As filed with the Securities and Exchange Commission on December 29, 2008
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N - CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File No. 811-08261
MEMBERS Mutual Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Pamela M. Krill, Esquire
CUNA Mutual Insurance Society
Managing Associate General Counsel
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
-------------------------------------
Date of fiscal year end: October 31
Date of reporting period: October 31, 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.
[LOGO OF MEMBERS](TM)
MUTUAL FUNDS
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MEMBERS(R) MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2008
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CONSERVATIVE ALLOCATION FUND
MODERATE ALLOCATION FUND
AGGRESSIVE ALLOCATION FUND
CASH RESERVES FUND
BOND FUND
HIGH INCOME FUND
DIVERSIFIED INCOME FUND
LARGE CAP VALUE FUND
LARGE CAP GROWTH FUND
MID CAP VALUE FUND
MID CAP GROWTH FUND
SMALL CAP VALUE FUND
SMALL CAP GROWTH FUND
INTERNATIONAL STOCK FUND
This material is for reporting purposes only and shall not
be used in connection with a solicitation, offer or any
proposed sale of securities unless preceded or accompanied
by a prospectus.
================================================================================
LETTER TO SHAREHOLDERS
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[PHOTO OF DAVID P. MARKS]
DAVID P. MARKS
Dear Shareholder:
The past 12 months have been marked by unforeseen volatility and failures across
the global financial landscape. Credit markets remain in a frozen state
impacting both Wall Street and Main Street in a number of critical ways. What
began as a crisis in the sub-prime mortgage market in the U.S. rapidly cascaded
far and wide throughout the economy and across the globe; in some cases
resulting in calamity for businesses and individuals alike. The resultant
impacts, regardless of degree, were that nearly every major asset class within
the stock and bond universe lost real value. For anyone invested in stocks or
bonds, it has been a remarkable test of investor patience. Modern day investors
have been used to expecting more from our investments and the past 12 months
have disappointed nearly everyone. We cannot predict when these markets will
turn around but we do feel that we are getting closer to the bottom. History
does show that in times like these opportunities abound and those with the
ability to stay focused can make attractive returns if their time horizon is
longer than the next 12 months. Patience in these markets is truly a major
virtue.
As a manager of portfolios of bonds and stocks, this environment demands a
disciplined approach including vigilant and in depth research, astute decisions
and well established relationships with market makers in order to execute
strategies. The investment professionals at MEMBERS(TM) Capital Advisors who
manage the MEMBERS(R)Mutual Funds have done stellar work in this very difficult
environment. Performance through October 2008 for the MEMBERS Mutual Funds was
generally above average and in some cases exceptional. In particular, nine of
our funds outperformed their respective benchmarks (please see individual
performance pages within this report). That is exceptional when even some of the
world's best managers over the last 5 and 10 years have fallen off the
performance track in a serious manner.
During all market environments the investment professionals of MEMBERS Capital
Advisors that manage your investments are working diligently to identify
prevailing risks and prudently choose stocks and bonds that present sound
investment opportunities. The reports that follow this letter provide insight on
each fund's performance and portfolio position.
As a reminder, please visit our website: www.membersfunds.com for quarterly
reports on the mutual funds and other fund-related news.
As always, your long-term success as a shareholder in MEMBERS Mutual Funds is
our top priority. We appreciate the confidence you have placed in us as managers
of your assets and we are determined to be good stewards in this role. Please
call me directly with any questions you may have.
Sincerely,
/s/ David P. Marks
David P. Marks, CFA
President, MEMBERS Mutual Funds
Not part of the Annual Report.
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This page is left blank intentionally
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IV
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TABLE OF CONTENTS
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PAGE
----
FUND PERFORMANCE REVIEWS
Conservative Allocation Fund ................................... 2
Moderate Allocation Fund ....................................... 4
Aggressive Allocation Fund ..................................... 6
Bond Fund ...................................................... 8
High Income Fund ............................................... 10
Diversified Income Fund ........................................ 12
Large Cap Value Fund ........................................... 14
Large Cap Growth Fund .......................................... 16
Mid Cap Value Fund ............................................. 20
Mid Cap Growth Fund ............................................ 22
Small Cap Value Fund ........................................... 24
Small Cap Growth Fund .......................................... 26
International Stock Fund ....................................... 28
PORTFOLIOS OF INVESTMENTS
Conservative Allocation Fund ................................... 30
Moderate Allocation Fund ....................................... 31
Aggressive Allocation Fund ..................................... 33
Cash Reserves Fund ............................................. 34
Bond Fund ...................................................... 35
High Income Fund ............................................... 40
Diversified Income Fund ........................................ 46
Large Cap Value Fund ........................................... 52
Large Cap Growth Fund .......................................... 55
Mid Cap Value Fund ............................................. 57
Mid Cap Growth Fund ............................................ 61
Small Cap Value Fund ........................................... 63
Small Cap Growth Fund .......................................... 65
International Stock Fund ....................................... 69
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ........................... 76
Statements of Operations ....................................... 80
Statements of Changes in Net Assets ............................ 84
Financial Highlights ........................................... 92
NOTES TO FINANCIAL STATEMENTS ............................................ 113
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM .................. 123
OTHER INFORMATION ........................................................ 124
TRUSTEES AND OFFICERS .................................................... 131
NONDEPOSIT INVESTMENT PRODUCTS ARE NOT FEDERALLY INSURED, INVOLVE INVESTMENT
RISK, MAY LOSE VALUE AND ARE NOT OBLIGATIONS OF OR GUARANTEED BY THE CREDIT
UNION. For more complete information about MEMBERS Mutual Funds, including
charges and expenses, request a prospectus from your registered representative
or from MEMBERS Mutual Funds, P.O. Box 8390, Boston, MA 02266-8390. Consider the
investment objectives, risks, and charges and expenses of the investment
carefully before investing. The prospectus contains this and other information
about the investment company. For more current performance information, please
call 1-800-877-6089 or visit our website at www.membersfunds.com. Current
performance may be lower or higher than the performance data quoted within. Past
performance does not guarantee future results. Nothing in this report represents
a recommendation of a security by the investment adviser. Portfolio holdings may
have changed since the date of this report.
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1
================================================================================
CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
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PERFORMANCE AND ECONOMIC & MARKET REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Conservative
Allocation Fund (Class A shares at net asset value) returned -21.19%,
underperforming the Merrill Lynch U.S. Corporate, Government & Mortgage Index
return of 0.79%. With every major equity and fixed income asset class (except
for government-backed paper) dropping in unison as a result of the ongoing
financial crisis, the long-term benefits of asset allocation have gone
unrealized this year. There has truly been no where to turn for protection in
these declining markets.
PORTFOLIO REVIEW
One asset class that has held up nicely during the financial crisis is
high-quality government bonds. Investors continue to seek the safety of the full
faith and credit of the U.S. Government, rallying the Treasury market and
benefiting the portfolio accordingly. On the corporate bond side, both
investment-grade and non-investment grade (high yield) bonds performed poorly
due to the frozen credit markets. Normally staid investment-grade corporate
bonds funds were hit with substantial price declines, as interest rate spreads
between Treasuries widened to some of the highest levels ever recorded. High
yield bonds, as measured by the Merrill Lynch U.S. High Yield Master II Index,
have returned -26.52% over the trailing twelve month period. Intermediate-term
investment grade bonds are also down -- with the Lehman U.S. Intermediate-Term
Credit Index being down -8.20%.
The portfolio's diversified equity funds had the largest negative impact on the
fund's return. As mentioned above, major equity markets the world over all
experienced significant price declines. No equity asset class was spared. The
deleveraging process is fully underway in the capital markets, with
institutional and hedge fund investors being forced to unwind their leveraged
positions to raise liquidity. The resulting heavy selling pressure places
extreme stress on the equity markets, causing tremendous downward pressure on
equity prices. The Russell 3000(R) Index returned -36.60% for the fiscal year.
International and emerging market equities provided no relief, experiencing even
steeper declines, with the MSCI EAFE Index down -46.34% and the MSCI Emerging
Markets Index down -57.35%.
ECONOMIC & MARKET OUTLOOK
As painful as 2008 has been, we unfortunately do not see a near-term end to the
heightened market volatility we've been experiencing over the last few months.
Until the credit markets unfreeze, and the overall deleveraging process is
substantially complete, the markets will remain unsettled. However, with
volatility comes opportunity, and we plan to take advantage of historically low
prices in certain asset classes, with corporate bonds being at the top of the
list. With yield spreads at record highs, we believe investors are being more
than adequately compensated for holding both investment and non-investment grade
corporate bonds. Pending any further deterioration in the credit markets, we
intend to opportunistically increase our positions in these asset classes over
the coming year. We expect equities to be attractively priced on both a
historical absolute basis and relative basis vs. Treasuries. Once the market
completes a bottoming process, we plan to selectively purchase equities in an
effort to rebalance the portfolio back to its targeted stock/bond allocation.
Moving forward, we will continue to employ caution in our overall asset
allocation strategies within the fund while awaiting more positive economic
news. Concurrently, we plan to continue to explore alternative asset classes
designed to dampen some of the extreme volatility we've been experiencing these
past several months.
MEMBERS Capital Advisors, Inc. - Adviser
David M. Schlimgen, CIMA(R),CIMC(R)and Patrick F. Ryan, CIMA(R)Portfolio
Managers
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2
================================================================================
CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
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CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MERRILL LYNCH U.S. CORPORATE, CONSERVATIVE ALLOCATION
MAXIMUM SALES CHARGE)(2) GOVERNMENT & MORTGAGE INDEX(4) FUND CUSTOM INDEX(5)
06/30/06 Inception $ 9,425 $10,000 $10,000
10/31/2006 9,925 10,493 10,548
10/31/2007 10,613 11,067 11,420
10/31/2008 8,364 11,154 10,092
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since
6/30/06 2/29/08
1 Year Inception(7) Inception(8) 1 Year Since Inception Gross Net
----------------------------------------- --------------------------- ----------------
Class A Shares(2) (21.19)% (4.98)% -- (25.73)% (7.35)%(7) 2.44% 1.35%
Class B Shares(3) (21.82) (5.68) -- (25.27) (7.06)(7) 3.18 2.10
Class C Shares(11) -- -- (19.01)% -- (19.82)(8) 3.18 2.10
Merrill Lynch U.S. Corporate,
Government & Mortgage Index(4) 0.79 4.77 (2.85) NA NA NA NA
Customized Benchmark (Conservative)(5) (11.62) 0.39 (10.23) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-
based measure of the total rate of return performance of the U.S.
investment-grade bond markets. The index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational mortgage
pass-through, and investment-grade corporate bonds meeting specified
selection criteria.
(5) The Conservative Allocation Fund Custom Index consists of 55% Merrill Lynch
U.S. 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 above. The Russell
1000(R) Index is a large-cap market index which measures the performance of
the 1,000 largest companies in the Russell 3000(R) Index (the Russell
3000(R) Index measures the performance of the 3,000 largest U.S. companies
based on total market capitalization).
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect fees
or expenses.
(7) Class A and B shares commenced investment operations on June 30, 2006. The
since inception index returns (without sales charges) are also from June 30,
2006.
(8) Class C shares commenced investment operations on February 29, 2008. The
since inception index returns (without sales charges) are also from
February 29, 2008.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
(11)Maximum contingent deferred sales charge (CDSC) is 1% for class C shares,
which is eliminated after one year.
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3
================================================================================
MODERATE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE AND ECONOMIC & MARKET REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Moderate
Allocation Fund (Class A shares at net asset value) returned -32.18%,
outperforming the Russell 1000(R) Index return of -36.80%. With every major
equity and fixed income asset class (except government-backed paper)
dropping in unison as a result of the ongoing financial crisis, the
long-term benefits of asset allocation have gone unrealized this year.
There has truly been no where to turn for protection in these declining
markets.
PORTFOLIO REVIEW
One asset class that has held up nicely during the financial crisis is
high-quality government bonds. Investors continue to seek the safety of the
full faith and credit of the U.S. Government, rallying the Treasury market
and benefiting the portfolio accordingly. On the corporate bond side, both
investment-grade and non-investment grade (high yield) bonds performed
poorly due to the frozen credit markets. Normally staid investment-grade
corporate bonds funds were hit with substantial price declines, as interest
rate spreads between Treasuries widened to some of the highest levels ever
recorded. High Yield Bonds, as measured by the Merrill Lynch U.S. High
Yield Master II Index, have returned -26.52% over the trailing twelve month
period. Intermediate-term investment grade bonds are also down -- with the
Lehman U.S. Intermediate-Term Credit Index being down -8.20%.
The portfolio's diversified equity funds had the largest negative impact on the
fund's return. As mentioned above, major equity markets the world over all
experienced significant price declines. No equity asset class was spared. The
deleveraging process is fully underway in the capital markets, with
institutional and hedge fund investors being forced to unwind their leveraged
positions to raise liquidity. The resulting heavy selling pressure placed
extreme stress on the equity markets, causing tremendous downward pressure on
equity prices. The Russell 3000(R) Index returned -36.60% for the fiscal year.
International and emerging market equities provided no relief, experiencing even
steeper declines, with the MSCI EAFE Index down -46.34% and the MSCI Emerging
Markets Index down -57.35%. Additionally, the fund's exposure to energy and
natural resources followed the dramatic rise and fall of oil and other
industrial metals prices. Returns for the sector were enhanced during oil's
parabolic rise to $147 a barrel. Subsequently, returns suffered when oil dropped
back down just as rapidly to under $70 per barrel.
ECONOMIC & MARKET OUTLOOK
As painful as 2008 has been, we unfortunately do not see a near-term end to
the heightened market volatility we've been experiencing over the last few
months. Until the credit markets unfreeze, and the overall deleveraging
process is substantially complete, the markets will remain unsettled.
However, with volatility comes opportunity, and we plan to take advantage
of historically low prices in certain asset classes, with corporate bonds
being at the top of the list. With yield spreads at record highs, we
believe investors are being more than adequately compensated for holding
both investment and non-investment grade corporate bonds. Pending any
further deterioration in the credit markets, we intend to opportunistically
increase our positions in these asset classes over the coming year. We
expect equities to be attractively priced on both a historical absolute
basis and relative basis vs. Treasuries. Once the market completes a
bottoming process, we plan to selectively purchase equities in an effort to
rebalance the portfolio back to its targeted stock/bond allocation.
Moving forward, we will continue to employ caution in our overall asset
allocation strategies within the fund while awaiting more positive economic
news. Concurrently, we plan to continue to explore alternative asset
classes designed to dampen some of the extreme volatility we've been
experiencing these past several months.
MEMBERS Capital Advisors, Inc. - Adviser
David M. Schlimgen, CIMA(R), CIMC(R)and Patrick F. Ryan, CIMA(R)Portfolio
Managers
- --------------------------------------------------------------------------------
4
================================================================================
MODERATE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MODERATE ALLOCATION
MAXIMUM SALES CHARGE)(2) RUSSELL 1000(R) INDEX(4) FUND CUSTOM INDEX(5)
06/30/06 Inception $ 9,425 $10,000 $10,000
10/31/06 10,038 10,843 10,702
10/31/07 11,268 12,473 11,974
10/31/08 7,642 7,883 9,077
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since
6/30/06 2/29/08
1 Year Inception(7) Inception(8) 1 Year Since Inception Gross Net
----------------------------------------- --------------------------- ----------------
Class A Shares(2) (32.18)% (8.58)% -- (36.07)% (10.86)%(7) 1.77% 1.58%
Class B Shares(3) (32.64) (9.22) -- (35.62) (10.56)(7) 2.52 2.33
Class C Shares(11) -- -- (26.48)% -- (27.22)(8) 2.52 2.33
Russell 1000(R) Index(4) (36.80) (9.66) (29.04) NA NA NA NA
Customized Benchmark (Moderate)(5) (24.19) (4.05) (18.65) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index (the
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization).
(5) The Moderate Allocation Fund Custom Index consists of 50% Russell 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 above. The Merrill Lynch U.S. Corporate,
Government & Mortgage Index is a broad-based measure of the total rate of
return performance of the U.S. investment-grade bond markets. The index is a
capitalization-weighted aggregation of outstanding U.S. treasury, agency and
supranational mortgage pass-through, and investment-grade corporate bonds
meeting specified selection criteria. The MSCI EAFE (Europe, Australasia &
Far East) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the U.S.
and Canada.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect fees
or expenses.
(7) Class A and B shares commenced investment operations on June 30, 2006. The
since inception index returns (without sales charges) are also from
June 30, 2006.
(8) Class C shares commenced investment operations on February 29, 2008. The
since inception index returns (without sales charges) are also from
February 29, 2008.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
(11)Maximum contingent deferred sales charge (CDSC) is 1% for class C shares,
which is eliminated after one year.
- --------------------------------------------------------------------------------
5
================================================================================
AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE AND ECONOMIC & MARKET REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Aggressive
Allocation Fund (Class A shares at net asset value) returned -41.73%,
underperforming the Russell 3000(R) Index return of -36.60%. With every major
equity and fixed income asset class (except government-backed paper) dropping in
unison as a result of the ongoing financial crisis, the long-term benefits of
asset allocation have gone unrealized this year. There has truly been no where
to turn for protection in these declining markets -- especially in an aggressive
allocation fund, with equity-based asset classes making up the bulk of the
portfolio.
PORTFOLIO REVIEW
As mentioned above, major equity markets the world over all experienced
significant price declines. No equity asset class was spared. The deleveraging
process is fully underway in the capital markets, with institutional and hedge
fund investors being forced to unwind their leveraged positions to raise
liquidity. The resulting heavy selling pressure placed extreme stress on the
equity markets, causing tremendous downward pressure on equity prices. The
Russell 3000(R) Index returned -36.60% for the fiscal year. International and
emerging market equities provided no relief, experiencing even steeper declines,
with the MSCI EAFE Index down -46.34% and the MSCI Emerging Markets Index down
- -57.35%. Additionally, the fund's exposure to energy and natural resources
followed the dramatic rise and fall of oil and other industrial metals prices.
Returns for the sector were enhanced during oil's parabolic rise to $147 a
barrel. Subsequently, returns suffered when oil dropped back down just as
rapidly to under $70 per barrel.
The lone bright spot was our small cap value position. Contrary to the consensus
opinion that large caps would lead the way in 2008, small cap value stocks
significantly outperformed large caps on a relative basis, with the Russell
2000(R)Value Index down -30.54% for the fiscal year.
ECONOMIC & MARKET OUTLOOK
As painful as 2008 has been, we unfortunately do not see a near-term end to the
heightened market volatility we've been experiencing over the last few months.
Until the credit markets unfreeze, and the overall deleveraging process is
substantially complete, the markets will remain unsettled. However, with
volatility comes opportunity, and we plan to take advantage of historically low
prices in certain asset classes, with corporate bonds being at the top of the
list. With yield spreads at record highs, we believe investors are being more
than adequately compensated for holding both investment and non-investment grade
corporate bonds. Pending any further deterioration in the credit markets, we are
looking to introduce a modest weighting in these two asset classes over the
coming year. We expect equities to be attractively priced on both a historical
absolute basis and relative basis vs. Treasuries. Once the market completes a
bottoming process, we plan to selectively purchase equities in an effort to
rebalance the portfolio back to its targeted stock/bond allocation.
Moving forward, we will continue to employ caution in our overall asset
allocation strategies within the fund while awaiting more positive economic
news. Concurrently, we plan to continue to explore alternative asset classes
designed to dampen some of the extreme volatility we've been experiencing these
past several months.
MEMBERS Capital Advisors, Inc. - Adviser
David M. Schlimgen, CIMA(R),CIMC(R)and Patrick F. Ryan, CIMA(R)Portfolio
Managers
- --------------------------------------------------------------------------------
6
================================================================================
AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES AGGRESSIVE ALLOCATION
MAXIMUM SALES CHARGE)(2) RUSSELL 3000(R) INDEX(4) FUND CUSTOM INDEX(5)
06/30/06 Inception $ 9,425 $10,000 $10,000
10/31/06 10,141 10,838 10,953
10/31/07 11,967 12,413 13,159
10/31/08 6,973 7,869 7,862
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since
6/30/06 2/29/08
1 Year Inception(7) Inception(8) 1 Year Since Inception Gross Net
----------------------------------------- --------------------------- ----------------
Class A Shares(2) (41.73)% (12.09)% -- (45.06)% (14.29)%(7) 2.69% 1.77%
Class B Shares(3) (42.17) (12.72) -- (44.74) (14.02)(7) 3.45 2.52
Class C Shares(11) -- -- (33.46)% -- (34.12)(8) 3.45 2.52
Russell 3000(R) Index(4) (36.60) (9.73) (28.60) NA NA NA NA
Customized Benchmark (Aggressive)(5) (40.25) (9.76) (30.88) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents 98% of the
investable U.S. equity market.
(5) The Aggressive Allocation Fund Custom Index consists of 55% Russell 1000(R)
Index, 22% MSCI EAFE Index, 15% Russell 2000(R) Index, and 8% MSCI Emerging
Markets Index. The Russell 1000(R) Index is a large-cap market index which
measures the performance of the 1,000 largest companies in the Russell
3000(R) Index (see definition above). The Russell 2000(R) Index is a
small-cap market index which measures the performance of the remaining 2,000
companies in the Russell 3000(R) Index. The MSCI EAFE (Europe, Australasia &
Far East) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the U.S.
and Canada. The MSCI Emerging Markets Index is a free-float adjusted market
capitalization index that measures equity performance in global emerging
markets.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect fees
or expenses.
(7) Class A and B shares commenced investment operations on June30, 2006. The
since inception index returns (without sales charges) are also from
June 30, 2006.
(8) Class C shares commenced investment operations on February 29, 2008. The
since inception index returns (without sales charges) are also from
February 29, 2008.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
(11)Maximum contingent deferred sales charge (CDSC) is 1% for class C shares,
which is eliminated after one year.
- --------------------------------------------------------------------------------
7
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BOND FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
Over the twelve month period ended October 31, 2008, the broad bond market
represented by the Merrill Lynch U.S. Corporate, Government & Mortgage Index
returned 0.79%, while the MEMBERS Bond Fund returned 0.89% (Class A shares at
net asset value).
ECONOMIC & MARKET REVIEW
Over the period, the yield curve steepened as the two-year U.S. Treasury rate
fell by approximately 188 basis points more than the ten-year treasury rate.
Consistent with a flight to quality, all investment-grade and high-yield bond
sectors posted negative excess returns relative to treasury returns. Despite an
overall negative tone to the prior twelve month period, April and May provided a
reprieve from the carnage. Over these two months following the Bear Stearns
bailout, the sun shone on risky assets as U.S. Treasury yields rose (meaning
prices fell) across the maturity spectrum with only asset- backed securities and
U.S. Treasuries underperforming the other bond sectors.
PORTFOLIO REVIEW
Sector weighting was the single most driving factor for fund performance versus
both the index and peers. We remained underweight in agencies, mortgages and
corporates while holding outsized positions in treasuries and cash relative to
the index. It is also fair to say that we were less invested in investment-grade
and high-yield corporate bonds relative to our peers. Within the corporate
sector, having relatively more exposure to the better performing subsectors in
industrials and utilities while significantly underweighting the worst
performing subsector, financials, contributed positively to performance.
Overweighting asset-backed securities and commercial mortgage-backed securities
was detrimental to performance over the period. Normally, these sectors perform
better than many other spread sectors when credit uncertainty arises. However,
given the initial problems which arose in structured securities, this has not
been the case. That being said, the decision to be in these sectors in lieu of
investment-grade or high-yield corporate bonds was a good decision.
Yield curve positioning over the period was neither an overwhelming positive nor
negative for performance. On the plus side, we maintained a slightly
concentrated holding structure around a targeted duration which benefited the
fund as the yield curve steepened. However, overall fund duration was less than
that of the index which was a negative for performance as interest rates
declined.
ECONOMIC & MARKET OUTLOOK
The future remains uncertain with respect to the economy, financial markets and
government initiatives. As a result, we expect to maintain our defensive yet
nimble posture. We plan to be net underweight the index in riskier asset classes
and overweight U.S. Treasury securities which have benefited from general risk
aversion by many market participants. The U.S. Treasury securities also provide
liquidity that enables us to take advantage of unique opportunities and leave us
in a good position to add beaten-down assets should the market turn.
MEMBERS Capital Advisors, Inc. - Adviser
Dean "Jack" Call, CFA, Portfolio Manager
- --------------------------------------------------------------------------------
8
================================================================================
BOND FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MERRILL LYNCH U.S. CORPORATE,
MAXIMUM SALES CHARGE)(2) GOVERNMENT & MORTGAGE INDEX(4)
10/31/1998 $ 9,550 $10,000
10/31/1999 9,703 10,034
10/31/2000 10,177 10,770
10/31/2001 11,507 12,341
10/31/2002 11,992 13,079
10/31/2003 12,413 13,723
10/31/2004 12,966 14,485
10/31/2005 13,062 14,667
10/31/2006 13,676 15,430
10/31/2007 14,144 16,274
10/31/2008 14,270 16,403
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(7) EXPENSE RATIO(8)
Since Since
12/29/97 6/30/06
1 Year 3 Years 5 Years 10 Years Inception Inception 1 Year 3 Years 5 Years 10 Years Gross Net
----------------------------------------------------- -------------------------------- --------------
Class A Shares(2) 0.89% 2.99% 2.83% 4.10% 4.34% -- (3.64)% 1.44% 1.88% 3.62% 1.08% 0.90%
Class B Shares(3) 0.13 2.22 2.06 3.32 3.56 -- (4.23) 1.13 1.71 3.32 1.83 1.65
Class Y Shares(5) 1.14 -- -- -- -- 3.90% -- -- -- -- 0.82 0.65
Merrill Lynch
U.S. Corporate,
Government &
Mortgage Index(4) 0.79 3.80 3.63 5.07 5.41 4.77 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 4.50% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, is a broad-
based measure of the total rate of return performance of the U.S.
investment-grade bond markets. The index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational mortgage
pass-through, and investment-grade corporate bonds meeting specified
selection criteria.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Assumes maximum applicable sales charge.
(8) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
- --------------------------------------------------------------------------------
9
================================================================================
HIGH INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS High Income Fund
returned -17.24% (Class A shares at net asset value), the Merrill Lynch U.S.
High Yield Master II Constrained Index returned -26.23%. Although the fund
generated a negative return, it significantly outperformed its benchmark.
ECONOMIC & MARKET REVIEW
The developments in the global financial markets during the last few months will
no doubt mark one of the most dramatic periods on record. At the root of the
problem was the continued deterioration of residential and commercial loans on
the balance sheets of many financial institutions. However, during
September-October, the magnitude and breadth of the problems seemed monumental.
In just a three week period, the U.S. government nationalized Fannie Mae,
Freddie Mac and AIG; Lehman Brothers filed for bankruptcy; Washington Mutual was
seized by federal regulators; and Merrill Lynch and Wachovia were acquired at
fire sale prices. The bankruptcy of Lehman Brothers represented a tipping point
where the market swung from anxiousness to acute concern, and then to panic.
Subsequent to this event, the global credit markets effectively froze as only
government debt was perceived as safe. These dramatic developments and the
increasing likelihood of a prolonged recession, pummeled virtually every asset
class during the third quarter of 2008.
The average of the five major yield bond indices declined 25.73% over the last
twelve months. Surprisingly, the damage was not caused by rising default rates
or fundamental credit deterioration. In fact, the most significant forces
affecting the high yield market were the technical reverberations from other
financial markets combined with poor liquidity and the overhang of inventory as
several troubled investment banks, brokers, and insurers restructured their
operations. Moreover, forced liquidations by hedge funds meeting redemptions and
margin calls led to indiscriminate selling and increased selling pressure. The
average price of a bond in the Merrill Lynch U.S. High Yield Master II Index
slid from $92.86 at the beginning of the reported period to $62.63 as of October
31, 2008. Yield spreads, the risk premium for investing in high yield bonds as
measured by the Merrill Lynch U.S. High Yield Master II Index, rose to 1,617
basis points from 592 basis points on December 31, 2007.
The U.S. economy is reeling from a broken banking system. Small businesses have
panicked as banks have become unwilling to lend, and large corporations are
drawing down their lines of credit to ensure that they have the capital required
to meet their obligations before nervous banks sever their financial lifelines.
Credit is the oil of the U.S. economic engine, and without credit, job creation
and business expansion are thwarted. The U.S. economy is currently being
overwhelmed by two key negative developments: declining home prices and
increasing household debt. Since peaking in July 2006, the S&P/Case-Shiller Home
Price Index has plunged 19.5% with further declines expected by many economists.
Unfortunately, until home prices stabilize, the U.S. economy cannot sustain a
meaningful rebound. The other key variable contributing to economic weakness in
the U.S. is household debt which has soared to approximately $14 trillion,
nearly equal to the annual output of the entire domestic economy. The
significant debt of U.S. consumers will likely cause further defaults in home
mortgages, as well as delinquencies on credit card receivables, student loans,
home equity loans, and auto loans. Consumers have been on a spending binge since
2000, and they need to re-liquefy and repair their personal balance sheets
before a recovery can be sustainable. The projected pullback in consumer
spending has caused a consumer-led recession that could be deep and prolonged.
With nearly 70% of the U.S. economy predicated on consumer spending, a major
curtailment of their expenditures will adversely impact GDP.
PORTFOLIO REVIEW
Security selection was the primary contributor to performance for the period,
particularly the positive selection in, gaming, technology, and media/cable.
Industry allocation benefited returns for the period, specifically the zero
exposure to consumer/commercial/lease financing, banking, mortgage banking &
thrifts, and real estate development & management, underweight relative to the
index in printing & publishing and broadcast media, as well as the higher
concentration in healthcare, environmental, and media/cable. CCC-rated bonds
were the worst performing rating sector for the last twelve months. The fund's
underweight relative to the index and positive selection in these credits
benefited returns for the period. Deeply discounted bonds (i.e., bonds priced
below $80) were the worst performing sector for the overall high yield market
during the last twelve months. The fund's underweight in these credits
contributed to relative performance for the period. The fund's out-of-index
exposure to floating rate notes boosted returns for the year.
The portfolio is currently positioned with the expectation that the U.S. economy
will experience a protracted recession. We have strategically minimized the
portfolio's exposure to sectors that rely on consumer discretionary spending or
that are exposed to the homebuilding or automotive sectors. Moreover, we have
focused our investments on issuers we believe have reasonable debt levels and
flexibility within their capital structures to withstand a substantial economic
downturn. We have also minimized the fund's holdings in issuers that may need to
access the capital markets in the next 12-18 months since credit rationing by
financial institutions may continue at least through 2009.
ECONOMIC & MARKET OUTLOOK
We expect the high yield market to face challenges over the next several
quarters. High yield default rates are forecasted to approach 3.5% by the end of
2008, and could jump to the 8-9% range by the end of 2009 due to a faltering
economy and some issuers' inability to fund their short-term cash requirements.
Given the recent fear, panic, and ostensible capitulation by some investors, we
may be nearing a bottom despite major uncertainties. The unwinding of risk is
painful but necessary in order to unravel years of excess in which many
investors took for granted the risk and leverage required to achieve outsized
returns. The days of easy and cheap credit are now etched in the history books
to be studied by scholars. In the future, once the fear and panic subside, there
should be significant opportunity for capital appreciation in the high yield
bond market. However, patience, perseverance, and solid credit skills will be
required to successfully navigate these unsettling times.
MEMBERS Capital Advisors, Inc. - Adviser
Shenkman Capital Management, Inc. - Subadviser
Mark R. Shenkman; Frank X. Whitley; Mark J.Flanagan, CPA, CFA;Portfolio Managers
- --------------------------------------------------------------------------------
10
================================================================================
HIGH INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,7)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MERRILL LYNCH U.S. HIGH YIELD MERRILL LYNCH U.S. HIGH
MAXIMUM SALES CHARGE)(2) MASTER II CONSTRAINED INDEX(4) YIELD MASTER II INDEX(5)
10/31/1998 $ 9,550 $10,000 $10,000
10/31/1999 10,475 10,561 10,556
10/31/2000 10,389 10,384 10,667
10/31/2001 10,188 10,389 10,673
10/31/2002 10,222 9,711 10,131
10/31/2003 12,377 12,925 13,450
10/31/2004 13,705 14,501 15,086
10/31/2005 14,095 15,069 15,635
10/31/2006 15,269 16,627 17,163
10/31/2007 16,233 17,765 18,357
10/31/2008 13,435 13,054 13,164
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(7)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(8) EXPENSE RATIO(9)
Since Since
12/29/97 6/30/06
1 Year 3 Years 5 Years 10 Years Inception Inception 1 Year 3 Years 5 Years 10 Years Gross Net
----------------------------------------------------- -------------------------------- ---------------
Class A Shares(2) (17.24)% (1.59)% 1.65% 3.47% 2.63% -- (20.93)% (3.07)% 0.71% 2.99% 1.21% 1.00%
Class B Shares(3) (17.93) (2.32) 0.91 2.71 1.88 -- (21.40) (3.27) 0.62 2.71 1.96 1.75
Class Y Shares(6) (17.09) -- -- -- -- (3.26)% -- -- -- -- 0.94 0.75
Merrill Lynch
U.S.High
Yield Master II
Constrained
Index(4) (26.23) (4.67) 0.14 2.79 2.39 (7.44) NA NA NA NA NA NA
Merrill Lynch
U.S.High
Yield Master II
Index(5) (26.52) (4.67) 0.20 2.70 2.31 (7.51) NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 4.50% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) Effective February 2008, the benchmark for the fund changed from the Merrill
Lynch U.S. High Yield Master II Index to the Merrill Lynch U.S. High Yield
Master II Constrained Index to better reflect the fund's portfolio. The
Merrill Lynch U.S. High Yield Master II Constrained Index tracks the
performance of below investment grade U.S. dollar denominated corporate
bonds publicly issued in the U.S. domestic market, but limits any individual
issuer to a maximum weighting of 2%.
(5) The Merrill Lynch U.S. High Yield Master II Index tracks the performance of
below investment grade U.S. dollar denominated corporate bonds publicly
issued in the U.S. domestic market.
(6) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(7) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(8) Assumes maximum applicable sales charge.
(9) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
- --------------------------------------------------------------------------------
11
================================================================================
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Diversified
Income Fund returned -15.39% (Class A shares at net asset value) while the
Russell 1000(R) Index returned -36.80% and the Merrill Lynch U.S. Corporate,
Government & Mortgage Index returned 0.79%. Of the sectors within the stock
portfolio, financials contributed the most to performance due primarily to good
stock selection, and partly due to being underweight the index. Also adding was
the fund's underweight relative to the index in utilities, while being
overweight in materials detracted from performance. Out of benchmark stocks also
affected performance in both energy, where Conoco Phillips detracted from
performance, and consumer staples where Procter & Gamble aided.
ECONOMIC & MARKET REVIEW
After years of individuals consuming more than we produced and accumulating
record high debt levels, the markets began to reverse these trends during the
reporting period. As deleveraging gathered steam, the economy began to contract.
Consumption decelerated, and financial and real asset prices declined as debt
was liquidated. Also over the period, the yield curve steepened as the two-year
U.S. Treasury rate fell by approximately 188 basis points more than the ten-year
U.S. Treasury rate. Consistent with a flight to quality, all investment-grade
and high-yield bond sectors posted negative excess returns relative to U.S.
Treasury securities' returns. Despite an overall negative tone to the prior
twelve month period, April and May provided a reprieve from the carnage. Over
these two months following the Bear Stearns bailout, the sun shone on risky
assets as U.S. Treasury yields rose (meaning prices fell) across the maturity
spectrum with only asset-backed securities and U.S. Treasuries underperforming
other bond sectors.
PORTFOLIO REVIEW
Within the stock portion of the fund, we initiated positions in Marsh &
McLennan, Bank of New York, PNC Financial, and Pacific Gas & Electric, all of
which added at least +.10%. We eliminated positions in Freddie Mac, which then
fell substantially, and resulted in a +.33% performance versus the benchmark. We
also eliminated Carnival Cruise Lines, which plans to halt dividend payments in
2009, however this stock detracted from performance by -.24%. We profitably
closed out positions in Anheuser-Busch and Wal-Mart, which added +.23% and
+.31%, respectively.
Within the bond portion of the fund, sector weighting was the single most
driving factor for fund performance versus both the index and peers. We remained
underweight in agencies, mortgages and corporates while holding outsized
positions in treasuries and cash relative to the index. Within the corporate
sector, having relatively more exposure to the better performing sub sectors in
industrials and utilities while significantly underweighting the worst
performing sub sector, financials, contributed positively to performance.
Overweighting asset-backed securities and commercial mortgage-backed securities
was detrimental to performance over the period. Normally, these sectors perform
better than many other spread sectors when credit uncertainty arises. However,
given the initial problems which arose in structured securities, this has not
been the case. That being said, the decision to be in these sectors in lieu of
investment-grade or high-yield corporate bonds was a good decision. Yield curve
positioning over the period was neither an overwhelming positive nor negative
for performance. On the plus side, we maintained a slightly concentrated holding
structure around a targeted duration which benefited the fund as the yield curve
steepened. However, overall fund duration was less than that of the index, which
was a negative for performance as interest rates declined.
REVIEW OF TOP TEN HOLDINGS
Top ten holdings for the stock allocation in order were Johnson & Johnson,
General Electric, Chevron, AT&T, Bank of America, Pfizer, JP Morgan, Wells
Fargo, US Bancorp, and Altria. During the period they represented approximately
40% of the equity portfolio. The worst of these top ten positions was Bank of
America, which detracted from performance by -.12%. US Bancorp added +.55%, and
Johnson & Johnson and Altria both added +.13%.
The top ten holdings for the bond allocation consisted of a split between U.S.
Treasury securities, mortgage-backed securities including Banc of America
Alternative Loan Trust, FHLMC, and FNMA, and corporate bonds including
MidAmerican Energy Co, Amgen, and AARP.
ECONOMIC & MARKET OUTLOOK
The stock portfolio is conservatively positioned, focused on companies that are
not reliant on external funding, better balance sheets, more stable cash flow
streams, and larger size. We are prepared for an economy that we believe will
have a difficult time expanding for at least one to two years. The future
remains uncertain with respect to the economy, financial markets and government
initiatives. As a result, we expect our bond portfolio to maintain our defensive
yet nimble posture. We plan to be net underweight the index in riskier asset
classes and overweight U.S. Treasury securities, which have benefited from
general risk aversion by many market participants. The U.S. Treasury securities
also provide liquidity that enables us to take advantage of unique opportunities
and leave us in a good position to add beaten-down assets should the market
turn.
MEMBERS Capital Advisors, Inc. - Adviser
John H. Brown, CFA; and Dean "Jack" Call, CFA, Portfolio Managers
- --------------------------------------------------------------------------------
12
================================================================================
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES MERILL LYNCH U.S. CORPORATE,
MAXIMUM SALES CHARGE)(2) GOVERNMENT & MORTGAGE INDEX(4) RUSSELL 1000(R) INDEX(5)
10/31/1998 $ 9,425 $10,000 $10,000
10/31/1999 10,894 10,034 12,558
10/31/2000 11,837 10,770 13,696
10/31/2001 10,826 12,341 10,130
10/31/2002 10,005 13,079 8,650
10/31/2003 11,277 13,723 10,581
10/31/2004 12,147 14,485 11,568
10/31/2005 12,844 14,667 12,779
10/31/2006 14,125 15,430 14,827
10/31/2007 14,967 16,274 17,056
10/31/2008 12,663 16,403 10,779
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(7) EXPENSE RATIO(8)
1 Year 3 Years 5 Years 10 Years 1 Year 3 Years 5 Years 10 Years Gross Net
------------------------------------- ------------------------------------- ----------------
Class A Shares(2) (15.39)% (0.47)% 2.35% 3.00% (20.27)% (2.42)% 1.14% 2.39% 1.25% 1.10%
Class B Shares(3) (16.01) (1.21) 1.58 2.24 (19.39) (2.19) 1.24 2.24 2.00 1.85
Russell 1000(R) Index(5) (36.80) (5.51) 0.37 0.75 NA NA NA NA NA NA
Merrill Lynch U.S.
Corporate,Government &
Mortgage Index(4) 0.79 3.80 3.63 5.07 NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-
based measure of the total rate of return performance of the U.S.
investment-grade bond markets. The index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational mortgage
pass-through, and investment-grade corporate bonds meeting specified
selection criteria.
(5) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index (the
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization).
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect fees
or expenses.
(7) Assumes maximum applicable sales charge.
(8) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
- --------------------------------------------------------------------------------
13
================================================================================
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE AND ECONOMIC & MARKET REVIEW
The MEMBERS Large Cap Value Fund experienced a return of -36.17% (Class A shares
at net asset value) for the fiscal year, outperforming the Russell 1000(R)Value
Index which returned -36.80%. These extraordinary negative returns were the
result of a severe bear market brought on by the financial crisis, a global
economic slowdown, and a continuing drop in corporate profitability and earnings
expectations. We began to see signs of widespread weakness in mid 2007 and
positioned the fund in a defensive manner. We entered this year with an
underweight relative to the index in financials and maintained an underweight
position most of the year, expecting the credit crisis to produce losses greater
than the market appeared to anticipate. Conversely, the fund was overweight the
consumer staples sector. Staples include products that consumers purchase and
use frequently, meaning sales and profits hold up reasonably well in a
recession. Both of these strategic positions benefited the fund this year, as
consumer staples was the best performing sector by a wide margin (down "only"
14%) while financials was the second worst performing sector falling 50%.
PORTFOLIO REVIEW
Stock selection was mixed during the year, but generally positive. Within
staples, the fund benefited from owning Wal-Mart as consumers traded down their
spending habits in a weakening economy. The fund also saw outperformance from
its holdings in Heinz, Kellogg and General Mills well ahead of the index.
Overweights relative to the index in Proctor & Gamble, Johnson & Johnson and
Clorox performed a similar role in the consumer products space. Within
financials, our preference for high quality, lower credit risk companies was
rewarded as significant holdings in strong banks such as Wells Fargo, U.S.
Bancorp and BB&T outperformed the sector by more than 40%. We did suffer
negative return contributions from some credit exposed financial stocks such as
Lehman Brothers, XL Capital and Prudential. In these cases, the value of the
firm's balance sheet assets came into question and led to significant stock
declines. We also saw negative return contributions from commodity stocks Alcoa
and Freeport McMoRan Copper as we underestimated the speed and severity of the
global economic slowdown which translated into a rapid decline in the price of
raw materials.
REVIEW OF TOP TEN HOLDINGS
As of fiscal year end, the top ten active overweight positions relative to the
fund's index were Wal-Mart, Travelers, Proctor & Gamble, JP Morgan Chase, Met
Life, U.S. Bancorp, Johnson & Johnson, IBM, Waste Management, and Heinz.
Although they represent different sectors, these companies share the common
traits of being high quality, well managed, and more defensive businesses that
are leaders in their industry that we believe should perform relatively well in
an economic slowdown.
ECONOMIC & MARKET OUTLOOK
As we exited fiscal year end 2008, the fund remained defensively positioned. We
foresee continued economic distress throughout the developed world and expect
the economic and profits recession to last into 2009. We also expect to remain
tilted toward higher quality financial companies, but plan to reduce our
underweight relative to the index in that sector on the belief that government
programs and policies will lead to a stabilized financial system in the next
year. Furthermore, many valuation indicators we monitor suggest that stocks are
selling at below average prices, so we will direct a portion of our research
efforts toward identifying currently depressed companies that may offer better
than average return potential in an eventual recovery scenario that would favor
more cyclical opportunities.
MEMBERS Capital Advisors - Adviser
Scott D. Opsal, CFA, Portfolio Manager
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14
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LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) RUSSELL 1000(R) VALUE INDEX(4)
10/31/1998 $ 9,425 $10,000
10/31/1999 11,530 11,652
10/31/2000 12,326 12,295
10/31/2001 9,809 10,837
10/31/2002 8,287 9,751
10/31/2003 9,857 11,982
10/31/2004 10,989 13,833
10/31/2005 12,040 15,474
10/31/2006 14,297 18,795
10/31/2007 15,852 20,831
10/31/2008 10,118 13,166
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(7) EXPENSE RATIO(8)
Since Since
12/29/97 6/30/06
1 Year 3 Years 5 Years 10 Years Inception Inception 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------------- ----------------------------------- ----------------
Class A Shares(2) (36.17)% (5.63)% 0.52% 0.71% 1.51% -- (39.84)% (7.49)% (0.65)% 0.12% 1.20% 1.20%
Class B Shares(3) (36.59) (6.31) (0.21) (0.04) 0.75 -- (39.42) (7.39) (0.59) (0.04) 1.95 1.95
Class Y Shares(5) (35.97) -- -- -- -- (9.91)% -- -- -- -- 0.89 0.89
Russell 1000(R)
Value Index(4) (36.80) (5.24) 1.90 2.79 3.49 (10.67) NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 1000(R) Value Index is a large-cap market index which measures
the performance of those Russell 1000 companies with lower price-to-book
ratios and lower forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance
may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-877-6089 or visit www.membersfunds.com. Indices are unmanaged and
investors cannot invest in them directly. Index returns do not reflect fees
or expenses.
(7) Assumes maximum applicable sales charge.
(8) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
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15
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LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Large Cap Growth
Fund outperformed it's benchmark, the Russell 1000(R)Growth Index, by 61 basis
points despite extreme market volatility throughout the year. Brutal bear
market conditions gripped virtually all financial asset classes, including
equities. The Russell 1000(R)Growth Index returned -36.95% for the period, while
the fund returned -36.34% (Class A shares at net asset value). No active manager
controls the markets; however we do strive to add incremental relative value
each period.
Sector emphasis on healthcare, energy, and technology aided performance, as did
underweight positions, relative to the index, in consumer discretionary and
utilities. Within healthcare, our largest area of contribution, we targeted
biotechnology. Genentech, one of our top ten holdings, was up 11% during the
fiscal year as Roche, its controlling shareholder, recognized its undervaluation
by bidding for the remaining 44% of the company it does not own. Vertex, another
top ten holding, will have a first-to-market treatment for hepatitis C, a large
chronic viral condition. The stock reacted favorably to this scientific
breakthrough. Within energy, we are emphasizing natural gas stocks since we
believe natural gas is undervalued versus crude oil. In addition, we continue to
believe this domestically produced clean fuel source will be preferred in the
future. Winners in the natural gas production area were Petrohawk Energy and EOG
Resources, both companies with excellent acreage positions for future
development. Within technology, we benefited from owning Google, IBM, and
Microchip Technologies. Google not only remains an innovative growth franchise,
but like IBM and Microchip, has steady earnings prospects and a solid balance
sheet.
The most significant detractor from the fund's return relative to the index was
its underweight in consumer staples stocks, traditionally a defensive group.
While we did own Coca Cola, Wal-Mart, and Colgate to name a few, we believed
other consumer staples stocks were too expensive compared to alternatives.
ECONOMIC & MARKET REVIEW
The market peaked in mid October of 2007, then trended sideways to down in an
orderly fashion until plummeting in September of 2008. In hindsight, the seizing
up of the credit markets last August was a prescient event triggering massive
deleveraging which ultimately drove the global economy into a deep recession.
Because of the enormity of the scale of the credit bubble, an accurate
prediction of the dimensions of its unwinding was elusive for most participants
in any traded market.
The economic effects from the peaking in credit were slow to develop and were
perceived to be initially mild because interest rates were low and global growth
was robust, as reflected in the ensuing boom in commodities prices. For example,
the price of crude oil was $90 per barrel on October 31, 2007 and did not peak
until July of 2008 at $147 per barrel. This 50% increase bolstered investors'
confidence that economic growth was more sustainable than it turned out to be.
Concerns now have rapidly shifted from inflationary fears to capital
preservation. We believe the global recession will be the worst in over 50
years.
PORTFOLIO REVIEW
During the period, we initiated significant positions in Petrohawk, Hologic, and
Axis Capital during the year. Petrohawk is a prime beneficiary of a new
unconventional natural gas field in the Haynesville formation in East Texas and
Louisiana. Hologic is the leading provider of digital mammography screening
equipment. Axis Capital is a property casualty re-insurer which will benefit
from an expected incipient turn in the pricing cycle. Significant positions we
sold out of during the year were Goldman Sachs, Harley Davidson, and Applied
Materials. Goldman Sachs, a leading investment bank, was sold because its future
profitability will likely be permanently lowered due to a reduction in the debt
leverage used in its businesses. Harley Davidson motorcycles are highly
discretionary purchases, and given the recession, further earnings deterioration
is likely. Applied Materials is a semi-conductor equipment manufacturer which
also has a solar division. While a promising technology, we believe its solar
production will miss expectations for growth.
REVIEW OF TOP TEN HOLDINGS
The top ten holdings of the fund account for approximately 35% of portfolio
assets, as we believe in concentrating our assets into our best ideas. We
strongly believe sustainable global growth franchises such as these top five
holdings listed below will likely reward shareholders over time. These companies
have the balance sheet strength providing financial flexibility, are innovative,
and sell into global markets.
o Cisco Systems was selling at 12 times earnings, had $5 per share in cash,
no debt, over 20% net income margins, and we believe will continue to grow
at an above average rate for the foreseeable future.
o Google sold at 14 times earnings, had $45 per share in cash, no debt, over
20% net income margins, and we believe the company will continue to grow at
an above average rate.
o Genentech was selling at 20 times earnings, had $5.50 per share in cash,
low debt, over 20% net income margins, and we believe will continue to grow
for the foreseeable future.
o Microsoft sold at 10 times earnings, had $2.50 per share in cash, no debt,
over 20% net income margins, and we believe will continue to grow for the
foreseeable future.
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16
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LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
o IBM sold at 9 times earnings, had $7.25 per share in cash, had 30% debt to
total capital, is estimated to generate over $9.00 per share in free cash
flow this year, and 75% of its business is services and software with
involvement in 150 different countries.
We do not simply buy and hold stocks; instead we actively manage our top ten as
drivers of portfolio performance. We believe different types of growth stocks
will be successful holdings under different economic and market conditions.
Currently, as noted, we believe in high quality companies.
ECONOMIC & MARKET OUTLOOK
The rapidity and breadth of the economic collapse stemming in part from poorly
collateralized credit is stunning. Given the magnitude of the shock, it will
likely take time to recover. Policy responses have been equally forceful and
rapid, and we believe it is not a matter of "if" the massive government fiscal
and monetary stimulus will turn things around, but rather "when". There is an
old saying on Wall Street "Don't fight the Fed"; meaning once the Fed got
involved in a situation, its will would ultimately prevail. Given that in this
downturn, since not only is the Federal Reserve involved but so are Treasury,
Congress, foreign central banks, and foreign governments, it will likely be true
once again.
We believe equities will be priced at very attractive levels. While the economic
stress has caused earnings to deteriorate and induced some investors to sell, a
portion of the decline in stock prices is due to forced selling of positions as
the leverage in hedge funds and other entities is reduced. It is the latter that
is creating opportunities. We believe that equity volatility will remain above
average. This means that stock prices will likely have wide swings, both down
and up. Lately we have been subject to seemingly relentless downside volatility.
We anticipate sharp rallies too, given how bearish sentiment is and how
attractively priced stocks are. Therefore, we tend to buy favored issues such as
our top ten holdings on dips and take profits when sentiment improves.
The United States is at a cross roads. On one path are the "old" systems and
attitudes which had developed over years of easy credit and overconfidence on
the part of all economic participants. On the other path is a potential
"re-engineered" country, which relatively quickly adapts its systems and
attitudes to the new global economic order. Should we effectively be able to
make this transition of re-aligning resources to solve legacy problems, we can
retain global financial leadership. We believe the markets are currently
debating the likelihood of which path we will take, and there are strong
arguments on both sides of the aisle. We are positioned with a bias towards
success in that transition, given current stock price levels and coordinated
policy responses.
MEMBERS Capital Advisors, Inc. - Adviser
Bruce A. Ebel, CFA, CIC, CFP(R), Portfolio Manager
- --------------------------------------------------------------------------------
17
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18
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LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) RUSSELL 1000(R) GROWTH INDEX(4)
10/31/1998 $ 9,425 $10,000
10/31/1999 11,714 13,425
10/31/2000 14,071 14,677
10/31/2001 10,964 8,814
10/31/2002 8,273 7,085
10/31/2003 10,206 8,631
10/31/2004 11,056 8,923
10/31/2005 11,787 9,709
10/31/2006 12,697 10,761
10/31/2007 15,020 12,830
10/31/2008 9,561 8,089
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(7) EXPENSE RATIO(8)
Since Since
12/29/97 6/30/06
1 Year 3 Years 5 Years 10 Years Inception Inception 1 Year 3 Years 5 Years 10 Years Gross Net
---------------------------------------------------------- ----------------------------------- ---------------
Class A Shares(2) (36.34)% (6.74)% (1.30)% 0.14% 1.06% -- (40.00)% (8.57)% (2.45)% (0.44)% 1.43% 1.20%
Class B Shares(3) (36.77) (7.42) (2.01) (0.59) 0.33 -- (39.62) (8.51) (2.40) (0.59) 2.18 1.95
Class Y Shares(5) (36.16) -- -- -- -- (8.49)% -- -- -- -- 1.16 0.95
Russell 1000(R)
Growth Index(4) (36.95) (5.90) (1.29) (2.10) (0.03) (8.77) NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 1000(R)Growth Index is a large-cap market index which measures
the performance of those Russell 1000 companies with higher price-to-book
ratios and higher forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Assumes maximum applicable sales charge.
(8) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
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19
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MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Mid Cap Value
Fund returned -38.40% (Class A shares at net asset value) compared with -38.83%
for the Russell Midcap(R)Value Index. October proved the worst month we can
recall for the equity markets, with the index losing nearly 23%. For the year,
the greatest positive contributions came from the fund's underweight relative to
the index of consumer discretionary stocks (the sector lost 52% for the period)
based on our outlook for reduced consumer spending. Performance was also driven
by stock selection which was strongest in the consumer discretionary and
consumer staples sectors. The fund also saw a large benefit from holding
larger-than-normal cash reserves in a declining market. The greatest negatives
came from holdings within energy and materials, both sectors that strongly
outperformed in the early part of the fiscal year, but then sharply reversed
beginning in mid-July 2008. Stock selection in the industrials and health care
sectors also detracted from performance.
ECONOMIC & MARKET REVIEW
The period was characterized by the ongoing bursting of the housing bubble that
in turn morphed into a broad-based economic slow-down. Rising delinquencies in
subprime mortgages began the downward spiral of house price declines, rising
foreclosures, mark-downs in securitized bonds of every stripe, earnings losses
for multiple financial institutions, and broad-based contagion across the global
financial system. The next leg of that is now manifesting itself in a global
economic slowdown that is negatively impacting consumer spending and in turn
reducing manufacturing, sales, and services across all sectors as well as
causing a sharp reversal in commodity prices including oil, metals, and gold.
PORTFOLIO REVIEW
The fund mid cap segment managed by MEMBERS Capital Advisors, Inc. started off
the year overweight relative to the index in both materials and energy believing
that even with the economic slowdown in the U.S., the urbanization and expansion
of emerging markets would sustain demand in metals, fertilizers, and energy. The
fund was concurrently underweight relative to the index in financials due to the
expanding problems of housing, and in consumer discretionary on the slowing
economy and poor outlook for consumer spending. Defensive positions were held in
health care and consumer staples. As the year unfolded, and particularly in the
summer, the fund reversed course and reduced materials to underweight and energy
to neutral relative to the index as it became clearer that the downdraft in the
U.S. was affecting the global economy as well, and the demand for those products
would not hold. For example, one of the fund's largest holdings during the year
was The Mosaic Company, a fertilizer company, whose position was cut by
two-thirds. Similarly, the fund reduced positions in metal companies Nucor
Corporation and Freeport-McMoRan. Within consumer discretionary, we virtually
eliminated home builders from our holdings. And in financials, we expanded our
underweight relative to the index within commercial banks and REITs while
building our positions in better quality companies including BlackRock, Inc. and
JPMorgan Chase & Co.
For the small/mid cap value segment of the fund subadvised by Wellington
Management Company, LLP, the relative outperformance was driven by both stock
selection and sector allocation, which is a fall-out of our bottom-up stock
selection. Stock selection was strongest in the consumer discretionary,
materials, and consumer staples sectors. The fund's overweight position relative
to the index in the defensive consumer staples sector and underweight of
information technology contributed positively to results. Stock selection in the
industrials and health care sectors detracted from performance as did an
overweight to consumer discretionary and an underweight of utilities. Key
individual contributors to relative performance were Whiting Petroleum (energy),
Casey's General Stores (food & staples retailing), and O'Reilly Automotive
(retailing). Detractors from relative performance during the period included
ACCO Brands (commercial & professional services), Belden (Capital Goods), and
Orthofix International (health care equipment & services).
REVIEW OF TOP TEN HOLDINGS
The fund was not highly concentrated given our outlook for continued economic
distress and the potential for negative surprises. The top ten holdings
(including cash) accounted for only 17% of the portfolio with only half-dozen
individual names over 100 basis points of relative overweight versus the
benchmark. The list is an eclectic group that focused on higher quality names
with sound balance sheets and sustainable dividends; companies with some
advantage in the current environment, and attractive valuation, including
JPMorgan Chase & Co. and BlackRock, Inc.; TJX Companies, Inc., Costco Wholesale
Corp., and Wal-Mart; Maxim Integrated Products Inc. and Hologic Inc.
ECONOMIC & MARKET OUTLOOK
The markets already corrected severely, but the timing of the ultimate bottom
remains unknown. Still, we expect valuations to be attractive, the Federal
Reserve and Treasury have and are expected to continue to add stimulus and
liquidity to financial markets, and the "oil tax" has been cut in half. The
markets, therefore, have the makings for a recovery. As such, the fund is
positioned to take advantage of those factors and has built a cash position to
be ready to more aggressively add to holdings when appropriate. In addition, we
anticipate the quality of the portfolio will continue to be upgraded as we swap
companies with poorer outlooks and balance sheets for stronger competitors at
bargain prices.
MEMBERS Capital Advisors, Inc. - Adviser
Livia S. Asher, Portfolio Manager
Wellington Management Company, LLP - Subadviser
Timothy J. McCormack, CFA; Shaun F. Pedersen, Portfolio Mangers
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20
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MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) RUSSELL MIDCAP(R) VALUE INDEX(4)
2-28-01 Inception $ 9,425 $10,000
10/31/2001 8,935 9,255
10/31/2002 8,149 8,980
10/31/2003 10,488 11,986
10/31/2004 11,733 14,352
10/31/2005 13,370 17,151
10/31/2006 15,768 20,670
10/31/2007 17,335 22,561
10/31/2008 10,679 13,802
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since
2/28/01 6/30/06 Since
1 Year 3 Years 5 Years Inception(7) Inception(8) 1 Year 3 Years 5 Years Inception(7) Gross Net
------------------------------------------------------ ---------------------------------------- --------------
Class A Shares(2) (38.40)% (7.22)% 0.36% 1.64% -- (41.95)% (9.03)% (0.82)% 0.86% 1.69% 1.40%
Class B Shares(3) (38.97) (7.97) (0.47) 0.83 -- (41.43) (8.70) (0.74) 0.83 2.44 2.15
Class Y Shares(5) (37.53) -- -- -- (12.25)% -- -- -- -- 1.43 1.15
Russell Midcap(R)
Value Index(4) (38.83) (6.82) 2.97 4.29 (12.86) NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell Midcap(R)Value Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with lower price-to-book
ratios and lower forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Class A and B shares commenced investment operations on February 28, 2001.
The annualized since inception index return (without sales charges) is also
from February 28, 2001.
(8) Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return (without sales charges) is also from
June 30, 2006.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
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21
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MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Mid Cap Growth
Fund returned -44.71% (Class A shares at net asset value), while the Russell
Midcap(R)Growth Index returned -42.65%.
ECONOMIC & MARKET REVIEW
During the year, most major indices suffered deep double-digit negative returns.
Equity markets fell sharply amid a significant deterioration in both credit
market conditions and investor confidence. Forced deleveraging by financial
institutions triggered an unprecedented set of bank failures and mergers,
significantly reshaping the global financial map. Impaired access to capital
threatened to spill over into the real economy, reducing expectations for global
growth and forcing energy and commodity prices sharply lower. Economic data
reported during the most recent quarter provided little encouragement to
investors, as housing, employment, and manufacturing metrics all trended
downward. Within the Russell Midcap(R)Growth Index, all ten broad economic
sectors posted double-digit negative returns with five falling in excess of 45%.
PORTFOLIO REVIEW
Stock selection in the health care, industrials, and consumer staples sectors
detracted the most from relative performance. These negative results were
partially offset by strong stock selection in the information technology and
consumer discretionary sectors. Though sector weights are a fall-out of
bottom-up stock selection, our underweight to the underperforming utilities
sector and overweight to the defensive health care sector were positive
contributors to relative returns.
Key individual contributors to relative performance were Hub Group
(transportation), Cleveland-Cliffs (materials), and Perot Systems (software &
services). Shares of Hub Group, a freight transportation management company,
increased as the company reported strong quarterly earnings during the year.
Cleveland-Cliffs, an international mining company, benefited during the run-up
of commodities and precious minerals earlier in the year. Perot Systems, a
worldwide provider of information technology services and business solutions,
rallied as the company announced better-than-expected revenue and earnings for
the second quarter.
Detractors from relative performance included Coventry Health Care (health care
equipment & services), Oshkosh (capital goods), and Terex (capital goods).
Shares of Coventry Health Care, a diversified managed healthcare company, fell
sharply after the company posted a significant decline in quarterly earnings
hurt by charges on investment impairments, and lowered the midpoint of its full
year earnings outlook. Oshkosh, a global specialty truck, vehicle, and access
equipment manufacturing company, declined after the company warned that
quarterly earnings will be weaker-than-expected as a slowdown in the U.S.
economy spreads to its European sales. Terex, a global manufacturer of mining
and building equipment, suffered from declining quarterly earnings and a reduced
full-year outlook, and the subsequent removal from the S&P 500 Index.
ECONOMIC & MARKET OUTLOOK
We plan to continue to look for high-quality sustainable growth companies that
we think will deliver improving margins, growing profits, and higher returns on
investments. We ended the period with an overweight to the energy, information
technology, and health care sectors and an underweight to the utilities,
consumer discretionary, and industrials sectors relative to the Russell
Midcap(R)Growth Index.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
Francis J. Boggan, CFA, Portfolio Manager
- --------------------------------------------------------------------------------
22
================================================================================
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) RUSSELL MIDCAP(R) GROWTH INDEX(4)
2-29-00 Inception $9,425 $10,000
10/31/2000 7,417 9,164
10/31/2001 4,024 5,244
10/31/2002 3,289 4,320
10/31/2003 4,204 6,018
10/31/2004 4,552 6,545
10/31/2005 5,052 7,587
10/31/2006 5,910 8,688
10/31/2007 7,022 10,401
10/31/2008 3,882 5,965
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since
2/29/00 6/30/06 Since
1 Year 3 Years 5 Years Inception(7) Inception(8) 1 Year 3 Years 5 Years Inception(7) Gross Net
---------------------------------------------------- --------------------------------------- ----------------
Class A Shares(2) (44.71)% (8.40)% (1.58)% (9.72)% -- (47.86)% (10.21)% (2.73)% (10.34)% 1.50% 1.40%
Class B Shares(3) (45.18) (9.11) (2.32) (10.40) -- (47.63) (10.18) (2.71) (10.40) 2.25 2.15
Class Y Shares(5) (44.66) -- -- -- (13.69)% -- -- -- -- 1.22 1.15
Russell Midcap(R)
Growth Index(4) (42.65) (7.70) (0.18) (5.78) (13.06) NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell Midcap(R)Growth Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with higher price-to-book
ratios and higher forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Class A and B shares commenced investment operations on February 29, 2000.
The annualized since inception index return (without sales charges) is also
from February 29, 2000.
(8) Class Y shares commenced investment operations on June 30, 2006. The
annualized since inception index return (without sales charges) is also from
June 30, 2006.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
- --------------------------------------------------------------------------------
23
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the twelve month period ended October 31, 2008, the MEMBERS Small Cap Value
Fund returned -28.02%, (Class A shares at net asset value) outperforming the
Russell 2000(R)Value Index which returned -30.54%. Within the Russell
2000(R)Value Index, all ten broad economic sectors posted negative returns. The
telecommunications services, consumer discretionary, and information technology
sectors were the weakest performers, while the utilities and consumer staples
suffered the least.
ECONOMIC & MARKET REVIEW
During the year, most major indices suffered deep double-digit negative returns.
Equity markets fell sharply amid a significant deterioration in both credit
market conditions and investor confidence. Forced deleveraging by financial
institutions triggered an unprecedented set of bank failures and mergers,
significantly reshaping the global financial map. Impaired access to capital
threatened to spill over into the real economy, reducing expectations for global
growth and forcing energy and commodity prices sharply lower. Economic data
reported during the past quarter provided little encouragement to investors, as
housing, employment, and manufacturing metrics all trended downward.
PORTFOLIO REVIEW
Stock selection during the one year period drove the favorable relative return
as strong stock selection in consumer discretionary, materials, and energy
helped offset weak stock selection in industrials, utilities, and health care.
Although sector allocation is a residual of our bottom-up stock selection, the
fund's underweight relative to the index in information technology contributed
positively while an overweight to the weakening consumer discretionary sector
and underweight to financials detracted from relative returns.
Key individual contributors to relative performance were Whiting Petroleum
(energy), Zep (materials), Casey's General Stores (food & staples retailing).
Oil and gas exploration and production company, Whiting Petroleum, profited
during the first half of 2008 from the unprecedented run-up in oil prices.
Cleaning solutions provider, Zep, reported higher earnings due to favorable
foreign currency translation on international sales. Casey's General Stores, a
Midwest-based convenience store operator, benefited from high gasoline margins
and effectively passing along rising food costs to its customers.
Detractors from relative performance during the period included Belden (capital
goods), ACCO Brands (commercial & professional services), ASTA Funding
(diversified financials). Belden, a supplier of copper cable, fiber optic cable,
and wireless solutions and ACCO Brands, a leading branded office products
supplier, declined after reporting lower than expected earnings driven by weak
end market demand and cost pressures. Shares of ASTA Funding, a consumer
receivable asset management and liquidation company, declined along with the
financial sector as earnings and cash flow slowed during the year.
ECONOMIC & MARKET OUTLOOK
The Small Cap Value investment approach emphasizes individual stock selection;
sector weights are a residual of the process. We do, however, carefully consider
diversification across economic sectors to limit risk. We ended the one-year
period as of October 31, 2008 with an overweight to the industrials, consumer
discretionary, and health care sectors and an underweight to the financials,
information technology, and utilities sectors relative to the Index.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
Timothy J. McCormack, CFA and Shaun F. Pederson, Portfolio Managers
- --------------------------------------------------------------------------------
24
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) RUSSELL 2000(R) VALUE INDEX(4)
12/27/06 Inception $9,425 $10,000
10/31/2007 9,764 9,831
10/31/2008 7,029 6,829
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since Since
12/27/06 1/9/07 12/27/06
1 Year Inception(7) Inception(8) 1 Year Inception(7) Gross Net
-------------------------------------------------- ------------------------------------ ---------------
Class A Shares(2) (28.02)% (14.69)% -- (32.14)% (17.38)% 2.85% 1.50%
Class B Shares(3) (28.38) (15.23) -- (31.54) (17.05) 3.60 2.25
Class Y Shares(5) (27.71) -- (13.84)% -- -- 2.60 1.25
Russell 2000(R)
Value Index(4) (30.54) (18.64) (18.24) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 2000(R)Value Index is a small-cap market index which measures
the performance of those Russell 2000 companies with lower price-to-book
ratios and lower forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Class A and B shares commenced investment operations on December 27, 2006.
The annualized since inception index return (without sales charges) is also
from December 27, 2006.
(8) Class Y shares commenced investment operations on January 9, 2007. The
annualized since inception index return (without sales charges) is also
from January 9, 2007.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on estimated expenses incurred by the fund, as
described in the current Prospectus. The net figures shown reflect the
fund's actual expense ratio after taking into account the investment
adviser's contractual agreement to limit fund expenses.
- --------------------------------------------------------------------------------
25
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE AND ECONOMIC & MARKET REVIEW
For the twelve month period ending October 31, 2008, the market as a whole was
led drastically down by a failing economy and banking system. While small
capitalization companies were rewarded for their size, their stock prices were
also symmetrically penalized for their above average risk relative to large
company stocks during the downward trending market. That said, the Russell
2000(R)Growth Index (-37.87%) marginally underperformed the broad market Russell
3000(R) Index (-36.60%) and S&P 500 Index (-36.10%). The Russell 2000(R)Value
Index (-30.54%) led the overall market by 0.50-0.60% where both smaller size and
larger weight to financials was favored.
For the period, the MEMBERS Small Cap Growth Fund returned -43.49% (Class A
shares at net asset value), and as mentioned above, the Russell 2000(R)Growth
Index returned -37.87%.
PORTFOLIO REVIEW
Over the year, the fund profited from having smaller than index weights to
debt-laden companies, companies with unstable earnings, and the consumer
services sector. Poor asset selection and a larger capitalization bias hindered
returns. Some of the major contributors to performance were basic materials,
transportation, and energy names including Alpha Natural Resource, UAL Corp, Hub
Group, W-H Energy, and Cabot Oil & Gas while weaker performing stocks were
health care and technology names including Pharmanet Dev Group, Arthrocare,
Pediatrix Medical Group, BE Aerospace, and Triumph Group.
ECONOMIC & MARKET OUTLOOK
In the face of a slowing global economy, we expect the fund to continue to
reduce its exposures to energy and materials and to a lesser extent,
industrials. At the same time, modest increases to financials due to attractive
valuations and the typically recession-proof telecommunications are anticipated.
We also plan to reduce the fund's exposure to companies whose earnings are
sensitive to currency fluctuation, which should play well if the dollar
continues to strengthen.
MEMBERS Capital Advisors, Inc. - Adviser
Paradigm Asset Management Company, LLC - Subadviser
James E. Francis, Jeffrey Marcus and Gregory Pai, Portfolio Managers
- --------------------------------------------------------------------------------
26
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) RUSSELL 2000(R) GROWTH INDEX(4)
12/27/06 Inception $ 9,425 $10,000
10/31/2007 10,548 11,431
10/31/2008 5,961 7,102
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(9) EXPENSE RATIO(10)
Since Since Since
12/27/06 1/9/07 12/27/06
1 Year Inception(7) Inception(8) 1 Year Inception(7) Gross Net
-------------------------------------------------- ------------------------------------ ----------------
Class A Shares(2) (43.49)% (21.97)% -- (46.73)% (24.43)% 2.85% 1.50%
Class B Shares(3) (43.90) (22.58) -- (46.39) (24.25) 3.60 2.25
Class Y Shares(5) (43.32) -- (21.45)% -- -- 2.60 1.25
Russell 2000(R)
Growth Index(4) (37.87) (16.89) (16.71) NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The Russell 2000(R)Growth Index is a small-cap market index which measures
the performance of those Russell 2000 companies with higher price-to-book
ratios and higher forecasted growth values.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Class A and B shares commenced investment operations on December 27, 2006.
The annualized since inception index return (without sales charges) is also
from December 27, 2006.
(8) Class Y shares commenced investment operations on January 9, 2007. The
annualized since inception index return (without sales charges) is also from
January 9, 2007.
(9) Assumes maximum applicable sales charge.
(10)The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
- --------------------------------------------------------------------------------
27
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
The MEMBERS International Stock Fund returned -40.46% (Class A shares at net
asset value) for the twelve month period ended October 31, 2008, while the MSCI
EAFE Index returned -46.34% for the same period. Fund performance was hindered
by exposure to the emerging markets which fell over 50.0% during the period and
decreased by almost 28% in the month of October alone as measured by the MSCI
Emerging Markets Index. The period also ended with one of the worst months on
record for international small-cap companies.
ECONOMIC & MARKET REVIEW
For the period, international equity markets experienced significant volatility
amid cycles of optimism and pessimism concerning the status of the global
economy. During the year, the credit crisis gathered steam, first with periodic
announcements of financial company write-downs and interbank lending market
issues. Then, in the first quarter, the situation heated up in the United States
with a run on investment bank Bear Stearns, which was quickly acquired by
JPMorgan Chase with assistance from the U.S. Federal Reserve. After a brief
period of recovery early in the second quarter, equities fell heavily from
mid-May through June as investor sentiment dimmed on concerns about the credit
markets, slowing economic growth, continued deterioration of the housing
markets, and high energy prices. The U.S. Federal Reserve pointed to
inflationary pressures, indicating potential interest rate increases. The
European Central Bank supported this shift in monetary policy, implying possible
rate hikes and higher-than-expected inflation readings in the United Kingdom.
However, by October signs of a severe credit crunch, dysfunctional LIBOR rates,
and fears of a protracted global slowdown drove a steep decline in global equity
markets, despite coordinated rate cuts by central banks worldwide and the U.S.
Federal Reserve's decision to purchase commercial paper directly in the markets.
The credit crisis came to a head during October. Volatility in stocks,
commodities, and currencies all reached unprecedented levels as investors sold
out of the markets, especially outside of the United States and in emerging
markets. A sharp rally in the Japanese yen was indicative of the ongoing
unwinding of the yen carry trade, as investors began to sell risky assets to
repay their yen-based loans. Other currency markets were also extremely
volatile, and further weakened against the U.S. dollar amid renewed concern
about the global economic slowdown.
Amid this environment, defensive sectors, such as the utilities, health care,
and consumer staples sectors, outperformed relative to the overall market. In
contrast, the financials, information technology, industrials, and materials
sectors faced sharp declines. Surprisingly, the U.S. dollar strengthened against
major currencies, despite deepening concern over the troubled financials sector
and the worsening fiscal condition.
PORTFOLIO REVIEW
The fund's allocation to large capitalization developed markets outperformed the
MSCI EAFE Index by holding ground in the face of volatility and loss. The
portfolio benefited from stock selection in the financials and industrials
sectors. Our overweight positions relative to the index in the traditionally
defensive consumer staples and health care sectors also contributed positively
to performance. Stock selection in the consumer discretionary sector detracted
from performance. Geographically, our stock selection in Europe--namely
Switzerland, the United Kingdom, and France--contributed favorably to
performance.
The small capitalization developed markets segment, stock selection in the
industrials sector and in the defensive health care sector added to performance.
Conversely, energy holdings were a source of weakness for the year. Investors
shunned energy-related names as oil prices declined due to fears that a slowdown
would impact demand.
For the emerging markets segment, the health care and consumer staples sectors
performed particularly better then the index over the twelve-month period.
Significant underperformers included the industrials and materials sectors.
ECONOMIC & MARKET OUTLOOK
Looking forward, the extended period of cheap credit we experienced over the
last few years appears to be behind us, and the resolution to the current
financial crisis is unclear. Market volatility is at levels not seen since the
technology bubble, as investors weigh the effects of the credit crisis on
economic growth. We believe that the recent volatility has created opportunities
among high-quality franchises. We also believe that the portfolio is well
positioned for such an environment due to our focus on consistently profitable,
high-quality companies.
MEMBERS Capital Advisors, Inc. - Adviser
Lazard Asset Management - Subadviser
John R. Reinsberg, Lead Portfolio Manager;
Gabrielle M. Boyle, Michael A. Bennett; Michael G. Fry;
Michael Powers, Brian Pessin, CFA; Edward Rosenfeld, James M. Donald, CFA;
Rohit Chopra and Erik Mckee, Portfolio Managers
- --------------------------------------------------------------------------------
28
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,6)
[CHART OF CUMULATIVE PERFORMANCE]
CLASS A SHARES (INCLUDES
MAXIMUM SALES CHARGE)(2) MSCI EAFE INDEX(4)
10/31/1998 $ 9,425 $10,000
10/31/1999 11,016 12,337
10/31/2000 9,993 12,008
10/31/2001 7,707 9,045
10/31/2002 7,380 7,875
10/31/2003 9,480 10,047
10/31/2004 11,335 11,982
10/31/2005 13,694 14,210
10/31/2006 17,133 18,194
10/31/2007 20,773 22,822
10/31/2008 12,368 12,247
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2008(6)
% RETURN WITHOUT % RETURN AFTER
SALES CHARGE SALES CHARGE(7) EXPENSE RATIO(8)
Since Since
12/29/97 06/30/06
1 Year 3 Years 5 Years 10 Years Inception Inception 1 Year 3 Years 5 Years 10 Years Gross Net
--------------------------------------------------------- ---------------------------------- ----------------
Class A Shares(2) (40.46)% (3.34)% 5.46% 2.75% 2.87% -- (43.88)% (5.22)% 4.23% 2.15% 1.89% 1.60%
Class B Shares(3) (40.95) (4.09) 4.67 1.99 2.10 -- (43.18) (4.95) 4.35 1.99 2.64 2.35
Class Y Shares(5) (40.41) -- -- -- -- (10.09)% -- -- -- -- 1.66 1.35
MSCI EAFE Index(4) (46.34) (4.83) 4.04 2.05 2.86 (11.39) NA NA NA NA NA NA
NA Not Applicable. Index returns do not reflect sales charges, fees or
expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) Maximum sales charge is 5.75% for class A shares.
(3) Maximum contingent deferred sales charge (CDSC) is 4.5% for class B shares,
which is reduced after 12 months and eliminated after six years.
(4) The MSCI EAFE (Europe, Australasia & Far East) Index is free float-adjusted
market capitalization index that is designed to measure developed market
equity performance, excluding the U.S. and Canada.
(5) Class Y Shares are only available for purchase by MEMBERS Funds and other
affiliated asset allocation funds, in managed account programs, and to
certain other investors as described in the current Prospectus.
(6) Fund returns are calculated after fund expenses have been subtracted and
assume that dividends and capital gains are reinvested in additional shares
of the fund. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-877-6089 or
visit www.membersfunds.com. Indices are unmanaged and investors cannot
invest in them directly. Index returns do not reflect fees or expenses.
(7) Assumes maximum applicable sales charge.
(8) The expense ratio is based on expenses incurred by the fund, as described in
the current Prospectus. The net figures shown reflect the fund's actual
expense ratio after taking into account the investment adviser's contractual
agreement to limit fund expenses.
- --------------------------------------------------------------------------------
29
================================================================================
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Debt Securities 63%
Equity Securities 27
Foreign Securities 9
Money Market Securities and Other Net Assets 1
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF OCTOBER 31, 2008
MEMBERS Bond Fund Class Y 29%
T. Rowe Price Spectrum Income Fund 14
Oppenheimer International Bond Fund Class Y 11
MEMBERS High Income Fund Class Y 10
MEMBERS Large Cap Growth Fund Class Y 9
MEMBERS International Stock Fund Class Y 9
MEMBERS Large Cap Value Fund Class Y 6
Victory Special Value Fund Class I 6
Fairholme Fund 5
SSgA Prime Money Market Fund 1
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.87%
- --------------------------------------------------------------------------------------------------
DEBT SECURITIES - 62.94%
839,783 MEMBERS Bond Fund,
Class Y (R) ..................................................... $ 7,952,748
488,267 MEMBERS High Income Fund,
Class Y (R) ..................................................... 2,714,765
524,696 Oppenheimer International
Bond Fund, Class Y .............................................. 2,906,817
360,649 T. Rowe Price Spectrum
Income Fund ..................................................... 3,707,475
------------
17,281,805
------------
EQUITY SECURITIES - 26.87%
55,548 Fairholme Fund .................................................. 1,350,930
225,859 MEMBERS Large Cap Growth Fund,
Class Y (R)* .................................................... 2,516,070
166,865 MEMBERS Large Cap Value Fund,
Class Y (R) ..................................................... 1,772,103
161,133 Victory Special Value Fund,
Class I ......................................................... 1,738,620
------------
7,377,723
------------
FOREIGN SECURITIES - 9.12%
295,746 MEMBERS International
Stock Fund, Class Y (R) ......................................... 2,504,966
------------
MONEY MARKET SECURITIES - 0.94%
257,501 SSgA Prime Money Market
Fund ............................................................ 257,501
------------
TOTAL INVESTMENT COMPANIES - 99.87%
(Cost $33,439,135**) .............................................. 27,421,995
NET OTHER ASSETS AND LIABILITIES - 0.13%
- --------------------------------------------------------------------------------------------------
35,422
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 27,457,417
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $33,987,997.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
30
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Equity Securities 41%
Debt Securities 33
Foreign Securities 17
Alternative Asset Classes 8
Money Market Securities and Other Net Assets 1
[END CHART]
- --------------------------------------------------------------------------------
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF OCTOBER 31, 2008
MEMBERS International Stock Fund Class Y 14%
MEMBERS Bond Fund Class Y 14
MEMBERS Large Cap Growth Fund Class Y 12
T. Rowe Price Spectrum Income Fund 8
MEMBERS Large Cap Value Fund Class Y 8
Victory Special Value Fund Class I 7
Oppenheimer International Bond Fund Class Y 6
Gateway Fund Class Y 5
MEMBERS High Income Fund Class Y 5
Fairholme Fund 5
MEMBERS Mid Cap Growth Fund Class Y 3
MEMBERS Small Cap Growth Fund Class Y 3
MEMBERS Small Cap Value Fund Class Y 3
Principal International Emerging Markets Fund Institutional Class 2
PIMCO CommodityRealReturn Strategy Fund Institutional Class 2
Neuberger Berman Partners Fund Institutional Class 2
SSgA Prime Money Market Fund 1
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.88%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 7.74%
152,972 Gateway Fund, Class Y .......................................... $ 3,804,424
168,253 PIMCO CommodityRealReturn
Strategy Fund, Institutional
Class ........................................................... 1,630,372
------------
5,434,796
------------
DEBT SECURITIES - 32.89%
1,068,764 MEMBERS Bond Fund,
Class Y (R) ..................................................... 10,121,194
661,435 MEMBERS High Income Fund,
Class Y (R) ..................................................... 3,677,577
705,773 Oppenheimer International
Bond Fund, Class Y .............................................. 3,909,983
523,254 T. Rowe Price Spectrum
Income Fund ..................................................... 5,379,049
------------
23,087,803
------------
EQUITY SECURITIES - 41.24%
145,983 Fairholme Fund .................................................. 3,550,295
734,970 MEMBERS Large Cap Growth
Fund, Class Y (R)* .............................................. 8,187,564
514,669 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 5,465,787
481,604 MEMBERS Mid Cap Growth
Fund, Class Y (R) ............................................... 1,979,394
292,912 MEMBERS Small Cap Growth
Fund, Class Y (R) ............................................... 1,839,486
261,345 MEMBERS Small Cap Value
Fund, Class Y (R) ............................................... 1,910,435
82,460 Neuberger Berman Partners
Fund, Institutional Class ....................................... 1,442,222
424,425 Victory Special Value Fund,
Class I ......................................................... 4,579,551
------------
28,954,734
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
31
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOREIGN SECURITIES - 17.01%
1,204,052 MEMBERS International Stock
Fund, Class Y (R) ............................................... $ 10,198,322
126,618 Principal International Emerging
Markets Fund, Institutional
Class ........................................................... 1,744,796
------------
11,943,118
------------
MONEY MARKET SECURITIES - 1.00%
699,808 SSgA Prime Money Market Fund .................................... 699,808
------------
TOTAL INVESTMENT COMPANIES - 99.88%
(Cost $93,422,253**) ............................................ 70,120,259
NET OTHER ASSETS AND LIABILITIES - 0.12%
- --------------------------------------------------------------------------------------------------
82,777
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 70,203,036
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $94,789,943.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
32
================================================================================
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Equity Securities 60%
Foreign Securities 29
Alternative Asset Classes 10
Money Market Securities and Other Net Assets 1
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF OCTOBER 31, 2008
MEMBERS International Stock Fund Class Y 19%
MEMBERS Large Cap Growth Fund Class Y 15
Victory Special Value Fund 10
MEMBERS Large Cap Value Fund Class Y 9
Gateway Fund Class Y 7
MEMBERS Mid Cap Growth Fund Class Y 6
Laudus International Market Masters Fund Select Shares 5
MEMBERS Small Cap Growth Fund Class Y 5
MEMBERS Small Cap Value Fund Class Y 5
Neuberger Berman Partners Fund 5
Fairholme Fund 5
Principal International Emerging Markets Fund Institutional Class 5
PIMCO Commodity RealReturn Strategy Fund Institutional Class 3
SSgA Prime Money Market Fund 1
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.98%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 9.91%
63,185 Gateway Fund, Class Y ........................................... $ 1,571,402
55,155 PIMCO CommodityRealReturn
Strategy Fund, Institutional
Class ........................................................... 534,451
------------
2,105,853
------------
EQUITY SECURITIES - 60.20%
45,169 Fairholme Fund .................................................. 1,098,511
286,190 MEMBERS Large Cap Growth
Fund, Class Y (R)* .............................................. 3,188,162
184,910 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 1,963,740
315,566 MEMBERS Mid Cap Growth
Fund, Class Y (R) ............................................... 1,296,976
158,540 MEMBERS Small Cap Growth
Fund, Class Y (R) ............................................... 995,628
142,343 MEMBERS Small Cap Value
Fund, Class Y (R) ............................................... 1,040,526
56,325 Neuberger Berman Partners
Fund, Institutional Class ....................................... 985,126
206,396 Victory Special Value Fund,
Class I ......................................................... 2,227,008
------------
12,795,677
------------
FOREIGN SECURITIES - 28.96%
86,682 Laudus International Market Masters
Fund, Select Shares ............................................. 1,022,843
487,475 MEMBERS International Stock
Fund, Class Y (R) ............................................... 4,128,916
72,803 Principal International
Emerging Markets Fund,
Institutional Class ........................................... 1,003,226
------------
6,154,985
------------
MONEY MARKET SECURITIES - 0.91%
193,966 SSgA Prime Money Market
Fund ............................................................ 193,966
------------
TOTAL INVESTMENT COMPANIES - 99.98%
(Cost $31,062,253**) ............................................ 21,250,481
NET OTHER ASSETS AND LIABILITIES - 0.02%
- --------------------------------------------------------------------------------------------------
3,899
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 21,254,380
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $31,693,116.
(R) Affiliated Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
33
================================================================================
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Freddie Mac (FHLMC) 42%
FNMA 35
U.S. Treasury Bills 15
Money Market Securities and Other Net Assets 8
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 91.63%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 41.68%
$ 310,000 1.200%, due 11/03/08 (A) ........................................ $ 309,979
500,000 0.800%, due 11/04/08 (A) ........................................ 499,967
505,000 2.050%, due 11/04/08 (A) ........................................ 504,914
875,000 2.530%, due 11/05/08 (A) ........................................ 874,754
800,000 2.050%, due 11/10/08 (A) ........................................ 799,590
900,000 2.510%, due 11/12/08 (A) ........................................ 899,310
450,000 1.000%, due 11/17/08 (A) ........................................ 449,800
750,000 2.500%, due 11/24/08 (A) ........................................ 748,802
750,000 2.700%, due 12/01/08 (A) ........................................ 748,312
500,000 1.200%, due 12/03/08 (A) ........................................ 499,467
750,000 0.900%, due 12/05/08 (A) ........................................ 749,362
500,000 2.350%, due 12/15/08 (A) ........................................ 498,564
750,000 4.018%, due 10/08/09 (G) ........................................ 749,631
------------
8,332,452
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 35.37%
800,000 2.450%, due 11/03/08 (A) ........................................ 799,891
261,000 4.900%, due 11/03/08 ............................................ 261,033
410,000 2.050%, due 11/04/08 (A) ........................................ 409,930
360,000 1.100%, due 11/05/08 (A) ........................................ 359,956
125,000 0.950%, due 11/10/08 (A) ........................................ 124,970
600,000 2.050%, due 11/17/08 (A) ........................................ 599,453
350,000 2.110%, due 11/19/08 (A) ........................................ 349,631
164,000 2.250%, due 11/19/08 (A) ........................................ 163,815
125,000 2.400%, due 11/19/08 (A) ........................................ 124,850
250,000 2.350%, due 11/24/08 (A) ........................................ 249,625
255,000 1.132%, due 11/26/08 (A) ........................................ 254,800
500,000 2.440%, due 11/26/08 (A) ........................................ 499,153
500,000 2.200%, due 12/03/08 (A) ........................................ 499,022
700,000 1.200%, due 12/08/08 (A) ........................................ 699,137
500,000 2.120%, due 12/10/08 (A) ........................................ 498,852
305,000 1.150%, due 12/15/08 (A) ........................................ 304,571
525,000 1.000%, due 12/17/08 (A) ........................................ 524,329
350,000 1.210%, due 12/22/08 (A) ........................................ 349,400
------------
7,072,418
------------
U.S. TREASURY BILLS - 14.58% (A)
800,000 1.825%, due 11/13/08 ............................................ 799,513
750,000 1.940%, due 12/11/08 ............................................ 748,384
500,000 1.812%, due 01/29/09 ............................................ 497,760
875,000 1.317%, due 04/23/09 ............................................ 869,462
------------
2,915,119
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $18,319,989) .............................................. 18,319,989
Shares
- ------
INVESTMENT COMPANIES - 8.64%
- --------------------------------------------------------------------------------------------------
850,000 SEI Daily Income Trust
Treasury II Fund ................................................ 850,000
877,621 SSgA US Treasury Money
Market Fund ..................................................... 877,621
------------
TOTAL INVESTMENT COMPANIES
(Cost $1,727,621) ............................................... 1,727,621
TOTAL INVESTMENTS - 100.27%
- --------------------------------------------------------------------------------------------------
(Cost $20,047,610**) .......................................................... 20,047,610
NET OTHER ASSETS AND LIABILITIES - (0.27)%
- --------------------------------------------------------------------------------------------------
(53,690)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 19,993,920
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $20,047,610.
(A) Rate noted represents annualized yield at time of purchase.
(G) Floating rate note. Date shown is next reset date.
The industry classification method used for purposes of this report'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.
- --------------------------------------------------------------------------------
34
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
U.S. Government and Agency Obligations 45%
Mortgage Backed 25
Corporate Notes and Bonds 15
Cash and Other Net Assets 6
Asset Backed 3
Commercial Mortgage Backed 5
Private Label Mortgage Backed 1
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 2.62%
- --------------------------------------------------------------------------------------------------
$ 64,040 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 ............................................ $ 59,751
223,997 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ............................................ 136,758
670,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14 ............................................ 597,449
495,000 Daimler Chrysler Auto Trust,
Series 2007-A, Class A3A
5.000%, due 02/08/12 ............................................ 481,272
560,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 ............................................ 492,102
306,421 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27 ............................................ 301,167
750,000 MBNA Master Credit Card Trust,
Series 1999-B, Class A
5.900%, due 08/15/11 ............................................ 742,630
1,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5 (G)
5.500%, due 11/25/33 ............................................ 1,300,907
276,790 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
6.259%, due 05/25/34 ............................................ 55,944
------------
TOTAL ASSET BACKED
(Cost $4,843,540) ............................................... 4,167,980
COMMERCIAL MORTGAGE BACKED - 5.09%
- --------------------------------------------------------------------------------------------------
151,240 Bear Stearns Commercial Mortgage
Securities, Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ............................................ 147,424
640,000 Bear Stearns Commercial Mortgage
Securities, Series 2003-T10,
Class E (C)(G)
5.540%, due 03/13/40 ............................................ 430,442
525,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16,
Class A6 (G)
4.750%, due 02/13/46 ............................................ 426,749
325,000 Bear Stearns Commercial Mortgage
Securities, Series 2005-T20,
Class F (C)(G)
5.151%, due 10/12/42 ............................................ 177,707
1,100,000 Government National Mortgage
Association, Series 2004-43,
Class C (G)
5.008%, due 12/16/25 ............................................ 1,086,926
1,200,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A7 (G)
5.317%, due 06/10/36 ............................................ 1,030,938
994,101 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29 ............................................ 973,249
800,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 ............................................ 654,795
1,150,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ............................................ 952,042
500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45 ............................................ 444,784
910,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43 ............................................ 821,563
330,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 ............................................ 73,445
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
35
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$ 863,645 Wachovia Bank Commercial Mortgage
Trust, Series 2003-C8, Class A2
3.894%, due 11/15/35 ............................................ $ 861,068
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $9,439,748) ............................................... 8,081,132
PRIVATE LABEL MORTGAGE BACKED - 1.20%
- --------------------------------------------------------------------------------------------------
782,382 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36 ............................................ 625,417
1,539,966 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36 ............................................ 1,286,010
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $2,309,006) ............................................... 1,911,427
CORPORATE NOTES AND BONDS - 15.39%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 0.72%
750,000 American Association of Retired
Persons (C)
7.500%, due 05/01/31 ............................................ 818,276
575,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 ............................................ 321,422
------------
1,139,698
------------
CONSUMER STAPLES - 1.46%
750,000 Coca-Cola Enterprises, Inc.
4.375%, due 09/15/09 ............................................ 746,524
365,000 Diageo Capital PLC (D)
5.500%, due 09/30/16 ............................................ 313,807
215,000 PepsiCo, Inc./NC
4.650%, due 02/15/13 ............................................ 206,598
1,000,000 PepsiCo., Inc./NC
7.900%, due 11/01/18 ............................................ 1,055,012
------------
2,321,941
------------
ENERGY - 0.80%
240,000 Hess Corp.
7.875%, due 10/01/29 ............................................ 204,621
850,000 Transocean, Inc.
6.000%, due 03/15/18 ............................................ 727,189
450,000 Valero Energy Corp.
7.500%, due 04/15/32 ............................................ 343,682
------------
1,275,492
------------
FINANCE - 3.89%
500,000 American General Finance Corp., Series H
4.625%, due 09/01/10 ............................................ 240,455
215,000 Bank of America Corp.
5.750%, due 12/01/17 ............................................ 185,172
420,000 Bear Stearns Cos. LLC/The
7.250%, due 02/01/18 ............................................ 395,391
1,250,000 Caterpillar Financial Services Corp.
7.050%, due 10/01/18 ............................................ 1,179,753
505,000 CIT Group, Inc.
7.625%, due 11/30/12 ............................................ 295,304
290,000 General Electric Global
Insurance Holdings
7.000%, due 02/15/26 ............................................ 243,602
330,000 General Electric Global
Insurance Holdings
7.750%, due 06/15/30 ............................................ 294,709
750,000 Goldman Sachs Group, Inc./The
5.700%, due 09/01/12 ............................................ 673,470
750,000 HSBC Finance Corp.
6.500%, due 11/15/08 ............................................ 749,324
520,000 Lehman Brothers Holdings, Inc. (E)
5.750%, due 01/03/17 ............................................ 650
530,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13 ............................................ 489,032
440,000 SLM Corp.
5.125%, due 08/27/12 ............................................ 293,858
250,000 UBS AG/Stamford Branch
5.750%, due 04/25/18 ............................................ 194,368
500,000 US Bank NA/Cincinnati, OH
6.300%, due 02/04/14 ............................................ 479,828
485,000 Wells Fargo & Co.
5.250%, due 10/23/12 ............................................ 463,572
------------
6,178,488
------------
FORESTRY/PAPER - 0.38%
325,000 Westvaco Corp.
8.200%, due 01/15/30 ............................................ 259,529
500,000 Weyerhaeuser Co.
7.375%, due 03/15/32 ............................................ 343,020
------------
602,549
------------
HEALTH CARE - 0.86%
500,000 Eli Lilly & Co.
6.570%, due 01/01/16 ............................................ 515,441
325,000 Genentech, Inc.
5.250%, due 07/15/35 ............................................ 248,393
500,000 Merck & Co., Inc./NJ
5.750%, due 11/15/36 ............................................ 409,067
230,000 Wyeth
6.500%, due 02/01/34 ............................................ 187,929
------------
1,360,830
------------
INDUSTRIALS - 2.22%
240,000 Boeing Co.
8.625%, due 11/15/31 ............................................ 259,931
1,000,000 Dow Chemical Co./The
5.750%, due 12/15/08 ............................................ 998,994
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
36
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
$ 215,000 DR Horton, Inc.
5.250%, due 02/15/15 ............................................ $ 121,475
105,000 EI Du Pont de Nemours & Co.
5.000%, due 01/15/13 ............................................ 100,697
800,000 General Electric Co.
5.000%, due 02/01/13 ............................................ 754,631
500,000 GMAC LLC
7.250%, due 03/02/11 ............................................ 307,690
270,000 Lockheed Martin Corp.
7.650%, due 05/01/16 ............................................ 277,884
235,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................ 235,676
525,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................ 468,442
------------
3,525,420
------------
MEDIA - 0.58%
525,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22 ............................................ 504,509
455,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13 ............................................ 417,724
------------
922,233
------------
OFFICE ELECTRONICS - 0.34%
660,000 Xerox Corp.
6.875%, due 08/15/11 ............................................ 547,757
------------
REAL ESTATE INVESTMENT TRUSTS - 0.34%
490,000 HCP, Inc.
6.700%, due 01/30/18 ............................................ 345,303
270,000 Simon Property Group L.P.
5.875%, due 03/01/17 ............................................ 195,991
------------
541,294
------------
TELECOMMUNICATIONS - 1.48%
400,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................ 370,775
775,000 New Cingular Wireless Services, Inc.
7.875%, due 03/01/11 ............................................ 773,362
265,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................ 183,513
1,000,000 Verizon Communications, Inc. (H)
8.750%, due 11/01/18 ............................................ 1,021,100
------------
2,348,750
------------
TRANSPORTATION - 0.56%
285,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 ............................................ 278,673
359,000 Norfolk Southern Corp.
5.590%, due 05/17/25 ............................................ 274,781
390,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................ 336,787
------------
890,241
------------
UTILITIES - 1.76%
500,000 Energy East Corp.
8.050%, due 11/15/10 ............................................ 516,849
450,000 Illinois Power Co.
7.500%, due 06/15/09 ............................................ 451,265
285,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................ 217,385
250,000 Progress Energy, Inc.
7.750%, due 03/01/31 ............................................ 209,557
650,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16 ............................................ 545,527
215,000 Virginia Electric and Power Co.
5.100%, due 11/30/12 ............................................ 195,996
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ............................................ 652,428
------------
2,789,007
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $28,857,616) .............................................. 24,443,700
MORTGAGE BACKED - 25.21%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 2.86%
520,610 5.000%, due 05/01/18
Pool # E96322 ................................................... 512,509
5,218 8.000%, due 06/01/30
Pool # C01005 ................................................... 5,506
8,588 7.000%, due 03/01/31
Pool # C48133 ................................................... 8,824
129,120 6.500%, due 01/01/32
Pool # C62333 ................................................... 131,952
1,922,160 5.000%, due 07/01/33
Pool # A11325 ................................................... 1,823,329
165,578 6.000%, due 10/01/34
Pool # A28439 ................................................... 165,640
168,512 6.000%, due 10/01/34
Pool # A28598 ................................................... 168,576
177,018 5.000%, due 04/01/35
Pool # A32315 ................................................... 167,695
149,051 5.000%, due 04/01/35
Pool # A32316 ................................................... 141,201
1,448,976 5.500%, due 11/01/37
Pool # A68787 ................................................... 1,413,868
------------
4,539,100
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 22.29%
783,007 4.000%, due 04/01/15
Pool # 255719 ................................................... 771,747
553,608 5.500%, due 04/01/16
Pool # 745444 ................................................... 565,927
37,612 6.000%, due 05/01/16
Pool # 582558 ................................................... 38,056
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
37
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 476,934 5.500%, due 02/01/18
Pool # 673194 ................................................... $ 478,835
668,881 5.000%, due 05/01/20
Pool # 813965 ................................................... 655,338
820,339 4.500%, due 09/01/20
Pool # 835465 ................................................... 782,964
67,705 6.000%, due 05/01/21
Pool # 253847 ................................................... 68,097
29,589 7.000%, due 12/01/29
Pool # 762813 ................................................... 30,860
60,538 7.000%, due 11/01/31
Pool # 607515 ................................................... 62,693
282,522 6.500%, due 03/01/32
Pool # 631377 ................................................... 288,279
2,270 7.000%, due 04/01/32
Pool # 641518 ................................................... 2,350
32,415 7.000%, due 05/01/32
Pool # 644591 ................................................... 33,569
803,439 6.500%, due 06/01/32
Pool # 545691 ................................................... 819,809
284,666 6.000%, due 12/01/32
Pool # 676552 ................................................... 285,897
1,736,088 5.500%, due 04/01/33
Pool # 690206 ................................................... 1,700,191
834,344 5.000%, due 10/01/33
Pool # 254903 ................................................... 792,227
1,270,404 5.500%, due 11/01/33
Pool # 555880 ................................................... 1,244,136
128,699 5.000%, due 05/01/34
Pool # 775604 ................................................... 122,122
327,206 5.000%, due 05/01/34
Pool # 780890 ................................................... 310,485
198,870 5.000%, due 06/01/34
Pool # 255230 ................................................... 188,707
1,590,035 5.500%, due 06/01/34
Pool # 780384 ................................................... 1,556,164
17,650 7.000%, due 07/01/34
Pool # 792636 ................................................... 18,223
285,678 5.500%, due 08/01/34
Pool # 793647 ................................................... 279,593
1,337,310 5.500%, due 03/01/35
Pool # 815976 ................................................... 1,307,986
657,952 5.500%, due 07/01/35
Pool # 825283 ................................................... 643,525
812,282 5.000%, due 08/01/35
Pool # 829670 ................................................... 770,264
399,686 5.500%, due 08/01/35
Pool # 826872 ................................................... 390,922
633,635 5.000%, due 09/01/35
Pool # 820347 ................................................... 600,858
643,316 5.000%, due 09/01/35
Pool # 835699 ................................................... 610,038
820,703 5.000%, due 10/01/35
Pool # 797669 ................................................... 778,248
831,293 5.500%, due 10/01/35
Pool # 836912 ................................................... 813,065
728,361 5.000%, due 11/01/35
Pool # 844504 ................................................... 690,683
882,920 5.000%, due 11/01/35
Pool # 844809 ................................................... 837,247
904,297 5.000%, due 12/01/35
Pool # 850561 ................................................... 857,518
1,500,837 6.000%, due 07/01/36
Pool # 870749 ................................................... 1,500,993
872,608 6.000%, due 11/01/36
Pool # 902510 ................................................... 874,603
781,380 5.500%, due 02/01/37
Pool # 905140 ................................................... 763,881
834,660 5.500%, due 05/01/37
Pool # 899323 ................................................... 815,920
1,354,480 5.500%, due 05/01/37
Pool # 928292 ................................................... 1,324,069
1,052,804 6.000%, due 10/01/37
Pool # 947563 ................................................... 1,052,854
2,250,001 6.500%, due 12/01/37
Pool # 889072 ................................................... 2,282,007
2,305,001 5.000%, due 04/01/38
Pool # 257160 ................................................... 2,184,325
1,371,818 5.500%, due 07/01/38
Pool # 986805 ................................................... 1,340,881
1,310,521 5.500%, due 07/01/38
Pool # 986973 ................................................... 1,280,966
1,323,215 5.000%, due 08/01/38
Pool # 988934 ................................................... 1,253,939
1,323,810 6.500%, due 08/01/38
Pool # 987711 ................................................... 1,342,509
------------
35,413,570
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.06%
18,659 8.000%, due 10/20/15
Pool # 002995 ................................................... 19,895
47,977 6.500%, due 02/20/29
Pool # 002714 ................................................... 48,627
29,109 6.500%, due 04/20/31
Pool # 003068 ................................................... 29,479
------------
98,001
------------
TOTAL MORTGAGE BACKED
(Cost $40,680,090) .............................................. 40,050,671
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
38
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 44.65%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.33%
$ 500,000 5.875%, due 10/03/16 ............................................ $ 518,590
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.87%
2,500,000 4.875%, due 11/15/13 ............................................ 2,568,852
400,000 4.500%, due 01/15/14 ............................................ 403,558
------------
2,972,410
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.56%
3,000,000 3.100%, due 03/25/09 (A) ........................................ 2,962,800
1,095,000 4.625%, due 10/15/14 ............................................ 1,103,415
------------
4,066,215
------------
U.S. TREASURY BONDS - 6.74%
2,905,000 6.625%, due 02/15/27 ............................................ 3,559,078
7,000,000 4.500%, due 05/15/38 ............................................ 7,154,763
------------
10,713,841
------------
U.S. TREASURY NOTES - 33.15%
580,000 4.875%, due 05/31/09 ............................................ 592,053
2,000,000 6.000%, due 08/15/09 ............................................ 2,071,876
5,000,000 2.125%, due 01/31/10 ............................................ 5,039,845
13,185,000 2.125%, due 04/30/10 ............................................ 13,331,274
650,000 3.875%, due 05/15/10 ............................................ 674,933
100,000 4.500%, due 11/15/10 ............................................ 106,227
350,000 4.750%, due 03/31/11 ............................................ 377,371
1,100,000 4.625%, due 12/31/11 ............................................ 1,191,523
1,000,000 4.625%, due 02/29/12 ............................................ 1,085,859
1,200,000 4.500%, due 03/31/12 ............................................ 1,297,594
1,915,000 4.875%, due 06/30/12 ............................................ 2,105,004
240,000 3.625%, due 05/15/13 ............................................ 250,313
7,000,000 3.125%, due 08/31/13 ............................................ 7,123,046
6,500,000 4.000%, due 02/15/14 ............................................ 6,879,847
3,000,000 4.250%, due 08/15/14 ............................................ 3,222,423
1,200,000 4.250%, due 08/15/15 ............................................ 1,248,281
2,240,000 4.625%, due 02/15/17 ............................................ 2,354,625
600,000 4.500%, due 05/15/17 ............................................ 625,125
3,000,000 4.250%, due 11/15/17 ............................................ 3,085,548
------------
52,662,767
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $69,313,372) ............................................... 70,933,824
CERTIFICATE OF DEPOSIT - 0.95%
- --------------------------------------------------------------------------------------------------
1,514,989 State Street Eurodollar
0.100%, due 11/03/08 ............................................ 1,514,989
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $1,514,989) ............................................... 1,514,989
INVESTMENT COMPANY - 4.49%
- --------------------------------------------------------------------------------------------------
7,127,602 SSgA Prime Money
Market Fund (N) ................................................ 7,127,602
------------
TOTAL INVESTMENT COMPANY
(Cost $7,127,602) .............................................. 7,127,602
TOTAL INVESTMENTS - 99.60%
- --------------------------------------------------------------------------------------------------
(Cost $164,085,963**) ......................................................... 158,231,325
NET OTHER ASSETS AND LIABILITIES - 0.40%
- --------------------------------------------------------------------------------------------------
634,318
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$158,865,643
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $164,092,025.
(A) Rate noted represents annualized yield at time of purchase.
(C) Security sold within terms of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S.
dollars. The aggregate of these securities is 0.46% of total net assets.
(E) In default. Issuer is bankrupt.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2008.
(H) Security purchased on a delayed delivery or when-issued basis. Rate
shown is at issue date.
(M) Stated interest rate is contingent upon sufficient collateral market
value. If collateral market value falls below a stated level, the issuer
will either initiate a clean-up call or increase the stated interest rate.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of October 31, 2008.
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.
- --------------------------------------------------------------------------------
39
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
Cash and Other Net Assets 10%
Health Care 10%
Utilities 9%
Media - Cable 9%
Oil and Gas 9%
Support Services 6%
Telecommunications 6%
Technology 5%
Media - Diversified and Services 4%
Gaming 4%
Forestry/Paper 3%
Environmental 3%
General Industrial and Manufacturing 2%
Packaging 2%
Beverage/Food 2%
Consumer Products 2%
Chemicals 2%
Metals and Mining 2%
Automotive 2%
Aerospace/Defense 2%
Transportation 1%
Steel 1%
Food and Drug Retailers 1%
Leisure and Entertainment 1%
Apparel/Textiles 1%
Non Food and Drug Retailers 1%
Hotels 0%*
Real Estate Investment Trusts 0%*
Restaurants 0%*
Media - Broadcasting 0%*
* Rounds to 0%
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 89.77%
- --------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 1.50%
$ 250,000 Alliant Techsystems, Inc.
6.750%, due 04/01/16 ............................................ $ 206,250
250,000 DRS Techologies, Inc.
6.625%, due 02/01/16 ............................................ 247,500
500,000 Moog, Inc. (C)
7.250%, due 06/15/18 ............................................ 400,000
------------
853,750
------------
APPAREL/TEXTILES - 0.57%
200,000 Hanesbrands, Inc., Series B (G)
6.508%, due 12/15/14 ............................................ 135,750
200,000 Warnaco, Inc.
8.875%, due 06/15/13 ............................................ 188,000
------------
323,750
------------
AUTOMOTIVE - 1.56%
500,000 Goodyear Tire & Rubber Co./The (G)
6.678%, due 12/01/09 ............................................ 458,125
500,000 Goodyear Tire & Rubber Co./The
7.857%, due 08/15/11 ............................................ 427,500
------------
885,625
------------
BEVERAGE/FOOD - 2.44%
150,000 B&G Foods, Inc.
8.000%, due 10/01/11 ............................................ 127,500
400,000 Constellation Brands, Inc.
7.250%, due 05/15/17 ............................................ 332,000
200,000 Constellation Brands, Inc., Series B
8.125%, due 01/15/12 ............................................ 180,000
500,000 Del Monte Corp.
8.625%, due 12/15/12 ............................................ 452,500
125,000 Michael Foods, Inc.
8.000%, due 11/15/13 ............................................ 108,125
250,000 NBTY, Inc.
7.125%, due 10/01/15 ............................................ 187,500
------------
1,387,625
------------
CHEMICALS - 1.89%
300,000 Airgas, Inc. (C)
7.125%, due 10/01/18 ............................................ 247,500
250,000 Hercules, Inc.
6.750%, due 10/15/29 ............................................ 230,000
500,000 Nalco Co.
7.750%, due 11/15/11 ............................................ 455,000
160,000 Nalco Co.
8.875%, due 11/15/13 ............................................ 137,600
------------
1,070,100
------------
CONSUMER PRODUCTS - 2.15%
250,000 Church & Dwight Co., Inc.
6.000%, due 12/15/12 ............................................ 228,125
185,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 ............................................ 164,650
250,000 Jarden Corp.
7.500%, due 05/01/17 ............................................ 186,250
300,000 Leslie's Poolmart
7.750%, due 02/01/13 ............................................ 231,000
300,000 Visant Corp.
7.625%, due 10/01/12 ............................................ 237,000
250,000 Visant Holding Corp.
8.750%, due 12/01/13 ............................................ 172,500
------------
1,219,525
------------
ENVIRONMENTAL - 2.75%
250,000 Allied Waste North America, Inc.
6.375%, due 04/15/11 ............................................ 230,000
750,000 Allied Waste North America, Inc.,
Series B
7.125%, due 05/15/16 ............................................ 660,000
350,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13 ............................................ 308,000
200,000 Waste Services, Inc.
9.500%, due 04/15/14 ............................................ 160,000
250,000 WCA Waste Corp.
9.250%, due 06/15/14 ............................................ 205,000
------------
1,563,000
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
40
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOOD & DRUG RETAILERS - 1.07%
$ 450,000 Stater Brothers Holdings
8.125%, due 06/15/12 ............................................ $ 400,500
250,000 Stater Brothers Holdings
7.750%, due 04/15/15 ............................................ 205,000
------------
605,500
------------
FORESTRY/PAPER - 3.06%
60,000 Boise Cascade LLC
7.125%, due 10/15/14 ............................................ 33,600
500,000 Domtar Corp.
7.875%, due 10/15/11 ............................................ 430,000
250,000 Georgia-Pacific LLC
8.125%, due 05/15/11 ............................................ 211,250
250,000 Georgia-Pacific LLC (C)
7.125%, due 01/15/17 ............................................ 173,750
250,000 Graphic Packaging
International, Inc.
8.500%, due 08/15/11 ............................................ 208,750
100,000 NewPage Corp.
10.000%, due 05/01/12 ........................................... 68,000
250,000 Rock-Tenn Co.
8.200%, due 08/15/11 ............................................ 236,250
250,000 Rock-Tenn Co. (C)
9.250%, due 03/15/16 ............................................ 220,000
50,000 Smurfit-Stone Container
Enterprises, Inc.
8.375%, due 07/01/12 ............................................ 25,500
250,000 Verso Paper Holdings LLC/
Verso Paper, Inc., Series B
9.125%, due 08/01/14 ............................................ 132,500
------------
1,739,600
------------
GAMING - 3.57%
100,000 Chukchansi Economic Development
Authority (C)(G)
6.328%, due 11/15/12 ............................................ 53,000
195,000 Global Cash Access LLC/
Global Cash Finance Corp.
8.750%, due 03/15/12 ............................................ 163,800
200,000 Mandalay Resort Group
7.000%, due 11/15/36 ............................................ 196,750
250,000 Mohegan Tribal Gaming Authority
6.875%, due 02/15/15 ............................................ 145,000
150,000 Penn National Gaming, Inc.
6.875%, due 12/01/11 ............................................ 126,750
150,000 Penn National Gaming, Inc.
6.750%, due 03/01/15 ............................................ 116,250
400,000 Pinnacle Entertainment, Inc.
8.250%, due 03/15/12 ............................................ 277,000
500,000 Scientific Games Corp. (C)
7.875%, due 06/15/16 ............................................ 382,500
500,000 Seneca Gaming Corp.
7.250%, due 05/01/12 ............................................ 335,000
250,000 Shuffle Master, Inc. (P)
1.250%, due 04/15/24 ............................................ 232,500
------------
2,028,550
------------
GENERAL INDUSTRIAL & MANUFACTURING - 2.49%
750,000 Baldor Electric Co.
8.625%, due 02/15/17 ............................................ 573,750
250,000 Chart Industries, Inc.
9.125%, due 10/15/15 ............................................ 207,500
750,000 SPX Corp. (C)
7.625%, due 12/15/14 ............................................ 630,000
------------
1,411,250
------------
HEALTH CARE - 9.93%
200,000 Advanced Medical Optics, Inc.
7.500%, due 05/01/17 ............................................ 132,000
100,000 Advanced Medical Optics, Inc. (P)
3.250%, due 08/01/26 ............................................ 38,000
500,000 Biomet, Inc.
10.000%, due 10/15/17 ........................................... 460,000
100,000 Carriage Services, Inc.
7.875%, due 01/15/15 ............................................ 83,500
450,000 CHS/Community Health Systems, Inc.
8.875%, due 07/15/15 ............................................ 376,875
750,000 DaVita, Inc.
7.250%, due 03/15/15 ............................................ 641,250
500,000 DJO Finance LLC/DJO Finance Corp.
10.875%, due 11/15/14 ........................................... 402,500
500,000 HCA, Inc./DE
8.750%, due 09/01/10 ............................................ 440,000
250,000 HCA, Inc./DE
6.750%, due 07/15/13 ............................................ 160,000
500,000 HCA, Inc./DE
9.250%, due 11/15/16 ............................................ 425,000
100,000 IASIS Healthcare LLC/
IASIS Capital Corp.
8.750%, due 06/15/14 ............................................ 79,000
500,000 Omega Healthcare Investors, Inc.
7.000%, due 04/01/14 ............................................ 415,000
400,000 Psychiatric Solutions, Inc.
7.750%, due 07/15/15 ............................................ 329,000
150,000 Res-Care, Inc.
7.750%, due 10/15/13 ............................................ 135,000
250,000 Service Corp. International/US
7.375%, due 10/01/14 ............................................ 204,375
500,000 Service Corp. International/US
6.750%, due 04/01/16 ............................................ 382,500
250,000 United Surgical Partners
International, Inc.
8.875%, due 05/01/17 ............................................ 160,625
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
41
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$ 250,000 Universal Hospital Services, Inc. (G)
6.303%, due 06/01/15 ............................................ $ 170,000
200,000 Vanguard Health Holding
Co. II LLC
9.000%, due 10/01/14 ............................................ 166,000
500,000 Warner Chilcott Corp.
8.750%, due 02/01/15 ............................................ 440,000
------------
5,640,625
------------
HOTELS - 0.41%
350,000 Felcor Lodging L.P., REIT (G)
4.803%, due 12/01/11 ............................................ 231,875
------------
INVESTMENT MANAGEMENT - 0.07%
150,000 Nuveen Investments, Inc. (C)
10.500%, due 11/15/15 ........................................... 40,500
------------
LEISURE & ENTERTAINMENT - 0.81%
250,000 Speedway Motorsports, Inc.
6.750%, due 06/01/13 ............................................ 190,000
350,000 Vail Resorts, Inc.
6.750%, due 02/15/14 ............................................ 267,750
------------
457,750
------------
MEDIA - BROADCASTING - 0.15%
150,000 LIN Television Corp., Series B
6.500%, due 05/15/13 ............................................ 84,000
------------
MEDIA - CABLE - 8.69%
1,000,000 Cablevision Systems Corp.,
Series B (G)
8.334%, due 04/01/09 ............................................ 970,000
700,000 Cablevision Systems Corp., Series B
8.000%, due 04/15/12 ............................................ 588,875
500,000 Comcast Corp. (G)
5.119%, due 07/14/09 ............................................ 479,033
1,000,000 DirecTV Holdings LLC/
DirecTV Financing Co.
8.375%, due 03/15/13 ............................................ 937,500
250,000 Echostar DBS Corp.
6.375%, due 10/01/11 ............................................ 222,500
650,000 Echostar DBS Corp.
6.625%, due 10/01/14 ............................................ 521,625
400,000 Mediacom Broadband LLC/
Media Broadband Corp.
8.500%, due 10/15/15 ............................................ 296,000
250,000 Time Warner, Inc. (G)
3.034%, due 11/13/09 ............................................ 235,000
250,000 Videotron Ltee (C)(D)
9.125%, due 04/15/18 ............................................ 221,875
700,000 Virgin Media Finance PLC (D)
9.125%, due 08/15/16 ............................................ 462,000
------------
4,934,408
------------
MEDIA - DIVERSIFIED & SERVICES - 3.67%
400,000 Hughes Network Systems LLC/
HNS Finance Corp.
9.500%, due 04/15/14 ............................................ 340,000
300,000 Intelsat Jackson Holdings, Ltd. (D)
11.250%, due 06/15/16 ........................................... 256,500
750,000 Intelsat Subsidiary Holding Co.,
Ltd. (C)(D)
8.500%, due 01/15/13 ............................................ 652,500
375,000 Lamar Media Corp.
7.250%, due 01/01/13 ............................................ 294,375
250,000 Lamar Media Corp., Series C
6.625%, due 08/15/15 ............................................ 183,750
250,000 Nielsen Finance LLC/
Nielsen Finance Co.
10.000%, due 08/01/14 ........................................... 181,250
250,000 Quebecor Media, Inc. (D)
7.750%, due 03/15/16 ........................................... 173,125
------------
2,081,500
------------
METALS AND MINING - 1.81%
450,000 Arch Western Finance LLC
6.750%, due 07/01/13 ............................................ 378,000
250,000 Freeport-McMoRan Copper &
Gold, Inc.
8.375%, due 04/01/17 ............................................ 196,250
350,000 Massey Energy Co.
6.875%, due 12/15/13 ............................................ 283,500
200,000 Peabody Energy Corp.
7.375%, due 11/01/16 ............................................ 169,000
------------
1,026,750
------------
NON FOOD & DRUG RETAILERS - 0.49%
350,000 Sally Holdings LLC
9.250%, due 11/15/14 ............................................ 280,000
------------
OIL & GAS - 8.59%
250,000 Basic Energy Services, Inc.
7.125%, due 04/15/16 ............................................ 165,000
250,000 Berry Petroleum Co.
8.250%, due 11/01/16 ............................................ 165,000
166,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 ............................................ 133,215
250,000 Chesapeake Energy Corp.
6.500%, due 08/15/17 ............................................ 184,063
150,000 Cimarex Energy Co.
7.125%, due 05/01/17 ............................................ 120,000
750,000 Complete Production Services, Inc.
8.000%, due 12/15/16 ............................................ 510,000
300,000 Compton Petroleum
Finance Corp.
7.625%, due 12/01/13 ............................................ 174,000
250,000 Denbury Resources, Inc.
7.500%, due 04/01/13 ............................................ 183,750
200,000 Encore Acquisition Co.
6.000%, due 07/15/15 ............................................ 131,000
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
42
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
OIL & GAS (CONTINUED)
$ 365,000 EXCO Resources, Inc.
7.250%, due 01/15/11 ............................................ $ 295,650
500,000 Helix Energy Solutions Group, Inc. (C)
9.500%, due 01/15/16 ............................................ 320,000
250,000 Key Energy Services, Inc.
8.375%, due 12/01/14 ............................................ 185,000
250,000 Mariner Energy, Inc.
8.000%, due 05/15/17 ............................................ 147,500
300,000 PetroHawk Energy Corp.
9.125%, due 07/15/13 ............................................ 231,000
500,000 PetroHawk Energy Corp. (C)
7.875%, due 06/01/15 ............................................ 338,750
500,000 Petroplus Finance, Ltd. (C)(D)
7.000%, due 05/01/17 ............................................ 327,500
250,000 Range Resources Corp.
6.375%, due 03/15/15 ............................................ 201,250
500,000 Range Resources Corp.
7.250%, due 05/01/18 ............................................ 403,750
500,000 SandRidge Energy, Inc. (C)
8.000%, due 06/01/18 ............................................ 332,500
500,000 W&T Offshore, Inc. (C)
8.250%, due 06/15/14 ............................................ 330,000
------------
4,878,928
------------
PACKAGING - 2.45%
500,000 Ball Corp.
6.625%, due 03/15/18 ............................................ 410,000
375,000 BWAY Corp.
10.000%, due 10/15/10 ........................................... 318,750
250,000 Crown Americas LLC/
Crown Americas Capital Corp.
7.625%, due 11/15/13 ............................................ 220,000
250,000 Greif, Inc.
6.750%, due 02/01/17 ............................................ 205,000
250,000 Owens-Illinois, Inc.
7.500%, due 05/15/10 ............................................ 238,750
------------
1,392,500
------------
REAL ESTATE INVESTMENT TRUSTS - 0.36%
250,000 Ventas Realty L.P./
Ventas Capital Corp.
6.750%, due 04/01/17 ............................................ 205,000
------------
RESTAURANTS - 0.29%
250,000 Seminole Hard Rock Entertainment,
Inc. (C)(G)
5.319%, due 03/15/14 ............................................ 165,000
------------
STEEL - 1.17%
500,000 AK Steel Corp.
7.750%, due 06/15/12 ............................................ 400,000
400,000 Steel Dynamics, Inc. (C)
7.750%, due 04/15/16 ............................................ 265,000
------------
665,000
------------
SUPPORT SERVICES - 6.40%
1,000,000 ARAMARK Corp.
8.500%, due 02/01/15 ............................................ 855,000
200,000 Cardtronics, Inc.
9.250%, due 08/15/13 ............................................ 157,000
300,000 Corrections Corp. of America
7.500%, due 05/01/11 ............................................ 283,500
200,000 Corrections Corp. of America
6.250%, due 03/15/13 ............................................ 172,500
350,000 Education Management LLC/
Education Management
Finance Corp.
10.250%, due 06/01/16 ........................................... 241,500
500,000 FTI Consulting, Inc.
7.750%, due 10/01/16 ............................................ 463,750
250,000 Iron Mountain, Inc.
8.625%, due 04/01/13 ............................................ 228,125
700,000 Iron Mountain, Inc.
7.750%, due 01/15/15 ............................................ 602,000
350,000 Mac-Gray Corp.
7.625%, due 08/15/15 ............................................ 329,000
300,000 VeriFone Holdings, Inc. (C)(P)
2.125%, due 06/15/12 ............................................ 189,750
200,000 West Corp.
9.500%, due 10/15/14 ............................................ 109,000
------------
3,631,125
------------
TECHNOLOGY - 4.72%
100,000 Celestica, Inc. (D)
7.875%, due 07/01/11 ............................................ 90,000
250,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 ............................................ 195,000
1,000,000 Lucent Technologies, Inc.
5.500%, due 11/15/08 ............................................ 980,000
600,000 Sungard Data Systems, Inc.
9.125%, due 08/15/13 ............................................ 498,000
200,000 Sunguard Data Systems, Inc. (C)
10.625%, due 05/15/15 ........................................... 169,000
500,000 Sungard Data Systems, Inc.
10.250%, due 08/15/15 ........................................... 350,000
500,000 Syniverse Technologies, Inc.,
Series B
7.750%, due 08/15/13 ............................................ 400,000
------------
2,682,000
------------
TELECOMMUNICATIONS - 5.94%
400,000 Centennial Communications
Corp. (G)
9.633%, due 01/01/13 ............................................ 304,000
250,000 Centennial Communications Corp.
10.000%, due 01/01/13 ........................................... 221,250
250,000 Cincinnati Bell, Inc.
8.375%, due 01/15/14 ............................................ 180,625
250,000 Cincinnati Bell Telephone Co. LLC
6.300%, due 12/01/28 ............................................ 140,000
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
43
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
$ 700,000 Frontier Communications Corp.
6.625%, due 03/15/15 ............................................ $ 500,500
500,000 Nordic Telephone Co. Holdings
ApS (C)(D)
8.875%, due 05/01/16 ............................................ 420,000
500,000 Qwest Capital Funding, Inc.
7.250%, due 02/15/11 ............................................ 382,500
334,000 Qwest Communications
International, Inc. (G)
6.304%, due 02/15/09 ............................................ 322,310
250,000 Qwest Corp.
7.875%, due 09/01/11 ............................................ 216,875
500,000 Windstream Corp.
8.625%, due 08/01/16 ............................................ 377,500
500,000 Windstream Corp.
7.000%, due 03/15/19 ............................................ 305,000
------------
3,370,560
------------
TRANSPORTATION - 1.37%
250,000 Bristow Group, Inc.
7.500%, due 09/15/17 ............................................ 187,500
300,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14 ............................................ 222,000
500,000 Hornbeck Offshore Services, Inc.,
Series B
6.125%, due 12/01/14 ............................................ 367,500
------------
777,000
------------
UTILITIES - 9.40%
250,000 Dynegy Holdings, Inc.
6.875%, due 04/01/11 ............................................ 208,750
500,000 Dynegy Holdings, Inc.
8.375%, due 05/01/16 ............................................ 370,000
1,000,000 Edison Mission Energy
7.200%, due 05/15/19 ............................................ 750,000
250,000 El Paso Corp.
7.000%, due 06/15/17 ............................................ 190,801
1,000,000 El Paso Corp.
7.250%, due 06/01/18 ............................................ 750,000
750,000 Energy Future Holdings Corp. (C)
10.875%, due 11/01/17 ........................................... 577,500
400,000 Ferrellgas Partners L.P./
Ferrellgas Partners Finance
8.750%, due 06/15/12 ............................................ 300,000
500,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14 ............................................ 370,000
500,000 MarkWest Energy Partners L.P./
MarkWest Energy Finance Corp.,
Series B
8.750%, due 04/15/18 ............................................ 360,000
750,000 NRG Energy, Inc.
7.375%, due 02/01/16 ............................................ 646,875
500,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due 12/15/13 ............................................ 385,000
250,000 Texas Competitive Electric
Holdings Co. LLC (C)
10.250%, due 11/01/15 ........................................... 190,625
300,000 Williams Partners L.P./
Williams Partners Finance Corp.
7.250%, due 02/01/17 ............................................ 238,500
------------
5,338,051
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $63,513,457) .............................................. 50,970,847
CERTIFICATE OF DEPOSIT - 4.79%
- --------------------------------------------------------------------------------------------------
2,715,714 State Street Eurodollar
0.100%, due 11/03/08 ............................................ 2,715,714
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $2,715,714) ............................................... 2,715,714
Shares
- ------
INVESTMENT COMPANY - 4.51%
- --------------------------------------------------------------------------------------------------
2,561,155 SSgA Prime Money
Market Fund ..................................................... 2,561,155
------------
TOTAL INVESTMENT COMPANY
(Cost $2,561,155) ............................................... 2,561,155
TOTAL INVESTMENTS - 99.07%
- --------------------------------------------------------------------------------------------------
(Cost $68,790,326**) .......................................................... 56,247,716
NET OTHER ASSETS AND LIABILITIES - 0.93%
- --------------------------------------------------------------------------------------------------
530,037
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 56,777,753
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
44
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $68,828,090.
(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 4.93% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2008.
(P) Convertible.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
45
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF PORTFOLIO ALLOCATION]
Common Stocks 43%
Mortgage Backed 20
Corporate Notes and Bonds 18
U.S. Government and Agency Obligations 7
Commercial Mortgage Backed 6
Asset Backed 2
Cash and Other Net Assets 2
Private Label Mortgage Backed 2
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 43.22%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.71%
12,500 Harley-Davidson, Inc. ........................................... $ 306,000
29,900 Home Depot, Inc. ................................................ 705,341
11,500 McDonald's Corp. ................................................ 666,195
------------
1,677,536
------------
CONSUMER STAPLES - 5.61%
35,000 Altria Group, Inc. .............................................. 671,650
14,200 Coca-Cola Co./The ............................................... 625,652
13,300 Kimberly-Clark Corp. ............................................ 815,157
17,851 Kraft Foods, Inc., Class A ...................................... 520,178
4,300 PepsiCo, Inc./NC ................................................ 245,143
33,000 Philip Morris International, Inc. ............................... 1,434,510
9,000 Procter & Gamble Co. ............................................ 580,860
23,500 SYSCO Corp. ..................................................... 615,700
------------
5,508,850
------------
ENERGY - 3.19%
9,000 BP PLC, ADR ..................................................... 447,300
27,800 Chevron Corp. ................................................... 2,073,880
11,800 ConocoPhillips .................................................. 613,836
------------
3,135,016
------------
FINANCIALS - 10.11%
4,000 Allstate Corp./The .............................................. 105,560
59,992 Bank of America Corp. ........................................... 1,450,007
15,000 Bank of New York Mellon
Corp./The........................................................ 489,000
13,000 BB&T Corp. ...................................................... 466,050
43,000 Citigroup, Inc. ................................................. 586,950
50,502 JPMorgan Chase & Co. ............ 2,083,207
16,500 Marsh & McLennan Cos., Inc. 483,780
8,500 PNC Financial Services
Group, Inc. ..................................................... 566,695
11,300 Travelers Cos., Inc./The......................................... 480,815
46,500 US Banccorp ..................................................... 1,386,165
54,000 Wells Fargo & Co. ............................................... 1,838,700
------------
9,936,929
------------
HEALTH CARE - 8.63%
15,000 Abbott Laboratories ............................................. 827,250
44,000 Bristol-Myers Squibb Co. ........................................ 904,200
6,000 Eli Lilly & Co. ................................................. 202,920
43,000 Johnson & Johnson ............................................... 2,637,620
37,000 Merck & Co., Inc./NJ ............................................ 1,145,150
108,962 Pfizer, Inc. .................................................... 1,929,717
26,000 Wyeth ........................................................... 836,680
------------
8,483,537
------------
INDUSTRIALS - 4.23%
10,600 3M Co. .......................................................... 681,580
13,000 Emerson Electric Co. ............................................ 425,490
85,000 General Electric Co. ............................................ 1,658,350
3,000 Illinois Tool Works, Inc. ....................................... 101,551
18,500 United Parcel Service, Inc.,
Class B ......................................................... 976,430
9,900 Waste Management, Inc. .......................................... 309,177
------------
4,152,578
------------
INFORMATION TECHNOLOGY - 1.34%
12,000 Automatic Data Processing,
Inc. ............................................................ 419,400
27,500 Intel Corp. ..................................................... 440,000
16,000 Paychex, Inc. ................................................... 456,640
------------
1,316,040
------------
MATERIALS - 2.23%
16,000 Alcoa, Inc. ..................................................... 184,160
7,000 Dow Chemical Co./The ............................................ 186,690
28,800 EI Du Pont de Nemours & Co. 921,600
3,500 Freeport-McMoRan
Copper & Gold, Inc. ............................................. 101,850
10,800 Nucor Corp. ..................................................... 437,508
9,400 Weyerhaeuser Co. ................................................ 359,268
------------
2,191,076
------------
TELECOMMUNICATION SERVICES - 3.21%
69,592 AT&T, Inc. ...................................................... 1,862,978
5,500 Embarq Corp. .................................................... 165,000
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
46
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES (CONTINUED)
38,000 Verizon Communications,
Inc. ............................................................ $ 1,127,460
------------
3,155,438
------------
UTILITIES - 2.96%
12,800 Consolidated Edison, Inc. ....................................... 554,496
32,000 Duke Energy Corp. ............................................... 524,160
7,100 FirstEnergy Corp. ............................................... 370,336
14,000 PG&E Corp. ...................................................... 513,380
10,500 Progress Energy, Inc. ........................................... 413,385
15,500 Southern Co. .................................................... 532,270
------------
2,908,027
------------
TOTAL COMMON STOCKS
(Cost $50,586,733) .............................................. 42,465,027
COMMON STOCK UNIT - 0.19%
- --------------------------------------------------------------------------------------------------
FINANCIALS - 0.19%
8,000 AllianceBernstein Holding L.P. .................................. 187,520
------------
TOTAL COMMON STOCK UNIT
(Cost $683,935).................................................. 187,520
Par Value
- ---------
ASSET BACKED - 2.44%
- --------------------------------------------------------------------------------------------------
$ 98,971 ABSC Long Beach Home Equity
Loan Trust, Series 2000-LB1,
Class AF5 (M)
8.550%, due 09/21/30 ............................................ 92,342
373,328 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ............................................ 227,930
525,000 Carmax Auto Owner Trust,
Series 2007-2, Class B
5.370%, due 03/15/13 ............................................ 438,219
465,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14 ............................................ 414,647
312,924 CIT Group Home Equity Loan Trust,
Series 2002-2, Class BF (M)
6.830%, due 06/25/33 ............................................ 165,480
325,000 Daimler Chrysler Auto Trust,
Series 2007-A, Class A3A
5.000%, due 02/08/12 ............................................ 315,987
320,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 ............................................ 281,201
185,768 Green Tree Financial Corp.,
Series 1998-2, Class A6 (G)
6.810%, due 12/01/27 ............................................ 182,583
250,000 MBNA Master Credit Card Trust,
Series 1999-B, Class A
5.900%, due 08/15/11 ............................................ 247,543
169,848 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
6.259%, due 05/25/34 ............................................ 34,329
------------
TOTAL ASSET BACKED
(Cost $3,024,383) ............................................... 2,400,261
COMMERCIAL MORTGAGE BACKED - 5.74%
- --------------------------------------------------------------------------------------------------
92,059 Bear Stearns Commercial Mortgage
Securities, Series 2001-TOP4,
Class A1
5.060%, due 11/15/16 ............................................ 89,737
445,000 Bear Stearns Commercial Mortgage
Securities, Series 2003-T10,
Class E (C)(G)
5.540%, due 03/13/40 ............................................ 299,291
350,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16,
Class A6 (G)
4.750%, due 02/13/46 ............................................ 284,500
200,000 Bear Stearns Commercial Mortgage
Securities, Series 2005-T20,
Class F (C)(G)
5.151%, due 10/12/42 ............................................ 109,358
781,932 GMAC Commercial Mortgage
Securities, Inc., Series 2000-C1,
Class A2 (G)
7.724%, due 03/15/33 ............................................ 782,107
600,000 Government National Mortgage
Association, Series 2004-43, Class C (G)
5.008%, due 12/16/25 ............................................ 592,869
400,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A7 (G)
5.317%, due 06/10/36 ............................................ 343,646
695,871 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29 ............................................ 681,274
400,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 ............................................ 327,398
700,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ............................................ 579,503
640,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43 ............................................ 577,803
677,000 Multi Security Asset Trust,
Series 2005-RR4A, Class H (C)(G)
5.880%, due 11/28/35 ............................................ 328,595
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
47
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
$ 200,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 ............................................ $ 44,512
596,882 Wachovia Bank Commercial
Mortgage Trust, Series 2003-C8,
Class A2
3.894%, due 11/15/35 ............................................ 595,101
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $6,746,767) ............................................... 5,635,694
PRIVATE LABEL MORTGAGE BACKED - 2.18%
- --------------------------------------------------------------------------------------------------
355,628 Banc of America Alternative Loan
Trust, Series 2005-12, Class 3CB1
6.000%, due 01/25/36 ............................................ 284,280
1,617,939 Banc of America Alternative Loan
Trust, Series 2006-3, Class 2CB1
6.000%, due 04/25/36 ............................................ 1,351,125
734,336 Banc of America Alternative Loan
Trust, Series 2006-4, Class 5CB1
6.500%, due 05/25/46 ............................................ 509,217
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $2,699,707) ............................................... 2,144,622
CORPORATE NOTES AND BONDS - 18.21%
- --------------------------------------------------------------------------------------------------
BEVERAGE/FOOD - 0.37%
475,000 Kraft Foods, Inc.
6.500%, due 11/01/31 ............................................ 363,084
------------
CONSUMER DISCRETIONARY - 1.28%
750,000 American Association of
Retired Persons (C)
7.500%, due 05/01/31 ............................................ 818,276
325,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 ............................................ 181,673
400,000 Royal Caribbean Cruises, Ltd. (D)
7.250%, due 06/15/16 ............................................ 256,000
------------
1,255,949
------------
CONSUMER STAPLES - 0.63%
250,000 Diageo Capital PLC (D)
5.500%, due 09/30/16 ............................................ 214,936
400,000 Safeway, Inc.
4.125%, due 11/01/08 ............................................ 400,000
------------
614,936
------------
ENERGY - 0.87%
500,000 Chesapeake Energy Corp.
6.375%, due 06/15/15 ............................................ 383,750
150,000 Hess Corp.
7.875%, due 10/01/29 ............................................ 127,888
400,000 Transocean, Inc.
7.500%, due 04/15/31 ............................................ 338,848
------------
850,486
------------
FINANCE - 4.49%
500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10 ............................................ 240,455
250,000 Bear Stearns Cos. LLC/The
7.250%, due 02/01/18 ............................................ 235,352
320,000 CIT Group, Inc.
7.625%, due 11/30/12 ............................................ 187,123
210,000 General Electric Global
Insurance Holdings
7.000%, due 02/15/26 ............................................ 176,401
205,000 General Electric Global
Insurance Holdings
7.750%, due 06/15/30 ............................................ 183,077
470,000 Goldman Sachs Group, Inc./The
6.650%, due 05/15/09 ............................................ 465,155
250,000 HSBC Finance Corp.
6.500%, due 11/15/08 ............................................ 249,775
410,000 Lehman Brothers Holdings, Inc. (E)
5.750%, due 01/03/17 ............................................ 512
315,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13 ............................................ 290,651
600,000 National Rural Utilities
Cooperative Finance Corp., Series C
7.250%, due 03/01/12 ............................................ 578,280
760,000 Nissan Motor Acceptance Corp. (C)
5.625%, due 03/14/11 ............................................ 777,352
355,000 SLM Corp.
5.125%, due 08/27/12 ............................................ 237,090
500,000 US Bank NA/Cincinnati, OH
6.300%, due 02/04/14 ............................................ 479,829
330,000 Wells Fargo & Co.
5.250%, due 10/23/12 ............................................ 315,420
------------
4,416,472
------------
FORESTRY/PAPER - 0.14%
175,000 Westvaco Corp.
8.200%, due 01/15/30 ............................................ 139,746
------------
HEALTH CARE - 1.72%
1,050,000 Amgen, Inc.
5.850%, due 06/01/17 ............................................ 932,075
300,000 Eli Lilly & Co.
6.570%, due 01/01/16 ............................................ 309,265
195,000 Genentech, Inc.
5.250%, due 07/15/35 ............................................ 149,036
220,000 Merck & Co., Inc./NJ
5.750%, due 11/15/36 ............................................ 179,989
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
48
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$ 150,000 Wyeth
6.500%, due 02/01/34 ............................................ $ 122,563
------------
1,692,928
------------
INDUSTRIALS - 1.13%
150,000 Boeing Co.
8.625%, due 11/15/31 ............................................ 162,457
130,000 DR Horton, Inc.
5.250%, due 02/15/15 ............................................ 73,450
250,000 Ford Motor Credit Co. LLC
5.800%, due 01/12/09 ............................................ 231,794
350,000 GMAC LLC
7.250%, due 03/02/11 ............................................ 215,383
150,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................ 150,431
310,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................ 276,604
------------
1,110,119
------------
MEDIA - 0.70%
415,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22 ............................................ 398,803
315,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13 ............................................ 289,193
------------
687,996
------------
REAL ESTATE INVESTMENT TRUSTS - 1.61%
715,000 Equity One, Inc.
3.875%, due 04/15/09 ............................................ 703,935
335,000 HCP, Inc.
6.700%, due 01/30/18 ............................................ 236,075
600,000 Nationwide Health Properties, Inc.,
Series D
8.250%, due 07/01/12 ............................................ 538,390
140,000 Simon Property Group L.P.
5.875%, due 03/01/17 ............................................ 101,625
------------
1,580,025
------------
TELECOMMUNICATIONS - 0.36%
240,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................ 222,465
190,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................ 131,575
------------
354,040
------------
TRANSPORTATION - 0.59%
175,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 ............................................ 171,115
239,000 Norfolk Southern Corp.
5.590%, due 05/17/25 ............................................ 182,932
260,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................ 224,525
------------
578,572
------------
UTILITIES - 4.32%
500,000 Energy East Corp.
8.050%, due 11/15/10 ............................................ 516,850
310,000 Illinois Power Co.
7.500%, due 06/15/09 ............................................ 310,871
1,000,000 MidAmerican Energy Co.
5.650%, due 07/15/12 ............................................ 967,035
400,000 Nevada Power Co., Series R
6.750%, due 07/01/37 ............................................ 302,874
175,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................ 133,482
350,000 Progress Energy, Inc.
7.750%, due 03/01/31 ............................................ 293,379
126,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16 ............................................ 105,748
500,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17 ............................................ 406,879
600,000 Westar Energy, Inc.
6.000%, due 07/01/14 ............................................ 555,600
750,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 ............................................ 652,428
------------
4,245,146
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $21,451,980) .............................................. 17,889,499
MORTGAGE BACKED - 19.71%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.93%
9,653 8.000%, due 06/01/30
Pool # C01005 ................................................... 10,186
193,680 6.500%, due 01/01/32
Pool # C62333 ................................................... 197,929
1,372,971 5.000%, due 07/01/33
Pool # A11325 ................................................... 1,302,378
97,313 6.000%, due 10/01/34
Pool # A28439 ................................................... 97,350
99,038 6.000%, due 10/01/34
Pool # A28598 ................................................... 99,075
116,832 5.000%, due 04/01/35
Pool # A32315 ................................................... 110,679
84,368 5.000%, due 04/01/35
Pool # A32316 ................................................... 79,925
------------
1,897,522
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 17.64%
281,393 4.000%, due 04/01/15
Pool # 255719 ................................................... 277,346
353,066 5.500%, due 04/01/16
Pool # 745444 ................................................... 360,923
56,418 6.000%, due 05/01/16
Pool # 582558 ................................................... 57,084
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
49
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 598,808 5.000%, due 12/01/17
Pool # 672243 ................................................... $ 590,800
547,267 5.000%, due 05/01/20
Pool # 813965 ................................................... 536,186
820,339 4.500%, due 09/01/20
Pool # 835465 ................................................... 782,964
94,787 6.000%, due 05/01/21
Pool # 253847 ................................................... 95,335
18,829 7.000%, due 12/01/29
Pool # 762813 ................................................... 19,638
60,538 7.000%, due 11/01/31
Pool # 607515 ................................................... 62,693
51,865 7.000%, due 05/01/32
Pool # 644591 ................................................... 53,711
385,651 6.500%, due 06/01/32
Pool # 545691 ................................................... 393,509
560,874 5.500%, due 10/01/33
Pool # 254904 ................................................... 549,277
20,310 5.000%, due 05/01/34
Pool # 782214 ................................................... 19,272
486,646 5.000%, due 06/01/34
Pool # 255230 ................................................... 461,776
11,094 7.000%, due 07/01/34
Pool # 792636 ................................................... 11,455
174,735 5.500%, due 08/01/34
Pool # 793647 ................................................... 171,013
338,914 5.500%, due 03/01/35
Pool # 810075 ................................................... 331,483
820,885 5.500%, due 03/01/35
Pool # 815976 ................................................... 802,885
402,315 5.500%, due 07/01/35
Pool # 825283 ................................................... 393,493
472,257 5.000%, due 08/01/35
Pool # 829670 ................................................... 447,828
240,671 5.500%, due 08/01/35
Pool # 826872 ................................................... 235,394
377,958 5.000%, due 09/01/35
Pool # 820347 ................................................... 358,406
400,432 5.000%, due 09/01/35
Pool # 835699 ................................................... 379,718
746,093 5.000%, due 10/01/35
Pool # 797669 ................................................... 707,498
509,853 5.000%, due 11/01/35
Pool # 844504 ................................................... 483,478
561,858 5.000%, due 11/01/35
Pool # 844809 ................................................... 532,793
550,441 5.000%, due 12/01/35
Pool # 850561 ................................................... 521,968
186,345 5.500%, due 02/01/36
Pool # 851330 ................................................... 182,259
690,681 5.500%, due 09/01/36
Pool # 831820 ................................................... 675,212
853,180 6.000%, due 09/01/36
Pool # 831741 ................................................... 853,268
192,176 5.500%, due 10/01/36
Pool # 896340 ................................................... 187,872
785,558 5.500%, due 10/01/36
Pool # 901723 ................................................... 767,965
540,858 6.500%, due 10/01/36
Pool # 894118 ................................................... 548,582
685,910 6.000%, due 11/01/36
Pool # 902510 ................................................... 687,479
779,610 5.500%, due 12/01/36
Pool # 902853 ................................................... 762,150
777,513 5.500%, due 12/01/36
Pool # 903059 ................................................... 760,099
776,824 5.500%, due 12/01/36
Pool # 907512 ................................................... 759,427
836,191 5.500%, due 12/01/36
Pool # 907635 ................................................... 817,464
693,803 6.000%, due 12/01/36
Pool # 903002 ................................................... 693,876
------------
17,333,579
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.14%
12,205 8.000%, due 10/20/15
Pool # 002995 ................................................... 13,013
67,167 6.500%, due 02/20/29
Pool # 002714 ................................................... 68,079
48,515 6.500%, due 04/20/31
Pool # 003068 ................................................... 49,131
------------
130,223
------------
TOTAL MORTGAGE BACKED
(Cost $19,729,955) .............................................. 19,361,324
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 6.49%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 1.06%
1,000,000 5.875%, due 10/03/16 ............................................ 1,037,180
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.51%
500,000 5.250%, due 08/01/12 ............................................ 499,765
------------
U.S. TREASURY BONDS - 1.07%
860,000 6.625%, due 02/15/27 ............................................ 1,053,634
------------
U.S. TREASURY NOTES - 3.85%
30,000 4.500%, due 11/15/10 ............................................ 31,868
320,000 4.875%, due 04/30/11 ............................................ 345,950
2,100,000 4.625%, due 12/31/11 ............................................ 2,274,726
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
50
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (CONTINUED)
- --------------------------------------------------------------------------------------------------
U.S. TREASURY NOTES (CONTINUED)
$ 60,000 4.250%, due 08/15/15 ............................................ $ 62,414
1,025,000 4.500%, due 05/15/17 ............................................ 1,067,922
------------
3,782,880
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $6,018,676) ............................................... 6,373,459
Shares
- ------
INVESTMENT COMPANY - 1.07%
- --------------------------------------------------------------------------------------------------
1,054,195 SSgA Prime Money
Market Fund ..................................................... 1,054,195
------------
TOTAL INVESTMENT COMPANY
(Cost $1,054,195) ............................................... 1,054,195
TOTAL INVESTMENTS - 99.25%
- --------------------------------------------------------------------------------------------------
(Cost $111,996,331**) ......................................................... 97,511,601
NET OTHER ASSETS AND LIABILITIES - 0.75%
- --------------------------------------------------------------------------------------------------
738,991
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 98,250,592
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $112,261,122.
(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 0.77% of total net assets.
(E) In default. Issuer is bankrupt.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2008.
(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.
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.
- --------------------------------------------------------------------------------
51
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF SECTOR ALLOCATION]
Financials 25%
Energy 17
Health Care 13
Consumer Staples 11
Industrials 9
Utilities 6
Consumer Discretionary 5
Telecommunication Services 5
Information technology 3
Cash and Other Net Assets 3
Materials 3
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.17%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 5.21%
16,800 Carnival Corp. .................................................. $ 426,720
43,586 Comcast Corp., Class A .......................................... 686,915
20,000 Home Depot, Inc. ................................................ 471,800
8,800 Johnson Controls, Inc. .......................................... 156,024
40,400 Lowe's Cos., Inc. ............................................... 876,680
43,500 News Corp., Class A ............................................. 462,840
9,900 Nordstrom, Inc. ................................................ 179,091
16,600 Omnicom Group, Inc. ............................................ 490,364
10,600 Target Corp. .................................................... 425,272
22,700 Time Warner Cable, Inc., Class A* ............................... 444,466
87,000 Time Warner, Inc. ............................................... 877,830
14,800 Viacom, Inc., Class B* .......................................... 299,256
33,300 Walt Disney Co./The ............................................. 862,470
------------
6,659,728
------------
CONSUMER STAPLES - 11.36%
33,200 Altria Group, Inc. .............................................. 637,108
8,800 Anheuser-Busch Cos., Inc. ....................................... 545,864
20,300 Archer-Daniels-Midland Co. ...................................... 420,819
6,000 Clorox Co. ...................................................... 364,860
22,700 Coca-Cola Co./The ............................................... 1,000,162
5,500 Costco Wholesale Corp. .......................................... 313,555
22,900 CVS/Caremark Corp. ............................................ 701,885
4,800 Energizer Holdings, Inc.* ....................................... 234,528
10,400 General Mills, Inc. ............................................. 704,496
16,700 HJ Heinz Co. .................................................... 731,794
6,900 Kellogg Co. ..................................................... 347,898
7,200 Kimberly-Clark Corp. ............................................ 441,288
49,897 Kraft Foods, Inc., Class A ...................................... 1,453,999
12,900 Molson Coors Brewing Co., Class B ............................... 481,944
64,300 Procter & Gamble Co. ............................................ 4,149,922
35,900 Wal-Mart Stores, Inc. ........................................... 2,003,579
------------
14,533,701
------------
ENERGY - 16.53%
15,700 Anadarko Petroleum Corp. ........................................ 554,210
15,100 Apache Corp. .................................................... 1,243,183
60,166 Chevron Corp. ................................................... 4,488,384
46,000 ConocoPhillips .................................................. 2,392,920
16,800 Devon Energy Corp. .............................................. 1,358,448
5,300 EOG Resources, Inc. ............................................. 428,876
118,100 Exxon Mobil Corp. ............................................... 8,753,572
19,300 Marathon Oil Corp. .............................................. 561,630
9,200 Nabors Industries, Ltd.* ........................................ 132,296
6,000 Schlumberger, Ltd. .............................................. 309,900
10,600 Valero Energy Corp. ............................................. 218,148
19,400 XTO Energy, Inc. ................................................ 697,430
------------
21,138,997
------------
FINANCIALS - 24.97%
15,100 Allstate Corp./The .............................................. 398,489
15,700 AON Corp. ....................................................... 664,110
6,500 Arch Capital Group, Ltd.* ....................................... 453,375
127,084 Bank of America Corp. ........................................... 3,071,620
35,400 Bank of New York Mellon Corp./The ............................... 1,154,040
25,600 BB&T Corp. ...................................................... 917,760
3,500 BlackRock, Inc. ................................................. 459,690
12,900 Capital One Financial Corp. ..................................... 504,648
9,900 Chubb Corp. ..................................................... 513,018
172,966 Citigroup, Inc. ................................................. 2,360,986
12,700 Equity Residential, REIT ........................................ 443,611
13,900 Goldman Sachs Group, Inc./The ................................. 1,285,750
21,700 Hartford Financial Services Group, Inc. ......................... 223,944
112,468 JPMorgan Chase & Co. ............................................ 4,639,305
17,500 Keycorp ......................................................... 214,025
14,400 Marsh & McLennan Cos., Inc. ..................................... 422,208
41,800 Merrill Lynch & Co., Inc. ....................................... 777,062
33,700 MetLife, Inc. ................................................... 1,119,514
29,200 Morgan Stanley ................................................ 510,124
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
52
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
16,100 PNC Financial Services Group, Inc. .............................. $ 1,073,387
24,900 Prudential Financial, Inc. ...................................... 747,000
22,300 Regions Financial Corp. ......................................... 247,307
4,600 Simon Property Group, Inc., REIT ................................ 308,338
15,700 State Street Corp. .............................................. 680,595
9,200 SunTrust Banks, Inc. ............................................ 369,288
38,200 Travelers Cos., Inc./The ........................................ 1,625,410
10,500 Unum Group ...................................................... 165,375
69,900 US Banccorp ..................................................... 2,083,719
11,300 Vornado Realty Trust, REIT ...................................... 797,215
34,100 Wachovia Corp. .................................................. 218,581
102,500 Wells Fargo & Co. ............................................... 3,490,125
------------
31,939,619
------------
HEALTH CARE - 12.87%
27,600 Amgen, Inc.* .................................................... 1,652,964
12,800 Coventry Health Care, Inc.* ..................................... 168,832
15,000 Covidien, Ltd. .................................................. 664,350
21,700 Eli Lilly & Co. ................................................. 733,894
10,500 Hologic, Inc.* .................................................. 128,520
20,700 Invitrogen Corp.* ............................................... 595,953
67,400 Johnson & Johnson .............................................. 4,134,316
9,100 Medco Health Solutions, Inc.* ................................... 345,345
40,300 Merck & Co., Inc./NJ ............................................ 1,247,285
180,940 Pfizer, Inc. .................................................... 3,204,448
31,200 Schering-Plough Corp. ........................................... 452,088
15,600 Thermo Fisher Scientific, Inc.* ................................. 633,360
20,800 UnitedHealth Group, Inc. ........................................ 493,584
13,700 WellPoint, Inc.* ................................................ 532,519
45,900 Wyeth ........................................................... 1,477,062
------------
16,464,520
------------
INDUSTRIALS - 8.68%
4,800 Deere & Co. ..................................................... 185,088
7,900 Emerson Electric Co. ............................................ 258,567
5,500 FedEx Corp. ..................................................... 359,535
271,100 General Electric Co. ............................................ 5,289,161
11,800 Illinois Tool Works, Inc. ....................................... 394,002
4,000 L-3 Communications Holdings, Inc. ............................... 324,680
9,800 Norfolk Southern Corp. .......................................... 587,412
11,800 Northrop Grumman Corp. .......................................... 553,302
16,600 Raytheon Co. .................................................... 848,426
10,500 Tyco International, Ltd. ........................................ 265,440
20,700 United Technologies Corp. ....................................... 1,137,672
28,800 Waste Management, Inc. .......................................... 899,424
------------
11,102,709
------------
INFORMATION TECHNOLOGY - 3.20%
12,500 Automatic Data Processing, Inc. ................................. 436,875
12,500 Computer Sciences Corp.* ........................................ 377,000
22,700 EMC Corp./Massachusetts* ........................................ 267,406
12,721 Hewlett-Packard Co. ............................................. 486,960
31,600 Intel Corp. ..................................................... 505,600
7,100 International Business Machines Corp. ........................... 660,087
16,700 Maxim Integrated Products, Inc. ................................. 227,120
12,600 Microsoft Corp. ................................................. 281,358
59,500 Motorola, Inc. .................................................. 319,515
17,900 Symantec Corp.* ................................................. 225,182
15,600 Tyco Electronics, Ltd. .......................................... 303,264
------------
4,090,367
------------
MATERIALS - 3.02%
8,800 Air Products & Chemicals, Inc. .................................. 511,544
19,300 Alcoa, Inc. ..................................................... 222,143
20,000 Dow Chemical Co./The ............................................ 533,400
31,400 EI Du Pont de Nemours & Co. ..................................... 1,004,800
16,823 Freeport-McMoRan Copper & Gold, Inc. ............................ 489,549
14,900 Nucor Corp. ..................................................... 603,599
13,000 Weyerhaeuser Co. ................................................ 496,860
------------
3,861,895
------------
TELECOMMUNICATION SERVICES - 5.50%
154,032 AT&T, Inc. ...................................................... 4,123,437
5,500 Embarq Corp. .................................................... 165,000
71,300 Sprint Nextel Corp. ............................................. 223,169
12,600 TELUS Corp. ..................................................... 410,760
71,220 Verizon Communications, Inc. .................................... 2,113,097
------------
7,035,463
------------
UTILITIES - 5.83%
16,200 American Electric Power Co., Inc................................. 528,606
53,100 Duke Energy Corp. ............................................... 869,778
16,100 Edison International ............................................ 572,999
10,600 Exelon Corp. .................................................... 574,944
10,500 FirstEnergy Corp. ............................................... 547,680
16,900 FPL Group, Inc. ................................................. 798,356
11,400 NSTAR ........................................................... 376,770
18,300 PG&E Corp. ...................................................... 671,061
17,600 Public Service Enterprise Group, Inc. ........................... 495,440
3,200 Questar Corp. ................................................... 110,272
18,600 Sempra Energy ................................................... 792,174
32,500 Southern Co. .................................................... 1,116,050
------------
7,454,130
------------
TOTAL COMMON STOCKS
(Cost $149,056,092) ............................................. 124,281,129
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
53
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 2.69%
- --------------------------------------------------------------------------------------------------
18,100 iShares Russell 1000 Value Index Fund ETF ....................... $ 960,024
2,478,600 SSgA Prime Money Market Fund .................................... 2,478,600
------------
TOTAL INVESTMENT COMPANIES
(Cost $3,681,130) ............................................... 3,438,624
TOTAL INVESTMENTS - 99.86%
- --------------------------------------------------------------------------------------------------
(Cost $152,737,222**) ......................................................... 127,719,753
NET OTHER ASSETS AND LIABILITIES - 0.14%
- --------------------------------------------------------------------------------------------------
175,878
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$127,895,631
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $153,737,106.
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.
- --------------------------------------------------------------------------------
54
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF SECTOR ALLOCATION]
Information Technology 34%
Health Care 18%
Consumer Staples 11%
Energy 10%
Industrials 10%
Consumer Discretionary 7%
Materials 4%
Financials 3%
Cash and Other Net Assets 2%
Utilities 1%
Telecommunication Services 0%*
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.48%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 6.57%
8,100 Amazon.com, Inc.* ............................................... $ 463,644
8,900 Coach, Inc.* .................................................... 183,340
307,900 Interpublic Group of Cos., Inc.* ................................ 1,598,001
38,900 Kohl's Corp.* ................................................... 1,366,557
28,200 McDonald's Corp. ................................................ 1,633,626
14,500 Polo Ralph Lauren Corp. ......................................... 683,965
19,900 Staples, Inc. ................................................... 386,657
20,200 Target Corp. .................................................... 810,424
33,100 Tiffany & Co. ................................................... 908,595
------------
8,034,809
------------
CONSUMER STAPLES - 11.02%
47,100 Coca-Cola Co./The ............................................... 2,075,226
52,100 Colgate-Palmolive Co. ........................................... 3,269,796
12,200 Costco Wholesale Corp. .......................................... 695,522
87,600 Philip Morris International, Inc. ............................... 3,807,972
65,100 Wal-Mart Stores, Inc. ........................................... 3,633,231
------------
13,481,747
------------
ENERGY - 10.27%
16,500 Cameron International Corp.* .................................... 400,290
5,400 Diamond Offshore Drilling, Inc. ................................. 479,520
16,400 EOG Resources, Inc. ............................................. 1,327,088
19,000 Hess Corp. ...................................................... 1,143,990
17,000 National Oilwell Varco, Inc.* ................................... 508,130
14,200 Noble Corp. ..................................................... 457,382
24,800 Occidental Petroleum Corp. ...................................... 1,377,392
14,800 Peabody Energy Corp. ............................................ 510,748
101,900 PetroHawk Energy Corp.* ......................................... 1,931,005
8,100 Range Resources Corp. ........................................... 341,982
33,000 Schlumberger, Ltd. .............................................. 1,704,450
13,100 Southwestern Energy Co.* ........................................ 466,622
9,592 Transocean, Inc.* ............................................... 789,709
34,000 Weatherford International, Ltd.* ................................ 573,920
15,382 XTO Energy, Inc. ................................................ 552,983
------------
12,565,211
------------
FINANCIALS - 2.92%
16,800 Axis Capital Holdings, Ltd. ..................................... 478,464
4,800 BlackRock, Inc. ................................................. 630,432
36,000 Charles Schwab Corp./The ........................................ 688,320
1,600 CME Group, Inc. ................................................. 451,440
9,600 IntercontinentalExchange, Inc.* ................................. 821,376
3,400 Mastercard, Inc., Class A ....................................... 502,588
------------
3,572,620
------------
HEALTH CARE - 17.68%
22,300 Baxter International, Inc. ...................................... 1,348,927
3,000 Biogen Idec, Inc.* .............................................. 127,650
38,400 Bristol-Myers Squibb Co. ........................................ 789,120
26,900 Celgene Corp.* .................................................. 1,728,594
40,200 Express Scripts, Inc.* .......................................... 2,436,522
62,600 Genentech, Inc.* ................................................ 5,192,044
9,700 Gen-Probe, Inc.* ................................................ 456,482
10,600 Genzyme Corp.* .................................................. 772,528
23,500 Gilead Sciences, Inc.* .......................................... 1,077,475
117,084 Hologic, Inc.* .................................................. 1,433,108
900 Intuitive Surgical, Inc.* ....................................... 155,511
32,200 Johnson & Johnson .............................................. 1,975,148
102,103 Schering-Plough Corp. ........................................... 1,479,473
15,900 St. Jude Medical, Inc.* ......................................... 604,677
11,100 UnitedHealth Group, Inc. ........................................ 263,403
68,000 Vertex Pharmaceuticals, Inc.* ................................... 1,782,280
------------
21,622,942
------------
INDUSTRIALS - 9.69%
19,200 Boeing Co. ...................................................... 1,003,584
8,200 Burlington Northern Santa Fe Corp. .............................. 730,292
19,600 Caterpillar, Inc. ............................................... 748,132
10,400 CH Robinson Worldwide, Inc. ..................................... 538,512
11,300 CSX Corp. ....................................................... 516,636
13,000 Deere & Co. ..................................................... 501,280
20,200 Emerson Electric Co. ............................................ 661,146
5,300 Expeditors International of Washington, Inc. .................... 173,045
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
55
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
4,800 Flowserve Corp. ................................................. $ 273,216
153,800 General Electric Co. ............................................ 3,000,638
66,600 Quanta Services, Inc.* .......................................... 1,316,016
12,600 Union Pacific Corp. ............................................. 841,302
17,300 United Parcel Service, Inc., Class B ............................ 913,094
8,100 WW Grainger, Inc. ............................................... 636,417
------------
11,853,310
------------
INFORMATION TECHNOLOGY - 34.27%
21,500 Adobe Systems, Inc.* ............................................ 572,760
7,100 Affiliated Computer Services,Inc., Class A* ..................... 291,100
7,000 Akamai Technologies, Inc.* ...................................... 100,660
10,000 Altera Corp. .................................................... 173,500
23,000 Apple, Inc.* .................................................... 2,474,570
318,200 Cisco Systems, Inc.* ............................................ 5,654,414
18,700 Citrix Systems, Inc.* ........................................... 481,899
44,700 Corning, Inc. ................................................... 484,101
40,700 Dell, Inc.* ..................................................... 494,505
19,900 eBay, Inc.* ..................................................... 303,873
81,800 EMC Corp./Massachusetts* ........................................ 963,604
2,000 First Solar, Inc.* .............................................. 287,400
13,400 Google, Inc., Class A* .......................................... 4,815,424
220,500 Intel Corp. ..................................................... 3,528,000
49,800 International Business Machines Corp. ........................... 4,629,906
159,795 Maxim Integrated Products, Inc. ................................. 2,173,212
37,400 Microchip Technology, Inc. ...................................... 921,162
212,800 Microsoft Corp. ................................................. 4,751,824
17,700 Novellus Systems, Inc.* ......................................... 279,660
27,800 Nuance Communication, Inc.* .................................. 254,370
115,300 Oracle Corp.* ................................................... 2,108,837
76,000 QUALCOMM, Inc. .................................................. 2,907,760
9,400 Salesforce.com, Inc.* ........................................... 291,024
56,100 Texas Instruments, Inc. ......................................... 1,097,316
22,200 Varian Semiconductor Equipment Associates, Inc.* ................ 435,564
18,100 Visa, Inc., Class A ............................................. 1,001,835
34,600 Yahoo!, Inc.* ................................................... 443,572
------------
41,921,852
------------
MATERIALS - 3.73%
23,800 Freeport-McMoRan Copper & Gold, Inc. ............................ 692,580
14,400 Monsanto Co. .................................................... 1,281,312
4,000 Mosaic Co./The .................................................. 157,640
32,100 Nucor Corp. ................................................... 1,300,371
17,400 Praxair, Inc. ................................................... 1,133,610
------------
4,565,513
------------
TELECOMMUNICATION SERVICES - 0.44%
18,700 NII Holdings, Inc.* ............................................. 481,712
1,900 Telephone & Data Systems, Inc. .................................. 51,015
------------
532,727
------------
UTILITIES - 0.89%
14,100 FPL Group, Inc. ................................................. 666,084
10,000 Sempra Energy ................................................... 425,900
------------
1,091,984
------------
TOTAL COMMON STOCKS
(Cost $148,326,071) ............................................. 119,242,715
INVESTMENT COMPANIES - 2.54%
- --------------------------------------------------------------------------------------------------
13,800 iShares Russell 1000 Growth Index Fund ETF ...................... 552,690
2,557,518 SSgA Prime Money Market Fund .................................... 2,557,518
------------
TOTAL INVESTMENT COMPANIES
(Cost $3,252,140) ............................................... 3,110,208
TOTAL INVESTMENTS - 100.02%
- --------------------------------------------------------------------------------------------------
(Cost $151,578,211**) ......................................................... 122,352,923
NET OTHER ASSETS AND LIABILITIES - (0.02)%
- --------------------------------------------------------------------------------------------------
(32,419)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$122,320,504
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $154,250,164.
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.
- --------------------------------------------------------------------------------
56
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF SECTOR ALLOCATION]
Financials 27%
Utilities 13
Consumer Discretionary 11
Consumer Staples 10
Industrials 9
Information Technology 8
Energy 6
Health Care 6
Materials 5
Cash and Other Net Assets 4
Telecommunication Services 1
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.00%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.55%
2,900 Arbitron, Inc. .................................................. $ 94,482
2,800 Autoliv, Inc. ................................................... 59,808
700 Autozone, Inc.* ................................................. 89,103
6,100 Carnival Corp. .................................................. 154,940
8,600 Cato Corp./The, Class A ......................................... 133,472
5,800 CBS Corp., Class B .............................................. 56,318
2,700 CEC Entertainment, Inc.* ........................................ 69,336
3,400 Choice Hotels International, Inc. ............................... 92,956
9,900 Eastman Kodak Co. ............................................... 90,882
27,464 Ford Motor Co.* ................................................. 60,146
3,700 Fortune Brands, Inc. ............................................ 141,118
4,600 General Motors Corp. ............................................ 26,588
4,500 Genuine Parts Co. ............................................... 177,075
6,000 Hibbett Sports, Inc.* ........................................... 106,860
20,800 Interpublic Group of Cos., Inc.* ................................ 107,952
4,500 JC Penney Co., Inc. ............................................. 107,640
5,900 KB Home ......................................................... 98,471
11,000 Liberty Media Corp. - Interactive, Series A (S)* ................ 53,680
24,100 Mattel, Inc. .................................................... 361,982
2,300 Matthews International Corp., Class A ........................... 102,649
7,900 O'Reilly Automotive, Inc.* ...................................... 214,169
2,600 Royal Caribbean Cruises, Ltd. .. ................................ 35,256
6,600 Saks, Inc.* ..................................................... 39,600
6,100 Scripps Networks Interactive, Inc., Class A ..................... 173,240
6,400 Sonic Corp.* .................................................... 68,480
12,350 Stage Stores, Inc. .............................................. 95,219
5,800 Tempur-Pedic International, Inc. ................................ 45,298
9,900 TJX Cos., Inc. .................................................. 264,924
5,700 Valassis Communications, Inc.* .................................. 25,308
2,000 VF Corp. ........................................................ 110,200
5,900 Virgin Media, Inc. .............................................. 33,984
-----------
3,291,136
-----------
CONSUMER STAPLES - 9.58%
2,300 Bunge, Ltd. ..................................................... 88,343
4,900 Casey's General Stores, Inc. .................................... 147,980
3,600 Clorox Co. ...................................................... 218,916
12,100 ConAgra Foods, Inc. ............................................. 210,782
10,700 Constellation Brands, Inc., Class A* ............................ 134,178
5,400 Costco Wholesale Corp. .......................................... 307,854
2,500 Energizer Holdings, Inc.* ....................................... 122,150
3,500 Herbalife, Ltd. ................................................. 85,505
6,000 HJ Heinz Co. .................................................... 262,920
4,200 Hormel Foods Corp. .............................................. 118,692
5,700 Lance, Inc. ..................................................... 117,933
3,900 Lorillard, Inc. ................................................. 256,854
6,500 Molson Coors Brewing Co., Class B ............................... 242,840
8,000 Safeway, Inc. ................................................... 170,160
9,200 Sara Lee Corp. .................................................. 102,856
7,700 Tyson Foods, Inc., Class A ...................................... 67,298
3,000 UST, Inc. ....................................................... 202,770
2,300 Wal-Mart Stores, Inc. ........................................... 128,363
-----------
2,986,394
-----------
ENERGY - 5.85%
11,600 BJ Services Co. ................................................. 149,060
3,900 Chesapeake Energy Corp. ......................................... 85,683
17,800 El Paso Corp. ................................................... 172,660
6,400 Forest Oil Corp.* ............................................... 186,944
4,600 Helmerich & Payne, Inc. ......................................... 157,826
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
57
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
5,600 Nabors Industries, Ltd.* ........................................ $ 80,528
4,200 Newfield Exploration Co.* ....................................... 96,516
4,900 Noble Energy, Inc. ............ ................................. 253,918
1,800 Overseas Shipholding Group, Inc. ................................ 67,644
9,600 PetroHawk Energy Corp.* ......................................... 181,920
3,400 Plains Exploration & Production Co.* ............................ 95,880
800 SEACOR Holdings, Inc.* .......................................... 53,736
3,600 St. Mary Land & Exploration Co. ................................. 89,604
6,700 Tesoro Corp. .................................................... 64,789
1,700 Whiting Petroleum Corp.* ........................................ 88,383
-----------
1,825,091
-----------
FINANCIALS - 27.36%
15,800 Annaly Capital Management, Inc., REIT ........................... 219,620
10,800 AON Corp. ....................................................... 456,840
3,900 Arch Capital Group, Ltd.* ....................................... 272,025
9,699 Ares Capital Corp. .............................................. 76,234
5,400 Asset Acceptance Capital Corp.* ................................. 43,794
6,860 Associated Banc-Corp. ........................................... 151,332
5,100 Assurant, Inc. .................................................. 129,948
5,100 Assured Guaranty, Ltd. .......................................... 57,273
3,100 AvalonBay Communities, Inc., REIT ............................... 220,162
7,800 Axis Capital Holdings, Ltd. ..................................... 222,144
2,300 BlackRock, Inc. ................................................. 302,082
3,100 Boston Properties, Inc., REIT ................................... 219,728
2,700 Credit Acceptance Corp.* ........................................ 41,418
6,075 Delphi Financial Group, Inc., Class A ........................... 95,681
5,800 Discover Financial Services ..................................... 71,050
7,900 Equity Residential, REIT ........................................ 275,947
3,032 Everest Re Group, Ltd. .......................................... 226,490
16,100 Fifth Third Bancorp ............................................. 174,685
2,500 Financial Federal Corp. ......................................... 57,875
1,800 First Midwest Bankcorp, Inc./IL ................................. 39,978
10,000 Hudson City Bancorp, Inc. ....................................... 188,100
4,040 International Bancshares Corp. .................................. 104,919
2,300 IPC Holdings, Ltd. .............................................. 63,503
10,400 JPMorgan Chase & Co. ............................................ 429,000
15,500 Keycorp ......................................................... 189,565
4,700 Kimco Realty Corp., REIT ........................................ 106,126
1,300 Leucadia National Corp. ......................................... 34,892
2,400 M&T Bank Corp. .................................................. 194,640
8,400 Marsh & McLennan Cos., Inc. ..................................... 246,288
5,198 Marshall & Ilsley Corp. ......................................... 93,720
2,000 MB Financial, Inc. .............................................. 59,420
43,600 National City Corp. ............................................. 117,720
3,600 NewAlliance Bancshares, Inc. .................................... 49,680
2,200 Northern Trust Corp. .......................................... 123,882
7,600 People's United Financial, Inc. ................................. 133,000
3,400 Platinum Underwriters Holdings, Ltd. ............................ 107,916
6,400 Principal Financial Group, Inc. ................................. 121,536
10,100 Progressive Corp./The ........................................... 144,127
5,200 Prologis, REIT .................................................. 72,800
1,000 PS Business Parks, Inc., REIT ................................... 45,270
2,000 Public Storage, REIT ............................................ 163,000
5,600 Realty Income Corp., REIT ....................................... 129,472
13,900 Regions Financial Corp. ......................................... 154,151
3,400 Reinsurance Group of America, Inc., Class A ................... 126,956
1,000 Simon Property Group, Inc., REIT ................................ 67,030
3,300 SL Green Realty Corp., REIT ..................................... 138,732
9,900 Sovereign Bancorp, Inc.* ........................................ 28,710
2,300 State Street Corp. .............................................. 99,705
5,700 Torchmark Corp. ................................................. 238,089
19,300 Unum Group ...................................................... 303,975
6,600 US Banccorp ..................................................... 196,746
6,200 U-Store-It Trust, REIT .......................................... 42,532
1,600 Ventas, Inc., REIT .............................................. 57,696
5,300 Vornado Realty Trust, REIT ...................................... 373,915
5,700 Webster Financial Corp. ......................................... 105,678
1,200 Westamerica Bancorporation ...................................... 68,700
8,800 WR Berkley Corp. ................................................ 231,176
2,800 XL Capital, Ltd., Class A ....................................... 27,160
-----------
8,533,833
-----------
HEALTH CARE - 6.27%
3,000 AmerisourceBergen Corp. ......................................... 93,810
2,900 Amsurg Corp.* ................................................... 72,326
7,800 Applied Biosystems, Inc. (S) .................................... 240,474
3,929 Barr Pharmaceuticals, Inc.* ..................................... 252,478
4,500 Centene Corp.* .................................................. 84,780
1,200 Charles River Laboratories International, Inc.* ................. 42,996
5,100 Coventry Health Care, Inc.* ..................................... 67,269
3,300 Forest Laboratories, Inc.* ..................................... 76,659
7,300 Health Net, Inc.* ............................................... 94,024
22,300 Hologic, Inc.* .................................................. 272,952
3,800 Humana, Inc.* ................................................... 112,442
2,500 Invitrogen Corp.* ............................................... 71,975
4,700 Orthofix International N.V.* .................................... 63,685
11,997 Schering-Plough Corp. ........................................... 173,836
12,100 Universal American Corp./NY* .................................... 107,085
4,000 Wyeth ........................................................... 128,720
-----------
1,955,511
-----------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
58
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS - 9.48%
10,000 ACCO Brands Corp.* .............................................. $ 28,200
2,500 Acuity Brands, Inc. ............................................. 87,400
4,400 Albany International Corp., Class A ............................. 64,064
7,700 Allied Waste Industries, Inc.* .................................. 80,234
8,600 Belden, Inc. .................................................... 179,224
8,100 Carlisle Cos., Inc. ............................................. 188,325
4,400 Cooper Industries, Ltd., Class A ................................ 136,180
4,000 Dover Corp. ..................................................... 127,080
2,400 ESCO Technologies, Inc.* ........................................ 82,800
800 Flowserve Corp. ................................................. 45,536
3,100 GATX Corp. ...................................................... 88,505
1,800 General Dynamics Corp. .......................................... 108,576
1,887 Genesee & Wyoming, Inc., Class A* ............................... 62,931
3,100 Graco, Inc. ..................................................... 76,663
7,000 Ingersoll-Rand Co., Ltd., Class A ............................... 129,150
4,800 ITT Corp. ..................................................... 213,600
4,900 KBR, Inc. ....................................................... 72,716
2,000 L-3 Communications Holdings, Inc. ............................... 162,340
6,300 Mueller Industries, Inc. ........................................ 144,081
1,200 Norfolk Southern Corp. .......................................... 71,928
2,400 Parker Hannifin Corp. ........................................... 93,048
3,600 RR Donnelley & Sons Co. ......................................... 59,652
1,700 Simpson Manufacturing Co., Inc. ................................. 39,168
20,100 Southwest Airlines Co. .......................................... 236,778
3,500 United Stationers, Inc.* ........................................ 130,865
2,000 URS Corp.* ...................................................... 58,780
2,400 WW Grainger, Inc. ............................................... 188,568
-----------
2,956,392
-----------
INFORMATION TECHNOLOGY - 7.65%
4,000 Affiliated Computer Services,Inc., Class A* ................... 164,000
8,200 Arrow Electronics, Inc.* ........................................ 143,090
17,000 Brocade Communications Systems, Inc.* ........................... 64,090
10,800 CA, Inc. ........................................................ 192,240
7,100 Computer Sciences Corp.* ........................................ 214,136
3,700 Diebold, Inc. ................................................... 109,964
4,900 Electronics for Imaging, Inc.* .................................. 51,940
6,600 Intersil Corp., Class A ......................................... 90,354
21,200 Maxim Integrated Products, Inc. ................................. 288,320
3,400 MAXIMUS, Inc. ................................................... 108,596
8,300 Molex, Inc. ..................................................... 119,603
7,500 Novellus Systems, Inc.* ......................................... 118,500
3,700 SanDisk Corp.* .................................................. 32,893
9,700 Seagate Technology .............................................. 65,669
14,300 Sun Microsystems, Inc.* ......................................... 65,780
8,000 Synopsys, Inc.* ................................................. 146,240
3,600 Teradata Corp.* ................................................. 55,404
5,500 Websense, Inc.* ................................................. 107,360
19,200 Xerox Corp. ..................................................... 153,984
4,600 Zebra Technologies Corp., Class A* .............................. 93,104
-----------
2,385,267
-----------
MATERIALS - 4.89%
2,400 Air Products & Chemicals, Inc. .................................. 139,512
7,500 Alcoa, Inc. ..................................................... 86,325
2,600 Aptargroup, Inc. ................................................ 78,832
5,400 Celanese Corp., Series A ........................................ 74,844
800 Compass Minerals International, Inc. ............................ 43,944
1,200 Deltic Timber Corp. ............................................. 54,660
3,200 Ecolab, Inc. .................................................... 119,232
3,400 EI Du Pont de Nemours & Co. ..................................... 108,800
2,935 Freeport-McMoRan Copper & Gold, Inc. ............................ 85,408
2,700 Mosaic Co./The .................................................. 106,407
4,100 Nucor Corp. ..................................................... 166,091
4,600 Owens-Illinois, Inc.* ........................................... 105,248
3,000 Sigma-Aldrich Corp. ............................................. 131,580
5,900 Weyerhaeuser Co. ................................................ 225,498
-----------
1,526,381
-----------
TELECOMMUNICATION SERVICES - 1.29%
3,900 Crown Castle International Corp.* ............................... 82,563
3,400 Embarq Corp. .................................................... 102,000
1,000 NII Holdings, Inc.* ............................................. 25,760
30,600 Qwest Communications International, Inc. ........................ 87,516
2,500 Telephone & Data Systems, Inc. .................................. 67,125
4,800 Windstream Corp. ................................................ 36,048
-----------
401,012
-----------
UTILITIES - 13.08%
6,400 Ameren Corp. .................................................... 207,680
14,100 American Electric Power Co., Inc. ............................... 460,083
2,300 Atmos Energy Corp. .............................................. 55,821
9,500 Edison International ............................................ 338,105
1,100 Entergy Corp. ................................................... 85,855
1,700 New Jersey Resources Corp. ...................................... 63,308
2,900 NRG Energy, Inc.* ............................................... 67,425
10,000 NSTAR ........................................................... 330,500
5,400 Oneok, Inc. ..................................................... 172,260
12,600 PG&E Corp. ...................................................... 462,042
9,500 Progress Energy, Inc. ........................................... 374,015
3,900 Questar Corp. ................................................... 134,394
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
59
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
9,200 Sempra Energy ................................................... $ 391,828
3,900 UGI Corp. ..................................................... 93,093
3,300 Unisource Energy Corp. .......................................... 91,014
4,400 Westar Energy, Inc. ............................................. 85,756
2,000 WGL Holdings, Inc. ............................................ 64,380
6,100 Wisconsin Energy Corp. .......................................... 265,350
19,300 Xcel Energy, Inc. ............................................... 336,206
-----------
4,079,115
-----------
TOTAL COMMON STOCKS
(Cost $41,261,771) .............................................. 29,940,132
INVESTMENT COMPANIES - 3.86%
- --------------------------------------------------------------------------------------------------
4,500 iShares Russell Midcap Value Index Fund ETF ..................... 135,720
1,068,765 SSgA Prime Money Market Fund .................................... 1,068,765
-----------
TOTAL INVESTMENT COMPANIES
(Cost $1,263,716) ............................................... 1,204,485
TOTAL INVESTMENTS - 99.86%
- --------------------------------------------------------------------------------------------------
(Cost $42,525,487**) .......................................................... 31,144,617
NET OTHER ASSETS AND LIABILITIES - 0.14%
- --------------------------------------------------------------------------------------------------
42,242
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$31,186,859
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $43,246,316.
(S) Tracking Stock - Security issued by a parent company that tracks the
performance of a particular division.
ETF Exchange Traded Fund.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
60
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF SECTOR ALLOCATION]
Information Technology 22%
Consumer Discretionary 16
Health Care 16
Industrials 16
Energy 13
Financials 7
Consumer Staples 4
Materials 3
Telecommunication Services 2
Cash & Other Net Assets 1
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 99.10%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 16.41%
16,500 Aeropostale, Inc.* .............................................. $ 399,465
19,800 Buckle, Inc./The ................................................ 521,532
14,600 Carter's, Inc.* ................................................. 310,104
14,400 GameStop Corp., Class A* ........................................ 394,416
19,900 Guess ?, Inc. ................................................... 433,223
41,000 Gymboree Corp.* ............................................... 1,060,260
28,900 O'Reilly Automotive, Inc.* ...................................... 783,479
6,100 priceline.com, Inc.* ............................................ 321,043
37,100 Sotheby's ...................................................... 345,401
21,000 Steiner Leisure, Ltd.* .......................................... 543,900
30,800 True Religion Apparel, Inc.* .................................... 515,900
21,200 Volcom, Inc.* ................................................... 274,116
13,700 Zumiez, Inc.* ................................................... 133,712
-----------
6,036,551
-----------
CONSUMER STAPLES - 3.63%
16,800 Avon Products, Inc. ............................................ 417,144
19,200 Herbalife, Ltd. ................................................ 469,056
31,600 SUPERVALU, Inc. ................................................ 449,984
-----------
1,336,184
-----------
ENERGY - 13.16%
40,300 Atwood Oceanics, Inc.* ......................................... 1,107,444
3,900 Helmerich & Payne, Inc. ........................................ 133,809
66,600 Hercules Offshore, Inc.* ....................................... 485,514
15,300 National Oilwell Varco, Inc.* .................................. 457,317
14,700 Noble Corp. .................................................... 473,487
18,300 Noble Energy, Inc. ............................................. 948,306
22,500 St. Mary Land & Exploration Co. ................................ 560,025
14,500 Ultra Petroleum Corp.* ......................................... 674,975
-----------
4,840,877
-----------
FINANCIALS - 6.80%
47,200 Assured Guaranty, Ltd. ......................................... 530,056
11,200 Capital One Financial Corp. .................................... 438,144
86,500 Huntington Bancshares, Inc./OH ................................ 817,425
6,000 Invesco, Ltd. .................................................. 89,460
35,200 TCF Financial Corp. ............................................ 624,448
-----------
2,499,533
-----------
HEALTH CARE - 16.02%
9,400 Beckman Coulter, Inc. .......................................... 469,248
15,900 Cephalon, Inc.* ................................................ 1,140,348
44,100 Coventry Health Care, Inc.* .................................... 581,679
6,500 Cubist Pharmaceuticals, Inc.* .................................. 165,035
1,000 Health Net, Inc.* .............................................. 12,880
4,700 Hospira, Inc.* ................................................. 130,754
20,100 Humana, Inc.* .................................................. 594,759
26,300 Invitrogen Corp.* .............................................. 757,177
23,000 Psychiatric Solutions, Inc.* ................................... 765,670
20,800 St. Jude Medical, Inc.* ........................................ 791,024
11,000 Waters Corp.* .................................................. 481,800
-----------
5,890,374
-----------
INDUSTRIALS - 15.86%
8,200 Flowserve Corp. ................................................ 466,744
11,300 Foster Wheeler, Ltd.* .......................................... 309,620
32,800 Graco, Inc. .................................................... 811,144
46,400 Herman Miller, Inc. ............................................ 1,020,800
22,300 HUB Group, Inc., Class A* ...................................... 701,335
21,900 Manpower, Inc. ................................................. 681,747
33,400 Oshkosh Corp. .................................................. 255,844
9,500 Precision Castparts Corp. ...................................... 615,695
13,300 Terex Corp.* ................................................... 221,977
31,500 Thomas & Betts Corp.* .......................................... 748,125
-----------
5,833,031
-----------
INFORMATION TECHNOLOGY - 22.08%
46,300 Akamai Technologies, Inc.* ..................................... 665,794
17,200 Alliance Data Systems Corp.* ................................... 862,752
20,800 Amdocs, Ltd.* .................................................. 469,248
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
61
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
19,200 Amphenol Corp., Class A .......................................... $ 550,080
24,700 Autodesk, Inc.* .................................................. 526,357
28,000 BMC Software, Inc.* .............................................. 722,960
36,600 Cognizant Technology Solutions Corp., Class A* ................... 702,720
13,200 Flir Systems, Inc.* ............................................. 423,720
47,200 NetApp, Inc.* ................................................... 638,616
87,000 Perot Systems Corp., Class A* ................................... 1,251,930
31,300 Polycom, Inc.* .................................................. 657,613
42,600 Western Union Co./The............................................ 650,076
-----------
8,121,866
-----------
MATERIALS - 3.48%
5,200 Freeport-McMoRan Copper
Gold, Inc. ...................................................... 151,320
21,100 Pactiv Corp.* ................................................... 497,116
28,700 Terra Industries, Inc. .......................................... 631,113
-----------
1,279,549
-----------
TELECOMMUNICATION SERVICES - 1.66%
23,700 NII Holdings, Inc.* ............................................. 610,512
-----------
TOTAL COMMON STOCKS
(Cost $51,657,562) .............................................. 36,448,477
INVESTMENT COMPANY - 2.15%
- --------------------------------------------------------------------------------------------------
791,036 SSgA Prime Money Market Fund ................................... 791,036
-----------
TOTAL INVESTMENT COMPANY
(Cost $791,036) ................................................. 791,036
TOTAL INVESTMENTS - 101.25%
- --------------------------------------------------------------------------------------------------
(Cost $52,448,598**) .......................................................... 37,239,513
NET OTHER ASSETS AND LIABILITIES - (1.25)%
- --------------------------------------------------------------------------------------------------
(458,048)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$36,781,465
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $57,039,372.
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.
- --------------------------------------------------------------------------------
62
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF SECTOR ALLOCATION]
Financials 21%
Industrials 21
Consumer Discretionary 17
Information Technology 9
Health Care 8
Utilities 6
Materials 5
Energy 4
Cash and Other Net Assets 3
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.72%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 16.90%
6,600 Arbitron, Inc. .................................................. $ 215,028
19,000 Cato Corp./The, Class A ......................................... 294,880
6,100 CEC Entertainment, Inc.* ........................................ 156,648
7,700 Choice Hotels International, Inc. ............................... 210,518
14,300 Helen of Troy, Ltd.* ............................................ 257,257
13,600 Hibbett Sports, Inc.* ........................................... 242,216
5,100 Matthews International Corp., Class A ........................... 227,613
16,200 Modine Manufacturing Co. ........................................ 119,880
14,500 Sonic Corp.* .................................................... 155,150
28,400 Stage Stores, Inc. ............................................ 218,964
7,800 Tempur-Pedic International, Inc. ................................ 60,918
6,700 Unifirst Corp./MA ............................................... 218,621
12,600 Valassis Communications, Inc.* .................................. 55,944
-----------
2,433,637
-----------
CONSUMER STAPLES - 5.53%
11,000 Casey's General Stores, Inc. .................................... 332,200
7,900 Herbalife, Ltd. ................................................. 192,997
13,100 Lance, Inc. ..................................................... 271,039
-----------
796,236
-----------
ENERGY - 4.31%
8,600 Penn Virginia Corp. ............................................. 319,662
1,400 SEACOR Holdings, Inc.* .......................................... 94,038
4,000 Whiting Petroleum Corp.* ........................................ 207,960
-----------
621,660
-----------
FINANCIALS - 21.22%
9,300 Acadia Realty Trust, REIT ....................................... 168,051
5,200 American Campus Communities, Inc., REIT ......................... 135,096
21,800 Ares Capital Corp. .............................................. 171,348
17,400 Asset Acceptance Capital Corp.* ................................. 141,114
11,500 Assured Guaranty, Ltd. .......................................... 129,145
10,300 Asta Funding, Inc. .............................................. 35,020
6,800 Credit Acceptance Corp.* ........................................ 104,312
13,700 Delphi Financial Group, Inc., Class A ........................... 215,775
5,500 Financial Federal Corp. ......................................... 127,325
4,000 First Midwest Bankcorp, Inc./IL.................................. 88,840
9,620 International Bancshares Corp. .................................. 249,831
5,400 IPC Holdings, Ltd. .............................................. 149,094
4,400 MB Financial, Inc. .............................................. 130,724
6,400 NewAlliance Bancshares, Inc. .................................... 88,320
7,400 Platinum Underwriters Holdings, Ltd. ............................ 234,876
3,200 PS Business Parks, Inc., REIT ................................... 144,864
10,600 Realty Income Corp., REIT ....................................... 245,072
14,900 U-Store-It Trust, REIT .......................................... 102,214
13,000 Webster Financial Corp. ......................................... 241,020
2,700 Westamerica Bancorporation ...................................... 154,575
-----------
3,056,616
-----------
HEALTH CARE - 7.89%
8,500 Amsurg Corp.* ................................................... 211,990
10,300 Centene Corp.* .................................................. 194,052
3,600 Corvel Corp.* ................................................... 96,552
7,800 ICU Medical, Inc.* .............................................. 249,834
10,600 Orthofix International N.V.* .................................... 143,630
27,100 Universal American Corp./NY* .................................... 239,835
-----------
1,135,893
-----------
INDUSTRIALS - 20.51%
22,600 ACCO Brands Corp.* .............................................. 63,732
5,500 Acuity Brands, Inc. ............................................. 192,280
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
63
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
10,000 Albany International Corp., Class A ............................. $ 145,600
19,200 Belden, Inc. .................................................... 400,128
16,200 Bowne & Co., Inc. ............................................. 126,198
19,500 Carlisle Cos., Inc. ............................................. 453,375
8,400 Deswell Industries, Inc. ........................................ 25,284
5,500 ESCO Technologies, Inc.* ........................................ 189,750
7,000 GATX Corp. ...................................................... 199,850
4,300 Genesee & Wyoming, Inc., Class A* ............................... 143,405
14,300 Mueller Industries, Inc. ........................................ 327,041
7,800 Quixote Corp. ................................................... 50,076
4,500 Simpson Manufacturing Co., Inc. ................................. 103,680
7,700 Sterling Construction Co., Inc.* ................................ 101,717
8,100 United Stationers, Inc.* ........................................ 302,859
14,600 Vitran Corp., Inc.* ............................................. 129,794
-----------
2,954,769
-----------
INFORMATION TECHNOLOGY - 9.29%
8,600 Diebold, Inc. ................................................... 255,592
13,900 Electronics for Imaging, Inc.* .................................. 147,340
7,500 MAXIMUS, Inc. ................................................... 239,550
19,300 NAM TAI Electronics, Inc. ....................................... 146,680
12,300 Websense, Inc.* ................................................. 240,096
17,500 Xyratex, Ltd.* .................................................. 98,000
10,400 Zebra Technologies Corp., Class A* ............................. 210,496
-----------
1,337,754
-----------
MATERIALS - 5.40%
6,100 Aptargroup, Inc. ................................................ 184,952
1,900 Compass Minerals International, Inc. ............................ 104,367
3,700 Deltic Timber Corp. ............................................. 168,535
15,200 Zep, Inc. ..................................................... 319,960
-----------
777,814
-----------
UTILITIES - 5.67%
6,800 Atmos Energy Corp. .............................................. 165,036
3,350 New Jersey Resources Corp. ...................................... 124,754
7,500 Unisource Energy Corp. .......................................... 206,850
9,000 Westar Energy, Inc. ............................................. 175,410
4,500 WGL Holdings, Inc. .............................................. 144,855
-----------
816,905
-----------
TOTAL COMMON STOCKS
(Cost $18,390,219) .............................................. 13,931,284
INVESTMENT COMPANY - 1.45%
- --------------------------------------------------------------------------------------------------
208,815 SSgA Prime Money Market Fund .................................... 208,815
-----------
TOTAL INVESTMENT COMPANY
(Cost $208,815) ................................................. 208,815
TOTAL INVESTMENTS - 98.17%
- --------------------------------------------------------------------------------------------------
(Cost $18,599,034**) .......................................................... 14,140,099
NET OTHER ASSETS AND LIABILITIES - 1.83%
- --------------------------------------------------------------------------------------------------
263,013
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$14,403,112
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $18,946,584.
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.
- --------------------------------------------------------------------------------
64
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF SECTOR ALLOCATION]
Industrials 25%
Health Care 20
Information Technology 19
Consumer Discretionary 10
Financials 9
Energy 8
Cash and Other Net Assets 3
Materials 3
Consumer Staples 1
Telecommunication Services 1
Utilities 1
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.62%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.39%
2,800 Aaron Rents, Inc. ................................................. $ 69,412
3,600 Aeropostale, Inc.* ................................................ 87,156
4,200 California Pizza Kitchen, Inc.* ................................... 41,034
2,500 CEC Entertainment, Inc.* .......................................... 64,200
11,000 CKX, Inc.* ........................................................ 48,840
3,700 Corinthian Colleges, Inc.* ........................................ 52,836
1,700 Deckers Outdoor Corp.* ............................................ 144,262
1,700 DeVry, Inc. ....................................................... 96,373
2,700 Dolan Media Co.* .................................................. 11,070
4,100 Drew Industries, Inc.* .......................................... 49,610
2,900 Ethan Allen Interiors, Inc. ....................................... 51,881
2,200 Focus Media Holding, Ltd., ADR* ................................... 40,766
2,600 Interactive Data Corp. ............................................ 61,308
2,300 Marvel Entertainment, Inc.* ....................................... 74,037
4,900 Outdoor Channel Holdings, Inc.* ................................... 39,200
2,200 Papa John's International, Inc.* . ................................ 49,632
2,800 Pool Corp. ........................................................ 48,748
2,700 Scientific Games Corp., Class A* .................................. 48,600
1,900 Under Armour, Inc., Class A* ...................................... 49,400
2,800 Volcom, Inc.* ..................................................... 36,204
1,800 Warnaco Group, Inc./The* .......................................... 53,658
6,800 Winnebago Industries .............................................. 40,392
5,200 World Wrestling Entertainment, Inc., Class A....................... 74,048
3,100 Zumiez, Inc.* ..................................................... 30,256
-----------
1,362,923
-----------
CONSUMER STAPLES - 1.30%
700 Central European Distribution Corp.* .............................. 20,153
1,400 Green Mountain Coffee Roasters, Inc.* ............................. 40,586
1,700 United Natural Foods, Inc.* ....................................... 37,978
4,800 Winn-Dixie Stores, Inc.* .......................................... 72,096
-----------
170,813
-----------
ENERGY - 8.22%
2,800 Atwood Oceanics, Inc.* ............................................ 76,944
5,800 Basic Energy Services, Inc.* ...................................... 79,344
900 CARBO Ceramics, Inc. .............................................. 38,943
2,100 Carrizo Oil & Gas, Inc.* .......................................... 49,119
1,400 Comstock Resources, Inc.* ......................................... 69,188
1,100 Dawson Geophysical Co.* ........................................... 26,983
2,200 Dril-Quip, Inc.* .................................................. 54,340
4,100 Hercules Offshore, Inc.* .......................................... 29,889
2,100 IHS, Inc., Class A* ............................................... 74,319
3,600 ION Geophysical Corp.* ............................................ 23,616
1,000 Lufkin Industries, Inc. ........................................... 52,320
2,200 Massey Energy Co. ................................................. 50,798
2,600 NATCO Group, Inc., Class A* ....................................... 54,964
2,800 Oceaneering International, Inc.* .................................. 78,876
2,800 Penn Virginia Corp. ............................................... 104,076
4,500 Petroquest Energy, Inc.* .......................................... 44,775
1,632 Smith International, Inc. ......................................... 56,271
1,900 Superior Energy Services, Inc.* ................................... 40,508
1,900 Walter Industries, Inc. ........................................... 73,625
-----------
1,078,898
-----------
FINANCIALS - 9.40%
600 Affiliated Managers Group, Inc.* .................................. 27,828
700 Alexandria Real Estate Equities, Inc., REIT ....................... 48,664
2,700 American Physicians Capital, Inc. ................................. 110,457
2,500 Corporate Office Properties Trust SBI MD, REIT .................... 77,725
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
65
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
1,900 Digital Realty Trust, Inc., REIT ................................ $ 63,612
1,300 EastGroup Properties, Inc., REIT ................................ 43,524
2,600 Greenhill & Co., Inc. ........................................... 171,522
2,600 Highwoods Properties, Inc., REIT ................................ 64,532
1,600 Home Properties, Inc., REIT ..................................... 64,784
3,000 Mid-America Apartment Communities, Inc., REIT ................... 105,720
2,200 Nationwide Health Properties, Inc., REIT ........................ 65,648
2,900 optionsXpress Holdings, Inc. .................................... 51,504
2,900 Signature Bank/New York, NY* .................................... 94,482
1,500 Stifel Financial Corp.* ......................................... 65,475
1,200 SVB Financial Group* ............................................ 61,740
3,100 Waddell & Reed Financial, Inc., Class A ........................ 45,012
2,400 Washington Real Estate Investment Trust, REIT ................... 71,952
-----------
1,234,181
-----------
HEALTH CARE - 19.54%
2,500 Acorda Therapeutics, Inc.* ...................................... 51,000
2,300 Alexion Pharmaceuticals, Inc.* .................................. 93,725
4,700 Alkermes, Inc.* ................................................. 46,436
1,100 AMAG Pharmaceuticals, Inc.* ..................................... 33,638
1,600 Amedisys, Inc.* ................................................. 90,256
4,900 AMN Healthcare Services, Inc.* .................................. 44,051
3,000 Arthrocare Corp.* ............................................... 62,340
3,900 Bruker Corp.* ................................................... 15,951
2,500 Cepheid, Inc.* .................................................. 29,675
2,600 Emeritus Corp.* ................................................. 29,978
4,600 Icon PLC, ADR* .................................................. 116,702
2,400 Immucor, Inc.* .................................................. 63,720
3,400 Isis Pharmaceuticals, Inc.* ..................................... 47,804
1,700 Kendle International, Inc.* ..................................... 30,719
3,100 KV Pharmaceutical Co., Class A* ................................. 52,700
2,200 Magellan Health Services, Inc.* ................................. 81,268
1,600 Martek Biosciences Corp.* ....................................... 47,728
3,800 Medcath Corp.* .................................................. 58,596
1,800 Medicines Co./The* .............................................. 31,374
4,500 Medicis Pharmaceutical Corp., Class A ........................... 64,215
1,800 MWI Veterinary Supply, Inc.* .................................... 62,334
3,000 Myriad Genetics, Inc.* .......................................... 189,270
2,900 Omnicell, Inc.* ................................................. 31,842
1,900 Onyx Pharmaceuticals, Inc.* ..................................... 51,262
1,200 OSI Pharmaceuticals, Inc.* ...................................... 45,540
5,900 Parexel International Corp.* .................................... 61,360
4,000 Pediatrix Medical Group, Inc.* .................................. 154,600
2,000 Perrigo Co. ..................................................... 68,000
4,200 PharmaNet Development Group, Inc.* .............................. 6,720
3,800 PSS World Medical, Inc.* ........................................ 68,932
3,000 Psychiatric Solutions, Inc.* .................................... 99,870
2,400 SonoSite, Inc.* ................................................. 50,568
1,600 STERIS Corp. .................................................... 54,464
3,600 Thoratec Corp.* ................................................. 88,632
3,200 Valeant Pharmaceuticals International*. ......................... 60,064
1,300 Varian, Inc.* ................................................... 47,905
1,600 West Pharmaceutical Services, Inc. .............................. 63,872
4,000 Wright Medical Group, Inc.* ..................................... 92,720
1,400 XenoPort, Inc.* ................................................. 58,254
4,800 Zoll Medical Corp.* ............................................. 115,584
-----------
2,563,669
-----------
INDUSTRIALS - 24.95%
1,900 Actuant Corp., Class A .......................................... 34,067
1,900 Acuity Brands, Inc. ............................................. 66,424
2,100 Advisory Board Co./The* ......................................... 51,765
2,000 Aecom Technology Corp.* ......................................... 35,260
500 Ameron International Corp. ...................................... 23,500
1,800 Barnes Group, Inc. .............................................. 26,118
4,500 BE Aerospace, Inc.* ............................................. 57,915
2,100 Beacon Roofing Supply, Inc.* .................................... 28,728
2,100 Belden, Inc. .................................................... 43,764
4,500 Bucyrus International, Inc., Class A ............................ 108,585
2,400 Chart Industries, Inc.* ......................................... 32,688
2,900 Clarcor, Inc. ................................................... 102,631
1,800 Clean Harbors, Inc.* ............................................ 118,026
1,100 Energy Conversion Devices, Inc.* ................................ 37,554
2,200 EnPro Industries, Inc.* ......................................... 48,862
1,300 Franklin Electric Co., Inc. ..................................... 54,808
3,100 FTI Consulting, Inc.* ........................................... 180,575
1,700 Genesee & Wyoming, Inc., Class A* ............................... 56,695
2,600 GeoEye, Inc.* ................................................... 56,264
2,400 Healthcare Services Group ....................................... 39,744
2,100 HEICO Corp. ..................................................... 80,787
4,100 Hexcel Corp.* ................................................... 54,120
2,100 HUB Group, Inc., Class A* ....................................... 66,045
4,200 Hudson Highland Group, Inc.* .................................... 22,008
1,600 II-VI, Inc.* .................................................... 44,944
1,900 Kaydon Corp. .................................................... 63,479
2,400 Korn/Ferry International* ....................................... 33,336
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
66
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
3,400 Ladish Co., Inc.* ............................................... $ 57,902
1,400 Layne Christensen Co.* .......................................... 36,792
600 Lindsay Corp. ................................................... 28,548
3,400 LMI Aerospace, Inc.* ............................................ 51,918
1,400 Mcgrath Rentcorp ................................................ 31,836
1,900 Middleby Corp.* ................................................. 76,741
1,600 Mine Safety Appliances Co. ...................................... 43,200
2,600 Navigant Consulting, Inc.* ...................................... 42,042
1,200 Nordson Corp. ................................................... 44,316
3,100 RBC Bearings, Inc.* ............................................. 73,563
1,600 Robbins & Myers, Inc. ........................................... 32,640
7,100 SYKES Enterprises, Inc.* ........................................ 113,316
2,100 Tetra Tech, Inc.* ............................................... 46,179
1,675 Titan International, Inc. ....................................... 19,363
3,400 TransDigm Group, Inc.* .......................................... 102,476
4,200 Triumph Group, Inc. ............................................. 184,212
8,200 UAL Corp. ....................................................... 119,392
1,500 United Stationers, Inc.* ........................................ 56,085
1,100 Valmont Industries, Inc. ........................................ 60,258
5,700 Wabtec Corp. .................................................... 226,632
4,200 Waste Connections, Inc.* ........................................ 142,170
1,900 Watson Wyatt Worldwide, Inc., Class A ........................... 80,693
1,100 Woodward Governor Co. ........................................... 35,310
-----------
3,274,276
-----------
INFORMATION TECHNOLOGY - 18.92%
2,900 Advanced Energy Industries, Inc.* ............................... 30,943
1,600 Anixter International, Inc.* .................................... 53,776
6,370 Ansys, Inc.* .................................................... 182,373
1,600 Atheros Communications, Inc.* ................................... 28,752
5,000 Blackboard, Inc.* ............................................... 122,400
3,300 Cabot Microelectonics Corp.* .................................... 94,809
1,600 CACI International, Inc., Class A* .............................. 65,888
3,100 Commvault Systems, Inc.* ........................................ 33,170
1,700 Comtech Telecommunications Corp.* ............................... 82,314
3,000 Cybersource Corp.* .............................................. 36,450
1,600 Digital River, Inc.* ............................................ 39,648
3,800 EMS Technologies, Inc.* ......................................... 79,420
1,000 Equinix, Inc.* .................................................. 62,420
6,100 ExlService Holdings, Inc.* ...................................... 44,530
5,800 Forrester Research, Inc.* ....................................... 162,690
6,800 i2 Technologies, Inc.* .......................................... 96,900
4,900 Informatica Corp.* .............................................. 68,845
1,100 Itron, Inc.* .................................................... 53,328
2,700 Jack Henry & Associates, Inc. ................................... 51,327
2,900 Kenexa Corp.* ................................................... 25,839
3,700 Liquidity Services, Inc.* ....................................... 31,080
5,700 Manhattan Associates, Inc.* ..................................... 95,817
6,000 Micros Systems, Inc.* ........................................... 102,180
7,000 Microsemi Corp.* ................................................ 152,180
4,000 Neutral Tandem, Inc.* ........................................... 69,680
4,900 Nice Systems, Ltd., ADR* ........................................ 109,564
4,800 PMC - Sierra, Inc.* ............................................. 22,464
2,100 Rofin-Sinar Technologies, Inc.* ............................... 46,809
2,500 Scansource, Inc.* ............................................... 49,600
12,000 SkillSoft PLC, ADR* ............................................. 92,400
1,000 Sohu.com, Inc.* ................................................. 54,940
2,400 Solera Holdings, Inc.* .......................................... 59,736
3,700 Standard Microsystems Corp.* .................................... 66,637
4,000 SuccessFactors, Inc.* ........................................... 31,960
2,500 Vocus, Inc.* .................................................... 42,075
2,900 Wright Express Corp.* ........................................... 39,701
-----------
2,482,645
-----------
MATERIALS - 3.24%
1,400 Aptargroup, Inc. ................................................ 42,448
1,400 Century Aluminum Co.*............................................ 17,598
1,300 Deltic Timber Corp. ............................................. 59,215
1,200 Greif, Inc., Class A ............................................ 48,696
3,300 Silgan Holdings, Inc. ........................................... 153,582
4,700 Terra Industries, Inc. .......................................... 103,353
-----------
424,892
-----------
TELECOMMUNICATION SERVICES - 1.17%
3,300 Cbeyond, Inc.* .................................................. 39,666
4,400 NTELOS Holdings Corp. ........................................... 114,400
-----------
154,066
-----------
UTILITIES - 0.49%
1,600 ITC Holdings Corp. .............................................. 64,928
-----------
TOTAL COMMON STOCKS
(Cost $17,862,615) .............................................. 12,811,291
INVESTMENT COMPANY - 2.77%
- --------------------------------------------------------------------------------------------------
363,363 SSgA Prime Money
Market Fund ..................................................... 363,363
-----------
TOTAL INVESTMENT COMPANY
(Cost $363,363) ................................................. 363,363
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
67
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Value (Note 2)
--------------
TOTAL INVESTMENTS - 100.39%
- --------------------------------------------------------------------------------------------------
(Cost $18,225,978**) .......................................................... $13,174,654
NET OTHER ASSETS AND LIABILITIES - (0.39)%
- --------------------------------------------------------------------------------------------------
(50,959)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$13,123,695
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $18,605,607.
ADR American Depositary Receipt.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ
from the industry subclassification(s) used for Trust compliance
purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
68
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF OCTOBER 31, 2008
[PIE CHART OF GEOGRAPHICAL ALLOCATION]
Europe (excluding United Kingdom) 42%
United Kingdom 22
Japan 16
Other Countries 6
Pacific Basin 5
Cash & Other Net Assets 4
Latin America 3
Africa 2
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.96%
- --------------------------------------------------------------------------------------------------
ARGENTINA - 0.22%
11,400 Tenaris S.A., ADR ............................................... $ 234,726
-----------
AUSTRALIA - 0.13%
26,314 ABC Learning Centres, Ltd. (L)................................... 9,375
21,438 Fairfax Media, Ltd. ............................................. 27,294
19,675 James Hardie Industries N.V. .................................... 55,416
34,957 Macquarie Infrastructure Group .................................. 45,463
-----------
137,548
-----------
AUSTRIA - 0.05%
2,040 Andritz AG ...................................................... 58,475
-----------
BAHRAIN - 0.04%
3,689 Investcorp Bank BSC, GDR ........................................ 38,735
214 Investcorp Bank BSC, GDR (C)(L) ................................. 2,247
-----------
40,982
-----------
BELGIUM - 0.13%
6,510 Arseus N.V. ..................................................... 54,303
1,253 EVS Broadcast Equipment S.A. .................................... 80,431
-----------
134,734
-----------
BRAZIL - 1.38%
40,900 Banco do Brasil S.A. ............................................ 284,052
17,200 Cia de Concessoes Rodoviarias ................................... 173,076
8,770 Empresa Brasileira de Aeronautica S.A., ADR ..................... 183,469
7,641 Iochpe Maxion S.A. .............................................. 45,881
43,590 JHSF Participacoes S.A. ......................................... 40,993
32,777 Redecard S.A. ................................................... 369,891
12,490 Souza Cruz S.A. ................................................. 234,859
13,830 Tam S.A., ADR ................................................. 146,321
-----------
1,478,542
-----------
CANADA - 2.44%
3,000 First Quantum Minerals, Ltd. .................................... 118,746
71,100 TELUS Corp. ..................................................... 2,489,392
-----------
2,608,138
-----------
CHINA - 0.05%
713,000 Shougang Concord International
Enterprises Co., Ltd. ........................................... 57,650
-----------
EGYPT - 0.42%
2,977 Eastern Tobacco ................................................. 115,310
6,742 Egyptian Co. for Mobile Services ................................ 129,510
3,641 Orascom Construction Industries ................................ 121,811
14,472 Orascom Telecom Holding S.A.E. .................................. 81,972
-----------
448,603
-----------
FINLAND - 1.64%
2,410 Konecranes OYJ .................................................. 40,954
99,900 Nokia OYJ ....................................................... 1,516,009
2,600 Nokian Renkaat OYJ .............................................. 33,964
4,660 Sampo OYJ, A Shares ............................................. 92,595
2,230 Vacon PLC ....................................................... 68,008
-----------
1,751,530
-----------
FRANCE - 11.71%
16,436 BNP Paribas ..................................................... 1,187,033
25,500 Bouygues ........................................................ 1,080,823
29,400 Carrefour S.A. .................................................. 1,236,052
59,300 GDF Suez ........................................................ 2,627,036
16,300 Groupe Danone ................................................... 897,871
1,152 Neopost S.A. .................................................... 95,890
33,821 Sanofi-Aventis S.A. ............................................. 2,119,892
1,309 Sechilienne-Sidec ............................................... 49,978
57,815 Total S.A. ...................................................... 3,159,283
876 Virbac S.A. ..................................................... 56,987
-----------
12,510,845
-----------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
69
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
GERMANY - 6.21%
18,829 Adidas AG ....................................................... $ 655,434
10,350 Allianz SE ...................................................... 771,149
14,410 Compugroup Holding AG* .......................................... 64,685
2,180 CTS Eventim AG .................................................. 54,478
26,500 Daimler AG ...................................................... 910,362
65,100 E.ON AG ......................................................... 2,471,983
1,239 Gerresheimer AG ................................................. 42,703
872 Pfeiffer Vacuum Technology AG ................................... 52,614
1,927 SGL Carbon AG* .................................................. 37,313
25,314 Siemens AG ...................................................... 1,506,795
1,581 Wincor Nixdorf AG ............................................... 68,528
-----------
6,636,044
-----------
GREECE - 1.65%
34,055 National Bank of Greece S.A. .................................... 754,678
43,390 OPAP S.A. ....................................................... 945,876
4,916 Piraeus Bank S.A. ............................................... 62,887
-----------
1,763,441
-----------
HONG KONG - 0.08%
14,920 Esprit Holdings, Ltd. ........................................... 83,755
-----------
HUNGARY - 0.06%
3,963 OPT Bank Nyrt.* ................................................. 66,652
-----------
INDIA - 1.00%
3,150 Grasim Industries, Ltd. ......................................... 66,906
8,339 Hero Honda Motors, Ltd. ......................................... 126,740
30,716 Oil & Natural Gas Corp., Ltd. ................................... 428,826
16,120 Punjab National Bank, Ltd. ...................................... 143,342
47,346 Satyam Computer Services, Ltd. .................................. 297,998
85 State Bank of India, Ltd. ....................................... 1,959
-----------
1,065,771
-----------
INDONESIA - 0.74%
1,574,500 Bank Mandiri Persero Tbk PT ..................................... 233,621
208,500 PT Astra International Tbk ...................................... 181,201
15,870 Telekomunikasi Indonesia Tbk PT, ADR ............................ 318,035
176,183 United Tractors Tbk PT .......................................... 52,619
-----------
785,476
-----------
IRELAND - 1.36%
62,287 CRH PLC ......................................................... 1,381,898
4,659 DCC PLC ......................................................... 72,253
-----------
1,454,151
-----------
ISLE OF MAN - 0.07%
33,279 Hansard Global PLC .............................................. 70,688
-----------
ISRAEL - 0.45%
57,870 Bank Hapoalim BM ................................................ 131,902
10,900 Delek Automotive Systems, Ltd. .................................. 69,104
27,696 Israel Chemicals, Ltd. .......................................... 277,300
-----------
478,306
-----------
ITALY - 2.29%
2,212 Ansaldo STS SpA ................................................. 28,204
99,730 ENI SpA ......................................................... 2,364,294
9,811 MARR SpA ........................................................ 52,874
-----------
2,445,372
-----------
JAPAN - 15.39%
7,790 Amano Corp. ..................................................... 53,023
4,400 Asahi Pretec Corp. .............................................. 40,890
24,200 Canon, Inc. ..................................................... 834,114
52,450 Daito Trust Construction Co., Ltd. .............................. 2,207,099
4,260 Don Quijote Co., Ltd. ........................................... 77,025
197 East Japan Railway Co. .......................................... 1,402,174
2,480 Hisamitsu Pharmaceutical Co., Inc. .............................. 103,846
47,100 HOYA Corp. ...................................................... 874,482
9,010 Ichiyoshi Securities Co., Ltd. .................................. 71,608
132 INPEX Corp. ..................................................... 768,846
2,270 Jafco Co., Ltd. ................................................. 62,804
528 Japan Tobacco, Inc. ............................................. 1,877,890
3,850 JSR Corp. ....................................................... 44,732
209 KDDI Corp. ...................................................... 1,250,674
3,730 Konami Corp. .................................................... 68,243
5,390 MISUMI Group, Inc. .............................................. 83,321
52,800 Mitsubishi Corp. ................................................ 877,799
16,800 Nidec Corp. ..................................................... 865,863
6,190 Ohara, Inc. ..................................................... 57,647
43,000 Olympus Corp. ................................................... 822,774
3,700 Roland DG Corp. ................................................. 46,168
23,500 Secom Co., Ltd. ................................................. 911,134
148 Sumitomo Mitsui Financial Group, Inc. ........................... 601,841
5,000 Suruga Bank, Ltd. ............................................... 46,532
2,320 Sysmex Corp. .................................................... 72,210
5,800 T Hasegawa Co., Ltd. ............................................ 83,416
19,100 T&D Holdings, Inc. .............................................. 736,064
20 THK Co., Ltd. ................................................... 273
311,000 Tokyo Gas Co., Ltd. ............................................. 1,356,820
3,310 Union Tool Co. .................................................. 73,388
1,170 USS Co., Ltd. ................................................... 71,874
-----------
16,444,574
-----------
MALAYSIA - 0.30%
15,500 British American Tobacco Malaysia Bhd ........................... 179,751
192,200 PLUS Expressways Bhd ............................................ 144,652
-----------
324,403
-----------
MEXICO - 0.47%
6,690 Desarrolladora Homex SAB de C.V., ADR* .......................... 155,743
160 Fomento Economico Mexicano SAB de C.V., ADR ..................... 4,046
8,030 Grupo Televisa S.A., ADR ........................................ 141,810
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
70
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MEXICO (CONTINUED)
59,110 Kimberly-Clark de Mexico SAB de C.V., Class A .................. $ 195,394
-----------
496,993
-----------
NETHERLANDS - 0.99%
1,918 Advanced Metallurgical Group N.V.* .............................. 30,892
2,307 Fugro N.V. ...................................................... 83,040
22,340 Heineken N.V. ................................................... 750,008
6,161 Innoconcepts..................................................... 50,319
1,924 Koninklijke Boskalis Westminster N.V. ........................... 63,190
2,703 SBM Offshore N.V. ............................................... 47,267
1,721 Ten Cate N.V. ................................................... 36,263
-----------
1,060,979
-----------
NORWAY - 0.70%
5,830 Acergy S.A. ..................................................... 40,745
429 Kongsberg Gruppen AS ............................................ 19,754
8,470 ODIM ASA* ....................................................... 51,665
15,120 Songa Offshore ASA* ............................................. 54,414
97,500 Telenor ASA ..................................................... 580,906
-----------
747,484
-----------
PHILIPPINES - 0.41%
10,660 Philippine Long Distance Telephone Co., ADR ..................... 435,994
-----------
PORTUGAL - 0.04%
29,811 Banif S.A. ...................................................... 44,995
-----------
RUSSIA - 1.20%
100 Eurasia Drilling Co., Ltd., GDR* ................................ 550
8500 Eurasia Drilling Co., Ltd., GDR (C)(L)* ......................... 46,750
4,760 Evraz Group S.A., GDR ........................................... 73,304
11,190 LUKOIL, ADR ..................................................... 433,747
13,300 Mechel, ADR ..................................................... 121,961
9,450 Mobile Telesystems OJSC, ADR .................................... 369,967
5,322 Oriflame Cosmetics S.A., SDR .................................... 165,537
83,852 TNK-BP Holding .................................................. 43,603
540 Vsmpo-Avisma Corp. .............................................. 27,000
-----------
1,282,419
-----------
SINGAPORE - 1.17%
19,400 Cosco Corp. Singapore, Ltd., ADR ................................ 46,560
53,000 Ezra Holdings, Ltd. ............................................. 17,457
706,300 Singapore Telecommunications, Ltd. .............................. 1,187,662
-----------
1,251,679
-----------
SOUTH AFRICA - 1.88%
30,090 Aquarius Platinum, Ltd. ......................................... 74,264
17,414 Kumba Iron Ore, Ltd. ............................................ 229,045
26,018 Massmart Holdings, Ltd. ......................................... 231,388
16,995 Murray & Roberts Holdings, Ltd. ................................. 115,111
7,896 Naspers, Ltd. ................................................... 131,297
33,568 Nedbank Group, Ltd. ............................................. 322,218
72,865 Pretoria Portland Cement Co., Ltd. .............................. 223,913
133,127 Sanlam, Ltd. .................................................... 216,970
95,818 Steinhoff International Holdings, Ltd. .......................... 139,724
96,537 Truworths International, Ltd. ................................... 326,262
-----------
2,010,192
-----------
SOUTH KOREA - 1.48%
47 Amorepacific Corp. .............................................. 20,682
2,242 GS Engineering & Construction Corp. ............................. 105,575
1,836 Hite Brewery Co., Ltd.* ......................................... 247,115
1,141 Hite Holdings Co., Ltd. ......................................... 19,967
8,243 KB Financial Group, Inc.* ....................................... 204,327
2,509 Samsung Electronics Co., Ltd., GDR (C) .......................... 522,445
7,311 Shinhan Financial Group Co., Ltd. ............................... 183,796
13,460 Woongjin Coway Co., Ltd. ........................................ 278,645
-----------
1,582,552
-----------
SPAIN - 1.07%
97,750 Banco Santander S.A. ............................................ 1,051,923
4,640 Indra Sistemas S.A. ............................................. 90,346
-----------
1,142,269
-----------
SWEDEN - 1.74%
13,467 Duni AB ......................................................... 52,442
8,030 Elekta AB, B Shares ............................................. 100,665
5,083 Getinge AB, B Shares ............................................ 71,078
5,240 Indutrade AB .................................................... 68,289
223,260 Telefonaktiebolaget LM Ericsson, B Shares ....................... 1,567,413
-----------
1,859,887
-----------
SWITZERLAND - 12.45%
361 Acino Holding AG ................................................ 74,327
1,600 Bank Sarasin & Cie AG, Series B ................................. 47,294
418 Burckhardt Compression Holding AG ............................... 54,087
69,170 Nestle S.A. ..................................................... 2,676,935
77,485 Novartis AG ..................................................... 3,891,839
19,480 Roche Holding AG ................................................ 2,960,406
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
71
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
SWITZERLAND (CONTINUED)
3,725 Swisscom AG ..................................................... $ 1,131,082
2,311 Swissquote Group Holding S.A. ................................... 67,817
89,300 UBS AG* ......................................................... 1,512,852
4,427 Zurich Financial Services AG .................................... 889,067
-----------
13,305,706
-----------
TAIWAN - 0.60%
209,889 Advanced Semiconductor Engineering, Inc. ........................ 90,487
47,074 Advantech Co., Ltd. ............................................. 67,008
74,563 HON HAI Precision Industry Co., Ltd. ............................ 180,855
205,154 Taiwan Semiconductor Manufacturing Co., Ltd. .................... 303,559
-----------
641,909
-----------
THAILAND - 0.12%
28,000 Banpu PCL ....................................................... 132,773
-----------
TURKEY - 0.70%
16,859 Ford Otomotiv Sanayi AS ......................................... 53,566
76,923 Turkcell Iletisim Hizmet AS ..................................... 381,689
4,392 Turkcell Iletisim Hizmet AS, ADR ................................ 53,890
90,978 Turkiye Is Bankasi, Series C .................................... 258,773
-----------
747,918
-----------
UNITED KINGDOM - 22.13%
17,213 Ashmore Group PLC ............................................... 45,569
410,400 BAE Systems PLC ................................................. 2,312,573
57,100 BG Group PLC .................................................... 842,327
277,391 BP PLC .......................................................... 2,301,502
35,220 British American Tobacco PLC .................................... 971,079
5,994 Charter International PLC ....................................... 39,430
2,842 Chemring Group PLC .............................................. 73,310
85,100 Diageo PLC ...................................................... 1,307,627
4,673 Dignity PLC ..................................................... 45,078
92,720 GlaxoSmithKline PLC ............................................. 1,793,253
44,742 Hampson Industries PLC .......................................... 80,605
122,400 HSBC Holdings PLC ............................................... 1,483,303
11,317 IG Group Holdings PLC ........................................... 52,820
80,148 Imperial Tobacco Group PLC ...................................... 2,163,835
6,830 Intertek Group PLC .............................................. 81,135
11,469 Man Group PLC ................................................... 65,971
89,408 National Grid PLC ............................................... 1,019,229
683,078 Old Mutual PLC .................................................. 557,716
200,000 Prudential PLC .................................................. 1,030,798
22,800 Reckitt Benckiser Group PLC ..................................... 961,500
54,996 Sepura, Ltd. .................................................... 42,208
236,400 Tesco PLC ....................................................... 1,296,383
85,800 Unilever PLC .................................................... 1,942,085
8,127 Victrex PLC ..................................................... 75,242
1,580,492 Vodafone Group PLC .............................................. 3,056,393
-----------
23,640,971
-----------
TOTAL COMMON STOCKS
(Cost $143,157,460) ............................................. 101,465,126
COMMON STOCK UNIT - 0.03%
- --------------------------------------------------------------------------------------------------
IRELAND - 0.03%
10,773 Grafton Group PLC* .............................................. 33,162
-----------
TOTAL COMMON STOCK UNIT
(Cost $95,892) .................................................. 33,162
PREFERRED STOCKS - 0.68%
- --------------------------------------------------------------------------------------------------
BRAZIL - 0.63%
21,703 AES Tiete S.A. .................................................. 136,849
667 Cia Energetica de Minas Gerais .................................. 10,350
28,254 Cia Vale do Rio Doce ............................................ 337,449
39,500 Klabin S.A. ..................................................... 65,750
19,900 Suzano Papel e Celulose S.A. .................................... 123,515
-----------
673,913
-----------
GERMANY - 0.05%
1,502 Fuchs Petrolub AG ............................................... 52,377
-----------
TOTAL PREFERRED STOCKS
(Cost $1,183,286) ............................................... 726,290
INVESTMENT COMPANY - 3.95%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 3.95%
4,215,528 SSgA Prime Money Market Fund .................................... 4,215,528
-----------
TOTAL INVESTMENT COMPANY
(Cost $4,215,528) ............................................... 4,215,528
TOTAL INVESTMENTS - 99.62%***
- --------------------------------------------------------------------------------------------------
(Cost $148,652,166**) ......................................................... 106,440,106
NET OTHER ASSETS AND LIABILITIES - 0.38%
- --------------------------------------------------------------------------------------------------
406,001
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$106,846,107
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
72
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $150,188,854.
*** The aggregate amount of foreign securities fair valued pursuant to a
systematic fair valuation model as a percent of net assets was 76.03%.
(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.
(L) Security valued at fair value using methods determined in good faith by
or at the discrection of the Board of Trustees (see Note 1).
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
PLC Public Limited Company.
SDR Swedish Depositary Receipt.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
73
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Pharmaceuticals 10.3%
Oil, Gas & Consumable Fuels 9.9%
Food Products 6.3%
Wireless Telecommunication Services 5.9%
Commercial Banks 5.7%
Tobacco 5.2%
Diversified Telecommunication Services 4.8%
Net Other Assets & Liabilities 4.3%
Insurance 4.1%
Gas Utilities 3.7%
Electric Utilities 3.4%
Communications Equipment 3.0%
Aerospace & Defense 2.5%
Electronic Equipment & Instruments 2.3%
Electrical Equipment 2.3%
Beverages 2.2%
Real Estate Management & Development 2.1%
Capital Markets 1.7%
Construction Materials 1.6%
Food & Staples Retailing 1.5%
Road & Rail 1.3%
Metals & Mining 1.3%
Industrial Conglomerates 1.3%
Automobiles 1.2%
Commercial Services & Supplies 1.1%
Household Products 1.1%
Diversified Financial Services 1.0%
Textiles, Apparel & Luxury Goods 0.9%
Distributors 0.9%
Hotels, Restaurants & Leisure 0.9%
Office Electronics 0.9%
IT Services 0.7%
Machinery 0.4%
Construction & Engineering 0.4%
Chemicals 0.4%
Semiconductors & Semiconductor Equipment 0.4%
Transportation Infrastructure 0.4%
Household Durables 0.3%
Media 0.3%
Health Care Equipment & Supplies 0.3%
Personal Products 0.2%
Paper & Forest Products 0.2%
Specialty Retail 0.2%
Computers & Peripherals 0.2%
Energy Equipment & Services 0.2%
Air Freight & Logistics 0.1%
Auto Components 0.1%
Multiline Retail 0.1%
Marine 0.1%
Software 0.1%
Health Care Technology 0.1%
Leisure Equipment & Products 0.1%
Multi-Utilities* 0.0%
Building Products* 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.
- --------------------------------------------------------------------------------
74
================================================================================
- --------------------------------------------------------------------------------
This page is left blank intentionally
- --------------------------------------------------------------------------------
75
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2008
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
==================================================================================================================================
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $12,222,616 $ 35,470,771 $12,747,688
Affiliated issuers(4) 21,216,519 57,951,482 18,314,565
Net unrealized appreciation (depreciation)
Unaffiliated issuers (2,261,273) (8,730,271) (4,111,155)
Affiliated issuers(4) (3,755,867) (14,571,723) (5,700,617)
-------------------------------------------------
Total investments at value 27,421,995 70,120,259 21,250,481
Receivables:
Investments sold - - 31,956
Fund shares sold 99,070 231,191 29,713
Dividends and interest 285 425 311
Due from Adviser, net 5,354 2,588 12,908
Prepaid insurance and registration fees 10,570 15,232 12,137
Deferred offering costs 5,091 5,091 5,091
-------------------------------------------------
Total Assets 27,542,365 70,374,786 21,342,597
-------------------------------------------------
LIABILITIES:
Payables:
Investments purchased 50,386 23,316 -
Fund shares repurchased - 84,005 51,712
Administration and transfer agent fees 9,217 18,231 13,628
Distribution fees - Class B 3,555 11,435 3,935
Distribution fees - Class C 1,370 1,386 134
Shareholder servicing fees 5,926 15,164 4,581
Trustees' fees 255 776 254
Accrued expenses and other payables 14,239 17,437 13,973
-------------------------------------------------
Total Liabilities 84,948 171,750 88,217
-------------------------------------------------
NET ASSETS $27,457,417 $ 70,203,036 $21,254,380
=================================================
NET ASSETS CONSIST OF:
Paid-in capital $34,305,780 $ 98,437,128 $33,128,126
Accumulated undistributed (distribution in excess of) net investment income 541,525 557,239 -
Accumulated net realized gain (loss) on investments sold
and foreign currency related transactions (1,372,748) (5,489,337) (2,061,974)
Net unrealized depreciation of investments (including appreciation
(depreciation) of foreign currency related transactions) (6,017,140) (23,301,994) (9,811,772)
-------------------------------------------------
NET ASSETS $27,457,417 $ 70,203,036 $21,254,380
=================================================
CLASS A SHARES:
Net Assets $19,753,310 $ 50,325,869 $14,975,046
Shares of beneficial interest outstanding 2,316,486 6,415,095 2,090,621
NET ASSET VALUE and redemption price per share(1) $ 8.53 $ 7.84 $ 7.16
Sales charge of offering price(2) 0.52 0.48 0.44
Maximum offering price per share $ 9.05 $ 8.32 $ 7.60
=================================================
CLASS B SHARES:
Net Assets $ 5,506,546 $ 17,727,952 $ 6,050,018
Shares of beneficial interest outstanding 649,198 2,273,758 849,844
NET ASSET VALUE and redemption price per share(1) $ 8.48 $ 7.80 $ 7.12
=================================================
CLASS C SHARES(3):
Net Assets $ 2,197,561 $ 2,149,215 $ 229,316
Shares of beneficial interest outstanding 258,998 275,453 32,192
NET ASSET VALUE and redemption price per share(1) $ 8.48 $ 7.80 $ 7.12
=================================================
- -------------------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) Sales charge of offering price is 5.75% for the Conservative Allocation,
Moderate Allocation, Aggressive Allocation Funds.
(3) Class C shares commenced investment operations on February 29, 2008.
(4) See Note 10 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
76
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2008
- --------------------------------------------------------------------------------
CASH HIGH
RESERVES INCOME
FUND BOND FUND FUND
==================================================================================================================================
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $20,047,610 $164,085,963 $ 68,790,326
Net unrealized appreciation (depreciation)
Unaffiliated issuers - (5,854,638) (12,542,610)
-------------------------------------------------
Total investments at value 20,047,610 158,231,325 56,247,716
Receivables:
Investments sold - - 257,709
Fund shares sold 17,544 402,239 138,895
Dividends and interest 8,709 1,415,550 1,393,299
Prepaid insurance and registration fees 17,306 20,466 18,594
Other assets - 25,156 1,168
-------------------------------------------------
Total Assets 20,091,169 160,094,736 58,057,381
-------------------------------------------------
LIABILITIES:
Payable to custodian 325 8,830 47,991
Payables:
Investments purchased - 994,380 946,961
Fund shares repurchased 77,731 93,753 216,998
Due to Adviser, net 450 61,590 21,177
Administration and transfer agent fees 3,894 23,984 12,646
Distribution fees - Class B 2,746 10,554 4,015
Shareholder servicing fees - 11,681 5,288
Trustees' fees 166 1,233 677
Accrued expenses and other payables 11,937 23,088 23,875
-------------------------------------------------
Total Liabilities 97,249 1,229,093 1,279,628
-------------------------------------------------
NET ASSETS $19,993,920 $158,865,643 $ 56,777,753
=================================================
NET ASSETS CONSIST OF:
Paid-in capital $19,993,920 $165,291,871 $ 78,797,680
Accumulated undistributed (distribution in excess of) net investment income - 5 59,973
Accumulated net realized gain (loss) on investments sold
and foreign currency related transactions - (571,595) (9,537,290)
Net unrealized depreciation of investments (including appreciation
(depreciation) of foreign currency related transactions) - (5,854,638) (12,542,610)
-------------------------------------------------
NET ASSETS $19,993,920 $158,865,643 $ 56,777,753
=================================================
CLASS A SHARES:
Net Assets $15,339,078 $ 37,881,808 $ 17,817,474
Shares of beneficial interest outstanding 15,341,319 3,997,801 3,200,221
NET ASSET VALUE and redemption price per share(1) $ 1.00 $ 9.48 $ 5.57
Sales charge of offering price(2) - 0.45 0.26
Maximum offering price per share $ 1.00 $ 9.93 $ 5.83
=================================================
CLASS B SHARES:
Net Assets $ 4,654,842 $ 15,941,075 $ 5,833,075
Shares of beneficial interest outstanding 4,656,965 1,681,767 1,035,819
NET ASSET VALUE and redemption price per share(1) $ 1.00 $ 9.48 $ 5.63
=================================================
CLASS Y SHARES(3):
Net Assets $105,042,760 $ 33,127,204
Shares of beneficial interest outstanding 11,090,778 5,959,658
NET ASSET VALUE and redemption price per share(1) $ 9.47 $ 5.56
=================================================
- -------------------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) There is a maximum sales charge of 4.50% on the purchase of shares of the
Bond and High Income Funds.
(3) Class Y shares are not available for the Cash Reserves Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
77
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2008
- --------------------------------------------------------------------------------
DIVERSIFIED LARGE CAP
INCOME FUND VALUE FUND
==================================================================================================================================
ASSETS:
Investments:
Investments at cost
Unaffiliated issuers $111,996,331 $152,737,222
Net unrealized appreciation (depreciation)
Unaffiliated issuers (14,484,730) (25,017,469)
-------------------------------
Total investments at value 97,511,601 127,719,753
Cash - -
Foreign currency (cost of $74,789)(Note 2) - -
Receivables:
Investments sold 510,920 -
Fund shares sold 3,048 209,802
Dividends and interest 758,454 264,475
Prepaid insurance and registration fees 22,633 22,753
Other assets 2,913 2,661
-------------------------------
Total Assets 98,809,569 128,219,444
-------------------------------
LIABILITIES:
Payable to custodian 2,038 -
Payables:
Investments purchased 320,380 -
Fund shares repurchased 95,349 164,739
Due to Adviser, net 36,103 60,009
Administration and transfer agent fees 39,225 47,971
Distribution fees - Class B 18,432 9,826
Shareholder servicing fees 24,709 15,727
Trustees' fees 1,195 1,566
Accrued expenses and other payables 21,546 23,975
-------------------------------
Total Liabilities 558,977 323,813
-------------------------------
NET ASSETS $ 98,250,592 $127,895,631
===============================
NET ASSETS CONSIST OF:
Paid-in capital $116,323,005 $161,174,710
Accumulated undistributed (distribution in excess of) net investment income 310,574 2,275,325
Accumulated net realized gain (loss) on investments sold, futures
and foreign currency related transactions (3,898,257) (10,536,935)
Net unrealized depreciation of investments (including appreciation
(depreciation) of foreign currency related transactions) (14,484,730) (25,017,469)
-------------------------------
NET ASSETS $ 98,250,592 $127,895,631
===============================
CLASS A SHARES:
Net Assets $ 70,094,503 $ 58,074,370
Shares of beneficial interest outstanding 7,068,258 5,476,578
NET ASSET VALUE and redemption price per share(1) $ 9.92 $ 10.60
Sales charge of offering price(2) 0.61 0.65
Maximum offering price per share $ 10.53 $ 11.25
===============================
CLASS B SHARES:
Net Assets $ 28,156,089 $ 14,993,037
Shares of beneficial interest outstanding 2,825,608 1,439,509
NET ASSET VALUE and redemption price per share(1) $ 9.96 $ 10.42
===============================
CLASS Y SHARES(3):
Net Assets $ 54,828,224
Shares of beneficial interest outstanding 5,164,174
NET ASSET VALUE and redemption price per share(1) $ 10.62
===============================
- -------------------------------------------------
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) Sales charge of offering price is 5.75% for the Diversified Income, Large
Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value,
Small Cap Growth, and International Stock Funds.
(3) Class Y shares are not available for the Diversified Income Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
78
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP MID CAP MID CAP SMALL CAP SMALL CAP INTERNATIONAL
GROWTH FUND VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND STOCK FUND
==============================================================================================
$151,578,211 $ 42,525,487 $ 52,448,598 $18,599,034 $18,225,978 $148,652,166
(29,225,288) (11,380,870) (15,209,085) (4,458,935) (5,051,324) (42,212,060)
- ----------------------------------------------------------------------------------------------
122,352,923 31,144,617 37,239,513 14,140,099 13,174,654 106,440,106
- - 29,104 - - -
- - - - - 74,597
1,891,958 97,765 633,064 65,985 - 580,709
332,476 4,629 77,954 217,640 47,376 315,449
84,698 39,819 24,031 14,417 2,479 252,808
22,055 7,647 9,252 11,792 10,605 20,638
2,264 2,347 3,219 - - 16,662
- ----------------------------------------------------------------------------------------------
124,686,374 31,296,824 38,016,137 14,449,933 13,235,114 107,700,969
- ----------------------------------------------------------------------------------------------
- - - - - 64
2,048,731 - 1,007,481 - - 552,492
164,313 40,559 154,838 18,038 83,046 119,811
60,814 15,213 23,136 5,200 3,425 80,735
44,362 22,021 21,457 6,118 6,463 25,068
8,770 5,555 3,302 42 36 4,141
11,090 6,100 4,270 180 65 5,554
1,575 522 706 203 250 1,183
26,215 19,995 19,482 17,040 18,134 65,814
- ----------------------------------------------------------------------------------------------
2,365,870 109,965 1,234,672 46,821 111,419 854,862
- ----------------------------------------------------------------------------------------------
$122,320,504 $ 31,186,859 $ 36,781,465 $14,403,112 $13,123,695 $106,846,107
==============================================================================================
$170,422,942 $ 48,540,091 $ 62,236,080 $20,486,124 $22,460,510 $145,731,740
336,379 236,254 - 86,221 - 2,029,577
(19,213,529) (6,208,616) (10,245,530) (1,710,298) (4,285,491) 1,300,607
(29,225,288) (11,380,870) (15,209,085) (4,458,935) (5,051,324) (42,215,817)
- ----------------------------------------------------------------------------------------------
$122,320,504 $ 31,186,859 $ 36,781,465 $14,403,112 $13,123,695 $106,846,107
==============================================================================================
$ 38,537,631 $ 19,549,354 $ 14,241,235 $ 883,445 $ 242,826 $ 19,039,922
3,481,239 2,549,196 3,486,279 121,152 38,845 2,248,047
$ 11.07 $ 7.67 $ 4.08 $ 7.29 $ 6.25 $ 8.47
0.68 0.47 0.25 0.44 0.38 0.52
$ 11.75 $ 8.14 $ 4.33 $ 7.73 $ 6.63 $ 8.99
==============================================================================================
$ 13,580,054 $ 8,448,004 $ 4,890,718 $ 66,761 $ 38,106 $ 6,237,115
1,318,926 1,167,672 1,277,885 9,221 6,185 749,070
$ 10.30 $ 7.23 $ 3.83 $ 7.24 $ 6.16 $ 8.33
==============================================================================================
$ 70,202,819 $ 3,189,501 $ 17,649,512 $13,452,906 $12,842,763 $ 81,569,070
6,302,394 410,371 4,292,204 1,840,975 2,046,185 9,619,843
$ 11.14 $ 7.77 $ 4.11 $ 7.31 $ 6.28 $ 8.48
==============================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
79
================================================================================
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2008
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
=====================================================================================================================
INVESTMENT INCOME:
Interest $ 5,318 $ 3,160 $ 2,305
Dividends
Unaffiliated issuers 477,205 736,484 69,126
Affiliated issuers(1) 447,836 981,759 131,553
-----------------------------------------
Total investment income 930,359 1,721,403 202,984
-----------------------------------------
EXPENSES:
Management fees 54,734 163,842 53,334
Administration and transfer agent fees 92,284 148,534 118,644
Registration expenses 38,860 47,647 33,733
Custodian and accounting fees 26,539 28,211 28,036
Professional fees 19,099 23,766 19,454
Reports to shareholder expense 3,181 9,935 3,429
Trustees' fees 2,885 9,526 3,137
Distribution fees - Class B 42,675 159,186 57,010
Distribution fees - Class C(2) 8,247 8,071 1,095
Shareholder servicing fees - Class A 51,458 149,065 47,304
Shareholder servicing fees - Class B 14,225 53,062 19,003
Shareholder servicing fees - Class C(2) 2,745 2,684 364
Compliance expense 3,870 3,870 3,870
Amortization of offering costs 8,354 8,354 8,354
Other expenses 1,518 2,977 1,582
-----------------------------------------
Total expenses before reimbursement/waiver 370,674 818,730 398,349
Less reimbursement/waiver (128,776) (80,212) (154,470)
-----------------------------------------
Total expenses net of reimbursement/waiver 241,898 738,518 243,879
-----------------------------------------
NET INVESTMENT INCOME (LOSS) 688,461 982,885 (40,895)
-----------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized loss on investments (including net realized gain
(loss) on foreign currency related transactions)
Unaffiliated issuers (967,768) (4,401,619) (1,546,547)
Affiliated issuers(1) (723,398) (2,491,121) (1,207,882)
Capital gain distributions received from underlying funds
Unaffiliated issuers 213,362 534,977 152,845
Affiliated issuers(1) 166,950 1,230,849 769,876
Net change in unrealized depreciation on investments
(including net unrealized appreciation (depreciation) on
foreign currency related transactions) (6,508,819) (27,654,200) (12,109,445)
-----------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (7,819,673) (32,781,114) (13,941,153)
-----------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $(7,131,212) $(31,798,229) $(13,982,048)
=========================================
- --------------------------------------
(1) See Note 10 for information on affiliated issuers.
(2) Class C shares commenced investment operations on February 29, 2008.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
80
================================================================================
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2008
- --------------------------------------------------------------------------------
CASH HIGH
RESERVES INCOME
FUND BOND FUND FUND
======================================================================================================================
INVESTMENT INCOME:
Interest(1) $466,703 $ 6,363,415 $ 5,494,006
Securities lending income - 237,747 59,336
------------------------------------------
Total investment income 466,703 6,601,162 5,553,342
------------------------------------------
EXPENSES:
Management fees 69,411 671,199 392,802
Administration and transfer agent fees 36,339 206,274 122,537
Registration expenses 26,997 31,232 27,314
Custodian and accounting fees 16,268 42,839 38,071
Professional fees 15,839 29,532 28,644
Reports to shareholder expense 2,186 15,557 8,712
Trustees' fees 2,053 15,363 8,749
Distribution fees - Class B 25,999 164,157 69,791
Shareholder servicing fees - Class A - 117,728 76,096
Shareholder servicing fees - Class B - 54,719 23,219
Compliance expense 5,960 5,960 5,960
Other expenses 1,659 5,989 3,859
------------------------------------------
Total expenses before reimbursement/waiver 202,711 1,360,549 805,754
Less reimbursement/waiver (81,270) (149,975) (100,940)
------------------------------------------
Total expenses net of reimbursement/waiver 121,441 1,210,574 704,814
------------------------------------------
NET INVESTMENT INCOME 345,262 5,390,588 4,848,528
------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments (including net realized gain
(loss) on foreign currency related transactions)
Unaffiliated issuers 4,965 624,098 (4,598,445)
Net change in unrealized depreciation on investments
(including net unrealized appreciation (depreciation) on
foreign currency related transactions) - (5,684,534) (12,227,122)
------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 4,965 (5,060,436) (16,825,567)
------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $350,227 $ 330,152 $(11,977,039)
==========================================
- --------------------------------------
(1) Net of foreign taxes withheld of $11,241 for the High Income Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
81
================================================================================
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2008
- --------------------------------------------------------------------------------
DIVERSIFIED LARGE CAP
INCOME FUND VALUE FUND
=====================================================================================================================
INVESTMENT INCOME:
Interest $ 3,909,430 $ 106,611
Dividends
Unaffiliated issuers 2,291,540 4,744,648
Less: Foreign taxes withheld - (2,813)
Securities lending income 96,793 92,980
-----------------------------
Total investment income 6,297,763 4,941,426
-----------------------------
EXPENSES:
Management fees 813,679 903,472
Administration and transfer agent fees 336,887 413,375
Registration expenses 30,191 31,959
Custodian and accounting fees 36,938 47,387
Professional fees 31,815 35,890
Reports to shareholder expense 15,640 20,602
Trustees' fees 16,510 21,614
Distribution fees - Class B 318,107 209,274
Shareholder servicing fees - Class A 206,918 220,012
Shareholder servicing fees - Class B 106,036 69,758
Compliance expense 5,960 5,960
Amortization of offering costs - -
Other expenses 7,877 9,666
-----------------------------
Total expenses before reimbursement/waiver 1,926,558 1,988,969
Less reimbursement/waiver (231,423) -
-----------------------------
Total expenses net of reimbursement/waiver 1,695,135 1,988,969
-----------------------------
NET INVESTMENT INCOME (LOSS) 4,602,628 2,952,457
-----------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments and futures (including net realized gain
(loss) on foreign currency related transactions)(1)
Unaffiliated issuers (3,745,402) (9,823,899)
Net change in unrealized depreciation on investments
(including net unrealized appreciation (depreciation) on foreign
currency related transactions)(2) (20,987,228) (65,248,186)
-----------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (24,732,630) (75,072,085)
-----------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $(20,130,002) $(72,119,628)
=============================
- -------------------------------------------------
(1) Includes foreign capital gains taxes paid of $16,973 for the International
Stock Fund.
(2) Net of deferred foreign capital gains taxes of $770 for the International
Stock Fund.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
82
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP MID CAP MID CAP SMALL CAP SMALL CAP INTERNATIONAL
GROWTH FUND VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND STOCK FUND
==============================================================================================
$ 67,404 $ 33,595 $ 57,164 $ 32,366 $ 31,200 $ 170,675
- ----------------------------------------------------------------------------------------------
2,127,139 1,270,367 390,362 400,716 184,606 4,418,459
(1,298) - (1,303) (67) - (373,941)
106,966 92,753 173,478 - - 154,031
- ----------------------------------------------------------------------------------------------
2,300,211 1,396,715 619,701 433,015 215,806 4,369,224
- ----------------------------------------------------------------------------------------------
1,238,644 511,593 543,410 211,065 250,627 1,315,045
394,975 195,490 189,239 65,399 67,684 219,075
32,279 30,314 30,034 22,281 24,338 29,342
48,243 44,395 43,550 28,994 36,205 461,118
32,760 25,062 24,957 21,225 21,485 37,451
19,974 7,423 9,198 2,753 3,336 14,965
19,617 7,716 9,125 2,621 3,065 14,958
189,201 117,697 71,994 1,146 1,041 86,543
140,351 75,396 61,879 10,962 9,765 90,544
63,067 39,232 23,998 382 347 28,848
5,960 5,960 5,960 5,387 5,387 5,960
- - - 1,564 1,564 -
7,242 4,212 4,069 458 557 6,043
- ----------------------------------------------------------------------------------------------
2,192,313 1,064,490 1,017,413 374,237 425,401 2,309,892
(231,136) (213,513) (26,486) (98,515) (101,271) (413,679)
- ----------------------------------------------------------------------------------------------
1,961,177 850,977 990,927 275,722 324,130 1,896,213
- ----------------------------------------------------------------------------------------------
339,034 545,738 (371,226) 157,293 (108,324) 2,473,011
- ----------------------------------------------------------------------------------------------
(17,320,713) (6,255,171) (9,479,633) (1,740,564) (4,245,236) 1,434,590
(50,815,871) (18,091,854) (23,793,516) (4,253,182) (6,697,805) (66,782,961)
- ----------------------------------------------------------------------------------------------
(68,136,584) (24,347,025) (33,273,149) (5,993,746) (10,943,041) (65,348,371)
- ----------------------------------------------------------------------------------------------
$(67,797,550) $(23,801,287) $(33,644,375) $(5,836,453) $(11,051,365) $(62,875,360)
==============================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
83
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
==============================
FOR THE YEAR ENDED OCTOBER 31, 2008 2007
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $20,175,979 $ 3,652,901
------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 688,461 329,238
Net realized gain (loss) (1,310,854) 42,653
Net change in unrealized appreciation (depreciation) (6,508,819) 404,421
------------------------------
Net increase (decrease) in net assets from operations (7,131,212) 776,312
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (399,196) (51,399)
Class B (77,260) (8,831)
Net realized gains
Class A (49,980) (2,755)
Class B (13,959) (722)
------------------------------
(540,395) (63,707)
TOTAL DISTRIBUTIONS
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 15,611,812 13,474,311
Issued to shareholders in reinvestment of distributions 444,548 53,996
Shares redeemed (6,646,140) (1,128,574)
Redemption fees - -
------------------------------
Net increase from capital stock transactions 9,410,220 12,399,733
------------------------------
CLASS B SHARES
Shares sold 4,473,474 4,004,246
Issued to shareholders in reinvestment of distributions 89,168 9,473
Shares redeemed (1,688,492) (602,979)
Redemption fees - -
------------------------------
Net increase from capital stock transactions 2,874,150 3,410,740
------------------------------
CLASS C SHARES(1)
Shares sold 2,945,126 -
Issued to shareholders in reinvestment of distributions - -
Shares redeemed (276,451) -
Redemption fees - -
------------------------------
Net increase from capital stock transactions 2,668,675 -
------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 7,281,438 16,523,078
------------------------------
NET ASSETS AT END OF PERIOD $27,457,417 $20,175,979
==============================
Undistributed (distribution in excess of) net investment income $ 541,525 $ 297,219
==============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 1,506,343 1,248,402
Issued to shareholders in reinvestment of distributions 41,781 5,105
Shares redeemed (669,741) (103,385)
------------------------------
Net increase from capital share transactions 878,383 1,150,122
------------------------------
CLASS B SHARES
Shares sold 436,991 372,604
Issued to shareholders in reinvestment of distributions 8,372 895
Shares redeemed (173,117) (55,711)
------------------------------
Net Increase From Capital Share Transactions 272,246 317,788
------------------------------
CLASS C SHARES(1)
Shares sold 288,170 -
Issued to shareholders in reinvestment of distributions - -
Shares redeemed (29,172) -
------------------------------
Net increase from capital share transactions 258,998 -
==============================
- --------------------------------------
(1) Class C shares commenced investment operations on February 29, 2008.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
84
================================================================================
- --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND AGGRESSIVE ALLOCATION FUND
============================== ==================================
2008 2007 2008 2007
===========================================================================
$ 76,137,458 $ 12,050,789 $ 26,058,356 $ 3,839,277
- ---------------------------------------------------------------------------
982,885 540,030 (40,895) (75,146)
(5,126,914) 423,717 (1,831,708) 272,405
(27,654,200) 3,974,446 (12,109,445) 2,103,640
- ---------------------------------------------------------------------------
(31,798,229) 4,938,193 (13,982,048) 2,300,899
- ---------------------------------------------------------------------------
(878,404) (181,906) (205,602) (59,585)
(161,220) (40,991) (26,790) (16,067)
(377,095) (2,871) (151,810) -
(135,542) (1,005) (60,949) -
- ---------------------------------------------------------------------------
(1,552,261) (226,773) (445,151) (75,652)
35,265,296 48,015,621 11,668,989 15,561,209
1,249,257 182,707 357,240 59,544
(18,328,636) (4,145,538) (5,648,103) (1,083,829)
- 36 - 337
- ---------------------------------------------------------------------------
18,185,917 44,052,826 6,378,126 14,537,261
- ---------------------------------------------------------------------------
10,912,216 17,270,965 4,238,934 5,882,184
294,553 41,397 87,324 15,850
(4,891,467) (1,989,939) (1,409,196) (441,463)
- - - -
- ---------------------------------------------------------------------------
6,315,302 15,322,423 2,917,062 5,456,571
- ---------------------------------------------------------------------------
3,234,664 - 457,990 -
- - - -
(319,815) - (129,955) -
- - - -
- ---------------------------------------------------------------------------
2,914,849 - 328,035 -
- ---------------------------------------------------------------------------
(5,934,422) 64,086,669 (4,803,976) 22,219,079
- ---------------------------------------------------------------------------
$ 70,203,036 $ 76,137,458 $ 21,254,380 $ 26,058,356
===========================================================================
$ 557,239 $ 420,535 $ - $ -
===========================================================================
3,363,454 4,291,256 1,108,171 1,340,392
111,940 16,867 30,559 5,384
(1,825,199) (366,086) (549,883) (92,598)
- ---------------------------------------------------------------------------
1,650,195 3,942,037 588,847 1,253,178
- ---------------------------------------------------------------------------
1,049,059 1,551,655 403,281 507,991
26,370 3,821 7,470 1,432
(489,243) (177,429) (141,655) (37,025)
- ---------------------------------------------------------------------------
586,186 1,378,047 269,096 472,398
- ---------------------------------------------------------------------------
309,434 - 45,361 -
- - - -
(33,981) - (13,169) -
- ---------------------------------------------------------------------------
275,453 - 32,192 -
===========================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
85
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES FUND
===============================
FOR THE YEAR ENDED OCTOBER 31, 2008 2007
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $ 15,273,440 $ 17,976,511
-------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income 345,262 834,115
Net realized gain (loss) 4,965 170
Net change in unrealized depreciation - -
-------------------------------
Net increase (decrease) in net assets from operations 350,227 834,285
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (303,598) (507,500)
Class B (46,606) (134,775)
Class Y(1) - (191,935)
Net realized gains
Class A (125) -
Class B (27) -
Return of Capital
Class A - -
Class B - -
Class Y(1) - -
-------------------------------
(350,356) (834,210)
TOTAL DISTRIBUTIONS
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 15,638,721 7,792,344
Issued to shareholders in reinvestment of distributions 293,901 491,133
Shares redeemed (13,087,180) (6,779,116)
Redemption fees - -
-------------------------------
Net increase (decrease) from capital stock transactions 2,845,442 1,504,361
-------------------------------
CLASS B SHARES
Shares sold 5,279,879 1,190,341
Issued to shareholders in reinvestment of distributions 44,083 125,452
Shares redeemed (3,448,795) (2,777,852)
Redemption fees - -
------------------------------
Net increase (decrease) from capital stock transactions 1,875,167 (1,462,059)
------------------------------
CLASS Y SHARES(1)
Shares sold - 9,720,899
Issued to shareholders in reinvestment of distributions - 177,892
Shares redeemed - (12,644,239)
Redemption fees - -
-------------------------------
Net increase (decrease) from capital stock transactions - (2,745,448)
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,720,480 (2,703,071)
-------------------------------
NET ASSETS AT END OF PERIOD $ 19,993,920 $ 15,273,440
===============================
Undistributed (distribution in excess of) net investment income $ - $ (103)
===============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 15,638,721 7,771,788
Issued to shareholders in reinvestment of distributions 293,901 491,133
Shares redeemed (13,087,180) (6,779,116)
-------------------------------
Net increase (decrease) from capital share transactions 2,845,442 1,483,805
-------------------------------
CLASS B SHARES
Shares sold 5,279,879 1,177,901
Issued to shareholders in reinvestment of distributions 44,083 125,452
Shares redeemed (3,448,795) (2,777,852)
-------------------------------
Net increase (decrease) from capital share transactions 1,875,167 (1,474,499)
-------------------------------
CLASS Y SHARES(1)
Shares sold - 9,720,899
Issued to shareholders in reinvestment of distributions - 177,892
Shares redeemed - (12,644,239)
-------------------------------
Net increase (decrease) from capital share transactions - (2,745,448)
===============================
- --------------------------------
(1) Class Y shares are not available for the Cash Reserves and Diversified
Income Funds.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
86
================================================================================
- --------------------------------------------------------------------------------
BOND FUND HIGH INCOME FUND DIVERSIFIED INCOME FUND
================================ ================================= =============================
2008 2007 2008 2007 2008 2007
==================================================================================================================
$116,319,967 $103,020,128 $ 68,980,447 $ 56,016,602 $147,834,569 $171,824,889
- ------------------------------------------------------------------------------------------------------------------
5,390,588 4,510,107 4,848,528 4,372,552 4,602,628 5,496,618
624,098 (745,391) (4,598,445) (105,282) (3,745,402) 10,824,517
(5,684,534) (266,794) (12,227,122) (676,625) (20,987,228) (7,526,200)
- ------------------------------------------------------------------------------------------------------------------
330,152 3,497,922 (11,977,039) 3,590,645 (20,130,002) 8,794,935
- ------------------------------------------------------------------------------------------------------------------
(1,896,994) (2,111,989) (2,322,208) (2,607,240) (3,364,864) (3,423,453)
(715,960) (975,176) (560,090) (930,535) (1,207,464) (2,057,792)
(2,751,642) (630,958) (2,742,238) (832,780) - -
- - - - (6,854,069) (1,608,464)
- - - - (4,074,977) (1,343,805)
- (367,255) - - - -
- (176,919) - - - -
- (227,665) - - - -
- ------------------------------------------------------------------------------------------------------------------
(5,364,596) (4,489,962) (5,624,536) (4,370,555) (15,501,374) (8,433,514)
10,394,745 12,124,570 3,558,947 9,684,345 15,917,465 18,704,073
1,768,098 2,392,663 1,974,564 2,093,408 10,047,835 4,948,390
(28,507,600) (18,264,489) (16,819,361) (12,085,886) (22,432,868) (24,966,159)
- 31 - 121 - 473
- ------------------------------------------------------------------------------------------------------------------
(16,344,757) (3,747,225) (11,285,850) (308,012) 3,532,432 (1,313,223)
- ------------------------------------------------------------------------------------------------------------------
1,593,685 825,558 330,561 430,166 1,418,958 2,266,808
656,046 1,049,574 461,391 778,093 5,200,379 3,337,211
(12,342,849) (12,204,406) (5,189,553) (5,975,944) (24,104,370) (28,642,537)
- - - - - -
- ------------------------------------------------------------------------------------------------------------------
(10,093,118) (10,329,274) (4,397,601) (4,767,685) (17,485,033) (23,038,518)
- ------------------------------------------------------------------------------------------------------------------
79,997,820 32,727,058 29,114,432 18,609,660 - -
2,751,681 858,685 2,742,238 832,780 - -
(8,731,506) (5,217,365) (10,774,338) (622,988) - -
- - - - - -
- ------------------------------------------------------------------------------------------------------------------
74,017,995 28,368,378 21,082,332 18,819,452 - -
- ------------------------------------------------------------------------------------------------------------------
42,545,676 13,299,839 (12,202,694) 12,963,845 (49,583,977) (23,990,320)
- ------------------------------------------------------------------------------------------------------------------
$158,865,643 $116,319,967 $ 56,777,753 $68,980,447 $ 98,250,592 $147,834,569
==================================================================================================================
$ 5 $ (140) $ 59,973 $ 162,067 $ 310,574 $ -
==================================================================================================================
1,058,004 1,255,158 518,275 1,300,185 1,378,193 1,416,600
179,862 244,847 291,267 283,698 854,496 375,291
(2,892,596) (1,884,192) (2,494,034) (1,629,326) (1,981,722) (1,892,561)
- ------------------------------------------------------------------------------------------------------------------
(1,654,730) (384,187) (1,684,492) (45,443) 250,967 (100,670)
- ------------------------------------------------------------------------------------------------------------------
161,874 84,111 47,766 57,300 122,707 171,863
66,715 107,311 67,970 104,872 437,633 252,769
(1,256,678) (1,248,856) (754,578) (802,602) (2,080,560) (2,168,918)
- ------------------------------------------------------------------------------------------------------------------
(1,028,089) (1,057,434) (638,842) (640,430) (1,520,220) (1,744,286)
- ------------------------------------------------------------------------------------------------------------------
8,163,090 3,357,035 4,239,511 2,506,426 - -
281,914 88,162 411,895 113,434 - -
(888,752) (532,542) (1,586,155) (83,490) - -
- ------------------------------------------------------------------------------------------------------------------
7,556,252 2,912,655 3,065,251 2,536,370 - -
==================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
87
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
===============================
FOR THE YEAR ENDED OCTOBER 31, 2008 2007
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $207,452,538 $183,376,048
-------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 2,952,457 2,258,616
Net realized gain (loss) (9,823,899) 15,894,676
Net change in unrealized appreciation (depreciation) (65,248,186) 1,540,285
-------------------------------
Net increase (decrease) in net assets from operations (72,119,628) 19,693,577
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (1,320,422) (1,683,244)
Class B (174,455) (427,319)
Class Y (758,013) (194,702)
Net realized gains
Class A (660,475) -
Class B (233,526) -
Class Y (313,669) -
-------------------------------
(3,460,560) (2,305,265)
TOTAL DISTRIBUTIONS
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 13,194,066 26,960,207
Issued to shareholders in reinvestment of distributions 1,958,639 1,665,527
Shares redeemed (34,236,926) (36,223,992)
Redemption fees - 384
-------------------------------
Net increase (decrease) from capital stock transactions (19,084,221) (7,597,874)
-------------------------------
CLASS B SHARES
Shares sold 995,506 2,060,546
Issued to shareholders in reinvestment of distributions 402,492 417,342
Shares redeemed (17,723,909) (27,155,487)
Redemption fees - -
-------------------------------
Net decrease from capital stock transactions (16,325,911) (24,677,599)
-------------------------------
CLASS Y SHARES
Shares sold 60,649,483 41,005,737
Issued to shareholders in reinvestment of distributions 1,071,682 194,702
Shares redeemed (30,287,752) (2,236,788)
Redemption fees - -
-------------------------------
Net increase (decrease) from capital stock transactions 31,433,413 38,963,651
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (79,556,907) 24,076,490
-------------------------------
NET ASSETS AT END OF PERIOD $127,895,631 $207,452,538
===============================
Undistributed (distribution in excess of) net investment income $ 2,275,325 $ 1,632,391
===============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 911,422 1,634,836
Issued to shareholders in reinvestment of distributions 122,876 104,031
Shares redeemed (2,440,255) (2,189,918)
------------------------------
Net increase (decrease) from capital share transactions (1,405,957) (451,051)
------------------------------
CLASS B SHARES
Shares sold 71,453 128,213
Issued to shareholders in reinvestment of distributions 25,539 26,364
Shares redeemed (1,255,090) (1,686,332)
------------------------------
Net decrease from capital share transactions (1,158,098) (1,531,755)
------------------------------
CLASS Y SHARES
Shares sold 4,309,888 2,494,353
Issued to shareholders in reinvestment of distributions 67,274 12,176
Shares redeemed (2,045,540) (136,915)
------------------------------
Net increase (decrease) from capital share transactions 2,331,622 2,369,614
==============================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
88
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND MID CAP VALUE FUND MID CAP GROWTH FUND
================================ ================================= =============================
2008 2007 2008 2007 2008 2007
==================================================================================================================
$157,211,269 $119,129,652 $ 80,535,127 $ 64,708,039 $ 79,687,951 $ 57,482,606
- ------------------------------------------------------------------------------------------------------------------
339,034 (256,659) 545,738 385,476 (371,226) (651,975)
(17,320,713) 9,407,200 (6,255,171) 7,771,340 (9,479,633) 7,143,170
(50,815,871) 13,584,853 (18,091,854) (2,038,673) (23,793,516) 4,635,111
- ------------------------------------------------------------------------------------------------------------------
(67,797,550) 22,735,394 (23,801,287) 6,118,143 (33,644,375) 11,126,306
- ------------------------------------------------------------------------------------------------------------------
- - (156,311) (225,891) - -
- - - - - -
- - (134,542) (58,245) - -
- - (3,770,988) (6,548,150) (228,134) -
- - (2,115,277) (4,744,286) (94,788) -
- - (2,032,161) (1,122,905) (254,772) -
- ------------------------------------------------------------------------------------------------------------------
- - (8,209,279) (12,699,477) (577,694) -
13,364,526 13,046,575 5,135,953 13,144,708 3,723,794 6,829,470
- - 3,870,252 6,652,422 225,949 -
(19,439,625) (21,028,231) (11,702,810) (11,010,334) (9,851,778) (13,222,614)
- (52) - 58 - 241
- ------------------------------------------------------------------------------------------------------------------
(6,075,099) (7,981,708) (2,696,605) 8,786,854 (5,902,035) (6,392,903)
- ------------------------------------------------------------------------------------------------------------------
1,519,308 1,532,860 522,392 1,328,283 494,605 803,608
- - 2,080,810 4,640,283 93,382 -
(14,275,116) (15,471,513) (7,373,728) (6,392,245) (4,390,443) (5,476,863)
- - - - - -
- ------------------------------------------------------------------------------------------------------------------
(12,755,808) (13,938,653) (4,770,526) (423,679) (3,802,456) (4,673,255)
- ------------------------------------------------------------------------------------------------------------------
76,318,986 44,290,169 9,066,917 17,152,636 29,331,036 28,518,000
- - 2,166,703 1,181,150 254,772 -
(24,581,294) (7,023,585) (21,104,191) (4,288,539) (28,565,734) (6,372,803)
- - - - - -
- ------------------------------------------------------------------------------------------------------------------
51,737,692 37,266,584 (9,870,571) 14,045,247 1,020,074 22,145,197
- ------------------------------------------------------------------------------------------------------------------
(34,890,765) 38,081,617 (49,348,268) 15,827,088 (42,906,486) 22,205,345
- ------------------------------------------------------------------------------------------------------------------
$122,320,504 $157,211,269 $ 31,186,859 $ 80,535,127 $ 36,781,465 $ 79,687,951
==================================================================================================================
$ 336,379 $ - $ 236,254 $ 110,610 $ - $ -
==================================================================================================================
874,317 832,716 467,772 931,324 591,601 980,119
- - 324,686 503,679 31,824 -
(1,318,504) (1,342,941) (1,100,072) (789,397) (1,627,795) (1,897,780)
- ------------------------------------------------------------------------------------------------------------------
(444,187) (510,225) (307,614) 645,606 (1,004,370) (917,661)
- ------------------------------------------------------------------------------------------------------------------
108,812 104,329 50,842 100,151 85,331 121,556
- - 183,655 368,569 13,938 -
(1,008,447) (1,053,076) (715,538) (478,969) (754,271) (830,485)
- ------------------------------------------------------------------------------------------------------------------
(899,635) (948,747) (481,041) (10,249) (655,002) (708,929)
- ------------------------------------------------------------------------------------------------------------------
5,011,289 2,810,145 803,023 1,225,680 4,610,312 4,081,149
- - 181,770 89,247 35,733 -
(1,735,170) (459,007) (1,938,357) (306,510) (4,719,320) (963,810)
- ------------------------------------------------------------------------------------------------------------------
3,276,119 2,351,138 (953,564) 1,008,417 (73,275) 3,117,339
==================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
89
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND(1)
===============================
FOR THE YEAR ENDED OCTOBER 31, 2008 2007
==========================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $21,246,589 $ -
-------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 157,293 111,256
Net realized gain (loss) (1,740,564) 407,858
Net change in unrealized appreciation (depreciation) (4,253,182) (205,753)
-------------------------------
Net increase (decrease) in net assets from operations (5,836,453) 313,361
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (29,762) -
Class B - -
Class Y (128,498) -
Net realized gains
Class A (105,139) -
Class B (3,496) -
Class Y (301,331) -
-------------------------------
(568,226) -
TOTAL DISTRIBUTIONS
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 316,582 5,939,231
Issued to shareholders in reinvestment of distributions 134,900 -
Shares redeemed (4,666,884) (16,983)
Redemption fees 200 136
-------------------------------
Net increase (decrease) from capital stock transactions (4,215,202) 5,922,384
-------------------------------
CLASS B SHARES
Shares sold 32,966 209,592
Issued to shareholders in reinvestment of distributions 3,443 -
Shares redeemed (127,221) (10,898)
Redemption fees 142 -
-------------------------------
Net increase (decrease) from capital stock transactions (90,670) 198,694
-------------------------------
CLASS Y SHARES
Shares sold 5,700,886 15,159,554
Issued to shareholders in reinvestment of distributions 429,829 -
Shares redeemed (2,263,641) (347,404)
Redemption fees - -
-------------------------------
Net increase from capital stock transactions 3,867,074 14,812,150
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (6,843,477) 21,246,589
-------------------------------
NET ASSETS AT END OF PERIOD $14,403,112 $ 21,246,589
===============================
Undistributed (distribution in excess of) net investment income $ 86,221 $ 115,760
===============================
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 37,006 590,467
Issued to shareholders in reinvestment of distributions 13,808 -
Shares redeemed (518,508) (1,621)
-------------------------------
Net increase (decrease) from capital share transactions (467,694) 588,846
-------------------------------
CLASS B SHARES
Shares sold 3,635 20,480
Issued to shareholders in reinvestment of distributions 353 -
Shares redeemed (14,213) (1,034)
-------------------------------
Net increase (decrease) from capital share transactions (10,225) 19,446
-------------------------------
CLASS Y SHARES
Shares sold 611,780 1,474,486
Issued to shareholders in reinvestment of distributions 44,040 -
Shares redeemed (256,048) (33,283)
-------------------------------
Net increase from capital share transactions 399,772 1,441,203
===============================
- ---------------------------------
(1) Class A and B shares commenced investment operations on December 27, 2006.
Class Y shares commenced investment operations on January 9, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
90
================================================================================
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND(1) INTERNATIONAL STOCK FUND
=============================== ======================================
2008 2007 2008 2007
================================================================================
$25,140,687 $ - $128,300,707 $104,157,984
- --------------------------------------------------------------------------------
(108,324) (19,940) 2,473,011 1,125,549
(4,245,236) 283,639 1,434,590 14,950,148
(6,697,805) 1,646,481 (66,782,961) 5,098,992
- --------------------------------------------------------------------------------
(11,051,365) 1,910,180 (62,875,360) 21,174,689
- --------------------------------------------------------------------------------
- (777) (744,049) (621,924)
- (6) (103,291) -
- - (569,819) (144,326)
(67,567) - (7,754,716) (8,014,544)
(2,008) - (2,225,021) (1,623,774)
(240,764) - (5,070,159) (1,290,872)
- --------------------------------------------------------------------------------
(310,339) (783) (16,467,055) (11,695,440)
327,437 5,345,507 6,525,825 18,778,577
67,567 777 6,944,808 8,362,721
(4,920,640) (18,928) (22,521,530) (57,230,976)
- 170 544 553
- --------------------------------------------------------------------------------
(4,525,636) 5,327,526 (9,050,353) (30,089,125)
- --------------------------------------------------------------------------------
47,663 173,916 1,275,508 2,074,401
2,008 6 2,246,164 1,591,060
(119,343) (19,602) (5,554,919) (5,539,418)
- 5 342 80
- --------------------------------------------------------------------------------
(69,672) 154,325 (2,032,905) (1,873,877)
- --------------------------------------------------------------------------------
13,190,178 18,337,548 100,890,199 48,128,646
240,764 - 5,639,978 1,435,198
(9,490,922) (588,109) (37,559,104) (2,937,368)
- - - -
- --------------------------------------------------------------------------------
3,940,020 17,749,439 68,971,073 46,626,476
- --------------------------------------------------------------------------------
(12,016,992) 25,140,687 (21,454,600) 24,142,723
- --------------------------------------------------------------------------------
$ 13,123,695 $25,140,687 $106,846,107 $128,300,707
================================================================================
$ - $ - $ 2,029,577 $ 1,107,915
================================================================================
33,608 531,024 501,204 1,201,775
6,309 79 501,066 557,967
(530,434) (1,741) (1,812,116) (3,743,256)
- --------------------------------------------------------------------------------
(490,517) 529,362 (809,846) (1,983,514)
- --------------------------------------------------------------------------------
5,152 16,744 99,308 134,477
189 1 163,834 107,868
(14,128) (1,773) (444,807) (358,813)
- --------------------------------------------------------------------------------
(8,787) 14,972 (181,665) (116,468)
- --------------------------------------------------------------------------------
1,391,768 1,755,432 8,130,185 3,063,591
22,438 - 407,219 95,661
(1,067,965) (55,488) (2,462,120) (190,443)
- --------------------------------------------------------------------------------
346,241 1,699,944 6,075,284 2,968,809
================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
91
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------ INCEPTION
2008 2007 to 10/31/06(1)
==================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.13 $ 10.53 $10.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.28 0.24 0.05
Net realized and unrealized gain (loss) on investments (2.58) 0.49 0.48
------------------------------------------------
Total from investment operations (2.30) 0.73 0.53
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.27) (0.12) -
Distributions from capital gains (0.03) (0.01) -
------------------------------------------------
Total distributions (0.30) (0.13) -
------------------------------------------------
Net increase (decrease) in net asset value (2.60) 0.60 0.53
------------------------------------------------
NET ASSET VALUE at end of period $ 8.53 $ 11.13 $10.53
================================================
TOTAL RETURN(2) (21.19)% 6.94% 5.30%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $19,753 $16,003 $3,031
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.14% 1.79% 10.53%(4)
After reimbursement of expenses by Adviser 0.70% 0.70% 0.70%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.75% 3.00% 2.78%(4)
Portfolio Turnover(5) 90% 39% 26%(3)
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.07 $ 10.51 $10.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.18 0.17 0.02
Net realized and unrealized gain (loss) on investments (2.55) 0.48 0.49
------------------------------------------------
Total from investment operations (2.37) 0.65 0.51
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.19) (0.08) -
Distributions from capital gains (0.03) (0.01) -
------------------------------------------------
Total distributions (0.22) (0.09) -
------------------------------------------------
Net increase (decrease) in net asset value (2.59) 0.56 0.51
------------------------------------------------
NET ASSET VALUE at end of period $ 8.48 $ 11.07 $10.51
================================================
TOTAL RETURN(2) (21.82)% 6.16% 5.10%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 5,506 $ 4,173 $ 622
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.89% 2.53% 10.21%(4)
After reimbursement of expenses by Adviser 1.45% 1.45% 1.45%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.01% 2.23% 2.20%(4)
Portfolio Turnover(5) 90% 39% 26%(3)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
92
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE
ALLOCATION FUND
===============
INCEPTION
to 10/31/06(2)
================================================================================
CLASS C
- -------
NET ASSET VALUE at beginning of period $ 10.47
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03
Net realized and unrealized gain (loss) on investments (2.02)
-------
Total from investment operations (1.99)
-------
Net increase (decrease) in net asset value (1.99)
-------
NET ASSET VALUE at end of period $ 8.48
=======
TOTAL RETURN(3) (19.01)%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 2,198
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.67%(5)
After reimbursement of expenses by Adviser 1.45%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.60%(5)
Portfolio Turnover(7) 90%(4)
MODERATE ALLOCATION FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------ INCEPTION
2008 2007 to 10/31/06(1)
==================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.82 $ 10.65 $10.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.16 0.17 0.02
Net realized and unrealized gain (loss) on investments (3.88) 1.12 0.63
------------------------------------------------
Total from investment operations (3.72) 1.29 0.65
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.18) (0.12) -
Distributions from capital gains (0.08) (0.00)(6) -
------------------------------------------------
Total distributions (0.26) (0.12) -
------------------------------------------------
Net increase (decrease) in net asset value (3.98) 1.17 0.65
------------------------------------------------
NET ASSET VALUE at end of period $ 7.84 $ 11.82 $10.65
================================================
TOTAL RETURN(3) (32.18)% 12.26% 6.50%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $50,326 $56,312 $8,762
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 0.79% 0.89% 4.73%(5)
After reimbursement of expenses by Adviser 0.70% 0.70% 0.70%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.41% 1.45% 1.34%(5)
Portfolio Turnover(7) 83% 21% 11%(4)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Commenced investment operations February 29, 2008.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share.
(7) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
93
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------ INCEPTION
2008 2007 to 10/31/06(1)
==================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.75 $ 10.63 $10.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.09 0.01
Net realized and unrealized gain (loss) on investments (3.84) 1.11 0.62
------------------------------------------------
Total from investment operations (3.78) 1.20 0.63
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.09) (0.08) -
Distributions from capital gains (0.08) - -
------------------------------------------------
Total distributions (0.17) (0.08) -
------------------------------------------------
Net increase (decrease) in net asset value (3.95) 1.12 0.63
------------------------------------------------
NET ASSET VALUE at end of period $ 7.80 $ 11.75 $10.63
================================================
TOTAL RETURN(3) (32.64)% 11.38% 6.30%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $17,728 $19,825 $3,289
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.54% 1.64% 4.71%(5)
After reimbursement of expenses by Adviser 1.45% 1.45% 1.45%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.66% 0.63% 0.67%(5)
Portfolio Turnover(6) 83% 21% 11%(4)
INCEPTION
to 10/31/06(2)
==============
CLASS C
- -------
NET ASSET VALUE at beginning of period $ 10.61
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02
Net realized and unrealized gain (loss) on investments (2.83)
-------
Total from investment operations (2.81)
-------
Net increase (decrease) in net asset value (2.81)
-------
NET ASSET VALUE at end of period $ 7.80
=======
TOTAL RETURN(3) (26.48)%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 2,149
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.38%(5)
After reimbursement of expenses by Adviser 1.45%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.39%(5)
Portfolio Turnover(6) 83%(4)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Commenced investment operations February 29, 2008.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
94
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND
=================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------ INCEPTION
2008 2007 to 10/31/06(1)
==================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 12.53 $ 10.76 $10.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.04 0.09 (0.01)
Net realized and unrealized gain (loss) on investments (5.18) 1.83 0.77
------------------------------------------------
Total from investment operations (5.14) 1.92 0.76
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.13) (0.15) -
Distributions from capital gains (0.10) - -
------------------------------------------------
Total distributions (0.23) (0.15) -
------------------------------------------------
Net increase (decrease) in net asset value (5.37) 1.77 0.76
------------------------------------------------
NET ASSET VALUE at end of period $ 7.16 $ 12.53 $10.76
================================================
TOTAL RETURN(2) (41.73)% 18.00% 7.60%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $14,975 $18,824 $2,675
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.25% 1.62% 10.14%(4)
After reimbursement of expenses by Adviser 0.70% 0.70% 0.70%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.09% (0.33)% (0.56)%(4)
Portfolio Turnover(5) 91% 24% 10%(3)
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 12.46 $ 10.74 $10.00
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.06) 0.00 (0.01)
Net realized and unrealized gain (loss) on investments (5.14) 1.82 0.75
------------------------------------------------
Total from investment operations (5.20) 1.82 0.74
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.04) (0.10) -
Distributions from capital gains (0.10) - -
------------------------------------------------
Total distributions (0.14) (0.10) -
------------------------------------------------
Net increase (decrease) in net asset value (5.34) 1.72 0.74
------------------------------------------------
NET ASSET VALUE at end of period $ 7.12 $ 12.46 $10.74
================================================
TOTAL RETURN(2) (42.17)% 17.11% 7.40%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,050 $ 7,234 $1,164
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.00% 2.38% 10.07%(4)
After reimbursement of expenses by Adviser 1.45% 1.45% 1.45%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.73)% (1.06)% (1.28)%(4)
Portfolio Turnover(5) 91% 24% 10%(3)
- ----------------------------------------------------
(1) Commenced investment operations on June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
95
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
AGGRESSIVE
ALLOCATION FUND
===============
INCEPTION
to 10/31/06(1)
================================================================================
CLASS C
- -------
NET ASSET VALUE at beginning of period $ 10.70
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.06)
Net realized and unrealized gain (loss) on investments (3.52)
-------
Total from investment operations (3.58)
-------
Net increase (decrease) in net asset value (3.58)
-------
NET ASSET VALUE at end of period $ 7.12
=======
TOTAL RETURN(2) (33.46)%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 229
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 7.84%(4)
After reimbursement of expenses by Adviser 1.45%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (1.23)%(4)
Portfolio Turnover(5) 91%(3)
CASH RESERVES FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.05 0.04 0.02 0.01
------------------------------------------------------------
Total from investment operations 0.02 0.05 0.04 0.02 0.01
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.05) (0.04) (0.02) (0.01)
------------------------------------------------------------
Total distributions (0.02) (0.05) (0.04) (0.02) (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
============================================================
TOTAL RETURN(2) 2.26% 4.73% 4.27% 2.33% 0.68%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $15,339 $12,494 $10,989 $11,243 $11,916
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.02% 1.09% 1.09% 0.98% 0.82%
After reimbursement of expenses by Adviser 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.16% 4.64% 4.13% 2.30% 0.68%
- ----------------------------------------------------
(1) Commenced investment operations February 29, 2008.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
96
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CASH RESERVES FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.04 0.03 0.02 0.00(7)
------------------------------------------------------------
Total from investment operations 0.01 0.04 0.03 0.02 0.00
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.04) (0.03) (0.02) -
------------------------------------------------------------
Total distributions (0.01) (0.04) (0.03) (0.02) -
------------------------------------------------------------
Net increase (decrease) in net asset value - - - - 0.00
------------------------------------------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============================================================
TOTAL RETURN(3) 1.50% 3.94% 3.48% 1.57% 0.07%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $4,655 $2,779 $4,242 $6,105 $8,432
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.77% 1.84% 1.84% 1.73% 1.57%
After reimbursement of expenses by Adviser 1.30% 1.30% 1.30% 1.30% 1.15%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.32% 3.88% 3.37% 1.49% 0.06%
FOR THE
PERIOD ENDED INCEPTION
6/14/07(1) to 10/31/06(2)
============================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00
--------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.02
--------------------
Total from investment operations 0.03 0.02
--------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.03) (0.02)
--------------------
Total distributions (0.03) (0.02)
--------------------
Net increase (decrease) in net asset value - -
--------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00
====================
TOTAL RETURN(3) N/A 1.57%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ - $2,746
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.00%(6) 1.35%(6)
After reimbursement of expenses by Adviser 0.55%(6) 0.55%(6)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 4.62%(6) 4.75%(6)
- ----------------------------------------------------
(1) Cash Reserves Fund Class Y shares were liquidated June 14, 2007.
(2) Commenced investment operations June 30, 2006.
(3) Total return without applicable sales charge.
(4) Amount includes fees waived by distributor (Note 3).
(5) Not annualized.
(6) Annualized.
(7) Amounts represent less than $0.005 per share.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
97
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.39 0.43 0.42 0.39 0.37
Net realized and unrealized gain (loss) on investments (0.30) (0.10) 0.03 (0.31) 0.07
------------------------------------------------------------
Total from investment operations 0.09 0.33 0.45 0.08 0.44
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.39) (0.36) (0.42) (0.40) (0.39)
Return of capital - (0.07) - - -
------------------------------------------------------------
Total distributions (0.39) (0.43) (0.42) (0.40) (0.39)
------------------------------------------------------------
Net increase (decrease) in net asset value (0.30) (0.10) 0.03 (0.32) 0.05
------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.48 $ 9.78 $ 9.88 $ 9.85 $ 10.17
============================================================
TOTAL RETURN(1) 0.89% 3.42% 4.70% 0.74% 4.46%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $37,882 $55,271 $59,646 $61,942 $59,900
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.02% 1.08% 1.08% 1.07% 1.01%
After reimbursement of expenses by Adviser 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 4.05% 4.40% 4.27% 3.82% 3.73%
Portfolio Turnover(2) 22% 40% 33% 43% 81%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 9.78 $ 9.88 $ 9.85 $ 10.17 $ 10.12
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.32 0.35 0.35 0.31 0.30
Net realized and unrealized gain (loss) on investments (0.30) (0.10) 0.03 (0.31) 0.07
------------------------------------------------------------
Total from investment operations 0.02 0.25 0.38 - 0.37
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.32) (0.29) (0.35) (0.32) (0.32)
Return of capital - (0.06) - - -
------------------------------------------------------------
Total distributions (0.32) (0.35) (0.35) (0.32) (0.32)
------------------------------------------------------------
Net increase (decrease) in net asset value (0.30) (0.10) 0.03 (0.32) 0.05
------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.48 $ 9.78 $ 9.88 $ 9.85 $ 10.17
============================================================
TOTAL RETURN(1) 0.13% 2.64% 3.91% (0.01)% 3.68%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $15,941 $26,507 $37,233 $47,588 $55,269
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.77% 1.83% 1.83% 1.82% 1.76%
After reimbursement of expenses by Adviser 1.65% 1.65% 1.65% 1.65% 1.65%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 3.29% 3.65% 3.51% 3.08% 2.95%
Portfolio Turnover(2) 22% 40% 33% 43% 81%
- ----------------------------------------------------
(1) Total return without applicable sales charge.
(2) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
98
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
=======================================
FOR THE YEAR
ENDED OCTOBER 31,
-------------------- INCEPTION
2008 2007 to 10/31/06(1)
========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 9.77 $ 9.88 $ 9.61
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.42 0.45 0.15
Net realized and unrealized gain (loss) on investments (0.30) (0.11) 0.27
-----------------------------------
Total from investment operations 0.12 0.34 0.42
-----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.42) (0.38) (0.15)
Return of capital - (0.07) -
-----------------------------------
Total distributions (0.42) (0.45) (0.15)
-----------------------------------
Net increase (decrease) in net asset value (0.30) (0.11) 0.27
-----------------------------------
NET ASSET VALUE at end of period $ 9.47 $ 9.77 $ 9.88
===================================
TOTAL RETURN(2) 1.14% 3.58% 4.39%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $105,043 $34,542 $6,141
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 0.76% 0.82% 0.89%(4)
After reimbursement of expenses by Adviser 0.65% 0.65% 0.65%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 4.23% 4.69% 4.67%(4)
Portfolio Turnover(6) 22% 40% 33%(3)
HIGH INCOME FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 7.29 $ 7.36 $ 7.29 $ 7.56 $ 7.36
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.47 0.53 0.52 0.49 0.55
Net realized and unrealized gain (loss) on investments (1.65) (0.08) 0.07 (0.28) 0.21
------------------------------------------------------------
Total from investment operations (1.18) 0.45 0.59 0.21 0.76
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.54) (0.52) (0.52) (0.48) (0.56)
------------------------------------------------------------
Total distributions (0.54) (0.52) (0.52) (0.48) (0.56)
------------------------------------------------------------
Net increase (decrease) in net asset value (1.72) (0.07) 0.07 (0.27) 0.20
------------------------------------------------------------
NET ASSET VALUE at end of period $ 5.57 $ 7.29 $ 7.36 $ 7.29 $ 7.56
============================================================
TOTAL RETURN(2) (17.24)% 6.31% 8.33% 2.85% 10.73%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $17,818 $35,610 $36,281 $43,872 $44,137
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.14% 1.21% 1.22% 1.23% 1.16%
After reimbursement of expenses by Adviser 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 6.77% 7.10% 6.98% 6.50% 7.37%
Portfolio Turnover(6) 59% 74% 67% 81%(5) 60%
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Reflects subadviser change as of February 28, 2005.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
99
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
HIGH INCOME FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 7.32 $ 7.39 $ 7.31 $ 7.58 $ 7.37
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.45 0.49 0.47 0.43 0.49
Net realized and unrealized gain (loss) on investments (1.70) (0.09) 0.07 (0.28) 0.22
------------------------------------------------------------
Total from investment operations (1.25) 0.40 0.54 0.15 0.71
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.44) (0.47) (0.46) (0.42) (0.50)
------------------------------------------------------------
Total distributions (0.44) (0.47) (0.46) (0.42) (0.50)
------------------------------------------------------------
Net increase (decrease) in net asset value (1.69) (0.07) 0.08 (0.27) 0.21
------------------------------------------------------------
NET ASSET VALUE at end of period $ 5.63 $ 7.32 $ 7.39 $ 7.31 $ 7.58
============================================================
TOTAL RETURN(2) (17.93)% 5.50% 7.64% 2.06% 10.02%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 5,833 $12,255 $17,099 $21,255 $23,349
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.90% 1.96% 1.97% 1.98% 1.91%
After reimbursement of expenses by Adviser 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 6.04% 6.37% 6.24% 5.75% 6.63%
Portfolio Turnover(6) 59% 74% 67% 81%(5) 60%
FOR THE YEAR
ENDED OCTOBER 31,
-------------------- INCEPTION
2008 2007 to 10/31/06(1)
========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 7.30 $ 7.36 $ 7.21
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.48 0.51 0.16
Net realized and unrealized gain (loss) on investments (1.65) (0.03) 0.17
-----------------------------------
Total from investment operations (1.17) 0.48 0.33
-----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.57) (0.54) (0.18)
-----------------------------------
Total distributions (0.57) (0.54) (0.18)
-----------------------------------
Net increase (decrease) in net asset value (1.74) (0.06) 0.15
-----------------------------------
NET ASSET VALUE at end of period $ 5.56 $ 7.30 $ 7.36
===================================
TOTAL RETURN(2) (17.09)% 6.72% 4.59%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $33,127 $21,115 $2,637
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 0.89% 0.94% 1.06%(4)
After reimbursement of expenses by Adviser 0.75% 0.75% 0.75%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 7.03% 7.43% 7.33%(4)
Portfolio Turnover(6) 59% 74% 67%(3)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Reflects subadviser change as of February 28, 2005.
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
100
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 13.24 $ 13.20 $ 12.25 $ 11.81 $ 11.18
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.45 0.49 0.26 0.24 0.22
Net realized and unrealized gain (loss) on investments (2.30) 0.27 0.95 0.44 0.64
------------------------------------------------------------
Total from investment operations (1.85) 0.76 1.21 0.68 0.86
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.47) (0.49) (0.26) (0.24) (0.23)
Distributions from capital gains (1.00) (0.23) - - -
------------------------------------------------------------
Total distributions (1.47) (0.72) (0.26) (0.24) (0.23)
------------------------------------------------------------
Net increase (decrease) in net asset value (3.32) 0.04 0.95 0.44 0.63
------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.92 $ 13.24 $ 13.20 $ 12.25 $ 11.81
============================================================
TOTAL RETURN(1) (15.39)% 5.95% 9.97% 5.74% 7.71%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $70,095 $90,254 $91,339 $107,457 $ 98,900
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.29% 1.25% 1.21% 1.21% 1.17%
After reimbursement of expenses by Adviser 1.10% 1.10% 1.10% 1.10% 1.10%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 3.94% 3.73% 2.01% 1.88% 1.88%
Portfolio Turnover(2) 15% 62% 62% 34% 39%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 13.25 $ 13.22 $ 12.26 $ 11.82 $ 11.19
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.39 0.40 0.16 0.14 0.13
Net realized and unrealized gain (loss) on investments (2.34) 0.26 0.96 0.44 0.64
------------------------------------------------------------
Total from investment operations (1.95) 0.66 1.12 0.58 0.77
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.34) (0.40) (0.16) (0.14) (0.14)
Distributions from capital gains (1.00) (0.23) - - -
------------------------------------------------------------
Total distributions (1.34) (0.63) (0.16) (0.14) (0.14)
------------------------------------------------------------
Net increase (decrease) in net asset value (3.29) 0.03 0.96 0.44 0.63
------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.96 $ 13.25 $ 13.22 $ 12.26 $ 11.82
============================================================
TOTAL RETURN(1) (16.01)% 5.09% 9.23% 4.94% 6.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $28,156 $57,581 $80,486 $ 98,258 $105,784
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.04% 2.00% 1.96% 1.96% 1.92%
After reimbursement of expenses by Adviser 1.85% 1.85% 1.85% 1.85% 1.85%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 3.18% 2.99% 1.27% 1.15% 1.14%
Portfolio Turnover(2) 15% 62% 62% 34% 39%
- ----------------------------------------------------
(1) Total return without applicable sales charge.
(2) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
101
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 16.91 $ 15.47 $ 13.20 $ 12.19 $ 11.05
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.28 0.22 0.22 0.16 0.14
Net realized and unrealized gain (loss) on investments (6.30) 1.45 2.23 1.00 1.12
------------------------------------------------------------
Total from investment operations (6.02) 1.67 2.45 1.16 1.26
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.19) (0.23) (0.18) (0.15) (0.12)
Distributions from capital gains (0.10) - - - -
------------------------------------------------------------
Total distributions (0.29) (0.23) (0.18) (0.15) (0.12)
------------------------------------------------------------
Net increase (decrease) in net asset value (6.31) 1.44 2.27 1.01 1.14
------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.60 $ 16.91 $ 15.47 $ 13.20 $ 12.19
============================================================
TOTAL RETURN(1) (36.17)% 10.88% 18.75% 9.56% 11.48%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $58,075 $116,358 $113,441 $103,765 $85,855
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.16% 1.13% 1.16% 1.17% 1.13%
After reimbursement of expenses by Adviser 1.16% 1.13% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.87% 1.32% 1.53% 1.29% 1.26%
Portfolio Turnover(2) 55% 47% 45% 12% 16%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 16.61 $ 15.20 $ 12.97 $ 11.98 $ 10.87
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.27 0.16 0.15 0.09 0.06
Net realized and unrealized gain (loss) on investments (6.29) 1.36 2.16 0.96 1.10
------------------------------------------------------------
Total from investment operations (6.02) 1.52 2.31 1.05 1.16
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.07) (0.11) (0.08) (0.06) (0.05)
Distributions from capital gains (0.10) - - - -
------------------------------------------------------------
Total distributions (0.17) (0.11) (0.08) (0.06) (0.05)
------------------------------------------------------------
Net increase (decrease) in net asset value (6.19) 1.41 2.23 0.99 1.11
------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.42 $ 16.61 $ 15.20 $ 12.97 $ 11.98
============================================================
TOTAL RETURN(1) (36.59)%(2) 10.03% 17.86% 8.73% 10.70%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $14,993 $ 43,146 $ 62,766 $ 74,028 $83,482
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.91% 1.89% 1.90% 1.92% 1.89%
After reimbursement of expenses by Adviser 1.91% 1.88% 1.75% 1.75% 1.75%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.11% 0.61% 0.80% 0.57% 0.53%
Portfolio Turnover(2) 55% 47% 45% 12% 16%
- ----------------------------------------------------
(1) Total return without applicable sales charge.
(2) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
102
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
=======================================
FOR THE YEAR
ENDED OCTOBER 31,
-------------------- INCEPTION
2008 2007 to 10/31/06(1)
========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 16.93 $ 15.48 $14.07
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.21 0.03
Net realized and unrealized gain (loss) on investments (6.20) 1.51 1.38
-----------------------------------
Total from investment operations (5.98) 1.72 1.41
-----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.23) (0.27) -
Distributions from capital gains (0.10) - -
-----------------------------------
Total distributions (0.33) (0.27) -
-----------------------------------
Net increase (decrease) in net asset value (6.31) 1.45 1.41
-----------------------------------
NET ASSET VALUE at end of period $ 10.62 $ 16.93 $15.48
===================================
TOTAL RETURN(2) (35.97)% 11.21% 10.02%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $54,828 $47,949 $7,169
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 0.91% 0.87% 0.96%(4)
After reimbursement of expenses by Adviser 0.91% 0.88% 0.75%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.07% 1.47% 1.31%(4)
Portfolio Turnover(6) 55% 47% 45%(3)
LARGE CAP GROWTH FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 17.39 $ 14.70 $ 13.72 $ 12.87 $ 11.88
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 (0.00)(5) 0.00(5) 0.08 0.01
Net realized and unrealized gain (loss) on investments (6.35) 2.69 1.05 0.77 0.98
------------------------------------------------------------
Total from investment operations (6.32) 2.69 1.05 0.85 0.99
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - - (0.07) (0.00)(5) -
Distributions from capital gains - - - - -
------------------------------------------------------------
Total distributions - - (0.07) (0.00)(5) -
------------------------------------------------------------
Net increase (decrease) in net asset value (6.32) 2.69 0.98 0.85 0.99
------------------------------------------------------------
NET ASSET VALUE at end of period $ 11.07 $ 17.39 $ 14.70 $ 13.72 $ 12.87
============================================================
TOTAL RETURN(2) (36.34)% 18.30% 7.71% 6.61% 8.33%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $38,538 $68,253 $65,216 $78,785 $73,674
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.34% 1.43% 1.45% 1.44% 1.38%
After reimbursement of expenses by Adviser 1.20% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.18% (0.02)% 0.09% 0.62% 0.08%
Portfolio Turnover(6) 141% 93% 148% 18% 27%
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Amounts represent less than $0.005 per share
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
103
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 16.29 $ 13.88 $ 12.98 $ 12.27 $ 11.40
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.11) (0.13) (0.09) (0.01) (0.08)
Net realized and unrealized gain (loss) on investments (5.88) 2.54 0.99 0.72 0.95
------------------------------------------------------------
Total from investment operations (5.99) 2.41 0.90 0.71 0.87
------------------------------------------------------------
Net increase (decrease) in net asset value (5.99) 2.41 0.90 0.71 0.87
------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.30 $ 16.29 $ 13.88 $ 12.98 $ 12.27
============================================================
TOTAL RETURN(2) (36.77)% 17.36% 6.93% 5.79% 7.63%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $13,580 $36,147 $43,975 $54,946 $63,544
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.10% 2.18% 2.20% 2.19% 2.13%
After reimbursement of expenses by Adviser 1.95% 1.95% 1.95% 1.94% 1.95%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.56)% (0.76)% (0.65)% (0.09)% (0.67)%
Portfolio Turnover(6) 141% 93% 148% 18% 27%
FOR THE YEAR
ENDED OCTOBER 31,
-------------------- INCEPTION
2008 2007 to 10/31/06(1)
========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 17.45 $ 14.72 $13.71
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.02 (0.00)(5)
Net realized and unrealized gain (loss) on investments (6.37) 2.71 1.01
-----------------------------------
Total from investment operations (6.31) 2.73 1.01
-----------------------------------
Net increase (decrease) in net asset value (6.31) 2.73 1.01
-----------------------------------
NET ASSET VALUE at end of period $ 11.14 $ 17.45 $14.72
===================================
TOTAL RETURN(2) (36.16)% 18.55% 7.37%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $70,203 $52,811 $9,939
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.09% 1.16% 1.30%(4)
After reimbursement of expenses by Adviser 0.95% 0.95% 0.95%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.45% 0.19% (0.07)%(4)
Portfolio Turnover(6) 141% 93% 148%(3)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Amounts represent less than $0.005 per share
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
104
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 13.90 $ 15.54 $ 14.08 $ 12.44 $ 11.12
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.14 0.09 0.10 0.03 0.09
Net realized and unrealized gain (loss) on investments (4.98) 1.27 2.32 1.70 1.23
------------------------------------------------------------
Total from investment operations (4.84) 1.36 2.42 1.73 1.32
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.06) (0.08) (0.01) (0.09) -
Distributions from capital gains (1.33) (2.92) (0.95) - -
------------------------------------------------------------
Total distributions (1.39) (3.00) (0.96) (0.09) -
------------------------------------------------------------
Net increase (decrease) in net asset value (6.23) (1.64) 1.46 1.64 1.32
------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.67 $ 13.90 $ 15.54 $ 14.08 $ 12.44
============================================================
TOTAL RETURN(1) (38.40)% 9.94% 17.93% 13.95% 11.87%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $19,549 $39,708 $34,364 $44,126 $40,103
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.81% 1.69% 1.68% 1.70% 1.61%
After reimbursement of expenses by Adviser 1.40% 1.40% 1.40% 1.40% 1.40%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.20% 0.74% 0.53% 0.20% 0.77%
Portfolio Turnover(3) 83% 76% 108% 37% 21%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 13.24 $ 14.96 $ 13.67 $ 12.09 $ 10.91
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.07 0.00(2) (0.03) (0.07) 0.00(2)
Net realized and unrealized gain (loss) on investments (4.75) 1.20 2.27 1.65 1.18
------------------------------------------------------------
Total from investment operations (4.68) 1.20 2.24 1.58 1.18
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (1.33) (2.92) (0.95) - -
------------------------------------------------------------
Total distributions (1.33) (2.92) (0.95) - -
------------------------------------------------------------
Net increase (decrease) in net asset value (6.01) (1.72) 1.29 1.58 1.18
------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.23 $ 13.24 $ 14.96 $ 13.67 $ 12.09
============================================================
TOTAL RETURN(1) (38.97)% 9.14% 17.04% 13.07% 10.82%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 8,448 $21,835 $24,813 $22,633 $20,104
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.56% 2.44% 2.45% 2.45% 2.36%
After reimbursement of expenses by Adviser 2.15% 2.15% 2.15% 2.15% 2.15%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.45% 0.00% (0.20)% (0.55)% 0.01%
Portfolio Turnover(3) 83% 76% 108% 37% 21%
- ----------------------------------------------------
(1) Total return without applicable sales charge.
(2) Amounts represent less than $0.005 per share
(3) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
105
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
=======================================
FOR THE YEAR
ENDED OCTOBER 31,
-------------------- INCEPTION
2008 2007 to 10/31/06(1)
========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 13.92 $ 15.56 $14.54
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.13 0.02
Net realized and unrealized gain (loss) on investments (4.82) 1.27 1.00
-----------------------------------
Total from investment operations (4.73) 1.40 1.02
-----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.09) (0.12) -
Distributions from capital gains (1.33) (2.92) -
-----------------------------------
Total distributions (1.42) (3.04) -
-----------------------------------
Net increase (decrease) in net asset value (6.15) (1.64) 1.02
-----------------------------------
NET ASSET VALUE at end of period $ 7.77 $ 13.92 $15.56
===================================
TOTAL RETURN(2) (37.53)% 10.25% 6.95%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 3,190 $18,992 $5,531
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.49% 1.43% 1.63%(4)
After reimbursement of expenses by Adviser 1.15% 1.15% 1.15%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.45% 0.94% 0.97%(4)
Portfolio Turnover(5) 83%(3) 76% 108%(3)
MID CAP GROWTH FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 7.45 $ 6.27 $ 5.36 $ 4.83 $ 4.46
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.04) (0.07) (0.04) (0.01) (0.03)
Net realized and unrealized gain (loss) on investments (3.28) 1.25 0.95 0.54 0.40
------------------------------------------------------------
Total from investment operations (3.32) 1.18 0.91 0.53 0.37
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.05) - - - -
------------------------------------------------------------
Total distributions (0.05) - - - -
------------------------------------------------------------
Net increase (decrease) in net asset value (3.37) 1.18 0.91 0.53 0.37
------------------------------------------------------------
NET ASSET VALUE at end of period $ 4.08 $ 7.45 $ 6.27 $ 5.36 $ 4.83
============================================================
TOTAL RETURN(2) (44.71)% 18.82% 16.98% 10.97% 8.30%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $14,241 $33,459 $33,899 $32,395 $25,897
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.44% 1.50% 1.61% 1.69% 1.62%
After reimbursement of expenses by Adviser 1.40% 1.33% 1.20% 1.19% 1.20%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.56)% (0.87)% (0.59)% (0.25)% (0.64)%
Portfolio Turnover(5) 127% 109% 207% 92% 71%
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
106
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 7.04 $ 5.96 $ 5.14 $ 4.67 $ 4.34
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.10) (0.13) (0.08) (0.05) (0.06)
Net realized and unrealized gain (loss) on investments (3.06) 1.21 0.90 0.52 0.39
------------------------------------------------------------
Total from investment operations (3.16) 1.08 0.82 0.47 0.33
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.05) - - - -
------------------------------------------------------------
Total distributions (0.05) - - - -
------------------------------------------------------------
Net increase (decrease) in net asset value (3.21) 1.08 0.82 0.47 0.33
------------------------------------------------------------
NET ASSET VALUE at end of period $ 3.83 $ 7.04 $ 5.96 $ 5.14 $ 4.67
============================================================
TOTAL RETURN(2) (45.18)% 17.92% 16.15% 10.06% 7.60%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 4,891 $13,598 $15,754 $14,464 $13,030
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.19% 2.25% 2.35% 2.44% 2.37%
After reimbursement of expenses by Adviser 2.15% 2.08% 1.95% 1.94% 1.95%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (1.32)% (1.62)% (1.36)% (0.98)% (1.39)%
Portfolio Turnover(5) 127% 109% 207% 92% 71%
FOR THE YEAR
ENDED OCTOBER 31,
--------------------- INCEPTION
2008 2007 to 10/31/06(1)
======================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 7.47 $ 6.27 $ 5.84
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.02) (0.03) (0.01)
Net realized and unrealized gain (loss) on investments (3.29) 1.23 0.44
----------------------------------
Total from investment operations (3.31) 1.20 0.43
----------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.05) - -
----------------------------------
Total distributions (0.05) - -
----------------------------------
Net increase (decrease) in net asset value (3.36) 1.20 0.43
----------------------------------
NET ASSET VALUE at end of period $ 4.11 $ 7.47 $ 6.27
==================================
TOTAL RETURN(2) (44.66)% 19.11% 7.53%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $17,649 $32,631 $7,830
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.19% 1.22% 1.47%(4)
After reimbursement of expenses by Adviser 1.15% 1.11% 0.95%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.27)% (0.62)% (0.58)%(4)
Portfolio Turnover(5) 127% 109% 207%(3)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
107
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
=========================================
FOR THE YEAR INCEPTION
Ended 10/31/08 to 10/31/07(1)
==========================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 10.36 $10.00
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.06
Net realized and unrealized gain (loss) on investments (3.07) 0.30
----------------------------------
Total from investment operations (2.85) 0.36
----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.05) -
Distributions from capital gains (0.17) -
----------------------------------
Total distributions (0.22) -
----------------------------------
Net increase (decrease) in net asset value (3.07) 0.36
----------------------------------
NET ASSET VALUE at end of period $ 7.29 $10.36
==================================
TOTAL RETURN(2) (28.02)% 3.60%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 883 $6,098
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.18% 2.61%(4)
After reimbursement of expenses by Adviser 1.50% 1.50%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.56% 0.71%(4)
Portfolio Turnover(6) 55% 14%(3)
SMALL CAP VALUE FUND
=========================================
FOR THE YEAR INCEPTION
Ended 10/31/08 to 10/31/07(1)
==========================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 10.29 $10.00
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 (0.00)(5)
Net realized and unrealized gain (loss) on investments (2.91) 0.29
----------------------------------
Total from investment operations (2.88) 0.29
----------------------------------
REDEMPTION FEES (SEE NOTE 2): 0.02 0.00(5)
----------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.17) -
----------------------------------
Total distributions (0.17) -
----------------------------------
Net increase (decrease) in net asset value (3.05) 0.29
----------------------------------
NET ASSET VALUE at end of period $ 7.24 $10.29
==================================
TOTAL RETURN(2) (28.38)% 2.90%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 67 $ 200
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 7.88% 11.24%(4)
After reimbursement of expenses by Adviser 2.25% 2.25%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.19)% (0.01)%(4)
Portfolio Turnover(6) 55% 14%(3)
- ----------------------------------------------------
(1) Commenced investment operations on December 27, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Amounts represent less than $0.005 per share
(6) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
108
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
=========================================
FOR THE YEAR INCEPTION
Ended 10/31/08 to 10/31/07(1)
==========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 10.37 $ 9.82
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.05
Net realized and unrealized gain (loss) on investments (2.88) 0.50
-----------------------------------
Total from investment operations (2.82) 0.55
-----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.07) -
Distributions from capital gains (0.17) -
-----------------------------------
Total distributions (0.24) -
-----------------------------------
Net increase (decrease) in net asset value (3.06) 0.55
-----------------------------------
NET ASSET VALUE at end of period $ 7.31 $ 10.37
===================================
TOTAL RETURN(3) (27.71)% 5.60%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $13,453 $14,949
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.61% 1.91%(5)
After reimbursement of expenses by Adviser 1.25% 1.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 0.81% 0.99%(5)
Portfolio Turnover(7) 55% 14%(4)
SMALL CAP GROWTH FUND
=========================================
FOR THE YEAR INCEPTION
Ended 10/31/08 to 10/31/07(1)
==========================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 11.19 $10.00
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.55) (0.03)
Net realized and unrealized gain (loss) on investments (4.26) 1.22
----------------------------------
Total from investment operations (4.81) 1.19
----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.00)(6)
Distributions from capital gains (0.13) -
----------------------------------
Total distributions (0.13) (0.00)
----------------------------------
Net increase (decrease) in net asset value (4.94) 1.19
----------------------------------
NET ASSET VALUE at end of period $ 6.25 $11.19
==================================
TOTAL RETURN(3) (43.49)% 11.92%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 243 $5,922
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 2.17% 2.61%(5)
After reimbursement of expenses by Adviser 1.50% 1.50%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.54)% (0.37)%(5)
Portfolio Turnover(7) 143% 90%(4)
- ----------------------------------------------------
(1) Commenced investment operations January 9, 2007.
(2) Commenced investment operations December 27, 2006.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share
(7) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
109
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
=========================================
FOR THE YEAR INCEPTION
Ended 10/31/08 to 10/31/07(1)
==========================================================================================================
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 11.11 $10.00
----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.31) (0.08)
Net realized and unrealized gain (loss) on investments (4.51) 1.19
----------------------------------
Total from investment operations (4.82) 1.11
----------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.00)(6)
Distributions from capital gains (0.13) -
----------------------------------
Total distributions (0.13) (0.00)
----------------------------------
Net increase (decrease) in net asset value (4.95) 1.11
----------------------------------
NET ASSET VALUE at end of period $ 6.16 $11.11
==================================
TOTAL RETURN(3) (43.90)% 11.11%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 38 $ 166
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 9.51% 12.61%(5)
After reimbursement of expenses by Adviser 2.25% 2.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (1.37)% (1.10)%(5)
Portfolio Turnover(7) 143% 90%(4)
SMALL CAP GROWTH FUND
=========================================
FOR THE YEAR INCEPTION
Ended 10/31/08 to 10/31/07(1)
==========================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 11.21 $ 9.84
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.04) (0.00)(6)
Net realized and unrealized gain (loss) on investments (4.76) 1.37
-----------------------------------
Total from investment operations (4.80) 1.37
-----------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.13) -
-----------------------------------
Total distributions (0.13) -
-----------------------------------
Net increase (decrease) in net asset value (4.93) 1.37
-----------------------------------
NET ASSET VALUE at end of period $ 6.28 $ 11.21
===================================
TOTAL RETURN(3) (43.32)% 13.92%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $12,843 $19,053
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.56% 1.87%(5)
After reimbursement of expenses by Adviser 1.25% 1.25%(5)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser (0.41)% (0.02)%(5)
Portfolio Turnover(7) 143% 90%(4)
- ----------------------------------------------------
(1) Commenced investment operations December 27, 2006.
(2) Commenced investment operations January 9, 2007.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
(6) Amounts represent less than $0.005 per share
(7) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
110
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
============================================================
FOR THE YEAR ENDED OCTOBER 31,
------------------------------------------------------------
2008 2007 2006 2005 2004
=============================================================================================================================
CLASS A
- -------
NET ASSET VALUE at beginning of period $ 17.05 $ 15.66 $ 12.65 $ 10.56 $ 8.92
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.23 0.16 0.15 0.14 0.08
Net realized and unrealized gain (loss) on investments (6.06) 2.92 3.01 2.05 1.66
------------------------------------------------------------
Total from investment operations (5.83) 3.08 3.16 2.19 1.74
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.24) (0.11) (0.14) (0.10) (0.10)
Distributions from capital gains (2.51) (1.58) (0.01) - -
------------------------------------------------------------
Total distributions (2.75) (1.69) (0.15) (0.10) (0.10)
------------------------------------------------------------
Net increase (decrease) in net asset value (8.58) 1.39 3.01 2.09 1.64
------------------------------------------------------------
NET ASSET VALUE at end of period $ 8.47 $ 17.05 $ 15.66 $ 12.65 $ 10.56
============================================================
TOTAL RETURN(1) (40.46)% 21.24% 25.11% 20.81% 19.56%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $19,040 $52,145 $78,958 $58,825 $43,915
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 1.93% 1.89% 1.87% 1.90% 1.85%
After reimbursement of expenses by Adviser 1.60% 1.60% 1.60% 1.60% 1.60%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.67% 0.99% 1.03% 1.15% 0.76%
Portfolio Turnover(3) 69% 79% 63% 64% 45%
CLASS B
- -------
NET ASSET VALUE at beginning of period $ 16.79 $ 15.45 $ 12.48 $ 10.41 $ 8.78
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.18 0.08 0.03 0.04 (0.00)(2)
Net realized and unrealized gain (loss) on investments (6.01) 2.84 2.98 2.04 1.64
------------------------------------------------------------
Total from investment operations (5.83) 2.92 3.01 2.08 1.64
------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.12) - (0.03) (0.01) (0.01)
Distributions from capital gains (2.51) (1.58) (0.01) - -
------------------------------------------------------------
Total distributions (2.63) (1.58) (0.04) (0.01) (0.01)
------------------------------------------------------------
Net increase (decrease) in net asset value (8.46) 1.34 2.97 2.07 1.63
------------------------------------------------------------
NET ASSET VALUE at end of period $ 8.33 $ 16.79 $ 15.45 $ 12.48 $ 10.41
============================================================
TOTAL RETURN(1) (40.95)% 20.31% 24.18% 20.00% 18.67%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,237 $15,630 $16,175 $10,922 $ 7,559
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser 2.69% 2.64% 2.62% 2.65% 2.59%
After reimbursement of expenses by Adviser 2.35% 2.35% 2.35% 2.35% 2.35%
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 1.04% 0.41% 0.32% 0.41% 0.03%
Portfolio Turnover(3) 69% 79% 63% 64% 45%
- ----------------------------------------------------
(1) Total return without applicable sales charge.
(2) Amounts represent less than $0.005 per share
(3) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
111
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
=================================================
FOR THE YEAR
ENDED OCTOBER 31,
------------------------------ INCEPTION
2008 2007 to 10/31/06(1)
==================================================================================================================
CLASS Y
- -------
NET ASSET VALUE at beginning of period $ 17.08 $ 15.68 $14.57
------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.31 0.17 0.01
Net realized and unrealized gain (loss) on investments (6.12) 2.96 1.10
------------------------------------------------
Total from investment operations (5.81) 3.13 1.11
------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.28) (0.15) -
Distributions from capital gains (2.51) (1.58) -
------------------------------------------------
Total distributions (2.79) (1.73) -
------------------------------------------------
Net increase (decrease) in net asset value (8.60) 1.40 1.11
------------------------------------------------
NET ASSET VALUE at end of period $ 8.48 $ 17.08 $15.68
================================================
TOTAL RETURN(2) (40.41)% 21.59% 7.62%(3)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $81,569 $60,525 $9,025
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser 1.68% 1.66% 1.72%(4)
After reimbursement of expenses by Adviser 1.35% 1.35% 1.35%(4)
Ratio of net investment income to average net assets
After reimbursement of expenses by Adviser 2.25% 1.48% 0.48%(4)
Portfolio Turnover(5) 69% 79% 63%(3)
- ----------------------------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
(5) Portfolio Turnover is calculated at the fund level and represents the
entire fiscal year or period.
See accompanying Notes to Financial Statements.
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112
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The MEMBERS Mutual Funds, a Delaware business trust (the "Trust"), is registered
under the Investment Company Act of 1940, as amended (the "1940 Act") as a
diversified, open-end, management investment company. As of the date of this
report, the Trust offers fourteen funds (individually, a "fund," collectively,
the "Funds"). The Declaration of Trust permits the Trustees to issue an
unlimited number of shares of beneficial interest of the Trust without par
value. The Trust has entered into an Investment Advisory Agreement with MEMBERS
Capital Advisors, Inc. (the "Investment Adviser"). The Investment Adviser, in
turn, has entered into subadvisory agreements with certain subadvisers
("Subadvisers") for the management of the investments of the High Income Fund,
Mid Cap Growth Fund, Small Cap Value Fund, Small Cap Growth Fund, International
Stock Fund, and a portion of the Mid Cap Value Fund. The accompanying financial
statements include the Cash Reserves, Bond, High Income, Diversified Income,
Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap
Value, Small Cap Growth, and International Stock Funds (collectively, the "Core
Funds"), and the Conservative Allocation, Moderate Allocation, and Aggressive
Allocation Funds (collectively, the "Target Allocation Funds"). The Core Funds,
excluding the Cash Reserves and Diversified Income Funds, offer three classes of
shares: Class A, B and Y, the Target Allocation Funds offer three classes of
shares: Class A, B and C, and the Cash Reserves Fund and the Diversified Income
Fund, offer two classes of shares: Class A and B. Each class of shares
represents an interest in the assets of the respective fund and has identical
voting, dividend, liquidation and other rights, except that each class of shares
bears its own distribution fees and servicing fees, if any, and its proportional
share of fund level expenses, is subject to its own sales charges, if any, and
has exclusive voting rights on matters pertaining to Rule 12b-1 of the 1940 Act
as it relates to that class and other class-specific matters.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles ("GAAP") in the United States of America requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses during the reported period. Actual results could differ from those
estimates. The following is a summary of significant accounting policies
consistently followed by each fund, collectively, the "Funds", in the
preparation of its financial statements.
PORTFOLIO VALUATION: Securities and other investments are valued as follows:
Equity securities and exchange-traded funds ("ETFs") listed on any U.S. or
foreign stock exchange or quoted on the National Association of Securities
Dealers Automated Quotation System ("NASDAQ") are valued at the last quoted sale
price or official closing price on that exchange or NASDAQ on the valuation day
(provided that, for securities traded on NASDAQ, the Funds utilize the NASDAQ
Official Closing Price). If no sale occurs, (a) equities traded on a U.S.
exchange or on NASDAQ are valued at the mean between the closing bid and closing
asked prices and (b) equity securities traded on a foreign exchange are valued
at the official bid price. Debt securities purchased with a remaining maturity
of 61 days or more are valued by a pricing service selected by the Trust or on
the basis of dealer-supplied quotations. Investments in shares of open-ended
mutual funds, including money market funds, are valued at their daily net asset
value ("NAV") which is calculated as of 3:00 p.m. Central Time on each day on
which the New York Stock Exchange is open for business. NAV per share is
determined by dividing each fund's total net assets by the number of shares of
such fund outstanding at the time of calculation. Because the assets of the
Target Allocation Funds consist primarily of shares of the underlying funds, the
NAV of each Target Allocation Fund is determined based on the NAVs of the
underlying funds. Total net assets are determined by adding the total current
value of portfolio securities, cash, receivables, and other assets and
subtracting liabilities. Short-term instruments having maturities of 60 days or
less and all securities in the Cash Reserves Fund are valued on an amortized
cost basis, which approximates market value.
Over-the-counter securities not listed or traded on NASDAQ are valued at the
last sale price on the valuation day. If no sale occurs on the valuation day, an
over-the-counter security is valued at the mean between the last bid and asked
prices. Over-the-counter options are valued based upon prices provided by
market makers in such securities or dealers in such currencies. Exchange traded
options are valued at the last sale or bid price on the exchange where such
option contract is principally traded. Financial futures contracts generally are
valued at the settlement price established by the exchange(s) on which the
contracts are primarily traded. The Funds' securities Valuation Committee (the
"Committee") shall estimate the fair value of futures positions affected by the
daily limit by using its valuation procedures for determining fair value, when
necessary. Spot and forward foreign currency exchange contracts are valued
based on quotations supplied by dealers in such contracts. Overnight repurchase
agreements are valued at cost, and term repurchase agreements (i.e., those whose
maturity exceeds seven days), swaps, caps, collars and floors are valued at the
average of the closing bids obtained daily from at least one dealer.
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113
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The value of all assets and liabilities expressed in foreign currencies will be
converted into U.S. dollar values using the 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 Funds
primarily invest in underlying funds, government securities and short-term
paper, it is not anticipated that the Investment Adviser will need to "fair"
value any of the investments of these funds. However, an underlying fund may
need to "fair" value one or more of its investments, which may, in turn, require
a Target Allocation Fund to do the same because of delays in obtaining the
underlying fund's NAV.
A fund's investments (or underlying fund) will be valued at fair value if, in
the judgment of the Committee, an event impacting the value of an investment
occurred between the closing time of a security's primary market or exchange
(for example, a foreign exchange or market) and the time the fund's share price
is calculated at 3:00 p.m. Central Time. Significant events may include, but are
not limited to, the following: (1) significant fluctuations in domestic markets,
foreign markets or foreign currencies; (2) occurrences not directly tied to the
securities markets such as natural disasters, armed conflicts or significant
government actions; and (3) major announcements affecting a single issuer or an
entire market or market sector. In responding to a significant event, the
Committee would determine the fair value of affected securities considering
factors including, but not limited to: fundamental analytical data relating to
the investment; the nature and duration of any restrictions on the disposition
of the investment; and the forces influencing the market(s) in which the
investment is purchased or sold. The Committee may rely on an independent fair
valuation service to adjust the valuations of foreign equity securities based on
specific market-movement parameters established by the Committee and approved by
the Funds.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales are determined
by the identified cost method. Interest income is recorded on an accrual basis.
Dividend income is recorded on ex-dividend date. Amortization and accretion are
recorded on the effective yield method.
FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated
investment companies and to distribute substantially all it's taxable income to
its shareholders. Accordingly, no provisions for federal income taxes are
recorded in the accompanying financial statements.
In July 2006, the Financial Accounting Standards Board ("FASB") issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes--an
Interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 addresses the
accounting for uncertainty in income taxes and establishes for all entities,
including pass-through entities, such as the funds, a minimum threshold for
financial statement recognition of the benefit of positions taken in filing tax
returns (including whether an entity is taxable in a particular jurisdiction),
and requires certain expanded tax disclosures. The provisions of FIN 48 became
effective for regulated investment companies as of the last business day of the
first semi-annual reporting period for fiscal years beginning after December 15,
2006, and are to be applied to all open tax years as of the date of
effectiveness. As required, FIN 48 was adopted for all open tax years effective
April 30, 2007 for the Small Cap Value and Small Cap Growth Funds, as these
funds commenced operations after the effective date of FIN 48, and effective
April 30, 2008 for all other MEMBERS funds. No material uncertain tax positions
existed at the time of adoption or as of October 31, 2008. As a result, the
funds have not recorded any liabilities for material unrecognized tax benefits
as of October 31, 2008. It is the funds' policy to recognize accrued interest
and penalties related to uncertain tax benefits in income taxes, as appropriate.
Tax years that remain open to examination by major tax jurisdictions include tax
years ended October 31, 2004 through October 31, 2008.
EXPENSES: Expenses that are directly related to one fund are charged directly to
that fund. Other operating expenses are prorated to the Funds on the basis of
relative net assets. Class-specific expenses are borne by that class.
CLASSES: Income and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative net assets.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The Funds will enter
into repurchase agreements only with member of the Federal Reserve System and
with "primary dealers" in U.S. Government securities. As of October 31, 2008,
none of the Funds had open repurchase agreements.
- --------------------------------------------------------------------------------
114
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The Trust has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Funds'
custodian either physically or in book-entry form and that the collateral must
be marked to market daily to ensure that each repurchase agreement is fully
collateralized at all times. In the event of bankruptcy or other default by a
seller of a repurchase agreement, a fund could experience one of the following:
delays in liquidating the underlying securities during the period in which the
fund seeks to enforce its rights thereto, possible subnormal levels of income,
declines in value of the underlying securities, or lack of access to income
during this period and the expense of enforcing its rights.
FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S.
dollars. Foreign currency denominated transactions (i.e., market value of
investment securities, assets and liabilities, purchases and sales of investment
securities, and income and expenses) are translated into U.S. dollars at the
current rate of exchange.
Each fund, except the Cash Reserves Fund, reports certain foreign
currency-related transactions as components of realized gains or losses for
financial reporting purposes, whereas such components are treated as ordinary
income for federal income tax purposes. The Cash Reserves Fund can only invest
in U.S. dollar-denominated foreign money market securities.
The Funds do not isolate the portion of gains and losses on investments in
securities that is due to changes in the foreign exchange rates from that which
is due to change in market prices of securities. Such amounts are categorized as
gain or loss on investments for financial reporting purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Cash Reserves
Fund, may purchase and sell forward foreign currency exchange contracts for
defensive or hedging purposes. When entering into forward foreign currency
exchange contracts, the Funds agree to receive or deliver a fixed quantity of
foreign currency for an agreed-upon price on an agreed future date. These
contracts are valued daily. The Funds' net assets reflect unrealized gains or
losses on the contracts as measured by the difference between the forward
foreign currency exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date. The Funds realize a gain or a loss at the
time the forward foreign currency exchange contracts are settled or closed out
with an offsetting contract. Realized and unrealized gains and losses are
included in the Statements of Operations. As of October 31, 2008, none of the
Funds had open forward foreign currency exchange contracts.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash or
other liquid assets in a segregated account with the fund's custodian in an
amount equal to the value of the fund's total assets committed to the
consummation of the forward contract. If the value of the securities in the
segregated account declines, additional cash or securities will be placed in the
segregated account so that the value of the account will equal the amount of the
fund's commitment with respect to the contract.
FUTURES CONTRACTS: Each fund, except the Cash Reserves Fund, may purchase and
sell futures contracts and purchase and write options on futures contracts. The
Funds will engage in futures contracts or related options transactions to hedge
certain market positions. Upon entering into a futures contract, the fund is
required to pledge to the broker an amount of cash, U.S. Government securities
or other assets, equal to a certain percentage of the contract (initial margin
deposit). Subsequent payments, known as "variation margin," are made or received
by the fund each day, depending on the daily fluctuations in the fair value of
the futures contract. When a fund enters into a futures contract, the fund
segregates cash or other liquid securities, of any type or maturity, equal in
value to the fund's commitment. The fund recognizes a gain or loss equal to the
daily change in the value of the futures contracts. Should market conditions
move unexpectedly, the fund may not achieve the anticipated benefits of the
futures contracts and may realize a loss. As of October 31, 2008, none of the
Funds had open futures contracts.
DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued
or delayed delivery basis. "When-issued" refers to securities whose terms are
available and for which a market exists, but that have not been issued. For
when-issued or delayed delivery transactions, no payment is made until delivery
date, which is typically longer than the normal course of settlement, and often
a month or more after the purchase. When a fund enters into an agreement to
purchase securities on a when-issued or delayed delivery basis, the fund
segregates cash or other liquid securities, of any type or maturity, equal in
value to the fund's commitment. Losses may arise due to changes in the market
value of the underlying securities, if the counterparty does not perform under
the contract, or if the issuer does not issue the securities due to political,
economic or other factors. As of October 31, 2008, the Bond Fund had entered
into such transactions, the market values of which are identified in the fund's
Portfolio of Investments.
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115
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
RECLASSIFICATION ADJUSTMENTS: Paid-in capital, undistributed net investment
income, and accumulated net realized gain (loss) have been adjusted in the
Statements of Assets and Liabilities for permanent book-tax differences for all
funds. Differences primarily relate to the tax treatment of net operating
losses, paydown gains and losses, foreign currency gains and losses, and
distributions from real estate investment trusts and passive foreign investment
companies.
REDEMPTION FEES: The Small Cap Value Fund, Small Cap Growth Fund, and the
International Stock Fund will deduct a fee of 2% from redemption proceeds on
Class A and Class B shares held 30 calendar days or less. Redemption fees are
treated as additional paid-in capital to the fund from which the shares are
redeemed and are designed to help offset any costs associated with short-term
shareholder trading.
NEW ACCOUNTING PRONOUNCEMENTS: In September 2006, FASB issued Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
which is effective for fiscal years beginning after November 15, 2007. FAS 157
defines fair value, establishes a framework for measuring fair value and expands
financial statement disclosures about fair value measurements. Management has
evaluated the impact that the adoption of FAS 157 will have on the Funds'
financial statements and believes that the impact on the disclosures will depend
on the composition of the portfolio on the date of adoption. In March 2008, the
FASB also issued Statement of Financial Accounting Standards No. 161,
"Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161").
FAS 161 is effective for fiscal years and interim periods beginning after
November 15, 2008. FAS 161 requires enhanced disclosures about Funds' derivative
and hedging activities. Management is currently evaluating the impact, if any,
on the Funds' financial statement disclosures. In September 2008, FASB Staff
Position No. 133-1 and FASB Interpretation No. 45-4 (the "FSP"), "Disclosures
about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement
No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date
of FASB Statement No. 161," was issued and is effective for fiscal years and
interim periods ending after November 15, 2008. The FSP amends FASB Statement
No. 133 ("FAS 133"), "Accounting for Derivative Instruments and Hedging
Activities," to require disclosures by sellers of credit derivatives, including
credit derivatives embedded in hybrid instruments. The FSP also clarifies the
effective date of FAS 161, whereby disclosures required by FAS 161 are effective
for financial statements issued for fiscal years and interim periods beginning
after November 15, 2008.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
For its investment advisory services to the Funds, the Investment Adviser is
entitled to receive a fee, which is computed daily and paid monthly, at an
annualized percentage rate of the average daily value of the net assets of each
fund as follows: 0.20% for the Conservative, Moderate and Aggressive Allocation
Funds (collectively, the Target Allocation Funds"); 0.40% for the Cash Reserves
Fund; 0.50% for the Bond Fund; 0.55% for the High Income Fund; 0.65% for the
Diversified Income Fund; 0.55% for the Large Cap Value Fund; 0.75% for the Large
Cap Growth Fund; 0.95% for the Mid Cap Value Fund, 0.75% for the Mid Cap Growth
Fund; 1.00% for the Small Cap Value Fund; 1.00% for the Small Cap Growth Fund;
and 1.05% for the International Stock Fund. Except for the Target Allocations
Funds, each fund's management fee will be reduced by 0.05% on assets exceeding
$500 million, and by another 0.05% on assets exceeding $1 billion. The
Investment Adviser is solely responsible for the payment of all fees to the
Subadvisers. The Subadvisers for the Funds at October 31, 2008, are Shenkman
Capital Management, Inc. for the High Income Fund, Wellington Management
Company, LLP for a portion of the Mid Cap Value Fund and the entire Mid Cap
Growth and Small Cap Value Funds, Paradigm Asset Management Company, LLC for the
Small Cap Growth Fund, and Lazard Asset Management LLC for the International
Stock Fund. The Investment Adviser manages the other portion of the Mid Cap
Value Fund, and the Conservative Allocation Fund, Moderate Allocation Fund,
Aggressive Allocation Fund, Cash Reserves Fund, Bond Fund, Diversified Income
Fund, Large Cap Value Fund, and Large Cap Growth Funds.
MCA has contractually agreed, until at least February 27, 2009, to reimburse all
ordinary expenses, other than management, 12b-1, and service fees, of each fund
in excess of the following percentages of the average daily net assets of the
fund (excluding taxes, interest, brokerage commissions and extraordinary
expenses incurred by each fund):
FUND EXPENSE LIMIT FUND EXPENSE LIMIT
- ---- ------------- ---- -------------
Conservative Allocation 0.25% Large Cap Value 0.40%
Moderate Allocation 0.25% Large Cap Growth 0.20%
Aggressive Allocation 0.25% Mid Cap Value 0.20%
Cash Reserves 0.15% Mid Cap Growth 0.40%
Bond 0.15% Small Cap Value 0.25%
High Income 0.20% Small Cap Growth 0.25%
Diversified Income 0.20% International Stock 0.30%
- --------------------------------------------------------------------------------
116
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
For the year ended October 31, 2008, the Investment Adviser reimbursed expenses
of $128,776 for the Conservative Allocation Fund, $80,212 for the Moderate
Allocation Fund, $154,470 for the Aggressive Allocation Fund, $81,270 for the
Cash Reserves Fund, $149,975 for the Bond Fund, $100,940 for the High Income
Fund, $231,423 for the Diversified Income Fund, $231,136 for the Large Cap
Growth Fund, $213,513 for the Mid Cap Value Fund, $26,486 for the Mid Cap Growth
Fund, $98,515 for the Small Cap Value Fund, $101,271 for the Small Cap Growth
Fund, and $413,679 for the International Stock Fund.
Any reimbursements or fee waivers made by the Investment Adviser to a fund are
subject to repayment by the fund, to the extent that the fund is able to make
the repayment within its Expense Cap Agreement. Under the Expense Cap Agreement,
such recoupments, measured on a fiscal year basis, must be made within three
years from when the reimbursement or fee reduction occurred and cannot exceed
the expense caps in place during the year in which the expenses were initially
waived.
RECOVERY EXPIRING RECOVERY EXPIRING RECOVERY EXPIRING
FUND OCTOBER 31, 2009 OCTOBER 31, 2010 OCTOBER 31, 2011
- ---- ----------------- ----------------- -----------------
Conservative Allocation $60,600 $125,906 $128,776
Moderate Allocation 58,861 82,473 80,212
Aggressive Allocation 60,571 129,401 154,470
Cash Reserves 90,538 96,265 81,270
Bond 189,515 189,438 149,975
High Income 122,119 127,986 100,940
Diversified Income 210,578 234,637 231,423
Large Cap Value 273,920 6,615 NA
Large Cap Growth 310,809 297,863 231,136
Mid Cap Value 195,647 212,040 213,513
Mid Cap Growth 206,584 100,481 26,486
Small Cap Value NA 116,613 98,515
Small Cap Growth NA 119,778 101,271
International Stock 230,191 317,536 413,679
CUNA Brokerage Services, Inc. ("CUNA Brokerage") serves as distributor of the
Funds. The Trust adopted Distribution Plans (the "Plans") with respect to the
Trust's Class A, B, and C shares pursuant to Rule 12b-1 under the 1940 Act.
Under the Plans, the Trust will pay service fees for Class A, Class B, and Class
C shares at an aggregate annual rate of 0.25% of each fund's daily net assets
attributable to the respective class of shares for all funds except the Cash
Reserves Fund. The Trust will also pay distribution fees for Class B and Class C
shares at an aggregate annual rate of 0.75% of each fund's daily net assets
attributable to their respective classes. The distribution fees are used to
reimburse CUNA Brokerage for its distribution expenses with respect to Class B
and Class C only, including but not limited to: (1) initial and ongoing sales
compensation to selling brokers and others engaged in the sale of fund shares,
(2) marketing, promotional and overhead expenses incurred in connection with the
distribution of fund shares, and (3) interest expenses on unreimbursed
distribution expenses. The service fees are used to compensate selling brokers
and others for providing personal and account maintenance services to
shareholders.
In addition to distribution fees, CUNA Brokerage received sales charges paid by
the purchasers or redeemers of the Funds' shares. For the year ended October 31,
2008, sales charges received by CUNA Brokerage were as follows:
AMOUNT PAID AMOUNT PAID
---------------------- ---------------------
FUND CLASS A CLASS B CLASS C FUND CLASS A CLASS B
- ---- --------- ------- ------- ---- ------- -------
Conservative Allocation $400,696 $20,836 $1,396 Large Cap Value $63,721 $50,393
Moderate Allocation 1,131,584 69,163 $1,802 Large Cap Growth 65,057 33,981
Aggressive Allocation 383,498 22,676 $ 348 Mid Cap Value 37,861 18,372
Cash Reserves - 19,735 Mid Cap Growth 33,947 18,991
Bond 26,256 25,913 Small Cap Value 1,583 100
High Income 16,483 18,260 Small Cap Growth 3,527 144
Diversified Income 81,426 56,393 International Stock 64,909 21,357
Certain officers and trustees of the Funds are also officers of the Investment
Adviser. With the exception of the Chief Compliance Officer, the Funds do not
compensate their officers or affiliated trustees. As part of the Funds' required
compliance program,
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117
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
the Funds pay a pro rata portion of the Chief Compliance Officer's annual
salary. Unaffiliated trustees receive from the Trust a quarterly retainer, which
compensates them for each regular Board or Committee meeting attended, with
additional remuneration paid to the Chair of the Board and the Chair of the
Audit Committee. Unaffiliated trustees also receive a per meeting fee for each
special meeting, if any, attended.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to dividends from net investment income, the Cash Reserves Fund and
Bond Fund declare dividends daily and distribute monthly. The High Income Fund
and Diversified Income Fund declare and distribute dividends monthly. The
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Large Cap
Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund,
Small Cap Value Fund, Small Cap Growth Fund, and the International Stock Fund
declare and distribute dividends annually. The Funds distribute net realized
gains from investment transactions, if any, to shareholders annually.
Distributions to shareholders of the High Income and Diversified Income Funds
from net investment income for the period ended October 31, 2008 include
$620,800, and $378,358, respectively, which the Funds will not include in their
dividends paid deduction for Federal income tax purposes.
Income and capital gain distributions, if any, are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. Taxable distributions from
income and realized capital gains in the Funds differ from book amounts earned
during the period due to differences in the timing of capital gains recognition,
and due to the reclassification of certain gains or losses from capital to
income. Dividends from net investment income are determined on a class level.
Capital gains are determined on a fund level.
5. SECURITIES TRANSACTIONS
For the year ended October 31, 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 $ - $ - $38,742,288 $24,561,063
Moderate Allocation - - 93,100,416 68,009,658
Aggressive Allocation - - 33,280,632 24,411,356
Bond 64,346,984 21,478,362 11,415,504 4,962,144
High Income - - 38,411,653 36,953,451
Diversified Income 663,257 14,451,680 17,708,445 30,020,462
Large Cap Value - - 88,774,175 90,706,469
Large Cap Growth - - 263,944,064 229,660,407
Mid Cap Value - - 43,835,091 67,054,142
Mid Cap Growth - - 89,263,640 97,754,123
Small Cap Value - - 10,954,854 11,117,659
Small Cap Growth - - 35,229,821 34,350,707
International Stock - - 127,198,863 84,165,151
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, however, the Cash Reserves Fund is
limited to U.S. dollar-denominated foreign money market securities. Foreign
securities refer to securities that are: (1) issued by companies organized
outside the U.S. or whose principal operations are outside the U.S., (2) issued
by foreign governments or their agencies or instrumentalities, (3) principally
traded outside the U.S., or (4) quoted or denominated in a foreign currency.
Foreign securities include American Depositary Receipts ("ADRs"), European
Depositary Receipts ("EDRs"), Global Depositary Receipts ("GDRs"), Swedish
Depositary Receipts ("SDRs") and foreign money market securities.
Dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic
Master Index are not considered a foreign security.
Certain of the funds have reclaim receivable balances, in which the funds are
due a reclaim on the taxes that have been paid to some foreign jurisdictions.
The values of all reclaims are not significant for any of the funds and are
reflected in Other Assets on the Statement of Assets and Liabilities. On a
periodic basis, these receivables are reviewed to ensure the current receivable
balance is reflective of the amount deemed to be collectible.
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118
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
7. SECURITIES LENDING
Each fund, except the Target Allocation, Cash Reserves, Small Cap Value, and
Small Cap Growth Funds, entered into a Securities Lending Agreement (the
"Agreement") with State Street Bank and Trust Company ("State Street"). Under
the terms of the Agreement, the Funds may lend portfolio securities to qualified
borrowers in order to earn additional income. The Agreement requires that loans
are collateralized at all times by cash or other liquid assets at least equal to
102% of the value of the securities, which is determined on a daily basis. At
October 31, 2008, none of the funds had securities on loan.
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statement of Operations.
The primary risk associated with securities lending is if the borrower defaults
on its obligation to return the securities loaned because of insolvency or other
reasons, the funds could experience delays and costs in recovering securities
loaned or in gaining access to the collateral.
8. TAX INFORMATION
The tax character of distributions paid during the years ended October 31, 2008
and 2007 was as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAIN RETURN OF CAPITAL
--------------- ---------------------- -----------------
FUND 2008 2007 2008 2007 2008 2007
- ---- ---------- ---------- ----------- ------------ -------- --------
Conservative Allocation $ 480,002 $ 63,707 $ 60,393 $ - $ - $ -
Moderate Allocation 1,174,561 226,773 377,700 - - -
Aggressive Allocation 232,391 48,470 212,760 27,182 - -
Cash Reserves 350,356 834,210 - - - -
Bond 5,364,596 3,718,123 - - - 771,839
High Income 5,624,536 4,370,555 - - - -
Diversified Income 4,615,505 5,408,753 10,885,869 3,024,761 - -
Large Cap Value 2,252,854 2,305,265 1,207,706 - - -
Large Cap Growth - - - - - -
Mid Cap Value 2,175,848 1,301,006 6,033,431 11,398,471 - -
Mid Cap Growth - - 577,694 - - -
Small Cap Value 568,226 - - - - -
Small Cap Growth 310,339 783 - - - -
International Stock 2,447,159 2,974,032 14,019,896 8,721,408 - -
At October 31, 2008, the components of distributable earnings on a tax basis
were as follows:
FUND ORDINARY INCOME LONG-TERM CAPITAL GAIN
- ---- --------------- ----------------------
Conservative Allocation $ 541,526 $ -
Moderate Allocation 557,239 -
Aggressive Allocation - -
Cash Reserves - -
Bond 6,067 -
High Income 67,269 -
Diversified Income 315,354 -
Large Cap Value 2,275,325 -
Large Cap Growth 336,379 -
Mid Cap Value 236,254 -
Mid Cap Growth - -
Small Cap Value 86,221 -
Small Cap Growth - -
International Stock 2,032,628 2,827,690
- --------------------------------------------------------------------------------
119
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
For federal income tax purposes, the funds listed below have capital loss
carryovers as of October 31, 2008, which are available to offet future capital
gains, if any:
FUND 2009 2010 2011 2012 2013 2014 2015 2016
- ---- ---- ---- ---- ---- ---- ---- ---- ----
Conservative Allocation $ - $ - $ - $ - $ - $ - $ - $ 823,887
Moderate Allocation - - - - - - - 4,121,648
Aggressive Allocation - - - - - - - 1,431,110
Bond - - - 85,623 65,261 362,802 57,909 -
High Income 1,720,815 2,445,850 614,259 - - - 72,549 4,653,350
Diversified Income - - - - - - - 3,638,247
Large Cap Value - - - - - - - 9,537,053
Large Cap Growth - - 1,255,080 - - - - 15,286,497
Mid Cap Value - - - - - - - 5,487,785
Mid Cap Growth - - - - - - - 5,654,757
Small Cap Value - - - - - - - 1,362,749
Small Cap Growth - - - - - - - 3,905,861
The Bond Fund utilized $650,180 of prior capital loss carryovers during the year
ended October 31, 2008.
At October 31, 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 $ - $ (6,566,002) $ (6,566,002)
Moderate Allocation - (24,669,684) (24,669,684)
Aggressive Allocation - (10,442,635) (10,442,635)
Bond 1,893,837 (7,754,537) (5,860,700)
High Income 3,336 (12,583,710) (12,580,374)
Diversified Income 1,810,382 (16,559,903) (14,749,521)
Large Cap Value 9,722,807 (35,740,160) (26,017,353)
Large Cap Growth 1,500,956 (33,398,197) (31,897,241)
Mid Cap Value 786,022 (12,887,721) (12,101,699)
Mid Cap Growth 669,781 (20,469,640) (19,799,859)
Small Cap Value 598,771 (5,405,256) (4,806,485)
Small Cap Growth 289,015 (5,719,968) (5,430,953)
International Stock 520,228 (44,268,976) (43,748,748)
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
9. CONCENTRATION OF RISK
Investing in certain financial instruments, including forward foreign currency
contracts and futures contracts, involves certain risks, other than that
reflected in the Statements of Assets and Liabilities. Risks associated with
these instruments include potential for an illiquid secondary market for the
instruments or inability of counterparties to perform under the terms of the
contracts, changes in the value of foreign currency relative to the U.S. dollar
and financial statement volatility resulting from an imperfect correlation
between the movements in the prices of the instruments and the prices of the
underlying securities and interest rates being hedged. The High Income Fund, Mid
Cap Growth Fund, and International Stock Fund enter into these contracts
primarily to protect these funds from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in
U.S. markets. These include risks associated with adverse changes in economic,
political, regulatory and other conditions, changes in currency exchange rates,
exchange control regulations, expropriation of assets or nationalization,
imposition of withholding taxes on dividend or interest payments or capital
gains, and possible difficulty in obtaining and enforcing judgments against
foreign entities. Further, issuers of foreign securities are subject to
different, and often less comprehensive, accounting, reporting and disclosure
requirements than domestic issuers.
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120
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The High Income Fund invests in securities offering high current income which
generally will include bonds in the below investment grade categories of
recognized rating agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities. The fund generally invests
at least 80% of its assets in high yield securities.
The Target Allocation Funds are structured as fund of funds, meaning that they
invest primarily in the shares of other registered investment companies (the
"underlying funds"), including ETFs. Thus, each fund's investment performance
and its ability to achieve its investment goal are directly related to the
performance of the underlying funds in which it invests; and the underlying
fund's performance, in turn, depends on the particular securities in which that
underlying fund invests and the expenses of that fund. Accordingly, the Target
Allocation Funds are subject to the risks of the underlying funds in direct
proportion to the allocation of their respective assets among the underlying
funds.
Additionally, the Target Allocation Funds are subject to asset allocation risk
and manager risk. Manager risk (i.e., fund selection risk) is the risk that the
fund(s) selected to fulfill a particular asset class under performs their peer.
Asset allocation risk is the risk that the allocation of the fund's assets among
the various asset classes and market segments will cause the fund to under
perform other funds with a similar investment objective.
10. CAPITAL SHARES AND AFFILIATED OWNERSHIP
Each fund is authorized to issue an unlimited number of shares of beneficial
interest with no par value. At October 31, 2008, investments in the Funds by
affiliates were as follows:
CUNA
BROKERAGE
FUND CLASS SERVICES, INC.
- ---- ----- --------------
Diversified Income A $1,385,623
The Target Allocation Funds invest in underlying funds, of which certain
underlying funds (the "affiliated underlying funds"), may be deemed to be under
common control because of the same Board of Trustees. A summary of the
transactions with each affiliated underlying fund during the year ended October
31, 2008 follows:
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2007 ADDITIONS SALES 10/31/2008 10/31/2008 LOSS RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ---------- -------------
CONSERVATIVE ALLOCATION FUND
MEMBERS Bond Fund Class Y 233,009 718,838 112,064 839,783 $ 7,952,748 $ (6,271) $ 186,651
MEMBERS High Income Fund Class Y 125,542 468,608 105,883 488,267 2,714,765 (88,506) 218,749
MEMBERS International Stock Fund
Class Y 60,311 282,555 47,120 295,746 2,504,966 (179,070) 168,190
MEMBERS Large Cap Growth Fund
Class Y(1) 132,226 232,413 138,780 225,859 2,516,070 (138,647) -
MEMBERS Large Cap Value Fund
Class Y 97,986 130,870 61,991 166,865 1,772,103 (193,896) 35,972
MEMBERS Mid Cap Growth Fund
Class Y 95,269 150,203 245,472 - - (117,008) 5,224
- ----------------------------------------------------------------------------------------------------------------------------------
TOTALS $17,460,652 $(723,398) $ 614,786
- -----------------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
121
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NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2007 ADDITIONS SALES 10/31/2008 10/31/2008 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
MODERATE ALLOCATION FUND
MEMBERS Bond Fund Class Y 757,733 485,941 174,910 1,068,764 $10,121,194 $ 4,368 $ 363,095
MEMBERS High Income Fund Class Y 676,118 326,827 341,510 661,435 3,677,577 (204,871) 375,002
MEMBERS International Stock Fund
Class Y 570,270 1,043,626 409,844 1,204,052 10,198,322 (124,406) 794,701
MEMBERS Large Cap Growth Fund
Class Y(1) 502,938 463,800 231,768 734,970 8,187,564 (324,553) -
MEMBERS Large Cap Value Fund
Class Y 485,037 343,228 313,596 514,669 5,465,787 (349,287) 170,570
MEMBERS Mid Cap Growth Fund
Class Y 770,538 342,442 631,376 481,604 1,979,394 (403,371) 41,620
MEMBERS Mid Cap Value Fund Class Y 236,163 60,007 296,170 - - (738,091) 356,854
MEMBERS Small Cap Growth Fund
Class Y 313,907 153,361 174,356 292,912 1,839,486 (282,132) 41,969
MEMBERS Small Cap Value Fund
Class Y 238,886 62,595 40,136 261,345 1,910,435 (68,778) 68,797
- ------------------------------------------------------------------------------------------------------------------------------
TOTALS $43,379,759 $(2,491,121) $2,212,608
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 10/31/2007 ADDITIONS SALES 10/31/2008 10/31/2008 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------
AGGRESSIVE ALLOCATION FUND
MEMBERS International Stock Fund
Class Y 373,202 364,289 250,016 487,475 $ 4,128,916 $ 17,126 $517,554
MEMBERS Large Cap Growth Fund
Class Y(1) 212,775 158,345 84,930 286,190 3,188,162 (101,225) -
MEMBERS Large Cap Value Fund
Class Y 209,586 142,755 167,431 184,910 1,963,740 (175,496) 72,606
MEMBERS Mid Cap Growth Fund
Class Y 359,897 214,934 259,265 315,566 1,296,976 (212,855) 19,760
MEMBERS Mid Cap Value Fund
Class Y 149,533 42,490 192,023 - - (454,611) 222,424
MEMBERS Small Cap Growth Fund
Class Y 166,322 96,634 104,416 158,540 995,628 (165,140) 21,930
MEMBERS Small Cap Value Fund
Class Y 168,833 51,077 77,567 142,343 1,040,526 (115,681) 47,155
- -------------------------------------------------------------------------------------------------------------------------------
TOTALS $12,613,948 $(1,207,882) $901,429
- -----------------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the shareholders and board of trustees of MEMBERS mutual funds:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of MEMBERS Mutual Funds, comprising Conservative
Allocation Fund, Moderate Allocation Fund, Aggressive Allocation Fund, Cash
Reserves Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap
Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund,
Small Cap Value Fund, Small Cap Growth Fund, and International Stock Fund
(collectively, the "Funds") as of October 31, 2008, and the related statements
of operations for the year then ended, and the statements of changes in net
assets and the financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Funds are not required to have, nor were we engaged to perform, an audit of
their internal control over financial reporting. Our audits included
consideration of internal control over financial reporting as a basis for
designing audit procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of the Funds'
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of October 31, 2008, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Funds as of October 31, 2008, the results of their operations for the
year then ended, and the changes in their net assets and financial highlights
for each of the periods presented, in conformity with accounting principles
generally accepted in the United States of America.
/s/ DELOITTE & TOUCHE LLP
Chicago, Illinois
December 19, 2008
- --------------------------------------------------------------------------------
123
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments, and redemption
fees; (2) ongoing costs, including management fees; distribution and/or service
(12b-1) fees; and other fund expenses. In the most recent six-month period, the
Funds limited these ongoing costs; had it not done so, expenses would have been
higher. The examples below are intended to help you understand your ongoing
costs (in dollars) of investing in the Funds and to compare these costs with the
ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested at the
beginning of the period and held for the entire six month period ended October
31, 2008. Expenses paid during the period in the tables below are equal to the
fund's annualized expense ratio, multiplied by the average account value over
the period, multiplied by 184/366 (to reflect the one-half fiscal year period).
ACTUAL EXPENSES
The table below provides information about actual account values using actual
expenses and actual returns for the Funds. You may use the information in this
table, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the table for the fund you own under the heading entitled
"Expenses Paid During Period" to estimate the expenses you paid on your account
during this period.
CLASS A CLASS B
----------------------------------------------- --------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Conservative Allocation $1,000 $798.70 .70% $3.16 $794.80 1.45% $6.54
Moderate Allocation 1,000 716.00 .70% 3.02 713.60 1.45% 6.25
Aggressive Allocation 1,000 641.60 .69% 2.85 639.70 1.45% 5.98
Cash Reserves 1,000 1,007.40 .55% 2.78 1,003.60 1.30% 6.55
Bond 1,000 979.20 .90% 4.48 975.50 1.65% 8.19
High Income 1,000 833.30 1.00% 4.61 829.30 1.75% 8.05
Diversified Income 1,000 877.00 1.10% 5.19 873.50 1.85% 8.71
Large Cap Value 1,000 707.10 1.16% 4.98 704.50 1.91% 8.18
Large Cap Growth 1,000 697.50 1.20% 5.12 695.00 1.96% 8.35
Mid Cap Value 1,000 679.40 1.40% 5.91 676.30 2.16% 9.10
Mid Cap Growth 1,000 630.20 1.40% 5.74 627.90 2.16% 8.84
Small Cap Value 1,000 782.20 1.50% 6.72 781.00 2.25% 10.07
Small Cap Growth 1,000 657.20 1.50% 6.25 654.60 2.25% 9.36
International Stock 1,000 636.80 1.60% 6.58 634.10 2.35% 9.65
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124
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
CLASS C(1)
----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Conservative Allocation $1,000 $794.80 1.45% $6.54
Moderate Allocation 1,000 713.60 1.45% 6.25
Aggressive Allocation 1,000 639.10 1.45% 5.97
CLASS Y
----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Bond 1,000 980.40 .65% 3.24
High Income 1,000 834.10 .75% 3.46
Large Cap Value 1,000 708.00 .91% 3.92
Large Cap Growth 1,000 698.40 .95% 4.06
Mid Cap Value 1,000 679.80 1.15% 4.86
Mid Cap Growth 1,000 630.40 1.15% 4.71
Small Cap Value 1,000 784.30 1.25% 5.61
Small Cap Growth 1,000 658.30 1.25% 5.21
International Stock 1,000 637.30 1.35% 5.56
- -------------------------------------
(1) Commenced investment operations on February 29, 2008.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table below provides information about hypothetical account values and
hypothetical expenses based on the Funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the Funds' actual
returns. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the
Funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds. The Target Allocation Fund's Class C's
hypothetical expenses reflect amounts as if the Class had been in existence for
the entire fiscal half year.
CLASS A CLASS B
----------------------------------------------- -----------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Conservative Allocation $1,000 $1,021.62 .70% $3.56 $1,017.85 1.45% $7.35
Moderate Allocation 1,000 1,021.62 .70% 3.56 1,017.85 1.45% 7.35
Aggressive Allocation 1,000 1,021.67 .69% 3.51 1,017.85 1.45% 7.35
Cash Reserves 1,000 1,022.37 .55% 2.80 1,018.60 1.30% 6.60
Bond 1,000 1,020.61 .90% 4.57 1,016.84 1.65% 8.36
High Income 1,000 1,020.11 1.00% 5.08 1,016.34 1.75% 8.87
Diversified Income 1,000 1,019.61 1.10% 5.58 1,015.84 1.85% 9.37
Large Cap Value 1,000 1,019.30 1.16% 5.89 1,015.53 1.91% 9.68
Large Cap Growth 1,000 1,019.10 1.20% 6.09 1,015.28 1.96% 9.93
Mid Cap Value 1,000 1,018.10 1.40% 7.10 1,014.28 2.16% 10.94
Mid Cap Growth 1,000 1,018.10 1.40% 7.10 1,014.28 2.16% 10.94
Small Cap Value 1,000 1,017.60 1.50% 7.61 1,013.83 2.25% 11.39
Small Cap Growth 1,000 1,017.60 1.50% 7.61 1,013.83 2.25% 11.39
International Stock 1,000 1,017.09 1.60% 8.11 1,013.32 2.35% 11.89
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125
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
CLASS C(1)
-----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Conservative Allocation $1,000 $1,017.85 1.45% $7.35
Moderate Allocation 1,000 1,017.85 1.45% 7.35
Aggressive Allocation 1,000 1,017.85 1.45% 7.35
CLASS Y
-----------------------------------------------
EXPENSES
BEGINNING ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD
- ---- ----- ----- ----- ------
Bond 1,000 1,021.87 .65% 3.30
High Income 1,000 1,021.37 .75% 3.81
Large Cap Value 1,000 1,020.54 .91% 4.64
Large Cap Growth 1,000 1,020.36 .95% 4.82
Mid Cap Value 1,000 1,019.36 1.15% 5.84
Mid Cap Growth 1,000 1,019.36 1.15% 5.84
Small Cap Value 1,000 1,018.85 1.25% 6.34
Small Cap Growth 1,000 1,018.85 1.25% 6.34
International Stock 1,000 1,018.35 1.35% 6.85
- -------------------------------------
(1) Commenced investment operations on February 29, 2008.
Please note that the expenses shown in both tables are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), or redemption fees. The information provided in the
hypothetical example table is useful in comparing ongoing costs only, and will
not help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Funds file its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the Funds' website at www.membersfunds.com and on
the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at
the Commission's Public Reference Room in Washington, DC. More information on
the operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Funds to vote proxies
related to portfolio securities is available to shareholders at no cost on the
Funds' website at www.membersfunds.com or by calling 1-800-877-6089. The proxy
voting records for the Funds for the most recent twelve-month period ended June
30 are available to shareholders at no cost on the Funds' website at
www.membersfunds.com and on the SEC's website at www.sec.gov.
TAX INFORMATION
FOREIGN TAX CREDITS: The International Stock Fund expects to make an election
under Internal Revenue Code Section 853 to pass through foreign taxes paid by
the fund to its shareholders. For the year ended October 31, 2008, the total
amount of foreign taxes that is expected to passed through to shareholders and
foreign source income for information reporting purposes will be $277,079 (all
of which represents taxes withheld) and $4,744,648, respectively. Complete
information regarding the fund's foreign tax credit pass through to shareholders
for 2008 will be reported in conjuction with Form 1099-DIV.
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126
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
CORPORATE DIVIDENDS RECEIVED DEDUCTION: Of the dividends paid by the
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Diversified
Income, Large Cap Value, Mid Cap Value, Small Cap Value, Small Cap Growth and
International Stock Funds, 3.60%, 14.19%, 44.77%, 49.48%, 100%, 55.39%, 32.58%,
34.35%, and 0.08%, respectively, qualify for the corporate dividends received
deduction.
QUALIFIED DIVIDEND INCOME: For the fiscal year ended October 31, 2008, The
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Diversified
Income, Large Cap Value, Mid Cap Value, Small Cap Value, Small Cap Growth and
the International Stock Funds paid dividend income totaling $480,002,
$1,174,561, $104,049, $4,193,970, $2,252,855, $2,175,840, $568,226, $310,339 and
$2,447,159 respectively. The Funds hereby designate the maximum amount of
dividends allowable pursuant to the Internal Revenue Code, as qualifed dividend
income ("QDI") eligible for reduced tax rates (the rates range from 5% to 15%
depending upon individual's tax bracket). Complete information regarding each
fund's income distributions paid during the calendar year 2008, including the
portion, if any, which qualify as QDI, will be reported in conjunction with Form
1099-DIV.
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127
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OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
BOARD APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS
Under the Investment Company Act of 1940, as amended (the "Act"), each mutual
fund's investment advisory agreement, and any subadvisory agreement, must be
approved at least annually by the fund's board of trustees, including a majority
of the trustees who are not "interested persons" under the Act (the "independent
trustees").
The board of trustees (the "Board") of MEMBERS Mutual Funds (the "Trust")
reviews the performance of each series of the Trust (each, a "Fund" and
collectively, the "Funds") and the investment adviser and subadviser of each
Fund at each regular board meeting, including appropriate comparative
information. At these meetings, the Board also receives updates concerning the
investment strategies being pursued by the Funds, changes in the Funds'
investment processes and portfolio management personnel, the expenses incurred
by the Funds, and various other matters which may impact the Funds' performance
and that of the Funds' investment adviser and subadvisers.
In addition, the Board considers whether to approve the continuation of the
Funds' investment advisory and subadvisory agreements at an in-person meeting
held near the end of each year. The most recent such meeting was held December
4-5, 2008.
Before the December 2008 meeting, the Board asked the Funds' investment adviser
and subadvisers to provide written information addressing factors to be
considered by the Board in deciding whether or not to approve the agreements. In
addition, counsel to the independent trustees provided the Board with a
memorandum reviewing its duties under the Act with respect to approval of the
agreements. Before the December 2008 meeting, the Board and counsel also asked
the investment adviser and subadvisers to expand upon certain of the written
information they had provided, and they held a conference call with
representatives of the investment adviser to discuss the information provided.
At the December 2008 meeting, representatives of the investment adviser reviewed
the written information it had provided and responded to further questions from
the Board concerning this information and related matters. In addition, at this
meeting, representatives of each subadviser made presentations and responded to
follow-up questions from the Board. After these presentations and discussions,
the Board (including a majority of independent trustees) unanimously approved
the investment advisory agreement and each subadvisory agreement. In determining
to approve these agreements, the Board considered the following factors and
reached the following conclusions:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY THE INVESTMENT ADVISER AND
SUBADVISERS: The Board received and considered a variety of information
pertaining to the nature, extent and quality of the services provided by the
investment adviser and subadvisers. This information generally included the
professional qualifications and experience of the portfolio management teams for
each Fund; the portfolio management processes utilized by these teams; the
organization, resources and research capabilities of the investment management
companies of which these teams are a part; and the investment adviser's and
subadvisers' compliance, regulatory and litigation experience, their portfolio
transaction execution and soft dollar policies and practices, and their policies
and procedures for allocating transactions among accounts. In particular, the
Board discussed with the investment adviser and each subadviser the status of
the firm's financial condition and future expectations for any expense and/or
staff reductions in consideration of recent market events. After reviewing this
information and discussing it with representatives of the investment adviser and
subadvisers, the Board concluded that it was generally satisfied with the
nature, extent and quality of the services provided by the investment adviser
and subadvisers.
INVESTMENT PERFORMANCE OF THE FUNDS AND THEIR INVESTMENT ADVISER AND
SUBADVISERS: As noted above, the Board reviews the performance of the Funds and
their investment adviser and subadvisers at each regular Board meeting held
throughout the year. In addition, at the December 2008 meeting, the Board
reviewed recent performance of the Funds compared to (i) the performance of
their respective unmanaged market benchmark indices and (ii) the performance of
their respective Morningstar peer groups adjusted for fund structure and size.
The Board also considered written discussions that the investment adviser and,
in the case of the subadvised Funds, that the subadviser provided to it
regarding the major elements of each Fund's investment strategy that contributed
positively or negatively to the Fund's performance during the preceding year as
well as expectations for the next year.
Among other things, the Board noted that six Funds outperformed and an
additional four Funds ranked just below the median of their respective
Morningstar peer group for the 12 months ended September 30, 2008. In addition,
the Board noted that of the remaining four Funds, (i) three showed improved
performance on a net-of-fees basis for the three months ended September 30, 2008
and (ii) the remaining Fund outperformed its benchmark index on a gross-of-fees
basis for the 12 months ended September 30, 2008.
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OTHER INFORMATION (UNAUDITED)
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Based on the foregoing reviews, the Board concluded that it was comfortable with
the Funds' performance or with the steps which the investment adviser or
subadviser is taking to improve performance. The Board also determined that it
will monitor the progress of the lower performing Funds during the coming year.
COST OF SERVICES PROVIDED AND PROFITABILITY: At the December 2008 meeting, the
Board reviewed written information prepared by the Funds' investment adviser
setting forth, on a fund-by-fund basis, the investment adviser's pre-tax
profitability under its investment advisory agreement with the Funds for the
year ended September 30, 2008. In the course of its review, the Board noted that
most of the Funds were operated at a loss to the investment adviser. With
respect to several of the Funds that were not operated at a loss, the Board
noted that the pre-tax margins were lower in 2008 than they had been in 2007.
The Board confirmed with the investment adviser that its profitability was
sufficient to continue to provide a high level of services to the Funds.
The Board also considered how each Fund's management fees and total expenses
compare to those of the other funds in its Morningstar peer group. The Board
noted that 11 of the Funds' management fees after waivers ranked in the first
quintile and the remaining three Funds' management fees after waivers ranked in
the second quintile. The Board also noted that the investment adviser proposed
to continue the fee waivers for an additional year. The Board noted that seven
Funds ranked in the second or third quintile for net expenses, with the
remaining Funds ranked below the third quintile for net expenses.
The Board noted that the investment adviser did not manage any other portfolios
with a similar investment objective or principal investment strategy as the
Funds for a lower management fee than that charged to the Funds. The Board also
noted that the investment adviser, not the Funds, pays the subadvisers' fees.
The Board noted that to the extent a Fund invests in other Funds, the investment
adviser receives investment advisory fees from both Funds. The Board was
satisfied in this regard that the investment adviser provides separate services
to each Fund in exchange for the fees received from it.
Based on all this information, the Board concluded that the management fees and
total expenses borne by the Funds are reasonable in relation to the services
provided, and that the investment adviser's level of profitability from its
investment advisory agreement with the Funds is well within reason.
ECONOMIES OF SCALE: The investment adviser provided the Board with information
concerning how large a Fund must be before the investment adviser could cease
subsidizing the Fund, and how much larger than that a Fund must grow before
economies of scale may begin. As of September 30, 2008, the Funds ranged in size
from approximately $17 million to $155 million. The Board observed that one of
the Funds had reached the size at which the investment adviser was no longer
required to waive fees and/or absorb expense to meet the Fund's expense cap.
The Board also considered that the management fees for most of the Funds were
subject to breakpoints, under which the management fee would be reduced on
assets above specified amounts. The Board believes that this agreement provides
a reasonable sharing, as between the investment adviser and Fund shareholders,
of the economies of scale that would exist at higher asset levels.
OTHER BENEFITS TO THE INVESTMENT ADVISER AND SUBADVISERS FROM THEIR
RELATIONSHIPS WITH THE FUNDS: The Board also considered the nature and extent of
other benefits that may flow to the investment adviser and subadvisers from
their relationships with the Funds. The Board noted that an affiliate of the
investment adviser acts as principal underwriter for the Funds and, in this
capacity, receives front-end sales charges, Rule 12b-1 fees and service fees in
connection with the distribution of Fund shares and the provision of services to
Fund shareholders. As required by the Act, the Board reviews and approves the
Funds' Rule 12b-1 distribution and/or service plans and agreements on an annual
basis. In addition, at each regular Board meeting, the Board reviews the
payments the Funds made under these plans and agreements for the prior quarter,
and for what reasons the payments were made. At its December 2008 meeting, the
Board approved the continuation of these plans and agreements for another year,
concluding that there is a reasonable likelihood they will benefit the Funds and
their shareholders.
As discussed above, the Board noted that with respect to a Fund that invests in
other Funds, the investment adviser receives fees from both Funds. However, the
Board was satisfied that the investment adviser provides separate services for
the two layers of fees paid in such instances. In addition, the Board noted that
the fee waivers to which the investment adviser has agreed reduce the impact of
these two layers of fees.
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OTHER INFORMATION (UNAUDITED)
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The Board also noted that the investment adviser and some subadvisers execute a
portion of the Funds' portfolio transactions on a "soft dollar" basis, pursuant
to which the investment adviser and subadvisers receive research services from
or through the executing brokers. In connection with each regular Board meeting,
the Board reviews a third-party evaluation of the quality of execution of the
portfolio transactions executed by the investment adviser on behalf of the
Funds. The Board noted that these evaluations generally have indicated that the
quality of the Funds' executions compares favorably with that of other mutual
funds. The Board also noted that the reported execution and soft dollar benefits
received by the subadvisers were reasonable in light of the transactions each
subadviser executes on behalf of the Funds.
Finally, the Board noted the investment adviser's and the subadvisers'
representations that they seek to achieve "best execution" in executing all of
the Funds' portfolio transactions, and that their soft dollar practices comply
with applicable law. Based on these reviews, the Board was satisfied with the
quality of execution of the Funds' portfolio transactions, and it did not
believe the soft dollar benefits received by the investment adviser and
subadvisers were excessive.
Based on the foregoing information, the Board concluded that while additional
benefits flow to the investment adviser and subadvisers from their relationships
with the Funds, the nature and extent of these additional benefits are not
unreasonable when considered in the context of the overall services provided to,
and fees received from, the Funds by these entities.
BOARD CONCLUSION: After taking the foregoing information and the other
information provided by the investment adviser and subadvisers into account, the
Board (including a majority of independent trustees), acting in the exercise of
its business judgment, unanimously approved the continuation of the investment
advisory agreement and the subadvisory agreements. In doing so, the Board did
not assign specific weights to the various factors considered, nor did it deem
any one factor or set of factors to be decisive. Instead, it considered the
total mix of information provided to it in reaching its decisions.
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MEMBERS MUTUAL FUNDS' TRUSTEES AND OFFICERS
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Each trustee and officer oversees 32 portfolios in the fund complex, which
consists of the MEMBERS Mutual Funds with 14 portfolios and the Ultra Series
Fund with 18 portfolios. The address of each trustee and officer is 5910 Mineral
Point Road, Madison WI 53705. The Statement of Additional Information, which
includes additional information about the trustees and officers, is available at
no cost on the Funds' website at www.membersfunds.com or by calling
1-800-877-6089.
NAME; POSITION(S) HELD WITH THE FUND & PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS;
YEAR ELECTED(1); YEAR OF BIRTH OTHER OUTSIDE DIRECTORSHIPS
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
- -----------------------------------------------------------------------------------------------------------------------------------
Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and President (1983-2002);
Chairman (2006) Lutheran Brotherhood (now Thrivent Financial) Chief Investment Officer
Trustee (2003) (1983-2002).
1938 Other Directorships: Regis Corp. (since 1982).
- -----------------------------------------------------------------------------------------------------------------------------------
Linda S. Foltz, CPA Dougherty Consulting, LLC: President/Owner (since 2005); Direct Supply, Inc.:
Trustee (2006) Executive Vice President of Corporate Development and Chief Financial Officer
1950 (1988-2005).
Other Directorships: Direct Supply, Inc. (since 2003).
- -----------------------------------------------------------------------------------------------------------------------------------
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior
Trustee (2005) Vice President Marketing and Vice President Human Resources (1986-2001).
1954 Other Directorships: None
- -----------------------------------------------------------------------------------------------------------------------------------
Richard E. Struthers Clearwater Capital Management: Chairman and Chief Executive Officer
Trustee (2004) (since 1998); Park Nicollet Health Services: Director (since 2001) and
1952 Chairman, Finance and Investment Committee (since 2006);
IAI Mutual Funds, President and Director (1992-1997).
Other Directorships: Park Nicollet Health Services (since 2001) 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 MAP
Vice President (2008) (since 2008); Managing Director-Managed Accounts and Mutual Funds (2006-2008);
1962 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) Treasurer and Director, Mutual Fund Operations, (2006-2008), Operations Officer-Mutual
Principal Financial Officer (2008) Funds (2005-2006), and Senior Manager-Product and Fund Operations
Assistant Treasurer (1999-2007) (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).
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(1) Independent trustees serve in such capacity until the trustee reaches the
age of 75.
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[LOGO OF MEMBERS](TM) Presorted Standard
MUTUAL FUNDS U.S. POSTAGE
PAID
MEMBERS Mutual Funds Louisville, KY
Post Office Box 8390 Permit No. 1051
Boston, MA 02266-8390 ------------------
1 (800) 877-6089
www.membersfunds.com
Distributed by:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677-9202
Member FINRA/SIPC
4460-P1053
Rev: 1208
ITEM 2. CODE OF ETHICS.
As of the period ended October 31, 2008, MEMBERS Mutual Funds (also referred to
herein as the "Registrant" or the "Trust") has adopted a code of ethics ("Code")
that applies to the Trust's principal executive officer, principal financial
officer, principal accounting officer or controller, or person performing
similar functions, a copy of which is posted on the Registrant's Internet
website at www.membersfunds.com. Registrant intends to disclose on its Internet
website information related to (1) any amendment of the Code (with the exception
of technical, administrative or other non-substantive amendments), and (2) any
waiver from a provision of the Code that has been granted to the Registrant's
principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, within five
business days following the date of such amendment or waiver.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's board of trustees has determined that the Registrant has four
audit committee financial experts serving on its Audit Committee. The names of
the audit committee financial experts are Richard E. Struthers, Linda S. Foltz,
Rolf F. Bjelland and Steven P. Riege, each of whom is an "independent" trustee
for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
----------
For the fiscal years ended October 31, 2008 and October 31, 2007, the
aggregate fees for professional services rendered by Deloitte & Touche
LLP ("Deloitte & Touche"), the Trust's independent public accountant,
for the audit of the Trust's annual financial statements and services
normally provided by such firm in connection with statutory and
regulatory filings and engagements for such fiscal years, totaled
$228,000 and $214,120, respectively.
(b) Audit Related Fees
------------------
For the fiscal years ended October 31, 2008 and October 31, 2007, the
aggregate fees for professional services rendered by Deloitte & Touche
for assurance and related services by such firm that were reasonably
related to the performance of the audit of the Trust's annual financial
statements other than those referenced in paragraph (a) above, totaled
totaled $0 and $0, respectively.
(c) Tax Fees
--------
For the fiscal years ended October 31, 2008 and October 31, 2007, the
aggregate fees for professional services rendered by Deloitte & Touche
for tax compliance, tax advice and tax planning for such fiscal years,
totaled $39,995 and $42,475, respectively. For the 2007 fiscal year,
$37,675 was paid by the Trust directly, and $4,800 was paid by the
Trust's accounting agent.
In the scope of services comprising the fees disclosed under this Item
4(c) were the following services:
-Review and sign as signature preparer for U.S. Income Tax Return for
Regulated Investment Companies, Form 1120-RIC and the Return of Excise
Tax on Undistributed Income of Regulated Investment Companies, Form
8613.
(d) All Other Fees
--------------
For the fiscal years ended October 31, 2008 and October 31, 2007, the
aggregate fees for professional services rendered by Deloitte & Touche
for products and services other than those reported in subparagraphs
(a) through (c) of this Item 4, for such fiscal years, totaled $0 and
$0, respectively.
(e)(1) Pursuant to Rule 2-01(c)(7) of Regulation S-X, the Registrant's Audit
Committee has established pre-approval policies and procedures with
respect to audit, audit-related, tax, and other non-audit services. In
accordance with these policies, certain services have received the
Audit Committee's general pre-approval, while other services must be
specifically pre-approved.
(e)(2) The Audit Committee has pre-approved, as required by Rule 2-01(c)(7)
(i)(C) of Regulation S-X, 100% of the services described in this
Item 4(b) through (d), which such services are described above.
(f) Not applicable.
(g) During the Trust's fiscal years ended October 31, 2008 and October 31,
2007, the aggregate non-audit fees billed by Deloitte & Touche for
services rendered to the Trust (other than as already disclosed above)
and to MEMBERS Capital Advisors, Inc. ("MCA"), the Trust's investment
adviser, and to any entity controlling, controlled by, or under common
control with MCA that provides ongoing services to the Trust, totaled
$0 and $0, respectively.
(h) The Trust's Audit Committee has considered the provision of the
non-audit services that were rendered to MCA, and any entity
controlling, controlled by, or under common control with MCA that
provides ongoing services to the Registrant that were not pre-approved
pursuant to paragraph Rule 2-01(c)(7)(ii) of Regulation S-X and has
determined that the provision of such services is compatible with
maintaining Deloitte & Touche's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule I - Investments in Securities of Unaffiliated Issuers as of October 31,
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 Investment Company Act of 1940) are effective based
on their evaluation of the disclosure controls and procedures as of a
date within 90 days of the filing date of this report.
(b) There have been no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) 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.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act
of 2002, are filed herewith.
(a)(3) Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002, are furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
MEMBERS MUTUAL FUNDS
BY: /s/David P. Marks
-----------------
David P. Marks
President
DATE: 12/29/08
--------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
BY: /s/David P. Marks
-----------------
David P. Marks
President, MEMBERS Mutual Funds
DATE: 12/29/08
--------
BY: /s/Holly S. Baggot
------------------
Holly S. Baggot
Treasurer, MEMBERS Mutual Funds
DATE: 12/29/08
--------
EXHIBIT INDEX
12(a)(1) Not applicable.
12(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act
of 2002, are filed herewith.
(a)(3) Not applicable.
12(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002, are furnished herewith.