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 NUMBER: 811-5669
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FIFTH THIRD FUNDS
(Exact Name of Registrant as Specified in Charter)
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38 Fountain Square Plaza
Cincinnati, Ohio 45263
(Address of Principal Executive Office) (Zip Code)
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Registrant's Telephone Number, including area code: (800) 282-5706
(Name and Address of Agent for Service)
E. Keith Wirtz with a copy to:
President David A. Sturms
Fifth Third Funds Vedder Price P.C.
38 Fountain Square Plaza 222 North LaSalle Street
Cincinnati, Ohio 45263 Chicago, IL 60601
Date of fiscal year end: July 31
Date of reporting period: January 31, 2010
ITEM 1. REPORT TO STOCKHOLDERS.
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FIFTH THIRD FUNDS
[GRAPHIC OF FIFTH THIRD FUNDS]
2010
STOCK AND BOND MUTUAL FUNDS
Semi-Annual Report to
Shareholders
January 31, 2010
Advised by:
[LOGO OF FTAM]
FIFTH THIRD ASSET MANAGEMENT
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NOTICE OF DELIVERY OF PROSPECTUSES,
SEMI-ANNUAL REPORTS AND ANNUAL REPORTS
In order to reduce expenses of the Fifth Third Funds incurred in connection with
the mailing of prospectuses, prospectus supplements, semi-annual reports and
annual reports to multiple shareholders at the same address, Fifth Third Funds
may in the future deliver one copy of a prospectus, prospectus supplement,
semi-annual report or annual report to a single investor sharing a street
address or post office box with other investors, provided that all such
investors have the same last name or are believed to be members of the same
family. If you share an address with another investor and wish to receive your
own prospectus, prospectus supplements, semi-annual reports and annual reports,
please call the Trust toll-free at 1-800-282-5706.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by a prospectus for the Funds, which contains facts
concerning the objectives and policies, management fees, expenses and other
information.
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to the portfolio securities and information regarding
how the Funds voted relating to portfolio securities during the most recent
12-month period ended June 30 is available without charge, upon request, on the
Funds' website at www.fifththirdfunds.com or by calling 1-800-282-5706 and on
the Securities and Exchange Commission's website at http://www.sec.gov.
Schedules of Investments for periods ending April 30 and October 31 are filed on
Form NQ and are available, without charge, on the Securities and Exchange
Commission's website at http://www.sec.gov. They may be viewed at the SEC's
Public Reference Room in Washington, D.C. (information on the operation of the
Public Reference Room may be obtained by calling 800.SEC.0330).
Fifth Third Funds are distributed by FTAM Funds Distributor, Inc., member FINRA.
FTAM Funds Distributor, Inc. is not an affiliate of Fifth Third Bank, Fifth
Third Funds or Fifth Third Asset Management, Inc. Fifth Third Asset Management,
Inc. serves as Investment Advisor to Fifth Third Funds and receives a fee for
its services.
FIFTH THIRD FUNDS, LIKE ALL MUTUAL FUNDS:
o ARE NOT FDIC INSURED
o HAVE NO BANK GUARANTEE
o MAY LOSE VALUE
TABLE OF CONTENTS
Economic Outlook and Commentary Section .................................... 1
Management Discussion of Fund Performance
Small Cap Growth ........................................................... 4
Mid Cap Growth ............................................................. 5
Quality Growth ............................................................. 6
Dividend Growth ............................................................ 7
Micro Cap Value ............................................................ 8
Small Cap Value ............................................................ 9
All Cap Value .............................................................. 10
Disciplined Large Cap Value ................................................ 11
Structured Large Cap Plus .................................................. 12
Equity Index ............................................................... 13
International Equity ....................................................... 14
Strategic Income ........................................................... 15
Fifth Third LifeModel Aggressive(SM) ....................................... 16
Fifth Third LifeModel Moderately Aggressive(SM) ............................ 17
Fifth Third LifeModel Moderate(SM) ......................................... 18
Fifth Third LifeModel Moderately Conservative(SM) .......................... 19
Fifth Third LifeModel Conservative(SM) ..................................... 20
High Yield Bond ............................................................ 21
Total Return Bond .......................................................... 22
Short Term Bond ............................................................ 23
Glossary of Terms .......................................................... 24
Schedules of Investments ................................................... 27
Notes to Schedules of Investments .......................................... 76
Statements of Assets and Liabilities ....................................... 78
Statements of Operations ................................................... 82
Statements of Changes in Net Assets ........................................ 86
Statement of Cash Flows .................................................... 103
Financial Highlights ....................................................... 104
Notes to Financial Highlights .............................................. 128
Notes to Financial Statements .............................................. 129
Supplemental Information ................................................... 152
OUR MESSAGE TO YOU
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The financial markets regained a sense of normalcy over the past six months as
equities posted solid gains, and fixed income securities supplied some stability
to investor portfolios. Against this backdrop, Fifth Third Funds shareholders
enjoyed positive absolute returns across the investment spectrum.
Within the stock market, results reported during the six-month period ending
January 31, 2010, included:
o A 9.87% advance for the S&P 500(R) Stock Index(1) of large cap stocks.
o A 12.73% advance for the S&P MidCap 400 Index(1) of mid cap stocks.
o A 9.23% advance for the S&P 600 SmallCap Index(1) of small cap stocks.
o A 6.93% advance for the MSCI(R) EAFE(R) Index(1) of international stocks.
The year of 2009 has ended but will not be forgotten anytime soon. The U.S.
economy emerged from a sharp recession--many feared a depression was imminent at
the start of the year--and its citizens were substantially affected. Of note:
o Households are spending less and saving more.
o Most investors, scarred by the downturn that occurred during 2008 and early
2009, have a new appreciation for risk--most evident in the huge amounts of
cash that remained in preservation mode through the spring and summer despite
a broad rally in the equity markets.
o U.S. corporations that survived the period of major distress are poised for
better things in 2010.
The storm, it seems, has passed, and recent economic datapoints suggest a new
expansion is underway.
U.S. fixed income markets responded accordingly, bolstered by large infusions
of cash from the U.S. Treasury and the Federal Reserve Bank, as well as a
historically low Fed Funds target rates from the Fed. Federal government
purchase programs helped restore order in the previously crippled
Mortgage-Backed Securities and Asset-Backed Securities markets, although future
inflationary concerns weighed on long-term issues. Cash lagged most everything
as the Federal Funds target rate, which drives money market funds, remained in a
range of 0.0% to 0.25%.
Globally, capital markets reacted to positive economic developments in developed
and emerging markets and lifted securities from the "end of the world"
valuations touched in March 2009. As a result, most indexes around the world
moved sharply higher as some--not all--investors once again discovered the
courage to raise the risk profile of their portfolios.
Market psychology appears to have shifted from one of pure fear to more normal
sentiment, driven by the avoidance of a financial system collapse. Moreover, the
U.S. and most of the rest of the world seems to have moved into a period of
economic expansion with fundamentals that are on the upturn. Banks and other
financial companies endeavor to repair balance sheets and fourth quarter
earnings reports suggest that bank profits have returned. The process of healing
for the financial sector continues into 2010, but the picture seems to have
improved.
I'm proud to report that the family of Fifth Third Funds generally performed
well during 2009, buoyed by a company-wide commitment to higher-quality
investments. By sticking to such a philosophy, we believe our portfolio managers
are well equipped to generate solid long-term returns to shareholders through
extreme market turmoil, poor-quality surges that seemingly fizzle as quickly as
they climb, and ultimately, during periods where solid fundamentals portend
investment success.
1
Looking ahead, our expectations on the macro front include:
MODEST GROWTH IN THE U.S. GROSS DOMESTIC PRODUCT (GDP). With the housing
sector still weak, a consumer focus on reducing debt levels, and still-rising
unemployment, we're bracing for around a 2.50% growth rate in the GDP--lower
than the historical average of 3.00%.
CONTINUING CHALLENGES IN THE JOB MARKET. Uncertainties regarding economic
policies under consideration in Washington will likely weigh on corporate
managers debating new hiring efforts. As a result, we see the rate of
unemployment moving higher before a turn for the better.
A CATCH-UP PHASE IN EQUITY MARKETS. The size and scope of the 2009 stock
market rally discounted much of the double-digit expansion in corporate
earnings we anticipate for 2010. As a result, we expect stock returns to
register between 5% and 9% for the year while price-to-earnings ratios
compress to more normal levels.
THE RETURN TO FAVOR OF CYCLICAL GROWTH STOCKS. International, smaller cap,
and lower-quality stocks fueled the stock market's push higher last spring
and summer. It's time for larger cap, higher-quality securities to step to
the fore.
A CAUTIONARY FEDERAL RESERVE. Given last winter's economic scare, it's
unlikely the Federal Reserve will pull back on monetary stimulus until the
domestic economy demonstrates solid growth. Yet by year-end, we expect to see
higher rates, so fixed income investors should tread conservatively.
AN INTERESTING U.S. DOLLAR-GOLD-COMMODITIES DANCE. A strategy of shorting
the U.S. dollar and investing in gold rewarded some investors well in 2009.
As the approach has gained in popularity, it's worth exploring contrary,
pro-dollar, anti-gold tactics. Concurrently, improving economic conditions in
developing economies will likely boost demand for commodities such as oil,
paper, and metals, which could negate the drag otherwise resulting from a
stronger dollar.
SHAKY PROSPECTS ON THE GOVERNMENT FRONT. In Washington, Congress appears as
though it may only act on the estate tax this year--likely adjusting the 2010
rate of 0% to something much higher--while letting the taxes on dividends,
capital gains, and incomes revert to higher 2001 levels. At the state level,
years of escalated spending are a mismatch for lower tax receipts resulting
from dropping property values. As such, investors should brace for additional
bad news flowing from some states and potential credit downgrades on some
municipal debt. These bonds are not risk-free!
In closing, conditions over the past six months have renewed our belief in the
resiliency of the U.S. financial markets. As the economy righted itself, so,
too, did the stock and bond markets, proving once again that a well-diversified
investment plan should serve as the core to achieving investment success.
Furthermore, by investing in Fifth Third Funds, which seek out high quality,
fundamentally sound stocks and bonds, we believe you're building a portfolio
that's well-positioned for gains into the future.
Thank you for your confidence in Fifth Third Funds.
/s/ Keith Wirtz
Keith Wirtz, CFA
President
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(1)TERMS AND DEFINITIONS
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THE S&P 500(R) STOCK INDEX IS AN INDEX OF 500 SELECTED COMMON STOCKS MOST OF
WHICH ARE LISTED ON THE NEW YORK STOCK EXCHANGE, AND IS A MEASURE OF THE U.S.
STOCK MARKET AS A WHOLE.
THE S&P MIDCAP 400 INDEX IS AN INDEX OF 400 SELECTED COMMON STOCKS THAT TRACKS
U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $850 MILLION TO $3.8 BILLION.
THE S&P SMALLCAP 600 INDEX IS AN INDEX OF 600 SELECTED COMMON STOCKS THAT TRACKS
U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $250 MILLION TO $1.2 BILLION.
THE MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI)(R) EUROPE, AUSTRALASIA, AND
FAREAST(EAFE)(R) INDEX IS GENERALLY REPRESENTATIVE OF A SAMPLE OF COMPANIES OF
THE MARKET STRUCTURE OF 20 EUROPEAN AND PACIFIC BASIN COUNTRIES.
THE ABOVE INDICES DO NOT REFLECT THE DEDUCTION OF FEES ASSOCIATED WITH A MUTUAL
FUND SUCH AS INVESTMENT MANAGEMENT AND FUND ACCOUNTING FEES. INVESTORS CANNOT
INVEST DIRECTLY IN AN INDEX, ALTHOUGH THEY CAN INVEST IN ITS UNDERLYING
SECURITIES.
THE RECENT GROWTH RATE IN THE STOCK MARKET HAS HELPED TO PRODUCE SHORT-TERM
RETURNS FOR SOME ASSET CLASSES THAT ARE NOT TYPICAL AND MAY NOT CONTINUE IN THE
FUTURE. BECAUSE OF ONGOING MARKET VOLATILITY, FUND PERFORMANCE MAY BE SUBJECT TO
SUBSTANTIAL SHORT-TERM CHANGES.
2
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3
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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SMALL CAP GROWTH FUND
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For the six-month period ended January 31, 2010, the Fifth Third Small Cap
Growth Fund (Institutional) advanced 7.07% net of fees, outperforming its
benchmark, the Russell 2000(R) Growth Index, which gained 7.05%.
Improving economic conditions throughout the period made for a generally
positive environment for equities. Job losses moderated, industrial production
gained, purchasing manager sentiment improved, and the gross domestic product
posted a sizeable gain in the fourth quarter of 2009. Through the first few
months of the six-month period, stocks rode the final leg of the low-quality
bounce that led the market off its early March lows. But through the latter
months, preferences flip-flopped and most investors adopted a sense of risk
aversion, which led to a higher-quality bias.
Against this backdrop, solid stock selection in the Financials and Industrials
sectors helped spark the Fund's outperformance versus its benchmark. More
specifically, exposure in the consumer finance services group and within the
transportation infrastructure industry considerably enhanced returns.
Conversely, weak stock selection in the Consumer Discretionary sector hurt
performance as the Fund was weighed down by laggards in the textiles and
apparels industry and a lack of exposure to the household durables industry.
Detractors in the Healthcare sector, especially within the healthcare equipment
and supplies industry, also diminished relative gains.
During the period, the Fund added significantly to its weighting in the
Information Technology sector, where fundamentals improved yet valuations
remained reasonable. As the economy healed, the Fund also moved from an
underweight position to a neutral stake, relative to the benchmark, in the
Consumer Discretionary sector. To help fund the new investments, the Fund pared
back its stake in the Materials and Industrials sectors, where opportunities
were less compelling.
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INVESTMENT RISK CONSIDERATIONS
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Small capitalization funds typically carry additional risk since smaller
companies generally have a higher risk of failure. Historically, smaller
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
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AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
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6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
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Institutional 7.07% 37.34% -0.57% 0.37%
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Class A Shares 1.51% 30.39% -1.85% -0.40%
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Class B Shares 1.60% 31.23% -1.73% -0.64%
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Class C Shares 5.40% 35.89% -1.61% -0.65%
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Russell 2000(R) Growth Index(1) 7.05% 39.03% 0.88% -1.73%
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PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.24% (INSTITUTIONAL SHARES), 1.49% (CLASS A) AND 2.24% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29, 2001,
the quoted performance of the Small Cap Growth Fund Institutional Shares
reflects the performance of the Kent Small Company Growth Fund Institutional
Shares with an inception date of November 2, 1992. Prior to October 29, 2001,
the quoted performance for Class A Shares reflects the performance of the Kent
Small Company Growth Investment Shares, with an inception date of December 4,
1992, adjusted for the maximum sales charge. For the period prior to October 29,
2001, the performance of Class B and Class C Shares reflects the performance of
Institutional Shares of the Kent Small Company Growth Fund, adjusted to reflect
expenses and applicable sales charges for Class B and Class C Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
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TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
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AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
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Aegean Marine Petroleum Network, Inc. .................................... 2.23%
Genoptix, Inc. ........................................................... 1.92%
Emergency Medical Services Corp., Class A ................................ 1.69%
Cardronics, Inc. ......................................................... 1.63%
Ares Capital Corp. ....................................................... 1.57%
ICON PLC ADR ............................................................. 1.54%
Amedisys, Inc. ........................................................... 1.47%
JDA Software Group, Inc. ................................................. 1.42%
United Therapeutics Corp. ................................................ 1.40%
Bally Technologies, Inc. ................................................. 1.38%
* Long-term securities.
(+) Portfolio composition is subject to change.
4
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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MID CAP GROWTH FUND
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For the six-month period ended January 31, 2010, the Fifth Third Mid Cap Growth
Fund (Institutional) advanced 8.04% net of fees, underperforming its benchmark,
the Russell Midcap(R) Growth Index, which gained 11.64%.
Investor preferences flip-flopped midway through the period after stocks spent
the first few months riding the final leg of the low-quality bounce that led the
market off its early March lows. An increasing aversion to riskier assets
settled over the markets through the closing months, which led to a bias toward
higher-quality names. In general, improving economic conditions created a
positive environment for equities throughout the period. Job losses moderated,
industrial production gained, purchasing manager sentiment improved, and the
gross domestic product posted a sizeable gain in the fourth quarter of 2009.
Due to a modestly lower-quality profile, the Fund topped the benchmark through
the period's opening three months but endured a significant setback during the
latter half. Brighter economic data propelled portions of the Consumer
Discretionary and Industrials sectors where the Fund was underrepresented, which
also diminished returns. For example, underweighting in the airline industry
resulted in relative losses as the group performed well amid expectations for
higher travel demand. Alternatively, solid stock selection in the
Telecommunication Services sector, especially among wireless communication tower
companies, supplied a relative lift.
As the period progressed, the Fund sought out companies poised to build upon
solid fourth quarter earnings reports. As a result, it expanded its exposure in
the Financials sector, with an eye toward potential increases in merger and
acquisition activity, and cashed out of some positions in the Information
Technology and Energy sectors that appeared to have already priced in any future
upside.
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INVESTMENT RISK CONSIDERATIONS
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Mid capitalization funds typically carry additional risk since mid-size
companies generally have a higher risk of failure. Historically, mid-size
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
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AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
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6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
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Institutional 8.04% 38.39% -0.08% 0.99%
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Class A Shares 2.46% 31.06% -1.35% 0.20%
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Class B Shares 2.37% 32.01% -1.31% -0.04%
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Class C Shares 6.56% 36.98% -1.04% -0.02%
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Russell Midcap(R) Growth Index(1) 11.64% 47.07% 2.12% -0.92%
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PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.24% (INSTITUTIONAL SHARES), 1.49% (CLASS A) AND 2.24% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception date for the
Class B Shares of the Mid Cap Growth Fund is October 11, 2000. Prior to such
date, quoted performance reflects the performance of Class A Shares adjusted to
reflect expenses and applicable sales charges for Class B Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
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TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
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AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
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Intuit, Inc. ............................................................. 2.03%
Digital Realty Trust, Inc. ............................................... 1.84%
McDermott International, Inc. ............................................ 1.82%
Waddell & Reed Financial, Inc., Class A .................................. 1.80%
United Therapeutics Corp. ................................................ 1.77%
Oceaneering International, Inc. .......................................... 1.74%
Cognizant Technology Solutions Corp., Class A ............................ 1.72%
Seagate Technology ....................................................... 1.71%
DENTSPLY International, Inc. ............................................. 1.62%
LKQ Corp. ................................................................ 1.61%
* Long-term securities.
(+) Portfolio composition is subject to change.
5
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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QUALITY GROWTH FUND
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For the six-month period ended January 31, 2010, the Fifth Third Quality Growth
Fund (Institutional) gained 8.33% net of fees, underperforming its benchmarks,
the Russell 1000(R) Growth Index, which advanced 9.85%.
Through the second half of 2009, the shock of the financial crisis that rattled
the market in 2008 and early 2009 faded, investors' risk aversion declined, and
economic fundamentals began to strengthen. Although a high unemployment rate
continued to weigh on U.S. consumers, sentiment remained stable, especially as
crude oil prices remained in a tight range through the latter months of the
period and the yield on 10-year U.S. Treasury bonds, which influence mortgage
rates, bounced between 3.2% and 3.6%. The massive amount of government stimulus
funds and supportive policy from the Federal Reserve helped positive market
momentum persist into the New Year.
Within the Fund, Healthcare sector investments accounted for much of the
underperformance during the period as investors remained wary of the group amid
the aggressive industry reform debate. In addition, the Fund struggled to keep
pace with sizeable gains in select Consumer Discretionary stocks.
Alternatively, an underweight position, relative to the benchmark, and solid
stock selection in the Consumer Staples sector proved beneficial as investors
generally shunned traditionally defensive names. Within the Energy sector, an
aversion to large integrated firms supplied a relative lift, as did stakes in
several exploration and production companies that rose due largely to increased
merger and acquisition activity within the sector.
With the economy seemingly transitioning into a more stable and modest growth
pattern, the Fund ended the period offensively tilted in anticipation of
improved conditions. Yet the state of the American consumer is a concern as weak
employment conditions still pose challenges and the timing of any Fed rate hike
remains uncertain. As a result, a sense of caution seems practical and the Fund
will look to protect near-term profits-- particularly in momentum-laden areas
such as the Consumer Discretionary, Information Technology, and Financials
sectors.
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INVESTMENT RISK CONSIDERATIONS
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Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
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AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 8.33% 29.08% 1.96% -2.18%
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Class A Shares 2.75% 28.95% 0.68% -2.93%
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Class B Shares 2.81% 22.76% 0.61% -3.17%
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Class C Shares 6.89% 27.83% 0.94% -3.15%
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Russell 1000(R) Growth Index(1) 9.85% 37.85% 1.42% -3.95%
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PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.16% (INSTITUTIONAL SHARES), 1.41% (CLASS A) AND 2.16% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception date for the
Class B Shares of the Quality Growth Fund is October 11, 2000. Prior to such
date, quoted performance reflects the performance of Class A Shares adjusted to
reflect expenses and applicable sales charges for Class B Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
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TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Microsoft Corp. ......................................................... 3.91%
Cisco Systems, Inc. ..................................................... 3.15%
Apple, Inc. ............................................................. 2.87%
International Business Machines Corp. ................................... 2.74%
Google, Inc., Class A ................................................... 2.68%
Hewlett-Packard Co. ..................................................... 2.67%
Intel Corp. ............................................................. 2.31%
Oracle Corp. ............................................................ 2.20%
Johnson & Johnson ....................................................... 2.16%
Kellogg Co. ............................................................. 1.79%
* Long-term securities.
(+) Portfolio composition is subject to change.
6
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
DIVIDEND GROWTH FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Dividend Growth
Fund (Institutional) gained 6.75% net of fees, underperforming its primary
benchmark, the S&P 500(R) Index, which advanced 9.87%. The Russell 1000(R) Index
added 10.27% and the Russell 1000(R) Growth Index climbed 9.85%.
The U.S. economy steadily improved during the period, with holiday retail sales
rebounding from a miserable 2008 season and the gross domestic product gaining
impressively in the fourth quarter of 2009. Massive government stimulus efforts
aided the recovery and had a considerable impact on restoring normalcy in the
previously wounded credit markets. Yet true to its nature as a lagging
indicator, the unemployment rate rose past 10% in late 2009, which cast
uncertainty over the near-term resiliency of the U.S. economy.
The Fund's high-quality focus hurt performance during the period as
lower-quality names extended a rally that led the broader market off early March
lows. Value stocks also tended to outperform growth names, which further
diminished returns as the Fund emphasizes companies that grow earnings and
dividends faster than their peers.
From a sector standpoint, investments in the Industrials and Financials sectors
detracted from gains. Exposure in the construction and engineering industry and
an overweight position, relative to the benchmark, in the railroad industry
hindered the Industrials stake, while minimal exposure to a late-period surge in
regional bank stocks hurt within the Financials sector. Ineffective selection
among retailers also pressured returns from the Consumer Discretionary sector.
Positive contributions came from an underweight stake in the Telecommunication
Services sector and select stocks in the Utilities sector.
During the period, the Fund moved from an underweight to an overweight position
in the Healthcare sector, where abundance of quality companies traded at
reasonable values, and added exposure in the Industrials sector to capitalize on
the improving economy. The high-quality bias continued to anchor the Fund, as
healthier balance sheets have tended to withstand interest rate turbulence,
which is possible in the coming year, on a historical basis.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
As a non-diversified Fund, the Fund may invest a greater percentage of assets in
a particular company or a smaller number of companies as compared to diversified
funds. As a result, the value of the Fund's shares may fluctuate more than funds
invested in a broader range of companies.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 6.75% 23.02% 0.70% -5.25%
- -------------------------------------------------------------------------------------------
Class A Shares 1.34% 16.56% -0.53% -5.96%
- -------------------------------------------------------------------------------------------
Class B Shares 1.28% 16.82% -0.67% -6.10%
- -------------------------------------------------------------------------------------------
Class C Shares 5.25% 21.79% -0.31% -6.19%
- -------------------------------------------------------------------------------------------
S&P 500(R) Index(1) 9.87% 33.14% 0.18% -0.80%
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 2.83% (INSTITUTIONAL SHARES), 3.08% (CLASS A) AND 3.83% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception date for the
Class B Shares of the Fund is October 11, 2000. Prior to such date, quoted
performance reflects the performance of Class A Shares adjusted to reflect
expenses and applicable sales charges for Class B Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
United Technologies Corp. ............................................... 2.59%
Johnson & Johnson ....................................................... 2.32%
Apple, Inc. ............................................................. 2.26%
Microsoft Corp. ......................................................... 2.23%
International Business Machines Corp. ................................... 2.16%
Google, Inc., Class A ................................................... 1.90%
MetLife, Inc. ........................................................... 1.75%
Wisconsin Energy Corp. .................................................. 1.73%
Apache Corp. ............................................................ 1.67%
PepsiCo, Inc. ........................................................... 1.64%
* Long-term securities.
(+) Portfolio composition is subject to change.
7
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
MICRO CAP VALUE FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Micro Cap Value
Fund (Institutional) advanced 6.79% net of fees, underperforming its benchmarks,
the Russell Microcap(R) Value Index, which gained 9.26%, and the Russell 2000(R)
Value Index, which rose 10.63%.
Through the second half of 2009 and into 2010, investors continued to venture
into equities as the U.S. economy offered renewed signs of improvement. For much
of the six-month period, the market's attention focused primarily on
lower-quality stocks, which rode the reflation wave--sentiment that massive
amounts of liquidity from the Federal Reserve and large fiscal stimulus measures
would propel the gross domestic product higher.
Within the Fund, which suffered somewhat due to its high-quality focus, minimal
exposure to the surging auto components and media industries within the Consumer
Discretionary sector hindered relative performance. Lagging holdings in the
restaurant industry, where consumer spending was slower to recover, also hurt
relative returns. Heavy exposure to trucking firms, which faltered amid the
trucking industry's overcapacity issues, and an underweight position, relative
to the benchmark, in the rallying construction materials and paper and forest
products industries further limited relative gains.
Good stock selection in the Energy sector supplied a relative lift to
performance, as did effective positioning within the slumping banking industry.
Stock selection in the communication equipment industry and among Internet
software and services firms enhanced relative returns from the Information
Technology sector, which cooled through much of the second half of 2009 after
leading the market off its early March lows.
During the period, the Fund adopted a more defensive posture in anticipation of
potential drags on future growth such as higher interest rates, a falloff in
federal stimulus funds, and the return of higher tax rates. More specifically,
it boosted its stake in the Consumer Staples sector and pared back exposure in
the Consumer Discretionary and Information Technology sectors.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Micro capitalization funds typically carry additional risk since micro-cap
companies generally have a higher risk of failure. Historically, micro-cap
stocks have experienced a greater degree of market volatility than large company
stocks on average.
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 6.79% 47.23% -1.12% 8.72%
- -------------------------------------------------------------------------------------------
Class A Shares 1.58% 39.39% -2.33% 7.96%
- -------------------------------------------------------------------------------------------
Class B Shares 1.64% 40.96% -2.14% 7.82%
- -------------------------------------------------------------------------------------------
Class C Shares 5.25% 45.96% -2.04% 7.89%
- -------------------------------------------------------------------------------------------
Russell 2000(R) Value Index(1) 10.63% 36.55% 0.19% 8.24%
- -------------------------------------------------------------------------------------------
Russell Microcap(R) Value Index(1) 9.26% 34.57% -3.26% 7.69%(2)
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.89% (INSTITUTIONAL SHARES), 2.14% (CLASS A) AND 2.89% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception date for the
Class B Shares is October 11, 2000. Prior to such date, quoted performance
reflects the performance of Class A Shares adjusted to reflect expenses and
applicable sales charges for Class B Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
(2) The average annual total return since its inception, July 2000.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Brown Shoe Co., Inc. .................................................... 1.56%
Barrett Business Services, Inc. ......................................... 1.46%
Gulfport Energy Corp. ................................................... 1.46%
Perficient, Inc. ........................................................ 1.42%
Meadowbrook Insurance Group, Inc. ....................................... 1.40%
Overhill Farms, Inc. .................................................... 1.40%
Nash Finch Co. .......................................................... 1.37%
Monmouth Real Estate Investment Corp., Class A .......................... 1.37%
Celadon Group, Inc. ..................................................... 1.33%
Center Financial Corp. .................................................. 1.30%
* Long-term securities.
(+) Portfolio composition is subject to change.
8
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Small Cap Value
Fund (Institutional) advanced 15.35% net of fees, outperforming its benchmark,
the Russell 2000(R) Value Index, which gained 10.63%.
Stabilizing housing markets in select hard-hit locations accounted for a share
of restoring investor confidence during the period as flattening real estate
values in states such as Florida and Arizona offered hope that the fallout from
the mortgage market blowup of 2008 was dissipating. Meanwhile, growing risk
tolerance buoyed investors, who kept venturing into equities, and corporate
executives, who confidently replenished inventories that were depleted during
the recent recession. For all the positive sentiment in the market, however, the
massive rally that started off the early March lows showed signs of fatigue,
especially in the latter portion of the period.
The Fund's outperformance during the period stemmed in part from solid stock
selection in the Industrials and Consumer Discretionary sectors. More
specifically, machinery industry holdings surged amid expanding corporate
capital investment plans and government stimulus-funded projects; railroad
stocks advanced as Warren Buffet made a large investment in the industry; and
specialty retailers also provided a lift. Elsewhere, exposure to banks that
maintained higher credit quality than the rest of the market previously
recognized paid off as well.
During the period, the Fund adopted a more defensive profile, reducing its
exposure to the Consumer Discretionary sector and padding its Consumer Staples
weighting. Exposure also increased in the Financials sector, particularly among
insurers, and in the Industrials sector, where domestic and export orders
followed the economy higher. The Fund closed out some positions in the
Information Technology sector, which led the spring and summer rally, and the
Energy sector, where a handful of natural gas exploration and production firms
provided a lift during the six-month period.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Small capitalization funds typically carry additional risk since smaller
companies generally have a higher risk of failure. Historically, smaller
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR 5 YEAR INCEPTION
--------- ----------- ------ ------ ---------
Institutional 4/1/03 15.35% 49.81% 3.07% 8.69%
- -------------------------------------------------------------------------------------------------
Class A Shares 4/1/03 9.53% 42.16% 1.77% 7.60%
- -------------------------------------------------------------------------------------------------
Class B Shares 4/1/03 9.81% 43.39% 1.75% 7.60%
- -------------------------------------------------------------------------------------------------
Class C Shares 4/1/03 13.86% 48.48% 2.03% 7.58%
- -------------------------------------------------------------------------------------------------
Russell 2000(R) Value Index(1) 10.63% 36.55% 0.19% 8.24%
- -------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.30% (INSTITUTIONAL SHARES), 1.55% (CLASS A) AND 2.30% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS
- --------------------------------------------------------------------------------
Brown Shoe Co., Inc. .................................................... 1.84%
Endurance Specialty Holdings, Ltd. ...................................... 1.79%
Orbital Sciences Corp. .................................................. 1.75%
Community Bank System, Inc. ............................................. 1.69%
Olin Corp. .............................................................. 1.69%
Fresh Del Monte Produce, Inc. ........................................... 1.64%
American Italian Pasta Co., Class A ..................................... 1.64%
SWS Group, Inc. ......................................................... 1.63%
EnPro Industries, Inc. .................................................. 1.62%
Glatfelter .............................................................. 1.62%
* Long-term securities.
(+) Portfolio composition is subject to change.
9
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
ALL CAP VALUE FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third All Cap Value
Fund (Institutional) advanced 10.38% net of fees, underperforming its
benchmarks, the Russell 3000(R) Value Index, which gained 10.70%, and the
Russell Midcap(R) Value Index, which rose 15.20%.
The early months of the period represented the tail end of the market's recovery
from its March 2009 lows as investors steadily pushed equities higher. Starting
in October, however, expectations sobered amid continued proof that the economy
was on the mend, which led to worries that the Federal Reserve would raise
interest rates sooner rather than later. Over the course of the six-month
period, lower-quality and smaller and mid cap stocks outperformed the market,
although the enthusiasm for riskier positions waned in the closing months.
The Fund ended the period with an average weighted market cap of $52 billion,
trailing the benchmark's $61 billion average. A slightly overweight position,
relative to the benchmark, in mid cap stocks helped relative returns, as did an
overweight in stocks that fell in the middle of the quality spectrum.
Alternatively, the Fund's modest cash position in an up market negatively
weighed on relative performance. From a sector standpoint, an overweight
position and poor stock selection in the Information Technology sector, which
led the market through the first half of 2009 but fell behind in the second
half, diminished relative gains. Poor stock selection further limited returns in
the Materials sector, where laggards in the metals and mining industry
overshadowed solid investments in the chemicals industry. Company specific
complications also resulted in poor relative performance within the Healthcare
sector.
Effective stock selection in the Telecommunication Services sector supplied a
positive relative contribution, as did an overweight position and investments in
companies exposed to the global recovery within the Industrials sector. In
addition, an underweight stake and productive stock selection in the Consumer
Staples sector proved advantageous.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Small capitalization funds typically carry additional risk since smaller
companies generally have a higher risk of failure. Historically, smaller
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 10.38% 36.44% -0.05% 6.06%
- -------------------------------------------------------------------------------------------
Class A Shares 4.67% 29.27% -1.31% 5.23%
- -------------------------------------------------------------------------------------------
Class B Shares 4.90% 30.09% -1.28% 5.12%
- -------------------------------------------------------------------------------------------
Class C Shares 8.85% 34.99% -1.05% 5.11%
- -------------------------------------------------------------------------------------------
Russell 3000(R) Value Index(1) 10.70% 31.84% -0.42% 2.92%
- -------------------------------------------------------------------------------------------
Russell Midcap(R) Value Index(1) 15.20% 45.58% 1.89% 7.94%
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.44% (INSTITUTIONAL SHARES), 1.69% (CLASS A) AND 2.44% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
August 13, 2001, the quoted performance of the All Cap Value Fund Institutional
Shares reflects the performance of the Fifth Third/Maxus Equity Fund
Institutional Shares with an inception date of April 1, 1999. The inception date
for the Class A, Class B and Class C Shares is August 13, 2001. Prior to such
date, the quoted performance for Class A Shares reflects performance of the
Fifth Third/Maxus Equity Fund Investor Shares and is adjusted for the maximum
sales charges. The quoted performance of Class B and Class C Shares reflects the
performance of the Fifth Third/Maxus Equity Fund Investor Shares and is adjusted
to reflect expenses and applicable sales charges for Class B and Class C Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
General Electric Co. .................................................... 3.04%
Transocean, Ltd. ........................................................ 2.66%
JPMorgan Chase & Co. .................................................... 2.59%
Merck & Co., Inc. ....................................................... 2.35%
Forest Laboratories, Inc. ............................................... 2.19%
Wells Fargo & Co. ....................................................... 2.14%
UnitedHealth Group, Inc. ................................................ 2.11%
Apache Corp. ............................................................ 2.11%
ConocoPhillips .......................................................... 2.00%
Chevron Corp. ........................................................... 1.87%
* Long-term securities.
(+) Portfolio composition is subject to change.
10
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Disciplined
Large Cap Value Fund (Institutional) gained 10.19% net of fees, underperforming
its benchmark, the Russell 1000(R) Value Index, which advanced 10.70%.
During the period, equity markets moved higher as positive economic data,
coupled with solid company earnings reports, suggested that the U.S. recovery
was gaining traction and dashed fears of a second "Great Depression." While
trouble spots such as bank credit losses, commercial real estate, and a high
unemployment rate remained on the radar, financial conditions improved enough to
suggest that the economic momentum would endure.
In keeping with the improving economic outlook, the best performing sectors
within the benchmark were traditionally economically sensitive groups, notably
Industrials and Consumer Discretionary. Healthcare also performed well as
Congressional efforts to reform the industry stalled out. Conversely, the worst
performing sectors were defensive in nature, namely Telecommunication Services
and Utilities.
Compared to the benchmark, productive stock selection and industry
allocations enhanced the Fund's relative returns. Stock selection was
especially good in the Financials sector, where regional bank holdings
outperformed. In addition, stock selection in the Information Technology,
Utilities, and Materials sectors aided relative performance. In terms of
industry exposures, the Fund benefited from an underweight position, relative
to the benchmark, in the homebuilder industry, and overweight stakes in the
entertainment and computer software industries.
A modest cash position and sub-benchmark beta negatively impacted Fund
performance in the up market. In addition, stock selection within the Energy
sector proved counterproductive as the market appetite shifted from higher
growth, internationally focused service companies to those rooted in North
America, where the portfolio had less exposure. Stock selection in the Consumer
Discretionary and Consumer Staples sectors also failed to keep pace with the
benchmark. Relative returns were further diminished by overexposure to stocks
with low price-to-earnings ratios, which lagged the benchmark during the period.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 10.19% 31.93% 0.12% 3.11%
- -------------------------------------------------------------------------------------------
Class A Shares 4.57% 25.13% -1.14% 2.32%
- -------------------------------------------------------------------------------------------
Class B Shares 4.62% 25.72% -1.15% 2.20%
- -------------------------------------------------------------------------------------------
Class C Shares 8.72% 30.76% -0.86% 2.09%
- -------------------------------------------------------------------------------------------
Russell 1000(R) Value Index(1) 10.70% 31.44% -0.46% 2.52%
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.09% (INSTITUTIONAL SHARES), 1.34% (CLASS A) AND 2.09% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception date for the
Class B Shares of the Disciplined Large Cap Value Fund is October 11, 2000.
Prior to such date, quoted performance reflects performance of Class A Shares
and is adjusted to reflect expenses and applicable sales charges of Class B
Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Chevron Corp. ........................................................... 3.73%
ConocoPhillips .......................................................... 3.72%
Apache Corp. ............................................................ 3.16%
Transocean, Ltd. ........................................................ 3.04%
Merck & Co., Inc. ....................................................... 2.88%
Verizon Communications, Inc. ............................................ 2.81%
UnitedHealth Group, Inc. ................................................ 2.77%
JPMorgan Chase & Co. .................................................... 2.65%
Forest Laboratories, Inc. ............................................... 2.57%
Altria Group, Inc. ...................................................... 2.47%
* Long-term securities.
(+) Portfolio composition is subject to change.
11
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Structured
Large Cap Plus Fund (Institutional) gained 8.07% on a net of fee basis,
underperforming its benchmarks, the S&P 500(R) Index, which advanced 9.87%, and
the Russell 1000(R) Index which advanced 10.27%.
Large cap stocks fared well during the period as the rally that carried the
markets off early March 2009 lows lost steam. Improvements in the economy--both
in the U.S. and overseas--reinforced the growing attraction to larger
multinational companies, although higher unemployment figures kept a cap on
investor enthusiasm. Interestingly, an appetite for lower-quality stocks
re-emerged within the large cap space during the final six weeks of the period.
Entering December, the Fund was outperforming its benchmark, but the market's
late-period sentiment shift to lower-quality stocks made it difficult for the
Fund to keep pace, given its higher-quality tilt. The quantitative model that
the Fund uses for stock selection tends to perform better during more stable
investment environments, but December and January served as a reminder that
volatility remains a variable in these market conditions.
Of the four factor groups tracked by the Fund's quantitative model, the
sentiment and capital discipline factors delivered sub-par performance
throughout the period, while the valuation and earnings quality factors worked
well. At the same time, the Fund's long positions generally outperformed the
benchmark, but its short positions detracted from results.
From a sector perspective, ineffective stock selection in the Information
Technology sector, which cooled in the fourth quarter after leading the market's
bold rise through the spring and summer, hindered the Fund's relative
performance. Holdings in the Consumer Staples and Healthcare sectors further
limited relative gains. Alternatively, exposure in the Financials sector
supplied a relative lift, as did investments in the Industrials and Materials
sectors.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
The Fund is subject to risks associated with short selling, which may result in
the Fund sustaining greater losses or lower returns than if the Fund held only
long positions.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 8.07% 21.42% -5.36% -4.26%
- -------------------------------------------------------------------------------------------
Class A Shares 2.42% 14.85% -6.54% -4.97%
- -------------------------------------------------------------------------------------------
Class B Shares 2.78% 15.47% -6.66% -5.21%
- -------------------------------------------------------------------------------------------
Class C Shares 6.49% 20.17% -6.32% -5.22%
- -------------------------------------------------------------------------------------------
Russell 1000(R) Index(1) 10.27% 34.81% 0.57% -0.44%
- -------------------------------------------------------------------------------------------
S&P 500(R) Index(1) 9.87% 33.14% 0.18% -0.80%
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT DIVIDENDS ON SHORT
SALES, EXTRAORDINARY EXPENSES AND INTEREST EXPENSE AS WELL AS THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.98% (INSTITUTIONAL SHARES), 2.23% (CLASS A), 2.99% (CLASS B) AND
2.93% (CLASS C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A
SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM
SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT
THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE
FIRST YEAR, RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
October 29, 2001, the quoted performance of the Structured Large Cap Plus Fund
Institutional Shares reflects the performance of the Kent Growth and Income Fund
Institutional Shares with an inception date of November 2, 1992. Prior to
October 29, 2001, the quoted performance for the Class A Shares reflects
performance of the Kent Growth and Income Fund Investment Shares, with an
inception date of December 1, 1992, adjusted for maximum sales charge. The
inception date of Class B and Class C Shares is October 29, 2001. The quoted
performance of Class B and Class C Shares reflects the performance of the
Institutional Shares and is adjusted to reflect expenses and applicable sales
charges for Class B and Class C Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS
- --------------------------------------------------------------------------------
Microsoft Corp. ......................................................... 2.67%
International Business Machines Corp. ................................... 2.24%
Pfizer, Inc. ............................................................ 2.15%
Bank of America Corp. ................................................... 2.14%
Google, Inc., Class A ................................................... 1.91%
Intel Corp. ............................................................. 1.78%
Exxon Mobil Corp. ....................................................... 1.68%
AT&T, Inc. .............................................................. 1.63%
Philip Morris International, Inc. ....................................... 1.63%
United Technologies Corp. ............................................... 1.48%
* Long-term securities.
(+) Portfolio composition is subject to change.
12
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Equity Index
Fund (Institutional) advanced 9.85% on a net of fee basis, compared to its
benchmark, the S&P 500(R) Index, which gained 9.87%.
The Fund generally seeks to replicate the returns of the S&P 500 Index, but
modest underperformance may result from Fund expenses and an assortment of
technical factors. One area where an advantage may materialize is in the process
surrounding Index membership changes. During the period, twelve changes within
the Index occurred, including four due to merger and acquisition activity and
four due to shifts between the benchmark and the S&P 400 Index of mid cap
stocks.
More broadly, equities performed well during the period as economic indicators
improved worldwide. At the same time, massive intervention by the U.S.
government in the fixed-income markets stabilized bond values and the Federal
Reserve kept its key interest rate near 0.0% to facilitate easy lending
conditions. Banks, however, proved reluctant to lend and the unemployment rate's
move past 10.0% somewhat dampened investor enthusiasm.
Against this backdrop, all ten of the economic sectors within the S&P 500 Index
experienced considerable volatility during the period, and all but one generated
positive returns. The Industrials and Consumer Discretionary sectors, which
traditionally outperform during periods of economic growth, led the way,
followed by the Healthcare sector, a historically defensive sector that gained
as an industry reform bill was hung up in Congress.
The lone declining sector during the period was Telecommunication Services,
which is usually viewed as a defensive haven. Modest gainers that trailed the
index included another defensive group, Utilities, and Materials, which
underperformed despite its traditional ties to expanding economies.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
The Fund invests substantially all of its assets in common stock of companies
that make up the S&P 500(R) Index. The Advisor attempts to track the performance
of the S&P 500(R) Index to achieve a correlation of 95% between the performance
of the Fund and that of the S&P 500(R) Index without taking into account the
Fund's expenses.
It is important to remember that there are risks associated with index
investing, including the potential risk of market decline, as well as the risks
associated with investing in specific companies.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 9.85% 32.97% 0.06% -1.01%
- -------------------------------------------------------------------------------------------
Class A Shares 4.22% 26.09% -1.20% -1.76%
- -------------------------------------------------------------------------------------------
Class B Shares 4.28% 26.66% -1.31% -2.00%
- -------------------------------------------------------------------------------------------
Class C Shares 8.22% 31.61% -0.94% -2.00%
- -------------------------------------------------------------------------------------------
Select Shares 9.75% 32.89% -0.02% -1.09%
- -------------------------------------------------------------------------------------------
Preferred Shares 9.77% 32.81% -0.08% -1.16%
- -------------------------------------------------------------------------------------------
Trust Shares 9.71% 32.74% -0.18% -1.25%
- -------------------------------------------------------------------------------------------
S&P 500(R) Index(1) 9.87% 33.14% 0.18% -0.80%
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.61% (INSTITUTIONAL SHARES), 0.86% (CLASS A), 0.69% (SELECT SHARES),
0.76% (PREFERRED SHARES), 0.86% (TRUST SHARES) AND 1.61% (CLASSES B & C). THE
TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%.
THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%.
THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
October 29, 2001, the quoted performance of the Equity Index Fund Institutional
Shares reflects the performance of the Kent Index Equity Fund Institutional
Shares with an inception date of November 2, 1992. Prior to October 29, 2001,
the quoted performance for the Class A Shares reflects the performance of the
Kent Index Equity Fund Investment Shares, with an inception date of November 25,
1992, adjusted for maximum sales charge. The inception date for the Class B and
Class C is October 29, 2001. Prior to such date, quoted performance of Class B
and Class C reflects performance of the Institutional Shares and is adjusted to
reflect expenses and applicable sales charges for Class B and Class C. The
inception date for the Select, Preferred and Trust Shares is October 20, 2003.
Prior to such date, quoted performance of the Select, Preferred and Trust Shares
reflects performance of the Institutional Shares and is adjusted to reflect
expenses for Select, Preferred and Trust Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ....................................................... 3.09%
Microsoft Corp. ......................................................... 2.20%
Procter & Gamble Co. (The) .............................................. 1.82%
Johnson & Johnson ....................................................... 1.75%
Apple, Inc. ............................................................. 1.75%
General Electric Co. .................................................... 1.73%
International Business Machines Corp. ................................... 1.62%
JPMorgan Chase & Co. .................................................... 1.55%
Bank of America Corp. ................................................... 1.52%
Pfizer, Inc. ............................................................ 1.52%
* Long-term securities.
(+) Portfolio composition is subject to change.
13
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third International
Equity Fund (Institutional) gained 4.46% net of fees, underperforming its
benchmark, the MSCI(R) EAFE(R) Index, which advanced 6.93%.
A firming world economy buoyed international equities during the period as the
global financial markets recovered from a near collapse in late 2008 and early
2009. Emerging market economies generally experienced sharper bounces than their
industrialized counterparts due in part to smaller exposure to the financial
market woes and a rapid renewal in export levels. Market volatility mostly eased
during the period, outside of small flare-ups related to bond troubles in Dubai
and government debt concerns in a handful of floundering European economies,
most notably Greece.
Within the Fund, exposure in the United Kingdom, particularly within the
country's shaky Financials sector, detracted considerably from performance.
U.K.-based holdings in the Consumer Staples and Consumer Discretionary sectors
also diminished returns as the country struggled to emerge from the recession.
Investments in Germany and Hong Kong further hindered relative gains, as did an
overweight position, relative to the benchmark, and ineffective stock selection
in the Telecommunication Services sector and laggards in the Materials sector.
A slightly overweight position in Japan positively contributed to relative
performance. Investments in the country's Consumer Discretionary and Information
Technology sectors further enhanced returns. Overweight stakes in Australia and
Austria also boosted performance, along with overweight positions in the
Industrials and Information Technology sectors and solid security selection in
the Energy sector.
Among the four factors that drive stock selection in the quantitative model
employed by the Fund--valuation, sentiment, capital use, and earnings
quality--valuation and earnings quality performed well, but a lagging momentum
in sentiment and capital use wiped out the gains.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
An investment in this Fund entails the special risks of international investing,
including currency exchange fluctuation, government regulations, and the
potential for political and economic instability. The Fund's share price is
expected to be more volatile than that of a U.S.-only fund.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
----------- ------ ------ -------
Institutional 4.46% 37.70% 1.63% 0.68%
- -------------------------------------------------------------------------------------------
Class A Shares -0.73% 30.66% 0.34% -0.04%
- -------------------------------------------------------------------------------------------
Class B Shares -1.00% 31.30% 0.37% -0.23%
- -------------------------------------------------------------------------------------------
Class C Shares 3.05% 36.39% 0.62% -0.31%
- -------------------------------------------------------------------------------------------
MSCI(R) EAFE(R) Index(1) 6.93% 39.68% 2.99% 1.38%
- -------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT INTEREST EXPENSE AS
WELL AS THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES.
WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF
1/31/10, THE GROSS EXPENSE RATIOS ARE 1.34% (INSTITUTIONAL SHARES), 1.59% (CLASS
A) AND 2.34% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES
REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT
THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C
SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND
1.0% WITHIN THE FIRST YEAR, RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. Class B Shares were
initially offered on October 11, 2000. The performance figures for Class B
Shares for periods prior to such date represent the performance for Class A
Shares adjusted to reflect expenses and applicable sales charges for Class B
Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JANUARY 31, 2010*
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
BP PLC .................................................................. 2.16%
Nestle SA ............................................................... 1.75%
HSBC Holdings PLC ....................................................... 1.72%
Novartis AG ............................................................. 1.69%
Royal Dutch Shell PLC, Class A .......................................... 1.65%
Telefonica SA ........................................................... 1.64%
Banco Santander SA ...................................................... 1.44%
BHP Billiton, Ltd. ...................................................... 1.44%
Sony Corp. .............................................................. 1.35%
Deutsche Telekom AG ..................................................... 1.28%
* Long-term securities.
(+) Portfolio composition is subject to change.
14
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Strategic
Income Fund (Institutional) advanced 13.44% net of fees, outperforming its
benchmark, the Barclays Capital U.S. Aggregate Bond Index, which gained 3.87%.
U.S. credit markets continued to heal throughout the period, gaining traction
amid large government stimulus efforts. As investors grew increasingly
comfortable with conditions, they generally moved away from U.S. Treasury
issues, which ranked among the poorest performers in the fixed income space
during the period, and into higher yielding securities. Growing worries over the
U.S. government deficit--and the expected expansion in Treasury issues required
to finance the budget imbalance--further weighed on Treasuries, particularly
longer-term issues.
While the Fund benefited from a minimal exposure to Treasuries and U.S.
Government Agency securities, which performed slightly better than Treasuries,
it realized significant gains from a sizeable investment in preferred stocks.
Effective stock selection, especially within the Financials sector and among
Real Estate Investment Trusts (REITs), enhanced returns from the asset class as
a number of holdings that suffered during the market's swoon in early 2009
recovered nicely through the second half of the year.
The Fund's corporate bond exposure also boosted relative performance, most
notably in senior bonds issued by REITs. Alternatively, a modest position in
Mortgage-Backed Securities hindered performance, as government supports sparked
a rally in the asset class.
Throughout the period, the Fund lowered its risk profile in anticipation of
turbulence in the first part of 2010. That defensive-minded strategy will likely
continue in the coming months as the market digests the large equity gains
posted between early March and the end of 2009. With expectations for corporate
earnings and the economy both running high, the smallest misstep could result in
a harsh tumble, so the Fund, which strives to provide a stable stream of income
over the long haul, has sought to prepare accordingly.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
-------- ------ ------ -------
Institutional 13.44% 40.11% 3.45% 6.76%
- --------------------------------------------------------------------------------
Class A Shares 7.55% 32.67% 2.15% 5.86%
- --------------------------------------------------------------------------------
Class B Shares 7.79% 33.71% 2.12% 5.72%
- --------------------------------------------------------------------------------
Class C Shares 11.79% 38.81% 2.42% 5.67%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Aggregate
Bond Index(1) 3.87% 8.51% 5.16% 6.53%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Intermediate
Credit Bond Index(1) 6.27% 16.38% 5.02% 6.60%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.41% (INSTITUTIONAL SHARES), 1.66% (CLASS A) AND 2.41% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
For the period prior to October 22, 2001, the quoted performance for the Fifth
Third Strategic Income Fund Institutional Shares reflects the performance of the
Fifth Third/ Maxus Income Fund Institutional Shares with an inception date of
September 1, 1998. Class A, Class B and Class C Shares were initially offered on
April 1, 2004, April 1, 2004 and October 29, 2001, respectively. The performance
figures for Class A, Class B and Class C Shares for periods prior to such dates
represent the performance for the Fifth Third/Maxus Income Fund Investor Shares
with an inception date of March 10, 1985 and is adjusted to reflect expenses and
applicable sales charges for the respective share class.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Preferred Stocks 35.12%
Corporate Bonds 21.06%
Investment Companies 15.60%
Foreign Bonds 5.37%
Common Stocks 5.36%
Investments in Affiliates 5.03%
U.S. Government Agencies 3.81%
Mortgage-Backed Securities 2.70%
Convertible Preferred Stock 2.29%
Asset-Backed Securities 2.25%
U.S. Treasury Obligations 0.97%
Convertible Bonds 0.44%
[END CHART]
(+) Portfolio composition is subject to change.
15
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third LifeModel
Aggressive Fund (Institutional) advanced 7.47% on a net of fee basis,
underperforming its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital Intermediate Government/Credit Bond Index, which gained 9.52%.
Most equities and fixed income securities generated positive returns during the
period as a sense of normalcy returned to the world's financial markets. Stocks
rode out the tail end of the rally that started off early March lows, and market
leadership shifted from lower-quality, higher-risk holdings to higher-quality,
more stable names. In turn, mid cap stocks generally outperformed small and
large cap positions, while value stocks tended to outgain growth holdings.
International stocks mostly lagged domestic equities.
Massive infusions of government cash bolstered the fixed income markets,
particularly among Mortgage-backed Securities and Asset-backed Securities that
had been sharply marked down during the credit market meltdown of 2008 and early
2009. The Federal Reserve kept its Fed Funds rate near 0.0%, which resulted in
minimal returns on cash holdings.
Within the Fund, an overweight position, relative to the benchmark targets, in
equities aided relative performance. Within the equity exposure, an overweight
stake in the mid cap space and underweight position in large cap holdings
further enhanced relative gains. Conversely, overweight stakes in international
and small cap stocks hindered performance.
By the period's end, economic prospects were steadily improving, while
expectations remained for moderate growth going forward. Muted outlooks for
equity markets also appeared warranted while corporate earnings catch up with
stock valuations that soared during the market's sharp climb last spring and
summer. Fixed income investors adopted a cautionary tone as well as federal
government purchasing programs approached expiration dates, future inflationary
fears arose, and state and municipal governments grappled with high expenses and
low tax receipts.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests.
In particular, please see Note 3 of the Notes to Financial Statements in this
report for further details regarding Fifth Third Structured Large Cap Plus Fund,
an underlying fund in which the Fund invests. Stocks are more volatile and carry
more risk and return potential than other forms of investments. Bonds offer a
relatively stable level of income, although bond prices will fluctuate,
providing the potential for principal gain or loss. Cash equivalents offer low
risk and low return potential.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR 5 YEAR INCEPTION
--------- -------- ------ ------ ---------
Institutional 8/1/02 7.47% 30.03% 0.08% 4.51%
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 1.87% 23.35% -1.22% 3.51%
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 1.81% 23.79% -1.22% 3.44%
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 5.94% 28.80% -0.93% 3.46%
- --------------------------------------------------------------------------------
Wilshire 5000
Index(1) 10.12% 34.93% 0.77% 5.19%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Intermediate
Government/Credit
Bond Index(1) 3.59% 7.13% 4.91% 4.95%
- --------------------------------------------------------------------------------
LifeModel
Aggressive
Target Neutral
Style Class
Index Blend(1) 9.52% 35.40% 1.98% 8.72%
- --------------------------------------------------------------------------------
LifeModel
Aggressive
Target Neutral
Asset Class
Index Blend(1) 9.74% 33.05% 1.46% 10.44%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.56% (INSTITUTIONAL SHARES), 0.81% (CLASS A) AND 1.56% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third International Equity Fund 24.72%
Fifth Third Quality Growth Fund 17.33%
Fifth Third Structured Large Cap Plus Fund 14.86%
Fifth Third Disciplined Large Cap Value Fund 13.19%
Fifth Third Total Return Bond Fund 9.32%
Fifth Third Mid Cap Growth Fund 7.93%
Fifth Third All Cap Value Fund 4.16%
Fifth Third Small Cap Growth Fund 3.72%
Fifth Third Small Cap Value Fund 2.72%
Fifth Third Short Term Bond Fund 1.45%
Fifth Third Institutional Money Market Fund 0.47%
Fifth Third High Yield Bond Fund 0.13%
[END CHART]
(+) Portfolio composition is subject to change.
16
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third LifeModel
Moderately Aggressive Fund (Institutional) advanced 6.81% on a net of fee basis,
underperforming its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital Intermediate Government/Credit Bond Index which gained 8.34%.
Most equities and fixed income securities generated positive returns during the
period as a sense of normalcy returned to the world's financial markets. Stocks
rode out the tail end of the rally that started off early March lows, and market
leadership shifted from lower-quality, higher-risk holdings to higher-quality,
more stable names. In turn, mid cap stocks generally outperformed small and
large cap positions, while value stocks tended to outgain growth holdings.
International stocks mostly lagged domestic equities.
Massive infusions of government cash bolstered the fixed income markets,
particularly among Mortgage-backed Securities and Asset-backed Securities that
had been sharply marked down during the credit market meltdown of 2008 and early
2009. The Federal Reserve kept its Fed Funds rate near 0.0%, which resulted in
minimal returns on cash holdings.
Within the Fund, an underweight position, relative to the benchmark targets, in
large cap stocks, along with an overweight stake in mid cap stocks enhanced
relative performance. However, modestly overweight positions in bonds and
international stocks weighed on relative gains.
By the period's end, economic prospects were steadily improving, while
expectations remained for moderate growth going forward. Muted outlooks for
equity markets also appeared warranted while corporate earnings catch up with
stock valuations that soared during the market's sharp climb last spring and
summer. Fixed income investors adopted a cautionary tone as well as federal
government purchasing programs approached expiration dates, future inflationary
fears arose, and state and municipal governments grappled with high expenses and
low tax receipts.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests.
In particular, please see Note 3 of the Notes to Financial Statements in this
report for further details regarding Fifth Third Structured Large Cap Plus Fund,
an underlying fund in which the Fund invests. Stocks are more volatile and carry
more risk and return potential than other forms of investments. Bonds offer a
relatively stable level of income, although bond prices will fluctuate,
providing the potential for principal gain or loss. Cash equivalents offer low
risk and low return potential.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR 5 YEAR INCEPTION
--------- -------- ------ ------ ---------
Institutional 8/1/02 6.81% 25.49% 0.87% 4.97%
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 1.46% 18.93% -0.38% 4.01%
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 1.36% 19.30% -0.42% 3.94%
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 5.23% 24.29% -0.12% 3.94%
- --------------------------------------------------------------------------------
Wilshire 5000
Index(1) 10.12% 34.93% 0.77% 5.19%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Intermediate
Government/Credit
Bond Index(1) 3.59% 7.13% 4.91% 4.95%
- --------------------------------------------------------------------------------
LifeModel Moderately
Aggressive Target
Neutral Style Class
Index Blend(1) 8.34% 29.51% 2.88% 8.55%
- --------------------------------------------------------------------------------
LifeModel Moderately
Aggressive Target
Neutral Asset Class
Index Blend(1) 8.40% 27.14% 2.42% 10.10%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.55% (INSTITUTIONAL SHARES), 0.80% (CLASS A) AND 1.55% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third International Equity Fund 19.49%
Fifth Third Total Return Bond Fund 16.45%
Fifth Third Quality Growth Fund 13.83%
Fifth Third Structured Large Cap Plus Fund 10.95%
Fifth Third Disciplined Large Cap Value Fund 10.40%
Fifth Third Short Term Bond Fund 8.44%
Fifth Third Mid Cap Growth Fund 7.28%
Fifth Third All Cap Value Fund 6.06%
Fifth Third Small Cap Growth Fund 3.23%
Fifth Third Small Cap Value Fund 2.82%
Fifth Third High Yield Bond Fund 0.76%
Fifth Third Institutional Money Market Fund 0.29%
[END CHART]
(+) Portfolio composition is subject to change.
17
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATE FUND(SM)
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third LifeModel
Moderate Fund (Institutional) advanced 6.30% on a net of fee basis,
underperforming its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital Intermediate Government/Credit Bond Index, which gained 7.14%.
Most equities and fixed income securities generated positive returns during the
period as a sense of normalcy returned to the world's financial markets. Stocks
rode out the tail end of the rally that started off early March lows, and market
leadership shifted from lower-quality, higher-risk holdings to higher-quality,
more stable names. In turn, mid cap stocks generally outperformed small and
large cap positions, while value stocks tended to outgain growth holdings.
International stocks mostly lagged domestic equities.
Massive infusions of government cash bolstered the fixed income markets,
particularly among Mortgage-backed Securities and Asset-backed Securities that
had been sharply marked down during the credit market meltdown of 2008 and early
2009. The Federal Reserve kept its Fed Funds rate near 0.0%, which resulted in
minimal returns on cash holdings.
Within the Fund, an overweight position, relative to the benchmark targets, in
bonds detracted from relative gains. Slightly overweight stakes in international
stocks and small cap stocks further diminished performance. However, an
underweight position in large cap stocks and a modest overweight in mid cap
stocks supplied a relative lift.
By the period's end, economic prospects were steadily improving, while
expectations remained for moderate growth going forward. Muted outlooks for
equity markets also appeared warranted while corporate earnings catch up with
stock valuations that soared during the market's sharp climb last spring and
summer. Fixed income investors adopted a cautionary tone as well as federal
government purchasing programs approached expiration dates, future inflationary
fears arose, and state and municipal governments grappled with high expenses and
low tax receipts.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests.
In particular, please see Note 3 of the Notes to Financial Statements in this
report for further details regarding Fifth Third Structured Large Cap Plus Fund,
an underlying fund in which the Fund invests. Stocks are more volatile and carry
more risk and return potential than other forms of investments. Bonds offer a
relatively stable level of income, although bond prices will fluctuate,
providing the potential for principal gain or loss. Cash equivalents offer low
risk and low return potential.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR 5 YEAR INCEPTION
--------- -------- ------ ------ ---------
Institutional 8/1/02 6.30% 21.26% 1.61% 4.33%
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 0.80% 14.76% 0.31% 3.35%
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 0.69% 15.05% 0.29% 3.29%
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 4.81% 20.04% 0.60% 3.30%
- --------------------------------------------------------------------------------
Wilshire 5000
Index(1) 10.12% 34.93% 0.77% 5.19%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Intermediate
Government/Credit
Bond Index(1) 3.59% 7.13% 4.91% 4.95%
- --------------------------------------------------------------------------------
LifeModel Moderate
Target Neutral
Style Class
Index Blend(1) 7.14% 23.66% 3.66% 8.26%
- --------------------------------------------------------------------------------
LifeModel Moderate
Target Neutral
Asset Class
Index Blend(1) 7.05% 21.31% 3.27% 9.64%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.45% (INSTITUTIONAL SHARES), 0.70% (CLASS A) AND 1.45% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third Total Return Bond Fund 29.44%
Fifth Third Short Term Bond Fund 15.07%
Fifth Third International Equity Fund 14.22%
Fifth Third Quality Growth Fund 10.00%
Fifth Third Structured Large Cap Plus Fund 7.94%
Fifth Third Disciplined Large Cap Value Fund 7.47%
Fifth Third Mid Cap Growth Fund 5.21%
Fifth Third All Cap Value Fund 4.34%
Fifth Third Small Cap Growth Fund 2.31%
Fifth Third Small Cap Value Fund 1.97%
Fifth Third High Yield Bond Fund 1.36%
Fifth Third Institutional Money Market Fund 0.67%
[END CHART]
(+) Portfolio composition is subject to change.
18
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third LifeModel
Moderately Conservative Fund (Institutional) advanced 6.51% on a net of fee
basis, narrowly trailing its benchmark, a blend of the Wilshire 5000 Index and
the Barclays Capital Intermediate Government/Credit Bond Index, which gained
6.53%.
Most fixed income securities and equities generated positive returns during the
period as a sense of normalcy returned to the world's financial markets. Massive
infusions of government cash bolstered the fixed income markets, particularly
among Mortgage-backed Securities and Asset-backed Securities that had been
sharply marked down during the credit market meltdown of 2008 and early 2009.
The Federal Reserve kept its Fed Funds rate near 0.0%, which resulted in minimal
returns on cash holdings.
Stocks rode out the tail end of the rally that started off early March lows, and
market leadership shifted from lower-quality, higher-risk holdings to
higher-quality, more stable names. In turn, mid cap stocks generally
outperformed small and large cap positions, while value stocks tended to outgain
growth holdings. International stocks mostly lagged domestic equities.
Within the Fund, slightly overweight stakes, relative to the benchmark targets,
in international stocks and small cap stocks diminished relative gains. However,
an underweight position in large cap stocks and a modest overweight in mid cap
stocks supplied a relative lift.
By the period's end, economic prospects were steadily improving, while
expectations remained for moderate growth going forward. Muted outlooks for
equity markets also appeared warranted while corporate earnings catch up with
stock valuations that soared during the market's sharp climb last spring and
summer. Fixed income investors adopted a cautionary tone as well as federal
government purchasing programs approached expiration dates, future inflationary
fears arose, and state and municipal governments grappled with high expenses and
low tax receipts.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests.
In particular, please see Note 3 of the Notes to Financial Statements in this
report for further details regarding Fifth Third Structured Large Cap Plus Fund,
an underlying fund in which the Fund invests. Stocks are more volatile and carry
more risk and return potential than other forms of investments. Bonds offer a
relatively stable level of income, although bond prices will fluctuate,
providing the potential for principal gain or loss. Cash equivalents offer low
risk and low return potential.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR 5 YEAR INCEPTION
--------- -------- ------ ------ ---------
Institutional 8/1/02 6.51% 20.49% 1.98% 3.97%
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 1.16% 14.35% 0.71% 3.00%
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 1.00% 14.39% 0.67% 2.93%
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 4.96% 19.35% 0.97% 2.93%
- --------------------------------------------------------------------------------
Wilshire 5000
Index(1) 10.12% 34.93% 0.77% 5.19%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Intermediate
Government/Credit
Bond Index(1) 3.59% 7.13% 4.91% 4.95%
- --------------------------------------------------------------------------------
LifeModel Moderately
Conservative Target
Neutral Style
Class Index Blend(1) 6.53% 20.76% 4.01% 8.08%
- --------------------------------------------------------------------------------
LifeModel Moderately
Conservative Target
Neutral Asset Class
Index Blend(1) 6.36% 18.42% 3.65% 9.37%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.59% (INSTITUTIONAL SHARES), 0.84% (CLASS A) AND 1.59% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third Total Return Bond Fund 35.77%
Fifth Third Short Term Bond Fund 18.33%
Fifth Third International Equity Fund 9.33%
Fifth Third Quality Growth Fund 8.31%
Fifth Third Structured Large Cap Plus Fund 7.36%
Fifth Third Disciplined Large Cap Value Fund 6.32%
Fifth Third Mid Cap Growth Fund 4.23%
Fifth Third All Cap Value Fund 3.57%
Fifth Third Small Cap Growth Fund 1.89%
Fifth Third Small Cap Value Fund 1.77%
Fifth Third High Yield Bond Fund 1.65%
Fifth Third Institutional Money Market Fund 1.47%
[END CHART]
(+) Portfolio composition is subject to change.
19
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL CONSERVATIVE FUNDSM
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third LifeModel
Conservative Fund (Institutional) advanced 5.82% on a net of fee basis,
outperforming its benchmark, a blend of the Wilshire 5000 Index and the Barclays
Capital Intermediate Government/Credit Bond Index which gained 5.29%.
Most fixed income securities and equities generated positive returns during the
period as a sense of normalcy returned to the world's financial markets. Massive
infusions of government cash bolstered the fixed income markets, particularly
among Mortgage-backed Securities and Asset-backed Securities that had been
sharply marked down during the credit market meltdown of 2008 and early 2009.
The Federal Reserve kept its Fed Funds rate near 0.0%, which resulted in minimal
returns on cash holdings.
Stocks rode out the tail end of the rally that started off early March lows, and
market leadership shifted from lower-quality, higher-risk holdings to
higher-quality, more stable names. In turn, mid cap stocks generally
outperformed small and large cap positions, while value stocks tended to outgain
growth holdings. International stocks mostly lagged domestic equities.
Within the Fund, an overweight position, relative to the benchmark targets, in
bonds detracted from relative gains. Slightly overweight stakes in international
stocks and small cap stocks further diminished performance. However, an
underweight position in large cap stocks supplied a relative lift.
By the period's end, economic prospects were steadily improving, while
expectations remained for moderate growth going forward. Muted outlooks for
equity markets also appeared warranted while corporate earnings catch up with
stock valuations that soared during the market's sharp climb last spring and
summer. Fixed income investors adopted a cautionary tone as well as federal
government purchasing programs approached expiration dates, future inflationary
fears arose, and state and municipal governments grappled with high expenses and
low tax receipts.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests.
In particular, please see Note 3 of the Notes to Financial Statements in this
report for further details regarding Fifth Third Structured Large Cap Plus Fund,
an underlying fund in which the Fund invests. Stocks are more volatile and carry
more risk and return potential than other forms of investments. Bonds offer a
relatively stable level of income, although bond prices will fluctuate,
providing the potential for principal gain or loss. Cash equivalents offer low
risk and low return potential.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR 5 YEAR INCEPTION
--------- -------- ------ ------ ---------
Institutional 8/1/02 5.82% 16.06% 2.22% 3.67%
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 0.30% 9.91% 0.91% 2.69%
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 0.18% 9.84% 0.88% 2.64%
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 4.28% 14.95% 1.22% 2.65%
- --------------------------------------------------------------------------------
Wilshire 5000
Index(1) 10.12% 34.93% 0.77% 5.19%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Intermediate
Government/Credit
Bond Index(1) 3.59% 7.13% 4.91% 4.95%
- --------------------------------------------------------------------------------
LifeModel
Conservative Target
Neutral Style Class
Index Blend(1) 5.29% 15.02% 4.61% 7.63%
- --------------------------------------------------------------------------------
LifeModel
Conservative Target
Neutral Asset Class
Index Blend(1) 4.98% 12.72% 4.33% 8.75%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.64% (INSTITUTIONAL SHARES), 0.89% (CLASS A) AND 1.64% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third Total Return Bond Fund 49.05%
Fifth Third Short Term Bond Fund 25.08%
Fifth Third Quality Growth Fund 4.86%
Fifth Third International Equity Fund 4.52%
Fifth Third Disciplined Large Cap Value Fund 3.82%
Fifth Third Structured Large Cap Plus Fund 3.41%
Fifth Third Mid Cap Growth Fund 2.39%
Fifth Third High Yield Bond Fund 2.30%
Fifth Third All Cap Value Fund 2.02%
Fifth Third Small Cap Value Fund 1.10%
Fifth Third Small Cap Growth Fund 1.06%
Fifth Third Institutional Money Market Fund 0.39%
[END CHART]
(+) Portfolio composition is subject to change.
20
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third High Yield Bond
Fund (Institutional) advanced 13.32% net of fees, underperforming its benchmark,
the Merrill Lynch U.S. High Yield Master Index, which gained 16.03%.
Prices on high-yield bonds rose steadily throughout the period, fueled by
firming confidence in the economic recovery and solid technical support across
the high-yield spectrum. As a result, yield spreads narrowed, relative to U.S.
Treasury issues, although investors turned somewhat cautious in the latter
stages of the period. Meanwhile, abundant investor demand allowed for the
issuance of a considerable volume of new high-yield bonds.
In general, the high-yield market's lowest quality segment (CCC-rated
securities) markedly outperformed the higher-quality portions (B- and BB-rated
securities) during the period. At an industry level, broadcasting, publishing,
and insurance, which each include a number of bankruptcy candidates, performed
well, while issues in the less-volatile cable television, utilities, and
aerospace industries lagged the benchmark.
Within the Fund, an emphasis on more stable sectors offering attractive
risk-reward profiles hindered results. More specifically, an underweight
position, relative to the benchmark, in the insurance industry detracted
materially from relative performance, as did exposure to higher-quality holdings
within the Telecommunication Services sector. Alternatively, positive
contributions came from security selection within the Utilities and Energy
sectors.
Following the high-yield market's exceptional gains of 2009, tempered
expectations are likely in order for 2010. Although the firming economy and a
declining default rate suggest that high-yield bonds' fundamentals remain
adequate, the strong possibility of interest rate hikes from the Federal Reserve
could inject a dose of volatility. Within such an environment, bond yields, not
capital appreciation, will likely account for much of the returns from the
high-yield asset class.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
INCEPTION SINCE
DATE 6 MONTHS(#) 1 YEAR INCEPTION
--------- -------- ------ ---------
Institutional 11/29/05 13.32% 46.47% 7.07%
- --------------------------------------------------------------------------------
Class A Shares 11/29/05 7.89% 39.37% 5.46%
- --------------------------------------------------------------------------------
Class B Shares 11/29/05 7.79% 40.11% 5.62%
- --------------------------------------------------------------------------------
Class C Shares 11/29/05 11.75% 45.06% 6.00%
- --------------------------------------------------------------------------------
Merrill Lynch
U.S. High Yield
Master Index(1) 16.03% 50.64% 7.40%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 1.14% (INSTITUTIONAL SHARES), 1.39% (CLASS A) AND 2.14% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
4.75%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Corporate Bonds 65.07%
Investment Companies 21.48%
Foreign Bonds 13.22%
Preferred Stocks 0.23%
Investments in Affiliates 0.00%
[END CHART]
(+) Portfolio composition is subject to change.
21
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Total Return
Bond Fund (Institutional) advanced 6.63% on a net of fee basis, outperforming
its benchmark, the Barclays Capital Aggregate Bond Index, which gained 3.87%.
Thanks to government programs such as the U.S. Treasury's Public-Private
Investment Partnership, the Federal Reserve's Term Asset-backed Loan Facility,
and the Fed's direct purchases of securities, much of the fixed income market
enjoyed a steady rise during the period. An increasingly free flow of funding
and price supports restored a sense of normalcy to the marketplace, which had
flirted with disaster 12 months earlier.
Within the Fund, overweight positions, relative to the benchmark, in Residential
Mortgage-backed Securities (RMBS), Commercial Mortgage-backed Securities (CMBS),
Asset-backed Securities (ABS), and Government Agency issues bolstered returns.
Strategic investments in inflation-indexed Treasury issues further enhanced
gains, as did exposure to the rising Brazilian real. Alternatively, an
underweight position in corporate bonds, which also performed well, diminished
performance.
During the period, the Fund steadily increased its stake in higher quality
corporate bonds, which still appeared fairly valued even with the recent runup
in prices. To help fund the purchases, the Fund exited select RMBS, CMBS, and
U.S. Government Agency Mortgage-backed Securities as they advanced.
Looking ahead, it's fair to predict that in 2010, the Federal Reserve will raise
its key lending rate, which will lead to higher short-term interest rates. At
the same time, the U.S. Government's expanding debt level and the large volume
of Treasury issues scheduled to come to market over the next 12 months to fund
the deficit will likely pressure longer-term rates. In such an environment, the
Fund will continue to seek optimal opportunities to exit mortgage-related
securities while maintaining a shorter duration, which is designed to prove
advantageous as rates rise.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
-------- ------ ------ -------
Institutional 6.63% 13.92% 2.11% 4.64%
- --------------------------------------------------------------------------------
Class A Shares 1.46% 8.33% 0.89% 3.89%
- --------------------------------------------------------------------------------
Class B Shares 1.10% 7.92% 0.81% 3.61%
- --------------------------------------------------------------------------------
Class C Shares 5.10% 12.94% 1.13% 3.60%
- --------------------------------------------------------------------------------
Barclays Capital
U.S. Aggregate
Bond Index(1) 3.87% 8.51% 5.16% 6.53%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.87% (INSTITUTIONAL SHARES), 1.12% (CLASS A) AND 1.87% (CLASSES B &
C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
4.75%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM
CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR,
RESPECTIVELY.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29,
2001, the quoted performance for the Fifth Third Total Return Bond Fund
Institutional Shares reflects the performance of the Kent Income Fund
Institutional Shares with an inception date of March 20, 1995. Prior to October
29, 2001, the performance figures for the Fifth Third Total Return Bond Fund
Class A Shares reflects the performance of the Kent Income Fund Investment
Shares with an inception date of March 22, 1995, adjusted for the maximum sales
charge. Class B and Class C Shares were initially offered on October 29,
2001.The performance figures for Class B and Class C Shares for periods prior to
such date represent the performance for Institutional Shares and is adjusted to
reflect expenses and applicable sales charges for Class B and Class C Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
U.S. Government Agencies 37.41%
Mortgage-Backed Securities 19.00%
Corporate Bonds 16.88%
Asset-Backed Securities 6.49%
Investment Companies 5.91%
Investments in Affiliates 4.74%
U.S. Treasury Obligations 4.70%
Foreign Bonds 3.40%
Preferred Stocks 1.47%
[END CHART]
(+) Portfolio composition is subject to change.
22
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
SHORT TERM BOND FUND
- --------------------------------------------------------------------------------
For the six-month period ended January 31, 2010, the Fifth Third Short Term Bond
Fund (Institutional) advanced 3.21% net of fees, outperforming its benchmark,
the Merrill Lynch 1-3 Year Government/Corporate Bond Index, which gained
2.19%.
Buoyed by the Federal Reserve, which kept its Fed Funds target rate near 0.0%
the entire period, and assorted government stimulus programs, fixed income
markets performed well for much of the period, aside from a modest selloff in
December. More specifically, Residential Mortgage-Backed Securities (RMBS),
Commercial Mortgage-Backed Securities (CMBS), Asset-Backed Securities (ABS),
and Government Agency issues benefited from direct purchases by the government
and the Fed or government-sponsored programs that facilitated investor
purchases. In total, the government intervention helped restore order to a
market that all but shut down twelve months earlier.
Within the Fund, overweight positions, relative to the benchmark, in RMBS, CMBS,
ABS, and Agency debentures boosted relative performance during the period.
Although many of the Fund's positions suffered dramatically during the market's
near-collapse in 2008, rigorous fundamental research identified the securities
that were worth keeping, and the Fund was rewarded in the second half of 2009
for such discipline. Alternatively, a slightly shorter duration, which benefits
from rising rates, proved a drag on returns, as did an underweight stake in
riskier corporate bonds.
During the period, the Fund capitalized on rising prices to reduce its exposure
to RMBS, CMBS, and Agency issues that no longer offered compelling risk-reward
profiles. Some of the proceeds were directed into corporate debentures with more
defensive characteristics, which appear better suited to ride out the potential
turbulence on the horizon. Such uncertainty stems from the scheduled shutdown of
a number of the government support programs in the coming months as well as the
perceived likelihood the Federal Reserve raising rates by year-end.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JANUARY 31, 2010
- --------------------------------------------------------------------------------
6 MONTHS(#) 1 YEAR 5 YEAR 10 YEAR
-------- ------ ------ -------
Institutional 3.21% 8.72% 3.96% 4.34%
- --------------------------------------------------------------------------------
Class A Shares 0.09% 5.31% 3.10% 3.82%
- --------------------------------------------------------------------------------
Class C Shares 1.77% 7.64% 2.94% 3.31%
- --------------------------------------------------------------------------------
Merrill Lynch 1-3 Year
Government/Corporate
Bond Index(1) 2.19% 4.57% 4.44% 4.88%
- --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE
INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO
OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT
www.fifththirdfunds.com.
DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A
PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF
FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 1/31/10, THE GROSS EXPENSE
RATIOS ARE 0.79% (INSTITUTIONAL SHARES), 1.04% (CLASS A) AND 1.79% (CLASS C).
THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF
0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF
3.00%. THE TOTAL RETURN FIGURES FOR C SHARES REFLECT THE MAXIMUM CONTINGENT
DEFERRED SALES CHARGE (CDSC) OF 1.0% WITHIN THE FIRST YEAR.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29,
2001, the quoted performance for the Fifth Third Short Term Bond Fund
Institutional Shares reflects the performance of the Kent Short Term Bond Fund
Institutional Shares with an inception date of November 2, 1992. Prior to
October 29, 2001, the performance for the Fifth Third Short Term Bond Fund Class
A Shares reflects the performance of the Kent Short Term Bond Fund Investment
Shares with an inception date of December 4, 1992, adjusted for the maximum
sales charge. Class C Shares were initially offered on August 1, 2003. The
performance figures for Class C Shares for the periods prior to such date
represent the performance for Institutional Shares and are adjusted to reflect
expenses and applicable sales charges for Class C Shares.
(#) Not Annualized
(1) Please refer to Glossary of Terms for additional information.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JANUARY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
U.S. Government Agencies 33.20%
Investment Companies 21.01%
Corporate Bonds 16.90%
Mortgage-Backed Securities 11.90%
Asset-Backed Securities 6.71%
U.S. Treasury Obligations 4.27%
Foreign Bonds 4.19%
Investments in Affiliates 1.78%
Municipal Bonds 0.04%
[END CHART]
(+) Portfolio composition is subject to change.
23
GLOSSARY OF TERMS
BARCLAYS CAPITAL U.S. AGGREGATE BOND INDEX is a market value-weighted
performance benchmark for investment-grade fixed-rate taxable SEC-registered
debt issues, including government, corporate, asset-backed and mortgage-backed
securities, with maturities of at least one year.
BARCLAYS CAPITAL U.S. INTERMEDIATE CREDIT BOND INDEX is generally representative
of investment grade corporate bonds with maturities from one to ten years.
BARCLAYS CAPITAL U.S. INTERMEDIATE GOVERNMENT/CREDIT BOND INDEX is composed of
investment grade corporate debt issues as well as debt issues of U.S. government
agencies and the U.S. Treasury. The debt issues all maintain maturities within a
range of one to ten year.
BETA is the covariance of a stock in relation to the rest of stock market.
DURATION is the weighted average maturity of a bond's cash flows.
GROSS DOMESTIC PRODUCT (GDP) is the market value of the goods and services
produced by labor and property in the United States. GDP is made up of consumer
and government purchases, private domestic investments, and net exports of goods
and services.
MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE BOND INDEX is composed of U.S.
Treasury issues and publicly issued debt of U.S. Government agencies with
maturities of one to three years.
MERRILL LYNCH U.S. HIGH YIELD MASTER INDEX is an unmanaged index which tracks
the performance of below investment grade, U.S. dollar-denominated corporate
bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at
least one year remaining term to maturity, at least $100,000,000 par
outstanding, and a fixed coupon schedule.
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA AND FAR EAST ("MSCI(R)
EAFE(R)") INDEX is generally representative of a sample of companies of the
market structure of 20 European and Pacific Bain countries.
RUSSELL 1000(R) INDEX measures the performance of 1,000 largest securities found
in the Russell 3000 universe.
RUSSELL 1000(R) GROWTH INDEX measures the performance of 1,000 securities found
in the Russell universe with higher price-to-book ratios and higher forecasted
growth values.
RUSSELL 1000(R) VALUE INDEX measures the performance of 1,000 securities found
in the Russell 1000 universe with a less-than-average growth orientation.
Companies in this index generally have low price-to-book and price-to-earnings
ratios, higher dividends yields and lower forecasted growth values.
RUSSELL 2000(R) GROWTH INDEX tracks the performance of common stocks that
measure the performance of the securities found in the Russell 2000(R) universe
with higher forecasted growth values.
RUSSELL 2000(R) VALUE INDEX measures the performance of those Russell 2000(R)
companies with a less-than-average growth orientation. Companies in this index
generally have low price-to-book and price-to-earnings ratios.
RUSSELL 3000(R) VALUE INDEX measures the performance of those companies in the
Russell 3000(R) Index with lower price-to-book ratios and lower forecasted
growth values.
RUSSELL MICROCAP(R) VALUE INDEX measures the performance of those Russell
Microcap companies with lower price-to-book ratios and lower forecasted growth
values.
RUSSELL MIDCAP(R) GROWTH INDEX measures the performance of those Russell midcap
companies with higher price-to-book ratios and higher forecasted growth values.
The stocks are also members of the Russell 1000(R) Growth Index.
RUSSELL MIDCAP(R) VALUE INDEX measures the performance of those Russell midcap
companies with lower price-to-book ratios and lower forecasted growth values.
S&P 500(R) INDEX measures the performance of 500 selected common stocks, most of
which are listed on the New York Stock Exchange, and is a measure of the U.S.
stock market as a whole.
WILSHIRE 5000 INDEX measures the performance of all U.S. headquartered equity
securities with readily available price data.
24
GLOSSARY OF TERMS, CONTINUED
The above indices are unmanaged and do not reflect the deduction of fees
associated with a mutual fund such as investment management and fund accounting
fees. However, the Funds' performance reflects the deduction of fees for these
value-added services. Investors cannot invest directly in an index, although
they can invest in its underlying mutual funds or securities.
THE FIFTH THIRD LIFEMODEL TARGET NEUTRAL ASSET CLASS BLENDED INDICES are
unmanaged custom-blended indices, created by Fifth Third Asset Management, Inc.,
comprised of the Wilshire 5000 Index and Barclays Capital U.S. Intermediate
Government/Credit Bond Index. The LifeModel Target Neutral Asset Class Blends
are hypothetical blends only and do not represent underlying allocations in the
Funds. Below is a table which indicates the percentage breakdown for each Fund.
BARCLAYS CAPITAL U.S. INTERMEDIATE
WILSHIRE 5000 INDEX GOVERNMENT/CREDIT BOND INDEX
- ----------------------------------------------------------------------------------------------------------------------
Fifth Third LifeModel Aggressive(SM) 90% 10%
- ----------------------------------------------------------------------------------------------------------------------
Fifth Third LifeModel Moderately Aggressive(SM) 70% 30%
- ----------------------------------------------------------------------------------------------------------------------
Fifth Third LifeModel Moderate(SM) 50% 50%
- ----------------------------------------------------------------------------------------------------------------------
Fifth Third LifeModel Moderately Conservative(SM) 40% 60%
- ----------------------------------------------------------------------------------------------------------------------
Fifth Third LifeModel Conservative(SM) 20% 80%
- ----------------------------------------------------------------------------------------------------------------------
THE FIFTH THIRD LIFEMODEL TARGET NEUTRAL STYLE CLASS BLENDED INDICES are
index-based baseline style class allocations determined by the Advisor to be
optimal under static market and economic conditions. The LifeModel Target
Neutral Style Class Blends are hypothetical blends only and do not represent
underlying allocations in the Funds. The Advisor will periodically adjust the
baseline style class allocation. Below is a table which indicates the percentage
breakdown for each Fund.
FIFTH THIRD FIFTH THIRD
FIFTH THIRD LIFEMODEL FIFTH THIRD LIFEMODEL FIFTH THIRD
LIFEMODEL MODERATELY LIFEMODEL MODERATELY LIFEMODEL
AGGRESSIVE(SM) AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM)
- -----------------------------------------------------------------------------------------------------------------------
Small Cap Growth Index(1) 4.5% 3.5% 2.5% 2.0% 1.0%
- -----------------------------------------------------------------------------------------------------------------------
Small Cap Value Index(2) 4.5% 3.5% 2.5% 2.0% 1.0%
- -----------------------------------------------------------------------------------------------------------------------
International Equity(3) 18.0% 14.0% 10.0% 8.0% 4.0%
- -----------------------------------------------------------------------------------------------------------------------
Mid Cap Growth Index(4) 9.0% 7.0% 5.0% 4.0% 2.0%
- -----------------------------------------------------------------------------------------------------------------------
Mid Cap Value Index(5) 9.0% 7.0% 5.0% 4.0% 2.0%
- -----------------------------------------------------------------------------------------------------------------------
Large Cap Growth Index(6) 15.5% 12.0% 8.5% 7.0% 3.5%
- -----------------------------------------------------------------------------------------------------------------------
Large Cap Value Index(7) 15.5% 12.0% 8.5% 7.0% 3.5%
- -----------------------------------------------------------------------------------------------------------------------
Large Cap Core Index(8) 14.0% 11.0% 8.0% 6.0% 3.0%
- -----------------------------------------------------------------------------------------------------------------------
High Yield Bond Index(9) 0.5% 1.5% 2.5% 3.0% 4.0%
- -----------------------------------------------------------------------------------------------------------------------
Total Return Bond Index(10) 7.0% 21.0% 35.0% 42.0% 56.0%
- -----------------------------------------------------------------------------------------------------------------------
Short Term Bond Index(11) 2.5% 7.5% 12.5% 15.0% 20.0%
- -----------------------------------------------------------------------------------------------------------------------
(1) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
(2) The Small Cap Value Index represents the Russell 2000(R) Value Index.
(3) The International Index represents the MSCI(R) EAFE(R) Index.
(4) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index.
(5) The Mid Cap Value Index represents the Russell Midcap(R) Value Index.
(6) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
(7) The Large Cap Value Index represents the Russell 1000(R) Value Index.
(8) The Large Cap Core Index represents the S&P 500(R) Index.
(9) The High Yield Bond Index represents the Merrill Lynch High Yield Master
Index.
(10) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate
Bond Index.
(11) The Short Term Bond Index represents the Merrill Lynch 1-3 Year Government/
Corporate Bond Index.
25
This page intentionally left blank.
26
SMALL CAP GROWTH
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (98.5%)
BIOTECHNOLOGY (1.8%)
United Therapeutics Corp. *(a) 13,050 $ 777,388
------------
CAPITAL MARKETS (3.4%)
Ares Capital Corp. (a) 70,800 870,840
Stifel Financial Corp. *(a) 11,400 596,220
------------
1,467,060
------------
COMMERCIAL SERVICES & SUPPLIES (3.7%)
GeoEye, Inc. * 22,000 564,740
Geo Group, Inc. (The) *(a) 29,012 536,722
Tetra Tech, Inc. *(a) 22,300 504,872
------------
1,606,334
------------
COMMUNICATIONS EQUIPMENT (5.6%)
Harmonic, Inc. *(a) 68,294 414,545
Netgear, Inc. *(a) 27,000 557,280
Neutral Tandem, Inc. *(a) 24,650 381,089
Nice Systems, Ltd. ADR * 13,985 407,103
Riverbed Technology, Inc. *(a) 29,500 661,390
------------
2,421,407
------------
COMPUTERS & PERIPHERALS (0.7%)
Xyratex, Ltd. * 22,666 310,751
------------
CONSTRUCTION & ENGINEERING (1.6%)
Orion Marine Group, Inc. *(a) 36,500 690,945
------------
CONSUMER FINANCE (3.8%)
Cardronics, Inc. *(a) 83,200 906,048
Cash America International, Inc. (a) 19,118 718,646
------------
1,624,694
------------
CONTAINERS & PACKAGING (1.3%)
Rock-Tenn Co., Class A 12,900 550,701
------------
DIVERSIFIED CONSUMER SERVICES (2.9%)
American Public Education, Inc. *(a) 18,100 690,334
ChinaCast Education Corp. *(a) 83,700 555,768
------------
1,246,102
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (2.1%)
Cbeyond, Inc. *(a) 34,900 434,854
TW Telecom, Inc. *(a) 31,442 484,521
------------
919,375
------------
ELECTRICAL COMPONENTS & EQUIPMENT (0.6%)
Polypore International, Inc. *(a) 19,750 265,242
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (0.7%)
IPG Photonics Corp. *(a) 19,481 280,526
------------
ENERGY-ALTERNATE SOURCES (1.1%)
Comverge, Inc. *(a) 47,200 463,504
------------
ENERGY EQUIPMENT & SERVICES (2.3%)
Core Laboratories NV (a) 3,900 456,105
Willbros Group, Inc. *(a) 36,500 558,085
------------
1,014,190
------------
FINANCE-INVESTMENT BANKER/BROKER (1.5%)
Evercore Partners, Inc., Class A (a) 21,400 639,218
------------
FOOD PRODUCTS (1.2%)
Flowers Foods, Inc. (a) 20,950 508,876
------------
HEALTHCARE EQUIPMENT & SUPPLIES (4.5%)
Endologix, Inc. *(a) 115,700 529,906
Neogen Corp. *(a) 30,600 650,250
NuVasive, Inc. *(a) 27,344 754,694
------------
1,934,850
------------
HEALTHCARE PROVIDERS & SERVICES (9.5%)
Amedisys, Inc. *(a) 14,800 813,260
Clarient, Inc. *(a) 248,020 560,525
Emergency Medical Services Corp., Class A *(a) 17,808 935,098
Genoptix, Inc. *(a) 32,750 1,066,340
HMS Holdings Corp. *(a) 15,794 712,152
------------
4,087,375
------------
HEALTHCARE TECHNOLOGY (1.5%)
Phase Forward, Inc. *(a) 44,405 649,201
------------
HOTELS RESTAURANTS & LEISURE (1.8%)
Bally Technologies, Inc. *(a) 19,300 765,631
------------
HOUSEHOLD PRODUCTS (1.2%)
Orchids Paper Products Co. *(a) 28,433 524,020
------------
INTERNET (1.1%)
Constant Contact, Inc. *(a) 27,119 478,379
------------
INTERNET SOFTWARE & SERVICES (4.1%)
Art Technology Group, Inc. *(a) 148,056 663,291
DealerTrack Holdings, Inc. *(a) 34,900 627,153
Perficient, Inc. *(a) 51,290 498,026
------------
1,788,470
------------
IT SERVICES (4.7%)
Cybersource Corp. *(a) 39,611 716,167
ExlService Holdings, Inc. *(a) 39,200 711,480
Forrester Research, Inc. * 22,490 609,254
------------
2,036,901
------------
LEISURE TIME (1.3%)
Life Time Fitness, Inc. *(a) 24,000 574,800
------------
LIFE SCIENCES TOOLS & SERVICES (2.9%)
ICON PLC ADR * 34,470 856,235
Luminex Corp. *(a) 27,950 378,164
------------
1,234,399
------------
MEDIA (3.3%)
Dolan Media Co. * 45,423 448,779
Imax Corp. *(a) 33,823 432,934
RRSat Global Communications Network, Ltd. (a) 46,200 529,452
------------
1,411,165
------------
Continued
27
SMALL CAP GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
NETWORKING PRODUCTS (1.3%)
Acme Packet, Inc. *(a) 52,577 $ 544,172
------------
OIL-FIELD SERVICES (1.4%)
North American Energy Partners, Inc. * 95,000 618,450
------------
PROFESSIONAL SERVICES (1.6%)
CoStar Group, Inc. *(a) 17,200 694,536
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (4.5%)
Entegris, Inc. *(a) 86,900 316,316
MKS Instruments, Inc. *(a) 25,460 422,636
Varian Semiconductor Equipment Associates, Inc. *(a) 23,600 692,188
Zoran Corp. *(a) 47,200 517,784
------------
1,948,924
------------
SOFTWARE (7.4%)
Informatica Corp. *(a) 29,000 687,010
JDA Software Group, Inc. *(a) 30,100 788,921
PROS Holdings, Inc. *(a) 46,544 370,025
SolarWinds, Inc. *(a) 27,900 542,097
Solera Holdings, Inc. (a) 8,011 265,244
Ultimate Software Group, Inc. *(a) 17,503 523,340
------------
3,176,637
------------
SPECIALTY RETAIL (3.2%)
Aeropostale, Inc. *(a) 19,300 634,777
Monro Muffler Brake, Inc. (a) 22,300 763,106
------------
1,397,883
------------
TEXTILES APPAREL & LUXURY GOODS (4.0%)
Deckers Outdoor Corp. *(a) 6,252 613,759
True Religion Apparel, Inc. *(a) 25,750 497,233
Warnaco Group, Inc. (The)* 15,570 602,870
------------
1,713,862
------------
TRANSPORTATION (2.9%)
Aegean Marine Petroleum Network, Inc. (a) 39,700 1,235,067
------------
TRANSPORTATION EX AIR/RAIL (1.2%)
Atlas Air Worldwide Holdings, Inc. *(a) 14,600 535,382
------------
WIRELESS EQUIPMENT (0.8%)
Aruba Networks, Inc. *(a) 34,223 355,577
------------
TOTAL COMMON STOCKS 42,491,994
------------
INVESTMENT COMPANIES (28.8%)
State Street Navigator Securities
Lending Portfolio (c) 12,420,471 12,420,471
------------
TOTAL INVESTMENT COMPANIES 12,420,471
------------
INVESTMENTS IN AFFILIATES (1.3%)
Fifth Third Institutional Money Market Fund (b) 545,532 545,532
------------
TOTAL INVESTMENTS IN AFFILIATES 545,532
------------
TOTAL INVESTMENTS (COST $50,820,137) - 128.6% 55,457,997
LIABILITIES IN EXCESS OF OTHER ASSETS - (28.6)% (12,325,826)
------------
NET ASSETS - 100.0% $ 43,132,171
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviation is used in the Schedule of Investments:
ADR - American Depositary Receipt
At January 31, 2010, Small Cap Growth's investments were in the following
countries:
COUNTRY
- --------------------------------------------------------------------------
Bermuda 0.6%
Canada 1.9%
Greece 2.2%
Ireland 1.5%
Israel 1.7%
Netherlands 0.8%
United States 91.3%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
28
MID CAP GROWTH
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (97.9%)
AEROSPACE & DEFENSE (2.4%)
BE Aerospace, Inc. * 56,850 $ 1,275,146
Precision Castparts Corp. 7,300 768,325
------------
2,043,471
------------
BIOTECHNOLOGY (2.0%)
United Therapeutics Corp. *(a) 28,300 1,685,831
------------
CAPITAL MARKETS (4.8%)
Lazard, Ltd., Class A 33,400 1,287,236
T Rowe Price Group, Inc. 22,300 1,106,526
Waddell & Reed Financial, Inc., Class A 54,650 1,712,184
------------
4,105,946
------------
CHEMICALS (2.8%)
CF Industries Holdings, Inc. 12,600 1,170,036
FMC Corp. 24,300 1,237,842
------------
2,407,878
------------
COMMERCIAL SERVICES & SUPPLIES (2.9%)
Corrections Corp. of America * 73,300 1,371,443
Stericycle, Inc. * 20,750 1,098,297
------------
2,469,740
------------
COMMUNICATIONS EQUIPMENT (2.8%)
CommScope, Inc. * 45,535 1,239,007
Juniper Networks, Inc. * 45,550 1,131,007
------------
2,370,014
------------
COMPUTERS & PERIPHERALS (3.4%)
NetApp, Inc. * 41,950 1,222,004
Seagate Technology 97,400 1,629,502
------------
2,851,506
------------
CONSTRUCTION & ENGINEERING (1.0%)
URS Corp. * 18,950 850,476
------------
CONTAINERS & PACKAGING (1.0%)
Owens-Illinois, Inc. * 32,850 894,177
------------
DISTRIBUTORS (1.8%)
LKQ Corp. * 81,950 1,536,562
------------
DIVERSIFIED CONSUMER SERVICES (1.8%)
Apollo Group, Inc., Class A * 25,300 1,532,927
------------
DIVERSIFIED FINANCIAL SERVICES (1.0%)
IntercontinentalExchange, Inc. * 9,350 892,738
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (1.2%)
TW Telecom, Inc. * 64,187 989,122
------------
ELECTRIC UTILITIES (1.1%)
PPL Corp. 30,350 895,022
------------
ELECTRICAL COMPONENTS & EQUIPMENT (0.7%)
General Cable Corp. *(a) 20,250 589,275
------------
ELECTRONIC COMPONENTS-SEMICONDUCTORS (0.7%)
Rovi Corp. * 21,458 619,492
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (1.6%)
Mettler-Toledo International, Inc. * 13,900 1,354,833
------------
ENERGY EQUIPMENT & SERVICES (4.2%)
Core Laboratories NV 8,850 1,035,007
Noble Corp. 21,450 864,864
Oceaneering International, Inc. * 30,350 1,660,145
------------
3,560,016
------------
FOOD PRODUCTS (1.2%)
HJ Heinz Co. 24,000 1,047,120
------------
HEALTHCARE EQUIPMENT & SUPPLIES (4.0%)
CR Bard, Inc. 11,400 944,946
DENTSPLY International, Inc. 46,050 1,544,056
Gen-Probe, Inc. *(a) 20,750 890,798
------------
3,379,800
------------
HEALTHCARE PROVIDERS & SERVICES (1.7%)
Express Scripts, Inc. * 17,150 1,438,199
------------
HOTELS RESTAURANTS & LEISURE (2.9%)
Burger King Holdings, Inc. (a) 74,600 1,301,024
International Game Technology 65,700 1,204,938
------------
2,505,962
------------
HOUSEHOLD DURABLES (1.5%)
Snap-On, Inc. 31,350 1,281,588
------------
HOUSEHOLD PRODUCTS (1.5%)
Church & Dwight Co., Inc. 21,250 1,281,162
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (1.3%)
NRG Energy, Inc. * 45,550 1,098,210
------------
INDUSTRIAL CONGLOMERATES (2.0%)
McDermott International, Inc. * 73,300 1,731,346
------------
INSURANCE (1.2%)
AON Corp. 25,500 991,950
------------
INTERNET SOFTWARE & SERVICES (1.0%)
Equinix, Inc. * 9,100 875,693
------------
IT SERVICES (3.2%)
Cognizant Technology Solutions Corp., Class A * 37,472 1,636,028
Paychex, Inc. (a) 36,900 1,069,731
------------
2,705,759
------------
LIFE SCIENCES TOOLS & SERVICES (3.1%)
Covance, Inc. *(a) 20,941 1,216,882
PerkinElmer, Inc. 69,250 1,394,695
------------
2,611,577
------------
MACHINERY (2.7%)
ITT Corp. 25,000 1,207,750
Joy Global, Inc. 23,500 1,074,890
------------
2,282,640
------------
Continued
29
MID CAP GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
METALS & MINING (0.9%)
Cliffs Natural Resources, Inc. (a) 19,108 $ 763,365
------------
MULTILINE RETAIL (1.2%)
Dollar Tree, Inc. * 21,250 1,052,300
------------
OIL & GAS (3.1%)
Range Resources Corp. 30,350 1,396,100
Ultra Petroleum Corp. * 26,000 1,194,440
------------
2,590,540
------------
PERSONAL PRODUCTS (1.6%)
Herbalife, Ltd. 34,600 1,344,210
------------
PROFESSIONAL SERVICES (1.3%)
FTI Consulting, Inc. * 25,750 1,067,338
------------
REAL ESTATE INVESTMENT TRUSTS (2.1%)
Digital Realty Trust, Inc. (a) 36,400 1,747,200
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (5.8%)
Broadcom Corp., Class A * 29,100 777,552
Lam Research Corp. * 24,500 808,745
Marvell Technology Group, Ltd. * 52,600 916,818
National Semiconductor Corp. 63,200 838,032
Nvidia Corp. * 34,919 537,403
Varian Semiconductor Equipment Associates, Inc. * 35,400 1,038,282
------------
4,916,832
------------
SOFTWARE (8.0%)
Autodesk, Inc. * 44,700 1,063,413
Citrix Systems, Inc. * 21,500 893,325
Informatica Corp. * 38,699 916,779
Intuit, Inc. * 65,407 1,936,701
Nuance Communications, Inc. *(a) 73,300 1,100,966
Sybase, Inc. *(a) 22,064 897,343
------------
6,808,527
------------
SPECIALTY RETAIL (6.0%)
Aeropostale, Inc. * 40,450 1,330,400
GameStop Corp., Class A *(a) 47,050 930,178
Guess?, Inc. 36,950 1,467,285
TJX Cos., Inc. 36,650 1,393,067
------------
5,120,930
------------
TEXTILES APPAREL & LUXURY GOODS (1.6%)
Warnaco Group, Inc. (The) * 34,600 1,339,712
------------
WIRELESS TELECOMMUNICATION SERVICES (1.8%)
American Tower Corp., Class A * 36,055 1,530,535
------------
TOTAL COMMON STOCKS 83,161,521
------------
INVESTMENT COMPANIES (11.9%)
State Street Navigator Securities Lending Portfolio 10,073,292 10,073,292
------------
TOTAL INVESTMENT COMPANIES 10,073,292
------------
INVESTMENTS IN AFFILIATES (2.3%)
Fifth Third Institutional Money Market Fund (b) 1,944,932 1,944,932
------------
TOTAL INVESTMENTS IN AFFILIATES 1,944,932
------------
TOTAL INVESTMENTS (COST $92,312,611) - 112.1% 95,179,745
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.1)% (10,265,613)
------------
NET ASSETS - 100.0% $ 84,914,132
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investment of cash collateral received in connection with
securities lending.
At January 31, 2010, Mid Cap Growth's investments were in the following
countries:
COUNTRY
- ------------------------------------------------------------------------
Bermuda 2.3%
Cayman Islands 3.1%
Netherlands 1.1%
United States 93.5%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
30
QUALITY GROWTH
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (93.6%)
AUTO COMPONENTS (1.2%)
Johnson Controls, Inc. 140,000 $ 3,896,200
------------
BIOTECHNOLOGY (2.8%)
Amgen, Inc. * 75,000 4,386,000
Gilead Sciences, Inc. * 95,000 4,585,650
------------
8,971,650
------------
CAPITAL MARKETS (1.5%)
BlackRock, Inc. (c) 23,000 4,917,860
------------
CHEMICALS (2.3%)
Monsanto Co. 60,000 4,552,800
Praxair, Inc. 40,000 3,012,800
------------
7,565,600
------------
COMMERCIAL SERVICES & SUPPLIES (1.1%)
Stericycle, Inc. * 70,000 3,705,100
------------
COMMERCIAL SERVICES-FINANCE (1.0%)
Visa, Inc., Class A 40,000 3,281,200
------------
COMMUNICATIONS EQUIPMENT (5.7%)
Cisco Systems, Inc. * 470,000 10,560,900
Juniper Networks, Inc. * 165,000 4,096,950
Qualcomm, Inc. 95,000 3,723,050
------------
18,380,900
------------
COMPUTERS & PERIPHERALS (10.1%)
Apple, Inc. * 50,000 9,606,000
EMC Corp. * 290,000 4,834,300
Hewlett-Packard Co. 190,000 8,943,300
International Business Machines Corp. 75,000 9,179,250
------------
32,562,850
------------
Construction & Engineering (1.1%)
Fluor Corp. 80,000 3,627,200
------------
DIVERSIFIED FINANCIAL SERVICES (1.3%)
JPMorgan Chase & Co. 105,000 4,088,700
------------
FOOD & STAPLES RETAILING (2.4%)
Kroger Co. (The) 160,000 3,428,800
Walgreen Co. 120,000 4,326,000
------------
7,754,800
------------
FOOD PRODUCTS (4.6%)
General Mills, Inc. 80,000 5,704,800
HJ Heinz Co. 70,000 3,054,100
Kellogg Co. 110,000 5,986,200
------------
14,745,100
------------
HEALTHCARE EQUIPMENT & SUPPLIES (4.6%)
Alcon, Inc. 35,000 5,449,850
Baxter International, Inc. 95,000 5,471,050
Covidien PLC 80,000 4,044,800
------------
14,965,700
------------
HEALTHCARE PROVIDERS & SERVICES (3.0%)
Express Scripts, Inc. * 67,000 5,618,620
UnitedHealth Group, Inc. 125,000 4,125,000
------------
9,743,620
------------
HOTELS RESTAURANTS & LEISURE (3.4%)
Burger King Holdings, Inc. (c) 140,000 2,441,600
McDonald's 85,000 5,306,550
Starbucks Corp. * 140,000 3,050,600
------------
10,798,750
------------
HOUSEHOLD PRODUCTS (3.3%)
Colgate-Palmolive Co. 71,054 5,686,452
Procter & Gamble Co. (The) 80,000 4,924,000
------------
10,610,452
------------
INTERNET & CATALOG RETAIL (1.6%)
Amazon.com, Inc. * 40,000 5,016,400
------------
INTERNET SOFTWARE & SERVICES (2.8%)
Google, Inc., Class A * 17,000 9,000,140
------------
LIFE SCIENCES TOOLS & SERVICES (1.3%)
Thermo Fisher Scientific, Inc. * 90,000 4,153,500
------------
MACHINERY (4.5%)
Danaher Corp. 70,000 4,994,500
Flowserve Corp. 50,000 4,508,500
Illinois Tool Works, Inc. 115,000 5,012,850
------------
14,515,850
------------
MEDIA (2.2%)
Time Warner, Inc. 100,000 2,745,000
Walt Disney Co. (The) 145,000 4,284,750
------------
7,029,750
------------
METALS & MINING (1.4%)
Freeport-McMoRan Copper & Gold, Inc. 70,000 4,668,300
------------
MULTILINE RETAIL (1.2%)
Kohl's Corp. * 80,0000 4,029,600
------------
MULTI-UTILITIES (1.2%)
MDU Resources Group, Inc. 180,000 3,963,600
------------
OIL & GAS (5.1%)
Anadarko Petroleum Corp. 90,000 5,740,200
Consol Energy, Inc. 60,000 2,796,600
Occidental Petroleum Corp. 55,000 4,308,700
Southwestern Energy Co. * 85,000 3,644,800
------------
16,490,300
------------
OIL COMPANY-EXPLORATION & PRODUCTION (1.1%)
PetroHawk Energy Corp. * 154,543 3,450,945
------------
PERSONAL PRODUCTS (2.9%)
Alberto-Culver Co. 130,000 3,690,700
Estee Lauder Cos., Inc. (The), Class A 105,000 5,514,600
------------
9,205,300
------------
PHARMACEUTICALS (2.2%)
Johnson & Johnson 115,000 7,228,900
------------
ROAD & RAIL (1.5%)
Union Pacific Corp. 78,000 4,719,000
------------
Continued
31
QUALITY GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (4.8%)
Broadcom Corp., Class A * 160,000 $ 4,275,200
Intel Corp. 400,000 7,760,000
Varian Semiconductor Equipment Associates, Inc. * 120,000 3,519,600
------------
15,554,800
------------
SOFTWARE (6.4%)
Microsoft Corp. 465,000 13,103,700
Oracle Corp. 320,000 7,379,200
------------
20,482,900
------------
SPECIALTY RETAIL (1.1%)
O'Reilly Automotive, Inc. * 95,000 3,591,000
------------
TEXTILES APPAREL & LUXURY GOODS (1.3%)
Nike, Inc., Class B 68,000 4,335,000
------------
TRADING COMPANIES & DISTRIBUTORS (1.6%)
Fastenal Co. (c) 124,000 5,143,520
------------
TOTAL COMMON STOCKS 302,194,487
------------
INVESTMENT COMPANIES (3.9%)
State Street Navigator Securities
Lending Portfolio (f) 12,513,352 12,513,352
------------
TOTAL INVESTMENT COMPANIES 12,513,352
------------
PRINCIPAL
AMOUNT
----------
ASSET-BACKED SECURITIES (0.0%)
MANUFACTURED HOUSING ABS OTHER (0.0%)
Green Tree Financial Corp.,
Series 1995-4, Class M1, 7.60%,
6/15/25 (a) $ 105,079 105,109
------------
OTHER ABS (0.0%)
Aerco, Ltd., Series 2A, Class A3,
0.69%, 7/15/25 (a)(b)(e) 64,780 35,305
------------
TOTAL ASSET-BACKED SECURITIES 140,414
------------
CORPORATE BONDS (0.1%)
COMMERCIAL BANKS-CENTRAL U.S. (0.1%)
Bank One Capital III, 8.75%, 9/1/30 165,792 189,086
------------
TOTAL CORPORATE BONDS 189,086
------------
MORTGAGE-BACKED SECURITIES (0.2%)
WL COLLATERAL CMO OTHER (0.2%)
Indymac Index Mortgage Loan Trust,
Series 2005-AR9, Class 1A1, 3.26%,
7/25/35 (a) 113,136 63,180
JP Morgan Mortgage Trust, Series
2005-A1, Class 2A1, 4.81%, 2/25/35 (a) 211,270 193,033
Morgan Stanley Mortgage Loan Trust,
Series 2004-4, Class 3A, 5.00%, 8/25/19 447,412 450,068
------------
706,281
------------
WL COLLATERAL CMO SEQUENTIAL (0.0%)
Countrywide Alternative Loan Trust,
Series 2005-J3, Class 3A1, 6.50%,
9/25/34 116,840 106,763
------------
WL COLLATERAL SUPPORT (0.0%)
Bear Stearns Alt-A Trust, Series 2005-9,
Class 21A2, 3.51%, 11/25/35 (a) 110,809 20,926
------------
TOTAL MORTGAGE-BACKED SECURITIES 833,970
------------
U.S. GOVERNMENT AGENCIES (0.3%)
FANNIE MAE (0.2%)
5.50%, 4/25/37 260,151 262,694
6.00%, 8/25/33 (a) 263,895 255,789
------------
518,483
------------
FREDDIE MAC (0.1%)
5.50%, 3/15/35 222,635 222,994
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.0%)
0.48%, 4/16/46, IO (a)(e) 3,051,595 86,088
------------
TOTAL U.S. GOVERNMENT AGENCIES 827,565
------------
SHARES
----------
INVESTMENTS IN AFFILIATES (5.8%)
Fifth Third Institutional Money Market Fund (d) 18,552,472 18,552,472
------------
TOTAL INVESTMENTS IN AFFILIATES 18,552,472
------------
TOTAL INVESTMENTS (COST $298,057,140) - 103.9% 335,251,346
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.9)% (12,656,187)
------------
NET ASSETS - 100.0% $322,595,159
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Variable rate security. Rate presented represents rate in effect at January
31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) Illiquid Securities.
(f) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
CMO - Collateralized Mortgage Obligation
IO - Interest Only
WL - Whole Loan
See notes to schedules of investments and notes to financial statements.
32
DIVIDEND GROWTH
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (99.2%)
AEROSPACE & DEFENSE (3.3%)
United Technologies Corp. 3,755 $ 253,387
------------
AIR FREIGHT & LOGISTICS (1.2%)
United Parcel Service, Inc., Class B 1,534 88,619
------------
BEVERAGES (3.3%)
Diageo PLC ADR 1,389 93,327
PepsiCo, Inc. 2,696 160,735
------------
254,062
------------
BIOTECHNOLOGY (0.9%)
Amgen, Inc. *(a) 1,224 71,580
------------
CAPITAL MARKETS (3.7%)
BlackRock, Inc. (a) 542 115,891
Invesco, Ltd. (a) 5,276 101,827
Lazard, Ltd., Class A 1,634 62,974
------------
280,692
------------
CHEMICALS (4.6%)
Air Products & Chemicals, Inc. (a) 1,794 136,272
Ecolab, Inc. (a) 2,615 114,799
Praxair, Inc. (a) 1,347 101,456
------------
352,527
------------
COMMERCIAL BANKS (1.9%)
US Bancorp 5,646 141,602
------------
COMMUNICATIONS EQUIPMENT (3.1%)
Cisco Systems, Inc. * 6,641 149,223
Qualcomm, Inc. 2,180 85,434
------------
234,657
------------
COMPUTERS & PERIPHERALS (5.7%)
Apple, Inc. * 1,148 220,554
International Business Machines Corp. 1,727 211,367
------------
431,921
------------
CONSTRUCTION & ENGINEERING (0.5%)
Fluor Corp. 867 39,310
------------
DIVERSIFIED FINANCIAL SERVICES (4.2%)
Bank of America Corp. 4,400 66,792
CME Group, Inc. (a) 337 96,658
JPMorgan Chase & Co. 4,019 156,500
------------
319,950
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (1.8%)
AT&T, Inc. 5,348 135,625
------------
ELECTRIC UTILITIES (0.8%)
FPL Group, Inc. (a) 1,293 63,047
------------
ELECTRICAL COMPONENTS & EQUIPMENT (1.6%)
Emerson Electric Co. (a) 2,819 117,101
------------
ENERGY EQUIPMENT & SERVICES (1.2%)
Schlumberger, Ltd. 1,379 87,511
------------
FOOD & STAPLES RETAILING (3.0%)
Walgreen Co. (a) 2,354 84,862
Wal-Mart Stores, Inc. 2,703 144,421
------------
229,283
------------
FOOD PRODUCTS (1.1%)
JM Smucker Co. (The) (a) 1,413 84,879
------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.8%)
Baxter International, Inc. 2,319 133,551
Medtronic, Inc. 1,843 79,046
------------
212,597
------------
HEALTHCARE PROVIDERS & SERVICES (1.4%)
UnitedHealth Group, Inc. 3,283 108,339
------------
HOTELS RESTAURANTS & LEISURE (1.3%)
McDonald's Corp. (a) 1,582 98,764
------------
HOUSEHOLD DURABLES (1.1%)
Snap-On, Inc. (a) 2,055 84,008
------------
HOUSEHOLD PRODUCTS (1.7%)
Procter & Gamble Co. (The) (a) 2,123 130,671
------------
INSURANCE (2.3%)
MetLife, Inc. (a) 4,853 171,408
------------
INTERNET SOFTWARE & SERVICES (2.5%)
Google, Inc., Class A * 351 185,827
------------
IT SERVICES (1.0%)
Accenture PLC, Class A 1,862 76,323
------------
MACHINERY (2.8%)
Cummins, Inc. (a) 2,074 93,662
Illinois Tool Works, Inc. (a) 2,711 118,172
------------
211,834
------------
MEDIA (1.3%)
Walt Disney Co. (The) (a) 3,319 98,077
------------
METALS & MINING (0.5%)
Freeport-McMoRan Copper & Gold, Inc. 590 39,347
------------
MULTILINE RETAIL (1.3%)
Target Corp. (a) 1,862 95,465
------------
MULTI-UTILITIES (2.2%)
Wisconsin Energy Corp. (a) 3,449 168,794
------------
OIL & GAS (9.9%)
Apache Corp. 1,651 163,069
Chevron Corp. 2,036 146,836
Exxon Mobil Corp. 1,813 116,812
Occidental Petroleum Corp. 2,008 157,307
Range Resources Corp. (a) 1,372 63,112
XTO Energy, Inc. (a) 2,277 101,486
------------
748,622
------------
Continued
33
DIVIDEND GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
PHARMACEUTICALS (8.9%)
Abbott Laboratories 2,219 $ 117,474
Johnson & Johnson (a) 3,609 226,862
Novartis AG ADR 1,838 98,388
Pfizer, Inc. 5,501 102,649
Teva Pharmaceutical Industries, Ltd. ADR 2,270 128,754
------------
674,127
------------
REAL ESTATE INVESTMENT TRUSTS (0.6%)
HCP, Inc. (a) 1,496 42,412
------------
ROAD & RAIL (1.5%)
Canadian Pacific Railway, Ltd. 822 38,634
CSX Corp. (a) 1,687 72,305
------------
110,939
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (4.1%)
Analog Devices, Inc. 3,233 87,162
Intel Corp. 5,241 101,675
Xilinx, Inc. (a) 5,328 125,634
------------
314,471
------------
SOFTWARE (3.9%)
Microsoft Corp. (a) 7,732 217,888
Oracle Corp. 3,426 79,003
------------
296,891
------------
SPECIALTY RETAIL (1.2%)
TJX Cos., Inc. (a) 2,422 92,060
------------
TEXTILES APPAREL & LUXURY GOODS (3.0%)
Nike, Inc., Class B (a) 1,610 102,637
VF Corp. (a) 1,764 127,061
------------
229,698
------------
TOBACCO (1.1%)
Philip Morris International, Inc. 1,891 86,060
------------
TRADING COMPANIES & DISTRIBUTORS (0.9%)
WW Grainger, Inc. (c) 713 70,787
------------
TOTAL COMMON STOCKS 7,533,274
------------
INVESTMENT COMPANIES (28.7%)
State Street Navigator Securities
Lending Portfolio (c) 2,179,925 2,179,925
------------
TOTAL INVESTMENT COMPANIES 2,179,925
------------
INVESTMENTS IN AFFILIATES (0.8%)
Fifth Third Institutional Money Market Fund (b) 59,787 59,787
------------
TOTAL INVESTMENTS IN AFFILIATES 59,787
------------
TOTAL INVESTMENTS (COST $8,715,634) - 128.7% 9,772,986
LIABILITIES IN EXCESS OF OTHER ASSETS - (28.7)% (2,176,948)
------------
NET ASSETS - 100.0% $ 7,596,038
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviation is used in the Schedule of Investments:
ADR - Amercian Depositary Receipt
At January 31, 2010, Dividend Growth's investments were in the following
countries:
COUNTRY
- --------------------------------------------------------------------------
Bermuda 0.6%
Canada 0.4%
Great Britain 1.0%
Ireland 0.8%
Israel 1.3%
Switzerland 1.0%
United States 94.9%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
34
MICRO CAP VALUE
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (93.1%)
AUTO COMPONENTS (0.9%)
Motorcar Parts of America, Inc. * 47,000 $ 268,840
------------
CAPITAL MARKETS (4.9%)
Gladstone Capital Corp. 33,661 248,418
MVC Capital, Inc. 30,586 357,856
Penson Worldwide, Inc. * 34,981 294,540
Sanders Morris Harris Group, Inc. 51,309 242,692
SWS Group, Inc. 33,404 400,848
------------
1,544,354
------------
CHEMICALS (1.1%)
Quaker Chemical Corp. 19,600 342,804
------------
COMMERCIAL BANKS (8.9%)
Boston Private Financial Holdings, Inc. (a) 32,400 232,308
Center Bancorp, Inc. 27,962 231,525
Center Financial Corp. * 87,760 417,738
Independent Bank Corp. 16,082 374,711
MainSource Financial Group, Inc. 19,978 110,079
Northrim BanCorp, Inc. 15,200 243,656
Pacific Continental Corp. 32,355 328,403
Renasant Corp. (a) 21,490 308,382
Simmons First National Corp., Class A 11,913 319,745
Southcoast Financial Corp. * 8,938 27,261
Washington Trust Bancorp, Inc. 13,165 224,990
------------
2,818,798
------------
COMMERCIAL SERVICES & SUPPLIES (5.3%)
Barrett Business Services, Inc. 36,774 471,075
CBIZ, Inc. *(a) 45,155 327,374
Cornell Cos., Inc. * 14,100 296,100
Schawk, Inc. 22,903 294,991
Spherion Corp. * 49,900 281,436
------------
1,670,976
------------
COMMUNICATIONS EQUIPMENT (1.3%)
Exfo Electro Optical Engineering, Inc. * 78,700 399,796
------------
COMPUTERS & PERIPHERALS (0.3%)
ActivIdentity Corp. * 44,555 101,585
------------
DISTRIBUTORS (1.2%)
Audiovox Corp., Class A * 55,808 371,123
------------
DIVERSIFIED CONSUMER SERVICES (1.1%)
Stewart Enterprises, Inc., Class A (a) 66,500 337,155
------------
DIVERSIFIED FINANCIAL SERVICES (0.9%)
NGP Capital Resources Co. 36,210 276,644
------------
ELECTRIC-INTEGRATED (0.9%)
Pike Electric Corp. * 33,100 288,632
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (4.6%)
CTS Corp. 29,138 221,740
Electro Scientific Industries, Inc. * 22,270 249,647
MTS Systems Corp. 9,600 247,008
OSI Systems, Inc. * 8,172 216,313
PAR Technology Corp. * 45,985 266,253
TTM Technologies, Inc. * 24,974 258,481
------------
1,459,442
------------
ENERGY EQUIPMENT & SERVICES (2.2%)
ION Geophysical Corp. * 83,000 394,250
Mitcham Industries, Inc. * 41,900 310,060
------------
704,310
------------
FOOD & STAPLES RETAILING (1.4%)
Nash Finch Co. 12,820 442,290
------------
FOOD PRODUCTS (3.1%)
B&G Foods, Inc., Class A 35,333 317,290
Inventure Group, Inc. (The) * 91,400 222,102
Overhill Farms, Inc. * 101,828 449,061
------------
988,453
------------
GAS-DISTRIBUTION (0.9%)
Chesapeake Utilities Corp. 9,615 284,989
------------
HEALTHCARE EQUIPMENT & SUPPLIES (4.2%)
Angiodynamics, Inc. * 20,061 321,979
Greatbatch, Inc. * 11,750 230,888
Kensey Nash Corp. * 8,400 203,448
Medical Action Industries, Inc. * 27,383 371,587
National Dentex Corp. * 22,001 182,828
------------
1,310,730
------------
HEALTHCARE PROVIDERS & SERVICES (2.0%)
American Dental Partners, Inc. * 18,214 230,407
Cross Country Healthcare, Inc. * 23,090 209,195
Res-Care, Inc. * 21,520 193,895
------------
633,497
------------
HEALTHCARE TECHNOLOGY (1.1%)
Omnicell, Inc. * 28,400 340,232
------------
HOTELS RESTAURANTS & LEISURE (2.1%)
Benihana, Inc., Class A * 85,378 376,517
Frisch's Restaurants, Inc. 12,246 293,292
------------
669,809
------------
HOUSEHOLD PRODUCTS (1.5%)
Inter Parfums, Inc. 17,000 226,270
Prestige Brands Holdings, Inc. * 33,300 258,741
------------
485,011
------------
INSURANCE (4.1%)
American Equity Investment Life Holding Co. 26,700 195,978
Amerisafe, Inc. * 15,541 268,859
Meadowbrook Insurance Group, Inc. 66,782 450,778
SeaBright Insurance Holdings, Inc. * 37,372 380,447
------------
1,296,062
------------
INTERNET SOFTWARE & SERVICES (2.0%)
Infospace, Inc. * 19,800 183,546
Perficient, Inc. * 47,000 456,370
------------
639,916
------------
Continued
35
MICRO CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
IT SERVICES (1.7%)
Ciber, Inc. * 65,487 $ 211,523
Ness Technologies, Inc. * 57,084 316,245
------------
527,768
------------
MACHINERY (1.6%)
EnPro Industries, Inc. * 10,700 260,545
Flow International Corp. * 73,000 248,930
------------
509,475
------------
MARINE (0.7%)
StealthGas, Inc. 44,293 221,908
------------
MEDIA (0.8%)
Dolan Media Co. * 24,037 237,486
------------
OIL & GAS (1.5%)
Gulfport Energy Corp. * 45,500 470,470
------------
PAPER & FOREST PRODUCTS (0.9%)
Glatfelter 21,400 295,320
------------
REAL ESTATE INVESTMENT TRUSTS (4.7%)
Cedar Shopping Centers, Inc. 46,100 321,778
Hersha Hospitality Trust 89,081 324,255
MHI Hospitality Corp. 106,040 214,201
Monmouth Real Estate Investment Corp., Class A 59,071 441,851
U-Store-It Trust 27,460 190,023
------------
1,492,108
------------
RETAIL-APPAREL/SHOE (0.6%)
Kenneth Cole Productions, Inc., Class A * 18,500 189,440
------------
RETAIL-CONVENIENCE STORE (1.1%)
Susser Holdings Corp. * 37,800 333,396
------------
ROAD & RAIL (4.2%)
Celadon Group, Inc. * 43,430 426,483
Marten Transport, Ltd. * 15,085 265,647
Saia, Inc. * 27,150 325,800
USA Truck, Inc. * 25,400 313,690
------------
1,331,620
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (6.8%)
Applied Micro Circuits Corp. * 29,290 214,696
AXT, Inc. * 115,400 334,660
IXYS Corp. * 44,648 310,750
Pericom Semiconductor Corp. * 21,900 192,720
Photronics, Inc. * 56,400 217,140
Rudolph Technologies, Inc. * 48,314 302,929
Ultratech, Inc. * 22,544 307,500
White Electronic Designs Corp. * 55,767 278,835
------------
2,159,230
------------
SOFTWARE (1.4%)
American Software, Inc., Class A 53,300 292,084
THQ, Inc. * 31,100 156,744
------------
448,828
------------
SPECIALTY RETAIL (2.6%)
Cache, Inc. * 59,600 250,320
Casual Male Retail Group, Inc. * 90,898 254,514
Group 1 Automotive, Inc. * 8,100 234,900
Stein Mart, Inc. * 11,864 93,726
------------
833,460
------------
TELECOM SERVICES (0.7%)
Premiere Global Services, Inc. * 13,700 113,984
USA Mobility, Inc. 11,800 122,602
------------
236,586
------------
TEXTILES APPAREL & LUXURY GOODS (1.6%)
Brown Shoe Co., Inc. 40,900 501,025
------------
THRIFTS & MORTGAGE FINANCE (4.3%)
Berkshire Hills Bancorp, Inc. 18,390 304,354
BofI Holding, Inc. * 34,750 412,482
United Western Bancorp, Inc. 85,647 285,205
WSFS Financial Corp. 12,560 339,120
------------
1,341,161
------------
TRADING COMPANIES & DISTRIBUTORS (1.9%)
Aceto Corp. 62,734 331,236
DXP Enterprises, Inc. * 19,900 260,491
------------
591,727
------------
TOTAL COMMON STOCKS 29,396,456
------------
INVESTMENT COMPANIES (1.5%)
State Street Navigator Securities
Lending Portfolio (c) 478,559 478,559
------------
TOTAL INVESTMENT COMPANIES 478,559
------------
INVESTMENTS IN AFFILIATES (7.3%)
Fifth Third Institutional Money Market Fund (b) 2,303,942 2,303,942
------------
TOTAL INVESTMENTS IN AFFILIATES 2,303,942
------------
TOTAL INVESTMENTS (COST $32,090,528) - 101.9% 32,178,957
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.9)% (587,730)
------------
NET ASSETS - 100.0% $ 31,591,227
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments and notes to financial statements.
36
SMALL CAP VALUE
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (95.4%)
AEROSPACE & DEFENSE (6.4%)
AAR Corp. * 40,416 $ 936,439
Ceradyne, Inc. * 41,887 818,472
Curtiss-Wright Corp. 31,444 960,929
Orbital Sciences Corp. * 66,497 1,051,317
------------
3,767,157
------------
CAPITAL MARKETS (1.7%)
SWS Group, Inc. 81,418 977,016
------------
CHEMICALS (3.1%)
Innophos Holdings, Inc. 40,289 788,053
Olin Corp. 61,390 1,012,935
------------
1,800,988
------------
COMMERCIAL BANKS (12.0%)
Community Bank System, Inc. (a) 48,684 1,017,982
Glacier Bancorp, Inc. 64,931 931,111
Marshall & Ilsley Corp. 82,499 570,068
Old National Bancorp 79,761 960,322
Renasant Corp. 58,706 842,431
TCF Financial Corp. 58,107 850,687
United Bankshares, Inc. 36,258 902,824
Whitney Holding Corp. 77,320 960,314
------------
7,035,739
------------
COMMUNICATIONS EQUIPMENT (3.2%)
Comtech Telecommunications Corp. * 27,378 968,086
Harmonic, Inc. * 149,477 907,325
------------
1,875,411
------------
DIVERSIFIED CONSUMER SERVICES (1.4%)
Stewart Enterprises, Inc., Class A 166,331 843,298
------------
ELECTRIC (2.7%)
Black Hills Corp. 36,475 947,620
RRI Energy, Inc. * 123,650 612,068
------------
1,559,688
------------
ELECTRIC UTILITIES (2.2%)
Cleco Corp. 35,394 917,412
Westar Energy, Inc. 17,947 382,810
------------
1,300,222
------------
ELECTRICAL COMPONENTS & EQUIPMENT (2.9%)
EnerSys * 36,937 719,902
Polypore International, Inc. * 71,937 966,114
------------
1,686,016
------------
ELECTRIC-INTEGRATED (1.5%)
Pike Electric Corp. * 102,798 896,399
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (2.0%)
CTS Corp. 55,057 418,984
MTS Systems Corp. 29,163 750,364
------------
1,169,348
------------
ENERGY EQUIPMENT & SERVICES (1.2%)
Oil States International, Inc. * 19,979 736,026
------------
ENGINEERING/R&D SERVICES (1.4%)
Granite Construction, Inc. 26,114 806,400
------------
FOOD (1.7%)
American Italian Pasta Co., Class A * 28,697 983,159
------------
FOOD & STAPLES RETAILING (1.6%)
Nash Finch Co. 27,192 938,124
------------
FOOD PRODUCTS (2.8%)
Corn Products International, Inc. 22,389 636,295
Fresh Del Monte Produce, Inc. * 48,386 983,688
------------
1,619,983
------------
GAS-DISTRIBUTION (1.5%)
Southern Union Co. 38,982 859,163
------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.7%)
Conmed Corp. * 39,961 859,561
Wright Medical Group, Inc. * 39,293 702,559
------------
1,562,120
------------
HOTELS RESTAURANTS & LEISURE (1.5%)
Bob Evans Farms, Inc. 32,307 901,688
------------
HOUSEHOLD PRODUCTS (1.5%)
Prestige Brands Holdings, Inc. * 110,095 855,438
------------
INSURANCE (5.9%)
Endurance Specialty Holdings, Ltd. 29,841 1,074,873
Meadowbrook Insurance Group, Inc. 124,866 842,845
Platinum Underwriters Holdings, Ltd. 21,605 783,397
SeaBright Insurance Holdings, Inc. * 78,420 798,316
------------
3,499,431
------------
INTERNET SOFTWARE & SERVICES (1.4%)
Earthlink, Inc. 103,571 839,961
------------
MACHINERY (3.0%)
Albany International Corp., Class A 40,547 806,480
EnPro Industries, Inc. * 40,081 975,972
------------
1,782,452
------------
MACHINERY-ELECTRICAL (1.3%)
Baldor Electric Co. 31,748 783,541
------------
METALS & MINING (2.5%)
Coeur d'Alene Mines Corp. * 56,890 797,598
Schnitzer Steel Industries, Inc., Class A 16,514 668,817
------------
1,466,415
------------
MULTI-UTILITIES (1.4%)
Vectren Corp. 36,328 845,716
------------
OIL & GAS (5.6%)
Holly Corp. (a) 34,764 907,340
Penn Virginia Corp. 34,975 848,843
Rosetta Resources, Inc. * 38,969 801,203
Tsakos Energy Navigation, Ltd. 44,629 719,866
------------
3,277,252
------------
Continued
37
SMALL CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
PAPER & FOREST PRODUCTS (1.7%)
Glatfelter 70,439 $ 972,058
------------
REAL ESTATE INVESTMENT TRUSTS (4.2%)
Brandywine Realty Trust 76,667 860,971
LaSalle Hotel Properties 41,486 835,943
U-Store-It Trust 111,435 771,130
------------
2,468,044
------------
ROAD & RAIL (2.7%)
Marten Transport, Ltd. * 41,385 728,790
Werner Enterprises, Inc. 44,741 884,977
------------
1,613,767
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.4%)
Cabot Microelectronics Corp. * 22,906 805,146
------------
SOFTWARE (1.4%)
THQ, Inc. *(a) 166,582 839,573
------------
SPECIALTY RETAIL (2.6%)
Group 1 Automotive, Inc. * 20,190 585,510
Jo-Ann Stores, Inc. * 26,336 922,287
------------
1,507,797
------------
TEXTILES APPAREL & LUXURY GOODS (1.9%)
Brown Shoe Co., Inc. 90,487 1,108,466
------------
THRIFTS & MORTGAGE FINANCE (1.4%)
NewAlliance Bancshares, Inc. (a) 72,956 849,208
------------
TRANSPORT-MARINE (1.3%)
Alexander & Baldwin, Inc. 23,687 756,800
------------
WIRELESS TELECOMMUNICATION SERVICES (0.7%)
MetroPCS Communications, Inc. * 71,026 399,876
------------
TOTAL COMMON STOCKS 55,988,886
------------
INVESTMENT COMPANIES (2.3%)
State Street Navigator Securities
Lending Portfolio (c) 1,356,260 1,356,260
------------
TOTAL INVESTMENT COMPANIES 1,356,260
------------
INVESTMENTS IN AFFILIATES (4.7%)
Fifth Third Institutional Money
Market Fund (b) 2,744,553 2,744,553
------------
TOTAL INVESTMENTS IN AFFILIATES 2,744,553
------------
TOTAL INVESTMENTS (COST $55,317,776) - 102.4% 60,089,699
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.4)% (1,421,258)
------------
NET ASSETS - 100.0% $ 58,668,441
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
At January 31, 2010, Small Cap Value's investments were in the following
countries:
COUNTRY
- --------------------------------------------------------------------------
Bermuda 4.3%
Cayman Islands 1.6%
United States 94.1%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
38
ALL CAP VALUE
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (96.2%)
AEROSPACE & DEFENSE (3.0%)
AAR Corp. * 79,256 $ 1,836,362
Ceradyne, Inc. * 17,850 348,789
General Dynamics Corp. 8,925 596,636
United Technologies Corp. 17,850 1,204,518
------------
3,986,305
------------
BEVERAGES (0.7%)
Coca-Cola Enterprises, Inc. 47,303 955,048
------------
BIOTECHNOLOGY (1.9%)
Amgen, Inc. * 43,385 2,537,155
------------
CABLE TV (0.2%)
Time Warner Cable, Inc. 6,661 290,353
------------
CAPITAL MARKETS (2.4%)
Ameriprise Financial, Inc. 35,999 1,376,602
Lazard, Ltd., Class A 17,850 687,939
Legg Mason, Inc. 43,555 1,122,848
------------
3,187,389
------------
CHEMICALS (2.4%)
Dow Chemical Co. (The) 64,261 1,740,830
E.I. du Pont de Nemours & Co. 26,776 873,165
Lubrizol Corp. 7,140 526,147
------------
3,140,142
------------
COMMERCIAL BANKS (5.9%)
Keycorp 201,709 1,448,270
Marshall & Ilsley Corp. 149,943 1,036,106
Old National Bancorp (a) 60,691 730,720
United Bankshares, Inc. (a) 21,420 533,358
US Bancorp 48,196 1,208,756
Wells Fargo & Co. 103,339 2,937,928
------------
7,895,138
------------
COMMERCIAL SERVICES & SUPPLIES (1.2%)
Manpower, Inc. 14,280 739,561
Pitney Bowes, Inc. 42,841 896,234
------------
1,635,795
------------
COMMUNICATIONS EQUIPMENT (0.5%)
Symmetricom, Inc. * 142,803 728,295
------------
COMPUTERS & PERIPHERALS (1.1%)
Hewlett-Packard Co. 30,346 1,428,386
------------
CONSUMER FINANCE (0.8%)
Discover Financial Services 80,327 1,098,873
------------
DIVERSIFIED FINANCIAL SERVICES (5.0%)
Bank of America Corp. 158,868 2,411,616
JPMorgan Chase & Co. 91,394 3,558,882
NYSE Euronext 29,275 685,328
------------
6,655,826
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (5.0%)
AT&T, Inc. 83,897 2,127,628
CenturyTel, Inc. 32,488 1,104,917
Qwest Communications International, Inc. 544,435 2,292,071
Verizon Communications, Inc. 38,200 1,123,844
------------
6,648,460
------------
ELECTRIC UTILITIES (4.3%)
American Electric Power Co., Inc. 35,701 1,237,040
Duke Energy Corp. 39,271 649,149
Edison International 26,776 892,176
FirstEnergy Corp. 28,561 1,245,831
FPL Group, Inc. 17,850 870,366
Pepco Holdings, Inc. 49,981 820,688
------------
5,715,250
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (0.6%)
Avnet, Inc. * 17,850 471,954
Vishay Intertechnology, Inc. * 53,551 403,775
------------
875,729
------------
ENERGY EQUIPMENT & SERVICES (7.4%)
Nabors Industries, Ltd. * 94,964 2,117,697
National Oilwell Varco, Inc. 40,249 1,646,184
Tidewater, Inc. 32,131 1,504,374
Transocean, Ltd. * 43,064 3,649,243
Weatherford International, Ltd. * 58,192 912,451
------------
9,829,949
------------
FOOD & STAPLES RETAILING (1.9%)
Safeway, Inc. 62,476 1,402,586
SUPERVALU, Inc. 78,541 1,155,338
------------
2,557,924
------------
FOOD PRODUCTS (0.7%)
Tyson Foods, Inc., Class A 64,261 888,087
------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.1%)
Hologic, Inc. * 98,177 1,479,527
------------
HEALTHCARE PROVIDERS & SERVICES (2.7%)
Omnicare, Inc. 25,883 647,075
UnitedHealth Group, Inc. 87,795 2,897,235
------------
3,544,310
------------
HOTELS RESTAURANTS & LEISURE (1.5%)
Carnival Corp. * 38,557 1,285,105
Darden Restaurants, Inc. 17,850 659,736
------------
1,944,841
------------
HOUSEHOLD DURABLES (1.2%)
Snap-On, Inc. 16,065 656,737
Tupperware Brands Corp. 23,205 985,285
------------
1,642,022
------------
INDUSTRIAL CONGLOMERATES (4.7%)
3M Co. 17,850 1,436,747
General Electric Co. 259,901 4,179,208
Tyco International, Ltd. 18,921 670,371
------------
6,286,326
------------
Continued
39
ALL CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
INSURANCE (4.8%)
Allstate Corp. (The) 32,131 $ 961,681
Hartford Financial Services Group, Inc. 35,701 856,467
Meadowbrook Insurance Group, Inc. 50,727 342,407
MetLife, Inc. 29,259 1,033,428
Prudential Financial, Inc. 29,275 1,463,457
Reinsurance Group of America, Inc. 8,992 438,090
Travelers Cos., Inc. (The) 24,990 1,266,244
------------
6,361,774
------------
LEISURE EQUIPMENT & PRODUCTS (0.6%)
Mattel, Inc. 39,271 774,424
------------
MACHINERY (2.2%)
Caterpillar, Inc. 32,583 1,702,136
EnPro Industries, Inc. *(a) 17,850 434,648
Joy Global, Inc. 18,207 832,788
------------
2,969,572
------------
MACHINERY-ELECTRICAL (0.2%)
Baldor Electric Co. (a) 10,710 264,323
------------
MEDIA (1.6%)
Time Warner, Inc. 26,537 728,441
Viacom, Inc., Class B * 49,267 1,435,640
------------
2,164,081
------------
METALS & MINING (2.8%)
Alcoa, Inc. 173,505 2,208,719
Coeur d'Alene Mines Corp. *(a) 68,226 956,528
Schnitzer Steel Industries, Inc., Class A 14,280 578,340
------------
3,743,587
------------
MULTI-UTILITIES (0.9%)
PG&E Corp. 28,561 1,206,416
------------
OIL & GAS (8.7%)
Apache Corp. 29,323 2,896,233
Chevron Corp. 35,701 2,574,756
ConocoPhillips 57,121 2,741,808
Exxon Mobil Corp. 30,703 1,978,194
Holly Corp. 52,169 1,361,611
------------
11,552,602
------------
PHARMACEUTICALS (6.9%)
Forest Laboratories, Inc. * 101,346 3,003,895
Johnson & Johnson 26,776 1,683,139
Merck & Co., Inc. 84,489 3,225,790
Pfizer, Inc. 71,401 1,332,343
------------
9,245,167
------------
REAL ESTATE INVESTMENT TRUSTS (0.5%)
Annaly Capital Management, Inc. 39,271 682,530
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (2.3%)
Cabot Microelectronics Corp. * 24,276 853,302
Intel Corp. 82,112 1,592,973
Teradyne, Inc. *(a) 71,401 666,885
------------
3,113,160
------------
SOFTWARE (3.7%)
Amdocs, Ltd. * 53,551 1,531,023
Cadence Design Systems, Inc. * 107,102 622,263
Microsoft Corp. 67,831 1,911,477
THQ, Inc. *(a) 169,578 854,673
------------
4,919,436
------------
SPECIALTY RETAIL (1.0%)
American Eagle Outfitters, Inc. 26,776 425,471
Best Buy Co., Inc. 26,419 968,256
------------
1,393,727
------------
TEXTILES APPAREL & LUXURY GOODS (1.4%)
Phillips-Van Heusen Corp. 14,280 561,061
VF Corp. 17,850 1,285,736
------------
1,846,797
------------
THRIFTS & MORTGAGE FINANCE (1.2%)
New York Community Bancorp, Inc. 107,102 1,609,743
------------
TOBACCO (1.2%)
Altria Group, Inc. 78,541 1,559,824
------------
TOTAL COMMON STOCKS 128,358,293
------------
INVESTMENT COMPANIES (2.6%)
State Street Navigator Securities
Lending Portfolio (c) 3,428,536 3,428,536
------------
TOTAL INVESTMENT COMPANIES 3,428,536
------------
INVESTMENTS IN AFFILIATES (4.2%)
Fifth Third Institutional Money Market Fund (b) 5,631,128 5,631,128
------------
TOTAL INVESTMENTS IN AFFILIATES 5,631,128
------------
TOTAL INVESTMENTS (COST $130,928,249) - 103.0% 137,417,957
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.0)% (4,039,030)
------------
NET ASSETS - 100.0% $133,378,927
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
At January 31, 2010, All Cap Value's investments were in the following
countries:
COUNTRY
- --------------------------------------------------------------------------
Bermuda 2.0%
Guernsey, C.I. 1.1%
Switzerland 3.8%
United States 93.1%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
40
DISCIPLINED LARGE CAP VALUE
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (97.8%)
AEROSPACE & DEFENSE (3.6%)
General Dynamics Corp. 82,930 $ 5,543,870
Northrop Grumman Corp. 53,503 3,028,270
United Technologies Corp. 53,503 3,610,382
------------
12,182,522
------------
BIOTECHNOLOGY (1.8%)
Amgen, Inc. * 104,331 6,101,277
------------
CAPITAL MARKETS (2.3%)
Ameriprise Financial, Inc. 134,025 5,125,116
Morgan Stanley 100,586 2,693,693
------------
7,818,809
------------
CHEMICALS (2.5%)
Dow Chemical Co. (The) 314,331 8,515,227
------------
COMMERCIAL BANKS (4.0%)
US Bancorp 200,636 5,031,951
Wells Fargo & Co. 298,547 8,487,691
------------
13,519,642
------------
COMMERCIAL SERVICES & SUPPLIES (1.0%)
Pitney Bowes, Inc. 167,197 3,497,761
------------
COMPUTERS & PERIPHERALS (1.9%)
Hewlett-Packard Co. 137,770 6,484,834
------------
CONSUMER FINANCE (1.2%)
Discover Financial Services 294,267 4,025,573
------------
DIVERSIFIED FINANCIAL SERVICES (5.1%)
Bank of America Corp. 535,031 8,121,771
JPMorgan Chase & Co. 235,949 9,187,854
------------
17,309,625
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (5.3%)
CenturyTel, Inc. 123,592 4,203,364
Qwest Communications International, Inc. 960,380 4,043,200
Verizon Communications, Inc. 331,719 9,759,173
------------
18,005,737
------------
ELECTRIC UTILITIES (2.1%)
Edison International 86,942 2,896,908
FirstEnergy Corp. 94,968 4,142,504
------------
7,039,412
------------
ENERGY EQUIPMENT & SERVICES (4.9%)
National Oilwell Varco, Inc. 147,133 6,017,740
Transocean, Ltd. * 124,395 10,541,232
------------
16,558,972
------------
FOOD & STAPLES RETAILING (1.6%)
CVS Caremark Corp. 72,229 2,338,053
SUPERVALU, Inc. (a) 222,038 3,266,179
------------
5,604,232
------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.2%)
Stryker Corp. 80,255 4,166,840
------------
HEALTHCARE PROVIDERS & SERVICES (2.8%)
UnitedHealth Group, Inc. 291,592 9,622,536
------------
HOTELS RESTAURANTS & LEISURE (3.0%)
Carnival Corp. * 167,197 5,572,676
Darden Restaurants, Inc. 121,719 4,498,734
------------
10,071,410
------------
HOUSEHOLD PRODUCTS (1.3%)
Energizer Holdings, Inc. * 80,255 4,454,152
------------
INDUSTRIAL CONGLOMERATES (5.2%)
3M Co. 46,815 3,768,139
General Electric Co. 526,203 8,461,344
Tyco International, Ltd. 155,159 5,497,284
------------
17,726,767
------------
INSURANCE (5.7%)
Allstate Corp. (The) 100,318 3,002,518
Prudential Financial, Inc. 129,745 6,485,952
Reinsurance Group of America, Inc. 101,121 4,926,615
Travelers Cos., Inc. (The) 100,318 5,083,113
------------
19,498,198
------------
INTERNET SOFTWARE & SERVICES (0.5%)
eBay, Inc. * 80,255 1,847,470
------------
IT SERVICES (0.7%)
SAIC, Inc. * 137,770 2,525,324
------------
LEISURE EQUIPMENT & PRODUCTS (0.6%)
Mattel, Inc. 104,331 2,057,407
------------
MACHINERY (1.4%)
Caterpillar, Inc. 88,280 4,611,747
------------
MEDIA (3.3%)
Time Warner, Inc. 189,401 5,199,057
Viacom, Inc., Class B * 200,636 5,846,533
------------
11,045,590
------------
METALS & MINING (1.6%)
Alcoa, Inc. 428,025 5,448,758
------------
MULTI-UTILITIES (2.4%)
PG&E Corp. 191,497 8,088,833
------------
OIL & GAS (10.8%)
Apache Corp. 111,019 10,965,347
Chevron Corp. 179,235 12,926,428
ConocoPhillips 268,621 12,893,808
------------
36,785,583
------------
PHARMACEUTICALS (7.9%)
Forest Laboratories, Inc. * 300,955 8,920,306
Johnson & Johnson 124,395 7,819,470
Merck & Co., Inc. 261,459 9,982,505
------------
26,722,281
------------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
Annaly Capital Management, Inc. 187,261 3,254,596
------------
Continued
41
DISCIPLINED LARGE CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.4%)
Intel Corp. 243,439 $ 4,722,717
------------
SOFTWARE (2.4%)
Amdocs, Ltd. * 172,547 4,933,119
Microsoft Corp. 117,707 3,316,983
------------
8,250,102
------------
SPECIALTY RETAIL (1.5%)
Best Buy Co., Inc. 139,643 5,117,916
------------
TEXTILES APPAREL & LUXURY GOODS (1.7%)
VF Corp. 80,255 5,780,768
------------
THRIFTS & MORTGAGE FINANCE (1.6%)
New York Community Bancorp, Inc. 367,834 5,528,545
------------
TOBACCO (2.5%)
Altria Group, Inc. 430,700 8,553,702
------------
TOTAL COMMON STOCKS 332,544,865
------------
INVESTMENT COMPANIES (0.2%)
State Street Navigator Securities
Lending Portfolio (c) 676,322 676,322
------------
TOTAL INVESTMENT COMPANIES 676,322
------------
INVESTMENTS IN AFFILIATES (4.0%)
Fifth Third Institutional Money Market Fund (b) 13,660,870 13,660,870
------------
TOTAL INVESTMENTS IN AFFILIATES 13,660,870
------------
TOTAL INVESTMENTS (COST $314,745,749) - 102.0% 346,882,057
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.0)% (6,965,866)
------------
NET ASSETS - 100.0% $339,916,191
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
At January 31, 2010, Disciplined Large Cap Value's investments were in the
following countries:
COUNTRY
- --------------------------------------------------------------------------
Guernsey, C.I. 1.4%
Switzerland 4.6%
United States 94.0%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
STRUCTURED LARGE CAP PLUS
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (125.4%)
AEROSPACE & DEFENSE (4.3%)
Northrop Grumman Corp. (b) 19,871 $ 1,124,699
Raytheon Co. (b) 15,580 816,859
United Technologies Corp. (b) 22,455 1,515,263
------------
3,456,821
------------
AIR FREIGHT & LOGISTICS (1.0%)
United Parcel Service, Inc., Class B (b) 13,925 804,447
------------
BEVERAGES (3.1%)
Coca-Cola Co. (The) (b) 19,764 1,072,197
PepsiCo, Inc. (b) 24,068 1,434,934
------------
2,507,131
------------
BIOTECHNOLOGY (1.3%)
Biogen Idec, Inc. *(b) 19,758 1,061,795
------------
BUILDING PRODUCTS (0.6%)
Masco Corp. (b) 34,315 465,311
------------
CAPITAL MARKETS (3.4%)
BlackRock, Inc. 2,046 437,476
Franklin Resources, Inc. 8,770 889,716
Goldman Sachs Group, Inc. (The) (b) 9,614 1,429,794
------------
2,756,986
------------
CHEMICALS (1.6%)
Dow Chemical Co. (The) (b) 10,242 277,456
E.I. du Pont de Nemours & Co. (b) 10,511 342,764
Eastman Chemical Co. (b) 5,801 327,930
Ecolab, Inc. 4,493 197,243
PPG Industries, Inc. (b) 1,792 105,154
------------
1,250,547
------------
COMMERCIAL BANKS (2.0%)
Comerica, Inc. (b) 22,111 763,051
M&T Bank Corp. 4,359 321,476
Wells Fargo & Co. (b) 19,130 543,866
------------
1,628,393
------------
COMMERCIAL SERVICES & SUPPLIES (2.2%)
Avery Dennison Corp. (b) 22,978 747,015
RR Donnelley & Sons Co. (b) 50,944 1,009,710
------------
1,756,725
------------
COMMUNICATIONS EQUIPMENT (4.0%)
Cisco Systems, Inc. *(b) 3,192 71,724
Harris Corp. (b) 23,197 995,615
JDS Uniphase Corp. * 87,614 688,646
Qualcomm, Inc. (b) 37,812 1,481,853
------------
3,237,838
------------
COMPUTERS & PERIPHERALS (6.3%)
Apple, Inc. *(b) 3,921 753,303
Dell, Inc. *(b) 78,335 1,010,522
International Business Machines Corp. (b) 18,765 2,296,648
Teradata Corp. *(b) 30,289 847,183
Western Digital Corp. * 4,657 176,919
------------
5,084,575
------------
Continued
42
STRUCTURED LARGE CAP PLUS
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
CONSUMER FINANCE (1.6%)
American Express Co. 8,947 $ 336,944
Capital One Financial Corp. (b) 25,032 922,680
------------
1,259,624
------------
CONTAINERS & PACKAGING (0.4%)
Ball Corp. (b) 4,698 238,611
Bemis Co., Inc. 2,415 68,224
Sealed Air Corp. 2,370 47,021
------------
353,856
------------
DIVERSIFIED CONSUMER SERVICES (1.2%)
H&R Block, Inc. 43,191 932,062
------------
DIVERSIFIED FINANCIAL SERVICES (4.3%)
Bank of America Corp. (b) 144,596 2,194,967
CME Group, Inc. 1,189 341,029
JPMorgan Chase & Co. (b) 16,247 632,658
NYSE Euronext 11,117 260,249
------------
3,428,903
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (2.3%)
AT&T, Inc. (b) 66,005 1,673,887
CenturyTel, Inc. (b) 6,146 209,025
------------
1,882,912
------------
ELECTRIC UTILITIES (2.1%)
FirstEnergy Corp. 20,333 886,926
Pinnacle West Capital Corp. 22,821 817,448
------------
1,704,374
------------
ELECTRICAL COMPONENTS & EQUIPMENT (0.6%)
Emerson Electric Co. 12,319 511,731
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (1.5%)
Arrow Electronics, Inc. * 13,907 365,337
Avnet, Inc. * 11,182 295,652
Flextronics International, Ltd. * 6,488 41,134
Jabil Circuit, Inc. (b) 34,053 493,087
------------
1,195,210
------------
ENERGY EQUIPMENT & SERVICES (2.7%)
Halliburton Co. (b) 27,434 801,347
Nabors Industries, Ltd. * 18,537 413,375
National Oilwell Varco, Inc. 11,878 485,810
Rowan Cos., Inc. *(b) 21,701 466,138
------------
2,166,670
------------
FOOD & STAPLES RETAILING (1.7%)
Safeway, Inc. 13,824 310,349
Walgreen Co. 4,209 151,735
Wal-Mart Stores, Inc. (b) 17,201 919,049
------------
1,381,133
------------
FOOD PRODUCTS (2.2%)
General Mills, Inc. 16,290 1,161,640
HJ Heinz Co. (b) 14,207 619,851
------------
1,781,491
------------
GAS-DISTRIBUTION (1.3%)
AGL Resources, Inc. 12,612 445,078
Oneok, Inc. 14,039 592,305
------------
1,037,383
------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.1%)
Covidien PLC 8,346 420,221
Intuitive Surgical, Inc. * 3,239 1,062,586
Medtronic, Inc. 4,559 195,536
------------
1,678,343
------------
HEALTHCARE PROVIDERS & SERVICES (4.0%)
Cardinal Health, Inc. 32,759 1,083,340
Humana, Inc. * 3,921 190,639
Medco Health Solutions, Inc. *(b) 17,028 1,046,882
UnitedHealth Group, Inc. (b) 10,238 337,854
WellPoint, Inc. *(b) 9,386 598,076
------------
3,256,791
------------
HOTELS RESTAURANTS & LEISURE (2.4%)
Starbucks Corp. *(b) 50,273 1,095,448
Wyndham Worldwide Corp. (b) 38,126 800,265
------------
1,895,713
------------
HOUSEHOLD DURABLES (1.2%)
Whirlpool Corp. (b) 12,840 965,311
------------
HOUSEHOLD PRODUCTS (2.0%)
Kimberly-Clark Corp. (b) 19,243 1,142,842
Procter & Gamble Co. (The) (b) 8,174 503,110
------------
1,645,952
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (1.1%)
AES Corp. (The) *(b) 23,374 295,214
Constellation Energy Group, Inc. 17,797 574,487
------------
869,701
------------
INDUSTRIAL CONGLOMERATES (3.4%)
3M Co. (b) 15,917 1,281,160
General Electric Co. (b) 91,414 1,469,937
------------
2,751,097
------------
INSURANCE (3.5%)
Assurant, Inc. 16,176 508,412
Genworth Financial, Inc., Class A * 36,483 504,925
Lincoln National Corp. (b) 14,951 367,496
MetLife, Inc. 12,763 450,789
XL Capital, Ltd., Class A 57,689 967,444
------------
2,799,066
------------
INTERNET & CATALOG RETAIL (1.1%)
Expedia, Inc. *(b) 40,822 873,999
------------
INTERNET SOFTWARE & SERVICES (2.4%)
Google, Inc., Class A *(b) 3,693 1,955,148
------------
Continued
43
STRUCTURED LARGE CAP PLUS
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
IT SERVICES (1.6%)
Computer Sciences Corp. *(b) 20,055 $ 1,028,822
Fidelity National Information Services, Inc. (b) 11,908 280,552
------------
1,309,374
------------
LIFE SCIENCES TOOLS & SERVICES (1.6%)
PerkinElmer, Inc. (b) 28,106 566,055
Thermo Fisher Scientific, Inc. *(b) 16,243 749,614
------------
1,315,669
------------
MACHINERY (4.0%)
Caterpillar, Inc. (b) 16,007 836,206
Dover Corp. (b) 24,587 1,054,291
Eaton Corp. 10,418 637,998
Illinois Tool Works, Inc. (b) 10,621 462,969
ITT Corp. (b) 4,639 224,110
------------
3,215,574
------------
MEDIA (3.6%)
Gannett Co., Inc. 26,973 435,614
News Corp., Class A 36,380 455,841
Scripps Networks Interactive, Inc., Class A (b) 17,475 746,183
Time Warner, Inc. (b) 46,084 1,265,006
------------
2,902,644
------------
METALS & MINING (0.1%)
Reliance Steel & Aluminum Co. 2,774 113,013
------------
MULTILINE RETAIL (1.5%)
Big Lots, Inc. * 129 3,665
Kohl's Corp. *(b) 13,997 705,029
Macy's, Inc. (b) 8,023 127,806
Sears Holdings Corp. * 926 86,377
Target Corp. 5,152 263,216
------------
1,186,093
------------
MULTI-UTILITIES (1.8%)
Integrys Energy Group, Inc. (b) 23,897 1,000,089
NiSource, Inc. (b) 29,670 422,798
------------
1,422,887
------------
OIL & GAS (10.4%)
Anadarko Petroleum Corp. (b) 16,018 1,021,628
Chevron Corp. (b) 15,395 1,110,287
ConocoPhillips (b) 29,839 1,432,272
EnCana Corp. 12,158 371,913
Exxon Mobil Corp. (b) 26,778 1,725,307
Marathon Oil Corp. (b) 20,406 608,303
Murphy Oil Corp. (b) 9,296 474,840
Occidental Petroleum Corp. 7,351 575,877
Peabody Energy Corp. 5,214 230,407
Tesoro Corp. (b) 47,409 592,612
XTO Energy, Inc. 5,177 230,739
------------
8,374,185
------------
OIL GAS & CONSUMABLE FUELS (1.2%)
Pioneer Natural Resources Co. 22,628 995,179
------------
PAPER & FOREST PRODUCTS (1.2%)
International Paper Co. 27,696 634,516
MeadWestvaco Corp. (b) 15,359 369,691
------------
1,004,207
------------
PERSONAL PRODUCTS (0.6%)
Estee Lauder Cos., Inc. (The), Class A 8,849 476,076
------------
PHARMACEUTICALS (7.5%)
Bristol-Myers Squibb Co. (b) 54,621 1,330,567
Johnson & Johnson (b) 7,048 443,037
Mylan, Inc. *(b) 56,546 1,030,834
Pfizer, Inc. (b) 118,250 2,206,545
Watson Pharmaceuticals, Inc. *(b) 26,432 1,014,196
------------
6,025,179
------------
REAL ESTATE INVESTMENT TRUSTS (0.2%)
Host Hotels & Resorts, Inc. * 14,840 157,304
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (2.9%)
Intel Corp. (b) 94,134 1,826,200
Linear Technology Corp. 15,022 406,195
LSI Corp. * 28,092 140,179
------------
2,372,574
------------
SOFTWARE (6.7%)
CA, Inc. (b) 47,119 1,038,503
Microsoft Corp. (b) 97,125 2,736,982
Oracle Corp. 21,766 501,924
Symantec Corp. *(b) 63,960 1,084,122
------------
5,361,531
------------
SPECIALTY RETAIL (2.1%)
Abercrombie & Fitch Co., Class A 9,556 301,396
Gap, Inc. (The) (b) 48,959 934,138
TJX Cos., Inc. 12,895 490,139
------------
1,725,673
------------
TOBACCO (3.4%)
Philip Morris International, Inc. (b) 36,712 1,670,763
Reynolds American, Inc. (b) 19,606 1,043,039
------------
2,713,802
------------
WIRELESS TELECOMMUNICATION SERVICES (0.1%)
Sprint Nextel Corp. * 25,136 82,446
------------
TOTAL COMMON STOCKS 101,090,449
------------
INVESTMENTS IN AFFILIATES (1.7%)
Fifth Third Institutional Money Market Fund (a) 1,328,831 1,328,831
------------
TOTAL INVESTMENTS IN AFFILIATES 1,328,831
------------
TOTAL INVESTMENTS (COST $92,680,404) - 127.1% 102,419,280
------------
SECURITIES SOLD SHORT (PROCEEDS $22,361,283) - (28.9)% (23,261,952)
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.8% 1,443,069
------------
NET ASSETS - 100.0% $ 80,600,397
============
See notes to schedules of investments and notes to financial statements.
44
STRUCTURED LARGE CAP PLUS
SCHEDULE OF SECURITIES SOLD SHORT
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (28.9)%
AEROSPACE & DEFENSE (0.8)%
Boeing Co. (The) (9,776) $ (592,426)
------------
AGRICULTURAL OPERATIONS (1.2)%
Bunge, Ltd. (16,511) (970,682)
------------
AIRLINES (0.8)%
Delta Air Lines, Inc. * (54,378) (665,043)
------------
AUTOMOBILES (0.1)%
Harley-Davidson, Inc. (3,314) (77,117)
------------
BEVERAGES (0.4)%
Constellation Brands, Inc., Class A * (20,364) (327,453)
------------
BIOTECHNOLOGY (0.6)%
Cephalon, Inc. * (900) (57,456)
Vertex Pharmaceuticals, Inc. * (11,960) (459,264)
------------
(516,720)
------------
CAPITAL MARKETS (1.1)%
Northern Trust Corp. (1,792) (90,532)
SCANA Corp. (22,782) (811,267)
------------
(901,799)
------------
COMMERCIAL SERVICES & SUPPLIES (1.9)%
Dun & Bradstreet Corp. (7,833) (626,326)
Republic Services, Inc. (33,263) (891,116)
------------
(1,517,442)
------------
COMPUTERS-INTEGRATED SYSTEM (0.8)%
Brocade Communications Systems, Inc. * (91,501) (628,612)
------------
DIVERSIFIED FINANCIAL SERVICES (0.3)%
Leucadia National Corp. * (12,382) (276,490)
------------
ELECTRIC UTILITIES (1.2)%
Northeast Utilities (37,550) (950,766)
------------
ENERGY-ALTERNATE SOURCES (1.0)%
First Solar, Inc. * (7,221) (818,139)
------------
FINANCE-INVESTMENT BANKER/BROKER (0.3)%
Jefferies Group, Inc. * (9,480) (247,523)
------------
FOOD PRODUCTS (0.3)%
Tyson Foods, Inc., Class A (18,901) (261,212)
------------
GAS-DISTRIBUTION (1.7)%
EQT Corp. (21,396) (941,852)
Questar Corp. (10,678) (442,923)
------------
(1,384,775)
------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.1)%
St. Jude Medical, Inc. * (22,746) (858,207)
------------
HEALTHCARE PROVIDERS & SERVICES (0.9)%
DaVita, Inc. * (11,836) (715,249)
------------
HOTELS & MOTELS (1.0)%
Starwood Hotels & Resorts Worldwide, Inc. (23,998) (799,613)
------------
HOUSEHOLD DURABLES (0.5)%
Lennar Corp., Class A (7,175) (110,208)
Pulte Homes, Inc. * (26,706) (280,947)
------------
(391,155)
------------
INDUSTRIAL CONGLOMERATES (0.1)%
McDermott International, Inc. * (3,119) (73,671)
------------
INTERNET SOFTWARE & SERVICES (0.4)%
Yahoo!, Inc. * (22,398) (336,194)
------------
MACHINERY-FARM (1.0)%
Deere & Co. (15,758) (787,112)
------------
MACHINERY-GENERAL INDUSTRY (0.2)%
Manitowoc Co., Inc. (The) (12,808) (146,523)
------------
MEDICAL INSTRUMENTS (1.2)%
Techne Corp. (14,882) (976,557)
------------
OIL & GAS (1.1)%
Denbury Resources, Inc. * (67,633) (916,427)
------------
OIL COMPANY-EXPLORATION & PRODUCTION (1.0)%
EXCO Resources, Inc. (12,074) (211,778)
PetroHawk Energy Corp. * (11,991) (267,759)
Plains Exploration & Production Co. * (8,262) (287,187)
------------
(766,724)
------------
PAPER & FOREST PRODUCTS (0.1)%
Weyerhaeuser Co. (1,139) (45,446)
------------
PHARMACEUTICALS (1.2)%
King Pharmaceuticals, Inc. * (79,332) (952,777)
------------
PIPELINES (0.0)%
Kinder Morgan Management LLC * (11) (604)
------------
PROPERTY/CASUALTY INSURANCE (0.0)%
Fidelity National Financial, Inc., Class A (2,793) (36,030)
------------
RETAIL-RESTAURANTS (0.8)%
Wendy's/Arby's Group, Inc., Class A (146,124) (673,632)
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.5)%
MEMC Electronic Materials, Inc. * (50,877) (640,033)
Novellus Systems, Inc. * (28,415) (593,873)
------------
(1,233,906)
------------
SOFTWARE (2.4)%
Adobe Systems, Inc. * (1,594) (51,773)
Electronic Arts, Inc. * (55,857) (909,352)
McAfee, Inc. * (24,965) (941,181)
------------
(1,902,306)
------------
Continued
45
STRUCTURED LARGE CAP PLUS
SCHEDULE OF SECURITIES SOLD SHORT, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
TOBACCO (1.1)%
Lorillard, Inc. (11,507) $ (882,932)
------------
WIRELESS EQUIPMENT (0.7)%
SBA Communications Corp., Class A * (16,560) (547,970)
------------
WIRELESS TELECOMMUNICATION SERVICES (0.1)%
MetroPCS Communications, Inc. * (13,949) (82,718)
------------
TOTAL COMMON STOCKS (23,261,952)
------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $22,361,283) - (28.9)% $(23,261,952)
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
(b) All or part of this security has been designated as collateral for short
sales.
See notes to schedules of investments and notes to financial statements.
EQUITY INDEX
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS (98.2%)
AEROSPACE & DEFENSE (2.7%)
Boeing Co. (The) 21,063 $ 1,276,418
General Dynamics Corp. 11,112 742,837
Goodrich Corp. 3,628 224,610
Honeywell International, Inc. 22,184 857,190
L-3 Communications Holdings, Inc. 3,414 284,523
Lockheed Martin Corp. 9,366 697,954
Northrop Grumman Corp. 9,044 511,890
Precision Castparts Corp. 4,103 431,841
Raytheon Co. 11,269 590,834
Rockwell Collins, Inc. 4,639 246,748
United Technologies Corp. 27,252 1,838,965
------------
7,703,810
------------
AIR FREIGHT & LOGISTICS (1.0%)
CH Robinson Worldwide, Inc. 4,770 270,125
Expeditors International of Washington, Inc. 6,220 212,102
FedEx Corp. 9,121 714,631
United Parcel Service, Inc., Class B 28,960 1,673,019
------------
2,869,877
------------
AIRLINES (0.1%)
Southwest Airlines Co. 21,700 245,861
------------
APPLICATION SOFTWARE (0.1%)
Red Hat, Inc. * 5,535 150,663
------------
AUTO COMPONENTS (0.2%)
Goodyear Tire & Rubber Co. (The) * 7,084 94,501
Johnson Controls, Inc. 19,560 544,355
------------
638,856
------------
AUTOMOBILES (0.4%)
Ford Motor Co. * 96,370 1,044,651
Harley-Davidson, Inc. 6,868 156,178
------------
1,200,829
------------
BEVERAGES (2.5%)
Brown-Forman Corp., Class B 3,219 165,199
Coca-Cola Co. (The) 67,446 3,658,946
Coca-Cola Enterprises, Inc. 9,289 187,545
Constellation Brands, Inc., Class A * 5,762 92,653
Molson Coors Brewing Co., Class B 4,592 192,864
Pepsi Bottling Group, Inc. 4,304 160,109
PepsiCo, Inc. 45,416 2,707,702
------------
7,165,018
------------
BEVERAGES-NON ALCOHOLIC (0.1%)
Dr. Pepper Snapple Group, Inc. 7,436 205,680
------------
BIOTECHNOLOGY (1.7%)
Amgen, Inc. * 29,447 1,722,061
Biogen Idec, Inc. * 8,453 454,264
Celgene Corp. * 13,276 753,811
Cephalon, Inc. * 2,163 138,086
Genzyme Corp. * 7,666 415,957
Gilead Sciences, Inc. * 26,311 1,270,032
------------
4,754,211
------------
Continued
46
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
BUILDING PRODUCTS (0.1%)
Life Technologies Corp. * 5,117 $ 254,366
Masco Corp. 10,525 142,719
------------
397,085
------------
CABLE TV (0.2%)
Time Warner Cable, Inc. 10,321 449,892
------------
CAPITAL MARKETS (2.7%)
Ameriprise Financial, Inc. 7,464 285,423
Bank of New York Mellon Corp. (The) 35,018 1,018,674
Charles Schwab Corp. (The) 27,508 503,121
E*Trade Financial Corp. * 41,934 63,740
Federated Investors, Inc., Class B (a) 2,622 66,546
Franklin Resources, Inc. 4,303 426,126
Goldman Sachs Group, Inc. (The) 14,998 2,230,503
Invesco, Ltd. 12,593 243,045
Janus Capital Group, Inc. 5,256 64,176
Legg Mason, Inc. (a) 4,737 122,120
Morgan Stanley 39,595 1,060,354
Northern Trust Corp. 7,058 356,570
SCANA Corp. 3,064 109,109
State Street Corp. 14,463 620,173
T Rowe Price Group, Inc. 7,484 371,356
------------
7,541,036
------------
CHEMICALS (1.9%)
Air Products & Chemicals, Inc. 6,146 466,850
Airgas, Inc. 2,392 101,086
CF Industries Holdings, Inc. 1,418 131,675
Dow Chemical Co. (The) 33,071 895,893
E.I. du Pont de Nemours & Co. 26,142 852,491
Eastman Chemical Co. 2,128 120,296
Ecolab, Inc. 6,890 302,471
FMC Corp. 2,129 108,451
International Flavors & Fragrances, Inc. 2,305 91,670
Monsanto Co. 15,848 1,202,546
PPG Industries, Inc. 4,819 282,779
Praxair, Inc. 8,866 667,787
Sigma-Aldrich Corp. 3,576 171,112
------------
5,395,107
------------
COAL (0.0%)
Massey Energy Co. 2,504 96,454
------------
COMMERCIAL BANKS (3.0%)
BB&T Corp. 19,929 555,421
Comerica, Inc. 4,427 152,776
First Horizon National Corp. * 6,491 84,058
Huntington Bancshares, Inc. 20,822 99,737
Keycorp 25,331 181,877
M&T Bank Corp. (a) 2,396 176,705
Marshall & Ilsley Corp. 14,709 101,639
PNC Financial Services Group, Inc. 13,483 747,363
Regions Financial Corp. 33,834 214,846
SunTrust Banks, Inc. 14,605 355,340
US Bancorp 55,591 1,394,222
Wells Fargo & Co. 148,948 4,234,592
Zions Bancorporation 3,646 69,165
------------
8,367,741
------------
COMMERCIAL SERVICES (0.0%)
Quanta Services, Inc. * 6,261 114,075
------------
COMMERCIAL SERVICES & SUPPLIES (0.5%)
Avery Dennison Corp. 3,302 107,348
Cintas Corp. 3,849 96,649
Dun & Bradstreet Corp. 1,558 123,035
Equifax, Inc. 3,698 118,336
Iron Mountain, Inc. * 5,276 120,610
Monster Worldwide, Inc. * 3,692 57,558
Pitney Bowes, Inc. 6,046 126,482
Republic Services, Inc. 9,432 252,683
Robert Half International, Inc. (a) 4,476 120,494
RR Donnelley & Sons Co. 6,012 119,158
Stericycle, Inc. * 2,487 131,637
------------
1,373,990
------------
COMMERCIAL SERVICES-FINANCE (0.6%)
Mastercard, Inc., Class A 2,796 698,720
Visa, Inc., Class A 13,062 1,071,476
------------
1,770,196
------------
COMMUNICATIONS EQUIPMENT (2.7%)
Cisco Systems, Inc. * 167,445 3,762,489
Corning, Inc. 44,902 811,828
Harris Corp. 3,878 166,444
JDS Uniphase Corp. * 6,458 50,760
Juniper Networks, Inc. * 15,325 380,520
Motorola, Inc. * 67,151 412,979
Qualcomm, Inc. 48,736 1,909,964
Tellabs, Inc. * 11,593 74,543
------------
7,569,527
------------
COMPUTERS & PERIPHERALS (5.5%)
Apple, Inc. * 26,211 5,035,657
Dell, Inc. * 50,192 647,477
EMC Corp. * 59,639 994,182
Hewlett-Packard Co. 68,959 3,245,900
International Business Machines Corp. 38,241 4,680,316
Lexmark International, Inc., Class A * 2,287 58,982
NetApp, Inc. * 9,688 282,212
QLogic Corp. * 3,481 59,838
SanDisk Corp. * 6,645 168,916
Teradata Corp. * 5,059 141,500
Western Digital Corp. * 6,521 247,733
------------
15,562,713
------------
CONSTRUCTION & ENGINEERING (0.1%)
Fluor Corp. 5,268 238,851
Jacobs Engineering Group, Inc. * 3,616 136,649
------------
375,500
------------
CONSTRUCTION MATERIALS (0.1%)
Vulcan Materials Co. 3,570 157,758
------------
CONSUMER FINANCE (0.7%)
American Express Co. 34,502 1,299,345
Capital One Financial Corp. 12,941 477,005
Discover Financial Services 15,691 214,653
SLM Corp. * 13,694 144,198
------------
2,135,201
------------
Continued
47
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
CONTAINERS & PACKAGING (0.2%)
Ball Corp. 2,753 $ 139,825
Bemis Co., Inc. 3,153 88,473
Owens-Illinois, Inc. * 4,930 134,195
Pactiv Corp. * 3,865 87,156
Sealed Air Corp. 4,646 92,177
------------
541,826
------------
DISTRIBUTORS (0.1%)
Genuine Parts Co. 4,671 176,003
------------
DIVERSIFIED CONSUMER SERVICES (0.2%)
Apollo Group, Inc., Class A * 3,702 224,304
DeVry, Inc. 1,804 110,152
H&R Block, Inc. 9,950 214,124
------------
548,580
------------
DIVERSIFIED FINANCIAL SERVICES (4.2%)
Bank of America Corp. (c) 289,072 4,388,113
Citigroup, Inc. (c) 568,577 1,887,676
CME Group, Inc. 1,944 557,578
IntercontinentalExchange, Inc. * 2,133 203,659
JPMorgan Chase & Co. 114,816 4,470,935
Leucadia National Corp. * 5,310 118,572
Moody's Corp. (a) 5,592 154,283
NASDAQ OMX Group, Inc. (The) * 4,026 72,428
NYSE Euronext 7,616 178,291
------------
12,031,535
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (2.6%)
AT&T, Inc. (c) 171,839 4,357,837
CenturyTel, Inc. 8,680 295,207
Frontier Communications Corp. (a) 9,150 69,631
Qwest Communications International, Inc. 43,334 182,436
Verizon Communications, Inc. 82,490 2,426,856
Windstream Corp. (a) 12,794 131,906
------------
7,463,873
------------
ELECTRIC UTILITIES (2.0%)
Allegheny Energy, Inc. 4,962 103,954
American Electric Power Co., Inc. 13,966 483,922
Duke Energy Corp. 37,703 623,231
Edison International 9,544 318,006
Entergy Corp. 5,543 422,986
Exelon Corp. 19,297 880,329
FirstEnergy Corp. 8,929 389,483
FPL Group, Inc. 12,033 586,729
Northeast Utilities 5,130 129,892
Pepco Holdings, Inc. 6,444 105,810
Pinnacle West Capital Corp. 2,961 106,063
PPL Corp. 11,015 324,832
Progress Energy, Inc. 8,174 318,541
Southern Co. 23,262 744,384
------------
5,538,162
------------
ELECTRICAL COMPONENTS & EQUIPMENT (0.4%)
Emerson Electric Co. 21,746 903,329
Rockwell Automation, Inc. 4,155 200,437
Roper Industries, Inc. (a) 2,650 132,712
------------
1,236,478
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (0.3%)
Agilent Technologies, Inc. * 10,058 281,926
Amphenol Corp., Class A 5,018 199,917
FLIR Systems, Inc. * 4,401 130,181
Jabil Circuit, Inc. * 5,340 77,323
Molex, Inc. 4,061 81,870
------------
771,217
------------
ENERGY-ALTERNATE SOURCES (0.1%)
First Solar, Inc. *(a) 1,407 159,413
------------
ENERGY EQUIPMENT & SERVICES (1.8%)
Baker Hughes, Inc. (a) 9,075 410,916
BJ Services Co. 8,556 176,853
Cameron International Corp. * 7,002 263,695
Diamond Offshore Drilling, Inc. (a) 2,036 186,355
FMC Technologies, Inc. * 3,620 192,476
Halliburton Co. 26,279 767,610
Nabors Industries, Ltd. * 8,291 184,889
National Oilwell Varco, Inc. 12,249 500,984
Rowan Cos., Inc. * 3,312 71,142
Schlumberger, Ltd. 34,868 2,212,723
Smith International, Inc. 7,135 216,333
------------
5,183,976
------------
FOOD & STAPLES RETAILING (2.7%)
Costco Wholesale Corp. 12,714 730,165
CVS Caremark Corp. 41,086 1,329,954
Kroger Co. (The) 18,551 397,548
Safeway, Inc. 11,904 267,245
SUPERVALU, Inc. 6,198 91,172
SYSCO Corp. 17,280 483,667
Walgreen Co. 28,746 1,036,293
Wal-Mart Stores, Inc. 62,139 3,320,087
Whole Foods Market, Inc. *(a) 4,114 111,983
------------
7,768,114
------------
FOOD PRODUCTS (1.7%)
Archer-Daniels-Midland Co. 18,806 563,616
Campbell Soup Co. 5,504 182,237
ConAgra Foods, Inc. 12,605 286,638
Dean Foods Co. * 5,185 91,412
General Mills, Inc. 9,454 674,165
Hershey Co. (The) 4,855 176,868
HJ Heinz Co. 9,216 402,094
Hormel Foods Corp. 2,045 79,141
JM Smucker Co. (The) 3,469 208,383
Kellogg Co. 7,396 402,490
Kraft Foods, Inc., Class A 43,141 1,193,280
McCormick & Co., Inc. (a) 3,817 138,557
Sara Lee Corp. 20,377 247,377
Tyson Foods, Inc., Class A 8,848 122,279
------------
4,768,537
------------
GAS-DISTRIBUTION (0.2%)
EQT Corp. 3,834 168,773
Nicor, Inc. 1,324 53,648
Questar Corp. 5,099 211,507
------------
433,928
------------
Continued
48
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
HEALTHCARE EQUIPMENT & SUPPLIES (2.0%)
Baxter International, Inc. 17,535 $ 1,009,841
Becton Dickinson & Co. 6,866 517,490
Boston Scientific Corp. * 44,127 380,816
CR Bard, Inc. 2,772 229,771
DENTSPLY International, Inc. 4,351 145,889
Hospira, Inc. * 4,701 238,059
Intuitive Surgical, Inc. * 1,109 363,819
Medtronic, Inc. 32,326 1,386,462
St. Jude Medical, Inc. * 9,773 368,735
Stryker Corp. 8,248 428,236
Varian Medical Systems, Inc. * 3,672 184,665
Zimmer Holdings, Inc. * 6,107 343,946
------------
5,597,729
------------
HEALTHCARE PROVIDERS & SERVICES (2.2%)
Aetna, Inc. 12,692 380,379
AmerisourceBergen Corp. 8,407 229,175
Cardinal Health, Inc. 10,547 348,789
CIGNA Corp. 7,990 269,823
Coventry Health Care, Inc. * 4,348 99,482
DaVita, Inc. * 3,029 181,013
Express Scripts, Inc. * 7,949 666,603
Humana, Inc. * 4,969 241,593
Laboratory Corp. of America Holdings * 3,020 214,722
McKesson Corp. 7,762 456,561
Medco Health Solutions, Inc. * 13,800 848,424
Patterson Cos., Inc. * 2,679 76,512
Quest Diagnostics, Inc. 4,425 246,340
Tenet Healthcare Corp. * 12,231 67,760
UnitedHealth Group, Inc. 33,861 1,117,413
WellPoint, Inc. * 13,399 853,784
------------
6,298,373
------------
HEALTHCARE TECHNOLOGY (0.0%)
IMS Health, Inc. 5,324 115,211
------------
HOTELS & MOTELS (0.1%)
Starwood Hotels & Resorts Worldwide, Inc. 5,468 182,194
------------
HOTELS RESTAURANTS & LEISURE (1.4%)
Carnival Corp. * 12,834 427,757
Darden Restaurants, Inc. 4,017 148,468
International Game Technology 8,679 159,173
Marriott International, Inc., Class A (a) 7,370 193,315
McDonald's Corp. 31,442 1,962,924
Starbucks Corp. * 21,557 469,727
Wyndham Worldwide Corp. 5,216 109,484
Wynn Resorts, Ltd. 1,983 122,708
Yum! Brands, Inc. 13,521 462,554
------------
4,056,110
------------
HOUSEHOLD DURABLES (0.4%)
Black & Decker Corp. 1,761 113,866
DR Horton, Inc. (a) 8,076 95,216
Fortune Brands, Inc. 4,400 182,908
Harman International Industries, Inc. 2,031 72,202
Leggett & Platt, Inc. 4,024 73,478
Lennar Corp., Class A 4,517 69,381
Newell Rubbermaid, Inc. 8,132 110,351
Pulte Homes, Inc. *(a) 9,237 97,173
Snap-On, Inc. 1,687 68,965
Stanley Works (The) 2,316 118,695
Whirlpool Corp. 2,163 162,615
------------
1,164,850
------------
HOUSEHOLD PRODUCTS (2.6%)
Clorox Co. 4,073 240,999
Colgate-Palmolive Co. 14,488 1,159,475
Kimberly-Clark Corp. 12,133 720,579
Procter & Gamble Co. (The) 84,988 5,231,011
------------
7,352,064
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (0.2%)
AES Corp. (The) * 19,528 246,638
Constellation Energy Group, Inc. 5,835 188,354
NRG Energy, Inc. * 7,463 179,933
------------
614,925
------------
INDUSTRIAL CONGLOMERATES (2.4%)
3M Co. 20,639 1,661,233
General Electric Co. (c) 310,197 4,987,968
Textron, Inc. (a) 7,874 153,779
------------
6,802,980
------------
INSURANCE (2.5%)
Aflac, Inc. 13,693 663,152
Allstate Corp. (The) 15,712 470,260
American International Group, Inc. *(a) 3,941 95,491
AON Corp. 8,108 315,401
Assurant, Inc. 3,449 108,402
Chubb Corp. 9,854 492,700
Cincinnati Financial Corp. (a) 4,762 125,669
Genworth Financial, Inc., Class A * 14,071 194,743
Hartford Financial Services Group, Inc. 11,256 270,032
Lincoln National Corp. 8,673 213,182
Loews Corp. 10,581 378,482
Marsh & McLennan Cos., Inc. 15,306 329,997
MetLife, Inc. 23,701 837,119
Principal Financial Group, Inc. 9,100 209,755
Progressive Corp. (The) 19,284 319,729
Prudential Financial, Inc. 13,558 677,765
Torchmark Corp. 2,424 108,838
Travelers Cos., Inc. (The) 15,984 809,909
Unum Group 9,704 189,907
XL Capital, Ltd., Class A 10,021 168,052
------------
6,978,585
------------
INTERNET & CATALOG RETAIL (0.6%)
Amazon.com, Inc. * 9,712 1,217,982
Expedia, Inc. * 6,163 131,950
priceline.com, Inc. *(a) 1,286 251,220
------------
1,601,152
------------
Continued
49
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
INTERNET SOFTWARE & SERVICES (1.9%)
Akamai Technologies, Inc. *(a) 5,063 $ 125,056
eBay, Inc. * 32,753 753,974
Google, Inc., Class A * 7,012 3,712,293
VeriSign, Inc. * 5,649 129,419
Yahoo!, Inc. * 34,847 523,053
------------
5,243,795
------------
IT SERVICES (0.9%)
Affiliated Computer Services, Inc., Class A * 2,859 175,886
Automatic Data Processing, Inc. 14,694 599,368
Cognizant Technology Solutions Corp., Class A * 8,557 373,599
Computer Sciences Corp. * 4,438 227,669
Fidelity National Information Services, Inc. 9,576 225,610
Fiserv, Inc. * 4,317 194,438
Paychex, Inc. (a) 9,407 272,709
SAIC, Inc. * 8,896 163,064
Total System Services, Inc. 5,775 82,640
Western Union Co. (The) 19,946 369,799
------------
2,684,782
------------
LEISURE EQUIPMENT & PRODUCTS (0.1%)
Eastman Kodak Co. * 7,856 47,529
Hasbro, Inc. 3,646 111,385
Mattel, Inc. 10,502 207,100
------------
366,014
------------
LIFE SCIENCES TOOLS & SERVICES (0.3%)
Millipore Corp. * 1,624 112,007
PerkinElmer, Inc. 3,415 68,778
Thermo Fisher Scientific, Inc. * 11,930 550,569
Waters Corp. * 2,824 160,912
------------
892,266
------------
MACHINERY (1.6%)
Caterpillar, Inc. 18,108 945,962
Cummins, Inc. 5,912 266,986
Danaher Corp. 7,623 543,901
Deere & Co. 12,174 608,091
Dover Corp. 5,449 233,653
Eaton Corp. 4,851 297,075
Flowserve Corp. 1,641 147,969
Illinois Tool Works, Inc. 11,262 490,910
ITT Corp. 5,331 257,541
PACCAR, Inc. 10,639 383,323
Pall Corp. 3,455 119,094
Parker Hannifin Corp. 4,702 262,889
------------
4,557,394
------------
MEDIA (2.6%)
CBS Corp., Class B 19,904 257,359
Comcast Corp., Class A 83,074 1,315,061
DIRECTV, Class A * 27,812 844,094
Gannett Co., Inc. (a) 6,809 109,965
Interpublic Group of Cos., Inc. * 14,013 90,524
McGraw-Hill Cos., Inc. (The) 9,213 326,601
Meredith Corp. 1,054 32,653
New York Times Co. (The), Class A * 3,416 44,135
News Corp., Class A 65,597 827,178
Omnicom Group, Inc. 9,105 321,407
Scripps Networks Interactive, Inc., Class A 2,650 113,155
Time Warner, Inc. 34,017 933,767
Viacom, Inc., Class B * 17,764 517,643
Walt Disney Co. (The) 55,988 1,654,445
Washington Post Co. (The), Class B 176 76,493
------------
7,464,480
------------
MEDICAL-WHOLESALE DRUG DISTRIBUTORS (0.0%)
CareFusion Corp. * 5,273 135,780
------------
METALS & MINING (1.0%)
AK Steel Holding Corp. 3,201 65,108
Alcoa, Inc. 28,539 363,301
Allegheny Technologies, Inc. 2,871 117,280
Cliffs Natural Resources, Inc. 3,747 149,693
Freeport-McMoRan Copper & Gold, Inc. 12,443 829,824
Newmont Mining Corp. 14,337 614,484
Nucor Corp. 9,205 375,564
Titanium Metals Corp. * 2,493 28,994
United States Steel Corp. 4,199 186,561
------------
2,730,809
------------
MULTILINE RETAIL (0.9%)
Big Lots, Inc. * 2,419 68,724
Family Dollar Stores, Inc. 4,108 126,855
JC Penney Co., Inc. 6,908 171,526
Kohl's Corp. * 8,946 450,610
Macy's, Inc. 12,319 196,242
Nordstrom, Inc. 4,690 161,992
Sears Holdings Corp. *(a) 1,415 131,991
Target Corp. 21,810 1,118,199
------------
2,426,139
------------
MULTI-UTILITIES (1.3%)
Ameren Corp. 6,679 170,648
CenterPoint Energy, Inc. 11,109 154,971
CMS Energy Corp. (a) 6,644 100,789
Consolidated Edison, Inc. 8,038 351,582
Dominion Resources, Inc. 17,282 647,384
DTE Energy Co. 4,800 201,792
Integrys Energy Group, Inc. (a) 2,239 93,702
NiSource, Inc. (a) 8,044 114,627
PG&E Corp. 10,790 455,770
Public Service Enterprise Group, Inc. 14,822 453,405
Sempra Energy 7,156 363,167
TECO Energy, Inc. 6,236 97,095
Wisconsin Energy Corp. 3,425 167,620
Xcel Energy, Inc. 13,348 277,371
------------
3,649,923
------------
NON-HAZARDOUS WASTE DISPOSAL (0.2%)
Waste Management, Inc. 14,065 450,783
------------
OFFICE ELECTRONICS (0.1%)
Xerox Corp. (a) 25,332 220,895
------------
Continued
50
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
OIL & GAS (9.3%)
Anadarko Petroleum Corp. 14,327 $ 913,776
Apache Corp. 9,704 958,464
Cabot Oil & Gas Corp. 3,036 116,188
Chesapeake Energy Corp. 18,717 463,807
Chevron Corp. 58,378 4,210,221
ConocoPhillips 43,164 2,071,872
Consol Energy, Inc. 5,291 246,614
Denbury Resources, Inc. * 7,290 98,780
Devon Energy Corp. 12,849 859,727
El Paso Corp. 20,534 208,420
EOG Resources, Inc. 7,331 662,869
Exxon Mobil Corp. (c) 138,148 8,900,876
Hess Corp. 8,529 492,891
Marathon Oil Corp. 20,733 618,051
Murphy Oil Corp. 5,589 285,486
Noble Energy, Inc. 5,078 375,467
Occidental Petroleum Corp. 23,604 1,849,137
Peabody Energy Corp. 7,832 329,884
Range Resources Corp. 4,586 210,956
Southwestern Energy Co. * 10,066 431,630
Spectra Energy Corp. 18,893 401,476
Sunoco, Inc. 3,424 85,908
Tesoro Corp. 4,053 50,662
Valero Energy Corp. 16,296 300,172
Williams Cos., Inc. (The) 16,993 354,134
XTO Energy, Inc. 16,982 756,888
------------
26,254,356
------------
OIL GAS & CONSUMABLE FUELS (0.1%)
Pioneer Natural Resources Co. 3,339 146,849
------------
PAPER & FOREST PRODUCTS (0.2%)
International Paper Co. 12,660 290,040
MeadWestvaco Corp. 5,012 120,639
Weyerhaeuser Co. 6,191 247,021
------------
657,700
------------
PERSONAL PRODUCTS (0.2%)
Avon Products, Inc. 12,505 376,901
Estee Lauder Cos., Inc. (The), Class A 3,399 178,515
------------
555,416
------------
PHARMACEUTICALS (6.7%)
Abbott Laboratories 45,034 2,384,100
Allergan, Inc. 9,008 517,960
Bristol-Myers Squibb Co. 49,980 1,217,513
Eli Lilly & Co. 29,299 1,031,325
Forest Laboratories, Inc. * 8,835 261,869
Johnson & Johnson 80,263 5,045,332
King Pharmaceuticals, Inc. * 7,264 87,241
Mead Johnson Nutrition Co. 5,940 268,666
Merck & Co., Inc. 88,933 3,395,462
Mylan, Inc. *(a) 8,936 162,903
Pfizer, Inc. 234,621 4,378,028
Watson Pharmaceuticals, Inc. * 3,088 118,487
------------
18,868,886
------------
REAL ESTATE INVESTMENT TRUSTS (1.1%)
Apartment Investment & Management Co., Class A 3,430 52,685
AvalonBay Communities, Inc. 2,340 179,267
Boston Properties, Inc. 4,057 263,178
Equity Residential 8,022 257,105
HCP, Inc. 8,435 239,132
Health Care REIT, Inc. 3,490 150,070
Host Hotels & Resorts, Inc. * 18,637 197,552
Kimco Realty Corp. 11,885 149,989
Plum Creek Timber Co., Inc. (a) 4,769 172,495
ProLogis 13,827 174,220
Public Storage 3,964 313,869
Simon Property Group, Inc. (a) 8,396 604,512
Ventas, Inc. 4,585 193,487
Vornado Realty Trust 4,525 292,677
------------
3,240,238
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT (0.0%)
CB Richard Ellis Group, Inc., Class A * 7,885 96,986
------------
ROAD & RAIL (1.0%)
Burlington Northern Santa Fe Corp. 7,648 762,735
CSX Corp. 11,467 491,476
Norfolk Southern Corp. 10,752 505,989
Ryder System, Inc. 1,637 59,587
Union Pacific Corp. 14,591 882,755
------------
2,702,542
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (2.4%)
Advanced Micro Devices, Inc. * 16,420 122,493
Altera Corp. 8,595 183,245
Analog Devices, Inc. 8,531 229,996
Applied Materials, Inc. 39,048 475,605
Broadcom Corp., Class A * 12,521 334,561
Intel Corp. 160,661 3,116,824
Kla-Tencor Corp. 4,976 140,323
Linear Technology Corp. (a) 6,511 169,937
LSI Corp. * 19,007 94,845
MEMC Electronic Materials, Inc. * 6,547 82,361
Microchip Technology, Inc. (a) 5,357 138,264
Micron Technology, Inc. * 24,803 216,282
National Semiconductor Corp. 6,860 90,964
Novellus Systems, Inc. * 2,861 59,795
Nvidia Corp. * 16,000 246,240
Teradyne, Inc. *(a) 5,071 47,363
Texas Instruments, Inc. 36,332 817,470
Xilinx, Inc. 8,071 190,314
------------
6,756,882
------------
SOFTWARE (4.1%)
Adobe Systems, Inc. * 15,035 485,630
Autodesk, Inc. * 6,691 159,179
BMC Software, Inc. * 5,417 209,313
CA, Inc. 11,551 254,584
Citrix Systems, Inc. * 5,301 220,257
Compuware Corp. * 7,088 53,798
Electronic Arts, Inc. * 9,460 154,009
Intuit, Inc. * 9,085 269,007
McAfee, Inc. * 4,551 171,573
Microsoft Corp. (c) 224,953 6,339,175
Novell, Inc. * 10,112 45,201
Oracle Corp. 113,958 2,627,871
Continued
51
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
COMMON STOCKS, CONTINUED
SOFTWARE, CONTINUED
Salesforce.com, Inc. * 3,111 $ 197,704
Symantec Corp. * 23,304 395,003
------------
11,582,304
------------
SPECIALTY RETAIL (1.9%)
Abercrombie & Fitch Co., Class A 2,574 81,184
AutoNation, Inc. *(a) 2,548 45,864
AutoZone, Inc. * 862 133,636
Bed Bath & Beyond, Inc. * 7,606 294,352
Best Buy Co., Inc. 9,999 366,463
GameStop Corp., Class A *(a) 4,822 95,331
Gap, Inc. (The) 14,059 268,246
Home Depot, Inc. 49,689 1,391,789
Limited Brands, Inc. 7,912 150,486
Lowe's Cos., Inc. 42,771 925,992
Office Depot, Inc. * 8,047 45,707
O'Reilly Automotive, Inc. * 3,974 150,217
RadioShack Corp. 3,665 71,541
Ross Stores, Inc. 3,625 166,496
Sherwin-Williams Co. (The) 2,881 182,511
Staples, Inc. 20,954 491,581
Tiffany & Co. 3,634 147,577
TJX Cos., Inc. 12,096 459,769
------------
5,468,742
------------
TEXTILES APPAREL & LUXURY GOODS (0.5%)
Coach, Inc. 9,303 324,489
Nike, Inc., Class B 11,350 723,562
Polo Ralph Lauren Corp. 1,656 135,792
VF Corp. 2,592 186,702
------------
1,370,545
------------
THRIFTS & MORTGAGE FINANCE (0.1%)
Hudson City Bancorp, Inc. 13,926 184,798
People's United Financial, Inc. 10,202 164,966
------------
349,764
------------
TOBACCO (1.5%)
Altria Group, Inc. 60,567 1,202,861
Lorillard, Inc. 4,631 350,567
Philip Morris International, Inc. 55,454 2,523,711
Reynolds American, Inc. 4,950 263,340
------------
4,340,479
------------
TRADING COMPANIES & DISTRIBUTORS (0.1%)
Fastenal Co. (a) 3,785 157,002
WW Grainger, Inc. 1,823 180,987
------------
337,989
------------
WIRELESS TELECOMMUNICATION SERVICES (0.3%)
American Tower Corp., Class A * 11,669 495,349
MetroPCS Communications, Inc. *(a) 7,420 41,775
Sprint Nextel Corp. * 87,120 285,753
------------
822,877
------------
TOTAL COMMON STOCKS 278,002,510
------------
INVESTMENT COMPANIES (1.9%)
State Street Navigator Securities
Lending Portfolio (d) 5,251,649 5,251,649
------------
TOTAL INVESTMENT COMPANIES 5,251,649
------------
INVESTMENTS IN AFFILIATES (1.7%)
COMMERCIAL BANKS (0.1%)
Fifth Third Bancorp 23,288 289,703
------------
FIFTH THIRD FUNDS (1.6%)
Fifth Third Institutional Money
Market Fund (b) 4,660,109 4,660,109
------------
TOTAL INVESTMENTS IN AFFILIATES 4,949,812
------------
TOTAL INVESTMENTS (COST $157,600,702) - 101.8% 288,203,971
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.8)% (5,165,888)
------------
NET ASSETS - 100.0% $283,038,083
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) All or part of this security has been designated as collateral for futures
contracts.
(d) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments and notes to financial statements.
52
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
FOREIGN STOCKS (c) (98.2%)
AUSTRALIA (8.3%)
Australia & New Zealand Banking Group, Ltd. 124,370 $ 2,378,900
BHP Billiton, Ltd. 111,230 3,855,074
Coca-Cola Amatil, Ltd. 252,801 2,439,094
Commonwealth Bank of Australia 64,544 3,024,879
Computershare, Ltd. 26,167 267,696
Energy Resources of Australia, Ltd. (a) 33,870 626,290
Macquaire Group, Ltd. 4,616 203,379
MAP Group 482,244 1,180,938
National Australia Bank, Ltd. 65,310 1,515,804
Orica, Ltd. 17,801 378,582
Rio Tinto, Ltd. (a) 14,000 835,802
Suncorp-Metway, Ltd. 63,700 499,029
Wesfarmers, Ltd. 51,701 1,255,539
Westpac Banking Corp. 78,239 1,643,840
Woolworths, Ltd. 28,581 652,644
WorleyParsons, Ltd. 7,475 155,282
------------
20,912,772
------------
AUSTRIA (0.4%)
Raiffeisen International Bank
Holding AG (a) 19,940 985,850
------------
BELGIUM (0.0%)
Delhaize Group SA 729 57,103
------------
CYPRUS (0.1%)
Bank of Cyprus Public Co., Ltd. 42,620 268,891
------------
DENMARK (1.9%)
Carlsberg AS, Class B 14,623 1,084,287
H Lundbeck AS 33,064 616,961
Novo Nordisk AS, Class B 47,357 3,205,297
------------
4,906,545
------------
FINLAND (1.4%)
Kesko Oyj, Class B 21,534 692,167
Metso Oyj 201 6,684
Nokia Oyj 112,685 1,555,481
Pohjola Bank PLC, Class A 70,962 727,544
Sampo Oyj, Class A 18,942 459,119
------------
3,440,995
------------
FRANCE (9.6%)
Alcatel-Lucent * 20,119 67,439
BNP Paribas 14,759 1,057,221
Bouygues SA 44,148 2,180,868
Casino Guichard Perrachon SA 11,610 956,168
CNP Assurances 10,687 945,170
Compagnie de Saint-Gobain (a) 6,839 328,592
Credit Agricole SA 140,387 2,191,003
Danone 12,058 690,771
France Telecom SA 24,434 561,808
Legrand SA 28,180 812,956
M6-Metropole Television 40,107 1,064,438
Neopost SA 3,521 280,819
Peugeot SA * 8,921 287,823
PPR 2,268 276,171
Renault SA * 17,040 804,060
Sanofi-Aventis SA (d) 42,512 3,136,327
Schneider Electric SA 11,033 1,133,933
SCOR SE 57,445 1,329,176
Suez Environnement Co. 6,061 137,701
Technip SA 1,154 78,043
Total SA (d) 31,527 1,831,194
Vallourec SA 17,065 2,943,758
Vinci SA (a) 20,710 1,103,355
------------
24,198,794
------------
GERMANY (8.2%)
Allianz SE 22,074 2,443,582
BASF SE 55,784 3,162,995
Commerzbank AG *(a) 27,267 210,508
Daimler AG 7,772 358,157
Deutsche Lufthansa AG 29,336 469,889
Deutsche Telekom AG (d) 264,919 3,429,543
E.ON AG 32,878 1,207,170
Hannover Rueckversicherung AG * 13,695 633,119
HeidelbergCement AG 44,740 2,695,270
Henkel AG & Co., KGaA 25,790 1,129,632
Infineon Technologies AG * 42,918 236,711
Metro AG 1,732 94,967
RWE AG 34,277 3,037,740
SAP AG 12,086 551,664
Suedzucker AG 32,920 759,586
TUI AG * 22,305 206,730
United Internet AG * 10,806 159,467
------------
20,786,730
------------
GREAT BRITAIN (20.0%)
Anglo American PLC * 15,273 554,168
AstraZeneca PLC (d) 69,108 3,212,991
Barclays PLC 621,693 2,662,462
BHP Billiton PLC 116,088 3,409,663
BP PLC (d) 618,568 5,789,086
British American Tobacco PLC 88,945 2,932,626
BT Group PLC 666,531 1,462,812
Drax Group PLC 273,108 1,791,504
Eurasian Natural Resources Corp. 42,049 601,597
Fresnillo PLC 72,980 772,459
GlaxoSmithKline PLC 90,853 1,768,708
Home Retail Group PLC 634,003 2,573,091
HSBC Holdings PLC 430,209 4,610,865
ICAP PLC 299,186 1,756,911
Intercontinental Hotels Group PLC 18,090 258,501
International Power PLC 142,262 725,438
Investec PLC 173,494 1,169,038
Man Group PLC 110,262 416,362
Marks & Spencer Group PLC 427,747 2,378,266
National Grid PLC 74,991 754,904
Rio Tinto PLC 27,000 1,295,551
Royal Dutch Shell PLC, Class A 160,336 4,423,995
Smith & Nephew PLC 28,753 289,270
Standard Chartered PLC 52,042 1,189,734
Tullow Oil PLC 5,042 92,299
Unilever PLC 16,382 499,630
Vodafone Group PLC 940,458 2,020,387
Whitbread PLC 19,131 426,488
Xstrata PLC * 39,712 649,412
------------
50,488,218
------------
Continued
53
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
FOREIGN STOCKS, CONTINUED
HONG KONG (1.6%)
ASM Pacific Technology, Ltd. 26,400 $ 217,791
Cathay Pacific Airways, Ltd. * 192,000 313,990
Hang Seng Bank, Ltd. 80 1,118
Hong Kong Aircraft Engineering Co., Ltd. 10,000 126,927
Hutchison Whampoa, Ltd. 86,000 584,837
New World Development, Ltd. 1,070,000 1,756,775
NWS Holdings, Ltd. 104,000 169,519
Sino Land Co., Ltd. 356,000 590,473
Wheelock & Co., Ltd. 84,201 219,468
------------
3,980,898
------------
IRELAND (0.4%)
Kerry Group PLC, Class A 32,147 947,529
------------
ITALY (4.0%)
Banca Popolare di Milano Scarl 299,986 1,941,543
Enel SpA 504,726 2,725,966
ENI SpA (d) 134,022 3,121,594
Intesa Sanpaolo SpA 75,798 222,168
Mediaset SpA 229,291 1,736,268
Snam Rete Gas SpA 66,276 311,488
------------
10,059,027
------------
JAPAN (22.5%)
Aeon Co., Ltd. (a) 172,000 1,714,980
Aeon Credit Service Co., Ltd. (a) 35,000 362,121
Aisin Seiki Co., Ltd. 6,218 163,827
Ajinomoto Co., Inc. 42,000 397,488
Asahi Glass Co., Ltd. (a) 114,000 1,143,237
Astellas Pharma, Inc. 15,600 575,060
Brother Industries, Ltd. 6,000 65,175
Canon, Inc. 39,399 1,541,971
Chiba Bank, Ltd. (The) (a) 35,000 210,695
Chubu Electric Power Co., Inc. 76,300 1,937,993
Citizen Holdings Co., Ltd. 34,100 224,919
Coca-Cola West Co., Ltd. (a) 7,600 127,529
Dai Nippon Printing Co., Ltd. (a) 153,000 2,111,318
Daicel Chemical Industries, Ltd. 164,000 981,962
Dainippon Sumitomo Pharma Co., Ltd. 35,200 376,721
Daiwa House Industry Co., Ltd. 144,000 1,515,225
Denso Corp. 6,200 181,878
East Japan Railway Co. 800 53,707
Electric Power Development Co., Ltd. 2,600 75,677
Elpida Memory, Inc. * 2,000 35,020
Fuji Media Holdings, Inc. 1,306 1,968,962
FUJIFILM Holdings Corp. 83,300 2,668,108
Gunma Bank, Ltd. (The) 92,000 473,339
Honda Motor Co., Ltd. 53,000 1,798,291
Idemitsu Kosan Co., Ltd. 7,500 479,971
Japan Petroleum Exploration Co. 2,700 126,892
JFE Holdings, Inc. 29,200 1,013,634
Kaneka Corp. 115,000 743,535
Kinden Corp. 17,000 153,448
Konica Minolta Holdings, Inc. 3,000 30,534
Kuraray Co., Ltd. 39,000 453,259
Kyocera Corp. 3,700 342,848
Kyushu Electric Power Co., Inc. 83,100 1,801,563
Mazda Motor Corp. * 208,000 560,720
Meiji Holdings Co., Ltd. * 20,500 771,857
Mitsubishi Corp. 25,400 610,647
Mitsubishi UFJ Financial Group, Inc. 170,462 877,061
Mitsubishi UFJ Lease & Finance Co., Ltd. 23,234 802,572
Mitsui & Co., Ltd. 41,800 610,917
Mitsui Chemicals, Inc. 83,000 222,315
Mitsui Sumitomo Insurance Group Holdings, Inc. 25,500 639,550
Mizuho Financial Group, Inc. 61,900 119,248
Murata Manufacturing Co., Ltd. 20,100 1,104,689
Nippon Electric Glass Co., Ltd. 10,000 141,212
Nippon Express Co., Ltd. 308,000 1,296,016
Nippon Meat Packers, Inc. 16,000 201,873
Nippon Mining Holdings, Inc. 31,000 133,258
Nippon Paper Group, Inc. 55,100 1,435,525
Nippon Steel Corp. 35,000 126,624
Nippon Telegraph & Telephone Corp. 11,000 464,629
Nissan Motor Co., Ltd. * 192,032 1,552,853
Nisshin Seifun Group, Inc. 51,000 681,838
Nomura Holdings, Inc. 34,300 256,696
NSK, Ltd. 11,000 79,410
NTN Corp. (a) 301,000 1,296,855
NTT DoCoMo, Inc. 530 792,180
ORIX Corp. (a) 1,660 124,289
Panasonic Corp. (a) 9,500 149,448
Resona Holdings, Inc. 12,200 151,851
Ricoh Co., Ltd. 4,500 64,105
Santen Pharmaceutical Co., Ltd. 6,700 210,808
Sekisui Chemical Co., Ltd. 39,000 263,817
Sharp Corp. (a) 77,000 918,411
Showa Denko KK 518,000 1,054,324
Softbank Corp. 35,300 898,644
Sojitz Corp. 21,900 40,242
Sony Corp. 108,600 3,616,196
Sumitomo Corp. (a) 75,100 843,609
Sumitomo Mitsui Financial Group, Inc. (a) 31,000 1,001,704
Takeda Pharmaceutical Co., Ltd. 20,700 910,001
TDK Corp. 8,000 514,908
Tokyo Electric Power Co., Inc. (The) 42,000 1,132,775
Tokyo Tatemono Co., Ltd. 17,000 67,370
Tokyu Land Corp. (a) 15,000 56,614
Toppan Printing Co., Ltd. (a) 164,000 1,427,016
Tosoh Corp. 128,077 328,557
Toyota Motor Corp. (d) 44,500 1,706,545
Toyota Tsusho Corp. 5,900 89,567
West Japan Railway Co. 202 696,640
------------
56,896,873
------------
LUXEMBOURG (0.2%)
ArcelorMittal 3,852 147,404
Tenaris SA 17,911 395,339
------------
542,743
------------
NETHERLANDS (1.8%)
Fugro NV 45,738 2,702,598
Koninklijke DSM NV 6,489 300,720
Koninklijke Philips Electronics NV 43,307 1,309,102
Unilever NV 7,181 220,440
------------
4,532,860
------------
Continued
54
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
---------- ------------
FOREIGN STOCKS, CONTINUED
NORWAY (1.4%)
DnB NOR ASA * 84,089 $ 957,103
Statoil ASA 119,299 2,669,870
------------
3,626,973
------------
SINGAPORE (1.7%)
Golden Agri-Resources, Ltd. * 697,000 255,399
Jardine Cycle & Carriage, Ltd. 30,194 540,072
Keppel Corp., Ltd. 378,000 2,235,628
Noble Group, Ltd. 303,000 614,453
SembCorp Industries, Ltd. 276,000 682,539
------------
4,328,091
------------
SPAIN (4.7%)
Banco Bilbao Vizcaya Argentaria SA (a) 78,811 1,197,351
Banco Popular Espanol SA (a) 303,495 2,311,038
Banco Santander SA (a) 273,774 3,857,324
Telefonica SA (d) 183,304 4,402,958
------------
11,768,671
------------
SWEDEN (1.5%)
Electrolux AB, Series B * 25,925 614,717
Svenska Cellulosa AB, Class B 49,963 675,695
Svenska Handelsbanken AB, Class A 84,869 2,223,604
Tele2 AB, Class B 29,387 413,245
------------
3,927,261
------------
SWITZERLAND (8.5%)
Adecco SA 31,605 1,708,222
Baloise Holding AG 16,029 1,333,390
Credit Suisse Group AG 70,399 3,051,478
Geberit AG 10,737 1,890,088
Holcim, Ltd. * 20,732 1,427,443
Nestle SA (d) 99,437 4,705,314
Novartis AG 84,706 4,536,869
Roche Holding AG 1,090 183,061
Schindler Holding AG 13,628 1,009,135
Swisscom AG 2,761 1,004,281
Zurich Financial Services AG 2,621 555,386
------------
21,404,667
------------
TOTAL FOREIGN STOCKS 248,061,491
------------
INVESTMENT COMPANIES (6.9%)
UNITED STATES (6.9%)
iShares MSCI EAFE Index Fund (a) 24,100 1,264,768
State Street Navigator Securities
Lending Portfolio (e) 16,279,634 16,279,634
------------
17,544,402
------------
TOTAL INVESTMENT COMPANIES 17,544,402
------------
RIGHTS (0.0%)
JAPAN (0.0%)
Dowa Holdings Co., Ltd. * 28,000 --
------------
TOTAL RIGHTS --
------------
INVESTMENTS IN AFFILIATES (1.0%)
UNITED STATES (1.0%)
Fifth Third Institutional Money
Market Fund (b) 2,573,753 $ 2,573,753
------------
TOTAL INVESTMENTS IN AFFILIATES 2,573,753
------------
TOTAL INVESTMENTS (COST $261,115,932) - 106.1% 268,179,646
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.1)% (15,491,714)
------------
NET ASSETS - 100.0% $252,687,932
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) The Fund's securities were fair valued at January 31, 2010 using procedures
approved by the Board of Trustees.
(d) All or part of this security has been designated as collateral for futures
contracts.
(e) Represents investments of cash collateral received in connection with
securities lending.
AT JANUARY 31, 2010, INTERNATIONAL EQUITY'S INDUSTRY INVESTMENT CONCENTRATIONS,
AS A PERCENTAGE OF NET ASSETS, WERE AS FOLLOWS:
Agricultural Operations 0.1%
Airlines 0.3%
Airport Development/Maintenance 0.5%
Appliances 0.2%
Audio/Video Products 1.5%
Auto/Truck Parts & Equipment-Original 0.1%
Auto-Cars & Light Trucks 2.8%
Beverages-Non Alcoholic 1.0%
Brewery 0.4%
Building & Construction-Miscellaneous 0.9%
Building & Construction Production-Miscellaneous 0.9%
Building-Heavy Construction 0.4%
Building Products-Cement & Aggregate 1.6%
Building Products-Doors & Windows 0.5%
Building-Residential/Commercial 0.7%
Cellular Telecom 1.1%
Chemicals-Diversified 2.2%
Chemicals-Speciality 0.4%
Commercial Banks Non-U.S. 15.2%
Computer Services 0.1%
Computers-Memory Devices 0.2%
Distribution/Wholesale 0.2%
Diversified Financial Services 0.6%
Diversified Manufacturing Operations 0.5%
Diversified Minerals 3.4%
Diversified Operations 2.1%
Electric Products-Miscellaneous 0.7%
Continued
55
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
AT JANUARY 31, 2010, INTERNATIONAL EQUITY'S INDUSTRY INVESTMENT CONCENTRATIONS,
AS A PERCENTAGE OF NET ASSETS, WERE AS FOLLOWS, CONTINUED:
Electric-Generation -^
Electric-Integrated 5.0%
Electric-Transmission 0.3%
Electronic Components-Miscellaneous 1.1%
Electronic Components-Semiconductors 0.1%
Engineering/R & D Services 0.4%
Enterprise Software/Services 0.2%
Fifth Third Funds 1.0%
Finance-Credit Card 0.1%
Finance-Investment Banker/Broker 1.4%
Finance-Leasing Companies 0.4%
Finance-Other Services 0.9%
Food 0.3%
Food-Meat Products 0.1%
Food-Miscellaneous/Diversified 3.6%
Food-Retail 0.7%
Food-Wholesale/Distribution 0.3%
Gas-Transportation 0.1%
Hotels & Motels 0.1%
Household & Personal Products 0.4%
Human Resources 0.7%
Import/Export 0.9%
Internet Software & Services 0.1%
Investment Companies 6.9%
Machinery-Electrical 0.4%
Machinery-General Industry -^
Medical Products 0.1%
Medical-Drugs 7.4%
Metal Processors & Fabricators 0.5%
Metal-Diversified 1.1%
Mining 0.5%
Multi-Line Insurance 2.1%
Non-Ferrous Metals 0.2%
Office Automation & Equipment 0.7%
Oil Company-Exploration & Production 0.1%
Oil Company-Integrated 7.2%
Oil Refining & Marketing 0.1%
Oil-Field Services 1.1%
Paper & Related Products 0.8%
Petrochemicals 0.1%
Photo Equipment & Supplies 1.1%
Power Conversion/Supply Equipment 0.4%
Printing-Commercial 1.4%
Property & Casualty Insurance 0.3%
Real Estate Operation/Development 1.1%
Reinsurance 0.8%
Retail-Major Department Store 2.1%
Retail-Miscellaneous/Diversified 0.7%
Retail-Restaurants 0.2%
Semiconductor Equipment 0.1%
Specialty Retail 0.1%
Steel-Producers 1.8%
Telecom Services 0.2%
Telecommunication Equipment -^
Telephone-Integrated 4.8%
Television 1.9%
Textiles 0.2%
Tobacco 1.2%
Transportation-Rail 0.3%
Transportation-Truck 0.5%
Travel Services 0.1%
Water 0.1%
Wireless Equipment 0.6%
- ------
^ Amount is less than 0.05%.
See notes to schedules of investments and notes to financial statements.
56
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
ASSET-BACKED SECURITIES (2.6%)
AUTOMOBILES SEQUENTIAL (0.8%)
Honda Auto Receivables Owner Trust,
Series 2009-3, Class A3, 2.31%,
5/15/13 $ 250,000 $ 254,230
Hyundai Auto Receivables Trust,
Series 2009-A, Class A3, 2.03%,
8/15/13 415,000 421,063
-----------
675,293
-----------
MANUFACTURED HOUSING ABS OTHER (0.6%)
Mid-State Trust, Series 2005-1, Class
M2, 7.08%, 1/15/40 537,727 461,449
-----------
OTHER ABS (1.2%)
Aerco, Ltd., Series 2A, Class A3,
0.69%, 7/15/25 (a)(b)(g) 712,581 388,357
Residential Asset Securities Corp.,
Series 2006-KS3, Class AI3, 0.40%,
4/25/36 (a) 717,261 662,553
-----------
1,050,910
-----------
Total Asset-Backed Securities 2,187,652
-----------
CONVERTIBLE BONDS (0.5%)
SUPER-REGIONAL BANKS-U.S. (0.5%)
National City Corp., 4.00%, 2/1/11 425,000 431,375
-----------
TOTAL CONVERTIBLE BONDS 431,375
-----------
CORPORATE BONDS (23.9%)
CABLE TV (1.2%)
COX Communications, Inc., 7.75%,
11/1/10 1,000,000 1,045,871
-----------
COMMERCIAL BANKS-CENTRAL U.S. (0.6%)
SunTrust Bank, 3.00%, 11/16/11 500,000 518,563
-----------
COMMERCIAL BANKS-EASTERN U.S. (0.4%)
Emigrant Capital Trust, 3.02%, 12/10/33,
(Callable 3/1/10 @ 100) (a)(b) 1,000,000 300,312
-----------
COMMERCIAL BANKS-SOUTHERN U.S. (1.8%)
First Tennessee Capital II, Series B,
6.30%, 4/15/34, (Callable
3/1/10 @ 100) 1,500,000 1,057,657
Union Planters Corp., 4.38%, 12/1/10 500,000 500,702
-----------
1,558,359
-----------
DIVERSIFIED FINANCIAL SERVICES (1.2%)
General Electric Capital Corp., 6.88%,
1/10/39 1,000,000 1,039,210
-----------
ELECTRIC-INTEGRATED (1.1%)
FPL Group Capital, Inc., 6.65%,
6/15/67, (Callable 6/15/17 @ 100) (a) 1,000,000 950,000
-----------
ENTERPRISE SOFTWARE/SERVICES (1.0%)
CA, Inc., 5.38%, 12/1/19 850,000 870,765
-----------
FINANCE-INVESTMENT BANKER/BROKER (1.0%)
JPMorgan Chase & Co., Series 1,
7.90%, 4/30/18 (a)(f) 800,000 819,448
-----------
FINANCE-OTHER SERVICES (0.7%)
Cullen Frost Cap Trust II, 1.81%,
3/1/34, (Callable 3/1/10 @ 100) (a) 1,000,000 621,727
-----------
FINANCIAL GUARANTEE INSURANCE (1.7%)
Financial Security Assurance
Holdings, Ltd., 6.25%, 11/1/2102 90,350 1,462,541
-----------
INSURANCE BROKERS (0.5%)
Marsh & McLennan Cos., Inc., 5.88%,
8/1/33 500,000 450,975
-----------
MACHINERY-CONSTRUCTION & MINING (0.8%)
Joy Global, Inc., 6.00%, 11/15/16 (c) 625,000 666,378
-----------
MONEY CENTER BANKS (1.3%)
Deutsche Bank Trust Corp., 7.25%,
10/15/11 1,000,000 1,069,116
-----------
MULTI-LINE INSURANCE (0.5%)
American Financial Group, Inc.,
9.88%, 6/15/19 375,000 440,052
-----------
REAL ESTATE INVESTMENT TRUSTS (3.1%)
HCP, Inc., 6.70%, 1/30/18 850,000 859,927
ProLogis, 5.63%, 11/15/15 850,000 850,996
Realty Income Corp., 6.75%, 8/15/19 900,000 917,053
-----------
2,627,976
-----------
REINSURANCE (0.6%)
Berkshire Hathaway Finance Corp.,
4.60%, 5/15/13 500,000 536,212
-----------
RETAIL-BUILDING PRODUCTS (1.1%)
Home Depot, Inc., 5.40%, 3/1/16 850,000 909,763
-----------
RETAIL-DRUG STORE (0.8%)
CVS Pass Through Trust, 7.77%,
1/10/12 (b) 633,126 687,370
-----------
RETAIL-OFFICE SUPPLIES (1.2%)
Staples, Inc., 9.75%, 1/15/14 (c) 850,000 1,036,879
-----------
SPECIAL PURPOSE ENTITY (2.2%)
Capital One Capital V, 10.25%, 8/15/39 400,000 457,923
Capital One Capital VI, 8.88%, 5/15/40 400,000 416,183
HVB Funding Trust I, 8.74%, 6/30/31,
(Callable 6/30/29 @ 100) (b) 1,000,000 1,000,000
-----------
1,874,106
-----------
SUPER-REGIONAL BANKS-U.S. (0.6%)
PNC Financial Services Group, Inc.,
Series K, 8.25%, 5/21/13 (a)(f) 500,000 516,532
-----------
WIRELESS EQUIPMENT (0.5%)
Motorola, Inc., 6.50%, 11/15/28 (c) 500,000 454,273
-----------
TOTAL CORPORATE BONDS 20,456,428
-----------
Continued
57
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
FOREIGN BONDS (6.1%)
BANKS (0.7%)
Royal Bank of Scotland Group PLC,
6.40%, 10/21/19 $ 600,000 $ 617,009
-----------
DIVERSIFIED OPERATIONS (0.6%)
Hutchison Whampoa International
(03/13), Ltd., 6.50%, 2/13/13 (b) 486,000 537,252
-----------
IMPORT/EXPORT (0.6%)
Export-Import Bank of Korea, 8.13%,
1/21/14 425,000 492,797
-----------
MULTI-LINE INSURANCE (0.9%)
AXA SA, 6.46%, 12/14/18 (a)(b)(f) 1,000,000 786,250
-----------
OIL COMPANY-EXPLORATION & PRODUCTION (1.1%)
Gaz Capital SA for Gazprom, 7.51%,
7/31/13 (b) 850,000 900,244
-----------
SOVEREIGN (2.2%)
Brazil, Federal Republic, Series F,
10.00%, 1/1/12 BRL 1,660,000 855,029
Brazil, Federal Republic, Series F,
10.00%, 1/1/14 BRL 1,870,000 914,747
Russia Government International
Bond, 8.25%, 3/31/10 (b) $ 111,185 112,508
-----------
1,882,284
-----------
TOTAL FOREIGN BONDS 5,215,836
-----------
MORTGAGE-BACKED SECURITIES (3.1%)
CMBS OTHER (0.7%)
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 598,758 607,026
-----------
WL COLLATERAL CMO OTHER (1.8%)
Bear Stearns Asset Backed Securities
Trust, Series 2003-AC7, Class A2,
5.25%, 1/25/34 450,770 380,989
Countrywide Home Loan Mortgage Pass
Through Trust, Series 2004-HYB5,
Class 4A1, 3.63%, 4/20/35 (a) 247,881 200,437
Merrill Lynch Mortgage Investors,
Inc., Series 2003-A1, Class 2A,
2.63%, 12/25/32 (a) 18,089 16,896
Wells Fargo Mortgage Backed
Securities Trust, Series 2004-X,
Class 1A5, 4.92%, 11/25/34 (a) 1,000,000 954,550
-----------
1,552,872
-----------
WL COLLATERAL CMO SEQUENTIAL (0.6%)
JP Morgan Mortgage Trust, Series
2007-A2, Class 4A1M, 5.74%,
4/25/37 (a) 525,029 464,163
-----------
TOTAL MORTGAGE-BACKED SECURITIES 2,624,061
-----------
U.S. GOVERNMENT AGENCIES (4.3%)
FANNIE MAE (1.3%)
4.30%, 7/1/18 (a) 224,690 233,184
5.50%, 10/1/35 802,266 852,074
-----------
1,085,258
-----------
FREDDIE MAC (3.0%)
3.23%, 10/1/32 (a) 128,632 132,749
4.82%, 1/1/37 (a)(e) 827,058 860,432
5.00%, 9/15/25 228,966 230,180
6.50%, 9/1/22 (e) 643,052 692,054
6.50%, 8/1/37 641,312 695,464
-----------
2,610,879
-----------
TOTAL U.S. GOVERNMENT AGENCIES 3,696,137
-----------
U.S. TREASURY OBLIGATIONS (1.1%)
U.S. TREASURY NOTES (1.1%)
2.75%, 2/15/19 (c) 1,000,000 940,000
-----------
TOTAL U.S. TREASURY OBLIGATIONS 940,000
-----------
SHARES
---------
COMMON STOCKS (6.1%)
BEVERAGES (0.2%)
Diageo PLC ADR 2,240 150,506
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES (0.3%)
AT&T, Inc. 9,060 229,762
-----------
ELECTRIC UTILITIES (0.5%)
Duke Energy Corp. (c) 7,940 131,248
Entergy Corp. 1,470 112,176
Southern Co. (c) 4,640 148,480
-----------
391,904
-----------
ELECTRIC-INTEGRATED (0.4%)
CPFL Energia SA ADR 5,500 324,995
-----------
ENERGY EQUIPMENT & SERVICES (0.4%)
Diamond Offshore Drilling, Inc. (c) 3,750 343,237
-----------
HOUSEHOLD PRODUCTS (0.3%)
Kimberly-Clark Corp. 3,730 221,525
-----------
INSURANCE (0.5%)
Cincinnati Financial Corp. (c) 16,000 422,240
-----------
MULTI-UTILITIES (0.2%)
Wisconsin Energy Corp. (c) 4,420 216,315
-----------
OIL & GAS (0.1%)
Spectra Energy Corp. (c) 4,000 85,000
-----------
REAL ESTATE (0.4%)
Public Storage, Class A (c) 12,000 304,800
-----------
REAL ESTATE INVESTMENT TRUSTS (1.5%)
Annaly Capital Management, Inc. (c) 68,601 1,192,285
Weingarten Realty Investors (c) 7,025 131,157
-----------
1,323,442
-----------
Continued
58
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
----------- -----------
COMMON STOCKS, CONTINUED
ROAD & RAIL (0.1%)
Canadian Pacific Railway, Ltd. $ 2,670 $ 125,490
-----------
TELECOM SERVICES (0.5%)
BCE, Inc. 15,907 409,605
-----------
TEXTILES APPAREL & LUXURY GOODS (0.2%)
VF Corp. 2,853 205,501
-----------
TOBACCO (0.5%)
Altria Group, Inc. 6,850 136,041
Philip Morris International, Inc. 6,850 311,743
-----------
447,784
-----------
TOTAL COMMON STOCKS 5,202,106
-----------
INVESTMENT COMPANIES (17.7%)
American Income Fund, Inc. (c) 135,400 1,060,182
Eaton Vance Tax-Advantaged Dividend
Income Fund 23,600 349,988
ING Prime Rate Trust (c) 160,400 920,696
State Street Navigator Securities
Lending Portfolio (h) 11,542,917 11,542,917
Templeton Global Income Fund (c) 61,374 582,439
Van Kampen Senior Income Trust 152,000 696,160
-----------
TOTAL INVESTMENT COMPANIES 15,152,382
-----------
CONVERTIBLE PREFERRED STOCK (2.6%)
AGRICULTURAL OPERATIONS (1.5%)
Archer Daniels Midland Co., 6.25% (c) 30,000 1,287,000
-----------
MINING (1.1%)
Freeport-McMoRan Copper &
Gold, Inc., 6.75% 9,500 935,275
-----------
TOTAL CONVERTIBLE PREFERRED STOCK 2,222,275
-----------
PREFERRED STOCKS (39.9%)
CABLE TV (2.1%)
Comcast Corp., 7.00% (c) 20,000 502,000
Comcast Corp., Series B, 7.00% (c) 50,000 1,262,500
-----------
1,764,500
-----------
CLOSED-END FUNDS (1.4%)
Source Capital, Inc., 2.40% 35,600 1,210,044
-----------
COMMERCIAL BANKS-EASTERN U.S. (0.7%)
HSBC USA, Inc., Series G, 4.00% (a) 26,500 588,830
-----------
COMMERCIAL BANKS NON-U.S. (1.9%)
Barclays Bank PLC, Series 2, 6.63% (c) 36,650 775,514
Barclays Bank PLC, Series 5, 8.13% 36,000 885,600
-----------
1,661,114
-----------
COMMERCIAL BANKS-SOUTHERN U.S. (1.3%)
BB&T Capital Trust VI, 9.60% 6,000 167,340
BB&T Capital Trust VII, 8.10% 16,000 414,400
First Tennessee Bank NA, 3.75% (a)(b) 1,000 570,625
-----------
1,152,365
-----------
DIVERSIFIED FINANCIAL SERVICES (1.8%)
Citigroup Capital VII, 7.13% (c) 74,225 1,546,849
-----------
ELECTRIC-INTEGRATED (3.8%)
American Electric Power Co.,
Inc., 8.75% (c) 16,000 450,240
Constellation Energy Group, Inc.,
Series A, 8.63% 23,000 591,100
Entergy Arkansas, Inc., 6.00% (c) 45,600 1,144,104
SCANA Corp., 7.70% (c) 6,000 158,760
Xcel Energy, Inc., 7.60% (c) 33,000 880,770
-----------
3,224,974
-----------
FINANCE-CONSUMER LOANS (0.7%)
HSBC Finance Corp., 6.88% (c) 23,650 577,770
-----------
FINANCE-CREDIT CARD (1.1%)
MBNA Capital, Series D, 8.13% 37,800 916,272
-----------
FINANCE-INVESTMENT BANKER/BROKER (2.7%)
Credit Suisse, Ltd., 7.90% 41,000 1,056,570
Goldman Sachs Group, Inc. (The),
Series A, 3.75% (a)(c) 40,000 845,200
Merrill Lynch Preferred Capital
Trust III, 7.00% (c) 9,800 206,584
Morgan Stanley Capital Trust VIII,
6.45% (c) 10,800 235,764
-----------
2,344,118
-----------
FINANCE-MORTGAGE LOAN/BANKER (0.6%)
Countrywide Capital IV, 6.75% (c) 26,500 549,875
-----------
INVESTMENT MANAGMENT/ADVISOR SERVICES (1.5%)
Ameriprise Financial, Inc., 7.75% (c) 17,500 444,500
Deutsche Bank Contingent Capital
Trust III, 7.60% (c) 36,000 875,160
-----------
1,319,660
-----------
LIFE & HEALTH INSURANCE (0.4%)
AAG Holding Co., Inc., 7.25% (c) 15,200 342,608
-----------
MONEY CENTER BANKS (1.2%)
Santander Finance Preferred SA
Unipersonal, Series 6, 4.00% (a)(c) 50,600 999,350
-----------
MULTI-LINE INSURANCE (4.5%)
Aegon NV, Series 1, 4.00% (a)(c) 51,900 922,263
ING Groep NV, 7.20% (c) 41,200 816,172
ING Groep NV, 8.50% 20,000 457,200
MetLife, Inc., Series A, 4.00% (a)(c) 40,000 922,000
MetLife, Inc., Series B, 6.50% (c) 30,000 716,400
-----------
3,834,035
-----------
REAL ESTATE (0.3%)
Public Storage, Series L, 6.75% (c) 10,000 231,600
-----------
REAL ESTATE INVESTMENT TRUSTS (6.0%)
CBL & Associates Properties, Inc.,
Series D, 7.38% (c) 20,500 411,025
Duke Realty Corp., Series L, 6.60% (c) 30,000 608,400
Continued
59
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
----------- ------------
PREFERRED STOCKS, CONTINUED
REAL ESTATE INVESTMENT TRUSTS, CONTINUED
Duke Realty Corp., Series M, 6.95% (c) 10,000 $ 211,400
Harris Preferred Capital Corp.,
Series A, 7.38% 31,800 757,158
HRPT Properties Trust,
Series B, 8.75% (c) 13,358 326,202
Public Storage, Series M, 6.63% (c) 40,000 912,800
Vornado Realty L.P., 7.88% 48,775 1,211,571
Wachovia Preferred Funding Corp.,
Series A, 7.25% 29,400 672,966
------------
5,111,522
------------
REINSURANCE (0.6%)
RenaissanceRe Holdings, Ltd.,
Series D, 6.60% (c) 22,861 494,712
------------
S&L/THRIFTS-SOUTHERN U.S. (0.2%)
BBC Capital Trust II, 8.50% (i) 28,000 194,600
------------
SOVEREIGN AGENCY (0.5%)
Fannie Mae, 7.63% (i) 40,000 38,000
Fannie Mae, 8.25% (i) 40,000 44,000
Fannie Mae, 8.25% (a)(i) 160,000 176,000
Freddie Mac, 5.00% (i) 20,000 29,000
Freddie Mac, 5.10% (c)(i) 10,000 15,500
Freddie Mac, 5.70% (i) 25,500 38,250
Freddie Mac, 8.38% (a)(i) 90,000 96,300
------------
437,050
------------
SPECIAL PURPOSE ENTITY (2.2%)
Corporate-Backed Trust
Certificates, Series AIG, 6.13% 60,000 953,400
Corporate-Backed Trust
Certificates, Series HSBC, 6.25% (c) 24,229 510,263
CORTS Trust for Sherwin-Williams,
Series III, 7.25% 17,600 442,640
------------
1,906,303
------------
SUPER-REGIONAL BANKS-U.S. (2.5%)
US Bancorp, Series B, 3.50% (a)(c) 20,000 409,000
USB Capital XII, 6.30% (c) 40,000 913,600
Wells Fargo Capital XII, 7.88% 30,000 774,300
------------
2,096,900
------------
TELEPHONE-INTEGRATED (1.2%)
Telephone and Data Systems, Inc.,
Series A, 7.60% 41,711 1,001,064
------------
TELEVISION (0.7%)
CBS Corp., 7.25% (c) 26,000 612,300
------------
TOTAL PREFERRED STOCKS 34,118,415
------------
INVESTMENTS IN AFFILIATES (5.7%)
Fifth Third Institutional Money
Market Fund (d) 4,886,599 4,886,599
------------
TOTAL INVESTMENTS IN AFFILIATES 4,886,599
------------
TOTAL INVESTMENTS (COST $109,898,128) - 113.6% 97,133,266
LIABILITIES IN EXCESS OF OTHER ASSETS - (13.6)% (11,682,494)
------------
NET ASSETS - 100.0% $ 85,450,772
============
NOTES TO SCHEDULE OF INVESTMENTS
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to
resale to institutional investors. The Fund's advisor has deemed this
security to be liquid based upon procedures approved by the Board of
Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) All or part of this security has been designated as collateral for futures
contracts and forward currency contracts.
(f) Perpetual Maturity. Callable any time after first call date. Maturity date
is next call date.
(g) Illiquid Securities.
(h) Represents investments of cash collateral received in connection with
securities lending.
(i) Defaulted Securities.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
ADR - American Depositary Receipt
BRL - Brazilian Real
CMBS - Commercial Mortgage-Backed Security
CMO - Collateralized Mortgage Obligation
CORTS - Corporate-Backed Trust Security
WL - Whole Loan
At January 31, 2010, Strategic Income's investments were in the following
countries:
COUNTRY
- -----------------------------------------------------------
Bermuda 0.5%
Brazil 2.2%
Canada 0.6%
Cayman Islands 0.6%
Great Britain 2.5%
Luxembourg 0.9%
Netherlands 2.3%
Russia 0.1%
South Korea 0.5%
Spain 1.0%
United States 88.8%
-----
TOTAL 100.0%
=====
See notes to schedules of investments
and notes to financial statements.
60
LIFEMODEL AGGRESSIVE(SM)
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
-------- ------------
INVESTMENTS IN AFFILIATES (a) (100%)
Fifth Third All Cap Value Fund 655,528 $ 9,006,952
Fifth Third Disciplined Large Cap Value Fund 1,601,370 14,972,811
Fifth Third High Yield Bond Fund 15,274 144,946
Fifth Third Institutional Money Market Fund 531,829 531,828
Fifth Third International Equity Fund 3,822,227 28,055,146
Fifth Third Mid Cap Growth Fund * 1,334,958 10,586,221
Fifth Third Quality Growth Fund 1,464,172 19,678,474
Fifth Third Short Term Bond Fund 173,581 1,649,022
Fifth Third Small Cap Growth Fund * 725,184 4,720,948
Fifth Third Small Cap Value Fund 273,093 4,219,285
Fifth Third Structured Large Cap Plus Fund 1,735,965 16,873,580
Fifth Third Total Return Bond Fund 351,335 3,091,745
------------
TOTAL INVESTMENTS IN AFFILIATES 113,530,958
------------
TOTAL INVESTMENTS (COST $136,836,725) - 100% 113,530,958
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.0%) (46,097)
------------
NET ASSETS - 100.0% $113,484,861
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments and notes to financial statements.
LIFEMODEL MODERATELY AGGRESSIVE(SM)
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
-------- ------------
INVESTMENTS IN AFFILIATES (a) (100.0%)
Fifth Third All Cap Value Fund 941,015 $ 12,929,550
Fifth Third Disciplined Large Cap Value Fund 2,373,338 22,190,706
Fifth Third High Yield Bond Fund 171,710 1,629,524
Fifth Third Institutional Money Market Fund 614,469 614,469
Fifth Third International Equity Fund 5,667,690 41,600,846
Fifth Third Mid Cap Growth Fund * 1,960,114 15,543,704
Fifth Third Quality Growth Fund 2,196,985 29,527,485
Fifth Third Short Term Bond Fund 1,895,374 18,006,051
Fifth Third Small Cap Growth Fund * 1,059,946 6,900,248
Fifth Third Small Cap Value Fund 390,026 6,025,897
Fifth Third Structured Large Cap Plus Fund 2,404,462 23,371,375
Fifth Third Total Return Bond Fund 3,990,903 35,119,947
------------
TOTAL INVESTMENTS IN AFFILIATES 213,459,802
------------
TOTAL INVESTMENTS (COST $245,832,436) - 100.0% 213,459,802
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.0)% (12,727)
------------
NET ASSETS - 100.0% $213,447,075
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments and notes to financial statements.
61
LIFEMODEL MODERATE(SM)
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
-------- ------------
INVESTMENTS IN AFFILIATES (a) (99.9%)
Fifth Third All Cap Value Fund 836,383 $ 11,491,907
Fifth Third Disciplined Large Cap Value Fund 2,117,667 19,800,182
Fifth Third High Yield Bond Fund 381,234 3,617,913
Fifth Third Institutional Money Market Fund 1,775,172 1,775,172
Fifth Third International Equity Fund 5,134,693 37,688,649
Fifth Third Mid Cap Growth Fund * 1,742,119 13,815,001
Fifth Third Quality Growth Fund 1,971,356 26,495,023
Fifth Third Short Term Bond Fund 4,203,175 39,930,162
Fifth Third Small Cap Growth Fund * 941,592 6,129,766
Fifth Third Small Cap Value Fund 337,209 5,209,876
Fifth Third Structured Large Cap Plus Fund 2,163,878 21,032,891
Fifth Third Total Return Bond Fund 8,864,796 78,010,206
------------
TOTAL INVESTMENTS IN AFFILIATES 264,996,748
------------
TOTAL INVESTMENTS (COST $296,408,896) - 99.9% 264,996,748
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 281,787
------------
NET ASSETS - 100.0% $265,278,535
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments and notes to financial statements.
LIFEMODEL MODERATELY CONSERVATIVE(SM)
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
-------- ------------
INVESTMENTS IN AFFILIATES (a) (100.0%)
Fifth Third All Cap Value Fund 158,982 $ 2,184,420
Fifth Third Disciplined Large Cap Value Fund 413,066 3,862,168
Fifth Third High Yield Bond Fund 106,262 1,008,424
Fifth Third Institutional Money Market Fund 897,288 897,288
Fifth Third International Equity Fund 776,759 5,701,413
Fifth Third Mid Cap Growth Fund * 325,605 2,582,051
Fifth Third Quality Growth Fund 377,811 5,077,786
Fifth Third Short Term Bond Fund 1,178,798 11,198,576
Fifth Third Small Cap Growth Fund * 177,556 1,155,888
Fifth Third Small Cap Value Fund 70,179 1,084,262
Fifth Third Structured Large Cap Plus Fund 462,655 4,497,005
Fifth Third Total Return Bond Fund 2,484,098 21,860,063
-----------
TOTAL INVESTMENTS IN AFFILIATES 61,109,344
-----------
TOTAL INVESTMENTS (COST $66,061,073) - 100.0% 61,109,344
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.0% 15,684
-----------
NET ASSETS - 100.0% $61,125,028
===========
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments and notes to financial statements.
62
LIFEMODEL CONSERVATIVE(SM)
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
-------- -----------
INVESTMENTS IN AFFILIATES (a) (99.7%)
Fifth Third All Cap Value Fund 61,553 $ 845,739
Fifth Third Disciplined Large Cap Value Fund 171,076 1,599,561
Fifth Third High Yield Bond Fund 101,541 963,622
Fifth Third Institutional Money Market Fund 162,830 162,830
Fifth Third International Equity Fund 257,479 1,889,898
Fifth Third Mid Cap Growth Fund * 125,941 998,713
Fifth Third Quality Growth Fund 151,355 2,034,208
Fifth Third Short Term Bond Fund 1,104,145 10,489,383
Fifth Third Small Cap Growth Fund * 68,111 443,404
Fifth Third Small Cap Value Fund 29,768 459,912
Fifth Third Structured Large Cap Plus Fund 146,849 1,427,368
Fifth Third Total Return Bond Fund 2,331,928 20,520,969
-----------
TOTAL INVESTMENTS IN AFFILIATES 41,835,607
-----------
TOTAL INVESTMENTS (COST $45,494,811) - 99.7% 41,835,607
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% 107,804
-----------
NET ASSETS - 100.0% $41,943,411
===========
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments and notes to financial statements.
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
CORPORATE BONDS (83.9%)
AEROSPACE (1.1%)
BE Aerospace, Inc., 8.50%, 7/1/18,
(Callable 7/1/13 @ 104.25) (c) $ 446,000 $ 467,185
TransDigm, Inc., 7.75%, 7/15/14,
(Callable 3/1/10 @ 105.813) (b) 38,000 38,380
-----------
505,565
-----------
AUTOMOTIVE & AUTO PARTS (6.3%)
Asbury Automotive Group, Inc.,
7.63%, 3/15/17, (Callable 3/15/12 @ 103.813) (e) 18,000 17,190
Asbury Automotive Group, Inc.,
8.00%, 3/15/14, (Callable 3/1/10 @ 104) 750,000 751,946
Ford Motor Credit Co. LLC,
8.00%, 12/15/16 (c) 601,000 604,563
Ford Motor Credit Co. LLC,
8.13%, 1/15/20 180,000 181,211
GMAC, Inc., 6.63%, 5/15/12 (b) 474,000 470,445
Goodyear Tire & Rubber Co. (The),
10.50%, 5/15/16, (Callable
5/15/12 @ 107.875) 154,000 167,090
Navistar International Corp.,
8.25%, 11/1/21, (Callable 11/1/14 @ 104.125) 265,000 267,650
Penske Auto Group, Inc.,
7.75%, 12/15/16, (Callable 12/15/11 @ 103.875) 548,000 527,450
-----------
2,987,545
-----------
BROADCASTING (1.0%)
Fisher Communications, Inc., 8.63%,
9/15/14, (Callable 3/1/10 @ 104.3125) 504,000 486,990
-----------
BUILDING MATERIALS (3.0%)
Gibraltar Industries, Inc., Series B,
8.00%, 12/1/15, (Callable
12/1/10 @ 104) 750,000 733,125
US Concrete, Inc., 8.38%, 4/1/14,
(Callable 3/1/10 @ 104.188) 1,000,000 695,000
-----------
1,428,125
-----------
CABLE/SATELLITE TV (2.2%)
Cequel Communications Holdings I
LLC and Cequel Capital Corp.,
8.63%, 11/15/17, (Callable
11/15/12 @ 106.469) (b)(c) 640,000 640,000
CSC Holdings LLC, 8.63%, 2/15/19 (b)(c) 366,000 398,940
-----------
1,038,940
-----------
CAPITAL GOODS (1.1%)
Belden, Inc., 7.00%, 3/15/17,
(Callable 3/15/12 @ 103.5) 110,000 106,975
General Cable Corp., 7.13%, 4/1/17,
(Callable 4/1/12 @ 103.563) (c) 18,000 17,685
Mueller Water Products, Inc., 7.38%,
6/1/12 @ 103.688) (c) 460,000 414,000
-----------
538,660
-----------
Continued
63
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
CORPORATE BONDS, CONTINUED
CHEMICALS (0.6%)
Koppers, Inc., 7.88%, 12/1/19,
(Callable 12/1/14 @ 103.938) (b) $ 296,000 $ 301,920
-----------
CONSUMER PRODUCTS (4.2%)
Jarden Corp., 7.50%, 5/1/17,
(Callable 5/1/12 @ 103.75) 598,000 600,990
Scotts Miracle-Gro Co. (The), 7.25%,
1/15/18, (Callable 1/15/14 @ 103.625) 104,000 105,820
Sealy Mattress Co., 8.25%, 6/15/14,
(Callable 3/1/10 @ 104.125) (c) 630,000 626,850
Sealy Mattress Co., 10.88%, 4/15/16,
(Callable 4/15/12 @ 108.156) (b) 38,000 42,560
Visant Holding Corp., 8.75%, 12/1/13,
(Callable 3/1/10 @ 104.375) 577,000 591,425
-----------
1,967,645
-----------
CONTAINERS (1.7%)
Reynolds Group Issuer, Inc./
Reynolds Group Issuer, LLC, 7.75%,
10/15/16, (Callable
10/15/12 @ 103.875) (b) 60,000 60,450
Solo Cup Co., 8.50%, 2/15/14,
(Callable 3/1/10 @ 102.833) (c) 750,000 723,750
-----------
784,200
-----------
ENERGY (12.0%)
Atlas Energy Operating Co. LLC/
Atlas Energy Finance Corp., 12.13%,
8/1/17, (Callable 8/1/13 @ 106.063) 98,000 110,740
Basic Energy Services, Inc., 7.13%,
4/15/16, (Callable 4/15/11 @ 103.563) 750,000 645,000
Basic Energy Services, Inc.,
11.63%, 8/1/14, (Callable
2/1/12 @ 105.813) (b)(c) 500,000 542,500
Berry Petroleum Co., 8.25%, 11/1/16,
(Callable 11/1/11 @ 104.125) (c) 926,000 923,685
Chesapeake Energy Corp., 6.50%,
8/15/17 (c) 527,000 504,602
Chesapeake Energy Corp., 9.50%,
2/15/15 246,000 268,140
Dresser-Rand Group, Inc., 7.38%,
11/1/14, (Callable 3/1/10 @ 103.688) 350,000 346,500
Forest Oil Corp., 7.25%, 6/15/19,
(Callable 6/15/12 @ 103.625) (c) 12,000 12,060
Helix Energy Solutions Group, Inc.,
9.50%, 1/15/16, (Callable
1/15/12 @ 104.75) (b) 356,000 364,900
Hilcorp Energy I L.P./Hilcorp Finance
Co., 7.75%, 11/1/15, (Callable
11/1/10 @ 103.875) (b) 506,000 508,530
Hilcorp Energy I L.P./Hilcorp Finance
Co., 9.00%, 6/1/16, (Callable
6/1/11 @ 104.5) (b) 87,000 90,263
Petrohawk Energy Corp., 7.88%,
6/1/15, (Callable 6/1/12 @ 103.938) (c) 250,000 256,250
Petrohawk Energy Corp., 10.50%,
8/1/14, (Callable 2/1/12 @ 110.5) (b) 292,000 322,660
United Refining Co., Series 2,
10.50%, 8/15/12, (Callable
3/1/10 @ 102.625) (c) 814,000 785,510
-----------
5,681,340
-----------
ENVIRONMENTAL (0.4%)
Clean Harbors, Inc., 7.63%, 8/15/16,
(Callable 8/15/12 @ 103.813) (b) 202,000 205,030
-----------
FOOD RETAIL (0.8%)
Ingles Markets, Inc., 8.88%, 5/15/17,
(Callable 5/15/13 @ 104.438) (b) 382,000 395,848
-----------
HEALTHCARE (10.5%)
Accellent, Inc., 8.38%, 2/1/17,
(Callable 2/1/13 @ 106.281) (b) 244,000 246,440
Apria Healthcare Group, Inc.,
11.25%, 11/1/14, (Callable
11/1/11 @ 105.625) (b) 564,000 603,480
Axcan Intermediate Holdings, Inc.,
9.25%, 3/1/15, (Callable
3/1/11 @ 106.938) 500,000 532,500
CHS/Community Health Systems, Inc.,
8.88%, 7/15/15, (Callable
7/15/11 @ 104.438) (c) 258,000 266,707
DaVita, Inc., 6.63%, 3/15/13,
(Callable 3/15/10 @ 101.656) 458,000 459,145
DaVita, Inc., 7.25%, 3/15/15,
(Callable 3/15/10 @ 103.625) 73,000 73,091
HCA, Inc., 5.75%, 3/15/14 381,000 349,568
HCA, Inc., 9.63%, 11/15/16, (Callable
11/15/11 @ 104.813) (c)(g) 394,000 417,640
Invacare Corp., 9.75%, 2/15/15,
(Callable 2/15/11 @ 104.875) 637,000 679,998
Service Corp. International, 8.00%,
11/15/21 (c) 290,000 290,362
Stewart Enterprises, Inc.,
6.25%, 2/15/13, (Callable
3/1/10 @ 101.563) (c) 250,000 244,375
Stonemor Operating LLC/Cornerstone
Family Services/Osiris Holdings,
10.25%, 12/1/17, (Callable
12/1/13 @ 105.13) (b) 469,000 492,450
Talecris Biotherapeutics Holdings
Corp., 7.75%, 11/15/16, (Callable
11/15/12 @ 103.875) (b) 60,000 61,200
Universal Hospital Services, Inc.,
3.86%, 6/1/15, (Callable
3/1/10 @ 102) (a) 275,000 235,125
-----------
4,952,081
-----------
HOMEBUILDERS/REAL ESTATE (3.1%)
Beazer Homes USA, Inc.,
6.88%, 7/15/15, (Callable
7/15/10 @ 103.438) 750,000 628,125
M/I Homes, Inc., 6.88%, 4/1/12 850,000 824,500
-----------
1,452,625
-----------
HOTELS & MOTELS (0.5%)
Wyndham Worldwide Corp.,
9.88%, 5/1/14 225,000 255,316
-----------
HOUSEWARES (0.4%)
Libbey Glass, Inc., W/I, 10.00%,
2/15/15, (Callable 2/15/12 @ 105) (b) 197,000 196,358
-----------
Continued
64
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
CORPORATE BONDS, CONTINUED
MEDIA (2.7%)
Clear Channel Worldwide Holdings,
Inc., 9.25%, 12/15/17, (Callable
12/15/12 @ 106.9375) (b) $ 206,000 $ 212,090
Lamar Media Corp., 6.63%, 8/15/15,
(Callable 8/15/10 @ 103.313) 70,000 67,375
Lamar Media Corp., 9.75%, 4/1/14 (c) 385,000 421,575
Lamar Media Corp., Series B,
6.63%, 8/15/15, (Callable
8/15/10 @ 103.313) 209,000 199,072
WMG Acquisition Corp.,
7.38%, 4/15/14, (Callable
3/1/10 @ 103.688) (c) 362,000 351,140
-----------
1,251,252
-----------
METALS & MINING (0.7%)
Cloud Peak Energy Resources LLC/
Cloud Peak Energy Finance Corp.,
8.50%, 12/15/19, (Callable
12/15/14 @ 104.25) (b) 304,000 316,160
-----------
PAPER (1.9%)
Buckeye Technologies, Inc., 8.50%,
10/1/13, (Callable 3/1/10 @ 102.833) 206,000 209,605
Cellu Tissue Holdings, Inc., 11.50%,
6/1/14, (Callable 6/1/11 @ 111.5) 325,000 360,750
Cenveo Corp., 7.88%, 12/1/13,
(Callable 3/1/10 @ 102.625) 362,000 345,710
-----------
916,065
-----------
PUBLISHING/PRINTING (1.1%)
Valassis Communications, Inc., 8.25%,
3/1/15, (Callable 3/1/11 @ 104.125) 521,000 518,395
-----------
REAL ESTATE INVESTMENT TRUSTS (1.5%)
PPF Funding, Inc., 5.63%, 1/15/17 (b) 400,000 351,955
PPF Funding, Inc., 5.70%, 4/15/17 (b) 409,000 359,712
-----------
711,667
-----------
RETAIL (1.3%)
Ace Hardware Corp., 9.13%, 6/1/16,
(Callable 6/1/12 @ 104.563) (b) 157,000 167,990
QVC, Inc., 7.50%, 10/1/19, (Callable
10/1/14 @ 103.75) (b) 419,000 429,475
-----------
597,465
-----------
SERVICES (3.6%)
ARAMARK Corp., 8.50%, 2/1/15,
(Callable 2/1/11 @ 104.25) (c) 512,000 513,280
Ashtead Capital, Inc., 9.00%, 8/15/16,
(Callable 8/15/11 @ 104.5) (b) 329,000 332,290
Iron Mountain, Inc., 8.00%, 6/15/20,
(Callable 6/15/13 @ 104) 100,000 101,500
Iron Mountain, Inc., 8.38%, 8/15/21,
(Callable 8/15/14 @ 104.188) 487,000 505,263
RSC Equipment Rental, Inc., 10.00%,
7/15/17, (Callable 7/15/13 @ 105) (b) 119,000 129,412
United Rentals North America, Inc.,
10.88%, 6/15/16, (Callable
6/15/13 @ 105.438) (b)(c) 125,000 136,406
-----------
1,718,151
-----------
TECHNOLOGY (3.2%)
First Data Corp., 9.88%, 9/24/15 (b) 87,000 77,213
First Data Corp., 9.88%, 9/24/15,
(Callable 9/30/11 @ 104.938) (c) 756,000 674,730
SunGard Data Systems, Inc., 9.13%,
8/15/13, (Callable 3/1/10 @ 104.563) 750,000 763,125
-----------
1,515,068
-----------
TELECOMMUNICATIONS (7.7%)
Cincinnati Bell, Inc., 7.00%,
2/15/15, (Callable 3/1/10 @ 103.5) 237,000 230,482
Cricket Communications, Inc., 10.00%,
7/15/15, (Callable 7/15/12 @ 105) 360,000 360,900
Crown Castle International Corp.,
9.00%, 1/15/15, (Callable
1/15/13 @ 105.625) (c) 62,000 67,192
Frontier Communications Corp.,
8.13%, 10/1/18 (c) 180,000 181,350
GCI, Inc., 7.25%, 2/15/14, (Callable
3/1/10 @ 102.417) 472,000 472,000
MetroPCS Wireless, Inc.,
9.25%, 11/1/14, (Callable
11/1/10 @ 104.625) (b)(c) 358,000 360,238
Nextel Communications, Inc., Series
E, 6.88%, 10/31/13, (Callable
3/1/10 @ 101.719) 277,000 258,302
Qwest Communications International,
Inc., 7.50%, 2/15/14, (Callable
3/1/10 @ 102.5) 150,000 150,938
Qwest Communications International,
Inc., 8.00%, 10/1/15, (Callable
10/1/12 @ 104) (b)(c) 179,000 185,265
Sprint Capital Corp., 8.75%,
3/15/32 (c) 277,000 249,300
Sprint Nextel Corp., 8.38%, 8/15/17 (c) 599,000 584,025
Viasat, Inc., 8.88%, 9/15/16,
(Callable 9/15/12 @ 106.656) (b)(c) 284,000 290,390
Windstream Corp., 8.13%, 8/1/13 181,000 190,050
Windstream Corp., 8.63%, 8/1/16,
(Callable 8/1/11 @ 104.313) (c) 71,000 72,864
-----------
3,653,296
-----------
TRANSPORTATION EX AIR/RAIL (0.6%)
Overseas Shipholding Group, Inc.,
8.75%, 12/1/13 280,000 292,600
-----------
UTILITIES (10.7%)
AES Corp. (The), 8.00%, 10/15/17 201,000 202,508
Atlas Pipeline Partners L.P.,
8.75%, 6/15/18, (Callable
6/15/13 @ 104.375) (c) 328,000 303,400
Copano Energy LLC/Copano Energy
Finance Corp., 8.13%, 3/1/16,
(Callable 3/1/11 @ 104.0625) 90,000 90,675
Edison Mission Energy, 7.00%,
5/15/17 (c) 251,000 198,290
Edison Mission Energy, 7.50%,
6/15/13 (c) 165,000 156,750
Enterprise Products Operating, LLC,
7.00%, 6/1/67, (Callable
6/1/17 @ 100)(a) 550,000 500,500
Continued
65
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
CORPORATE BONDS, CONTINUED
UTILITIES, CONTINUED
Holly Energy Partners L.P., 6.25%,
3/1/15, (Callable 3/1/10 @ 103.125) $ 500,000 $ 482,500
MarkWest Energy Partners L.P./
MarkWest Energy Finance Corp.,
Series B, 8.75%, 4/15/18, (Callable
4/15/13 @ 104.375) 83,000 86,320
North American Energy Alliance LLC/
North American Energy Alliance
Finance Corp., 10.88%, 6/1/16,
(Callable 6/1/13 @ 105.438) (b) 101,000 108,575
PNM Resources, Inc., 9.25%, 5/15/15 430,000 461,712
Puget Sound Energy, Inc., Series A,
6.97%, 6/1/67, (Callable
6/1/17 @ 100) (a) 175,000 156,156
Regency Energy Partners L.P./Regency
Energy Finance Corp., 9.38%, 6/1/16,
(Callable 6/1/13 @ 104.688) (b) 750,000 812,813
RRI Energy, Inc., 7.63%, 6/15/14 (c) 85,000 81,600
Sabine Pass Liquified Natural Gas
L.P., 7.25%, 11/30/13 (c) 734,000 686,290
Targa Resources Partners L.P./Targa
Resources Partners Finance Corp.,
8.25%, 7/1/16, (Callable
7/1/12 @ 104.125) (b) 403,000 409,045
Targa Resources Partners L.P./Targa
Resources Partners Finance Corp.,
11.25%, 7/15/17, (Callable
7/15/13 @ 105.625) (b) 300,000 336,000
-----------
5,073,134
-----------
TOTAL CORPORATE BONDS 39,741,441
-----------
FOREIGN BONDS (17.1%)
CABLE/SATELLITE TV (0.7%)
Videotron Ltee, 9.13%, 4/15/18,
(Callable 4/15/13 @ 104.563) (c) 300,000 324,000
Virgin Media Finance PLC, 8.75%,
4/15/14, (Callable
3/1/10 @ 104.375) (c) 15,000 15,412
-----------
339,412
-----------
ENERGY (1.2%)
Connacher Oil and Gas, Ltd., 10.25%,
12/15/15, (Callable
12/15/11 @ 105.125) (b) 615,000 590,400
-----------
MEDIA (1.3%)
Quebecor Media, Inc., 7.75%, 3/15/16,
(Callable 3/15/11 @ 103.875)(e) 402,000 402,000
Quebecor Media, Inc., 7.75%, 3/15/16,
(Callable 3/15/11 @ 103.875) 209,000 209,000
-----------
611,000
-----------
METALS & MINING (1.2%)
Novelis, Inc., 7.25%, 2/15/15,
(Callable 3/1/10 @ 103.625) 600,000 568,500
-----------
PAPER (0.8%)
Cascades, Inc., 7.75%, 12/15/17,
(Callable 12/15/13 @ 103.875) (b) 349,000 355,980
PE Paper Escrow GmbH, 12.00%,
8/1/14, (Callable 8/1/12 @ 106) (b)(c) 24,000 26,520
-----------
382,500
-----------
PAPER & RELATED PRODUCTS (0.4%)
Cascades, Inc., 7.88%, 1/15/20,
(Callable 1/15/15 @ 103.938) (b) 200,000 203,500
-----------
SERVICES (0.3%)
Ashtead Holdings PLC, 8.63%, 8/1/15,
(Callable 8/1/10 @ 104.313)(b)(e) 151,000 151,000
-----------
TECHNOLOGY (1.5%)
Sensata Technologies BV, 8.00%,
5/1/14, (Callable 5/1/10 @ 104) 714,000 705,075
-----------
TELECOMMUNICATIONS (3.7%)
Intelsat Jackson Holdings, Ltd.,
8.50%, 11/1/19, (Callable
11/1/14 @ 104.25) (b) 1,000,000 1,022,500
Wind Acquisition Finance SA,
11.75%, 7/15/17, (Callable
7/15/13 @ 105.875) (b)(c) 650,000 706,875
-----------
1,729,375
-----------
TRANSPORTATION EX AIR/RAIL (2.1%)
Stena AB, 7.00%, 12/1/16, (Callable
3/1/10 @ 103.5)(e) 250,000 232,812
Stena AB, 7.50%, 11/1/13, (Callable
11/1/10 @ 101.25) 750,000 737,813
-----------
970,625
-----------
UTILITIES (3.9%)
Gibson Energy ULC/GEP Midstream
Finance Corp., 11.75%, 5/27/14,
(Callable 6/1/12 @ 105.875) (b) 926,000 1,007,025
Intergen NV, 9.00%, 6/30/17,
(Callable 6/30/12 @ 104.5) (b) 800,000 816,000
-----------
1,823,025
-----------
TOTAL FOREIGN BONDS 8,074,412
-----------
SHARES
-----------
INVESTMENT COMPANIES (27.7%)
State Street Navigator Securities
Lending Portfolio (f) 13,117,195 13,117,195
-----------
TOTAL INVESTMENT COMPANIES 13,117,195
-----------
Continued
66
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHARES VALUE
----------- -----------
PREFERRED STOCKS (0.3%)
AUTOMOTIVE & AUTO PARTS (0.3%)
GMAC, Inc., 7.00% (b)(c) 200 $ 142,938
------------
TOTAL PREFERRED STOCKS 142,938
------------
INVESTMENTS IN AFFILIATES (0.0%)
Fifth Third Institutional Money Market Fund (d) 38 38
------------
TOTAL INVESTMENTS IN AFFILIATES 38
------------
TOTAL INVESTMENTS (COST $59,868,386) - 129.0% 61,076,024
LIABILITIES IN EXCESS OF OTHER ASSETS - (29.0)% (13,716,197)
------------
NET ASSETS - 100.0% $ 47,359,827
============
NOTES TO SCHEDULE OF INVESTMENTS
(a) Variable rate security. Rate presented represents rate in effect at January
31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) All or part of this security has been designated as collateral for when
issued securities.
(f) Represents investments of cash collateral received in connection with
securities lending.
(g) PIK (payment-in-kind) security. Bond that pays interest in the form of
additional bonds.
The following abbreviation is used in the Schedule of Investments: W/I - When
Issued
At January 31, 2010, High Yield Bond's Investments were in the following
countries:
COUNTRY
- ---------------------------------------------------------------------------
Austria --^
Bermuda 1.7%
Canada 4.3%
Great Britain 0.3%
Luxembourg 1.2%
Netherlands 2.5%
Sweden 1.6%
United States 88.4%
------
TOTAL 100.0%
------
- -------
^ Amount is less than 0.05%.
See notes to schedules of investments and notes to financial statements.
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
ASSET-BACKED SECURITIES (6.9%)
AUTOMOBILE ABS OTHER (1.1%)
Hyundai Auto Receivables Trust,
Series 2006-B, Class C, 5.25%,
5/15/13 (g) $ 1,454,963 $ 1,481,466
Truck Retail Installment Paper Corp.,
Series 2005-1A, Class A, 0.50%,
12/15/16 (a)(b)(g) 1,950,000 1,938,115
-----------
3,419,581
-----------
AUTOMOBILES SEQUENTIAL (0.2%)
Prestige Auto Receivables Trust,
Series 2006-1A, Class A2, 5.25%,
6/17/13 (b) 637,266 649,498
-----------
HOME EQUITY OTHER (1.5%)
Flagstar Home Equity Loan Trust,
Series 2007-1A, Class AF2, 5.77%,
1/25/35 (b) 1,403,062 1,333,431
New Century Home Equity Loan Trust,
Series 2005-A, Class A5W, 5.29%,
8/25/35 4,000,000 1,418,119
Renaissance Home Equity Loan Trust,
Series 2005-2, Class AF4, 4.93%,
8/25/35 2,620,000 2,137,254
-----------
4,888,804
-----------
HOME EQUITY SEQUENTIAL (0.4%)
Irwin Home Equity Corp., Series
2006-3, Class 2A2, 5.83%, 9/25/37 (b) 1,225,000 853,507
Residential Funding Mortgage
Securities II, Inc., Series 2006-HI3,
Class A4, 6.31%, 2/25/36 (i) 1,500,000 445,047
-----------
1,298,554
-----------
MANUFACTURED HOUSING ABS OTHER (0.6%)
Mid-State Trust, Series 2005-1, Class
M2, 7.08%, 1/15/40 2,482,505 2,130,357
-----------
MANUFACTURED HOUSING SEQUENTIAL (0.9%)
Vanderbilt Acquisition Loan Trust,
Series 2002-1, Class A4, 6.57%,
5/7/27 (a) 2,840,000 2,915,109
-----------
OTHER ABS (2.2%)
Aerco, Ltd., Series 2A, Class A3,
0.69%, 7/15/25 (a)(b)(g)(i) 1,470,509 801,427
First Franklin Mortgage Loan Asset
Backed Certificates, Series 2004-FF11,
Class 1A2, 0.58%, 1/25/35 (a) 51,824 44,205
First Franklin Mortgage Loan Asset
Backed Certificates, Series 2005-FFA,
Class M3, 6.02%, 3/25/25 600,000 364,733
Renaissance Home Equity Loan Trust,
Series 2006-1, Class AF4, 6.01%,
5/25/36 1,645,000 978,935
Residential Asset Mortgage Products,
Inc., Series 2002-RZ3, Class M1,
5.78%, 8/25/32 (a) 181,579 179,296
Residential Asset Mortgage Products,
Inc., Series 2003-RZ5, Class A7,
4.97%, 9/25/33 2,393,026 2,350,368
Continued
67
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
ASSET-BACKED SECURITIES, CONTINUED OTHER ABS, CONTINUEDS
Small Business Administration,
Series 2005-P10B, Class 1,
4.94%, 8/10/15 (g) $ 2,049,080 $ 2,171,805
------------
6,890,769
------------
TOTAL ASSET-BACKED SECURITIES 22,192,672
------------
CORPORATE BONDS (18.1%)
AEROSPACE & DEFENSE (0.4%)
Boeing Co. (The), 3.75%, 11/20/16 1,450,000 1,477,130
------------
BEVERAGES-NON ALCOHOLIC (0.5%)
Coca-Cola Enterprises, Inc., 7.38%,
3/3/14 1,275,000 1,498,017
------------
CABLE TV (0.7%)
Comcast Corp., 5.70%, 7/1/19 (c) 1,000,000 1,057,451
Time Warner Cable, Inc., 5.85%, 5/1/17 1,250,000 1,336,585
------------
2,394,036
------------
CHEMICALS-DIVERSIFIED (0.7%)
E.I. du Pont de Nemours & Co.,
3.25%, 1/15/15 (c) 2,340,000 2,354,704
------------
COMMERCIAL BANKS-CENTRAL U.S. (0.3%)
SunTrust Bank, 3.00%, 11/16/11 (c) 1,000,000 1,037,127
------------
COMMERCIAL BANKS-EASTERN U.S. (0.3%)
Manufacturers & Traders Trust Co.,
1.75%, 4/1/13, (Callable
4/1/10 @ 100) (a) 1,075,000 996,324
------------
COMMERCIAL BANKS NON-U.S. (0.4%)
Westpac Capital Trust IV, 5.26%,
3/31/16 (a)(b)(h)(i) 1,445,000 1,199,856
------------
COMMERCIAL BANKS-SOUTHERN U.S. (0.8%)
BB&T Corp., 5.25%, 11/1/19 1,500,000 1,516,941
Wachovia Bank NA, 5.85%, 2/1/37 (g) 1,000,000 956,902
------------
2,473,843
------------
COMPUTERS (0.4%)
International Business Machines
Corp., 5.88%, 11/29/32 (c) 1,250,000 1,334,075
------------
CONSUMER PRODUCTS-MISCELLANEOUS (0.4%)
Clorox Co., 3.55%, 11/1/15 1,215,000 1,220,373
------------
DIVERSIFIED FINANCIAL SERVICES (0.9%)
General Electric Capital Corp.,
4.80%, 5/1/13 2,725,000 2,887,058
------------
ELECTRIC-INTEGRATED (1.8%)
Alabama Power Capital Trust V, 3.35%,
10/1/42, (Callable 4/1/10 @ 100) (a) 874,000 874,000
Florida Power & Light Co., 5.96%,
4/1/39 870,000 909,789
Southern Power Co., Series B, 6.25%,
7/15/12 (c) 2,260,000 2,500,534
Virginia Electric and Power Co.,
6.35%, 11/30/37 1,450,000 1,596,166
------------
5,880,489
------------
ENTERPRISE SOFTWARE/SERVICES (0.3%)
CA, Inc., 5.38%, 12/1/19 1,000,000 1,024,430
------------
FINANCE-CONSUMER LOANS (0.6%)
John Deere Capital Corp., 7.00%,
3/15/12 (c) 1,625,000 1,813,207
------------
FINANCE-INVESTMENT BANKER/BROKER (2.2%)
Citigroup, Inc., 6.13%, 11/21/17 (c) 2,000,000 2,022,702
Goldman Sachs Group, Inc. (The),
6.13%, 2/15/33 (c) 1,100,000 1,097,948
JPMorgan Chase & Co., 6.00%,
1/15/18 (c) 1,265,000 1,366,739
JPMorgan Chase Capital XXI, Series U,
1.23%, 2/2/37, (Callable
2/2/12 @ 100) (a) 1,000,000 698,196
Merrill Lynch & Co., Inc., 5.70%,
5/2/17 (c) 1,000,000 999,126
Morgan Stanley, 5.75%, 10/18/16 (c) 780,000 825,003
------------
7,009,714
------------
FOOD-MISC/DIVERSIFIED (0.4%)
General Mills, Inc., 5.65%, 2/15/19 1,250,000 1,343,232
------------
FOOD-RETAIL (0.4%)
Kroger Co. (The), 7.50%, 1/15/14 1,000,000 1,160,224
------------
LIFE/HEALTH INSURANCE (0.4%)
Prudential Financial, Inc., 3.88%,
1/14/15 (c) 1,250,000 1,259,928
------------
MONEY CENTER BANKS (0.3%)
UBS Preferred Funding Trust I, 8.62%,
10/1/10 (a)(c)(h) 925,000 893,306
------------
MULTI-LINE INSURANCE (0.4%)
MetLife, Inc., 6.75%, 6/1/16 1,000,000 1,144,881
------------
MULTIMEDIA (0.6%)
Walt Disney Co. (The), 4.70%,
12/1/12 (c) 1,800,000 1,953,454
------------
NETWORKING PRODUCTS (0.3%)
Cisco Systems, Inc., 4.95%, 2/15/19 (c) 1,000,000 1,039,862
------------
OIL REFINING & MARKETING (0.5%)
Premcor Refining Group, Inc. (The),
7.50%, 6/15/15, (Callable
3/1/10 @ 102.5) 1,500,000 1,535,004
------------
PIPELINES (0.4%)
Kinder Morgan Energy Partners L.P.,
5.63%, 2/15/15 (c) 1,250,000 1,366,625
------------
Continued
68
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
CORPORATE BONDS, CONTINUED
REAL ESTATE INVESTMENT TRUSTS (0.6%)
Simon Property Group L.P., 5.63%,
8/15/14 (c) $ 1,790,000 $ 1,893,512
------------
RETAIL-DISCOUNT (0.4%)
Target Corp., 5.38%, 5/1/17 1,150,000 1,229,962
------------
RETAIL-DRUG STORE (0.4%)
CVS Caremark Corp., 5.75%, 6/1/17 (c) 1,275,000 1,359,633
------------
SUPER-REGIONAL BANKS-U.S. (1.3%)
BAC Capital Trust XIII, 0.65%,
3/15/12 (a)(h) 2,000,000 1,254,074
Bank of America Corp., 5.63%,
10/14/16 (c) 2,665,000 2,764,325
------------
4,018,399
------------
TELEPHONE-INTEGRATED (0.5%)
AT&T, Inc., 6.30%, 1/15/38 (c) 1,450,000 1,481,145
------------
TRANSPORT-RAIL (0.5%)
Union Pacific Corp., 5.45%, 1/31/13 1,380,000 1,495,024
------------
TOTAL CORPORATE BONDS 57,774,574
------------
FOREIGN BONDS (3.6%)
COMMERCIAL BANKS-EASTERN U.S. (0.6%)
Credit Suisse, 5.30%, 8/13/19 2,000,000 2,056,072
------------
FINANCE-OTHER SERVICES (0.6%)
BP Capital Markets PLC, 3.88%,
3/10/15 (c) 1,765,000 1,843,255
------------
OIL COMPANY-EXPLORATION & PRODUCTION (0.7%)
Gazprom International SA, 7.20%,
2/1/20 (b) 2,099,645 2,162,634
------------
OIL COMPANY-INTEGRATED (0.4%)
Husky Energy, Inc., 5.90%, 6/15/14 1,360,000 1,497,525
------------
SOVEREIGN (1.3%)
Brazil, Federal Republic, Series F,
10.00%, 1/1/14 BRL 8,340,000 4,079,674
------------
TOTAL FOREIGN BONDS 11,639,160
------------
MORTGAGE-BACKED SECURITIES (20.3%)
AGENCY COLLATERAL OTHER (0.9%)
Restructured Assets Certificates,
Series 2006-9, Class P, 12.07%,
12/31/49 (b)(e)(i) $ 5,250,000 2,875,950
------------
CMBS OTHER (4.7%)
Bear Stearns Commercial Mortgage
Securities, Series 2004-T14, Class
A4, 5.20%, 1/12/41 (a) 2,000,000 2,047,653
GE Capital Commercial Mortgage Corp.,
Series 2000-1, Class A2, 6.50%,
1/15/33 2,327,855 2,386,636
Greenwich Capital Commercial Funding
Corp., Series 2002-C1, Class A4,
4.95%, 1/11/35 1,000,000 1,042,922
Greenwich Capital Commercial Funding
Corp., Series 2004-GG1, Class A5,
4.88%, 6/10/36 5,125,000 5,222,985
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 (g) 2,933,916 2,974,427
LB-UBS Commercial Mortgage Trust,
Series 2005-C3, Class A2, 4.55%,
7/15/30 266,211 267,470
Nomura Asset Securities Corp., Series
1998-D6, Class A2, 7.23%, 3/15/30 (a) 1,000,000 1,120,472
------------
15,062,565
------------
CMBS SUBORDINATED (4.0%)
GS Mortgage Securities Corp. II,
Series 2004-C1, Class B, 4.46%,
10/10/28 (a) 2,740,000 2,771,729
GS Mortgage Securities Corp. II,
Series 2004-C1, Class C, 4.52%,
10/10/28 (a) 4,093,000 4,146,047
Salomon Brothers Mortgage Securities
VII, Inc., Series 2002-KEY2, Class C,
5.05%, 3/18/36 (a) 1,417,000 1,399,044
SBA CMBS Trust, Series 2006-1A,
Class D, 5.85%, 11/15/36 (b) 3,100,000 3,196,875
SBA CMBS Trust, Series 2006-1A,
Class E, 6.17%, 11/15/36 (b) 1,350,000 1,395,563
------------
12,909,258
------------
WL COLLATERAL CMO MEZZANINE (0.0%)
Homebanc Mortgage Trust, Series
2004-1, Class 2M2, 1.96%, 8/25/29 (a) 320,549 65,773
------------
WL COLLATERAL CMO OTHER (5.1%)
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust, Series 2005-4,
Class A2, 5.05%, 9/25/35 (a) 378,914 374,133
Homebanc Mortgage Trust,
Series 2004-2, Class A2, 0.68%,
12/25/34 (a)(g) 1,088,422 529,308
Homebanc Mortgage Trust,
Series 2006-1, Class 1A1, 3.74%,
4/25/37 (a)(g) 392,058 249,953
JP Morgan Mortgage Trust,
Series 2005-A1, Class 2A1, 4.81%,
2/25/35 (a) 594,678 543,346
JP Morgan Mortgage Trust,
Series 2005-A2, Class 3A2, 4.87%,
4/25/35 (a) 3,000,000 2,640,395
JP Morgan Mortgage Trust,
Series 2005-A2, Class 7CB1, 4.86%,
4/25/35 (a) 1,963,789 1,889,508
JP Morgan Mortgage Trust,
Series 2005-A3, Class 7CA1, 4.82%,
6/25/35 (a) 1,511,361 1,266,415
JP Morgan Mortgage Trust,
Series 2006-A2, Class 3A2, 5.68%,
4/25/36 (a) 7,197,673 5,653,168
Continued
69
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
MORTGAGE-BACKED SECURITIES, CONTINUED
WL COLLATERAL CMO OTHER, CONTINUED
Morgan Stanley Mortgage Loan Trust,
Series 2004-4, Class 3A, 5.00%,
8/25/19 $ 1,338,074 $ 1,346,019
Residential Accredit Loans, Inc.,
Series 2004-QA1, Class A1, 0.50%,
3/25/34 (a)(g) 885,654 587,508
Structured Asset Securities Corp.,
Series 2004-21XS, Class 2A6B,
5.15%, 12/25/34 1,059,103 1,008,461
------------
16,088,214
------------
WL COLLATERAL CMO SEQUENTIAL (3.3%)
Countrywide Alternative Loan Trust,
Series 2005-J3, Class 3A1, 6.50%,
9/25/34 289,288 264,337
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-7,
Class 6A1, 5.25%, 10/25/19 1,073,015 1,092,967
JP Morgan Alternative Loan Trust,
Series 2005-S1, Class 1A2, 5.50%,
12/25/35 1,515,520 1,232,945
JP Morgan Mortgage Trust,
Series 2006-A4, Class 2A2, 5.79%,
6/25/36 (a) 487,433 412,025
JP Morgan Mortgage Trust,
Series 2006-A7, Class 3A2, 5.94%,
1/25/37 (a) 5,075,000 4,254,053
Wells Fargo Mortgage Backed
Securities Trust, Series 2003-N,
Class 2A3, 4.73%, 12/25/33 (a) 4,095,000 3,281,286
------------
10,537,613
------------
WL COLLATERAL PAC (0.3%)
Countrywide Alternative Loan Trust,
Series 2004-2CB, Class 1A1, 4.25%,
3/25/34 911,916 916,191
------------
WL COLLATERAL SUPPORT (2.0%)
Bear Stearns Alt-A Trust, Series 2005-9,
Class 21A2, 3.51%, 11/25/35 (a) 524,171 98,989
Chaseflex Trust, Series 2006-1,
Class A6, 6.29%, 6/25/36 (a) 4,996,662 2,779,237
JP Morgan Alternative Loan Trust,
Series 2006-S1, Class 1A18, 6.00%,
3/25/36 2,981,549 1,549,008
Nomura Asset Acceptance Corp.,
Series 2005-AR3, Class 3A2, 5.53%,
7/25/35 (a) 1,476,598 578,398
Nomura Asset Acceptance Corp.,
Series 2005-AR5, Class 2A2, 5.56%,
10/25/35 (a) 984,352 236,104
Nomura Asset Acceptance Corp.,
Series 2006-AF1, Class 3A2,
6.42%, 6/25/36 (a)(b)(k) 416,271 9,757
Wells Fargo Mortgage Backed
Securities Trust, Series 2005-AR7,
Class 2A2, 5.14%, 5/25/35 (a) 1,994,830 1,303,388
------------
6,554,881
------------
TOTAL MORTGAGE-BACKED SECURITIES 65,010,445
------------
U.S. GOVERNMENT AGENCIES (40.0%)
FANNIE MAE (22.5%)
0.48%, 8/25/44 (a) 691,639 657,337
0.53%, 4/25/36 (a)(g) 3,154,685 3,119,054
4.50%, 4/1/20 3,403,186 3,590,654
5.00%, 5/1/25 1,313,749 1,379,838
5.00%, 1/1/34 (g) 7,480,689 7,808,090
5.14%, 8/1/34 (a) 76,666 80,081
5.50%, 12/25/20 1,643,236 1,761,346
5.50%, 2/1/25 817,362 875,840
5.50%, 3/1/33 (g) 5,811,331 6,182,117
5.50%, 5/25/34 3,150,000 2,770,035
5.50%, 3/1/35 1,067,033 1,133,280
5.50%, 6/1/35 479,006 508,745
5.50%, 11/1/35 757,880 804,933
5.50%, 11/1/36 1,225,785 1,300,739
5.50%, 1/1/37 3,183,229 3,377,436
5.50%, 4/25/37 3,294,367 3,326,572
5.50%, 8/1/37 2,575,364 2,731,634
6.00%, 5/1/17 102,264 110,576
6.00%, 5/1/18 307,911 332,746
6.00%, 2/1/22 2,154,919 2,339,362
6.00%, 1/1/33 249,623 269,898
6.00%, 8/25/33 (a) 1,583,373 1,534,733
6.00%, 7/1/35 2,964,699 3,188,824
6.00%, 9/1/35 1,445,426 1,554,698
6.00%, 1/1/36 2,603,909 2,812,333
6.00%, 12/1/36 817,792 877,699
6.00%, 1/1/37 3,152,427 3,383,356
6.00%, 1/1/38 762,595 816,909
6.00%, 7/1/38 7,376,349 7,898,257
6.00%, 7/1/39 981,495 1,050,787
6.50%, 7/1/16 319,357 348,034
6.50%, 6/1/17 86,339 94,091
6.50%, 8/1/28 108,314 118,584
6.50%, 6/1/29 95,355 104,396
6.50%, 4/1/32 232,208 253,209
6.50%, 6/1/32 421,370 459,480
6.50%, 7/1/32 614,509 670,766
6.50%, 3/1/33 103,571 112,873
6.50%, 8/1/36 531,090 570,825
7.00%, 6/1/32 166,156 187,314
7.00%, 8/1/32 380,812 421,702
7.00%, 9/1/34 87,132 96,264
7.00%, 9/1/36 901,091 991,753
7.50%, 6/1/28 116,839 132,157
------------
72,139,357
------------
FREDDIE MAC (14.9%)
0.63%, 7/15/36 (a)(g) 978,458 969,626
4.00%, 5/1/19 2,451,097 2,541,759
4.50%, 6/1/34 753,338 766,326
4.50%, 9/1/34 696,100 708,101
5.00%, 12/1/18 940,886 1,003,985
5.00%, 2/15/25 3,245,000 3,388,940
5.00%, 8/1/33 310,411 323,997
5.00%, 5/1/34 149,438 155,838
5.00%, 7/1/35 348,830 363,443
5.00%, 8/1/35 850,170 885,785
5.00%, 11/1/35 3,230,792 3,366,134
5.00%, 4/1/36 339,814 354,049
5.00%, 7/1/36 1,418,934 1,476,822
5.21%, 3/1/37 (a) 298,915 317,206
Continued
70
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FREDDIE MAC, CONTINUED
5.67%, 4/1/37 (a) $ 2,481,358 $ 2,626,994
5.82%, 10/1/36 (a) 1,573,413 1,662,153
5.90%, 3/1/37 (a)(g) 5,300,915 5,645,372
6.00%, 12/15/21 2,051,347 2,148,533
6.00%, 9/1/33 215,219 232,935
6.00%, 2/1/38 4,473,307 4,799,598
6.00%, 5/1/38 943,183 1,011,980
6.06%, 1/1/37 (a) 4,681,430 4,999,083
6.12%, 2/1/37 (a) 4,563,285 4,872,362
6.50%, 1/1/29 895,840 980,361
6.50%, 7/1/32 135,360 147,792
6.50%, 9/1/32 72,037 78,519
6.50%, 5/15/34 (a) 541,021 523,360
6.97%, 7/15/32, IO (a)(i) 6,003,414 449,991
7.00%, 6/1/26 452,200 499,058
7.00%, 1/1/32 92,541 104,063
------------
47,404,165
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (2.6%)
0.43%, 3/16/46, IO (a)(i) 12,650,333 342,209
0.48%, 4/16/46, IO (a)(i) 57,979,499 1,635,637
0.83%, 2/16/48, IO (a)(i) 50,109,444 1,970,438
0.85%, 6/17/45, IO (a)(i) 11,349,637 409,602
0.98%, 2/16/48, IO (a)(i) 14,546,429 699,517
1.03%, 6/16/49, IO (a)(i) 65,159,396 3,415,818
------------
8,473,221
------------
TOTAL U.S. GOVERNMENT AGENCIES 128,016,743
------------
U.S. TREASURY OBLIGATIONS (5.0%)
U.S. TREASURY NOTES (4.0%)
1.38%, 1/15/20 (c)(f) 12,734,710 12,836,193
------------
U.S. TREASURY STRIPS (1.0%)
8.21%, 11/15/27 **(g) 7,400,000 3,246,839
------------
TOTAL U.S. TREASURY OBLIGATIONS 16,083,032
------------
SHARES
-----------
INVESTMENT COMPANIES (6.3%)
State Street Navigator Securities
Lending Portfolio (j) 20,223,270 20,223,270
------------
TOTAL INVESTMENT COMPANIES 20,223,270
------------
PREFERRED STOCKS (1.6%)
COMMERCIAL BANKS NON-U.S. (0.8%)
Barclays Bank PLC, Series 5, 8.13% (c) 106,000 2,607,600
------------
SOVEREIGN AGENCY (0.1%)
Fannie Mae, 8.25% (a)(k) 160,000 176,000
Freddie Mac, 8.38% (a)(k) 161,000 172,270
------------
348,270
------------
SUPER-REGIONAL BANKS-U.S. (0.7%)
Wells Fargo Capital XII, 7.88% (c) 80,000 2,064,800
------------
TOTAL PREFERRED STOCKS 5,020,670
------------
INVESTMENTS IN AFFILIATES (5.1%)
Fifth Third Institutional Money
Market Fund (d) 16,211,624 16,211,624
------------
TOTAL INVESTMENTS IN AFFILIATES 16,211,624
------------
TOTAL INVESTMENTS (COST $363,480,983) - 106.9% 342,172,190
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.9)% (22,173,519)
------------
NET ASSETS - 100.0% $319,998,671
============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) The Fund's securities were fair valued at January 31, 2010 using procedures
approved by the Board of Trustees.
(f) Treasury Inflation Protected Securities. A U.S. Treasury Note or Bond that
offers protection from inflation by paying a fixed rate of interest on
principal amount that is adjusted for inflation based on the Consumer Price
Index.
(g) All or part of this security has been designated as collateral for futures
contracts.
(h) Perpetual Maturity. Callable any time after first call date. Maturity date
is next call date.
(i) Illiquid Securities.
(j) Represents investments of cash collateral received in connection with
securities lending.
(k) Defaulted Securities.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
BRL - Brazilian Real
CMBS - Comercial Mortgage-Backed Security
CMO - Collateralized Mortgage Obligation
IO - Interest Only
PAC - Planned Amortization Class
WL - Whole Loan
See notes to schedules of investments
and notes to financial statements.
71
SHORT TERM BOND
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
ASSET-BACKED SECURITIES (8.4%)
AUTOMOBILES SEQUENTIAL (3.0%)
BMW Vehicle Lease Trust, Series
2009-1, Class A2, 2.04%, 4/15/11 $ 688,247 $ 691,922
Ford Credit Auto Owner Trust, Series
2009-B, Class A2, 2.10%, 11/15/11 1,000,000 1,006,158
Ford Credit Auto Owner Trust, Series
2009-D, Class A3, 2.17%, 10/15/13 800,000 813,954
Honda Auto Receivables Owner Trust,
Series 2009-3, Class A3, 2.31%,
5/15/13 1,030,000 1,047,427
Nissan Auto Lease Trust, Series
2009-B, Class A2, 1.22%, 9/15/11 900,000 901,841
USAA Auto Owner Trust, Series 2006-2,
Class A4, 5.37%, 2/15/12 639,487 645,363
Volkswagen Auto Lease Trust, Series
2009-A, Class A2, 2.87%, 7/15/11 978,081 986,371
World Omni Auto Receivables Trust,
Series 2009-A, Class A2, 2.88%,
10/17/11 1,855,710 1,870,011
------------
7,963,047
------------
CREDIT CARD BULLET (4.1%)
Chase Issuance Trust,
Series 2005-A10, Class A10,
4.65%, 12/17/12 (f) 3,000,000 3,087,482
Discover Card Master Trust,
Series 2008-A3, Class A3,
5.10%, 10/15/13 2,100,000 2,205,166
GE Capital Credit Card Master Note
Trust, Series 2009-3, Class A, 2.54%,
9/15/14 2,300,000 2,332,222
Nordstrom Private Label Credit Card
Master Note Trust, Series 2007-1A,
Class A, 4.92%, 5/15/13 (b)(f) 3,000,000 3,021,132
------------
10,646,002
------------
HOME EQUITY SEQUENTIAL (1.0%)
GMAC Mortgage Corp. Loan Trust,
Series 2006-HE2, Class A2, 6.18%,
5/25/36 (a)(f) 2,934,543 2,673,237
------------
OTHER ABS (0.3%)
SVO VOI Mortgage Corp.,
Series 2005-AA, Class A,
5.25%, 2/20/21 (b)(g) 678,398 630,382
------------
TOTAL ASSET-BACKED SECURITIES 21,912,668
------------
CORPORATE BONDS (21.1%)
CABLE TV (0.4%)
Comcast Cable Communications LLC,
6.75%, 1/30/11 (c) 1,000,000 1,054,957
------------
CELLULAR TELECOM (0.5%)
New Cingular Wireless Services, Inc.,
7.88%, 3/1/11 1,250,000 1,342,782
------------
COMMERCIAL BANKS (0.8%)
GMAC, Inc., 2.20%, 12/19/12 (c) 2,000,000 2,031,962
------------
COMMERCIAL BANKS-SOUTHERN U.S. (0.6%)
BB&T Corp., 3.85%, 7/27/12 1,500,000 1,568,577
------------
COMMERCIAL BANKS-WESTERN U.S. (0.8%)
American Express Bank FSB, Series G,
3.15%, 12/9/11 (c) 2,000,000 2,081,620
------------
DIVERSIFIED FINANCIAL SERVICES (1.5%)
General Electric Capital Corp.,
0.34%, 8/15/11 (a) (c) 2,500,000 2,485,682
------------
IBM International Group Capital LLC,
5.05%, 10/22/12 1,250,000 1,363,794
------------
3,849,476
------------
ELECTRIC-INTEGRATED (1.8%)
Duke Energy Carolinas LLC, Series D,
7.38%, 3/1/10 (c) 1,250,000 1,256,550
Florida Power Corp., 4.50%, 6/1/10 2,500,000 2,533,310
Pepco Holdings, Inc., 4.00%, 5/15/10 1,000,000 1,007,404
------------
4,797,264
------------
FIDUCIARY BANKS (0.3%)
Bank of New York Mellon Corp. (The),
4.95%, 1/14/11 750,000 780,220
------------
FINANCE-CREDIT CARD (0.5%)
American Express Credit Corp.,
5.00%, 12/2/10 1,100,000 1,134,630
------------
FINANCE-INVESTMENT BANKER/BROKER (4.6%)
Bear Stearns Cos. LLC (The),
5.35%, 2/1/12 (c) 2,000,000 2,149,796
Citigroup Funding, Inc., 1.88%,
10/22/12 (c) 2,350,000 2,368,539
Citigroup, Inc., 6.00%, 2/21/12 (c) 1,000,000 1,064,911
Credit Suisse USA, Inc.,
6.13%, 11/15/11 (c) 1,500,000 1,624,355
Goldman Sachs Group, Inc. (The),
3.25%, 6/15/12 (c) 1,500,000 1,570,601
Goldman Sachs Group, Inc. (The),
6.60%, 1/15/12 (c) 1,500,000 1,634,850
Morgan Stanley, 6.75%, 4/15/11 (c) 1,500,000 1,597,288
------------
12,010,340
------------
FOOD-RETAIL (0.4%)
Kroger Co. (The), 6.80%, 4/1/11 1,000,000 1,064,098
------------
LIFE/HEALTH INSURANCE (0.4%)
Prudential Financial, Inc.,
2.75%, 1/14/13 1,100,000 1,102,067
------------
MEDICAL-DRUGS (2.1%)
Abbott Laboratories, 5.60%, 5/15/11 4,000,000 4,239,816
Pfizer, Inc., 4.45%, 3/15/12 (c) 1,250,000 1,330,716
------------
5,570,532
------------
NETWORKING PRODUCTS (1.0%)
Cisco Systems, Inc., 5.25%, 2/22/11 (c) 2,500,000 2,617,995
------------
OIL COMPANY-INTEGRATED (0.5%)
Chevron Corp., 3.45%, 3/3/12 (c) 1,250,000 1,306,694
------------
REINSURANCE (0.8%)
Berkshire Hathaway Finance Corp.,
4.75%, 5/15/12 (c) 2,000,000 2,145,406
------------
Continued
72
SHORT TERM BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
CORPORATE BONDS, CONTINUED
RETAIL-DISCOUNT (0.9%)
Wal-Mart Stores, Inc., 4.13%,
2/15/11 (c) $ 2,250,000 $ 2,327,612
------------
SUPER-REGIONAL BANKS-U.S. (2.8%)
Bank of America Corp., 6.25%,
4/15/12 (c) 1,150,000 1,239,718
PNC Funding Corp., 1.88%, 6/22/11 (c) 2,000,000 2,026,214
SunTrust Banks, Inc., 5.25%, 11/5/12 (c) 1,250,000 1,321,109
Wells Fargo & Co., 5.25%, 10/23/12 (c) 2,500,000 2,701,438
------------
7,288,479
------------
TRANSPORT-RAIL (0.4%)
Union Pacific Corp., 5.45%, 1/31/13 (c) 1,000,000 1,083,351
------------
TOTAL CORPORATE BONDS 55,158,062
------------
FOREIGN BONDS (5.2%)
COMMERCIAL BANKS NON-U.S. (0.8%)
Barclays Bank PLC, 5.45%, 9/12/12 (c) 2,000,000 2,172,396
------------
DIVERSIFIED MANUFACTURING
OPERATIONS (0.5%)
Tyco International Finance SA, 6.38%,
10/15/11 1,300,000 1,401,600
------------
FINANCE-OTHER SERVICES (0.5%)
BP Capital Markets PLC, 3.13%,
3/10/12 (c) 1,250,000 1,298,221
------------
MONEY CENTER BANKS (0.6%)
Deutsche Bank AG, 2.38%, 1/11/13 (c) 1,500,000 1,501,313
------------
OIL COMPANY-INTEGRATED (1.4%)
Conoco Funding Co., 6.35%, 10/15/11 1,000,000 1,090,770
Shell International Finance BV,
1.30%, 9/22/11 (c) 2,650,000 2,668,897
------------
3,759,667
------------
REGIONAL (STATE/PROVINCE) (1.0%)
Province of Ontario Canada, Series 1,
1.88%, 11/19/12 2,500,000 2,507,170
------------
SOVEREIGN (0.4%)
Brazil, Federal Republic, Series F,
10.00%, 1/1/14 BRL 2,100,000 1,027,256
------------
TOTAL FOREIGN BONDS 13,667,623
------------
MORTGAGE-BACKED SECURITIES (14.9%)
CMBS OTHER (3.8%)
Banc of America Commercial Mortgage,
Inc., Series 2004-4, Class A3, 4.13%,
7/10/42 (f) $ 606,181 606,374
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-C3,
Class A3, 4.30%, 7/15/36 (f) 711,681 712,263
GE Capital Commercial Mortgage Corp.,
Series 2005-C1, Class A2, 4.35%,
6/10/48 1,938,957 1,937,723
Greenwich Capital Commercial Funding
Corp., Series 2005-GG3, Class A2,
4.31%, 8/10/42 (f) 1,805,235 1,810,603
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 1,496,896 1,517,565
LB-UBS Commercial Mortgage Trust,
Series 2005-C3, Class A2, 4.55%,
7/15/30 1,419,789 1,426,506
Morgan Stanley Dean Witter Capital I,
Series 2002-IQ2, Class A4, 5.74%,
12/15/35 1,749,249 1,840,886
------------
9,851,920
------------
WL COLLATERAL CMO OTHER (8.2%)
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2004-1, Class 13A3,
4.68%, 4/25/34 (a) 1,744,028 1,718,162
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2005-4, Class 2A2,
4.29%, 8/25/35 (a)(f) 3,000,000 2,988,887
Bear Stearns Asset Backed Securities
Trust, Series 2003-AC7, Class A2,
5.25%, 1/25/34 906,048 765,788
Countrywide Home Loan Mortgage Pass
Through Trust, Series 2004-HYB5,
Class 4A1, 3.63%, 4/20/35 (a) 1,287,726 1,041,258
Harborview Mortgage Loan Trust,
Series 2004-5, Class 2A6, 3.61%,
6/19/34 (a)(f) 5,698,067 4,859,097
Homebanc Mortgage Trust,
Series 2004-2, Class A2,
0.68%, 12/25/34 (a) 877,268 426,623
Homebanc Mortgage Trust,
Series 2006-1, Class 1A1,
3.74%, 4/25/37 (a) 1,372,202 874,836
JP Morgan Alternative Loan Trust,
Series 2006-S2, Class A2, 5.81%,
5/25/36 1,048,136 1,050,742
JP Morgan Mortgage Trust,
Series 2005-A1, Class 3A3,
4.90%, 2/25/35 (a) 1,375,377 1,295,273
JP Morgan Mortgage Trust,
Series 2005-A2, Class 5A1,
4.31%, 4/25/35 (a) 1,477,415 1,399,840
JP Morgan Mortgage Trust,
Series 2005-A3, Class 7CA1,
4.82%, 6/25/35 (a)(f) 2,421,956 2,029,430
Merrill Lynch Mortgage Investors,
Inc., Series 2003-A1, Class 2A,
2.63%, 12/25/32 (a) 57,525 53,729
Provident Funding Mortgage Loan
Trust, Series 2005-2, Class 2A1A,
4.70%, 10/25/35 (a) 1,441,701 1,364,084
Residential Funding Mortgage
Securities I, Series 2007-SA1,
Class 1A1, 3.94%, 2/25/37 (a)(f) 2,629,561 1,580,576
------------
21,448,325
------------
Continued
73
SHORT TERM BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
MORTGAGE-BACKED SECURITIES, CONTINUED
WL COLLATERAL CMO SEQUENTIAL (2.7%)
Chase Mortgage Finance Corp.,
Series 2005-A1, Class 2A2,
5.23%, 12/25/35 (a) $ 1,301,183 $ 1,228,925
JP Morgan Alternative Loan Trust,
Series 2006-S3, Class A2A, 5.87%,
8/25/36 (f) 2,134,748 1,964,141
JP Morgan Mortgage Trust,
Series 2006-A4, Class 2A2,
5.79%, 6/25/36 (a) 1,535,414 1,297,880
JP Morgan Mortgage Trust,
Series 2007-A2, Class 4A1M,
5.74%, 4/25/37 (a) 1,575,086 1,392,488
RAAC Series, Series 2005-SP1,
Class 2A2, 5.25%, 9/25/34 1,167,419 1,124,226
------------
7,007,660
------------
WL COLLATERAL PAC (0.2%)
Countrywide Alternative Loan Trust,
Series 2004-2CB, Class 1A1, 4.25%,
3/25/34 519,580 522,016
------------
TOTAL MORTGAGE-BACKED SECURITIES 38,829,921
------------
MUNICIPAL BONDS (0.0%)
OHIO (0.0%)
State of Ohio, Economic Enterprise,
Series 3, 4.05%, 3/1/11 (b) 115,000 115,931
------------
TOTAL MUNICIPAL BONDS 115,931
------------
U.S. GOVERNMENT AGENCIES (41.4%)
FANNIE MAE (6.9%)
1.75%, 3/23/11 (c) 5,000,000 5,069,780
1.75%, 8/10/12 (c) 4,000,000 4,036,748
1.75%, 2/22/13 (c) 2,400,000 2,406,814
2.00%, 9/28/12 2,250,000 2,259,290
4.68%, 4/1/33 (a) 955,212 991,272
4.95%, 4/1/35 (a) 1,106,406 1,146,785
5.00%, 2/25/25 (f) 733,463 740,718
5.23%, 9/1/34 (a) 1,370,460 1,444,235
------------
18,095,642
------------
FANNIE MAE PREPAYMENT LINK NOTE, SERIES 2005-4, CLASS 1 (0.8%)
4.65%, 12/25/12 1,920,128 2,041,113
------------
FEDERAL FARM CREDIT BANK (5.5%)
1.75%, 2/21/13 3,000,000 3,009,300
1.88%, 12/7/12 (c) 6,350,000 6,408,414
2.13%, 6/18/12 (c) 3,000,000 3,056,721
2.25%, 4/24/12 2,000,000 2,044,684
------------
14,519,119
------------
FEDERAL HOME LOAN BANK (12.8%)
1.63%, 7/27/11 4,000,000 4,050,328
1.75%, 12/14/12 (c) 4,250,000 4,274,901
1.88%, 11/19/12 3,000,000 2,991,999
2.00%, 7/27/12 (c) 4,000,000 4,021,708
2.05%, 8/10/12 2,500,000 2,534,490
2.63%, 5/20/11 (c) 5,000,000 5,128,665
3.63%, 9/16/11 5,000,000 5,225,900
4.75%, 10/25/10 1,930,032 1,985,521
4.88%, 11/18/11 (c) 3,000,000 3,207,792
------------
33,421,304
------------
FREDDIE MAC (10.6%)
1.13%, 12/15/11 (c) 4,000,000 4,009,200
1.70%, 12/17/12 3,000,000 2,995,254
2.00%, 4/27/12 3,000,000 3,037,104
2.13%, 3/23/12 3,000,000 3,065,457
2.13%, 9/21/12 (c) 4,000,000 4,080,380
3.71%, 3/1/34 (a) 1,098,865 1,132,168
4.25%, 12/15/19 2,307,103 2,417,140
4.50%, 7/15/28 (f) 1,620,395 1,662,716
4.55%, 7/1/35 (a)(f) 1,887,387 1,939,498
5.00%, 9/15/25 (f) 915,864 920,721
5.67%, 4/1/37 (a) 2,226,424 2,357,097
------------
27,616,735
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (4.8%)
2.87%, 2/16/20 (f) 2,543,610 2,574,733
3.27%, 1/16/23 658,368 660,312
3.72%, 12/16/26 (f) 2,514,717 2,556,449
3.95%, 11/16/30 (f) 2,949,710 3,045,079
4.00%, 5/16/27 1,716,864 1,775,288
4.09%, 8/16/30 2,019,892 2,081,258
------------
12,693,119
------------
TOTAL U.S. GOVERNMENT AGENCIES 108,387,032
------------
U.S. TREASURY OBLIGATIONS (5.3%)
U.S. TREASURY NOTES (5.3%)
0.88%, 4/15/10 (e)(f) 2,854,725 2,864,985
0.88%, 1/31/11 (c) 5,000,000 5,027,540
1.50%, 7/15/12 (c) 6,000,000 6,061,404
------------
13,953,929
------------
TOTAL U.S. TREASURY OBLIGATIONS 13,953,929
------------
SHARES
-----------
INVESTMENT COMPANIES (26.2%)
State Street Navigator Securities
Lending Portfolio (h) 68,582,375 68,582,375
------------
TOTAL INVESTMENT COMPANIES 68,582,375
------------
INVESTMENTS IN AFFILIATES (2.2%)
Fifth Third Institutional Money
Market Fund (d) 5,815,955 5,815,955
------------
TOTAL INVESTMENTS IN AFFILIATES 5,815,955
------------
TOTAL INVESTMENTS (COST $327,224,185) - 124.7% 326,423,496
LIABILITIES IN EXCESS OF OTHER ASSETS - (24.7)% (64,699,248)
------------
NET ASSETS - 100.0% $261,724,248
============
Continued
74
SHORT TERM BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) Treasury Inflation Protected Securities. A U.S. Treasury Note or Bond that
offers protection from inflation by paying a fixed rate of interest on
principal amount that is adjusted for inflation based on the Consumer Price
Index.
(f) All or part of this security has been designated as collateral for futures
contracts.
(g) Illiquid Securites.
(h) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
BRL - Brazilian Real
CMBS - Commercial Mortgage-Backed Security
CMO - Collateralized Mortgage Obligation
PAC - Planned Amortization Class
WL - Whole Loan
At January 31, 2010 Short Term Bond's investments were in the following
countries:
COUNTRY
- -----------------------------------------------------------
Brazil 0.3%
Canada 1.1%
Germany 0.5%
Great Britain 1.1%
Luxembourg 0.4%
Netherlands 0.8%
United States 95.8%
-----
TOTAL 100.0%
=====
See notes to schedules of investments
and notes to financial statements.
75
FIFTH THIRD FUNDS
NOTES TO SCHEDULES OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
Cost and appreciation (depreciation) of investments for federal income tax
purposes at January 31, 2010 is as follows:
COST OF NET
INVESTMENTS GROSS GROSS UNREALIZED
FOR FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX PURPOSES APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------- -------------- --------------
Small Cap Growth $ 51,054,399 $ 7,477,839 $ (3,074,241) $ 4,403,598
Mid Cap Growth 94,749,951 11,276,783 (10,846,989) 429,794
Quality Growth 298,909,143 49,188,754 (12,846,551) 36,342,203
Dividend Growth 8,760,306 1,139,765 (127,085) 1,012,680
Micro Cap Value 33,506,969 3,693,160 (5,021,172) (1,328,012)
Small Cap Value 56,312,167 7,245,304 (3,467,772) 3,777,532
All Cap Value 134,731,760 16,542,712 (13,856,515) 2,686,197
Disciplined Large Cap Value 323,861,610 44,607,515 (21,587,068) 23,020,447
Structured Large Cap Plus 70,354,918 15,795,895 (6,993,485) 8,802,410
Equity Index 158,892,106 149,792,897 (20,481,032) 129,311,865
International Equity 261,733,822 23,774,762 (17,328,938) 6,445,824
Strategic Income 109,898,128 4,714,859 (17,479,721) (12,764,862)
LifeModel Aggressive(SM) 143,490,926 3,779,573 (33,739,541) (29,959,968)
LifeModel Moderately Aggressive(SM) 251,256,173 5,956,032 (43,752,403) (37,796,371)
LifeModel Moderate(SM) 302,789,148 6,607,017 (44,399,417) (37,792,400)
LifeModel Moderately Conservative(SM) 68,386,170 1,473,297 (8,750,123) (7,276,826)
LifeModel Conservative(SM) 46,645,853 560,862 (5,371,108) (4,810,246)
High Yield 59,984,868 2,096,540 (1,005,384) 1,091,156
Total Return Bond 363,480,983 10,569,398 (31,878,191) (21,308,793)
Short Term Bond 327,224,185 4,191,720 (4,992,409) (800,689)
Open futures contracts as of January 31, 2010:
UNREALIZED
NUMBER OF NOTIONAL APPRECIATION/ MARKET
CONTRACTS TYPE DESCRIPTION AMOUNT (DEPRECIATION) VALUE
--------- ------------------------------------------ ----------- -------------- -----------
Structured Large Cap Plus 11 Long S+P 500 Index Futures, 3/18/10 $ 2,998,517 $ (54,917) $ 2,943,600
=== =========== ========= ===========
Equity Index 19 Long S+P 500 Index Futures, 3/18/10 5,257,723 (173,323) 5,084,400
=== =========== ========= ===========
International Equity 3 Long ASX SPI 200 Index Futures, 3/18/10 323,195 (21,574) 301,621
3 Long Australian Dollar Futures, 3/15/10 267,160 (2,710) 264,450
13 Long British Pound Futures, 3/15/10 1,308,007 (9,144) 1,298,863
DJ EURO STOXX 50 Index
42 Long Futures, 3/19/10 1,757,011 (142,211) 1,614,800
10 Long Euro Currency Futures, 3/15/10 1,803,534 (70,409) 1,733,125
15 Long FTSE 100 Index Futures, 3/19/10 1,308,512 (74,030) 1,234,482
7 Long Japanese Yen Futures, 3/15/10 943,624 25,701 969,325
9 Long TOPIX Index Futures, 3/12/10 912,413 (20,539) 891,874
--- ----------- --------- -----------
102 8,623,456 (314,916) 8,308,540
=== =========== ========= ===========
Strategic Income Euro Dollar Futures -
150 Long 90 Day, 3/14/11 36,982,942 3,308 36,986,250
30 Short Volatility Index Futures, 2/16/10 (683,743) (55,757) (739,500)
45 Long Volatility Index Futures, 4/20/10 1,106,436 41,064 1,147,500
--- ----------- --------- -----------
225 37,405,635 (11,385) 37,394,250
=== =========== ========= ===========
Total Return Bond Euro Dollar Futures -
80 Long 90 Day, 3/14/11 19,724,236 1,764 19,726,000
60 Long U.S. Treasury 10-Year Note, 3/22/10 7,101,247 (11,872) 7,089,375
35 Long U.S. Treasury 30-Year Note, 3/22/10 4,211,027 (52,589) 4,158,438
--- ----------- --------- -----------
175 31,036,510 (62,697) 30,973,813
=== =========== ========= ===========
Short Term Bond 5 Long U.S. Treasury 2-Year Note, 3/31/10 1,087,200 2,565 1,089,765
=== =========== ========= ===========
See notes to financial statements.
76
FIFTH THIRD FUNDS
NOTES TO SCHEDULES OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
Open foreign currency contracts as of January 31, 2010:
NET
DELIVERY UNREALIZED UNREALIZED APPRECIATION
FUND DATE APPRECIATION (DEPRECIATION) (DEPRECIATION)
- -------------------------------- -------- ------------ -------------- --------------
STRATEGIC INCOME
- --------------------------------------------------------------------
437,082 Canadian Dollar vs. 38,634,540 Japanese Yen 4/6/10 $ -- $ (19,370) $(19,370)
2,414,131 Norwegian Krone vs. 38,634,540 Japanese Yen 4/6/10 -- (21,771) (21,771)
------------ ----------- --------
$ -- $ (41,141) $(41,141)
============ =========== ========
See notes to financial statements.
77
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SMALL CAP MID CAP QUALITY
ASSETS: GROWTH GROWTH GROWTH
------------ ------------ ------------
Investments, at cost $ 50,274,605 $ 90,367,679 $279,504,668
Net unrealized appreciation 4,637,860 2,867,134 37,194,206
------------ ------------ ------------
Investments, at value 54,912,465 93,234,813 316,698,874
Investment in affiliates, at value (cost $545,532, $1,944,932, $18,552,472,
$59,787, $2,303,942, $2,744,553, $5,631,128, $13,660,870, $1,328,831,
and $5,000,293; respectively) 545,532 1,944,932 18,552,472
------------ ------------ ------------
Total Investments 55,457,997 95,179,745 335,251,346
Cash collateral for futures -- -- --
Interest, dividends and other receivables 575 33,601 162,595
Receivable for investments sold 219,737 -- 190,374
Receivable for Fund shares sold 9,342 2,547 26,988
Reclaims receivable -- -- 2,880
Receivable from Advisor and affiliates -- -- --
Prepaid expenses and other assets 33,827 23,922 31,720
------------ ------------ ------------
Total Assets 55,721,478 95,239,815 335,665,903
------------ ------------ ------------
LIABILITIES:
Securities sold short at value (Proceeds $-, $-, $-, $-
$-, $-, $-, $-, $-, $22,361,283, and $-; respectively) -- -- --
Payable for investments purchased 99 101 1,350
Payable upon return of securities loaned 12,420,471 10,073,292 12,513,352
Payable for Fund shares redeemed 114,564 165,084 189,634
Payable for variation margin on futures contracts -- -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates 24,466 46,045 255,716
Distribution and administrative servicing fee 2,115 4,311 19,433
Payable for dividends on securities sold short -- -- --
Other 27,592 36,850 91,259
------------ ------------ ------------
Total Liabilities 12,589,307 10,325,683 13,070,744
------------ ------------ ------------
NET ASSETS:
Paid-in Capital 54,286,112 134,121,598 334,874,463
Accumulated net investment income/(loss) (149,690) (131,179) 154,081
Accumulated net realized loss from investment transactions and futures (15,642,111) (51,943,421) (49,627,591)
Net unrealized appreciation on investments and futures 4,637,860 2,867,134 37,194,206
------------ ------------ ------------
Net Assets $ 43,132,171 $ 84,914,132 $322,595,159
============ ============ ============
Market value of securities loaned $ 12,111,866 $ 9,824,573 $ 12,213,689
============ ============ ============
Net Assets:
Institutional Shares $ 35,821,948 $ 71,418,469 $255,207,082
Class A Shares 6,639,936 11,675,508 61,245,213
Class B Shares 541,090 1,555,719 4,834,896
Class C Shares 129,197 264,436 1,307,968
Select Shares NA NA NA
Preferred Shares NA NA NA
Trust Shares NA NA NA
------------ ------------ ------------
Total $ 43,132,171 $ 84,914,132 $322,595,159
============ ============ ============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 5,503,653 9,008,018 18,989,899
Class A Shares 1,097,697 1,553,935 4,691,295
Class B Shares 98,634 232,131 397,985
Class C Shares 23,516 42,251 111,252
Select Shares NA NA NA
Preferred Shares NA NA NA
Trust Shares NA NA NA
------------ ------------ ------------
Total 6,723,500 10,836,335 24,190,431
============ ============ ============
Net Asset Value
Institutional Shares $ 6.51 $ 7.93 $ 13.44
============ ============ ============
Class A Shares-redemption price per share $ 6.05 $ 7.51 $ 13.06
============ ============ ============
Class B Shares-offering price per share* $ 5.49 $ 6.70 $ 12.15
============ ============ ============
Class C Shares-offering price per share* $ 5.49 $ 6.26 $ 11.76
============ ============ ============
Select Shares NA NA NA
============ ============ ============
Preferred Shares NA NA NA
============ ============ ============
Trust Shares NA NA NA
============ ============ ============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00%
============ ============ ============
Maximum Offering Price (100%/(100%-Maximum sales charge) of net charge)
of net asset value adjusted to the nearest cent) per share Class A Shares $ 6.37 $ 7.91 $ 13.75
============ ============ ============
- ----------------
* Redemption price per share varies by length of time shares are held.
See notes to financial statements.
78
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
DISCIPLINED STRUCTURED
DIVIDEND MICRO CAP SMALL CAP ALL CAP LARGE CAP LARGE CAP EQUITY
GROWTH VALUE VALUE VALUE VALUE PLUS INDEX
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
$ 8,655,847 $29,786,586 $ 52,573,223 $125,297,121 $ 301,084,879 $ 91,351,573 $152,600,409
1,057,352 88,429 4,771,923 6,489,708 32,136,308 9,738,876 130,653,750
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
9,713,199 29,875,015 57,345,146 131,786,829 333,221,187 101,090,449 283,254,159
59,787 2,303,942 2,744,553 5,631,128 13,660,870 1,328,831 4,949,812
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
9,772,986 32,178,957 60,089,699 137,417,957 346,882,057 102,419,280 288,203,971
-- -- -- -- -- 135,000 --
5,590 8,908 9,576 94,647 332,522 134,945 312,822
-- 206,247 1,044,594 3,650,650 8,878,171 16,769,240 --
95 92,022 25,312 210,844 415,704 -- 344,325
-- -- -- 757 6,086 -- --
8,209 -- -- -- -- -- --
20,468 26,951 24,629 33,494 33,101 29,030 39,203
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
9,807,348 32,513,085 61,193,810 141,408,349 356,547,641 119,487,495 288,900,321
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
-- -- -- -- -- 23,261,952 --
6 268,337 846,971 3,982,268 15,267,018 15,508,937 183,425
2,179,925 478,559 1,356,260 3,428,536 676,322 -- 5,251,649
7,179 119,101 254,993 447,048 354,052 6,324 306,030
-- -- -- -- -- 27,894 41,800
-- 18,167 46,965 91,994 239,349 35,079 13,878
960 5,419 1,166 19,678 43,191 2,227 26,054
-- -- -- -- -- 5,394 --
23,240 32,275 19,014 59,898 51,518 39,291 39,402
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
2,211,310 921,858 2,525,369 8,029,422 16,631,450 38,887,098 5,862,238
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
23,850,710 39,497,906 67,909,274 170,633,034 424,965,583 135,401,863 157,070,667
(491) 5,973 90,164 (11,107) 82,468 1,602 224,861
(17,311,533) (8,001,081) (14,102,920) (43,732,708) (117,268,168) (63,585,680) (4,687,391)
1,057,352 88,429 4,771,923 6,489,708 32,136,308 8,782,612 130,429,946
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
$ 7,596,038 31,591,227 $ 58,668,441 $133,378,927 $ 339,916,191 $ 80,600,397 $283,038,083
============ =========== ============ ============ ============= ============ ============
$ 2,131,442 $ 462,198 $ 1,317,323 $ 3,311,413 $ 652,374 $ -- $ 5,342,416
============ =========== ============ ============ ============= ============ ============
$ 5,307,898 $17,987,226 $ 56,292,039 $ 83,228,797 $ 326,307,200 $ 74,807,010 $149,609,554
1,993,513 9,955,899 1,396,402 37,629,837 11,200,925 5,460,630 40,153,369
131,540 1,711,073 608,231 7,669,897 1,759,459 285,753 1,958,785
163,087 1,937,029 371,769 4,850,396 648,607 47,004 993,353
NA NA NA NA NA NA 9,773,368
NA NA NA NA NA NA 47,812,048
NA NA NA NA NA NA 32,737,606
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
$ 7,596,038 $31,591,227 $ 58,668,441 $133,378,927 $ 339,916,191 $ 80,600,397 $283,038,083
============ =========== ============ ============ ============= ============ ============
272,735 5,192,691 3,643,050 6,055,315 34,894,106 7,707,488 7,326,751
104,337 3,093,791 91,292 2,788,499 1,201,938 569,811 1,973,536
7,131 592,712 41,489 599,815 186,780 29,926 96,868
9,118 670,283 25,450 380,338 70,453 4,913 49,100
NA NA NA NA NA NA 478,782
NA NA NA NA NA NA 2,342,740
NA NA NA NA NA NA 1,603,546
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
393,321 9,549,477 3,801,281 9,823,967 36,353,277 8,312,138 13,871,323
============ =========== ============ ============ ============= ============ ============
$ 19.46 $ 3.46 $ 15.45 $ 13.74 $ 9.35 $ 9.71 $ 20.42
============ =========== ============ ============ ============= ============ ============
$ 19.11 $ 3.22 $ 15.30 $ 13.49 $ 9.32 $ 9.58 $ 20.35
============ =========== ============ ============ ============= ============ ============
$ 18.45 $ 2.89 $ 14.66 $ 12.79 $ 9.42 $ 9.55 $ 20.22
============ =========== ============ ============ ============= ============ ============
$ 17.89 $ 2.89 $ 14.61 $ 12.75 $ 9.21 $ 9.57 $ 20.23
============ =========== ============ ============ ============= ============ ============
NA NA NA NA NA NA $ 20.41
============ =========== ============ ============ ============= ============ ============
NA NA NA NA NA NA $ 20.41
============ =========== ============ ============ ============= ============ ============
NA NA NA NA NA NA $ 20.42
============ =========== ============ ============ ============= ============ ============
5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00%
============ =========== ============ ============ ============= ============ ============
$ 20.12 $ 3.39 $ 16.11 $ 14.20 $ 9.81 $ 10.08 $ 21.42
============ =========== ============ ============ ============= ============ ============
See notes to financial statements.
79
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
INTERNATIONAL STRATEGIC LIFEMODEL
ASSETS: EQUITY INCOME AGGRESSIVE(SM)
------------- ------------ --------------
Investments, at cost $ 258,542,179 $105,011,529 $ --
Net unrealized appreciation/(depreciation) 7,063,714 (12,764,862) --
------------- ------------ ------------
Investments, at value 265,605,893 92,246,667 --
Investment in affiliates, at value (cost $2,573,753, $4,886,599, $136,836,725,
$245,832,436, $296,408,896, $66,061,073, $45,494,811, $38, $16,211,624,
and $5,815,955; respectively) 2,573,753 4,886,599 113,530,958+
Total Investments 268,179,646 97,133,266 113,530,958
Cash collateral for futures 322,974 196,500 --
Foreign currency, at value (cost $384,404, $103,453, $-, $-,
$-, $-, $-, $-, $344,018 and $430,814; respectively) 381,984 94,451 --
Interest, dividends and other receivables 193,104 540,409 58
Receivable for investments sold -- 34,339 --
Receivable for Fund shares sold 48,531 241,818 63,002
Receivable for variation margin on futures contracts -- 13,125 --
Reclaims receivable 232,241 2,133 --
Receivable from Advisor and affiliates -- -- 14,295
Prepaid expenses and other assets 27,422 25,981 28,070
------------- ------------ ------------
Total Assets 269,385,902 98,282,022 113,636,383
------------- ------------ ------------
LIABILITIES:
Cash overdraft -- -- --
Distributions payable -- 275,023 --
Payable for investments purchased 363 881,257 54+
Payable upon return of securities loaned 16,279,634 11,542,917 --
Payable for Fund shares redeemed 103,899 5,117 95,210
Payable for forward foreign currency contracts -- 41,141 --
Payable for variation margin on futures contracts 34,803 -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates 225,092 41,231 --
Distribution and administrative servicing fee 5,327 12,666 13,954
Other 48,852 31,898 42,304
------------- ------------ ------------
Total Liabilities 16,697,970 12,831,250 151,522
------------- ------------ ------------
NET ASSETS:
Paid-in Capital 391,429,635 108,629,399 149,464,703
Accumulated net investment income/(loss) 288,489 (352,686) (8,567)
Accumulated net realized loss from investment
transactions, futures and foreign currency (145,773,629) (9,999,552) (12,665,508)
Net unrealized appreciation/(depreciation) on
investments, futures and foreign currency 6,743,437 (12,826,389) (23,305,767)
------------- ------------ ------------
Net Assets $ 252,687,932 $ 85,450,772 $113,484,861
============= ============ ============
Market value of securities loaned $ 15,515,626 $ 11,262,235 $ --
============= ============ ============
Net Assets:
Institutional Shares $ 240,594,869 $ 57,952,599 $ 77,386,819
Class A Shares 10,904,428 16,735,267 27,489,956
Class B Shares 848,304 787,232 7,406,776
Class C Shares 340,331 9,975,674 1,201,310
------------- ------------ ------------
Total $ 252,687,932 $ 85,450,772 $113,484,861
============= ============ ============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 32,774,971 5,988,665 8,458,704
Class A Shares 1,486,236 1,733,629 3,027,281
Class B Shares 118,187 81,569 845,159
Class C Shares 49,555 1,043,068 137,169
------------- ------------ ------------
Total 34,428,949 8,846,931 12,468,313
============= ============ ============
Net Asset Value
Institutional Shares $ 7.34 $ 9.68 $ 9.15
============= ============ ============
Class A Shares-redemption price per share $ 7.34 $ 9.65 $ 9.08
============= ============ ============
Class B Shares-offering price per share* $ 7.18 $ 9.65 $ 8.76
============= ============ ============
Class C Shares-offering price per share* $ 6.87 $ 9.56 $ 8.76
============= ============ ============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00%
============= ============ ============
Maximum Offering Price (100%/(100%-Maximum sales charge)
of net asset value adjusted to the nearest cent) per share Class A Shares $ 7.73 $ 10.16 $ 9.56
============= ============ ============
- -----------------
* Redemption price per share varies by length of time shares are held.
+ Represents receivable from or payable to affiliates.
See notes to financial statements.
80
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
MODERATELY LIFEMODEL MODERATELY LIFEMODEL HIGH YIELD TOTAL RETURN SHORT TERM
AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM) BOND BOND BOND
- -------------- ------------- ---------------- ---------------- ------------- ------------ ------------
$ -- $ -- $ -- $ -- $59,868,348 $347,269,359 $321,408,230
-- -- -- -- 1,207,638 (21,308,793) (800,689)
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
-- -- -- -- 61,075,986 325,960,566 320,607,541
213,459,802 264,996,748 61,109,344 41,835,607 38 16,211,624 5,815,955
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
213,459,802 264,996,748 61,109,344 41,835,607 61,076,024 342,172,190 326,423,496
-- -- -- -- -- 242,000 3,000
-- -- -- -- -- 328,490 426,873
228+ 129+ 54+ 11+ 1,071,506 2,128,459 1,570,436
-- -- -- -- 1,680,358 488,144 250,178
170,124 577,290 38,349 114,080 753,167 104,297 2,001,093
-- -- -- -- -- 59,156 937
-- -- -- -- -- 18,339 --
23,443 11,208 9,633 8,569 -- -- --
31,924 34,592 26,393 25,549 30,505 35,097 41,604
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
213,685,521 265,619,967 61,183,773 41,983,816 64,611,560 345,576,172 330,717,617
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
-- -- -- -- 3,820,705 -- --
-- -- -- -- 15 -- --
181+ 116+ 49+ 10+ 196,395 4,894,906 419
-- -- -- -- 13,117,195 20,223,270 68,582,375
119,594 256,582 23,368 13,612 82,713 257,709 271,260
-- -- -- -- -- -- --
-- -- -- -- -- -- --
-- -- -- -- 19,352 152,565 96,205
42,653 29,333 10,992 7,286 2,491 5,113 7,190
76,018 55,401 24,336 19,497 12,867 43,938 35,920
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
238,446 341,432 58,745 40,405 17,251,733 25,577,501 68,993,369
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
258,991,932 331,332,791 71,494,750 48,545,207 50,660,883 441,723,804 281,893,075
94,655 289,908 79,454 78,736 43,841 (1,409,674) 43,304
(13,266,878) (34,932,016) (5,497,447) (3,021,328) (4,552,535) (98,928,440) (19,410,066)
(32,372,634) (31,412,148) (4,951,729) (3,659,204) 1,207,638 (21,387,019) (802,065)
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
$213,447,075 $265,278,535 $61,125,028 $41,943,411 $47,359,827 $319,998,671 $261,724,248
============ ============ =========== =========== =========== ============ ============
$ -- $ -- $ -- $ -- $ 135,791 $ 19,806,253 $ 67,192,303
============ ============ =========== =========== =========== ============ ============
$109,437,884 $198,132,868 $37,134,722 $26,020,086 $42,528,868 $301,462,477 $239,184,526
74,120,020 45,341,319 15,166,796 9,951,417 3,795,852 15,019,048 18,064,137
26,698,954 19,054,011 7,781,245 4,524,453 92,069 2,745,407 NA
3,190,217 2,750,337 1,042,265 1,447,455 943,038 771,739 4,475,585
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
$213,447,075 $265,278,535 $61,125,028 $41,943,411 $47,359,827 $319,998,671 $261,724,248
============ ============ =========== =========== =========== ============ ============
11,423,018 21,058,377 4,253,291 2,871,343 4,482,272 34,241,831 25,170,731
7,748,641 4,826,251 1,740,133 1,100,548 401,419 1,706,871 1,902,109
2,822,765 2,040,495 896,191 502,445 9,714 311,686 NA
337,133 294,277 119,878 160,530 99,581 87,579 472,094
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
22,331,557 28,219,400 7,009,493 4,634,866 4,992,986 36,347,967 27,544,934
============ ============ =========== =========== =========== ============ ============
$ 9.58 $ 9.41 $ 8.73 $ 9.06 $ 9.49 $ 8.80 $ 9.50
============ ============ ============ =========== =========== ============ ============
$ 9.57 $ 9.39 $ 8.72 $ 9.04 $ 9.46 $ 8.80 $ 9.50
============ ============ ============ =========== =========== ============ ============
$ 9.46 $ 9.34 $ 8.68 $ 9.00 $ 9.48 $ 8.81 NA
============ ============ ============ =========== =========== ============ ============
$ 9.46 $ 9.35 $ 8.69 $ 9.02 $ 9.47 $ 8.81 $ 9.48
============ ============ ============ =========== =========== ============ ============
5.00% 5.00% 5.00% 5.00% 4.75% 4.75% 3.00%
============ ============ ============ =========== =========== ============ ============
$ 10.07 $ 9.88 $ 9.18 $ 9.52 $ 9.93 $ 9.24 $ 9.79
============ ============ ============ =========== =========== ============ ============
See notes to financial statements.
81
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SMALL CAP MID CAP QUALITY
INVESTMENT INCOME: GROWTH GROWTH GROWTH
------------ ------------ ------------
Interest income $ -- $ -- $ 67,263
Dividend income 115,416 321,852 1,887,438
Dividend income from affiliates 1,230 1,665 5,612
Foreign tax withholding (2,123) (307) --
Income from securities lending 9,666 1,440 1,354
Other income -- -- --
------------ ------------ ------------
Total Investment Income 124,189 324,650 1,961,667
------------ ------------ ------------
EXPENSES:
Investment advisory fees 178,379 379,400 1,275,947
Administration fees 44,205 82,269 276,686
Distribution servicing fees - Class A Shares 8,767 15,594 80,401
Distribution servicing fees - Class B Shares 2,851 8,883 28,252
Distribution servicing fees - Class C Shares 626 1,234 5,885
Administrative servicing fees - Class C Shares 209 411 1,962
Administrative servicing fees - Select Shares NA NA NA
Administrative servicing fees - Preferred Shares NA NA NA
Administrative servicing fees - Trust Shares NA NA NA
Accounting fees 32,828 32,737 49,922
Registration and filing fees 13,579 13,851 14,993
Transfer and dividend disbursing agent fees 21,682 45,202 138,682
Custody fees 2,969 2,477 4,103
Trustees' fees and expenses 1,148 2,250 6,983
Professional fees 9,036 10,003 14,397
Printing expense 8,016 15,287 48,937
Interest expense -- -- --
Dividends on securities sold short -- -- --
Other expenses 2,547 4,887 11,558
------------ ------------ ------------
Total expenses 326,842 614,485 1,958,708
------------ ------------ ------------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (57,014) (158,656) (151,578)
------------ ------------ ------------
Net Expenses 269,828 455,829 1,807,130
------------ ------------ ------------
Net Investment Income/(Loss) (145,639) (131,179) 154,537
------------ ------------ ------------
REALIZED AND UNREALIZED GAINS/(LOSSES)
FROM INVESTMENTS AND FUTURES:
Net realized gains/(losses) on investment transactions 556,087 (973,143) (3,735,758)
Net realized gains on futures transactions -- -- --
Change in unrealized appreciation/(depreciation) on investments and futures 3,556,581 8,839,295 27,254,884
------------ ------------ ------------
Net realized and unrealized gains on investments and futures 4,112,668 7,866,152 23,519,126
------------ ------------ ------------
Change in net assets resulting from operations $ 3,967,029 $ 7,734,973 $ 23,673,663
============ ============ ============
See notes to financial statements.
82
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
DISCIPLINED STRUCTURED
DIVIDEND MICRO CAP SMALL CAP ALL CAP LARGE CAP LARGE CAP EQUITY
GROWTH VALUE VALUE VALUE VALUE PLUS INDEX
- ------------ ----------- ------------ ------------ ------------- ------------ ------------
$ -- $ -- $ -- $ -- $ -- $ -- $ --
83,373 194,915 643,696 1,597,311 4,180,804 1,103,589 2,858,721
118 1,607 2,680 2,585 6,763 2,807 5,624
(260) -- -- (567) (4,564) (1,507) --
381 138 2,031 4,244 89 -- 3,275
-- -- -- 15 43 17 67
-------- ---------- ----------- ----------- ----------- ----------- -----------
83,612 196,660 648,407 1,603,588 4,183,135 1,104,906 2,867,687
-------- ---------- ----------- ----------- ----------- ----------- -----------
33,193 157,490 310,556 725,391 1,369,947 294,250 431,283
7,198 27,349 59,859 125,836 297,067 72,922 249,395
2,699 12,012 1,715 46,742 14,656 7,260 54,175
713 9,178 3,061 44,634 9,892 1,695 10,375
633 6,117 1,535 19,417 2,767 69 4,698
211 2,039 512 6,472 922 23 1,566
NA NA NA NA NA NA 4,143
NA NA NA NA NA NA 35,182
NA NA NA NA NA NA 38,858
32,666 33,237 32,666 33,150 51,610 36,511 69,396
14,209 13,617 10,795 13,638 15,995 16,430 13,705
11,874 31,944 10,734 86,420 60,621 20,331 41,700
3,042 7,679 5,747 6,749 5,992 5,822 11,603
252 592 1,474 3,293 7,488 2,160 6,039
8,184 8,734 9,261 10,826 14,782 85,021 13,703
4,666 14,222 3,727 34,108 20,336 7,819 15,311
-- -- -- -- -- 99,834 --
-- -- -- -- -- 185,042 --
1,447 1,950 2,982 5,494 11,042 3,745 24,170
-------- ---------- ----------- ----------- ----------- ----------- -----------
120,987 326,160 454,624 1,162,170 1,883,117 838,934 1,025,302
-------- ---------- ----------- ----------- ----------- ----------- -----------
(86,442) (84,202) (41,989) (253,228) (253,580) (138,239) (603,161)
-------- ---------- ----------- ----------- ----------- ----------- -----------
34,545 241,958 412,635 908,942 1,629,537 700,695 422,141
-------- ---------- ----------- ----------- ----------- ----------- -----------
49,067 (45,298) 235,772 694,646 2,553,598 404,211 2,445,546
-------- ---------- ----------- ----------- ----------- ----------- -----------
431,345 1,801,919 3,037,904 (377,320) (2,726,690) (2,667,908) 1,929,246
-- -- -- -- -- 703,541 1,527,998
71,556 285,626 7,039,774 14,163,375 32,329,539 7,853,233 19,944,209
-------- ---------- ----------- ----------- ----------- ----------- -----------
502,901 2,087,545 10,077,678 13,786,055 29,602,849 5,888,866 23,401,453
-------- ---------- ----------- ----------- ----------- ----------- -----------
$551,968 $2,042,247 $10,313,450 $14,480,701 $32,156,447 $ 6,293,077 $25,846,999
======== ========== =========== =========== =========== =========== ===========
See notes to financial statements.
83
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
INTERNATIONAL STRATEGIC LIFEMODEL
INVESTMENT INCOME: EQUITY INCOME AGGRESSIVE(SM)
------------ ------------ --------------
Interest income $ -- $ 1,141,869 $ --
Dividend income 2,754,662 1,665,724 --
Dividend income from affiliates 3,840 3,526 1,409,890
Foreign tax withholding (166,177) (188) --
Income from securities lending 3,638 2,198 --
Other income 26 -- --
------------ ------------ -----------
Total Investment Income 2,595,989 2,813,129 1,409,890
------------ ------------ -----------
EXPENSES:
Investment advisory fees 1,290,968 421,009 90,684
Administration fees 223,952 73,035 104,877
Distribution servicing fees - Class A Shares 15,469 19,073 36,583
Distribution servicing fees - Class B Shares 4,893 3,943 40,480
Distribution servicing fees - Class C Shares 1,446 35,313 4,861
Administrative servicing fees - Class C Shares 482 11,771 1,620
Accounting fees 52,582 35,112 31,077
Registration and filing fees 16,977 12,699 12,125
Transfer and dividend disbursing agent fees 35,787 23,676 56,737
Custody fees 50,923 2,986 1,156
Trustees' fees and expenses 5,728 1,895 2,886
Professional fees 15,783 12,435 9,556
Printing expense 10,936 9,863 22,892
Interest expense 9,372 -- --
Other expenses 8,847 3,329 4,392
------------ ------------ -----------
Total expenses 1,744,145 666,139 419,926
------------ ------------ -----------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (182,320) (223,386) (288,017)
------------ ------------ -----------
Net Expenses 1,561,825 442,753 131,909
------------ ------------ -----------
Net Investment Income 1,034,164 2,370,376 1,277,981
------------ ------------ -----------
REALIZED AND UNREALIZED GAINS/(LOSSES)
FROM INVESTMENTS, FUTURES AND FOREIGN CURRENCY:
Net realized gains/(losses) on investment and foreign currency transactions 8,825,345 (554,591) (6,591,875)+
Net realized gains on futures transactions 1,007,274 163,330 --
Change in unrealized appreciation/(depreciation) on investments, futures and
foreign currency transactions (290,950) 8,368,194 13,910,178
------------ ------------ -----------
Net realized and unrealized gains on investments, futures and
foreign currency transactions 9,541,669 7,976,933 7,318,303
------------ ------------ -----------
Change in net assets resulting from operations $ 10,575,833 $ 10,347,309 $ 8,596,284
============ ============ ===========
- -----------------
+ Represents realized losses from investment transactions with affiliates.
See notes to financial statements.
84
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
MODERATELY LIFEMODEL MODERATELY LIFEMODEL HIGH YIELD TOTAL RETURN SHORT TERM
AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM) BOND BOND BOND
- -------------- ------------- ---------------- ---------------- ------------- ------------ ------------
$ -- $ -- $ -- $ -- $2,377,208 $ 9,104,458 $3,989,333
-- -- -- -- 3,462 186,406 --
3,055,595 4,976,899 1,117,288 891,364 642 6,017 5,579
-- -- -- -- -- -- --
-- -- -- -- 1,675 2,228 8,073
-- -- -- -- -- 38,190 1,489
----------- ------------ ----------- ----------- ---------- ------------ ----------
3,055,595 4,976,899 1,117,288 891,364 2,382,987 9,337,299 4,004,474
----------- ------------ ----------- ----------- ---------- ------------ ----------
161,750 226,586 47,714 33,135 189,307 1,145,797 617,302
187,066 262,035 55,182 38,320 46,966 331,264 214,396
86,209 60,745 20,867 12,890 8,906 19,792 15,728
141,988 103,404 41,308 24,721 395 14,383 NA
12,612 10,296 4,461 5,731 1,949 2,871 9,331
4,204 3,432 1,487 1,911 650 957 3,110
37,498 46,156 31,068 31,060 36,093 62,784 40,574
12,645 12,522 11,901 11,515 12,069 14,383 15,586
119,365 70,579 20,922 11,509 4,225 33,975 36,877
1,945 2,855 635 422 1,597 10,771 6,499
5,218 8,209 1,615 1,086 1,077 9,671 5,278
12,388 15,100 7,744 7,695 13,343 17,482 14,521
48,151 27,813 8,347 4,499 2,027 9,394 12,784
-- -- -- -- -- -- --
6,971 10,018 2,835 2,087 2,191 13,223 6,641
----------- ------------ ----------- ----------- ---------- ------------ ----------
838,010 859,750 256,086 186,581 320,795 1,686,747 998,627
----------- ------------ ----------- ----------- ---------- ------------ ----------
(506,730) (561,027) (162,515) (123,656) (108,771) (407,464) (236,398)
----------- ------------ ----------- ----------- ---------- ------------ ----------
331,280 298,723 93,571 62,925 212,024 1,279,283 762,229
----------- ------------ ----------- ----------- ---------- ------------ ----------
2,724,315 4,678,176 1,023,717 828,439 2,170,963 8,058,016 3,242,245
----------- ------------ ----------- ----------- ---------- ------------ ----------
(8,051,343)+ (27,378,752)+ (2,948,750)+ (2,022,449)+ 480,366 (19,603,991) (48,869)
-- -- -- -- -- 916,891 83,454
18,821,761 42,021,895 5,867,421 3,641,866 4,013,625 35,212,577 4,532,362
----------- ------------ ----------- ----------- ---------- ------------ ----------
10,770,418 14,643,143 2,918,671 1,619,417 4,493,991 16,525,477 4,566,947
----------- ------------ ----------- ----------- ---------- ------------ ----------
$13,494,733 $ 19,321,319 $ 3,942,388 $ 2,447,856 $6,664,954 $ 24,583,493 $7,809,192
=========== ============ =========== =========== ========== ============ ==========
See notes to financial statements.
85
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH MID CAP GROWTH
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ -------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income/(loss) $ (145,639) $ (270,799) $ (131,179) $ (233,355)
Net realized gains/(losses) on investment transactions 556,087 (15,191,493) (973,143) (49,912,688)
Net change in unrealized appreciation/(depreciation) on
investment and futures transactions 3,556,581 (5,469,277) 8,839,295 (17,102,132)
------------ ------------ ------------ -------------
Change in net assets resulting from operations 3,967,029 (20,931,569) 7,734,973 (67,248,175)
------------ ------------ ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares -- -- -- --
Class A Shares -- -- -- --
Class B Shares -- -- -- --
Class C Shares -- -- -- --
DISTRIBUTIONS FROM NET REALIZED GAINS:
Institutional Shares -- -- -- (15,799,771)
Class A Shares -- -- -- (2,230,945)
Class B Shares -- -- -- (484,107)
Class C Shares -- -- -- (84,681)
------------ ------------ ------------ -------------
Change in net assets from shareholder distributions -- -- -- (18,599,504)
------------ ------------ ------------ -------------
Change in net assets from Fund share transactions (11,521,298) (7,074,949) (18,794,304) (52,532,002)
------------ ------------ ------------ -------------
Change in net assets (7,554,269) (28,006,518) (11,059,331) (138,379,681)
NET ASSETS:
Beginning of period 50,686,440 78,692,958 95,973,463 234,353,144
------------ ------------ ------------ -------------
End of period $ 43,132,171 $ 50,686,440 $ 84,914,132 $ 95,973,463
============ ============ ============ =============
Accumulated net investment income/(loss) $ (149,690) $ (4,051) $ (131,179) $ --
============ ============ ============ =============
- --------------
(a) Unaudited
See notes to financial statements.
86
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
QUALITY GROWTH DIVIDEND GROWTH MICRO CAP VALUE SMALL CAP VALUE
- ---------------------------- -------------------------- -------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
$ 154,537 $ 1,717,680 $ 49,067 $ 200,548 $ (45,298) $ 119,980 $ 235,772 $ 1,074,826
(3,735,758) (42,381,346) 431,345 (4,137,371) 1,801,919 (6,300,682) 3,037,904 (15,847,456)
27,254,884 (65,154,751) 71,556 (278,321) 285,626 914,167 7,039,774 (3,419,451)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
23,673,663 (105,818,417) 551,968 (4,215,144) 2,042,247 (5,266,535) 10,313,450 (18,192,081)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(670,279) (813,653) (39,978) (196,329) -- (82,291) (437,144) (1,120,901)
(103,651) (134,733) (12,681) (41,160) -- (16,358) (6,203) (17,872)
-- (1,975) (417) (1,763) -- (1,249) (50) (3,667)
-- (673) (514) (2,363) -- (717) -- (2,900)
-- (10,275,994) -- -- -- (52,897) -- (20,170)
-- (2,566,441) -- -- -- (24,130) -- (390)
-- (411,586) -- -- -- (7,846) -- (197)
-- (84,424) -- -- -- (4,689) -- (125)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(773,930) (14,289,479) (53,590) (241,615) -- (190,177) (443,397) (1,166,222)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(6,388,966) (52,407,403) (2,226,274) (6,301,907) 1,275,353 (4,264,592) (18,682,832) (2,523,165)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
16,510,767 (172,515,299) (1,727,896) (10,758,666) 3,317,600 (9,721,304) (8,812,779) (21,881,468)
306,084,392 478,599,691 9,323,934 20,082,600 28,273,627 37,994,931 67,481,220 89,362,688
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
$322,595,159 $306,084,392 $ 7,596,038 $ 9,323,934 $31,591,227 $28,273,627 $ 58,668,441 $ 67,481,220
============ ============ =========== ============ =========== =========== ============ ============
$ 154,081 $ 773,474 $ (491) $ 4,032 $ 5,973 $ 51,271 $ 90,164 $ 297,789
============ ============ =========== ============ =========== =========== ============ ============
See notes to financial statements.
87
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
DISCIPLINED
ALL CAP VALUE LARGE CAP VALUE
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------- ------------ -------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 694,646 $ 2,801,988 $ 2,553,598 $ 8,585,632
Net realized gains/(losses) on investment and
foreign currency transactions (377,320) (40,793,430) (2,726,690) (111,466,740)
Net realized gains/(losses) on futures transactions -- -- -- --
Net change in unrealized appreciation/(depreciation) on
investments, futures and foreign currency transactions 14,163,375 (19,016,994) 32,329,539 (7,681,588)
------------ ------------- ------------ -------------
Change in net assets resulting from operations 14,480,701 (57,008,436) 32,156,447 (110,562,696)
------------ ------------- ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (539,574) (2,322,599) (2,503,826) (9,528,516)
Class A Shares (183,677) (662,989) (74,401) (318,302)
Class B Shares (16,412) (141,121) (5,880) (51,229)
Class C Shares (10,154) (81,413) (2,197) (20,375)
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
DISTRIBUTIONS FROM NET REALIZED GAINS:
Institutional Shares -- (8,541,044) -- (6,120,694)
Class A Shares -- (2,608,357) -- (218,916)
Class B Shares -- (826,472) -- (49,340)
Class C Shares -- (472,165) -- (16,869)
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
------------ ------------- ------------ -------------
Change in net assets from shareholder distributions (749,817) (15,656,160) (2,586,304) (16,324,241)
------------ ------------- ------------ -------------
Change in net assets from Fund share transactions (21,793,645) (28,684,331) (11,791,631) (61,428,189)
------------ ------------- ------------ -------------
Change in net assets (8,062,761) (101,348,927) 17,778,512 (188,315,126)
NET ASSETS:
Beginning of period 141,441,688 242,790,615 322,137,679 510,452,805
------------ ------------- ------------ -------------
End of period $133,378,927 $ 141,441,688 $339,916,191 $ 322,137,679
============ ============= ============ =============
Accumulated net investment income/(loss) $ (11,107) $ 44,064 $ 82,468 $ 115,174
============ ============= ============ =============
- --------------
(a) Unaudited
See notes to financial statements.
88
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME
- ---------------------------- -------------------------- --------------------------- -----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
$ 404,211 $ 1,505,793 $ 2,445,546 $ 6,039,613 $ 1,034,164 $ 7,531,396 $ 2,370,376 $ 6,036,212
(2,667,908) (46,428,578) 1,929,246 2,026,937 8,825,345 (147,743,914) (554,591) (8,574,686)
703,541 (324,340) 1,527,998 (1,956,017) 1,007,274 (1,806,080) 163,330 2,279,929
7,853,233 (6,292,012) 19,944,209 (76,773,100) (290,950) 23,614,007 8,368,194 (4,038,633)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
6,293,077 (51,539,137) 25,846,999 (70,662,567) 10,575,833 (118,404,591) 10,347,309 (4,297,178)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
(561,045) (2,087,267) (1,398,722) (3,568,905) (7,370,433) (6,743,508) (2,746,102) (5,089,269)
(34,383) (177,656) (337,845) (1,010,745) (347,655) (311,114) (715,184) (819,367)
(751) (7,622) (8,560) (39,152) (24,568) (15,149) (33,545) (49,786)
(10) (736) (4,531) (23,517) (9,905) (7,216) (407,259) (512,601)
NA NA (90,468) (230,309) NA NA NA NA
NA NA (398,852) (1,092,118) NA NA NA NA
NA NA (247,234) (814,295) NA NA NA NA
-- -- -- -- -- (41,939,630) -- (72,039)
-- -- -- -- -- (2,120,448) -- (11,356)
-- -- -- -- -- (208,199) -- (832)
-- -- -- -- -- (75,346) -- (8,233)
NA NA -- -- NA NA NA NA
NA NA -- -- NA NA NA NA
NA NA -- -- NA NA NA NA
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
(596,189) (2,273,281) (2,486,212) (6,779,041) (7,752,561) (51,420,610) (3,902,090) (6,563,483)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
(3,891,743) (14,200,976) (7,097,894) (7,288,786) 2,786,932 (27,148,779) (3,128,259) (23,171,117)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
1,805,145 (68,013,394) 16,262,893 (84,730,394) 5,610,204 (196,973,980) 3,316,960 (34,031,778)
78,795,252 146,808,646 266,775,190 351,505,584 247,077,728 444,051,708 82,133,812 116,165,590
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
$ 80,600,397 $ 78,795,252 $283,038,083 $266,775,190 $252,687,932 $247,077,728 $ 85,450,772 $ 82,133,812
============ ============ =========== ============ ============ ============ ============= ============
$ 1,602 $ 193,580 $ 224,861 $ 265,527 $ 288,489 $ 7,006,886 $ (352,686) $ 1,179,028
============ ============ =========== ============ ============ ============ ============= ============
See notes to financial statements.
89
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
AGGRESSIVE(SM) MODERATELY AGGRESSIVE(SM)
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ ------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,277,981 $ 2,332,101 $ 2,724,315 $ 5,735,787
Net realized gains/(losses) on investment
transactions (6,591,875)+ (8,137,540)+ (8,051,343)+ (10,157,710)+
Realized gain distributions from underlying funds -- 7,564,541+ -- 9,992,074+
Net change in unrealized appreciation/(depreciation) on
investment and futures transactions 13,910,178 (41,114,152) 18,821,761 (57,647,868)
------------ ------------ ------------ ------------
Change in net assets resulting from operations 8,596,284 (39,355,050) 13,494,733 (52,077,717)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (959,539) (2,064,758) (1,691,514) (4,255,438)
Class A Shares (298,176) (746,554) (896,069) (2,548,105)
Class B Shares (58,076) (171,246) (274,103) (919,596)
Class C Shares (9,260) (30,198) (31,849) (118,789)
DISTRIBUTIONS FROM NET REALIZED GAINS:
Institutional Shares (1,114,385) (9,245,989) (477,367) (9,790,688)
Class A Shares (393,606) (3,829,618) (278,246) (6,315,446)
Class B Shares (111,639) (1,160,583) (118,921) (2,821,308)
Class C Shares (17,746) (207,309) (14,070) (358,343)
------------ ------------ ------------ ------------
Change in net assets from shareholder distributions (2,962,427) (17,456,255) (3,782,139) (27,127,713)
------------ ------------ ------------ ------------
Change in net assets from Fund share transactions (6,280,158) 2,684,368 (2,847,659) 2,543,244
------------ ------------ ------------ ------------
Change in net assets (646,301) (54,126,937) 6,864,935 (76,662,186)
NET ASSETS:
Beginning of period 114,131,162 168,258,099 206,582,140 283,244,326
------------ ------------ ------------ ------------
End of period $113,484,861 $114,131,162 $213,447,075 $206,582,140
============ ============ ============ ============
Accumulated net investment income/(loss) $ (8,567) $ 38,503 $ 94,655 $ 263,875
============ ============ ============ ============
- --------------
(a) Unaudited
(+) Represents realized gains/(losses) from investment transactions with
affiliates.
See notes to financial statements.
90
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL LIFEMODEL
MODERATE(SM) MODERATELY CONSERVATIVE(SM) CONSERVATIVE(SM) HIGH YIELD BOND
- ---------------------------- -------------------------- --------------------------- -----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ------------ ------------ ----------- ------------ ----------- ------------ ------------- ------------
$ 4,678,176 $ 12,041,389 $ 1,023,717 $ 2,455,945 $ 828,439 $ 1,950,812 $ 2,170,963 $ 4,130,894
(27,378,752)+ (13,160,528)+ (2,948,750)+ (2,836,243)+ (2,022,449)+ (724,049)+ 480,366 (3,918,400)
-- 10,871,978+ -- 1,648,859+ -- 484,257+ -- --
42,021,895 (62,798,838) 5,867,421 (9,655,094) 3,641,866 (4,315,948) 4,013,625 1,908,066
- ------------ ------------ ----------- ------------ ----------- ------------ ----------- ------------
19,321,319 (53,045,999) 3,942,388 (8,386,533) 2,447,856 (2,604,928) 6,664,954 2,120,560
- ------------ ------------ ----------- ------------ ----------- ------------ ----------- ------------
(4,124,587) (11,830,593) (694,876) (1,749,146) (599,161) (1,342,653) (1,855,476) (4,080,098)
(786,410) (2,274,819) (287,439) (846,815) (211,439) (507,006) (276,743) (80,278)
(257,410) (846,042) (109,713) (377,208) (79,940) (250,969) (2,822) (8,144)
(34,754) (114,567) (15,008) (58,310) (24,551) (77,632) (20,506) (8,931)
-- (14,202,395) -- (2,063,752) -- (477,832) -- --
-- (2,974,781) -- (1,084,025) -- (194,042) -- --
-- (1,341,632) -- (609,553) -- (112,843) -- --
-- (181,300) -- (91,336) -- (33,244) -- --
- ------------ ------------ ----------- ------------ ----------- ------------ ----------- ------------
(5,203,161) (33,766,129) (1,107,036) (6,880,145) (915,091) (2,996,221) (2,155,547) (4,177,451)
- ------------ ------------ ----------- ------------ ----------- ------------ ----------- ------------
(78,786,519) (3,351,021) (3,788,332) (6,910,560) (3,246,840) (1,367,609) (9,174,397) 3,453,354
- ------------ ------------ ----------- ------------ ----------- ------------ ----------- ------------
(64,668,361) (90,163,149) (952,980) (22,177,238) (1,714,075) (6,968,758) (4,664,990) 1,396,463
329,946,896 420,110,045 62,078,008 84,255,246 43,657,486 50,626,244 52,024,817 50,628,354
- ------------ ------------ ----------- ------------ ----------- ------------ ----------- ------------
$265,278,535 $329,946,896 $61,125,028 $ 62,078,008 $41,943,411 $ 43,657,486 $47,359,827 $ 52,024,817
============ ============ =========== ============ =========== ============ =========== ============
$ 289,908 $ 814,893 $ 79,454 $ 162,773 $ 78,736 $ 165,388 $ 43,841 $ 28,425
============ ============ =========== ============ =========== ============ =========== ============
See notes to financial statements.
91
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
TOTAL RETURN BOND SHORT TERM BOND
------------------------------ ------------------- -----------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ ------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 8,058,016 $ 25,025,537 $ 3,242,245 $ 8,207,134
Net realized gains/(losses) on investment and
foreign currency transactions (19,603,991) (33,876,658) (48,869) 1,245,696
Net realized gains on futures transactions 916,891 809,398 83,454 1,213,775
Net change in unrealized appreciation/(depreciation) on
investment, futures and foreign currency transactions 35,212,577 (4,145,602) 4,532,362 (1,986,398)
------------ ------------ ------------ ------------
Change in net assets resulting from operations 24,583,493 (12,187,325) 7,809,192 8,680,207
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (8,838,860) (24,645,395) (3,137,180) (8,194,578)
Class A Shares (369,137) (935,295) (168,253) (214,515)
Class B Shares (56,471) (152,861) NA NA
Class C Shares (15,066) (39,308) (24,003) (10,805)
DISTRIBUTIONS FROM NET REALIZED GAINS:
Institutional Shares -- -- -- --
Class A Shares -- -- -- --
Class B Shares -- -- NA NA
Class C Shares -- -- -- --
------------ ------------ ------------ ------------
Change in net assets from shareholder distributions (9,279,534) (25,772,859) (3,329,436) (8,419,898)
------------ ------------ ------------ ------------
Change in net assets from Fund share transactions (101,224,965) (141,182,721) 25,104,721 (17,194,626)
------------ ------------ ------------ ------------
Change in net assets (85,921,006) (179,142,905) 29,584,477 (16,934,317)
NET ASSETS:
Beginning of period 405,919,677 585,062,582 232,139,771 249,074,088
------------ ------------ ------------ ------------
End of period $319,998,671 $405,919,677 $261,724,248 $232,139,771
============ ============ ============ ============
Accumulated net investment income/(loss) $ (1,409,674) $ (188,156) $ 43,304 $ 130,495
============ ============ ============ ============
- --------------
(a) Unaudited
See notes to financial statements.
92
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93
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH MID CAP GROWTH
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 1,220,927 $ 6,418,659 $ 1,883,568 $ 11,115,449
Dividends reinvested -- -- -- 15,715,482
Shares redeemed (12,128,973) (12,100,810) (18,811,980) (77,863,957)
------------ ------------ ------------ ------------
Total Institutional Shares (10,908,046) (5,682,151) (16,928,412) (51,033,026)
------------ ------------ ------------ ------------
Class A Shares
Shares issued 154,806 319,591 568,601 1,090,004
Dividends reinvested -- -- -- 2,164,827
Shares redeemed (603,151) (1,627,560) (1,827,413) (4,055,370)
------------ ------------ ------------ ------------
Total Class A Shares (448,345) (1,307,969) (1,258,812) (800,539)
------------ ------------ ------------ ------------
Class B Shares
Shares issued -- 3,610 14,963 7,274
Dividends reinvested -- -- -- 462,901
Shares redeemed (44,530) (113,155) (480,122) (1,098,021)
------------ ------------ ------------ ------------
Total Class B Shares (44,530) (109,545) (465,159) (627,846)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 24,335 37,343 14,109 48,884
Dividends reinvested -- -- -- 80,262
Shares redeemed (144,712) (12,627) (156,030) (199,737)
------------ ------------ ------------ ------------
Total Class C Shares (120,377) 24,716 (141,921) (70,591)
------------ ------------ ------------ ------------
Change from capital transactions $(11,521,298) $ (7,074,949) $(18,794,304) $(52,532,002)
============ ============ ============ ============
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 183,763 1,040,498 228,376 1,293,847
Dividends reinvested -- -- -- 2,742,667
Shares redeemed (1,792,751) (2,188,661) (2,354,918) (10,277,404)
------------ ------------ ------------ ------------
Total Institutional Shares (1,608,988) (1,148,163) (2,126,542) (6,240,890)
------------ ------------ ------------ ------------
Class A Shares
Shares issued 25,455 63,858 76,023 167,708
Dividends reinvested -- -- -- 397,216
Shares redeemed (99,014) (313,785) (243,479) (605,853)
------------ ------------ ------------ ------------
Total Class A Shares (73,559) (249,927) (167,456) (40,929)
------------ ------------ ------------ ------------
Class B Shares
Shares issued -- 705 2,134 1,384
Dividends reinvested -- -- -- 94,470
Shares redeemed (7,967) (23,793) (71,966) (185,976)
------------ ------------ ------------ ------------
Total Class B Shares (7,967) (23,088) (69,832) (90,122)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 4,514 8,920 2,244 8,094
Dividends reinvested -- -- -- 17,524
Shares redeemed (26,418) (2,843) (24,525) (31,544)
------------ ------------ ------------ ------------
Total Class C Shares (21,904) 6,077 (22,281) (5,926)
------------ ------------ ------------ ------------
Change from capital transactions (1,712,418) (1,415,101) (2,386,111) (6,377,867)
============ ============ ============ ============
- --------------
(a) Unaudited
See notes to financial statements.
94
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
QUALITY GROWTH DIVIDEND GROWTH MICRO CAP VALUE SMALL CAP VALUE
- ---------------------------- -------------------------- -------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
$ 35,787,409 $ 27,073,941 $ 35,823 $ 930,942 $ 2,223,637 $ 4,684,500 $ 3,143,130 $ 14,612,223
514,729 10,804,109 20,374 57,911 -- 122,993 358,893 830,143
(35,516,443) (79,391,844) (2,076,231) (6,926,524) (2,852,077) (6,923,650) (21,994,358) (17,960,522)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
785,695 (41,513,794) (2,020,034) (5,937,671) (628,440) (2,116,157) (18,492,335) (2,518,156)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
1,456,689 3,372,392 56,272 126,801 3,460,935 1,749,740 149,634 587,156
94,243 2,472,412 11,523 38,242 -- 31,711 4,890 14,466
(6,466,827) (12,207,454) (281,821) (461,655) (1,625,956) (3,322,987) (215,760) (626,936)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(4,915,895) (6,362,650) (214,026) (296,612) 1,834,979 (1,541,536) (61,236) (25,314)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
20,112 20,776 39,672 28,855 9,586 6,174 9,045 21,423
-- 404,610 321 1,364 -- 8,327 43 3,281
(1,823,465) (4,504,541) (30,165) (80,015) (353,434) (604,084) (55,199) (92,963)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(1,803,353) (4,079,155) 9,828 (49,796) (343,848) (589,583) (46,111) (68,259)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
121,664 112,846 4,333 7,256 768,130 345,691 14,527 203,264
-- 80,030 435 2,038 -- 4,119 -- 2,269
(577,077) (644,680) (6,810) (27,122) (355,468) (367,126) (97,677) (116,969)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(455,413) (451,804) (2,042) (17,828) 412,662 (17,316) (83,150) 88,564
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
$ (6,388,966) $(52,407,403) $(2,226,274) $(6,301,907) $ 1,275,353 $(4,264,592) $(18,682,832) $ (2,523,165)
============ ============ =========== ============ =========== =========== ============ ============
2,561,382 2,219,897 1,820 57,388 655,083 1,665,832 209,360 1,124,149
36,096 1,007,311 1,034 3,147 -- 44,842 22,529 73,071
(2,663,566) (6,592,569) (110,050) (377,370) (832,065) (2,382,257) (1,428,356) (1,433,005)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(66,088) (3,365,361) (107,196) (316,835) (176,982) (671,583) (1,196,467) (235,785)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
113,962 307,814 2,978 7,594 1,125,071 670,372 9,911 44,281
6,800 237,444 597 2,109 -- 13,694 310 1,286
(494,629) (1,056,033) (14,509) (26,090) (518,976) (1,220,126) (14,525) (49,863)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(373,867) (510,775) (10,934) (16,387) 606,095 (536,060) (4,304) (4,296)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
1,668 1,970 2,221 1,854 3,362 2,095 647 1,820
-- 41,585 17 74 -- 3,993 3 303
(152,419) (427,488) (1,615) (5,371) (124,594) (250,499) (3,955) (9,124)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(150,751) (383,933) 623 (3,443) (121,232) (244,411) (3,305) (7,001)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
10,961 9,695 232 496 262,848 140,725 983 16,407
-- 8,505 24 118 -- 1,976 -- 210
(49,246) (59,216) (374) (1,793) (124,744) (162,966) (6,883) (9,148)
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(38,285) (41,016) (118) (1,179) 138,104 (20,265) (5,900) 7,469
- ------------ ------------ ----------- ----------- ----------- ----------- ------------ ------------
(628,991) (4,301,085) (117,625) (337,844) 445,985 (1,472,319) (1,209,976) (239,613)
============ ============ =========== ============ =========== =========== ============ ============
See notes to financial statements.
95
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
DISCIPLINED
ALL CAP VALUE LARGE CAP VALUE
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ -------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 5,207,594 $ 10,237,700 $ 43,193,505 $ 49,717,152
Dividends reinvested 396,899 9,970,038 1,407,984 11,015,883
Shares redeemed (25,349,861) (42,308,602) (54,922,679) (118,271,630)
------------ ------------ ------------ -------------
Total Institutional Shares (19,745,368) (22,100,864) (10,321,190) (57,538,595)
------------ ------------ ------------ -------------
Class A Shares
Shares issued 5,853,074 7,821,432 864,860 2,372,844
Dividends reinvested 145,058 2,716,384 65,867 474,938
Shares redeemed (5,124,192) (14,520,253) (1,785,521) (5,270,092)
------------ ------------ ------------ -------------
Total Class A Shares 873,940 (3,982,437) (854,794) (2,422,310)
------------ ------------ ------------ -------------
Class B Shares
Shares issued 41,390 34,875 50,432 44,386
Dividends reinvested 14,963 899,625 4,869 84,877
Shares redeemed (2,246,154) (2,722,369) (471,810) (1,004,917)
------------ ------------ ------------ -------------
Total Class B Shares (2,189,801) (1,787,869) (416,509) (875,654)
------------ ------------ ------------ -------------
Class C Shares
Shares issued 272,864 1,166,775 65,054 67,881
Dividends reinvested 5,463 247,016 1,205 21,192
Shares redeemed (1,010,743) (2,226,952) (265,397) (680,703)
------------ ------------ ------------ -------------
Total Class C Shares (732,416) (813,161) (199,138) (591,630)
------------ ------------ ------------ -------------
Select Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ -------------
Total Select Shares NA NA NA NA
------------ ------------ ------------ -------------
Preferred Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ -------------
Total Preferred Shares NA NA NA NA
------------ ------------ ------------ -------------
Trust Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ -------------
Total Trust Shares NA NA NA NA
------------ ------------ ------------ -------------
Change from capital transactions $(21,793,645) $(28,684,331) $(11,791,631) $ (61,428,189)
============ ============ ============ =============
- --------------
(a) Unaudited
See notes to financial statements.
96
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME
- ---------------------------- ---------------------------- ---------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 4,935 $ 67,753 $ 21,019,917 $ 65,565,256 $ 33,754,519 $ 24,506,724 $ 4,167,976 $ 20,533,451
513,449 1,797,417 1,234,840 3,204,806 5,885,297 46,586,794 350,011 638,453
(3,754,333) (13,832,544) (26,633,015) (59,677,149) (35,539,635) (97,228,310) (10,619,917) (42,984,155)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(3,235,949) (11,967,374) (4,378,258) 9,092,913 4,100,181 (26,134,792) (6,101,930) (21,812,251)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
39,755 77,435 4,042,495 11,104,896 1,900,112 975,859 2,982,769 3,139,777
32,131 168,301 327,330 977,174 322,237 2,246,616 452,857 576,407
(663,013) (2,365,487) (9,461,207) (14,261,713) (3,339,899) (3,788,133) (1,236,220) (4,202,885)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(591,127) (2,119,751) (5,091,382) (2,179,643) (1,117,550) (565,658) 2,199,406 (486,701)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
-- -- 24,298 11,404 22,592 24,933 17,475 43,795
531 5,018 7,394 32,917 17,500 159,815 16,784 24,986
(90,206) (101,749) (238,491) (389,563) (190,976) (567,120) (73,780) (211,271)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(89,675) (96,731) (206,799) (345,242) (150,884) (382,372) (39,521) (142,490)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
37,990 11,299 127,907 721,303 10,779 18,796 1,458,128 1,121,295
8 237 3,352 19,116 8,822 71,937 298,169 381,784
(12,990) (28,656) (718,697) (783,330) (64,416) (156,690) (942,511) (2,232,754)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
25,008 (17,120) (587,438) (42,911) (44,815) (65,957) 813,786 (729,675)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 1,022,645 2,749,243 NA NA NA NA
NA NA 73,778 183,033 NA NA NA NA
NA NA (1,931,518) (2,040,830) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA (835,095) 891,446 NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 10,134,303 19,094,649 NA NA NA NA
NA NA 383,084 1,045,835 NA NA NA NA
NA NA (9,426,517) (20,332,697) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 1,090,870 (192,213) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 7,250,076 818,301 NA NA NA NA
NA NA 74,612 168,050 NA NA NA NA
NA NA (4,414,480) (15,499,487) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 2,910,208 (14,513,136) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
$(3,891,743) $(14,200,976) $ (7,097,894) $ (7,288,786) $ 2,786,932 $(27,148,779) $ (3,128,259) $(23,171,117)
=========== ============ ============ ============ ============ ============ ============ ============
See notes to financial statements.
97
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
DISCIPLINED
ALL CAP VALUE LARGE CAP VALUE
------------------------------ -----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ ------------
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 373,168 774,848 4,570,176 6,216,790
Dividends reinvested 28,549 905,857 148,385 1,354,418
Shares redeemed (1,840,910) (3,401,904) (5,883,778) (13,935,660)
------------ ------------ ------------ ------------
Total Institutional Shares (1,439,193) (1,721,199) (1,165,217) (6,364,452)
------------ ------------ ------------ ------------
Class A Shares
Shares issued 433,858 689,081 93,978 306,746
Dividends reinvested 10,611 249,029 6,947 57,608
Shares redeemed (378,936) (1,211,285) (192,528) (622,456)
------------ ------------ ------------ ------------
Total Class A Shares 65,533 (273,175) (91,603) (258,102)
------------ ------------ ------------ ------------
Class B Shares
Shares issued 3,431 3,080 5,628 5,313
Dividends reinvested 1,158 87,524 504 10,164
Shares redeemed (175,540) (233,095) (50,436) (124,246)
------------ ------------ ------------ ------------
Total Class B Shares (170,951) (142,491) (44,304) (108,769)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 21,704 98,272 6,983 7,735
Dividends reinvested 422 24,066 128 2,557
Shares redeemed (80,282) (196,851) (29,001) (73,078)
------------ ------------ ------------ ------------
Total Class C Shares (58,156) (74,513) (21,890) (62,786)
------------ ------------ ------------ ------------
Select Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ ------------
Total Select Shares NA NA NA NA
------------ ------------ ------------ ------------
Preferred Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ ------------
Total Preferred Shares NA NA NA NA
------------ ------------ ------------ ------------
Trust Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ ------------
Total Trust Shares NA NA NA NA
------------ ------------ ------------ ------------
Change from capital transactions (1,602,767) (2,211,378) (1,323,014) (6,794,109)
============ ============ ============= ============
- --------------
(a) Unaudited
See notes to financial statements.
98
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME
- ---------------------------- ---------------------------- ---------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
536 2,021 1,028,518 3,715,164 4,308,432 3,479,441 434,995 2,403,301
52,337 178,373 59,738 175,320 761,358 7,729,437 36,814 81,968
(388,402) (1,246,923) (1,305,794) (3,372,663) (4,577,574) (13,322,716) (1,127,207) (5,502,079)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(335,529) (1,066,529) (217,538) 517,821 492,216 (2,113,838) (655,398) (3,016,810)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
4,134 4,845 199,549 642,151 243,292 137,136 315,174 387,652
3,327 16,498 15,910 53,309 41,687 373,101 47,758 73,496
(69,644) (254,555) (462,988) (795,179) (421,491) (536,206) (130,024) (538,025)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(62,183) (233,212) (247,529) (99,719) (136,512) (25,969) 232,908 (76,877)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
-- -- 1,225 498 2,963 3,766 1,867 6,113
57 479 360 1,775 2,315 27,360 1,771 3,192
(9,246) (11,508) (11,762) (22,246) (24,964) (75,373) (7,888) (28,113)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(9,189) (11,029) (10,177) (19,973) (19,686) (44,247) (4,250) (18,808)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
3,815 1,088 6,306 42,082 1,493 2,809 155,028 142,340
1 23 165 1,029 1,219 12,797 31,704 49,270
(1,347) (3,851) (35,450) (43,656) (8,856) (22,064) (100,003) (288,533)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
2,469 (2,740) (28,979) (545) (6,144) (6,458) 86,729 (96,923)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 50,265 159,659 NA NA NA NA
NA NA 3,573 10,055 NA NA NA NA
NA NA (93,836) (115,641) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA (39,998) 54,073 NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 490,547 1,059,894 NA NA NA NA
NA NA 18,521 57,044 NA NA NA NA
NA NA (464,287) (1,182,985) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 44,781 (66,047) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 355,838 47,318 NA NA NA NA
NA NA 3,563 8,792 NA NA NA NA
NA NA (216,930) (837,000) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
NA NA 142,471 (780,890) NA NA NA NA
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(404,432) (1,313,510) (356,969) (395,280) 329,874 (2,190,512) (340,011) (3,209,418)
=========== ============ ============ ============ ============ ============ ============ ============
See notes to financial statements.
99
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
AGGRESSIVE(SM) MODERATELY AGGRESSIVE(SM)
------------------------------ -----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 8,471,632 $ 21,584,414 $ 10,370,333 $ 29,733,716
Dividends reinvested 2,057,768 11,244,980 2,070,196 13,749,962
Shares redeemed (13,713,211) (28,032,959) (18,935,786) (30,309,711)
------------ ------------ ------------ ------------
Total Institutional Shares (3,183,811) 4,796,435 (6,495,257) 13,173,967
------------ ------------ ------------ ------------
Class A Shares
Shares issued 1,075,730 3,481,057 14,055,142 6,082,272
Dividends reinvested 626,705 4,185,747 1,068,964 8,001,053
Shares redeemed (3,717,895) (9,041,044) (8,736,208) (20,599,240)
------------ ------------ ------------ ------------
Total Class A Shares (2,015,460) (1,374,240) 6,387,898 (6,515,915)
------------ ------------ ------------ ------------
Class B Shares
Shares issued 5,392 115,932 60,172 383,209
Dividends reinvested 156,117 1,203,777 356,125 3,359,249
Shares redeemed (1,038,969) (1,998,602) (2,813,039) (6,850,571)
------------ ------------ ------------ ------------
Total Class B Shares (877,460) (678,893) (2,396,742) (3,108,113)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 18,473 143,905 133,977 209,351
Dividends reinvested 22,786 195,006 37,866 393,456
Shares redeemed (244,686) (397,845) (515,401) (1,609,502)
------------ ------------ ------------ ------------
Total Class C Shares (203,427) (58,934) (343,558) (1,006,695)
------------ ------------ ------------ ------------
Change from capital transactions $ (6,280,158) $ 2,684,368 $ (2,847,659) $ 2,543,244
============ ============ ============ ============
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 907,647 2,562,091 1,062,560 3,298,709
Dividends reinvested 217,681 1,452,831 210,480 1,659,510
Shares redeemed (1,458,035) (3,176,308) (1,944,972) (3,404,777)
------------ ------------ ------------ ------------
Total Institutional Shares (332,707) 838,614 (671,932) 1,553,442
------------ ------------ ------------ ------------
Class A Shares
Shares issued 116,282 414,457 1,413,852 708,697
Dividends reinvested 66,808 544,811 108,800 967,295
Shares redeemed (400,305) (1,042,412) (894,008) (2,243,406)
------------ ------------ ------------ ------------
Total Class A Shares (217,215) (83,144) 628,644 (567,414)
------------ ------------ ------------ ------------
Class B Shares
Shares issued 613 15,885 6,313 43,127
Dividends reinvested 17,260 162,756 36,613 412,201
Shares redeemed (114,873) (242,929) (292,877) (766,758)
------------ ------------ ------------ ------------
Total Class B Shares (97,000) (64,288) (249,951) (311,430)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 2,073 14,474 13,521 24,117
Dividends reinvested 2,521 26,401 3,891 48,280
Shares redeemed (27,692) (51,233) (54,176) (176,420)
------------ ------------ ------------ ------------
Total Class C Shares (23,098) (10,358) (36,764) (104,023)
------------ ------------ ------------ ------------
Change from capital transactions (670,020) 680,824 (330,003) 570,575
============ ============ ============ ============
- --------------
(a) Unaudited
See notes to financial statements.
100
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL LIFEMODEL
MODERATE(SM) MODERATELY CONSERVATIVE(SM) CONSERVATIVE(SM) HIGH YIELD BOND
- ---------------------------- --------------------------- ---------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009 2010 (a) 2009 2010 (a) 2009
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
$ 15,556,679 $ 46,521,777 $ 3,839,444 $ 10,419,494 $ 4,092,163 $ 11,051,704 $ 14,087,377 $ 9,054,518
4,046,918 25,775,707 657,638 3,692,672 592,227 1,778,305 815,872 1,917,597
(90,560,106) (62,264,457) (4,566,072) (13,971,331) (6,465,665) (11,134,755) (23,691,127) (11,403,874)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(70,956,509) 10,033,027 (68,990) 140,835 (1,781,275) 1,695,254 (8,787,878) (431,759)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
1,822,770 4,328,467 698,140 2,291,596 547,577 1,943,298 6,317,371 4,515,792
716,459 4,788,302 259,477 1,773,109 192,626 645,185 28,085 12,331
(7,944,000) (17,066,319) (3,506,601) (7,811,954) (1,055,002) (4,109,003) (7,537,193) (594,558)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(5,404,771) (7,949,550) (2,548,984) (3,747,249) (314,799) (1,520,520) (1,191,737) 3,933,565
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
112,729 463,146 -- 243,511 34,985 660,773 39,831 11,331
229,998 1,924,453 96,115 875,634 65,945 302,218 720 2,708
(2,697,440) (7,116,870) (986,725) (4,012,016) (857,028) (2,279,776) (29,306) (67,129)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(2,354,713) (4,729,271) (890,610) (2,892,871) (756,098) (1,316,785) 11,245 (53,090)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
187,041 99,628 2,500 42,756 3,522 175,194 785,237 9,991
29,678 246,826 12,462 112,112 18,216 86,872 12,136 2,507
(287,245) (1,051,681) (294,710) (566,143) (416,406) (487,624) (3,400) (7,860)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(70,526) (705,227) (279,748) (411,275) (394,668) (225,558) 793,973 4,638
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
$(78,786,519) $ (3,351,021) $(3,788,332) $ (6,910,560) $(3,246,840) $ (1,367,609) $ (9,174,397) $ 3,453,354
============ ============ =========== ============ =========== ============ ============ ============
1,638,557 5,247,730 438,013 1,278,141 452,904 1,295,159 1,521,221 1,212,995
424,635 3,095,839 74,736 476,626 65,485 214,300 88,898 256,877
(9,645,122) (7,026,668) (521,516) (1,660,866) (714,890) (1,295,659) (2,564,493) (1,520,323)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(7,581,930) 1,316,901 (8,767) 93,901 (196,501) 213,800 (954,374) (50,451)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
193,089 500,906 79,541 287,646 60,754 220,013 692,636 569,706
75,170 575,526 29,542 229,087 21,335 77,756 3,058 1,634
(840,396) (1,923,691) (401,768) (924,852) (116,407) (471,212) (805,532) (82,686)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(572,137) (847,259) (292,685) (408,119) (34,318) (173,443) (109,838) 488,654
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
12,020 52,159 -- 28,682 3,969 78,856 4,264 1,385
24,238 233,412 10,974 113,791 7,334 36,666 78 356
(285,932) (811,344) (113,545) (493,623) (95,194) (266,799) (3,168) (10,205)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(249,674) (525,773) (102,571) (351,150) (83,891) (151,277) 1,174 (8,464)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
19,487 11,388 287 5,514 390 21,157 85,663 1,202
3,125 29,904 1,422 14,554 2,022 10,533 1,307 337
(30,819) (119,771) (33,881) (69,064) (47,223) (54,920) (367) (1,000)
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(8,207) (78,479) (32,172) (48,996) (44,811) (23,230) 86,603 539
- ------------ ------------ ----------- ------------ ----------- ------------ ------------ ------------
(8,411,948) (134,610) (436,195) (714,364) (359,521) (134,150) (976,435) 430,278
============ ============ =========== ============ =========== ============ ============ ============
See notes to financial statements.
101
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
TOTAL RETURN BOND SHORT TERM BOND
------------------------------- -----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010 (a) 2009 2010 (a) 2009
------------- ------------- ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 9,532,303 $ 19,208,925 $ 36,599,356 $ 48,552,815
Dividends reinvested 6,563,400 17,544,398 1,555,000 4,464,621
Shares redeemed (115,656,929) (173,512,167) (28,137,802) (70,105,875)
------------- ------------- ------------ ------------
Total Institutional Shares (99,561,226) (136,758,844) 10,016,554 (17,088,439)
------------- ------------- ------------ ------------
Class A Shares
Shares issued 862,604 1,316,714 19,519,109 2,357,106
Dividends reinvested 301,144 752,674 89,543 179,092
Shares redeemed (2,522,553) (5,455,646) (8,079,616) (3,333,529)
------------- ------------- ------------ ------------
Total Class A Shares (1,358,805) (3,386,258) 11,529,036 (797,331)
------------- ------------- ------------ ------------
Class B Shares
Shares issued 191,110 833,950 NA NA
Dividends reinvested 38,960 112,499 NA NA
Shares redeemed (531,893) (1,273,235) NA NA
------------- ------------- ------------ ------------
Total Class B Shares (301,823) (326,786) NA NA
------------- ------------- ------------ ------------
Class C Shares
Shares issued 60,546 50,745 3,549,367 720,627
Dividends reinvested 14,709 36,850 13,829 4,438
Shares redeemed (78,366) (798,428) (4,065) (33,921)
------------- ------------- ------------ ------------
Total Class C Shares (3,111) (710,833) 3,559,131 691,144
------------- ------------- ------------ ------------
Change from capital transactions $(101,224,965) $(141,182,721) $ 25,104,721 $(17,194,626)
============= ============= ============ ============
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 1,094,575 2,297,103 3,873,707 5,307,102
Dividends reinvested 754,774 2,120,776 164,827 492,093
Shares redeemed (13,285,821) (20,679,055) (2,981,019) (7,703,125)
------------- ------------- ------------ ------------
Total Institutional Shares (11,436,472) (16,261,176) 1,057,515 (1,903,930)
------------- ------------- ------------ ------------
Class A Shares
Shares issued 99,614 158,575 2,068,693 257,999
Dividends reinvested 34,632 91,019 9,488 19,746
Shares redeemed (289,880) (657,156) (855,131) (366,103)
------------- ------------- ------------ ------------
Total Class A Shares (155,634) (407,562) 1,223,050 (88,358)
------------- ------------- ------------ ------------
Class B Shares
Shares issued 22,003 100,422 NA NA
Dividends reinvested 4,476 13,605 NA NA
Shares redeemed (61,158) (154,043) NA NA
------------- ------------- ------------ ------------
Total Class B Shares (34,679) (40,016) NA NA
------------- ------------- ------------ ------------
Class C Shares
Shares issued 6,950 6,026 376,631 79,265
Dividends reinvested 1,690 4,449 1,467 487
Shares redeemed (9,034) (91,543) (432) (3,746)
------------- ------------- ------------ ------------
Total Class C Shares (394) (81,068) 377,666 76,006
------------- ------------- ------------ ------------
Change from capital transactions (11,627,179) (16,789,822) 2,658,231 (1,916,282)
============= ============= ============ ============
- --------------
(a) Unaudited
See notes to financial statements.
102
FIFTH THIRD FUNDS
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP
PLUS
------------
INCREASE (DECREASE) IN CASH:
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets from operations $ 6,293,077
ADJUSTMENTS TO RECONCILE NET DECREASE IN NET ASSETS FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:
Purchases of long-term securities (62,262,583)
Proceeds from sales of long-term securities 62,059,141
Sale of short-term investment securities, net 1,653,331
Proceeds from securities sold short 28,366,102
Buys to cover for securities sold short (24,947,703)
Decrease in deposits with brokers for futures contracts 180,000
Decrease in dividends receivable (29,037)
Increase in receivable for investments sold (16,769,240)
Increase in other assets (12,657)
Proceeds from futures transactions 456,597
Increase in payable for investments purchased 15,508,009
Increase in payable to Advisor 172
Increase in distribution and administrative servicing fee payable 65
Decrease dividends payable on securities sold short (29,079)
Decrease in other liabilities (5,251)
Unrealized appreciation on investments (7,853,233)
Net realized loss on investments 1,964,162
------------
Net cash received from operating activities 4,571,873
------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid* (50,070)
Net proceeds from capital share activity (4,521,803)
------------
Net cash used for financing activities (4,571,873)
------------
NET INCREASE (DECREASE) IN CASH 0
CASH AND FOREIGN CURRENCY:
Beginning of year 0
------------
End of year $ 0
============
- ----------------
* Noncash financing activities not included herein consist of reinvestment of
dividends of $546,119.
See notes to financial statements.
103
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 6.08 (0.02)[DELTA] 0.45 0.43 -- --
Year ended 7/31/09 $ 8.09 (0.03)[DELTA] (1.98) (2.01) -- --
Year ended 7/31/08 $13.42 (0.06)[DELTA] (0.77) (0.83) -- (4.50)
Year ended 7/31/07 $14.10 (0.08)[DELTA] 2.64 2.56 -- (3.24)
Year ended 7/31/06 $15.58 (0.11)[DELTA] 0.50 0.39 -- (1.87)
Year ended 7/31/05 $15.48 (0.10)[DELTA] 3.07 2.97 -- (2.87)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH CLASS A SHARES
Six months ended 1/31/2010 + $ 5.66 (0.02)[DELTA] 0.41 0.39 -- --
Year ended 7/31/09 $ 7.54 (0.04)[DELTA] (1.84) (1.88) -- --
Year ended 7/31/08 $12.84 (0.08)[DELTA] (0.72) (0.80) -- (4.50)
Year ended 7/31/07 $13.65 (0.11)[DELTA] 2.54 2.43 -- (3.24)
Year ended 7/31/06 $15.17 (0.14)[DELTA] 0.49 0.35 -- (1.87)
Year ended 7/31/05 $15.18 (0.14)[DELTA] 3.00 2.86 -- (2.87)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH CLASS B SHARES
Six months ended 1/31/2010 + $ 5.15 (0.04)[DELTA] 0.38 0.34 -- --
Year ended 7/31/09 $ 6.92 (0.07)[DELTA] (1.70) (1.77) -- --
Year ended 7/31/08 $12.21 (0.14)[DELTA] (0.65) (0.79) -- (4.50)
Year ended 7/31/07 $13.21 (0.20)[DELTA] 2.44 2.24 -- (3.24)
Year ended 7/31/06 $14.85 (0.25)[DELTA] 0.48 0.23 -- (1.87)
Year ended 7/31/05 $15.02 (0.24)[DELTA] 2.94 2.70 -- (2.87)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH CLASS C SHARES
Six months ended 1/31/2010 + $ 5.16 (0.04)[DELTA] 0.37 0.33 -- --
Year ended 7/31/09 $ 6.93 (0.07)[DELTA] (1.70) (1.77) -- --
Year ended 7/31/08 $12.23 (0.14)[DELTA] (0.66) (0.80) -- (4.50)
Year ended 7/31/07 $13.23 (0.20)[DELTA] 2.44 2.24 -- (3.24)
Year ended 7/31/06 $14.86 (0.25)[DELTA] 0.49 0.24 -- (1.87)
Year ended 7/31/05 $15.03 (0.24)[DELTA] 2.94 2.70 -- (2.87)
- -------------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 7.34 (0.01)[DELTA] 0.60 0.59 -- --
Year ended 7/31/09 $12.03 (0.01)[DELTA] (3.27) (3.28) -- (1.41)
Year ended 7/31/08 $15.70 (0.05)[DELTA] (1.43) (1.48) -- (2.19)
Year ended 7/31/07 $16.55 (0.07)[DELTA]@ 2.72 2.65 -- (3.50)
Year ended 7/31/06 $16.03 (0.04)[DELTA] 0.77 0.73 (0.02) (0.19)
Year ended 7/31/05 $12.96 --^ 3.07 3.07 -- --
- -------------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH CLASS A SHARES
Six months ended 1/31/2010 + $ 6.96 (0.02)[DELTA] 0.57 0.55 -- --
Year ended 7/31/09 $11.56 (0.03)[DELTA] (3.16) (3.19) -- (1.41)
Year ended 7/31/08 $15.20 (0.08)[DELTA] (1.37) (1.45) -- (2.19)
Year ended 7/31/07 $16.17 (0.11)[DELTA]@ 2.64 2.53 -- (3.50)
Year ended 7/31/06 $15.69 (0.08)[DELTA] 0.76 0.68 (0.01) (0.19)
Year ended 7/31/05 $12.72 (0.05) 3.02 2.97 -- --
- -------------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH CLASS B SHARES
Six months ended 1/31/2010 + $ 6.24 (0.04)[DELTA] 0.50 0.46 -- --
Year ended 7/31/09 $10.68 (0.07)[DELTA] (2.96) (3.03) -- (1.41)
Year ended 7/31/08 $14.31 (0.17)[DELTA] (1.27) (1.44) -- (2.19)
Year ended 7/31/07 $15.50 (0.21)[DELTA]@ 2.52 2.31 -- (3.50)
Year ended 7/31/06 $15.16 (0.20)[DELTA] 0.73 0.53 -- (0.19)
Year ended 7/31/05 $12.38 (0.15) 2.93 2.78 -- --
- -------------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH CLASS C SHARES
Six months ended 1/31/2010 + $ 5.82 (0.04)[DELTA] 0.48 0.44 -- --
Year ended 7/31/09 $10.13 (0.07)[DELTA] (2.83) (2.90) -- (1.41)
Year ended 7/31/08 $13.65 (0.16)[DELTA] (1.17) (1.33) -- (2.19)
Year ended 7/31/07 $14.94 (0.20)[DELTA]@ 2.41 2.21 -- (3.50)
Year ended 7/31/06 $14.61 (0.19)[DELTA] 0.71 0.52 -- (0.19)
Year ended 7/31/05 $11.94 (0.16) 2.83 2.67 -- --
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
104
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
-- $ 6.51 7.07%* $ 35,822 1.24%** 1.01%** (0.52)%** 43%
-- $ 6.08 (24.85)% $ 43,273 1.25% 1.01% (0.48)% 81%
(4.50) $ 8.09 (10.17)% $ 66,801 1.09% 1.01% (0.60)% 105%
(3.24) $13.42 20.45% $112,591 1.06% 1.01% (0.59)% 90%
(1.87) $14.10 2.71% $126,809 1.03% 1.02% (0.75)% 67%
(2.87) $15.58 20.81% $213,892 1.01% 1.01% (0.68)% 65%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 6.05 6.89%* $ 6,640 1.49%** 1.26%** (0.78)%** 43%
-- $ 5.66 (24.93)% $ 6,630 1.50% 1.26% (0.73)% 81%
(4.50) $ 7.54 (10.48)% $ 10,722 1.34% 1.26% (0.86)% 105%
(3.24) $12.84 20.11% $ 16,036 1.30% 1.26% (0.84)% 90%
(1.87) $13.65 2.50% $ 17,783 1.28% 1.27% (0.99)% 67%
(2.87) $15.17 20.45% $ 22,714 1.26% 1.26% (0.93)% 65%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 5.49 6.60%* $ 541 2.24%** 2.01%** (1.53)%** 43%
-- $ 5.15 (25.58)% $ 549 2.25% 2.01% (1.48)% 81%
(4.50) $ 6.92 (11.15)% $ 897 2.09% 2.01% (1.61)% 105%
(3.24) $12.21 19.31% $ 1,318 2.06% 2.01% (1.59)% 90%
(1.87) $13.21 1.69% $ 1,414 2.03% 2.02% (1.74)% 67%
(2.87) $14.85 19.51% $ 1,805 2.01% 2.01% (1.68)% 65%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 5.49 6.40%* $ 129 2.24%** 2.01%** (1.51)%** 43%
-- $ 5.16 (25.54)% $ 234 2.26% 2.01% (1.49)% 81%
(4.50) $ 6.93 (11.14)% $ 273 2.09% 2.01% (1.61)% 105%
(3.24) $12.23 19.18% $ 426 2.05% 2.01% (1.60)% 90%
(1.87) $13.23 1.75% $ 384 2.03% 2.02% (1.75)% 67%
(2.87) $14.86 19.57% $ 618 2.01% 2.01% (1.68)% 65%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 7.93 8.04%* $ 71,418 1.24%** 0.91%** (0.22)%** 14%
(1.41) $ 7.34 (23.93)% $ 81,725 1.17% 1.01% (0.15)% 47%
(2.19) $12.03 (11.24)% $209,074 1.11% 1.09% (0.38)% 96%
(3.50) $15.70 17.32%@ $313,124 1.09% 1.09% (0.48)% 55%
(0.21) $16.55 4.56% $318,133 1.08% 1.08% (0.24)% 69%
-- $16.03 23.69% $392,929 1.09% 1.09% (0.03)% 54%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 7.51 7.90%* $ 11,676 1.49%** 1.16%** (0.47)%** 14%
(1.41) $ 6.96 (24.18)% $ 11,989 1.42% 1.24% (0.38)% 47%
(2.19) $11.56 (11.43)% $ 20,378 1.36% 1.34% (0.62)% 96%
(3.50) $15.20 16.93%@ $ 29,103 1.35% 1.34% (0.73)% 55%
(0.20) $16.17 4.34% $ 34,437 1.33% 1.33% (0.49)% 69%
-- $15.69 23.35% $ 41,921 1.34% 1.34% (0.29)% 54%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 6.70 7.37%* $ 1,556 2.24%** 1.91%** (1.23)%** 14%
(1.41) $ 6.24 (24.72)% $ 1,883 2.17% 2.00% (1.13)% 47%
(2.19) $10.68 (12.14)% $ 4,187 2.11% 2.09% (1.38)% 96%
(3.50) $14.31 16.14%@ $ 5,707 2.09% 2.09% (1.48)% 55%
(0.19) $15.50 3.51% $ 6,507 2.08% 2.08% (1.24)% 69%
-- $15.16 22.46% $ 6,874 2.09% 2.09% (1.03)% 54%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 6.26 7.56%* $ 264 2.24%** 1.91%** (1.22)%** 14%
(1.41) $ 5.82 (24.82)% $ 376 2.17% 2.00% (1.13)% 47%
(2.19) $10.13 (11.88)% $ 714 2.11% 2.09% (1.37)% 96%
(3.50) $13.65 16.07%@ $ 802 2.09% 2.09% (1.47)% 55%
(0.19) $14.94 3.57% $ 1,122 2.08% 2.08% (1.22)% 69%
-- $14.61 22.36% $ 1,600 2.09% 2.09% (1.03)% 54%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
105
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -------------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $12.44 0.01[DELTA] 1.03 1.04 (0.04) --
Year ended 7/31/09 $16.57 0.07[DELTA] (3.66) (3.59) (0.04) (0.50)
Year ended 7/31/08 $18.52 0.04[DELTA] 0.72 0.76 (0.04) (2.67)
Year ended 7/31/07 $15.67 0.11[DELTA]@ 3.07 3.18 (0.08) (0.25)
Year ended 7/31/06 $16.34 (0.03)[DELTA] (0.64) (0.67) -- --
Year ended 7/31/05 $14.61 0.03 1.74 1.77 (0.04) --
- -------------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH CLASS A SHARES
Six months ended 1/31/2010 + $12.09 --^[DELTA] 0.99 0.99 (0.02) --
Year ended 7/31/09 $16.14 0.04[DELTA] (3.56) (3.52) (0.03) (0.50)
Year ended 7/31/08 $18.12 (0.01)[DELTA] 0.71 0.70 (0.01) (2.67)
Year ended 7/31/07 $15.36 0.06[DELTA]@ 3.01 3.07 (0.06) (0.25)
Year ended 7/31/06 $16.05 (0.07)[DELTA] (0.62) (0.69) -- --
Year ended 7/31/05 $14.38 (0.02) 1.72 1.70 (0.03) --
- -------------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH CLASS B SHARES
Six months ended 1/31/2010 + $11.27 (0.05)[DELTA] 0.93 0.88 -- --
Year ended 7/31/09 $15.19 (0.04)[DELTA] (3.38) (3.42) -- (0.50)
Year ended 7/31/08 $17.30 (0.13)[DELTA] 0.69 0.56 -- (2.67)
Year ended 7/31/07 $14.74 (0.06)[DELTA]@ 2.88 2.82 (0.01) (0.25)
Year ended 7/31/06 $15.52 (0.18)[DELTA] (0.60) (0.78) -- --
Year ended 7/31/05 $13.99 (0.14) 1.67 1.53 --^ --
- -------------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH CLASS C SHARES
Six months ended 1/31/2010 + $10.91 (0.05)[DELTA] 0.90 0.85 -- --
Year ended 7/31/09 $14.72 (0.04)[DELTA] (3.27) (3.31) -- (0.50)
Year ended 7/31/08 $16.85 (0.12)[DELTA] 0.66 0.54 -- (2.67)
Year ended 7/31/07 $14.36 (0.06)[DELTA]@ 2.81 2.75 (0.01) (0.25)
Year ended 7/31/06 $15.12 (0.18)[DELTA] (0.58) (0.76) -- --
Year ended 7/31/05 $13.63 (0.15) 1.64 1.49 --^ --
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $18.36 0.13[DELTA] 1.11 1.24 (0.14) --
Year ended 7/31/09 $23.76 0.32[DELTA] (5.34) (5.02) (0.38) --
Year ended 7/31/08 $25.50 0.34[DELTA] (1.77) (1.43) (0.31) --
Year ended 7/31/07 $22.56 0.57[DELTA]@ 2.85 3.42 (0.48) --
Year ended 7/31/06 $21.71 0.28[DELTA] 0.83 1.11 (0.26) --
Year ended 7/31/05 $19.10 (0.15)[DELTA] 2.76 2.61 -- --
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH CLASS A SHARES
Six months ended 1/31/2010 + $18.03 0.10[DELTA] 1.10 1.20 (0.12) --
Year ended 7/31/09 $23.35 0.26[DELTA] (5.24) (4.98) (0.34) --
Year ended 7/31/08 $25.07 0.27[DELTA] (1.74) (1.47) (0.25) --
Year ended 7/31/07 $22.18 0.49[DELTA]@ 2.82 3.31 (0.42) --
Year ended 7/31/06 $21.34 0.23[DELTA] 0.85 1.08 (0.24) --
Year ended 7/31/05 $18.82 (0.19)[DELTA] 2.71 2.52 -- --
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH CLASS B SHARES
Six months ended 1/31/2010 + $17.42 0.02[DELTA] 1.06 1.08 (0.05) --
Year ended 7/31/09 $22.57 0.14[DELTA] (5.08) (4.94) (0.21) --
Year ended 7/31/08 $24.31 0.08[DELTA] (1.67) (1.59) (0.15) --
Year ended 7/31/07 $21.53 0.31[DELTA]@ 2.71 3.02 (0.24) --
Year ended 7/31/06 $20.83 0.06[DELTA] 0.80 0.86 (0.16) --
Year ended 7/31/05 $18.51 (0.33)[DELTA] 2.65 2.32 -- --
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH CLASS C SHARES
Six months ended 1/31/2010 + $16.89 0.02[DELTA] 1.04 1.06 (0.06) --
Year ended 7/31/09 $21.92 0.12[DELTA] (4.92) (4.80) (0.23) --
Year ended 7/31/08 $23.67 0.08[DELTA] (1.68) (1.60) (0.15) --
Year ended 7/31/07 $20.97 0.29[DELTA]@ 2.66 2.95 (0.25) --
Year ended 7/31/06 $20.27 0.07[DELTA] 0.78 0.85 (0.15) --
Year ended 7/31/05 $18.01 (0.32)[DELTA] 2.58 2.26 -- --
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
106
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.04) $13.44 8.33%* $255,207 1.16%** 1.06%** 0.17%** 14%
(0.54) $12.44 (21.13)% $237,049 1.13% 1.06% 0.62% 31%
(2.71) $16.57 2.79% $371,615 1.11% 1.07% 0.21% 57%
(0.33) $18.52 20.51%@ $535,734 1.10% 1.08% 0.52% 98%
-- $15.67 (4.10)% $616,737 1.08% 1.08% (0.18)% 108%
(0.04) $16.34 12.13% $707,766 1.08% 1.08% 0.16% 71%
- ------------------------------------------------------------------------------------------------------------------------
(0.02) $13.06 8.19%* $ 61,245 1.41%** 1.31%** (0.08)%** 14%
(0.53) $12.09 (21.29)% $ 61,219 1.38% 1.31% 0.37% 31%
(2.68) $16.14 2.51% $ 90,015 1.36% 1.32% (0.03)% 57%
(0.31) $18.12 20.18%@ $ 92,728 1.35% 1.33% 0.27% 98%
-- $15.36 (4.30)% $114,828 1.33% 1.33% (0.42)% 108%
(0.03) $16.05 11.83% $165,836 1.33% 1.33% (0.08)% 71%
- ------------------------------------------------------------------------------------------------------------------------
-- $12.15 7.81%* $ 4,835 2.16%** 2.06%** (0.81)%** 14%
(0.50) $11.27 (21.96)% $ 6,185 2.12% 2.06% (0.37)% 31%
(2.67) $15.19 1.78% $ 14,165 2.11% 2.07% (0.77)% 57%
(0.26) $17.30 19.29%@ $ 11,347 2.10% 2.08% (0.49)% 98%
-- $14.74 (5.03)% $ 13,259 2.08% 2.08% (1.18)% 108%
--^ $15.52 10.95% $ 17,791 2.08% 2.08% (0.85)% 71%
- ------------------------------------------------------------------------------------------------------------------------
-- $11.76 7.89%* $ 1,308 2.16%** 2.06%** (0.80)%** 14%
(0.50) $10.91 (21.97)% $ 1,631 2.13% 2.06% (0.38)% 31%
(2.67) $14.72 1.70% $ 2,805 2.11% 2.07% (0.77)% 57%
(0.26) $16.85 19.30%@ $ 2,275 2.10% 2.08% (0.45)% 98%
-- $14.36 (5.03)% $ 3,199 2.08% 2.08% (1.17)% 108%
--^ $15.12 10.95% $ 5,238 2.08% 2.08% (0.83)% 71%
- ------------------------------------------------------------------------------------------------------------------------
(0.14) $19.46 6.75%* $ 5,308 2.83%** 0.73%** 1.30%** 36%
(0.38) $18.36 (21.12)% $ 6,977 2.22% 0.73% 1.76% 102%
(0.31) $23.76 (5.69)% $ 16,556 1.76% 0.73% 1.33% 76%
(0.48) $25.50 15.22%@ $ 18,875 1.67% 0.73% 2.08% 68%
(0.26) $22.56 5.14% $ 15,759 2.72% 0.73% 1.25% 147%
-- $21.71 13.66% $ 5,973 1.99% 1.45% (0.73)% 28%
- ------------------------------------------------------------------------------------------------------------------------
(0.12) $19.11 6.68%* $ 1,993 3.08%** 0.98%** 1.02%** 36%
(0.34) $18.03 (21.37)% $ 2,078 2.50% 0.98% 1.49% 102%
(0.25) $23.35 (5.93)% $ 3,074 2.00% 0.98% 1.08% 76%
(0.42) $25.07 14.97%@ $ 3,926 1.92% 0.98% 1.80% 68%
(0.24) $22.18 5.05% $ 4,670 2.93% 0.98% 1.08% 147%
-- $21.34 13.39% $ 7,087 2.24% 1.70% (0.98)% 28%
- ------------------------------------------------------------------------------------------------------------------------
(0.05) $18.45 6.28%* $ 132 3.83%** 1.73%** 0.26%** 36%
(0.21) $17.42 (21.93)% $ 113 3.21% 1.73% 0.79% 102%
(0.15) $22.57 (6.62)% $ 225 2.74% 1.73% 0.34% 76%
(0.24) $24.31 14.11%@ $ 369 2.66% 1.73% 1.08% 68%
(0.16) $21.53 4.13% $ 371 3.70% 1.73% 0.27% 147%
-- $20.83 12.53% $ 311 2.97% 2.45% (1.73)% 28%
- ------------------------------------------------------------------------------------------------------------------------
(0.06) $17.89 6.25%* $ 163 3.83%** 1.73%** 0.24%** 36%
(0.23) $16.89 (21.93)% $ 156 3.26% 1.73% 0.75% 102%
(0.15) $21.92 (6.83)% $ 228 2.74% 1.73% 0.34% 76%
(0.25) $23.67 14.12%@ $ 356 2.67% 1.73% 1.02% 68%
(0.15) $20.97 4.22% $ 389 3.71% 1.73% 0.32% 147%
-- $20.27 12.55% $ 516 3.00% 2.45% (1.73)% 28%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
107
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -------------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 3.24 --^[DELTA] 0.22 0.22 -- --
Year ended 7/31/09 $ 3.75 0.02[DELTA] (0.51) (0.49) (0.01) (0.01)
Year ended 7/31/08 $ 7.02 0.02[DELTA] (0.78) (0.76) (0.01) (2.50)
Year ended 7/31/07 $ 8.05 0.01[DELTA] 0.93 0.94 (0.05) (1.92)
Year ended 7/31/06 $11.00 0.02[DELTA] 0.17 0.19 (0.01) (3.13)
Year ended 7/31/05 $10.32 (0.01)[DELTA] 1.41 1.40 -- (0.72)
- -------------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE CLASS A SHARES
Six months ended 1/31/2010 + $ 3.01 (0.01)[DELTA] 0.22 0.21 -- --
Year ended 7/31/09 $ 3.49 0.01[DELTA] (0.47) (0.46) (0.01) (0.01)
Year ended 7/31/08 $ 6.73 0.01[DELTA] (0.75) (0.74) -- (2.50)
Year ended 7/31/07 $ 7.80 (0.01)[DELTA] 0.90 0.89 (0.04) (1.92)
Year ended 7/31/06 $10.78 --^[DELTA] 0.15 0.15 --^ (3.13)
Year ended 7/31/05 $10.14 (0.03)[DELTA] 1.39 1.36 -- (0.72)
- -------------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE CLASS B SHARES
Six months ended 1/31/2010 + $ 2.71 (0.02)[DELTA] 0.20 0.18 -- --
Year ended 7/31/09 $ 3.16 (0.01)[DELTA] (0.43) (0.44) -- (0.01)
Year ended 7/31/08 $ 6.39 (0.02)[DELTA] (0.71) (0.73) -- (2.50)
Year ended 7/31/07 $ 7.52 (0.06)[DELTA] 0.86 0.80 (0.01) (1.92)
Year ended 7/31/06 $10.56 (0.06)[DELTA] 0.15 0.09 -- (3.13)
Year ended 7/31/05 $ 9.96 (0.04)[DELTA] 1.36 1.32 -- (0.72)
- -------------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE CLASS C SHARES
Six months ended 1/31/2010 + $ 2.72 (0.02)[DELTA] 0.19 0.17 -- --
Year ended 7/31/09 $ 3.17 (0.01)[DELTA] (0.43) (0.44) -- (0.01)
Year ended 7/31/08 $ 6.39 (0.02)[DELTA] (0.70) (0.72) -- (2.50)
Year ended 7/31/07 $ 7.52 (0.05)[DELTA] 0.84 0.79 -- (1.92)
Year ended 7/31/06 $10.56 (0.06)[DELTA] 0.15 0.09 -- (3.13)
Year ended 7/31/05 $ 9.96 (0.04)[DELTA] 1.36 1.32 -- (0.72)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $13.48 0.05[DELTA] 2.02 2.07 (0.10) --
Year ended 7/31/09 $17.04 0.21[DELTA] (3.55) (3.34) (0.22) --
Year ended 7/31/08 $20.29 0.19[DELTA] (0.91) (0.72) (0.16) (2.37)
Year ended 7/31/07 $20.89 0.13[DELTA] 2.12 2.25 (0.08) (2.77)
Year ended 7/31/06 $22.82 0.09 0.46 0.55 (0.05) (2.43)
Year ended 7/31/05 $20.01 (0.04)[DELTA] 4.51 4.47 -- (1.66)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE CLASS A SHARES
Six months ended 1/31/2010 + $13.33 0.03[DELTA] 2.01 2.04 (0.07) --
Year ended 7/31/09 $16.84 0.18[DELTA] (3.51) (3.33) (0.18) --
Year ended 7/31/08 $20.09 0.14[DELTA] (0.90) (0.76) (0.12) (2.37)
Year ended 7/31/07 $20.74 0.08[DELTA] 2.11 2.19 (0.07) (2.77)
Year ended 7/31/06 $22.68 0.02 0.47 0.49 -- (2.43)
Year ended 7/31/05 $19.95 (0.10)[DELTA] 4.49 4.39 -- (1.66)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE CLASS B SHARES
Six months ended 1/31/2010 + $12.77 (0.02)[DELTA] 1.91 1.89 --^ --
Year ended 7/31/09 $16.11 0.08[DELTA] (3.35) (3.27) (0.07) --
Year ended 7/31/08 $19.34 --^[DELTA] (0.86) (0.86) -- (2.37)
Year ended 7/31/07 $20.18 (0.08)[DELTA] 2.05 1.97 (0.04) (2.77)
Year ended 7/31/06 $22.29 (0.13) 0.45 0.32 -- (2.43)
Year ended 7/31/05 $19.76 (0.24)[DELTA] 4.43 4.19 -- (1.66)
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE CLASS C SHARES
Six months ended 1/31/2010 + $12.73 (0.02)[DELTA] 1.90 1.88 -- --
Year ended 7/31/09 $16.07 0.08[DELTA] (3.33) (3.25) (0.09) --
Year ended 7/31/08 $19.31 --^[DELTA] (0.87) (0.87) -- (2.37)
Year ended 7/31/07 $20.14 (0.08)[DELTA] 2.06 1.98 (0.04) (2.77)
Year ended 7/31/06 $22.25 (0.14) 0.46 0.32 -- (2.43)
Year ended 7/31/05 $19.74 (0.24)[DELTA] 4.41 4.17 -- (1.66)
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
108
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
-- $ 3.46 6.79%* $ 17,987 1.89%** 1.35%** (0.10)%** 27%
(0.02) $ 3.24 (12.86)% $ 17,394 1.89% 1.35% 0.64% 46%
(2.51) $ 3.75 (12.23)% $ 22,662 1.82% 1.35% 0.37% 49%
(1.97) $ 7.02 12.53% $ 51,541 1.52% 1.35% 0.17% 72%
(3.14) $ 8.05 1.93% $ 72,981 1.40% 1.37% 0.23% 42%
(0.72) $11.00 13.86% $ 98,885 1.35% 1.35% (0.07)% 12%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 3.22 6.98%* $ 9,956 2.14%** 1.60%** (0.35)%** 27%
(0.02) $ 3.01 (13.18)% $ 7,497 2.14% 1.60% 0.40% 46%
(2.50) $ 3.49 (12.41)% $ 10,552 2.06% 1.60% 0.16% 49%
(1.96) $ 6.73 12.24% $ 11,486 1.77% 1.60% (0.08)% 72%
(3.13) $ 7.80 1.59% $ 17,759 1.65% 1.62% (0.05)% 42%
(0.72) $10.78 13.60% $ 29,172 1.60% 1.60% (0.31)% 12%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 2.89 6.64%* $ 1,711 2.89%** 2.35%** (1.10)%** 27%
(0.01) $ 2.71 (13.80)% $ 1,937 2.89% 2.35% (0.34)% 46%
(2.50) $ 3.16 (13.23)% $ 3,032 2.81% 2.35% (0.62)% 49%
(1.93) $ 6.39 11.38% $ 5,069 2.53% 2.35% (0.87)% 72%
(3.13) $ 7.52 0.86% $ 6,032 2.40% 2.37% (0.73)% 42%
(0.72) $10.56 13.54% $ 7,348 2.36% 1.73% (0.40)% 12%
- ------------------------------------------------------------------------------------------------------------------------
-- $ 2.89 6.25%* $ 1,937 2.89%** 2.35%** (1.11)%** 27%
(0.01) $ 2.72 (13.75)% $ 1,446 2.88% 2.35% (0.35)% 46%
(2.50) $ 3.17 (12.95)% $ 1,749 2.81% 2.35% (0.62)% 49%
(1.92) $ 6.39 11.28% $ 2,853 2.51% 2.35% (0.75)% 72%
(3.13) $ 7.52 0.86% $ 5,161 2.40% 2.37% (0.71)% 42%
(0.72) $10.56 13.54% $ 6,143 2.36% 1.73% (0.39)% 12%
- ------------------------------------------------------------------------------------------------------------------------
(0.10) $15.45 15.35%* $ 56,292 1.30%** 1.18%** 0.71%** 37%
(0.22) $13.48 (19.32)% $ 65,235 1.30% 1.20% 1.68% 68%
(2.53) $17.04 (3.68)% $ 86,463 1.24% 1.19% 1.05% 60%
(2.85) $20.29 10.77% $110,873 1.25% 1.20% 0.61% 46%
(2.48) $20.89 2.62% $116,503 1.24% 1.21% 0.39% 99%
(1.66) $22.82 23.59% $158,505 1.20% 1.20% (0.20)% 105%
- ------------------------------------------------------------------------------------------------------------------------
(0.07) $15.30 15.29%* $ 1,396 1.55%** 1.43%** 0.42%** 37%
(0.18) $13.33 (19.56)% $ 1,275 1.55% 1.45% 1.42% 68%
(2.49) $16.84 (3.95)% $ 1,682 1.50% 1.45% 0.77% 60%
(2.84) $20.09 10.53% $ 2,198 1.50% 1.45% 0.36% 46%
(2.43) $20.74 2.36% $ 2,434 1.49% 1.46% 0.11% 99%
(1.66) $22.68 23.24% $ 2,715 1.45% 1.45% (0.48)% 105%
- ------------------------------------------------------------------------------------------------------------------------
--^ $14.66 14.81%* $ 608 2.30%** 2.18%** (0.31)%** 37%
(0.07) $12.77 (20.16)% $ 572 2.30% 2.20% 0.68% 68%
(2.37) $16.11 (4.68)% $ 834 2.25% 2.20% 0.03% 60%
(2.81) $19.34 9.63% $ 1,104 2.25% 2.20% (0.39)% 46%
(2.43) $20.18 1.59% $ 1,221 2.24% 2.21% (0.64)% 99%
(1.66) $22.29 22.35% $ 1,142 2.20% 2.19% (1.18)% 105%
- ------------------------------------------------------------------------------------------------------------------------
-- $14.61 14.86%* $ 372 2.30%** 2.18%** (0.31)%** 37%
(0.09) $12.73 (20.17)% $ 399 2.30% 2.20% 0.68% 68%
(2.37) $16.07 (4.74)% $ 384 2.25% 2.20% 0.01% 60%
(2.81) $19.31 9.66% $ 713 2.25% 2.20% (0.39)% 46%
(2.43) $20.14 1.59% $ 839 2.24% 2.21% (0.64)% 99%
(1.66) $22.25 22.39% $ 927 2.20% 2.19% (1.21)% 105%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
109
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -----------------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $12.52 0.08[DELTA] 1.22 1.30 (0.08) --
Year ended 7/31/09 $17.98 0.24[DELTA] (4.42) (4.18) (0.27) (1.01)
Year ended 7/31/08 $25.65 0.31[DELTA] (4.14) (3.83) (0.28) (3.56)
Year ended 7/31/07 $25.68 0.37[DELTA] 4.19 4.56 (0.36) (4.23)
Year ended 7/31/06 $26.04 0.26 1.77 2.03 (0.24) (2.15)
Year ended 7/31/05 $22.58 0.10 4.85 4.95 (0.11) (1.38)
- -----------------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE CLASS A SHARES
Six months ended 1/31/2010 + $12.30 0.06[DELTA] 1.20 1.26 (0.07) --
Year ended 7/31/09 $17.69 0.21[DELTA] (4.35) (4.14) (0.24) (1.01)
Year ended 7/31/08 $25.30 0.25[DELTA] (4.07) (3.82) (0.23) (3.56)
Year ended 7/31/07 $25.39 0.30[DELTA] 4.13 4.43 (0.29) (4.23)
Year ended 7/31/06 $25.76 0.19 1.77 1.96 (0.18) (2.15)
Year ended 7/31/05 $22.36 0.04 4.79 4.83 (0.05) (1.38)
- -----------------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE CLASS B SHARES
Six months ended 1/31/2010 + $11.66 0.01[DELTA] 1.14 1.15 (0.02) --
Year ended 7/31/09 $16.90 0.11[DELTA] (4.18) (4.07) (0.16) (1.01)
Year ended 7/31/08 $24.35 0.09[DELTA] (3.89) (3.80) (0.09) (3.56)
Year ended 7/31/07 $24.61 0.10[DELTA] 3.99 4.09 (0.12) (4.23)
Year ended 7/31/06 $25.11 --^ 1.71 1.71 (0.06) (2.15)
Year ended 7/31/05 $21.94 (0.14) 4.69 4.55 -- (1.38)
- -----------------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE CLASS C SHARES
Six months ended 1/31/2010 + $11.63 0.01[DELTA] 1.14 1.15 (0.03) --
Year ended 7/31/09 $16.86 0.11[DELTA] (4.16) (4.05) (0.17) (1.01)
Year ended 7/31/08 $24.32 0.09[DELTA] (3.89) (3.80) (0.10) (3.56)
Year ended 7/31/07 $24.59 0.11[DELTA] 3.98 4.09 (0.13) (4.23)
Year ended 7/31/06 $25.09 --^ 1.71 1.71 (0.06) (2.15)
Year ended 7/31/05 $21.93 (0.15) 4.69 4.54 -- (1.38)
- -----------------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.55 0.07[DELTA] 0.80 0.87 (0.07) --
Year ended 7/31/09 $11.48 0.22[DELTA] (2.74) (2.52) (0.25) (0.16)
Year ended 7/31/08 $14.39 0.25[DELTA] (2.03) (1.78) (0.23) (0.90)
Year ended 7/31/07 $14.72 0.22[DELTA]@ 1.80 2.02 (0.22) (2.13)
Year ended 7/31/06 $15.08 0.21 1.07 1.28 (0.20) (1.44)
Year ended 7/31/05 $13.52 0.18 1.95 2.13 (0.18) (0.39)
- -----------------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE CLASS A SHARES
Six months ended 1/31/2010 + $ 8.52 0.06[DELTA] 0.80 0.86 (0.06) --
Year ended 7/31/09 $11.44 0.19[DELTA] (2.72) (2.53) (0.23) (0.16)
Year ended 7/31/08 $14.35 0.21[DELTA] (2.03) (1.82) (0.19) (0.90)
Year ended 7/31/07 $14.69 0.18[DELTA]@ 1.79 1.97 (0.18) (2.13)
Year ended 7/31/06 $15.05 0.17 1.07 1.24 (0.16) (1.44)
Year ended 7/31/05 $13.50 0.14 1.94 2.08 (0.14) (0.39)
- -----------------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE CLASS B SHARES
Six months ended 1/31/2010 + $ 8.62 0.02[DELTA] 0.81 0.83 (0.03) --
Year ended 7/31/09 $11.57 0.14[DELTA] (2.76) (2.62) (0.17) (0.16)
Year ended 7/31/08 $14.49 0.12[DELTA] (2.05) (1.93) (0.09) (0.90)
Year ended 7/31/07 $14.81 0.08[DELTA]@ 1.80 1.88 (0.07) (2.13)
Year ended 7/31/06 $15.17 0.06 1.08 1.14 (0.06) (1.44)
Year ended 7/31/05 $13.61 0.04 1.95 1.99 (0.04) (0.39)
- -----------------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE CLASS C SHARES
Six months ended 1/31/2010 + $ 8.42 0.02[DELTA] 0.80 0.82 (0.03) --
Year ended 7/31/09 $11.32 0.13[DELTA] (2.70) (2.57) (0.17) (0.16)
Year ended 7/31/08 $14.21 0.11[DELTA] (2.01) (1.90) (0.09) (0.90)
Year ended 7/31/07 $14.56 0.08[DELTA]@ 1.77 1.85 (0.07) (2.13)
Year ended 7/31/06 $14.94 0.06 1.06 1.12 (0.06) (1.44)
Year ended 7/31/05 $13.40 0.03 1.94 1.97 (0.04) (0.39)
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
110
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.08) $13.74 10.38%* $ 83,229 1.44%** 1.09%** 1.13%** 15%
(1.28) $12.52 (22.15)% $ 93,858 1.40% 1.16% 2.00% 42%
(3.84) $17.98 (17.47)% $ 165,714 1.34% 1.19% 1.43% 43%
(4.59) $25.65 18.93% $ 223,709 1.31% 1.22% 1.40% 23%
(2.39) $25.68 8.38% $ 226,189 1.31% 1.29% 0.99% 40%
(1.49) $26.04 22.51% $ 270,131 1.30% 1.30% 0.41% 24%
- ------------------------------------------------------------------------------------------------------------------------
(0.07) $13.49 10.21%* $ 37,630 1.69%** 1.34%** 0.85%** 15%
(1.25) $12.30 (22.29)% $ 33,491 1.65% 1.41% 1.72% 42%
(3.79) $17.69 (17.65)% $ 52,999 1.59% 1.44% 1.19% 43%
(4.52) $25.30 18.58% $ 44,717 1.56% 1.47% 1.14% 23%
(2.33) $25.39 8.16% $ 38,714 1.56% 1.54% 0.74% 40%
(1.43) $25.76 22.22% $ 39,433 1.55% 1.55% 0.15% 24%
- ------------------------------------------------------------------------------------------------------------------------
(0.02) $12.79 9.90%* $ 7,670 2.44%** 2.09%** 0.13%** 15%
(1.17) $11.66 (22.98)% $ 8,991 2.40% 2.16% 0.99% 42%
(3.65) $16.90 (18.24)% $ 15,431 2.34% 2.19% 0.43% 43%
(4.35) $24.35 17.65% $ 23,974 2.31% 2.22% 0.40% 23%
(2.21) $24.61 7.33% $ 21,679 2.31% 2.29% (0.01)% 40%
(1.38) $25.11 21.33% $ 22,278 2.30% 2.30% (0.60)% 24%
- ------------------------------------------------------------------------------------------------------------------------
(0.03) $12.75 9.85%* $ 4,850 2.44%** 2.09%** 0.12%** 15%
(1.18) $11.63 (22.97)% $ 5,102 2.39% 2.16% 0.98% 42%
(3.66) $16.86 (18.25)% $ 8,647 2.34% 2.19% 0.43% 43%
(4.36) $24.32 17.67% $ 8,150 2.31% 2.22% 0.40% 23%
(2.21) $24.59 7.33% $ 4,455 2.31% 2.29% (0.01)% 40%
(1.38) $25.09 21.24% $ 4,553 2.30% 2.30% (0.58)% 24%
- ------------------------------------------------------------------------------------------------------------------------
(0.07) $ 9.35 10.19%* $ 326,307 1.09%** 0.94%** 1.51%** 25%
(0.41) $ 8.55 (21.78)% $ 308,345 1.07% 0.98% 2.58% 58%
(1.13) $11.48 (13.52)% $ 487,006 1.08% 1.01% 1.88% 47%
(2.35) $14.39 14.52%@ $ 649,497 1.07% 1.03% 1.50% 49%
(1.64) $14.72 9.29% $ 581,507 1.07% 1.07% 1.40% 57%
(0.57) $15.08 16.07% $ 574,251 1.07% 1.07% 1.27% 31%
- ------------------------------------------------------------------------------------------------------------------------
(0.06) $ 9.32 10.09%* $ 11,201 1.34%** 1.19%** 1.26%** 25%
(0.39) $ 8.52 (22.02)% $ 11,024 1.32% 1.23% 2.32% 58%
(1.09) $11.44 (13.67)% $ 17,759 1.33% 1.26% 1.63% 47%
(2.31) $14.35 14.13%@ $ 29,725 1.32% 1.27% 1.24% 49%
(1.60) $14.69 9.05% $ 22,968 1.32% 1.32% 1.16% 57%
(0.53) $15.05 15.74% $ 24,805 1.32% 1.32% 1.01% 31%
- ------------------------------------------------------------------------------------------------------------------------
(0.03) $ 9.42 9.62%* $ 1,759 2.09%** 1.94%** 0.53%** 25%
(0.33) $ 8.62 (22.52)% $ 1,991 2.07% 1.98% 1.61% 58%
(0.99) $11.57 (14.40)% $ 3,932 2.08% 2.01% 0.88% 47%
(2.20) $14.49 13.38%@ $ 5,872 2.07% 2.03% 0.50% 49%
(1.50) $14.81 8.22% $ 5,783 2.07% 2.07% 0.40% 57%
(0.43) $15.17 14.85% $ 5,739 2.07% 2.07% 0.26% 31%
- ------------------------------------------------------------------------------------------------------------------------
(0.03) $ 9.21 9.72%* $ 649 2.09%** 1.94%** 0.54%** 25%
(0.33) $ 8.42 (22.55)% $ 778 2.07% 1.98% 1.59% 58%
(0.99) $11.32 (14.40)% $ 1,756 2.08% 2.01% 0.88% 47%
(2.20) $14.21 13.34%@ $ 2,533 2.07% 2.02% 0.50% 49%
(1.50) $14.56 8.21% $ 2,227 2.07% 2.07% 0.41% 57%
(0.43) $14.94 14.96% $ 2,313 2.07% 2.07% 0.26% 31%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
111
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 9.05 0.05[DELTA] 0.68 0.73 (0.07) --
Year ended 7/31/09 $14.66 0.17[DELTA] (5.53) (5.36) (0.25) --
Year ended 7/31/08 $16.95 0.14[DELTA] (2.22) (2.08) (0.13) (0.08)
Year ended 7/31/07 $15.16 0.17[DELTA] 1.80 1.97 (0.12) (0.06)
Year ended 7/31/06 $14.61 0.17 0.72 0.89 (0.16) (0.18)
Year ended 7/31/05 $13.20 0.18 1.76 1.94 (0.18) (0.35)
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS CLASS A SHARES
Six months ended 1/31/2010 + $ 8.94 0.04[DELTA] 0.66 0.70 (0.06) --
Year ended 7/31/09 $14.45 0.15[DELTA] (5.43) (5.28) (0.23) --
Year ended 7/31/08 $16.71 0.10[DELTA] (2.20) (2.10) (0.08) (0.08)
Year ended 7/31/07 $14.96 0.12[DELTA] 1.78 1.90 (0.09) (0.06)
Year ended 7/31/06 $14.42 0.13 0.71 0.84 (0.12) (0.18)
Year ended 7/31/05 $13.04 0.14 1.73 1.87 (0.14) (0.35)
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS CLASS B SHARES
Six months ended 1/31/2010 + $ 8.88 --[DELTA] 0.69 0.69 (0.02) --
Year ended 7/31/09 $14.41 0.07[DELTA] (5.44) (5.37) (0.16) --
Year ended 7/31/08 $16.69 (0.02)[DELTA] (2.18) (2.20) -- (0.08)
Year ended 7/31/07 $14.98 --[DELTA] 1.78 1.78 (0.01) (0.06)
Year ended 7/31/06 $14.46 0.01 0.72 0.73 (0.03) (0.18)
Year ended 7/31/05 $13.08 0.04 1.74 1.78 (0.05) (0.35)
- -----------------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS CLASS C SHARES
Six months ended 1/31/2010 + $ 8.91 --[DELTA]^ 0.67 0.67 (0.01) --
Year ended 7/31/09 $14.41 0.10[DELTA] (5.45) (5.35) (0.15) --
Year ended 7/31/08 $16.70 (0.02)[DELTA] (2.19) (2.21) -- (0.08)
Year ended 7/31/07 $14.98 --[DELTA] 1.79 1.79 (0.01) (0.06)
Year ended 7/31/06 $14.46 0.01 0.72 0.73 (0.03) (0.18)
Year ended 7/31/05 $13.08 0.03 1.74 1.77 (0.04) (0.35)
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
112
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
---------------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- -------------------------------------------------------------------------------------------------------------------------------
(0.07) $ 9.71 8.07%* $ 74,807 1.98%[OMEGA]!** 1.65%[OMEGA]!** 0.98%** 111%
(0.25) $ 9.05 (36.73)% $ 72,778 2.08%[OMEGA]! 1.71%[OMEGA]! 1.71% 188%
(0.21) $14.66 (12.31)% $133,506 1.76%[OMEGA] 1.51%[OMEGA] 0.89% 147%
(0.18) $16.95 12.94% $180,126 1.02%[OMEGA] 0.92%[OMEGA] 0.99% 141%
(0.34) $15.16 6.12% $166,510 1.03% 0.92% 1.09% 126%
(0.53) $14.61 14.92% $169,723 1.05% 0.92% 1.17% 102%
- -------------------------------------------------------------------------------------------------------------------------------
(0.06) $ 9.58 7.81%* $ 5,460 2.23%[OMEGA]!** 1.90%[OMEGA]!** 0.74%** 111%
(0.23) $ 8.94 (36.73)% $ 5,648 2.29%[OMEGA]! 1.93%[OMEGA]! 1.50% 188%
(0.16) $14.45 (12.65)% $ 12,505 2.01%[OMEGA] 1.76%[OMEGA] 0.63% 147%
(0.15) $16.71 12.70% $ 18,972 1.27%[OMEGA] 1.17%[OMEGA] 0.75% 141%
(0.30) $14.96 5.84% $ 20,923 1.27% 1.17% 0.85% 126%
(0.49) $14.42 14.58% $ 24,026 1.31% 1.17% 0.99% 102%
- -------------------------------------------------------------------------------------------------------------------------------
(0.02) $ 9.55 7.78%* $ 286 2.99%[OMEGA]!** 2.66%[OMEGA]!** (0.01)%** 111%
(0.16) $ 8.88 (37.43)% $ 347 3.05%[OMEGA]! 2.70%[OMEGA]! 0.75% 188%
(0.08) $14.41 (13.24)% $ 723 2.76%[OMEGA] 2.51%[OMEGA] (0.11)% 147%
(0.07) $16.69 11.86% $ 1,044 2.03%[OMEGA] 1.92%[OMEGA] (0.01)% 141%
(0.21) $14.98 5.07% $ 953 2.03% 1.92% 0.09% 126%
(0.40) $14.46 13.67% $ 1,007 2.06% 1.92% 0.18% 102%
- -------------------------------------------------------------------------------------------------------------------------------
(0.01) $ 9.57 7.49%* $ 47 2.93%[OMEGA]!** 2.57%[OMEGA]!** 0.06%** 111%
(0.15) $ 8.91 (37.34)% $ 22 2.81%[OMEGA]! 2.50%[OMEGA]! 1.05% 188%
(0.08) $14.41 (13.29)% $ 75 2.76%[OMEGA] 2.51%[OMEGA] (0.11)% 147%
(0.07) $16.70 11.93% $ 125 2.03%[OMEGA] 1.92%[OMEGA] (0.02)% 141%
(0.21) $14.98 5.07% $ 112 2.02% 1.92% 0.13% 126%
(0.39) $14.46 13.73% $ 193 2.06% 1.92% 0.21% 102%
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
113
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $18.76 0.19[DELTA] 1.66 1.85 (0.19) --
Year ended 7/31/09 $24.05 0.44[DELTA] (5.24) (4.80) (0.49) --
Year ended 7/31/08 $27.60 0.52[DELTA] (3.58) (3.06) (0.49) --
Year ended 7/31/07 $24.24 0.50[DELTA] 3.35 3.85 (0.49) --
Year ended 7/31/06 $23.46 0.42[DELTA] 0.79 1.21 (0.43) --
Year ended 7/31/05 $21.01 0.44[DELTA] 2.45 2.89 (0.44) --
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX CLASS A SHARES
Six months ended 1/31/2010 + $18.70 0.16[DELTA] 1.65 1.81 (0.16) --
Year ended 7/31/09 $23.97 0.40[DELTA] (5.22) (4.82) (0.45) --
Year ended 7/31/08 $27.51 0.46[DELTA] (3.58) (3.12) (0.42) --
Year ended 7/31/07 $24.16 0.43[DELTA] 3.34 3.77 (0.42) --
Year ended 7/31/06 $23.38 0.36[DELTA] 0.80 1.16 (0.38) --
Year ended 7/31/05 $20.94 0.37[DELTA] 2.46 2.83 (0.39) --
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX CLASS B SHARES
Six months ended 1/31/2010 + $18.58 0.08[DELTA] 1.64 1.72 (0.08) --
Year ended 7/31/09 $23.84 0.26[DELTA] (5.19) (4.93) (0.33) --
Year ended 7/31/08 $27.34 0.26[DELTA] (3.56) (3.30) (0.20) --
Year ended 7/31/07 $24.01 0.22[DELTA] 3.33 3.55 (0.22) --
Year ended 7/31/06 $23.24 0.18[DELTA] 0.79 0.97 (0.20) --
Year ended 7/31/05 $20.83 0.20[DELTA] 2.44 2.64 (0.23) --
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX CLASS C SHARES
Six months ended 1/31/2010 + $18.59 0.09[DELTA] 1.63 1.72 (0.08) --
Year ended 7/31/09 $23.86 0.26[DELTA] (5.20) (4.94) (0.33) --
Year ended 7/31/08 $27.37 0.26[DELTA] (3.57) (3.31) (0.20) --
Year ended 7/31/07 $24.03 0.22[DELTA] 3.34 3.56 (0.22) --
Year ended 7/31/06 $23.26 0.18[DELTA] 0.78 0.96 (0.19) --
Year ended 7/31/05 $20.84 0.20[DELTA] 2.44 2.64 (0.22) --
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX SELECT SHARES
Six months ended 1/31/2010 + $18.76 0.18[DELTA] 1.65 1.83 (0.18) --
Year ended 7/31/09 $24.05 0.42[DELTA] (5.23) (4.81) (0.48) --
Year ended 7/31/08 $27.59 0.50[DELTA] (3.58) (3.08) (0.46) --
Year ended 7/31/07 $24.23 0.47[DELTA] 3.35 3.82 (0.46) --
Year ended 7/31/06 $23.45 0.40[DELTA] 0.80 1.20 (0.42) --
Year ended 7/31/05 $21.00 0.41[DELTA] 2.47 2.88 (0.43) --
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PREFERRED SHARES
Six months ended 1/31/2010 + $18.76 0.17[DELTA] 1.65 1.82 (0.17) --
Year ended 7/31/09 $24.05 0.42[DELTA] (5.25) (4.83) (0.46) --
Year ended 7/31/08 $27.59 0.48[DELTA] (3.58) (3.10) (0.44) --
Year ended 7/31/07 $24.23 0.45[DELTA] 3.37 3.82 (0.46) --
Year ended 7/31/06 $23.45 0.39[DELTA] 0.79 1.18 (0.40) --
Year ended 7/31/05 $21.01 0.43[DELTA] 2.41 2.84 (0.40) --
- -------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX TRUST SHARES
Six months ended 1/31/2010 + $18.76 0.16[DELTA] 1.66 1.82 (0.16) --
Year ended 7/31/09 $24.05 0.41[DELTA] (5.25) (4.84) (0.45) --
Year ended 7/31/08 $27.60 0.46[DELTA] (3.60) (3.14) (0.41) --
Year ended 7/31/07 $24.23 0.43[DELTA] 3.36 3.79 (0.42) --
Year ended 7/31/06 $23.45 0.36[DELTA] 0.79 1.15 (0.37) --
Year ended 7/31/05 $21.01 0.37[DELTA] 2.46 2.83 (0.39) --
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
114
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.19) $20.42 9.85%* $149,610 0.61%** 0.19%** 1.80%** 3%
(0.49) $18.76 (19.89)% $141,566 0.62% 0.19% 2.47% 7%
(0.49) $24.05 (11.27)% $169,016 0.60% 0.19% 1.97% 4%
(0.49) $27.60 15.92% $193,180 0.61% 0.19% 1.84% 4%
(0.43) $24.24 5.21% $184,177 0.60% 0.19% 1.75% 6%
(0.44) $23.46 13.86% $168,279 0.62% 0.19% 1.97% 4%
- ------------------------------------------------------------------------------------------------------------------------
(0.16) $20.35 9.69%* $ 40,153 0.86%** 0.44%** 1.57%** 3%
(0.45) $18.70 (20.05)% $ 41,527 0.87% 0.44% 2.22% 7%
(0.42) $23.97 (11.51)% $ 55,640 0.85% 0.44% 1.71% 4%
(0.42) $27.51 15.65% $ 65,640 0.86% 0.44% 1.59% 4%
(0.38) $24.16 4.97% $ 65,204 0.85% 0.44% 1.52% 6%
(0.39) $23.38 13.58% $ 70,261 0.87% 0.44% 1.69% 4%
- ------------------------------------------------------------------------------------------------------------------------
(0.08) $20.22 9.28%* $ 1,959 1.61%** 1.19%** 0.81%** 3%
(0.33) $18.58 (20.68)% $ 1,989 1.62% 1.19% 1.49% 7%
(0.20) $23.84 (12.15)% $ 3,029 1.60% 1.19% 0.97% 4%
(0.22) $27.34 14.79% $ 3,961 1.61% 1.19% 0.84% 4%
(0.20) $24.01 4.17% $ 4,229 1.60% 1.19% 0.76% 6%
(0.23) $23.24 12.74% $ 4,399 1.63% 1.19% 0.93% 4%
- ------------------------------------------------------------------------------------------------------------------------
(0.08) $20.23 9.22%* $ 993 1.61%** 1.19%** 0.84%** 3%
(0.33) $18.59 (20.69)% $ 1,452 1.62% 1.19% 1.46% 7%
(0.20) $23.86 (12.17)% $ 1,876 1.60% 1.19% 0.97% 4%
(0.22) $27.37 14.81% $ 2,223 1.61% 1.19% 0.83% 4%
(0.19) $24.03 4.15% $ 1,998 1.60% 1.19% 0.77% 6%
(0.22) $23.26 12.72% $ 2,301 1.63% 1.19% 0.90% 4%
- ------------------------------------------------------------------------------------------------------------------------
(0.18) $20.41 9.75%* $ 9,773 0.69%** 0.27%** 1.73%** 3%
(0.48) $18.76 (19.95)% $ 9,732 0.70% 0.27% 2.38% 7%
(0.46) $24.05 (11.32)% $ 11,175 0.68% 0.27% 1.87% 4%
(0.46) $27.59 15.83% $ 17,852 0.69% 0.27% 1.76% 4%
(0.42) $24.23 5.13% $ 17,558 0.68% 0.27% 1.67% 6%
(0.43) $23.45 13.79% $ 18,690 0.71% 0.27% 1.83% 4%
- ------------------------------------------------------------------------------------------------------------------------
(0.17) $20.41 9.77%* $ 47,812 0.76%** 0.34%** 1.65%** 3%
(0.46) $18.76 (20.04)% $ 43,098 0.77% 0.34% 2.33% 7%
(0.44) $24.05 (11.38)% $ 56,847 0.75% 0.34% 1.81% 4%
(0.46) $27.59 15.76% $ 69,251 0.76% 0.34% 1.68% 4%
(0.40) $24.23 5.06% $ 64,939 0.75% 0.34% 1.62% 6%
(0.40) $23.45 13.62% $ 78,123 0.77% 0.34% 1.98% 4%
- ------------------------------------------------------------------------------------------------------------------------
(0.16) $20.42 9.71%* $ 32,738 0.86%** 0.44%** 1.56%** 3%
(0.45) $18.76 (20.08)% $ 27,411 0.87% 0.44% 2.24% 7%
(0.41) $24.05 (11.51)% $ 53,924 0.85% 0.44% 1.72% 4%
(0.42) $27.60 15.69% $ 68,661 0.86% 0.44% 1.59% 4%
(0.37) $24.23 4.95% $ 67,747 0.85% 0.44% 1.52% 6%
(0.39) $23.45 13.53% $ 76,295 0.87% 0.44% 1.69% 4%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
115
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 7.25 0.03[DELTA] 0.31 0.34 (0.25) --
Year ended 7/31/09 $12.24 0.22[DELTA] (3.59) (3.37) (0.19) (1.43)
Year ended 7/31/08 $15.55 0.45[DELTA] (2.30) (1.85) (0.46) (1.00)
Year ended 7/31/07 $12.83 0.18[DELTA]@ 2.92 3.10 (0.11) (0.27)
Year ended 7/31/06 $10.79 0.15[DELTA] 2.37 2.52 (0.20) (0.28)
Year ended 7/31/05 $ 9.32 0.13 1.54 1.67 (0.20) --
- -------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY CLASS A SHARES
Six months ended 1/31/2010 + $ 7.24 0.02[DELTA] 0.32 0.34 (0.24) --
Year ended 7/31/09 $12.23 0.20[DELTA] (3.59) (3.39) (0.17) (1.43)
Year ended 7/31/08 $15.54 0.40[DELTA] (2.28) (1.88) (0.43) (1.00)
Year ended 7/31/07 $12.84 0.15[DELTA]@ 2.92 3.07 (0.10) (0.27)
Year ended 7/31/06 $10.80 0.13[DELTA] 2.36 2.49 (0.17) (0.28)
Year ended 7/31/05 $ 9.33 0.10 1.54 1.64 (0.17) --
- -------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY CLASS B SHARES
Six months ended 1/31/2010 + $ 7.09 (0.01[DELTA]) 0.30 0.29 (0.20) --
Year ended 7/31/09 $11.95 0.14[DELTA] (3.48) (3.34) (0.09) (1.43)
Year ended 7/31/08 $15.21 0.29[DELTA] (2.23) (1.94) (0.32) (1.00)
Year ended 7/31/07 $12.64 0.04[DELTA]@ 2.86 2.90 (0.06) (0.27)
Year ended 7/31/06 $10.66 0.04[DELTA] 2.32 2.36 (0.10) (0.28)
Year ended 7/31/05 $ 9.23 0.02 1.52 1.54 (0.11) --
- -------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY CLASS C SHARES
Six months ended 1/31/2010 + $ 6.79 (0.01)[DELTA] 0.30 0.29 (0.21) --
Year ended 7/31/09 $11.61 0.14[DELTA] (3.42) (3.28) (0.11) (1.43)
Year ended 7/31/08 $14.81 0.30[DELTA] (2.18) (1.88) (0.32) (1.00)
Year ended 7/31/07 $12.31 0.02[DELTA]@ 2.81 2.83 (0.06) (0.27)
Year ended 7/31/06 $10.39 0.03[DELTA] 2.28 2.31 (0.11) (0.28)
Year ended 7/31/05 $ 8.99 0.02 1.49 1.51 (0.11) --
- -------------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.95 0.28[DELTA] 0.91 1.19 (0.46) --
Year ended 7/31/09 $ 9.38 0.57[DELTA] (0.38) 0.19 (0.61) (0.01)
Year ended 7/31/08 $11.18 0.55[DELTA] (1.41) (0.85) (0.61) (0.33)
Year ended 7/31/07 $11.28 0.55[DELTA] 0.01 0.56 (0.55) (0.11)
Year ended 7/31/06 $11.54 0.52[DELTA] (0.23) 0.29 (0.52) (0.03)
Year ended 7/31/05 $11.15 0.51 0.39 0.90 (0.50) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME CLASS A SHARES
Six months ended 1/31/2010 + $ 8.93 0.26[DELTA] 0.90 1.16 (0.44) --
Year ended 7/31/09 $ 9.36 0.56[DELTA] (0.39) 0.17 (0.59) (0.01)
Year ended 7/31/08 $11.15 0.53[DELTA] (1.41) (0.87) (0.58) (0.33)
Year ended 7/31/07 $11.25 0.52[DELTA] 0.02 0.54 (0.52) (0.12)
Year ended 7/31/06 $11.51 0.48[DELTA] (0.22) 0.26 (0.49) (0.03)
Year ended 7/31/05 $11.12 0.49 0.38 0.87 (0.47) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME CLASS B SHARES
Six months ended 1/31/2010 + $ 8.93 0.23[DELTA] 0.90 1.13 (0.41) --
Year ended 7/31/09 $ 9.36 0.50[DELTA] (0.38) 0.12 (0.54) (0.01)
Year ended 7/31/08 $11.15 0.45[DELTA] (1.41) (0.96) (0.50) (0.33)
Year ended 7/31/07 $11.25 0.43[DELTA] 0.02 0.45 (0.44) (0.11)
Year ended 7/31/06 $11.51 0.40[DELTA] (0.23) 0.17 (0.40) (0.03)
Year ended 7/31/05 $11.12 0.40 0.39 0.79 (0.39) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME CLASS C SHARES
Six months ended 1/31/2010 + $ 8.85 0.23[DELTA] 0.89 1.12 (0.41) --
Year ended 7/31/09 $ 9.29 0.49[DELTA] (0.38) 0.11 (0.54) (0.01)
Year ended 7/31/08 $11.07 0.45[DELTA] (1.40) (0.95) (0.50) (0.33)
Year ended 7/31/07 $11.17 0.43[DELTA] 0.02 0.45 (0.44) (0.11)
Year ended 7/31/06 $11.43 0.40[DELTA] (0.23) 0.17 (0.40) (0.03)
Year ended 7/31/05 $11.05 0.39 0.39 0.78 (0.39) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
116
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.25) $ 7.34 4.46%* $240,595 1.34%** 1.20%**~ 0.82%** 79%
(1.62) $ 7.25 (24.36)% $233,968 1.34% 1.22%~ 3.01% 104%
(1.46) $12.24 (13.56)% $420,993 1.36% 1.26% 3.13% 155%
(0.38) $15.55 24.57%@ $469,183 1.36% 1.35% 1.29% 20%
(0.48) $12.83 23.86% $434,572 1.37% 1.35% 1.24% 23%
(0.20) $10.79 17.99% $282,476 1.39% 1.35% 1.15% 21%
- ------------------------------------------------------------------------------------------------------------------------
(0.24) $ 7.34 4.48%* $ 10,905 1.59%** 1.45%**~ 0.61%** 79%
(1.60) $ 7.24 (24.64)% $ 11,754 1.59% 1.47%~ 2.74% 104%
(1.43) $12.23 (13.81)% $ 20,160 1.60% 1.50% 2.80% 155%
(0.37) $15.54 24.35%@ $ 21,533 1.61% 1.60% 1.06% 20%
(0.45) $12.84 23.53% $ 27,725 1.62% 1.60% 1.03% 23%
(0.17) $10.80 17.79% $ 20,509 1.64% 1.60% 0.88% 21%
- ------------------------------------------------------------------------------------------------------------------------
(0.20) $ 7.18 4.00%* $ 848 2.34%** 2.20%**~ (0.14)%** 79%
(1.52) $ 7.09 (25.00)% $ 978 2.34% 2.22%~ 1.99% 104%
(1.32) $11.95 (14.45)% $ 2,177 2.36% 2.26% 2.10% 155%
(0.33) $15.21 23.36%@ $ 2,677 2.35% 2.35% 0.32% 20%
(0.38) $12.64 22.59% $ 2,060 2.37% 2.35% 0.32% 23%
(0.11) $10.66 16.76% $ 1,280 2.39% 2.35% 0.23% 21%
- ------------------------------------------------------------------------------------------------------------------------
(0.21) $ 6.87 4.05%* $ 340 2.34%** 2.20%**~ (0.14)%** 79%
(1.54) $ 6.79 (25.18)% $ 378 2.34% 2.22%~ 2.01% 104%
(1.32) $11.61 (14.43)% $ 721 2.36% 2.26% 2.19% 155%
(0.33) $14.81 23.40%@ $ 878 2.35% 2.35% 0.16% 20%
(0.39) $12.31 22.61% $ 1,139 2.37% 2.35% 0.29% 23%
(0.11) $10.39 16.83% $ 962 2.39% 2.35% 0.26% 21%
- ------------------------------------------------------------------------------------------------------------------------
(0.46) $ 9.68 13.44%* $ 57,953 1.41%** 0.88%** 5.79%** 14%
(0.62) $ 8.95 3.38% $ 59,493 1.40% 0.93% 7.29% 32%
(0.94) $ 9.38 (8.30)% $ 90,639 1.35% 0.96% 5.28% 32%
(0.66) $11.18 4.97% $116,454 1.34% 1.06% 4.75% 18%
(0.55) $11.28 2.61% $107,130 1.34% 1.31% 4.56% 8%
(0.51) $11.54 8.21% $ 97,921 1.36% 1.36% 4.47% 17%
- ------------------------------------------------------------------------------------------------------------------------
(0.44) $ 9.65 13.21%* $ 16,735 1.66%** 1.13%** 5.55%** 14%
(0.60) $ 8.93 3.02% $ 13,406 1.65% 1.18% 7.05% 32%
(0.91) $ 9.36 (8.46)% $ 14,768 1.60% 1.21% 5.21% 32%
(0.64) $11.15 4.72% $ 4,904 1.59% 1.31% 4.49% 18%
(0.52) $11.25 2.36% $ 4,429 1.59% 1.56% 4.30% 8%
(0.48) $11.51 7.96% $ 4,423 1.62% 1.62% 4.25% 17%
- ------------------------------------------------------------------------------------------------------------------------
(0.41) $ 9.65 12.79%* $ 787 2.41%** 1.88%** 4.80%** 14%
(0.55) $ 8.93 2.26% $ 767 2.40% 1.93% 6.31% 32%
(0.83) $ 9.36 (9.15)% $ 979 2.35% 1.96% 4.27% 32%
(0.55) $11.15 3.94% $ 1,528 2.34% 2.05% 3.76% 18%
(0.43) $11.25 1.60% $ 1,588 2.34% 2.31% 3.57% 8%
(0.40) $11.51 7.16% $ 1,909 2.37% 2.37% 3.49% 17%
- ------------------------------------------------------------------------------------------------------------------------
(0.41) $ 9.56 12.79%* $ 9,976 2.41%** 1.88%** 4.81%** 14%
(0.55) $ 8.85 2.29% $ 8,468 2.40% 1.93% 6.32% 32%
(0.83) $ 9.29 (9.12)% $ 9,780 2.35% 1.96% 4.26% 32%
(0.55) $11.07 3.98% $ 15,676 2.34% 2.06% 3.75% 18%
(0.43) $11.17 1.62% $ 20,019 2.34% 2.32% 3.53% 8%
(0.40) $11.43 7.12% $ 29,176 2.35% 2.35% 3.47% 17%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
117
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.73 0.11#[DELTA] 0.55# 0.66 (0.11) (0.13)
Year ended 7/31/09 $13.57 0.20#[DELTA] (3.55)# (3.35) (0.24) (1.25)
Year ended 7/31/08 $16.58 0.20#[DELTA] (1.56)# (1.36) (0.49) (1.16)
Year ended 7/31/07 $14.58 0.14#[DELTA] 2.39# 2.53 (0.12) (0.41)
Year ended 7/31/06 $14.36 0.21# 0.52# 0.73 (0.20) (0.31)
Year ended 7/31/05 $12.49 0.16# 1.94# 2.10 (0.15) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) CLASS A SHARES
Six months ended 1/31/2010 + $ 8.67 0.09#[DELTA] 0.55# 0.64 (0.10) (0.13)
Year ended 7/31/09 $13.49 0.17#[DELTA] (3.52)# (3.35) (0.22) (1.25)
Year ended 7/31/08 $16.51 0.18#[DELTA] (1.58)# (1.40) (0.46) (1.16)
Year ended 7/31/07 $14.53 0.10#[DELTA] 2.38# 2.48 (0.09) (0.41)
Year ended 7/31/06 $14.32 0.17# 0.51# 0.68 (0.16) (0.31)
Year ended 7/31/05 $12.45 0.12# 1.95# 2.07 (0.12) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) CLASS B SHARES
Six months ended 1/31/2010 + $ 8.38 0.05#[DELTA] 0.53# 0.58 (0.07) (0.13)
Year ended 7/31/09 $13.12 0.11#[DELTA] (3.44)# (3.33) (0.16) (1.25)
Year ended 7/31/08 $16.11 0.06#[DELTA] (1.52)# (1.46) (0.37) (1.16)
Year ended 7/31/07 $14.24 (0.02)#[DELTA] 2.33# 2.31 (0.02) (0.42)
Year ended 7/31/06 $14.08 0.06# 0.51# 0.57 (0.10) (0.31)
Year ended 7/31/05 $12.30 0.03# 1.90# 1.93 (0.07) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) CLASS C SHARES
Six months ended 1/31/2010 + $ 8.37 0.05#[DELTA] 0.54# 0.59 (0.07) (0.13)
Year ended 7/31/09 $13.11 0.11#[DELTA] (3.44)# (3.33) (0.16) (1.25)
Year ended 7/31/08 $16.11 0.05#[DELTA] (1.52)# (1.47) (0.37) (1.16)
Year ended 7/31/07 $14.24 (0.04)#[DELTA] 2.35# 2.31 (0.03) (0.41)
Year ended 7/31/06 $14.08 0.06# 0.51# 0.57 (0.10) (0.31)
Year ended 7/31/05 $12.30 0.03# 1.90# 1.93 (0.07) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 9.14 0.14#[DELTA] 0.48# 0.62 (0.14) (0.04)
Year ended 7/31/09 $12.85 0.28#[DELTA] (2.71)# (2.43) (0.37) (0.91)
Year ended 7/31/08 $15.44 0.29#[DELTA] (1.32)# (1.03) (0.45) (1.11)
Year ended 7/31/07 $13.98 0.25#[DELTA] 1.84# 2.09 (0.26) (0.37)
Year ended 7/31/06 $13.91 0.28# 0.34# 0.62 (0.28) (0.27)
Year ended 7/31/05 $12.48 0.22# 1.50# 1.72 (0.21) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS A SHARES
Six months ended 1/31/2010 + $ 9.12 0.12#[DELTA] 0.50# 0.62 (0.13) (0.04)
Year ended 7/31/09 $12.83 0.26#[DELTA] (2.72)# (2.46) (0.34) (0.91)
Year ended 7/31/08 $15.42 0.27#[DELTA] (1.34)# (1.07) (0.41) (1.11)
Year ended 7/31/07 $13.96 0.21#[DELTA] 1.83# 2.04 (0.22) (0.36)
Year ended 7/31/06 $13.89 0.26# 0.33# 0.59 (0.25) (0.27)
Year ended 7/31/05 $12.47 0.19# 1.49# 1.68 (0.18) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS B SHARES
Six months ended 1/31/2010 + $ 9.02 0.08#[DELTA] 0.50# 0.58 (0.10) (0.04)
Year ended 7/31/09 $12.72 0.18#[DELTA] (2.69)# (2.51) (0.28) (0.91)
Year ended 7/31/08 $15.34 0.17#[DELTA] (1.33)# (1.16) (0.35) (1.11)
Year ended 7/31/07 $13.90 0.10#[DELTA] 1.82# 1.92 (0.11) (0.37)
Year ended 7/31/06 $13.83 0.15# 0.34# 0.49 (0.15) (0.27)
Year ended 7/31/05 $12.42 0.09# 1.48# 1.57 (0.08) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS C SHARES
Six months ended 1/31/2010 + $ 9.03 0.08#[DELTA] 0.48# 0.56 (0.09) (0.04)
Year ended 7/31/09 $12.71 0.18#[DELTA] (2.67)# (2.49) (0.28) (0.91)
Year ended 7/31/08 $15.34 0.19#[DELTA] (1.36)# (1.17) (0.35) (1.11)
Year ended 7/31/07 $13.89 0.10#[DELTA] 1.83# 1.93 (0.11) (0.37)
Year ended 7/31/06 $13.83 0.15# 0.33# 0.48 (0.15) (0.27)
Year ended 7/31/05 $12.41 0.09# 1.49# 1.58 (0.08) (0.08)
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
118
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.24) $ 9.15 7.47%* $ 77,387 0.56%** 0.08%** 2.27%** 11%
(1.49) $ 8.73 (22.95)% $ 76,770 0.56% 0.08% 2.21% 9%
(1.65) $13.57 (9.45)% $107,929 0.49% 0.08% 1.31% 26%
(0.53) $16.58 17.59% $119,437 0.49% 0.08% 0.87% 14%
(0.51) $14.58 5.13% $101,365 0.48% 0.08% 1.38% 14%
(0.23) $14.36 16.91% $ 70,072 0.47% 0.08% 1.15% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.23) $ 9.08 7.27%* $ 27,490 0.81%** 0.33%** 1.97%** 11%
(1.47) $ 8.67 (23.12)% $ 28,126 0.81% 0.33% 1.95% 9%
(1.62) $13.49 (9.74)% $ 44,892 0.74% 0.33% 1.19% 26%
(0.50) $16.51 17.29% $ 57,421 0.73% 0.33% 0.62% 14%
(0.47) $14.53 4.80% $ 50,416 0.72% 0.33% 1.15% 14%
(0.20) $14.32 16.59% $ 47,172 0.72% 0.33% 0.91% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.20) $ 8.76 6.81%* $ 7,407 1.56%** 1.08%** 1.20%** 11%
(1.41) $ 8.38 (23.68)% $ 7,893 1.56% 1.08% 1.24% 9%
(1.53) $13.12 (10.41)% $ 13,202 1.49% 1.08% 0.39% 26%
(0.44) $16.11 16.44% $ 18,547 1.49% 1.08% (0.13)% 14%
(0.41) $14.24 4.10% $ 16,926 1.47% 1.08% 0.39% 14%
(0.15) $14.08 15.73% $ 16,203 1.47% 1.08% 0.15% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.20) $ 8.76 6.94%* $ 1,201 1.56%** 1.08%** 1.19%** 11%
(1.41) $ 8.37 (23.70)% $ 1,342 1.55% 1.08% 1.24% 9%
(1.53) $13.11 (10.44)% $ 2,236 1.49% 1.08% 0.36% 26%
(0.44) $16.11 16.45% $ 3,016 1.49% 1.08% (0.24)% 14%
(0.41) $14.24 4.11% $ 2,661 1.47% 1.08% 0.37% 14%
(0.15) $14.08 15.80% $ 2,164 1.47% 1.08% 0.14% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.18) $ 9.58 6.81%* $109,438 0.55%** 0.08%** 2.78%** 15%
(1.28) $ 9.14 (17.50)% $110,522 0.54% 0.08% 3.06% 8%
(1.56) $12.85 (7.76)% $135,474 0.48% 0.08% 2.06% 26%
(0.63) $15.44 15.16% $146,973 0.47% 0.08% 1.68% 20%
(0.55) $13.98 4.60% $135,542 0.45% 0.08% 2.09% 19%
(0.29) $13.91 13.87% $110,379 0.44% 0.08% 1.62% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.17) $ 9.57 6.80%* $ 74,120 0.80%** 0.33%** 2.46%** 15%
(1.25) $ 9.12 (17.73)% $ 64,959 0.79% 0.33% 2.77% 8%
(1.52) $12.83 (7.95)% $ 98,658 0.73% 0.33% 1.89% 26%
(0.58) $15.42 14.82% $127,824 0.72% 0.33% 1.42% 20%
(0.52) $13.96 4.36% $128,564 0.70% 0.33% 1.86% 19%
(0.26) $13.89 13.53% $125,130 0.69% 0.33% 1.38% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.14) $ 9.46 6.36%* $ 26,699 1.55%** 1.08%** 1.76%** 15%
(1.19) $ 9.02 (18.37)% $ 27,726 1.54% 1.08% 2.03% 8%
(1.46) $12.72 (8.65)% $ 43,036 1.48% 1.08% 1.20% 26%
(0.48) $15.34 13.97% $ 56,679 1.47% 1.08% 0.68% 20%
(0.42) $13.90 3.63% $ 53,395 1.45% 1.08% 1.10% 19%
(0.16) $13.83 12.68% $ 50,000 1.44% 1.08% 0.62% 35%
- ------------------------------------------------------------------------------------------------------------------------
(0.13) $ 9.46 6.23%* $ 3,190 1.55%** 1.08%** 1.74%** 15%
(1.19) $ 9.03 (18.28)% $ 3,375 1.54% 1.08% 1.99% 8%
(1.46) $12.71 (8.73)% $ 6,077 1.48% 1.08% 1.35% 26%
(0.48) $15.34 13.98% $ 9,012 1.47% 1.08% 0.68% 20%
(0.42) $13.89 3.53% $ 8,196 1.45% 1.08% 1.11% 19%
(0.16) $13.83 12.75% $ 9,034 1.44% 1.08% 0.62% 35%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
119
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 9.01 0.15#[DELTA] 0.42# 0.57 (0.17) --
Year ended 7/31/09 $11.43 0.34#[DELTA] (1.81)# (1.47) (0.42) (0.53)
Year ended 7/31/08 $13.34 0.36#[DELTA] (1.06)# (0.70) (0.45) (0.76)
Year ended 7/31/07 $12.43 0.33#[DELTA] 1.21# 1.54 (0.33) (0.30)
Year ended 7/31/06 $12.52 0.33# 0.15# 0.48 (0.33) (0.24)
Year ended 7/31/05 $11.57 0.27# 0.97# 1.24 (0.26) (0.03)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) CLASS A SHARES
Six months ended 1/31/2010 + $ 9.00 0.14#[DELTA] 0.41# 0.55 (0.16) --
Year ended 7/31/09 $11.42 0.32#[DELTA] (1.81)# (1.49) (0.40) (0.53)
Year ended 7/31/08 $13.32 0.33#[DELTA] (1.06)# (0.73) (0.41) (0.76)
Year ended 7/31/07 $12.41 0.29#[DELTA] 1.22# 1.51 (0.30) (0.30)
Year ended 7/31/06 $12.50 0.30# 0.15# 0.45 (0.30) (0.24)
Year ended 7/31/05 $11.56 0.24# 0.96# 1.20 (0.23) (0.03)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) CLASS B SHARES
Six months ended 1/31/2010 + $ 8.95 0.11#[DELTA] 0.40# 0.51 (0.12) --
Year ended 7/31/09 $11.37 0.25#[DELTA] (1.80)# (1.55) (0.34) (0.53)
Year ended 7/31/08 $13.25 0.24#[DELTA] (1.05)# (0.81) (0.31) (0.76)
Year ended 7/31/07 $12.35 0.19#[DELTA] 1.21# 1.40 (0.20) (0.30)
Year ended 7/31/06 $12.45 0.21# 0.14# 0.35 (0.21) (0.24)
Year ended 7/31/05 $11.51 0.14# 0.97# 1.11 (0.14) (0.03)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) CLASS C SHARES
Six months ended 1/31/2010 + $ 8.95 0.11#[DELTA] 0.41# 0.52 (0.12) --
Year ended 7/31/09 $11.37 0.25#[DELTA] (1.80)# (1.55) (0.34) (0.53)
Year ended 7/31/08 $13.26 0.24#[DELTA] (1.06)# (0.82) (0.31) (0.76)
Year ended 7/31/07 $12.36 0.19#[DELTA] 1.21# 1.40 (0.20) (0.30)
Year ended 7/31/06 $12.45 0.21# 0.14# 0.35 (0.20) (0.24)
Year ended 7/31/05 $11.51 0.15# 0.96# 1.11 (0.14) (0.03)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.35 0.15#[DELTA] 0.39# 0.54 (0.16) --
Year ended 7/31/09 $10.34 0.34#[DELTA] (1.40)# (1.06) (0.41) (0.52)
Year ended 7/31/08 $11.95 0.37#[DELTA] (0.90)# (0.53) (0.42) (0.66)
Year ended 7/31/07 $11.36 0.34#[DELTA] 0.93# 1.27 (0.35) (0.33)
Year ended 7/31/06 $11.59 0.34# 0.04# 0.38 (0.34) (0.27)
Year ended 7/31/05 $10.95 0.27# 0.73# 1.00 (0.27) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS A SHARES
Six months ended 1/31/2010 + $ 8.33 0.14#[DELTA] 0.40# 0.54 (0.15) --
Year ended 7/31/09 $10.32 0.32#[DELTA] (1.40)# (1.08) (0.39) (0.52)
Year ended 7/31/08 $11.93 0.33#[DELTA] (0.89)# (0.56) (0.39) (0.66)
Year ended 7/31/07 $11.35 0.31#[DELTA] 0.92# 1.23 (0.32) (0.33)
Year ended 7/31/06 $11.58 0.32# 0.03# 0.35 (0.31) (0.27)
Year ended 7/31/05 $10.93 0.25# 0.73# 0.98 (0.24) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS B SHARES
Six months ended 1/31/2010 + $ 8.30 0.11#[DELTA] 0.39# 0.50 (0.12) --
Year ended 7/31/09 $10.29 0.25#[DELTA] (1.38)# (1.13) (0.34) (0.52)
Year ended 7/31/08 $11.88 0.25#[DELTA] (0.89)# (0.64) (0.29) (0.66)
Year ended 7/31/07 $11.30 0.22#[DELTA] 0.92# 1.14 (0.23) (0.33)
Year ended 7/31/06 $11.54 0.24# 0.02# 0.26 (0.23) (0.27)
Year ended 7/31/05 $10.90 0.17# 0.72# 0.89 (0.16) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS C SHARES
Six months ended 1/31/2010 + $ 8.31 0.10#[DELTA] 0.40# 0.50 (0.12) --
Year ended 7/31/09 $10.30 0.26#[DELTA] (1.39)# (1.13) (0.34) (0.52)
Year ended 7/31/08 $11.89 0.25#[DELTA] (0.89)# (0.64) (0.29) (0.66)
Year ended 7/31/07 $11.32 0.22#[DELTA] 0.91# 1.13 (0.23) (0.33)
Year ended 7/31/06 $11.54 0.24# 0.03# 0.27 (0.22) (0.27)
Year ended 7/31/05 $10.90 0.17# 0.72# 0.89 (0.16) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
120
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.17) $ 9.41 6.30%* $198,133 0.45%** 0.08%** 3.22%** 8%
(0.95) $ 9.01 (11.88)% $258,159 0.44% 0.08% 3.80% 7%
(1.21) $11.43 (6.02)% $312,435 0.43% 0.08% 2.85% 23%
(0.63) $13.34 12.60% $369,880 0.44% 0.08% 2.48% 18%
(0.57) $12.43 3.90% $369,903 0.43% 0.08% 2.70% 30%
(0.29) $12.52 10.79% $340,163 0.42% 0.08% 2.17% 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.16) $ 9.39 6.06%* $ 45,341 0.70%** 0.33%** 3.00%** 8%
(0.93) $ 9.00 (12.09)% $ 48,590 0.69% 0.33% 3.53% 7%
(1.17) $11.42 (6.21)% $ 71,338 0.68% 0.33% 2.67% 23%
(0.60) $13.32 12.32% $ 92,719 0.69% 0.33% 2.23% 18%
(0.54) $12.41 3.65% $100,588 0.68% 0.33% 2.46% 30%
(0.26) $12.50 10.43% $106,044 0.67% 0.33% 1.92% 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.12) $ 9.34 5.69%* $ 19,054 1.45%** 1.08%** 2.23%** 8%
(0.87) $ 8.95 (12.76)% $ 20,489 1.44% 1.08% 2.78% 7%
(1.07) $11.37 (6.87)% $ 32,003 1.43% 1.08% 1.93% 23%
(0.50) $13.25 11.47% $ 43,013 1.44% 1.08% 1.48% 18%
(0.45) $12.35 2.82% $ 43,234 1.43% 1.08% 1.70% 30%
(0.17) $12.45 9.58% $ 44,111 1.42% 1.08% 1.17% 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.12) $ 9.35 5.81%* $ 2,751 1.45%** 1.08%** 2.27%** 8%
(0.87) $ 8.95 (12.77)% $ 2,709 1.44% 1.08% 2.78% 7%
(1.07) $11.37 (6.95)% $ 4,333 1.43% 1.08% 1.92% 23%
(0.50) $13.26 11.46% $ 6,158 1.44% 1.08% 1.48% 18%
(0.44) $12.36 2.88% $ 6,495 1.43% 1.08% 1.70% 30%
(0.17) $12.45 9.64% $ 7,912 1.42% 1.08% 1.16% 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.16) $ 8.73 6.51%* $ 37,135 0.59%** 0.08%** 3.45%** 13%
(0.93) $ 8.35 (9.12)% $ 35,581 0.59% 0.08% 4.11% 8%
(1.08) $10.34 (5.03)% $ 43,093 0.53% 0.08% 3.28% 25%
(0.68) $11.95 11.24% $ 41,336 0.54% 0.08% 2.89% 30%
(0.61) $11.36 3.39% $ 42,683 0.50% 0.08% 3.05% 22%
(0.36) $11.59 9.24% $ 38,606 0.47% 0.08% 2.44% 38%
- ------------------------------------------------------------------------------------------------------------------------
(0.15) $ 8.72 6.51%* $ 15,167 0.84%** 0.33%** 3.18%** 13%
(0.91) $ 8.33 (9.36)% $ 16,941 0.84% 0.33% 3.81% 8%
(1.05) $10.32 (5.30)% $ 25,200 0.79% 0.33% 2.92% 25%
(0.65) $11.93 10.96% $ 35,676 0.79% 0.33% 2.63% 30%
(0.58) $11.35 3.14% $ 37,479 0.75% 0.33% 2.80% 22%
(0.33) $11.58 8.97% $ 41,446 0.72% 0.33% 2.18% 38%
- ------------------------------------------------------------------------------------------------------------------------
(0.12) $ 8.68 6.00%* $ 7,781 1.59%** 1.08%** 2.40%** 13%
(0.86) $ 8.30 (10.03)% $ 8,292 1.59% 1.08% 3.06% 8%
(0.95) $10.29 (5.94)% $ 13,891 1.54% 1.08% 2.25% 25%
(0.56) $11.88 10.17% $ 18,839 1.54% 1.08% 1.89% 30%
(0.50) $11.30 2.28% $ 20,488 1.50% 1.08% 2.05% 22%
(0.25) $11.54 8.10% $ 22,752 1.47% 1.08% 1.44% 38%
- ------------------------------------------------------------------------------------------------------------------------
(0.12) $ 8.69 5.96%* $ 1,042 1.59%** 1.08%** 2.32%** 13%
(0.86) $ 8.31 (10.00)% $ 1,264 1.59% 1.08% 3.09% 8%
(0.95) $10.30 (5.93)% $ 2,071 1.54% 1.08% 2.23% 25%
(0.56) $11.89 10.08% $ 2,755 1.54% 1.08% 1.88% 30%
(0.49) $11.32 2.43% $ 3,058 1.50% 1.08% 2.05% 22%
(0.25) $11.54 8.18% $ 4,029 1.47% 1.08% 1.42% 38%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
121
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.75 0.18#[DELTA] 0.33# 0.51 (0.20) --
Year ended 7/31/09 $ 9.89 0.41#[DELTA] (0.92)# (0.51) (0.46) (0.17)
Year ended 7/31/08 $10.99 0.43#[DELTA] (0.80)# (0.37) (0.43) (0.30)
Year ended 7/31/07 $10.72 0.41#[DELTA] 0.49# 0.90 (0.41) (0.22)
Year ended 7/31/06 $10.92 0.40#[DELTA] (0.09)# 0.31 (0.40) (0.11)
Year ended 7/31/05 $10.66 0.31# 0.36# 0.67 (0.32) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) CLASS A SHARES
Six months ended 1/31/2010 + $ 8.74 0.17#[DELTA] 0.32# 0.49 (0.19) --
Year ended 7/31/09 $ 9.87 0.39#[DELTA] (0.91)# (0.52) (0.44) (0.17)
Year ended 7/31/08 $10.97 0.39#[DELTA] (0.79)# (0.40) (0.40) (0.30)
Year ended 7/31/07 $10.70 0.38#[DELTA] 0.49# 0.87 (0.38) (0.22)
Year ended 7/31/06 $10.90 0.37#[DELTA] (0.09)# 0.28 (0.37) (0.11)
Year ended 7/31/05 $10.64 0.30# 0.34# 0.64 (0.29) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) CLASS B SHARES
Six months ended 1/31/2010 + $ 8.70 0.13#[DELTA] 0.32# 0.45 (0.15) --
Year ended 7/31/09 $ 9.83 0.32#[DELTA] (0.90)# (0.58) (0.38) (0.17)
Year ended 7/31/08 $10.95 0.31#[DELTA] (0.80)# (0.49) (0.33) (0.30)
Year ended 7/31/07 $10.67 0.29#[DELTA] 0.50# 0.79 (0.30) (0.21)
Year ended 7/31/06 $10.87 0.29#[DELTA] (0.09)# 0.20 (0.29) (0.11)
Year ended 7/31/05 $10.61 0.22# 0.34# 0.56 (0.21) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) CLASS C SHARES
Six months ended 1/31/2010 + $ 8.71 0.13#[DELTA] 0.33# 0.46 (0.15) --
Year ended 7/31/09 $ 9.84 0.32#[DELTA] (0.90)# (0.58) (0.38) (0.17)
Year ended 7/31/08 $10.95 0.31#[DELTA] (0.79)# (0.48) (0.33) (0.30)
Year ended 7/31/07 $10.67 0.29#[DELTA] 0.51# 0.80 (0.30) (0.22)
Year ended 7/31/06 $10.88 0.29#[DELTA] (0.11)# 0.18 (0.28) (0.11)
Year ended 7/31/05 $10.61 0.23# 0.34# 0.57 (0.21) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.72 0.37[DELTA] 0.77 1.14 (0.37) --
Year ended 7/31/09 $ 9.14 0.78[DELTA] (0.41) 0.37 (0.79) --
Year ended 7/31/08 $ 9.57 0.73[DELTA] (0.44) 0.29 (0.72) --
Year ended 7/31/07 $ 9.74 0.71[DELTA] (0.14) 0.57 (0.71) (0.03)
11/29/05 (c) to 7/31/06 $10.00 0.44 (0.28) 0.16 (0.42) --
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND CLASS A SHARES
Six months ended 1/31/2010 + $ 8.69 0.36[DELTA] 0.77 1.13 (0.36) --
Year ended 7/31/09 $ 9.12 0.74[DELTA] (0.40) 0.34 (0.77) --
Year ended 7/31/08 $ 9.57 0.69[DELTA] (0.46) 0.23 (0.68) --
Year ended 7/31/07 $ 9.74 0.68[DELTA] (0.13) 0.55 (0.69) (0.03)
11/29/05 (c) to 7/31/06 $10.00 0.41 (0.27) 0.14 (0.40) --
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND CLASS B SHARES
Six months ended 1/31/2010 + $ 8.71 0.33[DELTA] 0.77 1.10 (0.33) --
Year ended 7/31/09 $ 9.13 0.70[DELTA] (0.41) 0.29 (0.71) --
Year ended 7/31/08 $ 9.56 0.64[DELTA] (0.45) 0.19 (0.62) --
Year ended 7/31/07 $ 9.73 0.61[DELTA] (0.13) 0.48 (0.62) (0.03)
11/29/05 (c) to 7/31/06 $10.00 0.33 (0.24) 0.09 (0.36) --
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND CLASS C SHARES
Six months ended 1/31/2010 + $ 8.71 0.33[DELTA] 0.76 1.09 (0.33) --
Year ended 7/31/09 $ 9.13 0.70[DELTA] (0.41) 0.29 (0.71) --
Year ended 7/31/08 $ 9.57 0.64[DELTA] (0.45) 0.19 (0.63) --
Year ended 7/31/07 $ 9.74 0.60[DELTA] (0.12) 0.48 (0.62) (0.03)
11/29/05 (c) to 7/31/06 $10.00 0.35 (0.25) 0.10 (0.36) --
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
122
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.20) $ 9.06 5.82%* $ 26,020 0.64%** 0.08%** 3.97%** 12%
(0.63) $ 8.75 (4.64)% $ 26,856 0.65% 0.08% 4.80% 6%
(0.73) $ 9.89 (3.67)% $ 28,215 0.62% 0.08% 4.04% 23%
(0.63) $10.99 8.58% $ 24,570 0.64% 0.08% 3.69% 24%
(0.51) $10.72 2.88% $ 24,385 0.58% 0.08% 3.72% 15%
(0.41) $10.92 6.38% $ 22,236 0.54% 0.08% 3.00% 46%
- ------------------------------------------------------------------------------------------------------------------------
(0.19) $ 9.04 5.58%* $ 9,951 0.89%** 0.33%** 3.71%** 12%
(0.61) $ 8.74 (4.77)% $ 9,914 0.90% 0.33% 4.52% 6%
(0.70) $ 9.87 (3.93)% $ 12,908 0.88% 0.33% 3.68% 23%
(0.60) $10.97 8.33% $ 15,083 0.89% 0.33% 3.44% 24%
(0.48) $10.70 2.62% $ 16,138 0.82% 0.33% 3.45% 15%
(0.38) $10.90 6.13% $ 20,014 0.79% 0.33% 2.76% 46%
- ------------------------------------------------------------------------------------------------------------------------
(0.15) $ 9.00 5.18%* $ 4,524 1.64%** 1.08%** 2.91%** 12%
(0.55) $ 8.70 (5.45)% $ 5,099 1.65% 1.08% 3.76% 6%
(0.63) $ 9.83 (4.78)% $ 7,253 1.63% 1.08% 2.97% 23%
(0.51) $10.95 7.53% $ 9,242 1.64% 1.07% 2.69% 24%
(0.40) $10.67 1.83% $ 10,208 1.57% 1.08% 2.69% 15%
(0.30) $10.87 5.34% $ 12,688 1.54% 1.08% 2.01% 46%
- ------------------------------------------------------------------------------------------------------------------------
(0.15) $ 9.02 5.28%* $ 1,448 1.64%** 1.08%** 2.93%** 12%
(0.55) $ 8.71 (5.45)% $ 1,788 1.65% 1.08% 3.74% 6%
(0.63) $ 9.84 (4.70)% $ 2,250 1.63% 1.08% 2.91% 23%
(0.52) $10.95 7.59% $ 3,091 1.64% 1.07% 2.67% 24%
(0.39) $10.67 1.72% $ 3,816 1.57% 1.08% 2.68% 15%
(0.30) $10.88 5.30% $ 5,304 1.54% 1.08% 2.01% 46%
- ------------------------------------------------------------------------------------------------------------------------
(0.37) $ 9.49 13.32%* $ 42,529 1.14%** 0.74%** 8.08%** 31%
(0.79) $ 8.72 5.98% $ 47,395 1.19% 0.74% 10.13% 32%
(0.72) $ 9.14 2.98% $ 50,153 1.15% 0.74% 7.65% 36%
(0.74) $ 9.57 5.85% $ 68,193 1.14% 0.74% 7.12% 42%
(0.42) $ 9.74 1.59%* $ 66,033 1.15%** 0.74%** 6.77%** 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.36) $ 9.46 13.23%* $ 3,796 1.39%** 0.99%** 7.79%** 31%
(0.77) $ 8.69 5.60% $ 4,443 1.38% 0.99% 9.23% 32%
(0.68) $ 9.12 2.38% $ 206 1.40% 0.99% 7.17% 36%
(0.72) $ 9.57 5.47% $ 175 1.39% 0.99% 6.83% 42%
(0.40) $ 9.74 1.44%* $ 227 2.98%** 0.99%** 6.74%** 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.33) $ 9.48 12.79%* $ 92 2.14%** 1.74%** 7.08%** 31%
(0.71) $ 8.71 4.89% $ 74 2.20% 1.74% 9.10% 32%
(0.62) $ 9.13 1.94% $ 155 2.15% 1.74% 6.67% 36%
(0.65) $ 9.56 4.83% $ 156 2.15% 1.74% 6.12% 42%
(0.36) $ 9.73 0.91%* $ 96 7.16%** 1.74%** 5.98%** 41%
- ------------------------------------------------------------------------------------------------------------------------
(0.33) $ 9.47 12.75%* $ 943 2.14%** 1.74%** 6.98%** 31%
(0.71) $ 8.71 4.93% $ 113 2.19% 1.74% 9.19% 32%
(0.63) $ 9.13 2.00% $ 114 2.15% 1.74% 6.67% 36%
(0.65) $ 9.57 4.72% $ 127 2.15% 1.74% 6.04% 42%
(0.36) $ 9.74 0.94%* $ 55 8.04%** 1.74%** 5.93%** 41%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
123
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- --------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $ 8.46 0.19[DELTA] 0.37 0.56 (0.22) --
Year ended 7/31/09 $ 9.03 0.46[DELTA] (0.55) (0.09) (0.48) --
Year ended 7/31/08 $ 9.68 0.48[DELTA] (0.64) (0.16) (0.49) --
Year ended 7/31/07 $ 9.68 0.45[DELTA]@ 0.01 0.46 (0.46) --
Year ended 7/31/06 $10.07 0.42 (0.30) 0.12 (0.45) (0.06)
Year ended 7/31/05 $10.02 0.34 0.10 0.44 (0.38) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND CLASS A SHARES
Six months ended 1/31/2010 + $ 8.46 0.17[DELTA] 0.38 0.55 (0.21) --
Year ended 7/31/09 $ 9.03 0.44[DELTA] (0.55) (0.11) (0.46) --
Year ended 7/31/08 $ 9.67 0.46[DELTA] (0.64) (0.18) (0.46) --
Year ended 7/31/07 $ 9.68 0.43[DELTA]@ -- 0.43 (0.44) --
Year ended 7/31/06 $10.07 0.39 (0.30) 0.09 (0.42) (0.06)
Year ended 7/31/05 $10.02 0.30 0.11 0.41 (0.35) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND CLASS B SHARES
Six months ended 1/31/2010 + $ 8.47 0.14[DELTA] 0.37 0.51 (0.17) --
Year ended 7/31/09 $ 9.03 0.38[DELTA] (0.54) (0.16) (0.40) --
Year ended 7/31/08 $ 9.68 0.39[DELTA] (0.65) (0.26) (0.39) --
Year ended 7/31/07 $ 9.68 0.35[DELTA]@ 0.01 0.36 (0.36) --
Year ended 7/31/06 $10.07 0.32 (0.30) 0.02 (0.35) (0.06)
Year ended 7/31/05 $10.02 0.23 0.10 0.33 (0.27) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND CLASS C SHARES
Six months ended 1/31/2010 + $ 8.47 0.14[DELTA] 0.37 0.51 (0.17) --
Year ended 7/31/09 $ 9.04 0.38[DELTA] (0.55) (0.17) (0.40) --
Year ended 7/31/08 $ 9.68 0.39[DELTA] (0.64) (0.25) (0.39) --
Year ended 7/31/07 $ 9.69 0.35[DELTA]@ -- 0.35 (0.36) --
Year ended 7/31/06 $10.07 0.31 (0.28) 0.03 (0.35) (0.06)
Year ended 7/31/05 $10.02 0.23 0.10 0.33 (0.27) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
124
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.22) $ 8.80 6.63%* $301,463 0.87%** 0.65%** 4.25%** 15%
(0.48) $ 8.46 (0.71)% $386,492 0.84% 0.66% 5.54% 15%
(0.49) $ 9.03 (1.86)% $559,548 0.88% 0.69% 5.03% 36%
(0.46) $ 9.68 4.83%@ $230,154 0.91% 0.72% 4.57% 65%
(0.51) $ 9.68 1.21% $252,145 0.90% 0.74% 4.23% 352%
(0.39) $10.07 4.43% $292,043 0.91% 0.78% 3.28% 385%
- ------------------------------------------------------------------------------------------------------------------------
(0.21) $ 8.80 6.50%* $ 15,019 1.12%** 0.90%** 3.95%** 15%
(0.46) $ 8.46 (0.95)% $ 15,751 1.09% 0.91% 5.29% 15%
(0.46) $ 9.03 (1.99)% $ 20,497 1.13% 0.94% 4.78% 36%
(0.44) $ 9.67 4.45%@ $ 8,223 1.16% 0.97% 4.32% 65%
(0.48) $ 9.68 0.97% $ 11,657 1.15% 0.99% 3.97% 352%
(0.36) $10.07 4.17% $ 15,876 1.16% 1.03% 3.01% 385%
- ------------------------------------------------------------------------------------------------------------------------
(0.17) $ 8.81 6.10%* $ 2,745 1.87%** 1.65%** 3.20%** 15%
(0.40) $ 8.47 (1.58)% $ 2,932 1.84% 1.66% 4.55% 15%
(0.39) $ 9.03 (2.80)% $ 3,490 1.88% 1.69% 4.02% 36%
(0.36) $ 9.68 3.75%@ $ 2,151 1.91% 1.72% 3.57% 65%
(0.41) $ 9.68 0.20% $ 2,655 1.91% 1.74% 3.20% 352%
(0.28) $10.07 3.38% $ 3,907 1.91% 1.78% 2.27% 385%
- ------------------------------------------------------------------------------------------------------------------------
(0.17) $ 8.81 6.10%* $ 772 1.87%** 1.65%** 3.19%** 15%
(0.40) $ 8.47 (1.71)% $ 745 1.84% 1.66% 4.52% 15%
(0.39) $ 9.04 (2.72)% $ 1,528 1.88% 1.69% 4.07% 36%
(0.36) $ 9.68 3.65%@ $ 225 1.90% 1.72% 3.57% 65%
(0.41) $ 9.69 0.30% $ 315 1.91% 1.74% 3.16% 352%
(0.28) $10.07 3.37% $ 649 1.91% 1.78% 2.26% 385%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
125
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND
RESULTING FROM OPERATIONS DISTRIBUTIONS FROM
----------------------------- ------------------------------
NET REALIZED
AND
UNREALIZED CHANGE IN
NET ASSET GAINS/(LOSSES) NET ASSETS
VALUE, NET FROM RESULTING NET NET
BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT PAID-IN REALIZED
OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME CAPITAL GAINS
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND INSTITUTIONAL SHARES
Six months ended 1/31/2010 + $9.33 0.13[DELTA] 0.17 0.30 (0.13) -- --
Year ended 7/31/09 $9.29 0.33[DELTA] 0.05 0.38 (0.34) -- --
Year ended 7/31/08 $9.32 0.38[DELTA] (0.03) 0.35 (0.38) -- --
Year ended 7/31/07 $9.25 0.37[DELTA] 0.09 0.46 (0.38) (0.01) --
Year ended 7/31/06 $9.37 0.31 (0.06) 0.25 (0.37) -- --
Year ended 7/31/05 $9.57 0.20 (0.08) 0.12 (0.32) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND CLASS A SHARES
Six months ended 1/31/2010 + $9.32 0.11[DELTA] 0.19 0.30 (0.12) -- --
Year ended 7/31/09 $9.29 0.31[DELTA] 0.04 0.35 (0.32) -- --
Year ended 7/31/08 $9.31 0.35[DELTA] (0.01) 0.34 (0.36) -- --
Year ended 7/31/07 $9.25 0.35[DELTA] 0.08 0.43 (0.36) (0.01) --
Year ended 7/31/06 $9.36 0.28 (0.04) 0.24 (0.35) -- --
Year ended 7/31/05 $9.56 0.19 (0.09) 0.10 (0.30) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND CLASS C SHARES
Six months ended 1/31/2010 + $9.31 0.08[DELTA] 0.18 0.26 (0.09) -- --
Year ended 7/31/09 $9.28 0.22[DELTA] 0.07 0.29 (0.26) -- --
Year ended 7/31/08 $9.32 0.28[DELTA] (0.02) 0.26 (0.30) -- --
Year ended 7/31/07 $9.25 0.28[DELTA] 0.09 0.37 (0.29) (0.01) --
Year ended 7/31/06 $9.36 0.21 (0.04) 0.17 (0.28) -- --
Year ended 7/31/05 $9.56 0.10 (0.08) 0.02 (0.22) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
126
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------------
RATIOS OF RATIOS OF
NET TOTAL NET EXPENSES EXPENSES RATIOS OF NET
TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT
DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO
AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD CHARGE) (000's) ASSETS (a) ASSETS (b) NET ASSETS RATE (d)
- ------------------------------------------------------------------------------------------------------------------------
(0.13) $9.50 3.21%* $239,184 0.79%** 0.59%** 2.65%** 36%
(0.34) $9.33 4.30% $224,931 0.78% 0.64% 3.67% 63%
(0.38) $9.29 3.80% $241,776 0.79% 0.64% 4.01% 33%
(0.39) $9.32 5.08% $267,348 0.80% 0.64% 3.99% 75%
(0.37) $9.25 2.75% $258,423 0.78% 0.67% 3.33% 53%
(0.32) $9.37 1.16% $333,909 0.77% 0.73% 2.35% 68%
- ------------------------------------------------------------------------------------------------------------------------
(0.12) $9.50 3.21%* $ 18,064 1.04%** 0.84%** 2.37%** 36%
(0.32) $9.32 3.93% $ 6,330 1.03% 0.89% 3.41% 63%
(0.36) $9.29 3.67% $ 7,127 1.04% 0.89% 3.73% 33%
(0.37) $9.31 4.70% $ 9,704 1.05% 0.89% 3.72% 75%
(0.35) $9.25 2.60% $ 12,362 1.03% 0.92% 3.07% 53%
(0.30) $9.36 1.00% $ 17,117 1.02% 0.98% 2.10% 68%
- ------------------------------------------------------------------------------------------------------------------------
(0.09) $9.48 2.77%* $ 4,476 1.79%** 1.59%** 1.60%** 36%
(0.26) $9.31 3.21% $ 879 1.78% 1.64% 2.45% 63%
(0.30) $9.28 2.76% $ 171 1.79% 1.64% 2.98% 33%
(0.30) $9.32 3.93% $ 160 1.81% 1.64% 2.97% 75%
(0.28) $9.25 1.81% $ 205 1.79% 1.67% 2.31% 53%
(0.22) $9.36 0.23% $ 362 1.77% 1.73% 1.34% 68%
- ------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
127
FIFTH THIRD FUNDS
NOTES TO FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
(a) Before waivers and reminbursements
(b) Net of waivers and reminbursements
(c) Reflects date of commencement of operations.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole
without distinguishing between the classes of shares issued.
+ Unaudited
^ Amount is less than $0.005 per share.
* Not annualized.
** Annualized.
# Represents income or gains/(losses) from affiliates.
[DELTA] Average shares method used in calculation.
[OMEGA] Includes dividend and interest expense for securities sold short. See
table below.
INSTITUTIONAL CLASS A CLASS B CLASS C
------------- ------- ------- -------
Six months ended 1/31/10 0.68% 0.68% 0.69% 0.65%
Year ended 7/31/09 0.39% 0.39% 0.39% 0.33%
Year ended 7/31/08 0.59% 0.59% 0.59% 0.59%
Year ended 7/31/07 --^ --^ --^ --^
^ Amount is less than $0.005 per share.
@ During the year ended July 31, 2007, the Advisor paid money to certain Funds
related to an SEC investigation of Citi (formerly BISYS Fund Services), a
former service provider to the Funds. See Note 5 in Notes to Financial
Statements for further information. See additional information below regarding
per share impacts and total return from the year ended July 31, 2007 had this
payment not occurred.
AMOUNT PER
SHARE FOR PAYMENT
TOTAL RETURN EXCLUDING PAYMENT BY THE ADVISOR (EXCLUDES SALES CHARGE) BY THE ADVISOR &
--------------------------------------------------------------------- -----------------
INSTITUTIONAL CLASS A CLASS B CLASS C ALL CLASSES
------------- ------- ------- ------- -----------
Mid Cap Growth 17.24% 16.93% 16.06% 16.07% $0.01
Quality Growth 20.38% 20.05% 19.15% 19.15% $0.02
Disciplined Large Cap Value 14.44% 14.13% 13.38% 13.34% $ --^
Dividend Growth 14.90% 14.64% 13.78% 13.79% $0.07
International Equity 24.57% 24.27% 23.36% 23.31% $ --^
Total Return Bond 4.72% 4.45% 3.75% 3.65% $0.01
^ Amount is less than $.005.
& Per share impact of the Payment by the Advisor was recognized by all classes
on July 30, 2007. Calculation is based on outstanding shares as of July 30,
2007. Net Investment Income/(Loss) in these Financial Highlights includes the
Payment by the Advisor.
~ Includes interest expense relating to settlement of foreign futures.
Interest expense was 0.02% for the year ended July 31, 2009 and 0.01% for
period ended 1/31/2010.
! Includes extraordinary legal expenses. See table below and Note 3.
INSTITUTIONAL CLASS A CLASS B CLASS C
------------- ------- ------- -------
Six months ended 1/31/10 0.15% 0.15% 0.15% 0.15%
Year ended 7/31/09 0.39% 0.38% 0.39% 0.25%
See notes to financial statements.
128
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
(1) ORGANIZATION
Fifth Third Funds (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "Act"), as an open-end management investment company
established as a Massachusetts business trust. The Trust consists of twenty-four
separate investment portfolios.
The accompanying financial statements and notes relate only to the series of the
Trust (individually a "Fund" and collectively the "Funds") listed below. Each
Fund is a diversified investment company for purposes of the Act, except for
Fifth Third Dividend Growth Fund, which is a non-diversified investment company.
FUND NAME
- ---------
Fifth Third Small Cap Growth Fund ("Small Cap Growth")
Fifth Third Mid Cap Growth Fund ("Mid Cap Growth")
Fifth Third Quality Growth Fund ("Quality Growth")
Fifth Third Dividend Growth Fund ("Dividend Growth")
Fifth Third Micro Cap Value Fund ("Micro Cap Value")
Fifth Third Small Cap Value Fund ("Small Cap Value")
Fifth Third All Cap Value Fund ("All Cap Value")
Fifth Third Disciplined Large Cap Value Fund ("Disciplined Large Cap Value")
Fifth Third Structured Large Cap Plus Fund ("Structured Large Cap Plus")
Fifth Third Equity Index Fund ("Equity Index")
Fifth Third International Equity Fund ("International Equity")
Fifth Third Strategic Income Fund ("Strategic Income")
Fifth Third LifeModel Aggressive Fund(SM) ("LifeModel Aggressive(SM)")
Fifth Third LifeModel Moderately Aggressive Fund(SM) ("LifeModel Moderately
Aggressive(SM)")
Fifth Third LifeModel Moderate Fund(SM) ("LifeModel Moderate(SM)")
Fifth Third LifeModel Moderately Conservative Fund(SM) ("LifeModel Moderately
Conservative(SM)")
Fifth Third LifeModel Conservative Fund(SM) ("LifeModel Conservative(SM)")
(the foregoing five funds collectively the "LifeModel Funds(SM)")
Fifth Third High Yield Bond Fund ("High Yield Bond")
Fifth Third Total Return Bond Fund ("Total Return Bond")
Fifth Third Short Term Bond Fund ("Short Term Bond")
Short Term Bond has three classes of shares: Institutional, Class A, and Class C
shares. Equity Index has seven classes of shares: Institutional, Class A, Class
B, Class C, Select, Preferred and Trust shares. The remainder of the Funds each
have four classes of shares: Institutional, Class A, Class B, and Class C
shares. All Funds' Class B shares are closed to new purchases as of this report
date. All share classes of Structured Large Cap Plus are closed to all new
purchases as of this report date (see Note 3). Class A shares are subject to
initial sales charges imposed at the time of purchase, as described in the
Funds' prospectuses. Certain redemptions of each of Class A shares made within
twelve months of purchase, Class B shares made within six years of purchase and
Class C shares made within twelve months of purchase are subject to contingent
deferred sales charges, as described in the Funds' prospectuses. Each class of
shares for each Fund has identical rights and privileges except with respect to
administrative services fees paid by Class C, Select, Preferred and Trust
shares, distribution services fees paid by Class A, Class B, and Class C shares,
voting rights on matters affecting a single class of shares, and the exchange
privileges of each class of shares.
The financial statements of the underlying Fifth Third Funds in which the
LifeModel Funds(SM) invest should be read in conjunction with the financial
statements for the applicable LifeModel Fund(SM).
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with accounting principles generally
129
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
accepted in the United States of America. The preparation of financial
statements in conformity with generally accepted accounting principles 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, as well as the reported amounts of
increases and decreases in net assets from operations during the period. Actual
results could differ from those estimates.
SECURITIES VALUATION -- Portfolio securities listed or traded on domestic
securities exchanges or in the over-the-counter market are valued at the latest
available sales price on the exchange or system where the security is
principally traded (except for securities traded on NASDAQ, which are valued at
the NASDAQ Official Closing Price) or, absent such a price, by reference to the
latest available bid and asked prices in the principal market in which such
securities are normally traded. Securities for which the principal market is not
a securities exchange or an over-the-counter market are valued at the mean of
their latest bid and asked quotations in such principal market. Securities in
International Equity listed or traded on non-domestic exchanges are valued at
the closing mid-market price on the exchanges on which they trade. Corporate
debt securities and debt securities of U.S. government issuers (other than
short-term investments maturing in 60 days or less), including municipal
securities, are valued at fair value on the basis of the closing bid as supplied
by an independent pricing service approved by the Board of Trustees ("Trustees")
or valuations provided by dealers. Short-term investments maturing in 60 days or
less are valued at either amortized cost, which approximates market value, or at
original cost, which, combined with accrued interest, approximates market value.
Investments in open-end investment companies are valued at net asset value as
reported by such investment companies. Investments for which such quotations are
not readily available, or quotations which appear suspect, are valued at fair
value as determined in good faith by the Pricing Committee in accordance with
procedures adopted by the Trustees. In addition, if events materially affecting
the value of foreign securities occur between the time when the exchange on
which such securities are traded closes and the time when the Funds' net asset
values are calculated, such securities may be valued using fair value pricing in
accordance with procedures adopted by the Trustees. Management identifies
possible fluctuations in foreign securities by monitoring the rise or fall in
the value of a designated benchmark index. In the event of a rise or fall
greater than predetermined levels, International Equity may use a systematic
valuation model provided by an independent third party to value its foreign
securities. When International Equity uses this fair value pricing method, the
value assigned to International Equity's foreign securities may not be the
quoted or published prices of the investments on their primary markets or
exchanges.
The market value of fair valued securities as a percentage of total net assets
as of this report date was 98.17% and 0.90% for International Equity and Total
Return Bond, respectively.
SECURITIES TRANSACTIONS AND RELATED INCOME -- Securities transactions are
accounted for on the date the security is purchased or sold (trade date).
Interest income is recognized on an accrual basis and includes, where
applicable, amortization of premium or accretion of discount. Dividend income is
recorded on the ex-dividend date. Gains or losses realized on sales of
securities are determined by comparing the identified cost of the security lot
sold with the net sales proceeds. Paydown gains and losses on mortgage- and
asset-backed securities are recorded as adjustments to interest income.
Withholding taxes on foreign dividends have been provided for in accordance with
the applicable country's tax rules and rates.
FOREIGN CURRENCY TRANSLATION -- The Funds do not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in the market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gains or losses from investments. Realized foreign exchange gains or
losses arise from sales and maturities of securities, sales of foreign
currencies, currency exchange fluctuations between the trade and settlement
dates of securities transactions, and the difference between the amount of
assets and liabilities recorded and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized foreign exchange gains and losses
arise from changes in the fair value of assets and liabilities, including
investments in securities, resulting from changes in the currency exchange
rates.
130
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
LENDING PORTFOLIO SECURITIES -- Each Fund may lend securities up to 331/3% of
the Fund's total assets (including the amount of securities out on loan) to
qualified borrowers (typically broker-dealers) in order to enhance fund earnings
by investing cash collateral received in making such loans. The Funds continue
to earn interest and dividends on securities loaned by way of receiving
substitute payments (substitute dividend payments are generally not classified
as Qualified Dividend Income for federal income tax purposes). Loans will be
made only to borrowers deemed by the Lending Agent to be of sufficiently strong
financial standing, organizational stability and creditworthiness under
guidelines established by the Trustees and when, in the judgment of the Lending
Agent, the consideration that can be earned currently from such securities loans
justifies the attendant risks.
The Trust has engaged its custodian bank, State Street Bank and Trust Company
("State Street"), to act as Lending Agent and to administer its securities
lending program. State Street will earn a portion of program net income for its
services. When a Fund makes a security loan, it receives cash collateral as
protection against borrower default on the loaned security position and records
an asset for the cash/invested collateral and a liability for the return of the
collateral. Securities on loan continue to be included in investment securities
at market value on the Statements of Assets and Liabilities and remain on the
Schedule of Investments.
Loans of securities are required at the time the loan is made to be secured by
collateral at least equal to 105% of the prior day's market value of loaned
equity securities not denominated in U.S. dollars or Canadian dollars or not
primarily traded on a U.S. exchange; or 102% of the prior day's market value of
the securities on loan (including accrued interest) of any other loaned
securities, and not less than 100% thereafter. The Funds may invest cash
collateral in short-term money market instruments including: U.S. Treasury
Bills, U.S. agency sponsored obligations, commercial paper, money market mutual
funds, repurchase agreements and other highly rated, liquid investments.
During the life of securities loans, the collateral and securities loaned remain
subject to fluctuation in market value. State Street marks to market securities
loaned and the collateral each business day. If additional collateral is due,
State Street collects additional cash collateral from the borrowers. Although
securities loaned will be fully collateralized at all times, State Street may
experience delays in, or may be prevented from, recovering the collateral on
behalf of a Fund. State Street may on behalf of a Fund recall a loaned security
position at any time from a borrower, who is obligated to return the security
recalled. In the event the borrower fails to return a recalled security in a
timely fashion, State Street reserves the right to use the collateral to
purchase like securities in the open market. State Street indemnifies the Funds
against borrower default by agreeing to fund any shortfall between the
collateral held and the cost of obtaining replacement securities. If replacement
securities are not available, State Street will credit the equivalent cash value
to the Fund(s). As of January 31, 2010 cash collateral received for the Funds
engaged in securities lending was invested in the State Street Navigator Prime
Securities Lending Portfolio. Additionally, certain Funds received non-cash
collateral, which they are not permitted to sell or re-pledge. The non-cash
collateral is made up of U.S. Treasury and U.S. agency bonds. The maturities
range from January 5, 2011 to November 15, 2019, with interest rates ranging
from .5% to 3.375%.
MV OF SECURITIES CASH NON-CASH
FUND ON LOAN COLLATERAL COLLATERAL
- ---- ---------------- ----------- ----------
Small Cap Growth $12,111,866 $12,503,403 $ --
Mid Cap Growth 9,824,573 10,138,848 --
Quality Growth 12,213,689 12,649,973 --
Equity Index 5,342,416 5,308,901 225,702
Micro Cap Value 462,198 477,360 --
Small Cap Value 1,317,323 1,352,582 --
All Cap Value 3,311,413 3,481,165 --
Disciplined Large Cap Value 652,374 687,410 --
Strategic Income 11,262,235 11,563,161 287
Dividend Growth 2,131,422 2,199,891 --
International Equity 15,515,626 16,260,920 --
High Yield Bond 12,849,324 13,107,058 --
Total Return Bond 19,806,253 20,159,290 --
Short Term Bond 67,192,303 68,546,945 --
See Note 13 - Lehman Brothers Bankruptcy and Default on Securities Lending
131
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
OTHER -- Expenses directly attributable to a Fund are charged to the Fund, while
expenses which are attributable to more than one Fund of the Trust are allocated
among the respective Funds based on their relative net assets or another
appropriate basis. Income, expenses, and realized and unrealized gains or losses
on investments are allocated to each class of shares based on its relative net
assets, except that each class separately bears expenses related specifically to
that class, such as administrative and distribution fees.
DISTRIBUTIONS TO SHAREHOLDERS -- Dividends, if any, from net investment income
are generally declared/paid as follows:
DECLARED DAILY/PAID MONTHLY DECLARED/PAID MONTHLY DECLARED/PAID QUARTERLY DECLARED/PAID ANNUALLY
- --------------------------- --------------------- ----------------------- ----------------------
Strategic Income High Yield Bond Dividend Growth Small Cap Growth
Total Return Bond All Cap Value Mid Cap Growth
Short Term Bond Disciplined Large Cap Value Quality Growth
Structured Large Cap Plus Micro Cap Value
Equity Index Small Cap Value
The LifeModel Funds(SM) International Equity
Distributable net realized gains, if any, are declared and distributed at least
annually. Dividends declared and payable to shareholders are recorded on the
ex-dividend date.
Dividends from net investment income and from net realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from generally accepted accounting principles. These differences are primarily
due to differing treatments for mortgage-backed securities, amortization and/or
accretion of securities, foreign currency transactions, expiring capital loss
carryforwards and deferrals of certain losses. To the extent distributions would
exceed net investment income and net realized gains for tax purposes, they are
reported as a return of capital. These "book/tax" differences are either
considered temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the composition of net
assets based on their federal tax basis treatment; temporary differences do not
require reclassifications.
GUARANTEES AND INDEMNIFICATIONS -- Under the Trust's organizational documents,
its Officers and Trustees are indemnified against certain liabilities arising
out of the performance of their duties to the Funds. In addition, in the normal
course of business, the Funds may enter into contracts with their vendors and
others that provide for the general indemnification of Trustees and Officers.
The Funds' maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Funds. However, based on
experience, the Funds expect that risk of loss to be remote.
FEDERAL TAXES -- It is the intention of each Fund to continue to qualify as a
regulated investment company by complying with the provisions available to
certain investment companies, as defined in applicable sections of the U.S.
Internal Revenue Code, and to make distributions of net investment income and
net realized capital gains sufficient to relieve a Fund from all, or
substantially all, federal income taxes. Accordingly, no provision for federal
income or excise taxes has been made.
At January 31, 2010, the Funds have recorded no liability for net unrecognized
tax benefits relating to uncertain income tax positions taken or expected to be
taken in future tax returns.
The Funds file U.S. tax returns and returns in various foreign jurisdictions in
which they invest. While the statute of limitations remains open to examine the
Funds' U.S. tax returns filed for the fiscal years from 2006-2009, no
examinations are in progress or anticipated as of this report date. The Funds
are not aware of any tax positions for which it is reasonably possible that the
total amounts of unrecognized tax benefits will significantly change in the next
twelve months.
(3) SECURITIES AND OTHER INVESTMENTS
REPURCHASE AGREEMENTS -- The Funds may enter into repurchase agreements only
with banks and other recognized financial institutions, such as broker/dealers,
which are deemed by Fifth Third Asset Management, Inc. ("FTAM" or the "Advisor")
to be creditworthy. It is the policy of the Funds to require the custodian or
132
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
sub-custodian bank to take possession or have legally segregated in the Federal
Reserve Book Entry System, all securities segregated as collateral under
repurchase agreement transactions. Additionally, procedures have been
established by the Funds to monitor, on a daily basis, the market value of each
repurchase agreement's collateral to ensure that the value of collateral at
least equals the repurchase price to be paid under the relevant repurchase
agreement transaction. Risks may arise from the potential inability or
unwillingness of counterparties to honor the terms of a repurchase agreement.
Accordingly, the Funds could receive less than the repurchase price on the sale
of collateral securities.
SHORT SALES -- Structured Large Cap Plus may sell securities short, whereby it
sells a security it generally does not own (the security is borrowed) in
anticipation of a decline in the security's price. The initial amount of a short
sale is recorded as a liability, which is marked to market daily. Fluctuations
in the value of the short liability are recorded as unrealized gains or losses.
The Fund also may short a security when also holding a long position in the
security (a "short against the box"), as the security's price declines, the
short position increases in value, offsetting the long position's decrease in
value. The opposite effect occurs if the security's price rises. The Fund
realizes a gain or loss upon closing of the short sale (returning the security
to the counterparty by way of purchase or delivery of a long position owned).
Possible losses from short sales may be unlimited, whereas losses from purchases
cannot exceed the total amount invested. The Fund is liable to the buyer for any
dividends payable on securities while those securities are in a short position.
These dividends are an expense of the Fund. The Fund segregates cash and/or
securities in a sufficient amount as collateral to the extent of open short
positions. See Notes to Schedule of Investments.
As described in the Structured Large Cap Plus Fund's (the "Fund") Prospectuses,
the Fund may sell securities short as part if its investment strategy. Prior to
September 19, 2009, Lehman Brothers, Inc. ("LBI") served as the exclusive prime
broker for the Fund's short sales. Due to bankruptcy, LBI's business is
currently being liquidated under the Securities Investor Protection Act. The
trustee for the liquidation proceedings (the "Liquidation Trustee") has taken a
position with respect to the valuation date for the Fund's short positions that
Fund management believes to be incorrect and materially disadvantageous to the
Fund. While efforts to resolve this dispute are still being pursued, a partial
settlement of this dispute with the Liquidation Trustee was reached on March 12,
2009. The Fund has established an escrow account at the Fund's custodian bank
with respect to the amount in dispute ($18,179,102). The substance of the
dispute itself has not been resolved. While the dispute remains unresolved,
assets in the escrow account are invested in a money market fund not affiliated
with the Trust, and therefore are not invested in accordance with the Fund's
investment strategy. The assets in the escrow account do not belong to the Fund
or its shareholders. These assets also are not available to meet the Fund's
general obligations. The amount in the escrow account is subject to change due
to, among other things, escrow account fees and investment results.
Given the above uncertainties, the benefits of favorable outcome are too
speculative to be included in the Fund's share value calculation. Therefore, the
Fund's per share net asset value continues to reflect a negative outcome.
Shareholders who redeem shares prior to resolution of the litigation will lose
the right to benefit, should the outcome be favorable.
While the Fund is pressing for an acceptable resolution of the dispute, it is
anticipated that the above-described circumstances may continue for a protracted
period, and it is unclear whether the dispute will be resolved in a manner
favorable to the Fund. Should the position of the Liquidation Trustee prevail,
the assets in the escrow account will not belong to the Fund or its
shareholders.
In accordance with the Fund's prospectuses, the Fund's legal expenses related to
these matters, including costs of possible litigation, are considered
extraordinary expenses and therefore are borne by the Fund without regard to the
Fund's expense limitation agreement. These expenses have been and may continue
to be substantial. In addition, these expenses, as well as declines in assets
resulting from recent market conditions, may result in the Fund's expense ratio
for the current fiscal year being materially higher than that reflected in the
Fund's prospectuses. The Fund had incurred $350,233 of extraordinary legal
expenses as of 7/31/2009 and $62,297 as of 1/31/2010.
133
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund presently is closed to all new purchases. Shareholders who participate
in automatic reinvestment of dividends and/or capital gains distributions will
continue to receive shares of the Fund through those programs.
Beginning in March 2009, the new prime broker for the Fund's short sales is
Pershing, LLC. Pershing, LLC is a subsidiary of the Bank of New York Mellon
Corporation.
The LifeModel Funds(SM) invest in Structured Large Cap Plus. An increase in the
expense ratio of Structured Large Cap Plus will affect the return on investments
by the LifeModel Funds(SM).
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Funds may engage in
when-issued or delayed delivery ("TBAs") transactions. The Funds record
when-issued securities on the trade date and maintain security positions such
that sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed delivery
basis are valued daily and begin earning interest on the settlement date. To the
extent the Funds hold these types of securities, a sufficient amount of cash
and/or securities is segregated as collateral. See Notes to Schedules of
Investments.
(4) FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS -- The Funds may enter into foreign currency
contracts to settle planned purchases or sales of securities or to protect
against a possible loss resulting from the adverse change in the relationship
between the U.S. Dollar and a foreign currency involved in an underlying
transaction. Foreign currency contracts are agreements between two parties to
buy and sell a currency at a set price on a future date. The market value of a
foreign currency contract fluctuates with changes in currency exchange rates.
Foreign currency contracts are marked-to-market daily and the change in market
value is recorded by a Fund as unrealized appreciation or depreciation. When a
foreign currency contract is closed, the Fund records a realized gain or loss
equal to the difference between the value at the time it was opened and the
value at the time it was closed. These contracts may involve market risk in
excess of the unrealized gain or loss reflected on the Statements of Assets and
Liabilities. In addition, a Fund could be exposed to credit risk if a
counterparty is unable or unwilling to meet the terms of the contracts or if the
value of the currency changes unfavorably. In connection with these contracts,
the Funds may segregate cash and/or securities in a sufficient amount as
collateral in accordance with the terms of the respective contracts. Foreign
currency contracts open as of this report date are listed in the Notes to
Schedules of Investments.
FUTURES CONTRACTS -- The Funds, with the exception of Dividend Growth, may enter
into futures contracts which represent a commitment for the future purchase or
sale of an asset at a specified price on a specified date. The Funds may use
futures contracts to gain exposure to, or hedge against changes in the value of
equities, interest rates or foreign currencies. Cash and/or securities are
segregated or delivered to dealers in order to maintain a position ("initial
margin"). Subsequent payments made or received by a Fund based on the daily
change in the market value of the position ("variation margin") are recorded as
receivable or payable. The Funds recognize unrealized appreciation or
depreciation until the contract is closed out, at which time the gain or loss is
realized. The use of futures contracts involves, to varying degrees, elements of
market risk. Risks arise from the possible imperfect correlation in movements
in the price of futures contracts, interest rates and the underlying hedged
assets, and the possible inability of counterparties to meet the terms of their
contracts. With futures, there is minimal counterparty credit risk to the Funds
since futures are exchange traded and the exchange's clearinghouse, as
counterparty to all exchange traded futures, guarantees the futures against
default. Futures contracts involve, to varying degrees, risk of loss in excess
of the variation margin disclosed on the Statements of Assets and Liabilities.
To the extent these Funds have open futures contracts at period end, a
sufficient amount of cash and/or securities, which is restricted as to its use
by these Funds, is segregated as collateral. Futures contracts open as of this
report date are listed in the Notes to Schedules of Investments.
SWAP AGREEMENTS -- The Funds may enter into swap transactions, which are
privately negotiated agreements between a Fund and a counterparty (usually a
broker-dealer) to exchange or swap investment cash flows,
134
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
assets, or market-linked returns at specified, future intervals. A Fund may
enter into interest rate, total return, credit default, and other forms of swap
agreements to manage its exposure to interest rates and credit risk. In
connection with these agreements, securities may be identified as collateral in
accordance with the terms of the respective swap agreements.
Credit default swap agreements involve one party making a stream of payments to
another party in exchange for the right to receive a specified return in the
event of a default by a third party - typically, a corporate issuer or sovereign
issuer of an emerging country - on its obligation. A Fund may use credit default
swaps to provide a measure of protection against defaults of the issuers (i.e.,
to reduce risk where a Fund owns or has exposure to the issuer) or to take an
active long or short position with respect to the likelihood of a particular
issuer's default. When it is a seller of protection, a Fund generally receives
an upfront payment or a fixed rate of income throughout the term of the swap,
provided that there is no credit event. If a Fund is a seller of protection and
a credit event occurs, as defined under the terms of the particular swap
agreement, a Fund must pay to the buyer of the protection an amount up to the
notional value of the swap and, in certain instances, take delivery of the
underlying asset. As the seller, a Fund would effectively add leverage to its
portfolio because, in addition to its total net assets, a Fund would be subject
to investment exposure on the notional amount of the swap. When it is a buyer
of protection, a Fund generally makes an upfront payment or pays a fixed rate
throughout the term of the swap. In addition, as a buyer of protection, a Fund
generally receives an amount up to the notional value of the swap if a credit
event occurs. The treatment of credit default swaps and other swap agreements
that provide for contingent, non-periodic, "bullet-type" payments as "notional
principal contracts" for U.S. federal income tax purposes is uncertain. If the
U.S. Internal Revenue Service were to take the position that a credit default
swap or other bullet-type swap is not a "notional principal contract" for U.S.
federal income tax purposes, payments received by a Fund from such investments
may be subject to U.S. excise or income taxes. The Funds' maximum risk of loss
from counterparty risk, either as the protection seller or as the protection
buyer, is the fair value of the contract. This risk is mitigated by having a
master netting arrangement between the Fund and the counterparty and by the
posting of collateral by the counterparty to the Funds to cover the Funds'
exposure to the counterparty.
Swaps are marked to market daily based upon quotations from market makers and
the change in value, if any, is recorded as unrealized gain or loss in the
Statements of Operations. Payments received or made at the beginning of the
measurement period are reflected as such in the Statements of Assets and
Liabilities. These upfront payments are recorded as realized gain or loss in the
Statements of Operations upon termination or maturity of the swap. A liquidation
payment received or made at the termination of the swap is recorded as realized
gain or loss in the Statements of Operations. Net periodic payments received or
paid by a Fund are included in realized gain or loss in the Statements of
Operations. Entering into swap agreements involves, to varying degrees, elements
of credit, market and documentation risk in excess of the amounts recognized in
the Statements of Assets and Liabilities. Such risks involve the possibility
that there will be no liquid market for these agreements, that the counterparty
to the agreements may default on its obligation to perform or that the parties
may disagree as to the meaning of contractual terms in the agreements, and that
there may be unfavorable changes in interest rates. No funds have open swap
contracts as of the date of this report.
(5) RELATED PARTY TRANSACTIONS
INVESTMENT ADVISORY FEE -- FTAM is the Funds' investment advisor. FTAM, a wholly
owned subsidiary of Fifth Third Bank, is an indirect subsidiary of Fifth Third
Bancorp, a publicly traded financial services company. For its advisory
services to the Funds, FTAM receives an investment advisory fee computed daily
based on each Fund's average daily net assets and paid monthly. Pursuant to a
sub-advisory arrangement with FTAM, Fort Washington Investment Advisors, Inc.
("Fort Washington") is High Yield Bond's Sub-Advisor. The Advisor compensates
Fort Washington monthly at rates indicated in the prospectus applied to the
Fund's average daily net assets. For certain Funds, FTAM has voluntarily agreed
to waive a portion of its advisory fee. In addition, FTAM has contractually
agreed to waive fees and/or reimburse certain Funds pursuant to an expense
limitation agreement. See the table of advisory fees, waivers and expense
limitations below.
135
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
ADMINISTRATION FEE -- FTAM is the Trust's administrator (the "Administrator")
and generally assists in all aspects of the Trust's administration and
operations, including providing the Funds with certain administrative personnel
and services necessary to operate the Funds. FTAM receives administration fees
at the annual rates shown below, which are computed daily and paid monthly based
on average daily net assets of the Trust; the fees are prorated among the Funds
based upon their relative average daily net assets.
ADMINISTRATION FEE TRUST AVERAGE DAILY NET ASSETS
------------------ ------------------------------
0.20% Up to $1 billion
0.18% In excess of $1 billion up to $2 billion
0.17% In excess of $2 billion
For certain Funds, FTAM has voluntarily agreed to waive a portion of its
administration fee. In addition, a $10,000 annual, per class, per Fund fee
applies beyond the first four classes per Fund (only Equity Index has more than
four classes), and each Fund that commences operations after September 18, 2002
is subject to an annual $20,000 minimum fee. FTAM has contractually agreed to
waive fees and/or reimburse certain Funds pursuant to an expense limitation
agreement. See the table of advisory fee, waivers and expense limitations below.
ADVISORY FEE, WAIVERS, EXPENSE LIMITATIONS-- In its capacity as Advisor and
Administrator, FTAM has entered into an expense limitation agreement with the
Funds. Under the terms of the expense limitation agreement, to the extent that
ordinary operating expenses incurred by a Fund in any fiscal year exceed the
specified expense limit for the Fund, the excess amount will be borne by FTAM.
If the operating expenses are less than the specified expense limit for the
Fund, FTAM shall be entitled to reimbursement of the fees waived or reduced to
the extent that the operating expenses and the amount reimbursed do not exceed
such expense limit for the Fund, under the period of the agreement (currently
the period for the 13 or 37 months commencing November 2, 2009). Such
reimbursement shall be paid only while the expense limitation agreement is in
effect and only if such amount paid, together with all other amounts reimbursed
under this agreement in the fiscal year, does not cause the Fund to exceed the
expense limitation. All waivers not recovered at the end of the period expire on
either November 26, 2010 or November 30, 2012 (see table below). The Funds'
various annual fee rates, waivers and expense limitations as of this report date
are as follows:
CONTRACTUAL
EXPENSE CLASS EXPENSE LIMITATION *
ADVISORY LIMITATION ADMINISTRATION --------------------------------------------------
ADVISORY FEE EXPIRATION FEE REIMBURSEMENT
FUND FEE WAIVER DATE WAIVER INSTITUTIONAL A B C RECOVERABLE **
- ---- -------- -------- ---------- -------------- ------------- ----- ----- ---- --------------
Small Cap Growth 0.70% NA 11/26/2010 NA 1.01% 1.26% 2.01% 2.01% $ 29,483
Mid Cap Growth* 0.80% 0.10% 11/26/2010 0.11% 0.88% 1.13% 1.88% 1.88% $ 86,501
Quality Growth 0.80% NA 11/26/2010 0.02% 1.06% 1.31% 2.06% 2.06% $ 74,936
Dividend Growth 0.80% 0.20% 11/26/2010 NA 0.73% 0.98% 1.73% 1.73% $ 44,338
Micro Cap Value 1.00% NA 11/26/2010 NA 1.35% 1.60% 2.35% 2.35% $ 47,053
Small Cap Value * 0.90% 0.05% 11/26/2010 NA 1.15% 1.40% 2.15% 2.15% $ 26,792
All Cap Value * 1.00% 0.20% 11/26/2010 0.05% 1.04% 1.29% 2.04% 2.04% $144,790
Disciplined Large
Cap Value* 0.80% 0.10% 11/26/2010 0.06% 0.91% 1.16% 1.91% 1.91% $149,176
Structured Large
Cap Plus *[DOUBLE DAGGER] 0.70% 0.10% 11/26/2010 0.10% 0.72% 0.97% 1.72% 1.72% $ 56,831
Equity Index ^ 0.30% 0.20% 11/30/2012 0.065% 0.19% 0.44% 1.19% 1.19% $307,745
International
Equity * [OMEGA] 1.00% 0.19% 11/26/2010 NA 1.16% 1.41% 2.16% 2.16% $111,318
Strategic Income * 1.00% 0.40% 11/30/2012 0.05% 0.86% 1.11% 1.86% 1.86% $117,900
LifeModel Aggressive(SM) 0.15% 0.12% 11/30/2012 NA 0.08% 0.33% 1.08% 1.08% $141,676
LifeModel Moderately
Aggressive(SM) 0.15% 0.12% 11/30/2012 NA 0.08% 0.33% 1.08% 1.08% $247,849
LifeModel Moderate(SM) 0.15% 0.12% 11/30/2012 NA 0.08% 0.33% 1.08% 1.08% $260,429
LifeModel Moderately
Conservative(SM) 0.15% 0.12% 11/30/2012 NA 0.08% 0.33% 1.08% 1.08% $ 80,343
LifeModel Conservative(SM) 0.15% 0.12% 11/30/2012 NA 0.08% 0.33% 1.08% 1.08% $ 61,136
High Yield Bond 0.70% NA 11/26/2010 NA 0.74% 0.99% 1.74% 1.74% $ 57,980
Total Return Bond 0.60% 0.15% 11/26/2010 0.06% 0.65% 0.90% 1.65% 1.65% $194,251
Short Term Bond * 0.50% 0.10% 11/30/2012 0.09% 0.55% 0.80% NA 1.55% $147,206
* The Funds' expense limitation for each class decreased by the following annual
amounts during the period ended as of this report date. FTAM often accompanies
a decrease in limitation with a corresponding increase in an advisory or
administration waiver.
136
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
FUND DECREASE IN LIMITATION EFFECTIVE DATE
- ---- ---------------------- -----------------
Mid Cap Growth 0.05% November 02, 2009
Small Cap Value 0.05% November 02, 2009
All Cap Value 0.10% November 02, 2009
Disciplined Large Cap Value 0.05% November 02, 2009
Structured Large Cap Plus 0.20% November 02, 2009
International Equity 0.05% November 02, 2009
Strategic Income 0.05% November 02, 2009
Short Term Bond 0.09% November 02, 2009
** The cumulative amounts waived and/or reimbursed which may be
potentially recoverable by FTAM under the expense limitation
agreements for the period from November 27, 2009 through
January 31, 2010.
[DOUBLE DAGGER] Because dividend expenses on short sales and extraordinary legal
expenses are excluded from this fund's expense limitation, Net
Expenses are expected to exceed the applicable expense
limitation by the amount of these items.
^ The annual limitations shown include 12b-1 or administrative
services fees and are net of all waivers, voluntary or
contractual. The limitations are 0.27%, 0.34% and 0.44% for
Equity Index Select, Preferred and Trust Shares, respectively.
[OMEGA] International Equity's Advisory Fee is 0.85% for net assets in
excess of $750 million.
ACCOUNTING FEES -- FTAM is the Funds' accounting agent. FTAM receives accounting
fees at the annual rates shown below which are computed daily and paid monthly
based on average daily net assets of each Fund, subject to a $30,000 per Fund
annual minimum, plus out-of-pocket expenses.
ACCOUNTING FEE FUND AVERAGE DAILY NET ASSETS
-------------- -----------------------------
0.020% Up to $500 million
0.015% In excess of $500 million up to $1 billion
0.010% In excess of $1 billion
In addition, a $10,000 annual flat per class, per fund fee applies beyond the
initial class of shares.
Fees may be voluntarily reduced or reimbursed to assist the Funds in maintaining
competitive expense ratios.
DISTRIBUTION AND/OR SERVICING FEES, WAIVERS -- The Trust has adopted a
Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. FTAM Funds
Distributor, Inc. is the Trust's distributor/principal underwriter (the
"Distributor"). Under the terms of the Plan, the Funds will compensate the
Distributor from the net assets of the Funds' Class A, Class B and Class C
shares to finance activities intended to result in the sales of each Fund's
shares. The Plan provides that the Funds will incur fees accrued daily and paid
monthly to the Distributor at annual rates up to that shown below based on
average daily net assets of the respective classes in the Plan.
CLASS DISTRIBUTION/SERVICING FEE
----- --------------------------
Class A 0.25%
Class B 1.00%
Class C 0.75%
In addition, the Distributor earned commissions on certain sales of Class A
shares (most of which commissions are reallowed to the selling broker-dealer) as
well as contingent deferred sales commissions (CDSC) on certain redemptions of
Class A, B and C shares (all of which is paid to the finance agent who financed
advance commissions, as applicable, on sales of these shares). FTAM is the Class
C advance commission finance agent. CDSCs on Class C shares for the period
ended as of this report date were $2,315 for the Trust, a majority of which was
attributed to FTAM. Affiliates of FTAM earned reallowed sales commissions of
$111,325 and 12b-1 distribution/servicing fees as well as administrative
servicing fees (see below) of $816,881 for the period ended as of the report
date.
ADMINISTRATIVE SERVICING FEE -- The Trust has an Administrative Service
Agreement with the Distributor with respect to Class C, Select, Preferred and
Trust Shares. Under the Agreement, certain administrative services, including
those relating to the maintenance of shareholder accounts, were provided to
these shareholders during the year. The Distributor, as well as other financial
institutions (which may include affiliates of the Advisor) receives fees
computed at rates up to those shown below, based on average daily net assets of
the respective classes.
137
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
CLASS ADMINISTRATIVE SERVICING FEE
----- ----------------------------
Class C 0.25%
Select 0.08%
Preferred 0.15%
Trust 0.25%
TRANSFER AND DIVIDEND DISBURSING AGENT -- Pursuant to a Services Agreement with
the Trust dated May 14, 2007, FTAM provides certain services on behalf of the
Trust. Under this agreement, FTAM's fees are paid monthly and are accrued daily
based upon each Fund of the Trust's relative average daily net assets, at the
aggregate annual amount of $370,000. FTAM earned $186,519 from the Trust in
service fees for the period ended as of this report date.
OTHER -- Certain officers of the Trust are also officers of FTAM and/or its
affiliates. Certain non-principal officers of the Trust are also employees of
State Street. None of these officers are paid any fees by the Trust.
PAYMENTS BY AFFILIATES -- Citi (formerly BISYS Fund Services, Inc. ("Citi")),
which formerly provided various services to the Trust, reached a settlement and
entered into an order (the "Order") with the Securities and Exchange Commission
("SEC") regarding the SEC's investigation of Citi's past payment of certain
marketing and other expenses with respect to certain of its mutual fund clients.
Neither the Trust nor FTAM was a party to the Order, nor is the Trust or FTAM
bound by the Order or its findings. It is unclear the extent to which the Trust,
FTAM and certain of its former service providers are or may be affected by the
SEC's investigation of Citi or by the Order. In response to the SEC's inquiries
related to this matter, including those of the Trust's former service
arrangements with Citi, FTAM made a one time contribution of money to certain
Funds of the Trust during the year ended July 31, 2007. The affected Funds and
the amounts paid to such Funds were determined based on various factors such as
certain Fund expenses during 1999 through 2001 as well as the applicable Funds'
net assets during this time period. The amount credited to each class of the
applicable Funds was determined according to the relative net assets of such
classes on the date the amounts were recognized. The amounts were allocated
among the components of net assets for the fiscal year ended July 31, 2007 for
each applicable Fund based upon its character for federal income tax purposes.
The total returns for the year ended July 31, 2007 for each class of the
applicable Funds would have been lower had the payments not been made; see Notes
to Financial Highlights.
During the year ended July 31, 2009, the Advisor paid the following money to
certain funds related to share price reprocessing stemming from the Lehman
Brothers, Inc. bankruptcy. For all Funds the total returns were deemed
immaterial.
PAYMENT BY
FUND ADVISOR
---- ----------
Structured Large Cap Plus $64,452.08
LifeModel Agressive(SM) $31,586.72
LifeModel Moderately Aggressive(SM) $44,609.80
LifeModel Moderate(SM) $32,554.48
LifeModel Moderately Conservative(SM) $11,076.67
LifeModel Conservative(SM) $ 3,964.93
(6) INVESTMENT TRANSACTIONS
Cost of purchases and proceeds from sales of investments (excluding short-term
securities) for the period ended as of this report date were as follows:
NON U.S. GOVERNMENTAL SECURITIES U.S. GOVERNMENT SECURITIES
-------------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- ------------ ------------ ------------ ------------
Small Cap Growth $ 20,226,789 $ 29,395,188 $ -- $ --
Mid Cap Growth 12,268,322 32,521,763 -- --
Quality Growth 43,928,581 60,134,169 7,041 22,822
Dividend Growth 2,836,979 4,701,759 -- --
Micro Cap Value 8,820,981 7,724,042 -- --
Small Cap Value 23,344,327 42,146,858 -- --
All Cap Value 20,993,186 44,355,323 -- --
138
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
NON U.S. GOVERNMENTAL SECURITIES U.S. GOVERNMENT SECURITIES
-------------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- ------------ ------------ ------------ ------------
Disciplined Large Cap Value $ 82,469,381 $ 92,935,774 $ -- $ --
Structured Large Cap Plus 62,095,346 67,739,853 -- --
Equity Index 8,506,195 12,976,180 -- --
International Equity 193,510,135 195,507,268 -- --
Strategic Income 10,292,759 14,952,167 913,236 1,288,990
LifeModel Aggressive(SM) 12,385,788 19,553,859 -- --
LifeModel Moderately Aggressive(SM) 30,932,181 33,560,008 -- --
LifeModel Moderate(SM) 23,092,546 102,481,937 -- --
LifeModel Moderately Conservative(SM) 7,923,100 11,670,496 -- --
LifeModel Conservative(SM) 5,391,709 8,862,833 -- --
High Yield Bond 15,737,628 22,692,497 -- --
Total Return Bond 27,776,390 100,424,724 28,242,703 61,510,758
Short Term Bond 30,244,231 28,319,201 81,392,626 57,583,191
(7) LINE OF CREDIT
As of February 1, 2008, the Funds have an uncommitted, unsecured line of credit
facility with State Street. Under the terms of the agreement, the Funds may
borrow up to $100 million in the aggregate. The purpose of the facility
generally is to borrow funds if necessary to meet temporary or emergency cash
needs, including to fund redemption requests that might otherwise require the
untimely disposition of securities. Borrowings may not exceed 33 1/3% of a
Fund's net assets (except that with respect to Structured Large Cap Plus,
borrowings may not exceed 10% of the Fund's net assets) and must be repaid
within 60 days. Drawn loans will be priced at a bid rate, though, in any event,
not less than a fixed rate plus a spread determined by State Street. There were
no borrowings against the line of credit during the six month period.
(8) FEDERAL TAX INFORMATION
The tax character of distributions paid during the fiscal years ended July 31,
2009 and 2008 was as follows:
YEAR ENDED JULY 31, 2009 YEAR ENDED JULY 31, 2008
DISTRIBUTIONS PAID FROM DISTRIBUTIONS PAID FROM
----------------------------------------------- ---------------------------------------------
NET TOTAL NET TOTAL
ORDINARY LONG TERM DISTRIBUTIONS ORDINARY LONG TERM DISTRIBUTIONS
FUND INCOME CAPITAL GAINS PAID INCOME CAPITAL GAINS PAID
- ---- ------------ ------------- ------------- ----------- ------------- -------------
Small Cap Growth $ -- $ -- $ -- $ 8,873,764 $31,126,216 $39,999,980
Mid Cap Growth -- 18,599,504 18,599,504 3,389,553 45,218,701 48,608,254
Quality Growth 1,785,090 12,504,389 14,289,479 21,265,643 67,802,545 89,068,188
Dividend Growth 241,615 -- 241,615 263,404 -- 263,404
Micro Cap Value 177,688 12,489 190,177 1,172,603 22,356,893 23,529,496
Small Cap Value 1,145,372 20,850 1,166,222 2,310,779 11,137,686 13,448,465
All Cap Value 3,208,122 12,448,038 15,656,160 7,678,070 41,680,209 49,358,279
Disciplined Large Cap Value 9,918,790 6,405,451 16,324,241 20,522,118 31,674,457 52,196,575
Structured Large Cap Plus 2,273,281 -- 2,273,281 1,388,324 955,083 2,343,407
Equity Index 6,779,041 -- 6,779,041 6,749,004 -- 6,749,004
International Equity 8,795,977 42,624,633 51,420,610 16,880,862 29,974,715 46,855,577
Strategic Income 6,471,043 92,440 6,563,483 7,586,002 4,046,949 11,632,951
LifeModel Aggressive(SM) 3,012,756 14,443,499 17,456,255 6,109,169 13,564,253 19,673,422
LifeModel Moderately
Aggressive(SM) 7,841,928 19,285,785 27,127,713 11,696,334 21,736,616 33,432,950
LifeModel Moderate(SM) 15,066,250 18,699,879 33,766,129 20,278,652 24,782,374 45,061,026
LifeModel Moderately
Conservative(SM) 3,031,530 3,848,615 6,880,145 3,820,869 4,771,242 8,592,111
LifeModel Conservative(SM) 2,178,274 817,947 2,996,221 2,234,699 1,227,481 3,462,180
High Yield Bond 4,177,451 -- 4,177,451 4,533,878 -- 4,533,878
Total Return Bond 25,772,859 -- 25,772,859 26,468,692 -- 26,468,692
Short Term Bond 8,419,898 -- 8,419,898 10,702,400 -- 10,702,400
139
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
As of July 31, 2009, the components of accumulated earnings/(deficit) on a tax
basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED UNREALIZED TOTAL
ORDINARY LONG-TERM CAPITAL AND APPRECIATION/ ACCUMULATED
FUND INCOME CAPITAL GAINS OTHER LOSSES (DEPRECIATION)* EARNINGS/(DEFICIT)
- ---- ------------- ------------- ------------- --------------- ------------------
Small Cap Growth $ -- $ -- $ (15,603,802) $ 482,832 $ (15,120,970)
Mid Cap Growth -- -- (47,491,533) (9,450,906) (56,942,439)
Quality Growth 773,475 -- (45,096,506) 9,143,994 (35,179,037)
Dividend Growth 4,032 -- (17,611,110) 854,028 (16,753,050)
Micro Cap Value -- -- (7,983,326) (1,965,600) (9,948,926)
Small Cap Value 178,113 -- (16,496,379) (2,792,620) (19,110,886)
All Cap Value -- -- (38,844,617) (12,140,374) (50,984,991)
Disciplined Large Cap Value 73,193 -- (105,341,568) (9,351,160) (114,619,535)
Structured Large Cap Plus 198,188 -- (61,356,149) 659,607 (60,498,354)
Equity Index 250,656 -- (3,227,233) 105,583,206 102,606,629
International Equity 7,271,762 -- (153,768,430) 4,931,693 (141,564,975)
Strategic Income 1,695,649 -- (9,359,395) (21,960,100) (29,623,846)
LifeModel Aggressive(SM) 38,503 1,637,324 1 (43,289,527) (41,613,699)
LifeModel Moderately Aggressive(SM) 263,875 888,459 -- (56,409,785) (55,257,451)
LifeModel Moderate(SM) 814,894 -- (855,405) (80,131,903) (80,172,414)
LifeModel Moderately Conservative(SM) 162,773 -- (764,704) (12,603,143) (13,205,074)
LifeModel Conservative(SM) 165,388 -- (180,556) (8,119,393) (8,134,561)
High Yield Bond 28,425 -- (4,917,166) (2,921,722) (7,810,463)
Total Return Bond -- -- (79,914,126) (57,114,966) (137,029,092)
Short Term Bond 153,199 -- (19,445,705) (5,356,077) (24,648,583)
* The difference between the book-basis and tax-basis unrealized appreciation
(depreciation) is attributable primarily to: tax deferral of losses on wash
sales, the difference between book and tax amortization methods for premium
and market discounts, passive foreign investment company losses and return
of capital distributions.
As of July 31, 2009 for Federal income tax purposes, the following Funds have
capital loss carryforwards available to offset future capital gains, if any, to
the extent provided by the U.S. Treasury regulations:
EXPIRATION YEAR
---------------------------------------------------------------------------------------------
FUND 2010 2011 2012 2013 2014 2015 2016 2017 TOTAL
- ---- ------------ ---------- ---------- ---------- ------------- ---------- ---------- ----------- -----------
Small Cap Growth $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ 4,362,500 $ 4,362,500
Dividend Growth 10,084,841 3,023,983 39,378 -- -- -- -- 1,348,987 14,497,189
Micro Cap Value -- -- -- -- -- -- -- 2,441,069 2,441,069
Small Cap Value -- -- -- -- -- -- -- 2,188,201 2,188,201
All Cap Value -- -- -- -- -- -- -- 11,136,332 11,136,332
Disciplined Large
Cap Value -- -- -- -- -- -- -- 18,715,803 18,715,803
Structured Large
Cap Plus -- -- 793,432 -- -- -- 1,246,518 16,257,218 18,297,168
Equity Index -- 2,617,392 605,734 -- -- -- -- -- 3,223,126
International Equity 1,405,848 5,161,371 -- -- -- -- -- 67,425,163 73,992,382
Strategic Income -- -- -- -- -- -- -- 1,379,950 1,379,950
LifeModel Moderate(SM) -- -- -- -- -- -- -- 855,404 855,404
LifeModel Moderately
Conservative(SM) -- -- -- -- -- -- -- 764,706 764,706
LifeModel
Conservative(SM) -- -- -- -- -- -- -- 180,556 180,556
High Yield Bond -- -- -- -- -- 382,634 -- 1,319,442 1,702,076
Total Return Bond -- 2,967,989 3,490,975 6,705,683 12,507,496 4,893,287 1,172,463 28,880,095 60,617,988
Short Term Bond -- -- -- 4,956,929 9,778,491 4,709,395 -- -- 19,444,815
As of July 31, 2009, the following Funds have additional capital loss
carryforwards and built in losses, subject to certain limitations on
availability, to offset future capital gains, if any, as the successor of a
merger:
EXPIRATION YEAR
---------------------------------------------------------------------------------------------
FUND 2010 2011 2012 2013 2014 2015 2016 2017 TOTAL
- ---- ------------ ---------- ---------- ---------- ------------- ---------- ---------- ----------- -----------
Mid Cap Growth $ 592,404 $-- $-- $-- $-- $-- $-- $25,696,435 $26,288,839
Quality Growth 1,533,455 -- -- -- -- -- -- 4,084,186 5,617,641
Net capital losses incurred after October 31 and within the taxable year are
deemed to arise on the first business day of the Funds' next taxable year. For
the year ended July 31, 2009, the following Funds deferred to
140
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
August 1, 2009 post October capital losses, post October currency losses and
post October passive foreign investment company losses of:
CAPITAL LOSSES
--------------
Small Cap Growth Fund $11,237,250
Mid Cap Growth 20,610,291
Quality Growth 37,945,410
Dividend Growth Fund 3,113,919
Micro Cap Value Fund 5,542,256
Small Cap Value Fund 14,308,178
All Cap Value 27,708,287
Disciplined Large Cap Value 86,625,764
Structured Large Cap Plus 43,054,374
International Equity 79,773,162
Strategic Income Fund 7,979,444
High Yield Bond 3,215,090
Total Return Bond 19,301,892
During the year ended July 31, 2009, the funds used/expired capital loss
carryforwards in the following amounts:
AMOUNT USED AMOUNT EXPIRED
----------- --------------
Mid Cap Growth $ -- $ 592,404
Structured Large Cap Plus -- 5,734,447
Equity Index 1,464,349 --
International Equity -- 440,002
Total Return Bond -- 313,458
Short Term Bond 2,139,720 --
The following funds have capital loss carryforwards that will not be used due to
merger limitations:
TAXABLE LOSS
------------
Small Cap Growth $246,144
Mid Cap Growth 236,915
(9) RESTRICTED SECURITIES
The Funds may own investments that were purchased through private placement
transactions or under Rule 144A of the Securities Act of 1933 (the "Securities
Act") and which cannot be sold without prior registration under the Securities
Act or which may be limited due to certain sale restrictions. These securities
are generally deemed to be illiquid and are valued at fair value as determined
by FTAM's Pricing Committee, comprised of personnel of the Advisor, subject to
oversight by the Trustees, and in accordance with the Trust's Security Valuation
Procedures, which have been approved by the Trustees of the Trust. If and when
such securities are registered, the costs of registering such securities are
paid by the issuer. At January 31, 2010, Quality Growth, Strategic Income, Total
Return Bond and Short Term Bond held the following restricted securities:
VALUE AS
ACQUISITION ACQUISITION FAIR % OF
SECURITY TYPE DATE COST VALUE NET ASSETS
------------- ----------- ----------- ---------- ----------
QUALITY GROWTH
Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $ 76,618 $ 35,305 0.01%
========== ========== ====
STRATEGIC INCOME
Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $ 922,178 $ 388,357 0.45%
========== ========== ====
TOTAL RETURN BOND
Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $1,850,253 $ 801,427 0.25%
Westpac Capital Trust IV Corporate Bonds 2/8/07 1,386,386 1,199,856 0.37%
Restructured Assets Certificates,
Series 2006-9, Class P Mortgage-Backed Securities 8/10/06 5,234,953 2,875,950 0.90%
---------- ---------- ----
$8,471,592 $4,877,233 1.52%
========== ========== ====
SHORT TERM BOND
SVO VOI Mortgage Corp.,
Series 2005-AA, Class A Asset-Backed Securities 11/16/05 $1,289,252 $ 630,382 0.24%
========== ========== ====
141
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
(10) PRINCIPAL RISKS
CONCENTRATION RISK -- International Equity invests in equity and fixed income
securities of non-U.S. issuers. Although the Fund maintains a diversified
investment portfolio, political or economic developments within a particular
country or region may have an adverse effect on the ability of domiciled issuers
to meet their obligations. Additionally, political or economic developments may
have an adverse effect on the liquidity and volatility of portfolio securities
and currency holdings.
MARKET AND CREDIT RISK -- In the normal course of business the Funds trade
financial instruments and enter into financial transactions where risk of
potential loss exists due to changes in the market (market risk) or failure of
the other party to a transaction to perform (credit risk). Similar to credit
risk, the Funds may be exposed to counterparty risk, or the risk that an
institution or other entity with which the Funds have unsettled or open
transactions will default. The potential loss could exceed the value of the
financial assets recorded in the financial statements. Financial assets, which
potentially expose the Funds to credit risk, consist principally of cash due
from counterparties and investments. The extent of the Funds' exposure to credit
and counterparty risks in respect to these financial assets approximates their
carrying value as recorded in the Funds' Statements of Assets and Liabilities.
INTEREST RATE RISK -- Interest rate risk is the risk that fixed income
securities will decline in value because of changes in interest rates. A rise in
interest rates typically causes a fall in values. Interest rate risk should be
modest for shorter-term securities, moderate for intermediate-term securities
and high for longer-term securities. Generally, an increase in the average
maturity of a Fund will make it more sensitive to interest rate risk.
FOREIGN CURRENCY RISK -- If a Fund invests directly in foreign currencies or in
securities that trade in, and receive revenues in, foreign currencies, or in
derivatives that provide exposure to foreign currencies, it will be subject to
the risk that those currencies will decline in value relative to the U.S.
dollar. This also includes the risk associated with higher transaction costs,
delayed settlements, currency controls and adverse economic developments related
to foreign investments.
(11) FAIR VALUE MEASUREMENTS
The various inputs used in determining the fair value of the Funds' investments
are summarized in the three broad levels listed below:
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
142
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
The following is a summary of the fair value hierarchy according to the inputs
used as of January 31, 2010 in valuing the Funds' assets and liabilities:
FAIR VALUE MEASUREMENT AT 1/31/2010 USING
-------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 1/31/10
------------------------- ----------------- ------------ ------------
Small Cap Growth
- -------------------------------------
Common Stocks* $ 42,491,994 $ -- $ -- $ 42,491,994
Investment Company 12,420,471 -- -- 12,420,471
Investments in Affiliates 545,532 -- -- 545,532
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 55,457,997 $ -- $ -- $ 55,457,997
================================================================================
Mid Cap Growth
- -------------------------------------
Common Stocks* $ 83,161,521 $ -- $ -- $ 83,161,521
Investment Companies 10,073,292 -- -- 10,073,292
Investments in Affiliates 1,944,932 -- -- 1,944,932
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 95,179,745 $ -- $ -- $ 95,179,745
================================================================================
Quality Growth
- -------------------------------------
Common Stocks* $302,194,487 $ -- $ -- $302,194,487
Investment Companies $ 12,513,352 -- -- 12,513,352
Asset-Backed Securities
Manufactured Housing ABS Other -- 105,109 -- 105,109
Other ABS -- -- 35,305 35,305
Corporate Bonds -- 189,086 -- 189,086
Mortgage-Backed Securities -- 833,970 -- 833,970
U.S. Government Agencies -- 827,565 -- 827,565
Investments in Affiliates 18,552,472 -- -- 18,552,472
- ------------------------------------- --------------------------------------------------------------------------------
Total $333,260,311 $ 1,955,730 $ 35,305 $335,251,346
================================================================================
Dividend Growth
- -------------------------------------
Common Stocks* $ 7,533,274 $ -- $ -- $ 7,533,274
Investment Companies 2,179,925 -- -- 2,179,925
Investments in Affiliates 59,787 -- -- 59,787
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 9,772,986 $ -- $ -- $ 9,772,986
================================================================================
Micro Cap Value
- -------------------------------------
Common Stocks* $ 29,396,456 $ -- $ -- $ 29,396,456
Investment Companies 478,559 -- -- 478,559
Investments in Affiliates 2,303,942 -- -- 2,303,942
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 32,178,957 $ -- $ -- $ 32,178,957
================================================================================
Small Cap Value
- -------------------------------------
Common Stocks* $ 55,988,886 $ -- $ -- $ 55,988,886
Investment Companies 1,356,260 -- -- 1,356,260
Investments in Affiliates 2,744,553 -- -- 2,744,553
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 60,089,699 $ -- $ -- $ 60,089,699
================================================================================
All Cap Value
- -------------------------------------
Common Stocks* $128,358,293 $ -- $ -- $128,358,293
Investment Companies 3,428,536 -- -- 3,428,536
Investments in Affiliates 5,631,128 -- -- 5,631,128
- ------------------------------------- --------------------------------------------------------------------------------
Total $137,417,957 $ -- $ -- $137,417,957
================================================================================
Disciplined Large Cap Value
- -------------------------------------
Common Stocks* $332,544,865 $ -- $ -- $332,544,865
Investment Companies 676,322 -- -- 676,322
Investments in Affiliates 13,660,870 -- -- 13,660,870
- ------------------------------------- --------------------------------------------------------------------------------
Total $346,882,057 $ -- $ -- $346,882,057
================================================================================
143
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENT AT 1/31/2010 USING
-------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 1/31/10
------------------------- ----------------- ------------ ------------
Structured Large Cap Plus
- -------------------------------------
Common Stocks* $101,090,449 $ -- $ -- $101,090,449
Investments in Affiliates 1,328,831 -- -- 1,328,831
Securities Sold Short (23,261,952) -- -- (23,261,952)
Other Financial Instruments** (54,917) -- -- (54,917)
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 79,102,411 $ -- $ -- $ 79,102,411
================================================================================
Equity Index
- -------------------------------------
Common Stocks* $278,002,510 $ -- $ -- $278,002,510
Investment Companies 5,251,649 -- -- 5,251,649
Investments in Affiliates 4,949,812 -- -- 4,949,812
Other Financial Instruments** (173,323) -- -- (173,323)
- ------------------------------------- --------------------------------------------------------------------------------
Total $288,030,648 $ -- $ -- $288,030,648
================================================================================
International Equity
- -------------------------------------
Foreign Stocks* $248,061,491 $ -- $ -- $248,061,491
Investment Companies 17,544,402 -- -- 17,544,402
Investments in Affiliates 2,573,753 -- -- 2,573,753
Other Financial Instruments** (314,916) -- -- (314,916)
- ------------------------------------- --------------------------------------------------------------------------------
Total $267,864,730 $ -- $ -- $267,864,730
================================================================================
Strategic Income
- -------------------------------------
Asset-Backed Securities
Other ABS $ -- $ 662,553 $ 388,357 $ 1,050,910
Other -- 1,136,742 -- 1,136,742
Convertible Bonds -- 431,375 -- 431,375
Corporate Bonds -- 20,456,428 -- 20,456,428
Foreign Bonds -- 5,215,836 -- 5,215,836
Mortgage-Backed Securities -- 2,624,061 -- 2,624,061
U.S. Government Agencies -- 3,696,137 -- 3,696,137
U.S. Treasury Obligation -- 940,000 -- 940,000
Common Stocks* 5,202,106 -- -- 5,202,106
Investment Companies 15,152,382 -- -- 15,152,382
Convertible Preferred Stock 2,222,275 -- -- 2,222,275
Preferred Stock 34,118,415 -- -- 34,118,415
Investments in Affiliates 4,886,599 -- -- 4,886,599
Other Financial Instruments** (52,526) -- -- (52,526)
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 61,529,251 $ 35,163,132 $ 388,357 $ 97,080,740
================================================================================
LifeModel Aggressive
- -------------------------------------
Investments in Affiliates $113,530,958 $ -- $ -- $113,530,958
- ------------------------------------- --------------------------------------------------------------------------------
Total $113,530,958 $ -- $ -- $113,530,958
================================================================================
LifeModel Moderately Aggressive
- -------------------------------------
Investments in Affiliates $213,459,802 $ -- $ -- $213,459,802
- ------------------------------------- --------------------------------------------------------------------------------
Total $213,459,802 $ -- $ -- $213,459,802
================================================================================
LifeModel Moderate
- -------------------------------------
Investments in Affiliates $264,996,748 $ -- $ -- $264,996,748
- ------------------------------------- --------------------------------------------------------------------------------
Total $264,996,748 $ -- $ -- $264,996,748
================================================================================
LifeModel Moderately Conservative
- -------------------------------------
Investments in Affiliates $ 61,109,344 $ -- $ -- $ 61,109,344
- ------------------------------------- --------------------------------------------------------------------------------
Total $ 61,109,344 $ -- $ -- $ 61,109,344
================================================================================
144
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENT AT 1/31/2010 USING
-------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 1/31/10
------------------------- ----------------- ------------ ------------
LifeModel Conservative
- -------------------------------------
Investments in Affiliates $41,835,607 $ -- $ -- $ 41,835,607
- ------------------------------------- -------------------------------------------------------------------------------
Total $41,835,607 $ -- $ -- $ 41,835,607
================================================================================
High Yield Bond
- -------------------------------------
Corporate Bonds $ -- $ 39,741,441 $ -- $ 39,741,441
Foreign Bonds -- 8,074,412 -- 8,074,412
Investment Companies 13,117,195 -- -- 13,117,195
Preferred Stock 142,938 -- -- 142,938
Investment in Affiliates 38 -- -- 38
- ------------------------------------- -------------------------------------------------------------------------------
Total $13,260,171 $ 47,815,853 $ -- $ 61,076,024
================================================================================
Total Return Bond
- -------------------------------------
Asset-Backed Securities
Other ABS $ -- $ 6,089,342 $ 801,427 $ 6,890,769
Other -- 15,301,903 -- 15,301,903
Corporate Bonds -- 57,774,574 -- 57,774,574
Foreign Bonds* -- 11,639,160 -- 11,639,160
Mortgage-Backed Securities
Agency Collateral Other -- -- 2,875,950 2,875,950
CMBS Subordinated -- 8,316,820 4,592,438 12,909,258
Other -- 49,225,237 -- 49,225,237
U.S. Government Agency -- 128,016,743 -- 128,016,743
U.S. Treasury Obligations -- 16,083,032 -- 16,083,032
Investment Companies 20,223,270 -- -- 20,223,270
Preferred Stocks 5,020,670 -- -- 5,020,670
Investment in Affiliates 16,211,624 -- -- 16,211,624
Other Financial Instruments** (62,697) -- -- (62,697)
- ------------------------------------- -------------------------------------------------------------------------------
Total $41,392,867 $292,446,811 $8,269,815 $342,109,493
================================================================================
Short Term Bond
- -------------------------------------
Asset-Backed Securities $ -- $ 21,912,668 $ -- $ 21,912,668
Corporate Bonds -- 55,158,062 -- 55,158,062
Foreign Bonds* -- 13,667,623 -- 13,667,623
Mortgage-Backed Securities -- 38,829,921 -- 38,829,921
Municipal Bonds -- 115,931 -- 115,931
U.S. Government Agencies -- 108,387,032 -- 108,387,032
U.S. Treasury Obligations -- 13,953,929 -- 13,953,929
Investment Companies 68,582,375 -- -- 68,582,375
Investment in Affiliates 5,815,955 -- -- 5,815,955
Other Financial Instruments** 2,565 -- -- 2,565
- ------------------------------------- -------------------------------------------------------------------------------
Total $74,400,895 $252,025,166 $ -- $326,426,061
================================================================================
* Refer to Schedules of Investments for further information by industry/type
and country.
** Other financial instruments include open futures and forwards contracts which
were valued at the unrealized appreciation/(depreciation) on the instrument.
145
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
The following is a reconciliation of the fair value measurements using
significant unobservable inputs for the Fund during the year ended January 31,
2010:
TOTAL CHANGE
BEGINNING ACCRUED TOTAL IN UNREALIZED TRANSFERS ENDING
BALANCE NET PURCHASES DISCOUNTS REALIZED APPRECIATION IN AND/OR BALANCE
QUALITY GROWTH 7/31/2009 (SALES) (PREMIUMS) GAINS (LOSSES) (DEPRECIATION) OUT OF LEVEL 3 1/31/2010
- ---------------------------------------------------------------------------------------------------------------------------------
Asset Backed Securities
Other ABS $29,963 $(10,127) $2,091 $393 $12,985 $-- $35,305
- ---------------------------------------------------------------------------------------------------------------------------------
Total $29,963 $(10,127) $2,091 $393 $12,985 $-- $35,305
TOTAL CHANGE
BEGINNING ACCRUED TOTAL IN UNREALIZED TRANSFERS ENDING
BALANCE NET PURCHASES DISCOUNTS REALIZED APPRECIATION IN AND/OR BALANCE
STRATEGIC INCOME 7/31/2009 (SALES) (PREMIUMS) GAINS (LOSSES) (DEPRECIATION) OUT OF LEVEL 3 1/31/2010
- ---------------------------------------------------------------------------------------------------------------------------------
Asset Backed Securities
Other ABS $329,590 $(111,393) $26,510 $3,548 $140,102 $-- $388,357
- ---------------------------------------------------------------------------------------------------------------------------------
Total $329,590 $(111,393) $26,510 $3,548 $140,102 $-- $388,357
TOTAL CHANGE
BEGINNING ACCRUED TOTAL IN UNREALIZED TRANSFERS ENDING
BALANCE NET PURCHASES DISCOUNTS REALIZED APPRECIATION IN AND/OR BALANCE
TOTAL RETURN BOND 7/31/2009 (SALES) (PREMIUMS) GAINS (LOSSES) (DEPRECIATION) OUT OF LEVEL 3 1/31/2010
- ---------------------------------------------------------------------------------------------------------------------------------
Asset Backed Securities
Other ABS $ 680,153 $ (229,875) $49,833 $8,452 $ 292,864 $-- $ 801,427
Mortgage Backed Securities
Agency Collateral Other 2,160,375 -- 1 -- 715,574 -- 2,875,950
CMBS Other 3,960,000 (4,000,000) -- -- 40,000 -- --
CMBS Subordinated 4,316,500 -- -- -- 275,938 -- 4,592,438
- ---------------------------------------------------------------------------------------------------------------------------------
Total $11,117,028 $(4,229,875) $49,834 $8,452 $1,324,376 $-- $8,269,815
(12) FAIR VALUE OF DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuations of the Funds' derivative
instruments categorized by risk exposure:
STRUCTURED LARGE CAP PLUS FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
-------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ---------
Assets Derivatives
Variation margin receivable** $-- $-- $-- $ -- $-- $ --
-------------------------------------------------------------------------------------
Liabilities Derivatives
Variation margin payable** $-- $-- $-- $(54,917) $-- $(54,917)
=====================================================================================
146
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS FUND, CONTINUED
The Effect of Derivative Instruments on the Statement of Operations for the Six
Months Ended January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
-------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ---------
Realized Gain/(Loss) on
Derivatives Recognized
in Income
Net realized gain/(loss)
on futures contracts $-- $-- $-- $ 703,541 $-- $ 703,541
-------------------------------------------------------------------------------------
$-- $-- $-- $ 703,541 $-- $ 703,541
=====================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income
Net change in unrealized
appreciation/(depreciation)
on futures contracts $-- $-- $-- $(282,538) $-- $(282,538)
-------------------------------------------------------------------------------------
$-- $-- $-- $(282,538) $-- $(282,538)
=====================================================================================
EQUITY INDEX FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
-------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ---------
Assets Derivatives
Variation margin receivable** $-- $-- $-- $ -- $-- $ --
-------------------------------------------------------------------------------------
Liabilities Derivatives
Variation margin payable** $-- $-- $-- $(173,323) $-- $(173,323)
=====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Six
Months Ended January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Realized Gain/(Loss) on
Derivatives Recognized
in Income
Net realized gain/(loss)
on futures contracts $-- $-- $-- $1,527,998 $-- $1,527,998
--------------------------------------------------------------------------------------
$-- $-- $-- $1,527,998 $-- $1,527,998
======================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income
Net change in unrealized
appreciation/(depreciation)
on futures contracts $-- $-- $-- $ (601,617) $-- $ (601,617)
--------------------------------------------------------------------------------------
$-- $-- $-- $ (601,617) $-- $ (601,617)
======================================================================================
147
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
-------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ---------
Assets Derivatives
Variation margin receivable** $-- $ 25,701 $-- $ -- $-- $ 25,701
-------------------------------------------------------------------------------------
Liabilities Derivatives
Variation margin payable** $-- $(82,263) $-- $(258,354) $-- $(340,617)
=====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Six
Months Ended January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Realized Gain/(Loss) on
Derivatives Recognized
in Income
Net realized gain/(loss)
on futures contracts $-- $ 146,640 $-- $ 975,056 $-- $1,121,696
--------------------------------------------------------------------------------------
$-- $ 146,640 $-- $ 975,056 $-- $1,121,696
======================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income contracts $-- $(155,238) $-- $(567,153) $-- $ (722,391)
--------------------------------------------------------------------------------------
$-- $(155,238) $-- $(567,153) $-- $ (722,391)
======================================================================================
STRATEGIC INCOME FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Assets Derivatives
Variation margin receivable** $3,308 $ -- $-- $ 41,064 $-- $ 44,372
--------------------------------------------------------------------------------------
Liabilities Derivatives
Unrealized depreciation on
foreign currency contracts $ -- $(41,141) $-- $ -- $-- $ --
--------------------------------------------------------------------------------------
Variation margin payable** $ -- $ -- $-- $(55,757) $-- $(55,757)
--------------------------------------------------------------------------------------
$ -- $(41,141) $-- $(55,757) $-- $(96,898)
======================================================================================
148
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
STRATEGIC INCOME FUND, CONTINUED
The Effect of Derivative Instruments on the Statement of Operations for the Six
Months Ended January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Realized Gain/(Loss) on
Derivatives Recognized
in Income
Net realized gain/(loss) on
futures contracts $ 178,240 $ -- $-- $(14,909) $-- $ 163,331
--------------------------------------------------------------------------------------
$ 178,240 $ -- $-- $(14,909) $-- $ 163,331
======================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income
Net change in unrealized
appreciation/(depreciation)
on futures contracts $(206,555) $ -- $-- $(14,693) $-- $(221,248)
======================================================================================
Net change in unrealized
appreciation/(depreciation)
on translation of assets and
liabilities denominated
in foreign currencies $ -- $(41,141) $-- $ -- $-- $ (41,141)
--------------------------------------------------------------------------------------
$(206,555) $(41,141) $-- $(14,693) $-- $(262,389)
======================================================================================
TOTAL RETURN BOND FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Assets Derivatives
Variation margin receivable** $ 1,764 $-- $-- $-- $-- $ 1,764
-------------------------------------------------------------------------------------
Liabilities Derivatives
Variation margin payable** $(64,461) $-- $-- $-- $-- $(64,461)
=====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Six
Months Ended January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Realized Gain/(Loss) on
Derivatives Recognized
in Income
Net realized gain/(loss)
on futures contracts $ 916,891 $-- $-- $-- $-- $ 916,891
--------------------------------------------------------------------------------------
$ 916,891 $-- $-- $-- $-- $ 916,891
======================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income
Net change in unrealized
appreciation/(depreciation)
on futures contracts $(428,569) $-- $-- $-- $-- $(428,569)
--------------------------------------------------------------------------------------
$(428,569) $-- $-- $-- $-- $(428,569)
======================================================================================
149
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SHORT TERM BOND FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Assets Derivatives
Variation margin receivable** $2,565 $-- $-- $-- $-- $2,565
------------------------------------------------------------------------------------
Liabilities Derivatives
Variation margin payable** $ -- $-- $-- $-- $-- $ --
====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Six
Months Ended January 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133
--------------------------------------------------------------------------------------
INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER
CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL
------------- ---------------- --------- --------- --------- ----------
Realized Gain/(Loss) on
Derivatives Recognized
in Income
Net realized gain/(loss) on
futures contracts $83,454 $-- $-- $-- $-- $83,454
-------------------------------------------------------------------------------------
$83,454 $-- $-- $-- $-- $83,454
=====================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income
Net change in unrealized
appreciation/(depreciation)
on futures contracts $10,960 $-- $-- $-- $-- $10,960
-------------------------------------------------------------------------------------
$10,960 $-- $-- $-- $-- $10,960
=====================================================================================
* See Note 2 - Significant Accounting Policies for additional information.
** The Fair Values of Derivative Instruments may include cumulative
appreciation/(depreciation) of futures contracts as reported in the Notes to
Schedules of Investments. Only the current day's variation margin is reported
in the Statements of Assets and Liabilities.
The derivative instruments outstanding as of January 31, 2010 as disclosed in
the Notes to the Schedules of Investments and the amounts of realized and
changes in unrealized gains and losses on derivative instruments during the
period as disclosed in the Statement of Operations serve as indicators of the
volume of derivative activity for the Funds.
(13) LEHMAN BROTHERS BANKRUPTCY AND DEFAULT ON SECURITIES LENDING
On September 15, 2008, Lehman Brothers (Lehman) filed voluntary petitions for
reorganization under Chapter 11 of the U.S. Bankruptcy Code. The securities
lending agreements between Lehman and each Fund were terminated by Lehman's
bankruptcy filing and Lehman's failure to return the borrowed securities. Under
the agreements and due to borrower default, each Fund had the right to seize the
collateral pledged by Lehman as security for the borrowed securities. The
collateral was liquidated to fund the cost of replacement securities purchased,
which were the same as the securities that were on loan and not returned. For
financial reporting purposes, the transactions are treated as a sale as of
September 17, 2008 of the original securities recognizing gain (loss) and a new
purchase of replacement securities with a new basis and holding period. For
Federal income tax purposes, however, the Internal Revenue Service concluded in
Revenue Procedure 2008-63 that the purchase of replacement securities will be
considered a non-taxable event (not as a sale and purchase and no recognition of
gain (loss), change in basis or holding period), provided the requirements under
Internal Revenue Code (IRC) Section 1058(b) are met. The Funds believe all
requirements of the Revenue Procedure have been met.
150
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
NET REALIZED GAIN
(LOSS) ON SALE OF
FUND ORIGINAL SECURITIES
---- -------------------
Quality Growth $ (24,861)
Micro Cap Value (78,548)
Small Cap Value (153,200)
Equity Index (248,631)
High Yield Bond (114,109)
(14) SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the
Funds' financial statements through March 30, 2010. Management has determined
that there are no additional material events that would require disclosure in
the Funds' financial statements through this date.
151
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
EXPENSE EXAMPLE
As a shareholder of the Fifth Third Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases, reinvested
dividends, or other distributions; redemption fees; and exchange fees; and (2)
ongoing costs, including management fees; distribution and/or service 12b-1
fees; and other Fund expenses. This example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fifth Third Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period from August 1, 2009 through January 31,
2010.
ACTUAL EXPENSES
- ---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, 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 under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
The expense ratio may vary period to period because of various factors, as a
result of expenses incurred that are outside the cap (such as dividends on
securities sold short, extraordinary expenses and interest expense.)
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
8/1/09 1/31/10 8/1/09 - 1/31/10 8/1/09 - 1/31/10
--------- --------- ---------------- ----------------
Small Cap Growth Institutional Shares $1,000.00 $1,070.70 $5.27 1.01%
Class A Shares 1,000.00 1,068.90 6.57 1.26%
Class B Shares 1,000.00 1,066.00 10.47 2.01%
Class C Shares 1,000.00 1,064.00 10.46 2.01%
Mid Cap Growth Institutional Shares 1,000.00 1,080.40 4.77 0.91%
Class A Shares 1,000.00 1,079.00 6.08 1.16%
Class B Shares 1,000.00 1,073.70 9.98 1.91%
Class C Shares 1,000.00 1,075.60 9.99 1.91%
Quality Growth Institutional Shares 1,000.00 1,083.30 5.57 1.06%
Class A Shares 1,000.00 1,081.90 6.87 1.31%
Class B Shares 1,000.00 1,078.10 10.79 2.06%
Class C Shares 1,000.00 1,078.90 10.79 2.06%
Dividend Growth Institutional Shares 1,000.00 1,067.50 3.80 0.73%
Class A Shares 1,000.00 1,066.80 5.11 0.98%
Class B Shares 1,000.00 1,062.80 8.99 1.73%
Class C Shares 1,000.00 1,062.50 8.99 1.73%
Micro Cap Value Institutional Shares 1,000.00 1,067.90 7.04 1.35%
Class A Shares 1,000.00 1,069.80 8.35 1.60%
Class B Shares 1,000.00 1,066.44 12.24 2.35%
Class C Shares 1,000.00 1,062.50 12.22 2.35%
Small Cap Value Institutional Shares 1,000.00 1,153.50 6.41 1.18%
Class A Shares 1,000.00 1,152.90 7.76 1.43%
Class B Shares 1,000.00 1,148.10 11.80 2.18%
Class C Shares 1,000.00 1,148.60 11.81 2.18%
All Cap Value Institutional Shares 1,000.00 1,103.80 5.78 1.09%
Class A Shares 1,000.00 1,102.10 7.10 1.34%
Class B Shares 1,000.00 1,099.00 11.06 2.09%
Class C Shares 1,000.00 1,098.50 11.05 2.09%
- -------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
152
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
8/1/09 1/31/10 8/1/09 - 1/31/10 8/1/09 - 1/31/10
--------- --------- ---------------- ----------------
Disciplined Large Cap Value Institutional Shares $1,000.00 $1,101.90 $4.98 0.94%
Class A Shares 1,000.00 1,100.90 6.30 1.19%
Class B Shares 1,000.00 1,096.20 10.25 1.94%
Class C Shares 1,000.00 1,097.20 10.26 1.94%
Structured Large Cap Plus Institutional Shares 1,000.00 1,080.70 8.65 1.65%
Class A Shares 1,000.00 1,078.10 9.95 1.90%
Class B Shares 1,000.00 1,077.80 13.93 2.66%
Class C Shares 1,000.00 1,074.90 13.44 2.57%
Equity Index Institutional Shares 1,000.00 1,098.50 1.00 0.19%
Class A Shares 1,000.00 1,096.90 2.33 0.44%
Class B Shares 1,000.00 1,092.80 6.28 1.19%
Class C Shares 1,000.00 1,092.20 6.28 1.19%
Select shares 1,000.00 1,097.50 1.43 0.27%
Preferred Shares 1,000.00 1,097.70 1.80 0.34%
Trust Shares 1,000.00 1,097.10 2.33 0.44%
International Equity Institutional Shares 1,000.00 1,044.60 6.18 1.20%
Class A Shares 1,000.00 1,044.80 7.47 1.45%
Class B Shares 1,000.00 1,040.00 11.31 2.20%
Class C Shares 1,000.00 1,040.50 11.31 2.20%
Strategic Income Institutional Shares 1,000.00 1,134.40 4.73 0.88%
Class A Shares 1,000.00 1,132.10 6.07 1.13%
Class B Shares 1,000.00 1,127.90 10.08 1.88%
Class C Shares 1,000.00 1,127.90 10.08 1.88%
LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,074.70 0.42 0.08%
Class A Shares 1,000.00 1,072.70 1.72 0.33%
Class B Shares 1,000.00 1,068.10 5.63 1.08%
Class C Shares 1,000.00 1,069.40 5.63 1.08%
LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,068.10 0.42 0.08%
Class A Shares 1,000.00 1,068.00 1.72 0.33%
Class B Shares 1,000.00 1,063.60 5.62 1.08%
Class C Shares 1,000.00 1,062.30 5.61 1.08%
LifeModel Moderate(SM) Institutional Shares 1,000.00 1,063.00 0.42 0.08%
Class A Shares 1,000.00 1,060.60 1.71 0.33%
Class B Shares 1,000.00 1,056.90 5.60 1.08%
Class C Shares 1,000.00 1,058.10 5.60 1.08%
LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,065.10 0.42 0.08%
Class A Shares 1,000.00 1,065.10 1.72 0.33%
Class B Shares 1,000.00 1,060.00 5.61 1.08%
Class C Shares 1,000.00 1,059.60 5.61 1.08%
LifeModel Conservative(SM) Institutional Shares 1,000.00 1,058.20 0.42 0.08%
Class A Shares 1,000.00 1,055.80 1.71 0.33%
Class B Shares 1,000.00 1,051.80 5.59 1.08%
Class C Shares 1,000.00 1,052.80 5.59 1.08%
High Yield Bond Institutional Shares 1,000.00 1,133.20 3.98 0.74%
Class A Shares 1,000.00 1,132.30 5.32 0.99%
Class B Shares 1,000.00 1,127.90 9.33 1.74%
Class C Shares 1,000.00 1,127.50 9.33 1.74%
- ----------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
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EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
8/1/09 1/31/10 8/1/09 - 1/31/10 8/1/09 - 1/31/10
--------- --------- ---------------- ----------------
Total Return Bond Institutional Shares $1,000.00 $1,066.30 $3.39 0.65%
Class A Shares 1,000.00 1,065.00 4.68 0.90%
Class B Shares 1,000.00 1,061.00 8.57 1.65%
Class C Shares 1,000.00 1,061.00 8.57 1.65%
Short Term Bond Institutional Shares 1,000.00 1,032.10 3.02 0.59%
Class A Shares 1,000.00 1,032.10 4.30 0.84%
Class C Shares 1,000.00 1,027.70 8.13 1.59%
- --------------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
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HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
- --------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on each Fifth Third Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. 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 however use this information to compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the 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.
The expense ratio may vary period to period because of various factors, as a
result of expenses incurred that are outside the cap (such as dividends on
securities sold short, extraordinary expenses and interest expense.)
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
8/1/09 1/31/10 8/1/09 - 1/31/10 8/1/09 - 1/31/10
--------- --------- ---------------- ----------------
Small Cap Growth Institutional Shares $1,000.00 $1,020.11 $5.14 1.01%
Class A Shares 1,000.00 1,018.85 6.41 1.26%
Class B Shares 1,000.00 1,015.07 10.21 2.01%
Class C Shares 1,000.00 1,015.07 10.21 2.01%
Mid Cap Growth Institutional Shares 1,000.00 1,020.62 4.63 0.91%
Class A Shares 1,000.00 1,019.36 5.90 1.16%
Class B Shares 1,000.00 1,015.58 9.70 1.91%
Class C Shares 1,000.00 1,015.58 9.70 1.91%
Quality Growth Institutional Shares 1,000.00 1,019.86 5.40 1.06%
Class A Shares 1,000.00 1,018.60 6.67 1.31%
Class B Shares 1,000.00 1,014.82 10.46 2.06%
Class C Shares 1,000.00 1,014.82 10.46 2.06%
Dividend Growth Institutional Shares 1,000.00 1,021.53 3.72 0.73%
Class A Shares 1,000.00 1,020.27 4.99 0.98%
Class B Shares 1,000.00 1,016.48 8.79 1.73%
Class C Shares 1,000.00 1,016.48 8.79 1.73%
Micro Cap Value Institutional Shares 1,000.00 1,018.40 6.87 1.35%
Class A Shares 1,000.00 1,017.14 8.13 1.60%
Class B Shares 1,000.00 1,013.36 11.93 2.35%
Class C Shares 1,000.00 1,013.36 11.93 2.35%
Small Cap Value Institutional Shares 1,000.00 1,019.26 6.01 1.18%
Class A Shares 1,000.00 1,018.00 7.27 1.43%
Class B Shares 1,000.00 1,014.22 11.07 2.18%
Class C Shares 1,000.00 1,014.22 11.07 2.18%
All Cap Value Institutional Shares 1,000.00 1,019.71 5.55 1.09%
Class A Shares 1,000.00 1,018.45 6.82 1.34%
Class B Shares 1,000.00 1,014.67 10.61 2.09%
Class C Shares 1,000.00 1,014.67 10.61 2.09%
Disciplined Large Cap Value Institutional Shares 1,000.00 1,020.47 4.79 0.94%
Class A Shares 1,000.00 1,019.21 6.06 1.19%
Class B Shares 1,000.00 1,015.43 9.86 1.94%
Class C Shares 1,000.00 1,015.43 9.86 1.94%
- --------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
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EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
8/1/09 1/31/10 8/1/09 - 1/31/10 8/1/09 - 1/31/10
--------- --------- ---------------- ----------------
Structured Large Cap Plus Institutional Shares $1,000.00 $1,016.89 $8.39 1.65%
Class A Shares 1,000.00 1,015.63 9.65 1.90%
Class B Shares 1,000.00 1,011.80 13.49 2.66%
Class C Shares 1,000.00 1,012.25 13.04 2.57%
Equity Index Institutional Shares 1,000.00 1,024.25 0.97 0.19%
Class A Shares 1,000.00 1,022.99 2.24 0.44%
Class B Shares 1,000.00 1,019.21 6.06 1.19%
Class C Shares 1,000.00 1,019.21 6.06 1.19%
Select shares 1,000.00 1,023.84 1.38 0.27%
Preferred Shares 1,000.00 1,023.49 1.73 0.34%
Trust Shares 1,000.00 1,022.99 2.24 0.44%
International Equity Institutional Shares 1,000.00 1,019.16 6.11 1.20%
Class A Shares 1,000.00 1,017.90 7.38 1.45%
Class B Shares 1,000.00 1,014.12 11.17 2.20%
Class C Shares 1,000.00 1,014.12 11.17 2.20%
Strategic Income Institutional Shares 1,000.00 1,020.77 4.48 0.88%
Class A Shares 1,000.00 1,019.51 5.75 1.13%
Class B Shares 1,000.00 1,015.73 9.55 1.88%
Class C Shares 1,000.00 1,015.73 9.55 1.88%
LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,024.80 0.41 0.08%
Class A Shares 1,000.00 1,023.54 1.68 0.33%
Class B Shares 1,000.00 1,019.76 5.50 1.08%
Class C Shares 1,000.00 1,019.76 5.50 1.08%
LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,024.80 0.41 0.08%
Class A Shares 1,000.00 1,023.54 1.68 0.33%
Class B Shares 1,000.00 1,019.76 5.50 1.08%
Class C Shares 1,000.00 1,019.76 5.50 1.08%
LifeModel Moderate(SM) Institutional Shares 1,000.00 1,024.80 0.41 0.08%
Class A Shares 1,000.00 1,023.54 1.68 0.33%
Class B Shares 1,000.00 1,019.76 5.50 1.08%
Class C Shares 1,000.00 1,019.76 5.50 1.08%
LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,024.80 0.41 0.08%
Class A Shares 1,000.00 1,023.54 1.68 0.33%
Class B Shares 1,000.00 1,019.76 5.50 1.08%
Class C Shares 1,000.00 1,019.76 5.50 1.08%
LifeModel Conservative(SM) Institutional Shares 1,000.00 1,024.80 0.41 0.08%
Class A Shares 1,000.00 1,023.54 1.68 0.33%
Class B Shares 1,000.00 1,019.76 5.50 1.08%
Class C Shares 1,000.00 1,019.76 5.50 1.08%
High Yield Bond Institutional Shares 1,000.00 1,021.48 3.77 0.74%
Class A Shares 1,000.00 1,020.21 5.04 0.99%
Class B Shares 1,000.00 1,016.43 8.84 1.74%
Class C Shares 1,000.00 1,016.43 8.84 1.74%
Total Return Bond Institutional Shares 1,000.00 1,021.93 3.31 0.65%
Class A Shares 1,000.00 1,020.67 4.58 0.90%
Class B Shares 1,000.00 1,016.89 8.39 1.65%
Class C Shares 1,000.00 1,016.89 8.39 1.65%
Short Term Bond Institutional Shares 1,000.00 1,022.23 3.01 0.59%
Class A Shares 1,000.00 1,020.97 4.28 0.84%
Class C Shares 1,000.00 1,017.19 8.08 1.59%
- ---------------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
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FIFTH THIRD FUNDS
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APPROVAL OF THE MANAGEMENT AGREEMENT
The Board of Trustees, at a meeting held on September 2, 2009, approved the
continuance of the Trust's investment advisory agreement with Fifth Third Asset
Management, Inc. ("FTAM" or the "Advisor") with respect to all Funds of the
Trust and a sub-advisory agreement of FTAM with Fort Washington Investment
Advisors, Inc. ("Fort Washington" or, also a "Sub-Advisor") with respect to the
Fifth Third High Yield Bond Fund. All the above-referenced agreements are
collectively the "Advisory Agreements" and are performed by the "Advisors"; the
action considered was the "Continuance" of the Advisory Agreements.
The Trustees reviewed extensive material in connection with their consideration
of the Continuance, which they had previously requested, including data compiled
by Lipper, Inc. ("Lipper"), an independent source of mutual fund data, which
included comparisons with industry averages for comparable funds for advisory
fees, Rule 12b-1 fees, administration fees, transfer agency fees, and total fund
expenses. The data reflected FTAM's fee waivers in place, as well as FTAM's
contractual advisory fees. FTAM also provided the Board with the results of a
three-pronged performance and expense test developed by FTAM. The Board received
reports from FTAM's Chief Investment Officer with respect to brokerage
practices, best execution, fund performance, and expense trends. The Board
reviewed the benefits realized by FTAM (and its affiliates) from its
relationship with the Funds. The Board was assisted in its review by independent
legal counsel, who provided a memorandum detailing the legal standards for
review of the Advisory Agreements. The Board received a detailed presentation by
FTAM, which included a fund-by-fund analysis of performance and profitability. A
detailed presentation was also provided by the Sub-Advisor. The Board
deliberated outside the presence of management and the Advisors.
In their deliberations, each Trustee attributed different weights to various
factors involved in an analysis of the Continuance, and no factor alone was
considered determinative. The Trustees determined that the overall arrangements
between the Trust and the Advisors, as provided in the Advisory Agreements, were
fair and reasonable, and that the Continuance of the Advisory Agreements, was in
the best interests of each Fund.
The matters addressed below were considered and discussed by the Trustees in
reaching their conclusions.
Nature, Extent, and Quality of Services Provided by the Advisors
The Trustees received and considered information regarding the nature, extent,
and quality of services provided to each Fund under the Advisory Agreements. The
Trustees took into account information furnished throughout the year at Trustee
meetings, as well as materials furnished specifically in connection with the
annual review process. The Trustees considered the background and experience of
each Advisor's senior management and the expertise of investment personnel of
each Advisor responsible for the day-to-day management of each Fund. The
Trustees considered the overall reputation, the capabilities and commitment of
each Advisor to provide high-quality service to the Trust, and the Trustees'
overall confidence in each Advisor's integrity.
The Trustees received information concerning the investment philosophy and
investment processes applied by the Advisors in managing the Funds. The Trustees
generally considered information regarding regulatory compliance and compliance
with the investment policies of the Funds. The Trustees evaluated the trading
practices of each Advisor. The Trustees also evaluated the procedures of the
Advisors designed to fulfill the Advisors' fiduciary duty to the Funds with
respect to possible conflicts of interest, including the Advisors' codes of
ethics (regulating the personal trading of their officers and employees).
Based on their review, the Trustees concluded that, with respect to the quality
and nature of services provided by the Advisors, the scope of responsibilities
was consistent with mutual fund industry norms, and that the quality of services
was satisfactory.
Investment Performance
The Trustees considered performance results of each Fund in absolute terms and
relative to each Fund's benchmark and Lipper peer universe. In the Trustees'
review of performance, long- and short-term performance were considered. In
conducting their review, the Trustees particularly focused on Funds where
performance
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compared unfavorably with peers (i.e., Funds in the bottom one-third relative to
their peers) over the one-, three-, or five-year periods ended June 30, 2009.
Fifth Third Small Cap Growth Fund. The Trustees noted that the Fund was in the
bottom one-third of its peer universe on a one-year basis and had lagged its
benchmark on a one-, three-, and five-year basis, but that its longer term
performance versus its peer universe was slightly better. The Trustees also
considered that the Fund was now managed by a Minneapolis-based FTAM team and
the commitment of FTAM's Chief Investment Officer to be actively involved in the
management of the investment professionals that manage the Fund.
Fifth Third Mid Cap Growth Fund. The Trustees noted that the Fund was in the
bottom one-third of its Lipper peer universe on a three- and five-year basis and
had lagged its benchmark on a one-, three-, and five-year basis, but that the
Fund's performance was improving with the Fund performing in the top half of its
Lipper peer universe on a one-year basis. The Trustees also noted that the
Fund's longer term performance was not attributable to the current management
team.
Fifth Third Quality Growth Fund. The Trustees noted that the Fund was in the
third, first, and second quintiles of its Lipper peer universe on a one-,
three-, and five-year basis, respectively, and had outperformed its benchmark on
a three-year basis. The Trustees also noted that FTAM's Chief Investment Officer
has recently been more involved in the management of the investment
professionals that manage the Fund.
Fifth Third Dividend Growth Fund. The Trustees noted that the Fund was in the
second, second, and third quintiles of its Lipper peer universe on a one-,
three-, and five-year basis, respectively, and had outperformed its benchmark on
a one- and three-year basis.
Fifth Third Micro Cap Value Fund. The Trustees noted that the Fund was in the
first, second, and third quintiles of its Lipper peer universe on a one-,
three-, and five-year basis, respectively, and had outperformed its benchmark
for the same periods and on a year-to-date basis.
Fifth Third Small Cap Value Fund. The Trustees noted that the Fund was in the
second quintile of its Lipper peer universe on a one-, three-, and five-year
basis and had outperformed its benchmark for the same periods and on a
year-to-date basis.
Fifth Third All Cap Value Fund. The Trustees noted that the Fund was in the
fourth, third, and third quintiles of its Lipper peer universe on a one-,
three-, and five-year basis, respectively, but had outperformed its benchmark on
a year-to-date basis.
Fifth Third Disciplined Large Cap Value Fund. The Trustees noted that the Fund
was in the third quintile of its Lipper peer universe on a one-, three-, and
five-year basis and had outperformed its benchmark on a one-year, three-year,
and year-to-date basis.
Fifth Third Structured Large Cap Plus Fund. The Trustees noted that the Fund was
in the bottom one-third of its peer universe on a one- and three-year basis and
had lagged its benchmark on a one-, three-, and five-year basis, but noted that
FTAM attributed the underperformance to its limited ability to manage the Fund
due to a legal dispute with the liquidation trustee for the Fund's former
exclusive prime broker for the Fund's short positions.
Fifth Third Equity Index Fund. The Trustees noted that the Fund was in the first
quintile of its Lipper peer universe on a one-, three-, and five-year basis and
had lagged its benchmark for the same periods.
Fifth Third International Equity Fund. The Trustees noted that the Fund was in
the bottom one-third of its peer universe on a three- and five-year basis and
had lagged its benchmark on a five-year basis, but noted that a new management
team was put in place in December 2007 and that the Fund's longer term
performance was not attributable to the current management team.
Fifth Third Strategic Income Fund. The Trustees noted that the Fund was in the
bottom one-third of its peer universe on a one-year basis and had lagged its
benchmark on a one-, three-, and five-year basis, but that its longer term
performance versus its peer universe was at or around the median and its
year-to-date performance
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is competitive relative to its benchmark. The Trustees also noted that the
Advisor indicated that the Fund's performance numbers were dragged down by the
Fund's performance in 2008, which the Advisor viewed as an anomaly.
Fifth Third LifeModel Aggressive Fund(SM), the Fifth Third LifeModel Moderately
Aggressive Fund(SM), the Fifth Third LifeModel Moderate Fund(SM), the Fifth
Third LifeModel Moderately Conservative Fund(SM), and the Fifth Third LifeModel
Conservative Fund(SM). The Trustees noted that the Funds were in the bottom
one-third of their Lipper peer universe on a one-, three-, and five-year basis
and had lagged their benchmarks on a one-, three-, and five-year basis, that the
Fifth Third LifeModel Moderately Aggressive Fund(SM) was in the second quintile
of its Lipper peer universe on a one-, three-, and five-year basis, and the
Fifth Third LifeModel Moderately Conservative Fund(SM) was in the third, third,
and fourth quintiles of its Lipper peer universe on a one-, three-, and
five-year basis, respectively. For all of the LifeModel Funds, the Advisor noted
that performance was largely driven by the performance of the underlying funds,
not the asset allocation strategy used by the LifeModel Funds, and that the
Advisor was taking steps to improve the performance of the underlying funds.
Fifth Third High Yield Bond Fund. The Trustees noted that the Fund was in the
first quintile of its Lipper peer universe on a one-year, three-year, and since
inception (11/29/05) basis and had outperformed its benchmark for the same
periods.
Fifth Third Total Return Bond Fund. The Trustees noted that the Fund was in the
bottom one-third of its Lipper peer universe on a one-, three-, and five-year
basis and had lagged its benchmark on a one-, three-, and five-year basis, but
the Advisor noted that the Fund's performance for 2008, which it viewed as an
anomaly, had dragged down the longer term numbers and that the Fund's
year-to-date performance is competitive relative to its benchmark.
Fifth Third Short Term Bond Fund. The Trustees noted that the Fund was in the
second quintile of its Lipper peer universe on a one-, three-, and five-year
basis and had lagged its benchmark during the same periods, but the Advisor
noted that the Fund's performance for 2008, which it viewed as an anomaly, had
dragged down the longer term numbers and that the Fund's year-to-date
performance is competitive relative to its benchmark.
After reviewing the performance of each Fund, and taking into consideration the
management style, investment strategies, and prevailing market conditions during
the prior year and for longer periods, the Trustees concluded that the
performance of each of the Funds was acceptable or better and that in cases
where performance issues were encountered, the Advisor was appropriately
addressing the situation.
Cost of Services, Including the Profits Realized by the Advisors and Affiliates
The Trustees considered peer group comparable information with respect to the
advisory fees charged by FTAM to each of the Funds, taking into consideration
both contractual and actual (i.e., after waiver) fee levels. The Trustees
concluded that the investment advisory fees fell within an acceptable range as
compared to peer groups, particularly in light of the fee waivers and/or expense
limitations that were proposed or that would be continued in the upcoming year.
The Trustees also compared the advisory and sub-advisory fees to the fees
charged by the Advisors to other accounts with similar investment goals as the
Funds. The Trustees noted that the fees payable to Fort Washington for managing
other accounts with investment goals similar to the Fifth Third High Yield Bond
Fund are the same or higher than the Fund's sub-advisory fees. However, the
Trustees noted that, although FTAM manages other accounts with investment goals
similar to those of the Funds, the fees payable to FTAM for managing those
accounts are generally lower than the fees charged to the Funds due to increased
regulatory and compliance requirements applicable to the Funds and the increased
portfolio management necessary to address daily shareholder transaction
activity.
The Trustees also considered the reasonableness of advisory fees and, where
relevant, the profitability of the Advisors. In determining whether all
investment advisory and sub-advisory fees (collectively, the "investment
advisory fees") were reasonable, the Trustees reviewed profitability information
provided by FTAM with respect to investment advisory, administration,
accounting, and transfer agency services provided to the Funds. With respect to
such information, the Trustees recognized that such profitability data was
generally
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unaudited and represented FTAM's own determination of its and its affiliates'
revenues from the contractual services provided to the Funds, less expenses of
providing such services. Expenses include direct and indirect costs and were
calculated using an allocation methodology developed by the Advisor. The
Trustees noted that Fort Washington did not provide an estimate of profitability
in connection with the management of the Fifth Third High Yield Bond Fund. The
Trustees also recognized that it is difficult to make comparisons of
profitability from investment advisory and sub-advisory contracts, because
comparative information is not generally publicly available and could be
affected by numerous factors. With respect to Fort Washington, the Trustees
considered that the sub-advisory fee rate was negotiated at arm's length between
FTAM and Fort Washington, an unaffiliated third party, and noted that
sub-advisory fees are paid by FTAM, rather than directly from the Fund's assets.
Based on their review, the Trustees concluded that the profitability to FTAM, as
a result of its relationship with the Funds, was acceptable. The Board concluded
that the fees under the Advisory Agreements were not unreasonable in light of
the services and benefits provided to each Fund of the Trust.
Expenses
The Trustees reviewed information on each Fund's expense ratio (and net expense
ratio (after taking into account fee waivers and/or expense limitations)) with
peer group comparable information. In conducting their review, the Trustees
particularly focused on Funds where net expenses compared unfavorably with their
Lipper peer group.
Fifth Third Quality Growth Fund. The Trustees noted that the Fund's net expense
ratio was in the fifth quintile of its Lipper peer group, but FTAM noted that
the Fund's expense ratio was more competitive versus the larger Lipper peer
universe (sixty-first percentile), which it believes is more representative of
the Fund.
Fifth Third Micro Cap Value Fund. The Trustees noted that the Fund's net expense
ratio was in the fifth quintile of its Lipper peer group, but FTAM noted that
the Fund's peer group contains a number of non-microcap funds and, as a result,
believed the current fee waivers and expense limitations to be appropriate.
Fifth Third Small Cap Value Fund. The Trustees noted that the Fund's net expense
ratio was in the fourth quintile of its Lipper peer group, but that FTAM
proposed to lower the Fund's expense ratio through additional fee waivers and
expense limitations.
Fifth Third All Cap Value Fund. The Trustees noted that the Fund's net expense
ratio was in the fourth quintile of its Lipper peer group, but that FTAM
proposed to lower the Fund's expense ratio through additional fee waivers and
expense limitations.
Fifth Third Disciplined Large Cap Value Fund. The Trustees noted that the Fund's
net expense ratio was in the fifth quintile of its Lipper peer group, but that
FTAM proposed to lower the Fund's expense ratio through additional fee waivers
and expense limitations.
Fifth Third International Equity Fund. The Trustees noted that the Fund's net
expense ratio was in the fifth quintile of its Lipper peer group, but that FTAM
proposed to lower the Fund's expense ratio through additional fee waivers and
expense limitations.
Fifth Third LifeModel Aggressive Fund(SM), the Fifth Third LifeModel Moderately
Aggressive Fund(SM), the Fifth Third LifeModel Moderate Fund(SM), and the Fifth
Third Life Model Moderately Conservative Fund(SM). The Trustees noted that each
Fund's net expense ratio was in the fifth quintile of its respective Lipper peer
group, but that its expenses were largely driven by the imputed expenses of its
underlying fund holdings. The Trustees also noted that FTAM was effectively
waiving all of its fees and limiting expenses to 0.08%.
Fifth Third Short Term Bond Fund. The Trustees noted that the Fund's net expense
ratio was in the fifth quintile of its Lipper peer group, but that FTAM proposed
to lower the Fund's expense ratio through additional fee waivers and expense
limitations.
After reviewing the expenses of each Fund, and taking into consideration the
Advisor's fee waivers and/or expense limitations, the Trustees concluded that
the expenses of each Fund were acceptable.
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Economies of Scale
The Trustees also considered whether fee levels reflect economies of scale and
whether economies of scale would be produced by the growth of the Trust's
assets. The Trustees found that the Advisor had reduced Fund total expense
ratios through fee waivers and/or expense limitations. The Trustees noted recent
decreases in asset levels on a complex-wide basis. The Trustees found that the
asset levels of the Trust were not currently so large as to warrant formal
contractual breakpoints (except with respect to the Fifth Third International
Equity Fund, for which contractual breakpoints were in place) and found that the
expense limitations and/or fee waivers were a reasonable way to provide the
benefits of economies of scale to shareholders at this time.
The Trustees noted the proposed fee reductions with respect to the Fifth Third
All Cap Value Fund, the Fifth Third Disciplined Large Cap Value Fund, the Fifth
Third International Equity Fund, the Fifth Third Mid Cap Growth Fund, the Fifth
Third Short Term Bond Fund, the Fifth Third Small Cap Value Fund, the Fifth
Third Strategic Income Fund, and the Fifth Third Structured Large Cap Plus Fund.
The Trustees also considered the fee waivers and/or expense limitations
previously enacted and proposed for extension for the Fifth Third Dividend
Growth Fund, the Fifth Third Equity Index Fund, the Fifth Third High Yield Bond
Fund, the Fifth Third LifeModel Aggressive Fund(SM), the Fifth Third LifeModel
Conservative Fund(SM), the Fifth Third LifeModel Moderate Fund(SM), the Fifth
Third LifeModel Moderately Aggressive Fund(SM), the Fifth Third LifeModel
Moderately Conservative Fund(SM), the Fifth Third Micro Cap Value Fund, the
Fifth Third Quality Growth Fund, the Fifth Third Small Cap Growth Fund, and the
Fifth Third Total Return Bond Fund. The Trustees took into account the impact of
the expense limitations and the resulting decrease in revenue for FTAM.
Other Benefits to FTAM and Affiliates
The Trustees considered that FTAM engages in soft dollar arrangements in
connection with brokerage transactions for the Funds. The Trustees also
considered benefits derived by FTAM from its relationship with the Funds,
including the other services provided and fees received by FTAM and its
affiliates for providing such services, and concluded for each Fund that the
direct and indirect benefits accruing to FTAM were reasonable in comparison with
the costs of providing advisory services, the advisory fee charged to each Fund,
FTAM's commitment to waive fees and/or limit expenses, and the benefits to each
Fund.
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ADDRESSES
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Fifth Third Funds Fifth Third Funds
38 Fountain Square Plaza
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Investment Advisor, Administrator Fifth Third Asset Management, Inc.
and Accountant 38 Fountain Square Plaza
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Sub-Advisor (High Yield Bond) Fort Washington Investment Advisors, Inc.
303 Broadway Street, Suite 1200
Cincinnati, Ohio 45202
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Distributor FTAM Funds Distributor, Inc.
1290 Broadway, Suite 1100
Denver, Colorado 80203
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Custodian, Sub-Accountant State Street Bank and Trust Company
and Sub-Administrator 801 Pennsylvania Avenue
Kansas City, Missouri 64105
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Transfer and Dividend Boston Financial Data Services, Inc.
Disbursing Agent 30 Dan Road
Canton, Massachusetts 02021
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Independent Registered Public PricewaterhouseCoopers LLP
Accounting Firm 1100 Walnut Street, Suite 1300
Kansas City, MO 64106
================================================================================
Advised by:
[LOGO OF FTAM]
FIFTH THIRD ASSET MANAGEMENT
[GRAPHIC OF BEYOND THE TRADITIONAL] BEYOND THE TRADITIONAL
FTF2356013111 1-800-282-5706 SAR-STBD-10
================================================================================
================================================================================
FIFTH THIRD FUNDS
[GRAPHIC OF FIFTH THIRD FUNDS]
2010
MONEY MARKET MUTUAL FUNDS
Semi-Annual Report to
Shareholders
January 31, 2010
Advised by:
[LOGO OF FTAM]
FIFTH THIRD ASSET MANAGEMENT
================================================================================
NOTICE OF DELIVERY OF PROSPECTUSES,
SEMI-ANNUAL REPORTS AND ANNUAL REPORTS
In order to reduce expenses of the Fifth Third Funds incurred in connection with
the mailing of prospectuses, prospectus supplements, semi-annual reports and
annual reports to multiple shareholders at the same address, Fifth Third Funds
will deliver one copy of a prospectus, prospectus supplement, semi-annual report
or annual report to a single investor sharing a street address or post office
box with other investors, provided that all such investors have the same last
name or are believed to be members of the same family. If you share an address
with another investor and wish to receive your own prospectus, prospectus
supplements, semi-annual reports and annual reports, please call the Trust
toll-free at 1-800-282-5706.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by a prospectus for the Funds, which contains facts
concerning the objectives and policies, management fees, expenses and other
information.
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to the portfolio securities and information regarding
how the Funds voted relating to portfolio securities during the most recent
12-month period ended June 30 is available without charge, upon request, on the
Funds' website at www.fifththirdfunds.com or by calling 1-800-282-5706 and on
the Securities and Exchange Commission's website at http://www.sec.gov.
Schedules of Investments for periods ending April 30 and October 31 are filed on
Form N-Q and are available, without charge, on the Securities and Exchange
Commission's website at http://www.sec.gov. They may be viewed at the SEC's
Public Reference Room in Washington, D.C. (information on the operation of the
Public Reference Room may be obtained by calling 800.SEC.0330).
Fifth Third Funds are distributed by FTAM Funds Distributor, Inc., member FINRA.
FTAM Funds Distributor, Inc. is not an affiliate of Fifth Third Bank, Fifth
Third Funds or Fifth Third Asset Management, Inc. Fifth Third Asset Management,
Inc. serves as Investment Advisor to Fifth Third Funds and receives a fee for
its services.
FIFTH THIRD FUNDS, LIKE ALL MUTUAL FUNDS:
o ARE NOT FDIC INSURED
o HAVE NO BANK GUARANTEE
o MAY LOSE VALUE
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TABLE OF CONTENTS
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Economic Outlook and Commentary Section ..................................... 1
Manager Commentary .......................................................... 5
Schedules of Investments .................................................... 8
Statements of Assets and Liabilities ........................................ 34
Statements of Operations .................................................... 36
Statements of Changes in Net Assets ......................................... 38
Financial Highlights ........................................................ 42
Notes to Financial Statements ............................................... 51
Supplemental Information .................................................... 64
OUR MESSAGE TO YOU
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The financial markets regained a sense of normalcy over the past six months as
equities posted solid gains, and fixed income securities supplied some stability
to investor portfolios. Against this backdrop, Fifth Third Funds shareholders
enjoyed positive absolute returns across the investment spectrum.
Within the stock market, results reported during the six-month period ending
January 31, 2010, included:
o A 9.87% advance for the S&P 500(R) Stock Index(1) of large cap stocks.
o A 12.73% advance for the S&P MidCap 400 Index(1) of mid cap stocks.
o A 9.23% advance for the S&P SmallCap 600 Index(1) of small cap stocks.
o A 6.93% advance for the MSCI(R) EAFE(R) Index(1) of international stocks.
The year of 2009 has ended but will not be forgotten anytime soon. The U.S.
economy emerged from a sharp recession--many feared a depression was imminent at
the start of the year--and its citizens were substantially affected. Of note:
o Households are spending less and saving more.
o Most investors, scarred by the downturn that occurred during 2008 and early
2009, have a new appreciation for risk--most evident in the huge amounts of
cash that remained in preservation mode through the spring and summer despite
a broad rally in the equity markets.
o U.S. corporations that survived the period of major distress are poised for
better things in 2010.
The storm, it seems, has passed, and recent economic datapoints suggest a new
expansion is underway.
U.S. fixed income markets responded accordingly, bolstered by large infusions of
cash from the U.S. Treasury and the Federal Reserve Bank, as well as a
historically low Fed Funds target rates from the Fed. Federal government
purchase programs helped restore order in the previously crippled
Mortgage-Backed Securities and Asset-Backed Securities markets, although future
inflationary concerns weighed on long-term issues. Cash lagged most everything
as the Federal Funds target rate, which drives money market funds, remained in a
range of 0.0% to 0.25%.
Globally, capital markets reacted to positive economic developments in developed
and emerging markets and lifted securities from the "end of the world"
valuations touched in March 2009. As a result, most indexes
1
around the world moved sharply higher as some--not all--investors once again
discovered the courage to raise the risk profile of their portfolios.
Market psychology appears to have shifted from one of pure fear to more normal
sentiment, driven by the avoidance of a financial system collapse. Moreover, the
U.S. and most of the rest of the world seems to have moved into a period of
economic expansion with fundamentals that are on the upturn. Banks and other
financial companies endeavor to repair balance sheets and fourth quarter
earnings reports suggest that bank profits have returned. The process of healing
for the financial sector continues into 2010, but the picture seems to have
improved.
I'm proud to report that the family of Fifth Third Funds generally performed
well during 2009, buoyed by a company-wide commitment to higher-quality
investments. By sticking to such a philosophy, we believe our portfolio managers
are well equipped to generate solid long-term returns to shareholders through
extreme market turmoil, poor-quality surges that seemingly fizzle as quickly as
they climb, and ultimately, during periods where solid fundamentals portend
investment success.
Looking ahead, our expectations on the macro front include:
MODEST GROWTH IN THE U.S. GROSS DOMESTIC PRODUCT (GDP). With the housing
sector still weak, a consumer focus on reducing debt levels, and still-rising
unemployment, we're bracing for around a 2.50% growth rate in the GDP--lower
than the historical average of 3.00%.
CONTINUING CHALLENGES IN THE JOB MARKET. Uncertainties regarding economic
policies under consideration in Washington will likely weigh on corporate
managers debating new hiring efforts. As a result, we see the rate of
unemployment moving higher before a turn for the better.
A CATCH-UP PHASE IN EQUITY MARKETS. The size and scope of the 2009 stock
market rally discounted much of the double-digit expansion in corporate
earnings we anticipate for 2010. As a result, we expect stock
returns to register between 5% and 9% for the year while price-to-earnings
ratios compress to more normal levels.
THE RETURN TO FAVOR OF CYCLICAL GROWTH STOCKS. International, smaller cap, and
lower-quality stocks fueled the stock market's push higher last spring and
summer. It's time for larger cap, higher-quality securities to step to the
fore.
A CAUTIONARY FEDERAL RESERVE. Given last winter's economic scare, it's
unlikely the Federal Reserve will pull back on monetary stimulus until the
domestic economy demonstrates solid growth. Yet by year-end, we
2
expect to see higher rates, so fixed income investors should tread
conservatively.
AN INTERESTING U.S. DOLLAR-GOLD-COMMODITIES DANCE. A strategy of shorting the
U.S. dollar and investing in gold rewarded some investors well in 2009. As the
approach has gained in popularity, it's worth exploring contrary, pro-dollar,
anti-gold tactics. Concurrently, improving economic conditions in developing
economies will likely boost demand for commodities such as oil, paper, and
metals, which could negate the drag otherwise resulting from a stronger
dollar.
SHAKY PROSPECTS ON THE GOVERNMENT FRONT. In Washington, Congress appears as
though it may only act on the estate tax this year--likely adjusting the 2010
rate of 0% to something much higher--while letting the taxes on dividends,
capital gains, and incomes revert to higher 2001 levels. At the state level,
years of escalated spending are a mismatch for lower tax receipts resulting
from dropping property values. As such, investors should brace for additional
bad news flowing from some states and potential credit downgrades on some
municipal debt. These bonds are not risk-free!
In closing, conditions over the past six months have renewed our belief in the
resiliency of the U.S. financial markets. As the economy righted itself, so,
too, did the stock and bond markets, proving once again that a well-diversified
investment plan should serve as the core to achieving investment success.
Furthermore, by investing in Fifth Third Funds, which seek out high quality,
fundamentally sound stocks and bonds, we believe you're building a portfolio
that's well-positioned for gains into the future.
Thank you for your confidence in Fifth Third Funds.
/s/ E. Keith Wirtz
E. Keith Wirtz, CFA
President
3
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(1)TERMS AND DEFINITIONS
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THE S&P 500 STOCK INDEX IS AN INDEX OF 500 SELECTED COMMON STOCKS MOST OF WHICH
ARE LISTED ON THE NEW YORK STOCK EXCHANGE, AND IS A MEASURE OF THE U.S. STOCK
MARKET AS A WHOLE.
THE S&P MIDCAP 400 INDEX IS AN INDEX OF 400 SELECTED COMMON STOCKS THAT TRACKS
U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $850 MILLION TO $3.8 BILLION.
THE S&P SMALLCAP 600 INDEX IS AN INDEX OF 600 SELECTED COMMON STOCKS THAT TRACKS
U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $250 MILLION TO $1.2 BILLION.
THE MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) EUROPE, AUSTRALASIA, AND FAR
EAST (EAFE)(R) INDEX IS GENERALLY REPRESENTATIVE OF A SAMPLE OF COMPANIES OF THE
MARKET STRUCTURE OF 20 EUROPEAN AND PACIFIC BASIN COUNTRIES.
THE ABOVE INDICES DO NOT REFLECT THE DEDUCTION OF FEES ASSOCIATED WITH A MUTUAL
FUND SUCH AS INVESTMENT MANAGEMENT AND FUND ACCOUNTING FEES. INVESTORS CANNOT
INVEST DIRECTLY IN AN INDEX, ALTHOUGH THEY CAN INVEST IN ITS UNDERLYING
SECURITIES.
THE RECENT GROWTH RATE IN THE STOCK MARKET HAS HELPED TO PRODUCE SHORT-TERM
RETURNS FOR SOME ASSET CLASSES THAT ARE NOT TYPICAL AND MAY NOT CONTINUE IN THE
FUTURE. BECAUSE OF ONGOING MARKET VOLATILITY, FUND PERFORMANCE MAY BE SUBJECT TO
SUBSTANTIAL SHORT-TERM CHANGES.
4
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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MONEY MARKET FUNDS
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For the six-month period ending January 31, 2010, the persistence of meager
rates throughout the money market universe continued to be heavily influenced by
landmark governmental programs from the U.S. Treasury, the Federal Reserve, and
the current monetary policy of the Federal Reserve's Federal Open Market
Committee (FOMC).
The Federal Reserve's quantitative easing measures had the largest impact on
money market rates during the period. More specifically, the Fed purchased
billions of dollars worth of U.S. Treasury securities, U.S. Government Agency
securities, and U.S. Government Agency Mortgage-backed Securities across the
entire yield curve. The purchases kept money market yields low and led to tight
supplies of high-quality securities, namely corporate commercial paper and
Agency discount notes. As for monetary policy, the FOMC maintained the Federal
Funds target rate at what is called a "target range" of 0.00% to 0.25%
throughout the period and cautiously cited improvements in economic activity
following the lengthy recession.
By the period's end, anxieties had started growing over the scheduled expiration
of the special liquidity facilities and assorted government programs in early
2010. Although the winding down of such programs was designed to ensure a smooth
market transition, many investors fretted over potential mistakes and
evaporating market liquidity. Furthermore, continually improving economic
conditions stoked concerns over an eventual rise in the Federal Funds Target
Rate.
The Fifth Third Funds continued to utilize more traditional, liquid money market
securities such as discount notes issued by the Treasury and Agencies,
commercial paper, and repurchase agreements, as appropriate for our Money Funds.
Additional expenses were voluntarily waived during the period to maintain
competitive yields.
The Fifth Third Institutional Money Market Fund and Fifth Third Prime Money
Market Fund maintained conservative investment styles with an emphasis on
liquidity and high-quality securities. This approach included investments in
highly liquid municipal, U.S. government, and Industrials sector securities, as
well as minimal exposure to Asset-backed commercial paper, brokerage company
notes, and European banking industry securities.
Near the period's close, the U.S. Securities and Exchange Commission approved
new regulations aimed at bolstering the financial stability of money market
funds and reducing systemic risk within the industry. As a result, money market
funds will be required to hold more liquid assets, reduce credit risk, and
increase transparency through administrative and
5
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
operational enhancements. Implementation of the changes will likely be required
later in 2010. The new regulations should have little impact on existing
investment strategies for the Fifth Third Money Market Funds due to the Funds'
conservative investment styles.
DURATION is the weighted average maturity of a bond's cash flow.
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MATURITY COMPOSITION AS OF JANUARY 31, 2010
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Weighted Average Maturity(#)
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-----------------------------
DAYS DAYS
AS OF 1/31/10 AS OF 7/31/09
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Fifth Third Prime Money Market 48 49
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Fifth Third Institutional Money Market 50 54
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Fifth Third Institutional Government Money Market 56 50
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Fifth Third U.S. Treasury Money Market 45 54
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(#)Portfolio composition is subject to change.
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INVESTMENT RISK CONSIDERATIONS
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AN INVESTMENT IN ANY OF THE FUNDS IS NOT INSURED OR GUARANTEED BY THE FDIC OR
ANY GOVERNMENT AGENCY. ALTHOUGH EACH MONEY MARKET FUND SEEKS TO PRESERVE THE
VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY
INVESTING IN A MONEY MARKET FUND.
6
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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MONEY MARKET MATURITY SCHEDULES (AS OF JANUARY 31, 2010)
AS A PERCENTAGE OF VALUE OF INVESTMENTS
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INSTITUTIONAL U.S.
PRIME INSTITUTIONAL GOVERNMENT TREASURY
MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET
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Fewer than 8 Days 63.5% 59.3% 46.1% 63.1%
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8 to 14 Days 3.9% 5.8% 4.6% 2.9%
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15 to 30 Days 3.4% 3.7% 12.4% 2.0%
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31 to 180 Days 20.5% 23.3% 26.9% 23.6%
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181 to 365 Days 8.7% 7.9% 10.0% 8.4%
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366 to 397 Days 0.0% 0.0% 0.0% 0.0%
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7
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
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PRINCIPAL
AMOUNT VALUE
------------ --------------
CORPORATE BONDS (11.0%)
COSMETICS & TOILETRIES (2.0%)
Procter & Gamble Co. (The), 0.44%, 3/9/10 (a) $ 11,500,000 $ 11,504,125
Procter & Gamble International Funding SCA, 0.29%,
2/8/10 (a)(d) 3,500,000 3,500,000
Procter & Gamble International Funding SCA,
0.53%, 2/8/10 (a) 6,300,000 6,300,462
--------------
21,304,587
--------------
DIVERSIFIED FINANCIAL SERVICES (3.5%)
General Electric Capital Corp., 0.73%, 2/1/10 (a)(d) 10,337,000 10,381,229
General Electric Capital Corp., 4.88%, 10/21/10 14,172,000 14,573,993
General Electric Capital Corp., 5.00%, 12/1/10 5,470,000 5,671,264
General Electric Capital Corp., Series A, 4.25%, 12/1/10 6,590,000 6,787,602
--------------
37,414,088
--------------
FINANCE-INVESTMENT BANKER/BROKER (0.9%)
Bear Stearns Cos. LLC (The), 4.50%, 10/28/10 2,161,000 2,221,881
Bear Stearns Cos. LLC (The), 5.85%, 7/19/10 5,000,000 5,118,406
Bear Stearns Cos. LLC (The), Class B, 4.55%, 6/23/10 2,470,000 2,507,526
--------------
9,847,813
--------------
INTEGRATED OIL & GAS (2.0%)
BP Capital Markets PLC, 0.39%, 3/11/10 (a)(d) 15,000,000 15,000,000
BP Capital Markets PLC, 4.88%, 3/15/10 6,500,000 6,531,927
--------------
21,531,927
--------------
MEDICAL INSTRUMENTS (0.9%)
Medtronic, Inc., Series B, 4.38%, 9/15/10 8,860,000 9,066,977
--------------
RETAIL-DISCOUNT (1.2%)
Wal-Mart Stores, Inc., 4.13%, 7/1/10 7,588,000 7,707,023
Wal-Mart Stores, Inc., 4.75%, 8/15/10 5,000,000 5,112,041
--------------
12,819,064
--------------
U.S. GOVERNMENT AGENCIES (0.5%)
Morgan Stanley, 2.90%, 12/1/10 (e) 5,000,000 5,099,897
--------------
TOTAL CORPORATE BONDS 117,084,353
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MUNICIPAL BONDS (0.7%)
MICHIGAN (0.7%)
County of Kent, GO, 2.50%, 4/1/10 7,800,000 7,811,182
--------------
TOTAL MUNICIPAL BONDS 7,811,182
--------------
Continued
8
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
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PRINCIPAL
AMOUNT VALUE
------------ --------------
U.S. GOVERNMENT AGENCIES (16.7%)
FANNIE MAE (1.6%)
0.21%, 2/8/10 (a) $ 10,000,000 $ 10,000,201
3.25%, 8/12/10 6,980,000 7,078,827
--------------
17,079,028
--------------
FEDERAL HOME LOAN BANK (6.3%)
0.24%, 2/19/10 (a) 10,000,000 10,000,675
0.65%, 5/11/10 10,000,000 10,004,143
1.05%, 2/23/10 5,800,000 5,799,958
3.00%, 6/11/10 4,200,000 4,234,871
3.00%, 12/10/10 5,000,000 5,108,298
3.38%, 8/13/10 2,230,000 2,263,200
3.38%, 9/10/10 6,110,000 6,218,897
3.50%, 7/16/10 5,350,000 5,420,800
4.38%, 10/22/10 10,385,000 10,678,702
4.88%, 3/12/10 4,600,000 4,620,150
5.13%, 9/10/10 1,800,000 1,848,205
--------------
66,197,899
--------------
FREDDIE MAC (6.0%)
0.05%, 4/12/10 (a)(d) 14,500,000 14,500,000
0.14%, 2/4/10 (a) 15,000,000 15,000,000
3.13%, 2/4/10 5,000,000 5,000,829
4.13%, 7/12/10 14,553,000 14,780,935
4.88%, 2/9/10 8,833,000 8,840,799
6.88%, 9/15/10 5,000,000 5,202,234
--------------
63,324,797
--------------
STRAIGHT-A FUNDING LLC (2.8%)
0.16%, 3/18/10 **(b) 10,000,000 9,998,000
0.18%, 3/1/10 **(b) 10,000,000 9,998,600
0.20%, 2/2/10 **(b) 10,000,000 9,999,944
--------------
29,996,544
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TOTAL U.S. GOVERNMENT AGENCIES 176,598,268
--------------
U.S. TREASURY OBLIGATIONS (0.5%)
U.S. TREASURY NOTES (0.5%)
2.38%, 8/31/10 5,000,000 5,054,035
--------------
TOTAL U.S. TREASURY OBLIGATIONS 5,054,035
--------------
CERTIFICATES OF DEPOSIT (5.2%)
COMMERCIAL BANKS-CENTRAL U.S. (1.4%)
Bank of Montreal, 0.22%, 4/5/10 15,000,000 15,000,000
--------------
Continued
9
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
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PRINCIPAL
AMOUNT VALUE
------------ --------------
CERTIFICATES OF DEPOSIT, CONTINUED
COMMERCIAL BANKS-EASTERN U.S. (1.4%)
Rabobank Nederland, New York Branch, 0.37%, 5/28/10 $ 15,000,000 $ 15,000,000
--------------
FIDUCIARY BANKS (2.4%)
State Street Corp., 0.20%, 4/6/10 15,000,000 15,000,000
State Street Corp., 0.22%, 2/1/10 ** 10,000,000 10,000,000
--------------
25,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT 55,000,000
--------------
COMMERCIAL PAPER (9.5%)
BEVERAGES-NON ALCOHOLIC (0.5%)
Coca-Cola Co. (The), 0.75%, 6/2/10 **(b) 5,000,000 4,987,396
--------------
COMMERCIAL BANKS-NON U.S. (0.9%)
Societe Generale North America, 0.17%, 2/3/10 ** 9,564,000 9,563,910
--------------
DIVERSIFIED FINANCIAL SERVICES (0.9%)
Rabobank USA Financial Co., 0.32%, 3/10/10 ** 10,000,000 9,996,711
--------------
FINANCE-AUTO LOANS (1.9%)
Toyota Motor Credit, 0.20%, 4/22/10 ** 10,000,000 9,995,556
Toyota Motor Credit, 0.21%, 4/26/10 ** 10,000,000 9,995,100
--------------
19,990,656
--------------
FOOD-MISC/DIVERSIFIED (0.9%)
Nestle Capital Corp., 0.70%, 2/16/10 **(b) 10,000,000 9,997,083
--------------
MEDICAL-HOSPITALS (0.6%)
Essentia Health, 0.40%, 2/12/10
(LOC: Wells Fargo & Co.) ** 6,515,000 6,514,204
--------------
OIL COMPANY-INTEGRATED (0.9%)
Total Fina Elf SA, 0.14%, 2/5/10 **(b) 9,200,000 9,199,857
--------------
POLLUTION (0.9%)
California Pollution Control Financing Authority,
0.29%, 4/5/10 (LOC: BP Amoco) 5,875,000 5,875,000
California Pollution Control Financing Authority,
0.29%, 4/8/10 (LOC: BP Amoco) 3,250,000 3,250,000
--------------
9,125,000
--------------
SCHOOLS (1.4%)
University of Michigan, 0.18%, 2/3/10 7,680,000 7,680,000
University of Michigan, 0.22%, 3/9/10 7,500,000 7,500,000
--------------
15,180,000
--------------
Continued
10
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
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PRINCIPAL
AMOUNT VALUE
------------ --------------
COMMERCIAL PAPER, CONTINUED
U.S. MUNICIPALS (0.6%)
Walnut Energy Center Authority, 0.23%, 2/9/10
(LOC: State Street Corp.) ** $ 6,000,000 $ 5,999,693
--------------
TOTAL COMMERCIAL PAPER 100,554,510
--------------
DEMAND NOTES (8.7%)
COMMERCIAL SERVICES (0.9%)
World Wildlife Fund, 0.26%, 2/4/10,
(LOC: JP Morgan, Inc.) (a)(d) 9,780,000 9,780,000
--------------
DIVERSIFIED FINANCIAL SERVICES (0.4%)
Harry W. Albright Jr., Series 1996, 0.96%, 2/4/10,
(LOC: Bank of America) (a)(d) 4,700,000 4,700,000
--------------
FINANCE-OTHER SERVICES (0.8%)
Mortgage Bankers Association of America, 0.23%, 2/1/10,
(LOC: PNC Bank NA) (a)(d) 8,000,000 8,000,000
--------------
REVENUE BONDS (0.7%)
Metrodev Newark LLC, 0.35%, 2/4/10,
(LOC: PNC Bank NA) (a)(d) 7,900,000 7,900,000
--------------
SPECIAL PURPOSE ENTITY (5.9%)
Capital One Funding Corp., Series 1996-H, 0.55%, 2/4/10,
(LOC: JP Morgan, Inc.) (a)(b)(d) 282,000 282,000
Capital One Funding Corp., Series 1997-D, 0.40%, 2/4/10,
(LOC: JP Morgan, Inc.) (a)(b)(d) 401,000 401,000
Capital One Funding Corp., Series 2001-C, 0.40%, 2/4/10,
(LOC: JP Morgan, Inc.) (a)(d) 1,072,000 1,072,000
Clare at Water Tower (The), Series 2005, 0.25%, 2/4/10,
(LOC: Bank of America) (a)(d) 12,500,000 12,500,000
Doctors Park LLP, 0.36%, 2/4/10,
(LOC: US Bancorp) (a)(d) 9,045,000 9,045,000
Erickson Foundation, Inc. (The), 0.25%, 2/4/10,
(LOC: FHLB) (a)(d) 15,000,000 15,000,000
First Church of God Vancouver, 1.23%, 2/4/10,
(LOC: US Bancorp) (a)(d) 865,000 865,000
Landmark Medical LLC, Series 2000, 0.60%, 2/4/10,
(LOC: JP Morgan, Inc.) (a)(d) 5,580,000 5,580,000
New Belgium Brewing Co., Inc., Series 2000, 0.28%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(d) 1,295,000 1,295,000
Rush Medical Foundation, 0.26%, 2/5/10
(LOC: U.S. Bancorp) (a)(d) 5,400,000 5,400,000
Saddleback Valley Community Church, 0.22%, 2/4/10,
(LOC: FHLB) (a)(d) 9,850,000 9,850,000
Continued
11
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
DEMAND NOTES, CONTINUED
SPECIAL PURPOSE ENTITY, CONTINUED
SGS Tool Co., Series 1999, 0.43%, 2/4/10,
(LOC: JP Morgan, Inc.) (a)(d) $ 725,000 $ 725,000
--------------
62,015,000
--------------
TOTAL DEMAND NOTES 92,395,000
--------------
MUNICIPAL DEMAND NOTES (31.2%)
ALASKA (1.4%)
Borough of North Slope, BP Exploration Alaska Project,
AMT, 0.18%, 2/1/10, (LOC: BP Amoco) (a)(d) 15,000,000 15,000,000
--------------
CALIFORNIA (5.0%)
Abag Finance Authority for Nonprofit Corps.,
YMCA of San Francisco, Series A, 0.20%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(d) 8,375,000 8,375,000
County of Riverside, CP, 0.27%, 2/3/10,
(LOC: State Street Corp.) (a)(d) 5,900,000 5,900,000
County of Sacramento, Pensions, Series C, 0.27%, 2/3/10,
(LOC: Bayerische Landesbank) (a)(d) 32,430,000 32,430,000
Economic Recovery Bonds, Series C-11, GO, 0.12%, 2/3/10,
(LOC: BNP Paribas) (a)(d) 5,700,000 5,700,000
--------------
52,405,000
--------------
COLORADO (1.3%)
Housing & Finance Authority,
Single Family Mortgage Bonds, Series A1,
0.28%, 2/3/10, (LOC: FNMA/FHLMC) (a)(d) 5,000,000 5,000,000
Housing & Finance Authority, Single Family Mortgage Bonds,
Series I-B1, 0.21%, 2/3/10,
(LOC: FNMA/FHLMC) (a)(d) 7,000,000 7,000,000
Pueblo Housing Authority, 0.28%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(b)(d) 1,400,000 1,400,000
--------------
13,400,000
--------------
DISTRICT OF COLUMBIA (0.2%)
District of Columbia, Pew Charitables Trust,
Series B, 0.23%, 2/4/10, (LOC: PNC Bank NA) (a)(d) 2,000,000 2,000,000
--------------
FLORIDA (1.0%)
Municipal Power Agency, All Required Project,
Series D, 0.26%, 2/4/10, (LOC: Bank of America) (a)(d) 10,000,000 10,000,000
--------------
Continued
12
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
GEORGIA (3.2%)
Bartow County Development Authority, Georgia Power Co.
Plant Bowen Project, 0.18%, 2/1/10,
(LOC: Georgia Power) (a)(d) $ 6,000,000 $ 6,000,000
Burke County Development Authority, Georgia Power Co.
Plant Vogtle Project, 0.16%, 2/1/10,
(LOC: Georgia Power) (a)(d) 8,900,000 8,900,000
Heard County Development Authority, Georgia Power Co.
Plant Wansley Project, 0.16%, 2/1/10,
(LOC: Georgia Power) (a)(d) 8,700,000 8,700,000
Savannah College of Art & Design, Inc.,
Series 2004 BD, 0.29%, 2/4/10,
(LOC: Bank of America) (a)(d) 10,238,000 10,238,000
--------------
33,838,000
--------------
ILLINOIS (1.9%)
County of Will, Exxon Mobil Project, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 6,815,000 6,815,000
Finance Authority, Art Institute of Chicago,
Series B-2, 0.25%, 2/3/10,
(LOC: Northern Trust Corp.) (a)(d) 2,810,000 2,810,000
Finance Authority, Deklab LLC, Series B, 0.34%, 2/4/10,
(LOC: Banco Santander, SA) (a)(d) 515,000 515,000
Finance Authority, Fairview Ministries, Inc.,
Series D, 0.25%, 2/4/10,
(LOC: Bank of America) (a)(d) 4,455,000 4,455,000
Finance Authority, Franciscan Communities,
Series B, 0.20%, 2/4/10,
(LOC: Bank of America) (a)(d) 5,870,000 5,870,000
--------------
20,465,000
--------------
INDIANA (0.2%)
Finance Authority, Haven Hubbard Homes, Inc.,
Series B, 0.25%, 2/4/10,
(LOC: Bank of America) (a)(d) 2,100,000 2,100,000
--------------
IOWA (0.5%)
Dallas County Industrial Development,
Sioux City Brick and Tile, Series B, 0.28%, 2/4/10,
(LOC: U.S. Bancorp) (a)(d) 4,850,000 4,850,000
--------------
KENTUCKY (2.5%)
Louisville & Jefferson County Regional Airport Authority,
Series A, AMT, 0.16%, 2/1/10,
(LOC: United Parcel Service, Inc.) (a)(d) 26,800,000 26,800,000
--------------
Continued
13
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
MARYLAND (0.8%)
Health & Higher Educational Facilities Authority,
Adventist Healthcare, Series B, 0.25%, 2/4/10,
(LOC: Deutsche Bank) (a)(d) $ 7,990,000 $ 7,990,000
--------------
MICHIGAN (1.1%)
University of Michigan, 0.17%, 2/4/10,
(LOC: University of Michigan) (a)(d) 11,845,000 11,845,000
--------------
MISSISSIPPI (1.7%)
Business Finance Corp., Chevron USA, Inc. Project,
Series C, 0.18%, 2/1/10, (LOC: Chevron) (a)(d) 9,900,000 9,900,000
Business Finance Corp., Chevron USA, Inc. Project,
Series G, 0.16%, 2/1/10, (LOC: Chevron) (a)(d) 8,000,000 8,000,000
--------------
17,900,000
--------------
NEW MEXICO (0.1%)
City of Portales, Portales LLC Project at Eastern New
Mexico University, Series B, 0.34%, 2/4/10,
(LOC: Banco Santander, SA) (a)(d) 300,000 300,000
City of Roswell, Series B, 0.34%, 2/4/10,
(LOC: Banco Santander, SA) (a)(d) 270,000 270,000
--------------
570,000
--------------
NEW YORK (0.1%)
Albany Industrial Development Agency,
Living Resources Corp. Project, Series B, 0.38%, 2/4/10,
(LOC: HSBC Holdings PLC) (a)(d) 405,000 405,000
--------------
OHIO (1.5%)
Cleveland-Cuyahoga County Port Authority,
Science Park LLC, Series B, 0.60%, 2/4/10,
(LOC: KeyBank NA) (a)(d) 12,295,000 12,295,000
County of Cuyahoga, Eliza Jennings, Series C,
0.50%, 2/4/10, (LOC: Banco Santander, SA) (a)(d) 740,000 740,000
State Higher Educational Facility Commission,
Kenyon College Project, 0.20%, 2/1/10,
(LOC: Northern Trust Corp.) (a)(d) 3,000,000 3,000,000
--------------
16,035,000
--------------
PENNSYLVANIA (1.4%)
Blair County Industrial Development Authority,
0.23%, 2/4/10, (LOC: PNC Bank NA) (a)(d) 5,000,000 5,000,000
Continued
14
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
PENNSYLVANIA, CONTINUED
Economic Development Financing Authority,
Delancy Corp. Project, Series C, 0.25%, 2/4/10,
(LOC: PNC Bank NA)(a)(d) $ 930,000 $ 930,000
Pittsburgh Water & Sewer Authority, Series B2,
0.20%, 2/4/10, (LOC: PNC Bank NA) (a)(d) 8,745,000 8,745,000
--------------
14,675,000
--------------
TEXAS (3.3%)
Gulf Coast Waste Disposal Authority, Exxon Mobil Project,
Series B, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 5,550,000 5,550,000
Lower Neches Valley Authority Industrial Development Corp.,
ExxonMobil Project, Series B, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 30,000,000 30,000,000
--------------
35,550,000
--------------
UTAH (2.4%)
Telecommunication Open Infrastructure Agency,
0.33%, 2/4/10, (LOC: FHLB) (a)(d) 25,000,000 25,000,000
--------------
WASHINGTON (1.4%)
State Housing Finance Commission, Multi-Family,
Country Club Apartments, Series A, AMT,
0.22%, 2/1/10, (LOC: U.S. Bancorp) (a)(d) 5,620,000 5,620,000
State Housing Finance Commission, Multi-Family,
Monticello Park Project, Series B,
0.30%, 2/4/10, (LOC: FNMA) (a)(d) 3,460,000 3,460,000
State Housing Finance Commission, Skyline At First,
Series D, 0.25%, 2/4/10, (LOC: Bank of America) (a)(d) 5,370,000 5,370,000
--------------
14,450,000
--------------
WISCONSIN (0.2%)
City of Whitewater, Husco International, Inc. Project, AMT,
0.20%, 2/3/10, (LOC: JP Morgan, Inc.) (a)(d) 2,300,000 2,300,000
--------------
TOTAL MUNICIPAL DEMAND NOTES 327,578,000
--------------
SHARES
------------
MONEY MARKETS (4.9%)
AIM STIT Liquid Assets Portfolio (c) 43,717,490 43,717,490
Goldman Sachs Financial Square Prime Obligations Fund (c) 8,189,341 8,189,341
--------------
TOTAL MONEY MARKETS 51,906,831
--------------
Continued
15
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
REPURCHASE AGREEMENTS (11.4%)
Barclays PLC, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $55,000,458, Collateralized by
U.S. Treasury Security, 6.50%, 11/15/26,
value $56,100,008) $ 55,000,000 $ 55,000,000
Deutsche Bank, 0.11%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $50,000,458, Collateralized by
Federal Farm Credit Bank Issues, 2.48%-2.75%,
10/28/13-6/2/14 value $51,000,768) 50,000,000 50,000,000
UBS Investment Bank, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $15,912,133, Collateralized by
various U.S. Government Agency Securities,
0.00%-2.00%, 11/25/11-12/23/19, value $16,232,506) 15,912,000 15,912,000
--------------
TOTAL REPURCHASE AGREEMENTS 120,912,000
--------------
TOTAL INVESTMENTS (COST $1,054,894,179)(+) - 99.8% 1,054,894,179
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% 2,219,383
--------------
NET ASSETS - 100.0% $1,057,113,562
==============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund/portfolio.
(d) Maturity date is next rate reset date.
(e) FDIC guaranteed through Treasury Liquidity Guarantee Program.
The following abbreviations are used in the Schedule of Investments:
AMT - Alternative Minimum Tax Paper
CP - Certificate of Participation
FHLB - Federal Home Loan Bank
FNMA - Federal National Mortgage Association
GO - General Obligation
LOC - Letter of Credit
See notes to schedules of investments and notes to financial statements.
16
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CORPORATE BONDS (9.4%)
COSMETICS & TOILETRIES (2.3%)
Procter & Gamble Co. (The), 0.44%, 3/9/10 (a) $ 25,000,000 $ 25,008,967
Procter & Gamble International Funding SCA,
0.29%, 2/8/10 (a)(d) 15,000,000 15,004,318
Procter & Gamble International Funding SCA,
0.53%, 2/8/10 (a) 25,000,000 25,001,835
---------------
65,015,120
---------------
DIVERSIFIED FINANCIAL SERVICES (3.0%)
General Electric Capital Corp., 0.28%, 2/1/10 (a)(d) 15,000,000 14,962,698
General Electric Capital Corp., 4.88%, 10/21/10 38,000,000 39,043,660
General Electric Capital Corp., Series A, 4.25%, 9/13/10 14,600,000 14,911,079
General Electric Capital Corp., Series A, 4.25%, 12/1/10 14,580,000 15,020,622
---------------
83,938,059
---------------
FIDUCIARY BANKS (0.1%)
Bank of New York Mellon Corp. (The), 0.68%, 2/5/10 (a) 3,900,000 3,899,721
---------------
FINANCE-INVESTMENT BANKER/BROKER (1.7%)
Bear Stearns Cos. LLC (The), 4.50%, 10/28/10 15,000,000 15,420,859
Bear Stearns Cos. LLC (The), 5.85%, 7/19/10 20,000,000 20,473,624
Bear Stearns Cos. LLC (The), Class B, 4.55%, 6/23/10 10,518,000 10,679,665
---------------
46,574,148
---------------
INTEGRATED OIL & GAS (1.4%)
BP Capital Markets PLC, 0.39%, 3/11/10 (a)(d) 35,000,000 35,000,000
BP Capital Markets PLC, 4.88%, 3/15/10 3,000,000 3,011,908
---------------
38,011,908
---------------
U.S. GOVERNMENT AGENCIES (0.9%)
Morgan Stanley, 2.90%, 12/1/10 (e) 25,000,000 25,499,483
---------------
TOTAL CORPORATE BONDS 262,938,439
---------------
MORTGAGE-BACKED SECURITIES (0.3%)
CMBS OTHER (0.3%)
Freddie Mac, 0.40%, 2/4/10 (a)(d) 7,393,494 7,393,494
---------------
TOTAL MORTGAGE-BACKED SECURITIES 7,393,494
---------------
MUNICIPAL BONDS (0.6%)
MICHIGAN (0.6%)
County of Kent, GO, 2.50%, 4/1/10 16,500,000 16,523,655
---------------
TOTAL MUNICIPAL BONDS 16,523,655
---------------
Continued
17
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
U.S. GOVERNMENT AGENCIES (16.4%)
FANNIE MAE (1.6%)
0.21%, 2/8/10 (a) $ 15,000,000 $ 15,000,301
2.88%, 10/12/10 15,335,000 15,593,560
3.25%, 8/12/10 15,000,000 15,212,380
---------------
45,806,241
---------------
FEDERAL HOME LOAN BANK (6.1%)
0.24%, 2/19/10 (a) 20,000,000 20,001,349
0.65%, 5/11/10 25,000,000 25,010,359
1.05%, 2/23/10 10,000,000 9,999,927
2.38%, 4/30/10 4,950,000 4,967,373
3.00%, 6/11/10 10,000,000 10,083,025
3.00%, 12/10/10 15,000,000 15,324,895
3.50%, 7/16/10 14,000,000 14,185,271
4.13%, 8/13/10 5,025,000 5,118,023
4.25%, 6/11/10 22,600,000 22,896,495
4.88%, 5/14/10 10,000,000 10,122,797
5.00%, 3/12/10 23,270,000 23,377,788
5.13%, 9/10/10 4,600,000 4,723,190
5.25%, 6/11/10 6,200,000 6,303,347
---------------
172,113,839
---------------
FREDDIE MAC (6.4%)
0.05%, 4/12/10 (a)(d) 35,000,000 35,000,000
0.14%, 2/4/10 (a) 25,000,000 25,000,000
3.13%, 2/4/10 10,000,000 10,001,658
3.13%, 2/12/10 10,000,000 10,007,897
4.13%, 7/12/10 38,000,000 38,592,322
4.88%, 2/9/10 40,000,000 40,036,737
5.00%, 10/18/10 9,825,000 10,143,693
6.88%, 9/15/10 10,000,000 10,404,468
---------------
179,186,775
---------------
STRAIGHT-A FUNDING LLC (2.3%)
0.18%, 3/1/10 **(b) 45,252,000 45,245,665
0.20%, 2/2/10 **(b) 20,000,000 19,999,889
---------------
65,245,554
---------------
TOTAL U.S. GOVERNMENT AGENCIES 462,352,409
---------------
U.S. TREASURY OBLIGATIONS (0.4%)
U.S. TREASURY NOTES (0.4%)
2.38%, 8/31/10 10,000,000 10,108,069
---------------
TOTAL U.S. TREASURY OBLIGATIONS 10,108,069
---------------
Continued
18
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CERTIFICATES OF DEPOSIT (6.4%)
COMMERCIAL BANKS-CENTRAL U.S. (1.3%)
Bank of Montreal, 0.22%, 4/5/10 $ 35,000,000 $ 35,000,000
---------------
COMMERCIAL BANKS-EASTERN U.S. (3.0%)
Rabobank Nederland, New York Branch, 0.36%, 9/7/10 25,000,000 25,001,494
Rabobank Nederland, New York Branch, 0.37%, 5/28/10 35,000,000 35,000,000
Rabobank Nederland, New York Branch, 0.50%, 4/21/10 25,000,000 25,002,735
---------------
85,004,229
---------------
FIDUCIARY BANKS (2.2%)
State Street Corp., 0.20%, 4/6/10 35,000,000 35,000,000
State Street Corp., 0.22%, 2/1/10 ** 25,000,000 25,000,000
---------------
60,000,000
---------------
TOTAL CERTIFICATES OF DEPOSIT 180,004,229
---------------
COMMERCIAL PAPER (14.2%)
BEVERAGES-NON ALCOHOLIC (1.8%)
Coca-Cola Co. (The), 0.20%, 4/13/10 **(b) 20,000,000 19,992,111
Coca-Cola Co. (The), 0.25%, 6/10/10 **(b) 20,500,000 20,481,635
Coca-Cola Co. (The), 0.75%, 6/2/10 **(b) 10,000,000 9,974,792
---------------
50,448,538
---------------
COMMERCIAL BANKS-NON U.S. (0.5%)
Societe Generale North America, 0.17%, 2/3/10 ** 15,000,000 14,999,858
---------------
DIVERSIFIED FINANCIAL SERVICES (0.9%)
Rabobank USA Financial Co., 0.32%, 3/10/10 ** 25,000,000 24,991,778
---------------
FINANCE-AUTO LOANS (2.7%)
Toyota Motor Credit, 0.19%, 2/10/10 ** 25,000,000 24,998,812
Toyota Motor Credit, 0.20%, 4/22/10 ** 25,000,000 24,988,889
Toyota Motor Credit, 0.21%, 4/26/10 ** 25,000,000 24,987,750
---------------
74,975,451
---------------
FOOD-MISC/DIVERSIFIED (0.7%)
Nestle Capital Corp., 0.70%, 2/16/10 **(b) 20,000,000 19,994,167
---------------
OIL COMPANY-INTEGRATED (2.1%)
MEDICAL-HOSPITALS (0.6%)
Essentia Health, 0.40%, 2/12/10 ** (LOC: Wells Fargo & Co.) 18,000,000 17,997,800
Mississippi Business Finance Corp., 0.25%, 6/8/10,
(LOC: British Petroleum) 8,100,000 8,100,000
Total Fina Elf SA, 0.14%, 2/4/10 **(b) 50,000,000 49,999,417
---------------
76,097,217
---------------
Continued
19
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
COMMERCIAL PAPER, CONTINUED
POLLUTION (0.6%)
California Pollution Control Financing Authority,
0.29%, 4/5/10 (LOC: BP Amoco) $ 17,625,000 $ 17,625,000
---------------
SCHOOLS (1.1%)
University of Michigan, 0.18%, 2/3/10 25,000,000 25,000,000
University of Michigan, 0.22%, 3/2/10 6,435,000 6,435,000
---------------
31,435,000
---------------
U.S. MUNICIPALS (3.1%)
Massachusetts Water Resources Authority, 0.19%, 4/1/10 34,000,000 34,000,000
Massachusetts Water Resources Authority, 0.27%, 3/8/10 28,000,000 28,000,000
Texas Public Financing Authority, 0.30%, 4/8/10 8,450,000 8,450,000
Walnut Energy Center Authority, 0.23%, 2/9/10
(LOC: State Street Corp.) ** 15,000,000 14,999,233
---------------
85,449,233
---------------
TOTAL COMMERCIAL PAPER 396,016,242
---------------
DEMAND NOTES (4.5%)
BUILDING PRODUCTION-CEMENT/AGGREGATE (0.8%)
Sioux City Brick & Tile Co., 0.26%, 2/4/10,
(LOC: US Bancorp) (a)(b)(d) 23,450,000 23,450,000
---------------
FINANCE-OTHER SERVICES (1.7%)
Lexington Financial Services LLC, 0.25%, 2/4/10,
(LOC: Bank of America) (a)(d) 29,335,000 29,335,000
Mortgage Bankers Association of America, 0.23%, 2/1/10,
(LOC: PNC Bank NA) (a)(d) 17,000,000 17,000,000
---------------
46,335,000
---------------
SPECIAL PURPOSE ENTITY (2.0%)
Corporate Finance Managers, Inc., 0.23%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(d) 12,220,000 12,220,000
Erickson Foundation, Inc. (The), 0.25%, 2/4/10,
(LOC: FHLB) (a)(d) 25,000,000 25,000,000
Gulf Gate Apartments, Series 2003, 0.23%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(b)(d) 7,295,000 7,295,000
Pershing Drive Associates L.P., 0.35%, 2/4/10,
(LOC: Royal Bank of Canada) (a)(d) 11,235,000 11,235,000
---------------
55,750,000
---------------
TOTAL DEMAND NOTES 125,535,000
---------------
Continued
20
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
MUNICIPAL DEMAND NOTES (36.3%)
ALABAMA (0.4%)
Mobile Industrial Development Board, Alabama Power
Co. Barry Plant Project, 0.18%, 2/1/10,
(LOC: Alabama Power) (a)(d) $ 12,750,000 $ 12,750,000
---------------
ALASKA (1.4%)
Borough of North Slope, BP Exploration Alaska Project, AMT,
0.18% 2/1/10, (LOC: BP Amoco) (a)(d) 40,000,000 40,000,000
---------------
ARIZONA (0.4%)
Glendale Industrial Development Authority, Thunderbird,
Garvin School, Series B, 0.20%, 2/4/10,
(LOC: Bank of New York Co., Inc.) (a)(d) 11,465,000 11,465,000
---------------
CALIFORNIA (3.8%)
County of Sacramento, Pensions, Series B, 0.27%, 2/3/10,
(LOC: Bayerische Landesbank) (a)(d) 51,300,000 51,300,000
County of Sacramento, Pensions, Series C, 0.27%, 2/3/10,
(LOC: Bayerische Landesbank) (a)(d) 21,010,000 21,010,000
Economic Recovery Bonds, Series C-11, GO, 0.12%, 2/3/10,
(LOC: BNP Paribas) (a)(d) 15,600,000 15,600,000
Housing Finance Agency, Housing Program Bonds, Series B,
0.23%, 2/3/10, (LOC: FNMA/FHLMC) (a)(d) 10,000,000 10,000,000
Kern Water Bank Authority, Series B, 0.23%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(d) 3,931,000 3,931,000
Sacramento County Housing Authority, Multi-Family, Natomas
Park Apartments, Series B, 0.30%, 2/4/10, (LOC: FNMA) (a)(d) 1,115,000 1,115,000
Statewide Communities Development Authority, Multi-Family
Housing, Series X-T, 0.33%, 2/4/10, (LOC: FNMA) (a)(d) 500,000 500,000
Statewide Communities Development Authority, Multi-Family,
Valley Palms Apartments, Series C-T, 0.33%, 2/4/10,
(LOC: FNMA) (a)(d) 1,860,000 1,860,000
---------------
105,316,000
---------------
COLORADO (0.7%)
Housing & Finance Authority, Single Family Mortgage Bonds,
Series I, 0.28%, 2/3/10, (LOC: FNMA/FHLMC) (a)(d) 6,430,000 6,430,000
Housing & Finance Authority, Single Family Mortgage Bonds,
Series I-B2, 0.21%, 2/3/10, (LOC: FNMA/FHLMC) (a)(d) 13,160,000 13,160,000
---------------
19,590,000
---------------
DISTRICT OF COLUMBIA (1.0%)
District of Columbia, Georgetown University, Series B-2,
0.16%, 2/4/10, (LOC: JP Morgan, Inc.) (a)(d) 13,280,000 13,280,000
District of Columbia, Georgetown University, Series C,
0.16%, 2/4/10, (LOC: TD Bank N.A.) (a)(d) 15,000,000 15,000,000
---------------
28,280,000
---------------
Continued
21
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
MUNICIPAL DEMAND NOTES, CONTINUED
FLORIDA (1.5%)
Municipal Power Agency, All Required Project, Series D,
0.26%, 2/4/10, (LOC: Bank of America) (a)(d) $ 32,295,000 $ 32,295,000
University South Florida Research Foundation, Inc., Series C,
0.25%, 2/3/10, (LOC: Bank of America) (a)(d) 9,800,000 9,800,000
---------------
42,095,000
---------------
GEORGIA (2.7%)
Augusta Housing Authority, Westbury Creek Apartments,
Series B, 0.40%, 2/3/10, (LOC: FNMA) (a)(d) 500,000 500,000
Bartow County Development Authority, Georgia Power Co.
Plant Bowen Project, 0.18%, 2/1/10,
(LOC: Georgia Power) (a)(d) 22,000,000 22,000,000
Burke County Development Authority, Georgia Power Co.
Plant Vogtle Project, 0.16%, 2/1/10,
(LOC: Georgia Power) (a)(d) 20,000,000 20,000,000
Heard County Development Authority, Georgia Power Co.
Plant Wansley Project, 0.16%, 2/1/10,
(LOC: Georgia Power) (a)(d) 25,000,000 25,000,000
Winder-Barrow County Joint Development Authority,
Republic Services, Inc. Project, 0.18%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(d) 8,800,000 8,800,000
---------------
76,300,000
---------------
ILLINOIS (1.9%)
County of Will, Exxon Mobil Project, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 20,000,000 20,000,000
Finance Authority, Art Institute of Chicago, Series B-1,
0.25%, 2/3/10, (LOC: JP Morgan, Inc.) (a)(d) 5,150,000 5,150,000
Finance Authority, Commonwealth Edison Co. Project,
Series F, 0.20%, 2/3/10, (LOC: JP Morgan, Inc.) (a)(d) 10,100,000 10,100,000
Finance Authority, Fairview Village, Series E, 0.25%, 2/4/10,
(LOC: Bank of America) (a)(d) 6,135,000 6,135,000
Finance Authority, Franciscan Communities, Series B, 0.20%,
2/4/10, (LOC: Bank of America) (a)(d) 11,830,000 11,830,000
---------------
53,215,000
---------------
INDIANA (1.5%)
City of Indianapolis Development, Multi-Family Housing,
Pedcor Investments, Series B, 0.90%, 2/4/10,
(LOC: FHLB) (a)(d) 951,000 951,000
County of Vigo, Republic Services, Inc. Project, AMT, 0.28%,
2/3/10, (LOC: Wells Fargo & Co.) (a)(d) 10,000,000 10,000,000
Health Facility Financing Authority, Community Foundation
of Northwest Indiana, Series B, 0.25%, 2/4/10,
(LOC: Bank of Montreal) (a)(d) 20,580,000 20,580,000
Continued
22
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
MUNICIPAL DEMAND NOTES, CONTINUED
INDIANA, CONTINUED
Terre Haute, Westminister Village, Series B, 0.25%, 2/4/10,
(LOC: Banco Santander, SA) (a)(d) $ 9,300,000 $ 9,300,000
--------------
40,831,000
--------------
KENTUCKY (1.3%)
County of Boone, Northern Kentucky University Metropolitan
Education and Training Services Center Project, 0.41%,
2/4/10, (LOC: U.S. Bancorp) (a)(d) 4,660,000 4,660,000
Louisville & Jefferson County Regional Airport Authority,
Series A, AMT, 0.16%, 2/1/10 (LOC: United Parcel
Service, Inc.) (a)(d) 22,000,000 22,000,000
Louisville & Jefferson County Regional Airport Authority,
Series C, AMT, 0.19%, 2/1/10, (LOC: United Parcel
Service, Inc.) (a)(d) 11,200,000 11,200,000
--------------
37,860,000
--------------
MARYLAND (1.3%)
Health & Higher Educational Facilities Authority,
Adventist Healthcare, Series B, 0.25%, 2/4/10,
(LOC: Deutsche Bank) (a)(d) 21,995,000 21,995,000
Health & Higher Educational Facilities Authority,
Charlestown Community, Series B, 0.25%, 2/3/10,
(LOC: Bank of America) (a)(d) 14,500,000 14,500,000
--------------
36,495,000
--------------
MASSACHUSETTS (0.9%)
Development Finance Agency, Briarwood, Series B,
0.25%, 2/4/10, (LOC: Banco Santander, SA) (a)(d) 8,650,000 8,650,000
Simmons College, 0.22%, 2/4/10, (LOC: JP Morgan, Inc.) (a)(d) 17,260,000 17,260,000
--------------
25,910,000
--------------
MICHIGAN (2.3%)
Charter Township of Canton, GO, 2.75%, 2/3/10,
(LOC: Comerica Bank) (a)(d) 1,000,000 1,000,000
Charter Township of Ypsilanti, Capital Improvements,
Series B, GO, 2.75%, 2/3/10, (LOC: Comerica Bank) (a)(d) 2,280,000 2,280,000
University of Michigan, 0.17%, 2/4/10,
(LOC: University of Michigan) (a)(d) 33,000,000 33,000,000
University of Michigan, Series A, 0.16%, 2/1/10,
(LOC: University of Michigan) (a)(d) 27,450,000 27,450,000
--------------
63,730,000
--------------
Continued
23
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
MUNICIPAL DEMAND NOTES, CONTINUED
MINNESOTA (0.8%)
City of Plymouth, Carlson Center Project, 0.31%, 2/4/10,
(LOC: U.S. Bancorp) (a)(d) $ 600,000 $ 600,000
City of St Paul, 0.23%, 2/4/10, (LOC: U.S. Bancorp) (a)(d) 12,100,000 12,100,000
Office of Higher Education, Supplemental Student Loan,
Series A, 0.30%, 2/4/10, (LOC: U.S. Bancorp) (a)(d) 10,000,000 10,000,000
---------------
22,700,000
---------------
MISSISSIPPI (3.1%)
Business Finance Corp., Chevron USA, Inc. Project, Series C,
0.18%, 2/1/10, (LOC: Chevron) (a)(d) 35,050,000 35,050,000
Business Finance Corp., Chevron USA, Inc. Project, Series E,
0.19%, 2/1/10, (LOC: Chevron) (a)(d) 26,500,000 26,500,000
Business Finance Corp., Chevron USA, Inc. Project, Series G,
0.16%, 2/1/10, (LOC: Chevron) (a)(d) 26,000,000 26,000,000
---------------
87,550,000
---------------
NEW MEXICO (0.2%)
City of Albuquerque Industrial, KTECH Corp. Project, 0.28%,
2/4/10, (LOC: Wells Fargo & Co.) (a)(d) 4,045,000 4,045,000
City of Albuquerque Industrial, KTECH Corp. Project, 0.28%,
2/4/10, (LOC: Wells Fargo & Co.) (a)(d) 1,420,000 1,420,000
---------------
5,465,000
---------------
NEW YORK (0.1%)
Environmental Facilities Corp., Waste Management, Inc. Project,
Series B, AMT, 0.20%, 2/4/10, (LOC: JP Morgan, Inc.) (a)(d) 2,200,000 2,200,000
---------------
OHIO (1.9%)
Air Quality Development Authority, AK Steel Project, Series B,
0.25%, 2/3/10 (LOC: Royal Bank of Scotland) (a)(d) 26,000,000 26,000,000
City of Cleveland, Airport System, Series B, 0.25%, 2/4/10,
(LOC: U.S. Bancorp) (a)(d) 4,650,000 4,650,000
County of Cuyahoga Health Care Facilities,
Franciscan Communities, Series F, 0.20%, 2/4/10,
(LOC: Bank of America) (a)(d) 1,250,000 1,250,000
Ohio State University General Receipts, 0.16%, 2/5/10,
(LOC: Ohio State University) (a)(d) 19,600,000 19,600,000
---------------
51,500,000
---------------
PENNSYLVANIA (1.6%)
Berks County Municipal Authority, Phoebe-Devitt
Homes Project, Series C, 0.25%, 2/4/10,
(LOC: Banco Santander, SA) (a)(d) 2,710,000 2,710,000
Continued
24
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
MUNICIPAL DEMAND NOTES, CONTINUED
PENNSYLVANIA, CONTINUED
Blair County Industrial Development Authority,
0.23%, 2/4/10, (LOC: PNC Bank NA) (a)(d) $ 9,000,000 $ 9,000,000
Delaware County Industrial Development Authority,
0.16%, 2/1/10, (LOC: United Parcel Service, Inc.) (a)(d) 33,370,000 33,370,000
---------------
45,080,000
---------------
SOUTH CAROLINA (1.2%)
Jobs-Economic Development Authority,
Republic Services, Inc. Project, 0.18%, 2/4/10,
(LOC: Wells Fargo & Co.) (a)(d) 6,750,000 6,750,000
Jobs-Economic Development Authority, University Medical
Associations Refinance Project, 0.20%, 2/1/10,
(LOC: Wachovia Corp.) (a)(b)(d) 28,100,000 28,100,000
---------------
34,850,000
---------------
TEXAS (5.3%)
Gulf Coast Waste Disposal Authority, Amoco Oil Co. Project,
AMT, 0.20%, 2/1/10, (LOC: BP Amoco) (a)(d) 25,000,000 25,000,000
Gulf Coast Waste Disposal Authority, Exxon Mobil Project,
AMT, 0.18%, 2/1/10, (LOC: Exxon Mobil Corp.) (a)(d) 24,500,000 24,500,000
Gulf Coast Waste Disposal Authority, Exxon Mobil Project,
Series B, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 19,400,000 19,400,000
Lower Neches Valley Authority Industrial Development Corp.,
ExxonMobil Project, Series B, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 50,455,000 50,455,000
Lower Neches Valley Authority Industrial Development Corp.,
ExxonMobil Project, Series B-4, AMT, 0.20%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 10,330,000 10,330,000
Lower Neches Valley Authority Industrial Development Corp.,
Mobil Oil Refining Corp. Project, AMT, 0.18%, 2/1/10,
(LOC: Exxon Mobil Corp.) (a)(d) 13,300,000 13,300,000
Veterans Housing Assistance Program, Series A-2, GO,
0.22%, 2/3/10, (LOC: JP Morgan, Inc.) (a)(d) 5,000,000 5,000,000
---------------
147,985,000
---------------
UTAH (0.1%)
Telecommunication Open Infrastructure Agency,
0.33%, 2/4/10, (LOC: FHLB) (a)(d) 2,000,000 2,000,000
---------------
VIRGINIA (0.3%)
Alexandria Industrial Development Authority, American
Academy of Otolaryngology, Series A, 0.26%, 2/4/10,
(LOC: Bank of America) (a)(d) 8,690,000 8,690,000
---------------
Continued
25
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
MUNICIPAL DEMAND NOTES, CONTINUED
WASHINGTON (0.2%)
State Housing Finance Commission, Multi-Family,
Granite Falls Retirement Plaza, Series B, 0.28%, 2/4/10
(LOC: Wells Fargo & Co.) (a)(d) $ 845,000 $ 845,000
State Housing Finance Commission, Multi-Family,
Sir Summer Ridge Associates, Series B, 0.23%, 2/1/10,
(LOC: U.S. Bancorp) (a)(d) 405,000 405,000
State Housing Finance Commission, Multi-Family,
Vintage At Everett, Series B, 0.30%, 2/4/10,
(LOC: FNMA) (a)(d) 1,390,000 1,390,000
State Housing Finance Commission, Rockwood Retirement
Communities, Series B, 0.28%, 2/1/10,
(LOC: Wells Fargo & Co.) (a)(d) 3,945,000 3,945,000
--------------
6,585,000
--------------
WEST VIRGINIA (0.4%)
Brooke County, Bethany College Project, Series B, 0.25%,
2/4/10, (LOC: PNC Bank NA) (a)(d) 5,000,000 5,000,000
Economic Development Authority, Appalachian Power Co.,
Series B, 0.17%, 2/4/10, (LOC: U.S. Bancorp) (a)(d) 5,600,000 5,600,000
--------------
10,600,000
--------------
TOTAL MUNICIPAL DEMAND NOTES 1,019,042,000
--------------
SHARES
------------
MONEY MARKETS (3.2%)
AIM STIT Liquid Assets Portfolio (c) 89,496,799 89,496,799
Goldman Sachs Financial Square Prime Obligations Fund (c) 1,277,482 1,277,483
--------------
TOTAL MONEY MARKETS 90,774,282
--------------
PRINCIPAL
AMOUNT
------------
REPURCHASE AGREEMENTS (8.1%)
Barclays PLC, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $110,000,917, Collateralized
by various U.S. Treasury Securities, 1.38%-4.25%,
3/15/12-8/15/15, value $112,200,011) $110,000,000 110,000,000
Deutsche Bank, 0.11%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $105,000,962, Collateralized
by various U.S. Government Agency Securities,
0.38%-5.00%, 12/17/10-3/15/16, value $107,100,001) 105,000,000 105,000,000
Continued
26
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
REPURCHASE AGREEMENTS, CONTINUED
UBS Investment Bank, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $12,021,100, Collateralized
by Federal Home Loan Bank Issues, 0.27%-3.67%,
2/19/13-12/24/24, value $12,264,355) $ 12,021,000 $ 12,021,000
--------------
TOTAL REPURCHASE AGREEMENTS 227,021,000
--------------
TOTAL INVESTMENTS (COST $2,797,708,819)(+) - 99.8% 2,797,708,819
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% 5,742,360
--------------
NET ASSETS - 100.0% $2,803,451,179
==============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund/portfolio.
(d) Maturity date is next reset date.
(e) FDIC guaranteed through Treasury Liquidity Guarantee Program.
The following abbreviations are used in the Schedule of Investments:
AMT - Alternative Minimum Tax
CMBS - Commercial Mortgage-Backed Security
FHLB - Federal Home Loan Bank
FNMA - Federal National Mortgage Association
GO - General Obligation
LOC - Letter of Credit
See notes to schedules of investments and notes to financial statements.
27
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CORPORATE BONDS (1.1%)
U.S. GOVERNMENT AGENCIES (1.1%)
General Electric Capital Corp., 1.63%, 1/7/11 (e) $ 10,000,000 $ 10,092,952
Morgan Stanley, 2.90%, 12/1/10 (e) 10,000,000 10,199,793
---------------
TOTAL CORPORATE BONDS 20,292,745
---------------
MORTGAGE-BACKED SECURITIES (4.2%)
CMBS OTHER (4.2%)
Freddie Mac, 0.40%, 2/4/10 (a)(d) 7,320,000 7,320,000
Freddie Mac, 0.40%, 2/4/10 (a)(d) 25,540,736 25,540,736
Freddie Mac, 0.40%, 2/4/10 (a)(d) 2,625,000 2,625,000
Freddie Mac, 0.40%, 2/4/10 (a)(d) 41,588,404 41,588,404
---------------
TOTAL MORTGAGE-BACKED SECURITIES 77,074,140
---------------
U.S. GOVERNMENT AGENCIES (70.1%)
FANNIE MAE (8.8%)
0.14%, 4/13/10 (a)(d) 25,000,000 24,999,671
0.18%, 4/14/10 ** 15,000,000 14,994,600
0.18%, 6/2/10 ** 15,000,000 14,990,925
0.20%, 6/9/10 ** 15,000,000 14,989,333
0.21%, 2/8/10 (a) 18,000,000 18,000,362
0.22%, 2/12/10 (a) 11,500,000 11,500,811
0.23%, 2/5/10 (a)(d) 7,400,000 7,402,042
0.30%, 10/4/10 ** 20,927,000 20,883,594
0.35%, 2/1/10 ** 3,370,000 3,370,000
0.47%, 2/22/10 ** 5,000,000 4,998,629
2.38%, 5/20/10 6,402,000 6,442,926
2.88%, 10/12/10 5,300,000 5,391,744
3.00%, 7/12/10 3,000,000 3,032,661
3.25%, 2/10/10 3,344,000 3,346,190
3.25%, 8/12/10 5,000,000 5,070,793
6.63%, 11/15/10 2,588,000 2,716,057
---------------
162,130,338
---------------
FEDERAL FARM CREDIT BANK (8.1%)
0.10%, 2/1/10 (a)(d) 50,000,000 50,000,000
0.15%, 2/22/10 (a) 25,000,000 24,996,701
0.34%, 2/1/10 (a) 42,000,000 42,002,162
0.40%, 2/1/10 (a)(d) 7,000,000 7,002,337
2.00%, 6/11/10 2,400,000 2,414,787
2.25%, 7/1/10 3,700,000 3,725,996
4.75%, 5/7/10 8,845,000 8,940,812
5.25%, 9/13/10 10,356,000 10,664,707
---------------
149,747,502
---------------
Continued
28
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FEDERAL HOME LOAN BANK (23.9%)
0.12%, 2/19/10 (a)(d) $ 26,500,000 $ 26,490,407
0.14%, 2/18/10 (a)(d) 25,000,000 25,000,000
0.15%, 4/13/10 (a)(d) 25,000,000 25,001,837
0.16%, 2/26/10 (a)(d) 20,000,000 20,001,637
0.18%, 4/27/10 (a)(d) 39,025,000 39,032,786
0.24%, 2/19/10 (a) 50,000,000 50,002,626
0.25%, 4/1/10 ** 24,370,000 24,360,109
0.50%, 2/1/10 ** 10,000,000 10,000,000
0.50%, 10/29/10 9,000,000 9,010,432
0.55%, 5/28/10 10,000,000 10,005,952
0.65%, 5/11/10 11,500,000 11,504,765
0.84%, 2/1/10 (a)(d) 25,000,000 25,000,000
2.38%, 4/30/10 23,140,000 23,240,273
2.63%, 3/12/10 10,000,000 10,019,218
2.75%, 6/18/10 10,025,000 10,117,590
3.00%, 6/11/10 20,250,000 20,426,170
3.10%, 2/4/10 10,500,000 10,502,205
3.38%, 8/13/10 10,000,000 10,162,273
3.50%, 7/16/10 10,000,000 10,132,337
4.13%, 8/13/10 14,700,000 14,983,240
4.21%, 3/2/10 2,040,000 2,046,562
4.38%, 3/17/10 10,290,000 10,337,143
4.75%, 8/13/10 7,025,000 7,188,549
4.88%, 3/12/10 3,000,000 3,014,847
4.88%, 5/14/10 17,665,000 17,887,857
5.00%, 3/12/10 3,715,000 3,731,387
5.13%, 9/10/10 13,600,000 13,981,379
---------------
443,181,581
---------------
FREDDIE MAC (17.9%)
0.05%, 4/12/10 (a)(d) 25,000,000 25,000,000
0.14%, 2/1/10 (a)(d) 6,254,000 6,250,146
0.14%, 2/4/10 (a) 25,000,000 25,000,000
0.15%, 4/12/10 (a)(d) 5,110,000 5,109,767
0.19%, 7/6/10 ** 10,000,000 9,991,819
0.20%, 5/3/10 ** 25,000,000 24,987,677
0.20%, 6/21/10 ** 18,000,000 17,986,000
0.23%, 3/15/10 ** 25,000,000 24,993,438
0.23%, 3/30/10 (a)(d) 16,000,000 16,010,840
0.23%, 4/16/10 (a)(d) 1,620,000 1,620,639
0.24%, 3/3/10 (a)(d) 20,000,000 20,009,608
0.25%, 4/27/10 ** 12,150,000 12,142,828
0.25%, 8/24/10 ** 25,400,000 25,364,017
0.26%, 2/16/10 ** 15,000,000 14,998,375
0.40%, 2/4/10 10,000,000 10,001,658
0.40%, 2/4/10 10,374,000 10,545,874
Continued
29
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FREDDIE MAC, CONTINUED
0.40%, 2/4/10 $ 3,967,000 $ 4,069,586
0.40%, 2/4/10 2,300,000 2,304,541
4.38%, 3/1/10 8,302,000 8,324,321
4.50%, 12/16/10 2,000,000 2,071,142
4.88%, 2/9/10 37,270,000 37,304,146
5.00%, 10/18/10 2,000,000 2,064,437
5.13%, 8/23/10 3,550,000 3,643,255
6.88%, 9/15/10 20,678,000 21,512,135
---------------
331,306,249
---------------
OVERSEAS PRIVATE INVESTMENT CORP. (6.0%)
0.16%, 2/3/10 (a)(d) 49,114,000 49,114,000
0.16%, 2/3/10 (a)(d) 15,000,000 15,000,000
0.16%, 2/3/10 (a)(d) 17,500,000 17,500,000
0.16%, 2/3/10 (a)(d) 29,400,000 29,400,000
---------------
111,014,000
---------------
STRAIGHT-A FUNDING LLC (5.4%)
0.16%, 3/18/10 **(b) 15,000,000 14,997,000
0.17%, 2/18/10 **(b) 25,000,000 24,997,993
0.18%, 3/1/10 **(b) 25,000,000 24,996,500
0.20%, 2/2/10 **(b) 20,073,000 20,072,888
0.20%, 2/11/10 **(b) 15,061,000 15,060,163
---------------
100,124,544
---------------
TOTAL U.S. GOVERNMENT AGENCIES 1,297,504,214
---------------
U.S. TREASURY OBLIGATIONS (0.3%)
U.S. TREASURY NOTES (0.3%)
2.38%, 8/31/10 5,000,000 5,054,035
---------------
TOTAL U.S. TREASURY OBLIGATIONS 5,054,035
---------------
SHARES
------------
MONEY MARKETS (0.5%)
AIM STIT Government & Agency Portfolio (c) 6,654,532 6,654,532
Goldman Sachs Financial Square Government Fund (c) 3,285,279 3,285,279
---------------
TOTAL MONEY MARKETS 9,939,811
---------------
Continued
30
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
REPURCHASE AGREEMENTS (23.6%)
Bank of America Securities, LLC, 0.11%, dated 1/29/10,
due 2/1/10, (Proceeds at maturity, $180,001,650,
Collateralized by various U.S. Government Agency
Securities, 0.00%-3.63%, 2/1/10-7/1/11, value $183,600,869) $180,000,000 $ 180,000,000
Barclays PLC, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $110,000,917, Collateralized by
U.S. Treasury Security, 4.25%, 8/15/15, value $112,200,071) 110,000,000 110,000,000
Deutsche Bank, 0.11%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $95,000,871, Collateralized by
various U.S. Government Agency Securities, 1.75%-6.63%,
7/27/12-11/15/30, value $96,900,282) 95,000,000 95,000,000
Toronto Dominion, 0.11%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $50,000,458, Collateralized by
various U.S. Treasury Securities and Federal Home
Loan Mortgage, 0.00%-3.75%, 2/18/10-3/27/19,
value $51,000,085) 50,000,000 50,000,000
UBS Investment Bank, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $2,386,020, Collateralized by
Federal Home Loan Bank, 0.24%, 12/24/24,
value $2,437,400) 2,386,000 2,386,000
--------------
TOTAL REPURCHASE AGREEMENTS 437,386,000
--------------
TOTAL INVESTMENTS (COST $1,847,250,945)(+) - 99.8% 1,847,250,945
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% 4,509,989
--------------
NET ASSETS - 100.0% $1,851,760,934
==============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund/portfolio.
(d) Maturity date is next reset date.
(e) FDIC guaranteed through Treasury Liquidity Guarantee Program.
The following abbreviation is used in the Schedule of Investments:
CMBS - Commercial Mortgage-Backed Security
See notes to schedules of investments and notes to financial statements.
31
U.S. TREASURY MONEY MARKET
SCHEDULE OF INVESTMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
CORPORATE BONDS (10.8%)
U.S. GOVERNMENT AGENCIES (10.8%)
American Express Bank FSB, 1.08%, 2/10/10 (a)(c)(d) $ 18,700,000 $ 18,850,204
Bank of America Corp., 0.76%, 3/2/10 (a)(c)(d) 14,825,000 14,897,468
Bank of America NA, 0.28%, 3/15/10 (a)(c)(d) 9,650,000 9,655,631
Citigroup Funding, Inc., 0.35%, 4/30/10 (a)(c)(d) 54,750,000 54,814,765
General Electric Capital Corp., Series G, 0.66%, 3/9/10 (a)(c)(d) 40,000,000 40,090,689
Morgan Stanley, 2.90%, 12/1/10 (d) 8,500,000 8,669,824
SunTrust Bank, 0.90%, 3/16/10 (a)(c)(d) 14,685,000 14,781,413
---------------
TOTAL CORPORATE BONDS 161,759,994
---------------
U.S. GOVERNMENT AGENCIES (2.0%)
OVERSEAS PRIVATE INVESTMENT CORP. (2.0%)
0.17%, 2/3/10 (a) (c) 30,000,000 30,000,000
---------------
TOTAL U.S. GOVERNMENT AGENCIES 30,000,000
---------------
U.S. TREASURY BILLS (17.7%)
0.08%, 4/22/10 ** 15,000,000 14,997,500
0.15%, 5/6/10 ** 25,000,000 24,990,045
0.16%, 5/20/10 ** 25,000,000 24,988,075
0.25%, 4/1/10 ** 75,000,000 74,970,230
0.25%, 8/26/10 ** 15,000,000 14,978,542
0.25%, 11/18/10 ** 15,000,000 14,969,792
0.26%, 2/25/10 ** 15,000,000 14,997,450
0.31%, 6/10/10 ** 30,000,000 29,967,239
0.40%, 6/17/10 ** 25,000,000 24,962,071
0.42%, 2/11/10 ** 25,000,000 24,997,118
---------------
TOTAL U.S. TREASURY BILLS 264,818,062
---------------
U.S. TREASURY NOTES (8.5%)
0.88%, 1/31/11 15,000,000 15,081,942
1.75%, 3/31/10 25,000,000 25,051,914
2.38%, 8/31/10 35,000,000 35,405,655
3.63%, 6/15/10 15,000,000 15,159,571
4.25%, 10/15/10 35,000,000 35,947,840
---------------
TOTAL U.S. TREASURY NOTES 126,646,922
---------------
SHARES
------------
MONEY MARKETS (0.1%)
AIM STIT Treasury Portfolio (b) 600,521 600,521
Goldman Sachs Financial Square Treasury Obligations Fund (b) 681,005 681,005
---------------
TOTAL MONEY MARKETS 1,281,526
---------------
Continued
32
U.S. TREASURY MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
REPURCHASE AGREEMENTS (61.1%)
Bank of America Securities, LLC, 0.10%, dated 1/29/10,
due 2/1/10, (Proceeds at maturity, $184,539,538,
Collateralized by various U.S. Treasury Securities,
0.00%-2.00%, 7/8/10-7/15/18, value $188,228,868) $184,538,000 $ 184,538,000
Barclays PLC, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $185,001,542, Collateralized by
various U.S. Treasury Securities, 3.50%-3.63%,
2/15/10-6/15/10, value $188,700,059) 185,000,000 185,000,000
BMO Nesbitt Burns, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $100,000,833, Collateralized by
various U.S. Treasury Securities, 0.00%-6.25%,
2/4/10-11/15/39, value $102,000,010) 100,000,000 100,000,000
Deutsche Bank, 0.10%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $275,002,292, Collateralized by
various U.S. Treasury Securities, 2.00%-2.63%,
2/29/16-1/15/26, value $280,500,082) 275,000,000 275,000,000
Toronto Dominion, 0.11%, dated 1/29/10, due 2/1/10,
(Proceeds at maturity, $170,001,558, Collateralized by
various U.S. Treasury Securities, 0.00%-3.63%,
2/4/10-2/29/16 value $173,400,021) 170,000,000 170,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 914,538,000
--------------
TOTAL INVESTMENTS (COST $1,499,044,504)(+) - 100.2% 1,499,044,504
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2%) (2,882,462)
--------------
NET ASSETS - 100.0% $1,496,162,042
==============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at
January 31, 2010.
(b) Investment is in Institutional Shares of underlying fund/portfolio.
(c) Maturity date is next reset date.
(d) FDIC guaranteed through Treasury Liquidity Guarantee Program.
See notes to schedules of investments and notes to financial statements.
33
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
--------------
ASSETS:
Investments, at amortized cost and value $ 933,982,179
Repurchase agreement, at cost and value 120,912,000
--------------
Total Investments 1,054,894,179
Cash 980
Interest receivable 2,056,559
Receivable for Fund shares sold 504,871
Prepaid expenses and other assets 63,126
--------------
Total Assets 1,057,519,715
--------------
LIABILITIES:
Distributions payable 4,291
Payable for investments purchased 6,357
Payable for Fund shares redeemed 40,904
Accrued expenses and other payables:
Payable to Advisor and affiliates 118,872
Distribution and administrative servicing fee 99,941
Other 135,788
--------------
Total Liabilities 406,153
--------------
NET ASSETS:
Paid-in Capital $1,057,234,439
Accumulated net investment income 81,953
Accumulated net realized gain (loss) from investment transactions (202,830)
--------------
Net Assets $1,057,113,562
==============
NET ASSETS:
Institutional Shares $ 577,868,075
Class A Shares 477,305,089
Class B Shares 1,792,999
Class C Shares 147,399
Select Shares NA
Preferred Shares NA
Trust Shares NA
--------------
Total $1,057,113,562
==============
Shares of beneficial interest outstanding (unlimited number of
shares authorized, no par value):
Institutional Shares 578,032,614
Class A Shares 477,433,547
Class B Shares 1,794,637
Class C Shares 147,452
Select Shares NA
Preferred Shares NA
Trust Shares NA
--------------
Total 1,057,408,250
==============
NET ASSET VALUE
Offering and redemption price per share - Institutional Shares,
Class A Shares, Class B Shares, Class C Shares,
Select Shares, Preferred Shares and Trust Shares (a) $ 1.00
==============
- -----------------
(a) Redemption price per share for Class B Shares and Class C Shares varies by
length of time shares are held.
See notes to financial statements.
34
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
INSTITUTIONAL
INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
- -------------- -------------- --------------
$2,570,687,819 $1,409,864,945 $ 584,506,504
227,021,000 437,386,000 914,538,000
- -------------- -------------- --------------
2,797,708,819 1,847,250,945 1,499,044,504
236 949 359
5,341,319 4,778,814 1,231,365
899,415 7,041 53,574
133,514 109,601 71,485
- -------------- -------------- --------------
2,804,083,303 1,852,147,350 1,500,401,287
- -------------- -------------- --------------
80,311 20,267 9,253
15,120 4,730 4,034,778
-- 3,634 3,859
383,111 211,365 65,293
76,476 71,221 46,224
77,106 75,199 79,838
- -------------- -------------- --------------
632,124 386,416 4,239,245
- -------------- -------------- --------------
$2,803,502,461 $1,851,751,959 $1,496,147,331
56,204 27,471 13,101
(107,486) (18,496) 1,610
- -------------- -------------- --------------
$2,803,451,179 $1,851,760,934 $1,496,162,042
============== ============== ==============
$2,272,116,449 $1,376,594,020 $1,206,596,936
NA NA NA
NA NA NA
NA NA NA
144,936,059 68,587,221 12,002,175
135,713,473 266,380,139 200,675,794
250,685,198 140,199,554 76,887,137
- -------------- -------------- --------------
$2,803,451,179 $1,851,760,934 $1,496,162,042
============== ============== ==============
2,272,174,891 1,376,609,401 1,206,479,823
NA NA NA
NA NA NA
NA NA NA
144,937,959 68,587,909 11,996,929
135,710,926 266,379,385 200,624,111
250,683,854 140,198,926 76,877,526
- -------------- -------------- --------------
2,803,507,630 1,851,775,621 1,495,978,389
============== ============== ==============
$ 1.00 $ 1.00 $ 1.00
============== ============== ==============
See notes to financial statements.
35
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
------------
INVESTMENT INCOME:
Interest income $ 2,472,074
Dividend income 81,383
-----------
Total Income 2,553,457
-----------
EXPENSES:
Investment advisory fees 2,276,023
Administration fees 987,060
Distribution servicing fees - Class A 635,686
Distribution servicing fees - Class B 10,448
Distribution servicing fees - Class C 1,906
Administrative servicing fees - Class C 635
Administrative servicing fees - Select Shares NA
Administrative servicing fees - Preferred Shares NA
Administrative servicing fees - Trust Shares NA
Accounting fees 113,331
Registration and filing fees 15,847
Transfer and dividend disbursing agent fees 45,101
Custody fees 23,237
Trustees' fees and expenses 30,227
Professional fees 30,032
Printing expense 65,816
Treasury Guarantee Program expense 84,374
Other expenses 37,226
-----------
Total expenses 4,356,949
-----------
Less: Waiver and/or reimbursement from Advisor and/or affiliates (1,275,022)
Distribution/servicing fees waived (637,669)
-----------
Net Expenses 2,444,258
-----------
NET INVESTMENT INCOME 109,199
-----------
Net realized gains (losses) on investments (9,871)
-----------
Change in net assets resulting from operations $ 99,328
===========
See notes to financial statements.
36
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
INSTITUTIONAL
INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
- ------------- ------------- -------------
$ 5,869,368 $ 3,691,308 $ 1,712,930
193,830 108,518 2,237
----------- ----------- -----------
6,063,198 3,799,826 1,715,167
----------- ----------- -----------
6,285,440 4,733,464 3,081,749
2,725,869 2,052,960 1,336,488
NA NA NA
NA NA NA
NA NA NA
NA NA NA
39,411 40,790 7,238
106,155 264,239 198,449
325,962 201,988 105,326
214,557 174,510 131,931
12,581 11,668 10,949
59,122 48,636 36,218
45,235 40,296 33,091
70,435 57,456 43,367
65,511 53,575 39,300
5,560 3,791 4,914
140,783 83,396 124,611
96,047 71,226 78,601
----------- ----------- -----------
10,192,668 7,837,995 5,232,232
----------- ----------- -----------
(6,280,503) (4,775,148) (3,372,642)
(148,486) (252,187) (302,836)
----------- ----------- -----------
3,763,679 2,810,660 1,556,754
----------- ----------- -----------
2,299,519 989,166 158,413
----------- ----------- -----------
(25,058) (11,950) 1,610
----------- ----------- -----------
$ 2,274,461 $ 977,216 $ 160,023
=========== =========== ===========
See notes to financial statements.
37
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
--------------------------------
SIX MONTHS YEAR
ENDED ENDED
JANUARY 31, JULY 31,
2010(a) 2009
-------------- --------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 109,199 $ 17,667,669
Net realized gains (losses) from investment transactions (9,871) 14,024
-------------- --------------
Change in net assets resulting from operations 99,328 17,681,693
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (66,734) (10,944,254)
Class A Shares (48,911) (6,701,724)
Class B Shares (210) (16,233)
Class C Shares (60) (5,743)
Select Shares NA NA
Preferred Shares NA NA
Trust Shares NA NA
-------------- --------------
Change in net assets from Fund shareholder distributions (115,915) (17,667,954)
-------------- --------------
Change in net assets from fund share transactions (206,903,473) (353,716,571)
-------------- --------------
Change in net assets (206,920,060) (353,702,832)
NET ASSETS:
Beginning of period 1,264,033,622 1,617,736,454
-------------- --------------
End of period $1,057,113,562 $1,264,033,622
============== ==============
Accumulated net investment income $ 81,953 $ 88,669
============== ==============
- -----------
(a) Unaudited
See notes to financial statements.
38
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
- ------------------------------- ------------------------------- -------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010(a) 2009 2010(a) 2009 2010(a) 2009
- -------------- -------------- -------------- -------------- -------------- --------------
$ 2,299,519 $ 41,332,428 $ 989,166 $ 19,690,441 $ 158,413 $ 10,629,044
(25,058) 35,809 (11,950) (6,545) 1,610 38,452
- -------------- -------------- -------------- -------------- -------------- --------------
2,274,461 41,368,237 977,216 19,683,896 160,023 10,667,496
- -------------- -------------- -------------- -------------- -------------- --------------
(2,155,431) (34,052,552) (896,573) (14,141,762) (119,601) (8,035,343)
NA NA NA NA NA NA
NA NA NA NA NA NA
NA NA NA NA NA NA
(42,453) (1,855,064) (19,840) (639,427) (1,855) (151,465)
(27,890) (1,626,668) (32,583) (3,062,459) (24,046) (2,007,705)
(24,061) (3,847,827) (14,405) (1,872,559) (7,968) (439,475)
- -------------- -------------- -------------- -------------- -------------- --------------
(2,249,835) (41,382,111) (963,401) (19,716,207) (153,470) (10,633,988)
- -------------- -------------- -------------- -------------- -------------- --------------
(304,910,047) 184,526,242 (854,978,316) 1,416,187,748 (225,171,944) (141,261,298)
- -------------- -------------- -------------- -------------- -------------- --------------
(304,885,421) 184,512,368 (854,964,501) 1,416,155,437 (225,165,391) (141,227,790)
3,108,336,600 2,923,824,232 2,706,725,435 1,290,569,998 1,721,327,433 1,862,555,223
- -------------- -------------- -------------- -------------- -------------- --------------
$2,803,451,179 $3,108,336,600 $1,851,760,934 $2,706,725,435 $1,496,162,042 $1,721,327,433
============== ============== ============== ============== ============== ==============
$ 56,204 $ 6,520 $ 27,471 $ 1,706 $ 13,101 $ 8,158
============== ============== ============== ============== ============== ==============
See notes to financial statements.
39
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED --
FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
-----------------------------
SIX MONTHS YEAR
ENDED ENDED
JANUARY 31, JULY 31,
2010(a) 2009
------------ --------------
SHARE TRANSACTIONS:*
Institutional Shares
Shares issued 405,904,805 1,447,894,942
Dividends reinvested 13,618 1,686,958
Shares redeemed (551,069,370) (1,619,326,625)
------------ --------------
Total Institutional Shares (145,150,947) (169,744,725)
------------ --------------
Class A Shares
Shares issued 150,044,265 764,807,283
Dividends reinvested 50,216 6,683,342
Shares redeemed (210,332,144) (955,422,760)
------------ --------------
Total Class A Shares (60,237,663) (183,932,135)
------------ --------------
Class B Shares
Shares issued 6,062 2,738,356
Dividends reinvested 77 6,012
Shares redeemed (813,487) (2,534,090)
------------ --------------
Total Class B Shares (807,348) 210,278
------------ --------------
Class C Shares
Shares issued 255,187 525,511
Dividends reinvested 52 5,421
Shares redeemed (962,754) (778,744)
------------ --------------
Total Class C Shares (707,515) (247,812)
------------ --------------
Select Shares
Shares issued NA NA
Dividends reinvested NA NA
Shares redeemed NA NA
------------ --------------
Total Select Shares NA NA
------------ --------------
Preferred Shares
Shares issued NA NA
Dividends reinvested NA NA
Shares redeemed NA NA
------------ --------------
Total Preferred Shares NA NA
------------ --------------
Trust Shares
Shares issued NA NA
Dividends reinvested NA NA
Shares redeemed NA NA
------------ --------------
Total Trust Shares NA NA
------------ --------------
- -----------
(a) Unaudited
* Share transactions are at a Net Asset Value of $1.00 per share.
See notes to financial statements.
40
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED --
FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
- -------------------------------- -------------------------------- --------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2010(a) 2009 2010(a) 2009 2010(a) 2009
- -------------- -------------- -------------- -------------- -------------- --------------
5,182,553,780 9,060,498,809 3,309,522,161 7,559,025,399 1,309,495,621 6,355,929,792
1,193,126 17,780,796 246,348 5,501,119 37,060 2,299,091
(5,419,361,992) (8,950,954,448) (3,991,422,314) (6,287,174,892) (1,408,272,912) (6,269,946,880)
- -------------- -------------- -------------- -------------- -------------- --------------
(235,615,086) 127,325,157 (681,653,805) 1,277,351,626 (98,740,231) 88,282,003
- -------------- -------------- -------------- -------------- -------------- --------------
NA NA NA NA NA NA
NA NA NA NA NA NA
NA NA NA NA NA NA
- -------------- -------------- -------------- -------------- -------------- --------------
NA NA NA NA NA NA
- -------------- -------------- -------------- -------------- -------------- --------------
NA NA NA NA NA NA
NA NA NA NA NA NA
NA NA NA NA NA NA
- -------------- -------------- -------------- -------------- -------------- --------------
NA NA NA NA NA NA
- -------------- -------------- -------------- -------------- -------------- --------------
NA NA NA NA NA NA
NA NA NA NA NA NA
NA NA NA NA NA NA
- -------------- -------------- -------------- -------------- -------------- --------------
NA NA NA NA NA NA
- -------------- -------------- -------------- -------------- -------------- --------------
291,125,586 683,983,020 116,443,699 405,884,053 14,634,534 84,816,976
25,678 1,126,119 14,895 527,291 438 18,697
(263,657,333) (678,077,650) (161,246,311) (336,828,569) (27,375,770) (80,625,209)
- -------------- -------------- -------------- -------------- -------------- --------------
27,493,931 7,031,489 (44,787,717) 69,582,775 (12,740,798) 4,210,464
- -------------- -------------- -------------- -------------- -------------- --------------
322,155,695 1,039,110,858 610,342,197 1,358,825,001 322,802,382 1,413,978,909
24,530 1,346,050 22,108 2,253,571 8,543 376,100
(352,272,991) (996,138,746) (720,783,282) (1,230,271,195) (417,192,531) (1,600,213,299)
- -------------- -------------- -------------- -------------- -------------- --------------
(30,092,766) 44,318,162 (110,418,977) 130,807,377 (94,381,606) (185,858,290)
- -------------- -------------- -------------- -------------- -------------- --------------
141,207,307 374,533,003 107,979,195 331,577,993 177,121,983 381,149,029
2,795 392,015 3,403 279,933 - 423
(207,906,228) (369,074,072) (126,100,415) (393,411,663) (196,431,292) (429,043,815)
- -------------- -------------- -------------- -------------- -------------- --------------
(66,696,126) 5,850,946 (18,117,817) (61,553,737) (19,309,309) (47,894,363)
- -------------- -------------- -------------- -------------- -------------- --------------
See notes to financial statements.
41
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
NET
REALIZED AND
NET ASSET UNREALIZED LESS
VALUE, NET GAINS/ DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
INSTITUTIONAL SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
CLASS A SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
CLASS B SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.04[DELTA]@ --^ (0.04)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
CLASS C SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.04[DELTA]@ --^ (0.04)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
42
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
----------------------------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $577,868 0.65%**[OMEGA] 0.43%**[OMEGA](+) 0.02%**
$1.00 1.23% $723,024 0.66%[OMEGA] 0.58%[OMEGA] 1.29%
$1.00 3.65% $892,765 0.66% 0.54% 3.44%
$1.00 4.94% $605,987 0.66% 0.54% 4.82%
$1.00 3.97% $563,551 0.66% 0.54% 3.81%
$1.00 1.91% $958,735 0.65% 0.54% 1.86%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $477,305 0.90%**[OMEGA] 0.43%**[OMEGA](+) 0.02%**
$1.00 0.99% $537,555 0.91%[OMEGA] 0.81%[OMEGA](+) 1.06%
$1.00 3.40% $721,478 0.91% 0.79% 3.22%
$1.00 4.67% $625,362 0.91% 0.79% 4.57%
$1.00 3.71% $455,183 0.91% 0.79% 3.65%
$1.00 1.66% $464,391 0.90% 0.79% 1.67%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 1,793 1.65%**[OMEGA] 0.45%**[OMEGA](+) 0.01%**
$1.00 0.52% $ 2,600 1.67%[OMEGA] 1.29%[OMEGA](+) 0.52%
$1.00 2.62% $ 2,390 1.66% 1.54% 2.40%
$1.00 3.90% $ 1,468 1.66% 1.54% 3.83%
$1.00 2.94% $ 1,216 1.66% 1.54% 2.84%
$1.00 0.95% $ 1,340 1.66% 1.51% 1.14%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 148 1.65%**[OMEGA] 0.49%**[OMEGA](+) 0.01%**
$1.00 0.52% $ 855 1.66%[OMEGA] 1.31%[OMEGA](+) 0.58%
$1.00 2.63% $ 1,103 1.66% 1.54% 2.53%
$1.00 3.90% $ 1,066 1.66% 1.54% 3.82%
$1.00 2.93% $ 879 1.66% 1.54% 2.80%
$1.00 0.95% $ 1,474 1.65% 1.46% 0.85%
- -------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
43
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS, CONTINUED
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
NET
REALIZED AND
NET ASSET UNREALIZED LESS
VALUE, NET GAINS/ DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
INSTITUTIONAL SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
SELECT SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
PREFERRED SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
TRUST SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
- -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
44
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS, CONTINUED
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
----------------------------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS
- -------------------------------------------------------------------------------------------------
$1.00 0.08%* $2,272,116 0.62%**[OMEGA] 0.22%**[OMEGA] 0.17%**
$1.00 1.53% $2,507,708 0.64%[OMEGA] 0.24%[OMEGA] 1.45%
$1.00 3.96% $2,380,397 0.64% 0.21% 3.82%
$1.00 5.27% $1,687,392 0.64% 0.21% 5.14%
$1.00 4.30% $1,263,609 0.65% 0.21% 4.25%
$1.00 2.24% $1,077,260 0.65% 0.21% 2.24%
- -------------------------------------------------------------------------------------------------
$1.00 0.04%* $ 144,936 0.70%**[OMEGA] 0.30%**[OMEGA](+) 0.09%**
$1.00 1.45% $ 117,441 0.72%[OMEGA] 0.32%[OMEGA] 1.48%
$1.00 3.87% $ 110,410 0.73% 0.29% 3.47%
$1.00 5.19% $ 59,901 0.72% 0.28% 5.07%
$1.00 4.22% $ 35,579 0.73% 0.29% 4.16%
$1.00 2.15% $ 23,924 0.73% 0.29% 2.23%
- -------------------------------------------------------------------------------------------------
$1.00 0.02%* $ 135,714 0.77%**[OMEGA] 0.35%**[OMEGA](+) 0.04%**
$1.00 1.38% $ 165,806 0.79%[OMEGA] 0.39%[OMEGA] 1.32%
$1.00 3.80% $ 121,489 0.79% 0.36% 3.66%
$1.00 5.12% $ 87,627 0.79% 0.35% 5.00%
$1.00 4.15% $ 98,263 0.81% 0.36% 4.21%
$1.00 2.08% $ 23,178 0.80% 0.36% 1.99%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 250,685 0.87%**[OMEGA] 0.37%**[OMEGA](+) 0.02%**
$1.00 1.28% $ 317,382 0.89%[OMEGA] 0.49%[OMEGA](+) 1.26%
$1.00 3.70% $ 311,528 0.89% 0.46% 3.60%
$1.00 5.01% $ 230,909 0.89% 0.45% 4.90%
$1.00 4.04% $ 160,782 0.91% 0.46% 4.18%
$1.00 1.98% $ 25,047 0.90% 0.46% 2.01%
- -------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
45
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS, CONTINUED
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
NET
REALIZED AND
NET ASSET UNREALIZED LESS
VALUE, NET GAINS/ DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
INSTITUTIONAL SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
SELECT SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
PREFERRED SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
TRUST SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
46
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS, CONTINUED
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
----------------------------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS
- -------------------------------------------------------------------------------------------------
$1.00 0.05%* $1,376,594 0.62%**[OMEGA] 0.22%**[OMEGA](+) 0.11%**
$1.00 1.06% $2,058,233 0.63%[OMEGA] 0.23%[OMEGA] 0.86%
$1.00 3.66% $ 780,910 0.64% 0.21% 3.33%
$1.00 5.21% $ 487,057 0.66% 0.21% 5.08%
$1.00 4.23% $ 304,332 0.66% 0.21% 4.24%
$1.00 2.17% $ 264,707 0.66% 0.21% 2.16%
- -------------------------------------------------------------------------------------------------
$1.00 0.02%* $ 68,587 0.70%**[OMEGA] 0.28%**[OMEGA](+) 0.04%**
$1.00 0.98% $ 113,374 0.71%[OMEGA] 0.31%[OMEGA] 0.84%
$1.00 3.58% $ 43,793 0.72% 0.29% 2.99%
$1.00 5.13% $ 13,983 0.74% 0.29% 5.00%
$1.00 4.14% $ 6,337 0.75% 0.29% 4.22%
$1.00 2.09% $ 2,176 0.74% 0.30% 1.83%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 266,380 0.77%**[OMEGA] 0.30%**[OMEGA](+) 0.02%**
$1.00 0.90% $ 376,800 0.78%[OMEGA] 0.38%[OMEGA](+) 0.80%
$1.00 3.51% $ 245,995 0.79% 0.36% 3.33%
$1.00 5.05% $ 225,141 0.81% 0.36% 4.93%
$1.00 4.07% $ 190,260 0.82% 0.36% 3.98%
$1.00 2.02% $ 228,555 0.81% 0.36% 1.96%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 140,200 0.87%**[OMEGA] 0.30%**[OMEGA](+) 0.02%**
$1.00 0.81% $ 158,318 0.88%[OMEGA] 0.47%[OMEGA](+) 0.83%
$1.00 3.41% $ 219,872 0.89% 0.46% 3.17%
$1.00 4.95% $ 128,682 0.91% 0.46% 4.83%
$1.00 3.97% $ 96,003 0.92% 0.46% 3.85%
$1.00 1.92% $ 120,743 0.91% 0.46% 1.96%
- -------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
47
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS, CONTINUED
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
NET
REALIZED AND
NET ASSET UNREALIZED LESS
VALUE, NET GAINS/ DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
INSTITUTIONAL SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01)
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
SELECT SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 --^[DELTA] --^ --^
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
PREFERRED SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 --^[DELTA] --^ --^
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
TRUST SHARES
Six months ended 1/31/10 ~ $1.00 --^[DELTA] --^ --^
Year ended 7/31/09 $1.00 --^[DELTA] --^ --^
Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03)
Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
- -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
48
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS, CONTINUED
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
----------------------------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $1,206,597 0.64%**[OMEGA] 0.20%**[OMEGA](+) 0.02%**
$1.00 0.53% $1,305,329 0.65%[OMEGA] 0.25%[OMEGA](+) 0.50%
$1.00 3.21% $1,217,028 0.63% 0.21% 2.78%
$1.00 5.15% $ 420,260 0.65% 0.21% 5.02%
$1.00 4.13% $ 386,757 0.65% 0.21% 4.11%
$1.00 2.08% $ 295,584 0.65% 0.21% 2.01%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 12,002 0.72%**[OMEGA] 0.21%**[OMEGA](+) 0.02%**
$1.00 0.46% $ 24,743 0.73%[OMEGA] 0.33%[OMEGA](+) 0.34%
$1.00 3.10% $ 20,532 0.72% 0.29% 3.74%
$1.00 5.06% $ 63,885 0.73% 0.29% 4.93%
$1.00 4.05% $ 61,992 0.73% 0.29% 3.95%
$1.00 2.00% $ 83,171 0.73% 0.29% 2.01%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 200,676 0.79%**[OMEGA] 0.21%**[OMEGA](+) 0.02%**
$1.00 0.39% $ 295,058 0.80%[OMEGA] 0.39%[OMEGA](+) 0.42%
$1.00 3.06% $ 480,906 0.79% 0.36% 3.01%
$1.00 4.99% $ 472,893 0.80% 0.36% 4.87%
$1.00 3.98% $ 625,196 0.80% 0.36% 3.85%
$1.00 1.93% $ 766,688 0.80% 0.36% 1.85%
- -------------------------------------------------------------------------------------------------
$1.00 0.01%* $ 76,887 0.89%**[OMEGA] 0.21%**[OMEGA](+) 0.02%**
$1.00 0.33% $ 96,197 0.90%[OMEGA] 0.46%[OMEGA](+) 0.35%
$1.00 2.95% $ 144,089 0.88% 0.46% 2.61%
$1.00 4.88% $ 74,548 0.90% 0.46% 4.77%
$1.00 3.87% $ 113,124 0.90% 0.46% 3.79%
$1.00 1.83% $ 118,018 0.90% 0.46% 1.78%
- -------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
49
FIFTH THIRD FUNDS
NOTES TO FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
(a) Before waivers and reimbursements.
(b) Net of waivers and reimbursements.
~ Unaudited
^ Amount is less than $0.005.
[DELTA] Average shares method used in calculation.
* Not annualized.
** Annualized.
@ During the year ended July 31, 2007, the Advisor paid money to certain
Funds related to an SEC investigation on Citi (formerly BISYS Fund
Services), a former service provider to the Funds. See Note 3 in
Notes to Financial Statements for further information. Net Investment
Income per share in these Financial Highlights includes the impact of
this payment however the amount per share is less than $.005. The
Funds distributed the income related to this payment after July 31,
2007. This payment into the Funds had no impact on total return for
the year ended July 31, 2007.
[OMEGA] Includes expense for the U.S. Department of the Treasury's Temporary
Guarantee Program for Money Market Funds. This expense is being borne
by the Funds without regard to any expense limitation currently in
effect.
Period ended Year ended
1/31/2010 7/31/2009
Prime Money Market 0.02% 0.04%
Institutional Money Market 0.01% 0.03%
Institutional Government Money Market 0.01% 0.02%
U.S. Treasury Money Market 0.02% 0.04%
(+) The Advisor waived additional expenses to maintain a competitive yield
as follows:
Period ended Year ended
1/31/2010 7/31/2009
Prime Money Market
Institutional Shares 0.13% --
Class A Shares 0.38% 0.02%
Class B Shares 1.11% 0.29%
Class C Shares 1.07% 0.27%
Institutional Money Market
Select Shares --^ --
Preferred Shares 0.02% --
Trust Shares 0.10% --^
Institutional Government Money Market
Institutional Shares --^ --
Select Shares 0.02% --
Preferred Shares 0.07% 0.01%
Trust Shares 0.17% 0.01%
US Treasury Money Market
Institutional Shares 0.03% --
Select Shares 0.10% --^
Preferred Shares 0.17% 0.01%
Trust Shares 0.27% 0.04%
^ Amount is less than 0.005%
See notes to financial statements.
50
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
(1) ORGANIZATION
Fifth Third Funds (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "Act"), as an open-end management investment company
established as a Massachusetts business trust. The Trust consists of twenty-four
separate investment portfolios.
The accompanying financial statements and notes relate only to the following
series of the Trust, each of which is diversified (individually a "Fund" and
collectively the "Funds").
FUND NAME
- ---------
Fifth Third Prime Money Market Fund ("Prime Money Market")
Fifth Third Institutional Money Market Fund ("Institutional Money Market")
Fifth Third Institutional Government Money Market Fund ("Institutional
Government Money Market")
Fifth Third U.S. Treasury Money Market Fund ("U.S. Treasury Money Market")
Institutional Money Market, Institutional Government Money Market and U.S.
Treasury Money Market have four classes of shares: Institutional, Select,
Preferred and Trust shares. Prime Money Market has four classes of shares:
Institutional, Class A, Class B and Class C shares. Prime Money Market's Class B
shares are closed for purchases as of this report date. Each class of shares for
each Fund has identical rights and privileges except with respect to
administrative services fees paid by Class C, Select, Preferred and Trust
shares, distribution services fees paid by Class A, Class B, and Class C shares,
voting rights on matters affecting a single class of shares, and the exchange
privileges of each class of shares.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with accounting principles generally accepted in the
United States of America. The preparation of financial statements in conformity
with generally accepted accounting principles 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, as well as the reported amounts of increases and
decreases in net assets from operations during the period. Actual results could
differ from those estimates.
51
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
SECURITIES VALUATION -- Investments of the Funds are valued at either amortized
cost, which approximates market value, or at original cost, which, combined with
accrued interest, approximates market value. Under the amortized cost method,
discount or premium is accreted or amortized on a constant basis to the maturity
of the security. Investments in other open-end investment companies are valued
at net asset value as reported by such investment companies.
SECURITIES TRANSACTIONS AND RELATED INCOME -- Securities transactions are
accounted for on the date the security is purchased or sold (trade date).
Interest income is recognized on the accrual basis and includes, where
applicable, amortization of premium or accretion of discount. Dividend or
capital gain distributions from investment company securities are recorded on
the ex-dividend date. Gains or losses realized on sales of securities are
determined by comparing the identified cost of the security lot sold with the
net sales proceeds.
OTHER -- Expenses directly attributable to a Fund are charged to the Fund, while
expenses attributable to more than one Fund of the Trust are allocated among the
respective Funds based on their relative net assets or another appropriate
basis. Income, expenses, and realized and unrealized gains or losses on
investments are allocated to each class of shares based on its relative net
assets, except that each class separately bears expenses specifically related to
that class, such as administrative services and distribution servicing fees.
DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are
declared daily and paid monthly and distributable net realized gains, if any,
are declared and distributed at least annually. Dividends from net investment
income and from net realized capital gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for expiring capital loss carryforwards and deferrals of certain
losses. To the extent distributions would exceed net investment income and net
realized gains for tax purposes, they are reported as a return of capital. These
"book/tax" differences are either considered temporary or permanent in nature.
To the extent these differences are permanent in nature, such amounts are
reclassified within the composition of net assets based on their federal tax
basis treatment; temporary differences do not require reclassifications.
52
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
GUARANTEES AND INDEMNIFICATIONS -- Under the Trust's organizational documents,
its Officers and Board of Trustees ("Trustees") are indemnified against certain
liabilities arising out of the performance of their duties to the Funds. In
addition, in the normal course of business, the Funds may enter into contracts
with their vendors and others that provide for the general indemnification of
Trustees and Officers. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds.
However, based on experience, the Funds expect that risk of loss to be remote.
FEDERAL TAXES -- It is the intention of each Fund to continue to qualify as a
regulated investment company by complying with the provisions available to
certain investment companies, as defined in applicable sections of the U.S.
Internal Revenue Code, and to make distributions of net investment income and
net realized capital gains sufficient to relieve it from all, or substantially
all, federal income taxes. Accordingly, no provision for federal income or
excise taxes has been made.
At January 31, 2010, the Funds have recorded no liability for net unrecognized
tax benefits relating to uncertain income tax positions taken or expected to be
taken in future tax returns.
The Funds file U.S. tax returns. While the statute of limitations remains open
to examine the Funds' U.S. tax returns filed for the fiscal years from
2006-2009, no examinations are in progress or anticipated as of this report
date. The Funds are not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months.
(3) SECURITIES AND OTHER INVESTMENTS
REPURCHASE AGREEMENTS -- The Funds may enter into repurchase agreements only
with banks and other recognized financial institutions, such as broker/dealers,
which are deemed by Fifth Third Asset Management, Inc. ("FTAM" or the "Advisor")
to be creditworthy. It is the policy of the Funds to require the custodian or
sub-custodian bank to take possession or have legally segregated in the Federal
Reserve Book Entry System, all securities segregated as collateral under
repurchase agreement transactions. Additionally, procedures have been
established by the Funds to monitor, on a daily basis, the market value of each
repurchase agreement's collateral to ensure that the value of collateral at
53
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
least equals the repurchase price to be paid under the relevant repurchase
agreement transaction. Risks may arise from the potential inability or
unwillingness of counterparties to honor the terms of a repurchase agreement.
Accordingly, the Funds could receive less than the repurchase price on the sale
of collateral securities.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Funds may engage in
when-issued or delayed delivery ("TBAs") transactions. The Funds record
when-issued securities on the trade date and maintain security positions such
that sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed delivery
basis are valued daily and begin earning interest on the settlement date. To the
extent the Funds hold these types of securities; a sufficient amount of cash
and/or securities is segregated as collateral. See Notes to Schedules of
Investments.
(4) RELATED PARTY TRANSACTIONS
INVESTMENT ADVISORY FEE -- FTAM is the Funds' investment advisor. FTAM, a wholly
owned subsidiary of Fifth Third Bank, is an indirect subsidiary of Fifth Third
Bancorp, a publicly traded financial services company. The advisory agreement
between the Funds and the Advisor provides for an annual fee equal to .40% of
each Fund's average daily net assets. The Advisor may voluntarily choose to
waive any portion of its fee. The Advisor can modify or terminate this voluntary
waiver at any time at its sole discretion.
For the six months ended January 31, 2010, the Advisor voluntarily waived the
following fees:
FUND ADVISOR FEE WAIVER
- ---- ------------------
Prime Money Market Fund $ 223,243
Instititional Money Market Fund $4,714,080
Instititional Government Money Market Fund $3,550,473
U.S. Treasury Money Market Fund $2,323,732
ADMINISTRATION FEE -- FTAM is the Trust's Administrator (the "Administrator")
and generally assists in all aspects of the Trust's administration and
operations including providing the Funds with certain administrative personnel
and services necessary to operate the Funds. The Administrator receives
administration fees at the annual rates shown below which are computed daily
based on average daily
54
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
net assets of the Trust; the fees are prorated among the Funds based upon their
relative average daily net assets.
ADMINISTRATION FEE TRUST AVERAGE DAILY NET ASSETS
- ------------------ ------------------------------
0.20% Up to $1 billion
0.18% In excess of $1 billion up to $2 billion
0.17% In excess of $2 billion
An annual fee of $10,000 per class, per Fund applies beyond the first four
classes per Fund. Each Fund that commences operations after September 18, 2002
is subject to an annual $20,000 minimum fee. The Administrator may voluntarily
choose to waive any portion of its fee. The Administrator can modify or
terminate this voluntary waiver at any time at its sole discretion.
For the six months ended January 31, 2010, FTAM waived the following
administration fees:
FUND ADMINISTRATION FEE WAIVERS
- ---- --------------------------
Prime Money Market Fund $ 955,715
Instititional Money Market Fund $1,099,952
Instititional Government Money Market Fund $ 544,967
U.S. Treasury Money Market Fund $ 951,970
EXPENSE LIMITATIONS -- In its capacity as Advisor and Administrator, FTAM has
entered into a contractual expense limitation agreement with the Funds. Under
the terms of the expense limitation agreement, to the extent that ordinary
operating expenses incurred by a Fund in any fiscal year exceed the specified
expense limit for the Fund, the excess amount will be borne by FTAM. If the
operating expenses are less than the specified expense limit for the Fund, FTAM
shall be entitled to reimbursement of the fees waived or reduced to the extent
that the operating expenses and the amount reimbursed do not exceed such expense
limit for the Fund, under the period of the agreement (currently the period for
the 13 months commencing November 27, 2009). Such reimbursement shall be paid
only while the expense limitation agreement is in effect and only if such amount
paid, together with all other amounts reimbursed under this plan in the fiscal
year, does not cause the Fund to exceed the contractual expense limitation. Due
to the possibility of changes in market conditions and other factors FTAM may
voluntarily waive additional expenses beyond its contractual obligation. There
can be no assurance that the level of waivers, reimbursements and reduction of
Fund expenses reflected in the financial highlights will be maintained in the
future. All waivers not recovered at the end of the period expire on November
26, 2010. The Funds'
55
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
contractual class expense limitations and Reimbursement Recoverable as of this
report date are as follows:
CLASS EXPENSE LIMITATIONS*
------------------------------------------------------------------
REIMBURSEMENT
FUND INSTITUTIONAL A B C SELECT PREFERRED TRUST RECOVERABLE***
- ---- ------------- ----- ----- ----- ------ --------- ----- --------------
Prime Money Market 0.54% 0.79% 1.54% 1.54% NA NA NA $ 239,426
Institutional Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $3,030,289
Institutional Government Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $2,210,907
U.S. Treasury Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $1,500,352
* The annual limitations shown include 12b-1 or administrative services fees
and are contractual.
*** The cumulative amounts waived and/or reimbursed which may be potentially
recoverable by FTAM under the expense limitation agreements for the period
from November 27, 2009 through January 31, 2010.
ACCOUNTING FEES -- FTAM is the Funds' accounting agent. FTAM receives accounting
fees at the annual rates shown below which are computed daily and paid monthly
based on average daily net assets of each Fund, subject to a $30,000 per Fund
annual minimum, plus out-of-pocket expenses.
ACCOUNTING FEE FUND AVERAGE DAILY NET ASSETS
- -------------- -----------------------------
0.020% Up to $500 million
0.015% In excess of $500 million up to $1 billion
0.010% In excess of $1 billion
In addition, a $10,000 annual flat per class, per fund fee applies beyond the
initial class of shares.
DISTRIBUTION AND/OR SERVICING FEES, WAIVERS -- The Trust has adopted a
Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. FTAM Funds
Distributor, Inc. is the Trust's distributor/principal underwriter (the
"Distributor"). Under the terms of the Plan, the Funds will compensate the
Distributor from the net assets of the Funds' Class A, Class B and Class C
shares to finance activities intended to result in the sales of each Fund's
shares. The Plan provides that the Funds will incur fees accrued daily and paid
monthly to the Distributor at annual rates up to that shown below based on
average daily net assets of the respective classes in the Plan.
CLASS DISTRIBUTION/SERVICING FEE
----- --------------------------
Class A 0.25%
Class B 1.00%
Class C 0.75%
56
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
The Distributor may voluntarily choose to waive and/or reimburse a portion of
its fee. The Distributor can modify or terminate this voluntary wavier/
reimbursement at any time at its sole discretion. The Distributor voluntarily
waived fees of $637,036 in Prime Money Market during the period.
In addition, the Distributor earned contingent deferred sales commissions (CDSC)
on certain redemptions of Class A, B and C shares (all of which is paid to the
finance agent who financed advance commissions, as applicable, on sales of these
shares). FTAM is the Class A and C advance commission finance agent. For the six
month ended January 31, 2010, FTAM earned $2,315 in CDSC fees for the Trust.
Affiliates of FTAM earned reallowed 12b-1 distribution/servicing fees as well as
administrative servicing fees (see below) of $816,881 for the period ended as of
the report date.
ADMINISTRATIVE SERVICING FEE -- The Trust has an Administrative Service
Agreement with the Distributor with respect to Class C, Select, Preferred and
Trust shares. Under the Agreement, certain administrative services, including
those relating to the maintenance of shareholder accounts were provided to these
shareholders during the year. The Distributor, as well as other financial
institutions (which may include affiliates of the Advisor) receives fees
computed at annual rates up to those shown below, based on average daily net
assets of the respective classes.
CLASS ADMINISTRATIVE SERVICING FEE
- ------- ----------------------------
Class C 0.25%
Select 0.08%
Preferred 0.15%
Trust 0.25%
The Distributor may voluntarily choose to waive and/or reimburse a portion of
its fee. The Distributor can modify or terminate this voluntary wavier/
reimbursement at any time at its sole discretion.
For the six months ended January 31, 2010, the Distributor waived the following
administration fees:
FUND ADMINISTRATIVE SERVICE FEE WAIVERS
- ---- ----------------------------------
Prime Money Market Fund $ 633
Instititional Money Market Fund $148,486
Instititional Government Money Market Fund $252,187
U.S. Treasury Money Market Fund $302,836
57
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
TRANSFER AND DIVIDEND DISBURSING AGENT -- Pursuant to a Services Agreement with
the Trust dated May 14, 2007, FTAM provides certain services on behalf of the
Trust. Under this agreement, FTAM's fees are paid monthly and are accrued daily
based upon each Fund of the Trust's relative average daily net assets, at the
aggregate annual amount of $370,000. FTAM earned $186,519 from the Trust in
service fees for the period ended as of this report date.
OTHER -- Certain officers of the Trust are also officers of FTAM and/or its
affiliates. Certain non-principal officers of the Trust are also employees of
State Street Bank and Trust Company ("State Street"). None of these officers are
paid any fees by the Trust.
PAYMENTS BY AFFILIATES -- Citi(formerly BISYS Fund Services, Inc. ("Citi")),
which formerly provided various services to the Trust, reached a settlement and
entered into an order (the "Order") with the Securities and Exchange Commission
("SEC") regarding the SEC's investigation of Citi's past payment of certain
marketing and other expenses with respect to certain of its mutual fund clients.
Neither the Trust nor FTAM was a party to the Order, nor is the Trust or FTAM
bound by the Order or its findings. It is unclear the extent to which the Trust,
FTAM and certain of its former service providers are or may be affected by the
SEC's investigation of BISYS or by the Order. In response to the SEC's inquiries
related to this matter, including those of the Trust's former service
arrangements with Citi, FTAM made a one time contribution of money to certain
Funds of the Trust during the year ended July 31, 2007. The affected Funds and
the amounts paid to such Funds were determined based on various factors such as
certain Fund expenses during 1999 through 2001 as well as the applicable Funds'
net assets during this time period. The amount credited to each class of the
applicable Funds was determined according to the relative net assets of such
classes on the date the amounts were recognized. The amounts were allocated
among the components of net assets for the fiscal year ended July 31, 2007 for
each applicable Fund based upon its character for federal income tax purposes.
The total returns for the year ended July 31, 2007 for each class of the
applicable Funds would not have changed had the payments not been made; see the
Notes to Financial Highlights.
(5) LINE OF CREDIT
As of February 1, 2008, the Funds of the Trust have an uncommitted, unsecured
line of credit facility with State Street. Under the terms of the
58
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
agreement, the Funds of the Trust may borrow up to $100 million in the
aggregate. The purpose of the facility generally is to borrow funds if necessary
to meet temporary or emergency cash needs, including funding redemption requests
that might otherwise require the untimely disposition of securities. Borrowings
may not exceed 33 1/3% of a Fund's net assets and must be repaid within 60 days.
Drawn loans will be priced at a bid rate, though, in any event, not less than a
fixed rate plus a spread determined by State Street. There were no borrowings
against the line of credit during the period.
(6) FEDERAL TAX INFORMATION
The tax character of distributions paid during the fiscal years ended July 31,
2009 and 2008 was as follows:
ORDINARY INCOME DISTRIBUTIONS
-----------------------------
JULY 31, 2009 JULY 31, 2008
------------- -------------
Prime Money Market $17,667,954 $ 48,480,925
Institutional Money Market 41,382,111 101,931,130
Institutional Government Money Market 19,716,207 43,035,240
U.S. Treasury Money Market 10,633,988 41,369,495
As of July 31, 2009, the components of accumulated earnings/(deficit) on a tax
basis were as follows:
TOTAL
ACCUMULATED ACCUMULATED
UNDISTRIBUTED CAPITAL AND EARNINGS/
ORDINARY INCOME OTHER LOSSES (DEFICIT)
--------------- ------------ -----------
Prime Money Market $85,299 $(189,589) $(104,290)
Institutional Money Market 6,605 (82,513) (75,908)
Institutional Government Money Market 2,805 (7,645) (4,840)
U.S. Treasury Money Market 8,158 -- 8,158
As of July 31, 2009, the following Funds have net capital loss carryforwards to
offset future net capital gains, if any, to the extent provided by U.S.
Treasury regulations:
EXPIRATION YEAR
---------------------------------------------
2014 2017 TOTAL
------- -------- --------
Prime Money Market $92,314 $100,645 $192,959
Institutional Money Market 696 81,732 82,428
Net capital losses incurred after October 31, and within the taxable year, are
deemed to arise on the first business day of the Fund's next taxable
59
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
year. For the year ended July 31, 2009, the following Funds deferred to August
1, 2009 post October capital losses of:
CAPITAL LOSSES
--------------
Institutional Government Money Market $6,545
During the year ended July 31, 2009, the funds used capital loss carryforwards
in the following amounts:
AMOUNT USED AMOUNT EXPIRED
----------- --------------
U.S. Treasury Money Market $38,452 $20,364
(7) MARKET AND CREDIT RISK
In the normal course of business the Funds trade financial instruments and enter
into financial transactions where risk of potential loss exists due to changes
in the market (market risk) or failure of the other party to a transaction to
perform (credit risk). Similar to credit risk, the Funds may be exposed to
counterparty risk, or the risk that an institution or other entity with which
the Funds have unsettled or open transactions will default. The potential loss
could exceed the value of the financial assets recorded in the financial
statements. Financial assets, which potentially expose the Funds to credit risk,
consist principally of cash due from counterparties and investments. The extent
of the Funds' exposure to credit and counterparty risks in respect to these
financial assets approximates their carrying value as recorded in the Funds'
Statements of Assets and Liabilities.
(8) FAIR VALUE MEASUREMENTS
The various inputs used in determining the fair value of the Funds' investments
are summarized in the three broad levels listed below:
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
60
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
The following is a summary of the fair value hierarchy according to the inputs
used as of January 31, 2010 in valuing the Funds' assets and liabilities:
FAIR VALUE MEASUREMENT AT 1/31/2010 USING
------------------------------------------------------
QUOTED PRICES
IN ACTIVE SIGNIFICANT
MARKETS FOR OTHER SIGNIFICANT
IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 1/31/10
------------ -------------- ------------ --------------
PRIME MONEY MARKET
- ------------------
Corporate Bonds $ -- $ 117,084,353 $-- $ 117,084,353
Municipal Bonds -- 7,811,182 -- 7,811,182
U.S. Government Agencies -- 176,598,268 -- 176,598,268
U.S. Treasury Obligations -- 5,054,035 -- 5,054,035
Certificates of Deposit -- 55,000,000 -- 55,000,000
Commercial Paper -- 100,554,510 -- 100,554,510
Demand Notes -- 92,395,000 -- 92,395,000
Municipal Demand Notes -- 327,578,000 -- 327,578,000
Money Markets 51,906,831 -- -- 51,906,831
Repurchase Agreements -- 120,912,000 -- 120,912,000
- --------------------- -----------------------------------------------------------------------------
Total $51,906,831 $1,002,987,348 $-- $1,054,894,179
=============================================================================
INSTITUTIONAL MONEY MARKET
- --------------------------
Corporate Bonds $ -- $ 262,938,439 $-- $ 262,938,439
Mortgage-Backed Securities -- 7,393,494 -- 7,393,494
Municipal Bonds -- 16,523,655 -- 16,523,655
U.S. Government Agencies -- 462,352,409 -- 462,352,409
U.S. Treasury Obligations -- 10,108,069 -- 10,108,069
Certificates of Deposit -- 180,004,229 -- 180,004,229
Commercial Paper -- 396,016,242 -- 396,016,242
Demand Notes -- 125,535,000 -- 125,535,000
Municipal Demand Notes -- 1,019,042,000 -- 1,019,042,000
Money Markets 90,774,282 -- -- 90,774,282
Repurchase Agreements -- 227,021,000 -- 227,021,000
- --------------------- -----------------------------------------------------------------------------
Total $90,774,282 $2,706,934,537 $-- $2,797,708,819
=============================================================================
INSTITUTIONAL GOVERNMENT MONEY MARKET
- -------------------------------------
Corporate Bonds $ -- $ 20,292,745 $-- $ 20,292,745
Mortgage-Backed Securities -- 77,074,140 -- 77,074,140
U.S. Government Agencies -- 1,297,504,214 -- 1,297,504,214
U.S. Treasury Obligations -- 5,054,035 -- 5,054,035
Money Markets 9,939,811 -- -- 9,939,811
Repurchase Agreements -- 437,386,000 -- 437,386,000
- --------------------- -----------------------------------------------------------------------------
Total $ 9,939,811 $1,837,311,134 $-- $1,847,250,945
=============================================================================
61
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENT AT 1/31/2010 USING
------------------------------------------------------
QUOTED PRICES
IN ACTIVE SIGNIFICANT
MARKETS FOR OTHER SIGNIFICANT
IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 1/31/10
------------ -------------- ------------ --------------
U.S. TREASURY MONEY MARKET
- --------------------------
Corporate Bonds $ -- $ 161,759,994 $-- $ 161,759,994
U.S Government Agencies -- 30,000,000 -- 30,000,000
U.S. Treasury Bills -- 264,818,062 -- 264,818,062
U.S. Treasury Notes -- 126,646,922 -- 126,646,922
Money Markets 1,281,526 -- -- 1,281,526
Repurchase Agreements -- 914,538,000 -- 914,538,000
- --------------------- -----------------------------------------------------------------------------
Total $ 1,281,526 $1,497,762,978 $-- $1,499,044,504
=============================================================================
The Funds did not have Level 3 holdings at the beginning or end of the period
ended January 31, 2010.
(9) U.S. DEPARTMENT OF THE TREASURY'S TEMPORARY GUARANTEE PROGRAM FOR MONEY
MARKET FUNDS
The Funds have entered into a Guarantee Agreement with the U.S. Department of
the Treasury (the "Treasury") to participate in the Treasury's Temporary
Guarantee Program for Money Market Funds (the "Program"). Subject to certain
conditions and limitations, in the event that the per share value of a Fund
falls fell below $0.995 and the Fund liquidates its holdings, the Program would
provide coverage to Shareholders in the Fund for up to $1.00 per share for the
lesser of either the number of shares the investor held in the Fund at the close
of business on September 19, 2008 or the number of shares the investor held the
date the per share value fell below $0.995. Any increase in the number of shares
an investor holds after the close of business on September 19, 2008 will not be
covered by the Program. In addition, if an investor closes his or her account
with a Fund or broker-dealer, any future investment in the Fund will not be
guaranteed. Shares acquired by investors after September 19, 2008 generally are
not eligible for protection under the Program.
The Program, which was originally set to expire on December 18, 2008, was
extended by the Treasury until September 18, 2009. Participation in the initial
term and the extended Program required a payment to the Treasury of 0.01% and
0.015%, respectively, multiplied by the number of
62
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JANUARY 31, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
each Fund's shares outstanding as of September 19, 2008 (valued at $1.00 per
share). This expense was borne by the Funds without regard to any expense
limitation in effect during the period.
(10) SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the
Funds' financial statements through March 30, 2010. Management has determined
that there are no additional material events that would require disclosure in
the Funds' financial statements through this date.
63
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
APPROVAL OF THE MANAGEMENT AGREEMENT
The Board of Trustees, at a meeting held on September 2, 2009, approved the
continuance of the Trust's investment advisory agreement with Fifth Third Asset
Management, Inc. ("FTAM" or the "Advisor") with respect to all Funds of the
Trust. The above-referenced agreement is the "Advisory Agreement"; the action
considered was the "Continuance" of the Advisory Agreement.
The Trustees reviewed extensive material in connection with their consideration
of the Continuance, which they had previously requested, including data compiled
by Lipper, Inc. ("Lipper"), an independent source of mutual fund data, which
included comparisons with industry averages for comparable funds for advisory
fees, Rule 12b-1 fees, administration fees, transfer agency fees, and total fund
expenses. The data reflected FTAM's fee waivers in place, as well as FTAM's
contractual advisory fees. FTAM also provided the Board with the results of a
three-pronged performance and expense test developed by FTAM. The Board received
reports from FTAM's Chief Investment Officer with respect to fund performance
and expense trends. The Board reviewed the benefits realized by FTAM (and its
affiliates) from its relationship with the Funds. The Board was assisted in its
review by independent legal counsel, who provided a memorandum detailing the
legal standards for review of the Advisory Agreement. The Board received a
detailed presentation by FTAM, which included a fund-by-fund analysis of
performance and profitability. The Board deliberated outside the presence of
management and the Advisor.
In their deliberations, each Trustee attributed different weights to various
factors involved in an analysis of the Continuance, and no factor alone was
considered determinative. The Trustees determined that the overall arrangements
between the Trust and the Advisor, as provided in the Advisory Agreement, was
fair and reasonable, and that the Continuance of the Advisory Agreement, was in
the best interests of each Fund.
The matters addressed below were considered and discussed by the Trustees in
reaching their conclusions.
NATURE, EXTENT, AND QUALITY OF SERVICES PROVIDED BY THE ADVISOR
The Trustees received and considered information regarding the nature, extent,
and quality of services provided to each Fund under the Advisory Agreement. The
Trustees took into account information furnished
64
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
throughout the year at Trustee meetings, as well as materials furnished
specifically in connection with the annual review process. The Trustees
considered the background and experience of the Advisor's senior management and
the expertise of investment personnel of the Advisor responsible for the
day-to-day management of each Fund. The Trustees considered the overall
reputation, the capabilities and commitment of the Advisor to provide
high-quality service to the Trust, and the Trustees' overall confidence in the
Advisor's integrity.
The Trustees received information concerning the investment philosophy and
investment processes applied by the Advisor in managing the Funds. The Trustees
generally considered information regarding regulatory compliance and compliance
with the investment policies of the Funds. The Trustees evaluated the trading
practices of the Advisor. The Trustees also evaluated the procedures of the
Advisor designed to fulfill the Advisor's fiduciary duty to the Funds with
respect to possible conflicts of interest, including the Advisors' codes of
ethics (regulating the personal trading of their officers and employees).
Based on their review, the Trustees concluded that, with respect to the quality
and nature of services provided by the Advisor, the scope of responsibilities
was consistent with mutual fund industry norms, and that the quality of services
was satisfactory.
INVESTMENT PERFORMANCE
The Trustees considered performance results of each Fund in absolute terms and
relative to each Fund's benchmark and Lipper peer universe. In the Trustees'
review of performance, long- and short-term performance were considered. In
conducting their review, the Trustees particularly focused on Funds where
performance compared unfavorably with peers (i.e., Funds in the bottom one-third
relative to their peers) over the one-, three-, or five-year periods ended June
30, 2009.
Fifth Third Prime Money Market Fund. The Trustees noted that the Fund was in the
second quintile of its Lipper peer universe (with the first quintile being the
best performers and the fifth quintile being the worst performers) on a one-,
three-, and five-year basis.
Fifth Third Institutional Money Market Fund, the Fifth Third Institutional
Government Money Market Fund, and the Fifth Third U.S. Treasury Money Market
Fund. The Trustees noted that the Funds were in the first quintile of their
Lipper peer universe on a one-, three-, and five-year basis.
65
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
After reviewing the performance of each Fund, and taking into consideration the
management style, investment strategies, and prevailing market conditions during
the prior year and for longer periods, the Trustees concluded that the
performance of each of the Funds was acceptable or better.
COST OF SERVICES, INCLUDING THE PROFITS REALIZED BY THE ADVISOR AND AFFILIATES
The Trustees considered peer group comparable information with respect to the
advisory fees charged by FTAM to each of the Funds, taking into consideration
both contractual and actual (i.e., after waiver) fee levels. The Trustees
concluded that the investment advisory fees fell within an acceptable range as
compared to peer groups, particularly in light of the fee waivers and/or expense
limitations that were proposed or that would be continued in the upcoming year.
The Trustees also compared the advisory fees to the fees charged by the Advisor
to other accounts with similar investment goals as the Funds. The Trustees noted
that, although FTAM manages other accounts with investment goals similar to
those of the Funds, the fees payable to FTAM for managing those accounts are
generally lower than the fees charged to the Funds due to increased regulatory
and compliance requirements applicable to the Funds and the increased portfolio
management necessary to address daily shareholder transaction activity.
The Trustees also considered the reasonableness of advisory fees and, where
relevant, the profitability of the Advisor. In determining whether all
investment advisory fees were reasonable, the Trustees reviewed profitability
information provided by FTAM with respect to investment advisory,
administration, accounting, and transfer agency services provided to the Funds.
With respect to such information, the Trustees recognized that such
profitability data was generally unaudited and represented FTAM's own
determination of its and its affiliates' revenues from the contractual services
provided to the Funds, less expenses of providing such services. Expenses
include direct and indirect costs and were calculated using an allocation
methodology developed by the Advisor. The Trustees also recognized that it is
difficult to make comparisons of profitability from investment advisory
contracts, because comparative information is not generally publicly available
and could be affected by numerous factors. Based on their review, the Trustees
concluded that the profitability to FTAM, as a result of its relationship
66
FIFTH THIRD FUNDS
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with the Funds, was acceptable. The Board concluded that the fees under the
Advisory Agreement were not unreasonable in light of the services and benefits
provided to each Fund of the Trust.
EXPENSES
The Trustees reviewed information on each Fund's expense ratio (and net expense
ratio (after taking into account fee waivers and/or expense limitations)) with
peer group comparable information. In conducting their review, the Trustees
particularly focused on Funds where net expenses compared unfavorably with their
Lipper peer group.
Fifth Third Prime Money Market Fund. The Trustees noted that the Fund's net
expense ratio was in the fourth quintile of its Lipper peer group (the first
quintile being the lowest expenses and the fifth quintile being the highest
expenses), but that the peer group included a number of Funds that did not have
Rule 12b-1 or similar fees (or had lower 12b-1 fees than the Fund). The Trustees
also noted that the Fund's investment advisory fees and non-distribution related
expenses were slightly above the median of the peer group.
After reviewing the expenses of each Fund, and taking into consideration the
Advisor's fee waivers and/or expense limitations, the Trustees concluded that
the expenses of each Fund were acceptable.
ECONOMIES OF SCALE
The Trustees also considered whether fee levels reflect economies of scale and
whether economies of scale would be produced by the growth of the Trust's
assets. The Trustees found that the Advisor had reduced Fund total expense
ratios through fee waivers and/or expense limitations. The Trustees noted
recent decreases in asset levels on a complex-wide basis. The Trustees found
that the asset levels of the Trust were not currently so large as to warrant
formal contractual breakpoints and found that the expense limitations and/or fee
waivers were a reasonable way to provide the benefits of economies of scale to
shareholders at this time.
The Trustees considered the fee waivers and/or expense limitations previously
enacted and proposed for extension for the Fifth Third Institutional Government
Money Market Fund, the Fifth Third Institutional Money Market Fund, the Fifth
Third Prime Money Market Fund, and the
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Fifth Third U.S. Treasury Money Market Fund. The Trustees took into account the
impact of the expense limitations and the resulting decrease in revenue for
FTAM.
OTHER BENEFITS TO FTAM AND AFFILIATES
The Trustees considered benefits derived by FTAM from its relationship with the
Funds, including the other services provided and fees received by FTAM and its
affiliates for providing such services, and concluded for each Fund that the
direct and indirect benefits accruing to FTAM were reasonable in comparison with
the costs of providing advisory services, the advisory fee charged to each Fund,
FTAM's commitment to waive fees and/or limit expenses, and the benefits to each
Fund.
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EXPENSE EXAMPLE
As a shareholder of the Fifth Third Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases, reinvested
dividends, or other distributions; redemption fees; and exchange fees; and (2)
ongoing costs, including management fees; distribution and/or service 12b-1
fees; and other Fund expenses. This example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fifth Third Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period from August 1, 2009 through January 31,
2010.
ACTUAL EXPENSES
- ---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, 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 under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
The expense ratio may vary period to period because of various factors, as a
result of expenses incurred that are outside the cap (such as extraordinary
expenses and interest expense.)
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EXPENSE EXPENSE
PAID RATIO
BEGINNING ENDING DURING DURING
ACCOUNT ACCOUNT PERIOD* PERIOD
VALUE VALUE 8/1/09 - 8/1/09 -
8/1/09 1/31/10 1/31/10 1/31/10
--------- --------- -------- ---------
PRIME MONEY MARKET Institutional Shares $1,000.00 $1,000.10 $2.17 0.43%
Class A Shares 1,000.00 1,000.10 2.17 0.43%
Class B Shares 1,000.00 1,000.10 2.27 0.45%
Class C Shares 1,000.00 1,000.10 2.47 0.49%
INSTITUTIONAL MONEY MARKET Institutional Shares 1,000.00 1,000.80 1.11 0.22%
Select Shares 1,000.00 1,000.40 1.51 0.30%
Preferred Shares 1,000.00 1,000.20 1.76 0.35%
Trust Shares 1,000.00 1,000.10 1.87 0.37%
INSTITUTIONAL GOVERNMENT Institutional Shares 1,000.00 1,000.50 1.11 0.22%
MONEY MARKET Select Shares 1,000.00 1,000.20 1.41 0.28%
Preferred Shares 1,000.00 1,000.10 1.51 0.30%
Trust Shares 1,000.00 1,000.10 1.51 0.30%
U.S. TREASURY MONEY MARKET Institutional Shares 1,000.00 1,000.10 1.01 0.20%
Select Shares 1,000.00 1,000.10 1.06 0.21%
Preferred Shares 1,000.00 1,000.10 1.06 0.21%
Trust Shares 1,000.00 1,000.10 1.06 0.21%
- --------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal half-
year divided by the number of days in the fiscal year.
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HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
- --------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on each Fifth Third Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. 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 however use this information to compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the 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.
The expense ratio may vary period to period because of various factors, as a
result of expenses incurred that are outside the cap (such as extraordinary
expenses and interest expense.)
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EXPENSE EXPENSE
PAID RATIO
BEGINNING ENDING DURING DURING
ACCOUNT ACCOUNT PERIOD* PERIOD
VALUE VALUE 8/1/09 - 8/1/09 -
8/1/09 1/31/10 1/31/10 1/31/10
--------- --------- -------- ---------
PRIME MONEY MARKET Institutional Shares $1,000.00 $1,023.04 $2.19 0.43%
Class A Shares 1,000.00 1,023.04 2.19 0.43%
Class B Shares 1,000.00 1,022.94 2.29 0.45%
Class C Shares 1,000.00 1,022.74 2.50 0.49%
INSTITUTIONAL MONEY MARKET Institutional Shares 1,000.00 1,024.10 1.12 0.22%
Select Shares 1,000.00 1,023.69 1.53 0.30%
Preferred Shares 1,000.00 1,023.44 1.79 0.35%
Trust Shares 1,000.00 1,023.34 1.89 0.37%
INSTITUTIONAL GOVERNMENT Institutional Shares 1,000.00 1,024.10 1.12 0.22%
MONEY MARKET Select Shares 1,000.00 1,023.79 1.43 0.28%
Preferred Shares 1,000.00 1,023.69 1.53 0.30%
Trust Shares 1,000.00 1,023.69 1.53 0.30%
U.S. TREASURY MONEY MARKET Institutional Shares 1,000.00 1,024.20 1.02 0.20%
Select Shares 1,000.00 1,024.15 1.07 0.21%
Preferred Shares 1,000.00 1,024.15 1.07 0.21%
Trust Shares 1,000.00 1,024.15 1.07 0.21%
- --------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
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ADDRESSES
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Fifth Third Funds Fifth Third Funds
38 Fountain Square Plaza
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Investment Advisor, Fifth Third Asset Management, Inc.
Administrator and Accountant 38 Fountain Square Plaza
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Distributor FTAM Funds Distributor, Inc.
1290 Broadway, Suite 1100
Denver, Colorado 80203
- --------------------------------------------------------------------------------
Custodian, Sub-Accountant State Street Bank and Trust Company
and Sub-Administrator 801 Pennsylvania Avenue
Kansas City, Missouri 64105
- --------------------------------------------------------------------------------
Transfer and Dividend Boston Financial Data Services, Inc.
Disbursing Agent 30 Dan Road
Canton, Massachusetts 02021
- --------------------------------------------------------------------------------
Independent Registered PricewaterhouseCoopers LLP
Public Accounting Firm 1100 Walnut, Suite 1300
Kansas City, Missouri 64106
- --------------------------------------------------------------------------------
================================================================================
Advised by:
[LOGO OF FTAM]
FIFTH THIRD ASSET MANAGEMENT
[GRAPHIC OF BEYOND THE TRADITIONAL] BEYOND THE TRADITIONAL
FTF 2357013111 1-800-282-5706 SAR-MMF-10
================================================================================
ITEM 2. CODE OF ETHICS.
Not applicable - only for annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable - only for annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable - only for annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments is included as part of the Semi-Annual report in
Item 1.
(b) Not applicable.
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 PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's Principal Executive Officer and Principal Financial
Officer have concluded as of a date within 90 days of the filing of this report,
based on their evaluation of the registrant's disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c))) that the design and operation of such procedures are effective to
provide reasonable assurance that information required to be disclosed by the
registrant on Form N-CSR is recorded, processed, summarized, and reported within
the time periods specified in the Commission's rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940,
as amended) that occurred during the registrant's second fiscal quarter of the
period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable - only for annual reports.
(a)(2) The certifications required by Rule 30a-2(a) of the Investment Company
Act of 1940, as amended, are attached hereto.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) of the Investment Company
Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of
2002 are attached hereto.
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.
FIFTH THIRD FUNDS
/s/ E. Keith Wirtz
- ---------------------
E. Keith Wirtz
President
Date: March 30, 2010
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.
/s/ E. Keith Wirtz
- ---------------------
E. Keith Wirtz
President
(Principal Executive Officer)
Date: March 30, 2010
/s/ Shannon King
- ---------------------
Shannon King
Treasurer
(Principal Financial and Accounting Officer)
Date: March 30, 2010