,016,330
35,000 CH Robinson Worldwide, Inc. ..................................... 1,919,400
35,700 Chicago Bridge & Iron Co.
N.V. ............................................................ 1,421,574
23,600 CSX Corp. ....................................................... 1,482,316
43,800 Deere & Co. ..................................................... 3,159,294
106,300 Emerson Electric Co. ............................................ 5,256,535
38,000 Expeditors International of
Washington, Inc. ................................................ 1,634,000
15,400 Flowserve Corp. ................................................. 2,105,180
276,500 General Electric Co. ............................................ 7,379,785
66,900 Honeywell International, Inc. ................................... 3,363,732
40,100 Joy Global, Inc. ................................................ 3,040,783
29,000 Manitowoc Co., Inc./The.......... .............................. 943,370
37,800 McDermott International, Inc. * ................................. 2,339,442
15,300 Precision Castparts Corp. ....................................... 1,474,461
123,900 Quanta Services, Inc. (O)*....................................... 4,122,153
55,900 Union Pacific Corp. ............................................. 4,220,450
80,800 United Parcel Service, Inc.,
Class B ......................................................... 4,966,776
20,700 WW Grainger, Inc. ............................................... 1,693,260
------------
66,062,992
------------
INFORMATION TECHNOLOGY - 31.72%
53,600 Accenture, Ltd., Class A ........................................ 2,182,592
121,300 Affiliated Computer Services,
Inc., Class A * ................................................. 6,488,337
25,500 Akamai Technologies, Inc. * ..................................... 887,145
95,400 Altera Corp. .................................................... 1,974,780
79,400 Apple, Inc. *.................................................... 13,294,736
114,300 Applied Materials, Inc. ......................................... 2,181,987
794,000 Cisco Systems, Inc. *............................................ 18,468,440
77,300 Citrix Systems, Inc. *........................................... 2,273,393
58,800 Cognizant Technology Solutions
Corp., Class A * ................................................ 1,911,588
149,900 Corning, Inc. ................................................... 3,455,195
174,300 Dell, Inc. *..................................................... 3,813,684
96,600 eBay, Inc. * .................................................... 2,640,078
157,100 EMC Corp./Massachusetts * ....................................... 2,307,799
10,900 First Solar, Inc. *.............................................. 2,973,738
33,300 Google, Inc., Class A *.......................................... 17,529,786
177,700 Hewlett-Packard Co. ............................................. 7,856,117
703,400 Intel Corp. ..................................................... 15,109,032
132,400 International Business Machines
Corp. ........................................................... 15,693,372
58,000 Kla-Tencor Corp. (O) ............................................ 2,361,180
217,400 Maxim Integrated Products,
Inc. ............................................................ 4,598,010
164,200 Microchip Technology,
Inc. (O) ........................................................ 5,014,668
707,800 Microsoft Corp. ................................................. 19,471,578
64,400 Novellus Systems, Inc. (O)* ..................................... 1,364,636
73,300 Nuance Communication,
Inc. * .......................................................... 1,148,611
387,600 Oracle Corp. * .................................................. 8,139,600
175,600 QUALCOMM, Inc. .................................................. 7,791,372
8,700 Research in Motion, Ltd. * ...................................... 1,017,030
17,400 Salesforce.com, Inc. *........................................... 1,187,202
56,500 SanDisk Corp. *.................................................. 1,056,550
125,000 Texas Instruments, Inc. ......................................... 3,520,000
76,400 Varian Semiconductor Equipment
Associates, Inc. (O)* ........................................... 2,660,248
44,900 Visa, Inc., Class A * ........................................... 3,650,819
163,200 Yahoo!, Inc. * .................................................. 3,371,712
------------
187,395,015
------------
MATERIALS - 5.59%
57,800 Alcoa, Inc. ..................................................... 2,058,836
73,800 Freeport-McMoRan
Copper & Gold, Inc. ............................................. 8,648,622
48,000 Monsanto Co...................................................... 6,069,120
14,200 Mosaic Co./The *................................................. 2,054,740
99,000 Nucor Corp. ..................................................... 7,392,330
72,200 Praxair, Inc. ................................................... 6,804,128
------------
33,027,776
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
47
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 0.65%
74,100 NII Holdings, Inc. * ............................................ $ 3,519,009
6,800 Telephone & Data Systems,
Inc. ............................................................ 321,436
------------
3,840,445
------------
UTILITIES - 0.97%
32,400 Exelon Corp. .................................................... 2,914,704
32,700 Sempra Energy ................................................... 1,845,915
17,500 Veolia Environment, ADR ......................................... 977,375
------------
5,737,994
------------
TOTAL COMMON STOCKS
(Cost $530,193,241) ............................................. 584,095,312
INVESTMENT COMPANIES - 1.90%
- --------------------------------------------------------------------------------------------------
68,900 Powershares QQQ ETF (O) ......................................... 3,112,213
8,099,446 SSgA Prime Money Market
Fund ............................................................ 8,099,446
------------
TOTAL INVESTMENT COMPANIES
(Cost $11,308,084) .............................................. 11,211,659
COLLATERAL FOR SECURITIES ON LOAN - 7.91%
- --------------------------------------------------------------------------------------------------
46,733,388 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... 46,733,388
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $46,733,388) .............................................. 46,733,388
TOTAL INVESTMENTS - 108.67%
- --------------------------------------------------------------------------------------------------
(Cost $588,234,713**) ......................................................... $642,040,359
NET OTHER ASSETS AND LIABILITIES - (8.67)%
- --------------------------------------------------------------------------------------------------
(51,249,971)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$590,790,388
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $591,821,848.
(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.
- --------------------------------------------------------------------------------
48
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Financials 25%
Utilities 12%
Consumer Discretionary 11%
Industrials 11%
Consumer Staples 8%
Energy 8%
Information Technology 8%
Materials 8%
Health Care 5%
Cash and Other Net Assets 3%
Telecommunication Services 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.63%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.90%
17,400 Arbitron, Inc. (O) ............................................. $ 826,500
14,900 Autoliv, Inc. .................................................. 694,638
12,000 BorgWarner, Inc. ............................................... 532,560
34,200 Carnival Corp. ................................................. 1,127,232
53,000 Cato Corp./The, Class A (O) .................................... 754,720
32,300 CBS Corp. ...................................................... 629,527
17,800 CEC Entertainment, Inc. (O)* 498,578
78,100 Eastman Kodak Co. (O) .......................................... 1,126,983
28,100 EW Scripps Co., Class A (O) .................................... 1,167,274
148,420 Ford Motor Co. (O)* ............................................ 713,900
25,800 Fortune Brands, Inc. ........................................... 1,610,178
14,150 Gannett Co., Inc. (O) .......................................... 306,631
51,900 Gap, Inc./The .................................................. 865,173
24,900 Genuine Parts Co................................................ 988,032
61,400 Hibbett Sports, Inc. (O)*....................................... 1,295,540
167,700 Interpublic Group of Cos.,
Inc. * ......................................................... 1,442,220
32,300 KB Home (O)..................................................... 546,839
31,600 Lamar Advertising Co.,
Class A *....................................................... 1,138,548
21,200 Liberty Global, Inc.,
Series A (O)* .................................................. 666,316
71,300 Mattel, Inc. ................................................... 1,220,656
14,900 Matthews International Corp.,
Class A (O)..................................................... 674,374
51,800 Modine Manufacturing Co. (O) 640,766
34,500 Nordstrom, Inc. ................................................ 1,045,350
66,600 O'Reilly Automotive, Inc. (O)* 1,488,510
61,900 Pulte Homes, Inc. (O)........................................... 596,097
67,300 Saks, Inc. (O)* ................................................ 738,954
35,400 Sonic Corp. (O)*................................................ 523,920
81,900 Stage Stores, Inc. (O) ......................................... 955,773
44,700 Tempur-Pedic International,
Inc. (O) ....................................................... 349,107
55,000 TJX Cos., Inc. ................................................. 1,730,850
35,400 Valassis Communications,
Inc. (O)* ...................................................... 443,208
12,700 VF Corp. ....................................................... 903,986
81,100 Virgin Media, Inc. (O).......................................... 1,103,771
------------
29,346,711
------------
CONSUMER STAPLES - 8.06%
24,000 Bunge, Ltd. (O)................................................. 2,584,560
48,200 Casey's General Stores,
Inc. (O) ....................................................... 1,116,794
16,400 Clorox Co. ..................................................... 856,080
65,900 ConAgra Foods, Inc. ............................................ 1,270,552
58,800 Constellation Brands, Inc.,
Class A *....................................................... 1,167,768
23,800 Costco Wholesale Corp. ......................................... 1,669,332
22,000 CVS/Caremark Corp. ............................................. 870,540
12,700 Energizer Holdings, Inc. * ..................................... 928,243
23,300 Herbalife, Ltd. (O)............................................. 902,875
32,800 HJ Heinz Co. (O) ............................................... 1,569,480
27,100 Hormel Foods Corp. (O).......................................... 937,931
28,200 Lance, Inc. (O) ................................................ 529,314
23,900 Lorillard, Inc. *............................................... 1,652,924
44,500 Molson Coors Brewing Co.,
Class B ........................................................ 2,417,685
49,400 Safeway, Inc. .................................................. 1,410,370
72,700 Sara Lee Corp. ................................................. 890,575
16,800 UST, Inc. (O)................................................... 917,448
------------
21,692,471
------------
ENERGY - 8.19%
54,300 BJ Services Co. ................................................ 1,734,342
23,700 Chesapeake Energy Corp. (O) .................................... 1,563,252
32,700 Forest Oil Corp. (O)*........................................... 2,436,150
8,500 Hess Corp. ..................................................... 1,072,615
67,600 Nabors Industries, Ltd. (O)*.................................... 3,327,948
21,200 Newfield Exploration Co. *...................................... 1,383,300
30,800 Noble Energy, Inc. ............................................. 3,097,248
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
49
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
7,100 Overseas Shipholding Group,
Inc. (O) ........................................................ $ 564,592
19,500 Plains Exploration & Production
Co. (O)*......................................................... 1,422,915
24,100 Rowan Cos., Inc. (O) ............................................ 1,126,675
23,400 St. Mary Land & Exploration
Co. (O).......................................................... 1,512,576
31,700 Tesoro Corp. .................................................... 626,709
9,700 Whiting Petroleum Corp. * ....................................... 1,028,976
28,800 Williams Cos., Inc. ............................................. 1,160,928
------------
22,058,226
------------
FINANCIALS - 25.49%
14,000 AMB Property Corp., REIT ........................................ 705,320
80,800 American Capital Strategies,
Ltd. (O) ........................................................ 1,920,616
116,500 Annaly Capital Management,
Inc., REIT ...................................................... 1,806,915
74,600 AON Corp. ....................................................... 3,427,124
28,700 Arch Capital Group, Ltd. * ...................................... 1,903,384
64,099 Ares Capital Corp. (O)........................................... 646,118
36,900 Asset Acceptance Capital
Corp. (O)........................................................ 450,918
53,876 Associated Banc-Corp. (O) ....................................... 1,039,268
35,700 Assurant, Inc. .................................................. 2,354,772
40,500 Assured Guaranty, Ltd. (O) ...................................... 728,595
22,700 AvalonBay Communities, Inc.,
REIT (O) ........................................................ 2,023,932
59,700 Axis Capital Holdings, Ltd. ..................................... 1,779,657
13,300 BlackRock, Inc. (O) ............................................. 2,354,100
23,800 Boston Properties, Inc., REIT ................................... 2,147,236
67,900 CIT Group, Inc. (O) ............................................. 462,399
19,000 Credit Acceptance Corp. (O)* .................................... 485,640
35,650 Delphi Financial Group, Inc.,
Class A (O)...................................................... 824,941
32,200 Discover Financial Services...................................... 424,074
50,300 Equity Residential, REIT......................................... 1,924,981
15,500 Everest Re Group, Ltd............................................ 1,235,505
21,800 Financial Federal Corp. (O)...................................... 478,728
10,900 First Midwest Bancorp,
Inc./IL (O)...................................................... 203,285
53,700 Hudson City Bancorp, Inc. ....................................... 895,716
26,750 International Bancshares
Corp. (O)........................................................ 571,648
15,800 IPC Holdings, Ltd................................................ 419,490
50,900 JPMorgan Chase & Co. ............................................ 1,746,379
85,500 Keycorp ......................................................... 938,790
31,000 Kimco Realty Corp., REIT ........................................ 1,070,120
30,500 Legg Mason, Inc. ................................................ 1,328,885
49,800 Lehman Brothers Holdings,
Inc. ............................................................ 986,538
13,800 Leucadia National Corp. ......................................... 647,772
24,400 M&T Bank Corp. (O) .............................................. 1,721,176
37,100 Marsh & McLennan Cos., Inc. ..................................... 985,005
68,698 Marshall & Ilsley Corp. (O) ..................................... 1,053,140
13,600 MB Financial, Inc. (O)........................................... 305,592
21,238 NewAlliance Bancshares,
Inc. (O) ........................................................ 265,050
53,800 People's United Financial, Inc. 839,280
21,900 Platinum Underwriters
Holdings, Ltd. .................................................. 714,159
51,600 Principal Financial Group,
Inc. ............................................................ 2,165,652
44,300 Progressive Corp./The ........................................... 829,296
31,100 Prologis, REIT .................................................. 1,690,285
6,500 PS Business Parks, Inc., REIT ................................... 335,400
24,100 Public Storage, REIT ............................................ 1,947,039
85,701 RAIT Investment Trust,
REIT (O) ........................................................ 635,901
37,200 Realty Income Corp.,
REIT (O) ........................................................ 846,672
48,500 Regions Financial Corp. ......................................... 529,135
22,000 Reinsurance Group of America,
Inc. (O) ........................................................ 957,440
13,800 Simon Property Group, Inc.,
REIT ............................................................ 1,240,482
18,400 SL Green Realty Corp., REIT ..................................... 1,522,048
53,600 Sovereign Bancorp, Inc. (O) ..................................... 394,496
31,600 Torchmark Corp. ................................................. 1,853,340
106,000 Unum Group ...................................................... 2,167,700
41,200 U-Store-It Trust, REIT (O) ...................................... 492,340
10,700 Ventas, Inc., REIT .............................................. 455,499
31,100 Vornado Realty Trust, REIT ...................................... 2,736,800
31,900 Webster Financial Corp. (O) ..................................... 593,340
9,400 Westamerica
Bancorporation (O) .............................................. 494,346
69,900 WR Berkley Corp. ................................................ 1,688,784
14,900 XL Capital, Ltd., Class A ....................................... 306,344
29,700 Zions Bancorporation (O) ........................................ 935,253
------------
68,633,840
------------
HEALTH CARE - 5.43%
30,300 AmerisourceBergen Corp. ......................................... 1,211,697
27,900 Amsurg Corp. (O)* ............................................... 679,365
33,000 Applera Corp. - Applied
Biosystems Group ................................................ 1,104,840
39,500 Centene Corp. * ................................................. 663,205
7,600 Charles River Laboratories
International, Inc. (O)* ........................................ 485,792
36,000 Coventry Health Care, Inc. * .................................... 1,095,120
43,000 Health Net, Inc. * .............................................. 1,034,580
94,300 Hologic, Inc. (O)* .............................................. 2,055,740
27,900 Invitrogen Corp. (O)* ........................................... 1,095,354
30,500 Orthofix International
N.V. (O)* ....................................................... 882,975
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
50
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
96,919 Schering-Plough Corp. ........................................... $ 1,908,335
79,800 Universal American
Corp./NY (O)* ................................................... 815,556
33,100 Wyeth ........................................................... 1,587,476
------------
14,620,035
------------
INDUSTRIALS - 10.52%
61,600 ACCO Brands Corp. (O)* .......................................... 691,768
16,300 Acuity Brands, Inc. (O) ......................................... 783,704
102,100 Airtran Holdings, Inc. (O)* ..................................... 208,284
24,300 Albany International Corp.,
Class A (O) ..................................................... 704,700
59,000 Allied Waste Industries, Inc. * ................................. 744,580
50,025 Belden, Inc. (O) ................................................ 1,694,847
57,500 Carlisle Cos., Inc. (O) ......................................... 1,667,500
29,700 Cooper Industries, Ltd.,
Class A ......................................................... 1,173,150
32,400 Diana Shipping, Inc. (O) ........................................ 995,004
22,300 Dover Corp. ..................................................... 1,078,651
16,100 Eaton Corp. ..................................................... 1,368,017
17,600 ESCO Technologies, Inc. (O)* .................................... 825,792
14,200 GATX Corp. (O)................................................... 629,486
13,987 Genesee & Wyoming, Inc.,
Class A (O)* .................................................... 475,838
20,200 Graco, Inc. (O) ................................................. 769,014
57,200 Ingersoll-Rand Co., Ltd.,
Class A ......................................................... 2,140,996
21,200 ITT Corp. ....................................................... 1,342,596
25,600 KBR, Inc. ....................................................... 893,696
13,900 L-3 Communications Holdings,
Inc. ............................................................ 1,263,093
37,900 Mueller Industries, Inc. (O) .................................... 1,220,380
17,800 Norfolk Southern Corp. .......................................... 1,115,526
15,300 Parker Hannifin Corp. ........................................... 1,091,196
30,200 RR Donnelley & Sons Co. ......................................... 896,638
18,100 Simpson Manufacturing Co.,
Inc. (O) ........................................................ 429,694
108,900 Southwest Airlines Co............................................ 1,420,056
15,100 Terex Corp. * ................................................... 775,687
22,500 United Stationers, Inc. (O)* .................................... 831,375
13,200 WW Grainger, Inc. ............................................... 1,079,760
------------
28,311,028
------------
INFORMATION TECHNOLOGY - 7.62%
28,400 Affiliated Computer Services,
Inc., Class A * ................................................. 1,519,116
53,900 Arrow Electronics, Inc. * ....................................... 1,655,808
93,300 Brocade Communications
Systems, Inc. * ................................................. 768,792
51,600 CA, Inc. ........................................................ 1,191,444
39,100 Computer Sciences Corp. * ....................................... 1,831,444
12,400 Diebold, Inc. (O) ............................................... 441,192
32,400 Electronics for Imaging,
Inc. * .......................................................... 473,040
27,600 Intersil Corp., Class A ......................................... 671,232
68,800 Maxim Integrated Products,
Inc. ............................................................ 1,455,120
22,300 MAXIMUS, Inc. ................................................... 776,486
134,200 Micron Technology, Inc. (O)* .................................... 805,200
37,100 Molex, Inc. (O) ................................................. 905,611
49,500 NAM TAI Electronics, Inc. ....................................... 647,460
32,100 Novellus Systems, Inc. * ........................................ 680,199
41,700 SanDisk Corp. *.................................................. 779,790
52,200 Seagate Technology............................................... 998,586
78,800 Sun Microsystems, Inc. * ........................................ 857,344
36,200 Synopsys, Inc. *................................................. 865,542
19,100 Teradata Corp. * ................................................ 441,974
38,100 Websense, Inc. (O)* ............................................. 641,604
105,400 Xerox Corp. ..................................................... 1,429,224
39,900 Xyratex, Ltd. * ................................................. 664,335
------------
20,500,543
------------
MATERIALS - 7.57%
11,600 Air Products & Chemicals, Inc. .................................. 1,146,776
31,000 Alcoa, Inc. ..................................................... 1,104,220
11,900 Aptargroup, Inc. ................................................ 499,205
38,200 Celanese Corp., Series A ........................................ 1,744,212
5,700 Compass Minerals International,
Inc. ............................................................ 459,192
11,900 Deltic Timber Corp. (O) ......................................... 636,769
25,000 Ecolab, Inc. .................................................... 1,074,750
25,300 EI Du Pont de Nemours
& Co. ........................................................... 1,085,117
20,265 Freeport-McMoRan Copper
& Gold, Inc. .................................................... 2,374,855
9,800 Mosaic Co./The * ................................................ 1,418,060
34,400 Nucor Corp. ..................................................... 2,568,648
27,000 Owens-Illinois, Inc. * .......................................... 1,125,630
20,300 Reliance Steel & Aluminum
Co. .............................................................. 1,564,927
23,300 Sigma-Aldrich Corp. ............................................. 1,254,938
5,800 United States Steel Corp. ....................................... 1,071,724
24,500 Weyerhaeuser Co. ................................................ 1,252,930
------------
20,381,953
------------
TELECOMMUNICATION SERVICES - 1.21%
11,000 Crown Castle International
Corp. * ......................................................... 426,030
18,300 Embarq Corp. .................................................... 865,041
11,700 NII Holdings, Inc. * ............................................ 555,633
107,100 Qwest Communications
International, Inc. (O) ......................................... 420,903
14,300 Telephone & Data Systems,
Inc. ............................................................ 675,961
26,300 Windstream Corp. (O) ............................................ 324,542
------------
3,268,110
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
51
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES - 11.64%
35,300 Ameren Corp. .................................................... $ 1,490,719
78,000 American Electric Power Co.,
Inc. ............................................................ 3,137,940
14,800 Atmos Energy Corp. .............................................. 408,036
10,700 Constellation Energy Group,
Inc. ............................................................ 878,470
60,300 Edison International............................................. 3,098,214
9,200 Entergy Corp. ................................................... 1,108,416
14,700 New Jersey Resources Corp. (O) .................................. 479,955
35,000 NRG Energy, Inc. * .............................................. 1,501,500
55,000 NSTAR ........................................................... 1,860,100
37,200 Oneok, Inc. ..................................................... 1,816,476
68,900 PG&E Corp. ...................................................... 2,734,641
53,100 Progress Energy, Inc. ........................................... 2,221,173
31,600 Questar Corp. ................................................... 2,244,864
50,300 Sempra Energy ................................................... 2,839,435
26,200 UGI Corp. ....................................................... 752,202
29,400 Westar Energy, Inc. (O) ......................................... 632,394
13,400 WGL Holdings, Inc. (O) .......................................... 465,516
33,300 Wisconsin Energy Corp. .......................................... 1,505,826
107,200 Xcel Energy, Inc. (O) ........................................... 2,151,504
------------
31,327,381
------------
TOTAL COMMON STOCKS
(Cost $263,029,006) ............................................. 260,140,298
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 0.16%
- --------------------------------------------------------------------------------------------------
$420,947 State Street Eurodollar
0.400%, due 07/01/08 ............................................ 420,947
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $420,947) ................................................. 420,947
Shares
- ------
INVESTMENT COMPANY - 4.51%
- --------------------------------------------------------------------------------------------------
12,159,343 SSgA Prime Money
Market Fund ..................................................... 12,159,343
------------
TOTAL INVESTMENT COMPANY
(Cost $12,159,343) .............................................. 12,159,343
COLLATERAL FOR SECURITIES ON LOAN - 22.79%
- --------------------------------------------------------------------------------------------------
61,343,882 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... 61,343,882
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $61,343,882) .............................................. 61,343,882
TOTAL INVESTMENTS - 124.09%
- --------------------------------------------------------------------------------------------------
(Cost $336,953,178**) .......................................................... 334,064,470
NET OTHER ASSETS AND LIABILITIES - (24.09)%
- --------------------------------------------------------------------------------------------------
(64,855,371)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$269,209,099
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $339,642,435.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report'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.
- --------------------------------------------------------------------------------
52
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Information Technology 19%
Energy 18%
Industrials 18%
Consumer Discretionary 14%
Health Care 13%
Materials 6%
Financials 5%
Consumer Staples 4%
Telecommunication Services 2%
Cash & Other Net Assets 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.93%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 13.82%
78,000 Aeropostale, Inc. (O)*........................................... $ 2,443,740
42,300 Buckle, Inc./The ................................................ 1,934,379
275,100 Carter's, Inc. (O)*.............................................. 3,801,882
79,300 Darden Restaurants, Inc. (O).. 2,532,842
76,200 Guess ?, Inc. (O) ............................................... 2,853,690
196,700 Gymboree Corp. (O)* ............................................. 7,881,769
150,100 JOS A Bank Clothiers,
Inc. (O)* ....................................................... 4,015,175
133,900 O'Reilly Automotive, Inc. (O)* 2,992,665
30,900 priceline.com, Inc. (O)*......................................... 3,567,714
167,000 Sotheby's (O).................................................... 4,403,790
123,782 Steiner Leisure, Ltd. (O)* ...................................... 3,509,220
120,800 True Religion Apparel,
Inc. (O)* ....................................................... 3,219,320
43,700 Volcom, Inc. (O)* ............................................... 1,045,741
------------
44,201,927
------------
CONSUMER STAPLES - 3.96%
87,700 Avon Products, Inc. ............................................. 3,158,954
36,200 Hansen Natural Corp. (O)* ....................................... 1,043,284
132,700 Herbalife, Ltd. (O).............................................. 5,142,125
107,600 SUPERVALU, Inc. ................................................. 3,323,764
------------
12,668,127
------------
ENERGY - 18.49%
55,500 Atwood Oceanics, Inc. * ......................................... 6,900,870
37,000 Helmerich & Payne, Inc. ......................................... 2,664,740
184,000 Hercules Offshore, Inc. * ....................................... 6,995,680
88,500 National Oilwell Varco, Inc. * .................................. 7,851,720
123,500 Noble Corp. ..................................................... 8,022,560
87,100 Noble Energy, Inc. .............................................. 8,758,776
152,600 St. Mary Land & Exploration
Co. (O) ......................................................... 9,864,064
82,400 Ultra Petroleum Corp. (O)* ...................................... 8,091,680
------------
59,150,090
------------
FINANCIALS - 5.36%
238,700 Assured Guaranty, Ltd. (O) ...................................... 4,294,213
559,800 Huntington Bancshares,
Inc./OH (O) ..................................................... 3,230,046
278,200 Invesco, Ltd. (O) ............................................... 6,671,236
238,600 MBIA, Inc. (O) .................................................. 1,047,454
78,700 WR Berkley Corp. ................................................ 1,901,392
------------
17,144,341
------------
HEALTH CARE - 12.65%
53,300 Beckman Coulter, Inc. ........................................... 3,599,349
79,500 Cephalon, Inc. (O)* ............................................. 5,301,855
197,900 Coventry Health Care, Inc. * .................................... 6,020,118
144,000 Health Net, Inc. * .............................................. 3,464,640
82,400 Hospira, Inc. (O)* .............................................. 3,305,064
123,300 Invitrogen Corp. (O)* ........................................... 4,840,758
166,200 Psychiatric Solutions,
Inc. (O)* ....................................................... 6,289,008
63,400 St. Jude Medical, Inc. * ........................................ 2,591,792
78,100 Waters Corp. * .................................................. 5,037,450
------------
40,450,034
------------
INDUSTRIALS - 17.88%
88,500 Carlisle Cos., Inc. (O) ......................................... 2,566,500
21,600 DryShips, Inc. (O) .............................................. 1,731,888
59,700 Foster Wheeler, Ltd. * .......................................... 4,367,055
156,200 Graco, Inc. (O) ................................................. 5,946,534
276,054 Herman Miller, Inc. (O) ......................................... 6,870,984
161,200 HUB Group, Inc., Class A * ...................................... 5,501,756
143,625 Manpower, Inc. (O)............................................... 8,364,720
136,300 Oshkosh Corp. ................................................... 2,820,047
33,700 PACCAR, Inc. .................................................... 1,409,671
37,900 Precision Castparts Corp. ....................................... 3,652,423
137,300 Terex Corp. * ................................................... 7,053,101
182,400 Thomas & Betts Corp. (O)* ....................................... 6,903,840
------------
57,188,519
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
53
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 18.91%
147,600 Akamai Technologies, Inc. * ..................................... $ 5,135,004
94,700 Amphenol Corp., Class A ......................................... 4,250,136
126,270 Autodesk, Inc. * ................................................ 4,269,189
160,700 BMC Software, Inc. (O)* ......................................... 5,785,200
155,100 Cognizant Technology Solutions
Corp., Class A * ................................................ 5,042,301
84,100 Flir Systems, Inc. (O)* ......................................... 3,411,937
384,740 Foundry Networks, Inc. * ........................................ 4,547,627
103,600 Lam Research Corp. (O)* ......................................... 3,745,140
210,100 NetApp, Inc. (O)* ............................................... 4,550,766
401,900 Perot Systems Corp.,
Class A (O)* .................................................... 6,032,519
215,500 Polycom, Inc. (O)* .............................................. 5,249,580
99,150 Varian Semiconductor Equipment
Associates, Inc. (O)* ........................................... 3,452,403
202,900 Western Union Co./The ........................................... 5,015,688
------------
60,487,490
------------
MATERIALS - 5.94%
68,400 Agrium, Inc. .................................................... 7,355,736
22,000 Cleveland-Cliffs, Inc. (O) ...................................... 2,622,180
36,200 Teck Cominco, Ltd., Class B ..................................... 1,735,790
59,200 Terra Industries, Inc. .......................................... 2,921,520
264,300 Yamana Gold, Inc. ............................................... 4,371,522
------------
19,006,748
------------
TELECOMMUNICATION SERVICES - 1.92%
129,600 NII Holdings, Inc. * ............................................ 6,154,704
------------
TOTAL COMMON STOCKS
(Cost $317,784,965) ............................................. 316,451,980
INVESTMENT COMPANY - 1.35%
- --------------------------------------------------------------------------------------------------
4,317,390 SSgA Prime Money
Market Fund ..................................................... 4,317,390
------------
TOTAL INVESTMENT COMPANY
(Cost $4,317,390) ............................................... 4,317,390
COLLATERAL FOR SECURITIES ON LOAN - 26.80%
- --------------------------------------------------------------------------------------------------
85,710,287 State Street Navigator Securities Lending
Prime Portfolio (I) ............................................. 85,710,287
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $85,710,287) .............................................. 85,710,287
TOTAL INVESTMENTS - 127.08%
- --------------------------------------------------------------------------------------------------
(Cost $407,812,642**) ......................................................... 406,479,657
NET OTHER ASSETS AND LIABILITIES - (27.08)%
- --------------------------------------------------------------------------------------------------
(86,606,306)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$319,873,351
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $421,480,571.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
54
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Industrials 23%
Financials 22%
Consumer Discretionary 16%
Health Care 8%
Energy 7%
Information Technology 7%
Consumer Staples 5%
Cash and Other Net Assets 4%
Materials 4%
Utilities 4%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.22%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 16.37%
2,400 Arbitron, Inc. .................................................. $ 114,000
7,700 Cato Corp./The, Class A ......................................... 109,648
2,200 CEC Entertainment, Inc. * ....................................... 61,622
5,200 Helen of Troy, Ltd. * ........................................... 83,824
7,900 Hibbett Sports, Inc. *........................................... 166,690
1,900 Matthews International Corp.,
Class A ......................................................... 85,994
5,800 Modine Manufacturing Co. ........................................ 71,746
4,500 Sonic Corp.* .................................................... 66,600
10,500 Stage Stores, Inc. .............................................. 122,535
7,300 Tempur-Pedic International, Inc. ................................ 57,013
2,200 Unifirst Corp./MA ............................................... 98,252
4,000 Valassis Communications, Inc. * ................................. 50,080
------------
1,088,004
------------
CONSUMER STAPLES - 4.91%
5,900 Casey's General Stores, Inc. .................................... 136,703
2,900 Herbalife, Ltd. ................................................. 112,375
4,100 Lance, Inc. ..................................................... 76,957
------------
326,035
------------
ENERGY - 6.96%
4,300 Penn Virginia Corp. ............................................. 324,306
1,300 Whiting Petroleum Corp. * ....................................... 137,904
------------
462,210
------------
FINANCIALS - 22.26%
3,500 Acadia Realty Trust, REIT ....................................... 81,025
2,400 American Campus
Communities, Inc., REIT ......................................... 66,816
8,233 Ares Capital Corp. .............................................. 82,989
6,500 Asset Acceptance Capital Corp. .................................. 79,430
5,300 Assured Guaranty, Ltd. .......................................... 95,347
3,500 Asta Funding, Inc. .............................................. 31,710
3,100 Credit Acceptance Corp. * ....................................... 79,236
5,000 Delphi Financial Group, Inc.,
Class A ......................................................... 115,700
3,200 Financial Federal Corp. ......................................... 70,272
1,800 First Midwest Bancorp, Inc./IL .................................. 33,570
3,390 International Bancshares Corp. .................................. 72,444
2,000 IPC Holdings, Ltd. .............................................. 53,100
1,900 MB Financial, Inc. .............................................. 42,693
2,700 NewAlliance Bancshares, Inc. .................................... 33,696
2,500 Platinum Underwriters
Holdings, Ltd. .................................................. 81,525
1,200 PS Business Parks, Inc., REIT ................................... 61,920
11,300 RAIT Investment Trust, REIT ..................................... 83,846
3,700 Realty Income Corp., REIT ....................................... 84,212
7,300 U-Store-It Trust, REIT .......................................... 87,235
4,000 Webster Financial Corp. ......................................... 74,400
1,300 Westamerica Bancorporation ...................................... 68,367
------------
1,479,533
------------
HEALTH CARE - 7.81%
3,600 Amsurg Corp. * .................................................. 87,660
5,400 Centene Corp. * ................................................. 90,666
1,600 Corvel Corp. * .................................................. 54,192
2,900 ICU Medical, Inc. * ............................................. 66,352
3,900 Orthofix International N.V. * ................................... 112,905
10,500 Universal American Corp./NY * ................................... 107,310
------------
519,085
------------
INDUSTRIALS - 23.07%
8,500 ACCO Brands Corp. * ............................................. 95,455
2,000 Acuity Brands, Inc. ............................................. 96,160
12,100 Airtran Holdings, Inc. * ........................................ 24,684
3,100 Albany International Corp.,
Class A ......................................................... 89,900
6,900 Belden, Inc. .................................................... 233,772
6,300 Bowne & Co., Inc. ............................................... 80,325
7,500 Carlisle Cos., Inc. ............................................. 217,500
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
55
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
4,100 Deswell Industries, Inc. ........................................ $ 23,206
2,200 ESCO Technologies, Inc. * ....................................... 103,224
1,800 Genesee & Wyoming, Inc.,
Class A *........................................................ 61,236
4,700 Mueller Industries, Inc. ........................................ 151,340
2,500 Quixote Corp. ................................................... 20,575
2,700 Simpson Manufacturing Co., Inc. ................................. 64,098
3,300 Sterling Construction Co., Inc. * ............................... 65,538
3,300 United Stationers, Inc. * ....................................... 121,935
5,600 Vitran Corp., Inc. * ............................................ 83,944
------------
1,532,892
------------
INFORMATION TECHNOLOGY - 6.59%
4,500 Electronics for Imaging, Inc. * ................................. 65,700
2,900 MAXIMUS, Inc. ................................................... 100,978
7,700 NAM TAI Electronics, Inc. ....................................... 100,716
5,100 Websense, Inc. * ................................................ 85,884
5,100 Xyratex, Ltd. * ................................................. 84,915
------------
438,193
------------
MATERIALS - 4.45%
1,600 Aptargroup, Inc. ................................................ 67,120
800 Compass Minerals
International, Inc. ............................................. 64,448
1,500 Deltic Timber Corp. ............................................. 80,265
5,650 Zep, Inc. ....................................................... 84,072
------------
295,905
------------
UTILITIES - 3.80%
2,300 Atmos Energy Corp. .............................................. 63,411
1,650 New Jersey Resources Corp. ...................................... 53,872
3,700 Westar Energy, Inc. ............................................. 79,587
1,600 WGL Holdings, Inc. .............................................. 55,584
------------
252,454
------------
TOTAL COMMON STOCKS
(Cost $7,330,901) ............................................... 6,394,311
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 1.51%
- --------------------------------------------------------------------------------------------------
$100,626 State Street Eurodollar
0.400%, due 07/01/08 ............................................ 100,626
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $100,626) ................................................. 100,626
Shares
- ------
INVESTMENT COMPANY - 4.55%
- --------------------------------------------------------------------------------------------------
302,032 SSgA Prime Money
Market Fund ..................................................... 302,032
------------
TOTAL INVESTMENT COMPANY
(Cost $302,032) ................................................. 302,032
------------
TOTAL INVESTMENTS - 102.28%
- --------------------------------------------------------------------------------------------------
(Cost $7,733,559**) ........................................................... 6,796,969
NET OTHER ASSETS AND LIABILITIES - (2.28)%
- --------------------------------------------------------------------------------------------------
(151,688)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$6,645,281
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $7,739,845.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
56
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Industrials 22%
Information Technology 20%
Energy 16%
Health Care 15%
Consumer Discretionary 8%
Cash and Other Net Assets 7%
Financials 5%
Materials 4%
Consumer Staples 1%
Telecommunication Services 1%
Utilities 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 92.77%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 7.94%
400 Abercrombie & Fitch Co.,
Class A ......................................................... $ 25,072
2,000 Cabela's, Inc. * ................................................ 22,020
1,350 California Pizza Kitchen, Inc. * ................................ 15,106
2,400 CKX, Inc. *...................................................... 21,000
900 Columbia Sportswear Co. ......................................... 33,075
600 Deckers Outdoor Corp. *.......................................... 83,520
400 DeVry, Inc. ..................................................... 21,448
900 Dolan Media Co. *................................................ 16,380
1,000 Drew Industries, Inc. * ......................................... 15,950
700 Focus Media Holding, Ltd.,
ADR *............................................................ 19,404
300 GameStop Corp., Class A * ....................................... 12,120
2,200 Great Wolf Resorts, Inc. * ...................................... 9,614
1,300 Hibbett Sports, Inc. * .......................................... 27,430
900 Iconix Brand Group, Inc. * ...................................... 10,872
900 Interactive Data Corp. .......................................... 22,617
1,700 Outdoor Channel Holdings,
Inc. * .......................................................... 11,866
700 Papa John's International,
Inc. * .......................................................... 18,613
900 Scientific Games Corp.,
Class A *........................................................ 26,658
1,000 Urban Outfitters, Inc. *......................................... 31,190
800 Volcom, Inc. * .................................................. 19,144
600 Warnaco Group, Inc./The * ....................................... 26,442
1,800 World Wrestling Entertainment,
Inc., Class A ................................................... 27,846
------------
517,387
------------
CONSUMER STAPLES - 1.03%
200 Central European
Distribution Corp. * ............................................ 14,830
400 Green Mountain Coffee
Roasters, Inc. * ................................................ 15,028
1,100 Reddy Ice Holdings, Inc. ........................................ 15,048
1,400 Winn-Dixie Stores, Inc. * ....................................... 22,428
------------
67,334
------------
ENERGY - 15.83%
200 Arch Coal, Inc. ................................................. 15,006
400 Atwood Oceanics, Inc. * ......................................... 49,736
1,200 Basic Energy Services, Inc. * ................................... 37,800
3,000 Brigham Exploration Co. * ....................................... 47,490
700 Cabot Oil & Gas Corp. ........................................... 47,411
700 Carrizo Oil & Gas, Inc. * ....................................... 47,663
400 Comstock Resources, Inc. * ...................................... 33,772
400 Dawson Geophysical Co. * ........................................ 23,784
500 Delta Petroleum Corp. * ......................................... 12,760
900 Dril-Quip, Inc. * ............................................... 56,700
2,000 EXCO Resources, Inc. *........................................... 73,820
1,300 Hercules Offshore, Inc. *........................................ 49,426
700 IHS, Inc., Class A * ............................................ 48,720
800 ION Geophysical Corp. *.......................................... 13,960
300 Lufkin Industries, Inc. ......................................... 24,984
700 Massey Energy Co................................................. 65,625
900 NATCO Group, Inc., Class A * .................................... 49,077
900 Oceaneering International,
Inc. * .......................................................... 69,345
400 Penn Virginia Corp. ............................................. 30,168
1,600 PetroHawk Energy Corp. * ........................................ 74,096
2,600 Petroquest Energy, Inc. * ....................................... 69,940
600 Superior Energy Services, Inc. * ................................ 33,084
600 W-H Energy Services, Inc. * ..................................... 57,444
------------
1,031,811
------------
FINANCIALS - 4.58%
200 Affiliated Managers Group,
Inc. * .......................................................... 18,012
200 Alexandria Real Estate Equities,
Inc., REIT ...................................................... 19,468
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
57
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
800 American Physicians
Capital, Inc. ................................................... $ 38,752
3,100 GFI Group, Inc. ................................................. 27,931
900 Greenhill & Co., Inc. ........................................... 48,474
800 Mid-America Apartment
Communities, Inc., REIT ......................................... 40,832
700 optionsXpress Holdings, Inc. .................................... 15,638
800 Signature Bank/New York NY * .................................... 20,608
400 SVB Financial Group * ........................................... 19,244
700 Tower Group, Inc. ............................................... 14,833
1,000 Waddell & Reed Financial, Inc.,
Class A ......................................................... 35,010
------------
298,802
------------
HEALTH CARE - 15.41%
800 Acorda Therapeutics, Inc. * ..................................... 26,264
300 Air Methods Corp. *.............................................. 7,500
400 Alexion Pharmaceuticals,
Inc. * .......................................................... 29,000
1,100 Alkermes, Inc. *................................................. 13,596
1,200 AMN Healthcare Services,
Inc. * .......................................................... 20,304
500 Arthrocare Corp. *............................................... 20,405
500 athenahealth, Inc. * ............................................ 15,380
1,200 Bruker Corp. *................................................... 15,420
500 Community Health Systems,
Inc. * .......................................................... 16,490
600 Gen-Probe, Inc. * ............................................... 28,488
1,500 HMS Holdings Corp. *............................................. 32,205
2,000 Hologic, Inc. *.................................................. 43,600
900 Icon PLC, ADR * ................................................. 67,968
800 Immucor, Inc. * ................................................. 20,704
1,200 inVentiv Health, Inc. * ......................................... 33,348
600 Kendle International, Inc. * .................................... 21,798
700 KV Pharmaceutical Co.,
Class A * ....................................................... 13,531
700 Magellan Health Services,
Inc. * .......................................................... 25,921
500 Martek Biosciences Corp. * ...................................... 16,855
700 Masimo Corp. * .................................................. 24,045
1,200 Medcath Corp. * ................................................. 21,576
600 Medicines Co./The * ............................................. 11,892
1,400 Medicis Pharmaceutical Corp.,
Class A ......................................................... 29,092
600 MWI Veterinary Supply, Inc. * ................................... 19,866
500 Myriad Genetics, Inc. * ......................................... 22,760
900 Omnicell, Inc. *................................................. 11,862
1,900 Parexel International Corp. * ................................... 49,989
1,300 Pediatrix Medical Group, Inc. * ................................. 63,999
1,600 PharmaNet Development Group,
Inc. * .......................................................... 25,232
1,100 PharMerica Corp. * .............................................. 24,849
500 Providence Service Corp./The * .................................. 10,555
1,300 PSS World Medical, Inc. * ....................................... 21,190
1,100 Psychiatric Solutions, Inc. * ................................... 41,624
800 SonoSite, Inc. * ................................................ 22,408
1,500 Trizetto Group * ................................................ 32,070
1,400 Wright Medical Group, Inc. * .................................... 39,774
500 XenoPort, Inc. * ................................................ 19,515
1,300 Zoll Medical Corp. * ............................................ 43,771
------------
1,004,846
------------
INDUSTRIALS - 22.27%
2,600 AAR Corp. * ..................................................... 35,178
500 Actuant Corp., Class A........................................... 15,675
300 Acuity Brands, Inc. ............................................. 14,424
700 Advisory Board Co./The * ........................................ 27,531
600 Barnes Group, Inc. .............................................. 13,854
2,200 BE Aerospace, Inc. * ............................................ 51,238
1,800 Bucyrus International, Inc.,
Class A ......................................................... 131,436
900 Chart Industries, Inc. *......................................... 43,776
600 Clean Harbors, Inc. * ........................................... 42,636
2,200 Comfort Systems USA, Inc. ....................................... 29,568
800 Corrections Corp. of America * .................................. 21,976
700 EnPro Industries, Inc. * ........................................ 26,138
1,200 FTI Consulting, Inc. *........................................... 82,152
1,200 Genesis Lease, Ltd., ADR ........................................ 12,396
1,300 Geo Group, Inc./The * ........................................... 29,250
900 GeoEye, Inc. * .................................................. 15,939
500 Goodrich Corp. .................................................. 23,730
900 Healthcare Services Group ....................................... 13,689
700 Heico Corp. ..................................................... 22,778
700 HUB Group, Inc., Class A *....................................... 23,891
1,300 Hudson Highland Group,
Inc. * .......................................................... 13,611
600 II-VI, Inc. * ................................................... 20,952
2,900 Innovative Solutions & Support,
Inc. * .......................................................... 18,705
700 Kaydon Corp. .................................................... 35,987
400 Kirby Corp. * ................................................... 19,200
1,100 Ladish Co., Inc. * .............................................. 22,649
1,100 LMI Aerospace, Inc. * ........................................... 19,327
700 Middleby Corp. *................................................. 30,737
3,200 MPS Group, Inc. *................................................ 34,016
1,200 Navigant Consulting, Inc. * ..................................... 23,472
1,000 RBC Bearings, Inc. *............................................. 33,320
400 Robbins & Myers, Inc. ........................................... 19,948
300 Shaw Group, Inc./The * .......................................... 18,537
1,900 Simpson Manufacturing Co.,
Inc. ............................................................ 45,106
400 Stericycle, Inc. * .............................................. 20,680
2,200 SYKES Enterprises, Inc. * ....................................... 41,492
400 Titan International, Inc. ....................................... 14,248
1,100 TransDigm Group, Inc. * ......................................... 36,949
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
58
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
1,500 Triumph Group, Inc. ............................................. $ 70,650
300 URS Corp. *...................................................... 12,591
2,100 Wabtec Corp. .................................................... 102,102
400 Walter Industries, Inc. ......................................... 43,508
1,400 Waste Connections, Inc. *........................................ 44,702
600 Watson Wyatt Worldwide,
Inc., Class A.................................................... 31,734
------------
1,451,478
------------
INFORMATION TECHNOLOGY - 20.42%
300 Anixter International, Inc. *.................................... 17,847
900 Ansoft Corp. * .................................................. 32,760
1,200 Ansys, Inc. *.................................................... 56,544
500 Atheros Communications,
Inc. * .......................................................... 15,000
400 Bankrate, Inc. *................................................. 15,628
1,700 Blackboard, Inc. *............................................... 64,991
800 Cabot Microelectonics Corp. * ................................... 26,520
500 CACI International, Inc.,
Class A *........................................................ 22,885
500 Cognizant Technology Solutions
Corp., Class A * ................................................ 16,255
1,000 Commvault Systems, Inc. * ....................................... 16,640
600 Comtech Telecommunications
Corp. *.......................................................... 29,400
1,000 Cybersource Corp. *.............................................. 16,730
2,500 Dice Holdings, Inc. *............................................ 20,650
600 Diodes, Inc. *................................................... 16,584
600 DivX, Inc. * .................................................... 4,404
1,200 EMS Technologies, Inc. * ........................................ 26,208
2,000 ExlService Holdings, Inc. *...................................... 28,060
2,100 Flir Systems, Inc. * ............................................ 85,197
2,900 Forrester Research, Inc. *....................................... 89,552
700 Harris Corp. .................................................... 35,343
1,700 i2 Technologies, Inc. * ......................................... 21,131
1,600 Informatica Corp. *.............................................. 24,064
700 Jack Henry & Associates, Inc. ................................... 15,148
900 Kenexa Corp. * .................................................. 16,956
1,300 Liquidity Services, Inc. *....................................... 14,989
2,400 Manhattan Associates, Inc. * .................................... 56,952
2,000 Micros Systems, Inc. *........................................... 60,980
2,300 Microsemi Corp. *................................................ 57,914
1,000 Netlogic Microsystems, Inc. *.................................... 33,200
1,300 Neutral Tandem, Inc. *........................................... 22,750
2,000 Nice Systems, Ltd., ADR * ....................................... 59,140
1,300 Nuance Communication,
Inc. * .......................................................... 20,371
400 Power Integrations, Inc. *....................................... 12,644
500 Quality Systems, Inc. ........................................... 14,640
1,200 Satyam Computer Services, Ltd.,
ADR ............................................................. 29,424
700 SiRF Technology Holdings,
Inc. * .......................................................... 3,024
4,100 SkillSoft PLC, ADR * ............................................ 37,064
700 Solera Holdings, Inc. * ......................................... 19,362
3,500 SonicWALL, Inc. * ............................................... 22,575
1,200 Standard Microsystems Corp. * ................................... 32,580
1,300 SuccessFactors, Inc. * .......................................... 14,235
2,100 Technitrol, Inc. ................................................ 35,679
1,700 Travelzoo, Inc. * ............................................... 14,569
1,000 Vocus, Inc. * ................................................... 32,170
900 Wright Express Corp. * .......................................... 22,320
------------
1,331,079
------------
MATERIALS - 4.06%
300 Airgas, Inc. .................................................... 17,517
400 Aptargroup, Inc. ................................................ 16,780
200 Century Aluminum Co. * .......................................... 13,298
300 FMC Corp. ....................................................... 23,232
400 Haynes International, Inc. *..................................... 23,020
300 Owens-Illinois, Inc. * .......................................... 12,507
800 RTI International Metals, Inc. * ................................ 28,496
1,100 Silgan Holdings, Inc. ........................................... 55,814
1,500 Terra Industries, Inc. .......................................... 74,025
------------
264,689
------------
TELECOMMUNICATION SERVICES - 0.72%
1,400 NTELOS Holdings Corp. ........................................... 35,518
1,800 PAETEC Holding Corp. *........................................... 11,430
------------
46,948
------------
UTILITIES - 0.51%
300 Energen Corp. ................................................... 23,409
200 ITC Holdings Corp. .............................................. 10,222
------------
33,631
------------
TOTAL COMMON STOCKS
(Cost $6,046,452) ............................................... 6,048,005
PREFERRED STOCKS - 0.12%
- --------------------------------------------------------------------------------------------------
HEALTH CARE - 0.12%
32 Inverness Medical Innovations, Inc.
Series B (P)
3.000% .......................................................... 7,584
------------
TOTAL PREFERRED STOCKS
(Cost $9,250) ................................................... 7,584
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 2.65%
- --------------------------------------------------------------------------------------------------
$172,799 State Street Eurodollar
0.400%, due 07/01/08 ............................................ 172,799
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $172,799) ................................................. 172,799
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
59
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANY - 4.52%
- --------------------------------------------------------------------------------------------------
294,764 SSgA Prime Money
Market Fund ..................................................... $ 294,764
----------
TOTAL INVESTMENT COMPANY
(Cost $294,764).................................................. 294,764
TOTAL INVESTMENTS - 100.06%
- --------------------------------------------------------------------------------------------------
(Cost $6,523,265**)............................................................ 6,523,152
NET OTHER ASSETS AND LIABILITIES - (0.06)%
- --------------------------------------------------------------------------------------------------
(4,153)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$6,518,999
- -------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $6,567,935.
(P) Convertible.
ADR American Depositary Receipt.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
60
================================================================================
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF GEOGRAPHICAL ALLOCATION]
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
United States 37%
Europe (excluding United Kingdom) 23%
United Kingdom 16%
Japan 13%
Pacific Basin 10%
Cash and Other Net Assets 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 99.41%
- --------------------------------------------------------------------------------------------------
AUSTRALIA - 5.37%
84,089 Amcor, Ltd....................................................... $ 406,114
101,773 Foster's Group, Ltd. ............................................ 493,466
22,665 National Australia Bank, Ltd. ................................... 574,406
216,369 Telstra Corp., Ltd. ............................................. 877,360
------------
2,351,346
------------
BELGIUM - 1.28%
34,957 Fortis .......................................................... 559,797
13,256 Fortis VVPR Strips * ............................................ 209
------------
560,006
------------
FINLAND - 0.66%
17,786 UPM-Kymmene OYJ ................................................. 291,279
------------
FRANCE - 7.29%
9,549 Carrefour S.A. .................................................. 540,723
13,787 France Telecom S.A. (O) ......................................... 406,201
4,177 Renault S.A. (O) ................................................ 342,689
5,929 Societe Generale (O)............................................. 516,209
16,201 Total S.A. (O)................................................... 1,382,734
------------
3,188,556
------------
GERMANY - 2.40%
27,061 Deutsche Telekom AG ............................................. 443,174
4,799 RWE AG .......................................................... 606,297
------------
1,049,471
------------
HONG KONG - 1.05%
76,500 HongKong Electric Holdings ...................................... 457,696
------------
ITALY - 2.17%
155,258 UniCredit SpA ................................................... 950,434
------------
JAPAN - 12.75%
14,200 Astellas Pharma, Inc. ........................................... 601,752
18,200 Canon, Inc. (O) ................................................. 935,794
9,000 Kao Corp. ....................................................... 236,039
133 Nippon Telegraph &
Telephone Corp. ................................................. 651,285
16,000 Nitto Denko Corp. ............................................... 614,747
26,500 Seven & I Holdings Co., Ltd. .................................... 756,145
12,500 Takeda Pharmaceutical Co.,
Ltd.............................................................. 635,653
15,100 Tokio Marine Holdings, Inc. ..................................... 588,700
114 West Japan Railway Co. .......................................... 559,318
------------
5,579,433
------------
NETHERLANDS - 3.33%
32,828 ING Groep N.V. .................................................. 1,047,066
24,407 Reed Elsevier N.V. .............................................. 411,625
------------
1,458,691
------------
SINGAPORE - 1.50%
71,000 Oversea-Chinese Banking Corp. ................................... 426,256
86,000 Singapore Telecommunications,
Ltd. ............................................................ 228,769
------------
655,025
------------
SPAIN - 3.42%
33,587 Iberdrola S.A. (O) .............................................. 450,089
39,381 Telefonica S.A................................................... 1,046,783
------------
1,496,872
------------
SWITZERLAND - 2.91%
23,081 Novartis AG ..................................................... 1,272,350
------------
TAIWAN - 2.14%
17,700 Chunghwa Telecom Co., Ltd.,
ADR ............................................................. 449,049
44,600 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR 486,586
------------
935,635
------------
UNITED KINGDOM - 15.58%
36,044 Aviva PLC ....................................................... 359,481
84,555 BP PLC .......................................................... 981,747
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
61
================================================================================
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
67,613 GKN PLC ......................................................... $ 300,152
71,413 GlaxoSmithKline PLC.............................................. 1,582,261
70,172 HBOS PLC ........................................................ 385,548
97,694 Lloyds TSB Group PLC ............................................ 604,345
103,161 Royal Bank of Scotland
Group PLC........................................................ 441,529
30,148 Royal Dutch Shell PLC,
A Shares......................................................... 1,240,734
32,424 Unilever PLC .................................................... 922,369
------------
6,818,166
------------
UNITED STATES - 37.56%
10,700 3M Co. .......................................................... 744,613
35,500 Alcoa, Inc. (O).................................................. 1,264,510
40,500 Bank of America Corp. (O)(Q) .................................... 966,735
14,200 CBS Corp. (O) ................................................... 276,758
15,800 Chevron Corp. (Q)................................................ 1,566,254
40,000 Citigroup, Inc. ................................................. 670,400
39,100 ConAgra Foods, Inc. ............................................. 753,848
621 Fairpoint Communications, Inc. (O) .............................. 4,477
53,300 General Electric Co. (Q) ........................................ 1,422,577
24,900 Genuine Parts Co. (O) ........................................... 988,032
23,200 HJ Heinz Co. (O) ................................................ 1,110,120
14,900 Merck & Co., Inc. ............................................... 561,581
50,400 Microsoft Corp. ................................................. 1,386,504
28,400 Oracle Corp. * .................................................. 596,400
52,800 Pfizer, Inc. .................................................... 922,416
29,900 Verizon Communications, Inc. .................................... 1,058,460
43,900 Wachovia Corp. (O) .............................................. 681,767
30,400 Wyeth............................................................ 1,457,984
------------
16,433,436
------------
TOTAL COMMON STOCKS
(Cost $53,282,760) .............................................. 43,498,396
WARRANTS AND RIGHTS - 0.01%
- --------------------------------------------------------------------------------------------------
UNITED KINGDOM - 0.01%
28,068 HBOS PLC
Exp. 07/18/08
(Exercise Price $5.47)* ......................................... 6,007
------------
TOTAL WARRANTS AND RIGHTS
(Cost $0) ....................................................... 6,007
INVESTMENT COMPANY - 0.39%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 0.39%
172,064 SSgA Prime Money Market
Fund (Q) ...................................................... 172,064
------------
TOTAL INVESTMENT COMPANY
(Cost $172,064) ............................................... 172,064
COLLATERAL FOR SECURITIES ON LOAN - 14.60%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 14.60%
6,388,355 State Street Navigator Securities
Lending Prime Portfolio (I) ................................... 6,388,355
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $6,388,355) ............................................. 6,388,355
TOTAL INVESTMENTS - 114.41%
- --------------------------------------------------------------------------------------------------
(Cost $59,843,179**) .......................................................... 50,064,822
NET OTHER ASSETS AND LIABILITIES - (14.41)%
- --------------------------------------------------------------------------------------------------
(6,308,858)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$43,755,964
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $59,923,311.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
(Q) Security pledged as collateral for forward foreign currency contracts
oustanding as of June 30, 2008.
ADR American Depositary Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
62
================================================================================
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS:
Appreciation/
Currency Settlement Date Local Amount Face Amount Value (Depreciation)
- -------- --------------- ------------ ----------- ----- --------------
EUR(sell) 07/31/08 1,915,500 $2,977,549 $3,011,490 $(33,941)
GBP(sell) 07/31/08 512,000 $1,012,516 $1,016,739 $ (4,223)
EUR Euro
GBP Great British Pound
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Pharmaceuticals 16.1%
Oil, Gas & Consumable Fuels 11.8%
Diversified Telecommunication Services 11.8%
Commercial Banks 10.5%
Diversified Financial Services 7.4%
Food Products 6.4%
Industrial Conglomerates 4.9%
Software 4.5%
Food & Staples Retailing 3.0%
Metals & Mining 2.9%
Distributors 2.2%
Insurance 2.2%
Office Electronics 2.1%
Electric Utilities 2.1%
Media 1.6%
Chemicals 1.4%
Multi-Utilities 1.4%
Road & Rail 1.3%
Beverages 1.1%
Semiconductors & Semiconductor Equipment 1.1%
Containers & Packaging 0.9%
Automobiles 0.8%
Auto Components 0.7%
Paper & Forest Products 0.7%
Net Other Assets & Liabilities 0.6%
Household Products 0.5%
---------
100.0%
=========
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.
- --------------------------------------------------------------------------------
63
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF GEOGRAPHICAL ALLOCATION]
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Europe (excluding United Kingdom) 44%
United Kingdom 19%
Japan 14%
Pacific Basin 7%
Latin America 4%
Other Countries 5%
Africa 3%
Cash & Other Net Assets 4%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.85%
- --------------------------------------------------------------------------------------------------
ARGENTINA - 0.56%
10,100 Tenaris S.A., ADR ............................................... $ 752,450
------------
AUSTRALIA - 0.15%
27,728 ABC Learning Centres,
Ltd. (O) ........................................................ 26,518
24,599 Fairfax Media, Ltd. (O) ......................................... 68,929
12,165 James Hardie Industries N.V. .................................... 49,328
27,536 Macquarie Infrastructure
Group ........................................................... 61,095
------------
205,870
------------
AUSTRIA - 0.06%
1,275 Andritz AG ...................................................... 80,410
------------
BAHRAIN - 0.08%
4,273 Investcorp Bank BSC, GDR (C)..................................... 108,961
------------
BELGIUM - 0.78%
5,650 Arseus N.V. ..................................................... 71,888
14,018 InBev N.V. ...................................................... 973,028
------------
1,044,916
------------
BRAZIL - 1.70%
25,400 Banco do Brasil S.A. ............................................ 416,368
7,900 Cia de Concessoes
Rodoviarias ..................................................... 156,935
7,700 Empresa Brasileira de
Aeronautica S.A., ADR ........................................... 204,050
7,933 Iochpe Maxion S.A. .............................................. 151,673
48,700 JHSF Participacoes S.A. ......................................... 244,836
29,049 Redecard S.A. ................................................... 564,318
10,858 Souza Cruz S.A. ................................................. 311,055
11,950 Tam S.A., ADR ................................................... 228,484
------------
2,277,719
------------
CANADA - 1.93%
61,600 TELUS Corp. ..................................................... 2,592,443
------------
CHINA - 0.02%
100,000 Shougang Concord International
Enterprises Co., Ltd. ........................................... 32,704
------------
EGYPT - 0.59%
3,045 Eastern Tobacco ................................................. 184,329
7,072 Egyptian Co. for
Mobile Services ................................................. 220,997
3,132 Orascom Construction
Industries ...................................................... 215,423
13,357 Orascom Telecom Holding S.A.E. .................................. 172,678
------------
793,427
------------
FINLAND - 1.74%
2,110 Konecranes OYJ .................................................. 87,385
85,800 Nokia OYJ ....................................................... 2,092,841
3,340 Sampo OYJ, A Shares ............................................. 84,415
1,960 Vacon PLC ....................................................... 79,475
------------
2,344,116
------------
FRANCE - 10.18%
38,180 AXA S.A. ........................................................ 1,133,901
14,050 BNP Paribas ..................................................... 1,273,045
50,500 Gaz de France S.A. (O) .......................................... 3,246,100
21,200 Groupe Danone (O) ............................................... 1,488,909
1,068 Neopost S.A. .................................................... 113,032
30,212 Sanofi-Aventis S.A. (O) ......................................... 2,018,599
906 Sechilienne-Sidec ............................................... 71,106
1 Societe Generale ................................................ 87
50,087 Total S.A. (O)................................................... 4,274,860
737 Virbac S.A. ..................................................... 63,459
------------
13,683,098
------------
GERMANY - 8.99%
26,250 Adidas AG ....................................................... 1,657,981
9,000 Allianz SE ...................................................... 1,585,880
5,869 Compugroup Holding AG * ......................................... 83,177
1,830 CTS Eventim AG .................................................. 73,339
4,768 D+S europe AG *.................................................. 97,756
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
64
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
GERMANY (CONTINUED)
26,600 Daimler AG ...................................................... $ 1,645,321
18,600 E.ON AG ......................................................... 3,753,437
1,050 Pfeiffer Vacuum
Technology AG ................................................... 108,928
1,520 SGL Carbon AG *.................................................. 106,728
25,419 Siemens AG ...................................................... 2,822,723
3,195 Symrise AG ...................................................... 69,430
1,048 Wincor Nixdorf AG ............................................... 72,976
------------
12,077,676
------------
GREECE - 1.59%
21,292 National Bank of Greece S.A. .................................... 959,586
30,513 OPAP S.A. ....................................................... 1,065,722
4,188 Piraeus Bank S.A. ............................................... 113,827
------------
2,139,135
------------
HONG KONG - 0.09%
11,405 Esprit Holdings, Ltd. ........................................... 118,480
------------
HUNGARY - 0.08%
2,700 OPT Bank Nyrt. * ................................................ 113,114
------------
INDIA - 1.16%
3,209 Grasim Industries, Ltd. ......................................... 137,981
12,155 Hero Honda Motors, Ltd. ......................................... 193,519
8,675 Hindustan Unilever, Ltd. ........................................ 41,515
26,866 Oil & Natural Gas Corp., Ltd. ................................... 502,040
18,660 Punjab National Bank, Ltd. ...................................... 161,337
40,354 Satyam Computer
Services, Ltd. .................................................. 410,903
4,101 State Bank of India, Ltd. ....................................... 105,516
------------
1,552,811
------------
INDONESIA - 0.75%
978,200 Bank Mandiri Persero Tbk PT ..................................... 275,848
156,000 PT Astra International Tbk ...................................... 325,705
12,090 Telekomunikasi Indonesia
Tbk PT, ADR ..................................................... 389,903
12,000 United Tractors Tbk PT .......................................... 15,813
------------
1,007,269
------------
IRELAND - 1.33%
8,971 Anglo Irish Bank Corp. PLC ...................................... 84,238
53,991 CRH PLC ......................................................... 1,589,866
4,433 DCC PLC ......................................................... 110,545
------------
1,784,649
------------
ISLE OF MAN - 0.05%
21,617 Hansard Global PLC .............................................. 67,562
------------
ISRAEL - 0.64%
96,018 Bank Hapoalim BM ................................................ 423,533
3,200 Delek Automotive Systems, Ltd. .................................. 51,059
16,270 Israel Chemicals, Ltd. .......................................... 378,485
------------
853,077
------------
ITALY - 3.13%
84,920 ENI SpA ......................................................... 3,169,245
6,929 MARR SpA ........................................................ 71,468
156,835 UniCredit SpA ................................................... 960,088
------------
4,200,801
------------
JAPAN - 13.68%
6,690 Amano Corp. (O).................................................. 64,512
4,080 Asahi Pretec Corp. (O) .......................................... 127,176
20,800 Canon, Inc. (O).................................................. 1,069,479
44,810 Daito Trust Construction Co.,
Ltd. ..................................................... ...... 2,173,194
2,850 Don Quijote Co., Ltd. (O) ....................................... 52,148
184 East Japan Railway Co. .......................................... 1,498,823
2,550 Hisamitsu Pharmaceutical Co.,
Inc. ............................................................ 110,943
34,900 HOYA Corp. ...................................................... 806,851
6,740 Ichiyoshi Securities
Co., Ltd. (O).................................................... 61,757
114 Inpex Holdings, Inc. ............................................ 1,438,554
1,630 Jafco Co., Ltd. ................................................. 55,720
399 Japan Tobacco, Inc. ............................................. 1,702,109
49,800 JSR Corp. ....................................................... 989,528
97 KK daVinci Advisors * ........................................... 66,408
3,260 Konami Corp. .................................................... 113,896
4,650 MISUMI Group, Inc. (O)........................................... 86,484
32,500 Mitsubishi Corp. ................................................ 1,071,193
20,400 Nidec Corp. ..................................................... 1,358,207
5,180 Ohara, Inc. ..................................................... 92,488
6,780 OSG Corp. (O).................................................... 76,617
189 Sumitomo Mitsui Financial
Group, Inc. (O).................................................. 1,422,083
146,200 Sumitomo Trust &
Banking Co., Ltd./The ........................................... 1,021,569
7,980 Suruga Bank, Ltd. ............................................... 103,780
2,080 Sysmex Corp. (O) ................................................ 81,876
400 T Hasegawa Co., Ltd. ............................................ 6,084
26,250 T&D Holdings, Inc. .............................................. 1,614,206
17,300 Takeda Pharmaceutical
Co., Ltd. ....................................................... 879,744
4,490 THK Co., Ltd. ................................................... 87,102
2,680 Union Tool Co. (O)............................................... 77,985
1,030 USS Co., Ltd. ................................................... 67,994
------------
18,378,510
------------
MALAYSIA - 0.28%
17,500 British American Tobacco
Malaysia Bhd .................................................... 236,993
171,900 PLUS Expressways Bhd ............................................ 136,257
------------
373,250
------------
MEXICO - 1.01%
11,954 Cemex SAB de C.V., ADR *......................................... 295,264
5,790 Desarrolladora Homex SAB de
C.V., ADR *...................................................... 339,178
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
65
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MEXICO (CONTINUED)
5,090 Fomento Economico Mexicano
SAB de C.V., ADR ................................................ $ 231,646
11,924 Grupo Televisa S.A., ADR ........................................ 281,645
52,050 Kimberly-Clark de Mexico
SAB de C.V., Class A ............................................ 212,155
------------
1,359,888
------------
NETHERLANDS - 1.70%
1,506 Advanced Metallurgical
Group N.V. (O)*.................................................. 128,654
1,834 Boskalis Westminster (O) ........................................ 98,336
1,835 Fugro N.V. ...................................................... 156,759
19,230 Heineken N.V. ................................................... 981,725
4,131 Innoconcepts .................................................... 58,156
4,565 Ordina N.V. (O) ................................................. 61,390
2,603 SBM Offshore N.V. ............................................... 96,079
19,348 TNT N.V. ........................................................ 661,749
2,672 USG People N.V. (O) ............................................. 48,514
------------
2,291,362
------------
NORWAY - 1.06%
3,390 Acergy S.A. ..................................................... 75,900
6,530 ODIM ASA *....................................................... 109,011
8,160 Songa Offshore ASA * ............................................ 131,814
58,900 Telenor ASA (O).................................................. 1,108,200
------------
1,424,925
------------
PHILIPPINES - 0.32%
7,940 Philippine Long Distance
Telephone Co., ADR .............................................. 424,155
------------
PORTUGAL - 0.03%
13,045 Banif SGPS S.A. ................................................. 36,154
2,721 Banif SGPS S.A.,
New Shares (L) .................................................. 7,541
------------
43,695
------------
RUSSIA - 1.10%
7,000 Eurasia Drilling Co.,
Ltd., GDR (C)*................................................... 181,650
1,890 Evraz Group S.A., GDR ........................................... 220,185
6,470 Mobile Telesystems OJSC, ADR .................................... 495,667
4,778 Oriflame Cosmetics S.A., SDR .................................... 307,324
83,618 TNK-BP Holding .................................................. 185,214
606 Vsmpo-Avisma Corp. .............................................. 92,718
------------
1,482,758
------------
SINGAPORE - 2.65%
15,700 Cosco Corp.
Singapore, Ltd., ADR ............................................ 182,120
88,000 DBS Group Holdings, Ltd. ........................................ 1,219,591
812,500 Singapore
Telecommunications, Ltd. ........................................ 2,161,333
------------
3,563,044
------------
SOUTH AFRICA - 2.29%
19,300 Aquarius Platinum, Ltd. ......................................... 309,477
15,287 Eqstra Holdings, Ltd. * ......................................... 24,571
31,287 Imperial Holdings, Ltd. * ....................................... 211,372
11,242 Kumba Iron Ore, Ltd. ............................................ 453,539
28,600 Massmart Holdings, Ltd. ......................................... 226,002
15,352 Murray & Roberts
Holdings, Ltd. .................................................. 171,039
13,611 Naspers, Ltd. ................................................... 298,089
26,182 Nedbank Group, Ltd. ............................................. 308,329
85,904 Pretoria Portland
Cement Co., Ltd. ................................................ 315,649
114,355 Sanlam, Ltd. .................................................... 243,121
101,222 Steinhoff International
Holdings, Ltd. .................................................. 206,385
104,928 Truworths International, Ltd. ................................... 308,414
------------
3,075,987
------------
SOUTH KOREA - 2.20%
250 Amorepacific Corp. .............................................. 154,868
1,956 GS Engineering &
Construction Corp. .............................................. 214,103
1,827 Hite Brewery Co., Ltd. (L) ...................................... 205,222
13,154 Kookmin Bank .................................................... 777,130
2,180 Samsung Electronics
Co., Ltd, GDR (C) ............................................... 642,555
12,657 Shinhan Financial
Group Co., Ltd. ................................................. 572,321
13,130 Woongjin Coway Co., Ltd. ........................................ 385,346
------------
2,951,545
------------
SPAIN - 1.26%
83,240 Banco Santander S.A. ............................................ 1,529,680
2,232 Codere S.A. (O)* ................................................ 50,260
4,479 Indra Sistemas S.A. (O).......................................... 116,517
------------
1,696,457
------------
SWEDEN - 1.03%
9,516 Duni AB ......................................................... 69,500
6,460 Elekta AB, B Shares (O) ......................................... 124,386
4,068 Getinge AB, B Shares (O) ........................................ 99,598
3,330 Indutrade AB .................................................... 65,224
7,460 KappAhl Holding AB (O)*.......................................... 50,893
93,080 Telefonaktiebolaget LM
Ericsson, B Shares (O) .......................................... 970,275
------------
1,379,876
------------
SWITZERLAND - 10.56%
2,210 Bank Sarasin & Cie AG,
Series B ........................................................ 99,519
160 Banque Cantonale Vaudoise ....................................... 53,156
399 Burckhardt Compression
Holding AG ...................................................... 121,217
676 Dufry Group ..................................................... 61,942
1,347 Gottex Fund Management
Holdings, Ltd. .................................................. 38,942
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
66
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
SWITZERLAND (CONTINUED)
81,250 Nestle S.A. ..................................................... $ 3,599,079
82,797 Novartis AG ..................................................... 4,564,221
13,500 Roche Holding AG ................................................ 2,434,340
3,400 Swisscom AG ..................................................... 1,135,388
1,868 Swissquote Group Holding S.A. ................................... 83,478
46,400 UBS AG * ........................................................ 974,928
3,960 Zurich Financial Services AG .................................... 1,014,837
------------
14,181,047
------------
TAIWAN - 0.83%
182,000 Advanced Semiconductor
Engineering, Inc. ............................................... 163,694
50,096 Advantech Co., Ltd. ............................................. 128,735
1 Chinatrust Financial
Holding Co., Ltd. * ............................................. 1
56,027 HON HAI Precision
Industry Co., Ltd. .............................................. 275,954
61,159 Novatek Microelectronics
Corp., Ltd. ..................................................... 177,716
174,762 Taiwan Semiconductor
Manufacturing Co., Ltd. ......................................... 374,247
------------
1,120,347
------------
TURKEY - 0.66%
17,152 Ford Otomotiv Sanayi AS ......................................... 122,725
76,214 Turkcell Iletisim Hizmet AS ..................................... 436,256
551 Turkcell Iletisim Hizmet AS,
ADR ............................................................. 8,017
96,774 Turkiye Is Bankasi, Series C .................................... 316,539
------------
883,537
------------
UNITED KINGDOM - 18.59%
16,815 Ashmore Group PLC ............................................... 72,470
315,173 BAE Systems PLC ................................................. 2,776,310
238,275 BP PLC .......................................................... 2,766,553
30,630 British American Tobacco PLC .................................... 1,060,357
4,872 Charter PLC ..................................................... 84,330
2,510 Chemring Group PLC .............................................. 118,221
107,900 Diageo PLC ...................................................... 1,984,719
19,642 Filtrona PLC .................................................... 55,622
79,500 GlaxoSmithKline PLC ............................................. 1,761,441
31,915 Hampson Industries PLC .......................................... 108,959
60,100 HSBC Holdings PLC ............................................... 928,115
60,934 Imperial Tobacco Group PLC ...................................... 2,269,547
5,829 Intertek Group PLC .............................................. 114,646
126,800 Lloyds TSB Group PLC ............................................ 784,397
9,557 Man Group PLC ................................................... 118,717
78,212 National Grid PLC ............................................... 1,028,376
1,807 Northgate PLC ................................................... 12,698
584,688 Old Mutual PLC .................................................. 1,080,135
125,800 Prudential PLC .................................................. 1,334,792
18,930 Reckitt Benckiser PLC ........................................... 959,056
35,449 Regus Group PLC ................................................. 57,160
22,100 Sepura, Ltd. *................................................... 38,385
206,800 Tesco PLC ....................................................... 1,520,322
55,300 Unilever PLC .................................................... 1,573,124
6,042 Victrex PLC ..................................................... 89,848
765,062 Vodafone Group PLC .............................................. 2,271,567
------------
24,969,867
------------
TOTAL COMMON STOCKS
(Cost $122,629,461) ............................................. 127,430,938
COMMON STOCK UNIT - 0.04%
- --------------------------------------------------------------------------------------------------
IRELAND - 0.04%
9,167 Grafton Group PLC *.............................................. 53,410
------------
TOTAL COMMON STOCK UNIT
(Cost $84,899)................................................... 53,410
PREFERRED STOCKS - 1.03%
- --------------------------------------------------------------------------------------------------
BRAZIL - 0.95%
20,490 AES Tiete S.A. .................................................. 217,070
8,093 Cia Energetica de Minas Gerais .................................. 197,245
11,336 Cia Vale do Rio Doce. ........................................... 338,961
64,870 Klabin S.A. ..................................................... 243,580
17,000 Suzano Papel e Celulose S.A. .................................... 276,753
------------
1,273,609
------------
GERMANY - 0.08%
1,195 Fuchs Petrolub AG ............................................... 112,906
------------
TOTAL PREFERRED STOCKS
(Cost $762,853).................................................. 1,386,515
WARRANTS AND RIGHTS - 0.01%
- --------------------------------------------------------------------------------------------------
PORTUGAL - 0.01%
2,721 Banif SGPS S.A.
Exp. 06/20/08
(Exercise Price $3.15) (L)* ..................................... 7,541
------------
TOTAL WARRANTS AND RIGHTS
(Cost $0) ....................................................... 7,541
INVESTMENT COMPANY - 2.68%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 2.68%
3,602,765 SSgA Prime Money Market
Fund ............................................................ 3,602,765
------------
TOTAL INVESTMENT COMPANY
(Cost $3,602,765) ............................................... 3,602,765
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
67
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COLLATERAL FOR SECURITIES ON LOAN - 7.93%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 7.93%
10,653,651 State Street Navigator Securities
Lending Prime Portfolio (I) ..................................... $ 10,653,651
------------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
(Cost $10,653,651) .............................................. 10,653,651
TOTAL INVESTMENTS - 106.54%
- --------------------------------------------------------------------------------------------------
(Cost $137,733,629**) ......................................................... 143,134,820
NET OTHER ASSETS AND LIABILITIES - (6.54)%
- --------------------------------------------------------------------------------------------------
(8,785,242)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$134,349,578
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $138,624,377.
(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.
(L) Security valued at fair value using methods determined in good faith by
or at the discretion of the Board of Trustees (see note 2).
(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.
- --------------------------------------------------------------------------------
68
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Oil, Gas & Consumable Fuels 9.3%
Commercial Banks 8.9%
Pharmaceuticals 8.8%
Insurance 6.1%
Food Products 5.0%
Wireless Telecommunication Services 4.3%
Tobacco 4.3%
Diversified Telecommunication Services 4.2%
Net Other Assets & Liabilities 4.1%
Electric Utilities 3.9%
Beverages 3.3%
Gas Utilities 2.4%
Aerospace & Defense 2.4%
Electronic Equipment & Instruments 2.4%
Communications Equipment 2.3%
Electrical Equipment 2.2%
Real Estate Management & Development 1.8%
Metals & Mining 1.8%
Automobiles 1.7%
Diversified Financial Services 1.7%
Construction Materials 1.6%
Textiles, Apparel & Luxury Goods 1.5%
Food & Staples Retailing 1.3%
Chemicals 1.2%
Capital Markets 1.1%
Road & Rail 1.1%
Household Products 1.0%
Distributors 0.9%
Office Electronics 0.9%
Hotels, Restaurants & Leisure 0.8%
IT Services 0.8%
Machinery 0.7%
Air Freight & Logistics 0.7%
Commercial Services & Supplies 0.6%
Semiconductors & Semiconductor Equipment 0.5%
Construction & Engineering 0.5%
Media 0.5%
Household Durables 0.4%
Industrial Conglomerates 0.4%
Paper & Forest Products 0.4%
Personal Products 0.3%
Energy Equipment & Services 0.3%
Health Care Equipment & Supplies 0.3%
Building Products 0.3%
Transportation Infrastructure 0.3%
Computers & Peripherals 0.1%
Specialty Retail 0.1%
Auto Components 0.1%
Marine 0.1%
Software 0.1%
Health Care Technology 0.1%
Leisure Equipment & Products 0.1%
Multi-Utilities * 0.0%
Multiline Retail * 0.0%
-----------
100.0%
===========
*Rounds to 0.0%
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.
- --------------------------------------------------------------------------------
69
================================================================================
TARGET RETIREMENT 2020 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Equity Securities 48%
Debt Securities 24%
Foreign Securities 25%
Alternative Asset Classes 2%
Money Market Securities and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2008
MEMBERS Large Cap Growth Fund, Class Y 12%
MEMBERS High Income Fund, Class Y 9%
Julius Baer International Equity Fund II, Class I 9%
Victory Special Value Fund, Class I 9%
Laudus International MarketMasters Fund, Select Shares 9%
T. Rowe Price Spectrum Income Fund 8%
MEMBERS Large Cap Value Fund, Class Y 8%
Oppenheimer International Bond Fund, Class Y 7%
Principal International Emerging Markets Fund, Class I 7%
Neuberger Berman Partners Fund, Institutional Class 6%
Manning & Napier Equity Series Fund 6%
MEMBERS Mid Cap Growth Fund, Class Y 4%
Royce Value Fund, Institutional Class 3%
Ivy Global Natural Resources Fund, Class I 2%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANY - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 2.19%
3,667 Ivy Global Natural Resources
Fund, Class I ................................................... $ 151,975
------------
DEBT SECURITIES - 24.49%
94,221 MEMBERS High Income Fund,
Class Y (R)...................................................... 641,646
76,893 Oppenheimer International
Bond Fund, Class Y .............................................. 497,498
47,939 T. Rowe Price Spectrum
Income Fund ..................................................... 559,923
------------
1,699,067
------------
EQUITY SECURITIES - 47.91%
23,531 Manning & Napier Equity
Series Fund ..................................................... 393,441
53,919 MEMBERS Large Cap Growth
Fund, Class Y (R)* .............................................. 830,893
38,451 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 521,774
43,875 MEMBERS Mid Cap Growth
Fund, Class Y (R) ............................................... 282,996
13,538 Neuberger Berman Partners
Fund, Institutional Class ....................................... 427,001
20,056 Royce Value Fund,
Institutional Class ............................................. 229,846
36,723 Victory Special Value Fund, Class I ............................. 638,240
------------
3,324,191
------------
FOREIGN SECURITIES - 24.51%
41,606 Julius Baer International
Equity Fund II, Class I ......................................... 639,483
31,557 Laudus International
MarketMasters Fund, Select Shares ............................... 624,522
16,246 Principal International Emerging
Markets Fund, Class I ........................................... 436,535
------------
1,700,540
------------
MONEY MARKET SECURITIES - 0.93%
64,585 SSgA Prime Money
Market Fund ..................................................... 64,585
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $7,249,501) ............................................... 6,940,358
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(2,297)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$6,938,061
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $7,335,995.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
70
================================================================================
TARGET RETIREMENT 2030 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Equity Securities 54%
Foreign Securities 28%
Debt Securities 14%
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 JUNE 30, 2008
MEMBERS Large Cap Growth Fund, Class Y 12%
Julius Baer International Equity Fund II, Class I 10%
Laudus International MarketMasters Fund, Select Shares 10%
MEMBERS Large Cap Value Fund, Class Y 8%
Principal International Emerging Markets Fund, Class I 7%
MEMBERS High Income Fund, Class Y 7%
T. Rowe Price Spectrum Income Fund 7%
Neuberger Berman Partners Fund, Institutional Class 7%
Manning & Napier Equity Series Fund 6%
Victory Special Value Fund, Class I 5%
MEMBERS Mid Cap Growth Fund, Class Y 5%
CRM Mid Cap Value Fund, Class I 5%
Royce Value Fund, Institutional Class 4%
Ivy Global Natural Resources Fund, Class I 3%
MEMBERS Small Cap Growth Fund, Class Y 3%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANY - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 3.29%
5,101 Ivy Global Natural Resources
Fund, Class I ................................................... $ 211,395
------------
DEBT SECURITIES - 14.29%
68,098 MEMBERS High Income Fund,
Class Y (R)...................................................... 463,744
38,963 T. Rowe Price Spectrum
Income Fund ..................................................... 455,091
------------
918,835
------------
EQUITY SECURITIES - 53.97%
11,707 CRM Mid Cap Value
Fund, Class I ................................................... 317,950
23,683 Manning & Napier Equity
Series Fund ..................................................... 395,977
50,208 MEMBERS Large Cap Growth Fund,
Class Y (R)*..................................................... 773,705
35,781 MEMBERS Large Cap Value Fund,
Class Y (R)...................................................... 485,553
50,981 MEMBERS Mid Cap Growth Fund,
Class Y (R)...................................................... 328,830
20,766 MEMBERS Small Cap Growth Fund,
Class Y (R)...................................................... 196,447
13,625 Neuberger Berman Partners
Fund, Institutional Class ....................................... 429,717
18,533 Royce Value Fund,
Institutional Class ............................................. 212,383
18,958 Victory Special Value Fund,
Class I ......................................................... 329,497
------------
3,470,059
------------
FOREIGN SECURITIES - 27.54%
42,805 Julius Baer International
Equity Fund II, Class I ......................................... 657,916
32,541 Laudus International MarketMasters
Fund, Select Shares ............................................. 643,981
17,448 Principal International Emerging
Markets Fund, Class I ........................................... 468,841
------------
1,770,738
------------
MONEY MARKET SECURITIES - 0.94%
60,667 SSgA Prime Money Market Fund .................................... 60,667
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $6,725,043) ............................................... 6,431,694
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(2,103)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$6,429,591
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $6,764,416.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
71
================================================================================
TARGET RETIREMENT 2040 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2008
Equity Securities 57%
Foreign Securities 34%
Alternative Asset Classes 4%
Debt Securities 4%
Money Market Securities and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2008
Laudus International MarketMasters Fund, Select Shares 13%
Julius Baer International Equity Fund II, Class I 12%
MEMBERS Large Cap Growth Fund, Class Y 12%
Principal International Emerging Markets Fund, Class I 9%
MEMBERS Large Cap Value Fund, Class Y 8%
MEMBERS Mid Cap Growth Fund, Class Y 7%
Neuberger Berman Partners Fund, Institutional Class 7%
Manning & Napier Equity Series Fund 6%
Victory Special Value Fund, Class I 5%
CRM Mid Cap Value Fund, Class I 5%
Ivy Global Natural Resources Fund, Class I 4%
MEMBERS High Income Fund, Class Y 4%
MEMBERS Small Cap Growth Fund, Class Y 4%
Royce Value Fund, Institutional Class 3%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANY - 100.02%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 4.38%
4,916 Ivy Global Natural
Resources Fund, Class I ......................................... $ 203,720
------------
DEBT SECURITIES - 4.13%
28,192 MEMBERS High Income Fund,
Class Y (R) ..................................................... 191,989
------------
EQUITY SECURITIES - 57.04%
8,464 CRM Mid Cap Value
Fund, Class I ................................................... 229,889
17,174 Manning & Napier Equity
Series Fund ..................................................... 287,148
36,340 MEMBERS Large Cap Growth Fund,
Class Y (R)* .................................................... 559,992
25,949 MEMBERS Large Cap Value Fund,
Class Y (R) ..................................................... 352,129
51,617 MEMBERS Mid Cap Growth Fund,
Class Y (R) ..................................................... 332,931
20,041 MEMBERS Small Cap Growth Fund,
Class Y (R) ..................................................... 189,589
9,837 Neuberger Berman Partners
Fund, Institutional Class ....................................... 310,263
13,398 Royce Value Fund,
Institutional Class ............................................. 153,540
13,694 Victory Special Value Fund, Class I ............................. 238,003
------------
2,653,484
------------
FOREIGN SECURITIES - 33.53%
36,948 Julius Baer International
Equity Fund II, Class I ......................................... 567,891
29,488 Laudus International MarketMasters
Fund, Select Shares ............................................. 583,559
15,197 Principal International Emerging
Markets Fund, Class I ........................................... 408,331
------------
1,559,781
------------
MONEY MARKET SECURITIES - 0.94%
43,538 SSgA Prime Money
Market Fund ..................................................... 43,538
------------
TOTAL INVESTMENT COMPANIES - 100.02%
(Cost $4,882,497) ............................................... 4,652,512
NET OTHER ASSETS AND LIABILITIES - (0.02)%
- --------------------------------------------------------------------------------------------------
(892)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$4,651,620
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $4,935,510.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
72
================================================================================
- --------------------------------------------------------------------------------
This page is left blank intentionally
- --------------------------------------------------------------------------------
73
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
==========================================================================================================================
ASSETS:
Investments in securities, at cost
Unaffiliated issuers $ 44,040,151 $115,792,997 $38,661,956
Affiliated issuers(1) 70,097,491 182,076,333 56,487,437
Net unrealized appreciation (depreciation)
Unaffiliated issuers (882,438) (2,711,122) (551,740)
Affiliated issuers(1) (3,006,144) (10,505,114) (3,838,358)
-----------------------------------------------------
Total investments at value 110,249,060 284,653,094 90,759,295
Receivables:
Investments sold - - -
Fund shares sold 987,575 623,038 160,994
Dividends and interest 172 393 194
Other assets - - -
-----------------------------------------------------
Total Assets 111,236,807 285,276,525 90,920,483
-----------------------------------------------------
LIABILITIES:
Payable to custodian - - -
Payables:
Investments purchased 987,522 622,547 157,026
Upon return of securities loaned - - -
Fund shares redeemed 10 399 3,919
Accrued management fees 26,865 69,693 22,514
Accrued expenses and other payables 5,611 15,714 5,698
-----------------------------------------------------
Total Liabilities 1,020,008 708,353 189,157
-----------------------------------------------------
Net assets applicable to outstanding capital stock $110,216,799 $284,568,172 $90,731,326
=====================================================
REPRESENTED BY:
Capital stock and additional paid-in capital $114,117,141 $302,417,248 $97,800,257
Accumulated undistributed (over-distributed)
net investment income (loss) 1,229,254 1,726,606 (30,276)
Accumulated net realized gain (loss) on investments and
foreign currency related transactions (1,241,014) (6,359,446) (2,648,557)
Unrealized appreciation (depreciation) of investments
(including appreciation (depreciation) of foreign currency
related transactions) (3,888,582) (13,216,236) (4,390,098)
-----------------------------------------------------
Total net assets - representing net assets applicable to
outstanding capital stock $110,216,799 $284,568,172 $90,731,326
=====================================================
Number of Class Z Shares issued and outstanding 10,614,626 27,267,511 8,753,305
=====================================================
NET ASSET VALUE per share of outstanding capital stock,
offering price and redemption price $ 10.38 $ 10.44 $ 10.37
=====================================================
- -------------------------------------------------------
(1) See Note 10 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
74
================================================================================
- --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP
FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND
===================================================================================================================
$111,533,849 $735,667,444 $143,474,002 $614,581,599 $904,522,165 $588,234,713
- - - - - -
- (6,421,698) (3,861,411) (15,205,806) 58,269,074 53,805,646
- - - - - -
- -------------------------------------------------------------------------------------------------------------------
111,533,849 729,245,746 139,612,591 599,375,793 962,791,239 642,040,359
- - 824,078 - 96,454,876 25,277,357
51,732 166,352 - 19,798 - 55,616
10,603 5,380,888 2,198,623 3,646,050 1,716,681 645,834
- 54,702 35,107 28,030 24,108 34,548
- -------------------------------------------------------------------------------------------------------------------
111,596,184 734,847,688 142,670,399 603,069,671 1,060,986,904 668,053,714
- -------------------------------------------------------------------------------------------------------------------
- - 558,950 - - -
- - 303,300 - 84,868,079 29,853,062
- 114,421,830 19,855,472 65,290,985 41,897,051 46,733,387
371,025 605,639 230,180 586,715 427,657 234,390
41,349 280,051 76,270 316,628 484,467 404,274
65,034 36,835 7,369 35,615 60,055 38,213
- -------------------------------------------------------------------------------------------------------------------
477,408 115,344,355 21,031,541 66,229,943 127,737,309 77,263,326
- -------------------------------------------------------------------------------------------------------------------
$111,118,776 $619,503,333 $121,638,858 $536,839,728 $933,249,595 $590,790,388
===================================================================================================================
$111,118,776 $623,811,508 $128,938,157 $543,734,809 $850,949,607 $547,474,276
(19,466) 15,431,830 4,395,880 12,325,824 11,689,033 1,685,239
19,466 (13,318,307) (7,833,768) (4,015,099) 12,341,879 (12,174,773)
- (6,421,698) (3,861,411) (15,205,806) 58,269,076 53,805,646
- -------------------------------------------------------------------------------------------------------------------
$111,118,776 $619,503,333 $121,638,858 $536,839,728 $933,249,595 $590,790,388
===================================================================================================================
111,118,776 60,247,516 12,908,070 32,658,952 34,179,947 27,550,120
===================================================================================================================
$ 1.00 $ 10.28 $ 9.42 $ 16.44 $ 27.30 $ 21.44
===================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
75
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP
VALUE FUND GROWTH FUND VALUE FUND
=========================================================================================================================
ASSETS:
Investments in securities, at cost
Unaffiliated issuers $336,953,178 $407,812,642 $7,733,559
Affiliated issuers(1) - - -
Net unrealized appreciation (depreciation)
Unaffiliated issuers (2,888,708) (1,332,985) (936,590)
Affiliated issuers(1) - - -
----------------------------------------------------
Total investments at value 334,064,470 406,479,657 6,796,969
Cash - - 634
Foreign currency(2) - - -
Receivables:
Investments sold 23,342,784 4,389,244 28,650
Fund shares sold 122,317 79,591 -
Dividends and interest 517,040 118,129 7,573
Other assets 54,992 120,499 -
----------------------------------------------------
Total Assets 358,101,603 411,187,120 6,833,826
----------------------------------------------------
LIABILITIES:
Unrealized depreciation of forward currency contracts - - -
Payables:
Investments purchased 27,118,124 5,232,441 168,653
Upon return of securities loaned 61,343,882 85,710,287 -
Fund shares redeemed 177,156 115,619 13,021
Accrued management fees 233,014 232,390 6,320
Accrued expenses and other payables 20,328 23,032 551
----------------------------------------------------
Total Liabilities 88,892,504 91,313,769 188,545
----------------------------------------------------
Net assets applicable to outstanding capital stock $269,209,099 $319,873,351 $6,645,281
====================================================
REPRESENTED BY:
Capital stock and additional paid-in capital $275,527,356 $331,657,092 $7,576,910
Accumulated undistributed (over-distributed)
net investment income (loss) 1,997,975 (145,682) 25,188
Accumulated net realized gain (loss) on investments and
foreign currency related transactions (5,427,524) (10,305,140) (20,227)
Unrealized appreciation (depreciation) of investments
(including appreciation (depreciation) of foreign currency
related transactions) (2,888,708) (1,332,919) (936,590)
----------------------------------------------------
Total net assets - representing net assets applicable to
outstanding capital stock $269,209,099 $319,873,351 $6,645,281
====================================================
Number of Class Z Shares issued and outstanding 19,153,703 60,695,602 787,080
====================================================
NET ASSET VALUE per share of outstanding capital stock,
offering price and redemption price $ 14.06 $ 5.27 $ 8.44
====================================================
- -------------------------------------------------------
(1) See Note 10 for information on affiliated issuers.
(2) Cost of Foreign Currency of $16,816 and $137,689 for the Global Securities
and International Stock Funds, respectively.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
76
================================================================================
- --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET
SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT
GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND
==================================================================================================================
$6,523,265 $59,843,179 $137,733,629 $4,859,332 $4,374,031 $3,176,364
- - - 2,390,169 2,351,012 1,706,133
(113) (9,778,357) 5,401,191 (196,283) (190,616) (150,482)
- - - (112,860) (102,733) (79,503)
- ------------------------------------------------------------------------------------------------------------------
6,523,152 50,064,822 143,134,820 6,940,358 6,431,694 4,652,512
- - 31,781 - - -
- 17,088 137,621 - - -
- 157,294 1,995,628 - - -
456 2 26,231 27,627 16,156 15,029
1,816 105,167 481,713 16 18 20
- 9,778 77,929 - - -
- ------------------------------------------------------------------------------------------------------------------
6,525,424 50,354,151 145,885,723 6,968,001 6,447,868 4,667,561
- ------------------------------------------------------------------------------------------------------------------
- 38,164 - - - -
- 109,211 577,052 27,627 16,156 15,029
- 6,388,355 10,653,651 - - -
- 23,981 155,866 - - -
5,873 35,624 137,276 2,146 1,999 806
552 2,852 12,300 167 122 106
- ------------------------------------------------------------------------------------------------------------------
6,425 6,598,187 11,536,145 29,940 18,277 15,941
- ------------------------------------------------------------------------------------------------------------------
$6,518,999 $43,755,964 $134,349,578 $6,938,061 $6,429,591 $4,651,620
==================================================================================================================
$7,103,268 $52,890,507 $124,694,614 $7,307,045 $6,749,789 $4,934,761
81 903,767 1,833,321 24,500 11,173 (143)
(584,237) (223,726) 2,400,097 (84,341) (38,022) (53,013)
(113) (9,814,584) 5,421,546 (309,143) (293,349) (229,985)
- ------------------------------------------------------------------------------------------------------------------
$6,518,999 $43,755,964 $134,349,578 $6,938,061 $6,429,591 $4,651,620
==================================================================================================================
719,387 5,082,069 11,923,490 772,213 729,519 536,066
==================================================================================================================
$ 9.06 $ 8.61 $ 11.27 $ 8.98 $ 8.81 $ 8.68
==================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
77
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
==========================================================================================================================
INVESTMENT INCOME:
Interest $ 1,071 $ 3,830 $ 1,958
Dividends
Unaffiliated issuers 729,967 1,043,644 67,559
Affiliated issuers(1) 613,068 989,378 -
Less: Foreign taxes withheld - - -
Securities lending income - - -
-----------------------------------------------------
Total investment income 1,344,106 2,036,852 69,517
-----------------------------------------------------
EXPENSES:
Management fees 136,596 372,151 118,571
Trustees' fees 1,008 3,316 1,036
Audit fees 3,300 8,112 3,321
Compliance expense 1,303 4,286 1,339
-----------------------------------------------------
Total expenses before management fee reduction 142,207 387,865 124,267
Less management fee reduction (27,355) (77,619) (24,474)
-----------------------------------------------------
Total expenses net of management fee reduction 114,852 310,246 99,793
-----------------------------------------------------
1,229,254 1,726,606 (30,276)
-----------------------------------------------------
NET INVESTMENT INCOME (LOSS)
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 (1,124,994) (2,765,515) (728,102)
Affiliated issuers(1) (240,192) (3,197,292) (1,573,424)
Capital gain distributions received from underlying funds
Unaffiliated issuers 144,003 1,722 -
Net change in unrealized appreciation (depreciation) on
investments (including net unrealized appreciation
(depreciation) on foreign currency related transactions) (2,404,237) (8,712,340) (3,793,970)
-----------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (3,625,420) (14,673,425) (6,095,496)
-----------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (2,396,166) $(12,946,819) $(6,125,772)
=====================================================
- -------------------------------------------------------
(1) See Note 10 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
78
================================================================================
- --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP
FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND
===================================================================================================================
$1,522,885 $16,570,541 $ 4,933,030 $ 9,002,250 $ 47,256 $ 57,049
- - - 5,124,868 14,702,860 3,931,033
- - - - - -
- - - - (8,917) (9,805)
- 653,555 60,588 282,477 147,755 168,576
- -------------------------------------------------------------------------------------------------------------------
1,522,885 17,224,096 4,993,618 14,409,595 14,888,954 4,146,853
- -------------------------------------------------------------------------------------------------------------------
265,006 1,755,808 471,536 2,048,308 3,140,030 2,423,525
1,731 9,575 1,887 9,233 17,132 10,083
5,373 14,505 3,007 14,293 20,611 14,971
2,237 12,378 2,441 11,937 22,148 13,035
- -------------------------------------------------------------------------------------------------------------------
274,347 1,792,266 478,871 2,083,771 3,199,921 2,461,614
- - - - - -
- -------------------------------------------------------------------------------------------------------------------
281,957 1,819,149 484,319 2,110,001 3,242,680 2,489,620
- -------------------------------------------------------------------------------------------------------------------
1,248,538 15,431,830 4,514,747 12,325,824 11,689,033 1,685,239
- -------------------------------------------------------------------------------------------------------------------
19,466 541,203 (5,904,039) (3,236,848) 12,549,995 (10,496,712)
- - - - - -
- - - - - -
- (9,733,586) 216,416 (48,521,654) (175,929,256) (42,543,933)
- -------------------------------------------------------------------------------------------------------------------
19,466 (9,192,383) (5,687,623) (51,758,502) (163,379,261) (53,040,645)
- -------------------------------------------------------------------------------------------------------------------
$1,268,004 $ 6,239,447 $(1,172,876) $(39,432,678) $(151,690,228) $(51,355,406)
===================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
79
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP
VALUE FUND GROWTH FUND VALUE FUND
========================================================================================================================
INVESTMENT INCOME:
Interest $ 42,230 $ 91,048 $ 4,316
Dividends
Unaffiliated issuers 3,128,066 727,315 54,900
Affiliated issuers(3) - - -
Less: Foreign taxes withheld - (5,014) -
Securities lending income 270,636 454,820 -
---------------------------------------------------
Total investment income 3,440,932 1,268,169 59,216
---------------------------------------------------
EXPENSES:
Management fees 1,422,699 1,390,926 33,513
Trustees' fees 4,322 5,243 86
Audit fees 10,349 10,902 318
Compliance expense 5,587 6,780 111
---------------------------------------------------
Total expenses 1,442,957 1,413,851 34,028
---------------------------------------------------
NET INVESTMENT INCOME (LOSS) 1,997,975 (145,682) 25,188
---------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments (including net realized
gain (loss) on foreign currency related transactions)(1)
Unaffiliated issuers (5,286,642) (5,783,787) 25,202
Affiliated issuers(3) - - -
Capital gain distributions received from underlying funds
Unaffiliated issuers - - -
Net change in unrealized (depreciation) on
investments (including net unrealized
(depreciation) on foreign currency related transactions)(2) (22,144,014) (20,798,361) (338,327)
---------------------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (27,430,656) (26,582,148) (313,125)
---------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $(25,432,681) $(26,727,830) $(287,937)
===================================================
- -------------------------------------------------------
(1) Includes foreign capital gains taxes paid of $1 and $38,157 for the Global
Securities and International Stock Funds, respectively.
(2) Net of deferred foreign capital gains taxes of $1,187 for the International
Stock Fund.
(3) See Note 10 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
80
================================================================================
- --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET
SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT
GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND
============================================================================================================
$ 3,831 $ 8,001 $ 45,137 $ 68 $ 70 $ 69
28,949 1,236,089 3,485,352 16,663 7,406 4,721
- - - 16,809 11,568 614
- (81,228) (305,138) - - -
- 46,980 107,545 - - -
- ------------------------------------------------------------------------------------------------------------
32,780 1,209,842 3,332,896 33,540 19,044 5,404
- ------------------------------------------------------------------------------------------------------------
32,162 231,509 878,026 8,873 7,749 5,441
93 599 2,266 38 24 18
324 1,478 6,800 80 69 64
120 775 2,928 49 29 24
- ------------------------------------------------------------------------------------------------------------
32,699 234,361 890,020 9,040 7,871 5,547
- ------------------------------------------------------------------------------------------------------------
81 975,481 2,442,876 24,500 11,173 (143)
- ------------------------------------------------------------------------------------------------------------
(546,471) (215,308) 3,047,352 (56,278) (26,072) (36,420)
- - - (25,851) (12,916) (15,512)
- - - 2,023 1,349 -
(4,424) (8,767,406) (24,656,800) (190,879) (202,792) (137,928)
- ------------------------------------------------------------------------------------------------------------
(550,895) (8,982,714) (21,609,448) (270,985) (240,431) (189,860)
- ------------------------------------------------------------------------------------------------------------
$(550,814) $(8,007,233) $(19,166,572) $(246,485) $(229,258) $(190,003)
============================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
81
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE
ALLOCATION FUND ALLOCATION FUND
================================ ===============================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
6/30/08 YEAR ENDED 6/30/08 YEAR ENDED
(unaudited) 12/31/07 (unaudited) 12/31/07
================================================================================================================================
OPERATIONS:
Net investment income (loss) $ 1,229,254 $ 1,315,944 $ 1,726,606 $ 2,980,013
Net realized gain (loss) on investments (1,221,183) 1,131,426 (5,961,085) 5,264,470
Net change in unrealized (depreciation)
on investments (2,404,237) (1,628,228) (8,712,340) (4,924,759)
------------------------------------------------------------------------
Increase (decrease) in net assets
from operations (2,396,166) 819,142 (12,946,819) 3,319,724
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (1,337,594) - (3,543,202)
Realized gains on investments (1,067,962) (124,860) (4,983,537) (885,283)
------------------------------------------------------------------------
Change in net assets from distributions (1,067,962) (1,462,454) (4,983,537) (4,428,485)
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 52,033,660 61,428,617 82,325,267 181,374,016
Net asset value of shares issued in
reinvestment of distributions 1,067,962 1,462,454 4,983,537 4,428,485
------------------------------------------------------------------------
53,101,622 62,891,071 87,308,804 185,802,501
Cost of shares repurchased (6,168,020) (4,613,331) (3,091,270) (3,406,601)
------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital share transactions 46,933,602 58,277,740 84,217,534 182,395,900
------------------------------------------------------------------------
43,469,474 57,634,428 66,287,178 181,287,139
------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS
NET ASSETS:
Beginning of year $ 66,747,325 $ 9,112,897 $218,280,994 $ 36,993,855
------------------------------------------------------------------------
End of year $110,216,799 $66,747,325 $284,568,172 $218,280,994
========================================================================
Undistributed (distribution in excess of)
net investment income included in net assets $ 1,229,254 $ - $ 1,726,606 $ -
========================================================================
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 4,888,468 5,625,040 7,616,292 15,964,667
Shares issued in reinvestment of distributions 101,388 135,786 465,161 393,825
------------------------------------------------------------------------
4,989,856 5,760,826 8,081,453 16,358,492
Shares redeemed (575,190) (420,633) (280,501) (299,137)
------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 4,414,666 5,340,193 7,800,952 16,059,355
========================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
82
================================================================================
- --------------------------------------------------------------------------------
AGGRESSIVE
ALLOCATION FUND MONEY MARKET FUND BOND FUND
=============================== =================================== ================================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
6/30/08 YEAR ENDED 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED
(unaudited) 12/31/07 (unaudited) 12/31/07 (unaudited) 12/31/07
=====================================================================================================================
$ (30,276) $ 365,406 $ 1,248,538 $ 5,112,129 $ 15,431,830 $ 30,881,540
(2,301,526) 2,991,440 19,466 1,312 541,203 (4,743,510)
(3,793,970) (996,895) - - (9,733,586) 5,540,265
- --------------------------------------------------------------------------------------------------------------------
(6,125,772) 2,359,951 1,268,004 5,113,441 6,239,447 31,678,295
- --------------------------------------------------------------------------------------------------------------------
- (747,349) (1,268,004) (5,113,441) (205,601) (26,026,147)
(2,705,263) (1,054,128) - - - -
- --------------------------------------------------------------------------------------------------------------------
(2,705,263) (1,801,477) (1,268,004) (5,113,441) (205,601) (26,026,147)
29,869,029 47,262,363 37,698,332 98,409,862 15,776,080 54,574,518
2,705,263 1,801,477 1,268,004 5,072,748 205,601 26,026,147
- --------------------------------------------------------------------------------------------------------------------
32,574,292 49,063,840 38,966,336 103,482,610 15,981,681 80,600,665
(1,131,928) (3,049,096) (39,180,094) (92,612,240) (48,745,647) (99,291,968)
- --------------------------------------------------------------------------------------------------------------------
31,442,364 46,014,744 (213,758) 10,870,370 (32,763,966) (18,691,303)
- --------------------------------------------------------------------------------------------------------------------
22,611,329 46,573,218 (213,758) 10,870,370 (26,730,120) (13,039,155)
- --------------------------------------------------------------------------------------------------------------------
$68,119,997 $21,546,779 $111,332,534 $100,462,164 $646,233,453 $659,272,608
- --------------------------------------------------------------------------------------------------------------------
$90,731,326 $68,119,997 $111,118,776 $111,332,534 $619,503,333 $646,233,453
====================================================================================================================
$ (30,276) $ - $ (19,466) $ - $ 15,431,830 $ 205,601
====================================================================================================================
2,740,158 4,030,257 37,698,332 98,409,862 1,529,071 5,322,584
250,731 155,012 1,268,004 5,072,748 20,263 2,562,733
- --------------------------------------------------------------------------------------------------------------------
2,990,889 4,185,269 38,966,336 103,482,610 1,549,334 7,885,317
(104,923) (258,269) (39,180,094) (92,612,240) (4,730,184) (9,682,054)
- --------------------------------------------------------------------------------------------------------------------
2,885,966 3,927,000 (213,758) 10,870,370 (3,180,850) (1,796,737)
====================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
83
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
HIGH INCOME FUND DIVERSIFIED INCOME FUND
================================ ================================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
6/30/08 YEAR ENDED 6/30/08 YEAR ENDED
(unaudited) 12/31/07 (unaudited) 12/31/07
==============================================================================================================================
OPERATIONS:
Net investment income $ 4,514,747 $ 11,293,723 $ 12,325,824 $ 29,174,710
Net realized gain (loss) on investments (5,904,039) (1,916,036) (3,236,848) 14,511,757
Net change in unrealized appreciation
(depreciation) on investments 216,416 (6,104,762) (48,521,654) (25,941,465)
------------------------------------------------------------------------
Increase (decrease) in net assets
from operations (1,172,876) 3,272,925 (39,432,678) 17,745,002
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (580,666) (10,814,779) (256,183) (26,851,759)
Realized gains on investments - (66,885) (534,313) (17,304,597)
------------------------------------------------------------------------
Change in net assets from distributions (580,666) (10,881,664) (790,496) (44,156,356)
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 959,957 9,502,847 3,287,362 9,738,908
Net asset value of shares issued in
reinvestment of distributions 580,666 10,881,664 790,496 44,156,356
------------------------------------------------------------------------
1,540,623 20,384,511 4,077,858 53,895,264
Cost of shares repurchased (13,193,138) (30,988,573) (64,621,247) (125,758,306)
------------------------------------------------------------------------
Net (decrease) in net assets
from capital share transactions (11,652,515) (10,604,062) (60,543,389) (71,863,042)
------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (13,406,057) (18,212,801) (100,766,563) (98,274,396)
------------------------------------------------------------------------
NET ASSETS:
Beginning of year $135,044,915 $153,257,716 $637,606,291 $735,880,687
------------------------------------------------------------------------
End of year $121,638,858 $135,044,915 $536,839,728 $637,606,291
------------------------------------------------------------------------
Undistributed net investment income
included in net assets $ 4,395,880 $ 461,799 $ 12,325,824 $ 256,183
------------------------------------------------------------------------
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 102,730 932,906 192,999 522,491
Shares issued in reinvestment of distributions 60,804 1,140,146 47,206 2,498,744
------------------------------------------------------------------------
163,534 2,073,052 240,205 3,021,235
Shares redeemed (1,406,845) (3,001,873) (3,770,016) (6,690,445)
------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (1,243,311) (928,821) (3,529,811) (3,669,210)
========================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
84
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID CAP VALUE FUND
================================== =================================== ================================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
6/30/08 YEAR ENDED 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED
(unaudited) 12/31/07 (unaudited) 12/31/07 (unaudited) 12/31/07
========================================================================================================================
$ 11,689,033 $ 25,140,565 $ 1,685,239 $ 2,277,274 $ 1,997,975 $ 4,046,841
12,549,995 110,518,250 (10,496,712) 51,827,163 (5,286,642) 37,003,319
(175,929,256) (122,534,310) (42,543,933) 23,625,381 (22,144,014) (38,436,046)
- ------------------------------------------------------------------------------------------------------------------------
(151,690,228) 13,124,505 (51,355,406) 77,729,818 (25,432,681) 2,614,114
- ------------------------------------------------------------------------------------------------------------------------
(238,093) (24,834,958) (32,874) (2,309,437) (325,430) (3,321,111)
(840,025) (110,586,111) (1,186,434) (19,098,900) (403,215) (37,639,303)
- ------------------------------------------------------------------------------------------------------------------------
(1,078,118) (135,421,069) (1,219,308) (21,408,337) (728,645) (40,960,414)
5,791,375 29,802,595 40,467,950 24,927,525 6,461,907 30,738,583
1,078,118 135,421,069 1,219,308 21,408,337 728,645 40,960,414
- ------------------------------------------------------------------------------------------------------------------------
6,869,493 165,223,664 41,687,258 46,335,862 7,190,552 71,698,997
(150,284,901) (204,271,626) (63,561,717) (107,178,673) (29,158,477) (59,227,022)
- ------------------------------------------------------------------------------------------------------------------------
(143,415,408) (39,047,962) (21,874,459) (60,842,811) (21,967,925) 12,471,975
- ------------------------------------------------------------------------------------------------------------------------
(296,183,754) (161,344,526) (74,449,173) (4,521,330) (48,129,251) (25,874,325)
- ------------------------------------------------------------------------------------------------------------------------
$1,229,433,349 $1,390,777,875 $665,239,561 $669,760,891 $317,338,350 $343,212,675
- ------------------------------------------------------------------------------------------------------------------------
$ 933,249,595 $1,229,433,349 $590,790,388 $665,239,561 $269,209,099 $317,338,350
- ------------------------------------------------------------------------------------------------------------------------
$ 11,689,033 $ 238,093 $ 1,685,239 $ 32,874 $ 1,997,975 $ 325,430
========================================================================================================================
199,228 838,613 1,914,353 1,072,115 445,472 1,688,545
37,163 4,271,398 54,227 909,546 48,802 2,652,712
- ------------------------------------------------------------------------------------------------------------------------
236,391 5,110,011 1,968,580 1,981,661 494,274 4,341,257
(5,103,696) (5,645,811) (2,902,191) (4,692,774) (2,033,193) (3,210,992)
- ------------------------------------------------------------------------------------------------------------------------
(4,867,305) (535,800) (933,611) (2,711,113) (1,538,919) 1,130,265
========================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
85
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND SMALL CAP VALUE FUND
================================ ================================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED
6/30/08 YEAR ENDED 6/30/08 INCEPTION
(unaudited) 12/31/07 (unaudited) to 12/31/07(1)
==============================================================================================================================
OPERATIONS:
Net investment income (loss) $ (145,682) $ (1,590,143) $ 25,188 $ 50,654
Net realized gain (loss) on investments (5,783,787) 36,181,585 25,202 19,717
Net change in unrealized appreciation
(depreciation) on investments (20,798,361) (3,421,053) (338,327) (598,263)
------------------------------------------------------------------------
Increase (decrease) in net assets
from operations (26,727,830) 31,170,389 (287,937) (527,892)
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - - (854) (49,800)
Realized gains on investments (3,840,199) (37,588,559) (1,246) (63,900)
------------------------------------------------------------------------
Change in net assets from distributions (3,840,199) (37,588,559) (2,100) (113,700)
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 5,154,916 21,510,473 1,619,892 6,215,991
Net asset value of shares issued in
reinvestment of distributions 3,840,199 37,588,559 2,100 113,700
------------------------------------------------------------------------
8,995,115 59,099,032 1,621,992 6,329,691
Cost of shares repurchased (25,871,997) (59,407,053) (310,334) (64,439)
------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital share transactions (16,876,882) (308,021) 1,311,658 6,265,252
------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (47,444,911) (6,726,191) 1,021,621 5,623,660
------------------------------------------------------------------------
NET ASSETS:
Beginning of year $367,318,262 $374,044,453 $5,623,660 $ -
------------------------------------------------------------------------
End of year $319,873,351 $367,318,262 $6,645,281 $5,623,660
========================================================================
Undistributed (distribution in excess of)
net investment income included in net assets $ (145,682) $ - $ 25,188 $ 854
========================================================================
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 962,293 3,337,309 189,804 629,326
Shares issued in reinvestment of distributions 697,937 6,407,545 230 12,732
------------------------------------------------------------------------
1,660,230 9,744,854 190,034 642,058
Shares redeemed (4,869,150) (9,354,812) (37,934) (7,078)
------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (3,208,920) 390,042 152,100 634,980
========================================================================
- -------------------------------------------------------
(1) Fund commenced investment operations on May 1, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
86
================================================================================
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND
================================== =================================== ================================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED FOR THE ENDED FOR THE
6/30/08 INCEPTION 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED
(unaudited) to 12/31/07(1) (unaudited) 12/31/07 (unaudited) 12/31/07
========================================================================================================================
$ 81 $ 7,059 $ 975,481 $ 1,226,453 $ 2,442,876 $ 2,779,371
(546,471) 4,122 (215,308) 17,804,102 3,047,352 21,911,188
(4,424) 4,311 (8,767,406) (15,689,251) (24,656,800) (4,910,846)
- ------------------------------------------------------------------------------------------------------------------------
(550,814) 15,492 (8,007,233) 3,341,304 (19,166,572) 19,779,713
- ------------------------------------------------------------------------------------------------------------------------
(559) (6,500) (154,237) (1,145,322) - (3,443,415)
(788) (41,100) (667,981) (17,308,430) (6,216,528) (18,191,445)
- ------------------------------------------------------------------------------------------------------------------------
(1,347) (47,600) (822,218) (18,453,752) (6,216,528) (21,634,860)
1,229,658 6,065,122 803,934 5,117,282 2,525,048 22,698,217
1,347 47,600 822,218 18,453,752 6,216,528 21,634,860
- ------------------------------------------------------------------------------------------------------------------------
1,231,005 6,112,722 1,626,152 23,571,034 8,741,576 44,333,077
(193,741) (46,718) (5,074,806) (9,644,780) (13,160,205) (44,030,376)
- ------------------------------------------------------------------------------------------------------------------------
1,037,264 6,066,004 (3,448,654) 13,926,254 (4,418,629) 302,701
- ------------------------------------------------------------------------------------------------------------------------
485,103 6,033,896 (12,278,105) (1,186,194) (29,801,729) (1,552,446)
- ------------------------------------------------------------------------------------------------------------------------
$6,033,896 $ - $56,034,069 $57,220,263 $164,151,307 $165,703,753
- ------------------------------------------------------------------------------------------------------------------------
$6,518,999 $6,033,896 $43,755,964 $56,034,069 $134,349,578 $164,151,307
========================================================================================================================
$ 81 $ 559 $ 903,767 $ 82,523 $ 1,833,321 $ (609,555)
========================================================================================================================
134,695 606,417 85,933 341,627 204,320 1,554,388
145 4,750 91,310 1,762,108 534,911 1,595,705
- ------------------------------------------------------------------------------------------------------------------------
134,840 611,167 177,243 2,103,735 739,231 3,150,093
(22,046) (4,574) (537,712) (645,065) (1,068,143) (2,921,343)
- ------------------------------------------------------------------------------------------------------------------------
112,794 606,593 (360,469) 1,458,670 (328,912) 228,750
========================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
87
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2020 FUND TARGET RETIREMENT 2030 FUND
================================ ================================
SIX MONTHS SIX MONTHS
ENDED ENDED
6/30/08 INCEPTION 6/30/08 INCEPTION
(unaudited) to 12/31/07(1) (unaudited) to 12/31/07(1)
==============================================================================================================================
OPERATIONS:
Net investment income (loss) $ 24,500 $ 22,279 $ 11,173 $ 10,338
Net realized gain (loss) on investments (80,106) 64,758 (37,639) 52,208
Net change in unrealized (depreciation)
on investments (190,879) (118,264) (202,792) (90,557)
------------------------------------------------------------------------
Decrease in net assets from operations (246,485) (31,227) (229,258) (28,011)
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (12,789) (45,500) (5,591) (31,900)
Realized gains on investments (32,983) - (25,438) -
------------------------------------------------------------------------
Change in net assets from distributions (45,772) (45,500) (31,029) (31,900)
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 5,149,631 2,607,664 5,361,383 1,554,233
Net asset value of shares issued in
reinvestment of distributions 45,772 45,500 31,029 31,900
------------------------------------------------------------------------
5,195,403 2,653,164 5,392,412 1,586,133
Cost of shares repurchased (489,077) (52,445) (224,012) (4,744)
------------------------------------------------------------------------
Net increase in net assets
from capital share transactions 4,706,326 2,600,719 5,168,400 1,581,389
------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 4,414,069 2,523,992 4,908,113 1,521,478
------------------------------------------------------------------------
NET ASSETS:
Beginning of year $2,523,992 $ - $1,521,478 $ -
------------------------------------------------------------------------
End of year $6,938,061 $2,523,992 $6,429,591 $1,521,478
========================================================================
Undistributed (distribution in excess of)
net investment income included in net assets $ 24,500 $ 12,789 $ 11,173 $ 5,591
========================================================================
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 558,664 262,957 591,259 156,630
Shares issued in reinvestment of distributions 4,940 4,697 3,396 3,329
------------------------------------------------------------------------
563,604 267,654 594,655 159,959
Shares redeemed (53,554) (5,491) (24,596) (499)
------------------------------------------------------------------------
Net increase in shares outstanding 510,050 262,163 570,059 159,460
========================================================================
- -------------------------------------------------------
(1) Fund commenced investment operations on October 1, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
88
================================================================================
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2040 FUND
================================
SIX MONTHS
ENDED
6/30/08 INCEPTION
(unaudited) to 12/31/07(1)
================================
$ (143) $ 7,786
(51,932) 49,483
(137,928) (92,057)
- --------------------------------
(190,003) (34,788)
- --------------------------------
(5,485) (28,400)
(24,465) -
- --------------------------------
(29,950) (28,400)
3,895,049 1,240,553
29,950 28,400
- --------------------------------
3,924,999 1,268,953
(246,371) (12,820)
- --------------------------------
3,678,628 1,256,133
- --------------------------------
3,458,675 1,192,945
- --------------------------------
$1,192,945 $ -
- --------------------------------
$4,651,620 $1,192,945
================================
$ (143) $ 5,485
================================
434,895 124,175
3,322 2,980
- --------------------------------
438,217 127,155
(27,953) (1,353)
- --------------------------------
410,264 125,802
================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
89
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
======================================================
SIX MONTHS
ENDED FOR THE
6/30/08 YEAR ENDED INCEPTION
(unaudited) 12/31/07 to 12/31/06(1)
==============================================================================================================================
NET ASSET VALUE at beginning of period $ 10.77 $ 10.60 $ 10.00
------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.14 0.45 0.23
Net realized and unrealized gain (loss) on investments (0.43) (0.03) 0.51
------------------------------------------------------
Total from investment operations (0.29) 0.42 0.74
------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.23) (0.14)
Distributions from capital gains (0.10) (0.02) -
------------------------------------------------------
Total distributions (0.10) (0.25) (0.14)
------------------------------------------------------
Net increase (decrease) in net asset value (0.39) 0.17 0.60
------------------------------------------------------
NET ASSET VALUE at end of period $ 10.38 $ 10.77 $ 10.60
======================================================
TOTAL RETURN(3) (2.60)%(5) 3.92% 7.34%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $110,217 $ 66,747 $ 9,113
Ratio of expenses to average net assets
Before management fee reduction 0.31%(6) 0.31% 0.34%(6)
After management fee reduction 0.25%(6) 0.21% 0.24%(6)
Ratio of net investment income to average net assets 2.70%(6) 4.12% 4.25%(6)
Portfolio Turnover 43%(5) 28% 24%(5)
MODERATE ALLOCATION FUND
======================================================
SIX MONTHS
ENDED FOR THE
6/30/08 YEAR ENDED INCEPTION
(unaudited) 12/31/07 to 12/31/06(1)
==============================================================================================================================
NET ASSET VALUE at beginning of period $ 11.21 $ 10.86 $ 10.00
------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.07 0.28 0.20
Net realized and unrealized gain (loss) on investments (0.65) 0.32 0.79
------------------------------------------------------
Total from investment operations (0.58) 0.60 0.99
------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.19) (0.13)
Distributions from capital gains (0.19) (0.06) (0.00)(4)
------------------------------------------------------
Total distributions (0.19) (0.25) (0.13)
------------------------------------------------------
Net increase (decrease) in net asset value (0.77) 0.35 0.86
------------------------------------------------------
NET ASSET VALUE at end of period $ 10.44 $ 11.21 $ 10.86
======================================================
TOTAL RETURN(3) (5.26)%(5) 5.56% 9.87%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $284,568 $218,281 $36,994
Ratio of expenses to average net assets
Before management fee reduction 0.31%(6) 0.31% 0.34%(6)
After management fee reduction 0.25%(6) 0.21% 0.24%(6)
Ratio of net investment income to average net assets 1.39%(6) 2.45% 3.74%(6)
Portfolio Turnover 35%(5) 29% 23%(5)
- -------------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Based on average shares outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
90
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND
======================================================
SIX MONTHS
ENDED FOR THE
6/30/08 YEAR ENDED INCEPTION
(unaudited) 12/31/07 to 12/31/06(1)
==============================================================================================================================
NET ASSET VALUE at beginning of period $ 11.61 $ 11.10 $ 10.00
------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) (0.00)(4) 0.09 0.15
Net realized and unrealized gain (loss) on investments (0.91) 0.77 1.10
------------------------------------------------------
Total from investment operations (0.91) 0.86 1.25
------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.14) (0.15)
Distributions from capital gains (0.33) (0.21) -
------------------------------------------------------
Total distributions (0.33) (0.35) (0.15)
------------------------------------------------------
Net increase (decrease) in net asset value (1.24) 0.51 1.10
------------------------------------------------------
NET ASSET VALUE at end of period $ 10.37 $ 11.61 $ 11.10
======================================================
TOTAL RETURN(3) (8.00)%(5) 7.69% 12.49%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 90,731 $ 68,120 $ 21,547
Ratio of expenses to average net assets
Before management fee reduction 0.31%(6) 0.31% 0.33%(6)
After management fee reduction 0.25%(6) 0.21% 0.23%(6)
Ratio of net investment income to average net assets (0.08)%(6) 0.79% 2.71%(6)
Portfolio Turnover 28%(5) 46% 21%(5)
MONEY MARKET FUND
=======================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 -------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==============================================================================================================================
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(2) 0.01 0.05 0.04 0.03 0.01 0.01
Net realized and unrealized gain on investments 0.00(4) 0.00(4) 0.00(4) - 0.00(4) 0.00(4)
-----------------------------------------------------------------------
Total from investment operations 0.01 0.05 0.04 0.03 0.01 0.01
-----------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.05) (0.04) (0.03) (0.01) (0.01)
-----------------------------------------------------------------------
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(3) 1.10%(5) 4.71% 4.54% 2.78% 0.92% 0.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $111,119 $111,333 $100,462 $94,637 $129,004 $141,376
Ratio of expenses to average net assets 0.47%(6) 0.46% 0.46% 0.46% 0.45% 0.45%
Ratio of net investment income to average net assets 2.12%(6) 4.58% 4.42% 2.73% 0.90% 0.75%
- -------------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Based on average shares outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
91
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
-----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 -------------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE at beginning of period $ 10.19 $ 10.11 $ 10.17 $ 10.34 $ 10.43 $ 10.59
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.25 0.49 0.47 0.42 0.42 0.46
Net realized and unrealized gain (loss)
on investments (0.16) 0.02 (0.06) (0.16) (0.07) (0.14)
-----------------------------------------------------------------------------
Total from investment operations 0.09 0.51 0.41 0.26 0.35 0.32
-----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(3) (0.43) (0.47) (0.43) (0.44) (0.48)
-----------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.09 0.08 (0.06) (0.17) (0.09) (0.16)
-----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.28 $ 10.19 $ 10.11 $ 10.17 $ 10.34 $ 10.43
-----------------------------------------------------------------------------
TOTAL RETURN(2) 0.96%(4) 5.05% 4.01% 2.51% 3.36% 3.05%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $619,503 $646,233 $659,273 $623,976 $574,156 $552,311
Ratio of expenses to average net assets 0.56%(5) 0.56% 0.56% 0.56% 0.55% 0.55%
Ratio of net investment income to average
net assets 4.84%(5) 4.81% 4.54% 4.06% 4.02% 4.29%
Portfolio Turnover 5%(4) 29% 27% 51% 67% 82%
HIGH INCOME FUND
-----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 -------------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE at beginning of period $ 9.54 $ 10.16 $ 10.01 $ 10.40 $ 10.16 $ 9.04
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.34 0.76 0.74 0.68 0.74 0.72
Net realized and unrealized gain (loss)
on investments (0.42) (0.53) 0.16 (0.42) 0.16 0.93
-----------------------------------------------------------------------------
Total from investment operations (0.08) 0.23 0.90 0.26 0.90 1.65
-----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.04) (0.85) (0.74) (0.65) (0.66) (0.53)
Distributions from capital gains - (0.00)(3) (0.01) - - -
-----------------------------------------------------------------------------
Total distributions (0.04) (0.85) (0.75) (0.65) (0.66) (0.53)
-----------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.12) (0.62) 0.15 (0.39) 0.24 1.12
-----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.42 $ 9.54 $ 10.16 $ 10.01 $ 10.40 $ 10.16
-----------------------------------------------------------------------------
TOTAL RETURN(2) (0.79)%(4) 2.29% 9.03% 2.51% 8.92% 18.46%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $121,639 $135,045 $153,528 $134,032 $118,318 $88,240
Ratio of expenses to average net assets 0.76%(5) 0.76% 0.77% 0.76% 0.76% 0.75%
Ratio of net investment income to average
net assets 7.19%(5) 7.27% 7.12% 6.47% 7.08% 7.29%
Portfolio Turnover 31%(4) 73% 64% 86%(6) 58% 45%
- -------------------------------------------------------
(1) Based on average shares outstanding during the year.
(2) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
(3) Amount represents less than $0.005 per share.
(4) Not annualized.
(5) Annualized.
(6) Subadviser change February 28, 2005.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
92
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND
-------------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ---------------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE at beginning of period $ 17.62 $ 18.46 $ 19.40 $ 19.11 $ 18.04 $ 15.85
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.36 0.79 0.49 0.42 0.43 0.45
Net realized and unrealized gain (loss)
on investments (1.52) (0.32) 1.45 0.32 1.08 2.18
-------------------------------------------------------------------------------
Total from investment operations (1.16) 0.47 1.94 0.74 1.51 2.63
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.80) (0.55) (0.45) (0.44) (0.44)
Distributions from capital gains (0.01) (0.51) (2.33) - - -
-------------------------------------------------------------------------------
Total distributions (0.02) (1.31) (2.88) (0.45) (0.44) (0.44)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.18) (0.84) (0.94) 0.29 1.07 2.19
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 16.44 $ 17.62 $ 18.46 $ 19.40 $ 19.11 $ 18.04
===============================================================================
TOTAL RETURN(2) (6.57)%(3) 32.51% 9.98%(5) 53.89% 8.34% 16.82%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $536,840 $637,606 $735,881 $785,301 $785,856 $712,180
Ratio of expenses to average net assets 0.71%(4) 0.71% 0.71% 0.71% 0.70% 0.70%
Ratio of net investment income to average
net assets 4.22%(4) 4.21% 2.52% 2.18% 2.34% 2.66%
Portfolio Turnover 8%(3) 41% 62% 52% 38% 39%
LARGE CAP VALUE FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ------------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE at beginning of period $ 31.49 $ 35.14 $ 31.62 $ 30.47 $ 27.52 $ 22.20
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income1 0.33 0.68 0.65 0.54 0.46 0.40
Net realized and unrealized gain (loss)
on investments (4.49) (0.45) 5.87 1.16 2.95 5.31
----------------------------------------------------------------------------
Total from investment operations (4.16) 0.23 6.52 1.70 3.41 5.71
----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.71) (0.67) (0.55) (0.46) (0.39)
Distributions from capital gains (0.02) (3.17) (2.33) - - -
----------------------------------------------------------------------------
Total distributions (0.03) (3.88) (3.00) (0.55) (0.46) (0.39)
----------------------------------------------------------------------------
Net increase (decrease) in net asset value (4.19) (3.65) 3.52 1.15 2.95 5.32
----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 27.30 $ 31.49 $ 35.14 $ 31.62 $ 30.47 $ 27.52
----------------------------------------------------------------------------
TOTAL RETURN(2) (13.19)% 30.60% 20.55% 5.58% 12.43% 25.89%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $933,250 $1,229,433 $1,390,778 $1,239,868 $1,205,082 $1,065,972
Ratio of expenses to average net assets 0.61%(4) 0.61% 0.61% 0.61% 0.60% 0.60%
Ratio of net investment income to average
net assets 2.24%(4) 1.87% 1.91% 1.74% 1.67% 1.69%
Portfolio Turnover 22%(3) 45% 35% 28% 15% 17%
- -------------------------------------------------------
(1) Based on average shares outstanding during the year.
(2) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(3) Not annualized.
(4) Annualized.
(5) In 2006, 0.01% of the Fund's total return consisted of a voluntary
reimbursement by the Adviser for a realized investment loss. Excluding this
reimbursement, the total return would have been 9.97%.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
93
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ------------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE at beginning of period $ 23.36 $ 21.47 $ 19.97 $ 19.68 $ 18.19 $ 14.15
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.06 0.08 0.07 0.17 0.15 0.07
Net realized and unrealized gain (loss)
on investments (1.94) 2.59 1.51 0.30 1.48 4.05
----------------------------------------------------------------------------
Total from investment operations (1.88) 2.67 1.58 0.47 1.63 4.12
----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(3) (0.09) (0.08) (0.18) (0.14) (0.08)
Distributions from capital gains (0.04) (0.69) - - - -
----------------------------------------------------------------------------
Total distributions (0.04) (0.78) (0.08) (0.18) (0.14) (0.08)
----------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.92) 1.89 1.50 0.29 1.49 4.04
----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 21.44 $ 23.36 $ 21.47 $ 19.97 $ 19.68 $ 18.19
----------------------------------------------------------------------------
TOTAL RETURN(2) (8.00)%(4) 12.36% 7.88% 2.42% 8.94% 29.13%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $590,790 $665,240 $669,761 $688,812 $693,762 $617,603
Ratio of expenses to average net assets 0.81%(5) 0.81% 0.81% 0.81% 0.80% 0.80%
Ratio of net investment income to average
net assets 0.56%(5) 0.34% 0.35% 0.86% 0.82% 0.47%
Portfolio Turnover 72%(4) 76% 87% 73% 26% 29%
MID CAP VALUE FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ------------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE at beginning of period $ 15.34 $ 17.54 $ 17.30 $ 16.58 $ 14.66 $ 11.22
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.10 0.21 0.20 0.11 0.18 0.07
Net realized and unrealized gain (loss)
on investments (1.34) (0.15) 2.74 1.61 2.14 3.43
----------------------------------------------------------------------------
Total from investment operations (1.24) 0.06 2.94 1.72 2.32 3.50
----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.18) (0.20) (0.11) (0.15) (0.06)
Distributions from capital gains (0.02) (2.08) (2.50) (0.89) (0.25) -
----------------------------------------------------------------------------
Total distributions (0.04) (2.26) (2.70) (1.00) (0.40) (0.06)
----------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.28) (2.20) 0.24 0.72 1.92 3.44
----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.06 $ 15.34 $ 17.54 $ 17.30 $ 16.58 $ 14.66
----------------------------------------------------------------------------
TOTAL RETURN(2) (8.11)%(4) 0.25% 16.96% 10.32% 15.86% 31.21%
----------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $269,209 $317,338 $343,213 $275,279 $218,060 $158,698
Ratio of expenses to average net assets 1.02%(5) 1.01% 1.01% 1.01% 1.00% 1.00%
Ratio of net investment income to average
net assets 1.41%(5) 1.16% 1.12% 0.62% 1.20% 0.57%
Portfolio Turnover 50%(4) 68% 95% 29% 25% 22%
- -------------------------------------------------------
(1) Based on average shares outstanding during the year.
(2) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
(3) Amount represents less than $0.005 per share.
(4) Not annualized.
(5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
94
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
==========================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
=============================================================================================================================
NET ASSET VALUE at beginning of period $ 5.75 $ 5.89 $ 6.74 $ 6.80 $ 6.20 $ 4.67
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) (0.00)(4) (0.03) (0.02) (0.01) 0.00(4) (0.01)
Net realized and unrealized gain (loss)
on investments (0.42) 0.53 0.78 0.59 0.81 1.57
--------------------------------------------------------------------------
Total from investment operations (0.42) 0.50 0.76 0.58 0.81 1.56
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - - - - (0.00)(4) (0.00)(4)
Distributions from capital gains (0.06) (0.64) (1.61) (0.64) (0.21) (0.03)
--------------------------------------------------------------------------
Total distributions (0.06) (0.64) (1.61) (0.64) (0.21) (0.03)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.48) (0.14) (0.85) (0.06) 0.60 1.53
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 5.27 $ 5.75 $ 5.89 $ 6.74 $ 6.80 $ 6.20
==========================================================================
TOTAL RETURN(3) (7.21)%(5) 8.44% 11.38% 8.75% 13.41% 33.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $319,873 $367,318 $374,044 $373,921 $336,673 $268,929
Ratio of expenses to average net assets 0.86%(6) 0.86% 0.86% 0.86% 0.85% 0.85%
Ratio of net investment income to average
net assets (0.09)%(6) (0.41)% (0.22)% (0.13)% 0.04% (0.19)%
Portfolio Turnover 53%(5) 104% 204% 88% 77% 118%
SMALL CAP VALUE FUND
==========================
SIX MONTHS
ENDED
6/30/08 INCEPTION
(unaudited) to 12/31/07(1)
===================================================================================
NET ASSET VALUE at beginning of period $ 8.86 $10.00
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.04 0.09
Net realized and unrealized loss
on investments (0.46) (1.05)
---------------------------
Total from investment operations (0.42) (0.96)
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(4) (0.08)
Distributions from capital gains (0.00)(4) (0.10)
---------------------------
Total distributions (0.00) (0.18)
---------------------------
Net decrease in net asset value (0.42) (1.14)
---------------------------
NET ASSET VALUE at end of period $ 8.44 $ 8.86
===========================
TOTAL RETURN(3) (4.64)%(5) (9.62)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $6,645 $5,624
Ratio of expenses to average net assets 1.12%(6) 1.04%(6)
Ratio of net investment income to average net assets 0.83%(6) 1.45%(6)
Portfolio Turnover 16%(5) 13%(5)
- -------------------------------------------------------
(1) Commenced investment operations May 1, 2007.
(2) Based on average shares outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
95
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
===========================
SIX MONTHS
ENDED
6/30/08 INCEPTION
(unaudited) to 12/31/07(1)
===================================================================================
NET ASSET VALUE at beginning of period $ 9.95 $ 10.00
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.00(4) 0.01
Net realized and unrealized gain (loss)
on investments (0.89) 0.02
---------------------------
Total from investment operations (0.89) 0.03
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(4) (0.01)
Distributions from capital gains (0.00)(4) (0.07)
---------------------------
Total distributions (0.00) (0.08)
---------------------------
Net decrease in net asset value (0.89) (0.05)
---------------------------
NET ASSET VALUE at end of period $ 9.06 $ 9.95
===========================
TOTAL RETURN(3) (8.88)%(5) 0.26%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,519 $ 6,034
Ratio of expenses to average net assets 1.12%(6) 1.03%(6)
Ratio of net investment income to average net assets 0.00%(6,7) 0.19%(6)
Portfolio Turnover 52%(5) 75%(5)
GLOBAL SECURITIES FUND
==========================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==================================================================================================================================
NET ASSET VALUE at beginning of period $ 10.30 $ 14.36 $ 12.87 $ 11.49 $ 9.72 $ 6.94
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.19 0.31 0.14 0.09 0.06 0.05
Net realized and unrealized gain (loss)
on investments (1.72) 0.57 2.07 1.52 1.73 2.80
--------------------------------------------------------------------------
Total from investment operations (1.53) 0.88 2.21 1.61 1.79 2.85
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.03) (0.31) (0.16) (0.09) (0.02) (0.07)
Distributions from capital gains (0.13) (4.63) (0.56) (0.14) - -
--------------------------------------------------------------------------
Total distributions (0.16) (4.94) (0.72) (0.23) (0.02) (0.07)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (1.69) (4.06) 1.49 1.38 1.77 2.78
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 8.61 $ 10.30 $ 14.36 $ 12.87 $ 11.49 $ 9.72
==========================================================================
TOTAL RETURN(3) (14.77)%(5) 5.77% 17.38% 13.97% 18.42% 41.24%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $43,756 $56,034 $57,220 $42,450 $29,979 $18,091
Ratio of expenses to average net assets 0.96%(6) 0.96% 0.97% 0.97% 0.96% 0.96%
Ratio of net investment income to average net assets 4.01%(6) 2.06% 1.01% 0.80% 0.60% 0.66%
Portfolio Turnover 8%(5) 112%(8) 21% 27% 18% 35%
- -------------------------------------------------------
(1) Commenced investment operations May 1, 2007.
(2) Based on average shares outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
(7) Amount represents less than 0.05%.
(8) Subadviser change May 1, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
96
================================================================================
Financial Highlights for a Share of Beneficial Interest Outstanding
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
==========================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/08 ----------------------------------------------------------
(unaudited) 2007 2006 2005 2004 2003
==================================================================================================================================
NET ASSET VALUE at beginning of period $ 13.40 $ 13.78 $ 12.38 $ 11.36 $ 9.54 $ 7.19
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.21 0.23 0.19 0.17 0.12 0.11
Net realized and unrealized gain (loss)
on investments (1.80) 1.36 2.78 1.71 1.84 2.30
--------------------------------------------------------------------------
Total from investment operations (1.59) 1.59 2.97 1.88 1.96 2.41
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.32) (0.20) (0.15) (0.14) (0.05)
Distributions from capital gains (0.54) (1.65) (1.37) (0.71) - -
--------------------------------------------------------------------------
Return of Capital - - - - - (0.01)
--------------------------------------------------------------------------
Total distributions (0.54) (1.97) (1.57) (0.86) (0.14) (0.06)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value (2.13) (0.38) 1.40 1.02 1.82 2.35
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.27 $ 13.40 $ 13.78 $ 12.38 $ 11.36 $ 9.54
==========================================================================
TOTAL RETURN(3) (11.87)%(4) 11.42% 24.19% 16.53% 20.48% 33.61%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $134,350 $164,151 $165,704 $108,482 $78,477 $56,606
Ratio of expenses to average net assets 1.22%(5) 1.21% 1.22% 1.21% 1.21% 1.21%
Ratio of net investment income to average net assets 3.34%(5) 1.60% 1.48% 1.47% 1.16% 1.38%
Portfolio Turnover 19%(4) 62% 62% 52% 46% 33%
TARGET RETIREMENT 2020 FUND
===========================
SIX MONTHS
ENDED
6/30/08 INCEPTION
(unaudited) to 12/31/07(1)
===================================================================================
NET ASSET VALUE at beginning of period $ 9.63 $ 10.00
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.05 0.13
Net realized and unrealized loss on investments (0.63) (0.32)
---------------------------
Total from investment operations (0.58) (0.19)
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.18)
Distributions from capital gains (0.05) -
---------------------------
Total distributions (0.07) (0.18)
---------------------------
Net decrease in net asset value (0.65) (0.37)
---------------------------
NET ASSET VALUE at end of period $ 8.98 $ 9.63
===========================
TOTAL RETURN(3) (6.02)%(4) (1.94)%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,938 $ 2,524
Ratio of expenses to average net assets 0.41%(5) 0.43%(5)
Ratio of net investment income to average net assets 1.10%(5) 5.17%(5)
Portfolio Turnover 13%(4) 3%(4)
- -------------------------------------------------------
(1) Commenced investment operations October 1, 2007.
(2) Based on average shares outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized.
(5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
97
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2030 FUND
===========================
SIX MONTHS
ENDED
6/30/08 INCEPTION
(unaudited) to 12/31/07(1)
===================================================================================
NET ASSET VALUE at beginning of period $ 9.54 $10.00
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.03 0.09
Net realized and unrealized loss on investments (0.71) (0.34)
---------------------------
Total from investment operations (0.68) (0.25)
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.21)
Distributions from capital gains (0.04) -
---------------------------
Total distributions (0.05) (0.21)
---------------------------
Net decrease in net asset value (0.73) (0.46)
---------------------------
NET ASSET VALUE at end of period $ 8.81 $ 9.54
===========================
TOTAL RETURN(3) (7.15)%(5) (2.51)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $6,430 $1,521
Ratio of expenses to average net assets 0.40%(6) 0.44%(6)
Ratio of net investment income to average net assets 0.57%(6) 3.53%(6)
Portfolio Turnover 8%(5) 1%(5)
TARGET RETIREMENT 2040 FUND
===========================
SIX MONTHS
ENDED
6/30/08 INCEPTION
(unaudited) to 12/31/07(1)
===================================================================================
NET ASSET VALUE at beginning of period $ 9.48 $10.00
---------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) (0.00)(4) 0.07
Net realized and unrealized loss on investments (0.74) (0.36)
---------------------------
Total from investment operations (0.74) (0.29)
---------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.23)
Distributions from capital gains (0.05) -
---------------------------
Total distributions (0.06) (0.23)
---------------------------
Net decrease in net asset value (0.80) (0.52)
---------------------------
NET ASSET VALUE at end of period $ 8.68 $ 9.48
===========================
TOTAL RETURN(3) (7.87)%(5) (2.86)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $4,652 $1,193
Ratio of expenses to average net assets 0.40%(6) 0.44%(6)
Ratio of net investment income to average net assets (0.01)%(6) 2.76%(6)
Portfolio Turnover 11%(5) 1%(5)
- -------------------------------------------------------
(1) Commenced investment operations October 1, 2007.
(2) Based on average shares outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
98
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. DESCRIPTION OF THE FUND
The Ultra Series Fund (the "Trust"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Trust is
a series fund with 18 investment portfolios (the "funds"), each with different
investment objectives and policies. The funds currently available are the Money
Market 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, Global Securities Fund, and
International Stock Fund (collectively, the "Core Funds"), the Conservative
Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund
(collectively, the "Target Allocation Funds"), and the Target Retirement 2020
Fund, Target Retirement 2030 Fund, and Target Retirement 2040 Fund
(collectively, the "Target Date Funds"). The Declaration of Trust permits the
Board of Trustees to issue an unlimited number of full and fractional shares of
the Trust without par value. As of the date of this report, the trustees have
authorized the issuance of one class of shares of the funds designated as Class
Z. Class Z shares are offered to separate accounts (the "Accounts") of CUNA
Mutual Insurance Society and to qualified pension and retirement plans of CUNA
Mutual Insurance Society or its affiliates ("CUNA Mutual Group"). The Trust
may, in the future, offer other share classes to separate accounts of insurance
companies and to qualified pension and retirement plans that are not affiliated
with CUNA Mutual Group. The Trust does not offer shares directly to the general
public.
The Trust has entered into a Management Agreement with MEMBERS Capital Advisors,
Inc. (the "Investment Adviser" or "MCA"). The Investment Adviser, in turn, has
entered into subadvisory agreements with certain subadvisers ("Subadvisers") for
the management of the investments of the High Income, Mid Cap Growth, Small Cap
Value, Small Cap Growth, Global Securities, and International Stock Funds and a
portion of the Mid Cap Value Fund.
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 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. Since the assets of each
Target Allocation and each Target Date Fund consist primarily of shares of
underlying funds, the NAV of each fund is determined based on the NAV's of the
underlying funds. Total net assets are determined by adding the total current
value of portfolio securities, cash, receivables, and other assets and
subtracting liabilities. Short-term instruments having maturities of 60 days or
less and all securities in the Money Market Fund are valued on an amortized cost
basis, which approximates market value.
Over-the-counter securities not quoted 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. 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. Financial
futures contracts generally are valued at the settlement price established by
the exchange(s) on which the contracts are primarily traded. The Trust's
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.
- --------------------------------------------------------------------------------
99
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Exchange traded options are valued at the last sale price on the exchange where
such option contract is principally traded. The value of all assets and
liabilities denominated in foreign currencies will be converted into U.S. dollar
values using the then current exchange rate.
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 the funds to calculate NAV may differ from market
quotations or official closing prices. Because the Target Allocation and Target
Date 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 or Target Date 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 Trust.
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 its 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. As required, the funds adopted
FIN 48 effective June 29, 2007 for all open tax years and have determined that
no material uncertain tax positions exist. As a result, the funds have not
recorded any liabilities for material unrecognized tax benefits as of June 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 2004 through
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.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The funds will enter
into repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities. As of June 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 Trust's
custodian either physically or in book-entry form and that the collateral must
be marked to market daily to ensure that the repurchase agreement is fully
collateralized at all times. In the event of bankruptcy or other
- --------------------------------------------------------------------------------
100
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 Money Market 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 Money Market 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 changes 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 Money Market
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 June 30, 2008, the Global
Securities Fund 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 Money Market 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 June 30, 2008, none of the funds
have open futures contracts.
DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued
or delayed delivery basis. "When-issued" refers to securities whose terms are
available and for which a market exists, but that have not been issued. For
when-issued or delayed delivery transactions, no payment is made until delivery
date, which is typically longer than the normal course of settlement, and often
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 due to political,
economic or other factors. As of June 30, 2008, the High Income Fund had entered
into such transactions, the market values of which are identified in each fund's
Portfolio of Investments.
RECLASSIFICATION ADJUSTMENTS: Paid-in capital, undistributed net investment
income, and accumulated net realized gain (loss) have been adjusted in the
Statements of Assets and Liabilities for permanent book-tax differences for all
funds. Differences primarily relate to the tax treatment of net operating
losses, paydown gains and losses, foreign currency gains and losses, and
distributions from real estate investment trusts and passive foreign investment
companies.
- --------------------------------------------------------------------------------
101
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENTS: Each fund adopted the Financial Accounting Standards
Board ("FASB") Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (`'FAS 157"), effective January 1, 2008. In accordance with FAS
157, fair value is defined as the price that each fund would receive upon
selling an investment in a timely transaction to an independent buyer in the
principal or most advantageous market of the investment. FAS 157 has established
a three-tier hierarchy to maximize the use of observable market data "inputs"
and minimize the use of unobservable "inputs" and to establish classification of
fair value measurements for disclosure purposes. Inputs refer broadly to the
assumptions that market participants would use in pricing the asset or
liability, including assumptions about risk (for example, the risk inherent in a
particular valuation technique used to measure fair value including such a
pricing model and/or the risk inherent in the inputs to the valuation
technique). Inputs may be observable or unobservable. Observable inputs are
inputs that reflect the assumptions market participants would use in pricing the
asset or liability developed based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs that reflect
the reporting entity's own assumptions about the assumptions market participants
would use in pricing the asset or liability developed based on the best
information available in the circumstances. The three-tier hierarchy of inputs
is summarized in the three broad Levels listed below:
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted prices
for similar investments, interest rates, prepayment speeds, credit
risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The valuation techniques used by the funds to measure fair value for the period
ended June 30, 2008 maximized the use of observable inputs and minimized the use
of unobservable inputs. The funds utilized the following fair value techniques:
multi-dimensional relational pricing model and option adjusted spread pricing;
the funds estimated the price that would have prevailed in a liquid market for
an international equity security given information available at the time of
evaluation. As of June 30, 2008, none of the funds held securities deemed as a
Level 3.
The following is a summary of the inputs used as of June 30, 2008 in valuing the
funds' investments carried at market value:
ACTIVE MARKETS FOR SIGNIFICANT OTHER SIGNIFICANT
IDENTICAL INVESTMENTS OBSERVABLE INPUTS UNOBSERVABLE INPUTS MARKET VALUE
FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 06/30/2008
- ----- --------- --------- --------- -------------
Conservative Allocation $109,099,545 $ 1,149,515 $- $110,249,060
Moderate Allocation 281,892,225 2,760,869 - 284,653,094
Aggressive Allocation 89,920,612 838,683 - 90,759,295
Money Market - 111,533,849 - 111,533,849
Bond 192,883,386 421,940,530 - 614,823,916
High Income - 119,757,119 - 119,757,119
Diversified Income 284,354,808 249,730,000 - 534,084,808
Large Cap Value 919,329,374 1,564,813 - 920,894,187
Large Cap Growth 587,207,525 8,099,446 - 595,306,971
Mid Cap Value 260,140,298 12,580,290 - 272,720,588
Mid Cap Growth 316,451,980 4,317,390 - 320,769,370
Small Cap Value 6,394,311 402,658 - 6,796,969
Small Cap Growth 6,055,589 467,563 - 6,523,152
Global Securities 20,948,252(1) 26,756,444 - 47,704,696
International Stock 7,141,202 125,336,465 - 132,477,667
Target Retirement 2020 6,875,773 64,585 - 6,940,358
Target Retirement 2030 6,371,027 60,667 - 6,431,694
Target Retirement 2040 4,608,974 43,538 - 4,652,512
- ----------------------------------------------
(1) Global Securities (Level 1) market value includes forward foreign currency
contracts.
NEW ACCOUNTING PRONOUNCEMENTS: In March 2008, FASB 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
- --------------------------------------------------------------------------------
102
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 funds'
financial statement disclosures.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Trust has entered into a Management Agreement with MEMBERS Capital Advisors,
Inc., an affiliated company, whereby MCA provides or has arranged to provide
directly or through third parties, investment advisory, custody, transfer
agency, dividend disbursing, legal, accounting, and administrative services to
the funds. MCA has entered into subadvisory agreements with certain Subadvisers
for the management of the investments of the High Income Fund, Mid Cap Growth
Fund, Small Cap Value, Small Cap Growth, Global Securities Fund, International
Stock Fund and a portion of the Mid Cap Value Fund.
For services under the Management Agreement, MCA is entitled to receive a
management fee, which is calculated daily and paid monthly, at an annual rate
based upon the following percentages of average daily net assets: .45% for the
Money Market Fund, .55% for the Bond Fund, .75% for the High Income Fund, .70%
for the Diversified Income Fund, .60% for the Large Cap Value Fund, .80% for the
Large Cap Growth Fund, 1.00% for the Mid Cap Value Fund, .85% for the Mid Cap
Growth Fund, 1.10% for the Small Cap Value and Small Cap Growth Funds, .95% for
the Global Securities Fund, 1.20% for the International Stock Fund, .30% for
each of the Target Allocation Funds, and .40% for each of the Target Date Funds.
MCA contractually agreed to reduce the management fee of the Target Allocation
Funds from .30% to .20% until April 30, 2008. That contractual agreement was
terminated effective May 1, 2008.
MCA is solely responsible for the payment of all fees to the Subadvisers. The
Subadvisers for the funds are Shenkman Capital Management, Inc. for the High
Income Fund, Wellington Management Company, LLP for a portion of the Mid Cap
Value Fund, the entire Mid Cap Growth Fund and Small Cap Value Fund, Paradigm
for the Small Cap Growth Fund, Mondrian Investment Partners Limited for the
Global Securities Fund and Lazard Asset Management LLC for the International
Stock Fund. MCA manages the other portion of the Mid Cap Value Fund, Bond Fund,
Diversified Income Fund, Large Cap Growth Fund, Large Cap Value Fund, Money
Market Fund, Target Allocation Funds and the Target Date Funds.
In addition to the management fee, the Trust is responsible for fees of the
disinterested trustees, brokerage commissions and other expenses incurred in
connection with the acquisition or disposition of investments, costs of
borrowing money, expenses for independent audits, tax, compliance and
extraordinary expenses as approved by a majority of the disinterested trustees.
Unaffiliated trustees receive from the Trust an annual fee paid quarterly, with
additional remuneration paid to the Board of Trustees' chairman and audit
committee chair.
All fund shares are distributed through CUNA Brokerage Service, Inc. ("CUNA
Brokerage"), an affiliated company, pursuant to a distribution agreement
between the Trust and CUNA Brokerage. CUNA Brokerage's principal place of
business is located at 5910 Mineral Point Road, Madison, WI 53705.
The Trust has entered into an agreement with CUNA Mutual Insurance Society
setting forth the terms and conditions pursuant to which the Accounts purchase
and redeem shares of the funds. Investments in the Trust by the Accounts are
made through either variable annuity or variable life insurance contracts. Net
purchase payments under the variable contracts are placed in one or more
sub-accounts of the Accounts, and the assets of each sub-account are invested
(without sales or redemption charges) in shares of the fund corresponding to
that sub-account. Shares are purchased and redeemed at a price equal to the
shares' net asset value. The assets of each fund are held separate from the
assets of the other funds.
4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to the Money Market Fund, dividends from net investment income and
net realized gains are declared and reinvested daily in additional full and
fractional shares of the Money Market Fund. The Bond Fund, High Income Fund,
Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Small Cap
Value, Small Cap Growth, Mid Cap Value Fund, Mid Cap Growth Fund, Global
Securities Fund, International Stock Fund, Target Allocation Funds, and Target
Date Funds declare and reinvest dividends from net investment income annually in
additional full and fractional shares of the respective funds. The funds
distribute net realized gains from investment transactions, if any, to
shareholders annually.
- --------------------------------------------------------------------------------
103
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 of the funds may 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.
5. SECURITIES TRANSACTIONS
For the six months ended June 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 $ - $ - $84,663,345 $38,934,513
Moderate Allocation - - 167,118,434 88,090,942
Aggressive Allocation - - 50,955,391 22,293,401
Bond 22,195,115 39,065,372 10,430,644 17,335,093
High Income - - 36,156,289 40,784,654
Diversified Income 2,586,186 21,132,514 41,425,551 69,698,328
Large Cap Value - - 229,337,452 362,792,841
Large Cap Growth - - 438,931,737 460,408,981
Mid Cap Value - - 141,043,035 162,961,199
Mid Cap Growth - - 172,613,995 192,698,991
Small Cap Value - - 2,234,014 974,777
Small Cap Growth - - 4,046,992 2,960,301
Global Securities - - 3,741,374 6,355,430
International Stock - - 27,411,439 35,074,797
Target Retirement 2020 - - 5,264,362 612,752
Target Retirement 2030 - - 5,427,897 299,525
Target Retirement 2040 - - 3,954,336 316,657
6. FOREIGN SECURITIES
Each fund may invest in foreign securities; provided, however, that the Money
Market 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 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 Money Market, Small Cap Value, Small Cap Growth, Target
Allocation, and Target Date Funds, entered into a Securities Lending Agreement
(the "Agreement") with State Street Bank and Trust Company ("State Street").
Under the terms of the Agreement, the funds may lend portfolio securities to
qualified borrowers in order to earn additional income. The Agreement requires
that loans are collateralized at all times by cash or other liquid assets at
least equal to 102% of the value of the securities, which is determined on a
daily basis. At June 30, 2008, cash collateral received for funds engaged in
securities lending was invested in the State Street Navigator Securities Lending
Prime Portfolio. Additionally, the Bond, Diversified Income, Large Cap Value,
Large Cap Growth, Mid Cap Value, Mid Cap Growth, Global Securities, and
International Stock Funds received non-cash collateral, which they are not
permitted to sell or repledge, in the amounts of $7,158,438, $1,777,659,
$561,975, $4,789,374, $6,346,194, $1,147,766, $69,144 and $106, respectively.
The value of all cash collateral is included within the Portfolio of Investments
with an offsetting liability, payable upon return of securities loaned,
reflected on the Statements of Assets and Liabilities.
- --------------------------------------------------------------------------------
104
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statements of Operations. The value of securities on
loan at June 30, 2008 is as follows:
FUND VALUE OF SECURITIES ON LOAN FUND VALUE OF SECURITIES ON LOAN
- ---- --------------------------- ---- ----------------------------
Bond $119,131,102 Mid Cap Value $65,986,567
High Income 19,452,891 Mid Cap Growth 84,771,701
Diversified Income 65,667,951 Global Securities 6,231,525
Large Cap Value 41,534,377 International 10,139,991
Large Cap Growth 50,363,711
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 December 31, 2007, which are available to offset future capital
gains, if any:
CARRYOVER EXPIRING IN:
----------------------
FUND 2008 2009 2010 2011 2012 2013 2014 2015
- ---- ---------- -------- ---------- -------- ---------- ---------- -------- --------
Bond $7,577,224 $- $1,857,702 $104,606 $1,560,242 $1,445,891 $816,322 $228,563
High Income - - - - - - - 640,978
The Large Cap Growth Fund utilized $31,762,903 of prior capital loss carryovers
during the year ended December 31, 2007.
After October 31, 2007, the following funds had capital and currency losses in
the following amounts:
FUND POST-OCTOBER CAPITAL LOSS POST-OCTOBER CURRENCY LOSSES
- ---- ------------------------- ----------------------------
High Income $1,285,386 $ -
Small Cap Value 42,851 -
Small Cap Growth 32,653 -
International Stock - 57,738
For federal income tax purposes, these amounts are deferred and deemed to have
occurred in the next fiscal year.
At June 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 $ - $ (4,197,037) $ (4,197,037)
Moderate Allocation 1,570,384 (15,303,477) (13,733,093)
Aggressive Allocation 831,128 (5,607,615) (4,776,487)
Bond 10,056,034 (16,746,692) (6,690,658)
High Income 385,882 (4,369,525) (3,983,643)
Diversified Income 22,058,078 (38,539,293) (16,481,215)
Large Cap Value 172,745,534 (114,671,452) 58,074,082
Large Cap Growth 73,624,589 (23,406,078) 50,218,511
Mid Cap Value 24,515,539 (30,093,504) (5,577,965)
Mid Cap Growth 29,473,334 (44,474,248) (15,000,914)
Small Cap Value 426,677 (1,369,553) (942,876)
Small Cap Growth 743,098 (787,881) (44,783)
Global Securities 1,593,148 (11,451,637) (9,858,489)
International Stock 15,002,947 (10,492,504) 4,510,443
Target Retirement 2020 11,899 (407,536) (395,637)
Target Retirement 2030 16,420 (349,142) (332,722)
Target Retirement 2040 10,899 (293,897) (282,998)
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, International Stock Fund, and the Global Securities 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 ratings 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 and Target Date Funds are fund of funds, meaning
that they invest primarily in the shares of other registered investment
companies (the "underlying funds"), including ETFs. Thus, each fund's
investment performance and its ability to achieve its investment goal are
directly related to the performance of the underlying funds in which it invests;
and the underlying fund's performance, in turn, depends on the particular
securities in which that underlying fund invests and the expenses of that fund.
Accordingly, these 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 and Target Date 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. AFFILIATED COMPANY TRANSACTIONS
The Target Allocation Funds and Target Date 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 June 30, 2008 follows:
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 GAIN (LOSS) RECEIVED (2)
- -------------------- ---------- --------- ----- ----------- ------------ ----------- --------------
CONSERVATIVE ALLOCATION FUND
MEMBERS BOND FUND CLASS Y 783,968 877,877 72,176 1,589,669 $ 15,515,165 $ (647) $265,407
MEMBERS High Income
Fund Class Y 442,983 1,285,167 72,084 1,656,066 11,277,808 (45,316) 347,661
MEMBERS International Stock
Fund Class Y 232,656 681,915 38,610 875,961 10,739,284 (111,894) -
MEMBERS Large Cap Growth
Fund Class Y(1) 429,426 632,394 43,840 1,017,980 15,687,077 7,766 -
MEMBERS Large Cap Value
Fund Class Y 356,568 360,674 31,192 686,050 9,309,694 (75,714) -
MEMBERS Mid Cap Growth
Fund Class Y 332,237 405,023 29,924 707,336 4,562,319 (14,387) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $67,091,347 $ (240,192) $613,068
- ------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income and
from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
106
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 GAIN (LOSS) RECEIVED (2)
- -------------------- ---------- --------- ----- ----------- ------------ -------------- --------------
MODERATE ALLOCATION FUND
MEMBERS Bond
Fund Class Y 2,289,768 867,841 244,936 2,912,673 $ 28,427,688 $ 26,166 $ 531,024
MEMBERS High Income
Fund Class Y 2,074,418 672,134 620,157 2,126,395 14,480,749 (309,805) 458,354
MEMBERS International Stock
Fund Class Y 980,110 2,176,832 7,525 3,149,417 38,611,852 (17,820) -
MEMBERS Large Cap Growth
Fund Class Y(1) 1,451,664 1,165,524 7,210 2,609,978 40,219,759 4,891 -
MEMBERS Large Cap Value
Fund Class Y 1,128,103 295,733 441,414 982,422 13,331,466 (886,719) -
MEMBERS Mid Cap Growth
Fund Class Y 2,378,051 772,908 425,383 2,725,576 17,579,967 87,122 -
MEMBERS Mid Cap Value
Fund Class Y 803,589 41,777 845,366 - - (2,051,835) -
MEMBERS Small Cap Growth
Fund Class Y 952,968 345,764 83,035 1,215,697 11,500,490 (38,343) -
MEMBERS Small Cap Value
Fund Class Y 799,549 39,628 9,283 829,894 7,419,248 (10,949) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $171,571,219 $(3,197,292) $989,378
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 GAIN (LOSS) RECEIVED (2)
- -------------------- ---------- --------- ----- ----------- ------------ -------------- --------------
AGGRESSIVE ALLOCATION FUND
MEMBERS International Stock
Fund Class Y 604,290 471,342 4,917 1,070,715 $13,126,965 $ (12,419) $-
MEMBERS Large Cap Growth
Fund Class Y(1) 579,685 370,030 4,384 945,331 14,567,555 993 -
MEMBERS Large Cap Value
Fund Class Y 395,801 115,895 186,356 325,340 4,414,858 (337,636) -
MEMBERS Mid Cap Growth
Fund Class Y 1,035,046 460,726 58,696 1,437,076 9,269,139 (13,701) -
MEMBERS Mid Cap Value
Fund Class Y 467,396 43,567 510,963 - - (1,185,526) -
MEMBERS Small Cap Growth
Fund Class Y 480,388 218,071 24,495 673,964 6,375,701 (15,206) -
MEMBERS Small Cap Value
Fund Class Y 510,214 45,784 8,474 547,524 4,894,861 (9,929) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $52,649,079 $(1,573,424) $-
- -------------------------------------
(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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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 LOSS RECEIVED (2)
- -------------------- ---------- --------- ----- ----------- ------------ -------------- --------------
TARGET RETIREMENT 2020 FUND
MEMBERS High Income
Fund Class Y 32,366 69,354 7,499 94,221 $ 641,646 $ (3,081) $16,809
MEMBERS Large Cap Growth
Fund Class Y(1) 15,046 42,673 3,800 53,919 830,893 (6,736) -
MEMBERS Large Cap Value
Fund Class Y 15,694 28,219 5,462 38,451 521,774 (12,406) -
MEMBERS Mid Cap Growth
Fund Class Y 14,090 32,874 3,089 43,875 282,996 (3,628) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $2,277,309 $(25,851) $16,809
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 LOSS RECEIVED (2)
- -------------------- ---------- --------- ----- ----------- ------------ -------------- --------------
TARGET RETIREMENT 2030 FUND
MEMBERS High Income
Fund Class Y 15,275 55,833 3,010 68,098 $ 463,744 $ (1,079) $11,569
MEMBERS Large Cap Growth
Fund Class Y(1) 9,106 42,813 1,711 50,208 773,705 (2,487) -
MEMBERS Large Cap Value
Fund Class Y 9,430 29,313 2,962 35,781 485,553 (6,346) -
MEMBERS Mid Cap Growth
Fund Class Y 10,604 42,107 1,730 50,981 328,830 (1,780) -
MEMBERS Small Cap Growth
Fund Class Y 4,281 17,194 709 20,766 196,447 (1,224) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $2,248,279 $(12,916) $11,569
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 LOSS RECEIVED (2)
- -------------------- ---------- --------- ----- ----------- ------------ -------------- --------------
TARGET RETIREMENT 2040 FUND
MEMBERS High Income
Fund Class Y 6,898 23,153 1,859 28,192 $ 191,989 $ (715) $4,721
MEMBERS Large Cap Growth
Fund Class Y(1) 7,192 31,064 1,916 36,340 559,992 (3,282) -
MEMBERS Large Cap Value
Fund Class Y 7,364 21,315 2,730 25,949 352,129 (6,123) -
MEMBERS Mid Cap Growth
Fund Class Y 11,590 42,770 2,743 51,617 332,931 (3,370) -
MEMBERS Small Cap Growth
Fund Class Y 4,454 16,645 1,058 20,041 189,589 (2,022) -
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $1,626,630 $(515,512) $4,721
- -------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income and
from capital gains from the underlying funds.
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but do incur
ongoing costs which include management fees; disinterested trustees fees;
brokerage commissions and other expenses incurred in connection with the
acquisition or disposition of investments; costs of borrowing money; expenses
for independent audits, taxes, and extraordinary expenses as approved by a
majority of the disinterested trustees. The examples in the table that follows
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 are based on an investment of $1,000 invested at the beginning of
the period and held for the entire six month period ended June 30, 2008.
Expenses paid during the period in the tables below are equal to each fund's
annualized expense ratio, multiplied by the average account value over the
period, multiplied by the number of days in the most recent fiscal half-year
(182), divided by 365 to reflect the one-half-year period.
ACTUAL EXPENSES
The table provides information about actual account values and actual expenses
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 "Actual" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table also 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.
ACTUAL HYPOTHETICAL
-------------------------- -----------------------
EXPENSES EXPENSES
BEGINNING ANNUAL ENDING PAID ENDING PAID
ACCOUNT EXPENSE ACCOUNT DURING ACCOUNT DURING
FUND VALUE RATIO VALUE PERIOD VALUE PERIOD
- ---- ----- ----- ----- ------ ----- ------
Conservative Allocation $1,000 0.25% $ 974.00 $1.23 $1,023.62 $1.26
Moderate Allocation 1,000 0.25% 947.40 1.21 1,023.62 1.26
Aggressive Allocation 1,000 0.25% 920.00 1.19 1,023.62 1.26
Money Market 1,000 0.47% 1,011.00 2.35 1,022.53 2.36
Bond 1,000 0.56% 1,009.60 2.80 1,022.08 2.82
High Income 1,000 0.76% 992.10 3.76 1,021.08 3.82
Diversified Income 1,000 0.71% 934.30 3.41 1,021.33 3.57
Large Cap Value 1,000 0.61% 868.10 2.83 1,021.83 3.07
Large Cap Growth 1,000 0.81% 920.00 3.87 1,020.84 4.07
Mid Cap Value 1,000 1.02% 918.90 4.87 1,019.79 5.12
Mid Cap Growth 1,000 0.86% 927.90 4.12 1,020.59 4.32
Small Cap Value 1,000 1.12% 953.60 5.44 1,019.29 5.62
Small Cap Growth 1,000 1.12% 911.20 5.32 1,019.29 5.62
Global Securities 1,000 0.96% 852.30 4.42 1,020.09 4.82
International Stock 1,000 1.22% 881.30 5.71 1,018.80 6.12
Target Retirement 2020 1,000 0.41% 939.80 1.98 1,022.82 2.06
Target Retirement 2020 1,000 0.40% 928.50 1.92 1,022.87 2.01
Target Retirement 2020 1,000 0.41% 921.30 1.96 1,022.82 2.06
Please note that the expenses shown in the table are meant to highlight your
ongoing costs of the funds and do not reflect any separate account fees,
charges, or expenses imposed by the variable annuity or variable life insurance
contracts, or retirement and pension plans that use the funds. If these fees,
charges or expenses were included, your costs would have been higher.
Therefore, the information provided in the hypothetical example table is useful
in comparing ongoing fund costs only, and will not help you determine the
relative total costs of owning different funds.
- --------------------------------------------------------------------------------
109
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files 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 SEC's website at www.sec.gov. Form N-Q may
also be reviewed and copied at the SEC's Public Reference Room in Washington,
DC. More information on the operation of the Public Reference Room may be
obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES, AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies
related to portfolio securities is available to shareholders at no cost on the
SEC's website at www.sec.gov or by calling CUNA Mutual Insurance Society at
1-800-798-5500. The proxy voting records for the Trust for the most recent
twelve-month period ended June 30 are available to shareholders at no cost on
the SEC's website at www.sec.gov.
- --------------------------------------------------------------------------------
110
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TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
Each trustee and officer oversees 32 portfolios in the fund complex, which
consists of the Ultra Series Fund with 18 portfolios and the MEMBERS Mutual
Funds with 14 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 SEC's website at www.sec.gov or by calling CUNA
Mutual Insurance Society at 1-800-798-5500.
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) and
Micro Component Technology, Inc. (since 2008).
=================================================================================================================================
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-Common Stock and
Vice President (2008) MAP (since 2008); Managing Director-Managed Accounts and Mutual
1962 Funds (2006-2008); Virchow Krause Wealth Management,
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 Funds (since July 2008);
Secretary (1999) and Treasurer (2008) Director, Mutual Fund Operations, (2006-2008), Operations Officer-Mutual Funds
Assistant Treasurer (1999-2007) (2005-2006), and Senior Manager-Product and Fund Operations (2001-2005).
1960
- ---------------------------------------------------------------------------------------------------------------------------------
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) The board of trustees adopted term limits authorizing each independent
trustee to serve in such capacity until reaching the age of 75.
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[LOGO OF CUNA MUTUAL GROUP](R) CUNA MUTUAL GROUP ---------------------
- -------------------------------------------------- Presorted Standard
U.S. POSTAGE
CUNA Mutual Insurance Society PAID
2000 Heritage Way Louisville, KY
Waverly, IA 50677 Permit No. 1051
--------------------
Form 1950-0808
3
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 June 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.
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(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.
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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.
ULTRA SERIES FUND
BY: /s/David P. Marks
------------------
David P. Marks
President
DATE: 08/20/08
--------
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, Ultra Series Fund
DATE: 08/20/08
--------
BY: /s/Holly S. Baggot
-------------------
Holly S. Baggot
Treasurer, Ultra Series Fund
DATE: 08/20/08
--------
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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.