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
_____________________________________________________
FIFTH THIRD FUNDS
(Exact Name of Registrant as Specified in Charter)
_____________________________________________________
38 Fountain Square Plaza
Cincinnati, Ohio 45263
(Address of Principal Executive Office) (Zip Code)
________________________________________________________
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 60601-1003
Date of fiscal year end: July 31
Date of reporting period: July 31, 2010
ITEM 1. REPORT TO STOCKHOLDERS.
FIFTH THIRD FUNDS
[GRAPHIC OF FIFTH THIRD FUNDS]
2010
STOCK AND BOND MUTUAL FUNDS
Annual Report to Shareholders
July 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
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 6
Quality Growth 8
Dividend Growth 10
Micro Cap Value 12
Small Cap Value 14
All Cap Value 16
Disciplined Large Cap Value 18
Structured Large Cap Plus 20
Equity Index 22
International Equity 24
Strategic Income 26
Fifth Third LifeModel Aggressive(SM) 28
Fifth Third LifeModel Moderately Aggressive(SM) 31
Fifth Third LifeModel Moderate(SM) 34
Fifth Third LifeModel Moderately Conservative(SM) 37
Fifth Third LifeModel Conservative(SM) 40
High Yield Bond 44
Total Return Bond 46
Short Term Bond 48
Schedules of Investments 51
Notes to Schedules of Investments 100
Statements of Assets and Liabilities 102
Statements of Operations 106
Statements of Changes in Net Assets 110
Statement of Cash Flows 127
Financial Highlights 128
Notes to Financial Highlights 150
Notes to Financial Statements 151
Report of Independent Registered Public Accounting Firm 175
Supplemental Information 176
OUR MESSAGE TO YOU
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Despite a dramatic downturn in investor sentiment during the spring of 2010,
U.S. equity and fixed income markets generally posted positive returns during
the 12-month period ended July 31, 2010. In turn, most Fifth Third Funds
finished the fiscal year with double-digit gains.
Within the stock market, results reported during the 12-month period included:
o A 13.84% gain for the S&P 500 Index(1) of large cap stocks.
o A 22.82% gain for the S&P 400 Index(1) of mid cap stocks.
o A 19.17% gain for the S&P 600 Index(1) of small cap stocks.
o A 6.26% gain for the MSCI EAFE Index(1) of international stocks.
The first eight months of the period featured growing investor enthusiasm as a
number of economic indicators firmed, which brightened outlooks and spurred
demand for riskier assets. The near-default of sovereign Greek debt and the BP
oil spill in the Gulf of Mexico darkened moods in mid-April, however, and
prompted a sharp selloff in equity markets. Solid corporate earnings keyed a
modest bounce in the period's closing weeks. All told, domestic stocks
outperformed fixed income investments during the period, led by small and mid
cap equities and value investments. International stocks, on the other hand,
produced smaller returns due largely to the overhang from the European debt
issue and slowing growth in China.
The fixed income market experienced broad-based demand that lifted most asset
classes. U.S. Treasury issues extended a lengthy rally, aided by the springtime
flight to quality, while structured products such as Mortgage-backed Securities
and Asset-backed Securities benefited from extensive government support
programs. Corporate bonds gained amid a renewed appreciation for healthy balance
sheets, which mostly resulted from multi-quarter cost-cutting and cash-hoarding
efforts. Cash investments continued to offer meager returns, while commodities
generally performed well during the period.
Gauging things domestically going forward, the conclusion is mixed. Statistics
related to the domestic economy suggest that the current recovery is well
underway and that the risk of a double-dip recession is less likely. Market
nerves are frayed, however, and there are numerous things to worry investors on
the horizon, including:
o A cautionary spending mindset among consumers.
o A cautionary mindset among corporate managers, which has led to weak labor
market conditions.
o A mid-term U.S. election that could generate plenty of distractions and
frustrating uncertainties.
o The likelihood of higher taxes, more regulation, and government intrusion.
On the positive side of the ledger, U.S. companies proved during the recent
quarterly earnings period that management generally did a tremendous job during
the earlier financial crisis in right-sizing operations. Corporate leaders have
also generally situated their companies to make money in a slower growth
environment. Furthermore, the term structure of interest rates--following a
positively sloped yield curve--has facilitated the convalescence of the banking
sector.
Within the family of Fifth Third Funds, an unwavering adherence to higher-
quality securities led to some underperformance versus relative benchmarks in
the wake of the early-period low-quality surge. Yet when macro events rattled
the markets, it was the lower-quality investments that fell hardest. Regardless
of such near-term
1
variances, we believe robust analysis and stock picking among higher-quality
companies that we believe are likely to register above-average earnings remains
essential to long-term investing success.
Looking ahead, our expectations on the macro front include:
MODEST GROWTH IN THE U.S. GROSS DOMESTIC PRODUCT (GDP). Although business
spending has recovered to a degree, we believe consumers are still focused
on paring debt. In addition, with unemployment likely to hover between 9.0%
and 10.0% for the next year, the GDP growth rate will be hard pressed to
exceed 2.50%.
A GROWING REGULATORY CLIMATE. Through the first half of 2010, we witnessed
the passage of monumental industry reform bills that will reshape the
healthcare and financial services industries. New regulations on offshore
drilling are likely as well. Although no one yet knows what shape the new
rules will take, such developments have generally proven to be a drag on
U.S. corporations.
CLOUDS ON THE TAX HORIZON. If the Obama administration and U.S. Congress
fail to address personal income taxes in 2010, the Bush tax cuts will
expire on December 31, 2010, and rates on everything from earned income to
estates will revert to 2001 levels in 2011. Such higher taxes could crimp
consumer consumption and corporate profits.
TENSION BUILDING BEHIND INTEREST RATES. Concerns over the economy tend to
keep a cap on interest rates, and we may see minimal moves in the fixed
income arena for the next few quarters. Especially since it appears as
though the Federal Reserve will keep its key rate pegged between 0.00% and
0.25% into 2011. But as soon as the market senses sustainable growth is
expanding--even modestly--economy and a massive level of public
indebtedness that requires regular refinancing are not the ingredients for
an extended decline in yields.
A STUBBORNLY TOUGH JOB MARKET. Currently, there are few incentives for
companies to resume hiring. Given the uncertainties swirling around
Washington and the economy, continued challenges on the employment front
appear likely.
CONTINUED GROWTH IN CORPORATE EARNINGS. Despite the economic turbulence
of late, most U.S. companies managed to generate solid profits during the
12-month period ended July 31, 2010. We believe the trend in profit growth
should continue, although margin and earnings growth rates may have peaked
for this cycle. Accordingly, we believe more-stable larger cap companies,
especially those with exposure to higher-growth international markets,
will lead the equity markets in the coming quarters.
In closing, the occurrences of the past 12 months demonstrated how quickly
preferences can shift in the U.S. financial markets. And the outlook for the
next six to 12 months contains plenty of potential headwinds. Through history,
however, high-quality companies with solid fundamentals have proven most adept
at navigating the financial market's peaks and valleys to produce steady
long-term returns. As your Fifth Third Funds portfolio managers regularly seek
out such companies, we believe your investments in our family of funds continue
to offer the best opportunity for optimal gains into the future.
Thank you for your confidence in the Fifth Third Funds.
/s/E. Keith Wirtz, CFA
E. 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 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.
BETA measures a stock's volatility relative to the rest of the stock market.
DURATION is the weighted average maturity of a bond's cash flow.
SOVEREIGN DEBT is the total amount owed to the holders of bonds issued by a
national government.
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 12-month period ended July 31, 2010, the Fifth Third Small Cap Growth
Fund (Institutional) advanced 15.79% on a net of fee basis, underperforming its
benchmark, the Russell 2000(R) Growth Index, which gained 16.71%.
At the start of the fiscal year, stocks were in the midst of a sharp rally off
March 2009 lows, boosted by numerous economic indicators pointing toward a
recovery from the 2008-09 recession. Midway through the period, however, some
leading economic indicators stalled and worries over a government default in
Greece sparked a broad selloff of riskier assets. Against this backdrop, small
cap growth stocks jumped early on but gave up a portion of the gains during the
final three months of the period.
Within the Fund, poor stock selection in the Healthcare sector, particularly
within the providers and services industry, weighed on relative performance as
uncertainties surrounding the U.S. Healthcare Reform Act--before and after its
passage--dampened sentiment. A lack of exposure to the airline industry, which
climbed as the economy showed signs of a rebound, hurt the Fund's exposure in
the Industrials sector, while poor stock selection, including no holdings in the
rising personal products industry, further hindered relative returns from the
Consumer Staples sector.
A positive relative contribution came from the Financials sector, most notably
within the consumer finance industry. A significantly underweight stake in the
slumping biotechnology industry also boosted relative performance, as did solid
stock selection in the communications equipment industry.
During the period, the Fund increased its exposure in the Consumer Discretionary
sector, reflecting confidence that consumers were shaking their recessionary
malaise. By period-end, while the Fund had modestly reduced its exposure to the
Industrials and Information Technology sectors, it held greater positions in the
more cyclical areas of both sectors as the fundamentals of the economy seemed
sound, although the recovery will likely experience fits and starts. Elsewhere,
the Fund's weighting in the Health Care sector was also reduced.
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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 JULY 31, 2010
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<CPATION>
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 15.79% -0.67% 0.57% $10,580
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Class A Shares 9.73% -1.91% -0.20% $9,800
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Class B Shares 9.76% -1.81% -0.44% $9,567
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Class C Shares 14.34% -1.71% -0.47% $9,539
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Russell 2000(R) Growth Index(1) 16.71% 1.07% -0.20% $9,799
- -----------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.25% (INSTITUTIONAL SHARES), 1.50% (CLASS A) AND 2.25% (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. The inception date for Class B and
Class C Shares is October 29, 2001. 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.
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TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
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AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
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Informatica Corp. 1.99%
North American Energy Partners, Inc. 1.77%
Acme Packet, Inc. 1.74%
Ares Capital Corp. 1.64%
Atlas Air Worldwide Holdings, Inc. 1.63%
Align Technology, Inc. 1.61%
GeoEye, Inc. 1.60%
Deckers Outdoor Corp. 1.56%
Cardtronics, Inc. 1.54%
Tenneco, Inc. 1.53%
* Long-term securities.
(+) Portfolio composition is subject to change.
4
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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SMALL CAP GROWTH FUND
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GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
FIFTH THIRD SMALL CAP GROWTH RUSSELL 2000(R)
(INSTITUTIONAL SHARES) GROWTH INDEX
7/31/00 $10,000 $10,000
9/00 10,628 10,503
12/00 9,740 8,381
3/01 8,306 7,107
6/01 9,519 8,385
9/01 7,741 6,030
12/01 9,340 7,608
3/02 9,542 7,459
6/02 8,443 6,288
9/02 6,824 4,935
12/02 7,005 5,306
3/03 6,777 5,100
6/03 7,907 6,331
9/03 8,698 6,994
12/03 9,839 7,881
3/04 10,032 8,321
6/04 9,967 8,329
9/04 9,336 7,828
12/04 10,433 9,009
3/05 10,061 8,394
6/05 10,321 8,686
9/05 10,763 9,235
12/05 10,917 9,383
3/06 12,766 10,730
6/06 11,817 9,952
9/06 11,515 9,778
12/06 12,233 10,635
3/07 12,979 10,898
6/07 14,189 11,627
9/07 14,007 11,629
12/07 13,585 11,384
3/08 11,466 9,924
6/08 12,293 10,368
9/08 10,970 9,644
12/08 7,574 6,997
3/09 6,808 6,315
6/09 8,536 7,792
9/09 10,009 9,034
12/09 10,324 9,409
3/10 10,970 10,125
6/10 10,084 9,191
7/31/10 10,580 9,799
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA
QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR
HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR
LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 2000(R) Growth
Index. The 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.
The Russell 2000(R) Growth Index is unmanaged and does not reflect
the deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2010.
5
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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MID CAP GROWTH FUND
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For the 12-month period ended July 31, 2010, the Fifth Third Mid Cap Growth Fund
(Institutional) gained 17.98% on a net of fee basis, underperforming its
benchmark, the Russell Midcap(R) Growth Index, which advanced 20.17%.
Stocks started the fiscal year in the midst of a sharp rally off March 2009
lows, boosted by numerous economic indicators pointing towards the nation's
recovery from the 2008-09 recession. Midway through the period, however, some
leading indicators stalled and worries about European instability due to debt
woes in Greece sparked a broad selloff of riskier assets. Against this backdrop,
mid cap growth stocks surged early on but endured considerable volatility during
the final three months of the period.
Within the Fund, poor stock selection in the hotels, restaurants, and leisure
industry bogged down relative gains from the Consumer Discretionary sector. The
Fund's stake in the Industrials sector also hindered relative performance, due
in part to laggards in the professional services industry and a lack of exposure
to the rising airline industry.
Alternatively, solid stock selection in the Information Technology (IT) and
Materials sectors boosted relative returns. More specifically, software, IT
services, and computer peripheral stocks enhanced gains from the Information
Technology sector, and metals and mining stocks aided performance in the
Materials sector. In general, more economically sensitive companies did well
during the period, and the Fund's overweight positions, relative to the
benchmark, in the communications equipment, aerospace and defense, and oil, gas,
and consumable fuels industries proved advantageous.
During the period, the Fund increased its exposure in the Consumer Discretionary
sector, reflecting confidence that consumers' recessionary woes were easing. By
period-end, the Fund was also more aggressively positioned in the more cyclical
areas of the Industrials sector as the fundamentals of the economy appeared to
solidify. Alternatively, Fund weightings in the more defensive Healthcare and
Utilities sectors had been reduced.
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INVESTMENT RISK CONSIDERATIONS
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 17.98% -0.46% -0.36% $9,641
- -----------------------------------------------------------------------------------------
Class A Shares 11.87% -1.72% -1.13% $8,929
- -----------------------------------------------------------------------------------------
Class B Shares 11.67% -1.70% -1.36% $8,717
- -----------------------------------------------------------------------------------------
Class C Shares 16.84% -1.43% -1.36% $8,716
- -----------------------------------------------------------------------------------------
Russell Midcap(R) Growth Index(1) 20.17% 1.57% -0.68% $9,337
- -----------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.23% (INSTITUTIONAL SHARES), 1.48% (CLASS A) AND 2.23% (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.
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TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Intuit, Inc. 2.35%
Salesforce.com, Inc. 1.97%
O'Reilly Automotive, Inc. 1.71%
F5 Networks, Inc. 1.61%
Agilent Technologies, Inc. 1.60%
Core Laboratories NV 1.54%
Digital Realty Trust, Inc. 1.54%
Kansas City Southern 1.52%
NetApp, Inc. 1.49%
Dresser-Rand Group, Inc. 1.47%
* Long-term securities.
(+) Portfolio composition is subject to change.
6
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
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MID CAP GROWTH FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
MID CAP GROWTH RUSSELL MIDCAP(R)
(INSTITUTIONAL SHARES) GROWTH INDEX
7/31/00 $10,000 $10,000
9/00 10,399 10,946
12/00 9,412 8,401
3/01 7,819 6,294
6/01 9,280 7,312
9/01 7,175 5,279
12/01 8,820 6,708
3/02 8,617 6,590
6/02 7,029 5,386
9/02 5,761 4,461
12/02 6,137 4,870
3/03 5,977 4,869
6/03 7,115 5,782
9/03 7,491 6,196
12/03 8,439 6,950
3/04 8,672 7,286
6/04 8,623 7,362
9/04 8,119 7,043
12/04 9,140 8,025
3/05 8,826 7,891
6/05 9,411 8,162
9/05 9,928 8,697
12/05 10,173 8,996
3/06 11,407 9,681
6/06 10,765 9,226
9/06 10,678 9,308
12/06 11,193 9,955
3/07 11,856 10,349
6/07 12,673 11,047
9/07 12,681 11,284
12/07 12,136 11,092
3/08 10,904 9,878
6/08 11,154 10,337
9/08 9,144 8,502
12/08 6,602 6,176
3/09 6,424 5,968
6/09 7,637 7,202
9/09 8,895 8,468
12/09 9,307 9,035
3/10 9,842 9,728
6/10 8,895 8,735
7/31/10 9,641 9,337
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR
HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR
LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell Midcap(R) Growth
Index. The 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.
The Russell Midcap(R) Growth Index is unmanaged and does not reflect
the deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2010.
7
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
QUALITY GROWTH FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Quality Growth Fund
(Institutional) gained 8.33% on a net of fee basis, underperforming its
benchmark, the Russell 1000(R) Growth Index, which advanced 13.65%.
The fiscal year represented an important period of transition from the 2008-09
recession and into an improved economic period. The recovery seemingly
solidified during the early part of the period, but the ensuing optimism was
overshadowed during the latter months by skepticism regarding the sustainability
of the rebound, especially as sovereign debt woes in Greece escalated in April.
Encouraging corporate earnings reports in July helped stem the late-period
decline, but a high degree of uncertainty relating to the economic outlook
remained.
Against this backdrop, a defensive bias for much of the period hindered the
Fund. It also had limited exposure to higher beta stocks, which posted
benchmark-beating returns during the market's broader rally through the fiscal
year's first eight months.
Digging deeper, the Healthcare sector was by far the single greatest detriment
to performance as the Fund's investments performed poorly during the extended
debate over healthcare reform. A focus on larger companies within the
Information Technology sector also hurt as investors generally preferred mid cap
names in the space.
Conversely, an underweight position, relative to the benchmark, and effective
stock selection in the defensive-oriented Consumer Staples sector, contributed
positively to relative gains. Increased exposure within the Industrials sector
also exerted a favorable impact on performance.
While the Fund added to its Industrials holdings during the period, it cut its
exposure to the Healthcare sector and shifted its Information Technology sector
emphasis from large cap names to somewhat smaller companies with better growth
prospects. Such moves were part of a larger effort to reduce the Fund's
defensive posturing and better position it for the potential continuation of
healthy earnings and the possibility of a sustained global economic recovery. As
such, the Fund ended the period with an overweight position in the Industrial
and Consumer Discretionary sectors, and underweight stakes in the Consumer
Staples, Energy, Healthcare, 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.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 8.33% 0.30% -2.92% $7,436
- -----------------------------------------------------------------------------------------
Class A Shares 2.60% -0.97% -3.66% $6,889
- -----------------------------------------------------------------------------------------
Class B Shares 2.19% -1.04% -3.90% $6,720
- -----------------------------------------------------------------------------------------
Class C Shares 7.34% -0.71% -3.89% $6,727
- -----------------------------------------------------------------------------------------
Russell 1000(R) Growth Index(1) 13.65% 0.80% -4.08% $6,595
- -----------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.13% (INSTITUTIONAL SHARES), 1.38% (CLASS A) AND 2.13% (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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Apple, Inc. 4.06%
Cisco Systems, Inc. 2.97%
Intel Corp. 2.59%
Microsoft Corp. 2.49%
Oracle Corp. 2.21%
International Business Machines Corp. 2.13%
McDonald's Corp. 2.02%
Estee Lauder Cos , Inc. (The), Class A 1.80%
Fastenal Co. 1.74%
Goodrich Corp. 1.71%
* Long-term securities.
(+) Portfolio composition is subject to change.
8
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
QUALITY GROWTH FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
QUALITY GROWTH RUSSELL 1000(R)
(INSTITUTIONAL SHARES) GROWTH INDEX
7/31/00 $10,000 $10,000
9/00 9,977 9,874
12/00 9,281 7,766
3/01 7,717 6,143
6/01 8,154 6,660
9/01 6,712 5,367
12/01 8,004 6,180
3/02 7,794 6,020
6/02 6,256 4,896
9/02 5,098 4,159
12/02 5,402 4,457
3/03 5,219 4,409
6/03 6,046 5,040
9/03 6,359 5,237
12/03 7,097 5,783
3/04 7,119 5,828
6/04 7,025 5,941
9/04 6,475 5,631
12/04 7,034 6,147
3/05 6,685 5,896
6/05 6,941 6,041
9/05 7,246 6,284
12/05 7,474 6,471
3/06 7,757 6,671
6/06 7,322 6,411
9/06 7,479 6,663
12/06 7,844 7,058
3/07 7,941 7,142
6/07 8,567 7,631
9/07 9,212 7,952
12/07 9,525 7,891
3/08 8,585 7,088
6/08 8,803 7,177
9/08 7,778 6,292
12/08 6,020 4,858
3/09 5,717 4,658
6/09 6,467 5,418
9/09 7,212 6,175
12/09 7,790 6,666
3/10 8,028 6,975
6/10 7,082 6,156
7/31/10 7,436 6,595
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 1000(R) Growth
Index. The 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.
The Russell 1000(R) Growth Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2010.
9
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
DIVIDEND GROWTH FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Dividend Growth
Fund (Institutional) gained 10.44% on a net of fee basis, underperforming its
benchmark, the S&P 500 Index, which advanced 13.84%.
Growing investor confidence surrounding the global economic recovery fueled a
rise in stocks through the first eight months of the fiscal year, especially
among low-quality stocks, which generally outperformed high-quality names.
Conditions changed quickly in mid-April, however, as the European debt crisis
and signs of slower growth in China cooled appetites for riskier investments.
In turn, more defensive issues led the way through the final three months.
With its high-quality bias, the Fund struggled through much of the period,
although it rebounded somewhat amid the broader swing away from volatile names
in the closing months. An underweight position, relative to the benchmark, and
ineffective stock selection in the Financials sector, where dividends had been
cut during the 2008-09 credit market meltdown, diminished relative returns as
the sector rallied early in the fiscal year. The Fund's Healthcare sector
holdings also struggled amid regulatory uncertainties and softening demand
trends.
Conversely, investments in the Utilities sector enhanced relative returns. Solid
stock selection in the Information Technology and Industrials sectors further
bolstered performance, most notably in holdings with fundamentals benefiting
from reduced expenses and a cyclical recovery in sales.
Over the course of the 12-month period, the Fund adopted a slightly more
defensive profile. It also increased its exposure in the Industrials sector in
order to leverage companies with sound fundamentals that seemed well-positioned
for a turn in sentiment toward high-quality names. Similarly, select stocks
within the Consumer Discretionary sector remained attractive, allowing for the
fact that unemployment levels remained high and problems in the housing market
continued, creating a drag on consumer spending as a whole.
Meanwhile, the Fund reduced its exposure in the Healthcare sector, where a lack
of clarity on the impact of healthcare reforms loomed large, and in the
Information Technology sector, where the ranks of appealing dividend growth
stocks thinned. The Fund also maintained an underweight position in the
Financials sector, where economic and regulatory concerns remain.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 10.44% -0.09% -5.25% $5,832
- --------------------------------------------------------------------------------
Class A Shares 4.67% -1.33% -5.96% $5,412
- --------------------------------------------------------------------------------
Class B Shares 4.38% -1.47% -6.09% $5,336
- --------------------------------------------------------------------------------
Class C Shares 9.34% -1.11% -6.20% $5,270
- --------------------------------------------------------------------------------
S&P 500 Index(1) 13.84% -0.17% -0.76% $9,263
- --------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 2.82% (INSTITUTIONAL SHARES), 3.07% (CLASS A) AND 3.82% (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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Apple, Inc. 3.24%
PepsiCo, Inc. 2.50%
International Business Machines Corp. 2.36%
MetLife, Inc. 2.33%
Procter & Gamble Co. (The) 2.28%
Johnson & Johnson 2.19%
Cisco Systems, Inc. 2.05%
JPMorgan Chase & Co. 1.97%
Microsoft Corp. 1.96%
Wisconsin Energy Corp. 1.95%
* Long-term securities.
(+) Portfolio composition is subject to change.
10
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
DIVIDEND GROWTH FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
DIVIDEND GROWTH S&P 500
(INSTITUTIONAL SHARES) INDEX
7/31/00 $10,000 $10,000
9/00 9,767 10,060
12/00 8,217 9,273
3/01 6,685 8,174
6/01 6,981 8,652
9/01 5,913 7,382
12/01 6,425 8,171
3/02 6,250 8,194
6/02 5,316 7,096
9/02 4,445 5,870
12/02 4,518 6,366
3/03 4,345 6,165
6/03 4,809 7,114
9/03 4,822 7,302
12/03 5,438 8,191
3/04 5,594 8,330
6/04 5,602 8,474
9/04 5,149 8,315
12/04 5,683 9,083
3/05 5,362 8,887
6/05 5,489 9,009
9/05 5,762 9,334
12/05 5,937 9,530
3/06 6,139 9,931
6/06 6,051 9,788
9/06 6,376 10,342
12/06 6,710 11,035
3/07 6,775 11,105
6/07 7,229 11,803
9/07 7,609 12,042
12/07 7,506 11,641
3/08 6,974 10,542
6/08 6,556 10,254
9/08 6,371 9,396
12/08 4,906 7,334
3/09 4,445 6,527
6/09 4,952 7,566
9/09 5,531 8,747
12/09 5,903 9,274
3/10 6,085 9,774
6/10 5,464 8,657
7/31/10 5,832 9,263
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the S&P 500 Index. The S&P
500 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.
The S&P 500 Index is unmanaged and does not reflect the deduction of
fees associated with a mutual fund such as investment management and fund
accounting fees. However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2010.
11
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
MICRO CAP VALUE FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Micro Cap Value
Fund (Institutional) gained 20.99% on a net of fee basis, outperforming its
benchmark, the Russell Microcap(R) Value Index, which advanced 20.30%.
Investors spent the first portion of the period focused on the global economic
recovery, which was fueled by a record amount of government stimulus funds
worldwide, and stocks rallied in anticipation of future growth. Moods changed
rather quickly in late April, however, as the Greek debt crisis stirred worries
that other European countries were similarly on the verge of default. Concerns
over the considerable U.S. deficit and a stubbornly high unemployment rate
further dampened enthusiasm.
While navigating the swings in market sentiment, the Fund benefited from an
overweight position, relative to the primary benchmark, and solid stock
selection in the Energy sector. Early on, equities in both the oilfield
equipment and services and exploration and production industries reflected broad
skepticism that the price of oil would hold above $70 a barrel. When it did,
stock prices climbed.
Elsewhere, an underweight stake in the poorly performing Financials sector also
boosted relative returns, as did an emphasis on high quality banks. An
overweight position in the Information Technology sector, where semiconductor-
related holdings did well, also proved beneficial. At the individual stock
level, a resurgence in merger and acquisition activity through the second half
of the fiscal year enhanced returns as nine portfolio companies received buyout
offers.
Alternatively, an underweight position in the Consumer Discretionary sector,
including minimal exposure in the surging media and auto components industries,
hindered relative gains. Furthermore, poor stock selection in the machinery
industry and an overweight position in trucking companies translated into
negative relative returns from the Industrials sector.
The Fund spent much of the period defensively positioned, a strategy that paid
off as markets retreated through the closing months. At period-end, the
defensive posture remained, with overweight positions in the Consumer Staples
and Healthcare sectors, an above-average cash position, and significantly
underweight stakes in the Financials and Materials 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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 20.99% 1.20% 9.76% $25,373
- ----------------------------------------------------------------------------------------------
Class A Shares 14.51% -0.14% 8.93% $23,532
- ----------------------------------------------------------------------------------------------
Class B Shares 14.93% 0.03% 8.81% $23,273
- ----------------------------------------------------------------------------------------------
Class C Shares 19.49% 0.14% 8.85% $23,360
- ----------------------------------------------------------------------------------------------
Russell 2000(R) Value Index(1) 20.11% -0.24% 7.87% $21,330
- ----------------------------------------------------------------------------------------------
Russell Microcap(R) Value Index(1) 20.30% -2.79% 8.33%(3) $22,253
- ----------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.82% (INSTITUTIONAL SHARES), 2.07% (CLASS A) AND 2.82% (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 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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Celadon Group, Inc. 1.87%
Meadowbrook Insurance Group, Inc. 1.69%
Gulfport Energy Corp. 1.63%
Barrett Business Services, Inc. 1.56%
BofI Holding, Inc. 1.40%
Nash Finch Co. 1.38%
Benihana, Inc., Class A 1.37%
AXT, Inc. 1.33%
Monmouth Real Estate Investment Corp., Class A 1.32%
Overhill Farms, Inc. 1.32%
* Long-term securities.
(+) Portfolio composition is subject to change.
12
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
MICRO CAP VALUE FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
MICRO CAP VALUE RUSSELL 2000(R) RUSSELL MICROCAP(R)
(INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX
7/31/00 $10,000 $10,000 $10,000
9/00 10,119 10,388 10,318
12/00 9,387 11,230 10,367
3/01 10,236 11,339 11,012
6/01 11,958 12,659 13,253
9/01 10,178 10,971 11,292
12/01 11,537 12,805 13,222
3/02 12,742 14,031 14,438
6/02 12,761 13,734 14,964
9/02 10,121 10,810 11,684
12/02 11,565 11,342 12,456
3/03 11,430 10,766 12,142
6/03 15,015 13,212 15,287
9/03 16,808 14,233 17,311
12/03 19,592 16,562 20,361
3/04 21,301 17,708 22,045
6/04 21,850 17,858 22,012
9/04 21,301 17,885 21,516
12/04 24,144 20,246 24,623
3/05 23,231 19,441 23,339
6/05 22,275 20,428 24,066
9/05 23,731 21,060 25,121
12/05 24,068 21,199 25,397
3/06 26,608 24,063 28,925
6/06 25,336 23,412 27,824
9/06 24,767 24,009 28,091
12/06 27,147 26,177 30,935
3/07 28,123 26,559 31,302
6/07 29,178 27,171 31,935
9/07 27,303 25,471 29,573
12/07 24,517 23,618 26,874
3/08 23,398 22,076 24,895
6/08 22,589 21,293 22,971
9/08 23,594 22,350 24,011
12/08 17,023 16,786 17,490
3/09 14,499 13,490 13,908
6/09 19,288 15,918 16,729
9/09 22,136 19,532 20,592
12/09 22,848 20,240 20,550
3/10 25,502 22,268 23,172
6/10 24,143 19,909 20,936
7/31/10 25,373 21,330 22,253
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR
HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR
LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 2000(R) Value
Index and the Russell Microcap(R) Value Index. The Russell 2000(R) Value
Index measures the performance of those Russell 2000(R) companies with a
less-than-average growth orientation. The Russell Microcap(R) Value Index
measures the performance of those Russell Microcap companies with lower
price-to-book ratios and lower forecasted growth values.
The Russell 2000(R) Value Index and the Russell Microcap(R) Value Index
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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
(3) The average annual total return for the Russell Microcap(R) Value Index
since its inception.
13
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Small Cap Value
Fund (Institutional) advanced 22.00% on a net of fee basis, outperforming its
benchmark, the Russell 2000(R) Value Index, which gained 20.11%.
Through the first part of the fiscal year, positive investor sentiment, fueled
by encouraging economic developments such as improving industrial production,
boosted the broader stock market. In late April, however, attitudes changed and
concerns flared regarding the sustainability of the economic recovery,
especially as government stimulus programs wound down, unemployment remained
high, and consumers remained lethargic. In turn, equities retreated.
Positioned defensively throughout the period, the Fund maintained an underweight
position, relative to the benchmark, in the Consumer Discretionary sector, an
overweight stake in the Consumer Staples sector, and an above-average cash
position. This hindered performance as markets surged, but proved beneficial
during the late-period swoon. An underweight stake in the Healthcare sector
further aided relative returns as the debate over the health care reform bill
cast an air of uncertainty over the industry.
Overall, the key to the Fund's outperformance was stock selection, which proved
advantageous throughout the year. More specifically, investments in the
Industrials, Consumer Discretionary, and Consumer Staples sectors enhanced
relative gains. The Industrials sector stake benefited from holdings in the
electrical equipment and transportation industries, while specialty retailers
boosted the Consumer Discretionary position. Within Consumer Staples, food
producers and grocery store operators supplied a lift.
Conversely, the Fund's positions in the Materials and Information Technology
sectors hindered relative returns, bogged down by laggards in the steel, paper,
software, and communications equipment industries.
As the period progressed, the Fund cut its exposure to the Information
Technology sector from overweight to underweight. A portion of the proceeds was
directed into the Materials sector, which finished as an overweight position.
And while the Fund's profile remained largely defensive, its primary focus
remains bottom-up stock analysis designed to help identify undervalued companies
offering solid potential for positive changes going forward.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR 5 YEAR INCEPTION VALUE(2)
--------- ------ ------ --------- --------
Institutional 4/1/03 22.00% 1.51% 8.91% $18,697
- -----------------------------------------------------------------------------------------------
Class A Shares 4/1/03 15.62% 0.21% 7.86% $17,418
- -----------------------------------------------------------------------------------------------
Class B Shares 4/1/03 15.76% 0.19% 7.81% $17,360
- -----------------------------------------------------------------------------------------------
Class C Shares 4/1/03 20.83% 0.48% 7.80% $17,342
- -----------------------------------------------------------------------------------------------
Russell 2000(R) Value Index(1) 20.11% -0.24% 9.77% $19,813
- -----------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.31% (INSTITUTIONAL SHARES), 1.56% (CLASS A) AND 2.31% (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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Innophos Holdings, Inc. 2.18%
Black Hills Corp. 1.89%
Meadowbrook Insurance Group, Inc. 1.85%
Endurance Specialty Holdings, Ltd. 1.83%
Olin Corp. 1.80%
ATC Technology Corp. 1.80%
Entertainment Properties Trust 1.66%
Glacier Bancorp, Inc. 1.65%
Cleco Corp. 1.61%
Fresh Del Monte Produce, Inc. 1.61%
* Long-term securities.
(+) Portfolio composition is subject to change.
14
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
SMALL CAP VALUE RUSSELL 2000(R)
(INSTITUTIONAL SHARES) VALUE INDEX
4/1/03 $10,000 $10000
6/03 11,240 12272
9/03 11,860 13220
12/03 13,841 15384
3/04 14,837 16449
6/04 14,732 16588
9/04 14,346 16613
12/04 15,471 18806
3/05 16,041 18058
6/05 16,520 18975
9/05 16,741 19562
12/05 17,326 19692
3/06 18,519 22351
6/06 18,281 21747
9/06 18,460 22302
12/06 19,692 24315
3/07 20,421 24671
6/07 21,092 25238
9/07 20,081 23659
12/07 18,851 21938
3/08 17,859 20506
6/08 18,059 19779
9/08 18,583 20760
12/08 13,472 15593
3/09 10,994 12531
6/09 13,893 14786
9/09 16,996 18143
12/09 18,044 18801
3/10 19,624 20685
6/10 17,873 18493
7/31/10 18,697 19813
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 2000(R) Value
Index. The 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.
The Russell 2000(R) Value Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
15
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
ALL CAP VALUE FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third All Cap Value Fund
(Institutional) gained 11.30% on a net of fee basis, underperforming its
benchmark, the Russell 3000(R) Value Index, which advanced 15.78%.
Through much of the fiscal year, positive sentiment contributed to a rising U.S.
stock market as the domestic economy emerged from the 2008-09 recession. A
number of crosscurrents developed in the final four months of the period,
however, resulting in a more negative tone. Most notably, as Europe contended
with sovereign debt issues and a massive oil well leak soiled the Gulf of
Mexico, concerns grew over U.S. government intervention in the private sector
and a renewed interest in business regulations.
All told, lower-quality securities outperformed higher-quality investments and
investors exhibited a preference for higher-beta stocks--those that tend to
outperform the broader market during rallies and underperform during slumps.
Moreover, small and mid cap stocks generally outperformed large cap stocks.
Within the Fund, an average weighted market cap of $52 billion, compared to the
$61 billion average of the Russell 3000 Value Index, proved effective, but poor
stock selection led to the Fund's overall underperformance. The weakest sectors,
relative to the benchmark, included Energy, where exposure to oilfield services
and equipment companies with operations in the Gulf of Mexico impacted
performance, and Information Technology. Metals and mining stocks also hindered
relative returns from the Materials sector.
Alternatively, solid stock selection in the Telecommunication Services sector
bolstered relative gains, as did investments in the Financials sector, where
smaller regional banks supplied a lift. Solid performers among food producers
offset a drag from grocery store operators and led to positive relative returns
in the Consumer Staples sector.
At period-end, the Fund was skewed with a modestly pro-cyclical orientation,
focused on areas most likely to benefit from global economic growth as prospects
for U.S. consumer spending remaining tepid. The positioning particularly
emphasized capital goods companies and featured overweight stakes in the
Industrials, Energy, Information Technology, and Materials sectors.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 11.30% -1.62% 4.80% $15,981
- --------------------------------------------------------------------------------------
Class A Shares 5.44% -2.85% 3.98% $14,771
- --------------------------------------------------------------------------------------
Class B Shares 5.24% -2.83% 3.83% $14,559
- --------------------------------------------------------------------------------------
Class C Shares 10.20% -2.60% 3.82% $14,548
- --------------------------------------------------------------------------------------
Russell 3000(R) Value Index(1) 15.78% -0.87% 3.28% $13,806
- --------------------------------------------------------------------------------------
Russell Midcap(R) Value Index(1) 26.14% 1.22% 8.08% $21,750
- --------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.42% (INSTITUTIONAL SHARES), 1.67% (CLASS A) AND 2.42% (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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
General Electric Co. 3.60%
JPMorgan Chase & Co. 2.56%
ConocoPhillips 2.20%
Merck & Co., Inc. 2.03%
Dow Chemical Co. (The) 2.02%
Wells Fargo & Co. 2.00%
Forest Laboratories, Inc. 1.96%
Apache Corp. 1.95%
Chevron Corp. 1.90%
UnitedHealth Group, Inc. 1.86%
* Long-term securities.
(+) Portfolio composition is subject to change.
16
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
ALL CAP VALUE FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
ALL CAP VALUE RUSSELL 3000(R) RUSSELL MIDCAP(R)
(INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX
7/31/00 $10,000 $10,000 $10,000
9/00 10,490 10,635 10,715
12/00 11,054 11,049 11,727
3/01 10,905 10,451 11,313
6/01 11,558 11,011 12,110
9/01 10,047 9,787 10,711
12/01 11,931 10,570 11,999
3/02 11,907 11,044 12,947
6/02 10,915 10,158 12,342
9/02 9,201 8,232 10,126
12/02 10,043 8,965 10,842
3/03 9,394 8,528 10,402
6/03 11,576 10,033 12,264
9/03 12,197 10,281 12,992
12/03 14,126 11,757 14,969
3/04 14,739 12,148 15,770
6/04 14,779 12,254 16,042
9/04 14,582 12,429 16,321
12/04 16,302 13,749 18,518
3/05 16,241 13,712 18,661
6/05 16,579 13,981 19,539
9/05 17,323 14,514 20,585
12/05 17,553 14,690 20,860
3/06 19,009 15,659 22,449
6/06 18,747 15,704 22,324
9/06 19,754 16,627 23,112
12/06 21,170 17,973 25,077
3/07 21,774 18,199 26,295
6/07 23,316 19,053 27,256
9/07 22,870 18,910 26,289
12/07 21,667 17,791 24,720
3/08 19,488 16,270 22,583
6/08 18,474 15,429 22,599
9/08 16,913 14,617 20,898
12/08 12,763 11,342 15,217
3/09 11,033 9,413 12,984
6/09 13,200 10,996 15,703
9/09 15,686 13,039 19,411
12/09 16,182 13,583 20,422
3/10 17,326 14,540 22,385
6/10 14,926 12,927 20,242
7/31/10 15,981 13,806 21,750
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 3000(R) Value
Index and the Russell Midcap(R) Value Index. The 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.
The Russell Midcap(R) Value Index measures the performance of those
Russell mid cap companies with lower price-to-book ratios and lower
forecasted growth values.
The Russell 3000(R) Value and the Russell Midcap(R) Value 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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
17
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Disciplined Large
Cap Value Fund (Institutional) advanced 11.80% on a net of fee basis,
underperforming its benchmark, the Russell 1000(R) Value Index, which gained
15.39%.
Through much of the fiscal year, positive sentiment contributed to a rising U.S.
stock market as the domestic economy emerged from the 2008-09 recession. A
number of crosscurrents developed in the final four months of the period,
however, resulting in a more negative tone. Most notably, as Europe contended
with sovereign debt issues and a massive oil well leak soiled the Gulf of
Mexico, concerns grew over U.S. government intervention in the private sector
and a renewed interest in business regulations.
Although the market experienced a number of significant shifts in sentiment
during the period, lower-quality stocks generally outperformed higher-quality
equities and small and mid cap stocks generally outgained large capitalization
equities. As a result, the Fund's emphasis on higher-quality names hampered
relative gains, as did its underweight exposure, relative to the benchmark, to
the smallest companies in the benchmark. Concurrently, an underweight position
in the largest cap stocks in the benchmark proved advantageous.
As the broader economic outlook generally improved during the period, the top
performing sectors in the benchmark included the pro-cyclical Consumer
Discretionary, Industrial, and Materials sectors. The traditionally defensive
Healthcare, Telecommunication Services, Energy, and Utilities sectors ranked
among the poorest performers.
The Fund suffered from overweight stakes in the Healthcare and Information
Technology sectors, as well as an underweight position in Financials. Stock
selection in the Energy and Consumer Discretionary sectors further diminished
relative gains.
Alternatively, underweight positions in the Utilities and Energy sectors
contributed positively to relative returns, along with effective stock selection
in the Telecommunication Services and Financials sectors.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 11.80% -1.09% 2.74% $13,107
- ------------------------------------------------------------------------------------
Class A Shares 5.96% -2.34% 1.95% $12,130
- ------------------------------------------------------------------------------------
Class B Shares 5.61% -2.36% 1.84% $11,998
- ------------------------------------------------------------------------------------
Class C Shares 10.66% -2.09% 1.71% $11,849
- ------------------------------------------------------------------------------------
Russell 1000(R)Value Index(1) 15.39% -0.91% 2.92% $13,338
- ------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.07% (INSTITUTIONAL SHARES), 1.32% (CLASS A) AND 2.07% (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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
JPMorgan Chase & Co. 3.51%
General Electric Co. 3.44%
Chevron Corp. 3.28%
Verizon Communications, Inc. 3.22%
ConocoPhillips 3.15%
Forest Laboratories, Inc. 3.13%
UnitedHealth Group, Inc. 2.85%
Wells Fargo & Co. 2.85%
Travelers Cos., Inc. (The) 2.57%
Apache Corp. 2.53%
* Long-term securities.
(+) Portfolio composition is subject to change.
18
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
DISCIPLINED LARGE CAP VALUE RUSSELL 1000(R)
(INSTITUTIONAL SHARES) VALUE INDEX
7/31/00 $10,000 $10,000
9/00 10,755 10,653
12/00 11,358 11,036
3/01 10,138 10,390
6/01 10,363 10,897
9/01 9,420 9,704
12/01 9,955 10,419
3/02 10,122 10,846
6/02 9,127 9,922
9/02 7,862 8,059
12/02 8,590 8,802
3/03 8,135 8,374
6/03 9,687 9,820
9/03 9,996 10,023
12/03 11,522 11,445
3/04 11,854 11,792
6/04 12,143 11,896
9/04 12,241 12,079
12/04 13,103 13,333
3/05 13,155 13,345
6/05 13,307 13,568
9/05 13,986 14,095
12/05 13,887 14,273
3/06 14,701 15,120
6/06 14,899 15,210
9/06 15,753 16,156
12/06 16,808 17,448
3/07 17,002 17,665
6/07 18,007 18,535
9/07 17,999 18,490
12/07 17,074 17,418
3/08 15,826 15,900
6/08 15,015 15,055
9/08 14,033 14,134
12/08 10,863 11,000
3/09 9,382 9,156
6/09 10,846 10,684
9/09 12,629 12,633
12/09 13,195 13,166
3/10 13,991 14,059
6/10 12,133 12,492
7/31/10 13,107 13,338
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 1000(R) Value
Index. The Russell 1000(R) Value Index measures the performance of 1,000
securities found in the Russell universe with a less-than-average growth
orientation. Companies in this index generally have low price-to-book and
price-to-earning ratios, higher dividend yields and lower forecasted
growth values.
The Russell 1000(R) Value Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these valueadded services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
19
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Structured Large
Cap Plus Fund (Institutional) gained 12.35% on a net of fee basis,
underperforming its benchmark, the S&P 500 Index, which advanced 13.84%.
After posting solid gains through the first eight-plus months of the period,
stocks faltered through the closing quarter. The optimism regarding the global
economic recovery that buoyed investors through the second half of 2009 and the
first few months of 2010 gave way to concerns about the rebound's sustainability
starting in April. Major developments feeding the reversal in sentiment included
government debt woes in Greece and other European countries and an easing
economic expansion in China.
Such conditions, in general, were difficult for the quantitative model that
drives the Fund's investment strategy. Built to discern longer-term trends, the
model struggled amid persistent turbulence in investors' shifting preferences
for styles, sectors, and other factors. Moreover, lower-quality stocks led the
market for much of the period, which hindered Fund performance. Among the
Fund's factor groups, investor sentiment weighed on returns, valuation and
earnings quality boosted relative gains, and capital discipline finished flat.
As volatility increased through the final four months of the period, the Fund's
short positions contributed positively to relative performance.
Digging deeper, exposure in the Industrials sector diminished returns, hindered
by poor stock selection in the aerospace and defense industry and underweight
positions, relative to the primary benchmark in the surging airline and road and
rail industries. Investments in the Information Technology and Consumer
Discretionary sectors further reduced relative gains.
Alternatively, solid stock selection in the oil, gas, and consumable fuels
industry generated positive relative returns from the Energy sector. Holdings in
the Financials sector, most notably among insurers and capital markets
companies, added to gains, as did an underweight stake and effective stock
selection in the slumping biotechnology industry.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 12.35% -5.67% -4.04% $6,618
- --------------------------------------------------------------------------------
Class A Shares 6.37% -6.86% -4.77% $6,135
- --------------------------------------------------------------------------------
Class B Shares 6.52% -6.94% -4.99% $5,991
- --------------------------------------------------------------------------------
Class C Shares 11.17% -6.61% -5.01% $5,983
- --------------------------------------------------------------------------------
S&P 500 Index(1) 13.84% -0.17% -0.76% $9,263
- --------------------------------------------------------------------------------
Russell 1000(R) Index(1) 14.51% 0.02% -0.39% $9,616
- --------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 2.04% (INSTITUTIONAL SHARES), 2.29% (CLASS A), 3.04% (CLASS B) AND
3.06% (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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Microsoft Corp. 2.38%
International Business Machines Corp. 2.20%
General Electric Co. 2.19%
AT&T, Inc. 2.15%
Intel Corp. 1.84%
Bank of America Corp. 1.82%
Chevron Corp. 1.74%
Procter & Gamble Co. (The) 1.64%
ConocoPhillips 1.62%
Philip Morris International, Inc. 1.60%
* Long-term securities.
(+) Portfolio composition is subject to change.
20
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
STRUCTURED LARGE CAP PLUS S&P 500 RUSSELL 1000(R)
(INSTITUTIONAL SHARES) INDEX INDEX
7/31/00 $10,000 $10,000 $10,000
9/00 9,978 10,060 10,242
12/00 9,210 9,273 9,304
3/01 8,113 8,174 8,135
6/01 8,534 8,652 8,648
9/01 7,324 7,382 7,331
12/01 8,029 8,171 8,146
3/02 8,043 8,194 8,206
6/02 6,964 7,096 7,102
9/02 5,700 5,870 5,901
12/02 6,121 6,366 6,382
3/03 5,907 6,165 6,194
6/03 6,731 7,114 7,169
9/03 6,878 7,302 7,384
12/03 7,719 8,191 8,290
3/04 7,909 8,330 8,447
6/04 7,983 8,474 8,566
9/04 7,803 8,315 8,411
12/04 8,540 9,083 9,235
3/05 8,512 8,887 9,059
6/05 8,604 9,009 9,245
9/05 8,831 9,334 9,610
12/05 9,026 9,530 9,814
3/06 9,480 9,931 10,255
6/06 9,308 9,788 10,084
9/06 9,867 10,342 10,594
12/06 10,531 11,035 11,331
3/07 10,643 11,105 11,468
6/07 11,176 11,803 12,144
9/07 11,019 12,042 12,385
12/07 10,775 11,641 11,985
3/08 9,504 10,542 10,848
6/08 9,286 10,254 10,643
9/08 8,577 9,396 9,648
12/08 5,960 7,334 7,479
3/09 4,819 6,527 6,697
6/09 5,487 7,566 7,802
9/09 6,330 8,747 9,056
12/09 6,681 9,274 9,606
3/10 6,993 9,774 10,153
6/10 6,224 8,657 8,991
7/31/10 6,618 9,263 9,616
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 1000(R) Index
and the S&P 500 Index. The Russell 1000(R) Index measures the performance
of 1,000 largest securities found in the Russell universe. The S&P 500
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.
The Russell 1000(R) Index and the S&P 500 Index 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 Fund's
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
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
21
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Equity Index Fund
(Institutional) gained 13.77% on a net of fee basis, compared to its benchmark,
the S&P 500 Index, which advanced 13.84%.
The Fund generally seeks to duplicate the returns of the S&P 500 Index, but
occasionally, a modest deviation may result from an assortment of technical
factors. One area where an advantage or disadvantage may materialize is in the
trading processes surrounding Index membership changes. The Fund may implement
transactions earlier or later than the Index's official change date, which can
generate slightly different returns. Such strategies vary based on the broader
market environment and the makeup of the Index changes.
During the period, a modest 21 Index changes occurred, including 12 due to
merger and acquisition activity. The bulk of the changes (14) occurred between
October 2009 and March 2010, and activity slowed considerably during the final
four months of the fiscal year.
More broadly, after posting solid gains through the first eight-plus months of
the period, stocks faltered through the closing quarter. The optimism regarding
the global economic recovery that buoyed investors through the second half of
2009 and the first few months of 2010 gave way to concerns about the rebound's
sustainability starting in April. Major developments feeding the reversal in
sentiment included government debt woes in Greece and other European countries
and an easing economic expansion in China.
Amid the volatility, all 10 economic sectors within the S&P 500 Index advanced
during the 12-month period. The early economic optimism boosted the Industrials
sector, especially within the airline and machinery industries, as well as the
Consumer Discretionary sector, which was led by the automobile industry,
internet and catalog retailers. Additionally, renewed interest in Real Estate
Investment Trusts, which suffered significantly during the recession, bolstered
the Financials sector.
The poorest performing sectors included Healthcare, which contended with
persistent uncertainty about the healthcare industry reform act, and Energy, due
largely to the massive oil well leak in the Gulf of Mexico. The
Telecommunication Services sector also lagged the benchmark.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 13.77% -0.27% -0.96% $9,084
- --------------------------------------------------------------------------------
Class A Shares 7.82% -1.53% -1.71% $8,414
- --------------------------------------------------------------------------------
Class B Shares 7.62% -1.64% -1.94% $8,217
- --------------------------------------------------------------------------------
Class C Shares 12.43% -1.31% -1.96% $8,205
- --------------------------------------------------------------------------------
Select Shares 13.68% -0.35% -1.03% $9,013
- --------------------------------------------------------------------------------
Preferred Shares 13.61% -0.42% -1.11% $8,945
- --------------------------------------------------------------------------------
Trust Shares 13.49% -0.52% -1.20% $8,861
- --------------------------------------------------------------------------------
S&P 500 Index(1) 13.84% -0.17% -0.76% $9,263
- --------------------------------------------------------------------------------
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 7/31/10, 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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 2.85%
Apple, Inc. 2.18%
Microsoft Corp. 1.83%
Procter & Gamble Co. (The) 1.64%
General Electric Co. 1.61%
International Business Machines Corp. 1.53%
JPMorgan Chase & Co. 1.49%
Johnson & Johnson 1.49%
Chevron Corp. 1.43%
AT&T, Inc. 1.43%
* Long-term securities.
(+) Portfolio composition is subject to change.
22
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
EQUITY INDEX S&P 500
(INSTITUTIONAL SHARES) INDEX
7/31/00 $10,000 $10,000
9/00 10,057 10,060
12/00 9,269 9,273
3/01 8,163 8,174
6/01 8,632 8,652
9/01 7,359 7,382
12/01 8,136 8,171
3/02 8,151 8,194
6/02 7,054 7,096
9/02 5,831 5,870
12/02 6,318 6,366
3/03 6,116 6,165
6/03 7,052 7,114
9/03 7,230 7,302
12/03 8,099 8,191
3/04 8,230 8,330
6/04 8,365 8,474
9/04 8,205 8,315
12/04 8,960 9,083
3/05 8,763 8,887
6/05 8,879 9,009
9/05 9,195 9,334
12/05 9,383 9,530
3/06 9,777 9,931
6/06 9,629 9,788
9/06 10,172 10,342
12/06 10,848 11,035
3/07 10,913 11,105
6/07 11,598 11,803
9/07 11,826 12,042
12/07 11,423 11,641
3/08 10,336 10,542
6/08 10,053 10,254
9/08 9,210 9,396
12/08 7,201 7,334
3/09 6,410 6,527
6/09 7,427 7,566
9/09 8,583 8,747
12/09 9,097 9,274
3/10 9,586 9,774
6/10 8,490 8,657
7/31/10 9,084 9,263
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the S&P 500 Index. The S&P
500 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.
The S&P 500 Index is an unmanaged index and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
23
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third International
Equity Fund (Institutional) gained 4.61% on a net of fee basis,
underperforming its benchmark, the MSCI EAFE Index, which advanced 6.26%.
International stocks spent the first half of the fiscal year on the rise
as the world economy seemed to stabilize and show signs of improvement.
Cyclical stocks tended to benefit from such conditions. In early 2010,
however, worries surfaced about the ability of countries such as Greece,
Portugal, Ireland, Italy, and Spain to manage significant debt loads, and
investor sentiment quickly soured. Concerns over the durability of the
economic recovery in China also loomed and contributed to declines in most
international equity markets.
The market's broad swings complicated matters for the Fund's four factor
groups--valuation, earnings quality, sentiment, and capital use--which
generally perform best during periods of modest volatility. Overall,
earnings quality factors diminished relative returns, while valuation
factors proved effective, aside from a setback during the broader decline
in the second half of the period. Through the final weeks of the fiscal
year, however, both earnings quality and valuation staged a modest
comeback as corporate earnings consistently topped expectations and
bolstered investor confidence.
From a geographic standpoint, poor stock selection in the United Kingdom,
particularly within the Consumer Discretionary, Materials, and Energy
sectors, weighed on relative returns. Additionally, weak stock selection
within Germany's Industrials sector and Hong Kong's Financials sector
further detracted from performance.
Positive contributions came from an overweight position, relative to the
benchmark, and effective stock selection, in Australia's Consumer Staples
sector. Investments in Australia's Industrials and Financials sectors also
proved beneficial. Solid stock selection and effective sector allocations
within Japan further enhanced relative returns, as did an overweight stake in
Singapore's Industrials sector.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 4.61% 1.08% 0.91% $10,952
- ------------------------------------------------------------------------------
Class A Shares -0.87% -0.22% 0.18% $10,181
- ------------------------------------------------------------------------------
Class B Shares -1.43% -0.17% 0.01% $10,008
- ------------------------------------------------------------------------------
Class C Shares 3.59% 0.07% -0.09% $9,908
- ------------------------------------------------------------------------------
MSCI EAFE Index(1) 6.26% 2.10% 1.51% $11,615
- ------------------------------------------------------------------------------
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
7/31/10, 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.
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010*
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
Nestle SA 2.43%
AstraZeneca PLC 1.65%
Royal Dutch Shell PLC, Class A 1.64%
Telefonica SA 1.62%
Novartis AG 1.60%
BASF SE 1.56%
British American Tobacco PLC 1.43%
Sanofi-Aventis SA 1.42%
Australia & New Zealand Banking Group, Ltd. 1.40%
BHP Billiton PLC 1.39%
* Long-term securities.
(+) Portfolio composition is subject to change.
24
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
INTERNATIONAL EQUITY MSCI EAFE
(INSTITUTIONAL SHARES) INDEX
7/31/00 $10,000 $10,000
9/00 9,693 9,598
12/00 9,433 9,325
3/01 8,367 8,047
6/01 8,321 7,963
9/01 7,474 6,848
12/01 7,745 7,326
3/02 7,865 7,363
6/02 7,763 7,207
9/02 6,369 5,785
12/02 6,678 6,158
3/03 6,121 5,652
6/03 7,106 6,741
9/03 7,626 7,289
12/03 8,900 8,534
3/04 9,041 8,904
6/04 9,173 8,923
9/04 9,041 8,899
12/04 10,320 10,262
3/05 10,205 10,245
6/05 10,090 10,142
9/05 11,225 11,194
12/05 11,762 11,651
3/06 12,834 12,746
6/06 12,724 12,835
9/06 13,145 13,339
12/06 14,385 14,720
3/07 15,044 15,320
6/07 16,321 16,301
9/07 16,815 16,656
12/07 16,509 16,364
3/08 15,209 14,907
6/08 14,463 14,571
9/08 11,308 11,575
12/08 9,069 9,266
3/09 7,639 7,974
6/09 9,531 10,002
9/09 11,264 11,949
12/09 11,443 12,210
3/10 11,682 12,315
6/10 9,953 10,594
7/31/10 10,952 11,615
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Morgan Stanley Capital
International (MSCI) Europe, Australasia and Far East (EAFE) Index. The
Morgan Stanley Capital International (MSCI) Europe, Australasia and Far
East (EAFE) Index is generally representative of a sample of companies of
the market structure of 20 European and Pacific Basin countries.
The MSCI EAFE Index does not reflect the deduction of fees associated
with a mutual fund such as investment management and fund accounting fees.
However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
25
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Strategic Income
Fund (Institutional) advanced 20.39% on a net of fee basis, outperforming its
primary benchmark, the Barclays Capital U.S. Aggregate Bond Index, which gained
8.91%.
Credit markets largely enjoyed a resurgence during the fiscal year, boosted by
stabilizing global economies, supportive government policies, and a search for
higher yields in a low interest rate environment. Within that broader picture,
however, two distinct themes emerged. Through the first half of the period,
confidence in the economic recovery rose and spurred investors to bid up riskier
investments. During the second half of the fiscal year, however, a more
pragmatic mindset took hold as fears emerged over European debt, an economic
slowdown in China, and a possible double-dip recession in the U.S.
Within the Fund, preferred equity holdings bolstered returns, particularly
within the Financials sector. High-quality corporate bonds further enhanced
performance, especially amid the late-period aversion to risk, as did common
stock holdings. Alternatively, a modest stake in Real Estate Investment Trusts
detracted from gains during the second half of the fiscal year as the group
rallied more impressively than much of the credit market, despite still-shaky
fundamentals.
Over the course of the period, the Fund steadily boosted its defensive profile
as the economic concerns gained traction and investors seemed to express a
renewed interest in credit quality. As a result, the Fund trimmed its exposure
to the Financials sector, where industry reform is still playing out.
Concurrently, as riskier holdings reached price targets, the positions were
liquidated and proceeds directed into higher-quality corporate bonds, preferred
stocks, and common equities in a variety of sectors. The Fund also added
exposure to U.S. Treasury securities and established other positions in
anticipation that short-term interest rates would remain low, and these
investments performed well through the final six months of the period.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 20.39% 4.21% 6.45% $18,680
- ------------------------------------------------------------------------------------------------------------------------
Class A Shares 14.26% 2.92% 5.57% $17,194
- ------------------------------------------------------------------------------------------------------------------------
Class B Shares 14.38% 2.91% 5.42% $16,953
- ------------------------------------------------------------------------------------------------------------------------
Class C Shares 19.20% 3.21% 5.36% $16,864
- ------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Aggregate Bond Index(1) 8.91% 5.96% 6.48% $18,743
- ------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Intermediate Credit Bond Index(1) 11.67% 5.97% 6.70% $19,126
- ------------------------------------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.40% (INSTITUTIONAL SHARES), 1.65% (CLASS A) AND 2.40% (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 are adjusted to reflect expenses
and applicable sales charges for the respective share class.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Preferred Stocks 35.99%
Corporate Bonds 22.12%
Investment Companies* 13.84%
Common Stocks 6.24%
Foreign Bonds 5.07%
Investments in Affiliates 4.54%
Mortgage-Backed Securities 4.04%
Asset-Backed Securities 3.49%
U.S. Government Agencies 2.09%
U.S. Treasury Obligations 1.66%
Convertible Preferred Stock 0.92%
[END CHART]
(+) Portfolio composition is subject to change.
* Includes State Street Navigator Prime Securities Lending Portfolio.
(See Note 2)
26
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
STRATEGIC INCOME BARCLAYS CAPITAL U.S. BARCLAYS CAPITAL U.S.
(INSTITUTIONAL SHARES) AGGREGATE BOND INDEX INTERMEDIATE CREDIT BOND INDEX
7/31/00 $10,000 $10,000 $10,000
9/00 10,101 10,209 10,226
12/00 10,350 10,638 10,560
3/01 10,913 10,961 10,980
6/01 11,275 11,023 11,091
9/01 11,465 11,531 11,552
12/01 11,709 11,536 11,592
3/02 11,863 11,547 11,572
6/02 12,191 11,974 11,940
9/02 12,432 12,522 12,440
12/02 12,631 12,719 12,767
3/03 12,882 12,896 13,055
6/03 13,577 13,219 13,580
9/03 13,490 13,200 13,596
12/03 13,935 13,241 13,650
3/04 14,460 13,593 14,035
6/04 13,787 13,261 13,639
9/04 14,462 13,685 14,098
12/04 14,902 13,816 14,207
3/05 14,571 13,750 14,041
6/05 15,113 14,163 14,428
9/05 15,135 14,068 14,353
12/05 15,191 14,152 14,409
3/06 15,426 14,060 14,333
6/06 15,322 14,049 14,340
9/06 15,999 14,584 14,867
12/06 16,446 14,765 15,056
3/07 16,697 14,987 15,311
6/07 16,534 14,909 15,249
9/07 16,555 15,333 15,562
12/07 15,906 15,793 15,900
3/08 15,903 16,135 16,105
6/08 15,550 15,971 15,943
9/08 12,664 15,893 15,051
12/08 12,616 16,620 15,461
3/09 11,905 16,640 15,453
6/09 14,536 16,936 16,625
9/09 16,560 17,570 17,640
12/09 17,372 17,606 17,923
3/10 18,323 17,920 18,345
6/10 18,056 18,545 18,786
7/31/10 18,680 18,743 19,126
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Barclays Capital U.S.
Intermediate Credit Bond Index and the Barclays Capital U.S. Aggregate
Bond Index. The Barclays Capital U.S. Intermediate Credit Bond Index is
generally representative of investment grade/ corporate bonds with
maturities from one to ten years. The 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.
The Barclays Capital U.S. Intermediate Credit Bond Index and the
Barclays Capital U.S. Aggregate Bond Index 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 Fund's
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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
27
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third LifeModel
Aggressive Fund(SM) (Institutional) gained 10.25% on a net of fee basis,
underperforming its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced
14.48%.
A wide swath of investments generated solid returns for investors during the
fiscal year as the U.S. economy continued to recover from the 2008-09 recession.
Domestic equities advanced through the first eight months of the period,
extending an impressive rally that started in March 2009, and withstood a
retreat during the second quarter of 2010 to end with double-digit gains. Mid
and small cap stocks generally outperformed large cap positions as investors
favored riskier holdings for much of the period, while value stocks outperformed
growth stocks. Undermined by government debt scares in Europe and slowing growth
in China, international stocks lagged domestic equities.
Fixed income markets enjoyed broad-based gains. While U.S. Treasury issues
benefited from a late-period flight to quality, government intervention efforts
helped prop up prices on structured products such as Mortgage-Backed Securities
and Asset-Backed Securities. Corporate debt grew increasingly popular as well,
due largely to the improving conditions of corporate balance sheets, and the
increased appetite for risk propelled high yield issues.
Within the Fund, an overweight position, relative to the benchmark targets, in
large cap growth stocks and an underweight stake in mid and small cap value
stocks diminished relative returns. From a broader perspective, the Fund's
overweight position in equities and underweight exposure in fixed income
investments proved advantageous.
By period-end, solid quarterly earnings reports prompted many investors to wade
back into the stock market in search of high quality companies with the
potential to post above-average profits in the near-term. Such developments
reinforced the sentiment that markets have already discounted much of the
negative news that could surface in the coming quarters, so the shakeout in
equities may already be complete. As such, robust analysis and stock picking
returned to the fore for those looking to outperform the broader indexes.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR 5 YEAR INCEPTION VALUE(2)
--------- ------ ------ --------- --------
Institutional 8/1/02 10.25% -1.00% 4.56% $14,288
- --------------------------------------------------------------------------------------------------------------------------------
Class A Shares 8/1/02 4.40% -2.28% 3.61% $13,275
- --------------------------------------------------------------------------------------------------------------------------------
Class B Shares 8/1/02 4.01% -2.29% 3.49% $13,156
- --------------------------------------------------------------------------------------------------------------------------------
Class C Shares 8/1/02 9.14% -2.00% 3.50% $13,170
- --------------------------------------------------------------------------------------------------------------------------------
Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244
- --------------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985
- --------------------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive Target Neutral Style Class Index Blend(3) 14.48% -5.09% 1.57% $16,672
- --------------------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive Target Neutral Asset Class Index Blend(4) 14.30% 0.93% 5.52% $15,372
- --------------------------------------------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 0.54% (INSTITUTIONAL SHARES), 0.79% (CLASS A) AND 1.54% (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.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third International Equity Fund 25.14%
Fifth Third Quality Growth Fund 16.05%
Fifth Third Structured Large Cap Plus Fund 16.02%
Fifth Third Disciplined Large Cap Value Fund 13.41%
Fifth Third Mid Cap Growth Fund 9.75%
Fifth Third All Cap Value Fund 7.89%
Fifth Third Small Cap Growth Fund 4.61%
Fifth Third Small Cap Value Fund 3.70%
Fifth Third Institutional Money Market Fund 1.44%
Fifth Third Short Term Bond Fund 0.93%
Fifth Third Total Return Bond Fund 0.92%
Fifth Third High Yield Bond Fund 0.14%
[END CHART]
(+) Portfolio composition is subject to change.
28
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL AGGRESSIVE WILSHIRE 5000 BARCLAYS CAPITAL U.S. LIFEMODEL AGGRESSIVE LIFEMODEL AGGRESSIVE
(INSTITUTIONAL SHARES) INDEX INTERMEDIATE GOVERNMENT/CREDIT TARGET NEUTRAL ASSET TARGET NEUTRAL STYLE
BOND INDEX CLASS INDEX BLEND CLASS INDEX BLEND
8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000
9/02 9,070 9,050 10,331 9,177 9,145
12/02 9,798 9,758 10,506 9,844 9,800
3/03 9,346 9,457 10,664 9,585 9,460
6/03 10,990 11,018 10,954 11,030 10,990
9/03 11,562 11,426 10,952 11,400 11,517
12/03 13,136 12,846 10,959 12,671 12,944
3/04 13,455 13,182 11,230 12,999 13,374
6/04 13,491 13,359 10,946 13,124 13,489
9/04 13,062 13,113 11,242 12,943 13,341
12/04 14,267 14,450 11,292 14,132 14,793
3/05 14,010 14,129 11,193 13,838 14,563
6/05 14,399 14,456 11,471 14,162 14,869
9/05 15,038 15,039 11,411 14,669 15,621
12/05 15,344 15,372 11,470 14,970 15,981
3/06 16,372 16,208 11,426 15,696 16,984
6/06 15,981 15,890 11,450 15,423 16,737
9/06 16,488 16,600 11,816 16,092 17,384
12/06 17,511 17,797 11,938 17,151 18,650
3/07 17,958 18,047 12,128 17,395 19,087
6/07 19,147 19,142 12,110 18,343 20,085
9/07 19,460 19,421 12,458 18,639 20,319
12/07 19,124 18,795 12,820 18,154 19,781
3/08 17,389 17,006 13,205 16,646 18,146
6/08 17,067 16,742 13,003 16,397 17,975
9/08 15,074 15,291 12,848 15,099 16,124
12/08 11,621 11,797 13,471 12,037 12,779
3/09 10,320 10,551 13,464 10,897 11,474
6/09 12,054 12,322 13,688 12,557 13,523
9/09 13,909 14,308 14,134 14,414 15,747
12/09 14,476 15,136 14,177 15,170 16,478
3/10 15,084 16,049 14,396 16,022 17,340
6/10 13,327 14,254 14,823 14,450 15,603
7/31/2010 14,288 15,244 14,985 15,372 16,672
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Wilshire 5000 Index, and
the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The
Wilshire 5000 Index measures the performance of all U.S. headquartered
equity securities with readily available price data. The 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 years.
The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate
Government/Credit Bond Index 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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31, 2010.
(3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
(4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Wilshire 5000 Index (90%) and the Barclays Capital
U.S. Intermediate Government/Credit Bond Index (10%). The LifeModel
Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
29
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND
Small Cap Growth Index(5) 4.5%
Small Cap Value Index(6) 4.5%
International Index(7) 18.0%
Mid Cap Growth Index(8) 9.0%
Mid Cap Value Index(9) 9.0%
Large Cap Growth Index(10) 15.5%
Large Cap Value Index(11) 15.5%
Large Cap Core Index(12) 14.0%
High Yield Bond Index(13) 0.5%
Total Return Bond Index(14) 7.0%
Short Term Bond Index(15) 2.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000(R) companies that have higher price-to-book values and higher
forecasted growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index.
The Russell 2000(R) Value Index measures the performance of those Russell
2000(R) companies that have lower price-to-book ratios and lower
forecasted growth values.
(7) The International Index represents the MSCI EAFE Index. The MSCI EAFE
Index is a widely recognized, unmanaged index composed of a sample of
companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index.
The Russell Midcap(R) Growth Index measures the performance of those
Russell Midcap(R) companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index.
The Russell Midcap(R) Value Index measures the performance of those
Russell Midcap(R) companies with lower price-to-book ratios and lower
forecasted growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000(R) companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index.
The Russell 1000(R) Value Index measures the performance of those Russell
1000(R) companies with lower price-to-book ratios and lower forecasted
growth values.
(12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500
Index is comprised 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.
(13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High
Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash
Pay Master Index 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.
(14) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate
Bond Index. The 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.
(15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government
Corporate Bond Index tracks the trading of short-term U.S. government
securities and short-term domestic investment-grade corporate bonds with
maturities between 1 and 2.99 years.
30
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third LifeModel
Moderately Aggressive Fund(SM) (Institutional) gained 9.56% on a net of fee
basis, underperforming its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced
13.33%.
A wide swath of investments generated solid returns for investors during the
fiscal year as the U.S. economy recovered from the 2008-09 recession. Domestic
equities advanced through the first eight months of the period, extending an
impressive rally that started in March 2009, and withstood a retreat during the
second quarter of 2010 to end with double-digit gains. Mid and small cap stocks
generally outperformed large cap positions as investors favored riskier holdings
for much of the period, while value stocks outperformed growth stocks.
Undermined by government debt scares in Europe and slowing growth in China,
international stocks lagged domestic equities.
Fixed income markets enjoyed broad-based gains. While U.S. Treasury issues
benefited from a late-period flight to quality, government intervention efforts
helped prop up prices on structured products such as Mortgage-Backed Securities
and Asset-Backed Securities. Corporate debt grew increasingly popular as well,
due largely to the improving conditions of corporate balance sheets, and the
increased appetite for risk propelled high yield issues.
Within the Fund, an overweight position, relative to the benchmark targets, in
large cap growth stocks and a slightly underweight stake in mid and small cap
value stocks diminished relative returns. From a broader perspective, the Fund's
overweight position in equities and underweight exposure in fixed income
investments proved advantageous.
By period-end, solid quarterly earnings reports prompted many investors to wade
back into the stock market in search of high quality companies with the
potential to post above-average profits in the near-term. Such developments
reinforced the sentiment that markets have already discounted much of the
negative news that could surface in the coming quarters, so the shakeout in
equities may already be complete. As such, robust analysis and stock picking
returned to the fore for those looking to outperform the broader indexes.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR 5 YEAR INCEPTION VALUE(2)
--------- ------ ------ --------- --------
Institutional 8/1/02 9.56% 0.09% 4.99% $14,762
- ---------------------------------------------------------------------------------------------------------------------------------
Class A Shares 8/1/02 3.93% -1.16% 4.07% $13,758
- ---------------------------------------------------------------------------------------------------------------------------------
Class B Shares 8/1/02 3.57% -1.18% 3.96% $13,644
- ---------------------------------------------------------------------------------------------------------------------------------
Class C Shares 8/1/02 8.43% -0.90% 3.96% $13,646
- ---------------------------------------------------------------------------------------------------------------------------------
Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244
- ---------------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985
- ---------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive Target Neutral Style Class Index Blend(3) 13.33% -2.17% 2.72% $16,608
- ---------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive Target Neutral Asset Class Index Blend(4) 13.10% 2.19% 5.65% $15,524
- ---------------------------------------------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 0.53% (INSTITUTIONAL SHARES), 0.78% (CLASS A) AND 1.53% (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.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third International Equity Fund 20.39%
Fifth Third Total Return Bond Fund 13.86%
Fifth Third Structured Large Cap Plus Fund 13.03%
Fifth Third Quality Growth Fund 12.12%
Fifth Third Disciplined Large Cap Value Fund 11.41%
Fifth Third Mid Cap Growth Fund 7.61%
Fifth Third All Cap Value Fund 6.73%
Fifth Third Short Term Bond Fund 6.54%
Fifth Third Small Cap Growth Fund 3.63%
Fifth Third Small Cap Value Fund 3.42%
Fifth Third High Yield Bond Fund 0.92%
Fifth Third Institutional Money Market Fund 0.33%
[END CHART]
(+) Portfolio composition is subject to change.
31
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL MODERATELY BARCLAYS CAPITAL U.S. LIFEMODEL MODERATELY LIFEMODEL MODERATELY
AGGRESSIVE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ AGGRESSIVE TARGET NEUTRAL AGGRESSIVE TARGET NEUTRAL
(INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND
8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000
9/02 9,700 9,050 10,331 9,432 9,393
12/02 10,290 9,758 10,506 10,009 9,959
3/03 10,011 9,457 10,664 9,837 9,724
6/03 11,406 11,018 10,954 11,043 10,992
9/03 11,866 11,426 10,952 11,333 11,407
12/03 13,125 12,846 10,959 12,311 12,514
3/04 13,421 13,182 11,230 12,628 12,900
6/04 13,385 13,359 10,946 12,651 12,927
9/04 13,117 13,113 11,242 12,591 12,898
12/04 14,086 14,450 11,292 13,499 14,009
3/05 13,871 14,129 11,193 13,255 13,827
6/05 14,234 14,456 11,471 13,572 14,133
9/05 14,710 15,039 11,411 13,935 14,676
12/05 14,956 15,372 11,470 14,174 14,961
3/06 15,757 16,208 11,426 14,695 15,682
6/06 15,475 15,890 11,450 14,504 15,510
9/06 15,981 16,600 11,816 15,097 16,093
12/06 16,827 17,797 11,938 15,901 17,049
3/07 17,222 18,047 12,128 16,135 17,419
6/07 18,120 19,142 12,110 16,813 18,121
9/07 18,422 19,421 12,458 17,135 18,392
12/07 18,165 18,795 12,820 16,899 18,121
3/08 16,857 17,006 13,205 15,912 17,029
6/08 16,575 16,742 13,003 15,685 16,889
9/08 14,927 15,291 12,848 14,677 15,504
12/08 12,131 11,797 13,471 12,475 13,065
3/09 11,160 10,551 13,464 11,564 12,047
6/09 12,678 12,322 13,688 12,970 13,784
9/09 14,318 14,308 14,134 14,547 15,649
12/09 14,797 15,136 14,177 15,152 16,235
3/10 15,351 16,049 14,396 15,871 16,964
6/10 13,916 14,254 14,823 14,756 15,733
7/31/2010 14,762 15,244 14,985 15,524 16,608
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Wilshire 5000 Index, and the
Barclays Capital U.S. Intermediate Government/Credit Bond Index. The
Wilshire 5000 Index measures the performance of all U.S. headquartered
equity securities with readily available price data. The 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 years.
The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate
Government/Credit Bond Index 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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31, 2010.
(3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an index-
based baseline style class allocation determined by the Advisor to be
optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not represent
underlying allocations in the Fund. The Advisor will periodically adjust
the baseline style class allocation.
(4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Wilshire 5000 Index (70%) and the Barclays Capital
U.S. Intermediate Government/Credit Bond Index (30%). The LifeModel
Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
32
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM)
- --------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND
Small Cap Growth Index(5) 3.5%
Small Cap Value Index(6) 3.5%
International Index(7) 14.0%
Mid Cap Growth Index(8) 7.0%
Mid Cap Value Index(9) 7.0%
Large Cap Growth Index(10) 12.0%
Large Cap Value Index(11) 12.0%
Large Cap Core Index(12) 11.0%
High Yield Bond Index(13) 1.5%
Total Return Bond Index(14) 21.0%
Short Term Bond Index(15) 7.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth
Index. The Russell 2000(R) Growth Index measures the performance of those
Russell 2000(R) companies that have higher price-to-book values and higher
forecasted growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index.
The Russell 2000(R) Value Index measures the performance of those Russell
2000(R) companies that have lower price-to-book ratios and lower
forecasted growth values.
(7) The International Index represents the MSCI EAFE Index. The MSCI EAFE
Index is a widely recognized, unmanaged index composed of a sample of
companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth
Index. The Russell Midcap(R) Growth Index measures the performance of
those Russell Midcap(R) companies with higher price-to-book ratios and
higher forecasted growth values.
(9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index.
The Russell Midcap(R) Value Index measures the performance of those
Russell Midcap(R) companies with lower price-to-book ratios and lower
forecasted growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth
Index. The Russell 1000(R) Growth Index measures the performance of those
Russell 1000(R) companies with higher price-to-book ratios and higher
forecasted growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index.
The Russell 1000(R) Value Index measures the performance of those Russell
1000(R) companies with lower price-to-book ratios and lower forecasted
growth values.
(12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500
Index is comprised 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.
(13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High
Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash
Pay Master Index 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.
(14) The Total Return Bond Index represents the Barclays Capital U.S.
Aggregate Bond Index. The 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.
(15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index tracks the trading of short-term U.S.
government securities and short-term domestic investment-grade corporate
bonds with maturities between 1 and 2.99 years.
33
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATE FUND(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third LifeModel Moderate
Fund(SM) (Institutional) gained 9.60% on a net of fee basis, underperforming its
benchmark, a blend of the Wilshire 5000 Index and the Barclays Capital U.S.
Intermediate Government/Credit Bond Index, which advanced 12.04%.
A wide swath of investments generated solid returns for investors during the
fiscal year as the U.S. economy recovered from the 2008-09 recession. Domestic
equities advanced through the first eight months of the period, extending an
impressive rally that started in March 2009, and withstood a retreat during the
second quarter of 2010 to end with double-digit gains. Mid and small cap stocks
generally outperformed large cap positions as investors favored riskier holdings
for much of the period, while value stocks outperformed growth stocks.
Undermined by government debt scares in Europe and slowing growth in China,
international stocks lagged domestic equities.
Fixed income markets enjoyed broad-based gains. While U.S. Treasury issues
benefited from a late-period flight to quality, government intervention efforts
helped prop up prices on structured products such as Mortgage-Backed Securities
and Asset-Backed Securities. Corporate debt grew increasingly popular as well,
due largely to the improving conditions of corporate balance sheets, and the
increased appetite for risk propelled high yield issues.
Within the Fund, an overweight position, relative to the benchmark targets, in
large cap growth stocks and a slightly underweight stake in mid and small cap
value stocks diminished relative returns. From a broader perspective, the Fund's
overweight position in equities and underweight exposure in fixed income
investments proved advantageous.
By period-end, solid quarterly earnings reports prompted many investors to wade
back into the stock market in search of high quality companies with the
potential to post above-average profits in the near-term. Such developments
reinforced the sentiment that markets have already discounted much of the
negative news that could surface in the coming quarters, so the shakeout in
equities may already be complete. As such, robust analysis and stock picking
returned to the fore for those looking to outperform the broader indexes.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR 5 YEAR INCEPTION VALUE(2)
--------- ------ ------ --------- --------
Institutional 8/1/02 9.60% 1.21% 4.45% $14,171
- --------------------------------------------------------------------------------------------------------------------------------
Class A Shares 8/1/02 3.91% -0.06% 3.53% $13,196
- --------------------------------------------------------------------------------------------------------------------------------
Class B Shares 8/1/02 3.43% -0.11% 3.42% $13,083
- --------------------------------------------------------------------------------------------------------------------------------
Class C Shares 8/1/02 8.57% 0.21% 3.43% $13,093
- --------------------------------------------------------------------------------------------------------------------------------
Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244
- --------------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985
- --------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderate Target Neutral Style Class Index Blend(3) 12.04% 0.64% 3.74% $16,392
- --------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderate Target Neutral Asset Class Index Blend(4) 11.78% 3.33% 5.66% $15,537
- --------------------------------------------------------------------------------------------------------------------------------
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 7/31/10, 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
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third Total Return Bond Fund 28.72%
Fifth Third International Equity Fund 14.75%
Fifth Third Short Term Bond Fund 13.35%
Fifth Third Quality Growth Fund 9.62%
Fifth Third Structured Large Cap Plus Fund 8.54%
Fifth Third Disciplined Large Cap Value Fund 7.85%
Fifth Third Mid Cap Growth Fund 5.70%
Fifth Third All Cap Value Fund 4.53%
Fifth Third Small Cap Growth Fund 2.59%
Fifth Third Small Cap Value Fund 2.15%
Fifth Third High Yield Bond Fund 1.49%
Fifth Third Institutional Money Market Fund 0.71%
[END CHART]
(+) Portfolio composition is subject to change.
34
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATE FUND(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
BARCLAYS CAPITAL U.S. LIFEMODEL MODERATE LIFEMODEL MODERATE
LIFEMODEL MODERATE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ TARGET NEUTRAL TARGET NEUTRAL
(INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND
8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000
9/02 9,594 9,050 10,331 9,687 9,643
12/02 10,053 9,758 10,506 10,164 10,110
3/03 9,894 9,457 10,664 10,083 9,983
6/03 10,944 11,018 10,954 11,039 10,978
9/03 11,269 11,426 10,952 11,247 11,280
12/03 12,129 12,846 10,959 11,938 12,075
3/04 12,449 13,182 11,230 12,242 12,419
6/04 12,367 13,359 10,946 12,169 12,365
9/04 12,220 13,113 11,242 12,223 12,443
12/04 12,892 14,450 11,292 12,864 13,237
3/05 12,736 14,129 11,193 12,667 13,098
6/05 13,045 14,456 11,471 12,974 13,401
9/05 13,354 15,039 11,411 13,203 13,754
12/05 13,547 15,372 11,470 13,385 13,969
3/06 14,078 16,208 11,426 13,721 14,441
6/06 13,876 15,890 11,450 13,602 14,334
9/06 14,334 16,600 11,816 14,123 14,857
12/06 14,948 17,797 11,938 14,701 15,542
3/07 15,265 18,047 12,128 14,923 15,852
6/07 15,845 19,142 12,110 15,365 16,300
9/07 16,123 19,421 12,458 15,703 16,597
12/07 15,971 18,795 12,820 15,680 16,546
3/08 15,117 17,006 13,205 15,154 15,925
6/08 14,903 16,742 13,003 14,942 15,805
9/08 13,669 15,291 12,848 14,205 14,842
12/08 11,698 11,797 13,471 12,849 13,272
3/09 11,122 10,551 13,464 12,183 12,555
6/09 12,312 12,322 13,688 13,294 13,939
9/09 13,595 14,308 14,134 14,566 15,425
12/09 13,963 15,136 14,177 15,012 15,862
3/10 14,408 16,049 14,396 15,591 16,454
6/10 13,566 14,254 14,823 14,934 15,721
7/31/2010 14,171 15,244 14,985 15,537 16,392
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Wilshire 5000 Index, and
the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The
Wilshire 5000 Index measures the performance of all U.S. headquartered
equity securities with readily available price data. The 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 years.
The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate
Government/Credit Bond Index 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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31, 2010.
(3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
(4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Wilshire 5000 Index (50%) and the Barclays Capital
U.S. Intermediate Government/Credit Bond Index (50%). The LifeModel
Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
35
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATE FUND(SM)
- --------------------------------------------------------------------------------
LIFEMODEL MODERATE TARGET NEUTRAL STYLE CLASS INDEX BLEND
Small Cap Growth Index(5) 2.5%
Small Cap Value Index(6) 2.5%
International Index(7) 10.0%
Mid Cap Growth Index(8) 5.0%
Mid Cap Value Index(9) 5.0%
Large Cap Growth Index(10) 8.5%
Large Cap Value Index(11) 8.5%
Large Cap Core Index(12) 8.0%
High Yield Bond Index(13) 2.5%
Total Return Bond Index(14) 35.0%
Short Term Bond Index(15) 12.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth
Index. The Russell 2000(R) Growth Index measures the performance of those
Russell 2000(R) companies that have higher price-to-book values and higher
forecasted growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index.
The Russell 2000(R) Value Index measures the performance of those Russell
2000(R) companies that have lower price-to-book ratios and lower
forecasted growth values.
(7) The International Index represents the MSCI EAFE Index. The MSCI EAFE
Index is a widely recognized, unmanaged index composed of a sample of
companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth
Index. The Russell Midcap(R) Growth Index measures the performance of
those Russell Midcap(R) companies with higher price-to-book ratios and
higher forecasted growth values.
(9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index.
The Russell Midcap(R) Value Index measures the performance of those
Russell Midcap(R) companies with lower price-to-book ratios and lower
forecasted growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth
Index. The Russell 1000(R) Growth Index measures the performance of those
Russell 1000(R) companies with higher price-to-book ratios and higher
forecasted growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index.
The Russell 1000(R) Value Index measures the performance of those Russell
1000(R) companies with lower price-to-book ratios and lower forecasted
growth values.
(12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500
Index is comprised 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.
(13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High
Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash
Pay Master Index 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.
(14) The Total Return Bond Index represents the Barclays Capital U.S.
Aggregate Bond Index. The 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.
(15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index tracks the trading of short-term U.S.
government securities and short-term domestic investment-grade corporate
bonds with maturities between 1 and 2.99 years.
36
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third LifeModel
Moderately Conservative Fund(SM) (Institutional) gained 10.07% on a net of fee
basis, underperforming its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced
11.36%.
A wide swath of investments generated solid returns for investors during the
fiscal year as the U.S. economy recovered from the 2008-09 recession. Fixed
income markets enjoyed broad-based gains, as government intervention efforts
helped prop up prices on structured products such as Mortgage-Backed Securities
and Asset-Backed Securities. Late in the period, U.S. Treasury issues benefited
from a late-period flight to quality. Meanwhile, corporate debt grew
increasingly popular, due largely to the improving conditions of corporate
balance sheets, and increased investor appetites for risk propelled high yield
issues.
Domestic equities advanced through the first eight months of the period,
extending an impressive rally that started in March 2009, and withstood a
retreat during the second quarter of 2010 to end with double-digit gains. Mid
and small cap stocks generally outperformed large cap positions as investors
turned to riskier holdings for much of the period, while value stocks
outperformed growth stocks. Undermined by government debt scares in Europe and
slowing growth in China, international stocks lagged domestic equities.
Within the Fund, an overweight position, relative to the benchmark targets, in
short term bonds and underweight stake in longer term bonds diminished relative
returns as issues on the longer end of the yield curve posted better gains. From
a broader perspective, the Fund's overweight position in equities and
underweight exposure in fixed income investments proved advantageous.
By period-end, solid quarterly earnings reports prompted many investors to wade
back into the stock market in search of high quality companies with the
potential to post above-average profits in the near-term. Meanwhile, with
interest rates lingering near record lows, the prospect of rising yields loomed
over the fixed income market. As such, robust analysis and security selection
returned to the fore for those looking to outperform the broader indexes.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR 5 YEAR INCEPTION VALUE(2)
--------- ------ ------ --------- --------
Institutional 8/1/02 10.07% 1.80% 4.14% $13,839
- --------------------------------------------------------------------------------------------------------------------------------
Class A Shares 8/1/02 4.31% 0.49% 3.21% $12,871
- --------------------------------------------------------------------------------------------------------------------------------
Class B Shares 8/1/02 4.01% 0.48% 3.11% $12,776
- --------------------------------------------------------------------------------------------------------------------------------
Class C Shares 8/1/02 8.98% 0.79% 3.11% $12,777
- --------------------------------------------------------------------------------------------------------------------------------
Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244
- --------------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985
- --------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative Target Neutral Style Class Index Blend(3) 11.36% 1.99% 4.20% $16,231
- --------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative Target Neutral Asset Class Index Blend(4) 11.08% 3.86% 5.62% $15,492
- --------------------------------------------------------------------------------------------------------------------------------
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 7/31/10, 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.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third Total Return Bond Fund 33.34%
Fifth Third Short Term Bond Fund 17.02%
Fifth Third International Equity Fund 10.07%
Fifth Third Quality Growth Fund 8.96%
Fifth Third Structured Large Cap Plus Fund 8.24%
Fifth Third Disciplined Large Cap Value Fund 6.91%
Fifth Third Mid Cap Growth Fund 4.97%
Fifth Third All Cap Value Fund 3.88%
Fifth Third Small Cap Growth Fund 2.20%
Fifth Third Small Cap Value Fund 2.02%
Fifth Third High Yield Bond Fund 1.87%
Fifth Third Institutional Money Market Fund 0.51%
[END CHART]
(+) Portfolio composition is subject to change.
37
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL MODERATELY BARCLAYS CAPITAL U.S. LIFEMODEL MODERATELY LIFEMODEL MODERATELY
CONSERVATIVE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ CONSERVATIVE TARGET NEUTRAL CONSERVATIVE TARGET NEUTRAL
(INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND
8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000
9/02 9,517 9,050 10,331 9,816 9,768
12/02 9,958 9,758 10,506 10,237 10,182
3/03 9,844 9,457 10,664 10,203 10,110
6/03 10,726 11,018 10,954 11,030 10,965
9/03 10,988 11,426 10,952 11,197 11,210
12/03 11,674 12,846 10,959 11,747 11,853
3/04 11,925 13,182 11,230 12,045 12,177
6/04 11,817 13,359 10,946 11,926 12,085
9/04 11,751 13,113 11,242 12,033 12,213
12/04 12,291 14,450 11,292 12,547 12,857
3/05 12,158 14,129 11,193 12,371 12,737
6/05 12,437 14,456 11,471 12,673 13,039
9/05 12,673 15,039 11,411 12,839 13,304
12/05 12,822 15,372 11,470 12,995 13,487
3/06 13,217 16,208 11,426 13,245 13,846
6/06 13,073 15,890 11,450 13,159 13,767
9/06 13,507 16,600 11,816 13,646 14,262
12/06 14,009 17,797 11,938 14,120 14,825
3/07 14,294 18,047 12,128 14,336 15,108
6/07 14,725 19,142 12,110 14,672 15,444
9/07 14,982 19,421 12,458 15,015 15,750
12/07 14,856 18,795 12,820 15,085 15,793
3/08 14,207 17,006 13,205 14,768 15,381
6/08 14,048 16,742 13,003 14,561 15,269
9/08 13,020 15,291 12,848 13,953 14,500
12/08 11,361 11,797 13,471 13,009 13,346
3/09 10,927 10,551 13,464 12,472 12,784
6/09 12,000 12,322 13,688 13,421 13,979
9/09 13,198 14,308 14,134 14,533 15,271
12/09 13,529 15,136 14,177 14,898 15,634
3/10 13,941 16,049 14,396 15,405 16,157
6/10 13,327 14,254 14,823 14,975 15,665
7/31/2010 13,839 15,244 14,985 15,492 16,231
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Wilshire 5000 Index,
and the Barclays Capital U.S. Intermediate Government/Credit Bond Index.
The Wilshire 5000 Index measures the performance of all U.S. headquartered
equity securities with readily available price data. The 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 years.
The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate
Government/Credit Bond Index 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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31, 2010.
(3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
(4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Wilshire 5000 Index (40%) and the Barclays Capital
U.S. Intermediate Government/Credit Bond Index (60%). The LifeModel
Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
38
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND
Small Cap Growth Index(5) 2.0%
Small Cap Value Index(6) 2.0%
International Index(7) 8.0%
Mid Cap Growth Index(8) 4.0%
Mid Cap Value Index(9) 4.0%
Large Cap Growth Index(10) 7.0%
Large Cap Value Index(11) 7.0%
Large Cap Core Index(12) 6.0%
High Yield Bond Index(13) 3.0%
Total Return Bond Index(14) 42.0%
Short Term Bond Index(15) 15.0%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000(R) companies that have higher price-to-book values and higher
forecasted growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index.
The Russell 2000(R) Value Index measures the performance of those Russell
2000(R) companies that have lower price-to-book ratios and lower
forecasted growth values.
(7) The International Index represents the MSCI EAFE Index. The MSCI EAFE
Index is a widely recognized, unmanaged index composed of a sample of
companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index.
The Russell Midcap(R) Growth Index measures the performance of those
Russell Midcap(R) companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index.
The Russell Midcap(R) Value Index measures the performance of those
Russell Midcap(R) companies with lower price-to-book ratios and lower
forecasted growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000(R) companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index.
The Russell 1000(R) Value Index measures the performance of those Russell
1000(R) companies with lower price-to-book ratios and lower forecasted
growth values.
(12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500
Index is comprised 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.
(13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High
Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash
Pay Master Index 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.
(14) The Total Return Bond Index represents the Barclays Capital U.S.
Aggregate Bond Index. The 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.
(15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index tracks the trading of short-term U.S.
government securities and short-term domestic investment-grade corporate
bonds with maturities between 1 and 2.99 years.
39
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third LifeModel
Conservative Fund(SM) (Institutional) gained 9.77% on a net of fee basis,
narrowly trailing its benchmark, a blend of the Wilshire 5000 Index and the
Barclays Capital U.S. Intermediate Government/Credit Bond Index, which
advanced 9.90%.
A wide swath of investments generated solid returns for investors during the
fiscal year as the U.S. economy recovered from the 2008-09 recession. Fixed
income markets enjoyed broad-based gains, as government intervention efforts
helped prop up prices on structured products such as Mortgage-Backed Securities
and Asset-Backed Securities. Late in the period, U.S. Treasury issues benefited
from a late-period flight to quality. Meanwhile, corporate debt grew
increasingly popular, due largely to the improving conditions of corporate
balance sheets, and increased investor appetites for risk propelled high yield
issues.
Domestic equities advanced through the first eight months of the period,
extending an impressive rally that started in March 2009, and withstood a
retreat during the second quarter of 2010 to end with double-digit gains. Mid
and small cap stocks generally outperformed large cap positions as investors
turned to riskier holdings for much of the period, while value stocks
outperformed growth stocks. Undermined by government debt scares in Europe and
slowing growth in China, international stocks lagged domestic equities.
Within the Fund, an overweight position, relative to the benchmark targets, in
equities and underweight exposure in fixed income investments proved
advantageous. An overweight stake in high yield bonds further enhanced relative
returns. Alternatively, an overweight position in short term bonds and
underweight stake in longer term bonds diminished relative returns as issues on
the longer end of the yield curve posted better gains.
By period-end, solid quarterly earnings reports prompted many investors to wade
back into the stock market in search of high quality companies with the
potential to post above-average profits in the near-term. Meanwhile, with
interest rates lingering near record lows, the prospect of rising yields loomed
over the fixed income market. As such, robust analysis and security selection
returned to the fore for those looking to outperform the broader indexes.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR 5 YEAR INCEPTION VALUE(2)
--------- ------ ------ --------- --------
Institutional 8/1/02 9.77% 2.41% 3.91% $13,593
- -----------------------------------------------------------------------------------------------------------------------------
Class A Shares 8/1/02 3.92% 1.12% 2.98% $12,648
- -----------------------------------------------------------------------------------------------------------------------------
Class B Shares 8/1/02 3.58% 1.07% 2.88% $12,550
- -----------------------------------------------------------------------------------------------------------------------------
Class C Shares 8/1/02 8.56% 1.37% 2.88% $12,548
- -----------------------------------------------------------------------------------------------------------------------------
Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244
- -----------------------------------------------------------------------------------------------------------------------------
Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985
- -----------------------------------------------------------------------------------------------------------------------------
LifeModel Conservative Target Neutral Style Class Index Blend(3) 9.90% 4.60% 5.04% $15,804
- -----------------------------------------------------------------------------------------------------------------------------
LifeModel Conservative Target Neutral Asset Class Index Blend(4) 9.58% 4.82% 5.46% $15,302
- -----------------------------------------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 0.65% (INSTITUTIONAL SHARES), 0.90% (CLASS A) AND 1.65% (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.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Fifth Third Total Return Bond Fund 48.69%
Fifth Third Short Term Bond Fund 22.79%
Fifth Third Quality Growth Fund 5.22%
Fifth Third International Equity Fund 4.79%
Fifth Third Disciplined Large Cap Value Fund 4.17%
Fifth Third Structured Large Cap Plus Fund 3.81%
Fifth Third Mid Cap Growth Fund 2.80%
Fifth Third High Yield Bond Fund 2.60%
Fifth Third All Cap Value Fund 2.19%
Fifth Third Small Cap Value Fund 1.25%
Fifth Third Small Cap Growth Fund 1.23%
Fifth Third Institutional Money Market Fund 0.47%
[END CHART]
(+) Portfolio composition is subject to change.
40
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL BARCLAYS CAPITAL U.S. LIFEMODEL MODERATELY LIFEMODEL MODERATELY
CONSERVATIVE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ CONSERVATIVE TARGET NEUTRAL CONSERVATIVE TARGET NEUTRAL
(INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND
8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000
9/02 9,909 9,050 10,331 10,073 10,019
12/02 10,233 9,758 10,506 10,377 10,320
3/03 10,245 9,457 10,664 10,437 10,362
6/03 10,840 11,018 10,954 11,000 10,928
9/03 10,996 11,426 10,952 11,082 11,058
12/03 11,383 12,846 10,959 11,356 11,405
3/04 11,609 13,182 11,230 11,641 11,689
6/04 11,450 13,359 10,946 11,437 11,527
9/04 11,500 13,113 11,242 11,643 11,746
12/04 11,819 14,450 11,292 11,916 12,108
3/05 11,714 14,129 11,193 11,780 12,024
6/05 11,979 14,456 11,471 12,070 12,320
9/05 12,086 15,039 11,411 12,118 12,420
12/05 12,194 15,372 11,470 12,223 12,545
3/06 12,414 16,208 11,426 12,316 12,699
6/06 12,345 15,890 11,450 12,290 12,670
9/06 12,737 16,600 11,816 12,714 13,112
12/06 13,074 17,797 11,938 12,999 13,457
3/07 13,305 18,047 12,128 13,202 13,690
6/07 13,528 19,142 12,110 13,347 13,830
9/07 13,756 19,421 12,458 13,696 14,148
12/07 13,696 18,795 12,820 13,928 14,351
3/08 13,339 17,006 13,205 13,989 14,308
6/08 13,195 16,742 13,003 13,787 14,204
9/08 12,433 15,291 12,848 13,417 13,791
12/08 11,318 11,797 13,471 13,276 13,433
3/09 11,185 10,551 13,464 13,002 13,182
6/09 11,972 12,322 13,688 13,602 13,975
9/09 12,864 14,308 14,134 14,385 14,875
12/09 13,103 15,136 14,177 14,588 15,091
3/10 13,431 16,049 14,396 14,950 15,476
6/10 13,255 14,254 14,823 14,961 15,446
7/31/2010 13,953 15,244 14,985 15,302 15,804
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Wilshire 5000 Index, and
the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The
Wilshire 5000 Index measures the performance of all U.S. headquartered
equity securities with readily available price data. The 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 years.
The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate
Government/Credit Bond Index 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 Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31, 2010.
(3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
(4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Wilshire 5000 Index (20%) and the Barclays Capital
U.S. Intermediate Government/Credit Bond Index (80%). The LifeModel
Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
41
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD LIFEMODEL CONSERVATIVE FUND(SM)
- --------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND
Small Cap Growth Index(5) 1.0%
Small Cap Value Index(6) 1.0%
International Index(7) 4.0%
Mid Cap Growth Index(8) 2.0%
Mid Cap Value Index(9) 2.0%
Large Cap Growth Index(10) 3.5%
Large Cap Value Index(11) 3.5%
Large Cap Core Index(12) 3.0%
High Yield Bond Index(13) 4.0%
Total Return Bond Index(14) 56.0%
Short Term Bond Index(15) 20.0%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth
Index. The Russell 2000(R) Growth Index measures the performance of those
Russell 2000(R) companies that have higher price-to-book values and higher
forecasted growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index.
The Russell 2000(R) Value Index measures the performance of those Russell
2000(R) companies that have lower price-to-book ratios and lower
forecasted growth values.
(7) The International Index represents the MSCI EAFE Index. The MSCI EAFE
Index is a widely recognized, unmanaged index composed of a sample of
companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index.
The Russell Midcap(R) Growth Index measures the performance of those
Russell Midcap(R) companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index.
The Russell Midcap(R) Value Index measures the performance of those
Russell Midcap(R) companies with lower price-to-book ratios and lower
forecasted growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000(R) companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index.
The Russell 1000(R) Value Index measures the performance of those Russell
1000(R) companies with lower price-to-book ratios and lower forecasted
growth values.
(12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500
Index is comprised 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.
(13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High
Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash
Pay Master Index 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.
(14) The Total Return Bond Index represents the Barclays Capital U.S.
Aggregate Bond Index. The 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.
(15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year
Government Corporate Bond Index tracks the trading of short-term U.S.
government securities and short-term domestic investment-grade corporate
bonds with maturities between 1 and 2.99 years.
42
This page intentionally left blank.
43
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third High Yield Bond
Fund (Institutional) advanced 19.22% on a net of fee basis, underperforming its
benchmark, the BofA Merrill Lynch U.S. High Yield Master, Cash Pay Index, which
gained 23.96%.
Through the first eight months of the fiscal year, high yield bonds rallied
considerably, extending a run that started in early 2009 as economic
fundamentals solidified and returns proved enticing compared to the low rates
offered on U.S. Treasury issues. Economic uncertainties emerged in Europe during
April, however, and tempered risk appetites for the balance of the period.
Despite the late-period retreat, the spread between high yield interest rates
and yields on Treasuries narrowed during the period. The lowest quality segment
(CCC-rated securities) led the way, generating returns nearly twice as large as
those recorded by higher-quality bonds (B- and BB-rated securities). Most
notably, the Financials sector soared as the memory of the near-meltdown of the
world's financial system in 2008 and early 2009 faded.
The Fund's performance suffered from a lack of exposure to low-quality issues
and an underweight position, relative to the benchmark, in the Financials
sector, especially within the banking, finance, and insurance industries. During
the latter months of the period, however, the Fund reduced its underweight
position in the finance and insurance groups by increasing exposure to higher
quality issuers that offered compelling relative values.
Although the higher quality Energy, Healthcare, and Utilities sectors lagged the
benchmark during the period, the Fund's security selection within the groups
proved advantageous. More specifically, positions in oilfield service companies
boosted relative returns within the Energy sector, while acute care hospital
holdings enhanced Healthcare sector gains. Positions in the homebuilding and
automobile retailer industries further aided performance.
Looking ahead, prospects for the high yield bond market remain attractive. Low
lending rates and fairly open access to capital should aid higher quality
issuers, but lower quality borrowers will likely endure bouts of volatility. As
the Fund maintains its high quality bias, it continues to seek solid relative
values featuring appropriate risk-reward characteristics.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING
DATE 1 YEAR INCEPTION VALUE(2)
-------- ------ --------- --------
Institutional 11/29/05 19.22% 7.46% $13,994
- ---------------------------------------------------------------------------------------------------
Class A Shares 11/29/05 13.35% 5.98% $13,118
- ---------------------------------------------------------------------------------------------------
Class B Shares 11/29/05 13.07% 6.06% $13,162
- ---------------------------------------------------------------------------------------------------
Class C Shares 11/29/05 18.06% 6.39% $13,356
- ---------------------------------------------------------------------------------------------------
BofA Merrill Lynch U.S. High Yield, Cash Pay Index(1) 23.96% 8.12% $14,404
- ---------------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 1.20% (INSTITUTIONAL SHARES), 1.42% (CLASS A), 2.21% (CLASS B) AND
2.23% (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 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.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
Corporate Bonds 78.25%
Investment Companies* 11.09%
Foreign Bonds 8.30%
Investments in Affiliates 2.10%
Preferred Stocks 0.26%
[END CHART]
(+) Portfolio composition is subject to change.
* Includes State Street Navigator Prime Securities Lending Portfolio. (See
Note 2)
44
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
HIGH YIELD BOND BOFA MERRILL LYNCH U.S. HIGH
(INSTITUTIONAL SHARES) YIELD, CASH PAY INDEX
11/29/05 $10,000 $10,000
12/05 10,002 10,092
3/06 10,231 10,380
6/06 10,094 10,396
9/06 10,420 10,817
12/06 10,817 11,267
3/07 11,096 11,569
6/07 11,100 11,605
9/07 11,209 11,645
12/07 11,165 11,512
3/08 10,934 11,169
6/08 11,216 11,369
9/08 10,465 10,292
12/08 8,496 8,494
3/09 9,042 8,941
6/09 11,097 10,957
9/09 12,464 12,543
12/09 13,098 13,274
3/10 13,575 13,918
6/10 13,519 13,916
7/31/2010 13,994 14,404
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the BofA Merrill Lynch U.S.
High Yield Cash Pay Index, 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. The index does 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 mutual funds or
securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31, 2010.
45
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Total Return Bond
Fund (Institutional) gained 11.91% on a net of fee basis, outperforming its
benchmark, the Barclays Capital U.S. Aggregate Bond Index, which advanced 8.91%.
With some help from the U.S. government, much of the fixed income market enjoyed
positive returns during the period. Due in part to initiatives such as the Term
Asset-Backed Loan Facility (TALF) and Public Private Investment Program (PPIP),
bond prices gained traction and many issues that plummeted between 2008 and
early 2009 rallied through the fiscal year. More specifically, TALF provided
low-cost financing for buyers of consumer-related Asset-Backed Securities, and
PPIP matched privately raised capital with federal funds to support the market
for non-U.S. Government Agency Mortgage-Backed Securities (MBS) and Commercial
Mortgage-Backed Securities (CMBS).
Interestingly, U.S. Treasury securities also performed well during the period,
as the yield on five-year Treasuries dropped 92 basis points (yields move in the
opposite direction of prices), indicating a broad-based interest in fixed income
investments.
Within the Fund, non-Agency MBS and CMBS drove outperformance, and rising prices
allowed for strategic exit points, especially in the non-Agency MBS space, where
fundamentals remained shaky. Some of the proceeds were directed into corporate
bonds, where healthy balance sheets proved attractive, although an underweight
position, relative to the benchmark, to lower-quality BBB-rated issues hindered
relative gains.
Fund performance also suffered somewhat from its short duration, which is
designed to enhance returns in a rising-rate environment, and a modest exposure
to Treasury Inflation Protected Securities, which faltered as inflation was
virtually nonexistent.
At period-end, the Fund maintained its short duration, as yields likely will
rise off historic lows at some point in the coming quarters. Otherwise, the Fund
emphasized high-quality corporate bonds and CMBS, where steady fundamentals
appear to offer a firm foundation for continued gains going forward.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 11.91% 2.98% 4.66% $15,765
- ----------------------------------------------------------------------------------------
Class A Shares 6.48% 1.74% 3.90% $14,656
- ----------------------------------------------------------------------------------------
Class B Shares 5.90% 1.65% 3.62% $14,274
- ----------------------------------------------------------------------------------------
Class C Shares 10.93% 1.97% 3.62% $14,267
- ----------------------------------------------------------------------------------------
Barclays Capital U.S. Aggregate Bond Index(1) 8.91% 5.96% 6.48% $18,743
- ----------------------------------------------------------------------------------------
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 7/31/10, 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 are adjusted to reflect expenses
and applicable sales charges for Class B and Class C Shares.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
U.S. Government Agencies 39.35%
Corporate Bonds 19.84%
Mortgage-Backed Securities 17.14%
Asset-Backed Securities 5.93%
U.S. Treasury Obligations 4.81%
Investment Companies* 4.57%
Foreign Bonds 4.36%
Investments in Affiliates 2.84%
Preferred Stocks 1.16%
[END CHART]
(+) Portfolio composition is subject to change.
* Includes State Street Navigator Prime Securities Lending Portfolio. (See
Note 2)
46
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
TOTAL RETURN BOND BARCLAYS CAPITAL U.S.
(INSTITUTIONAL SHARES) AGGREGATE BOND INDEX
7/31/00 $10,000 $10,000
9/00 10,220 10,209
12/00 10,692 10,638
3/01 11,049 10,961
6/01 11,064 11,023
9/01 11,644 11,531
12/01 11,467 11,536
3/02 11,350 11,547
6/02 11,832 11,974
9/02 12,392 12,522
12/02 12,547 12,719
3/03 12,712 12,896
6/03 12,964 13,219
9/03 12,924 13,200
12/03 12,949 13,241
3/04 13,260 13,593
6/04 12,919 13,261
9/04 13,306 13,685
12/04 13,425 13,816
3/05 13,386 13,750
6/05 13,756 14,163
9/05 13,645 14,068
12/05 13,708 14,152
3/06 13,627 14,060
6/06 13,593 14,049
9/06 14,095 14,584
12/06 14,250 14,765
3/07 14,459 14,987
6/07 14,351 14,909
9/07 14,604 15,333
12/07 14,880 15,793
3/08 14,756 16,135
6/08 14,496 15,971
9/08 13,753 15,893
12/08 13,034 16,620
3/09 13,098 16,640
6/09 13,682 16,936
9/09 14,567 17,570
12/09 14,750 17,606
3/10 15,091 17,920
6/10 15,575 18,545
7/31/10 15,765 18,743
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER
OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED
MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT
www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Barclays Capital U.S.
Aggregate Bond Index. The 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.
The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index and
does not reflect the deduction of fees associated with a mutual fund such
as investment management and fund accounting fees. However, the Fund's
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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
47
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
SHORT TERM BOND FUND
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Short Term Bond
Fund (Institutional) advanced 5.18% on a net of fee basis, outperforming its
primary benchmark, the BofA Merrill Lynch 1-3 Year Government/Corporate Bond
Index, which gained 3.76%.
With some help from the U.S. government, much of the fixed income market enjoyed
positive returns during the period. Due in part to initiatives such as the Term
Asset-Backed Loan Facility (TALF) and the Public Private Investment Program
(PPIP), bond prices gained traction and many issues that plummeted between 2008
and early 2009 rallied through the fiscal year. More specifically, TALF provided
low-cost financing for buyers of consumer-related Asset-Backed Securities (ABS),
and PPIP matched privately raised capital with federal funds to support the
market for non-U.S. Government Agency Mortgage-Backed Securities (MBS) and
Commercial Mortgage-Backed Securities (CMBS).
Interestingly, U.S. Treasury securities also performed well during the period,
as the yield on two-year Treasuries dropped 56 basis points (yields move in the
opposite direction of prices), indicating a broad-based interest in fixed income
investments. Meanwhile, the Federal Reserve kept its prime lending rate in a
range between 0.00% and 0.25%.
The Fund's relative performance benefited from a number of ABS, MBS, and CMBS
that had fallen in 2008-09, but rallied during the fiscal year. Alternatively,
the Fund's short duration position, designed to generate gains as rates rise,
proved a drag as yields kept declining. Given the historically low rates
throughout the short term bond market, however, the Fund maintained the short
duration in anticipation of a future rise in rates.
Elsewhere, the Fund increased its exposure to corporate bonds during the period,
as valuations remained attractive, considering the robust health of corporate
balance sheets. The Fund also added to high quality CMBS, but trimmed back on
residential MBS and ABS. Elsewhere, the Fund's exposure to Agency MBS drifted
lower, reflecting uncertainties about the long-term future of mortgage backers
Fannie Mae and Freddie Mac.
- --------------------------------------------------------------------------------
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 JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENDING
1 YEAR 5 YEAR 10 YEAR VALUE(2)
------ ------ ------- --------
Institutional 5.18% 4.22% 4.17% $15,039
- -------------------------------------------------------------------------------------------------------------
Class A Shares 1.77% 3.33% 3.64% $14,292
- -------------------------------------------------------------------------------------------------------------
Class C Shares 4.14% 3.19% 3.13% $13,606
- -------------------------------------------------------------------------------------------------------------
BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index(1) 3.76% 4.61% 4.66% $15,774
- -------------------------------------------------------------------------------------------------------------
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 7/31/10, THE GROSS EXPENSE
RATIOS ARE 0.78% (INSTITUTIONAL SHARES), 1.03% (CLASS A) AND 1.78% (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.
- --------------------------------------------------------------------------------
FUND HOLDINGS AS OF JULY 31, 2010
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS(+)
- --------------------------------------------------------------------------------
[CHART OF FUND HOLDINGS]
U.S. Government Agencies 37.89%
Corporate Bonds 18.69%
Investment Companies* 14.42%
Mortgage-Backed Securities 11.30%
Asset-Backed Securities 5.78%
U.S. Treasury Obligations 5.51%
Foreign Bonds 5.17%
Investments in Affiliates 1.21%
Municipal Bonds 0.03%
[END CHART]
(+) Portfolio composition is subject to change.
* Includes State Street Navigator Prime Securities Lending Portfolio. (See
Note 2)
48
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
SHORT TERM BOND FUND
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
[CHART OF GROWTH OF A $10,000 INVESTMENT]
SHORT TERM BOND BOFA MERRILL LYNCH 1-3 YEAR
(INSTITUTIONAL SHARES) GOVERNMENT/CORPORATE BOND INDEX
7/31/00 $10,000 $10,000
9/00 10,177 10,156
12/00 10,451 10,426
3/01 10,747 10,729
6/01 10,867 10,868
9/01 11,213 11,246
12/01 11,277 11,334
3/02 11,227 11,336
6/02 11,460 11,610
9/02 11,694 11,884
12/02 11,822 12,025
3/03 11,921 12,129
6/03 12,013 12,263
9/03 12,063 12,324
12/03 12,062 12,355
3/04 12,169 12,494
6/04 12,037 12,353
9/04 12,142 12,493
12/04 12,151 12,505
3/05 12,120 12,470
6/05 12,260 12,624
9/05 12,279 12,640
12/05 12,352 12,724
3/06 12,408 12,785
6/06 12,485 12,869
9/06 12,727 13,131
12/06 12,856 13,265
3/07 13,038 13,456
6/07 13,121 13,554
9/07 13,347 13,878
12/07 13,573 14,177
3/08 13,711 14,553
6/08 13,747 14,474
9/08 13,645 14,500
12/08 13,368 14,842
3/09 13,596 14,900
6/09 14,133 15,136
9/09 14,490 15,354
12/09 14,627 15,411
3/10 14,796 15,554
6/10 14,964 15,710
7/31/10 15,039 15,774
[END CHART]
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA
QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR
HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE
WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH
MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE
MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com.
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the BofA Merrill Lynch 1-3 Year
Government/Corporate Bond Index. The BofA 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.
The BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index is
unmanaged and does not reflect the deduction of fees associated with a
mutual fund such as investment management and fund accounting fees.
However, the Fund's 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.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2010.
49
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50
SMALL CAP GROWTH
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS (97.6%)
AUTO COMPONENTS (3.6%)
Cooper Tire & Rubber Co. (a) 33,300 $ 719,613
Tenneco, Inc. * 31,300 863,880
------------
1,583,493
------------
CAPITAL MARKETS (3.6%)
Ares Capital Corp. 66,000 924,660
Stifel Financial Corp. * (a) 13,600 630,224
------------
1,554,884
------------
COMMERCIAL SERVICES (0.8%)
SuccessFactors, Inc. * (a) 17,615 357,761
------------
COMMERCIAL SERVICES & SUPPLIES (3.1%)
Envestnet, Inc. * 43,200 434,592
GeoEye, Inc. * 26,100 900,972
------------
1,335,564
------------
COMMUNICATIONS EQUIPMENT (2.3%)
Harmonic, Inc. * (a) 39,849 277,747
Netgear, Inc. * (a) 29,878 717,072
------------
994,819
------------
COMPUTERS & PERIPHERALS (0.6%)
Xyratex, Ltd. * (a) 21,166 274,946
------------
CONSTRUCTION & ENGINEERING (1.2%)
Orion Marine Group, Inc. * (a) 41,400 514,188
------------
CONSUMER FINANCE (3.4%)
Cardtronics, Inc. * (a) 67,000 867,650
Cash America International, Inc. (a) 17,818 596,903
------------
1,464,553
------------
CONTAINERS & PACKAGING (1.9%)
Rock-Tenn Co., Class A 15,500 824,910
------------
DIVERSIFIED CONSUMER SERVICES (3.4%)
American Public Education, Inc. * (a) 16,900 754,754
ChinaCast Education Corp. * (a) 103,600 708,624
------------
1,463,378
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (1.3%)
TW Telecom, Inc. * (a) 29,242 553,259
------------
ELECTRICAL COMPONENTS & EQUIPMENT (1.1%)
Polypore International, Inc. * (a) 19,750 485,060
------------
ENERGY-ALTERNATE SOURCES (0.9%)
Comverge, Inc. * (a) 44,000 389,840
------------
FINANCE-INVESTMENT BANKER / BROKER (1.1%)
Evercore Partners, Inc., Class A (a) 19,900 467,252
------------
FOOD-MISCELLANEOUS / DIVERSIFIED (1.8%)
Diamond Foods, Inc. (a) 18,000 801,720
------------
HEALTHCARE EQUIPMENT & SUPPLIES (6.7%)
Align Technology, Inc. * (a) 52,300 907,405
Endologix, Inc. * (a) 104,000 475,280
Neogen Corp. * (a) 28,500 851,010
NuVasive, Inc. * (a) 20,944 686,335
------------
2,920,030
------------
HEALTHCARE PROVIDERS & SERVICES (5.6%)
Clarient, Inc. * (a) 260,920 840,162
Emergency Medical Services Corp., Class A * 16,608 743,042
HMS Holdings Corp. * (a) 14,694 827,566
------------
2,410,770
------------
HOTELS RESTAURANTS & LEISURE (1.3%)
Bally Technologies, Inc. * (a) 18,000 581,400
------------
INTERNET (1.3%)
Constant Contact, Inc. * (a) 28,477 555,017
------------
INTERNET SOFTWARE & SERVICES (2.1%)
Art Technology Group, Inc. * (a) 110,284 397,022
Perficient, Inc. * (a) 58,644 507,271
------------
904,293
------------
IT SERVICES (2.6%)
ExlService Holdings, Inc. * 35,694 664,979
Forrester Research, Inc. * (a) 14,877 480,230
------------
1,145,209
------------
LEISURE EQUIPMENT & PRODUCTS (1.6%)
Polaris Industries, Inc. (a) 11,400 680,580
------------
LEISURE TIME (1.8%)
Life Time Fitness, Inc. * (a) 22,000 799,920
------------
LIFE SCIENCES TOOLS & SERVICES (3.2%)
ICON PLC ADR * 32,070 756,852
Luminex Corp. * (a) 38,450 625,966
------------
1,382,818
------------
MEDIA (2.6%)
Dolan Co. (The) * (a) 56,300 658,147
Imax Corp. * (a) 31,323 484,567
------------
1,142,714
------------
MEDICAL-DRUGS (1.3%)
Akorn, Inc. * (a) 160,500 584,220
------------
METALS & MINING (1.3%)
Carpenter Technology Corp. 16,700 583,665
------------
NETWORKING PRODUCTS (2.3%)
Acme Packet, Inc. * (a) 34,761 982,346
------------
OIL & GAS SERVICES (1.2%)
Global Geophysical Services, Inc. * 72,500 524,900
------------
Continued
51
SMALL CAP GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS, CONTINUED
OIL-FIELD SERVICES (2.3%)
North American Energy Partners, Inc. * 103,500 $ 999,810
------------
PROFESSIONAL SERVICES (1.6%)
CoStar Group, Inc. * (a) 16,000 701,280
------------
ROAD & RAIL (1.9%)
Knight Transportation, Inc. (a) 38,500 805,420
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (5.0%)
Atheros Communications, Inc. * (a) 7,316 193,435
Entegris, Inc. * (a) 81,377 375,148
LTX-Credence Corp. * (a) 199,345 558,166
MKS Instruments, Inc. * (a) 20,943 449,437
Varian Semiconductor Equipment Associates, Inc. * 21,471 606,770
------------
2,182,956
------------
SOFTWARE (6.9%)
Informatica Corp. * (a) 37,152 1,119,390
JDA Software Group, Inc. * 28,000 658,000
SolarWinds, Inc. * 23,786 328,723
Solera Holdings, Inc. 11,581 439,846
Ultimate Software Group, Inc. * (a) 13,577 437,994
------------
2,983,953
------------
SPECIALTY RETAIL (2.9%)
Monro Muffler Brake, Inc. (a) 20,800 853,632
Ulta Salon Cosmetics & Fragrance, Inc. * (a) 15,482 391,075
------------
1,244,707
------------
TEXTILES APPAREL & LUXURY GOODS (5.1%)
Deckers Outdoor Corp. * (a) 17,256 878,158
True Religion Apparel, Inc. * (a) 23,500 577,630
Warnaco Group, Inc. (The) * (a) 18,100 756,037
------------
2,211,825
------------
TRADING COMPANIES & DISTRIBUTORS (1.3%)
Beacon Roofing Supply, Inc. * (a) 33,600 573,216
------------
TRANSPORTATION (3.9%)
Aegean Marine Petroleum Network, Inc. 37,000 760,720
Atlas Air Worldwide Holdings, Inc. * (a) 15,700 918,136
------------
1,678,856
------------
WIRELESS EQUIPMENT (1.7%)
Aruba Networks, Inc. * (a) 42,236 717,167
------------
TOTAL COMMON STOCKS 42,362,699
------------
INVESTMENT COMPANIES (28.8%)
State Street Navigator Securities
Lending Portfolio (c) 12,511,020 12,511,020
------------
TOTAL INVESTMENT COMPANIES 12,511,020
------------
INVESTMENTS IN AFFILIATES (3.4%)
Fifth Third Institutional Money Market Fund (b) 1,455,171 1,455,171
------------
TOTAL INVESTMENTS IN AFFILIATES 1,455,171
------------
TOTAL INVESTMENTS (COST $48,901,202) - 129.8% 56,328,890
LIABILITIES IN EXCESS OF OTHER ASSETS - (29.8)% (12,916,908)
------------
NET ASSETS - 100.0% $ 43,411,982
============
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 July 31, 2010, Small Cap Growth's investments were in the following
countries:
COUNTRY
- --------------------------------------------------------------------------------------
Bermuda 0.5%
Canada 2.6%
Greece 1.4%
Ireland 1.3%
United States 94.2%
------
TOTAL 100.0%
======
See notes to schedules of investments
and notes to financial statements.
52
MID CAP GROWTH
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS (98.9%)
AEROSPACE & DEFENSE (2.6%)
BE Aerospace, Inc. * 43,500 $ 1,278,900
Goodrich Corp. 12,250 892,658
------------
2,171,558
------------
AUTO COMPONENTS (4.1%)
Autoliv, Inc. * (a) 24,500 1,407,280
BorgWarner, Inc. * (a) 24,500 1,074,570
Wabco Holding, Inc. * 22,000 850,960
------------
3,332,810
------------
BEVERAGES (1.4%)
Dr. Pepper Snapple Group, Inc. 30,500 1,145,275
------------
BIOTECHNOLOGY (1.3%)
Alexion Pharmaceuticals, Inc. * 19,750 1,073,610
------------
CAPITAL MARKETS (2.9%)
Affiliated Managers Group, Inc. * 17,000 1,204,110
Ameriprise Financial, Inc. 27,000 1,144,530
------------
2,348,640
------------
CHEMICALS (5.1%)
CF Industries Holdings, Inc. 10,750 872,793
FMC Corp. 21,500 1,343,535
Scotts Miracle-Gro Co. (The), Class A 20,500 989,125
Valspar Corp. 31,500 989,415
------------
4,194,868
------------
COMMERCIAL SERVICES & SUPPLIES (1.4%)
Stericycle, Inc. * (a) 18,250 1,149,750
------------
COMMUNICATIONS EQUIPMENT (1.9%)
F5 Networks, Inc. * (a) 17,750 1,558,982
------------
COMPUTERS (1.3%)
Netezza Corp. * (a) 69,000 1,069,500
------------
COMPUTERS & PERIPHERALS (1.7%)
NetApp, Inc. * 34,000 1,438,200
------------
DIVERSIFIED FINANCIAL SERVICES (2.0%)
CBOE Holdings, Inc. * (a) 26,000 691,600
IntercontinentalExchange, Inc. * 9,000 950,580
------------
1,642,180
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (1.3%)
TW Telecom, Inc. * 57,000 1,078,440
------------
ELECTRONIC COMPONENTS-SEMICONDUCTORS (1.3%)
Rovi Corp. * (a) 24,000 1,068,000
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (3.1%)
Agilent Technologies, Inc. * 55,500 1,550,115
Mettler-Toledo International, Inc. * (a) 8,750 1,022,000
------------
2,572,115
------------
ENERGY EQUIPMENT & SERVICES (3.0%)
Core Laboratories NV (a) 19,250 1,487,062
FMC Technologies, Inc. * 15,750 996,660
------------
2,483,722
------------
FOOD PRODUCTS (1.4%)
HJ Heinz Co. 26,500 1,178,720
------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.5%)
Edwards Lifesciences Corp. * 21,500 1,242,700
Zimmer Holdings, Inc. * 14,750 781,602
------------
2,024,302
------------
HEALTHCARE PROVIDERS & SERVICES (3.4%)
AmerisourceBergen Corp. 41,500 1,243,755
HMS Holdings Corp. * 14,750 830,720
SXC Health Solutions Corp. * 10,750 729,925
------------
2,804,400
------------
HOTELS RESTAURANTS & LEISURE (5.2%)
Panera Bread Co., Class A * (a) 11,750 918,968
Starwood Hotels & Resorts Worldwide, Inc. 26,500 1,283,925
WMS Industries, Inc. * 21,500 827,965
Wynn Resorts, Ltd. 13,750 1,205,600
------------
4,236,458
------------
HOUSEHOLD DURABLES (1.5%)
Snap-On, Inc. 27,500 1,228,425
------------
INDUSTRIAL CONGLOMERATES (1.7%)
McDermott International, Inc. * 59,000 1,387,090
------------
IT SERVICES (1.5%)
Cognizant Technology Solutions Corp., Class A * 22,500 1,227,600
------------
LIFE SCIENCES TOOLS & SERVICES (1.5%)
Waters Corp. * 18,750 1,203,000
------------
MACHINERY (5.3%)
CNH Global NV * 34,500 1,061,910
Cummins, Inc. 16,750 1,333,468
Flowserve Corp. 9,250 917,230
Parker Hannifin Corp. 16,250 1,009,450
------------
4,322,058
------------
MEDIA (1.2%)
Scripps Networks Interactive, Inc., Class A 23,000 980,490
------------
METALS & MINING (1.2%)
Titanium Metals Corp. * 45,500 1,007,370
------------
MULTILINE RETAIL (1.7%)
Dollar Tree, Inc. * 31,500 1,396,080
------------
NETWORKING PRODUCTS (0.9%)
Acme Packet, Inc. * 27,500 777,150
------------
OIL & GAS (1.0%)
Peabody Energy Corp. 18,250 823,988
------------
OIL FIELD MACHINERY & EQUIPMENT (1.7%)
Dresser-Rand Group, Inc. * 38,250 1,423,282
------------
Continued
53
MID CAP GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
---------- ------------
COMMON STOCKS, CONTINUED
OIL GAS & CONSUMABLE FUELS (1.0%)
Pioneer Natural Resources Co. 13,750 $ 796,400
------------
PERSONAL PRODUCTS (1.2%)
Estee Lauder Cos., Inc. (The), Class A (a) 16,250 1,011,562
------------
PHARMACEUTICALS (1.6%)
Mead Johnson Nutrition Co. 24,500 1,301,930
------------
REAL ESTATE INVESTMENT TRUSTS (1.8%)
Digital Realty Trust, Inc. (a) 23,500 1,485,670
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT (1.3%)
Jones Lang LaSalle, Inc. 13,500 1,045,710
------------
ROAD & RAIL (3.1%)
JB Hunt Transport Services, Inc. 29,500 1,046,955
Kansas City Southern * 40,000 1,468,000
------------
2,514,955
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (3.9%)
Broadcom Corp., Class A 33,500 1,207,005
Lam Research Corp. * 28,500 1,202,415
Netlogic Microsystems, Inc. * 25,500 753,780
------------
3,163,200
------------
SOFTWARE (9.1%)
Citrix Systems, Inc. * 18,750 1,031,625
Informatica Corp. * (a) 40,000 1,205,200
Intuit, Inc. * 57,000 2,265,750
Nuance Communications, Inc. * 63,750 1,052,512
Salesforce.com, Inc. * (a) 19,250 1,904,788
------------
7,459,875
------------
SPECIALTY RETAIL (6.0%)
AnnTaylor Stores Corp. * (a) 46,000 806,840
Dick's Sporting Goods, Inc. * 46,500 1,223,415
Limited Brands, Inc. 50,000 1,282,000
O'Reilly Automotive, Inc. * 33,500 1,650,880
------------
4,963,135
------------
TRADING COMPANIES & DISTRIBUTORS (2.4%)
Beacon Roofing Supply, Inc. * 43,000 733,580
Fastenal Co. (a) 25,500 1,251,540
------------
1,985,120
------------
WIRELESS EQUIPMENT (1.4%)
Aruba Networks, Inc. * (a) 65,500 1,112,190
------------
TOTAL COMMON STOCKS 81,187,810
------------
INVESTMENT COMPANIES (18.7%)
State Street Navigator Securities
Lending Portfolio (c) 15,393,827 15,393,827
------------
TOTAL INVESTMENT COMPANIES 15,393,827
------------
INVESTMENTS IN AFFILIATES (0.0%)
Fifth Third Institutional Money Market Fund (b) 124 124
------------
TOTAL INVESTMENTS IN AFFILIATES 124
------------
TOTAL INVESTMENTS (COST $88,159,525) - 117.6% 96,581,761
LIABILITIES IN EXCESS OF OTHER ASSETS - (17.6)% (14,484,346)
------------
NET ASSETS - 100.0% $ 82,097,415
============
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.
54
QUALITY GROWTH
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS (96.6%)
AEROSPACE & DEFENSE (1.8%)
Goodrich Corp. 73,000 $ 5,319,510
------------
AUTO COMPONENTS (4.4%)
BorgWarner, Inc. * (c) 115,000 5,043,900
Johnson Controls, Inc. 170,000 4,897,700
Wabco Holding, Inc. * 80,000 3,094,400
------------
13,036,000
------------
BEVERAGES (1.7%)
Dr. Pepper Snapple Group, Inc. 130,000 4,881,500
------------
BIOTECHNOLOGY (2.8%)
Alexion Pharmaceuticals, Inc. * 95,000 5,164,200
Celgene Corp. * 56,000 3,088,400
------------
8,252,600
------------
CAPITAL MARKETS (1.4%)
Ameriprise Financial, Inc. 100,000 4,239,000
------------
CHEMICALS (0.8%)
Monsanto Co. 40,000 2,313,600
------------
COMMERCIAL SERVICES & SUPPLIES (1.4%)
Stericycle, Inc. * (c) 64,500 4,063,500
------------
COMMERCIAL SERVICES-FINANCE (1.0%)
Visa, Inc., Class A 40,000 2,934,000
------------
COMMUNICATIONS EQUIPMENT (3.1%)
Cisco Systems, Inc. * 400,000 9,228,000
------------
COMPUTERS & PERIPHERALS (8.0%)
Apple, Inc. * 49,000 12,605,250
EMC Corp. * 211,000 4,175,690
International Business Machines Corp. 51,500 6,612,600
------------
23,393,540
------------
CONSUMER FINANCE (1.8%)
American Express Co. 119,000 5,312,160
------------
DIVERSIFIED FINANCIAL SERVICES (1.2%)
JPMorgan Chase & Co. 90,000 3,625,200
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (1.3%)
Agilent Technologies, Inc. * 140,000 3,910,200
------------
ENERGY EQUIPMENT & SERVICES (1.2%)
Halliburton Co. 120,000 3,585,600
------------
FOOD PRODUCTS (3.8%)
General Mills, Inc. 126,000 4,309,200
HJ Heinz Co. 93,000 4,136,640
Kellogg Co. 57,000 2,852,850
------------
11,298,690
------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.3%)
Covidien PLC 70,000 2,612,400
Hospira, Inc. * 80,000 4,168,000
------------
6,780,400
------------
HEALTHCARE PROVIDERS & SERVICES (3.6%)
Express Scripts, Inc. * 100,000 4,518,000
McKesson Corp. 50,000 3,141,000
UnitedHealth Group, Inc. 96,000 2,923,200
------------
10,582,200
------------
HOTELS RESTAURANTS & LEISURE (3.2%)
McDonald's Corp. 90,000 6,275,700
Starbucks Corp. 120,000 2,982,000
------------
9,257,700
------------
HOUSEHOLD PRODUCTS (2.7%)
Colgate-Palmolive Co. 37,000 2,922,260
Procter & Gamble Co. (The) 80,000 4,892,800
------------
7,815,060
------------
INFORMATION TECHNOLOGY (1.3%)
Vmware, Inc., Class A * 50,000 3,876,500
------------
INTERNET SOFTWARE & SERVICES (2.6%)
Baidu, Inc. ADR * 39,000 3,174,990
Google, Inc., Class A * 9,250 4,484,862
------------
7,659,852
------------
IT SERVICES (1.7%)
Cognizant Technology Solutions Corp.,
Class A * 90,000 4,910,400
------------
LIFE SCIENCES TOOLS & SERVICES (1.6%)
Thermo Fisher Scientific, Inc. * 105,000 4,710,300
------------
MACHINERY (7.5%)
Cummins, Inc. 55,500 4,418,355
Danaher Corp. 130,000 4,993,300
Deere & Co. 76,000 5,067,680
Flowserve Corp. 35,000 3,470,600
Parker Hannifin Corp. 65,000 4,037,800
------------
21,987,735
------------
MEDIA (3.2%)
Time Warner, Inc. 150,000 4,719,000
Walt Disney Co. (The) 140,000 4,716,600
------------
9,435,600
------------
METALS & MINING (1.1%)
Titanium Metals Corp. * 144,000 3,188,160
------------
MULTI-UTILITIES (1.0%)
Wisconsin Energy Corp. 54,000 2,931,120
------------
OIL & GAS (4.3%)
EOG Resources, Inc. 40,000 3,900,000
Occidental Petroleum Corp. 63,000 4,909,590
Peabody Energy Corp. 83,000 3,747,450
------------
12,557,040
------------
OIL COMPANY-EXPLORATION & PRODUCTION (0.9%)
Petrohawk Energy Corp. * 170,000 2,680,900
------------
Continued
55
QUALITY GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
---------- ------------
COMMON STOCKS, CONTINUED
PERSONAL PRODUCTS (3.2%)
Alberto-Culver Co. 130,000 $ 3,805,100
Estee Lauder Cos., Inc. (The), Class A (c) 90,000 5,602,500
------------
9,407,600
------------
ROAD & RAIL (3.1%)
JB Hunt Transport Services, Inc. 109,000 3,868,410
Union Pacific Corp. 70,000 5,226,900
------------
9,095,310
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (5.5%)
Altera Corp. 114,000 3,160,080
Broadcom Corp., Class A 140,000 5,044,200
Intel Corp. 390,000 8,034,000
------------
16,238,280
------------
SOFTWARE (6.2%)
Microsoft Corp. 300,000 7,743,000
Oracle Corp. 290,000 6,855,600
Salesforce.com, Inc. * (c) 38,000 3,760,100
------------
18,358,700
------------
SPECIALTY RETAIL (2.5%)
Home Depot, Inc. 100,000 2,851,000
O'Reilly Automotive, Inc. * 90,000 4,435,200
------------
7,286,200
------------
TEXTILES APPAREL & LUXURY GOODS (1.6%)
Nike, Inc., Class B 65,000 4,786,600
------------
TRADING COMPANIES & DISTRIBUTORS (1.8%)
Fastenal Co. (c) 110,000 5,398,800
------------
TOTAL COMMON STOCKS 284,337,557
------------
INVESTMENT COMPANIES (6.8%)
State Street Navigator Securities
Lending Portfolio (f) 20,050,161 20,050,161
------------
TOTAL INVESTMENT COMPANIES 20,050,161
------------
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) $ 83,565 84,776
------------
OTHER ABS (0.0%)
Aerco, Ltd., Series 2A, Class A3,
0.69%, 7/15/25 (a) (b) (e) 60,458 38,693
------------
TOTAL ASSET-BACKED SECURITIES 123,469
------------
CORPORATE BONDS (0.1%)
COMMERCIAL BANKS-CENTRAL U.S. (0.1%)
Bank One Capital III, 8.75%, 9/1/30 165,792 195,466
------------
TOTAL CORPORATE BONDS 195,466
------------
MORTGAGE-BACKED SECURITIES (0.3%)
WL COLLATERAL CMO OTHER (0.2%)
Indymac Index Mortgage Loan Trust,
Series 2005-AR9, Class 1A1,
3.26%, 7/25/35 (a) 106,209 64,924
JP Morgan Mortgage Trust,
Series 2005-A1, Class 2A1,
4.81%, 2/25/35 (a) 182,734 171,469
Morgan Stanley Mortgage Loan Trust,
Series 2004-4, Class 3A, 5.00%,
8/25/19 399,017 405,612
------------
642,005
------------
WL COLLATERAL CMO SEQUENTIAL (0.1%)
Countrywide Alternative Loan Trust,
Series 2005-J3, Class 3A1, 6.50%,
9/25/34 102,374 98,286
------------
TOTAL MORTGAGE-BACKED SECURITIES 740,291
------------
U.S. GOVERNMENT AGENCIES (0.3%)
FANNIE MAE (0.2%)
5.50%, 4/25/37 267,388 280,931
6.00%, 8/25/33 (a) 241,788 251,994
------------
532,925
------------
FREDDIE MAC (0.1%)
5.50%, 3/15/35 222,635 229,702
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.0%)
0.47%, 4/16/46, IO (a) (e) 3,032,025 76,976
------------
TOTAL U.S. GOVERNMENT AGENCIES 839,603
------------
Shares
---------
INVESTMENTS IN AFFILIATES (1.4%)
Fifth Third Institutional Money Market Fund (d) 4,189,191 4,189,191
------------
TOTAL INVESTMENTS IN AFFILIATES 4,189,191
------------
TOTAL INVESTMENTS (COST $273,591,636) - 105.5% 310,475,738
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.5)% (16,231,978)
------------
NET ASSETS - 100.0% $294,243,760
============
Continued
56
QUALITY GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Variable rate security. Rate presented represents rate in effect at July 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
ADR - American Depositary Receipt
CMO - Collateralized Mortgage Obligation
IO - Interest Only
WL - Whole Loan
See notes to schedules of investments
and notes to financial statements.
DIVIDEND GROWTH
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS (98.7%)
AEROSPACE & DEFENSE (2.3%)
United Technologies Corp. 2,364 $ 168,080
------------
AIR FREIGHT & LOGISTICS (1.8%)
United Parcel Service, Inc., Class B 1,991 129,415
------------
AUTO COMPONENTS (1.0%)
Johnson Controls, Inc. 2,473 71,247
------------
BEVERAGES (3.9%)
Diageo PLC ADR 785 54,856
PepsiCo, Inc. (a) 3,585 232,702
------------
287,558
------------
CAPITAL MARKETS (1.4%)
Ameriprise Financial, Inc. (a) 2,383 101,015
------------
CHEMICALS (4.0%)
Air Products & Chemicals, Inc. 1,411 102,410
Ecolab, Inc. (a) 1,516 74,148
Praxair, Inc. (a) 1,306 113,387
------------
289,945
------------
COMMERCIAL BANKS (2.9%)
Cullen/Frost Bankers, Inc. (a) 1,466 80,938
US Bancorp 5,424 129,633
------------
210,571
------------
COMMUNICATIONS EQUIPMENT (2.6%)
Cisco Systems, Inc. * 8,287 191,181
------------
COMPUTERS & PERIPHERALS (7.1%)
Apple, Inc. * 1,174 302,012
International Business Machines Corp. (a) 1,713 219,949
------------
521,961
------------
DIVERSIFIED FINANCIAL SERVICES (5.4%)
Bank of America Corp. 8,769 123,117
CME Group, Inc. 330 92,004
JPMorgan Chase & Co. (a) 4,542 182,952
------------
398,073
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (1.7%)
AT&T, Inc. 4,877 126,509
------------
ELECTRICAL COMPONENTS & EQUIPMENT (2.9%)
Emerson Electric Co. (a) 2,761 136,780
Roper Industries, Inc. (a) 1,253 78,312
------------
215,092
------------
ENERGY EQUIPMENT & SERVICES (1.9%)
Schlumberger, Ltd. (a) 2,335 139,306
------------
FOOD & STAPLES RETAILING (2.0%)
Costco Wholesale Corp. (a) 1,237 70,150
Wal-Mart Stores, Inc. 1,427 73,048
------------
143,198
------------
Continued
57
DIVIDEND GROWTH
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
FOOD PRODUCTS (1.8%)
HJ Heinz Co. (a) 1,205 $ 53,599
JM Smucker Co. (The) (a) 1,333 81,886
------------
135,485
------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.1%)
Medtronic, Inc. 2,108 77,933
------------
HEALTHCARE PROVIDERS & SERVICES (2.9%)
AmerisourceBergen Corp. 4,130 123,776
UnitedHealth Group, Inc. 2,982 90,802
------------
214,578
------------
HOTELS RESTAURANTS & LEISURE (3.9%)
Darden Restaurants, Inc. (a) 1,677 70,250
Marriott International, Inc., Class A (a) 2,330 79,010
McDonald's Corp. (a) 2,000 139,460
------------
288,720
------------
HOUSEHOLD DURABLES (1.2%)
Snap-On, Inc. 1,993 89,027
------------
HOUSEHOLD PRODUCTS (4.3%)
Clorox Co. (a) 1,556 100,953
Procter & Gamble Co. (The) 3,473 212,409
------------
313,362
------------
INDUSTRIAL CONGLOMERATES (0.5%)
General Electric Co. 2,256 36,367
------------
INSURANCE (3.0%)
MetLife, Inc. 5,154 216,777
------------
MACHINERY (3.8%)
Cummins, Inc. (a) 1,114 88,686
Illinois Tool Works, Inc. (a) 1,236 53,766
Joy Global, Inc. 1,321 78,428
Parker Hannifin Corp. 960 59,635
------------
280,515
------------
MEDIA (1.5%)
Walt Disney Co. (The) (a) 3,219 108,448
------------
MULTILINE RETAIL (2.1%)
Target Corp. 2,952 151,497
------------
MULTI-UTILITIES (2.5%)
Wisconsin Energy Corp. 3,346 181,621
------------
OIL & GAS (8.6%)
Apache Corp. (a) 1,718 164,206
Chevron Corp. 1,974 150,439
ConocoPhillips 1,335 73,719
Exxon Mobil Corp. 1,690 100,859
Occidental Petroleum Corp. 1,782 138,871
------------
628,094
------------
PHARMACEUTICALS (6.5%)
Abbott Laboratories 2,153 105,669
Johnson & Johnson 3,509 203,838
Novartis AG ADR (a) 2,061 100,453
Teva Pharmaceutical Industries, Ltd. ADR 1,410 68,879
------------
478,839
------------
REAL ESTATE INVESTMENT TRUSTS (0.7%)
HCP, Inc. (a) 1,450 51,432
------------
ROAD & RAIL (0.9%)
CSX Corp. (a) 1,218 64,213
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (4.4%)
Analog Devices, Inc. (a) 2,232 66,313
Intel Corp. (a) 5,706 117,543
Xilinx, Inc. (a) 4,914 137,199
------------
321,055
------------
SOFTWARE (2.5%)
Microsoft Corp. 7,068 182,425
------------
SPECIALTY RETAIL (1.2%)
TJX Cos., Inc. 2,165 89,891
------------
TEXTILES APPAREL & LUXURY GOODS (3.0%)
Nike, Inc., Class B (a) 1,561 114,952
VF Corp. (a) 1,317 104,478
------------
219,430
------------
TRADING COMPANIES & DISTRIBUTORS (1.4%)
WW Grainger, Inc. (a) 943 105,625
------------
TOTAL COMMON STOCKS 7,228,485
------------
INVESTMENT COMPANIES (28.0%)
State Street Navigator Securities
Lending Portfolio (c) 2,045,694 2,045,694
------------
TOTAL INVESTMENT COMPANIES 2,045,694
------------
INVESTMENTS IN AFFILIATES (0.5%)
Fifth Third Institutional Money Market Fund (b) 36,255 36,255
------------
TOTAL INVESTMENTS IN AFFILIATES 36,255
------------
TOTAL INVESTMENTS (COST $8,330,263) - 127.2% 9,310,434
LIABILITIES IN EXCESS OF OTHER ASSETS - (27.2)% (1,988,116)
------------
NET ASSETS - 100.0% $ 7,322,318
============
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
See notes to schedules of investments
and notes to financial statements.
58
MICRO CAP VALUE
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS (89.7%)
AUTO COMPONENTS (0.9%)
Motorcar Parts of America, Inc. * 47,222 $ 315,443
------------
CAPITAL MARKETS (3.8%)
Gladstone Capital Corp. 33,863 410,758
MVC Capital, Inc. 30,862 395,651
Sanders Morris Harris Group, Inc. 51,670 284,185
SWS Group, Inc. 35,521 309,743
------------
1,400,337
------------
COMMERCIAL BANKS (8.2%)
Center Bancorp, Inc. 35,413 259,931
Center Financial Corp. * 88,349 456,764
Independent Bank Corp. 16,227 386,365
MainSource Financial Group, Inc. 20,158 151,991
Northrim BanCorp, Inc. 15,236 268,154
Pacific Continental Corp. 16,955 154,969
Renasant Corp. 24,282 370,301
Simmons First National Corp., Class A 11,918 314,039
Sterling Bancorp 28,399 277,174
Washington Trust Bancorp, Inc. 19,083 369,447
------------
3,009,135
------------
COMMERCIAL SERVICES & SUPPLIES (4.3%)
Barrett Business Services, Inc. 38,005 568,555
CBIZ, Inc. * 55,451 365,422
Schawk, Inc. 26,009 385,713
SFN Group, Inc. * 32,700 244,923
------------
1,564,613
------------
COMMUNICATIONS EQUIPMENT (1.4%)
EXFO, Inc. * 44,100 259,308
Neutral Tandem, Inc. * 25,300 270,710
------------
530,018
------------
DISTRIBUTORS (1.1%)
Audiovox Corp., Class A * 56,110 418,019
------------
DIVERSIFIED CONSUMER SERVICES (1.0%)
Stewart Enterprises, Inc., Class A 66,900 359,253
------------
DIVERSIFIED FINANCIAL SERVICES (0.7%)
NGP Capital Resources Co. 35,830 272,308
------------
DIVERSIFIED TELECOMMUNICATION SERVICES (0.8%)
Premiere Global Services, Inc. * 45,419 284,323
------------
ELECTRIC-INTEGRATED (0.9%)
Pike Electric Corp. * 33,196 311,710
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (4.7%)
CTS Corp. 33,033 308,859
Electro Scientific Industries, Inc. * 22,369 256,796
MTS Systems Corp. 9,686 280,216
OSI Systems, Inc. * 8,144 226,322
PAR Technology Corp. * 45,895 274,452
TTM Technologies, Inc. * 37,913 388,608
------------
1,735,253
------------
ENERGY EQUIPMENT & SERVICES (1.8%)
ION Geophysical Corp. * 82,900 363,931
Mitcham Industries, Inc. * 42,177 310,001
------------
673,932
------------
FOOD & STAPLES RETAILING (1.4%)
Nash Finch Co. 12,834 504,633
------------
FOOD PRODUCTS (2.2%)
Inventure Foods, Inc. * 105,518 336,602
Overhill Farms, Inc. * 92,840 482,768
------------
819,370
------------
GAS-DISTRIBUTION (0.9%)
Chesapeake Utilities Corp. 9,601 319,137
------------
HEALTHCARE EQUIPMENT & SUPPLIES (3.5%)
Angiodynamics, Inc. * 20,241 311,914
Greatbatch, Inc. * 11,856 267,709
Kensey Nash Corp. * 11,990 281,765
Medical Action Industries, Inc. * 31,729 434,687
------------
1,296,075
------------
HEALTHCARE PROVIDERS & SERVICES (2.1%)
American Dental Partners, Inc. * 23,323 267,282
Cross Country Healthcare, Inc. * 28,097 249,501
Res-Care, Inc. * 24,112 236,780
------------
753,563
------------
HEALTHCARE TECHNOLOGY (1.0%)
Omnicell, Inc. * 28,555 351,798
------------
HOTELS RESTAURANTS & LEISURE (2.2%)
Benihana, Inc., Class A * 80,140 501,677
Frisch's Restaurants, Inc. 16,291 320,118
------------
821,795
------------
HOUSEHOLD PRODUCTS (1.3%)
Inter Parfums, Inc. 12,353 215,560
Prestige Brands Holdings, Inc. * 33,499 275,362
------------
490,922
------------
INSURANCE (4.0%)
American Equity Investment Life Holding Co. 26,839 289,861
Amerisafe, Inc. * 15,080 270,837
Meadowbrook Insurance Group, Inc. 67,283 616,312
SeaBright Holdings, Inc. 37,608 308,010
------------
1,485,020
------------
INTERNET SOFTWARE & SERVICES (1.7%)
Infospace, Inc. * 34,376 269,164
Perficient, Inc. * 40,260 348,249
------------
617,413
------------
IT SERVICES (1.3%)
Ciber, Inc. * 65,472 218,022
Ness Technologies, Inc. * 57,425 256,690
------------
474,712
------------
Continued
59
MICRO CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
--------- ------------
COMMON STOCKS, CONTINUED
LIFE SCIENCES TOOLS & SERVICES (0.8%)
Medtox Scientific, Inc. * 26,537 $ 304,379
------------
MACHINERY (3.4%)
EnPro Industries, Inc. * 11,900 356,405
Federal Signal Corp. 55,447 330,464
Flow International Corp. * 97,352 264,798
Greenbrier Cos., Inc. * 21,818 284,943
------------
1,236,610
------------
MEDIA (0.8%)
Dolan Co. (The) * 24,153 282,349
------------
OIL & GAS (1.6%)
Gulfport Energy Corp. * 45,507 594,321
------------
OIL-FIELD SERVICES (1.1%)
North American Energy Partners, Inc. * 40,406 390,322
------------
PAPER & FOREST PRODUCTS (1.2%)
Glatfelter 37,292 426,248
------------
REAL ESTATE INVESTMENT TRUSTS (4.6%)
Cedar Shopping Centers, Inc. 46,314 287,147
Hersha Hospitality Trust 88,981 452,023
MHI Hospitality Corp. * 105,382 242,379
Monmouth Real Estate Investment Corp., Class A 61,406 483,265
U-Store-It Trust 27,660 223,216
------------
1,688,030
------------
RETAIL-APPAREL & SHOES (0.7%)
Kenneth Cole Productions, Inc., Class A * 18,465 247,985
------------
RETAIL-CONVENIENCE STORE (1.2%)
Susser Holdings Corp. * 38,021 456,632
------------
RETAIL-DISCOUNT (0.6%)
Fred's, Inc., Class A 21,794 236,247
------------
ROAD & RAIL (5.1%)
Celadon Group, Inc. * 43,720 683,781
Marten Transport, Ltd. * 15,120 343,526
Saia, Inc. * 27,193 410,614
USA Truck, Inc. * 25,527 418,388
------------
1,856,309
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (6.1%)
AXT, Inc. * 82,800 487,692
IXYS Corp. * 44,849 396,017
Pericom Semiconductor Corp. * 39,612 362,054
Photronics, Inc. * 56,505 255,402
Rudolph Technologies, Inc. * 41,544 358,940
Ultratech, Inc. * 19,947 360,442
------------
2,220,547
------------
SOFTWARE (1.4%)
American Software, Inc., Class A 53,579 268,967
Versant Corp. * 21,844 240,939
------------
509,906
------------
SPECIALTY RETAIL (2.8%)
Cache, Inc. * 53,933 278,294
Casual Male Retail Group, Inc. * 90,810 314,203
Stage Stores, Inc. * 16,300 179,300
Stein Mart, Inc. * 32,943 254,320
------------
1,026,117
------------
TELECOM SERVICES (0.6%)
USA Mobility, Inc. 15,805 234,388
------------
THRIFTS & MORTGAGE FINANCE (3.8%)
Berkshire Hills Bancorp, Inc. 22,995 464,269
BofI Holding, Inc. * 32,750 511,555
WSFS Financial Corp. 11,462 435,556
------------
1,411,380
------------
TRADING COMPANIES & DISTRIBUTORS (2.2%)
Aceto Corp. 63,098 430,328
DXP Enterprises, Inc. * 18,518 380,175
------------
810,503
------------
TRANSPORTATION-SERVICES (0.5%)
Vitran Corp., Inc. * 16,850 185,350
------------
TOTAL COMMON STOCKS 32,926,405
------------
INVESTMENTS IN AFFILIATES (9.9%)
Fifth Third Institutional Money
Market Fund (a) 3,635,520 3,635,520
------------
TOTAL INVESTMENTS IN AFFILIATES 3,635,520
------------
TOTAL INVESTMENTS (COST $32,941,697) - 99.6% 36,561,925
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% 156,205
------------
NET ASSETS - 100.0% $ 36,718,130
============
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.
60
SMALL CAP VALUE
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
-------- ------------
COMMON STOCKS (95.9%)
AEROSPACE & DEFENSE (4.2%)
AAR Corp. * 51,484 $ 864,931
Curtiss-Wright Corp. 31,633 958,164
Orbital Sciences Corp. * 56,639 829,195
------------
2,652,290
------------
AUTO COMPONENTS (1.8%)
ATC Technology Corp. * 47,350 1,135,453
------------
CAPITAL MARKETS (1.2%)
SWS Group, Inc. 88,525 771,938
------------
CHEMICALS (4.0%)
Innophos Holdings, Inc. 47,087 1,380,120
Olin Corp. 56,158 1,140,007
------------
2,520,127
------------
COMMERCIAL BANKS (11.3%)
Community Bank System, Inc. 33,315 824,546
First Horizon National Corp. * 75,581 866,914
Glacier Bancorp, Inc. 65,322 1,043,846
Old National Bancorp 80,241 844,135
Renasant Corp. 60,220 918,355
TCF Financial Corp. 57,805 915,631
UMB Financial Corp. 24,300 914,166
United Bankshares, Inc. 31,654 808,127
------------
7,135,720
------------
COMMERCIAL SERVICES (1.5%)
Navigant Consulting, Inc. * 94,733 932,173
------------
COMMUNICATIONS EQUIPMENT (2.5%)
Comtech Telecommunications Corp. * 29,620 638,903
Harmonic, Inc. * 133,235 928,648
------------
1,567,551
------------
DIVERSIFIED CONSUMER SERVICES (2.7%)
Regis Corp. 52,444 798,722
Stewart Enterprises, Inc., Class A 167,337 898,600
------------
1,697,322
------------
ELECTRIC UTILITIES (4.6%)
Cleco Corp. 35,607 1,016,580
Black Hills Corp. 37,415 1,194,287
RRI Energy, Inc. * 174,868 690,729
------------
2,901,596
------------
ELECTRICAL COMPONENTS & EQUIPMENT (1.5%)
EnerSys * 39,976 968,219
------------
ELECTRIC-INTEGRATED (1.6%)
Pike Electric Corp. * 105,450 990,175
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (1.2%)
MTS Systems Corp. 26,745 773,733
------------
ENERGY EQUIPMENT & SERVICES (2.8%)
Helix Energy Solutions Group, Inc. * 83,217 781,407
Oil States International, Inc. * 21,722 997,909
------------
1,779,316
------------
FOOD & STAPLES RETAILING (1.2%)
Nash Finch Co. 19,704 774,761
------------
FOOD PRODUCTS (2.8%)
Corn Products International, Inc. 22,527 751,050
Fresh Del Monte Produce, Inc. * 48,677 1,014,429
------------
1,765,479
------------
FOOD-RETAIL (1.3%)
Winn-Dixie Stores, Inc. * 86,424 847,819
------------
GAS-DISTRIBUTION (1.4%)
Southern Union Co. 39,215 885,082
------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.6%)
Conmed Corp. * 39,481 759,220
Wright Medical Group, Inc. * 55,609 868,056
------------
1,627,276
------------
HOTELS RESTAURANTS & LEISURE (1.3%)
Bob Evans Farms, Inc. 32,501 852,176
------------
HOUSEHOLD PRODUCTS (1.4%)
Prestige Brands Holdings, Inc. * 110,758 910,431
------------
INSURANCE (6.1%)
Endurance Specialty Holdings, Ltd. 30,020 1,158,472
Meadowbrook Insurance Group, Inc. 127,405 1,167,030
Platinum Underwriters Holdings, Ltd. 21,734 849,365
SeaBright Holdings, Inc. 80,014 655,314
------------
3,830,181
------------
INTERNET SOFTWARE & SERVICES (3.1%)
Earthlink, Inc. 112,202 990,744
United Online, Inc. 148,360 937,635
------------
1,928,379
------------
LEISURE (1.4%)
International Speedway Corp., Class A 34,423 891,556
------------
MACHINERY (2.6%)
Albany International Corp., Class A 51,216 939,814
Federal Signal Corp. 116,600 694,936
------------
1,634,750
------------
MACHINERY-ELECTRICAL (1.3%)
Baldor Electric Co. 21,059 804,875
------------
METALS & MINING (3.0%)
Coeur d'Alene Mines Corp. * 62,692 954,799
Schnitzer Steel Industries, Inc., Class A 20,030 917,775
------------
1,872,574
------------
MULTI-UTILITIES (1.4%)
Vectren Corp. 36,546 905,244
------------
OIL & GAS (3.9%)
Holly Corp. 34,555 923,655
Penn Virginia Corp. 41,813 794,447
Tsakos Energy Navigation, Ltd. 51,527 761,569
------------
2,479,671
------------
Continued
61
SMALL CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Shares Value
--------- ------------
COMMON STOCKS, CONTINUED
OIL-FIELD SERVICES (1.0%)
North American Energy Partners, Inc. * 67,925 $ 656,155
------------
PAPER & FOREST PRODUCTS (1.4%)
Glatfelter 76,237 871,389
------------
REAL ESTATE INVESTMENT TRUSTS (7.5%)
Brandywine Realty Trust 83,078 943,766
Entertainment Properties Trust 25,090 1,047,257
First Potomac Realty Trust 57,350 888,925
LaSalle Hotel Properties 41,735 989,954
U-Store-It Trust 112,107 904,704
------------
4,774,606
------------
RETAIL-DISCOUNT (1.6%)
Fred's, Inc., Class A 92,083 998,180
------------
ROAD & RAIL (2.0%)
RailAmerica, Inc. * 35,120 390,183
Werner Enterprises, Inc. 36,984 851,741
------------
1,241,924
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.2%)
Cabot Microelectronics Corp. * 23,042 753,243
------------
SOFTWARE (1.0%)
THQ, Inc. * 138,634 632,171
------------
SPECIALTY RETAIL (1.2%)
Jo-Ann Stores, Inc. * 18,327 767,718
------------
THRIFTS & MORTGAGE FINANCE (1.4%)
NewAlliance Bancshares, Inc. 74,439 905,923
------------
TRANSPORTATION-MARINE (1.3%)
Alexander & Baldwin, Inc. 23,827 799,396
------------
WIRELESS TELECOMMUNICATION SERVICES (0.6%)
MetroPCS Communications, Inc. * 43,329 387,795
------------
TOTAL COMMON STOCKS 60,624,367
------------
INVESTMENTS IN AFFILIATES (4.0%)
Fifth Third Institutional Money Market Fund (a) 2,550,317 2,550,317
------------
TOTAL INVESTMENTS IN AFFILIATES 2,550,317
------------
TOTAL INVESTMENTS (COST $58,669,940) - 99.9% 63,174,684
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 47,674
------------
NET ASSETS - 100.0% $ 63,222,358
============
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
At July 31, 2010, Small Cap Value's investments were in the following countries:
COUNTRY
- ------------------------------------------
Bermuda 4.4%
Canada 1.0%
Cayman Islands 1.6%
United States 93.0%
------
TOTAL 100.0%
======
See notes to schedules of investments
and notes to financial statements.
62
ALL CAP VALUE
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS (96.7%)
AEROSPACE & DEFENSE (2.5%)
AAR Corp. * 64,274 $ 1,079,803
General Dynamics Corp. 8,925 546,656
United Technologies Corp. 23,603 1,678,173
-------------
3,304,632
-------------
BIOTECHNOLOGY (1.8%)
Amgen, Inc. * 43,385 2,365,784
-------------
CAPITAL MARKETS (2.9%)
Ameriprise Financial, Inc. 50,461 2,139,042
Legg Mason, Inc. 58,273 1,683,507
-------------
3,822,549
-------------
CHEMICALS (2.2%)
Dow Chemical Co. (The) 105,881 2,893,728
-------------
COMMERCIAL BANKS (5.7%)
Keycorp 201,709 1,706,458
Marshall & Ilsley Corp. 112,974 794,207
Old National Bancorp (a) 60,691 638,469
United Bankshares, Inc. (a) 12,099 308,888
US Bancorp 48,196 1,151,884
Wells Fargo & Co. 103,339 2,865,591
-------------
7,465,497
-------------
COMMERCIAL SERVICES & SUPPLIES (1.5%)
Manpower, Inc. 20,045 961,759
Pitney Bowes, Inc. (a) 42,841 1,045,749
-------------
2,007,508
-------------
COMMUNICATIONS EQUIPMENT (1.2%)
Neutral Tandem, Inc. * 79,090 846,263
Symmetricom, Inc. * 142,803 761,140
-------------
1,607,403
-------------
COMPUTERS & PERIPHERALS (1.1%)
Hewlett-Packard Co. 30,346 1,397,130
-------------
CONSUMER FINANCE (1.3%)
Discover Financial Services 107,553 1,642,334
-------------
DIVERSIFIED FINANCIAL SERVICES (5.8%)
Bank of America Corp. 158,868 2,230,507
JPMorgan Chase & Co. 91,394 3,681,350
NYSE Euronext 54,514 1,579,271
-------------
7,491,128
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES (5.2%)
AT&T, Inc. 39,706 1,029,974
CenturyLink, Inc. (a) 32,488 1,157,222
Frontier Communications Corp. 18,210 139,124
Qwest Communications International, Inc. 406,536 2,300,994
Verizon Communications, Inc. 75,864 2,204,608
-------------
6,831,922
-------------
ELECTRIC UTILITIES (3.4%)
Edison International 26,776 887,624
FirstEnergy Corp. (a) 46,076 1,737,065
NextEra Energy, Inc. (a) 17,850 933,555
Pepco Holdings, Inc. 49,981 845,179
-------------
4,403,423
-------------
ELECTRONIC COMPONENTS-MISCELLANEOUS (0.0%)
Vishay Precision Group, Inc. * 3,825 48,386
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (1.3%)
Avnet, Inc. * 48,538 1,220,731
Vishay Intertechnology, Inc. * 53,551 454,648
-------------
1,675,379
-------------
ENERGY EQUIPMENT & SERVICES (3.6%)
Baker Hughes, Inc. 29,002 1,399,927
Nabors Industries, Ltd. * 77,992 1,435,833
National Oilwell Varco, Inc. 30,545 1,196,142
Tidewater, Inc. (a) 15,138 620,355
-------------
4,652,257
-------------
FOOD & STAPLES RETAILING (1.1%)
SUPERVALU, Inc. 128,516 1,449,660
-------------
FOOD PRODUCTS (1.5%)
Kraft Foods, Inc., Class A 67,425 1,969,484
-------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.1%)
Hologic, Inc. * 98,177 1,388,223
-------------
HEALTHCARE PROVIDERS & SERVICES (3.0%)
Omnicare, Inc. (a) 51,799 1,275,809
UnitedHealth Group, Inc. 87,795 2,673,358
-------------
3,949,167
-------------
HOUSEHOLD DURABLES (0.6%)
Snap-On, Inc. 16,065 717,624
-------------
HOUSEHOLD PRODUCTS (1.4%)
Energizer Holdings, Inc. * 29,963 1,843,324
-------------
INDUSTRIAL CONGLOMERATES (5.4%)
General Electric Co. 320,794 5,171,199
Tyco International, Ltd. 47,471 1,817,190
-------------
6,988,389
-------------
INSURANCE (6.8%)
Allstate Corp. (The) 76,324 2,155,390
Hartford Financial Services Group, Inc. 35,701 835,760
Meadowbrook Insurance Group, Inc. 136,792 1,253,015
MetLife, Inc. 29,259 1,230,634
Prudential Financial, Inc. 29,275 1,677,165
Reinsurance Group of America, Inc. 8,992 431,436
Travelers Cos., Inc. (The) 24,990 1,260,745
-------------
8,844,145
-------------
LEISURE EQUIPMENT & PRODUCTS (0.6%)
Mattel, Inc. 39,271 830,974
-------------
Continued
63
ALL CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
MACHINERY (1.9%)
Caterpillar, Inc. 10,167 $ 709,148
EnPro Industries, Inc. * (a) 15,241 456,468
Federal Signal Corp. (a) 102,110 608,576
Joy Global, Inc. 12,032 714,340
-------------
2,488,532
-------------
MEDIA (2.9%)
Time Warner, Inc. 66,805 2,101,685
Viacom, Inc., Class B 49,267 1,627,782
-------------
3,729,467
-------------
METALS & MINING (2.5%)
Alcoa, Inc. 88,937 993,426
Coeur d'Alene Mines Corp. * (a) 89,807 1,367,761
Schnitzer Steel Industries, Inc., Class A 19,812 907,786
-------------
3,268,973
-------------
MULTI-UTILITIES (1.0%)
PG&E Corp. 28,561 1,268,108
-------------
OFFICE ELECTRONICS (1.2%)
Xerox Corp. 164,140 1,598,724
-------------
OIL & GAS (9.4%)
Apache Corp. 29,323 2,802,692
Chevron Corp. 35,701 2,720,773
ConocoPhillips (a) 57,121 3,154,222
Exxon Mobil Corp. 30,703 1,832,355
Holly Corp. (a) 64,841 1,733,200
-------------
12,243,242
-------------
PHARMACEUTICALS (6.4%)
Forest Laboratories, Inc. * 101,346 2,812,352
Johnson & Johnson 37,781 2,194,698
Merck & Co., Inc. 84,489 2,911,491
Pfizer, Inc. 31,173 467,595
-------------
8,386,136
-------------
REAL ESTATE INVESTMENT TRUSTS (1.2%)
Health Care, Inc. 33,287 1,508,234
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.6%)
Cabot Microelectronics Corp. * 24,276 793,582
Intel Corp. 64,758 1,334,015
-------------
2,127,597
-------------
SOFTWARE (2.0%)
Cadence Design Systems, Inc. * 107,102 745,430
Microsoft Corp. 49,162 1,268,871
THQ, Inc. * (a) 127,066 579,421
-------------
2,593,722
-------------
SPECIALTY RETAIL (1.8%)
American Eagle Outfitters, Inc. 89,355 1,099,960
Best Buy Co., Inc. 37,110 1,286,233
-------------
2,386,193
-------------
TEXTILES APPAREL & LUXURY GOODS (1.1%)
VF Corp. 17,850 1,416,040
-------------
THRIFTS & MORTGAGE FINANCE (1.4%)
New York Community Bancorp, Inc. 107,102 1,848,580
-------------
TOBACCO (1.3%)
Altria Group, Inc. 78,541 1,740,469
-------------
TOTAL COMMON STOCKS 126,194,067
-------------
INVESTMENT COMPANIES (9.7%)
State Street Navigator Securities Lending Portfolio (c) 12,709,262 12,709,262
-------------
TOTAL INVESTMENT COMPANIES 12,709,262
-------------
INVESTMENTS IN AFFILIATES (3.6%)
Fifth Third Institutional Money
Market Fund (b) 4,657,177 4,657,177
-------------
TOTAL INVESTMENTS IN AFFILIATES 4,657,177
-------------
TOTAL INVESTMENTS (COST $139,604,346) - 110.0% 143,560,506
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.0)% (13,072,898)
-------------
NET ASSETS - 100.0% $ 130,487,608
=============
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.
64
DISCIPLINED LARGE CAP VALUE
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS (99.1%)
AEROSPACE & DEFENSE (3.1%)
General Dynamics Corp. 83,351 $ 5,105,249
Northrop Grumman Corp. 26,887 1,576,654
United Technologies Corp. 55,657 3,957,212
-------------
10,639,115
-------------
BIOTECHNOLOGY (1.6%)
Amgen, Inc. * 103,785 5,659,396
-------------
CAPITAL MARKETS (3.3%)
Ameriprise Financial, Inc. 183,102 7,761,694
Morgan Stanley 129,328 3,490,562
-------------
11,252,256
-------------
CHEMICALS (2.0%)
Dow Chemical Co. (The) 251,127 6,863,301
-------------
COMMERCIAL BANKS (4.8%)
US Bancorp 271,561 6,490,308
Wells Fargo & Co. 365,667 10,139,946
-------------
16,630,254
-------------
COMMERCIAL SERVICES & SUPPLIES (0.7%)
Pitney Bowes, Inc. (a) 93,299 2,277,429
-------------
COMPUTERS & PERIPHERALS (1.9%)
Hewlett-Packard Co. 138,523 6,377,599
-------------
CONSUMER FINANCE (1.9%)
Discover Financial Services 430,196 6,569,093
-------------
DIVERSIFIED FINANCIAL SERVICES (6.1%)
Bank of America Corp. 477,249 6,700,576
JPMorgan Chase & Co. 309,741 12,476,368
NYSE Euronext 60,496 1,752,569
-------------
20,929,513
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES (6.4%)
CenturyLink, Inc. (a) 124,219 4,424,681
Frontier Communications Corp. 94,680 723,355
Qwest Communications International, Inc. (a) 965,253 5,463,332
Verizon Communications, Inc. 394,436 11,462,310
-------------
22,073,678
-------------
ELECTRIC UTILITIES (2.5%)
FirstEnergy Corp. (a) 142,503 5,372,363
NextEra Energy, Inc. (a) 61,572 3,220,216
-------------
8,592,579
-------------
ENERGY EQUIPMENT & SERVICES (3.2%)
Baker Hughes, Inc. (a) 89,266 4,308,870
National Oilwell Varco, Inc. 174,767 6,843,875
-------------
11,152,745
-------------
FOOD & STAPLES RETAILING (0.7%)
SUPERVALU, Inc. 223,164 2,517,290
-------------
FOOD PRODUCTS (2.5%)
Kraft Foods, Inc., Class A 290,920 8,497,773
-------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.1%)
Stryker Corp. 80,662 3,756,429
-------------
HEALTHCARE PROVIDERS & SERVICES (3.0%)
UnitedHealth Group, Inc. 333,532 10,156,049
-------------
HOTELS RESTAURANTS & LEISURE (0.7%)
Darden Restaurants, Inc. 59,152 2,477,877
-------------
HOUSEHOLD PRODUCTS (1.8%)
Energizer Holdings, Inc. * 101,634 6,252,524
-------------
INDUSTRIAL CONGLOMERATES (5.3%)
General Electric Co. 758,759 12,231,195
Tyco International, Ltd. 155,946 5,969,613
-------------
18,200,808
-------------
INSURANCE (7.5%)
Allstate Corp. (The) 154,602 4,365,960
Prudential Financial, Inc. 146,536 8,395,047
Reinsurance Group of America, Inc. 81,468 3,908,835
Travelers Cos., Inc. (The) 181,022 9,132,560
-------------
25,802,402
-------------
LEISURE EQUIPMENT & PRODUCTS (0.6%)
Mattel, Inc. 104,860 2,218,838
-------------
MACHINERY (0.7%)
Caterpillar, Inc. 33,609 2,344,228
-------------
MEDIA (3.9%)
Time Warner, Inc. 238,759 7,511,358
Viacom, Inc., Class B 177,456 5,863,146
-------------
13,374,504
-------------
METALS & MINING (0.9%)
Alcoa, Inc. 280,703 3,135,453
-------------
MULTI-UTILITIES (2.5%)
PG&E Corp. 196,277 8,714,699
-------------
OFFICE ELECTRONICS (2.1%)
Xerox Corp. 748,004 7,285,559
-------------
OIL & GAS (10.6%)
Apache Corp. 94,142 8,998,092
Chevron Corp. 153,257 11,679,716
ConocoPhillips 202,730 11,194,751
Occidental Petroleum Corp. 59,175 4,611,508
-------------
36,484,067
-------------
PHARMACEUTICALS (7.5%)
Forest Laboratories, Inc. * 401,696 11,147,064
Johnson & Johnson 114,271 6,638,002
Merck & Co., Inc. 229,169 7,897,164
-------------
25,682,230
-------------
REAL ESTATE INVESTMENT TRUSTS (1.8%)
Annaly Capital Management, Inc. 188,211 3,274,871
Health Care, Inc. 67,218 3,045,648
-------------
6,320,519
-------------
Continued
65
DISCIPLINED LARGE CAP VALUE
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.1%)
Intel Corp. 177,456 $ 3,655,594
-------------
SOFTWARE (0.4%)
Microsoft Corp. 57,808 1,492,024
-------------
SPECIALTY RETAIL (1.4%)
Best Buy Co., Inc. 140,352 4,864,600
-------------
TEXTILES APPAREL & LUXURY GOODS (1.4%)
VF Corp. 58,614 4,649,849
-------------
THRIFTS & MORTGAGE FINANCE (1.9%)
New York Community Bancorp, Inc. 369,700 6,381,022
-------------
TOBACCO (2.2%)
Altria Group, Inc. 346,039 7,668,224
-------------
TOTAL COMMON STOCKS 340,949,520
-------------
INVESTMENT COMPANIES (3.3%)
State Street Navigator Securities Lending Portfolio (c) 11,535,237 11,535,237
-------------
TOTAL INVESTMENT COMPANIES 11,535,237
-------------
INVESTMENTS IN AFFILIATES (1.0%)
Fifth Third Institutional Money
Market Fund (b) 3,415,803 3,415,803
-------------
TOTAL INVESTMENTS IN AFFILIATES 3,415,803
-------------
TOTAL INVESTMENTS (COST $320,186,133) - 103.4% 355,900,560
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.4)% (11,825,975)
-------------
NET ASSETS - 100.0% $ 344,074,585
=============
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.
STRUCTURED LARGE CAP PLUS
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS (125.4%)
AEROSPACE & DEFENSE (4.8%)
Honeywell International, Inc. 9,890 $ 423,885
Northrop Grumman Corp. (b) 18,357 1,076,454
Raytheon Co. (b) 19,910 921,236
United Technologies Corp. (b) 21,866 1,554,673
-------------
3,976,248
-------------
AIR FREIGHT & LOGISTICS (0.0%)
United Parcel Service, Inc., Class B (b) 261 16,965
-------------
AUTOMOBILES (0.1%)
Ford Motor Co. * 8,122 103,718
-------------
BEVERAGES (2.9%)
Coca-Cola Co. (The) (b) 23,713 1,306,823
Dr.Pepper Snapple Group, Inc. 28,769 1,080,276
-------------
2,387,099
-------------
BIOTECHNOLOGY (3.2%)
Amgen, Inc. * 10,307 562,041
Biogen Idec, Inc. * (b) 19,758 1,104,077
Cephalon, Inc. * (b) 17,396 987,223
-------------
2,653,341
-------------
BUILDING PRODUCTS (0.0%)
Masco Corp. (b) 2,958 30,408
-------------
CAPITAL MARKETS (2.7%)
Ameriprise Financial, Inc. 27,514 1,166,319
Franklin Resources, Inc. (b) 4,437 446,273
Goldman Sachs Group, Inc. (The) (b) 4,209 634,801
-------------
2,247,393
-------------
CHEMICALS (1.5%)
Dow Chemical Co. (The) (b) 10,242 279,914
E.I. du Pont de Nemours & Co. (b) 11,652 473,887
Eastman Chemical Co. (b) 5,801 363,375
PPG Industries, Inc. (b) 1,792 124,490
-------------
1,241,666
-------------
COMMERCIAL BANKS (2.6%)
Berkshire Hathaway, Inc., Class B* 1,360 106,243
Comerica, Inc. (b) 22,111 848,178
US Bancorp 6,925 165,508
Wells Fargo & Co. (b) 37,922 1,051,577
-------------
2,171,506
-------------
COMMERCIAL SERVICES & SUPPLIES (1.1%)
RR Donnelley & Sons Co. (b) 50,944 859,425
-------------
COMMUNICATIONS EQUIPMENT (2.3%)
Cisco Systems, Inc. * (b) 1,650 38,065
Harris Corp. (b) 22,418 998,274
JDS Uniphase Corp. * (b) 82,033 890,058
-------------
1,926,397
-------------
COMPUTERS & PERIPHERALS (6.8%)
Apple, Inc. * (b) 3,640 936,390
Dell, Inc. * (b) 86,053 1,139,342
Hewlett-Packard Co. 2,332 107,365
Continued
66
STRUCTURED LARGE CAP PLUS
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
COMPUTERS & PERIPHERALS, CONTINUED
International Business Machines Corp. (b) 18,028 $ 2,314,795
Teradata Corp. * (b) 31,133 990,030
Western Digital Corp. * 4,657 122,898
-------------
5,610,820
-------------
CONSUMER FINANCE (1.8%)
American Express Co. 8,947 399,394
Capital One Financial Corp. (b) 25,032 1,059,605
-------------
1,458,999
-------------
CONTAINERS & PACKAGING (0.5%)
Ball Corp. (b) 4,698 273,612
Bemis Co., Inc. 2,415 72,353
Sealed Air Corp. 2,370 51,263
-------------
397,228
-------------
DIVERSIFIED FINANCIAL SERVICES (3.5%)
Bank of America Corp. (b) 136,203 1,912,290
JPMorgan Chase & Co. (b) 24,797 998,823
-------------
2,911,113
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES (2.8%)
AT&T, Inc. (b) 87,005 2,256,910
-------------
ELECTRIC UTILITIES (0.9%)
Pinnacle West Capital Corp. 19,125 728,471
-------------
ELECTRICAL COMPONENTS & EQUIPMENT (2.0%)
Emerson Electric Co. 27,427 1,358,734
Rockwell Automation, Inc. 5,057 273,836
-------------
1,632,570
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (1.1%)
Jabil Circuit, Inc. (b) 61,009 885,241
-------------
ENERGY EQUIPMENT & SERVICES (2.0%)
Halliburton Co. (b) 7,245 216,481
Nabors Industries, Ltd. * 18,537 341,266
National Oilwell Varco, Inc. 15,553 609,056
Rowan Cos., Inc. * (b) 19,248 486,204
-------------
1,653,007
-------------
FOOD & STAPLES RETAILING (2.1%)
SUPERVALU, Inc. 61,170 689,998
Walgreen Co. 4,209 120,167
Wal-Mart Stores, Inc. (b) 17,201 880,519
-------------
1,690,684
-------------
FOOD PRODUCTS (2.8%)
ConAgra Foods, Inc. 21,045 494,137
General Mills, Inc. (b) 31,580 1,080,036
HJ Heinz Co. (b) 17,188 764,522
-------------
2,338,695
-------------
GAS-DISTRIBUTION (0.2%)
Oneok, Inc. 4,043 188,121
-------------
HEALTHCARE EQUIPMENT & SUPPLIES (2.3%)
Covidien PLC 18,174 678,254
Intuitive Surgical, Inc. * (b) 3,239 1,063,590
Medtronic, Inc. 4,559 168,546
-------------
1,910,390
-------------
HEALTHCARE PROVIDERS & SERVICES (4.4%)
Cardinal Health, Inc. (b) 31,529 1,017,441
Humana, Inc. * 5,296 249,018
UnitedHealth Group, Inc. (b) 41,193 1,254,327
WellPoint, Inc. * (b) 21,467 1,088,806
-------------
3,609,592
-------------
HOTELS RESTAURANTS & LEISURE (1.2%)
McDonald's Corp. 13,652 951,954
Wyndham Worldwide Corp. (b) 2,186 55,809
-------------
1,007,763
-------------
HOUSEHOLD DURABLES (1.3%)
Snap-On, Inc. 4,545 203,025
Whirlpool Corp. (b) 10,575 880,898
-------------
1,083,923
-------------
HOUSEHOLD PRODUCTS (2.1%)
Procter & Gamble Co. (The) (b) 28,242 1,727,281
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (1.6%)
Constellation Energy Group, Inc. 18,061 570,727
NRG Energy, Inc. * 31,129 706,006
-------------
1,276,733
-------------
INDUSTRIAL CONGLOMERATES (4.6%)
3M Co. (b) 16,750 1,432,795
General Electric Co. (b) 142,987 2,304,950
-------------
3,737,745
-------------
INSURANCE (4.6%)
Arch Capital Group, Ltd. * 5,382 421,195
Assurant, Inc. 19,340 721,189
Genworth Financial, Inc., Class A * 36,483 495,439
Lincoln National Corp. (b) 14,951 389,324
MetLife, Inc. 7,157 301,024
Prudential Financial, Inc. 7,791 446,346
XL Group PLC 57,689 1,022,826
-------------
3,797,343
-------------
INTERNET SOFTWARE & SERVICES (3.1%)
Google, Inc., Class A * (b) 3,042 1,474,914
VeriSign, Inc. * 37,310 1,050,276
-------------
2,525,190
-------------
IT SERVICES (1.1%)
Computer Sciences Corp. (b) 20,055 909,093
-------------
LEISURE EQUIPMENT & PRODUCTS (1.0%)
Eastman Kodak Co. * 47,619 189,047
Mattel, Inc. (b) 30,511 645,613
-------------
834,660
-------------
Continued
67
STRUCTURED LARGE CAP PLUS
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
LIFE SCIENCES TOOLS & SERVICES (1.6%)
PerkinElmer, Inc. (b) 28,106 $ 546,943
Thermo Fisher Scientific, Inc. * (b) 16,243 728,661
-------------
1,275,604
-------------
MACHINERY (2.8%)
Caterpillar, Inc. (b) 16,007 1,116,488
Eaton Corp. 15,202 1,192,749
-------------
2,309,237
-------------
MEDIA (2.7%)
Gannett Co., Inc. (b) 67,762 893,103
Time Warner, Inc. (b) 41,025 1,290,647
-------------
2,183,750
-------------
METALS & MINING (0.3%)
Reliance Steel & Aluminum Co. 1,839 72,236
Titanium Metals Corp. * 8,575 189,850
-------------
262,086
-------------
MULTILINE RETAIL (1.8%)
Big Lots, Inc. * 5,496 188,568
Sears Holdings Corp. * 926 65,746
Target Corp. 23,913 1,227,215
-------------
1,481,529
-------------
MULTI-UTILITIES (2.8%)
DTE Energy Co. 13,694 632,115
Integrys Energy Group, Inc. (b) 2,152 101,897
NiSource, Inc. (b) 29,670 489,555
PG&E Corp. 1,920 85,248
Public Service Enterprise Group, Inc. 29,579 973,149
-------------
2,281,964
-------------
OIL & GAS (11.4%)
Apache Corp. 9,708 927,891
Chevron Corp. (b) 24,029 1,831,250
ConocoPhillips (b) 30,849 1,703,482
EnCana Corp. 21,486 655,968
Exxon Mobil Corp. (b) 27,967 1,669,070
Marathon Oil Corp. (b) 20,406 682,581
Massey Energy Co. 5,460 166,967
Murphy Oil Corp. (b) 9,296 508,956
Tesoro Corp. (b) 50,364 650,199
Williams Cos., Inc. (The) 28,627 555,650
-------------
9,352,014
-------------
OIL GAS & CONSUMABLE FUELS (1.1%)
Pioneer Natural Resources Co. 15,951 923,882
-------------
PAPER & FOREST PRODUCTS (0.8%)
International Paper Co. (b) 27,696 670,243
-------------
PERSONAL PRODUCTS (0.7%)
Estee Lauder Cos., Inc. (The), Class A 8,849 550,850
-------------
PHARMACEUTICALS (5.6%)
Bristol-Myers Squibb Co. (b) 52,157 1,299,752
Eli Lilly & Co. 1,153 41,047
Forest Laboratories, Inc. * (b) 37,894 1,051,559
Johnson & Johnson (b) 5,993 348,133
Mylan, Inc. * (b) 51,885 902,799
Perrigo Co. 16,553 927,134
-------------
4,570,424
-------------
REAL ESTATE INVESTMENT TRUSTS (0.9%)
Equity Residential 11,177 512,465
Host Hotels & Resorts, Inc. 16,923 242,676
-------------
755,141
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (3.1%)
Intel Corp. (b) 93,720 1,930,632
Linear Technology Corp. 9,181 292,690
Micron Technology, Inc. * 46,436 338,054
-------------
2,561,376
-------------
SOFTWARE (6.7%)
CA, Inc. (b) 47,119 921,648
Intuit, Inc. * 13,928 553,638
Microsoft Corp. (b) 97,125 2,506,796
Oracle Corp. 29,188 690,004
Symantec Corp. * (b) 63,960 829,561
-------------
5,501,647
-------------
SPECIALTY RETAIL (4.4%)
Abercrombie & Fitch Co., Class A 108 3,990
AutoZone, Inc. * 3,391 717,434
Gap, Inc. (The) (b) 45,994 832,951
Home Depot, Inc. 7,606 216,847
Limited Brands, Inc. (b) 40,741 1,044,599
Sherwin-Williams Co. (The) 4,256 294,302
TJX Cos., Inc. 12,895 535,401
-------------
3,645,524
-------------
TOBACCO (2.7%)
Altria Group, Inc. 22,469 497,913
Philip Morris International, Inc. (b) 32,977 1,683,146
-------------
2,181,059
-------------
WIRELESS TELECOMMUNICATION SERVICES (1.0%)
MetroPCS Communications, Inc. * 87,079 779,357
-------------
TOTAL COMMON STOCKS 103,071,425
-------------
INVESTMENTS IN AFFILIATES (2.6%)
Fifth Third Institutional Money Market Fund(a) 2,113,332 2,113,332
-------------
TOTAL INVESTMENTS IN AFFILIATES 2,113,332
-------------
TOTAL INVESTMENTS (COST $97,709,348) - 128.0% 105,184,757
-------------
SECURITIES SOLD SHORT (PROCEEDS $25,630,295) - (28.4)% (23,296,036)
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% 317,517
-------------
NET ASSETS - 100.0% $ 82,206,238
=============
See notes to schedules of investments
notes to financial statements.
68
STRUCTURED LARGE CAP PLUS
SCHEDULE OF SECURITIES SOLD SHORT
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS (28.4)%
AEROSPACE & DEFENSE (1.1)%
Alliant Techsystems, Inc. * (13,928) $ (935,404)
-------------
AGRICULTURAL OPERATIONS (1.1)%
Bunge, Ltd. (18,737) (930,292)
-------------
BEVERAGES (1.5)%
Coca-Cola Enterprises, Inc. (27,389) (786,064)
Constellation Brands, Inc., Class A * (20,364) (347,410)
Green Mountain Coffee Roasters, Inc. * (2,034) (62,627)
-------------
(1,196,101)
-------------
CAPITAL MARKETS (1.5)%
JAnus Capital Group, Inc. (72,806) (763,007)
Northern Trust Corp. (1,792) (84,206)
SCANA Corp. (9,541) (365,516)
-------------
(1,212,729)
-------------
CASINO HOTELS (0.3)%
MGM Resorts International * (22,111) (240,125)
-------------
COMMERCIAL SERVICES & SUPPLIES (1.8)%
Dun & Bradstreet Corp. (2,108) (144,103)
Iron Mountain, Inc. (37,274) (882,275)
Monster Worldwide, Inc. * (32,676) (448,315)
-------------
(1,474,693)
-------------
COMPUTERS-INTEGRATED SYSTEMS (0.6)%
Brocade Communications Systems, Inc. * (91,501) (452,930)
-------------
DIVERSIFIED FINANCIAL SERVICES (0.3)%
Leucadia National Corp. * (12,382) (273,518)
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES (0.2)%
Windstream Corp. (12,880) (146,832)
-------------
ENERGY-ALTERNATE SOURCES (1.1)%
First Solar, Inc. * (7,221) (905,874)
-------------
FINANCE-INVESTMENT BANKER/BROKER (0.1)%
Jefferies Group, Inc. (4,979) (122,931)
-------------
FOOD PRODUCTS (0.8)%
Archer-Daniels-Midland Co. (25,616) (700,854)
-------------
GAS-DISTRIBUTION (1.0)%
EQT Corp. (21,396) (784,805)
-------------
HEALTHCARE EQUIPMENT & SUPPLIES (1.6)%
Boston Scientific Corp. * (122,483) (685,905)
St. Jude Medical, Inc. * (17,722) (651,638)
-------------
(1,337,543)
-------------
HEALTHCARE PROVIDERS & SERVICES (1.4)%
CIGNA Corp. (27,493) (845,685)
Tenet Healthcare Corp. * (71,281) (327,892)
-------------
(1,173,577)
-------------
HEALTHCARE-SERVICES (0.3)%
Covance, Inc. * (5,922) (229,537)
-------------
HOUSEHOLD DURABLES (1.0)%
DR Horton, Inc. (20,157) (222,130)
Pulte Group, Inc. * (64,213) (563,790)
-------------
(785,920)
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (0.5)%
AES Corp. (The) * (36,757) (378,965)
-------------
INDUSTRIAL CONGLOMERATES (1.1)%
Mcdermott International, Inc. * (38,305) (900,551)
-------------
INSURANCE (0.1)%
AON Corp. (2,220) (83,627)
-------------
INTERNET & CATALOG RETAIL (0.1)%
Priceline.com, Inc. * (373) (83,701)
-------------
INTERNET SOFTWARE & SERVICES (0.4)%
Yahoo!, Inc. * (22,398) (310,884)
-------------
IT SERVICES (1.1)%
Fidelity National Information Services, Inc. (32,288) (925,697)
-------------
MACHINERY (0.1)%
PACCAR, Inc. (2,320) (106,302)
-------------
MEDICAL-BIOMEDICAL/GENETICS (1.1)%
Vertex Pharmaceuticals, Inc. * (27,113) (912,624)
-------------
MULTI-UTILITIES (1.3)%
Centerpoint Energy, Inc. (69,117) (983,535)
Consolidated Edison, Inc. (1,216) (56,082)
-------------
(1,039,617)
-------------
OFFICE ELECTRONICS (0.1)%
Xerox Corp. (7,355) (71,638)
-------------
OIL & GAS (1.1)%
Denbury Resources, Inc. * (56,520) (895,277)
-------------
OIL COMPANY-EXPLORATION & PRODUCTION (1.4)%
EXCO Resources, Inc. (16,337) (237,050)
Petrohawk Energy Corp. * (36,844) (581,030)
Ultra Petroleum Corp. * (7,451) (315,699)
-------------
(1,133,779)
-------------
PHARMACEUTICALS (0.1)%
Merck & Co., Inc. (2,173) (74,882)
-------------
PIPELINES (0.0)%
100,000ths kinder Morgan Management LLC * 15,563 (9)
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (0.9)%
MEMC Electronic Materials, Inc. * (80,951) (773,892)
-------------
Continued
69
STRUCTURED LARGE CAP PLUS
SCHEDULE OF SECURITIES SOLD SHORT, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
SOFTWARE (1.9)%
Adobe Systems, Inc. * (26,523) $ (761,741)
Electronic Arts, Inc. * (52,438) (835,337)
-------------
(1,597,078)
-------------
SPECIALTY RETAIL (1.2)%
RadioShack Corp. (45,033) (970,011)
-------------
WIRELESS TELECOMMUNICATION SERVICES (0.2)%
Sprint Nextel Corp. * (29,286) (133,837)
-------------
TOTAL COMMON STOCKS (23,296,036)
-------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $25,630,295) - (28.4)% $ (23,296,036)
=============
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
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS (96.3%)
AEROSPACE & DEFENSE (2.7%)
Boeing Co. (The) 20,155 $ 1,373,362
General Dynamics Corp. 10,183 623,709
Goodrich Corp. 3,304 240,762
Honeywell International, Inc. 20,183 865,043
L-3 Communications Holdings, Inc. 3,051 222,845
Lockheed Martin Corp. 8,193 615,704
Northrop Grumman Corp. 7,993 468,709
Precision Castparts Corp. 3,740 456,991
Raytheon Co. 10,007 463,024
Rockwell Collins, Inc. 4,150 237,214
United Technologies Corp. 24,720 1,757,592
-------------
7,324,955
-------------
AIR FREIGHT & LOGISTICS (1.1%)
CH Robinson Worldwide, Inc. 4,397 286,684
Expeditors International of Washington, Inc. 5,600 238,784
FedEx Corp. 8,261 681,946
United Parcel Service, Inc., Class B 26,210 1,703,650
-------------
2,911,064
-------------
AIRLINES (0.1%)
Southwest Airlines Co. 19,622 236,445
-------------
APPLICATION SOFTWARE (0.1%)
Red Hat, Inc. * 4,982 160,171
-------------
AUTO COMPONENTS (0.2%)
Goodyear Tire & Rubber Co. (The) * 6,394 68,224
Johnson Controls, Inc. 17,733 510,888
-------------
579,112
-------------
AUTOMOBILES (0.5%)
Ford Motor Co. *(a) 90,326 1,153,463
Harley-Davidson, Inc. 6,185 168,418
-------------
1,321,881
-------------
BEVERAGES (2.6%)
Brown-Forman Corp., Class B 2,869 181,350
Coca-Cola Co. (The) 61,058 3,364,906
Coca-Cola Enterprises, Inc. 8,436 242,113
Constellation Brands, Inc., Class A * 5,273 89,957
Dr.Pepper Snapple Group, Inc. 6,428 241,372
Molson Coors Brewing Co., Class B 4,182 188,232
PepsiCo, Inc. 42,569 2,763,154
-------------
7,071,084
-------------
BIOTECHNOLOGY (1.4%)
Amgen, Inc. * 25,407 1,385,444
Biogen Idec, Inc. * 7,117 397,698
Celgene Corp. * 12,136 669,300
Cephalon, Inc. * 1,978 112,252
Genzyme Corp. *(a) 7,025 488,659
Gilead Sciences, Inc. * 23,550 784,686
-------------
3,838,039
-------------
BUILDING PRODUCTS (0.1%)
Life Technologies Corp. * 4,774 205,234
Masco Corp. 9,471 97,362
-------------
302,596
-------------
Continued
70
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
CABLE TV (0.2%)
Time Warner Cable, Inc. 9,307 $ 532,081
-------------
CAPITAL MARKETS (2.5%)
Ameriprise Financial, Inc. 6,745 285,921
Bank of New York Mellon Corp. (The) 32,303 809,836
Charles Schwab Corp. (The) 25,808 381,700
E*Trade Financial Corp. * 5,228 76,486
Federated Investors, Inc., Class B 2,338 49,612
Franklin Resources, Inc. 3,916 393,871
Goldman Sachs Group, Inc. (The) 13,613 2,053,113
Invesco, Ltd.(a) 12,135 237,118
Janus Capital Group, Inc. 4,849 50,817
Legg Mason, Inc. 4,292 123,996
Morgan Stanley 36,908 996,147
Northern Trust Corp. 6,380 299,796
SCANA Corp.(a) 2,943 112,746
State Street Corp. 13,363 520,088
T Rowe Price Group, Inc. 6,837 329,749
-------------
6,720,996
-------------
CHEMICALS (1.9%)
Air Products & Chemicals, Inc. 5,601 406,521
Airgas, Inc. 2,184 142,593
CF Industries Holdings, Inc. 1,830 148,578
Dow Chemical Co. (The) 30,769 840,917
E.I. du Pont de Nemours & Co. 23,860 970,386
Eastman Chemical Co. 1,919 120,206
Ecolab, Inc. 6,237 305,052
FMC Corp. 1,914 119,606
International Flavors & Fragrances, Inc. 2,087 94,708
Monsanto Co. 14,405 833,185
PPG Industries, Inc. 4,378 304,140
Praxair, Inc. 8,087 702,113
Sigma-Aldrich Corp. 3,215 180,361
-------------
5,168,366
-------------
COAL (0.0%)
Massey Energy Co. 2,681 81,985
-------------
COMMERCIAL BANKS (4.1%)
BB&T Corp. 18,233 452,725
Berkshire Hathaway, Inc., Class B * 43,823 3,423,453
Comerica, Inc. (a) 4,594 176,226
First Horizon National Corp. * 6,022 69,068
Huntington Bancshares, Inc. 18,912 114,607
Keycorp 23,182 196,120
M&T Bank Corp. 2,193 191,536
Marshall & Ilsley Corp. 13,904 97,745
PNC Financial Services Group, Inc. 13,997 831,282
Regions Financial Corp. 31,485 230,785
SunTrust Banks, Inc. 13,182 342,073
US Bancorp 50,511 1,207,213
Wells Fargo & Co. 137,891 3,823,717
Zions Bancorporation 4,232 93,908
-------------
11,250,458
-------------
COMMERCIAL SERVICES (0.0%)
Quanta Services, Inc. * 5,545 119,107
-------------
COMMERCIAL SERVICES & SUPPLIES (0.5%)
Avery Dennison Corp. 2,958 106,044
Cintas Corp. 3,471 91,843
Dun & Bradstreet Corp. 1,346 92,012
Equifax, Inc. 3,336 104,550
Iron Mountain, Inc. 4,784 113,237
Monster Worldwide, Inc. *(a) 3,316 45,496
Pitney Bowes, Inc. (a) 5,477 133,694
Republic Services, Inc. 8,549 272,371
Robert Half International, Inc. (a) 3,923 98,781
RR Donnelley & Sons Co. 5,424 91,503
Stericycle, Inc. *(a) 2,238 140,994
-------------
1,290,525
-------------
COMMERCIAL SERVICES-FINANCE (0.5%)
Mastercard, Inc., Class A 2,548 535,182
Visa, Inc., Class A 11,986 879,173
-------------
1,414,355
-------------
COMMUNICATIONS EQUIPMENT (2.6%)
Cisco Systems, Inc. * 151,151 3,487,054
Corning, Inc. 41,153 745,692
Harris Corp. 3,453 153,762
JDS Uniphase Corp. * 5,900 64,015
Juniper Networks, Inc. * 13,871 385,336
Motorola, Inc. * 61,058 457,325
Qualcomm, Inc. 43,384 1,652,063
Tellabs, Inc. 10,147 70,826
-------------
7,016,073
-------------
COMPUTERS & PERIPHERALS (5.9%)
Apple, Inc. * 24,064 6,190,464
Dell, Inc. * 45,455 601,824
EMC Corp. * 54,190 1,072,420
Hewlett-Packard Co. 61,787 2,844,674
International Business Machines Corp. 33,877 4,349,807
Lexmark International, Inc., Class A * 2,062 75,778
NetApp, Inc. * 9,098 384,845
QLogic Corp. * 3,007 47,871
SanDisk Corp. * 6,038 263,861
Teradata Corp. *(a) 4,401 139,952
Western Digital Corp. * 6,036 159,290
-------------
16,130,786
-------------
CONSTRUCTION & ENGINEERING (0.1%)
Fluor Corp. 4,720 227,929
Jacobs Engineering Group, Inc. * 3,289 120,279
-------------
348,208
-------------
CONSTRUCTION MATERIALS (0.1%)
Vulcan Materials Co. 3,335 150,875
-------------
CONSUMER FINANCE (0.8%)
American Express Co. 31,847 1,421,650
Capital One Financial Corp. 12,019 508,764
Discover Financial Services 14,351 219,140
SLM Corp. * 12,801 153,612
-------------
2,303,166
-------------
Continued
71
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
CONTAINERS & PACKAGING (0.2%)
Ball Corp. 2,484 $ 144,668
Bemis Co., Inc. 2,878 86,225
Owens-Illinois, Inc. * 4,451 123,070
Pactiv Corp. * 3,494 106,287
Sealed Air Corp. 4,196 90,760
-------------
551,010
-------------
DISTRIBUTORS (0.1%)
Genuine Parts Co. 4,190 179,458
-------------
DIVERSIFIED CONSUMER SERVICES (0.1%)
Apollo Group, Inc., Class A *(a) 3,394 156,565
DeVry, Inc. 1,634 87,909
H&R Block, Inc. 8,858 138,894
-------------
383,368
-------------
DIVERSIFIED FINANCIAL SERVICES (4.2%)
Bank of America Corp. (c) 265,513 3,727,802
Citigroup, Inc. * (c) 598,007 2,451,829
CME Group, Inc. 1,724 480,651
IntercontinentalExchange, Inc. * 1,943 205,220
JPMorgan Chase & Co. 105,242 4,239,148
Leucadia National Corp. * 5,010 110,671
Moody's Corp.(a) 5,191 122,248
NASDAQ OMX Group, Inc. (The) * 3,907 76,069
NYSE Euronext 6,890 199,603
-------------
11,613,241
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES (2.6%)
AT&T, Inc. (c) 156,228 4,052,554
CenturyLink, Inc. (a) 7,908 281,683
Frontier Communications Corp. 26,214 200,275
Qwest Communications International, Inc. 39,281 222,331
Verizon Communications, Inc. 74,860 2,175,432
Windstream Corp.(a) 12,761 145,475
-------------
7,077,750
-------------
ELECTRIC UTILITIES (1.9%)
Allegheny Energy, Inc. 4,476 102,053
American Electric Power Co., Inc. 12,620 454,068
Duke Energy Corp. 34,565 591,061
Edison International 8,601 285,123
Entergy Corp. 4,995 387,162
Exelon Corp. 17,421 728,720
FirstEnergy Corp.(a) 8,047 303,372
NextEra Energy, Inc. 10,912 570,698
Northeast Utilities 4,632 128,955
Pepco Holdings, Inc. 5,870 99,262
Pinnacle West Capital Corp.(a) 2,836 108,023
PPL Corp. 9,954 271,645
Progress Energy, Inc. 7,781 327,658
Southern Co. 21,972 776,271
-------------
5,134,071
-------------
ELECTRICAL COMPONENTS & EQUIPMENT (0.5%)
Emerson Electric Co. 19,864 984,063
Rockwell Automation, Inc. (a) 3,769 204,091
Roper Industries, Inc. (a) 2,473 154,562
-------------
1,342,716
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS (0.3%)
Agilent Technologies, Inc. * 9,209 257,207
Amphenol Corp., Class A 4,573 204,871
FLIR Systems, Inc. * 4,036 120,111
Jabil Circuit, Inc. 5,097 73,958
Molex, Inc. (a) 3,579 70,542
-------------
726,689
-------------
ENERGY-ALTERNATE SOURCES (0.1%)
First Solar, Inc. *(a) 1,282 160,827
-------------
ENERGY EQUIPMENT & SERVICES (1.7%)
Baker Hughes, Inc. 11,336 547,189
Cameron International Corp. * 6,453 255,474
Diamond Offshore Drilling, Inc. (a) 1,835 109,164
FMC Technologies, Inc. * 3,220 203,762
Halliburton Co. 23,893 713,923
Helmerich & Payne, Inc. 2,791 113,119
Nabors Industries, Ltd. * 7,515 138,351
National Oilwell Varco, Inc. 11,047 432,600
Rowan Cos., Inc. * 3,005 75,906
Schlumberger, Ltd.(a) 31,589 1,884,600
Smith International, Inc. 6,558 272,026
-------------
4,746,114
-------------
FOOD & STAPLES RETAILING (2.4%)
Costco Wholesale Corp. 11,598 657,723
CVS Caremark Corp. 36,055 1,106,528
Kroger Co. (The) 17,156 363,364
Safeway, Inc. 10,264 210,823
SUPERVALU, Inc. 5,597 63,134
SYSCO Corp. 15,643 484,464
Walgreen Co. 26,008 742,528
Wal-Mart Stores, Inc. 54,795 2,804,956
Whole Foods Market, Inc. *(a) 4,497 170,751
-------------
6,604,271
-------------
FOOD PRODUCTS (1.7%)
Archer-Daniels-Midland Co. 16,964 464,135
Campbell Soup Co. 4,979 178,746
ConAgra Foods, Inc. 11,705 274,833
Dean Foods Co. * 4,786 54,848
General Mills, Inc. 17,674 604,451
Hershey Co. (The) 4,392 206,424
HJ Heinz Co. 8,348 371,319
Hormel Foods Corp. 1,835 78,758
JM Smucker Co. (The) 3,142 193,013
Kellogg Co. 6,731 336,887
Kraft Foods, Inc., Class A 46,203 1,349,590
McCormick & Co., Inc. (a) 3,488 137,183
Sara Lee Corp. 17,457 258,189
Tyson Foods, Inc., Class A 8,053 141,008
-------------
4,649,384
-------------
GAS-DISTRIBUTION (0.1%)
EQT Corp. 3,797 139,274
Nicor, Inc. 1,194 52,285
Oneok, Inc. 2,785 129,586
-------------
321,145
-------------
Continued
72
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
HEALTHCARE EQUIPMENT & SUPPLIES (1.6%)
Baxter International, Inc. 15,658 $ 685,351
Becton Dickinson & Co. 6,222 428,074
Boston Scientific Corp. * 39,899 223,434
CR Bard, Inc. 2,525 198,288
DENTSPLY International, Inc. 3,885 116,628
Hospira, Inc. * 4,326 225,385
Intuitive Surgical, Inc. * 1,028 337,564
Medtronic, Inc. 29,162 1,078,119
St. Jude Medical, Inc. * 8,591 315,891
Stryker Corp. 7,461 347,459
Varian Medical Systems, Inc. * 3,272 180,614
Zimmer Holdings, Inc. * 5,427 287,577
-------------
4,424,384
-------------
HEALTHCARE PROVIDERS & SERVICES (1.9%)
Aetna, Inc. 11,378 316,877
AmerisourceBergen Corp. 7,455 223,426
Cardinal Health, Inc. 9,542 307,920
CIGNA Corp. 7,259 223,287
Coventry Health Care, Inc. * 3,907 77,476
DaVita, Inc. * 2,724 156,140
Express Scripts, Inc. * 14,535 656,691
Humana, Inc. * 4,494 211,308
Laboratory Corp. of America Holdings * 2,764 201,717
McKesson Corp. 7,112 446,776
Medco Health Solutions, Inc. * 12,077 579,696
Patterson Cos., Inc. 2,463 65,713
Quest Diagnostics, Inc. 3,968 186,456
Tenet Healthcare Corp. * 11,432 52,587
UnitedHealth Group, Inc. 30,113 916,941
WellPoint, Inc. * 11,334 574,861
-------------
5,197,872
-------------
HEALTHCARE TECHNOLOGY (0.1%)
Cerner Corp. *(a) 1,794 138,945
-------------
HOTELS RESTAURANTS & LEISURE (1.6%)
Carnival Corp. 11,458 397,364
Darden Restaurants, Inc. 3,691 154,616
International Game Technology 7,831 119,344
Marriott International, Inc., Class A(a) 7,024 238,184
McDonald's Corp. 28,404 1,980,611
Starbucks Corp. 19,625 487,681
Starwood Hotels & Resorts Worldwide, Inc. 5,152 249,614
Wyndham Worldwide Corp. 4,721 120,527
Wynn Resorts, Ltd. 1,823 159,841
Yum! Brands, Inc. 12,388 511,624
-------------
4,419,406
-------------
HOUSEHOLD DURABLES (0.4%)
DR Horton, Inc. 7,302 80,468
Fortune Brands, Inc. 4,012 176,047
Harman International Industries, Inc. * 1,833 55,742
Leggett & Platt, Inc. 3,919 81,672
Lennar Corp., Class A 4,295 63,437
Newell Rubbermaid, Inc. 7,334 113,677
Pulte Group, Inc. * 8,376 73,541
Snap-On, Inc. 1,525 68,122
Stanley Black & Decker, Inc. 4,349 252,329
Whirlpool Corp. 1,975 164,517
-------------
1,129,552
-------------
HOUSEHOLD PRODUCTS (2.4%)
Clorox Co. 3,702 240,186
Colgate-Palmolive Co. 13,034 1,029,425
Kimberly-Clark Corp. 10,990 704,679
Procter & Gamble Co. (The) 75,993 4,647,732
-------------
6,622,022
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (0.2%)
AES Corp. (The) * 17,647 181,941
Constellation Energy Group, Inc. (a) 5,309 167,764
NRG Energy, Inc. *(a) 6,914 156,810
-------------
506,515
-------------
INDUSTRIAL CONGLOMERATES (2.3%)
3M Co. 18,921 1,618,502
General Electric Co. (c) 282,426 4,552,707
Textron, Inc. (a) 7,197 149,410
-------------
6,320,619
-------------
INSURANCE (2.6%)
ACE, Ltd. 8,896 472,200
Aflac, Inc. 12,385 609,218
Allstate Corp. (The) 14,165 400,020
American International Group, Inc. * 3,562 137,030
AON Corp. (a) 7,045 265,385
Assurant, Inc. 3,075 114,667
Chubb Corp. 8,674 456,513
Cincinnati Financial Corp. (a) 4,301 118,492
Genworth Financial, Inc., Class A * 12,911 175,331
Hartford Financial Services Group, Inc. 11,714 274,225
Lincoln National Corp. 7,979 207,773
Loews Corp. 9,368 348,021
Marsh & McLennan Cos., Inc. 14,511 341,299
MetLife, Inc. 21,624 909,505
Principal Financial Group, Inc. 8,434 215,995
Progressive Corp. (The) 17,729 348,197
Prudential Financial, Inc. 12,276 703,292
Torchmark Corp. 2,187 116,064
Travelers Cos., Inc. (The) 13,096 660,693
Unum Group 8,774 200,223
XL Group PLC 9,031 160,120
-------------
7,234,263
-------------
INTERNET & CATALOG RETAIL (0.5%)
Amazon.com, Inc. * 9,036 1,065,254
Expedia, Inc. 5,582 126,600
priceline.com, Inc. * 1,264 283,641
-------------
1,475,495
-------------
INTERNET SOFTWARE & SERVICES (1.6%)
Akamai Technologies, Inc. * (a) 4,543 174,269
eBay, Inc. * 29,834 623,829
Google, Inc., Class A * 6,401 3,103,525
VeriSign, Inc. * 4,843 136,330
Yahoo!, Inc. * 31,419 436,096
-------------
4,474,049
-------------
Continued
73
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
IT SERVICES (0.9%)
Automatic Data Processing, Inc. 13,327 $ 550,005
Cognizant Technology Solutions Corp., Class A * 7,855 428,569
Computer Sciences Corp. 4,055 183,813
Fidelity National Information Services, Inc. 8,710 249,716
Fiserv, Inc. * 4,021 201,452
Paychex, Inc. 8,491 220,681
SAIC, Inc. * 8,048 133,838
Total System Services, Inc. (a) 5,207 77,636
Western Union Co. (The) 18,024 292,530
-------------
2,338,240
-------------
LEISURE EQUIPMENT & PRODUCTS (0.1%)
Eastman Kodak Co. * (a) 7,092 28,155
Hasbro, Inc. 3,456 145,671
Mattel, Inc. 9,600 203,136
-------------
376,962
-------------
LIFE SCIENCES TOOLS & SERVICES (0.3%)
PerkinElmer, Inc. 3,104 60,404
Thermo Fisher Scientific, Inc. * 10,809 484,892
Waters Corp. * 2,471 158,539
-------------
703,835
-------------
MACHINERY (1.9%)
Caterpillar, Inc. 16,707 1,165,313
Cummins, Inc. 5,316 423,207
Danaher Corp. 13,834 531,364
Deere & Co. 11,193 746,349
Dover Corp. 4,918 235,917
Eaton Corp. 4,580 359,347
Flowserve Corp. 1,474 146,162
Illinois Tool Works, Inc. 10,213 444,266
ITT Corp. 4,828 227,495
PACCAR, Inc. 9,614 440,513
Pall Corp. 3,098 118,468
Parker Hannifin Corp. 4,245 263,699
-------------
5,102,100
-------------
MEDIA (2.9%)
CBS Corp., Class B 17,873 264,163
Comcast Corp., Class A 74,909 1,458,478
DIRECTV, Class A * 24,084 894,961
Discovery Communications, Inc., Class A * (a) 7,485 288,996
Gannett Co., Inc. 6,266 82,586
Interpublic Group of Cos., Inc. (The) * 12,826 117,230
McGraw-Hill Cos., Inc. (The) 8,334 255,771
Meredith Corp. (a) 969 30,766
New York Times Co. (The), Class A * (a) 3,071 26,841
News Corp., Class A 59,487 776,305
Omnicom Group, Inc. 8,196 305,383
Scripps Networks Interactive, Inc., Class A 2,365 100,820
Time Warner, Inc. 30,041 945,090
Viacom, Inc., Class B 16,033 529,730
Walt Disney Co. (The) 51,934 1,749,656
Washington Post Co. (The), Class B 161 67,699
-------------
7,894,475
-------------
MEDICAL-WHOLESALE DRUG DISTRIBUTORS (0.0%)
CareFusion Corp. * 4,681 98,629
-------------
METALS & MINING (1.0%)
AK Steel Holding Corp. 2,900 40,571
Alcoa, Inc. 26,934 300,853
Allegheny Technologies, Inc. (a) 2,592 123,405
Cliffs Natural Resources, Inc. 3,570 201,955
Freeport-McMoRan Copper & Gold, Inc. 12,602 901,547
Newmont Mining Corp. 12,962 724,576
Nucor Corp. 8,313 325,371
Titanium Metals Corp. * 2,229 49,350
United States Steel Corp. (a) 3,785 167,789
-------------
2,835,417
-------------
MULTILINE RETAIL (0.8%)
Big Lots, Inc. * 2,182 74,864
Family Dollar Stores, Inc. 3,653 151,051
JC Penney Co., Inc. 6,230 153,445
Kohl's Corp. * 8,094 386,003
Macy's, Inc. 11,114 207,276
Nordstrom, Inc. 4,364 148,376
Sears Holdings Corp. * (a) 1,281 90,951
Target Corp. 19,427 996,994
-------------
2,208,960
-------------
MULTI-UTILITIES (1.3%)
Ameren Corp. 6,254 158,664
CenterPoint Energy, Inc. 10,948 155,790
CMS Energy Corp. 6,066 96,571
Consolidated Edison, Inc. 7,427 342,533
Dominion Resources, Inc. 15,842 665,205
DTE Energy Co. 4,785 220,876
Integrys Energy Group, Inc. (a) 2,020 95,647
NiSource, Inc. (a) 7,307 120,566
PG&E Corp. 9,803 435,253
Public Service Enterprise Group, Inc. 13,357 439,445
Sempra Energy 6,521 324,420
TECO Energy, Inc. 5,643 92,207
Wisconsin Energy Corp. 3,086 167,508
Xcel Energy, Inc. 12,055 265,089
-------------
3,579,774
-------------
NON-HAZARDOUS WASTE DISPOSAL (0.2%)
Waste Management, Inc. 12,803 434,662
-------------
OFFICE ELECTRONICS (0.1%)
Xerox Corp. 37,091 361,266
-------------
OIL & GAS (8.7%)
Anadarko Petroleum Corp. 13,003 639,228
Apache Corp. 8,885 849,228
Cabot Oil & Gas Corp. 2,736 83,366
Chesapeake Energy Corp. 17,208 361,884
Chevron Corp. 53,196 4,054,067
ConocoPhillips 39,532 2,182,957
Consol Energy, Inc. 6,122 229,453
Denbury Resources, Inc. * 10,439 165,354
Devon Energy Corp. 11,795 737,070
El Paso Corp. 18,514 228,093
EOG Resources, Inc. 6,668 650,130
Exxon Mobil Corp. (c) 135,230 8,070,526
Hess Corp. 7,688 412,000
Continued
74
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
OIL & GAS, CONTINUED
Marathon Oil Corp. 18,689 $ 625,147
Murphy Oil Corp. 5,046 276,269
Noble Energy, Inc. 4,605 308,811
Occidental Petroleum Corp. 21,435 1,670,430
Peabody Energy Corp. 7,095 320,339
QEP Resources, Inc. * 4,610 158,676
Range Resources Corp. 4,201 155,941
Southwestern Energy Co. * 9,136 333,007
Spectra Energy Corp. 17,093 355,363
Sunoco, Inc. 3,087 110,113
Tesoro Corp. 3,711 47,909
Valero Energy Corp. 14,910 253,321
Williams Cos., Inc. (The) 15,406 299,030
-------------
23,577,712
-------------
OIL GAS & CONSUMABLE FUELS (0.1%)
Pioneer Natural Resources Co. (a) 3,050 176,656
-------------
PAPER & FOREST PRODUCTS (0.2%)
International Paper Co. 11,433 276,679
MeadWestvaco Corp. 4,522 108,347
Weyerhaeuser Co. 5,580 90,507
-------------
475,533
-------------
PERSONAL PRODUCTS (0.2%)
Avon Products, Inc. 11,285 351,302
Estee Lauder Cos., Inc. (The), Class A (a) 3,120 194,220
-------------
545,522
-------------
PHARMACEUTICALS (5.8%)
Abbott Laboratories 40,768 2,000,893
Allergan, Inc. 8,118 495,685
Bristol-Myers Squibb Co. 45,667 1,138,022
Eli Lilly & Co. 26,789 953,688
Forest Laboratories, Inc. * 7,982 221,500
Johnson & Johnson 72,878 4,233,483
King Pharmaceuticals, Inc. * 6,559 57,457
Mead Johnson Nutrition Co. 5,399 286,903
Merck & Co., Inc. 82,540 2,844,328
Mylan, Inc. * 8,096 140,871
Pfizer, Inc. 213,050 3,195,750
Watson Pharmaceuticals, Inc. * 2,813 113,927
-------------
15,682,507
-------------
REAL ESTATE INVESTMENT TRUSTS (1.3%)
Apartment Investment & Management Co., Class A 3,092 66,385
AvalonBay Communities, Inc. (a) 2,255 236,978
Boston Properties, Inc. 3,669 300,491
Equity Residential 7,441 341,170
HCP, Inc. 7,757 275,141
Health Care REIT, Inc. 3,265 147,937
Host Hotels & Resorts, Inc. 17,243 247,265
Kimco Realty Corp. 10,706 161,339
Plum Creek Timber Co., Inc. 4,298 154,212
ProLogis 12,519 135,956
Public Storage 3,582 351,466
Simon Property Group, Inc. 7,803 696,184
Ventas, Inc. 4,137 209,829
Vornado Realty Trust 4,162 344,530
-------------
3,668,883
-------------
REAL ESTATE MANAGEMENT & DEVELOPMENT (0.0%)
CB Richard Ellis Group, Inc., Class A * (a) 7,136 121,312
-------------
RETAIL-AUTOMOTIVE (0.0%)
CarMax, Inc. * (a) 5,897 124,427
-------------
ROAD & RAIL (0.8%)
CSX Corp. 10,297 542,858
Norfolk Southern Corp. 9,759 549,139
Ryder System, Inc. 1,410 61,575
Union Pacific Corp. 13,339 996,023
-------------
2,149,595
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (2.4%)
Advanced Micro Devices, Inc. * (a) 14,905 111,638
Altera Corp. (a) 7,851 217,630
Analog Devices, Inc. 7,859 233,491
Applied Materials, Inc. 35,457 418,393
Broadcom Corp., Class A 11,383 410,129
Intel Corp. 147,260 3,033,556
KLA-Tencor Corp. 4,543 143,877
Linear Technology Corp. (a) 5,900 188,092
LSI Corp. * 17,332 69,848
MEMC Electronic Materials, Inc. * 6,002 57,379
Microchip Technology, Inc. 4,864 148,109
Micron Technology, Inc. * (a) 22,457 163,487
National Semiconductor Corp. 6,278 86,636
Novellus Systems, Inc. * 2,531 67,603
NVIDIA Corp. * 15,526 142,684
Teradyne, Inc. * 4,679 50,346
Texas Instruments, Inc. 32,365 799,092
Xilinx, Inc. (a) 7,303 203,900
-------------
6,545,890
-------------
SOFTWARE (3.7%)
Adobe Systems, Inc. * 13,836 397,370
Autodesk, Inc. * 6,064 179,131
BMC Software, Inc. * 4,821 171,531
CA, Inc. 10,433 204,070
Citrix Systems, Inc. * 4,853 267,012
Compuware Corp. * 6,003 49,105
Electronic Arts, Inc. * 8,623 137,364
Intuit, Inc. * 8,287 329,408
McAfee, Inc. * 4,189 138,656
Microsoft Corp. (c) 201,432 5,198,960
Novell, Inc. * 9,194 55,532
Oracle Corp. 103,652 2,450,333
Salesforce.com, Inc. * (a) 3,041 300,907
Symantec Corp. * 21,284 276,053
-------------
10,155,432
-------------
SPECIALTY RETAIL (1.9%)
Abercrombie & Fitch Co., Class A (a) 2,323 85,812
AutoNation, Inc. * (a) 2,386 58,290
AutoZone, Inc. * (a) 784 165,871
Bed Bath & Beyond, Inc. * 6,917 262,016
Best Buy Co., Inc. 9,049 313,638
GameStop Corp., Class A * 4,034 80,882
Gap, Inc. (The) 11,959 216,577
Home Depot, Inc. 44,388 1,265,502
Limited Brands, Inc. 7,062 181,070
Continued
75
EQUITY INDEX
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
COMMON STOCKS, CONTINUED
SPECIALTY RETAIL, CONTINUED
Lowe's Cos., Inc. 37,837 $ 784,739
Office Depot, Inc. * 7,253 31,333
O'Reilly Automotive, Inc. * 3,632 178,985
RadioShack Corp. 3,306 71,211
Ross Stores, Inc. 3,270 172,198
Sherwin-Williams Co. (The) 2,430 168,035
Staples, Inc. 19,245 391,251
Tiffany & Co. 3,530 148,507
TJX Cos., Inc. 10,797 448,291
Urban Outfitters, Inc. * 3,425 110,148
-------------
5,134,356
-------------
TEXTILES APPAREL & LUXURY GOODS (0.5%)
Coach, Inc. 8,047 297,497
Nike, Inc., Class B 10,295 758,124
Polo Ralph Lauren Corp. 1,510 119,305
VF Corp. 2,336 185,315
-------------
1,360,241
-------------
THRIFTS & MORTGAGE FINANCE (0.1%)
Hudson City Bancorp, Inc. 12,509 155,362
People's United Financial, Inc. (a) 9,802 135,659
-------------
291,021
-------------
TOBACCO (1.6%)
Altria Group, Inc. 54,924 1,217,116
Lorillard, Inc. 4,087 311,593
Philip Morris International, Inc. 49,021 2,502,032
Reynolds American, Inc. 4,462 257,992
-------------
4,288,733
-------------
TRADING COMPANIES & DISTRIBUTORS (0.1%)
Fastenal Co. (a) 3,464 170,013
WW Grainger, Inc. 1,625 182,016
-------------
352,029
-------------
WIRELESS TELECOMMUNICATION SERVICES (0.3%)
American Tower Corp., Class A * 10,630 491,531
MetroPCS Communications, Inc. * (a) 6,890 61,666
Sprint Nextel Corp. * 78,599 359,197
-------------
912,394
-------------
TOTAL COMMON STOCKS 263,202,057
-------------
INVESTMENT COMPANIES (4.0%)
State Street Navigator Securities
Lending Portfolio (d) 10,846,128 10,846,128
-------------
TOTAL INVESTMENT COMPANIES 10,846,128
-------------
INVESTMENTS IN AFFILIATES (3.5%)
COMMERCIAL BANKS (0.1%)
Fifth Third Bancorp 20,989 266,770
-------------
FIFTH THIRD FUNDS (3.4%)
Fifth Third Institutional Money Market Fund (b) 9,313,712 9,313,712
-------------
TOTAL INVESTMENTS IN AFFILIATES 9,580,482
-------------
TOTAL INVESTMENTS (COST $155,160,198) - 103.8% 283,628,667
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.8)% (10,200,561)
-------------
NET ASSETS - 100.0% $ 273,428,106
=============
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.
76
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
FOREIGN STOCKS (97.4%)
AUSTRALIA (9.1%)
Australia & New Zealand Banking Group, Ltd. (a) 172,058 $ 3,587,983
Bendigo and Adelaide Bank, Ltd. 62,884 465,939
BHP Billiton, Ltd. 20,000 725,931
Boral, Ltd. 162,298 622,563
Coca-Cola Amatil, Ltd. 88,746 920,909
Commonwealth Bank of Australia 64,544 3,069,133
Leighton Holdings, Ltd. 53,405 1,424,824
MAP Group 500,000 1,338,956
Rio Tinto, Ltd. (a) 38,093 2,433,413
SP AusNet 807,072 584,126
Suncorp-Metway, Ltd. 63,700 482,358
TABCORP Holdings, Ltd. 100,000 620,624
Wesfarmers, Ltd. 95,714 2,698,464
Westpac Banking Corp. 141,023 3,060,728
-------------
22,035,951
-------------
AUSTRIA (0.8%)
IMMOFINANZ AG * (a) 233,725 769,062
Voestalpine AG 36,971 1,182,789
-------------
1,951,851
-------------
BELGIUM (0.0%)
Belgacom SA (a) 679 24,382
Delhaize Group SA 729 53,836
-------------
78,218
-------------
CYPRUS (0.1%)
Bank of Cyprus Public Co., Ltd. 42,620 228,826
-------------
Denmark (1.6%)
Coloplast AS, Class B 9,007 935,661
Novo Nordisk AS, Class B (c) 35,420 3,029,691
-------------
3,965,352
-------------
FINLAND (1.0%)
Nokia Oyj 63,244 584,745
UPM-Kymmene Oyj 128,382 1,863,734
-------------
2,448,479
-------------
FRANCE (9.8%)
AXA SA 73,051 1,346,554
BNP Paribas 41,359 2,840,911
Bouygues SA 29,793 1,257,923
Casino Guichard Perrachon SA 28,015 2,439,814
Christian Dior SA 3,172 343,750
CNP Assurances 42,748 882,400
France Telecom SA 24,434 511,688
Neopost SA (a) 12,965 1,002,739
PagesJaunes Groupe (a) 118,878 1,315,856
PPR 7,994 1,069,345
Sanofi-Aventis SA (c) 62,715 3,642,576
Societe Television Francaise 1 7,614 121,100
Total SA 66,024 3,330,578
Vallourec SA 17,566 1,710,197
Vinci SA 39,401 1,907,483
-------------
23,722,914
-------------
GERMANY (7.8%)
Allianz SE 28,614 3,322,392
BASF SE 68,618 4,006,892
Deutsche Bank AG 7,400 516,882
Deutsche Telekom AG 113,253 1,521,609
Hannover Rueckversicherung AG 45,104 2,159,478
Henkel AG & Co., KGaA 19,409 804,818
Hochtief AG 25,699 1,665,943
Linde AG 6,697 785,012
RWE AG 13,442 949,244
SAP AG 12,086 551,876
Siemens AG 24,763 2,413,467
-------------
18,697,613
-------------
GREAT BRITAIN (21.0%)
Anglo American PLC * 30,803 1,220,205
AstraZeneca PLC 83,135 4,224,011
Barclays PLC 258,967 1,352,359
BHP Billiton PLC 116,088 3,554,841
British American Tobacco PLC 106,707 3,673,616
Centrica PLC 64,357 306,896
Compass Group PLC 126,484 1,051,903
GlaxoSmithKline PLC 90,853 1,583,863
HSBC Holdings PLC 194,532 1,971,913
Intercontinental Hotels Group PLC 47,889 828,849
International Power PLC 415,547 2,334,358
Investec PLC 207,228 1,609,600
Kazakhmys PLC 11,656 222,407
Legal & General Group PLC 614,722 863,791
Lloyds Banking Group PLC * 396,097 430,475
London Stock Exchange Group PLC 105,470 1,070,773
Man Group PLC 24,613 83,924
Marks & Spencer Group PLC 310,841 1,679,831
National Grid PLC 74,991 599,539
Next PLC 21,517 725,913
Pearson PLC 105,011 1,630,478
Prudential PLC 93,347 812,206
Reckitt Benckiser Group PLC 25,221 1,236,735
Rio Tinto PLC 42,123 2,184,185
Rolls-Royce Group PLC * 70,105 638,030
Royal Bank of Scotland Group PLC * 718,835 563,529
Royal Dutch Shell PLC, Class A (c) 153,069 4,214,100
Severn Trent PLC 108,131 2,222,725
Smiths Group PLC 48,878 855,937
Standard Chartered PLC 53,160 1,536,522
Tomkins PLC 31,271 158,983
Unilever PLC 6,033 171,442
United Utilities Group PLC 38,823 356,377
Vodafone Group PLC 1,283,011 2,994,688
Whitbread PLC 19,131 422,673
Wolseley PLC * 4,978 112,325
Xstrata PLC 69,454 1,106,729
-------------
50,606,731
-------------
GREECE (0.2%)
Coca Cola Hellenic Bottling Co. SA 10,358 244,314
OPAP SA 4,417 65,331
Public Power Corp. SA 9,974 158,701
-------------
468,346
-------------
Continued
77
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
FOREIGN STOCKS, CONTINUED
HONG KONG (2.2%)
ASM Pacific Technology, Ltd. 26,400 $ 240,803
BOC Hong Kong Holdings, Ltd. 410,500 1,053,797
Cathay Pacific Airways, Ltd. 236,000 525,018
New World Development, Ltd. 1,108,000 1,977,069
Sino Land Co., Ltd. 356,000 673,730
Wheelock & Co., Ltd. 201 621
Yue Yuen Industrial Holdings, Ltd. 242,500 783,618
-------------
5,254,656
-------------
IRELAND (0.3%)
Kerry Group PLC, Class A 21,169 673,108
-------------
ISRAEL (0.8%)
Delek Group, Ltd. 2,984 696,841
Teva Pharmaceutical Industries, Ltd. 23,000 1,120,477
-------------
1,817,318
-------------
ITALY (2.8%)
Enel SpA 631,517 3,100,509
ENI SpA 89,063 1,821,021
Mediaset SpA 261,587 1,681,426
Snam Rete Gas SpA 47,282 221,970
-------------
6,824,926
-------------
JAPAN (20.8%)
Aeon Co., Ltd. (a) 166,700 1,784,797
Aisin Seiki Co., Ltd. 11,318 316,372
Asahi Glass Co., Ltd. 221,000 2,251,056
Brother Industries, Ltd. 6,000 64,309
Canon, Inc. 39,399 1,716,965
Chubu Electric Power Co., Inc. 67,100 1,663,617
Dai Nippon Printing Co., Ltd. (a) 122,000 1,475,664
Daicel Chemical Industries, Ltd. 183,000 1,296,325
Dainippon Sumitomo Pharma Co., Ltd. (a) 49,300 368,630
Denso Corp. 20,000 573,413
Electric Power Development Co., Ltd. 2,600 80,593
FUJIFILM Holdings Corp. 25,700 803,171
Fujitsu, Ltd. 127,000 904,045
Hino Motors, Ltd. 50,000 219,920
Hitachi, Ltd. * 517,000 2,106,418
Honda Motor Co., Ltd. 53,000 1,661,867
ITOCHU Corp. 111,300 868,293
Japan Petroleum Exploration Co. 2,100 82,887
JFE Holdings, Inc. 5,700 176,486
JX Holdings, Inc. * 330,700 1,791,395
Kuraray Co., Ltd. 65,500 821,830
Kyocera Corp. 3,000 267,724
Kyushu Electric Power Co., Inc. 58,600 1,326,037
Meiji Holdings Co., Ltd. (a) 20,500 881,504
Mitsubishi Corp. 25,400 549,483
Mitsubishi UFJ Financial Group, Inc. 17,662 87,702
Mitsubishi UFJ Lease & Finance Co., Ltd. 24,584 865,043
Mitsui & Co., Ltd. 21,300 273,169
Mizuho Financial Group, Inc. 330,000 538,573
Murata Manufacturing Co., Ltd. 3,000 148,272
Nippon Electric Glass Co., Ltd. 77,000 981,272
Nippon Express Co., Ltd. 103,000 419,654
Nippon Paper Group, Inc. 55,100 1,468,781
Nippon Telegraph & Telephone Corp. 34,700 1,441,901
Nissan Motor Co., Ltd. * 302,232 2,322,843
NKSJ Holdings, Inc. * (a) 102,000 596,215
NTT DoCoMo, Inc. 479 762,342
Ono Pharmaceutical Co., Ltd. 1,800 74,483
ORIX Corp. (a) 31,390 2,470,652
Ricoh Co., Ltd. 28,500 394,867
Sapporo Hokuyo Holdings, Inc. 129,300 613,612
Sharp Corp. 54,000 591,909
Showa Denko KK 518,000 1,025,268
Sojitz Corp. 111,500 176,810
Sony Corp. (a) 87,000 2,723,942
Sumitomo Corp. (a) 112,200 1,192,194
Sumitomo Mitsui Financial Group, Inc. 23,800 737,182
Sumitomo Rubber Industries, Ltd. (a) 100,000 991,956
Sumitomo Trust & Banking Co., Ltd. (The) 34,000 189,293
Suzuken Co., Ltd. 23,500 822,820
Tokyo Tatemono Co., Ltd. 43,000 140,355
Toppan Printing Co., Ltd. (a) 268,000 2,211,748
Tosoh Corp. (a) 244,077 652,605
Toyota Motor Corp. 10,000 353,030
West Japan Railway Co. 236 874,125
-------------
50,195,419
-------------
JERSEY (0.2%)
Petrofac, Ltd. 5,869 115,117
Shire PLC 17,916 409,042
-------------
524,159
-------------
NETHERLANDS (1.7%)
Fugro NV (a) 44,740 2,362,144
Koninklijke Boskalis Westminster NV 6,299 260,088
Koninklijke DSM NV (a) 6,489 307,931
Koninklijke Philips Electronics NV 35,629 1,110,140
-------------
4,040,303
-------------
NORWAY (0.5%)
Aker Solutions ASA 62,147 805,550
DnB NOR ASA 17,891 222,185
Statoil ASA 3,988 80,607
-------------
1,108,342
-------------
SINGAPORE (1.8%)
Jardine Cycle & Carriage, Ltd. 43,194 1,137,186
Keppel Corp., Ltd. 298,000 2,046,860
K-Green Trust * 59,600 50,404
Noble Group, Ltd. 16,908 20,516
SembCorp Industries, Ltd. 321,000 996,191
UOL Group, Ltd. 16,000 46,477
-------------
4,297,634
-------------
SPAIN (3.7%)
Banco Bilbao Vizcaya Argentaria SA 18,165 244,648
Banco Santander SA (a) 143,815 1,868,316
Repsol YPF SA 109,007 2,571,861
Telefonica SA (c) 183,304 4,161,163
-------------
8,845,988
-------------
Continued
78
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
FOREIGN STOCKS, CONTINUED
SWEDEN (3.3%)
Assa Abloy AB, Series B 17,529 $ 387,745
Boliden AB 5,135 61,061
Kinnevik Investment AB, Class B 135,907 2,552,615
Nordea Bank AB 23,417 234,181
Svenska Handelsbanken AB, Class A (a) 99,245 2,848,277
Tele2 AB, Class B (a) 102,400 1,815,490
-------------
7,899,369
-------------
SWITZERLAND (7.9%)
Credit Suisse Group AG 45,459 2,070,246
Geberit AG 10,737 1,755,314
Nestle SA (c) 125,852 6,221,924
Novartis AG (c) 84,706 4,110,481
Roche Holding AG 1,849 240,510
Schindler Holding AG 2,945 258,681
Sika AG 663 1,248,097
Swisscom AG 8,079 3,024,681
-------------
18,929,934
-------------
TOTAL FOREIGN STOCKS 234,615,437
-------------
INVESTMENT COMPANIES (8.1%)
UNITED STATES (8.1%)
iShares MSCI EAFE Index Fund (a) 64,100 3,328,072
State Street Navigator Securities
Lending Portfolio (d) 16,301,024 16,301,024
19,629,096
-------------
TOTAL INVESTMENT COMPANIES 19,629,096
-------------
RIGHTS (0.0%)
AUSTRALIA (0.0%)
Boral, Ltd. * 32,459 4,111
-------------
TOTAL RIGHTS 4,111
-------------
INVESTMENTS IN AFFILIATES (0.9%)
UNITED STATES (0.9%)
Fifth Third Institutional Money
Market Fund (b) 2,237,129 2,237,129
-------------
TOTAL INVESTMENTS IN AFFILIATES 2,237,129
-------------
TOTAL INVESTMENTS (COST $239,610,184) - 106.4% 256,485,773
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.4)% (15,506,962)
-------------
NET ASSETS - 100.0% $ 240,978,811
=============
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.
AT JULY 31, 2010, INTERNATIONAL EQUITY'S INDUSTRY INVESTMENT CONCENTRATIONS
(UNAUDITED), AS A PERCENTAGE OF NET ASSETS, WERE AS FOLLOWS:
Advertising 0.6%
Aerospace & Defense 0.3%
Airlines 0.2%
Airport Development/Maintenance 0.6%
Athletic Footwear 0.3%
Audio/Video Products 1.1%
Auto/Truck Parts & Equipment-Original 0.4%
Auto-Cars & Light Trucks 1.8%
Auto-Medium & Heavy Duty Trucks 0.1%
Beverages-Non Alcoholic 0.5%
Building & Construction-Miscellaneous 1.9%
Building & Construction Production-Miscellaneous 1.3%
Building-Heavy Construction 1.1%
Building Products-Cement & Aggregate 0.3%
Building Products-Doors & Windows 0.9%
Cash & Cash Equivalents 0.9%
Cellular Telecom 1.6%
Chemicals-Diversified 2.5%
Chemicals-Speciality 0.5%
Commercial Banks Non-U.S. 11.9%
Computers-Integrated Systems 0.4%
Construction Materials -^
Cosmetics & Toiletries 0.1%
Distribution/Wholesale 0.5%
Diversified Financial Services 0.7%
Diversified Manufacturing Operations 2.5%
Diversified Minerals 2.7%
Diversified Operations 0.9%
Electric Products-Miscellaneous 1.2%
Electric-Distribution 0.2%
Electric-Generation -^
Electric-Integrated 4.0%
Electric-Transmission 0.3%
Electronic Components-Miscellaneous 1.0%
Engineering/R&D Services 0.4%
Enterprise Software/Services 0.2%
Fifth Third Funds 1.4%
Finance-Investment Banker/Broker 0.9%
Finance-Leasing Company 1.4%
Finance-Other Services 0.5%
Food 0.4%
Food-Miscellaneous/Diversified 3.3%
Food-Retail 1.0%
Gambling (Non-Hotel) 0.3%
Gas-Distribution 0.1%
Gas-Transportation 0.1%
Hotels & Motels 0.4%
Household & Personal Products 0.9%
Import/Export 1.3%
Industrial Gases 0.3%
Investment Companies 8.1%
Life & Health Insurance 0.7%
Machinery-Electrical 0.1%
Medical Products 0.4%
Medical-Drugs 7.8%
Medical-Wholesale Drug Distributors 0.3%
Metal Processors & Fabricators 0.2%
Continued
79
INTERNATIONAL EQUITY
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
AT JULY 31, 2010, INTERNATIONAL EQUITY'S INDUSTRY INVESTMENT CONCENTRATIONS
(UNAUDITED), AS A PERCENTAGE OF NET ASSETS, WERE AS FOLLOWS, CONTINUED:
Metal-Copper 0.1%
Metal-Diversified 1.9%
Multi-Line Insurance 2.3%
Multimedia 0.7%
Office Automation & Equipment 1.3%
Oil Company-Exploration & Production -^
Oil Company-Integrated 5.0%
Oil Refining & Marketing 0.7%
Oil-Field Services 1.0%
Paper & Related Products 1.4%
Photo Equipment & Supplies 0.3%
Printing-Commercial 1.5%
Property & Casualty Insurance 0.3%
Real Estate Management/Services 0.3%
Real Estate Operations/Development 1.2%
Reinsurance 0.9%
Retail-Apparel & Shoes 0.3%
Retail-Major Department Store 1.1%
Retail-Miscellaneous/Diversified 0.7%
Retail-Restaurants 0.2%
Rubber-Tires 0.4%
Semiconductor Equipment 0.1%
Steel-Producers 1.3%
Telecom Services 0.8%
Telephone-Integrated 4.4%
Television 0.7%
Textiles 0.3%
Tobacco 1.5%
Transportation-Rail 0.4%
Transportation-Truck 0.2%
Water 1.1%
Wireless Equipment 0.2%
- --------
^ Amount is less than 0.05%.
See notes to schedules of investments and notes to financial statements.
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- -----------
ASSET-BACKED SECURITIES (3.8%)
AUTOMOBILES SEQUENTIAL (1.4%)
Capital Auto Receivables Asset Trust,
Series 2008-CPA, Class A1, 1.19%,
1/15/13 (a) (b) $ 939,068 $ 942,971
Honda Auto Receivables Owner Trust,
Series 2009-3, Class A3, 2.31%,
5/15/13 250,000 254,246
Hyundai Auto Receivables Trust,
Series 2009-A, Class A3, 2.03%,
8/15/13 415,000 421,586
-----------
1,618,803
-----------
MANUFACTURED HOUSING ABS OTHER (0.8%)
Mid-State Trust, Series 2005-1, Class
M2, 7.08%, 1/15/40 1,017,918 925,412
-----------
OTHER ABS (1.6%)
Aerco, Ltd., Series 2A, Class A3,
0.80%, 7/15/25 (a) (b) (g) 665,035 425,622
Dunkin Securitization, Series 2006-1,
Class A2, 5.78%, 6/20/31 (b) 850,000 830,144
Residential Asset Securities Corp.,
Series 2006-KS3, Class AI3, 0.50%,
4/25/36 (a) 599,035 570,675
-----------
1,826,441
-----------
TOTAL ASSET-BACKED SECURITIES 4,370,656
-----------
CORPORATE BONDS (24.4%)
AEROSPACE & DEFENSE (0.8%)
United Technologies Corp., 4.50%, 4/15/20 850,000 929,344
-----------
AIRLINES (1.0%)
Delta Air Lines, Inc., Series A, 7.75%, 6/17/21 (c) 983,610 1,067,216
-----------
CABLE TV (0.9%)
COX Communications, Inc., 7.75%, 11/1/10 1,000,000 1,016,085
-----------
CABLE/SATELLITE TV (0.9%)
DIRECTV Holdings LLC, 5.20%, 3/15/20 1,000,000 1,061,553
-----------
COMMERCIAL BANKS-CENTRAL U.S. (0.5%)
SunTrust Bank, 3.00%, 11/16/11 500,000 515,689
-----------
COMMERCIAL BANKS-EASTERN U.S. (0.3%)
Emigrant Capital Trust, 3.20%, 12/10/33,
(Callable 8/30/10 @ 100) (a) (b) 1,000,000 347,776
-----------
COMMERCIAL BANKS-SOUTHERN U.S. (0.4%)
Union Planters Corp., 4.38%, 12/1/10 (c) 500,000 503,752
-----------
DIVERSIFIED FINANCIAL SERVICES (1.0%)
General Electric Capital Corp., 6.88%, 1/10/39 1,000,000 1,127,550
-----------
Continued
80
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ----------
CORPORATE BONDS, CONTINUED
ELECTRIC-INTEGRATED (0.8%)
FPL Group Capital, Inc., 6.65%,
6/15/67, (Callable
6/15/17 @ 100) (a) $ 1,000,000 $ 931,250
-----------
ENTERPRISE SOFTWARE/SERVICES (0.8%)
CA, Inc., 5.38%, 12/1/19 850,000 902,087
-----------
FINANCE-INVESTMENT BANKER/BROKER (0.7%)
JPMorgan Chase & Co., Series 1,
7.90%, 4/30/18 (a) (f) 800,000 835,696
-----------
FINANCE-OTHER SERVICES (0.6%)
Cullen/Frost Capital Trust II,
2.09%, 3/1/34, (Callable
8/30/10 @ 100) (a) 1,000,000 633,966
-----------
FINANCIAL GUARANTEE INSURANCE (1.6%)
Assured Guaranty Municipal
Holdings, Inc., 6.25% 90,350 1,797,965
-----------
FOOD-MISCELLANEOUS/DIVERSIFIED (0.9%)
Kraft Foods, Inc., 4.13%, 2/9/16 1,000,000 1,069,536
-----------
INSURANCE BROKERS (0.4%)
Marsh & McLennan Cos., Inc., 5.88%,
8/1/33 500,000 469,187
-----------
MACHINERY-CONSTRUCTION & MINING (0.6%)
Joy Global, Inc., 6.00%, 11/15/16 625,000 670,024
-----------
MEDICAL INSTRUMENTS (0.7%)
Medtronic, Inc., 4.45%, 3/15/20 750,000 807,082
-----------
MONEY CENTER BANKS (0.9%)
Deutsche Bank Trust Corp., 7.25%, 10/15/11 1,000,000 1,045,841
-----------
MULTI-LINE INSURANCE (0.4%)
American Financial Group, Inc., 9.88%, 6/15/19 375,000 458,779
-----------
NETWORKING PRODUCTS (1.0%)
Cisco Systems, Inc., 5.90%, 2/15/39 1,000,000 1,103,475
-----------
REAL ESTATE INVESTMENT TRUSTS (3.3%)
HCP, Inc., 6.70%, 1/30/18 850,000 915,542
ProLogis, 5.63%, 11/15/15 1,850,000 1,763,718
Realty Income Corp., 6.75%, 8/15/19 900,000 1,019,610
-----------
3,698,870
-----------
REINSURANCE (0.6%)
Berkshire Hathaway, Inc., 3.20%, 2/11/15 690,000 721,168
-----------
RETAIL-BUILDING PRODUCTS (0.8%)
Home Depot, Inc., 5.40%, 3/1/16 850,000 953,560
-----------
RETAIL-DISCOUNT (0.9%)
Wal-Mart Stores, Inc., 2.88%, 4/1/15 1,000,000 1,044,505
-----------
RETAIL-DRUG STORE (0.6%)
CVS Pass Through Trust, 7.77%, 1/10/12 (b) 601,752 639,362
-----------
RETAIL-OFFICE SUPPLIES (0.9%)
Staples, Inc., 9.75%, 1/15/14 850,000 1,047,131
-----------
RETAIL-REGIONAL DEPARTMENT STORE (0.8%)
Macy's Retail Holdings, Inc., 5.35%, 3/15/12 850,000 877,625
-----------
SPECIAL PURPOSE ENTITY (0.8%)
Capital One Capital V, 10.25%, 8/15/39 400,000 433,000
Capital One Capital VI, 8.88%, 5/15/40 400,000 423,000
-----------
856,000
-----------
SUPER-REGIONAL BANKS-U.S. (0.5%)
PNC Financial Services Group, Inc.,
8.25%, 5/21/13 (a) (c) (f) 500,000 518,608
-----------
WIRELESS EQUIPMENT (0.0%)
Motorola, Inc., 6.50%, 11/15/28 (c) 47,000 47,109
-----------
TOTAL CORPORATE BONDS 27,697,791
-----------
FOREIGN BONDS (5.6%)
BANKS (0.6%)
Royal Bank of Scotland Group PLC, 6.40%, 10/21/19 600,000 633,811
-----------
DIVERSIFIED OPERATIONS (0.5%)
Hutchison Whampoa International
(03/13), Ltd., 6.50%, 2/13/13 (b) 486,000 534,860
-----------
IMPORT/EXPORT (0.4%)
Export-Import Bank of Korea, 8.13%, 1/21/14 425,000 497,567
-----------
MULTI-LINE INSURANCE (0.7%)
AXA SA, 6.46%, 12/14/18 (a) (b) (f) 1,000,000 790,000
-----------
OIL COMPANY-EXPLORATION & PRODUCTION (0.8%)
Gaz Capital SA for Gazprom, 7.51%, 7/31/13 (b) 850,000 930,674
-----------
SOVEREIGN (1.7%)
Brazil, Federal Republic,
Series F, 10.00%, 1/1/12 BRL 1,660,000 924,520
Brazil, Federal Republic,
Series F, 10.00%, 1/1/14 1,870,000 1,002,337
-----------
1,926,857
-----------
SPECIAL PURPOSE ENTITY (0.9%)
AngloGold Ashanti Holdings PLC, 5.38%, 4/15/20 $ 1,000,000 1,038,039
-----------
TOTAL FOREIGN BONDS 6,351,808
-----------
Continued
81
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------- ----------
MORTGAGE-BACKED SECURITIES (4.5%)
CMBS OTHER (2.0%)
Greenwich Capital Commercial Funding
Corp., Series 2004-GG1, Class A7,
5.32%, 6/10/36 (a) $ 875,000 $ 947,725
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%, 8/10/38 498,904 502,423
Merrill Lynch Mortgage Trust, Series
2002-MW1, Class A4, 5.62%, 7/12/34 750,000 792,405
-----------
2,242,553
-----------
WL COLLATERAL CMO OTHER (1.4%)
Bear Stearns Asset Backed Securities
Trust, Series 2003-AC7, Class A2,
5.25%, 1/25/34 424,672 399,106
Countrywide Home Loan Mortgage Pass
Through Trust, Series 2004-HYB5,
Class 4A1, 3.40%, 4/20/35 (a) 235,284 192,762
Merrill Lynch Mortgage Investors,
Inc., Series 2003-A1, Class 2A,
2.83%, 12/25/32 (a) 17,814 18,637
Wells Fargo Mortgage Backed
Securities Trust, Series 2004-X,
Class 1A5, 4.93%, 11/25/34 (a) 1,000,000 993,259
-----------
1,603,764
-----------
WL COLLATERAL CMO SEQUENTIAL (0.4%)
JP Morgan Mortgage Trust, Series
2007-A2, Class 4A1M, 5.74%, 4/25/37 (a) 406,522 385,667
-----------
WL COLLATERAL PAC (0.7%)
Countrywide Alternative Loan Trust,
Series 2004-30CB, Class 3A1, 5.00%, 2/25/20 834,055 828,475
-----------
TOTAL MORTGAGE-BACKED SECURITIES 5,060,459
-----------
U.S. GOVERNMENT AGENCIES (2.3%)
FANNIE MAE (0.8%)
3.15%, 7/1/18 (a) 170,510 176,486
5.50%, 10/1/35 637,280 688,544
-----------
865,030
-----------
FREDDIE MAC (1.5%)
3.23%, 10/1/32 (a) 126,845 130,939
4.84%, 1/1/37 (a) (e) 533,146 559,300
6.50%, 9/1/22 (e) 487,705 530,578
6.50%, 8/1/37 480,354 528,011
-----------
1,748,828
-----------
TOTAL U.S. GOVERNMENT AGENCIES 2,613,858
-----------
U.S. TREASURY OBLIGATIONS (1.8%)
U.S. TREASURY NOTES (1.8%)
2.75%, 2/15/19 1,000,000 1,006,875
4.38%, 5/15/40 1,000,000 1,068,910
-----------
TOTAL U.S. TREASURY OBLIGATIONS 2,075,785
-----------
SHARES VALUE
----------- -----------
COMMON STOCKS (6.9%)
BEVERAGES (0.3%)
Diageo PLC ADR 4,491 $ 313,831
-----------
ELECTRIC UTILITIES (0.9%)
Duke Energy Corp. 7,940 135,774
Entergy Corp. (c) 1,470 113,940
Progress Energy, Inc. (c) 13,500 568,485
Southern Co. 4,640 163,931
-----------
982,130
-----------
ELECTRIC-INTEGRATED (0.3%)
CPFL Energia SA ADR (c) 5,500 384,285
-----------
GAS-DISTRIBUTION (0.4%)
Oneok, Inc. 10,489 488,053
-----------
HOUSEHOLD PRODUCTS (0.2%)
Kimberly-Clark Corp. (c) 3,730 239,168
-----------
INSURANCE (0.4%)
Cincinnati Financial Corp. (c) 16,000 440,800
-----------
MULTI-UTILITIES (0.4%)
Wisconsin Energy Corp. 8,355 453,509
-----------
OIL & GAS (0.1%)
Spectra Energy Corp. 4,000 83,160
-----------
PHARMACEUTICALS (1.0%)
Novartis AG ADR (c) 9,919 483,452
Pfizer, Inc. 45,000 675,000
-----------
1,158,452
-----------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
Annaly Capital Management, Inc. (c) 68,601 1,193,657
-----------
TELECOM SERVICES (0.7%)
BCE, Inc. 24,542 751,231
-----------
TEXTILES APPAREL & LUXURY GOODS (0.2%)
VF Corp. 2,853 226,328
-----------
TOBACCO (1.0%)
Altria Group, Inc. 6,850 151,796
Philip Morris International, Inc. (c) 18,415 939,902
-----------
1,091,698
-----------
TOTAL COMMON STOCKS 7,806,302
-----------
INVESTMENT COMPANIES (15.3%)
American Income Fund, Inc. 135,400 1,138,714
Eaton Vance Tax-Advantaged
Dividend Income Fund 23,600 354,000
ING Prime Rate Trust (c) 80,000 455,200
Invesco Van Kampen Senior Income Trust 152,000 706,800
State Street Navigator Securities
Lending Portfolio (h) 14,046,322 14,046,322
Templeton Global Income Fund (c) 61,374 628,470
-----------
TOTAL INVESTMENT COMPANIES 17,329,506
-----------
Continued
82
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -----------
CONVERTIBLE PREFERRED STOCK (1.0%)
AGRICULTURAL OPERATIONS (1.0%)
Archer-Daniels-Midland Co., 6.25% (c) 30,000 $ 1,152,300
-----------
TOTAL CONVERTIBLE PREFERRED STOCK 1,152,300
-----------
PREFERRED STOCKS (39.7%)
CABLE TV (1.6%)
Comcast Corp., 7.00% (c) 20,000 516,400
Comcast Corp., Series B, 7.00% (c) 50,000 1,288,500
-----------
1,804,900
-----------
CLOSED-END FUNDS (1.1%)
Source Capital, Inc., 2.40% 35,600 1,206,840
-----------
COMMERCIAL BANKS-EASTERN U.S. (0.5%)
HSBC USA, Inc., Series G, 4.00% (a) 26,500 580,615
-----------
COMMERCIAL BANKS NON-U.S. (2.3%)
Barclays Bank PLC, Series 2, 6.63% (c) 36,650 834,887
Barclays Bank PLC, Series 5, 8.13% 36,000 933,480
Lloyds Banking Group PLC, 7.75% (c) 32,000 815,680
-----------
2,584,047
-----------
COMMERCIAL BANKS-SOUTHERN U.S. (1.7%)
BB&T Capital Trust VI, 9.60% (c) 6,000 163,980
BB&T Capital Trust VII. 8.10% 40,000 1,048,400
First Tennessee Bank NA, 3.75% (a) (b) 1,000 701,875
-----------
1,914,255
-----------
DIVERSIFIED FINANCIAL SERVICES (1.6%)
Citigroup Capital VII, 7.13% 74,225 1,809,606
-----------
ELECTRIC-INTEGRATED (4.2%)
American Electric Power Co., Inc., 8.75% 16,000 460,320
Constellation Energy Group, Inc.,
Series A, 8.63% 23,000 601,680
Entergy Arkansas, Inc., 6.0% 45,600 1,170,552
SCANA Corp., 7.70% (c) 6,000 167,100
Southern California Edison Co., 0.50% (a) 15,150 1,507,425
Xcel Energy, Inc., 7.60% (c) 33,000 903,540
-----------
4,810,617
-----------
FINANCE-CONSUMER LOANS (0.5%)
HSBC Finance Corp., 6.88% 23,650 587,702
-----------
FINANCE-CREDIT CARD (0.8%)
MBNA Capital, Series D, 8.13% 37,800 955,584
-----------
FINANCE-INVESTMENT BANKER/BROKER (3.7%)
Credit Suisse, Ltd., 7.90% 41,000 1,069,280
Goldman Sachs Group, Inc. (The),
Series A, 3.75% (a) 67,500 1,335,150
JPMorgan Chase Capital XXIX, 6.70% 32,300 797,810
Merrill Lynch Preferred Capital
Trust III, 7.00% (c) 9,800 228,536
Morgan Stanley Capital Trust VIII, 6.45% 33,100 773,878
-----------
4,204,654
-----------
FINANCE-MORTGAGE LOAN/BANKER (0.5%)
Countrywide Capital IV, 6.75% 26,500 621,955
-----------
INVESTMENT MANAGEMENT/ADVISOR SERVICES (1.6%)
Ameriprise Financial, Inc., 7.75% (c) 35,000 945,000
Deutsche Bank Contingent Capital Trust III, 7.60% 36,000 900,000
-----------
1,845,000
-----------
LIFE & HEALTH INSURANCE (0.3%)
AAG Holding Co., Inc., 7.25% (c) 15,200 361,760
-----------
MONEY CENTER BANKS (0.4%)
Santander Finance Preferred SA
Unipersonal, Series 6, 4.00% (a) (c) 25,400 472,440
-----------
MULTI-LINE INSURANCE (3.4%)
Aegon NV, Series 1, 4.00% (a) (c) 43,800 838,770
ING Groep NV, 7.20% (c) 20,000 486,400
ING Groep NV, 8.50% 41,200 882,092
MetLife, Inc., Series A, 4.00% (a) (c) 40,000 926,800
MetLife, Inc., Series B, 6.50% 30,000 741,300
-----------
3,875,362
-----------
MULTIMEDIA (1.4%)
Viacom, Inc., 6.85% (c) 60,000 1,517,400
-----------
OFFICE AUTOMATION & EQUIPMENT (0.8%)
Pitney Bowes International
Holdings, Inc., Series F, 6.13% (a) (b) 850 888,781
-----------
OIL COMPANY-EXPLORATION & PRODUCTION (1.1%)
Apache Corp., 6.00% (c) 22,195 1,205,854
-----------
REAL ESTATE (0.2%)
Public Storage, Series L, 6.75% (c) 10,000 250,500
-----------
REAL ESTATE INVESTMENT TRUSTS (5.9%)
CBL & Associates Properties, Inc.,
Series D, 7.38% 20,500 458,585
CommonWealth, Series B, 8.75% 13,358 337,290
Duke Realty Corp., Series L, 6.60% (c) 30,000 653,700
Duke Realty Corp., Series M, 6.95% (c) 10,000 227,600
Equity Residential, Series N, 6.48% 50,000 1,229,500
Harris Preferred Capital Corp.,
Series A, 7.38% 31,800 793,410
Public Storage, Series M, 6.63% (c) 40,000 1,004,400
Vornado Realty L.P., 7.88% (e) 48,775 1,271,564
Wachovia Preferred Funding Corp.,
Series A, 7.25% (c) 29,400 727,944
-----------
6,703,993
-----------
REINSURANCE (0.5%)
RenaissanceRe Holdings, Ltd.,
Series D, 6.60% 22,861 546,378
-----------
S&L/THRIFTS-SOUTHERN U.S. (0.3%)
BBC Capital Trust II, 8.50% 28,000 307,160
-----------
Continued
83
STRATEGIC INCOME
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
PREFERRED STOCKS, CONTINUED
SPECIAL PURPOSE ENTITY (1.2%)
Corporate-Backed Trust
Certificates, Series AIG, 6.13% 60,000 $ 906,600
Corporate-Backed Trust Certificates,
Series HSBC, 6.25% (c) 20,500 481,340
-------------
1,387,940
-------------
SUPER-REGIONAL BANKS-U.S. (2.4%)
National City Capital Trust III, 6.63% (c) 20,000 484,400
US Bancorp, Series B, 3.50% (a) (c) 20,000 431,800
USB Capital XII, 6.30% (c) 40,000 996,000
Wells Fargo Capital XII, 7.88% 30,000 789,600
-------------
2,701,800
-------------
TELEPHONE-INTEGRATED (1.1%)
Telephone and Data Systems, Inc., 7.60% 50,011 1,263,778
-------------
TELEVISION (0.6%)
CBS Corp., 7.25% 26,000 649,740
-------------
TOTAL PREFERRED STOCKS 45,058,661
-------------
INVESTMENTS IN AFFILIATES (5.0%)
Fifth Third Institutional Money
Market Fund (d) 5,679,507 5,679,507
-------------
TOTAL INVESTMENTS IN AFFILIATES 5,679,507
-------------
TOTAL INVESTMENTS (COST $124,190,899) - 110.3% 125,196,633
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.3)% (11,696,061)
-------------
NET ASSETS - 100.0% $ 113,500,572
=============
NOTES TO SCHEDULE OF INVESTMENTS
(a) Variable rate security. Rate presented represents rate in effect at July 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 swap
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.
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
PAC - Planned Amortization Class
WL - Whole Loan
At July 31, 2010, Strategic Income's investments were in the following
countries:
COUNTRY
- -------------------------------------------
Bermuda 0.4%
Brazil 1.9%
Canada 0.6%
Cayman Islands 0.4%
Great Britain 2.9%
Luxembourg 0.7%
Netherlands 1.8%
South Africa 0.8%
South Korea 0.4%
Spain 0.4%
Switzerland 0.4%
United States 89.3%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
84
LIFEMODEL AGGRESSIVE(SM)
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
INVESTMENTS IN AFFILIATES (a) (100.6%)
Fifth Third All Cap Value Fund 626,027 $ 8,632,907
Fifth Third Disciplined Large Cap Value Fund 1,557,633 14,672,898
Fifth Third High Yield Bond Fund 15,852 152,494
Fifth Third Institutional Money Market Fund 1,575,727 1,575,727
Fifth Third International Equity Fund 3,742,862 27,510,035
Fifth Third Mid Cap Growth Fund * 1,231,520 10,664,966
Fifth Third Quality Growth Fund 1,306,999 17,566,072
Fifth Third Short Term Bond Fund 106,010 1,015,572
Fifth Third Small Cap Growth Fund * 716,148 5,041,681
Fifth Third Small Cap Value Fund 247,680 4,047,090
Fifth Third Structured Large Cap Plus Fund 1,740,170 17,523,516
Fifth Third Total Return Bond Fund 111,668 1,007,246
-------------
TOTAL INVESTMENTS IN AFFILIATES 109,410,204
-------------
TOTAL INVESTMENTS (COST $128,586,533) - 100.6% 109,410,204
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% (661,385)
-------------
NET ASSETS - 100.0% $ 108,748,819
=============
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
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
INVESTMENTS IN AFFILIATES (a) (100.4%)
Fifth Third All Cap Value Fund 909,491 $ 12,541,886
Fifth Third Disciplined Large Cap Value Fund 2,256,180 21,253,219
Fifth Third High Yield Bond Fund 178,211 1,714,385
Fifth Third Institutional Money Market Fund 614,943 614,943
Fifth Third International Equity Fund 5,168,860 37,991,123
Fifth Third Mid Cap Growth Fund * 1,637,022 14,176,609
Fifth Third Quality Growth Fund 1,680,612 22,587,427
Fifth Third Short Term Bond Fund 1,271,908 12,184,880
Fifth Third Small Cap Growth Fund * 959,502 6,754,892
Fifth Third Small Cap Value Fund 390,026 6,373,019
Fifth Third Structured Large Cap Plus Fund 2,410,287 24,271,592
Fifth Third Total Return Bond Fund 2,863,148 25,825,597
-------------
TOTAL INVESTMENTS IN AFFILIATES 186,289,572
-------------
TOTAL INVESTMENTS (COST $206,623,185) - 100.4% 186,289,572
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (765,305)
-------------
NET ASSETS - 100.0% $ 185,524,267
=============
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.
85
LIFEMODEL MODERATE(SM)
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
INVESTMENTS IN AFFILIATES (a) (100.0%)
Fifth Third All Cap Value Fund 840,359 $ 11,588,553
Fifth Third Disciplined Large Cap Value Fund 2,132,580 20,088,906
Fifth Third High Yield Bond Fund 395,668 3,806,324
Fifth Third Institutional Money Market Fund 1,824,783 1,824,783
Fifth Third International Equity Fund 5,134,693 37,739,995
Fifth Third Mid Cap Growth Fund * 1,684,581 14,588,474
Fifth Third Quality Growth Fund 1,831,075 24,609,640
Fifth Third Short Term Bond Fund 3,564,818 34,150,954
Fifth Third Small Cap Growth Fund * 941,592 6,628,810
Fifth Third Small Cap Value Fund 337,209 5,509,992
Fifth Third Structured Large Cap Plus Fund 2,169,120 21,843,035
Fifth Third Total Return Bond Fund 8,146,171 73,478,464
-------------
TOTAL INVESTMENTS IN AFFILIATES 255,857,930
-------------
TOTAL INVESTMENTS (COST $280,439,653) - 100.0% 255,857,930
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% (42,828)
-------------
NET ASSETS - 100.0% $ 255,815,102
=============
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
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
INVESTMENTS IN AFFILIATES (a) (100.4%)
Fifth Third All Cap Value Fund 159,738 $ 2,202,790
Fifth Third Disciplined Large Cap Value Fund 415,975 3,918,486
Fifth Third High Yield Bond Fund 110,285 1,060,940
Fifth Third Institutional Money Market Fund 290,980 290,980
Fifth Third International Equity Fund 776,759 5,709,181
Fifth Third Mid Cap Growth Fund * 325,605 2,819,742
Fifth Third Quality Growth Fund 377,811 5,077,786
Fifth Third Short Term Bond Fund 1,007,467 9,651,530
Fifth Third Small Cap Growth Fund * 177,556 1,249,993
Fifth Third Small Cap Value Fund 70,179 1,146,721
Fifth Third Structured Large Cap Plus Fund 463,776 4,670,221
Fifth Third Total Return Bond Fund 2,095,659 18,902,840
-------------
TOTAL INVESTMENTS IN AFFILIATES 56,701,210
-------------
TOTAL INVESTMENTS (COST $59,939,924) - 100.4% 56,701,210
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (222,106)
-------------
NET ASSETS - 100.0% $ 56,479,104
=============
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.
86
LIFEMODEL CONSERVATIVE(SM)
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
---------- -------------
INVESTMENTS IN AFFILIATES (a) (100.0%)
Fifth Third All Cap Value Fund 61,846 $ 852,852
Fifth Third Disciplined Large Cap Value Fund 172,281 1,622,886
Fifth Third High Yield Bond Fund 105,385 1,013,804
Fifth Third Institutional Money Market Fund 182,342 182,342
Fifth Third International Equity Fund 253,780 1,865,284
Fifth Third Mid Cap Growth Fund * 125,941 1,090,650
Fifth Third Quality Growth Fund 151,355 2,034,208
Fifth Third Short Term Bond Fund 926,792 8,878,665
Fifth Third Small Cap Growth Fund * 68,111 479,503
Fifth Third Small Cap Value Fund 29,768 486,406
Fifth Third Structured Large Cap Plus Fund 147,204 1,482,347
Fifth Third Total Return Bond Fund 2,102,506 18,964,602
-------------
TOTAL INVESTMENTS IN AFFILIATES 38,953,549
-------------
TOTAL INVESTMENTS (COST $41,360,133) - 100.0% 38,953,549
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.0% 8,007
-------------
NET ASSETS - 100.0% $ 38,961,556
=============
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
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
CORPORATE BONDS (87.3%)
AEROSPACE (1.4%)
BE Aerospace, Inc., 8.50%, 7/1/18,
(Callable 7/1/13 @ 104.25) $ 446,000 $ 485,025
Spirit Aerosystems, Inc.,
7.50%, 10/1/17, (Callable
10/1/13 @ 103.75) 250,000 251,875
TransDigm, Inc., 7.75%, 7/15/14,
(Callable 8/30/10 @ 103.875) (b) 38,000 39,140
------------
776,040
------------
AUTOMOTIVE & AUTO PARTS (5.1%)
Accuride Corp., 9.50%, 8/1/18,
(Callable 8/1/14 @ 104.75) (b) 165,000 168,300
Asbury Automotive Group, Inc.,
7.63%, 3/15/17, (Callable
3/15/12 @ 103.813) (e) 18,000 17,145
Asbury Automotive Group, Inc.,
8.00%, 3/15/14, (Callable
8/30/10 @ 102.667) (c) 750,000 750,000
Cooper-Standard Automotive,
Inc., 8.50%, 5/1/18, (Callable
5/1/14 @ 104.25) (b) (c) 245,000 253,575
Ford Motor Credit Co. LLC,
8.13%, 1/15/20 180,000 192,529
Goodyear Tire & Rubber Co. (The),
10.50%, 5/15/16, (Callable
5/15/12 @ 107.875) (c) 544,000 609,280
Lear Corp., 7.88%, 3/15/18,
(Callable 3/15/14 @ 103.938) 89,000 92,560
Navistar International Corp.,
8.25%, 11/1/21, (Callable
11/1/14 @ 104.125) (c) 265,000 280,237
Penske Automotive Group, Inc.,
7.75%, 12/15/16, (Callable
12/15/11 @ 103.875) 548,000 527,450
------------
2,891,076
------------
BROADCASTING (1.3%)
Allbritton Communications Co.,
8.00%, 5/15/18, (Callable
5/15/14 @ 104) (b) (c) 120,000 119,700
Entravision Communications Corp.,
8.75%, 8/1/17, (Callable
8/1/13 @ 106.563) (b) 120,000 121,200
Fisher Communications, Inc.,
8.63%, 9/15/14, (Callable
8/30/10 @ 104.3125) 504,000 501,480
------------
742,380
------------
BUILDING MATERIALS (4.7%)
Gibraltar Industries, Inc., Series B,
8.00%, 12/1/15, (Callable
12/1/10 @ 104) 750,000 735,000
Texas Industries, Inc., 7.25%,
7/15/13, (Callable
8/30/10 @ 101.813) 500,000 508,750
Texas Industries, Inc., W/I, 9.25%,
8/15/20, (Callable
8/15/15 @ 104.625) (b) 862,000 866,310
US Concrete, Inc., 8.38%, 4/1/14,
(Callable 8/30/10 @ 102.792) (c) (h) 1,000,000 525,000
------------
2,635,060
------------
Continued
87
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
CORPORATE BONDS, CONTINUED
CABLE/SATELLITE TV (3.6%)
CCO Holdings LLC/CCO Holdings
Capital Corp., 7.88%, 4/30/18,
(Callable 4/30/13 @ 105.906) (b) $ 344,000 $ 360,340
CCO Holdings LLC/CCO Holdings
Capital Corp., 8.13%, 4/30/20,
(Callable 4/30/15 @ 104.063) (b) 215,000 227,362
Cequel Communications
Holdings I LLC and Cequel
Capital Corp., 8.63%, 11/15/17,
(Callable 11/15/12 @ 106.469) (b) 640,000 652,800
CSC Holdings LLC, 8.63%, 2/15/19 366,000 399,855
Insight Communications Co., Inc.,
9.38%, 7/15/18, (Callable
7/15/13 @ 107.031) (b) 352,000 372,240
------------
2,012,597
------------
CAPITAL GOODS (3.3%)
Amsted Industries, Inc., 8.13%,
3/15/18, (Callable
3/15/14 @ 104.063) (b) 420,000 430,500
Belden, Inc., 7.00%, 3/15/17,
(Callable 3/15/12 @ 103.5) 210,000 210,000
Case New Holland, Inc., 7.88%,
12/1/17 (b) (c) 750,000 785,625
General Cable Corp., 7.13%, 4/1/17,
(Callable 4/1/12 @ 103.563) (c) 18,000 18,135
Mueller Water Products, Inc.,
7.38%, 6/1/17, (Callable
6/1/12 @ 103.688) (c) 460,000 419,175
------------
1,863,435
------------
CHEMICALS (1.0%)
Koppers, Inc., 7.88%, 12/1/19,
(Callable 12/1/14 @ 103.938) (b) 296,000 306,360
LBI Escrow Corp., 8.00%, 11/1/17,
(Callable 5/1/13 @ 106) (b) 222,000 233,378
------------
539,738
------------
CONSUMER PRODUCTS (4.7%)
Jarden Corp., 7.50%, 5/1/17,
(Callable 5/1/12 @ 103.75) 598,000 614,445
Libbey Glass, Inc., 10.00%, 2/15/15,
(Callable 2/15/12 @ 105) (b) 715,000 761,475
Sealy Mattress Co., 8.25%, 6/15/14,
(Callable 8/30/10 @ 102.75) 130,000 130,975
Simmons Bedding Co., 11.25%,
7/15/15, (Callable 1/20/12 @ 103) (b) 520,000 560,300
Visant Holding Corp., 8.75%, 12/1/13,
(Callable 8/30/10 @ 104.375) 577,000 588,540
------------
2,655,735
------------
CONTAINERS (1.3%)
Reynolds Group Issuer, Inc./Reynolds
Group Issuer LLC, 7.75%, 10/15/16,
(Callable 10/15/12 @ 103.875) (b) 60,000 62,700
Solo Cup Co., 8.50%, 2/15/14,
(Callable 8/30/10 @ 102.833) 750,000 678,750
------------
741,450
------------
ENERGY (9.8%)
Atlas Energy Operating Co.
LLC/Atlas Energy Finance
Corp., 12.13%, 8/1/17, (Callable
8/1/13 @ 106.063) 98,000 113,190
Basic Energy Services, Inc., 7.13%,
4/15/16, (Callable 4/15/11
@ 103.563) 750,000 678,750
Berry Petroleum Co., 8.25%, 11/1/16,
(Callable 11/1/11 @ 104.125) 676,000 681,070
Chesapeake Energy Corp.,
6.50%, 8/15/17 527,000 536,222
Chesapeake Energy Corp.,
9.50%, 2/15/15 346,000 388,385
Coffeyville Resources LLC/Coffeyville
Finance, Inc., 10.88%, 4/1/17,
(Callable 4/1/13 @ 108.156) (b) 520,000 525,200
Dresser-Rand Group, Inc., 7.38%,
11/1/14, (Callable
8/30/10 @ 103.688) 350,000 352,625
Helix Energy Solutions Group, Inc.,
9.50%, 1/15/16, (Callable
1/15/12 @ 104.75) (b) 356,000 345,320
Hilcorp Energy I L.P./Hilcorp
Finance Co., 7.75%, 11/1/15,
(Callable 11/1/10 @ 103.875) (b) 506,000 516,120
Hilcorp Energy I L.P./Hilcorp
Finance Co., 9.00%, 6/1/16,
(Callable 6/1/11 @ 104.5) (b) 87,000 91,785
Petrohawk Energy Corp., 7.88%,
6/1/15, (Callable 6/1/12 @ 103.938) 250,000 258,750
Petrohawk Energy Corp., 10.50%,
8/1/14, (Callable 2/1/12 @ 110.5) 292,000 325,580
United Refining Co., Series 2,
10.50%, 8/15/12, (Callable
8/30/10 @ 100) 814,000 741,758
------------
5,554,755
------------
FINANCIAL SERVICES (3.2%)
CIT Group, Inc., 7.00%, 5/1/16,
(Callable 9/13/10 @ 103.5) (c) 859,000 818,198
CIT Group, Inc., 7.00%, 5/1/17,
(Callable 9/13/10 @ 103.5) (c) 17,000 16,022
International Lease Finance Corp.,
8.75%, 3/15/17 (b) 567,000 578,340
SquareTwo Financial Corp., 11.63%,
4/1/17, (Callable 4/1/14 @ 105.813) (b) 403,000 375,294
------------
1,787,854
------------
FOOD/BEVERAGE/TOBACCO (0.1%)
TreeHouse Foods, Inc., 7.75%, 3/1/18,
(Callable 3/1/14 @ 103.875) 24,000 25,350
------------
FOOD-RETAIL (0.7%)
Ingles Markets, Inc., 8.88%, 5/15/17,
(Callable 5/15/13 @ 104.438) 382,000 400,145
------------
HEALTHCARE (7.9%)
Accellent, Inc., 8.38%, 2/1/17,
(Callable 2/1/13 @ 106.281) (b) 244,000 247,050
Apria Healthcare Group, Inc.,
11.25%, 11/1/14, (Callable
11/1/11 @ 105.625) (b) 564,000 603,480
Continued
88
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
CORPORATE BONDS, CONTINUED
HEALTHCARE, CONTINUED
Axcan Intermediate Holdings, Inc.,
9.25%, 3/1/15, (Callable
3/1/11 @ 106.938) $ 500,000 $ 512,500
Capella Healthcare, Inc., 9.25%,
7/1/17, (Callable
7/1/13 @ 106.938) (b) 241,000 251,845
CHS/Community Health Systems,
Inc., 8.88%, 7/15/15, (Callable
7/15/11 @ 104.438) 258,000 270,255
DaVita, Inc., 6.63%, 3/15/13,
(Callable 8/30/10 @ 101.656) 162,000 164,228
DaVita, Inc., 7.25%, 3/15/15,
(Callable 8/30/10 @ 103.625) 73,000 74,916
HCA, Inc., 5.75%, 3/15/14 381,000 369,570
HCA, Inc., 9.63%, 11/15/16,
(Callable 11/15/11 @ 104.813) (g) 394,000 425,520
Omnicare, Inc., 7.75%, 6/1/20,
(Callable 6/1/15 @ 103.875) 49,000 52,185
Service Corp. International, 8.00%,
11/15/21 290,000 302,325
Stewart Enterprises, Inc.,
6.25%, 2/15/13, (Callable
8/30/10 @ 101.563) 250,000 250,625
Stonemor Operating LLC/
Cornerstone Family Services/
Osiris Holdings, 10.25%,
12/1/17, (Callable
12/1/13 @ 105.125) (b) 469,000 497,140
Universal Hospital Services, Inc.,
4.13%, 6/1/15, (Callable
8/30/10 @ 101) (a) 525,000 448,875
------------
4,470,514
------------
HOMEBUILDERS/REAL ESTATE (1.8%)
Beazer Homes USA, Inc., 6.88%,
7/15/15, (Callable
8/16/10 @ 103.438) 750,000 667,500
M/I Homes, Inc., 6.88%, 4/1/12 (c) 350,000 347,375
------------
1,014,875
------------
INSURANCE (1.6%)
MetLife, Inc., 10.75%, 8/1/69,
(Callable 8/1/34 @ 100) 750,000 926,374
------------
MEDIA (1.8%)
Clear Channel Worldwide Holdings,
Inc., 9.25%, 12/15/17, (Callable
12/15/12 @ 106.9375) (b) 306,000 321,180
Lamar Media Corp., 6.63%, 8/15/15,
(Callable 8/30/10 @ 103.313) 70,000 69,650
Lamar Media Corp., 9.75%, 4/1/14 49,000 54,635
Lamar Media Corp., Series B,
6.63%, 8/15/15, (Callable
8/30/10 @ 103.313) 209,000 205,865
WMG Acquisition Corp.,
7.38%, 4/15/14, (Callable
8/30/10 @ 102.458) 362,000 356,570
------------
1,007,900
------------
METALS & MINING (1.0%)
Cloud Peak Energy Resources LLC/
Cloud Peak Energy Finance Corp.,
8.50%, 12/15/19, (Callable
12/15/14 @ 104.25) (b) 304,000 319,200
Consol Energy, Inc., 8.00%, 4/1/17,
(Callable 4/1/14 @ 104) (b) 106,000 112,625
Consol Energy, Inc., 8.25%, 4/1/20,
(Callable 4/1/15 @ 104.125) (b) 106,000 113,950
------------
545,775
------------
PAPER (2.1%)
Buckeye Technologies, Inc.,
8.50%, 10/1/13, (Callable
8/30/10 @ 102.833) 175,000 177,625
Cellu Tissue Holdings, Inc., 11.50%,
6/1/14, (Callable 6/1/11 @ 111.5) 325,000 353,437
Cenveo Corp., 7.88%, 12/1/13,
(Callable 8/30/10 @ 102.625) (c) 362,000 352,950
Cenveo Corp., 8.88%, 2/1/18,
(Callable 2/1/14 @ 104.438) (b) 350,000 330,750
------------
1,214,762
------------
REAL ESTATE INVESTMENT TRUSTS (1.3%)
PPF Funding, Inc., 5.63%, 1/15/17 (b) 400,000 374,774
PPF Funding, Inc., 5.70%, 4/15/17 (b) 409,000 383,530
------------
758,304
------------
RETAIL (0.8%)
QVC, Inc., 7.50%, 10/1/19, (Callable
10/1/14 @ 103.75) (b) 419,000 431,570
------------
SERVICES (2.0%)
ARAMARK Corp., 8.50%, 2/1/15,
(Callable 2/1/11 @ 104.25) (c) 512,000 529,280
Ashtead Capital, Inc., 9.00%, 8/15/16,
(Callable 8/15/11 @ 104.5) (b) 329,000 332,290
RSC Equipment Rental, Inc./RSC
Holdings III LLC, 10.00%, 7/15/17,
(Callable 7/15/13 @ 105) (b) (c) 119,000 132,090
United Rentals North America, Inc.,
10.88%, 6/15/16, (Callable
6/15/13 @ 105.438) (b) 125,000 138,125
------------
1,131,785
------------
STEEL (0.9%)
AK Steel Corp., 7.63%, 5/15/20,
(Callable 5/15/15 @ 103.813) (c) 243,000 243,911
Steel Dynamics, Inc., 6.75%, 4/1/15,
(Callable 4/1/11 @ 103.375) 250,000 253,750
------------
497,661
------------
TECHNOLOGY (3.2%)
First Data Corp., 9.88%, 9/24/15 (b) 87,000 69,600
First Data Corp., 9.88%, 9/24/15,
(Callable 9/30/11 @ 104.938) 456,000 367,080
Kemet Corp., 10.50%, 5/1/18,
(Callable 5/1/14 @ 105.25) (b) 597,000 608,940
SunGard Data Systems, Inc., 9.13%,
8/15/13, (Callable 8/30/10 @ 102.281) 750,000 766,875
------------
1,812,495
------------
Continued
89
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
CORPORATE BONDS, CONTINUED
TELECOMMUNICATIONS (10.8%)
Cricket Communications, Inc.,
10.00%, 7/15/15, (Callable
7/15/12 @ 105) (c) $ 360,000 $ 385,200
Crown Castle International Corp.,
9.00%, 1/15/15, (Callable
1/15/13 @ 105.625) (c) 262,000 286,890
Equinix, Inc., 8.13%, 3/1/18,
(Callable 3/1/14 @ 104.063) 764,000 796,470
Frontier Communications Corp.,
8.13%, 10/1/18 (c) 180,000 190,800
Frontier Communications Corp.,
8.50%, 4/15/20 (b) 588,000 627,690
GCI, Inc., 7.25%, 2/15/14, (Callable
8/30/10 @ 102.417) 257,000 261,498
MetroPCS Wireless, Inc., 9.25%,
11/1/14, (Callable
11/1/10 @ 104.625) (b) 153,000 159,885
Nextel Communications, Inc., Series E,
6.88%, 10/31/13, (Callable
8/30/10 @ 101.719) 277,000 275,615
NII Capital Corp., 10.00%, 8/15/16,
(Callable 8/15/13 @ 105) 500,000 552,500
Qwest Communications International,
Inc., 7.50%, 2/15/14, (Callable
8/30/10 @ 102.5) 176,000 180,400
Sprint Capital Corp., 8.75%, 3/15/32 27,000 27,371
Sprint Nextel Corp., 8.38%, 8/15/17 (c) 599,000 625,955
TW Telecom Holdings, Inc., 8.00%,
3/1/18, (Callable 3/1/14 @ 104) 66,000 68,722
Viasat, Inc., 8.88%, 9/15/16,
(Callable 9/15/12 @ 106.656) 784,000 840,840
Windstream Corp., 8.13%, 8/1/13 (c) 181,000 192,765
Windstream Corp., 8.63%, 8/1/16,
(Callable 8/1/11 @ 104.313) 626,000 652,605
------------
6,125,206
------------
TRANSPORTATION EX AIR/RAIL (0.5%)
Overseas Shipholding Group, Inc.,
8.75%, 12/1/13 280,000 290,500
------------
UTILITIES (11.4%)
Atlas Pipeline Partners L.P.,
8.75%, 6/15/18, (Callable
6/15/13 @ 104.375) 328,000 326,360
Calpine Corp., 7.88%, 7/31/20,
(Callable 7/31/15 @ 103.937) (b) 825,000 833,250
Copano Energy LLC/Copano
Energy Finance Corp.,
8.13%, 3/1/16, (Callable
3/1/11 @ 104.0625) 90,000 92,250
Crosstex Energy L.P./Crosstex
Energy Finance Corp., 8.88%,
2/15/18, (Callable
2/15/14 @ 104.438) (c) 100,000 104,500
Enterprise Products Operating LLC,
7.00%, 6/1/67, (Callable
6/1/17 @ 100) (a) 550,000 495,000
Holly Energy Partners L.P./Holly
Energy Finance Corp., 6.25%,
3/1/15, (Callable 8/30/10 @ 103.125) 500,000 485,000
MarkWest Energy Partners
L.P./MarkWest Energy Finance
Corp., Series B, 8.75%, 4/15/18,
(Callable 4/15/13 @ 104.375) 83,000 89,329
Martin Midstream Partners L.P./
Martin Midstream Finance Corp.,
8.88%, 4/1/18, (Callable
4/1/14 @ 104.438) (b) 506,000 511,060
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
Penn Virginia Resource Partners
L.P./Penn Virginia Resource
Finance Corp., 8.25%, 4/15/18,
(Callable 4/15/14 @ 104.125) 200,000 203,000
PNM Resources, Inc., 9.25%, 5/15/15 430,000 458,487
Puget Sound Energy, Inc., Series A,
6.97%, 6/1/67, (Callable
6/1/17 @ 100) (a) 175,000 162,978
Regency Energy Partners
L.P./Regency Energy Finance
Corp., 9.38%, 6/1/16, (Callable
6/1/13 @ 104.688) (b) 950,000 1,035,500
RRI Energy, Inc., 7.63%, 6/15/14 (c) 85,000 85,425
Sabine Pass Liquified Natural Gas
L.P., 7.25%, 11/30/13 734,000 684,455
Targa Resources Partners L.P./Targa
Resources Partners Finance Corp.,
8.25%, 7/1/16, (Callable
7/1/12 @ 104.125) (b) 403,000 421,135
Targa Resources Partners L.P./Targa
Resources Partners Finance Corp.,
11.25%, 7/15/17, (Callable
7/15/13 @ 105.625) (b) 300,000 343,500
------------
6,439,804
------------
TOTAL CORPORATE BONDS 49,293,140
------------
FOREIGN BONDS (9.3%)
ENERGY (1.6%)
Connacher Oil and Gas, Ltd.,
10.25%, 12/15/15, (Callable
12/15/11 @ 105.125) (b) 615,000 622,688
Transocean, Inc., 6.00%, 3/15/18 300,000 280,701
------------
903,389
------------
MEDIA (1.3%)
Quebecor Media, Inc., 7.75%, 3/15/16,
(Callable 3/15/11 @ 103.875) (c) 209,000 212,135
Quebecor Media, Inc., 7.75%, 3/15/16,
(Callable 3/15/11 @ 103.875) (e) 502,000 509,530
------------
721,665
------------
METALS & MINING (1.1%)
Novelis, Inc., 7.25%, 2/15/15,
(Callable 8/30/10 @ 103.625) 600,000 613,500
------------
Continued
90
HIGH YIELD BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
FOREIGN BONDS, CONTINUED
PAPER (1.1%)
Cascades, Inc., 7.75%, 12/15/17,
(Callable 12/15/13 @ 103.875) (b) $ 349,000 $ 362,960
Cascades, Inc., 7.88%, 1/15/20,
(Callable 1/15/15 @ 103.938) (b) 200,000 207,500
PE Paper Escrow GmbH, 12.00%,
8/1/14, (Callable 8/1/12 @ 106) (b) (c) 24,000 27,000
------------
597,460
------------
SERVICES (0.3%)
Ashtead Holdings PLC, 8.63%, 8/1/15,
(Callable 8/31/10 @ 104.313) (b) (e) 151,000 152,888
------------
TELECOMMUNICATIONS (1.2%)
Wind Acquisition Finance SA,
11.75%, 7/15/17, (Callable
7/15/13 @ 105.875) (b) 650,000 690,625
------------
TRANSPORTATION EX AIR/RAIL (0.4%)
Stena AB, 7.00%, 12/1/16, (Callable
8/30/10 @ 103.5) (e) 250,000 237,812
------------
UTILITIES (2.3%)
Gibson Energy ULC/GEP Midstream
Finance Corp., 11.75%, 5/27/14,
(Callable 6/1/12 @ 105.875) 426,000 477,120
Intergen NV, 9.00%, 6/30/17,
(Callable 6/30/12 @ 104.5) (b) (e) 800,000 834,000
1,311,120
------------
TOTAL FOREIGN BONDS 5,228,459
------------
SHARES
----------
INVESTMENT COMPANIES (12.4%)
State Street Navigator Securities
Lending Portfolio (f) 6,983,855 6,983,855
------------
TOTAL INVESTMENT COMPANIES 6,983,855
------------
PREFERRED STOCKS (0.3%)
AUTOMOTIVE & AUTO PARTS (0.3%)
Ally Financial, Inc., 7.00% (b) 200 164,244
------------
TOTAL PREFERRED STOCKS 164,244
------------
INVESTMENTS IN AFFILIATES (2.3%)
Fifth Third Institutional Money
Market Fund (d) 1,321,826 1,321,826
------------
TOTAL INVESTMENTS IN AFFILIATES 1,321,826
------------
TOTAL INVESTMENTS (COST $61,388,827) - 111.6% 62,991,524
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.6)% (6,565,289)
------------
NET ASSETS - 100.0% $ 56,426,235
============
NOTES TO SCHEDULE OF INVESTMENTS
(a) Variable rate security. Rate presented represents rate in effect at July 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.
(h) Defaulted security.
The following abbreviation is used in the Schedule of Investments: W/I - When
Issued
At July 31, 2010, High Yield Bond's Investments were in the following countries:
COUNTRY
- -----------------------------------------------------------------------------
Austria -^
Canada 4.8%
Cayman Islands 0.5%
Great Britain 0.2%
Luxembourg 1.1%
Netherlands 1.3%
Sweden 0.4%
United States 91.7%
------
TOTAL 100.0%
======
- ---------
^ Amount is less than 0.05%.
See notes to schedules of investments and notes to financial statements.
91
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
ASSET-BACKED SECURITIES (6.1%)
AUTOMOBILE ABS OTHER (0.3%)
Hyundai Auto Receivables Trust,
Series 2006-B, Class C, 5.25%,
5/15/13 (g) $ 974,410 $ 982,896
------------
AUTOMOBILES SEQUENTIAL (0.2%)
Prestige Auto Receivables Trust,
Series 2006-1A, Class A2, 5.25%,
6/17/13 (b) 443,336 444,127
------------
HOME EQUITY OTHER (1.5%)
Flagstar Home Equity Loan Trust,
Series 2007-1A, Class AF2, 5.77%,
1/25/35 (b) 340,136 333,848
New Century Home Equity
Loan Trust, Series 2005-A,
Class A5W, 5.29%, 8/25/35 4,000,000 1,986,544
Renaissance Home Equity
Loan Trust, Series 2005-2,
Class AF4, 4.93%, 8/25/35 2,620,000 2,219,402
------------
4,539,794
------------
HOME EQUITY SEQUENTIAL (0.2%)
Residential Funding Mortgage
Securities II, Inc., Series 2006-HI3,
Class A4, 6.31%, 2/25/36 (i) 1,500,000 458,649
------------
MANUFACTURED HOUSING ABS OTHER (0.7%)
Mid-State Trust, Series 2005-1, Class
M2, 7.08%, 1/15/40 2,430,718 2,209,820
------------
MANUFACTURED HOUSING SEQUENTIAL (1.0%)
Vanderbilt Acquisition Loan Trust,
Series 2002-1, Class A4, 6.57%,
5/7/27 (a) 2,670,287 2,877,764
------------
OTHER ABS (2.2%)
Aerco, Ltd., Series 2A, Class A3,
0.80%, 7/15/25 (a) (b) (g) (i) 1,372,390 878,329
First Franklin Mortgage Loan Asset
Backed Certificates, Series
2004-FF11, Class 1A2, 0.68%,
1/25/35 (a) 51,824 46,751
First Franklin Mortgage Loan Asset
Backed Certificates, Series 2005-FFA,
Class M3, 6.02%, 3/25/25 600,000 409,833
Renaissance Home Equity Loan Trust,
Series 2006-1, Class AF4, 6.01%,
5/25/36 1,645,000 940,838
Residential Asset Mortgage Products,
Inc., Series 2002-RZ3, Class M1,
5.78%, 8/25/32 (a) 116,104 114,624
Residential Asset Mortgage Products,
Inc., Series 2003-RZ5, Class A7,
4.97%, 9/25/33 2,238,208 2,240,488
Small Business Administration,
Series 2005-P10B, Class 1, 4.94%,
8/10/15 (g) 1,748,056 1,868,565
------------
6,499,428
------------
TOTAL ASSET-BACKED SECURITIES 18,012,478
------------
CORPORATE BONDS (20.6%)
AEROSPACE & DEFENSE (0.5%)
Boeing Co. (The), 3.75%, 11/20/16 (c) 1,450,000 1,564,892
------------
AIRLINES (0.5%)
Delta Air Lines, Inc., Series A,
7.75%, 6/17/21 1,386,890 1,504,775
------------
BEVERAGES-NON ALCOHOLIC (0.5%)
Coca-Cola Enterprises, Inc., 7.38%,
3/3/14 (c) 1,275,000 1,531,673
------------
CABLE TV (0.9%)
Comcast Corp., 5.70%, 7/1/19 (c) 1,000,000 1,117,804
Time Warner Cable, Inc.,
5.85%, 5/1/17 1,250,000 1,388,735
------------
2,506,539
------------
COMMERCIAL BANKS-CENTRAL U.S. (0.3%)
SunTrust Bank, 3.00%, 11/16/11 1,000,000 1,031,378
------------
COMMERCIAL BANKS-EASTERN U.S. (0.4%)
Manufacturers & Traders Trust Co.,
2.03%, 4/1/13, (Callable
10/1/10 @ 100) (a) 1,075,000 1,037,512
------------
COMMERCIAL BANKS NON-U.S. (0.5%)
Westpac Capital Trust IV, 5.26%,
3/31/16 (a) (b) (h) (i) 1,445,000 1,338,345
------------
COMMERCIAL BANKS-SOUTHERN U.S. (0.9%)
BB&T Corp., 5.25%, 11/1/19 1,500,000 1,558,815
Wachovia Bank NA, 5.85%, 2/1/37 (g) 1,000,000 1,016,218
------------
2,575,033
------------
COMPUTERS (0.5%)
International Business Machines
Corp., 5.88%, 11/29/32 (c) 1,250,000 1,414,196
------------
CONSUMER PRODUCTS-MISCELLANEOUS (0.4%)
Clorox Co., 3.55%, 11/1/15 1,215,000 1,288,939
------------
DIVERSIFIED FINANCIAL SERVICES (1.0%)
General Electric Capital Corp.,
4.80%, 5/1/13 (c) 2,725,000 2,928,413
------------
ELECTRIC-INTEGRATED (2.7%)
Alabama Power Capital Trust V, 3.63%,
10/1/42, (Callable 10/1/10 @ 100) (a) 874,000 874,000
Duke Energy Indiana, Inc., 3.75%,
7/15/20 1,775,000 1,804,953
Florida Power & Light Co., 5.96%,
4/1/39 (c) 870,000 1,007,126
Southern Power Co., Series B, 6.25%,
7/15/12 (c) 2,260,000 2,469,622
Virginia Electric and Power Co.,
6.35%, 11/30/37 1,450,000 1,709,008
------------
7,864,709
------------
ENTERPRISE SOFTWARE/SERVICES (0.4%)
CA, Inc., 5.38%, 12/1/19 1,000,000 1,061,279
------------
Continued
92
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
CORPORATE BONDS, CONTINUED
FINANCE-INVESTMENT BANKER/BROKER (2.1%)
Citigroup, Inc., 6.13%, 11/21/17 (c) $ 2,000,000 $ 2,141,164
Goldman Sachs Group, Inc.
(The), 6.13%, 2/15/33 (c) 1,100,000 1,112,757
JPMorgan Chase & Co., 6.00%,
1/15/18 1,265,000 1,427,775
JPMorgan Chase Capital XXI,
Series U, 1.29%, 1/15/87,
(Callable 2/2/12 @ 100) (a) 1,000,000 738,058
Morgan Stanley, 5.75%, 10/18/16 780,000 833,378
------------
6,253,132
------------
FOOD-MISCELLANEOUS/DIVERSIFIED (0.5%)
General Mills, Inc., 5.65%, 2/15/19 (c) 1,250,000 1,430,841
------------
FOOD-RETAIL (0.4%)
Kroger Co. (The), 7.50%, 1/15/14 (c) 1,000,000 1,176,710
------------
LIFE & HEALTH INSURANCE (0.4%)
Prudential Financial, Inc., 3.88%,
1/14/15 1,250,000 1,286,896
------------
MULTI-LINE INSURANCE (0.4%)
MetLife, Inc., 6.75%, 6/1/16 (c) 1,000,000 1,149,725
------------
MULTIMEDIA (0.7%)
Walt Disney Co. (The), 4.70%,
12/1/12 (c) 1,800,000 1,955,365
------------
NETWORKING PRODUCTS (0.4%)
Cisco Systems, Inc., 4.95%, 2/15/19 (c) 1,000,000 1,111,583
------------
PIPELINES (0.5%)
Kinder Morgan Energy Partners L.P.,
5.63%, 2/15/15 (c) 1,250,000 1,385,226
------------
REAL ESTATE INVESTMENT TRUSTS (0.7%)
Simon Property Group L.P., 5.63%,
8/15/14 (c) 1,790,000 1,970,688
------------
REINSURANCE (0.9%)
Berkshire Hathaway, Inc., 3.20%,
2/11/15 2,580,000 2,696,541
------------
RETAIL-DISCOUNT (0.4%)
Target Corp., 5.38%, 5/1/17 1,150,000 1,318,263
------------
RETAIL-DRUG STORE (0.5%)
CVS Caremark Corp., 5.75%, 6/1/17 1,275,000 1,434,564
------------
SUPER-REGIONAL BANKS-U.S. (1.0%)
Bank of America Corp., 5.63%,
10/14/16 2,665,000 2,821,950
------------
TELECOM SERVICES (0.8%)
Verizon Communications, Inc.,
4.90%, 9/15/15 (c) 2,175,000 2,424,403
------------
TELEPHONE-INTEGRATED (0.5%)
AT&T, Inc., 6.30%, 1/15/38 1,450,000 1,613,944
------------
TRANSPORTATION-RAIL (0.9%)
Burlington Northern Santa Fe
LLC, 5.65%, 5/1/17 1,000,000 1,125,261
Union Pacific Corp., 5.45%, 1/31/13 1,380,000 1,513,369
------------
2,638,630
------------
TOTAL CORPORATE BONDS 60,316,144
------------
FOREIGN BONDS (4.5%)
COMMERCIAL BANKS-EASTERN U.S. (0.8%)
Credit Suisse, 5.30%, 8/13/19 2,000,000 2,193,316
------------
OIL COMPANY-EXPLORATION & PRODUCTION (0.7%)
Gazprom International SA, 7.20%,
2/1/20 (b) 1,924,833 2,043,788
------------
OIL COMPANY-INTEGRATED (1.5%)
Husky Energy, Inc., 5.90%, 6/15/14 1,360,000 1,527,278
Shell International Finance BV,
4.38%, 3/25/20 2,850,000 3,010,150
------------
4,537,428
------------
SOVEREIGN (1.5%)
Brazil, Federal Republic, Series F,
10.00%, 1/1/14 BRL 8,340,000 4,470,317
------------
TOTAL FOREIGN BONDS 13,244,849
------------
MORTGAGE-BACKED SECURITIES (17.8%)
AGENCY COLLATERAL OTHER (1.2%)
Restructured Assets Certificates,
Series 2006-9, Class P, 12.07%,
12/31/49 * (b) (e) (i) $ 5,250,000 3,445,575
------------
CMBS OTHER (5.4%)
Bear Stearns Commercial Mortgage
Securities, Series 2004-T14, Class
A4, 5.20%, 1/12/41 (a) 2,000,000 2,156,015
Citigroup/Deutsche Bank
Commercial Mortgage Trust,
Series 2005-CD1, Class A4,
5.22%, 7/15/44 (a) 2,960,000 3,217,859
Greenwich Capital Commercial
Funding Corp., Series 2002-C1,
Class A4, 4.95%, 1/11/35 1,000,000 1,058,487
Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A5, 4.88%, 6/10/36 5,125,000 5,235,564
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3,
4.60%, 8/10/38 (g) 2,444,631 2,461,874
JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2005-LDP5, Class A4,
5.20%, 12/15/44 (a) 500,000 542,720
LB-UBS Commercial Mortgage
Trust, Series 2005-C3, Class A2,
4.55%, 7/15/30 151,639 151,732
Nomura Asset Securities Corp.,
Series 1998-D6, Class A2,
7.07%, 3/15/30 (a) 1,000,000 1,128,305
------------
15,952,556
------------
Continued
93
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
MORTGAGE-BACKED SECURITIES, CONTINUED
CMBS SUBORDINATED (2.8%)
GS Mortgage Securities Corp. II,
Series 2004-C1, Class B, 4.46%,
10/10/28 (a) $ 2,740,000 $ 2,756,862
------------
GS Mortgage Securities Corp. II,
Series 2004-C1, Class C, 4.52%,
10/10/28 (a) 4,093,000 4,123,300
------------
Salomon Brothers Mortgage Securities
VII, Inc., Series 2002-KEY2, Class C,
5.05%, 3/18/36 (a) 1,417,000 1,432,638
------------
8,312,800
------------
WL COLLATERAL CMO MEZZANINE (0.0%)
Homebanc Mortgage Trust, Series
2004-1, Class 2M2, 2.05%, 8/25/29 (a) 312,689 83,207
------------
WL COLLATERAL CMO OTHER (3.7%)
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-7,
Class 6A1, 5.25%, 10/25/19 938,606 959,229
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust,
Series 2005-4, Class A2,
5.05%, 9/25/35 (a) 158,661 157,016
Homebanc Mortgage Trust,
Series 2004-2, Class A2, 0.78%,
12/25/34 (a) (g) 1,048,053 671,246
Homebanc Mortgage Trust,
Series 2006-1, Class 1A1,
2.64%, 4/25/37 (a) (g) 367,922 236,195
JP Morgan Mortgage Trust,
Series 2005-A1, Class 2A1,
4.83%, 2/25/35 (a) 514,356 482,648
JP Morgan Mortgage Trust,
Series 2005-A2, Class 3A2,
4.84%, 4/25/35 (a) 2,728,492 2,593,587
JP Morgan Mortgage Trust,
Series 2005-A2, Class 7CB1,
4.86%, 4/25/35 (a) 1,779,743 1,684,803
JP Morgan Mortgage Trust,
Series 2005-A3, Class 7CA1,
2.92%, 6/25/35 (a) 1,395,531 1,200,704
Morgan Stanley Mortgage
Loan Trust, Series 2004-4,
Class 3A, 5.00%, 8/25/19 1,193,340 1,213,063
Residential Accredit
Loans, Inc., Series 2004-QA1,
Class A1, 0.60%, 3/25/34 (a) (g) 821,229 549,687
Structured Asset Securities Corp.,
Series 2004-21XS, Class 2A6B,
5.15%, 12/25/34 999,607 968,192
------------
10,716,370
------------
WL COLLATERAL CMO SEQUENTIAL (2.1%)
Countrywide Alternative
Loan Trust, Series 2005-J3,
Class 3A1, 6.50%, 9/25/34 253,471 243,349
JP Morgan Alternative
Loan Trust, Series 2005-S1,
Class 1A2, 5.50%, 12/25/35 1,402,384 1,108,090
JP Morgan Mortgage Trust,
Series 2006-A4, Class 2A2,
5.77%, 6/25/36 (a) 379,205 332,764
JP Morgan Mortgage Trust,
Series 2006-A7, Class 3A2,
5.91%, 1/25/37 (a) 5,075,000 4,400,030
------------
6,084,233
------------
WL COLLATERAL PAC (0.9%)
Countrywide Alternative
Loan Trust, Series 2004-2CB,
Class 1A1, 4.25%, 3/25/34 601,702 603,339
Countrywide Alternative
Loan Trust, Series 2004-30CB,
Class 3A1, 5.00%, 2/25/20 2,072,446 2,058,579
------------
2,661,918
------------
WL COLLATERAL SUPPORT (1.7%)
Chaseflex Trust, Series 2006-1,
Class A6, 6.29%, 6/25/36 (a) 4,884,097 2,801,127
JP Morgan Alternative Loan Trust,
Series 2006-S1, Class 1A18,
6.00%, 3/25/36 2,861,142 1,371,248
Nomura Asset Acceptance Corp.,
Series 2005-AR3, Class 3A2,
3.09%, 7/25/35 (a) 1,354,553 481,959
Nomura Asset Acceptance Corp.,
Series 2005-AR5, Class 2A2,
4.40%, 10/25/35 (a) 911,384 196,880
------------
4,851,214
------------
TOTAL MORTGAGE-BACKED SECURITIES 52,107,873
------------
U.S. GOVERNMENT AGENCIES (40.8%)
FANNIE MAE (24.7%)
0.58%, 8/25/44 (a) 604,686 596,236
0.63%, 4/25/36 (a) (g) 2,528,628 2,522,548
3.75%, 8/25/18 2,869,507 3,016,754
4.50%, 4/1/20 2,987,249 3,199,591
5.00%, 6/1/23 2,026,003 2,166,470
5.00%, 5/1/25 1,138,206 1,221,457
5.00%, 1/1/34 (g) 7,000,495 7,517,204
5.00%, 6/1/40 859,001 916,391
5.11%, 8/1/34 (a) 56,375 59,293
5.50%, 12/25/20 1,294,814 1,355,046
5.50%, 2/1/25 707,934 766,522
5.50%, 3/1/33 (g) 5,069,050 5,487,902
5.50%, 5/25/34 3,150,000 3,355,734
5.50%, 3/1/35 866,331 936,020
5.50%, 6/1/35 372,504 402,468
5.50%, 11/1/35 751,067 815,384
5.50%, 11/1/36 1,093,899 1,190,137
5.50%, 1/1/37 816,101 886,179
5.50%, 1/1/37 (g) 2,025,286 2,198,667
5.50%, 4/25/37 3,386,007 3,557,503
5.50%, 5/1/37 2,699,330 2,911,678
5.50%, 8/1/37 2,254,588 2,451,682
6.00%, 5/1/17 85,106 92,684
6.00%, 5/1/18 288,849 314,838
6.00%, 2/1/22 1,875,299 2,066,518
6.00%, 1/1/33 228,703 252,648
6.00%, 8/25/33 (a) 1,450,730 1,511,965
6.00%, 7/1/35 2,290,435 2,500,178
6.00%, 9/1/35 1,075,346 1,173,819
Continued
94
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FANNIE MAE, CONTINUED
6.00%, 1/1/36 (g) $ 2,185,107 $ 2,405,318
6.00%, 12/1/36 624,182 679,780
6.00%, 1/1/37 1,991,154 2,168,513
6.00%, 1/1/38 479,978 522,132
6.00%, 7/1/38 6,007,575 6,531,426
6.00%, 7/1/39 942,763 1,040,776
6.50%, 7/1/16 274,035 298,169
6.50%, 6/1/17 79,370 86,583
6.50%, 8/1/28 86,152 96,262
6.50%, 6/1/29 65,045 72,679
6.50%, 4/1/32 225,381 251,830
6.50%, 6/1/32 348,534 389,436
6.50%, 7/1/32 579,389 647,383
6.50%, 3/1/33 102,657 114,448
6.50%, 8/1/36 237,667 257,498
7.00%, 6/1/32 164,631 189,629
7.00%, 8/1/32 281,632 320,154
7.00%, 9/1/36 590,410 658,761
7.50%, 6/1/28 114,665 130,441
------------
72,304,734
------------
FREDDIE MAC (13.8%)
0.74%, 7/15/36 (a) (g) 741,655 742,084
4.00%, 5/1/19 2,197,717 2,331,996
4.50%, 6/1/34 743,307 783,183
4.50%, 9/1/34 648,775 683,580
5.00%, 12/1/18 793,451 853,545
5.00%, 10/1/21 989,425 1,060,033
5.00%, 2/15/25 3,245,000 3,602,829
5.00%, 8/1/33 286,561 306,691
5.00%, 5/1/34 138,582 148,230
5.00%, 7/1/35 310,638 331,877
5.00%, 8/1/35 717,217 766,255
5.00%, 11/1/35 3,028,127 3,235,168
5.00%, 4/1/36 297,911 318,280
5.00%, 7/1/36 1,212,616 1,293,631
5.00%, 11/1/39 2,194,376 2,340,297
5.21%, 3/1/37 (a) 296,411 315,912
5.60%, 4/1/37 (a) 1,627,468 1,729,841
5.79%, 10/1/36 (a) 1,118,534 1,192,795
5.86%, 3/1/37 (a) (g) 3,302,645 3,559,269
6.00%, 12/15/21 1,326,659 1,372,241
6.00%, 9/1/33 180,502 198,583
6.00%, 2/1/38 3,824,161 4,159,414
6.00%, 5/1/38 783,767 852,477
6.03%, 1/1/37 (a) 3,483,952 3,762,941
6.09%, 2/1/37 (a) 2,707,062 2,921,139
6.50%, 1/1/29 786,756 875,274
6.50%, 7/1/32 110,129 122,520
6.50%, 9/1/32 48,687 54,135
6.86%, 7/15/32, IO (a) (i) 4,534,871 204,104
7.00%, 6/1/26 358,766 400,934
7.00%, 1/1/32 62,564 71,152
------------
40,590,410
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (2.3%)
0.42%, 3/16/46, IO (a) (i) 12,559,392 299,594
0.47%, 4/16/46, IO (a) (i) 57,607,672 1,462,515
0.64%, 6/16/49, IO (a) (i) 50,703,242 2,213,480
0.82%, 2/16/48, IO (a) (i) 49,773,974 1,769,923
0.98%, 2/16/48, IO (a) (i) 14,471,689 638,122
1.02%, 6/17/45, IO (a) (i) 10,494,371 320,422
------------
6,704,056
------------
TOTAL U.S. GOVERNMENT AGENCIES 119,599,200
------------
U.S. TREASURY OBLIGATIONS (5.0%)
U.S. TREASURY NOTES (3.7%)
1.25%, 7/15/20 (c) (f) 10,734,507 10,852,758
------------
U.S. TREASURY STRIPS (1.3%)
8.21%, 11/15/27 ** (g) 7,400,000 3,757,069
------------
TOTAL U.S. TREASURY OBLIGATIONS 14,609,827
------------
SHARES
----------
INVESTMENT COMPANIES (4.7%)
State Street Navigator Securities
Lending Portfolio (j) 13,892,270 13,892,270
------------
TOTAL INVESTMENT COMPANIES 13,892,270
------------
PREFERRED STOCKS (1.2%)
OFFICE AUTOMATION & EQUIPMENT (0.5%)
Pitney Bowes International
Holdings, Inc., Series F, 6.13%(a) (b) 1,250 1,307,031
------------
SOVEREIGN AGENCY (0.0%)
Fannie Mae, 8.25% (a) 160,000 54,400
Freddie Mac, 8.38% (a) 161,000 61,985
------------
116,385
------------
SUPER-REGIONAL BANKS-U.S. (0.7%)
Wells Fargo Capital XII, 7.88% 80,000 2,105,600
------------
TOTAL PREFERRED STOCKS 3,529,016
------------
INVESTMENTS IN AFFILIATES (3.0%)
Fifth Third Institutional Money Market Fund (d) 8,631,926 8,631,926
------------
TOTAL INVESTMENTS IN AFFILIATES 8,631,926
------------
TOTAL INVESTMENTS (COST $314,143,817) - 103.7% 303,943,583
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.7)% (10,779,951)
------------
NET ASSETS - 100.0% $293,163,632
============
Continued
95
TOTAL RETURN BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
* Non-income producing security.
** Rate represents the effective yield at purchase.
(a) Variable rate security. Rate presented represents rate in effect at
July 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 security was fair valued at July 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
and swap 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.
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.
SHORT TERM BOND
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- ------------
ASSET-BACKED SECURITIES (6.7%)
AUTOMOBILES SEQUENTIAL (3.3%)
BMW Vehicle Lease Trust,
Series 2009-1, Class A2, 2.04%,
4/15/11 $ 106,783 $ 106,850
Chrysler Financial Auto
Securitization Trust, Series 2009-A,
Class A3, 2.82%, 1/15/16 2,500,000 2,553,072
Ford Credit Auto Owner Trust,
Series 2009-B, Class A2, 2.10%,
11/15/11 349,232 349,817
Ford Credit Auto Owner Trust,
Series 2009-D, Class A3,
2.17%, 10/15/13 800,000 812,518
Honda Auto Receivables
Owner Trust, Series 2009-3,
Class A3, 2.31%, 5/15/13 1,030,000 1,047,493
Hyundai Auto Receivables Trust,
Series 2009-A, Class A4, 3.15%,
3/15/16 3,000,000 3,149,710
Nissan Auto Lease Trust, Series
2009-B, Class A2, 1.22%, 9/15/11 702,576 703,147
Volkswagen Auto Lease Trust, Series
2009-A, Class A2, 2.87%, 7/15/11 275,634 276,622
World Omni Auto Receivables Trust,
Series 2009-A, Class A2, 2.88%,
10/17/11 577,278 578,684
------------
9,577,913
------------
CREDIT CARD BULLET (2.6%)
Chase Issuance Trust, Series
2005-A10, Class A10, 4.65%,
12/17/12 (e) 3,000,000 3,026,274
Discover Card Master Trust,
Series 2010-A1, Class A1,
0.99%, 9/15/15 (a) 2,100,000 2,116,329
GE Capital Credit Card Master
Note Trust, Series 2009-3,
Class A, 2.54%, 9/15/14 2,300,000 2,339,894
------------
7,482,497
------------
HOME EQUITY SEQUENTIAL (0.6%)
GMAC Mortgage Corp. Loan
Trust, Series 2006-HE2, Class A2,
6.18%, 5/25/36 (a) 1,731,682 1,599,906
------------
OTHER ABS (0.2%)
SVO VOI Mortgage Corp.,
Series 2005-AA, Class A,
5.25%, 2/20/21 (b) (f) 565,786 566,610
------------
TOTAL ASSET-BACKED SECURITIES 19,226,926
------------
CORPORATE BONDS (21.7%)
BREWERY (0.5%)
Anheuser-Busch InBev Worldwide,
Inc., 2.50%, 3/26/13 (b) 1,500,000 1,524,918
------------
CABLE TV (0.4%)
Comcast Cable Communications
LLC, 6.75%, 1/30/11 (c) 1,000,000 1,027,700
------------
See notes to schedules of investments and notes to financial statements.
Continued
96
SHORT TERM BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
CORPORATE BONDS, CONTINUED
CELLULAR TELECOM (0.4%)
New Cingular Wireless Services,
Inc., 7.88%, 3/1/11 $ 1,250,000 $ 1,301,492
------------
COMMERCIAL BANKS (0.7%)
Ally Financial, Inc., 2.20%,
12/19/12 (c) 2,000,000 2,064,584
------------
COMMERCIAL BANKS-CENTRAL U.S. (0.5%)
US Bank NA, 6.38%, 8/1/11 1,275,000 1,344,490
------------
COMMERCIAL BANKS-SOUTHERN U.S. (0.5%)
BB&T Corp., 3.85%, 7/27/12 1,500,000 1,571,606
------------
COMMERCIAL BANKS-WESTERN U.S. (0.7%)
American Express Bank FSB, Series G,
3.15%, 12/9/11 (c) 2,000,000 2,070,046
------------
COSMETICS & TOILETRIES (1.0%)
Procter & Gamble Co. (The), 1.38%,
8/1/12 2,700,000 2,730,569
------------
DIVERSIFIED FINANCIAL SERVICES (1.5%)
General Electric Capital Corp.,
0.51%, 8/15/11 (a) 2,500,000 2,497,930
General Electric Capital Corp.,
4.88%, 10/21/10 (c) 438,000 441,977
IBM International Group Capital
LLC, 5.05%, 10/22/12 1,250,000 1,363,489
------------
4,303,396
------------
ELECTRIC UTILITIES (0.6%)
FPL Group Capital, Inc., 5.35%,
6/15/13 1,515,000 1,661,093
------------
ELECTRIC-INTEGRATED (1.1%)
Duke Energy Ohio, Inc.,
2.10%, 6/15/13 2,000,000 2,040,568
PSEG Power LLC, 2.50%, 4/15/13 (b) 1,000,000 1,021,656
------------
3,062,224
------------
FINANCE-CREDIT CARD (0.4%)
American Express Credit Corp.,
5.00%, 12/2/10 1,100,000 1,113,506
------------
FINANCE-INVESTMENT BANKER/BROKER (4.2%)
Bear Stearns Cos. LLC (The),
5.35%, 2/1/12 (c) 2,000,000 2,121,960
Citigroup Funding, Inc., 1.88%,
10/22/12 2,350,000 2,404,699
Citigroup, Inc., 6.00%, 2/21/12 1,000,000 1,057,357
Credit Suisse USA, Inc., 6.13%,
11/15/11 1,500,000 1,591,069
Goldman Sachs Group, Inc. (The),
3.25%, 6/15/12 (c) 1,500,000 1,572,324
Goldman Sachs Group, Inc. (The),
6.60%, 1/15/12 1,500,000 1,601,168
Morgan Stanley, 6.75%, 4/15/11 1,500,000 1,559,742
------------
11,908,319
------------
FOOD-RETAIL (0.5%)
Kroger Co. (The), 6.20%, 6/15/12 1,250,000 1,359,176
------------
LIFE & HEALTH INSURANCE (0.4%)
Prudential Financial, Inc., 2.75%,
1/14/13 1,100,000 1,115,586
------------
MEDICAL-DRUGS (1.9%)
Novartis Capital Corp., 1.90%, 4/24/13 2,300,000 2,354,503
Pfizer, Inc., 4.45%, 3/15/12 3,000,000 3,171,336
------------
5,525,839
------------
NETWORKING PRODUCTS (0.9%)
Cisco Systems, Inc., 5.25%, 2/22/11 2,500,000 2,562,490
------------
OIL COMPANY-INTEGRATED (0.4%)
Chevron Corp., 3.45%, 3/3/12 (c) 1,250,000 1,301,705
------------
REINSURANCE (1.1%)
Berkshire Hathaway, Inc., 0.86%,
2/11/13 (a) 3,000,000 3,010,347
------------
RETAIL-DISCOUNT (1.1%)
Wal-Mart Stores, Inc., 4.25%, 4/15/13 3,000,000 3,246,033
------------
SUPER-REGIONAL BANKS-U.S. (2.5%)
Bank of America Corp., 6.25%, 4/15/12 1,150,000 1,224,318
PNC Funding Corp., 1.88%, 6/22/11 2,000,000 2,026,660
SunTrust Banks, Inc., 5.25%, 11/5/12 1,250,000 1,318,766
Wells Fargo & Co., 5.25%, 10/23/12 2,500,000 2,691,552
------------
7,261,296
------------
TRANSPORTATION-RAIL (0.4%)
Union Pacific Corp., 5.45%, 1/31/13 1,000,000 1,096,644
------------
TOTAL CORPORATE BONDS 62,163,059
------------
FOREIGN BONDS (6.0%)
COMMERCIAL BANKS NON-U.S. (2.9%)
Bank of Montreal, 2.13%, 6/28/13 2,775,000 2,837,141
Bank of Nova Scotia, 2.25%, 1/22/13 3,200,000 3,288,128
Barclays Bank PLC, 5.45%, 9/12/12 2,000,000 2,143,174
------------
8,268,443
------------
MONEY CENTER BANKS (0.5%)
Deutsche Bank AG, 2.38%, 1/11/13 1,500,000 1,518,015
------------
OIL COMPANY-INTEGRATED (1.3%)
Conoco Funding Co., 6.35%, 10/15/11 1,000,000 1,065,309
Shell International Finance BV,
1.30%, 9/22/11 (c) 2,650,000 2,670,795
------------
3,736,104
------------
REGIONAL AUTHORITY (0.9%)
Province of Ontario Canada, Series 1,
1.88%, 11/19/12 2,500,000 2,543,482
------------
SOVEREIGN (0.4%)
Brazil, Federal Republic, Series F,
10.00%, 1/1/14 BRL 2,100,000 1,125,619
------------
TOTAL FOREIGN BONDS 17,191,663
------------
Continued
97
SHORT TERM BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
MORTGAGE-BACKED SECURITIES (13.1%)
CMBS OTHER (5.1%)
Banc of America Commercial
Mortgage, Inc., Series 2002-2,
Class A3, 5.12%, 7/11/43 $ 2,500,000 $ 2,611,958
Banc of America Commercial
Mortgage, Inc., Series 2004-4,
Class A3, 4.13%, 7/10/42 (e) 265,995 265,842
Credit Suisse First Boston Mortgage
Securities Corp., Series 2003-CK2,
Class A4, 4.80%, 3/15/36 2,025,000 2,153,573
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-C3,
Class A3, 4.30%, 7/15/36 (e) 578,781 578,300
GE Capital Commercial Mortgage
Corp., Series 2005-C1, Class A2,
4.35%, 6/10/48 1,371,425 1,387,333
Greenwich Capital Commercial
Funding Corp., Series 2005-GG3,
Class A2, 4.31%, 8/10/42 (e) 1,764,391 1,793,443
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 1,247,261 1,256,058
JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2001-C1, Class A3,
5.86%, 10/12/35 1,983,666 2,057,741
LB-UBS Commercial Mortgage
Trust, Series 2005-C3, Class A2,
4.55%, 7/15/30 808,742 809,238
Morgan Stanley Dean Witter
Capital I, Series 2002-IQ2,
Class A4, 5.74%, 12/15/35 1,699,872 1,784,693
------------
14,698,179
------------
WL COLLATERAL CMO OTHER (6.0%)
Bear Stearns Adjustable Rate
Mortgage Trust, Series 2004-1,
Class 13A3, 4.73%, 4/25/34 (a) 1,486,121 1,467,424
Bear Stearns Asset Backed Securities
Trust, Series 2003-AC7, Class A2,
5.25%, 1/25/34 853,591 802,203
Countrywide Home Loan
Mortgage Pass Through Trust,
Series 2004-HYB5, Class 4A1,
3.40%, 4/20/35 (a) 1,222,298 1,001,399
Harborview Mortgage Loan Trust,
Series 2004-5, Class 2A6, 2.48%,
6/19/34 (a) (e) 5,267,592 4,550,341
Homebanc Mortgage Trust, Series
2004-2, Class A2, 0.78%, 12/25/34 (a) 844,731 541,024
Homebanc Mortgage Trust, Series
2006-1, Class 1A1, 2.64%, 4/25/37 (a) 1,287,726 826,683
JP Morgan Alternative Loan Trust,
Series 2006-S2, Class A2, 5.81%,
5/25/36 831,711 814,637
JP Morgan Mortgage Trust,
Series 2005-A1, Class 3A3,
4.90%, 2/25/35 (a) 1,117,521 1,132,217
JP Morgan Mortgage Trust,
Series 2005-A2, Class 5A1,
4.31%, 4/25/35 (a) 1,253,492 1,226,170
JP Morgan Mortgage Trust,
Series 2005-A3, Class 7CA1,
2.92%, 6/25/35 (a) (e) 2,236,339 1,924,128
Merrill Lynch Mortgage Investors,
Inc., Series 2003-A1, Class 2A,
2.83%, 12/25/32 (a) 56,648 59,264
Provident Funding Mortgage Loan
Trust, Series 2005-2, Class 2A1A,
2.80%, 10/25/35 (a) 1,266,590 1,206,446
Residential Funding Mortgage
Securities I, Series 2007-SA1, Class 1A1,
3.80%, 2/25/37 (a) (e) 2,387,625 1,453,066
------------
17,005,002
------------
WL COLLATERAL CMO SEQUENTIAL (1.9%)
Chase Mortgage Finance Corp.,
Series 2005-A1, Class 2A2,
5.21%, 12/25/35 (a) 946,564 878,511
JP Morgan Alternative Loan Trust,
Series 2006-S3, Class A2A, 5.87%,
8/25/36 (e) 1,684,384 1,527,428
JP Morgan Mortgage Trust,
Series 2006-A4, Class 2A2,
5.77%, 6/25/36 (a) 1,194,497 1,048,207
JP Morgan Mortgage Trust,
Series 2007-A2, Class 4A1M,
5.74%, 4/25/37 (a) 1,219,566 1,157,002
RAAC Series, Series 2005-SP1,
Class 2A2, 5.25%, 9/25/34 889,030 913,547
------------
5,524,695
------------
WL COLLATERAL PAC (0.1%)
Countrywide Alternative Loan Trust,
Series 2004-2CB, Class 1A1, 4.25%,
3/25/34 342,830 343,763
------------
TOTAL MORTGAGE-BACKED SECURITIES 37,571,639
------------
MUNICIPAL BONDS (0.0%)
OHIO (0.0%)
State of Ohio, Economic Enterprise,
Series 3, 4.05%, 3/1/11 115,000 115,796
------------
TOTAL MUNICIPAL BONDS 115,796
------------
U.S. GOVERNMENT AGENCIES (44.1%)
FANNIE MAE (5.7%)
1.25%, 6/22/12 (c) 4,000,000 4,046,412
1.75%, 5/7/13 (c) 4,000,000 4,088,636
1.80%, 2/8/13 3,225,000 3,261,523
2.00%, 9/28/12 2,250,000 2,255,175
2.65%, 4/1/33 (a) 781,993 810,839
2.96%, 4/1/35 (a) 885,620 922,296
5.27%, 9/1/34 (a) 870,231 914,964
------------
16,299,845
------------
FANNIE MAE PREPAYMENT LINK NOTE,
SERIES 2005-4, CLASS 1 (0.6%)
4.65%, 12/25/12 1,621,871 1,695,869
------------
Continued
98
SHORT TERM BOND
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
---------- -------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FEDERAL FARM CREDIT BANK (6.5%)
1.38%, 6/25/13 (c) $ 4,000,000 $ 4,054,532
1.75%, 2/21/13 (c) 3,000,000 3,056,895
1.88%, 12/7/12 6,350,000 6,504,965
2.13%, 6/18/12 (c) 3,000,000 3,083,193
2.25%, 4/24/12 2,000,000 2,056,294
------------
18,755,879
------------
FEDERAL HOME LOAN BANK (19.0%)
1.40%, 7/12/13 3,000,000 3,018,651
1.63%, 7/27/11 4,000,000 4,050,204
1.63%, 3/20/13 (c) 3,000,000 3,056,196
1.63%, 6/14/13 (c) 5,000,000 5,093,755
1.75%, 3/8/13 5,000,000 5,116,030
1.88%, 11/19/12 3,000,000 3,012,912
1.88%, 6/21/13 (c) 2,700,000 2,770,573
2.05%, 8/10/12 2,500,000 2,535,060
3.13%, 12/13/13 3,750,000 3,996,956
3.63%, 7/1/11 (c) 7,000,000 7,216,146
3.63%, 10/18/13 (c) 4,000,000 4,328,428
3.75%, 9/9/11 5,000,000 5,185,920
4.75%, 10/25/10 1,710,977 1,727,830
4.88%, 11/18/11 (c) 3,000,000 3,170,598
------------
54,279,259
------------
FREDDIE MAC (8.5%)
1.63%, 4/15/13 (c) 3,500,000 3,567,928
1.70%, 12/17/12 3,000,000 3,011,952
2.00%, 4/27/12 3,000,000 3,032,052
2.13%, 3/23/12 3,000,000 3,076,146
2.13%, 9/21/12 (c) 4,000,000 4,117,448
2.82%, 3/1/34 (a) 999,359 1,051,092
4.25%, 12/15/19 1,962,065 2,088,093
4.41%, 7/1/35 (a) (e) 1,524,062 1,580,809
4.50%, 7/15/28 (e) 1,145,817 1,156,063
5.60%, 4/1/37 (a) 1,460,262 1,552,117
------------
24,233,700
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (3.8%)
2.87%, 2/16/20 (e) 1,590,068 1,605,042
3.72%, 12/16/26 (e) 2,278,115 2,312,245
3.95%, 11/16/30 (e) 2,908,276 3,023,891
4.00%, 5/16/27 1,680,348 1,751,003
4.09%, 8/16/30 1,988,283 2,057,137
------------
10,749,318
------------
TOTAL U.S. GOVERNMENT AGENCIES 126,013,870
------------
U.S. TREASURY OBLIGATIONS (6.4%)
U.S. TREASURY NOTES (6.4%)
1.38%, 2/15/13 6,000,000 6,100,314
1.38%, 3/15/13 6,000,000 6,101,700
1.50%, 7/15/12 (c) 6,000,000 6,115,548
------------
18,317,562
------------
TOTAL U.S. TREASURY OBLIGATIONS 18,317,562
------------
SHARES
----------
INVESTMENT COMPANIES (16.7%)
State Street Navigator Securities
Lending Portfolio (g) 47,968,620 47,968,620
------------
TOTAL INVESTMENT COMPANIES 47,968,620
------------
INVESTMENTS IN AFFILIATES (1.4%)
Fifth Third Institutional Money
Market Fund (d) 4,035,053 4,035,053
------------
TOTAL INVESTMENTS IN AFFILIATES 4,035,053
------------
TOTAL INVESTMENTS (COST $331,433,897) - 116.1% 332,604,188
LIABILITIES IN EXCESS OF OTHER ASSETS - (16.1)% (46,098,858)
------------
NET ASSETS - 100.0% $286,505,330
============
NOTES TO SCHEDULE OF INVESTMENTS
(a) Variable rate security. Rate presented represents rate in effect at
July 31, 2010.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The 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.
(f) Illiquid Securities.
(g) 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 July 31, 2010, Short Term Bond's investments were in the following countries:
COUNTRY
- -----------------------------------------
Brazil 0.3%
Canada 2.9%
Germany 0.5%
Great Britain 0.7%
Netherlands 0.8%
United States 94.8%
------
TOTAL 100.0%
======
See notes to schedules of investments and notes to financial statements.
Continued
99
FIFTH THIRD FUNDS
NOTES TO SCHEDULES OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
Cost and appreciation (depreciation) of investments for federal income tax
purposes at July 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 $ 49,137,516 $ 9,058,188 $ (1,866,814) $ 7,191,374
Mid Cap Growth 89,087,395 10,369,486 (2,875,120) 7,494,366
Quality Growth 274,411,112 42,941,286 (6,876,660) 36,064,626
Dividend Growth 8,372,392 1,091,468 (153,426) 938,042
Micro Cap Value 34,640,666 4,356,849 (2,435,590) 1,921,259
Small Cap Value 59,535,850 7,291,819 (3,652,985) 3,638,834
All Cap Value 143,167,967 11,671,547 (11,279,008) 392,539
Disciplined Large Cap Value 328,544,855 41,292,450 (13,936,745) 27,355,705
Structured Large Cap Plus 72,155,889 14,844,199 (5,111,367) 9,732,832
Equity Index 159,521,858 137,921,481 (13,814,672) 124,106,809
International Equity 239,965,694 24,936,191 (8,416,112) 16,520,079
Strategic Income 124,569,889 5,727,770 (5,101,026) 626,744
LifeModel Aggressive(SM) 135,473,426 1,469,202 (27,532,424) (26,063,222)
LifeModel Moderately Aggressive(SM) 212,586,871 3,148,526 (29,445,825) (26,297,299)
LifeModel Moderate(SM) 287,705,137 2,878,703 (34,725,910) (31,847,207)
LifeModel Moderately Conservative(SM) 62,487,497 986,574 (6,772,861) (5,786,287)
LifeModel Conservative(SM) 42,790,914 343,265 (4,180,630) (3,837,365)
High Yield 61,582,899 2,414,109 (1,005,484) 1,408,625
Total Return Bond 314,228,717 14,721,060 (25,006,194) (10,285,134)
Short Term Bond 331,440,821 4,911,436 (3,748,069) 1,163,367
Futures contracts
UNREALIZED
NUMBER OF NOTIONAL APPRECIATION/ MARKET
CONTRACTS TYPE DESCRIPTION AMOUNT (DEPRECIATION) VALUE
---------- ---------------------------------------- ------------ -------------- -----------
Structured Large Cap Plus 9 Long S+P 500 Index Futures, 9/16/10 $ 2,441,172 $ 30,003 $ 2,471,175
=== =========== ======== ===========
Equity Index 36 Long S+P 500 Index Futures, 9/16/10 9,748,139 136,561 9,884,700
=== =========== ======== ===========
International Equity 3 Long ASX SPI 200 Index Futures, 9/16/10 306,840 (4,014) 302,826
3 Long Australian Dollar Futures, 9/13/10 251,845 17,825 269,670
8 Long British Pound Futures, 9/13/10 735,227 49,423 784,650
DJ EURO STOXX 50 Index
36 Long Futures, 9/17/10 1,246,588 41,185 1,287,773
7 Long Euro Currency Futures, 9/13/10 1,059,211 83,014 1,142,225
10 Long FTSE 100 Index Futures, 9/17/10 804,526 18,493 823,019
6 Long Japanese Yen Futures, 9/13/10 823,258 45,617 868,875
9 Long TOPIX Index Futures, 9/10/10 881,093 1,250 882,343
--- ----------- -------- -----------
82 6,108,588 252,793 6,361,381
=== =========== ======== ===========
Total Return Bond 35 Long U.S. Treasury 10--Year Note, 9/21/10 4,211,027 122,411 4,333,438
45 Long U.S. Treasury 30--Year Note, 9/21/10 5,582,224 210,120 5,792,344
--- ----------- -------- -----------
80 9,793,251 332,531 10,125,782
=== =========== ======== ===========
Short Term Bond 15 Long U.S. Treasury 2--Year Note, 9/30/10 3,270,038 16,837 3,286,875
=== =========== ======== ===========
See notes to financial statements.
100
FIFTH THIRD FUNDS
NOTES TO SCHEDULES OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Foreign currency contracts
NET
DELIVERY UNREALIZED UNREALIZED APPRECIATION
FUND COUNTERPARTY DATE APPRECIATION (DEPRECIATION) (DEPRECIATION)
- ------------------------------------------------ -------------- -------- ------------ -------------- --------------
STRATEGIC INCOME
- ----------------------------------------------------------------------------------
502,543 Canadian Dollar (buy) vs. 47,125,000
Japanese Yen (sell) UBS Warburg 10/7/10 $ -- $ (57,390) $ (57,390)
3,001,726 Norwegian Krone (buy) vs. 47,125,000
Japanese Yen (sell) UBS Warburg 10/7/10 -- (53,398) (53,398)
----------- --------- ---------
$ -- $(110,788) $(110,788)
=========== ========= =========
Credit default swaps on credit indices -- sell protection(1)
UPFRONT
(PAY)/RECEIVE EXPIRATION NOTIONAL MARKET PREMIUMS UNREALIZED
FUND CONTRACT TYPE COUNTERPARTY FIXED RATE DATE AMOUNT(2) VALUE(3) PAID/(RECEIVED) APPRECIATION
- ------------ --------------- -------------- -------------- ----------- ---------- --------- ---------------- ------------
Strategic Markit CDX N.A.
Income Fund IG--14 Index UBS Warburg 0.40% 6/20/15 $2,000,000 $(4,557) $(21,490) $16,934
---------- -------- ---------- -------
Total Return Markit CDX N.A.
Bond IG--14 Index UBS Warburg 0.40% 6/20/15 5,000,000 (11,393) (40,025) 28,632
========== ======== ========= =======
(1)If the Fund is a seller of protection and a credit event occurs, as defined
under the terms of that particular swap agreement, the Fund will either
(i)pay to the buyer of protection an amount equal to the notional amount of
the swap and take delivery of the referenced obligation or(ii)payanet
settlement amount in the form of cash or securities equal to the notional
amount of the swap less the recovery value of the referenced obligation.
(2)The maximum potential amount the Fund could be required to pay as a seller
of credit protection if a credit event occurs as defined under the terms of
that particular swap agreement.
(3)The quoted market prices and resulting values for credit default swap
agreements on credit indices serve as an indicator of the current status of
the payment/performance risk and represent the likelihood of an expected
liability (or profit) for the credit derivative should the notional amount
of the swap agrreement be closed/sold as of the period end. Increasing
market values, in absolute terms when compared to the notional amount of the
swap, represent a deterioration of the referenced entity's credit soundness
and a greater likelihood or risk of default or other credit event occurring
as defined under the terms of the agreement.
See notes to financial statements.
101
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2010
- --------------------------------------------------------------------------------
SMALL CAP MID CAP QUALITY
ASSETS: GROWTH GROWTH GROWTH
------------ ------------ ------------
Investments, at cost $ 47,446,031 $ 88,159,401 $269,402,445
Net unrealized appreciation 7,427,688 8,422,236 36,884,102
------------ ------------ ------------
Investments, at value 54,873,719 96,581,637 306,286,547
Investment in affiliates, at value (cost $1,455,171, $124, $4,189,191,
$36,255, $3,635,520, $2,550,317, $4,657,177, $3,415,803, $2,113,332,
and $9,597,999; respectively) 1,455,171 124 4,189,191
------------ ------------ ------------
Total Investments 56,328,890 96,581,761 310,475,738
Cash 26,838 -- --
Deposit at broker -- -- --
Interest, dividends and other receivables 5,547 17,568 188,815
Receivable for investments sold -- 2,367,474 4,140,826
Receivable for Fund shares sold 5,934 2,612 26,453
Receivable for variation margin on futures contracts -- -- --
Receivable from Advisor and affiliates -- -- --
Prepaid expenses and other assets 24,577 29,916 33,024
------------ ------------ ------------
Total Assets 56,391,786 98,999,331 314,864,856
------------ ------------ ------------
LIABILITIES:
Securities sold short at value (Proceeds $--, $--, $--, $--
$--, $--, $--, $--, $--, $25,630,295, and $--; respectively) -- -- --
Cash overdraft -- 204,752 --
Payable for investments purchased 408,933 1,198,084 379
Payable upon return of securities loaned 12,511,020 15,393,827 20,050,161
Payable for Fund shares redeemed 12,211 32,167 266,115
Accrued expenses and other payables:
Payable to Advisor and affiliates 24,681 38,480 226,216
Distribution and administrative servicing fee 1,828 3,502 15,102
Payable for dividends on securities sold short -- -- --
Other 21,131 31,104 63,123
------------ ------------ ------------
Total Liabilities 12,979,804 16,901,916 20,621,096
------------ ------------ ------------
NET ASSETS:
Paid-in Capital 50,744,700 122,603,699 302,440,604
Accumulated net investment income (loss) 831 -- 326,830
Accumulated net realized gain/(loss) from investment transactions and futures (14,761,237) (48,928,520) (45,407,776)
Net unrealized appreciation on investments and futures 7,427,688 8,422,236 36,884,102
------------ ------------ ------------
Net Assets $ 43,411,982 $ 82,097,415 $294,243,760
============ ============ ============
Market value of securities loaned $ 12,190,237 $ 15,048,477 $ 19,618,545
============ ============ ============
Net Assets:
Institutional Shares $ 35,913,839 $ 68,704,755 $232,350,137
Class A Shares 7,035,781 12,084,445 58,197,636
Class B Shares 351,363 1,062,158 2,562,533
Class C Shares 110,999 246,057 1,133,454
Select Shares NA NA NA
Preferred Shares NA NA NA
Trust Shares NA NA NA
------------ ------------ ------------
Total $ 43,411,982 $ 82,097,415 $294,243,760
============ ============ ============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 5,098,407 7,934,225 17,293,901
Class A Shares 1,076,080 1,474,426 4,464,421
Class B Shares 59,481 145,831 212,049
Class C Shares 18,825 36,174 96,912
Select Shares NA NA NA
Preferred Shares NA NA NA
Trust Shares NA NA NA
------------ ------------ ------------
Total 6,252,793 9,590,656 22,067,283
============ ============ ============
Net Asset Value
Institutional Shares $ 7.04 $ 8.66 $ 13.44
============ ============ ============
Class A Shares-redemption price per share $ 6.54 $ 8.20 $ 13.04
============ ============ ============
Class B Shares-offering price per share* $ 5.91 $ 7.28 $ 12.08
============ ============ ============
Class C Shares-offering price per share* $ 5.90 $ 6.80 $ 11.70
============ ============ ============
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 asset value adjusted to the nearest cent) per share Class A Shares $ 6.88 $ 8.63 $ 13.73
============ ============ ============
- ------------------------
* Redemption price per share varies by length of time shares are held.
See notes to financial statements.
102
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2010
- --------------------------------------------------------------------------------
DISCIPLINED STRUCTURED
DIVIDEND MICRO CAP SMALL CAP ALL CAP LARGE CAP LARGE CAP EQUITY
GROWTH VALUE VALUE VALUE VALUE PLUS INDEX
- ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 8,294,008 $29,306,177 $ 56,119,623 $134,947,169 $316,770,330 $ 95,596,016 $145,562,199
980,171 3,620,228 4,504,744 3,956,160 35,714,427 7,475,409 128,485,986
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
9,274,179 32,926,405 60,624,367 138,903,329 352,484,757 103,071,425 274,048,185
36,255 3,635,520 2,550,317 4,657,177 3,415,803 2,113,332 9,580,482
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
9,310,434 36,561,925 63,174,684 143,560,506 355,900,560 105,184,757 283,628,667
2,991 137 -- -- -- 32,489 --
-- -- -- -- -- 202,500 --
7,228 4,657 10,029 124,598 450,267 141,683 470,122
225,837 66,891 -- 1,074,827 -- -- --
2,772 170,613 118,574 62,944 654,626 -- 489,992
-- -- -- -- -- 2,925 11,700
6,034 -- -- -- -- -- --
24,158 27,754 32,329 26,892 32,192 18,358 27,338
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
9,579,454 36,831,977 63,335,616 144,849,767 357,037,645 105,582,712 284,627,819
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
-- -- -- -- -- 23,296,036 --
-- -- 26,111 -- -- -- --
189,283 38,623 280 1,406,726 475 217 890
2,045,694 -- -- 12,709,262 11,535,237 -- 10,846,128
4,151 23,735 17,519 99,589 1,113,453 292 276,753
-- 18,815 49,790 87,877 232,537 36,866 15,390
844 5,537 1,626 13,996 42,243 1,964 22,388
-- -- -- -- -- 7,378 --
17,164 27,137 17,932 44,709 39,115 33,721 38,164
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
2,257,136 113,847 113,258 14,362,159 12,963,060 23,376,474 11,199,713
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
13,274,980 40,566,278 69,313,460 167,260,584 427,864,510 133,991,184 139,521,081
7,144 104,349 23,535 58,666 511,351 (114,577) 515,236
(6,939,977) (7,572,725) (10,619,381) (40,787,802) (120,015,703) (61,508,972) 4,786,763
980,171 3,620,228 4,504,744 3,956,160 35,714,427 9,838,603 128,605,026
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
$ 7,322,318 $36,718,130 $ 63,222,358 $130,487,608 $344,074,585 $ 82,206,238 $273,428,106
=========== =========== ============ ============ ============ ============ ============
$ 2,047,894 $ -- $ -- $ 12,397,700 $ 16,448,565 $ -- $ 10,768,643
=========== =========== ============ ============ ============ ============ ============
$ 5,126,728 $21,195,207 $ 59,572,212 $ 86,521,403 $331,331,620 $ 76,896,677 $148,671,427
1,962,915 11,648,897 2,241,600 35,730,458 10,844,957 5,028,172 37,145,922
70,445 998,455 580,937 4,182,173 1,314,536 233,439 1,380,516
162,230 2,875,571 827,609 4,053,574 583,472 47,950 1,031,628
NA NA NA NA NA NA 8,841,354
NA NA NA NA NA NA 44,377,959
NA NA NA NA NA NA 31,979,300
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
$ 7,322,318 $36,718,130 $ 63,222,358 $130,487,608 $344,074,585 $ 82,206,238 $273,428,106
=========== =========== ============ ============ ============ ============ ============
256,275 5,412,026 3,646,265 6,272,614 35,179,345 7,637,262 7,088,922
99,957 3,207,013 138,779 2,638,507 1,155,481 506,156 1,777,586
3,714 307,559 37,665 325,943 138,485 23,621 66,456
8,828 884,673 53,848 316,818 62,920 4,848 49,713
NA NA NA NA NA NA 421,704
NA NA NA NA NA NA 2,117,134
NA NA NA NA NA NA 1,525,116
- ----------- ----------- ------------ ------------ ------------ ------------ ------------
368,774 9,811,271 3,876,557 9,553,882 36,536,231 8,171,887 13,046,631
=========== =========== ============ ============ ============ ============ ============
$ 20.00 $ 3.92 $ 16.34 $ 13.79 $ 9.42 $ 10.07 $ 20.97
=========== =========== ============ ============ ============ ============ ============
$ 19.64 $ 3.63 $ 16.15 $ 13.54 $ 9.39 $ 9.93 $ 20.90
=========== =========== ============ ============ ============ ============ ============
$ 18.97 $ 3.25 $ 15.42 $ 12.83 $ 9.49 $ 9.88 $ 20.77
=========== =========== ============ ============ ============ ============ ============
$ 18.38 $ 3.25 $ 15.37 $ 12.79 $ 9.27 $ 9.89 $ 20.75
=========== =========== ============ ============ ============ ============ ============
NA NA NA NA NA NA $ 20.97
=========== =========== ============ ============ ============ ============ ============
NA NA NA NA NA NA $ 20.96
=========== =========== ============ ============ ============ ============ ============
NA NA NA NA NA NA $ 20.97
=========== =========== ============ ============ ============ ============ ============
5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00%
$ 20.67 $ 3.82 $ 17.00 $ 14.25 $ 9.88 $ 10.45 $ 22.00
=========== =========== ============ ============ ============ ============ ============
See notes to financial statements.
103
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2010
- --------------------------------------------------------------------------------
INTERNATIONAL STRATEGIC LIFEMODEL
ASSETS: EQUITY INCOME AGGRESSIVE(SM)
------------ ------------ --------------
Investments, at cost $237,373,055 $118,511,392 $ --
Net unrealized appreciation/(depreciation) 16,875,589 1,005,734 --
------------ ------------ ------------
Investments, at value 254,248,644 119,517,126 --
Investment in affiliates, at value (cost $2,237,129, $5,679,507, $128,586,533,
$206,623,185, $280,439,653, $59,939,924, $41,360,133, $1,321,826, $8,631,926,
and $4,035,053; respectively) 2,237,129 5,679,507 109,410,204
------------ ------------ ------------
Total Investments 256,485,773 125,196,633 109,410,204
Cash -- 5,896 --
Deposit at broker 275,400 -- --
Foreign currency, at value (cost $110,862, $207, $--, $--,
$--, $--, $--, $--, $569,540 and $488,459; respectively) 112,718 353 --
Interest, dividends and other receivables 391,254 688,196 28(+)
Receivable for investments sold -- 1,209,591 --
Receivable for Fund shares sold 29,701 1,235,116 81,203
Receivable for variation margin on futures contracts -- -- --
Reclaims receivable 328,544 2,133 --
Receivable from Advisor and affiliates -- -- 10,941
Unrealized appreciation on credit default swap agreements -- 16,934 --
Prepaid expenses and other assets 29,216 27,307 26,314
------------ ------------ ------------
Total Assets 257,652,606 128,382,159 109,528,690
------------ ------------ ------------
LIABILITIES:
Cash overdraft 732 -- --
Distributions payable -- 362,081 --
Payable for investments purchased 299 406 28(+)
Payable upon return of securities loaned 16,301,024 14,046,322 --
Payable for Fund shares redeemed 78,343 242,312 737,809
Unrealized depreciation on forward foreign currency contracts -- 110,788 --
Payable for variation margin on futures contracts 16,902 -- --
Swap premium received -- 21,490 --
Accrued expenses and other payables:
Payable to Advisor and affiliates 211,130 55,583 --
Distribution and administrative servicing fee 4,514 14,864 11,742
Other 60,851 27,741 30,292
------------ ------------ ------------
Total Liabilities 16,673,795 14,881,587 779,871
------------ ------------ ------------
NET ASSETS:
Paid-in Capital 377,665,748 133,152,822 142,175,023
Accumulated net investment income/(loss) 5,203,861 (405,349) --
Accumulated net realized (loss) from investment
transactions, futures and foreign currency (159,040,819) (20,161,205) (14,249,875)
Net unrealized appreciation/(depreciation) on
investments, swaps, futures and foreign currency 17,150,021 914,304 (19,176,329)
------------ ------------ ------------
Net Assets $240,978,811 $113,500,572 $108,748,819
============ ============ ============
Market value of securities loaned $ 15,771,172 $ 13,728,842 $ --
============ ============ ============
Net Assets:
Institutional Shares $229,887,623 $ 80,806,479 $ 75,905,718
Class A Shares 10,215,884 19,460,919 24,981,883
Class B Shares 565,166 729,071 6,672,112
Class C Shares 310,138 12,504,103 1,189,106
------------ ------------ ------------
Total $240,978,811 $113,500,572 $108,748,819
============ ============ ============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 31,285,926 8,063,199 8,103,868
Class A Shares 1,392,809 1,946,531 2,687,478
Class B Shares 79,074 72,950 746,010
Class C Shares 45,352 1,262,761 133,042
------------ ------------ ------------
Total 32,803,161 11,345,441 11,670,398
============ ============ ============
Net Asset Value
Institutional Shares $ 7.35 $ 10.02 $ 9.37
============ ============ ============
Class A Shares-redemption price per share $ 7.33 $ 10.00 $ 9.30
============ ============ ============
Class B Shares-offering price per share* $ 7.15 $ 9.99 $ 8.94
============ ============ ============
Class C Shares-offering price per share* $ 6.84 $ 9.90 $ 8.94
============ ============ ============
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 $ 7.72 $ 10.53 $ 9.79
============ ============ ============
- ----------------------
* Redemption price per share varies by length of time shares are held.
+ Represents receivable from or payable to affiliates.
See notes to financial statements.
104
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2010
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
MODERATELY LIFEMODEL MODERATELY LIFEMODEL HIGH YIELD TOTAL RETURN SHORT TERM
AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM) BOND BOND BOND
- -------------- ------------ ---------------- ---------------- ----------- ------------ ------------
$ -- $ -- $ -- $ -- $60,067,001 $305,511,891 $327,398,844
-- -- -- -- 1,602,697 (10,200,234) 1,170,291
- ------------ ------------ ------------ ----------- ----------- ------------ ------------
-- -- -- -- 61,669,698 295,311,657 328,569,135
186,289,572 255,857,930 56,701,210 38,953,549 1,321,826 8,631,926 4,035,053
- ------------ ------------ ------------ ----------- ----------- ------------ ------------
186,289,572 255,857,930 56,701,210 38,953,549 62,991,524 303,943,583 332,604,188
-- -- -- -- -- -- --
-- -- -- -- -- 161,500 9,000
-- -- -- -- -- 583,505 515,780
15(+) 31(+) 25(+) 7(+) 1,187,425 1,937,627 1,618,724
-- -- -- -- -- 434,163 373,040
158,841 132,479 55,552 41,267 301,141 125,120 482,858
-- -- -- -- -- 108,125 2,812
-- -- -- -- -- 12,981 --
24,381 7,340 8,469 8,264 -- -- --
-- -- -- -- -- 28,632 --
25,808 27,569 24,003 24,266 25,632 36,777 28,877
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
186,498,617 256,025,349 56,789,259 39,027,353 64,505,722 307,372,013 335,635,279
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
-- -- -- -- -- -- --
-- -- -- -- -- -- 103
15(+) 31(+) 25(+) 7(+) 1,060,294 544 526
-- -- -- -- 6,983,855 13,892,270 47,968,620
887,384 147,542 281,380 43,665 2,055 99,970 999,197
-- -- -- -- -- -- --
-- -- -- -- -- -- --
-- -- -- -- -- 40,025 --
-- -- -- -- 13,724 137,883 115,083
34,559 25,278 10,090 6,670 1,383 4,282 13,607
52,392 37,396 18,660 15,455 18,176 33,407 32,813
- ------------ ------------ ------------ ----------- ----------- ------------ ------------
974,350 210,247 310,155 65,797 8,079,487 14,208,381 49,129,949
- ------------ ------------ ------------ ----------- ----------- ------------ ------------
226,599,385 316,367,862 65,616,880 44,730,379 58,970,888 407,265,141 304,374,437
95,668 362,140 92,062 95,391 48,577 104,203 184,019
(20,837,173) (36,333,177) (5,991,124) (3,457,630) (4,195,927) (104,386,302) (19,267,574)
(20,333,613) (24,581,723) (3,238,714) (2,406,584) 1,602,697 (9,819,410) 1,214,448
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
$185,524,267 $255,815,102 $56,479,104 $38,961,556 $56,426,235 $293,163,632 $286,505,330
============ ============ =========== =========== =========== ============ ============
$ -- $ -- $ -- $ -- $ 6,843,665 $ 13,607,089 $ 46,989,341
============ ============ =========== =========== =========== ============ ============
$100,910,434 $195,479,913 $33,074,096 $23,915,759 $53,780,085 $275,473,361 $254,161,920
57,520,480 40,212,416 15,137,598 9,629,915 1,148,886 15,010,260 22,079,362
24,104,695 17,416,463 7,258,555 4,050,617 93,951 1,820,667 NA
2,988,658 2,706,310 1,008,855 1,365,265 1,403,313 859,344 10,264,048
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
$185,524,267 $255,815,102 $56,479,104 $38,961,556 $56,426,235 $293,163,632 $286,505,330
============ ============ =========== =========== =========== ============ ============
10,328,501 20,338,065 3,708,298 2,583,980 5,592,422 30,540,650 26,538,507
5,896,143 4,189,792 1,700,163 1,042,692 119,746 1,664,995 2,306,880
2,498,655 1,825,685 818,419 440,406 9,780 201,711 NA
309,662 283,461 113,589 148,245 146,193 95,183 1,074,519
- ------------ ------------ ----------- ----------- ----------- ------------ ------------
19,032,961 26,637,003 6,340,469 4,215,323 5,868,141 32,502,539 29,919,906
============ ============ =========== =========== =========== ============ ============
$ 9.77 $ 9.61 $ 8.92 $ 9.26 $ 9.62 $ 9.02 $ 9.58
============ ============ =========== =========== =========== ============ ============
$ 9.76 $ 9.60 $ 8.90 $ 9.24 $ 9.59 $ 9.02 $ 9.57
============ ============ =========== =========== =========== ============ ============
$ 9.65 $ 9.54 $ 8.87 $ 9.20 $ 9.61 $ 9.03 NA
============ ============ =========== =========== =========== ============ ============
$ 9.65 $ 9.55 $ 8.88 $ 9.21 $ 9.60 $ 9.03 $ 9.55
============ ============ =========== =========== =========== ============ ============
5.00% 5.00% 5.00% 5.00% 4.75% 4.75% 3.00%
$ 10.27 $ 10.11 $ 9.37 $ 9.73 $ 10.07 $ 9.47 $ 9.87
============ ============ =========== =========== =========== ============ ============
See notes to financial statements.
105
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
SMALL CAP MID CAP QUALITY
INVESTMENT INCOME: GROWTH GROWTH GROWTH
---------- ------------ ------------
Interest income $ -- $ -- $ 113,587
Dividend income 197,710 561,957 3,730,595
Dividend income from affiliates 1,817 2,565 9,717
Foreign tax withholding (2,114) (2,414) --
Income from securities lending 45,029 9,418 11,052
Other income 14 14 1
---------- ----------- -----------
Total Investment Income 242,456 571,540 3,864,952
---------- ----------- -----------
EXPENSES:
Investment advisory fees 335,323 722,831 2,549,188
Administration fees 83,350 157,211 554,427
Distribution servicing fees - Class A Shares 17,607 30,765 157,020
Distribution servicing fees - Class B Shares 5,272 15,499 46,502
Distribution servicing fees - Class C Shares 1,128 2,197 10,604
Administrative servicing fees - Class C Shares 376 732 3,535
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 65,337 65,273 99,779
Registration and filing fees 33,078 31,950 34,124
Transfer and dividend disbursing agent fees 44,313 91,491 280,014
Custody fees 6,562 7,032 9,196
Trustees' fees and expenses 2,097 3,996 13,094
Professional fees 17,832 19,041 25,863
Printing expense 4,251 9,251 27,855
Interest expense -- -- --
Dividends on securities sold short -- -- --
Other expenses 4,059 7,600 19,794
---------- ----------- -----------
Total expenses 620,585 1,164,869 3,830,995
---------- ----------- -----------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (112,378) (308,219) (235,663)
Fair Fund reimbursement (26,838) (11,487) (50,642)
---------- ------------ ----------
Net Expenses 481,369 845,163 3,544,690
---------- ----------- -----------
Net Investment Income/(Loss) (238,913) (273,623) 320,262
---------- ----------- -----------
REALIZED AND UNREALIZED GAINS/(LOSSES)
FROM INVESTMENTS AND FUTURES:
Net realized gains/(losses) on investment transactions 1,435,850 1,449,354 (2,576,331)
Net realized gains on futures transactions -- -- --
Change in unrealized appreciation/(depreciation) on investments and futures 6,346,409 14,394,397 26,944,780
---------- ----------- -----------
Net realized and unrealized gains on investments and futures 7,782,259 15,843,751 24,368,449
---------- ----------- -----------
Change in net assets resulting from operations $7,543,346 $15,570,128 $24,688,711
========== =========== ===========
- ------------------------
(+) Includes realized (losses) from investment transactions with affiliates.
* Includes unrealized appreciation/(depreciation) on affiliated positions.
@ See Note 5.
See notes to financial statements.
106
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
DISCIPLINED STRUCTURED
DIVIDEND MICRO CAP SMALL CAP ALL CAP LARGE CAP LARGE CAP EQUITY
GROWTH VALUE VALUE VALUE VALUE PLUS INDEX
- -------- ---------- ----------- ----------- ----------- ----------- -----------
S>
$ -- $ -- $ -- $ -- $ -- $ -- $ --
161,418 396,895 1,193,884 3,036,952 8,667,398 2,218,607 5,786,508
173 3,165 4,399 4,756 10,553 4,140 8,934
(972) -- -- -- -- (2,349) --
2,368 812 10,209 28,414 8,083 -- 14,643
41 -- -- 19 45 17 129
- -------- ---------- ----------- ----------- ----------- ---------- -----------
163,028 400,872 1,208,492 3,070,141 8,686,079 2,220,415 5,810,214
- -------- ---------- ----------- ----------- ----------- ---------- -----------
63,363 336,502 594,031 1,405,584 2,782,387 585,905 852,560
13,755 58,475 114,842 244,562 605,146 145,635 493,562
5,203 25,433 3,939 91,944 28,552 13,988 102,329
1,197 16,043 6,189 73,723 17,538 3,001 18,710
1,258 15,892 3,868 36,506 5,017 254 8,590
419 5,297 1,289 12,169 1,672 85 2,863
NA NA NA NA NA NA 7,863
NA NA NA NA NA NA 70,204
NA NA NA NA NA NA 80,237
64,974 66,423 65,241 66,268 104,615 69,692 137,877
31,838 32,992 29,614 33,304 34,995 35,461 34,101
24,217 69,063 21,597 179,011 127,573 40,917 84,448
2,815 16,068 12,608 8,906 15,081 9,168 24,269
267 1,241 2,749 5,977 14,084 3,484 11,901
16,808 17,981 18,171 20,563 26,704 298,755 26,152
2,577 10,516 2,554 24,147 12,831 11,600 18,150
-- -- -- -- -- 206,016 --
-- -- -- -- -- 295,791 --
2,310 3,038 4,903 9,794 20,550 5,429 48,014
- -------- ---------- ----------- ----------- ----------- ---------- -----------
231,001 674,964 881,595 2,212,458 3,796,745 1,725,181 2,021,830
- -------- ---------- ----------- ----------- ----------- ---------- -----------
(165,105) (158,021) (98,291) (499,090) (536,043) (298,136) (1,191,080)
(2,991) (137) -- (224) (3,951) (32,489) (30,453)
- -------- ---------- ----------- ----------- ----------- ---------- -----------
62,905 516,806 783,304 1,713,144 3,256,751 1,394,556 800,297
- -------- ---------- ----------- ----------- ----------- ---------- -----------
100,123 (115,934) 425,188 1,356,997 5,429,328 825,859 5,009,917
- -------- ---------- ----------- ----------- ----------- ---------- -----------
717,816 2,149,642 6,236,559 2,528,833 (5,500,460) (865,762) 11,320,404(+)
-- -- -- -- -- 648,758 1,581,425
(5,625) 3,817,425 6,772,595 11,629,827 35,907,658 8,909,224 18,119,289*
- -------- ---------- ----------- ----------- ----------- ---------- -----------
712,191 5,967,067 13,009,154 14,158,660 30,407,198 8,692,220 31,021,118
- -------- ---------- ----------- ----------- ----------- ---------- -----------
$812,314 $5,851,133 $13,434,342 $15,515,657 $35,836,526 $9,518,079 $36,031,035
======== ========== =========== =========== =========== ========== ===========
See notes to financial statements.
107
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
INTERNATIONAL STRATEGIC LIFEMODEL
INVESTMENT INCOME: EQUITY INCOME AGGRESSIVE(SM)
------------- ----------- --------------
Interest income $ -- $ 2,207,521 $ --
Dividend income 8,985,137 3,580,360 --
Dividend income from affiliates 5,969 6,598 1,680,592
Foreign tax withholding (795,767) (2,839) --
Income from securities lending 196,058 22,353 --
Other income 27 -- --
----------- ----------- -----------
Total Investment Income 8,391,424 5,813,993 1,680,592
----------- ----------- -----------
EXPENSES:
Investment advisory fees 2,509,959 909,694 175,518
Administration fees 436,716 158,008 203,214
Distribution servicing fees - Class A Shares 28,448 41,552 69,818
Distribution servicing fees - Class B Shares 8,347 7,756 75,987
Distribution servicing fees - Class C Shares 2,643 77,286 9,420
Administrative servicing fees - Class C Shares 881 25,762 3,140
Accounting fees 105,129 69,869 61,955
Registration and filing fees 35,244 31,276 32,170
Transfer and dividend disbursing agent fees 71,916 54,562 114,058
Custody fees 119,213 8,715 3,412
Trustees' fees and expenses 10,831 3,499 4,835
Professional fees 28,612 24,686 17,338
Printing expense 3,974 7,163 14,106
Interest expense 16,073 953 --
Other expenses 15,906 5,455 7,692
----------- ----------- -----------
Total expenses 3,393,892 1,426,236 792,663
----------- ----------- -----------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (393,341) (480,005) (540,687)
Fair Fund reimbursement (26,111) (95) --
----------- ----------- -----------
Net Expenses 2,974,440 946,136 251,976
----------- ----------- -----------
Net Investment Income 5,416,984 4,867,857 1,428,616
----------- ----------- -----------
REALIZED AND UNREALIZED GAINS/(LOSSES) FROM
INVESTMENTS, FUTURES, SWAPS AND FOREIGN CURRENCY:
Net realized gains/(losses) on investment, swap and foreign currency transactions (5,316,159) (10,862,669) (8,176,294)(+)
Net realized gains on futures transactions 527,091 381,659 --
Change in unrealized appreciation/(depreciation) on investments, futures,
swaps and foreign currency translations 10,115,634 22,108,887 18,039,616*
----------- ----------- -----------
Net realized and unrealized gains on investments, futures, swaps and
foreign currency translations 5,326,566 11,627,877 9,863,322
----------- ----------- -----------
Change in net assets resulting from operations $10,743,550 $16,495,734 $11,291,938
=========== =========== ===========
- ----------------------------
+ Represents realized (losses) from investment transactions with affiliates.
* Represents unrealized appreciation/(depreciation) on affiliated positions.
@ See Note 5.
See notes to financial statements.
108
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
MODERATELY LIFEMODEL MODERATELY LIFEMODEL HIGH YIELD TOTAL RETURN SHORT TERM
AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM) BOND BOND BOND
- -------------- ------------ ---------------- ---------------- ------------ ------------ ------------
$ -- $ -- $ -- $ -- $4,443,917 $ 15,941,685 $ 7,541,862
-- -- -- -- 14,015 360,455 --
4,291,608 7,659,535 1,846,317 1,553,748 1,332 10,363 10,207
-- -- -- -- -- -- --
-- -- -- -- 6,916 11,924 26,104
-- -- -- -- -- 718,925 8,198
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
4,291,608 7,659,535 1,846,317 1,553,748 4,466,180 17,043,352 7,586,371
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
313,883 424,326 93,026 64,408 364,455 2,062,992 1,327,709
363,412 491,250 107,705 74,572 90,590 597,061 461,130
167,553 114,021 39,681 24,982 10,766 38,278 39,530
269,328 194,554 78,757 46,329 846 25,699 NA
24,489 20,564 8,284 10,919 6,244 5,697 39,842
8,163 6,855 2,761 3,640 2,081 1,899 13,281
73,903 88,679 61,958 62,014 72,839 116,082 85,089
32,908 33,517 31,613 30,986 32,204 32,832 36,703
243,110 142,586 42,235 23,014 12,783 67,881 82,870
13,076 10,529 2,394 1,248 16,071 26,614 17,746
8,762 12,728 2,594 1,769 2,108 16,531 10,424
20,145 22,946 14,899 14,624 28,376 30,407 26,614
29,794 16,359 5,007 2,659 1,577 3,866 9,043
-- -- -- -- -- -- --
12,453 18,573 4,439 3,706 4,050 24,070 13,669
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
1,580,979 1,597,487 495,353 364,870 644,990 3,049,909 2,163,650
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
(944,041) (1,035,186) (316,255) (244,650) (239,772) (743,434) (555,482)
-- -- -- -- -- (54,436) (6,631)
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
636,938 562,301 179,098 120,220 405,218 2,252,039 1,601,537
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
3,654,670 7,097,234 1,667,219 1,433,528 4,060,962 14,791,313 5,984,834
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
(15,621,783)(+) (28,779,913)(+) (3,442,427)(+) (2,458,751)(+) 847,511 (23,601,658) 402,381
-- -- -- -- -- 1,511,743 101,297
30,860,782* 48,852,320* 7,580,436* 4,894,486* 4,408,684 46,780,186 6,548,875
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
15,238,999 20,072,407 4,138,009 2,435,735 5,256,195 24,690,271 7,052,553
- ------------ ------------ ----------- ----------- ---------- ------------ -----------
$ 18,893,669 $ 27,169,641 $ 5,805,228 $ 3,869,263 $9,317,157 $ 39,481,584 $13,037,387
============ ============ =========== =========== ========== ============ ===========
See notes to financial statements.
109
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH MID CAP GROWTH
---------------------------- ------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ ------------ -------------- ------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income/(loss) $ (238,913) $ (270,799) $ (273,623) $ (233,355)
Net realized gains/(losses) on investment transactions 1,435,850 (15,191,493) 1,449,354 (49,912,688)
Net change in unrealized appreciation/(depreciation) on
investment transactions 6,346,409 (5,469,277) 14,394,397 (17,102,132)
------------ ------------ ------------- ------------
Change in net assets resulting from operations 7,543,346 (20,931,569) 15,570,128 (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 (14,817,804) (7,074,949) (29,446,176) (52,532,002)
------------ ------------ ------------- ------------
Change in net assets (7,274,458) (28,006,518) (13,876,048) (138,379,681)
NET ASSETS:
Beginning of period 50,686,440 78,692,958 95,973,463 234,353,144
------------ ------------ ------------- ------------
End of period $ 43,411,982 $ 50,686,440 $ 82,097,415 $ 95,973,463
============ ============ ============ ============
Accumulated net investment income/(loss) $ 831 $ (4,051) $ -- $ --
============ ============ ============ ============
See notes to financial statements.
110
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
QUALITY GROWTH DIVIDEND GROWTH MICRO CAP VALUE SMALL CAP VALUE
- ------------------------------ -------------------------- -------------------------- ----------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------ -------------- ------------ ------------ ------------ ------------ ------------ ------------
$ 320,262 $ 1,717,680 $ 100,123 $ 200,548 $ (115,934) $ 119,980 $ 425,188 $ 1,074,826
(2,576,331) (42,381,346) 717,816 (4,137,371) 2,149,642 (6,300,682) 6,236,559 (15,847,456)
26,944,780 (65,154,751) (5,625) (278,321) 3,817,425 914,167 6,772,595 (3,419,451)
- ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------
24,688,711 (105,818,417) 812,314 (4,215,144) 5,851,133 (5,266,535) 13,434,342 (18,192,081)
- ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------
(670,279) (813,653) (72,626) (196,329) -- (82,291) (437,145) (1,120,901)
(103,652) (134,733) (22,829) (41,160) -- (16,358) (6,203) (17,872)
-- (1,975) (528) (1,763) -- (1,249) (50) (3,667)
-- (673) (805) (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)
- ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------
(773,931) (14,289,479) (96,788) (241,615) -- (190,177) (443,398) (1,166,222)
- ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------
(35,755,412) (52,407,403) (2,717,142) (6,301,907) 2,593,370 (4,264,592) (17,249,806) (2,523,165)
- ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------
(11,840,632) (172,515,299) (2,001,616) (10,758,666) 8,444,503 (9,721,304) (4,258,862) (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
- ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------
$294,243,760 $ 306,084,392 $ 7,322,318 $ 9,323,934 $36,718,130 $28,273,627 $ 63,222,358 $ 67,481,220
============ ============= =========== ============ =========== =========== ============ ============
$ 326,830 $ 773,474 $ 7,144 $ 4,032 $ 104,349 $ 51,271 $ 23,535 $ 297,789
============ ============= =========== ============ =========== =========== ============ ============
See notes to financial statements.
111
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
DISCIPLINED
ALL CAP VALUE LARGE CAP VALUE
------------------------------ ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ -------------- ------------ ------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,356,997 $ 2,801,988 $ 5,429,328 $ 8,585,632
Net realized gains/(losses) on investment and
foreign currency transactions 2,528,833 (40,793,430) (5,500,460) (111,466,740)
Net realized gains/(losses) on futures transactions -- -- -- --
Net change in unrealized appreciation/(depreciation) on
investment, futures, swaps and foreign currency transactions 11,629,827 (19,016,994) 35,907,658 (7,681,588)
------------ ------------- ----------- ------------
Change in net assets resulting from operations 15,515,657 (57,008,436) 35,836,526 (110,562,696)
------------ ------------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (968,813) (2,322,599) (4,858,389) (9,528,516)
Class A Shares (312,275) (662,989) (137,632) (318,302)
Class B Shares (16,412) (141,121) (8,078) (51,229)
Class C Shares (10,449) (81,413) (3,354) (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 (1,307,949) (15,656,160) (5,007,453) (16,324,241)
------------ ------------- ----------- ------------
Change in net assets from Fund share transactions (25,161,788) (28,684,331) (8,892,167) (61,428,189)
------------ ------------- ----------- ------------
Change in net assets (10,954,080) (101,348,927) 21,936,906 (188,315,126)
NET ASSETS:
Beginning of period 141,441,688 242,790,615 322,137,679 510,452,805
------------ ------------- ----------- ------------
End of period $130,487,608 $ 141,441,688 $344,074,585 $ 322,137,679
============ ============= ============ =============
Accumulated net investment income/(loss) $ 58,666 $ 44,064 $ 511,351 $ 115,174
============ ============= ============ =============
See notes to financial statements.
112
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME
- ---------------------------- ---------------------------- ------------------------------ ----------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
$ 825,859 $ 1,505,793 $ 5,009,917 $ 6,039,613 $ 5,416,984 $ 7,531,396 $ 4,867,857 $ 6,036,212
(865,762) (46,428,578) 11,320,404 2,026,937 (5,316,159) (147,743,914) (10,862,669) (8,574,686)
648,758 (324,340) 1,581,425 (1,956,017) 527,091 (1,806,080) 381,659 2,279,929
8,909,224 (6,292,012) 18,119,289 (76,773,100) 10,115,634 23,614,007 22,108,887 (4,038,633)
- ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
9,518,079 (51,539,137) 36,031,035 (70,662,567) 10,743,550 (118,404,591) 16,495,734 (4,297,178)
- ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
(758,506) (2,087,267) (2,687,145) (3,568,905) (7,370,433) (6,743,508) (4,621,960) (5,089,269)
(45,487) (177,656) (620,108) (1,010,745) (347,655) (311,114) (1,188,095) (819,367)
(782) (7,622) (14,617) (39,152) (24,568) (15,149) (50,811) (49,786)
(49) (736) (8,248) (23,517) (9,905) (7,216) (663,401) (512,601)
NA NA (166,212) (230,309) NA NA NA NA
NA NA (765,056) (1,092,118) NA NA NA NA
NA NA (491,361) (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
- ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
(804,824) (2,273,281) (4,752,747) (6,779,041) (7,752,561) (51,420,610) (6,524,267) (6,563,483)
- ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
(5,302,269) (14,200,976) (24,625,372) (7,288,786) (9,089,906) (27,148,779) 21,395,293 (23,171,117)
- ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
3,410,986 (68,013,394) 6,652,916 (84,730,394) (6,098,917) (196,973,980) 31,366,760 (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
- ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
$82,206,238 $ 78,795,252 $273,428,106 $266,775,190 $240,978,811 $ 247,077,728 $113,500,572 $ 82,133,812
=========== ============ ============ ============ ============ ============= ============ ============
$ (114,577) $ 193,580 $ 515,236 $ 265,527 $ 5,203,861 $ 7,006,886 $ (405,349) $ 1,179,028
=========== ============ ============ ============ ============ ============= ============ ============
See notes to financial statements.
113
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
AGGRESSIVE(SM) MODERATELY AGGRESSIVE(SM)
------------------------------- ---------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ ------------ ------------ ------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,428,616 $ 2,332,101 $ 3,654,670 $ 5,735,787
Net realized gains/(losses) on investment transactions (8,176,294)(+) (8,137,540)(+) (15,621,783)(+) (10,157,710)(+)
Realized gain distributions from underlying funds -- 7,564,541(+) -- 9,992,074(+)
Net change in unrealized appreciation/(depreciation)
on investment transactions 18,039,616 (41,114,152) 30,860,782 (57,647,868)
------------ ------------ ------------ ------------
Change in net assets resulting from operations 11,291,938 (39,355,050) 18,893,669 (52,077,717)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (1,097,085) (2,064,758) (2,318,425) (4,255,438)
Class A Shares (315,696) (746,554) (1,179,138) (2,548,105)
Class B Shares (58,076) (171,246) (291,455) (919,596)
Class C Shares (9,260) (30,198) (34,027) (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 (111,638) (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 (3,117,492) (17,456,255) (4,711,649) (27,127,713)
------------ ------------ ------------ ------------
Change in net assets from Fund share transactions (13,556,789) 2,684,368 (35,239,893) 2,543,244
------------ ------------ ------------ ------------
Change in net assets (5,382,343) (54,126,937) (21,057,873) (76,662,186)
NET ASSETS:
Beginning of period 114,131,162 168,258,099 206,582,140 283,244,326
------------ ------------ ------------ ------------
End of period $108,748,819 $114,131,162 $185,524,267 $206,582,140
============ ============ ============ ============
Accumulated net investment income/(loss) $ -- $ 38,503 $ 95,668 $ 263,875
============ ============ ============ ============
- ----------------------------
(+) Represents realized (losses) from investment transactions with affiliates.
See notes to financial statements.
114
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL LIFEMODEL
MODERATE(SM) MODERATELY CONSERVATIVE(SM) CONSERVATIVE(SM) HIGH YIELD BOND
- ------------------------------ ----------------------------- ------------------------------ --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 7,097,234 $ 12,041,389 $ 1,667,219 $ 2,455,945 $ 1,433,528 $ 1,950,812 $ 4,060,962 $ 4,130,894
(28,779,913)(+) (13,160,528)(+) (3,442,427)(+) (2,836,243)(+) (2,458,751)(+) (724,049)(+) 847,511 (3,918,400)
-- 10,871,978(+) -- 1,648,859(+) -- 484,257(+) -- --
48,852,320 (62,798,838) 7,580,436 (9,655,094) 4,894,486 (4,315,948) 4,408,684 1,908,066
- ------------ ------------ ----------- ------------ ----------- ----------- ----------- -----------
27,169,641 (53,045,999) 5,805,228 (8,386,533) 3,869,263 (2,604,928) 9,317,157 2,120,560
- ------------ ------------ ----------- ------------ ----------- ----------- ----------- -----------
(6,032,872) (11,830,593) (1,119,730) (1,749,146) (1,001,360) (1,342,653) (3,662,065) (4,080,098)
(1,132,381) (2,274,819) (439,489) (846,815) (341,650) (507,006) (324,434) (80,278)
(337,969) (846,042) (157,247) (377,208) (122,335) (250,969) (5,754) (8,144)
(47,248) (114,567) (21,559) (58,310) (38,240) (77,632) (59,149) (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) -- --
- ------------ ------------ ----------- ------------ ----------- ----------- ----------- -----------
(7,550,470) (33,766,129) (1,738,025) (6,880,145) (1,503,585) (2,996,221) (4,051,402) (4,177,451)
- ------------ ------------ ----------- ------------ ----------- ----------- ----------- -----------
(93,750,965) (3,351,021) (9,666,107) (6,910,560) (7,061,608) (1,367,609) (864,337) 3,453,354
- ------------ ------------ ----------- ------------ ----------- ----------- ----------- -----------
(74,131,794) (90,163,149) (5,598,904) (22,177,238) (4,695,930) (6,968,758) 4,401,418 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
- ------------ ------------ ----------- ------------ ----------- ----------- ----------- -----------
$255,815,102 $329,946,896 $56,479,104 $ 62,078,008 $38,961,556 $43,657,486 $56,426,235 $52,024,817
============ ============ =========== ============ =========== =========== =========== ===========
$ 362,140 $ 814,893 $ 92,062 $ 162,773 $ 95,391 $ 165,388 $ 48,577 $ 28,425
============ ============ =========== ============ =========== =========== =========== ===========
See notes to financial statements.
115
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
TOTAL RETURN BOND SHORT TERM BOND
------------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------- ------------- ------------ ------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 14,791,313 $ 25,025,537 $ 5,984,834 $ 8,207,134
Net realized gains/(losses) on investment and
foreign currency transactions (23,601,658) (33,876,658) 402,381 1,245,696
Net realized gains on futures transactions 1,511,743 809,398 101,297 1,213,775
Net change in unrealized appreciation/(depreciation) on
investment, futures, swaps and foreign currency transactions 46,780,186 (4,145,602) 6,548,875 (1,986,398)
------------- ------------- ------------ ------------
Change in net assets resulting from operations 39,481,584 (12,187,325) 13,037,387 8,680,207
------------- ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (15,991,721) (24,645,395) (5,847,660) (8,194,578)
Class A Shares (719,728) (935,295) (346,310) (214,515)
Class B Shares (100,475) (152,861) NA NA
Class C Shares (30,279) (39,308) (72,659) (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 (16,842,203) (25,772,859) (6,266,629) (8,419,898)
------------- ------------- ------------ ------------
Change in net assets from Fund share transactions (135,395,426) (141,182,721) 47,594,801 (17,194,626)
------------- ------------- ------------ ------------
Change in net assets (112,756,045) (179,142,905) 54,365,559 (16,934,317)
NET ASSETS:
Beginning of period 405,919,677 585,062,582 232,139,771 249,074,088
------------- ------------- ------------ ------------
End of period $ 293,163,632 $ 405,919,677 $286,505,330 $232,139,771
============= ============= ============ ============
Accumulated net investment income/(loss) $ 104,203 $ (188,156) $ 184,019 $ 130,495
============= ============= ============ ============
See notes to financial statements.
116
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117
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH MID CAP GROWTH
---------------------------- ------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ ------------ -------------- -------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 2,072,730 $ 6,418,659 $ 2,205,080 $ 11,115,449
Dividends reinvested -- -- -- 15,715,482
Shares redeemed (15,863,669) (12,100,810) (28,482,222) (77,863,957)
------------ ------------ -------------- ------------
Total Institutional Shares (13,790,939) (5,682,151) (26,277,142) (51,033,026)
------------ ------------ -------------- ------------
Class A Shares
Shares issued 541,369 319,591 1,417,554 1,090,004
Dividends reinvested -- -- -- 2,164,827
Shares redeemed (1,145,428) (1,627,560) (3,316,747) (4,055,370)
------------ ------------ -------------- ------------
Total Class A Shares (604,059) (1,307,969) (1,899,193) (800,539)
------------ ------------ -------------- ------------
Class B Shares
Shares issued -- 3,610 14,964 7,274
Dividends reinvested -- -- -- 462,901
Shares redeemed (274,056) (113,155) (1,100,283) (1,098,021)
------------ ------------ -------------- ------------
Total Class B Shares (274,056) (109,545) (1,085,319) (627,846)
------------ ------------ -------------- ------------
Class C Shares
Shares issued 32,800 37,343 15,469 48,884
Dividends reinvested -- -- -- 80,262
Shares redeemed (181,550) (12,627) (199,991) (199,737)
------------ ------------ -------------- ------------
Total Class C Shares (148,750) 24,716 (184,522) (70,591)
------------ ------------ -------------- ------------
Change from capital transactions $(14,817,804) $ (7,074,949) $ (29,446,176) $(52,532,002)
============ ============ ============== ============
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 301,372 1,040,498 265,594 1,293,847
Dividends reinvested -- -- -- 2,742,667
Shares redeemed (2,315,606) (2,188,661) (3,465,929) (10,277,404)
------------ ------------ -------------- ------------
Total Institutional Shares (2,014,234) (1,148,163) (3,200,335) (6,240,890)
------------ ------------ -------------- ------------
Class A Shares
Shares issued 84,780 63,858 180,019 167,708
Dividends reinvested -- -- -- 397,216
Shares redeemed (179,956) (313,785) (426,984) (605,853)
------------ ------------ -------------- ------------
Total Class A Shares (95,176) (249,927) (246,965) (40,929)
------------ ------------ -------------- ------------
Class B Shares
Shares issued -- 705 2,133 1,384
Dividends reinvested -- -- -- 94,470
Shares redeemed (47,120) (23,793) (158,265) (185,976)
------------ ------------ -------------- ------------
Total Class B Shares (47,120) (23,088) (156,132) (90,122)
------------ ------------ -------------- ------------
Class C Shares
Shares issued 5,855 8,920 2,444 8,094
Dividends reinvested -- -- -- 17,524
Shares redeemed (32,450) (2,843) (30,802) (31,544)
------------ ------------ -------------- ------------
Total Class C Shares (26,595) 6,077 (28,358) (5,926)
------------ ------------ -------------- ------------
Change from capital transactions (2,183,125) (1,415,101) (3,631,790) (6,377,867)
============ ============ ============== ==========
See notes to financial statements.
118
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
QUALITY GROWTH DIVIDEND GROWTH MICRO CAP VALUE SMALL CAP VALUE
- ------------------------------ --------------------------- --------------------------- -----------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ -------------
$ 44,658,382 $ 27,073,941 $ 119,826 $ 930,942 $ 7,740,012 $ 4,684,500 $ 8,553,273 $ 14,612,223
514,729 10,804,109 37,528 57,911 -- 122,993 358,893 830,143
(68,160,882) (79,391,844) (2,507,900) (6,926,524) (7,375,958) (6,923,650) (27,173,421) (17,960,522)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(22,987,771) (41,513,794) (2,350,546) (5,937,671) 364,054 (2,116,157) (18,261,255) (2,518,156)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
3,737,753 3,372,392 98,235 126,801 8,166,787 1,749,740 1,342,082 587,156
94,243 2,472,412 20,672 38,242 -- 31,711 4,890 14,466
(11,838,172) (12,207,454) (420,999) (461,655) (5,790,067) (3,322,987) (602,863) (626,936)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(8,006,176) (6,362,650) (302,092) (296,612) 2,376,720 (1,541,536) 744,109 (25,314)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
21,508 20,776 39,672 28,855 15,604 6,174 9,045 21,423
-- 404,610 390 1,364 -- 8,327 43 3,281
(4,151,370) (4,504,541) (97,172) (80,015) (1,288,588) (604,084) (114,657) (92,963)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(4,129,862) (4,079,155) (57,110) (49,796) (1,272,984) (589,583) (105,569) (68,259)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
129,936 112,846 6,040 7,256 1,727,363 345,691 528,529 203,264
-- 80,030 680 2,038 -- 4,119 -- 2,269
(761,539) (644,680) (14,114) (27,122) (601,783) (367,126) (155,620) (116,969)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(631,603) (451,804) (7,394) (17,828) 1,125,580 (17,316) 372,909 88,564
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
$(35,755,412) $ (52,407,403) $ (2,717,142) $ (6,301,907) $ 2,593,370 $ (4,264,592) $(17,249,806) $ (2,523,165)
============ ============== ============ ============ =========== ============ ============ ============
3,196,783 2,219,897 5,901 57,388 2,050,824 1,665,832 528,233 1,124,149
36,096 1,007,311 1,881 3,147 -- 44,842 22,529 73,071
(4,994,965) (6,592,569) (131,438) (377,370) (2,008,471) (2,382,257) (1,744,014) (1,433,005)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(1,762,086) (3,365,361) (123,656) (316,835) 42,353 (671,583) (1,193,252) (235,785)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
283,474 307,814 5,124 7,594 2,398,008 670,372 81,304 44,281
6,800 237,444 1,057 2,109 -- 13,694 310 1,286
(891,015) (1,056,033) (21,495) (26,090) (1,678,691) (1,220,126) (38,431) (49,863)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(600,741) (510,775) (15,314) (16,387) 719,317 (536,060) 43,183 (4,296)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
1,775 1,970 2,221 1,854 5,392 2,095 647 1,820
-- 41,585 21 74 -- 3,993 3 303
(338,462) (427,488) (5,036) (5,371) (411,777) (250,499) (7,779) (9,124)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(336,687) (383,933) (2,794) (3,443) (406,385) (244,411) (7,129) (7,001)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
11,659 9,695 325 496 552,934 140,725 33,001 16,407
-- 8,505 37 118 -- 1,976 -- 210
(64,284) (59,216) (770) (1,793) (200,440) (162,966) (10,503) (9,148)
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(52,625) (41,016) (408) (1,179) 352,494 (20,265) 22,498 7,469
- ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------
(2,752,139) (4,301,085) (142,172) (337,844) 707,779 (1,472,319) (1,134,700) (239,613)
============ ============== ============ ============ =========== ============ ============ ============
See notes to financial statements.
119
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
DISCIPLINED
ALL CAP VALUE LARGE CAP VALUE
------------------------------ ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ -------------- ------------ -------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 16,121,009 $ 10,237,700 $ 88,159,186 $ 49,717,152
Dividends reinvested 697,602 9,970,038 2,751,348 11,015,883
Shares redeemed (33,553,538) (42,308,602) (97,340,727) (118,271,630)
------------ -------------- ------------ -------------
Total Institutional Shares (16,734,927) (22,100,864) (6,430,193) (57,538,595)
------------ -------------- ------------ -------------
Class A Shares
Shares issued 12,330,900 7,821,432 1,828,983 2,372,844
Dividends reinvested 259,198 2,716,384 122,374 474,938
Shares redeemed (13,601,105) (14,520,253) (3,251,984) (5,270,092)
------------ -------------- ------------ -------------
Total Class A Shares (1,011,007) (3,982,437) (1,300,627) (2,422,310)
------------ -------------- ------------ -------------
Class B Shares
Shares issued 119,089 34,875 64,868 44,386
Dividends reinvested 15,221 899,625 6,621 84,877
Shares redeemed (5,978,670) (2,722,369) (960,304) (1,004,917)
------------ -------------- ------------ -------------
Total Class B Shares (5,844,360) (1,787,869) (888,815) (875,654)
------------ -------------- ------------ -------------
Class C Shares
Shares issued 342,213 1,166,775 73,749 67,881
Dividends reinvested 5,625 247,016 1,820 21,192
Shares redeemed (1,919,332) (2,226,952) (348,101) (680,703)
------------ -------------- ------------ -------------
Total Class C Shares (1,571,494) (813,161) (272,532) (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 $(25,161,788) $ (28,684,331) $ (8,892,167) $ (61,428,189)
============ ============== ============ =============
See notes to financial statements.
120
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME
- ---------------------------- ---------------------------- ------------------------------ --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
$ 5,104 $ 67,753 $ 43,266,406 $ 65,565,256 $ 42,020,493 $ 24,506,724 $ 32,416,332 $ 20,533,451
697,372 1,797,417 2,397,386 3,204,806 5,885,297 46,586,794 630,186 638,453
(4,647,856) (13,832,544) (54,940,284) (59,677,149) (54,689,066) (97,228,310) (18,803,382) (42,984,155)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(3,945,380) (11,967,374) (9,276,492) 9,092,913 (6,783,276) (26,134,792) 14,243,136 (21,812,251)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
88,297 77,435 10,113,396 11,104,896 2,426,126 975,859 9,067,430 3,139,777
42,664 168,301 599,708 977,174 322,237 2,246,616 752,488 576,407
(1,361,156) (2,365,487) (19,979,852) (14,261,713) (4,553,560) (3,788,133) (5,504,354) (4,202,885)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(1,230,195) (2,119,751) (9,266,748) (2,179,643) (1,805,197) (565,658) 4,315,564 (486,701)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
16,174 -- 37,512 11,404 25,475 24,933 46,809 43,795
552 5,018 12,710 32,917 17,500 159,815 24,830 24,986
(167,800) (101,749) (905,136) (389,563) (470,608) (567,120) (195,295) (211,271)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(151,074) (96,731) (854,914) (345,242) (427,633) (382,372) (123,656) (142,490)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
38,174 11,299 301,384 721,303 12,974 18,796 4,651,725 1,121,295
16 237 5,964 19,116 8,822 71,937 477,313 381,784
(13,810) (28,656) (885,656) (783,330) (95,596) (156,690) (2,168,789) (2,232,754)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
24,380 (17,120) (578,308) (42,911) (73,800) (65,957) 2,960,249 (729,675)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 1,593,996 2,749,243 NA NA NA NA
NA NA 135,552 183,033 NA NA NA NA
NA NA (3,774,743) (2,040,830) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA (2,045,195) 891,446 NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 18,090,698 19,094,649 NA NA NA NA
NA NA 734,972 1,045,835 NA NA NA NA
NA NA (22,680,902) (20,332,697) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA (3,855,232) (192,213) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 7,603,385 818,301 NA NA NA NA
NA NA 167,312 168,050 NA NA NA NA
NA NA (6,519,180) (15,499,487) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 1,251,517 (14,513,136) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
$ (5,302,269) $(14,200,976) $(24,625,372) $ (7,288,786) $ (9,089,906) $ (27,148,779) $ 21,395,293 $(23,171,117)
============ ============ ============ ============ ============ ============== ============ ============
See notes to financial statements.
121
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
DISCIPLINED
ALL CAP VALUE LARGE CAP VALUE
------------------------------ ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ -------------- ------------ -------------
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 1,149,670 774,848 9,159,830 6,216,790
Dividends reinvested 49,823 905,857 290,640 1,354,418
Shares redeemed (2,421,387) (3,401,904) (10,330,448) (13,935,660)
------------ -------------- ------------ ------------
Total Institutional Shares (1,221,894) (1,721,199) (879,978) (6,364,452)
------------ -------------- ------------ ------------
Class A Shares
Shares issued 893,487 689,081 194,737 306,746
Dividends reinvested 18,849 249,029 12,958 57,608
Shares redeemed (996,795) (1,211,285) (345,755) (622,456)
------------ -------------- ------------ ------------
Total Class A Shares (84,459) (273,175) (138,060) (258,102)
------------ -------------- ------------ ------------
Class B Shares
Shares issued 8,860 3,080 7,007 5,313
Dividends reinvested 1,179 87,524 691 10,164
Shares redeemed (454,862) (233,095) (100,297) (124,246)
------------ -------------- ------------ ------------
Total Class B Shares (444,823) (142,491) (92,599) (108,769)
------------ -------------- ------------ ------------
Class C Shares
Shares issued 26,735 98,272 7,907 7,735
Dividends reinvested 434 24,066 195 2,557
Shares redeemed (148,845) (196,851) (37,525) (73,078)
------------ -------------- ------------ ------------
Total Class C Shares (121,676) (74,513) (29,423) (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 (1,872,852) (2,211,378) (1,140,060) (6,794,109)
============ ============== ============= ============
See notes to financial statements.
122
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME
- ---------------------------- ---------------------------- ------------------------------ --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
553 2,021 2,063,306 3,715,164 5,445,236 3,479,441 3,309,056 2,403,301
69,639 178,373 114,010 175,320 761,358 7,729,437 65,176 81,968
(475,947) (1,246,923) (2,632,684) (3,372,663) (7,203,423) (13,322,716) (1,955,096) (5,502,079)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(405,755) (1,066,529) (455,368) 517,821 (996,829) (2,113,838) 1,419,136 (3,016,810)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
9,141 4,845 484,122 642,151 316,434 137,136 933,700 387,652
4,330 16,498 28,634 53,309 41,687 373,101 78,150 73,496
(139,309) (254,555) (956,235) (795,179) (588,060) (536,206) (566,040) (538,025)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(125,838) (233,212) (443,479) (99,719) (229,939) (25,969) 445,810 (76,877)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
1,711 -- 1,818 498 3,380 3,766 4,822 6,113
59 479 605 1,775 2,315 27,360 2,587 3,192
(17,264) (11,508) (43,012) (22,246) (64,494) (75,373) (20,278) (28,113)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(15,494) (11,029) (40,589) (19,973) (58,799) (44,247) (12,869) (18,808)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
3,832 1,088 14,788 42,082 1,817 2,809 482,004 142,340
2 23 286 1,029 1,219 12,797 50,053 49,270
(1,430) (3,851) (43,440) (43,656) (13,383) (22,064) (225,635) (288,533)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
2,404 (2,740) (28,366) (545) (10,347) (6,458) 306,422 (96,923)
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 77,040 159,659 NA NA NA NA
NA NA 6,451 10,055 NA NA NA NA
NA NA (180,567) (115,641) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA (97,076) 54,073 NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 864,196 1,059,894 NA NA NA NA
NA NA 34,899 57,044 NA NA NA NA
NA NA (1,079,920) (1,182,985) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA (180,825) (66,047) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 371,468 47,318 NA NA NA NA
NA NA 7,884 8,792 NA NA NA NA
NA NA (315,311) (837,000) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
NA NA 64,041 (780,890) NA NA NA NA
- ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------
(544,683) (1,313,510) (1,181,662) (395,280) (1,295,914) (2,190,512) 2,158,499 (3,209,418)
============ ============ ============ ============ ============ ============== ============ ============
See notes to financial statements.
123
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL
AGGRESSIVE(SM) MODERATELY AGGRESSIVE(SM)
------------------------------ --------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 17,755,836 $ 21,584,414 $ 20,207,462 $ 29,733,716
Dividends reinvested 2,193,392 11,244,980 2,666,135 13,749,962
Shares redeemed (26,309,200) (28,032,959) (39,860,711) (30,309,711)
------------ ------------ ------------ ------------
Total Institutional Shares (6,359,972) 4,796,435 (16,987,114) 13,173,967
------------ ------------ ------------ ------------
Class A Shares
Shares issued 3,052,723 3,481,057 17,824,534 6,082,272
Dividends reinvested 642,542 4,185,747 1,327,800 8,001,053
Shares redeemed (8,868,044) (9,041,044) (31,248,778) (20,599,240)
------------ ------------ ------------ ------------
Total Class A Shares (5,172,779) (1,374,240) (12,096,444) (6,515,915)
------------ ------------ ------------ ------------
Class B Shares
Shares issued 15,708 115,932 81,246 383,209
Dividends reinvested 156,117 1,203,777 371,915 3,359,249
Shares redeemed (1,954,170) (1,998,602) (6,000,637) (6,850,571)
------------ ------------ ------------ ------------
Total Class B Shares (1,782,345) (678,893) (5,547,476) (3,108,113)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 58,901 143,905 281,007 209,351
Dividends reinvested 22,786 195,006 39,611 393,456
Shares redeemed (323,380) (397,845) (929,477) (1,609,502)
------------ ------------ ------------ ------------
Total Class C Shares (241,693) (58,934) (608,859) (1,006,695)
------------ ------------ ------------ ------------
Change from capital transactions $(13,556,789) $ 2,684,368 $(35,239,893) $ 2,543,244
============ ============ ============ ============
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 1,884,239 2,562,091 2,061,211 3,298,709
Dividends reinvested 232,177 1,452,831 272,054 1,659,510
Shares redeemed (2,803,959) (3,176,308) (4,099,714) (3,404,777)
------------ ------------ ------------ ------------
Total Institutional Shares (687,543) 838,614 (1,766,449) 1,553,442
------------ ------------ ------------ ------------
Class A Shares
Shares issued 324,047 414,457 1,796,634 708,697
Dividends reinvested 68,483 544,811 135,429 967,295
Shares redeemed (949,548) (1,042,412) (3,155,917) (2,243,406)
------------ ------------ ------------ ------------
Total Class A Shares (557,018) (83,144) (1,223,854) (567,414)
------------ ------------ ------------ ------------
Class B Shares
Shares issued 1,726 15,885 8,444 43,127
Dividends reinvested 17,260 162,756 38,216 412,201
Shares redeemed (215,135) (242,929) (620,721) (766,758)
------------ ------------ ------------ ------------
Total Class B Shares (196,149) (64,288) (574,061) (311,430)
------------ ------------ ------------ ------------
Class C Shares
Shares issued 6,531 14,474 28,371 24,117
Dividends reinvested 2,521 26,401 4,067 48,280
Shares redeemed (36,277) (51,233) (96,673) (176,420)
------------ ------------ ------------ ------------
Total Class C Shares (27,225) (10,358) (64,235) (104,023)
------------ ------------ ------------ ------------
Change from capital transactions (1,467,935) 680,824 (3,628,599) 570,575
============ ============ ============ ============
See notes to financial statements.
124
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
- ----------------------------- ----------------------------- ------------------------------ ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009 2010 2009
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 29,308,561 $ 46,521,777 $ 7,311,360 $ 10,419,494 $ 9,312,321 $ 11,051,704 $ 32,102,783 $ 9,054,518
5,918,123 25,775,707 1,064,811 3,692,672 990,752 1,778,305 1,423,518 1,917,597
(112,859,457) (62,264,457) (13,218,920) (13,971,331) (14,685,122) (11,134,755) (31,831,214) (11,403,874)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(77,632,773) 10,033,027 (4,842,749) 140,835 (4,382,049) 1,695,254 1,695,087 (431,759)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
4,057,029 4,328,467 1,582,428 2,291,596 1,277,524 1,943,298 7,635,221 4,515,792
1,027,393 4,788,302 395,547 1,773,109 312,322 645,185 61,323 12,331
(16,620,075) (17,066,319) (4,885,902) (7,811,954) (2,438,919) (4,109,003) (11,505,402) (594,558)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(11,535,653) (7,949,550) (2,907,927) (3,747,249) (849,073) (1,520,520) (3,808,858) 3,933,565
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
187,288 463,146 5,800 243,511 51,805 660,773 43,933 11,331
302,290 1,924,453 137,687 875,634 101,481 302,218 1,402 2,708
(4,899,318) (7,116,870) (1,722,601) (4,012,016) (1,476,725) (2,279,776) (33,541) (67,129)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(4,409,740) (4,729,271) (1,579,114) (2,892,871) (1,323,439) (1,316,785) 11,794 (53,090)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
268,339 99,628 21,004 42,756 23,933 175,194 1,265,315 9,991
39,735 246,826 17,980 112,112 28,552 86,872 33,913 2,507
(480,873) (1,051,681) (375,301) (566,143) (559,532) (487,624) (61,588) (7,860)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(172,799) (705,227) (336,317) (411,275) (507,047) (225,558) 1,237,640 4,638
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ (93,750,965) $ (3,351,021) $ (9,666,107) $ (6,910,560) $ (7,061,608) $ (1,367,609) $ (864,337) $ 3,453,354
============= ============ ============ ============ ============ ============ ============ ============
3,067,058 5,247,730 827,668 1,278,141 1,020,200 1,295,159 3,421,251 1,212,995
621,892 3,095,839 121,022 476,626 109,223 214,300 152,926 256,877
(11,991,192) (7,026,668) (1,502,450) (1,660,866) (1,613,287) (1,295,659) (3,418,401) (1,520,323)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(8,302,242) 1,316,901 (553,760) 93,901 (483,864) 213,800 155,776 (50,451)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
425,461 500,906 178,890 287,646 140,225 220,013 832,629 569,706
107,930 575,526 45,025 229,087 34,488 77,756 6,564 1,634
(1,741,987) (1,923,691) (556,570) (924,852) (266,887) (471,212) (1,230,704) (82,686)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(1,208,596) (847,259) (332,655) (408,119) (92,174) (173,443) (391,511) 488,654
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
19,754 52,159 661 28,682 5,837 78,856 4,699 1,385
31,893 233,412 15,717 113,791 11,253 36,666 150 356
(516,132) (811,344) (196,721) (493,623) (163,020) (266,799) (3,609) (10,205)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(464,485) (525,773) (180,343) (351,150) (145,930) (151,277) 1,240 (8,464)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
27,975 11,388 2,327 5,514 2,622 21,157 136,094 1,202
4,190 29,904 2,051 14,554 3,160 10,533 3,609 337
(51,188) (119,771) (42,839) (69,064) (62,878) (54,920) (6,488) (1,000)
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(19,023) (78,479) (38,461) (48,996) (57,096) (23,230) 133,215 539
- ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(9,994,346) (134,610) (1,105,219) (714,364) (779,064) (134,150) (101,280) 430,278
============= ============ ============ ============ ============ ============ ============ ============
See notes to financial statements.
125
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
TOTAL RETURN BOND SHORT TERM BOND
------------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009
------------- ------------- ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Shares
Shares issued $ 21,481,489 $ 19,208,925 $105,539,821 $ 48,552,815
Dividends reinvested 11,764,448 17,544,398 2,773,302 4,464,621
Shares redeemed (165,701,764) (173,512,167) (85,375,561) (70,105,875)
------------- ------------- ------------ ------------
Total Institutional Shares (132,455,827) (136,758,844) 22,937,562 (17,088,439)
------------- ------------- ------------ ------------
Class A Shares
Shares issued 2,119,658 1,316,714 33,923,197 2,357,106
Dividends reinvested 582,431 752,674 223,449 179,092
Shares redeemed (4,430,450) (5,455,646) (18,764,483) (3,333,529)
------------- ------------- ------------ ------------
Total Class A Shares (1,728,361) (3,386,258) 15,382,163 (797,331)
------------- ------------- ------------ ------------
Class B Shares
Shares issued 294,023 833,950 NA NA
Dividends reinvested 71,727 112,499 NA NA
Shares redeemed (1,642,970) (1,273,235) NA NA
------------- ------------- ------------ ------------
Total Class B Shares (1,277,220) (326,786) NA NA
------------- ------------- ------------ ------------
Class C Shares
Shares issued 192,416 50,745 9,642,820 720,627
Dividends reinvested 29,588 36,850 42,593 4,438
Shares redeemed (156,022) (798,428) (410,337) (33,921)
------------- ------------- ------------ ------------
Total Class C Shares 65,982 (710,833) 9,275,076 691,144
------------- ------------- ------------ ------------
Change from capital transactions $(135,395,426) $(141,182,721) $ 47,594,801 $(17,194,626)
============= ============= ============ ============
SHARE TRANSACTIONS:
Institutional Shares
Shares issued 2,437,747 2,297,103 11,116,718 5,307,102
Dividends reinvested 1,341,405 2,120,776 292,734 492,093
Shares redeemed (18,916,805) (20,679,055) (8,984,161) (7,703,125)
------------- ------------- ------------ ------------
Total Institutional Shares (15,137,653) (16,261,176) 2,425,291 (1,903,930)
------------- ------------- ------------ ------------
Class A Shares
Shares issued 241,518 158,575 3,582,327 257,999
Dividends reinvested 66,366 91,019 23,551 19,746
Shares redeemed (505,394) (657,156) (1,978,057) (366,103)
------------- ------------- ------------ ------------
Total Class A Shares (197,510) (407,562) 1,627,821 (88,358)
------------- ------------- ------------ ------------
Class B Shares
Shares issued 33,642 100,422 NA NA
Dividends reinvested 8,170 13,605 NA NA
Shares redeemed (186,466) (154,043) NA NA
------------- ------------- ------------ ------------
Total Class B Shares (144,654) (40,016) NA NA
------------- ------------- ------------ ------------
Class C Shares
Shares issued 21,610 6,026 1,018,756 79,265
Dividends reinvested 3,365 4,449 4,494 487
Shares redeemed (17,765) (91,543) (43,159) (3,746)
------------- ------------- ------------ ------------
Total Class C Shares 7,210 (81,068) 980,091 76,006
------------- ------------- ------------ ------------
Change from capital transactions (15,472,607) (16,789,822) 5,033,203 (1,916,282)
============= ============= ============ ============
See notes to financial statements.
126
FIFTH THIRD FUNDS
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
STRUCTURED
LARGE CAP
PLUS
-------------
INCREASE (DECREASE) IN CASH:
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets from operations $ 9,518,079
ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS
FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:
Purchases of long-term securities (100,517,268)
Proceeds from sales of long-term securities 97,871,530
Purchase of short-term investment securities, net 868,829
Proceeds from securities sold short 49,762,640
Buys to cover for securities sold short (43,075,229)
Decrease in deposits with brokers for futures contracts 112,500
Increase in dividends receivable (36,165)
Increase in other assets (1,985)
Proceeds from futures transactions 455,915
Decrease in payable for investments purchased (711)
Increase in payable to Advisor 1,959
Decrease in distribution and administrative servicing fee payable (198)
Decrease dividends payable on securities sold short (27,095)
Decrease in other liabilities (10,821)
Unrealized depreciation on investments (8,909,224)
Net realized loss on investments 216,799
-------------
Net cash received from operating activities 6,229,555
-------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid (64,220)
Proceeds from shares sold 147,820
Payment on shares redeemed (6,280,666)
-------------
Net cash used for financing activities (6,197,066)
-------------
NET INCREASE IN CASH 32,489
CASH AND FOREIGN CURRENCY:
Beginning of year --
-------------
End of year $ 32,489
=============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Interest paid $ 206,016
Noncash financing activities not included herein consist of reinvestment of
dividends of $740,604.
See notes to financial statements.
127
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
Year ended 7/31/10 $ 6.08 (0.03)[DELTA] 0.99 0.96 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH CLASS A SHARES
Year ended 7/31/10 $ 5.66 (0.04)[DELTA] 0.92 0.88 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH CLASS B SHARES
Year ended 7/31/10 $ 5.15 (0.08)[DELTA] 0.84 0.76 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH CLASS C SHARES
Year ended 7/31/10 $ 5.16 (0.08)[DELTA] 0.82 0.74 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH INSTITUTIONAL SHARES
Year ended 7/31/10 $ 7.34 (0.02)[DELTA] 1.34 1.32 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH CLASS A SHARES
Year ended 7/31/10 $ 6.96 (0.04)[DELTA] 1.28 1.24 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH CLASS B SHARES
Year ended 7/31/10 $ 6.24 (0.09)[DELTA] 1.13 1.04 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH CLASS C SHARES
Year ended 7/31/10 $ 5.82 (0.08)[DELTA] 1.06 0.98 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
128
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
-- $ 7.04 15.79% $ 35,914 1.25% 1.01% (0.45)% 86%
-- $ 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%
- ------------------------------------------------------------------------------------------------------
-- $ 6.54 15.55% $ 7,036 1.50% 1.26% (0.69)% 86%
-- $ 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%
- ------------------------------------------------------------------------------------------------------
-- $ 5.91 14.76% $ 351 2.25% 2.01% (1.46)% 86%
-- $ 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%
- ------------------------------------------------------------------------------------------------------
-- $ 5.90 14.34% $ 111 2.25% 2.01% (1.44)% 86%
-- $ 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%
- ------------------------------------------------------------------------------------------------------
-- $ 8.66 17.98% $ 68,705 1.23% 0.89% (0.25)% 92%
(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%
- ------------------------------------------------------------------------------------------------------
-- $ 8.20 17.82% $ 12,084 1.48% 1.14% (0.50)% 92%
(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%
- ------------------------------------------------------------------------------------------------------
-- $ 7.28 16.67% $ 1,062 2.23% 1.89% (1.25)% 92%
(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%
- ------------------------------------------------------------------------------------------------------
-- $ 6.80 16.84% $ 246 2.23% 1.89% (1.24)% 92%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
129
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
Year ended 7/31/10 $12.44 0.02[DELTA] 1.02 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) -- --
- ---------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH CLASS A SHARES
Year ended 7/31/10 $12.09 (0.01)[DELTA] 0.98 0.97 (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) -- --
- ---------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH CLASS B SHARES
Year ended 7/31/10 $11.27 (0.10)[DELTA] 0.91 0.81 -- --
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) -- --
- ---------------------------------------------------------------------------------------------------------------------------
QUALITY GROWTH CLASS C SHARES
Year ended 7/31/10 $10.91 (0.10)[DELTA] 0.89 0.79 -- --
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) -- --
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH INSTITUTIONAL SHARES
Year ended 7/31/10 $18.36 0.27[DELTA] 1.64 1.91 (0.27) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH CLASS A SHARES
Year ended 7/31/10 $18.03 0.22[DELTA] 1.61 1.83 (0.22) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH CLASS B SHARES
Year ended 7/31/10 $17.42 0.07[DELTA] 1.55 1.62 (0.07) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDEND GROWTH CLASS C SHARES
Year ended 7/31/10 $16.89 0.06[DELTA] 1.52 1.58 (0.09) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
130
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 TOTAL NET EXPENSES EXPENSES 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% $232,350 1.13% 1.06% 0.17% 56%
(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%
- ------------------------------------------------------------------------------------------------------
(0.02) $13.04 8.03% $ 58,198 1.38% 1.31% (0.08)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
-- $12.08 7.19% $ 2,563 2.13% 2.06% (0.81)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
-- $11.70 7.34% $ 1,133 2.13% 2.06% (0.81)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
(0.27) $20.00 10.44% $ 5,127 2.82% 0.73% 1.37% 63%
(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%
- ------------------------------------------------------------------------------------------------------
(0.22) $19.64 10.19% $ 1,963 3.07% 0.98% 1.11% 63%
(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%
- ------------------------------------------------------------------------------------------------------
(0.07) $18.97 9.38% $ 70 3.82% 1.73% 0.38% 63%
(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%
- ------------------------------------------------------------------------------------------------------
(0.09) $18.38 9.34% $ 162 3.82% 1.73% 0.35% 63%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
131
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
Year ended 7/31/10 $ 3.24 (0.01)[DELTA] 0.69 0.68 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE CLASS A SHARES
Year ended 7/31/10 $ 3.01 (0.01)[DELTA] 0.63 0.62 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE CLASS B SHARES
Year ended 7/31/10 $ 2.71 (0.03)[DELTA] 0.57 0.54 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
MICRO CAP VALUE CLASS C SHARES
Year ended 7/31/10 $ 2.72 (0.04)[DELTA] 0.57 0.53 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE INSTITUTIONAL SHARES
Year ended 7/31/10 $13.48 0.11[DELTA] 2.85 2.96 (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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE CLASS A SHARES
Year ended 7/31/10 $13.33 0.06[DELTA] 2.83 2.89 (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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE CLASS B SHARES
Year ended 7/31/10 $12.77 (0.05)[DELTA] 2.70 2.65 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE CLASS C SHARES
Year ended 7/31/10 $12.73 (0.06)[DELTA] 2.70 2.64 -- --
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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
132
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
-- $ 3.92 20.99% $ 21,195 1.82% 1.35% (0.16)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
-- $ 3.63 20.60% $ 11,649 2.07% 1.60% (0.41)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
-- $ 3.25 19.93% $ 998 2.82% 2.35% (1.15)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
-- $ 3.25 19.49% $ 2,876 2.82% 2.35% (1.17)% 56%
(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%
- ------------------------------------------------------------------------------------------------------
(0.10) $16.34 22.00% $ 59,572 1.31% 1.16% 0.67% 65%
(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%
- ------------------------------------------------------------------------------------------------------
(0.07) $16.15 21.69% $ 2,241 1.56% 1.41% 0.39% 65%
(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%
- ------------------------------------------------------------------------------------------------------
-- $15.42 20.76% $ 581 2.31% 2.16% (0.35)% 65%
(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%
- ------------------------------------------------------------------------------------------------------
-- $15.37 20.83% $ 828 2.31% 2.16% (0.37)% 65%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
133
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
Year ended 7/31/10 $12.52 0.16[DELTA] 1.26 1.42 (0.15) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE CLASS A SHARES
Year ended 7/31/10 $12.30 0.12[DELTA] 1.24 1.36 (0.12) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE CLASS B SHARES
Year ended 7/31/10 $11.66 0.02[DELTA] 1.17 1.19 (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)
- ---------------------------------------------------------------------------------------------------------------------------
ALL CAP VALUE CLASS C SHARES
Year ended 7/31/10 $11.63 0.02[DELTA] 1.17 1.19 (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)
- ---------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE INSTITUTIONAL SHARES
Year ended 7/31/10 $ 8.55 0.15[DELTA] 0.86 1.01 (0.14) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE CLASS A SHARES
Year ended 7/31/10 $ 8.52 0.13[DELTA] 0.85 0.98 (0.11) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE CLASS B SHARES
Year ended 7/31/10 $ 8.62 0.06[DELTA] 0.85 0.91 (0.04) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
DISCIPLINED LARGE CAP VALUE CLASS C SHARES
Year ended 7/31/10 $ 8.42 0.05[DELTA] 0.85 0.90 (0.05) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
134
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
(0.15) $13.79 11.30% $ 86,521 1.42% 1.07% 1.12% 37%
(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%
- ------------------------------------------------------------------------------------------------------
(0.12) $13.54 11.01% $ 35,731 1.67% 1.32% 0.86% 37%
(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%
- ------------------------------------------------------------------------------------------------------
(0.02) $12.83 10.24% $ 4,182 2.42% 2.07% 0.14% 37%
(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%
- ------------------------------------------------------------------------------------------------------
(0.03) $12.79 10.20% $ 4,054 2.42% 2.07% 0.13% 37%
(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%
- ------------------------------------------------------------------------------------------------------
(0.14) $ 9.42 11.80% $331,332 1.07% 0.92% 1.58% 54%
(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%
- ------------------------------------------------------------------------------------------------------
(0.11) $ 9.39 11.56% $ 10,845 1.32% 1.17% 1.33% 54%
(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%
- ------------------------------------------------------------------------------------------------------
(0.04) $ 9.49 10.61% $ 1,315 2.07% 1.92% 0.58% 54%
(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%
- ------------------------------------------------------------------------------------------------------
(0.05) $ 9.27 10.66% $ 583 2.07% 1.92% 0.59% 54%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
135
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
Year ended 7/31/10 $ 9.05 0.10[DELTA] 1.02 1.12 (0.10) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS CLASS A SHARES
Year ended 7/31/10 $ 8.94 0.08[DELTA] 0.99 1.07 (0.08) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS CLASS B SHARES
Year ended 7/31/10 $ 8.88 --^[DELTA] 1.02 1.02 (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)
- ---------------------------------------------------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS CLASS C SHARES
Year ended 7/31/10 $ 8.91 --^[DELTA] 1.00 1.00 (0.02) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
136
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------------
(0.10) $10.07 12.35% $ 76,897 2.04%[OMEGA]! 1.68%[OMEGA]! 1.01% 180%
(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%
- ------------------------------------------------------------------------------------------------------------
(0.08) $ 9.93 11.96% $ 5,028 2.29%[OMEGA]! 1.93%[OMEGA]! 0.77% 180%
(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%
- ------------------------------------------------------------------------------------------------------------
(0.02) $ 9.88 11.52% $ 233 3.04%[OMEGA]! 2.69%[OMEGA]! 0.02% 180%
(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%
- ------------------------------------------------------------------------------------------------------------
(0.02) $ 9.89 11.17% $ 48 3.06%[OMEGA]! 2.69%[OMEGA]! 0.03% 180%
(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%
- ------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
137
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
Year ended 7/31/10 $18.76 0.39[DELTA] 2.19 2.58 (0.37) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX CLASS A SHARES
Year ended 7/31/10 $18.70 0.34[DELTA] 2.18 2.52 (0.32) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX CLASS B SHARES
Year ended 7/31/10 $18.58 0.18[DELTA] 2.17 2.35 (0.16) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX CLASS C SHARES
Year ended 7/31/10 $18.59 0.18[DELTA] 2.13 2.31 (0.15) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX SELECT SHARES
Year ended 7/31/10 $18.76 0.37[DELTA] 2.20 2.57 (0.36) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PREFERRED SHARES
Year ended 7/31/10 $18.76 0.36[DELTA] 2.18 2.54 (0.34) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX TRUST SHARES
Year ended 7/31/10 $18.76 0.34[DELTA] 2.19 2.53 (0.32) --
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) --
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
138
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
(0.37) $20.97 13.77% $148,671 0.61% 0.19% 1.87% 6%
(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%
- ------------------------------------------------------------------------------------------------------
(0.32) $20.90 13.47% $ 37,146 0.86% 0.44% 1.62% 6%
(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%
- ------------------------------------------------------------------------------------------------------
(0.16) $20.77 12.62% $ 1,381 1.61% 1.19% 0.86% 6%
(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%
- ------------------------------------------------------------------------------------------------------
(0.15) $20.75 12.43% $ 1,032 1.61% 1.19% 0.88% 6%
(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%
- ------------------------------------------------------------------------------------------------------
(0.36) $20.97 13.68% $ 8,841 0.69% 0.27% 1.79% 6%
(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%
- ------------------------------------------------------------------------------------------------------
(0.34) $20.96 13.61% $ 44,378 0.76% 0.34% 1.71% 6%
(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%
- ------------------------------------------------------------------------------------------------------
(0.32) $20.97 13.49% $ 31,979 0.86% 0.44% 1.62% 6%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
139
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
Year ended 7/31/10 $ 7.25 0.16[DELTA] 0.19 0.35 (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)
- ---------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY CLASS A SHARES
Year ended 7/31/10 $ 7.24 0.14[DELTA] 0.19 0.33 (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)
- ---------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY CLASS B SHARES
Year ended 7/31/10 $ 7.09 0.08[DELTA] 0.18 0.26 (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)
- ---------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY CLASS C SHARES
Year ended 7/31/10 $ 6.79 0.08[DELTA] 0.18 0.26 (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)
- ---------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME INSTITUTIONAL SHARES
Year ended 7/31/10 $ 8.95 0.53[DELTA] 1.26 1.79 (0.72) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME CLASS A SHARES
Year ended 7/31/10 $ 8.93 0.51[DELTA] 1.26 1.77 (0.70) --
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) (0.88) (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)
- ---------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME CLASS B SHARES
Year ended 7/31/10 $ 8.93 0.44[DELTA] 1.25 1.69 (0.63) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
STRATEGIC INCOME CLASS C SHARES
Year ended 7/31/10 $ 8.85 0.43[DELTA] 1.25 1.68 (0.63) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
140
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 TOTAL NET EXPENSES EXPENSES 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) $ 7.35 4.61% $229,888 1.34% 1.18%~ 2.18% 137%
(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%
- ------------------------------------------------------------------------------------------------------
(0.24) $ 7.33 4.34% $ 10,216 1.59% 1.43%~ 1.87% 137%
(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%
- ------------------------------------------------------------------------------------------------------
(0.20) $ 7.15 3.57% $ 565 2.34% 2.18%~ 1.02% 137%
(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%
- ------------------------------------------------------------------------------------------------------
(0.21) $ 6.84 3.59% $ 310 2.34% 2.18%~ 1.11% 137%
(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%
- ------------------------------------------------------------------------------------------------------
(0.72) $10.02 20.39% $ 80,807 1.40% 0.87% 5.51% 31%
(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%
- ------------------------------------------------------------------------------------------------------
(0.70) $10.00 20.27% $ 19,461 1.65% 1.12% 5.27% 31%
(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%
- ------------------------------------------------------------------------------------------------------
(0.63) $ 9.99 19.38% $ 729 2.40% 1.87% 4.56% 31%
(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%
- ------------------------------------------------------------------------------------------------------
(0.63) $ 9.90 19.20% $ 12,504 2.40% 1.87% 4.53% 31%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
141
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
Year ended 7/31/10 $ 8.73 0.13#[DELTA] 0.77# 0.90 (0.13) (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) CLASS A SHARES
Year ended 7/31/10 $ 8.67 0.10#[DELTA] 0.76# 0.86 (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) CLASS B SHARES
Year ended 7/31/10 $ 8.38 0.03#[DELTA] 0.73# 0.76 (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL AGGRESSIVE(SM) CLASS C SHARES
Year ended 7/31/10 $ 8.37 0.03#[DELTA] 0.74# 0.77 (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) INSTITUTIONAL SHARES
Year ended 7/31/10 $ 9.14 0.19#[DELTA] 0.68# 0.87 (0.20) (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS A SHARES
Year ended 7/31/10 $ 9.12 0.17#[DELTA] 0.69# 0.86 (0.18) (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS B SHARES
Year ended 7/31/10 $ 9.02 0.10#[DELTA] 0.67# 0.77 (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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS C SHARES
Year ended 7/31/10 $ 9.03 0.09#[DELTA] 0.67# 0.76 (0.10) (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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
142
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
(0.26) $ 9.37 10.25% $ 75,906 0.54% 0.08% 1.36% 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) $ 9.30 9.94% $ 24,982 0.79% 0.33% 1.10% 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) $ 8.94 9.01% $ 6,672 1.54% 1.08% 0.35% 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%
- ------------------------------------------------------------------------------------------------------
(0.20) $ 8.94 9.14% $ 1,189 1.54% 1.08% 0.32% 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%
- ------------------------------------------------------------------------------------------------------
(0.24) $ 9.77 9.56% $100,910 0.53% 0.08% 1.98% 16%
(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%
- ------------------------------------------------------------------------------------------------------
(0.22) $ 9.76 9.40% $ 57,520 0.78% 0.33% 1.70% 16%
(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%
- ------------------------------------------------------------------------------------------------------
(0.14) $ 9.65 8.57% $ 24,105 1.53% 1.08% 0.99% 16%
(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%
- ------------------------------------------------------------------------------------------------------
(0.14) $ 9.65 8.43% $ 2,989 1.53% 1.08% 0.96% 16%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
143
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
Year ended 7/31/10 $ 9.01 0.25#[DELTA] 0.61# 0.86 (0.26) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) CLASS A SHARES
Year ended 7/31/10 $ 9.00 0.23#[DELTA] 0.61# 0.84 (0.24) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) CLASS B SHARES
Year ended 7/31/10 $ 8.95 0.15#[DELTA] 0.60# 0.75 (0.16) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATE(SM) CLASS C SHARES
Year ended 7/31/10 $ 8.95 0.15#[DELTA] 0.61# 0.76 (0.16) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) INSTITUTIONAL SHARES
Year ended 7/31/10 $ 8.35 0.26#[DELTA] 0.57# 0.83 (0.26) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS A SHARES
Year ended 7/31/10 $ 8.33 0.23#[DELTA] 0.58# 0.81 (0.24) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS B SHARES
Year ended 7/31/10 $ 8.30 0.17#[DELTA] 0.57# 0.74 (0.17) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS C SHARES
Year ended 7/31/10 $ 8.31 0.16#[DELTA] 0.58# 0.74 (0.17) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
144
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
(0.26) $ 9.61 9.60% $195,480 0.45% 0.08% 2.63% 9%
(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%
- ------------------------------------------------------------------------------------------------------
(0.24) $ 9.60 9.33% $ 40,212 0.70% 0.33% 2.39% 9%
(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%
- ------------------------------------------------------------------------------------------------------
(0.16) $ 9.54 8.43% $ 17,417 1.45% 1.08% 1.63% 9%
(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%
- ------------------------------------------------------------------------------------------------------
(0.16) $ 9.55 8.57% $ 2,706 1.45% 1.08% 1.61% 9%
(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%
- ------------------------------------------------------------------------------------------------------
(0.26) $ 8.92 10.07% $ 33,074 0.59% 0.08% 2.90% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.24) $ 8.90 9.82% $ 15,138 0.84% 0.33% 2.66% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.17) $ 8.87 9.01% $ 7,258 1.59% 1.08% 1.89% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.17) $ 8.88 8.98% $ 1,009 1.59% 1.08% 1.87% 14%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
145
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
Year ended 7/31/10 $ 8.75 0.32#[DELTA] 0.52# 0.84 (0.33) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) CLASS A SHARES
Year ended 7/31/10 $ 8.74 0.30#[DELTA] 0.51# 0.81 (0.31) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) CLASS B SHARES
Year ended 7/31/10 $ 8.70 0.23#[DELTA] 0.51# 0.74 (0.24) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
LIFEMODEL CONSERVATIVE(SM) CLASS C SHARES
Year ended 7/31/10 $ 8.71 0.23#[DELTA] 0.51# 0.74 (0.24) --
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)
- ---------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND INSTITUTIONAL SHARES
Year ended 7/31/10 $ 8.72 0.73[DELTA] 0.90 1.63 (0.73) --
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
Year ended 7/31/10 $ 8.69 0.71[DELTA] 0.89 1.60 (0.70) --
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
Year ended 7/31/10 $ 8.71 0.64[DELTA] 0.89 1.53 (0.63) --
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
Year ended 7/31/10 $ 8.71 0.63[DELTA] 0.90 1.53 (0.64) --
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.
146
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
(0.33) $ 9.26 9.77% $ 23,916 0.65% 0.08% 3.54% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.31) $ 9.24 9.39% $ 9,630 0.90% 0.33% 3.30% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.24) $ 9.20 8.58% $ 4,051 1.65% 1.08% 2.53% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.24) $ 9.21 8.56% $ 1,365 1.65% 1.08% 2.53% 14%
(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%
- ------------------------------------------------------------------------------------------------------
(0.73) $9.62 19.22% $ 53,780 1.20% 0.74% 7.83% 71%
(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%
- ------------------------------------------------------------------------------------------------------
(0.70) $9.59 18.96% $ 1,149 1.42% 0.99% 7.71% 71%
(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%
- ------------------------------------------------------------------------------------------------------
(0.63) $9.61 18.07% $ 94 2.21% 1.74% 6.83% 71%
(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%
- ------------------------------------------------------------------------------------------------------
(0.64) $9.60 18.06% $ 1,403 2.23% 1.74% 6.72% 71%
(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.
147
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
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND INSTITUTIONAL SHARES
Year ended 7/31/10 $ 8.46 0.38[DELTA] 0.62 1.00 (0.44) -- --
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)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND CLASS A SHARES
Year ended 7/31/10 $ 8.46 0.36[DELTA] 0.61 0.97 (0.41) -- --
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)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND CLASS B SHARES
Year ended 7/31/10 $ 8.47 0.29[DELTA] 0.62 0.91 (0.35) -- --
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)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN BOND CLASS C SHARES
Year ended 7/31/10 $ 8.47 0.29[DELTA] 0.62 0.91 (0.35) -- --
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)
- --------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND INSTITUTIONAL SHARES
Year ended 7/31/10 $ 9.33 0.22[DELTA] 0.26 0.48 (0.23) -- --
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) -- --
- --------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND CLASS A SHARES
Year ended 7/31/10 $ 9.32 0.19[DELTA] 0.27 0.46 (0.21) -- --
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) -- --
- --------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND CLASS C SHARES
Year ended 7/31/10 $ 9.31 0.10[DELTA] 0.28 0.38 (0.14) -- --
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) -- --
- --------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
148
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 TOTAL NET EXPENSES EXPENSES 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)
- ------------------------------------------------------------------------------------------------------
(0.44) $9.02 11.91% $275,474 0.87% 0.65% 4.33% 39%
(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%
- ------------------------------------------------------------------------------------------------------
(0.41) $9.02 11.76% $ 15,010 1.12% 0.90% 4.06% 39%
(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%
- ------------------------------------------------------------------------------------------------------
(0.35) $9.03 10.90% $ 1,821 1.87% 1.65% 3.30% 39%
(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%
- ------------------------------------------------------------------------------------------------------
(0.35) $9.03 10.93% $ 859 1.87% 1.65% 3.30% 39%
(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%
- ------------------------------------------------------------------------------------------------------
(0.23) $9.58 5.18% $254,162 0.78% 0.57% 2.30% 78%
(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%
- ------------------------------------------------------------------------------------------------------
(0.21) $9.57 4.94% $ 22,079 1.03% 0.82% 1.98% 78%
(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%
- ------------------------------------------------------------------------------------------------------
(0.14) $9.55 4.14% $ 10,264 1.78% 1.57% 1.09% 78%
(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%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
149
FIFTH THIRD FUNDS
NOTES TO FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
(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.
^ 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
------------- ------- ------- -------
Year ended 7/31/10 0.60% 0.61% 0.62% 0.56%
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 $0.005.
& 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 0.01% for year ended July 31, 2010 and 0.02% for the year ended
July 31, 2009.
! Includes extraordinary legal expenses. See table below and Note 3.
INSTITUTIONAL CLASS A CLASS B CLASS C
------------- ------- ------- -------
Year ended 7/31/10 0.32% 0.31% 0.29% 0.39%
Year ended 7/31/09 0.39% 0.38% 0.39% 0.25%
See notes to financial statements.
150
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
(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. 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 accepted in the
United States of America ("U.S. GAAP"). The preparation of financial statements
in conformity
151
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
with U.S. GAAP 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 -- All investments in securities are recorded at their
estimated fair value as described in Note 12.
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. The Fund may be subject to foreign
taxes on income, gains on investments, or currency repatriation, a portion of
which may be recoverable. The Fund will accrue such taxes and recoveries as
applicable, based upon its current interpretation of tax rules and regulations
that exist in the markets in which it invests.
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.
LENDING PORTFOLIO SECURITIES -- Each Fund may lend securities up to 33 1/3% 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 Board of Trustees ("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.
152
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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 July 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 August 15, 2010 to July 15, 2017, with interest rates ranging from
..45% to 4.125%.
MARKET VALUE OF CASH NON-CASH
FUND SECURITIES ON LOAN COLLATERAL COLLATERAL
- ---- ------------------ ----------- ----------
Small Cap Growth $12,190,237 $12,523,826 $ --
Mid Cap Growth 15,048,477 15,269,298 --
Quality Growth 19,618,545 19,942,940 --
Equity Index 10,768,643 10,875,161 189,372
All Cap Value 12,397,700 12,716,942 --
Disciplined Large Cap Value 16,448,565 11,347,632 5,494,700
Strategic Income 13,728,842 14,049,937 --
Dividend Growth 2,047,894 2,045,480 47,351
International Equity 15,771,172 16,322,217 202,895
High Yield Bond 6,843,665 6,990,498 --
Total Return Bond 13,607,089 13,813,988 --
Short Term Bond 46,989,341 47,889,195 --
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 services and/or 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 U.S. GAAP. 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
153
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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.
Accordingly, at July 31, 2010, reclassifications were recorded as follows:
INCREASE INCREASE
(DECREASE) (DECREASE)
ACCUMULATED NET ACCUMULATED INCREASE
INVESTMENT NET REALIZED (DECREASE)
INCOME (LOSS) GAIN (LOSS) PAID-IN-CAPITAL
--------------- ------------ ---------------
Small Cap Growth $ 243,795 $ 1,111 $ (244,906)
Mid Cap Growth 273,623 592,404 (866,027)
Quality Growth 7,025 3,060,388 (3,067,413)
Dividend Growth (223) 10,085,085 (10,084,862)
Micro Cap Value 169,012 80,633 (249,645)
Small Cap Value (256,044) 284,884 (28,840)
All Cap Value (34,446) 38,753 (4,307)
Disciplined Large Cap Value (25,698) 26,235 (537)
Structured Large Cap Plus (329,192) 329,345 (153)
Equity Index (7,461) 29,569 (22,108)
International Equity 532,552 1,354,497 (1,887,049)
Strategic Income 72,033 (71,904) (129)
LifeModel Aggressive(SM) 12,998 51 (13,049)
LifeModel Moderately Aggressive(SM) 168 145 (313)
LifeModel Moderate(SM) 483 -- (483)
LifeModel Moderately Conservative(SM) 95 -- (95)
LifeModel Conservative(SM) 60 -- (60)
High Yield Bond 10,592 (10,537) (55)
Total Return Bond 2,343,249 (2,055,047) (288,202)
Short Term Bond 335,319 (326,601) (8,718)
FEDERAL TAXES -- It is the intention of each Fund to continue to qualify as a
regulated investment company by complying with Subchapter M 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 July 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 2007-2009, 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
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 sells 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
154
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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 Fund's 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 which Fund management believes to be
incorrect and materially disadvantageous to the Fund. A partial settlement of
this dispute with the Liquidation Trustee was reached on March 13, 2009. Under
the partial settlement, the Fund established an escrow account at the Fund's
custodian bank with respect to the amount in dispute ($18,179,102) (the
"Disputed Amount"). Subsequently, the Fund filed a motion for summary judgment
with the U.S. Bankruptcy Court for the Southern District of New York (the
"Court") seeking an order that the Fund is entitled to the Disputed Amount and
the Liquidation Trustee filed a motion to strike the Fund's summary judgment
motion and to uphold the Liquidation Trustee's determination that the Fund is
not entitled to the Disputed Amount. On June 1, 2010, the Court granted the
Liquidation Trustee's motion to uphold the Liquidation Trustee's determination
regarding the Disputed Amount and expunged the Fund's objection to that
determination. On June 28, 2010, the Fund filed a notice of appeal. It is
unclear whether the Fund will obtain a favorable outcome with respect to this
matter.
Given the above circumstances, the Fund's per-share net asset value continues to
reflect a negative outcome.
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. The Fund had incurred $350,233 and $263,410 of extraordinary
legal expenses for the years ended July 31, 2009 and 2010, respectively.
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 also affects 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
155
FIFTH THIRD FUNDS
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JULY 31, 2010
- --------------------------------------------------------------------------------
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 entered 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, 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 up to the par amount of the
underlying instrument 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
156
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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 Funds 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. Strategic Income and Total
Return Bond each held an open swap contract as of the date of this report. See
Notes to Schedules of Investments.
(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 an annual sub-advisory fee of 0.40% of net assets for
the initial $50 million in assets and 0.30% of net assets for assets in excess
of $150 million. 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.
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.
157
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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
LIMITATION/
REIMBURSEMENT CLASS EXPENSE LIMITATION*
ADVISORY ADMINISTRATION RECOVERABLE --------------------------------------------------
ADVISORY FEE FEE EXPIRATION REIMBURSEMENT
FUND FEE WAIVER WAIVER DATE INSTITUTIONAL A B C RECOVERABLE**
- ---- -------- -------- -------------- ------------- --------------------- ----- ----- -------------
Small Cap Growth 0.70% NA NA 11/26/2010 1.01% 1.26% 2.01% 2.01% $ 84,847
Mid Cap Growth* 0.80% 0.10% 0.11% 11/26/2010 0.88% 1.13% 1.88% 1.88% $236,064
Quality Growth 0.80% NA 0.02% 11/26/2010 1.06% 1.31% 2.06% 2.06% $159,021
Dividend Growth 0.80% 0.20% NA 11/26/2010 0.73% 0.98% 1.73% 1.73% $123,002
Micro Cap Value 1.00% NA NA 11/26/2010 1.35% 1.60% 2.35% 2.35% $120,872
Small Cap Value* 0.90% 0.05% NA 11/26/2010 1.15% 1.40% 2.15% 2.15% $ 83,094
All Cap Value* 1.00% 0.20% 0.05% 11/26/2010 1.04% 1.29% 2.04% 2.04% $390,652
Disciplined Large
Cap Value* 0.80% 0.10% 0.06% 11/26/2010 0.91% 1.16% 1.91% 1.91% $431,639
StructuredLargeCapPlus*(++) 0.70% 0.10% 0.10% 11/26/2010 0.72% 0.97% 1.72% 1.72% $216,728
Equity Index ^ 0.30% 0.20% 0.065% 11/30/2012 0.19% 0.44% 1.19% 1.19% $895,664
International Equity*(Omega) 1.00% 0.19% NA 11/26/2010 1.16% 1.41% 2.16% 2.16% $322,339
Strategic Income* 1.00% 0.40% 0.05% 11/30/2012 0.86% 1.11% 1.86% 1.86% $374,519
LifeModel Aggressive(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $394,346
LifeModel Moderately
Aggressive(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $685,160
LifeModel Moderate(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $734,588
LifeModel Moderately
Conservative(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $234,083
LifeModel Conservative(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $182,130
High Yield Bond 0.70% NA NA 11/26/2010 0.74% 0.99% 1.74% 1.74% $188,981
Total Return Bond 0.60% 0.15% 0.06% 11/26/2010 0.65% 0.90% 1.65% 1.65% $530,221
Short Term Bond* 0.50% 0.10% 0.09% 11/30/2012 0.55% 0.80% NA 1.55% $466,290
* The Funds' expense limitation for each class decreased by the following annual
amounts during the period ended. FTAM accompanied these decreases in
limitations with a corresponding increase in an advisory or administration
waiver.
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 2, 2009 through July 31, 2010.
(++) 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.
158
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 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 or equal 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. For the twelve months ended July 31, 2010,
FTAM earned $8,601 in CDSC fees from the Trust. Affiliates of FTAM earned
reallowed sales commissions of $255,304 and 12b-1 distribution/servicing fees as
well as administrative servicing fees (see below) of $1,488,225 from the Trust
for the period ended as of the report date.
ADMINISTRATIVE SERVICING FEE -- The Trust has a Shareholder Servicing Plan 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.
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 $370,000 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.
The Trust reimbursed FTAM for fees paid to a third party in connection with the
negotiation of a new custody agreement. For the year ended July 31, 2010, the
fees were $5,082. The fees were allocated to each Fund based on actual expenses
incurred by the Fund.
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
159
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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.
In July 2010, certain funds received a one-time payment from the BISYS Fair Fund
(a fund established pursuant to a settlement between the SEC and BISYS Fund
Services, Inc. that requires, among other things, a distribution of settlement
monies from the fair fund to benefit affected mutual funds). Receipt of these
payments is shown as a reduction of total expenses on the Statement of
Operations. The impact of these payments is not reflected in the net expense
ratios in the Financial Highlights. The impact to the net expense ratios and
total return was not significant.
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 each of the Funds, the payments did not have a
significant impact on their respective total returns.
PAYMENT BY
FUND ADVISOR
- ---- ----------
Structured Large Cap Plus $64,452
LifeModel Aggressive(SM) 31,587
LifeModel Moderately Aggressive(SM) 44,610
LifeModel Moderate(SM) 32,554
LifeModel Moderately Conservative(SM) 11,077
LifeModel Conservative(SM) 3,965
(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 $ 39,258,957 $ 52,061,893 $ -- $ --
Mid Cap Growth 79,682,181 109,814,531 -- --
Quality Growth 171,514,672 206,438,256 14,277 44,929
Dividend Growth 4,878,784 7,257,425 -- --
Micro Cap Value 17,873,142 17,119,219 -- --
Small Cap Value 40,366,300 57,464,823 -- --
All Cap Value 50,416,533 76,300,582 -- --
Disciplined Large Cap Value 181,473,605 184,263,417 -- --
Structured Large Cap Plus 100,350,031 106,229,233 -- --
Equity Index 15,159,941 41,750,297 -- --
International Equity 331,450,902 340,621,770 -- --
Strategic Income 41,615,217 24,562,753 1,927,494 2,588,499
LifeModel Aggressive(SM) 12,656,116 27,533,859 -- --
LifeModel Moderately Aggressive(SM) 32,167,896 66,435,008 -- --
LifeModel Moderate(SM) 25,774,853 119,781,937 -- --
LifeModel Moderately Conservative(SM) 8,651,934 17,420,496 -- --
LifeModel Conservative(SM) 6,053,821 13,242,833 -- --
High Yield Bond 36,139,746 37,196,726 -- --
Total Return Bond 44,733,427 136,774,055 85,409,654 129,541,578
Short Term Bond 74,759,287 67,129,787 177,675,095 132,669,842
(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, which is renewable
annually, the Funds may borrow up to $100 million in the
160
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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
fiscal year ended July 31, 2010.
(8) FEDERAL TAX INFORMATION
The tax character of distributions paid during the fiscal years ended July 31,
2010 and 2009 was as follows:
YEAR ENDED JULY 31, 2010 YEAR ENDED JULY 31, 2009
----------------------------------------- -----------------------------------------
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
- ---- ----------- ------------- ------------- ----------- ------------- -------------
Mid Cap Growth $ -- $ -- $ -- $ -- $18,599,504 $18,599,504
Quality Growth 773,931 -- 773,931 1,785,090 12,504,389 14,289,479
Dividend Growth 96,788 -- 96,788 241,615 -- 241,615
Micro Cap Value -- -- -- 177,688 12,489 190,177
Small Cap Value 443,398 -- 443,398 1,145,372 20,850 1,166,222
All Cap Value 1,307,949 -- 1,307,949 3,208,122 12,448,038 15,656,160
Disciplined Large Cap Value 5,007,453 -- 5,007,453 9,918,790 6,405,451 16,324,241
Structured Large Cap Plus 804,824 -- 804,824 2,273,281 -- 2,273,281
Equity Index 4,752,747 -- 4,752,747 6,779,041 -- 6,779,041
International Equity 7,752,561 -- 7,752,561 8,795,977 42,624,633 51,420,610
Strategic Income 6,524,267 -- 6,524,267 6,471,043 92,440 6,563,483
LifeModel Aggressive(SM) 1,480,168 1,637,324 3,117,492 3,012,756 14,443,499 17,456,255
LifeModel Moderately
Aggressive(SM) 3,823,190 888,459 4,711,649 7,841,928 19,285,785 27,127,713
LifeModel Moderate(SM) 7,550,470 -- 7,550,470 15,066,250 18,699,879 33,766,129
LifeModel Moderately
Conservative(SM) 1,738,025 -- 1,738,025 3,031,530 3,848,615 6,880,145
LifeModel Conservative(SM) 1,503,585 -- 1,503,585 2,178,274 817,947 2,996,221
High Yield Bond 4,051,402 -- 4,051,402 4,177,451 -- 4,177,451
Total Return Bond 16,842,203 -- 16,842,203 25,772,859 -- 25,772,859
Short Term Bond 6,266,629 -- 6,266,629 8,419,898 -- 8,419,898
As of July 31, 2010, 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 $ -- $ -- $ (14,524,092) $ 7,191,374 $ (7,332,718)
Mid Cap Growth -- -- (48,000,650) 7,494,366 (40,506,284)
Quality Growth 326,831 -- (44,588,301) 36,064,626 (8,196,844)
Dividend Growth 7,144 -- (6,897,848) 938,042 (5,952,662)
Micro Cap Value -- -- (5,769,407) 1,921,259 (3,848,148)
Small Cap Value -- -- (9,729,936) 3,638,834 (6,091,102)
All Cap Value 46,819 -- (37,212,334) 392,539 (36,772,976)
Disciplined Large Cap Value 469,905 -- (111,615,535) 27,355,705 (83,789,925)
Structured Large Cap Plus 502,140 -- (62,018,850) 9,731,764 (51,784,946)
Equity Index 493,565 9,309,390 (2,739) 124,106,809 133,907,025
International Equity 5,415,526 -- (158,682,602) 16,580,139 (136,686,937)
Strategic Income (79,508) -- (20,218,543) 645,801 (19,652,250)
LifeModel Aggressive(SM) -- -- (7,362,982) (26,063,222) (33,426,204)
LifeModel Moderately
Aggressive(SM) 95,668 -- (14,873,487) (26,297,299) (41,075,118)
LifeModel Moderate(SM) 362,141 -- (29,067,694) (31,847,207) (60,552,760)
LifeModel Moderately
Conservative(SM) 92,062 -- (3,443,551) (5,786,287) (9,137,776)
LifeModel Conservative(SM) 95,391 -- (2,026,849) (3,837,365) (5,768,823)
High Yield Bond 117,615 -- (4,070,893) 1,408,625 (2,544,653)
Total Return Bond 139,873 -- (104,003,982) (10,237,400) (114,101,509)
Short Term Bond 184,614 -- (19,244,408) 1,190,687 (17,869,107)
* 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.
161
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
As of July 31, 2010 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 2011 2012 2013 2014 2015 2016 2017 2018 TOTAL
- ---- ---------- ---------- ---------- ----------- ---------- ---------- ----------- ----------- ------------
Small Cap
Growth $ -- $ -- $ -- $ -- $ -- $ -- $ 4,362,500 $10,110,236 $ 14,472,736
Mid Cap
Growth -- -- -- -- -- -- 26,881,243 20,830,375 47,711,618
Quality Growth -- -- -- -- -- -- 2,550,731 42,037,571 44,588,302
Dividend Growth 3,023,983 39,378 -- -- -- -- 1,348,987 2,485,499 6,897,847
Micro Cap Value -- -- -- -- -- -- 2,441,069 3,223,394 5,664,463
Small Cap Value -- -- -- -- -- -- 2,188,201 7,541,733 9,729,934
All Cap Value -- -- -- -- -- -- 11,136,332 26,076,002 37,212,334
Disciplined
Large Cap Value -- -- -- -- -- -- 18,715,803 91,966,085 110,681,888
Structured Large
Cap Plus -- 793,432 -- -- -- 1,246,518 15,906,985 43,169,507 61,116,442
International
Equity 5,161,371 -- -- -- -- -- 67,425,163 70,912,135 143,498,669
Strategic Income -- -- -- -- -- -- 1,379,950 8,478,872 9,858,822
LifeModel
Aggressive(SM) -- -- -- -- -- -- -- 586,237 586,237
LifeModel
Moderately
Aggressive(SM) -- -- -- -- -- -- -- 2,785,698 2,785,698
LifeModel
Moderate(SM) -- -- -- -- -- -- 855,404 21,071,864 21,927,268
LifeModel
Moderately
Conservative(SM) -- -- -- -- -- -- 764,706 563,235 1,327,941
LifeModel
Conservative(SM) -- -- -- -- -- -- 180,556 395,728 576,284
High Yield Bond -- -- -- -- 382,634 -- 1,319,442 2,368,816 4,070,892
Total Return Bond 2,967,989 3,490,975 6,705,683 12,507,496 4,893,287 1,172,463 28,880,095 36,422,219 97,040,207
Short Term Bond -- -- 4,755,928 9,778,491 4,709,395 -- -- -- 19,243,814
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, 2010, the following Funds deferred to August 1, 2010
post October capital losses, post October currency losses and post October
passive foreign investment company losses of:
CAPITAL LOSSES
--------------
Small Cap Growth Fund $ 48,653
Mid Cap Growth 289,033
Micro Cap Value Fund 104,944
Disciplined Large Cap Value 933,643
Structured Large Cap Plus 285,691
International Equity 15,182,007
Strategic Income Fund 10,357,443
LifeModel Aggressive(SM) 6,776,747
LifeModel Moderately Aggressive(SM) 12,087,789
LifeModel Moderate(SM) 7,140,425
LifeModel Moderately Conservative(SM) 2,115,612
LifeModel Conservative(SM) 1,450,565
Total Return Bond 6,961,921
During the year ended July 31, 2010, the funds used/expired capital loss
carryforwards in the following amounts:
AMOUNT USED AMOUNT EXPIRED
----------- --------------
Mid Cap Growth $ -- $ 592,404
Quality Growth -- 3,066,910
Dividend Growth -- 10,084,841
Equity Index 3,210,240 --
International Equity -- 1,405,848
Short Term Bond 201,001 --
As of July 31, 2010, the following funds have a current year Investment Company
taxable loss:
TAXABLE LOSS
------------
Small Cap Growth $244,824
Mid Cap Growth 273,412
Micro Cap Value 168,851
162
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
(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 July 31, 2010, Quality Growth, Strategic Income, Total
Return Bond and Short Term Bond held the following restricted securities:
Value as
Acquisition Acquisition % of
Security Type Date Cost Fair Value Net Assets
------------- ----------- ----------- ---------- ----------
QUALITY GROWTH
Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $ 76,618 $ 38,693 0.01%
========== ========== ====
STRATEGIC INCOME
Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $ 922,178 $ 425,622 0.37%
========== ========== ====
TOTAL RETURN BOND
Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $1,850,253 $ 878,329 0.30%
Westpac Capital Trust IV Corporate Bonds 2/8/07 1,386,386 1,338,345 0.46%
Restructured Assets Certificates,
Series 2006-9, Class P Mortgage-Backed Securities 8/10/06 5,234,953 3,445,575 1.18%
---------- ---------- ----
$8,471,592 $5,662,249 1.94%
========== ========== ====
SHORT TERM BOND
SVO VOI Mortgage Corp.,
Series 2005-AA, Class A Asset-Backed Securities 11/16/05 $1,289,252 $ 566,610 0.20%
========== ========== ====
(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 AND MARKET 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
163
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
the risk associated with higher transaction costs, delayed settlements, currency
controls and adverse economic developments related to foreign investments.
(11) 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.
(12) SECURITIES VALUATIONS
The Funds use various methods to measure the fair value of most of their
investments on a recurring basis. U.S. GAAP established a hierarchy that
prioritizes inputs to valuation methods. The three levels of input are:
o Level 1 - Unadjusted quoted prices in active markets for identical assets or
liabilities that the Funds have the ability to access.
o Level 2 - Observable inputs other than quoted prices included in level 1 that
are observable for the asset or liability, either directly or indirectly. The
inputs may include quoted prices for the identical investment on an inactive
market, prices for similar investments, interest rates, prepayment speeds,
credit risk, yield curves, default rates and similar data.
o Level 3 - Unobservable inputs for the asset or liability, to the extent
relevant observable inputs are not available, representing the Funds' own
assumptions about the assumptions a market participant would use in valuing
the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is
affected by a wide variety of factors, including, for example, the type of
security, whether a security is new and not yet established in the marketplace,
the liquidity of markets, and other characteristics particular to the security.
To the extent that valuation is based on models or inputs that are less
observable or unobservable in the market, the determination of fair value
requires more judgment. Accordingly, the degree of judgment exercised in
determining fair value is greatest for instruments categorized in level 3.
The inputs used to measure fair value may fall into different levels of the fair
value hierarchy. In such cases, for disclosure purposes, the level in the fair
value hierarchy within which the fair value measurement falls in its entirety,
is determined based on the lowest level input that is significant to the fair
value measurement in its entirety,
The Funds' policy is to recognize transfers between levels at the end of the
reporting period. There were no transfers between level 1 and level 2 during the
period.
(13) FAIR VALUE MEASUREMENTS
A description of the valuation techniques applied to the Funds' major categories
of assets and liabilities measured at fair value on a recurring basis follows.
EQUITY SECURITIES (COMMON AND PREFERRED STOCK) -- 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
164
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
exchanges are valued at the closing mid-market price on the exchanges on which
they trade. To the extent that these securities are actively traded and
valuations adjustments are not applied, they are categorized in level 1 of the
fair value hierarchy. 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. These securities are categorized in level 3. 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 will 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 and the securities are categorized in level 2.
CORPORATE DEBT SECURITIES -- Investments are priced using the closing bid as
supplied by an independent pricing service based on observable inputs.
Observable inputs may include quoted prices for the identical instrument on an
active market, valuation provided by dealers, prices for similar instruments,
interest rates, credit risk, yield curves, default rates and similar data, etc.
Although most corporate bonds are categorized in level 2 of the fair value
hierarchy, in instances where observable inputs are not available, they are
categorized as level 3.
SHORT-TERM NOTES -- Investments maturing in 60 days or less are valued at
amortized cost, which approximates market value. To the extent the inputs are
observable and timely, the values would be categorized in level 2 of the fair
value hierarchy.
ASSET-BACKED SECURITIES -- Investments are priced using the closing bid as
supplied by an independent pricing service based on observable inputs.
Observable inputs may include quoted prices for the identical instrument on an
active market, valuation provided by dealers, prices for similar instruments,
interest rates, prepayment speeds, credit risk, yield curves, default rates and
similar data, etc. Although most asset-backed securities are categorized in
level 2 of the fair value hierarchy, in instances where observable inputs are
not available, they are categorized as level 3.
OPEN-END INVESTMENT COMPANIES -- Investments are valued at net asset value as
reported by such investment companies and are categorized as level 1.
U.S. GOVERNMENT ISSUERS -- Investments are priced using the closing bid as
supplied by an independent pricing service based on observable inputs.
Observable inputs may include quoted prices for the identical instrument on an
active market, prices for similar instruments, interest rates, and similar data,
etc. Although most U.S. Government bonds are categorized in level 2 of the fair
value hierarchy, in instances where observable inputs are not available, they
are categorized as level 3.
DERIVATIVE INSTRUMENTS -- Listed derivatives that are actively traded are valued
based on quoted prices from the exchange and are categorized in level 1 of the
fair value hierarchy. Over the counter (OTC) derivative contracts include swap
contracts related to the credit standing of reference entities. Depending on the
product and the terms of the transaction, the fair value of the OTC derivative
products can be modeled taking in to account the counterparties'
creditworthiness and using a series of techniques, including simulation models.
The OTC derivative products valued by the Funds using pricing models are
categorized within level 2 of the fair value hierarchy.
The market value of securities fair valued in accordance with procedures adopted
by the Trustees as a percentage of total net assets as of this report date was
1.18% for Total Return Bond.
165
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
The following is a summary of the fair value hierarchy according to the inputs
used as of July 31, 2010 in valuing the Funds' assets and liabilities:
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10
------------------------- ----------------- ------------ ------------
Small Cap Growth
- -------------------------------------
Assets
Common Stocks* $42,362,699 $ -- $ -- $ 42,362,699
Investment Company 12,511,020 -- -- 12,511,020
Investments in Affiliates 1,455,171 -- -- 1,455,171
- ------------------------------------- ---------------------------------------------------------------------------
Total $56,328,890 $ -- $ -- $ 56,328,890
===========================================================================
Mid Cap Growth
- -------------------------------------
Assets
Common Stocks* $81,187,810 $ -- $ -- $ 81,187,810
Investment Companies 15,393,827 -- -- 15,393,827
Investments in Affiliates 124 -- -- 124
- ------------------------------------- ---------------------------------------------------------------------------
Total $96,581,761 $ -- $ -- $ 96,581,761
===========================================================================
Quality Growth
- -------------------------------------
Assets
Common Stocks* $284,337,557 $ -- $ -- $284,337,557
Investment Companies 20,050,161 -- -- 20,050,161
Asset-Backed Securities
Manufactured Housing ABS Other -- 84,776 -- 84,776
Other ABS -- -- 38,693 38,693
Corporate Bonds -- 195,466 -- 195,466
Mortgage-Backed Securities -- 740,291 -- 740,291
U.S. Government Agencies -- 839,603 -- 839,603
Investments in Affiliates 4,189,191 -- -- 4,189,191
- ------------------------------------- ---------------------------------------------------------------------------
Total $308,576,909 $1,860,136 $ 38,693 $310,475,738
===========================================================================
Dividend Growth
- -------------------------------------
Assets
Common Stocks* $ 7,228,485 $ -- $ -- $ 7,228,485
Investment Companies 2,045,694 -- -- 2,045,694
Investments in Affiliates 36,255 -- -- 36,255
- ------------------------------------- ---------------------------------------------------------------------------
Total $ 9,310,434 $ -- $ -- $ 9,310,434
===========================================================================
Micro Cap Value
- -------------------------------------
Assets
Common Stocks* $ 32,926,405 $ -- $ -- $ 32,926,405
Investments in Affiliates 3,635,520 -- -- 3,635,520
- ------------------------------------- ---------------------------------------------------------------------------
Total $ 36,561,925 $ -- $ -- $ 36,561,925
===========================================================================
Small Cap Value
- -------------------------------------
Assets
Common Stocks* $ 60,624,367 $ -- $ -- $ 60,624,367
Investments in Affiliates 2,550,317 -- -- 2,550,317
- ------------------------------------- ---------------------------------------------------------------------------
Total $ 63,174,684 $ -- $ -- $ 63,174,684
===========================================================================
All Cap Value
- -------------------------------------
Assets
Common Stocks* $126,194,067 $ -- $ -- $126,194,067
Investment Companies 12,709,262 -- -- 12,709,262
Investments in Affiliates 4,657,177 -- -- 4,657,177
- ------------------------------------- ---------------------------------------------------------------------------
Total $143,560,506 $ -- $ -- $143,560,506
===========================================================================
166
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10
------------------------- ----------------- ------------ ------------
Disciplined Large Cap Value
- -------------------------------------
Assets
Common Stocks* $340,949,520 $ -- $ -- $340,949,520
Investment Companies 11,535,237 -- -- 11,535,237
Investments in Affiliates 3,415,803 -- -- 3,415,803
- ------------------------------------- ---------------------------------------------------------------------------
Total $355,900,560 $ -- $ -- $355,900,560
===========================================================================
Structured Large Cap Plus
- -------------------------------------
Assets
Common Stocks* $103,071,425 $ -- $ -- $103,071,425
Investments in Affiliates 2,113,332 -- -- 2,113,332
Other Financial Instruments** 30,003 -- -- 30,003
- ------------------------------------- ---------------------------------------------------------------------------
Total $105,214,760 $ -- $ -- $105,214,760
===========================================================================
Liabilities
Securities Sold Short $(23,296,036) $ -- $ -- $(23,296,036)
- ------------------------------------- ---------------------------------------------------------------------------
Total $(23,296,036) $ -- $ -- $(23,296,036)
===========================================================================
Equity Index
- -------------------------------------
Assets
Common Stocks* $263,202,057 $ -- $ -- $263,202,057
Investment Companies 10,846,128 -- -- 10,846,128
Investments in Affiliates 9,580,482 -- -- 9,580,482
Other Financial Instruments** 136,561 -- -- 136,561
- ------------------------------------- ---------------------------------------------------------------------------
Total $283,765,228 $ -- $ -- $283,765,228
===========================================================================
International Equity
- -------------------------------------
Assets
Foreign Stocks* $234,615,437 $ -- $ -- $234,615,437
Investment Companies 19,629,096 -- -- 19,629,096
Rights 4,111 -- -- 4,111
Investments in Affiliates 2,237,129 -- -- 2,237,129
Other Financial Instruments** 252,793 -- -- 252,793
- ------------------------------------- ---------------------------------------------------------------------------
Total $256,738,566 $ -- $ -- $256,738,566
===========================================================================
Strategic Income
- -------------------------------------
Assets
Asset-Backed Securities
Other ABS $ -- $ 1,400,819 $ 425,622 $ 1,826,441
Other -- 2,544,215 -- 2,544,215
Corporate Bonds
Airlines -- -- 1,067,216 1,067,216
Other -- 26,630,575 -- 26,630,575
Foreign Bonds* -- 6,351,808 -- 6,351,808
Mortgage-Backed Securities -- 5,060,459 -- 5,060,459
U.S. Government Agencies -- 2,613,858 -- 2,613,858
U.S. Treasury Obligations -- 2,075,785 -- 2,075,785
Common Stocks* 7,806,302 -- -- 7,806,302
Investment Companies 17,329,506 -- -- 17,329,506
Convertible Preferred Stock 1,152,300 -- -- 1,152,300
Preferred Stock 45,058,661 -- -- 45,058,661
Investments in Affiliates 5,679,507 -- -- 5,679,507
- ------------------------------------- -----------------------------------------------------------------------------
Total $ 77,026,276 $ 46,677,519 $1,492,838 $125,196,633
=============================================================================
Liabilities
Other Financial Instruments** (110,788) (4,557) -- (115,345)
- ------------------------------------- -----------------------------------------------------------------------------
Total $ (110,788) $ (4,557) $ -- $ (115,345)
=============================================================================
167
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10
------------------------- ----------------- ------------ ------------
LifeModel Aggressive
- -------------------------------------
Assets
Investments in Affiliates $109,410,204 $ -- $ -- $109,410,204
- ------------------------------------- ---------------------------------------------------------------------------
Total $109,410,204 $ -- $ -- $109,410,204
===========================================================================
LifeModel Moderately Aggressive
- -------------------------------------
Assets
Investments in Affiliates $186,289,572 $ -- $ -- $186,289,572
- ------------------------------------- ---------------------------------------------------------------------------
Total $186,289,572 $ -- $ -- $186,289,572
===========================================================================
LifeModel Moderate
- -------------------------------------
Assets
Investments in Affiliates $255,857,930 $ -- $ -- $255,857,930
- ------------------------------------- ---------------------------------------------------------------------------
Total $255,857,930 $ -- $ -- $255,857,930
===========================================================================
LifeModel Moderately Conservative
- -------------------------------------
Assets
Investments in Affiliates $ 56,701,210 $ -- $ -- $ 56,701,210
- ------------------------------------- ---------------------------------------------------------------------------
Total $ 56,701,210 $ -- $ -- $ 56,701,210
===========================================================================
LifeModel Conservative
- -------------------------------------
Assets
Investments in Affiliates $38,953,549 $ -- $ -- $ 38,953,549
- ------------------------------------- ---------------------------------------------------------------------------
Total $38,953,549 $ -- $ -- $ 38,953,549
===========================================================================
High Yield Bond
- -------------------------------------
Assets
Corporate Bonds $ -- $ 49,293,140 $ -- $ 49,293,140
Foreign Bonds* -- 5,228,459 -- 5,228,459
Investment Companies 6,983,855 -- -- 6,983,855
Preferred Stock 164,244 -- -- 164,244
Investment in Affiliates 1,321,826 -- -- 1,321,826
- ------------------------------------- ---------------------------------------------------------------------------
Total $ 8,469,925 $ 54,521,599 $ -- $ 62,991,524
===========================================================================
Total Return Bond
- -------------------------------------
Assets
Asset-Backed Securities
Other ABS $ -- $ 5,621,099 $ 878,329 $ 6,499,428
Other -- 11,513,050 -- 11,513,050
Corporate Bonds
Airlines -- -- 1,504,775 1,504,775
Other -- 58,811,369 -- 58,811,369
Foreign Bonds* -- 13,244,849 -- 13,244,849
Mortgage-Backed Securities
Agency Collateral Other -- -- 3,445,575 3,445,575
Other -- 48,662,298 -- 48,662,298
U.S. Government Agency -- 119,599,200 -- 119,599,200
U.S. Treasury Obligations -- 14,609,827 -- 14,609,827
Investment Companies 13,892,270 -- -- 13,892,270
Preferred Stocks 3,529,016 -- -- 3,529,016
Investment in Affiliates 8,631,926 -- -- 8,631,926
Other Financial Instruments** 332,531 -- -- 332,531
- ------------------------------------- ---------------------------------------------------------------------------
Total $26,385,743 $272,061,692 $5,828,679 $304,276,114
===========================================================================
Liabilities
Other Financial Instruments** -- (11,393) -- (11,393)
- ------------------------------------- ---------------------------------------------------------------------------
Total $ -- $ (11,393) $ -- $ (11,393)
===========================================================================
168
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT
IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE
FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10
------------------------- ----------------- ------------ ------------
Short Term Bond
- -------------------------------------
Assets
Asset-Backed Securities $ -- $ 19,226,926 $ -- $ 19,226,926
Corporate Bonds -- 62,163,059 -- 62,163,059
Foreign Bonds* -- 17,191,663 -- 17,191,663
Mortgage-Backed Securities -- 37,571,639 -- 37,571,639
Municipal Bonds -- 115,796 -- 115,796
U.S. Government Agencies -- 126,013,870 -- 126,013,870
U.S. Treasury Obligations -- 18,317,562 -- 18,317,562
Investment Companies 47,968,620 -- -- 47,968,620
Investment in Affiliates 4,035,053 -- -- 4,035,053
Other Financial Instruments** 16,837 -- -- 16,837
- ------------------------------------- ---------------------------------------------------------------------------
Total $52,020,510 $280,600,515 $ -- $332,621,025
===========================================================================
* Refer to Schedules of Investments for further information by industry/type
and country.
** Financial derivative instruments may include open futures contracts, swap
contracts and foreign currency contracts.
The following is a reconciliation of the fair valuation using significant
unobservable inputs (level 3) for the Funds' during the year ended July 31,
2010:
NET
CHANGE IN
UNREALIZED
TOTAL APPRECIATION
TOTAL CHANGE IN (DEPRECIATION)
BEGINNING NET ACCRUED REALIZED UNREALIZED TRANSFERS TRANSFERS ENDING ON INVESTMENTS
BALANCE PURCHASES DISCOUNTS GAINS APPRECIATION IN TO OUT OF BALANCE HELD AT
QUALITY GROWTH 7/31/2009 (SALES) (PREMIUMS) (LOSSES) (DEPRECIATION) LEVEL 3 LEVEL 3 7/31/2010 7/31/2010
- -----------------------------------------------------------------------------------------------------------------------------------
Asset Backed
Securities
Other ABS $29,963 $(14,449) $(2,245) $434 $24,990 $-- $-- $38,693 $17,128
- -----------------------------------------------------------------------------------------------------------------------------------
Total $29,963 $(14,449) $(2,245) $434 $24,990 $-- $-- $38,693 $17,128
NET
CHANGE IN
UNREALIZED
TOTAL APPRECIATION
TOTAL CHANGE IN (DEPRECIATION)
BEGINNING NET ACCRUED REALIZED UNREALIZED TRANSFERS TRANSFERS ENDING ON INVESTMENTS
STRATEGIC BALANCE PURCHASES DISCOUNTS GAINS APPRECIATION IN TO OUT OF BALANCE HELD AT
INCOME 7/31/2009 (SALES) (PREMIUMS) (LOSSES) (DEPRECIATION) LEVEL 3 LEVEL 3 7/31/2010 7/31/2010
- -----------------------------------------------------------------------------------------------------------------------------------
Asset Backed
Securities
Other ABS $329,590 $ (158,940) $(61,413) $3,549 $312,836 $-- $-- $ 425,622 $225,720
Corporate
Bonds
Airlines -- 1,026,653 (430) (704) 41,697 -- -- 1,067,216 41,697
- -----------------------------------------------------------------------------------------------------------------------------------
Total $329,590 $ 867,713 $(61,843) $2,845 $354,533 $-- $-- $1,492,838 $267,417
NET
CHANGE IN
UNREALIZED
TOTAL APPRECIATION
TOTAL CHANGE IN (DEPRECIATION)
BEGINNING NET ACCRUED REALIZED UNREALIZED TRANSFERS TRANSFERS ENDING ON INVESTMENTS
TOTAL RETURN BALANCE PURCHASES DISCOUNTS GAINS APPRECIATION IN TO OUT OF BALANCE HELD AT
BOND 7/31/2009 (SALES) (PREMIUMS) (LOSSES) (DEPRECIATION) LEVEL 3 LEVEL 3 7/31/2010 7/31/2010
- -----------------------------------------------------------------------------------------------------------------------------------
Asset Backed
Securities
Other ABS $ 680,153 $ (327,994) $(57,570) $8,916 $574,824 $-- $-- 878,329 $395,978
Corporate
Bonds
Airlines -- 1,447,265 (605) (987) 59,102 -- -- 1,504,775 59,102
Mortgage
Backed
Securities
Agency
Collateral
Other 2,160,375 -- 2 -- 1,285,198 -- -- 3,445,575 1,285,198
CMBS Other 3,960,000 (4,000,000) -- -- 40,000 -- -- -- --
CMBS
Subordinated 4,316,500 (4,450,000) 9 38 133,453 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total $11,117,028 $(7,330,729) $(58,164) $7,967 $2,092,577 $-- $-- $5,828,679 $1,740,278
169
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
(14) 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 July 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
------------------------------------------------------------------------------------
Receivable for variation margin
on futures contracts** $-- $-- $-- $30,003 $-- $30,003
------------------------------------------------------------------------------------
Liabilities Derivatives
------------------------------------------------------------------------------------
Payable for variation margin
on futures contracts** $-- $-- $-- $ -- $-- $ --
====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year
Ended July 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 as
a Result from Operations
------------------------------------------------------------------------------------
Net realized gains
on futures transactions $-- $-- $-- $ 648,758 $-- $ 648,758
------------------------------------------------------------------------------------
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
as a Result from Operations
------------------------------------------------------------------------------------
Change in unrealized
appreciation/(depreciation)
on investments and futures $-- $-- $-- $(197,618) $-- $(197,618)
====================================================================================
EQUITY INDEX FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of July 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
------------------------------------------------------------------------------------
Receivable for variation margin
on futures contracts** $-- $-- $-- $136,561 $-- $136,561
------------------------------------------------------------------------------------
Liabilities Derivatives
------------------------------------------------------------------------------------
Payable for variation margin
on futures contracts** $-- $-- $-- $ -- $-- $ --
====================================================================================
170
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
EQUITY INDEX FUND, CONTINUED
The Effect of Derivative Instruments on the Statement of Operations for the Year
Ended July 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 as
a Result from Operations
------------------------------------------------------------------------------------
Net realized gains
on futures transactions $-- $-- $-- $1,581,425 $-- $1,581,425
------------------------------------------------------------------------------------
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized as
a Result from Operations
------------------------------------------------------------------------------------
Change in unrealized
appreciation/(depreciation)
on investments and futures $-- $-- $-- $ (291,733) $-- $ (291,733)
====================================================================================
INTERNATIONAL EQUITY FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of July 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
------------------------------------------------------------------------------------
Receivable for variation margin
on futures contracts** $-- $195,879 $-- $60,928 $-- $256,807
------------------------------------------------------------------------------------
Liabilities Derivatives
------------------------------------------------------------------------------------
Payable for variation margin
on futures contracts** $-- $ -- $-- $(4,014) $-- $ (4,014)
====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year
Ended July 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 as
a Result from Operations
------------------------------------------------------------------------------------
Net realized gains
on futures transactions $-- $(125,229) $-- $ 785,526 $-- $ 660,297
------------------------------------------------------------------------------------
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized as
a Result from Operations
------------------------------------------------------------------------------------
Change in unrealized
appreciation/(depreciation)
on investments, futures,
swaps and foreign currency
translations $-- $ 97,202 $-- $(251,884) $-- $(154,682)
====================================================================================
171
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
STRATEGIC INCOME FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of July 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
------------------------------------------------------------------------------------
Unrealized appreciation
on credit default swap
agreements $-- $ -- $16,934 $-- $-- $ 16,934
------------------------------------------------------------------------------------
Liabilities Derivatives
------------------------------------------------------------------------------------
Payable for forward foreign
currency contracts $-- $(110,788) $ -- $-- $-- $(110,788)
====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year
Ended July 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 as
a Result from Operations
------------------------------------------------------------------------------------
Net realized gains
on futures transactions $(95,462) $ 505,317 $ -- $(28,196) $-- $ 381,659
Net realized gains/(losses)
on investment and foreign
currency transactions -- 18,771 -- -- -- 18,771
------------------------------------------------------------------------------------
$(95,462) $ 524,088 $ -- $(28,196) $-- $ 400,430
====================================================================================
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized as
a Result from Operations
------------------------------------------------------------------------------------
Change in unrealized
appreciation/(depreciation)
on investments, futures,
swaps and foreign currency
translations $ 25,989 $(346,639) $16,933 $ -- $-- $(303,717)
====================================================================================
TOTAL RETURN BOND FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of July 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
------------------------------------------------------------------------------------
Receivable for variation
margin on futures
contracts** $332,531 $-- $ -- $-- $-- $332,531
Unrealized appreciation
on credit default swap
agreements -- -- 28,632 -- -- 28,632
------------------------------------------------------------------------------------
$332,531 $-- $28,632 $-- $-- $361,163
====================================================================================
Liabilities Derivatives
------------------------------------------------------------------------------------
Payable for variation margin
on futures contracts** $ -- $-- $ -- $-- $-- $ --
====================================================================================
172
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND, CONTINUED
The Effect of Derivative Instruments on the Statement of Operations for the Year
Ended July 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 as
a Result from Operations
-------------------------------------------------------------------------------------
Net realized gains
on futures transactions $1,511,743 $-- $ -- $-- $-- $1,511,743
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized as
a Result from Operations
-------------------------------------------------------------------------------------
Change in unrealized
appreciation/(depreciation)
on investments, futures,
swaps and foreign currency
translations $ (33,341) $-- $28,632 $-- $-- $ (4,709)
=====================================================================================
SHORT TERM BOND FUND
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities
as of July 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
------------------------------------------------------------------------------------
Receivable for variation margin
on futures contracts** $16,837 $-- $-- $-- $-- $16,837
------------------------------------------------------------------------------------
Liabilities Derivatives
------------------------------------------------------------------------------------
Payable for variation margin
on futures contracts** $ -- $-- $-- $-- $-- $ --
====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year
Ended July 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 as
a Result from Operations
------------------------------------------------------------------------------------
Net realized gains
on futures transactions $101,297 $-- $-- $-- $-- $101,297
------------------------------------------------------------------------------------
Net Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized as
a Result from Operations
------------------------------------------------------------------------------------
Change in unrealized
appreciation/(depreciation)
on investments, futures,
swaps and foreign currency
translations $ 25,231 $-- $-- $-- $-- $ 25,231
====================================================================================
* 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.
173
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
For the year ended July 31, 2010, the average quarterly balance of outstanding
derivative financial instruments was as follows:
STRUCTURED INTERNATIONAL STRATEGIC TOTAL RETURN SHORT TERM
LARGE CAP PLUS EQUITY INDEX EQUITY INCOME BOND BOND
-------------- ------------ ------------- --------- ------------ ----------
Forward currency contracts:
Average number of
contracts - U.S. dollars
purchased -- -- -- 1 -- --
Average U.S. dollar
amounts purchased -- -- -- 1,588,871 -- --
Futures contracts:
Average number of
contracts purchased 12 26 79 86 170 11
Average number of
contracts sold -- -- -- 13 -- --
Average notional amount
of contracts purchased 3,281,821 7,135,082 6,289,056 18,768,080 25,174,794 2,444,091
Average notional amount
of contracts sold -- -- -- 754,087 -- --
The swaps shown in the Notes to the Schedules of Investments represent the only
swap activity for the year.
(15) SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events and has determined
that there are no additional events that would require adjustment to or
additional disclosure in the Funds' financial statements.
174
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders of Fifth Third Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments of Fifth Third Small Cap Growth Fund, Fifth Third
Mid Cap Growth Fund, Fifth Third Quality Growth Fund, Fifth Third Dividend
Growth Fund, Fifth Third Micro Cap Value Fund, Fifth Third Small Cap Value Fund,
Fifth Third All Cap Value Fund, Fifth Third Disciplined Large Cap Value Fund,
Fifth Third Equity Index Fund, Fifth Third International Equity Fund, Fifth
Third Strategic Income Fund, Fifth Third LifeModel Aggressive FundSM, Fifth
Third LifeModel Moderately Aggressive FundSM, Fifth Third LifeModel Moderate
FundSM, Fifth Third LifeModel Moderately Conservative FundSM, Fifth Third
LifeModel Conservative FundSM, Fifth Third High Yield Bond Fund, Fifth Third
Total Return Bond Fund and Fifth Third Short Term Bond Fund and the schedules of
investments and of securities sold short of Fifth Third Structured Large Cap
Plus Fund (twenty series of Fifth Third Funds, hereafter referred to as the
"Funds"), and the related statements of operations, of changes in net assets and
of cash flows and the financial highlights present fairly, in all material
respects, the financial position of the Funds at July 31, 2010, the results of
each of their operations for the year then ended, the changes in each of their
net assets for each of the two years in the period then ended, the cash flows
for Fifth Third Structured Large Cap Plus Fund for the year then ended and the
financial highlights for each of the periods presented, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at July 31, 2010 by
correspondence with the custodian, brokers and underlying Funds' transfer agent,
provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Kansas City, Missouri
September 22, 2010
175
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD FUNDS MANAGEMENT ^
The Trustees and Officers of the Funds, their age, the position they hold with
the Funds, their term of office and length of time served, a description of
their principal occupations during the past five years, the number of portfolios
in the fund complex that the Trustee oversees and any other directorships held
by the Trustee are listed in the two tables immediately following. The business
address of the persons listed below is 38 Fountain Square Plaza, Cincinnati,
Ohio 45202.
INDEPENDENT TRUSTEES
--------------------
NUMBER OF
PORTFOLIOS
POSITION(S) TERM OF IN FUND
HELD OFFICE AND COMPLEX OTHER
WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY DIRECTORSHIPS
NAME AND AGE FUNDS TIME SERVED(1) DURING THE PAST 5 YEARS TRUSTEE HELDBY TRUSTEE
- ------------ ----- -------------- ----------------------- ------- --------------
Edward Burke Carey Chairman-Board January Carey Realty Investments, Inc. 24 Canisius
Age: 65 of Trustees 1989-Present (real estate development and College-Trustee.
consulting), President,
1990-Present.
David J. Durham Trustee June Chairman of Clipper Products, Inc., 24 None
Age: 65 2001-Present a wholesale distributor,
2005-Present. Chairman of Norris
Products Corp., a wholesale
distributor, 2005-Present.
President and Chief Executive
Officer of Clipper Products, Inc.,
1997-Present.
J. Joseph Hale Jr. Trustee March Consultant, Duke Energy, July 24 Trustee for
Age: 60 2001-Present 2010-Present. President and CEO of Hanover College.
MediLux Health Care, April The Egan Maritime
2008-March 2010. EVP and Managing Institute, The Sconset
Director, DHR International Chapel, The Sconset
(executive recruiter), April Trust, The March of
2007-2008. President, Cinergy Dimes, The Community
Foundation, November 2001-March Foundation for
2006. Nantucket
John E. Jaymont Trustee October Business Development Director, 24 None
Age: 65 2001-Present Printing Industries of Ohio/North
Kentucky (printing industry
association) Feb. 2002-Present.
David J. Gruber Trustee December President, DJG Financial Consulting 24 CASA of
Age: 46 2003-Present (accounting and finance consultant), Delaware County
June 2007-Present. Resources Global
Professionals, Project Professional,
December 2004-June 2007. Ohio Arts
& Sports Facilities Commission
(state funding oversight agency),
CFO, April 2003-December 2004.
INTERESTED TRUSTEE
------------------
E. Keith Wirtz(2) President and President April President, Fifth Third Asset 24 None
Age: 50 Trustee 2007-Present. Management, Inc. 2003-Present,
Trustee March Managing Partner, Paladin Investment
2010-Present Associates, LLC, 2000-2003.
^ Additional disclosure can be found in the Statement of Additional
Information, which can be obtained by calling 1-800-282-5706.
176
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
OFFICERS
--------
TERM OF
POSITION(S) OFFICE AND
HELD LENGTH OF
WITH THE TIME PRINCIPAL OCCUPATION(S)
NAME AND AGE FUNDS SERVED(1) DURING THE PAST 5 YEARS
- ------------ ----- --------- -----------------------
Matthew A. Ebersbach Vice President March Vice President of Fifth Third Bank
Age: 40 2006-Present since 2001. Registered representative of
FTAM Funds Distributor, Inc.
Richard B. Ille Vice President April Managing Director, Products and Marketing,
Age: 45 2007-Present Fifth Third Asset Management, Inc.,
2001-Present. Registered representative of
FTAM Funds Distributor, Inc.
James A. Mautino Anti-Money February Vice President and Chief Compliance Officer,
Age: 42 Laundering and 2007-Present Fifth Third Asset Management, Inc. August
Chief Compliance 2005-Present, Director of Risk and
Officer Compliance, State Street Bank and Trust
Company, October 1995-July 2005.
Shannon King Treasurer March Vice President, Fifth Third Asset
Age: 38 2008-Present Management, Inc. September 2007-Present,
Assistant Vice President and Capital Markets
Derivative Manager, Fifth Third Bank, 2005-
2007, Capital Markets Accounting Manager,
Fifth Third Bank 2001-2005. Registered
representative of FTAM Funds Distributor,
Inc.
Matthew A. Swendiman Secretary April Vice President and Counsel of Fifth Third
Age: 37 2007-Present Bank, March 2006 to Present. Attorney,
Kirkpatrick & Lockhart Nicholson Graham,
LLP, May 2005-March 2006. Counsel, The
Phoenix Companies, Inc., July 2002-April
2005. Assistant Vice President and Assistant
Counsel, Conseco Capital Management, Inc.,
December 2000-June 2002. Registered
representative of FTAM Funds Distributor,
Inc.
Ryan Casey Assistant Treasurer April Vice President, State Street Bank and Trust
Age: 37 2009-Present Company (a Massachusetts trust company)
from 2000 to Present.
Tracy Kaufman Assistant Treasurer June Assistant Vice President, State Street Bank
Age: 51 2007-Present and Trust Company (a Massachusetts trust
company) from 1986 to Present.
Francine S. Hayes Assistant Secretary June Vice President and Counsel, State Street
Age: 42 2007-Present Bank and Trust Company (a Massachusetts
trust company) from 2004 to Present; and
Assistant Vice President and Counsel, State
Street Bank and Trust Company, from 2001
to 2004.
(1) Each Trustee serves until the election and qualification of a successor, or
until death, resignation, retirement or removal as provided in the Trust's
Amended and Restated Declaration of Trust. Retirement occurs on the last day
of the fiscal year in which a Trustee's 73rd birthday occurs. The Trust's
Officers are elected annually by the Trustees.
(2) Mr. Wirtz is an interested Trustee of the Trust due to his position with the
Advisor.
177
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
ADDITIONAL TAX INFORMATION
For the taxable year ended July 31, 2010, the following percentage of income
dividends paid by the Funds qualify for the dividends received deduction
available to corporations:
PERCENTAGE
----------
Quality Growth 100%
Dividend Growth 100%
Small Cap Value 100%
All Cap Value 100%
Disciplined Large Cap Value 100%
Structured Large Cap Plus 100%
Equity Index(SM) 100%
Strategic Income 18%
LifeModel Aggressive(SM) 41%
LifeModel Moderately Aggressive(SM) 21%
LifeModel Moderate(SM) 10%
LifeModel Moderately Conservative(SM) 8%
LifeModel Conservative(SM) 3%
For the fiscal year ended July 31, 2010, certain dividends paid by the Funds are
subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax
Relief Reconciliation Act of 2003. To the extent dividends are paid during the
calendar year 2010, complete information will be reported on shareholders' 2010
Form 1099-DIV. The Funds hereby designate up to the maximum amount allowable as
qualified dividend income for the fiscal year ended July 31, 2010:
AMOUNT
------
Quality Growth $773,931
Dividend Growth 96,788
Small Cap Value 443,398
All Cap Value 1,307,949
Disciplined Large Cap Value 5,007,453
Structured Large Cap Plus 804,824
Equity Index 4,752,747
International Equity 8,090,280
Strategic Income 1,598,871
LifeModel Aggressive(SM) 1,368,695
LifeModel Moderately Aggressive(SM) 1,869,822
LifeModel Moderate(SM) 1,752,156
LifeModel Moderately Conservative(SM) 315,390
LifeModel Conservative(SM) 103,582
The Funds designate the following amounts or maximum amounts allowable as long
term capital gain distributions qualifying for the maximum 15% income tax rate
for individuals. The amounts designated may not agree with the long term capital
gains in the tax character of distribution table due to utilization of earnings
and profits distributed to shareholders on redemption of shares.
AMOUNT
------
LifeModel Aggressive(SM) $1,637,324
LifeModel Moderately Aggressive(SM) 888,459
International Equity may elect to pass through to shareholders the income tax
credit for taxes paid to foreign countries. Foreign source income and foreign
tax expense per outstanding share on July 31, 2010 are as follows:
FOREIGN SOURCE FOREIGN TAX
INCOME EXPENSE
------ -------
International Equity $0.27 $0.01
If elected, the pass-through of the foreign tax credit will affect only those
persons who are shareholders on the dividend record date in December 2010. These
shareholders will receive more detailed information along with their 2010 Form
1099-DIV.
178
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 February 1, 2010 through July 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
2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10
--------- --------- ---------------- ----------------
Small Cap Growth Institutional Shares $1,000.00 $1,081.40 $5.21 1.01%
Class A Shares 1,000.00 1,081.00 6.50 1.26%
Class B Shares 1,000.00 1,076.50 10.35 2.01%
Class C Shares 1,000.00 1,074.70 10.34 2.01%
Mid Cap Growth Institutional Shares 1,000.00 1,092.10 4.56 0.88%
Class A Shares 1,000.00 1,091.90 5.86 1.13%
Class B Shares 1,000.00 1,086.60 9.73 1.88%
Class C Shares 1,000.00 1,086.30 9.73 1.88%
Quality Growth Institutional Shares 1,000.00 1,000.00 5.26 1.06%
Class A Shares 1,000.00 998.50 6.49 1.31%
Class B Shares 1,000.00 994.20 10.19 2.06%
Class C Shares 1,000.00 994.90 10.19 2.06%
Dividend Growth Institutional Shares 1,000.00 1,034.60 3.68 0.73%
Class A Shares 1,000.00 1,032.90 4.94 0.98%
Class B Shares 1,000.00 1,029.20 8.70 1.73%
Class C Shares 1,000.00 1,029.10 8.70 1.73%
Micro Cap Value Institutional Shares 1,000.00 1,132.90 7.14 1.35%
Class A Shares 1,000.00 1,127.30 8.44 1.60%
Class B Shares 1,000.00 1,124.60 12.38 2.35%
Class C Shares 1,000.00 1,124.60 12.38 2.35%
Small Cap Value Institutional Shares 1,000.00 1,057.60 5.87 1.15%
Class A Shares 1,000.00 1,055.60 7.14 1.40%
Class B Shares 1,000.00 1,051.80 10.94 2.15%
Class C Shares 1,000.00 1,052.00 10.94 2.15%
- --------------------------------
* 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.
179
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10
--------- --------- ---------------- ----------------
All Cap Value Institutional Shares $1,000.00 $1,008.40 $5.18 1.04%
Class A Shares 1,000.00 1,007.30 6.42 1.29%
Class B Shares 1,000.00 1,003.10 10.13 2.04%
Class C Shares 1,000.00 1,003.20 10.13 2.04%
Disciplined Large Cap Value Institutional Shares 1,000.00 1,014.60 4.55 0.91%
Class A Shares 1,000.00 1,013.30 5.79 1.16%
Class B Shares 1,000.00 1,009.00 9.51 1.91%
Class C Shares 1,000.00 1,008.50 9.51 1.91%
Structured Large Cap Plus Institutional Shares 1,000.00 1,038.50 8.69 1.72%
Class A Shares 1,000.00 1,036.30 9.95 1.97%
Class B Shares 1,000.00 1,033.60 13.66 2.71%
Class C Shares 1,000.00 1,033.10 13.81 2.74%
Equity Index Institutional Shares 1,000.00 1,035.70 0.96 0.19%
Class A Shares 1,000.00 1,034.50 2.22 0.44%
Class B Shares 1,000.00 1,030.60 5.99 1.19%
Class C Shares 1,000.00 1,029.30 5.99 1.19%
Select shares 1,000.00 1,035.80 1.36 0.27%
Preferred Shares 1,000.00 1,034.90 1.72 0.34%
Trust Shares 1,000.00 1,034.40 2.22 0.44%
International Equity Institutional Shares 1,000.00 1,001.40 5.76 1.16%
Class A Shares 1,000.00 998.60 6.99 1.41%
Class B Shares 1,000.00 995.80 10.69 2.16%
Class C Shares 1,000.00 995.60 10.69 2.16%
Strategic Income Institutional Shares 1,000.00 1,062.40 4.40 0.86%
Class A Shares 1,000.00 1,062.40 5.68 1.11%
Class B Shares 1,000.00 1,058.50 9.49 1.86%
Class C Shares 1,000.00 1,058.00 9.49 1.86%
LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,025.80 0.40 0.08%
Class A Shares 1,000.00 1,024.90 1.66 0.33%
Class B Shares 1,000.00 1,020.50 5.41 1.08%
Class C Shares 1,000.00 1,020.50 5.41 1.08%
LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,025.70 0.40 0.08%
Class A Shares 1,000.00 1,024.40 1.66 0.33%
Class B Shares 1,000.00 1,020.80 5.41 1.08%
Class C Shares 1,000.00 1,020.80 5.41 1.08%
LifeModel Moderate(SM) Institutional Shares 1,000.00 1,031.10 0.40 0.08%
Class A Shares 1,000.00 1,030.80 1.66 0.33%
Class B Shares 1,000.00 1,026.00 5.43 1.08%
Class C Shares 1,000.00 1,026.10 5.43 1.08%
LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,033.50 0.40 0.08%
Class A Shares 1,000.00 1,031.10 1.66 0.33%
Class B Shares 1,000.00 1,028.40 5.43 1.08%
Class C Shares 1,000.00 1,028.40 5.43 1.08%
- --------------------------------
* 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.
180
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10
--------- --------- ---------------- ----------------
LifeModel Conservative(SM) Institutional Shares $1,000.00 $1,037.30 $0.40 0.08%
Class A Shares 1,000.00 1,036.10 1.67 0.33%
Class B Shares 1,000.00 1,032.30 5.44 1.08%
Class C Shares 1,000.00 1,031.20 5.44 1.08%
High Yield Bond Institutional Shares 1,000.00 1,052.10 3.77 0.74%
Class A Shares 1,000.00 1,050.60 5.03 0.99%
Class B Shares 1,000.00 1,046.90 8.83 1.74%
Class C Shares 1,000.00 1,047.10 8.83 1.74%
Total Return Bond Institutional Shares 1,000.00 1,050.80 3.31 0.65%
Class A Shares 1,000.00 1,049.40 4.57 0.90%
Class B Shares 1,000.00 1,045.30 8.37 1.65%
Class C Shares 1,000.00 1,045.50 8.37 1.65%
Short Term Bond Institutional Shares 1,000.00 1,019.10 2.75 0.55%
Class A Shares 1,000.00 1,016.70 4.00 0.80%
Class C Shares 1,000.00 1,041.40 7.85 1.55%
- -------------------------------
* 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.
181
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
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
2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10
--------- --------- ---------------- ----------------
Small Cap Growth Institutional Shares $1,000.00 $1,019.79 $5.06 1.01%
Class A Shares 1,000.00 1,018.55 6.31 1.26%
Class B Shares 1,000.00 1,014.83 10.04 2.01%
Class C Shares 1,000.00 1,014.83 10.04 2.01%
Mid Cap Growth Institutional Shares 1,000.00 1,020.43 4.41 0.88%
Class A Shares 1,000.00 1,019.19 5.66 1.13%
Class B Shares 1,000.00 1,015.47 9.39 1.88%
Class C Shares 1,000.00 1,015.47 9.39 1.88%
Quality Growth Institutional Shares 1,000.00 1,019.54 5.31 1.06%
Class A Shares 1,000.00 1,018.30 6.56 1.31%
Class B Shares 1,000.00 1,014.58 10.29 2.06%
Class C Shares 1,000.00 1,014.58 10.29 2.06%
Dividend Growth Institutional Shares 1,000.00 1,021.17 3.66 0.73%
Class A Shares 1,000.00 1,019.93 4.91 0.98%
Class B Shares 1,000.00 1,016.22 8.65 1.73%
Class C Shares 1,000.00 1,016.22 8.65 1.73%
Micro Cap Value Institutional Shares 1,000.00 1,018.10 6.76 1.35%
Class A Shares 1,000.00 1,016.86 8.00 1.60%
Class B Shares 1,000.00 1,013.14 11.73 2.35%
Class C Shares 1,000.00 1,013.14 11.73 2.35%
Small Cap Value Institutional Shares 1,000.00 1,019.09 5.76 1.15%
Class A Shares 1,000.00 1,017.85 7.00 1.40%
Class B Shares 1,000.00 1,014.13 10.74 2.15%
Class C Shares 1,000.00 1,014.13 10.74 2.15%
All Cap Value Institutional Shares 1,000.00 1,019.64 5.21 1.04%
Class A Shares 1,000.00 1,018.40 6.46 1.29%
Class B Shares 1,000.00 1,014.68 10.19 2.04%
Class C Shares 1,000.00 1,014.68 10.19 2.04%
- --------------------------------
* 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.
182
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10
--------- --------- ---------------- ----------------
Disciplined Large Cap Value Institutional Shares $1,000.00 $1,020.28 $4.56 0.91%
Class A Shares 1,000.00 1,019.04 5.81 1.16%
Class B Shares 1,000.00 1,015.32 9.54 1.91%
Class C Shares 1,000.00 1,015.32 9.54 1.91%
Structured Large Cap Plus Institutional Shares 1,000.00 1,016.27 8.60 1.72%
Class A Shares 1,000.00 1,015.03 9.84 1.97%
Class B Shares 1,000.00 1,011.36 13.51 2.71%
Class C Shares 1,000.00 1,011.21 13.66 2.74%
Equity Index Institutional Shares 1,000.00 1,023.85 0.95 0.19%
Class A Shares 1,000.00 1,022.61 2.21 0.44%
Class B Shares 1,000.00 1,018.89 5.96 1.19%
Class C Shares 1,000.00 1,018.89 5.96 1.19%
Select shares 1,000.00 1,023.46 1.35 0.27%
Preferred Shares 1,000.00 1,023.11 1.71 0.34%
Trust Shares 1,000.00 1,022.61 2.21 0.44%
International Equity Institutional Shares 1,000.00 1,019.04 5.81 1.16%
Class A Shares 1,000.00 1,017.80 7.05 1.41%
Class B Shares 1,000.00 1,014.08 10.79 2.16%
Class C Shares 1,000.00 1,014.08 10.79 2.16%
Strategic Income Institutional Shares 1,000.00 1,020.53 4.31 0.86%
Class A Shares 1,000.00 1,019.29 5.56 1.11%
Class B Shares 1,000.00 1,015.57 9.30 1.86%
Class C Shares 1,000.00 1,015.57 9.30 1.86%
LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08%
Class A Shares 1,000.00 1,023.16 1.66 0.33%
Class B Shares 1,000.00 1,019.44 5.41 1.08%
Class C Shares 1,000.00 1,019.44 5.41 1.08%
LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08%
Class A Shares 1,000.00 1,023.16 1.66 0.33%
Class B Shares 1,000.00 1,019.44 5.41 1.08%
Class C Shares 1,000.00 1,019.44 5.41 1.08%
LifeModel Moderate(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08%
Class A Shares 1,000.00 1,023.16 1.66 0.33%
Class B Shares 1,000.00 1,019.44 5.41 1.08%
Class C Shares 1,000.00 1,019.44 5.41 1.08%
LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08%
Class A Shares 1,000.00 1,023.16 1.66 0.33%
Class B Shares 1,000.00 1,019.44 5.41 1.08%
Class C Shares 1,000.00 1,019.44 5.41 1.08%
LifeModel Conservative(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08%
Class A Shares 1,000.00 1,023.16 1.66 0.33%
Class B Shares 1,000.00 1,019.44 5.41 1.08%
Class C Shares 1,000.00 1,019.44 5.41 1.08%
- --------------------------------
* 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.
183
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10
--------- --------- ---------------- ----------------
High Yield Bond Institutional Shares $1,000.00 $1,021.12 $3.71 0.74%
Class A Shares 1,000.00 1,019.89 4.96 0.99%
Class B Shares 1,000.00 1,016.17 8.70 1.74%
Class C Shares 1,000.00 1,016.17 8.70 1.74%
Total Return Bond Institutional Shares 1,000.00 1,021.57 3.26 0.65%
Class A Shares 1,000.00 1,020.33 4.51 0.90%
Class B Shares 1,000.00 1,016.61 8.25 1.65%
Class C Shares 1,000.00 1,016.61 8.25 1.65%
Short Term Bond Institutional Shares 1,000.00 1,022.07 2.76 0.55%
Class A Shares 1,000.00 1,020.83 4.01 0.80%
Class C Shares 1,000.00 1,017.11 7.75 1.55%
- --------------------------------
* 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.
184
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185
================================================================================
Advised by:
[LOGO OF FTAM]
FIFTH THIRD ASSET MANAGEMENT
[GRAPHIC OF BEYOND THE TRADITIONAL] BEYOND THE TRADITIONAL
FTF2756073111 1-800-282-5706 AR-STBD-10
================================================================================
- --------------------------------------------------------------------------------
FIFTH THIRD FUNDS
[GRAPHIC OF FIFTH THIRD FUNDS]
2010
MONEY MARKET MUTUAL FUNDS
Annual Report to Shareholders
July 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
- --------------------------------------------------------------------------------
Economic Outlook and Commentary Section ................................... 1
Manager Commentary ........................................................ 5
Schedules of Investments .................................................. 8
Statements of Assets and Liabilities ...................................... 36
Statements of Operations .................................................. 38
Statements of Changes in Net Assets ....................................... 40
Financial Highlights ...................................................... 44
Notes to Financial Statements ............................................. 53
Report of Independent Registered Public Accounting Firm ................... 67
Supplemental Information .................................................. 68
OUR MESSAGE TO YOU
- --------------------------------------------------------------------------------
Despite a dramatic downturn in investor sentiment during the spring of 2010,
U.S. equity and fixed income markets generally posted positive returns during
the 12-month period ended July 31, 2010. In turn, most Fifth Third Funds
finished the fiscal year with double-digit gains.
Within the stock market, results reported during the 12-month period included:
o A 13.83% gain for the S&P 500 Index(1) of large cap stocks.
o A 22.82% gain for the S&P 400 Index(1) of mid cap stocks.
o A 19.17% gain for the S&P 600 Index(1) of small cap stocks.
o A 6.26% gain for the MSCI EAFE Index(1) of international stocks.
The first eight months of the period featured growing investor enthusiasm as a
number of economic indicators firmed, which brightened outlooks and spurred
demand for riskier assets. The near-default of sovereign Greek debt and the BP
oil spill in the Gulf of Mexico darkened moods in mid-April, however, and
prompted a sharp selloff in equity markets. Solid corporate earnings keyed a
modest bounce in the period's closing weeks. All told, domestic stocks
outperformed fixed income investments during the period, led by small and mid
cap equities and value investments. International stocks, on the other hand,
produced smaller returns due largely to the overhang from the European debt
issue and slowing growth in China.
The fixed income market experienced broad-based demand that lifted most asset
classes. U.S. Treasury issues extended a lengthy rally, aided by the springtime
flight to quality, while structured products such as Mortgage-backed Securities
and Asset-backed Securities benefited from extensive government support
programs. Corporate bonds gained amid a renewed appreciation for healthy balance
sheets, which mostly resulted from multi-quarter cost-cutting and cash-hoarding
efforts. Cash investments continued to offer meager returns, while commodities
generally performed well during the period.
Gauging things domestically going forward, the conclusion is mixed. Statistics
related to the domestic economy suggest that the current recovery is well
underway and that the risk of a double-dip recession is less likely. Market
nerves are frayed, however, and there are numerous things to worry investors on
the horizon, including:
o A cautionary spending mindset among consumers.
o A cautionary mindset among corporate managers, which has led to weak labor
market conditions.
1
o A mid-term U.S. election that could generate plenty of distractions and
frustrating uncertainties.
o The likelihood of higher taxes, more regulation, and government intrusion.
On the positive side of the ledger, U.S. companies proved during the recent
quarterly earnings period that management generally did a tremendous job during
the earlier financial crisis in right-sizing operations. Corporate leaders have
also generally situated their companies to make money in a slower growth
environment. Furthermore, the term structure of interest rates--following a
positively sloped yield curve--has facilitated the convalescence of the banking
sector.
Within the family of Fifth Third Funds, an unwavering adherence to
higher-quality securities led to some underperformance versus relative
benchmarks in the wake of the early-period low-quality surge. Yet when macro
events rattled the markets, it was the lower-quality investments that fell
hardest. Regardless of such near-term variances, we believe robust analysis and
stock picking among higher-quality companies that we believe are likely to
register above-average earnings remains essential to long-term investing
success.
Looking ahead, our expectations on the macro front include:
MODEST GROWTH IN THE U.S. GROSS DOMESTIC PRODUCT (GDP). Although business
spending has recovered to a degree, we believe consumers are still focused on
paring debt. In addition, with unemployment likely to hover between 9.0% and
10.0% for the next year, the GDP growth rate will be hard pressed to exceed
2.50%.
A GROWING REGULATORY CLIMATE. Through the first half of 2010, we witnessed
the passage of monumental industry reform bills that will reshape the
healthcare and financial services industries. New regulations on offshore
drilling are likely as well. Although no one yet knows what shape the new
rules will take, such developments have generally proven to be a drag on U.S.
corporations.
CLOUDS ON THE TAX HORIZON. If the Obama administration and U.S. Congress
fail to address personal income taxes in 2010, the Bush tax cuts will expire
on December 31, 2010, and rates on everything from earned income to estates
will revert to 2001 levels in 2011. Such higher taxes could crimp consumer
consumption and corporate profits.
TENSION BUILDING BEHIND INTEREST RATES. Concerns over the economy tend to
keep a cap on interest rates, and we may see minimal moves in
2
the fixed income arena for the next few quarters. Especially since it appears
as though the Federal Reserve will keep its key rate pegged between 0.00% and
0.25% into 2011. But as soon as the market senses sustainable growth is
imminent, we could be in for a wild ride as an expanding--even
modestly--economy and a massive level of public indebtedness that requires
regular refinancing are not the ingredients for an extended decline in yields.
A STUBBORNLY TOUGH JOB MARKET. Currently, there are few incentives for
companies to resume hiring. Given the uncertainties swirling around
Washington and the economy, continued challenges on the employment front
appear likely.
CONTINUED GROWTH IN CORPORATE EARNINGS. Despite the economic turbulence of
late, most U.S. companies managed to generate solid profits during the
12-month period ended July 31, 2010. We believe the trend in profit growth
should continue, although margin and earnings growth rates may have peaked
for this cycle. Accordingly, we believe more-stable larger cap companies,
especially those with exposure to higher-growth international markets, will
lead the equity markets in the coming quarters.
In closing, the occurrences of the past 12 months demonstrated how quickly
preferences can shift in the U.S. financial markets. And the outlook for the
next six to 12 months contains plenty of potential headwinds. Through history,
however, high-quality companies with solid fundamentals have proven most adept
at navigating the financial market's peaks and valleys to produce steady
long-term returns. As your Fifth Third Funds portfolio managers regularly seek
out such companies, we believe your investments in our family of funds continue
to offer the best opportunity for optimal gains into the future.
Thank you for your confidence in the Fifth Third Funds.
/s/ E. Keith Wirtz
E. Keith Wirtz, CFA
President
3
- --------------------------------------------------------------------------------
(1)TERMS AND DEFINITIONS
------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 $1.5 BILLION TO $5.5 BILLION.
THE S&P SMALLCAP 600 INDEX IS AN INDEX OF 600 SELECTED COMMON STOCKS THAT TRACKS
U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $300 MILLION TO $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.
SOVEREIGN DEBT is the total amount owed to the holders of the bonds issued by a
national government.
4
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2010, the Fifth Third Money Market Funds
offered historically low yields on an absolute basis. This was the direct result
of the continuation of an extremely accommodative monetary policy by the Federal
Reserve's Federal Open Market Committee (FOMC).
Through the entire fiscal year, the FOMC maintained a generally cautious tone
toward economic activity and employment and kept the Federal Funds target rate
within a range of 0.00% to 0.25%. Although the economy showed some signs of
growth early in the period, the largely government-fueled developments faded
later on and stirred fears of a double-dip recession, as well as renewed calls
for additional fiscal intervention. As a result, general short-term interest
rates remained at historically low levels despite the expiration of quantitative
easing measures--which were enacted to keep rates low while the economy
firmed--in March 2010.
Probably the most notable exception to the persistence of low interest rates was
the London Interbank Offer Rate (LIBOR). One of the more recognizable
international, risk-based, money market yield measures, LIBOR rates increased
during the second half of the fiscal year due primarily to elevated risks in
Europe's sovereign debt markets and the European banking industry.
At period-end, the chief concerns for most market participants remained global
economic conditions and the highly accommodative monetary policies adopted by
the world's leading central banks. In the U.S., future rate adjustments by the
FOMC ultimately depend upon economic data with a particular emphasis on
employment data.
The Funds continued to heavily utilize more traditional liquid money market
securities such as discount notes issued by the U.S. Treasury and U.S.
Government Agencies, commercial paper, and repurchase agreements, particularly
in the Fifth Third Treasury Money Market Fund and the Fifth Third Institutional
Government Money Market Fund. Higher yields on floating interest rate securities
influenced by the rise in LIBOR also enhanced returns and contributed to the
Funds' liquidity.
The Fifth Third Institutional Money Market and Fifth Third Prime Money Market
Funds maintained a conservative investment style with an emphasis on
high-quality, highly liquid municipal, U.S. Government, and industrial corporate
sector securities. The Funds also held minimal exposure to Asset-Backed
commercial paper, brokerage, and European banking sector securities.
In the second half of the fiscal year, new U.S. Securities and Exchange
Commission regulations aimed at strengthening the financial stability of
5
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
money market funds and reducing the systemic risk to the industry went into
effect. The rules require money market funds to hold more liquid assets, reduce
credit risk, and increase transparency through administrative and operational
enhancements. The measures related to portfolio management were implemented in
the Funds by the end of the fiscal year, and the balance must be in place before
the end of 2011. Due to the long-standing conservative investment style of Fifth
Third Money Market Funds, adherence to the new portfolio management rules should
have little impact on the Funds' investment strategies.
- --------------------------------------------------------------------------------
MATURITY COMPOSITION AS OF JULY 31, 2010
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Weighted Average Maturity*#
- --------------------------------------------------------------------------------
------------------------------
DAYS DAYS
AS OF 7/31/10 AS OF 7/31/09
------------------------------
- --------------------------------------------------------------------------------
Fifth Third Prime Money Market 41 49
- --------------------------------------------------------------------------------
Fifth Third Institutional Money Market 35 54
- --------------------------------------------------------------------------------
Fifth Third Institutional Government Money Market 42 50
- --------------------------------------------------------------------------------
Fifth Third U.S. Treasury Money Market 43 54
- --------------------------------------------------------------------------------
*Based on next reset date.
#Portfolio composition is subject to change.
- --------------------------------------------------------------------------------
INVESTMENT RISK CONSIDERATIONS
-------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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)
- --------------------------------------------------------------------------------
MONEY MARKET MATURITY SCHEDULES (AS OF JULY 31, 2010)
-------------------------------------------------------------------------------
AS A PERCENTAGE OF VALUE OF INVESTMENTS*
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INSTITUTIONAL U.S.
PRIME INSTITUTIONAL GOVERNMENT TREASURY
MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET
- --------------------------------------------------------------------------------
Fewer than 8 Days 51.5% 56.1% 49.6% 61.6%
- --------------------------------------------------------------------------------
8 to 14 Days 5.2% 4.0% 6.8% 6.9%
- --------------------------------------------------------------------------------
15 to 30 Days 3.3% 2.7% 11.8% 5.9%
- --------------------------------------------------------------------------------
31 to 180 Days 37.5% 33.5% 25.5% 15.6%
- --------------------------------------------------------------------------------
181 to 365 Days 2.5% 3.7% 6.3% 10.0%
- --------------------------------------------------------------------------------
366 to 397 Days 0.0% 0.0% 0.0% 0.0%
- --------------------------------------------------------------------------------
*Based on next reset date.
7
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
CORPORATE BONDS (10.3%)
COMPUTERS (1.1%)
International Business Machines Corp., 1.07%, 7/28/11 (a) $ 10,000,000 $ 10,063,044
------------
DIVERSIFIED BANKS (1.0%)
JPMorgan Chase & Co., 4.50%, 11/15/10 3,550,000 3,590,355
JPMorgan Chase & Co., 5.60%, 6/1/11 5,000,000 5,203,439
------------
8,793,794
------------
DIVERSIFIED FINANCIAL SERVICES (4.2%)
General Electric Capital Corp., 0.79%, 2/1/11 (a) 10,337,000 10,359,296
General Electric Capital Corp., 4.88%, 10/21/10 7,078,000 7,146,589
General Electric Capital Corp., 5.00%, 12/1/10 13,970,000 14,179,521
General Electric Capital Corp., Series A, 4.25%, 12/1/10 6,590,000 6,669,562
------------
38,354,968
------------
FINANCE-INVESTMENT BANKER/BROKER (0.9%)
Bear Stearns Cos. LLC (The), 4.50%, 10/28/10 7,766,000 7,839,370
------------
INSURANCE (0.7%)
Berkshire Hathaway, Inc., 0.35%, 2/10/11 (a) 5,000,000 5,000,000
Berkshire Hathaway Finance Corp., 4.20%, 12/15/10 1,175,000 1,191,125
------------
6,191,125
------------
MEDICAL INSTRUMENTS (1.2%)
Medtronic, Inc., Series B, 4.38%, 9/15/10 10,860,000 10,910,509
------------
RETAIL-DISCOUNT (0.5%)
Wal-Mart Stores, Inc., 4.75%, 8/15/10 5,000,000 5,008,044
------------
U.S. GOVERNMENT AGENCIES (0.7%)
Citibank NA, Series 1, 0.53%, 7/12/11 (a) (d) 5,000,000 5,005,849
Regions Bank, 2.75%, 12/10/10 (d) 2,013,000 2,030,183
------------
7,036,032
------------
TOTAL CORPORATE BONDS 94,196,886
------------
MUNICIPAL BONDS (0.9%)
WASHINGTON (0.9%)
State of Washington, Series 2011T, GO, 1.00%, 8/1/11 8,000,000 8,027,920
------------
TOTAL MUNICIPAL BONDS 8,027,920
------------
U.S. GOVERNMENT AGENCIES (12.4%)
FANNIE MAE (3.4%)
0.34%, 11/15/10 ** 13,090,000 13,077,372
0.46%, 3/1/11 ** 5,000,000 4,986,455
3.25%, 8/12/10 6,980,000 6,985,662
Continued
8
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FANNIE MAE, CONTINUED
4.75%, 12/15/10 $ 5,867,000 $ 5,962,027
------------
31,011,516
------------
FEDERAL HOME LOAN BANK (1.1%)
3.38%, 8/13/10 2,230,000 2,232,064
3.38%, 9/10/10 6,110,000 6,129,710
5.13%, 9/10/10 1,800,000 1,808,725
------------
10,170,499
------------
FREDDIE MAC (3.5%)
0.38%, 8/10/10 (a) 14,500,000 14,500,000
1.50%, 1/7/11 5,000,000 5,024,162
3.13%, 10/25/10 7,000,000 7,045,422
6.88%, 9/15/10 5,000,000 5,040,268
------------
31,609,852
------------
STRAIGHT-A FUNDING LLC (4.4%)
0.30%, 10/1/10 (b) 5,000,000 4,997,458
0.35%, 8/24/10 (b) 10,000,000 9,997,764
0.39%, 8/9/10 (b) 10,032,000 10,031,131
0.43%, 9/1/10 (b) 5,200,000 5,198,074
0.45%, 10/13/10 (b) 10,000,000 9,992,903
------------
40,217,330
------------
TOTAL U.S. GOVERNMENT AGENCIES 113,009,197
------------
U.S. TREASURY OBLIGATIONS (0.5%)
U.S. TREASURY NOTES (0.5%)
2.38%, 8/31/10 5,000,000 5,007,683
------------
TOTAL U.S. TREASURY OBLIGATIONS 5,007,683
------------
CERTIFICATES OF DEPOSIT (4.4%)
COMMERCIAL BANKS (1.1%)
Toronto Dominion, 0.33%, 9/20/10 5,000,000 5,000,000
Toronto Dominion, 0.45%, 11/5/10 5,000,000 5,000,000
------------
10,000,000
------------
COMMERCIAL BANKS-EASTERN U.S. (3.3%)
Rabobank Nederland, New York Branch, 0.52%, 9/14/10 5,000,000 5,000,724
Rabobank Nederland NV, 0.30%, 9/10/10 10,000,000 10,000,000
Rabobank Nederland NV, 0.44%, 1/28/11 15,000,000 15,000,000
------------
30,000,724
------------
TOTAL CERTIFICATES OF DEPOSIT 40,000,724
------------
Continued
9
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
July 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
COMMERCIAL PAPER (19.7%)
ASSET BACKED COMMERCIAL PAPER (2.3%)
Falcon Asset Securitization Co. LLC, 0.35%, 10/22/10 (b) $ 10,000,000 $ 9,992,028
Old Line Funding LLC, 0.45%, 9/20/10 (b) 6,094,000 6,090,191
Old Line Funding LLC, 0.48%, 9/2/10 (b) 5,000,000 4,997,866
------------
21,080,085
------------
BEVERAGES-NON ALCOHOLIC (1.1%)
Coca-Cola Co. (The), 0.35%, 10/19/10 ** (b) 5,000,000 4,996,160
Coca-Cola Co. (The), 0.49%, 2/1/11 (b) 5,000,000 4,987,478
------------
9,983,638
------------
COMMERCIAL BANKS NON-U.S. (2.7%)
Bank of Nova Scotia, 0.40%, 10/22/10 ** 5,000,000 4,995,445
National Australia Funding, 0.36%, 1/3/11 (b) 10,000,000 9,984,500
National Australia Funding, 0.42%, 9/13/10 (b) 10,000,000 9,994,983
------------
24,974,928
------------
COSMETICS & TOILETRIES (2.7%)
Procter & Gamble Co. (The), 0.24%, 10/6/10 (b) 10,000,000 9,995,600
Procter & Gamble Co. (The), 0.27%, 11/17/10 (b) 15,000,000 14,987,850
------------
24,983,450
------------
FIDUCIARY BANKS (1.6%)
State Street Corp., 0.48%, 9/27/10 10,000,000 9,992,400
State Street Corp., 0.54%, 9/16/10 5,000,000 4,996,933
------------
14,989,333
------------
FINANCE-AUTO LOANS (3.7%)
Toyota Motor Credit Corp., 0.40%, 10/25/10 5,000,000 4,995,278
Toyota Motor Credit Corp., 0.57%, 8/23/10 10,000,000 9,996,517
Toyota Motor Credit Corp., 0.57%, 9/9/10 5,000,000 4,996,912
Toyota Motor Credit Corp., 0.60%, 10/1/10 14,000,000 13,988,139
------------
33,976,846
------------
FOOD-MISCELLANEOUS/DIVERSIFIED (2.2%)
Nestle Capital Corp., 0.29%, 11/4/10 (b) 10,000,000 9,992,347
Nestle Capital Corp., 0.38%, 12/6/10 ** (b) 10,000,000 9,986,594
------------
19,978,941
------------
MEDICAL-HOSPITALS (0.5%)
Essentia Health, 0.23%, 8/27/10 (LOC: Wells Fargo) 4,805,000 4,803,855
------------
POLLUTION (0.4%)
California Pollution Control Funding Authority,
0.35%, 8/10/10 (LOC: BP PLC) 3,250,000 3,250,000
------------
Continued
10
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
COMMERCIAL PAPER, CONTINUED
SCHOOLS (2.1%)
University of Michigan, 0.26%, 9/1/10 $ 7,680,000 $ 7,680,000
University of Michigan, 0.35%, 9/22/10 6,095,000 6,095,000
University of Michigan, 0.37%, 10/4/10 5,000,000 5,000,000
------------
18,775,000
------------
U.S. MUNICIPALS (0.4%)
Walnut Energy Center Authority, 0.35%, 9/22/10
(LOC: State Street Corp.) 4,000,000 3,997,978
------------
TOTAL COMMERCIAL PAPER 180,794,054
------------
DEMAND NOTES (6.1%)
COMMERCIAL SERVICES (1.1%)
World Wildlife Fund, 0.32%, 7/1/30,
(LOC: JP Morgan, Inc.) (a) 9,650,000 9,650,000
------------
DIVERSIFIED FINANCIAL SERVICES (0.5%)
Harry W. Albright Jr., Series 1996, 0.57%, 5/1/21,
(LOC: Bank of America) (a) 4,700,000 4,700,000
------------
REVENUE BONDS (0.8%)
Metrodev Newark LLC, 0.43%, 7/1/33,
(LOC: PNC Bank NA) (a) 7,700,000 7,700,000
------------
SPECIAL PURPOSE ENTITY (3.7%)
Capital One Funding Corp., Series 1996-H, 0.42%, 10/1/21,
(LOC: JP Morgan, Inc.) (a) (b) 267,000 267,000
Capital One Funding Corp., Series 1997-D, 0.37%, 7/2/18,
(LOC: JP Morgan, Inc.) (a) (b) 401,000 401,000
Capital One Funding Corp., Series 2001-C, 0.37%, 1/4/27,
(LOC: JP Morgan, Inc.) (a) 1,046,000 1,046,000
Erickson Foundation, Inc. (The), 0.31%, 12/1/17,
(LOC: FHLB) (a) 15,000,000 15,000,000
First Church of God Vancouver, 1.31%, 4/1/15,
(LOC: US Bancorp) (a) 740,000 740,000
New Belgium Brewing Co., Inc., Series 2000, 0.37%, 7/1/15,
(LOC: Wells Fargo & Co.) (a) 1,025,000 1,025,000
Rush Medical Foundation, 0.31%, 12/1/31
(LOC: US Bank) (a) 5,400,000 5,400,000
Saddleback Valley Community Church, 0.31%, 11/1/38,
(LOC: FHLB) (a) 9,770,000 9,770,000
SGS Tool Co., Series 1999, 0.48%, 12/1/12,
(LOC: JP Morgan, Inc.) (a) 350,000 350,000
------------
33,999,000
------------
TOTAL DEMAND NOTES 56,049,000
------------
Continued
11
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
MUNICIPAL DEMAND NOTES (28.5%)
CALIFORNIA (1.8%)
Abag Finance Authority for Nonprofit Corps.,
YMCA of San Francisco, Series A, 0.45%, 10/1/29,
(LOC: Wells Fargo & Co.) (a) $ 8,375,000 $ 8,375,000
County of Riverside, CP, 0.30%, 11/1/20,
(LOC: State Street Corp.) (a) 5,900,000 5,900,000
Statewide Communities Development Authority,
Broadway Studios, 0.41%, 4/1/50, (LOC: FHLB) (a) 2,300,000 2,300,000
------------
16,575,000
------------
COLORADO (1.3%)
Housing & Finance Authority,
Single Family Mortgage Bonds, Series A1,
0.33%, 11/1/30, (LOC: FMNA/FHLMC) (a) 3,760,000 3,760,000
Housing & Finance Authority, Single Family Mortgage Bonds,
Series I-B1, 0.31%, 5/1/38,
(LOC: FMNA/FHLMC) (a) 6,425,000 6,425,000
Pueblo Housing Authority, 0.37%, 12/1/18,
(LOC: Wells Fargo & Co.) (a) (b) 1,400,000 1,400,000
------------
11,585,000
------------
DISTRICT OF COLUMBIA (0.2%)
District of Columbia, Pew Charitables Trust,
Series B, 0.31%, 4/1/38,
(LOC: PNC Bank NA) (a) 1,535,000 1,535,000
------------
FLORIDA (3.7%)
Miami-Dade County Industrial Development Authority,
Dolphin Stadium Project, 0.30%, 7/1/37,
(LOC: Societe Generale) (a) 19,000,000 19,000,000
Miami-Dade County Industrial Development Authority,
Miami Stadium Project, 0.35%, 7/1/37,
(LOC: TD Bank N.A.) (a) 5,000,000 5,000,000
Municipal Power Agency, All Required Project,
Series D, 0.32%, 10/1/25, (LOC: Bank of America) (a) 10,000,000 10,000,000
------------
34,000,000
------------
GEORGIA (1.1%)
Savannah College of Art & Design, Inc., Series 2004 BD,
0.35%, 4/1/24, (LOC: Bank of America) (a) 9,838,000 9,838,000
------------
ILLINOIS (1.9%)
County of Will, Exxon Mobil Project, AMT, 0.16%, 4/1/26,
(LOC: Exxon Mobil Corp.) (a) 6,815,000 6,815,000
Finance Authority, CHF-Dekalb LLC, Series B, 0.80%, 7/1/13,
(LOC: Banco Santander SA) (a) 440,000 440,000
Continued
12
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
MUNICIPAL DEMAND NOTES, CONTINUED
ILLINOIS, CONTINUED
Finance Authority, Fairview Ministries, Inc.,
Series D, 0.31%, 8/15/42, (LOC: Bank of America) (a) $ 4,455,000 $ 4,455,000
Finance Authority, Franciscan Communities,
Series B, 0.40%, 5/1/36, (LOC: Bank of America) (a) 5,780,000 5,780,000
------------
17,490,000
------------
INDIANA (0.2%)
Finance Authority, Hamilton Grove Project,
Series B, 0.31%, 4/1/38, (LOC: Bank of America) (a) 2,065,000 2,065,000
------------
IOWA (0.5%)
Dallas County Industrial Development, Sioux City Brick and Tile,
Series B, 0.31%, 9/1/21, (LOC: U.S. Bancorp) (a) 4,850,000 4,850,000
------------
KENTUCKY (2.9%)
Louisville & Jefferson County Regional Airport Authority,
Series A, AMT, 0.31%, 1/1/29,
(LOC: United Parcel Service, Inc.) (a) 26,800,000 26,800,000
------------
MARYLAND (0.9%)
Health & Higher Educational Facilities Authority,
Adventist Healthcare, Series B, 0.31%, 1/1/35,
(LOC: Deutsche Bank) (a) 7,990,000 7,990,000
------------
MISSISSIPPI (3.9%)
Business Finance Corp., Chevron USA, Inc. Project,
Series B, 0.25%, 12/1/30, (LOC: Chevron) (a) 10,000,000 10,000,000
Business Finance Corp., Chevron USA, Inc. Project,
Series C, 0.17%, 12/1/30, (LOC: Chevron) (a) 9,900,000 9,900,000
Business Finance Corp., Chevron USA, Inc. Project,
Series G, 0.18%, 12/1/30, (LOC: Chevron) (a) 15,800,000 15,800,000
------------
35,700,000
------------
NEW MEXICO (0.1%)
City of Portales, CHF-Portales LLC Project at
Eastern New Mexico University,
Series B, 0.80%, 7/1/13, (LOC: Banco Santander SA) (a) 240,000 240,000
City of Roswell, Series B, 0.80%, 7/1/14,
(LOC: Banco Santander SA) (a) 240,000 240,000
------------
480,000
------------
NEW YORK (0.4%)
Albany Industrial Development Agency, Living
Resources Corp. Project, Series B, 0.46%, 2/1/12,
(LOC: HSBC Holdings PLC) (a) 275,000 275,000
Continued
13
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
MUNICIPAL DEMAND NOTES, CONTINUED
NEW YORK, CONTINUED
New York City Housing Development Corp., Verde
Cooperative, Series A, 0.34%, 1/1/16,
(LOC: JP Morgan, Inc.) (a) $ 3,710,000 $ 3,710,000
------------
3,985,000
------------
OHIO (1.1%)
County of Cuyahoga, Eliza Jennings, Series C, 0.56%, 5/1/42,
(LOC: Banco Santander SA) (a) 350,000 350,000
County of Hamilton Hospital Facilities Revenue,
Elizabeth Gamble, Series A, 0.29%, 6/1/27,
(LOC: Northern Trust Company) (a) 9,600,000 9,600,000
------------
9,950,000
------------
PENNSYLVANIA (2.0%)
Blair County Industrial Development Authority, 0.31%, 10/1/28,
(LOC: PNC Bank NA) (a) 5,000,000 5,000,000
Delaware County Industrial
Development Authority, 0.22%, 12/1/15,
(LOC: United Parcel Service, Inc.) (a) 3,200,000 3,200,000
Economic Development Financing Authority,
Delancy Corp. Project, Series C, 0.33%, 9/1/14,
(LOC: PNC Bank NA) (a) 930,000 930,000
Pittsburgh Water & Sewer Authority, Series B2, 0.25%, 9/1/39,
(LOC: PNC Bank NA) (a) 8,745,000 8,745,000
------------
17,875,000
------------
TEXAS (2.6%)
Port Corpus Christi Industrial Development Corp., Citgo
Petroleum Rmkt, AMT, 0.30%, 11/1/31,
(LOC: BNP Paribas) (a) 10,000,000 10,000,000
Port of Port Arthur Navigation District Fina Oil and
Chemical Co. Project, AMT, 0.27%, 5/1/33,
(LOC: Total SA) (a) 5,025,000 5,025,000
Veterans Housing Assistance Program,
Series A, GO, AMT, 0.28%, 12/1/34,
(LOC: State Street Corp.) (a) 8,430,000 8,430,000
------------
23,455,000
------------
UTAH (2.7%)
Telecommunication Open Infrastructure Agency,
0.33%, 6/1/40, (LOC: FHLB) (a) 25,000,000 25,000,000
------------
WASHINGTON (1.0%)
State Housing Finance Commission, Multi-Family,
Country Club Apartments, Series A, AMT,
0.29%, 8/1/32, (LOC: U.S. Bancorp) (a) 5,620,000 5,620,000
Continued
14
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ ------------
MUNICIPAL DEMAND NOTES, CONTINUED
WASHINGTON, CONTINUED
State Housing Finance Commission, Multi-Family,
Monticello Park Project, Series B,
0.33%, 9/1/34, (LOC: FNMA) (a) $ 3,395,000 $ 3,395,000
------------
9,015,000
------------
WISCONSIN (0.2%)
City of Whitewater, Husco International, Inc. Project, AMT,
0.45%, 12/1/12, (LOC: JP Morgan, Inc.) (a) 2,300,000 2,300,000
------------
TOTAL MUNICIPAL DEMAND NOTES 260,488,000
------------
SHARES
------------
MONEY MARKETS (3.5%)
AIM STIT Liquid Assets Portfolio (c) 30,737,369 30,737,369
Goldman Sachs Financial Square Prime Obligations Fund (c) 1,110,110 1,110,110
------------
TOTAL MONEY MARKETS 31,847,479
------------
PRINCIPAL
AMOUNT
------------
REPURCHASE AGREEMENTS (13.1%)
Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $35,000,613, Collateralized by
U.S. Treasury Security, 4.25%, 11/15/17,
value $35,700,110) $ 35,000,000 35,000,000
Deutsche Bank, 0.20%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $50,000,833, Collateralized by
various U.S. Government Agency Securities,
0.00%-6.25%, 8/10/10-8/7/28, value $51,000,235) 50,000,000 50,000,000
Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $30,000,550, Collateralized by
U.S. Treasury Security, 3.38%, 11/15/19, value $30,600,016) 30,000,000 30,000,000
UBS Investment Bank, 0.19%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $4,505,071, Collateralized by Federal
Farm Credit Bank, 0.00%, 1/25/13, value $4,599,310) 4,505,000 4,505,000
------------
TOTAL REPURCHASE AGREEMENTS 119,505,000
------------
TOTAL INVESTMENTS (COST $908,925,943)(+) - 99.4% 908,925,943
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% 5,513,812
------------
NET ASSETS - 100.0% $914,439,755
============
Continued
15
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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 July
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) 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
FHLMC - Federal Home Loan Mortgage Corp.
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
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
CORPORATE BONDS (7.0%)
COMPUTERS (0.3%)
International Business Machines Corp., 1.07%, 7/28/11 (a) $ 10,000,000 $ 10,062,909
--------------
DIVERSIFIED BANKS (0.5%)
JPMorgan Chase & Co., 5.60%, 6/1/11 15,235,000 15,851,301
--------------
DIVERSIFIED FINANCIAL SERVICES (4.2%)
General Electric Capital Corp., 0.51%, 8/15/11 (a) 6,160,000 6,150,721
General Electric Capital Corp., 0.58%, 4/28/11 (a) 10,000,000 9,985,967
General Electric Capital Corp., 4.88%, 10/21/10 16,000,000 16,149,948
General Electric Capital Corp., 5.00%, 12/1/10 10,000,000 10,149,855
General Electric Capital Corp., Series A, 4.25%, 9/13/10 14,600,000 14,659,716
General Electric Capital Corp., Series A, 4.25%, 12/1/10 14,580,000 14,757,412
General Electric Capital Corp., Series A, 6.13%, 2/22/11 49,826,000 51,333,887
General Electric Capital Corp., Series G, 0.35%, 1/26/11 (a) 15,000,000 14,981,505
--------------
138,169,011
--------------
FINANCE-INVESTMENT BANKER/BROKER (0.9%)
Bear Stearns Cos. LLC (The), 0.57%, 1/31/11 (a) 12,426,000 12,438,687
Bear Stearns Cos. LLC (The), 4.50%, 10/28/10 17,000,000 17,155,853
--------------
29,594,540
--------------
INSURANCE (0.4%)
Berkshire Hathaway, Inc., 0.35%, 2/10/11 (a) 10,000,000 10,000,000
Berkshire Hathaway Finance Corp., 4.20%, 12/15/10 4,595,000 4,659,100
--------------
14,659,100
--------------
MEDICAL INSTRUMENTS (0.1%)
Medtronic, Inc., Series B, 4.38%, 9/15/10 2,150,000 2,159,745
--------------
U.S GOVERNMENT AGENCIES (0.6%)
Citibank NA, Series 1, 0.53%, 7/12/11 (a) (d) 18,665,000 18,686,833
--------------
TOTAL CORPORATE BONDS 229,183,439
--------------
U.S. GOVERNMENT AGENCIES (11.1%)
FANNIE MAE (2.9%)
0.34%, 11/15/10 ** 15,000,000 14,984,983
0.46%, 3/1/11 ** 15,000,000 14,959,367
1.38%, 4/28/11 9,600,000 9,670,727
2.75%, 4/11/11 9,200,000 9,350,728
2.88%, 10/12/10 15,335,000 15,408,582
3.25%, 8/12/10 15,000,000 15,012,168
4.75%, 12/15/10 14,960,000 15,201,790
--------------
94,588,345
--------------
Continued
17
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FEDERAL HOME LOAN BANK (0.3%)
4.13%, 8/13/10 $ 5,025,000 $ 5,030,784
5.13%, 9/10/10 4,600,000 4,622,297
--------------
9,653,081
--------------
FREDDIE MAC (3.6%)
0.25%, 5/4/11 (a) 15,000,000 14,993,121
0.32%, 11/16/10 ** 25,000,000 24,976,222
0.33%, 1/15/42 (a) 7,328,951 7,328,951
0.38%, 8/10/10 (a) 35,000,000 35,000,000
1.50%, 1/7/11 15,000,000 15,072,487
5.00%, 10/18/10 9,825,000 9,920,977
6.88%, 9/15/10 10,000,000 10,080,536
--------------
117,372,294
--------------
STRAIGHT-A FUNDING LLC (4.3%)
0.30%, 10/1/10 (b) 30,000,000 29,984,750
0.35%, 8/24/10 (b) 25,661,000 25,655,262
0.39%, 8/12/10 (b) 25,000,000 24,997,021
0.41%, 8/16/10 (b) 17,639,000 17,635,987
0.43%, 9/1/10 (b) 25,000,000 24,990,743
0.45%, 9/1/10 (b) 19,206,000 19,198,888
--------------
142,462,651
--------------
TOTAL U.S. GOVERNMENT AGENCIES 364,076,371
--------------
U.S. TREASURY OBLIGATIONS (0.3%)
U.S. TREASURY NOTES (0.3%)
2.38%, 8/31/10 10,000,000 10,015,365
--------------
TOTAL U.S. TREASURY OBLIGATIONS 10,015,365
--------------
CERTIFICATES OF DEPOSIT (8.9%)
COMMERCIAL BANKS (2.7%)
Bank of Montreal, 0.37%, 8/6/10 25,000,000 25,000,000
Toronto Dominion, 0.33%, 9/20/10 20,000,000 20,000,000
Toronto Dominion, 0.46%, 11/5/10 20,000,000 20,000,000
Toronto Dominion, 0.50%, 1/4/11 25,000,000 25,000,000
--------------
90,000,000
--------------
COMMERCIAL BANKS-EASTERN U.S. (5.1%)
Rabobank Nederland NV, 0.30%, 9/10/10 25,000,000 25,000,000
Rabobank Nederland NV, 0.44%, 1/28/11 35,000,000 35,000,000
Rabobank Nederland, New York Branch, 0.36%, 9/7/10 25,000,000 25,000,254
Continued
18
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
CERTIFICATES OF DEPOSIT, CONTINUED
COMMERCIAL BANKS-EASTERN U.S., CONTINUED
Rabobank Nederland, New York Branch, 0.52%, 9/14/10 $ 15,000,000 $ 15,002,172
Societe Generale New York, Inc., 0.35%, 8/4/10 64,600,000 64,600,241
--------------
164,602,667
--------------
COMMERCIAL BANKS-NON U.S. (1.1%)
Societe Generale North America, Inc., 0.23%, 8/2/10 35,000,000 34,999,776
--------------
TOTAL CERTIFICATES OF DEPOSIT 289,602,443
--------------
COMMERCIAL PAPER (21.6%)
ASSET BACKED COMMERCIAL PAPER (2.8%)
Falcon Asset Securitization Co.
LLC, 0.35%, 10/22/10 (b) 25,000,000 24,980,069
Old Line Funding LLC, 0.43%, 10/1/10 (b) 25,000,000 24,981,785
Old Line Funding LLC, 0.45%, 9/20/10 (b) 20,000,000 19,987,500
Old Line Funding LLC, 0.48%, 9/2/10 (b) 20,000,000 19,991,467
--------------
89,940,821
--------------
BEVERAGES-NON ALCOHOLIC (1.2%)
Coca-Cola Co. (The), 0.36%, 10/19/10 ** (b) 20,000,000 19,984,639
Coca-Cola Co. (The), 0.49%, 2/1/11 (b) 20,000,000 19,949,911
--------------
39,934,550
--------------
COMMERCIAL BANKS NON-U.S. (4.7%)
Bank of Nova Scotia, 0.34%, 9/22/10 ** 25,000,000 24,987,722
Bank of Nova Scotia, 0.35%, 9/13/10 25,000,000 24,999,992
Bank of Nova Scotia, 0.40%, 10/22/10 ** 20,000,000 19,981,778
Bank of Nova Scotia, 0.45%, 8/9/10 25,000,000 24,997,500
National Australia Funding, 0.36%, 1/3/11 (b) 35,000,000 34,945,750
National Australia Funding, 0.42%, 9/13/10 (b) 25,000,000 24,987,458
--------------
154,900,200
--------------
COSMETICS & TOILETRIES (0.8%)
Procter & Gamble Co. (The), 0.24%, 10/6/10 (b) 25,000,000 24,989,000
--------------
FIDUCIARY BANKS (2.8%)
State Street Corp., 0.48%, 9/27/10 40,000,000 39,969,600
State Street Corp., 0.53%, 9/8/10 25,000,000 24,987,333
State Street Corp., 0.54%, 9/16/10 25,000,000 24,984,667
--------------
89,941,600
--------------
Continued
19
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
COMMERCIAL PAPER, CONTINUED
FINANCE-AUTO LOANS (3.5%)
Toyota Motor Credit Corp., 0.40%, 10/25/10 $ 35,000,000 $ 34,966,945
Toyota Motor Credit Corp., 0.50%, 10/1/10 35,000,000 34,970,347
Toyota Motor Credit Corp., 0.57%, 8/23/10 20,000,000 19,993,033
Toyota Motor Credit Corp., 0.57%, 9/9/10 25,000,000 24,984,563
--------------
114,914,888
--------------
FOOD-MISCELLANEOUS/DIVERSIFIED (1.5%)
Nestle Capital Corp., 0.38%, 12/6/10 ** (b) 25,000,000 24,966,486
Nestle Capital Corp., 0.39%, 12/14/10 (b) 25,000,000 24,963,438
--------------
49,929,924
--------------
MEDICAL-HOSPITALS (0.4%)
Essentia Health, 0.23%, 8/27/10 (LOC: Wells Fargo) 14,000,000 13,996,663
--------------
REGIONAL AUTHORITY (0.3%)
Texas Public Finance Authority, 0.35%, 8/9/10 8,450,000 8,450,000
--------------
SCHOOLS (1.1%)
University of Michigan, 0.26%, 9/1/10 25,000,000 25,000,000
University of Michigan, 0.37%, 10/4/10 12,000,000 12,000,000
--------------
37,000,000
--------------
U.S. MUNICIPALS (0.6%)
Walnut Energy Center Authority, 0.35%, 9/22/10,
(LOC: State Street Corp.) 19,980,000 19,969,899
--------------
WATER (1.9%)
Massachusetts State Water
Resources, 0.30%, 8/5/10 (LOC: Bayerische Landesbank) 63,000,000 63,000,000
--------------
TOTAL COMMERCIAL PAPER 706,967,545
--------------
DEMAND NOTES (3.8%)
BUILDING PRODUCTS-CEMENT & AGGREGATE (0.7%)
Sioux City Brick & Tile Co., 0.32%, 12/1/36,
(LOC: US Bancorp) (a) (b) 23,450,000 23,450,000
--------------
FINANCE-OTHER SERVICES (0.9%)
Lexington Financial Services LLC, 0.31%, 1/1/33,
(LOC: Bank of America) (a) 29,335,000 29,335,000
--------------
SPECIAL PURPOSE ENTITY (2.2%)
Corporate Finance Managers, Inc., 0.32%, 2/2/43,
(LOC: Wells Fargo & Co.) (a) 11,945,000 11,945,000
Erickson Foundation, Inc. (The), 0.31%, 12/1/17,
(LOC: FHLB) (a) 25,000,000 25,000,000
Continued
20
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
DEMAND NOTES, CONTINUED
SPECIAL PURPOSE ENTITY, CONTINUED
Gulf Gate Apartments, Series 2003, 0.32%, 9/1/28,
(LOC: Wells Fargo & Co.) (a) (b) $ 7,295,000 $ 7,295,000
Pershing Drive Associates L.P., 0.44%, 12/15/28,
(LOC: Royal Bank of Canada) (a) 11,090,000 11,090,000
Rush Medical Foundation, 0.31%, 12/1/31, (LOC: US Bank) (a) 5,400,000 5,400,000
Saddleback Valley Community Church, 0.31%, 11/1/38,
(LOC: FHLB) (a) 11,090,000 11,090,000
--------------
71,820,000
--------------
TOTAL DEMAND NOTES 124,605,000
--------------
MUNICIPAL DEMAND NOTES (26.6%)
ARIZONA (0.3%)
Glendale Industrial Development Authority, Thunderbird,
Garvin School, Series B, 0.30%, 7/1/35,
(LOC: Bank of New York Co., Inc.) (a) 11,255,000 11,255,000
--------------
CALIFORNIA (0.9%)
Sacramento County Housing Authority, Multi-Family,
Natomas Park Apartments, Series B, 0.33%, 7/15/35,
(LOC: FNMA) (a) 915,000 915,000
Statewide Communities Development Authority,
Multi-Family Housing, Series X-T, 0.37%, 10/15/32,
(LOC: FNMA) (a) 300,000 300,000
Statewide Communities Development Authority,
Multi-Family, Valley Palms Apartments,
Series C-T, 0.30%, 5/15/35, (LOC: FNMA) (a) 1,835,000 1,835,000
Economic Recovery Bonds, Series C-11,
GO, 0.21%, 7/1/23, (LOC: BNP Paribas) (a) 14,900,000 14,900,000
Housing Finance Agency, Housing Program Bonds,
Series B, 0.30%, 8/1/36, (LOC: FMNA/FHLMC) (a) 9,155,000 9,155,000
Kern Water Bank Authority, Series B, 0.32%, 7/1/28,
(LOC: Wells Fargo & Co.) (a) 3,716,000 3,716,000
--------------
30,821,000
--------------
COLORADO (0.6%)
Housing & Finance Authority, Single Family Mortgage Bonds,
Series I, 0.33%, 11/1/36, (LOC: FMNA/FHLMC) (a) 6,430,000 6,430,000
Housing & Finance Authority, Single Family Mortgage Bonds,
Series I-B2, 0.31%, 11/1/33, (LOC: FMNA/FHLMC) (a) 12,405,000 12,405,000
--------------
18,835,000
--------------
DISTRICT OF COLUMBIA (0.9%)
District of Columbia, Georgetown University, Series B-2,
0.22%, 4/1/41, (LOC: JP Morgan, Inc.) (a) 13,280,000 13,280,000
Continued
21
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
DISTRICT OF COLUMBIA, CONTINUED
District of Columbia, Georgetown University, Series C,
0.22%, 4/1/42, (LOC: TD Bank N.A.) (a) $ 15,000,000 $ 15,000,000
--------------
28,280,000
--------------
FLORIDA (2.7%)
University South Florida Research Foundation, Inc., Series C,
0.35%, 8/1/34, (LOC: Bank of America) (a) 9,800,000 9,800,000
Miami-Dade County Industrial Development Authority,
Dolphin Stadium Project, 0.30%, 7/1/37,
(LOC: Societe Generale) (a) 45,000,000 45,000,000
Municipal Power Agency, All Required Project, Series D,
0.32%, 10/1/25, (LOC: Bank of America) (a) 32,295,000 32,295,000
--------------
87,095,000
--------------
GEORGIA (0.3%)
Augusta Housing Authority, Westbury Creek Apartments,
Series B, 0.37%, 5/15/33, (LOC: FNMA) (a) 500,000 500,000
Winder-Barrow County Joint Development Authority,
Republic Services, Inc. Project, 0.25%, 11/1/34,
(LOC: Wells Fargo & Co.) (a) 8,800,000 8,800,000
--------------
9,300,000
--------------
ILLINOIS (2.0%)
City of Chicago Midway Airport Revenue, Series A-2,
0.32%, 1/1/25, (LOC: JP Morgan, Inc.) (a) 16,500,000 16,500,000
County of Will, Exxon Mobil Project, AMT, 0.16%, 4/1/26,
(LOC: Exxon Mobil Corp.) (a) 20,000,000 20,000,000
Finance Authority, Commonwealth Edison Co. Project,
Series F, 0.24%, 3/1/17, (LOC: JP Morgan, Inc.) (a) 10,100,000 10,100,000
Finance Authority, Fairview Village, Series E, 0.31%, 8/15/42,
(LOC: Bank of America) (a) 6,135,000 6,135,000
Finance Authority, Franciscan Communities, Series B,
0.40%, 5/1/36, (LOC: Bank of America) (a) 11,655,000 11,655,000
--------------
64,390,000
--------------
INDIANA (2.0%)
City of Indianapolis Development, Multi-Family Housing,
Pedcor Investments, Series B, 0.50%, 11/1/36,
(LOC: FHLB) (a) 951,000 951,000
County of Vigo, Republic Services, Inc. Project, AMT,
0.32%, 7/1/33, (LOC: Wells Fargo & Co.) (a) 10,000,000 10,000,000
Health Facility Financing Authority, Community Foundation
of Northwest Indiana, Series B, 0.31%, 8/1/25,
(LOC: Bank of Montreal) (a) 20,580,000 20,580,000
Continued
22
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
INDIANA, CONTINUED
Housing & Community Development Authority,
Series A-2, AMT, 0.29%, 1/1/37,
(LOC: FNMA/FHLMC) (a) $ 25,000,000 $ 25,000,000
Terre Haute, Westminister Village, Series B, 0.39%, 8/1/36,
(LOC: Banco Santander SA) (a) 9,300,000 9,300,000
--------------
65,831,000
--------------
KENTUCKY (2.5%)
County of Boone, Northern Kentucky University
Metropolitan Education and Training Services Center
Project, 0.47%, 6/1/23, (LOC: U.S. Bancorp) (a) 4,445,000 4,445,000
Louisville & Jefferson County Regional Airport Authority,
Series A, AMT, 0.31%, 1/1/29,
(LOC: United Parcel Service, Inc.) (a) 37,000,000 37,000,000
Louisville & Jefferson County Regional Airport Authority,
Series C, AMT, 0.19%, 1/1/29,
(LOC: United Parcel Service, Inc.) (a) 40,500,000 40,500,000
--------------
81,945,000
--------------
MARYLAND (1.1%)
Health & Higher Educational Facilities Authority,
Adventist Healthcare, Series B, 0.31%, 1/1/35,
(LOC: Deutsche Bank) (a) 21,995,000 21,995,000
Health & Higher Educational Facilities Authority,
Charlestown Community, Series B, 0.32%, 1/1/28,
(LOC: Bank of America) (a) 14,500,000 14,500,000
--------------
36,495,000
--------------
MASSACHUSETTS (1.1%)
Development Finance Agency, Briarwood, Series B,
0.39%, 1/1/35, (LOC: Banco Santander SA) (a) 8,650,000 8,650,000
Development Finance Agency, Linden Ponds, Inc.,
Series C, 0.46%, 11/1/42, (LOC: Banco Santander SA) (a) 10,000,000 10,000,000
Simmons College, 0.34%, 10/1/22, (LOC: JP Morgan, Inc.) (a) 17,260,000 17,260,000
--------------
35,910,000
--------------
MICHIGAN (0.4%)
Charter Township of Canton, GO, 2.75%, 3/1/11,
(LOC: Comerica Bank) 500,000 500,000
Charter Township of Ypsilanti, Capital Improvements,
Series B, GO, 2.75%, 4/1/19, (LOC: Comerica Bank) 2,280,000 2,280,000
University of Michigan Hospital, Series A, 0.21%, 12/1/35,
(LOC: University of Michigan) (a) 10,500,000 10,500,000
--------------
13,280,000
--------------
Continued
23
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
MINNESOTA (0.7%)
City of Plymouth, Carlson Center Project, 0.37%, 4/1/12,
(LOC: U.S. Bancorp) (a) $ 400,000 $ 400,000
City of St Paul, 0.32%, 11/1/25, (LOC: U.S. Bancorp) (a) 12,100,000 12,100,000
Office of Higher Education, Supplemental Student Loan,
Series A, 0.32%, 12/1/43, (LOC: U.S. Bancorp) (a) 10,000,000 10,000,000
--------------
22,500,000
--------------
MISSISSIPPI (2.5%)
Business Finance Corp., Chevron USA, Inc. Project,
Series B, 0.25%, 12/1/30, (LOC: Chevron) (a) 20,000,000 20,000,000
Business Finance Corp., Chevron USA, Inc. Project,
Series C, 0.17%, 12/1/30, (LOC: Chevron) (a) 35,050,000 35,050,000
Business Finance Corp., Chevron USA, Inc. Project,
Series G, 0.18%, 12/1/30, (LOC: Chevron) (a) 26,000,000 26,000,000
--------------
81,050,000
--------------
NEW MEXICO (0.1%)
City of Albuquerque Industrial, KTECH Corp. Project,
0.37%, 11/1/22, (LOC: Wells Fargo & Co.) (a) 3,940,000 3,940,000
City of Albuquerque Industrial, KTECH Corp. Project,
0.37%, 8/1/25, (LOC: Wells Fargo & Co.) (a) 1,400,000 1,400,000
--------------
5,340,000
--------------
NEW YORK (0.2%)
New York City Housing Development Corp., Verde Apartments,
Series A, 0.34%, 1/1/16, (LOC: JP Morgan, Inc.) (a) 6,300,000 6,300,000
--------------
OHIO (2.3%)
Air Quality Development Authority, AK Steel Project,
Series B, 0.35%, 6/1/24, (LOC: Royal Bank of Scotland) (a) 26,000,000 26,000,000
City of Cleveland, Airport System, Series B, 0.34%, 1/1/20,
(LOC: U.S. Bancorp) (a) 5,875,000 5,875,000
County of Cuyahoga Health Care Facilities, Franciscan
Communities, Series F, 0.40%, 5/15/12,
(LOC: Bank of America) (a) 605,000 605,000
County of Hamilton Hospital Facilities Revenue,
Elizabeth Gamble, Series A, 0.27%, 6/1/27,
(LOC: Northern Trust Company) (a) 35,000,000 35,000,000
Ohio State University (The), 0.20%, 12/1/21,
(LOC: Ohio State University) (a) 6,700,000 6,700,000
--------------
74,180,000
--------------
PENNSYLVANIA (1.4%)
Berks County Municipal Authority, Phoebe-Devitt
Homes Project, Series C, 0.39%, 5/15/22,
(LOC: Banco Santander SA) (a) 2,645,000 2,645,000
Continued
24
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
PENNSYLVANIA, CONTINUED
Blair County Industrial Development Authority,
0.31%, 10/1/28, (LOC: PNC Bank NA) (a) $ 9,000,000 $ 9,000,000
Delaware County Industrial Development Authority,
0.22%, 12/1/15, (LOC: United Parcel Service, Inc.) (a) 33,370,000 33,370,000
--------------
45,015,000
--------------
SOUTH CAROLINA (1.1%)
Jobs-Economic Development Authority,
Republic Services, Inc. Project, 0.25%, 4/1/34,
(LOC: Wells Fargo & Co.) (a) 6,750,000 6,750,000
Jobs-Economic Development Authority, University Medical
Associations Refinance Project, 0.25%, 7/1/37,
(LOC: Wells Fargo & Co.) (a) (b) 28,100,000 28,100,000
--------------
34,850,000
--------------
TEXAS (2.7%)
Lower Neches Valley Authority Industrial Development Corp.,
ExxonMobil Project, Series B-4, AMT, 0.16%, 3/1/33,
(LOC: Exxon Mobil Corp.) (a) 10,330,000 10,330,000
Port Corpus Christi Industrial Development Corp.,
Citgo Petroleum Rmkt, AMT, 0.30%, 11/1/31,
(LOC: BNP Paribas) (a) 29,200,000 29,200,000
State Veterans Housing Fund, Series A-2, AMT, GO,
0.27%, 12/1/29, (LOC: Wells Fargo & Co.) (a) 14,700,000 14,700,000
Veterns Housing Assistance Program, Series A, GO, AMT,
0.28%, 12/1/34, (LOC: State Street Corp.) (a) 29,110,000 29,110,000
Veterns Housing Assistance Program, Series A-2, GO,
0.30%, 12/1/29, (LOC: JP Morgan, Inc.) (a) 5,000,000 5,000,000
--------------
88,340,000
--------------
UTAH (0.1%)
Telecommunication Open Infrastructure Agency,
0.33%, 6/1/40, (LOC: FHLB) (a) 2,000,000 2,000,000
--------------
VIRGINIA (0.2%)
Alexandria Industrial Development Authority, American
Academy of Otolaryngology, Series A, 0.32%, 7/1/30,
(LOC: Bank of America) (a) 8,450,000 8,450,000
--------------
WASHINGTON (0.2%)
State Housing Finance Commission, Multi-Family,
Granite Falls Retirement Plaza, Series B, 0.36%, 10/1/27,
(LOC: Wells Fargo & Co.) (a) 845,000 845,000
Continued
25
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
MUNICIPAL DEMAND NOTES, CONTINUED
WASHINGTON, CONTINUED
State Housing Finance Commission, Multi-Family,
Sir Summer Ridge Associates, Series B, 0.32%, 12/1/29,
(LOC: U.S. Bancorp) (a) $ 405,000 $ 405,000
State Housing Finance Commission, Multi-Family,
Vintage At Everett, Series B, 0.33%, 1/15/38,
(LOC: FNMA) (a) 1,285,000 1,285,000
State Housing Finance Commission, Rockwood Retirement
Communities, Series B, 0.30%, 1/1/30,
(LOC: Wells Fargo & Co.) (a) 3,945,000 3,945,000
--------------
6,480,000
--------------
WEST VIRGINIA (0.3%)
Brooke County, Bethany College Project, Series B, 0.33%,
12/1/37, (LOC: PNC Bank NA) (a) 5,000,000 5,000,000
Economic Development Authority, Appalachian Power Co.,
Series B, 0.20%, 12/1/42, (LOC: U.S. Bancorp) (a) 5,600,000 5,600,000
--------------
10,600,000
--------------
TOTAL MUNICIPAL DEMAND NOTES 868,542,000
--------------
SHARES
------------
MONEY MARKETS (3.9%)
AIM STIT Liquid Assets Portfolio (c) 127,543,835 127,543,835
Goldman Sachs Financial Square Prime Obligations Fund (c) 1,278,143 1,278,143
--------------
TOTAL MONEY MARKETS 128,821,978
--------------
PRINCIPAL
AMOUNT
------------
REPURCHASE AGREEMENTS (16.7%)
Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $150,002,625, Collateralized
by U.S. Treasury Security, 2.25%, 1/31/15,
value $153,000,037) $150,000,000 150,000,000
Deutsche Bank, 0.20%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $290,004,834, Collateralized
by various U.S. Government Agency Securities,
0.00%-6.63%, 9/13/10-10/17/36, value $295,800,631) 290,000,000 290,000,000
Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $100,001,833, Collateralized by
U.S. Treasury Security, 2.00%, 9/30/10, value $102,000,096) 100,000,000 100,000,000
Continued
26
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
REPURCHASE AGREEMENTS, CONTINUED
UBS Investment Bank, 0.19%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $7,522,119, Collateralized by
Federal Farm Credit Banks, 0.00%, 12/8/11-1/25/13,
value $7,673,018) $ 7,522,000 $ 7,522,000
--------------
TOTAL REPURCHASE AGREEMENTS 547,522,000
--------------
TOTAL INVESTMENTS (COST $3,269,336,141)(+) - 99.9% 3,269,336,141
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 3,342,746
--------------
NET ASSETS - 100.0% $3,272,678,887
==============
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 July
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) FDIC guaranteed through Treasury Liquidity Guarantee Program
The following abbreviations are used in the Schedule of Investments:
AMT - Alternative Minimum Tax
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GO - General Obligation
LOC - Letter of Credit
At July 31, 2010, Institutional Money Market's investments were in the following
countries:
COUNTRY
- -------------------------------------------------------------------------------------------------
Canada 3.7%
France 2.0%
Netherlands 1.8%
United States 92.5%
--------------
TOTAL 100.0%
==============
See notes to schedules of investments and notes to financial statements.
27
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
CORPORATE BONDS (2.2%)
U.S GOVERNMENT AGENCIES (2.2%)
Bank of America NA, 0.72%, 12/23/10 (a) (d) $ 8,025,000 $ 8,038,097
General Electric Capital Corp., Series G, 1.63%, 1/7/11 (d) 17,604,000 17,688,532
Goldman Sachs Group, Inc. (The), 0.62%, 3/15/11 (a) (d) 5,560,000 5,568,635
Morgan Stanley, 2.90%, 12/1/10 (d) 10,000,000 10,080,445
SunTrust Bank, 1.19%, 12/16/10 (a) (d) 5,000,000 5,012,211
--------------
TOTAL CORPORATE BONDS 46,387,920
--------------
MORTGAGE-BACKED SECURITIES (3.3%)
CMBS OTHER (3.3%)
Freddie Mac, 0.33%, 8/15/21 (a) 2,515,000 2,515,000
Freddie Mac, 0.33%, 1/15/42 (a) 41,225,348 41,225,348
Freddie Mac, 0.33%, 10/15/45 (a) 25,347,365 25,347,365
--------------
TOTAL MORTGAGE-BACKED SECURITIES 69,087,713
--------------
U.S. GOVERNMENT AGENCIES (59.4%)
FANNIE MAE (12.8%)
0.12%, 8/2/10 ** 25,000,000 24,999,917
0.15%, 8/18/10 ** 69,848,000 69,843,052
0.23%, 8/11/10 ** 20,000,000 19,998,722
0.23%, 10/18/10 ** 3,865,000 3,863,158
0.25%, 8/12/10 ** 11,910,000 11,909,090
0.28%, 10/20/10 ** 15,000,000 14,990,667
0.30%, 8/5/10 (a) 7,400,000 7,400,044
0.30%, 10/4/10 ** 20,927,000 20,915,661
0.32%, 11/15/10 ** 15,000,000 14,985,867
0.35%, 12/1/10 ** 12,000,000 11,986,173
0.39%, 6/1/11 ** 10,000,000 9,967,066
0.42%, 7/6/11 ** 5,000,000 4,980,225
1.50%, 9/16/10 10,025,000 10,040,502
1.75%, 3/23/11 4,170,000 4,206,258
2.88%, 10/12/10 17,805,000 17,894,011
3.25%, 8/12/10 5,000,000 5,004,056
5.50%, 3/15/11 10,000,000 10,316,483
6.63%, 11/15/10 2,588,000 2,635,296
--------------
265,936,248
--------------
FEDERAL FARM CREDIT BANK (6.5%)
0.18%, 9/21/10 (a) 50,000,000 50,000,000
0.25%, 1/24/11 (a) 25,000,000 24,998,797
0.37%, 1/28/11 (a) 2,675,000 2,676,607
0.42%, 7/1/11 (a) 5,400,000 5,406,028
0.43%, 5/18/11 (a) 21,500,000 21,524,129
0.70%, 1/4/11 (a) 3,400,000 3,406,300
Continued
28
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FEDERAL FARM CREDIT BANK, CONTINUED
1.60%, 1/12/11 $ 10,000,000 $ 10,054,917
3.75%, 12/6/10 7,475,000 7,565,672
5.25%, 9/13/10 10,356,000 10,415,261
--------------
136,047,711
--------------
FEDERAL HOME LOAN BANK (16.2%)
0.20%, 9/29/10 ** 25,000,000 24,992,010
0.24%, 7/11/11 (a) 25,000,000 24,992,948
0.25%, 11/18/10 (a) 25,000,000 25,000,000
0.26%, 11/26/10 (a) 20,000,000 20,000,643
0.28%, 11/5/10 ** 20,000,000 19,985,067
0.30%, 5/13/11 (a) 3,000,000 2,999,980
0.31%, 11/19/10 (a) 26,500,000 26,496,374
0.50%, 10/29/10 9,000,000 9,003,439
0.57%, 4/13/11 16,000,000 16,002,176
0.88%, 1/20/11 1,000,000 1,002,116
0.95% 2/3/11 8,800,000 8,828,357
1.13%, 6/3/11 11,450,000 11,517,254
1.63%, 1/21/11 13,625,000 13,703,257
1.63%, 3/16/11 4,290,000 4,323,343
3.13%, 6/10/11 7,275,000 7,442,582
3.25%, 3/11/11 15,410,000 15,671,125
3.38%, 8/13/10 10,000,000 10,010,090
3.38%, 10/20/10 6,475,000 6,517,835
3.38%, 6/24/11 10,000,000 10,266,706
3.50%, 12/10/10 6,375,000 6,447,569
4.13%, 8/13/10 14,700,000 14,717,611
4.25%, 11/2/10 25,000,000 25,253,657
4.25%, 6/10/11 4,700,000 4,851,927
4.38%, 10/22/10 5,000,000 5,045,746
4.75%, 8/13/10 7,025,000 7,035,169
4.88%, 12/10/10 2,200,000 2,235,528
5.13%, 9/10/10 13,600,000 13,669,028
--------------
338,011,537
--------------
FREDDIE MAC (13.8%)
0.20%, 2/1/11 (a) 13,842,000 13,838,647
0.24%, 8/20/10 ** 15,000,000 14,998,140
0.25%, 5/4/11 (a) 30,000,000 30,005,900
0.26%, 1/3/11 ** 15,000,000 14,983,208
0.28%, 9/20/10 ** 20,000,000 19,992,222
0.31%, 11/9/10 ** 10,000,000 9,991,389
0.33%, 7/15/43 (a) 7,125,000 7,125,000
0.34%, 12/16/10 ** 5,000,000 4,993,530
0.38%, 8/10/10 (a) 25,000,000 25,000,000
0.51%, 12/30/10 (a) 16,000,000 16,004,930
Continued
29
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FREDDIE MAC, CONTINUED
0.51%, 1/14/11 (a) $ 1,620,000 $ 1,620,306
0.52%, 9/3/10 (a) 20,000,000 20,001,482
0.61%, 3/9/11 (a) 25,000,000 25,023,120
1.50%, 1/7/11 10,000,000 10,048,324
1.63%, 4/26/11 8,000,000 8,071,438
3.13%, 10/25/10 10,000,000 10,064,888
3.50%, 5/5/11 8,820,000 9,026,590
4.13%, 10/18/10 5,883,000 5,929,604
4.50%, 12/16/10 2,000,000 2,030,649
5.00%, 10/18/10 2,000,000 2,019,406
5.13%, 8/23/10 3,550,000 3,560,106
5.25%, 7/18/11 5,950,000 6,224,439
6.88%, 9/15/10 25,500,000 25,705,023
--------------
286,258,341
--------------
OVERSEAS PRIVATE INVESTMENT CORP. (5.7%)
0.23%, 12/31/11 (a) 28,840,000 28,840,000
0.23%, 5/15/21 (a) 49,114,000 49,114,000
0.23%, 3/15/24 (a) 9,822,002 9,822,002
0.23%, 3/15/24 (a) 14,473,684 14,473,684
0.23%, 3/15/24 (a) 16,885,965 16,885,965
--------------
119,135,651
--------------
STRAIGHT-A FUNDING LLC (4.4%)
0.35%, 8/24/10 (b) 15,000,000 14,996,646
0.39%, 8/9/10 (b) 20,000,000 19,998,267
0.43%, 8/16/10 (b) 15,000,000 14,997,375
0.43%, 9/1/10 (b) 12,000,000 11,995,557
0.43%, 9/27/10 (b) 15,000,000 14,991,687
0.45%, 10/13/10 (b) 15,000,000 14,989,354
--------------
91,968,886
--------------
TOTAL U.S. GOVERNMENT AGENCIES 1,237,358,374
--------------
U.S. TREASURY OBLIGATIONS (0.3%)
U.S. TREASURY NOTES (0.3%)
2.38%, 8/31/10 5,000,000 5,007,683
--------------
TOTAL U.S. TREASURY OBLIGATIONS 5,007,683
--------------
Continued
30
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
SHARES VALUE
------------ --------------
MONEY MARKETS (0.5%)
AIM STIT Government & Agency Portfolio (c) 10,122,327 $ 10,122,327
Goldman Sachs Financial Square Government Fund (c) 285,546 285,546
--------------
TOTAL MONEY MARKETS 10,407,873
--------------
PRINCIPAL
AMOUNT
------------
REPURCHASE AGREEMENTS (34.1%)
Bank of America Securities, LLC, 0.20%, dated 7/30/10,
due 8/2/10, (Repurchase proceeds, $180,003,000,
Collateralized by U.S. Treasury, 4.88%, 4/30/11,
value $183,600,020) $180,000,000 180,000,000
Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $205,003,588, Collateralized by
U.S. Treasury, 3.63%, 8/15/19, value $209,100,001) 205,000,000 205,000,000
Deutsche Bank, 0.20%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $150,002,500, Collateralized by
various U.S. Government Agency Securities,
1.19%-5.63%, 5/24/12-4/19/35, value $153,001,877) 150,000,000 150,000,000
Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $150,002,750, Collateralized by
U.S. Treasury Security and Federal Home Loan Mortgage,
0.00%-1.38%, 1/12/11-11/15/12, value $153,000,050) 150,000,000 150,000,000
UBS Investment Bank, 0.19%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $25,067,397, Collateralized by
various U.S. Government Agency Securities, 0.00%-4.88%,
11/17/11-11/29/19, value $25,568,776) 25,067,000 25,067,000
--------------
TOTAL REPURCHASE AGREEMENTS 710,067,000
--------------
TOTAL INVESTMENTS (COST $2,078,316,563)(+) - 99.8% 2,078,316,563
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% 3,658,494
--------------
NET ASSETS - 100.0% $2,081,975,057
==============
Continued
31
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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 July
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) 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.
32
U.S. TREASURY MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
CORPORATE BONDS (8.8%)
U.S. GOVERNMENT AGENCIES (8.8%)
American Express Bank FSB, 1.19%, 12/10/10 (a) (c) $ 38,700,000 $ 38,830,302
Bank of America Corp., 1.04%, 12/2/10 (a) (c) 14,825,000 14,854,321
Bank of America NA, 0.57%, 9/13/10 (a) (c) 9,650,000 9,651,081
Citibank NA, 1.5%, 7/12/11 (c) 17,100,000 17,274,897
General Electric Capital Corp., Series G, 1.63%, 1/7/11 (c) 15,000,000 15,081,004
Morgan Stanley, 2.90%, 12/1/10 (c) 14,644,000 14,765,370
SunTrust Bank, 1.19%, 12/16/10 (a) (c) 14,685,000 14,726,536
--------------
TOTAL CORPORATE BONDS 125,183,511
--------------
U.S. GOVERNMENT AGENCIES (2.1%)
OVERSEAS PRIVATE INVESTMENT CORP. (2.1%)
0.23%, 12/15/19 (a) 30,000,000 30,000,000
--------------
TOTAL U.S. GOVERNMENT AGENCIES 30,000,000
--------------
U.S. TREASURY BILLS (16.2%)
0.09%, 8/12/10 ** 60,000,000 59,997,974
0.17%, 8/26/10 ** 50,000,000 49,993,000
0.19%, 1/13/11 ** 25,000,000 24,977,943
0.20%, 12/30/10 ** 25,000,000 24,978,503
0.20%, 1/27/11 ** 25,000,000 24,975,512
0.22%, 10/14/10 ** 10,000,000 9,995,478
0.23%, 9/16/10 ** 20,000,000 19,994,237
0.25%, 11/18/10 ** 15,000,000 14,988,646
--------------
TOTAL U.S. TREASURY BILLS 229,901,293
--------------
U.S. TREASURY NOTES (13.8%)
0.88%, 1/31/11 50,000,000 50,142,628
0.88%, 2/28/11 40,000,000 40,112,373
0.88%, 3/31/11 25,000,000 25,080,837
1.00%, 7/31/11 10,000,000 10,064,912
2.38%, 8/31/10 35,000,000 35,057,676
4.25%, 10/15/10 35,000,000 35,277,687
--------------
TOTAL U.S. TREASURY NOTES 195,736,113
--------------
SHARES
------------
MONEY MARKETS (0.1%)
AIM STIT Treasury Portfolio (b) 600,971 600,971
Goldman Sachs Financial Square Treasury Obligations Fund (b) 681,106 681,106
--------------
TOTAL MONEY MARKETS 1,282,077
--------------
Continued
33
U.S. TREASURY MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
REPURCHASE AGREEMENTS (60.1%)
Bank of America Securities, LLC, 0.19%, dated 7/30/10,
due 8/2/10, (Repurchase proceeds, $138,701,196,
Collateralized by U.S. Treasury Security, 2.63%,
2/29/16, value $141,473,027) $138,699,000 $ 138,699,000
Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $185,003,238, Collateralized by
U.S. Treasury Security, 2.25%, 1/31/15,
value $188,700,046) 185,000,000 185,000,000
BMO Nesbitt Burns, 0.20%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $200,003,333, Collateralized by
various U.S. Treasury Securities, 1.00%-3.13%,
8/31/11-10/31/16, value $204,000,015) 200,000,000 200,000,000
Deutsche Bank, 0.19%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $150,002,375, Collateralized by
U.S. Treasury Security, 2.38%, 2/28/15,
value $153,000,089) 150,000,000 150,000,000
Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10,
(Repurchase proceeds, $180,003,300, Collateralized by
various U.S. Treasury Securities, 1.38%-3.13%,
11/15/12-5/15/19, value $183,600,084) 180,000,000 180,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 853,699,000
--------------
TOTAL INVESTMENTS (COST $1,435,801,994)(+) - 101.1% 1,435,801,994
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.1)% (15,936,609)
--------------
NET ASSETS - 100.0% $1,419,865,385
==============
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 July
31, 2010.
(b) Investment is in Institutional Shares of underlying fund/portfolio.
(c) FDIC guaranteed through Treasury Liquidity Guarantee Program.
See notes to schedules of investments and notes to financial statements.
34
This page intentionally left blank.
35
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2010
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
--------------
ASSETS:
Investments, at amortized cost and value $ 789,420,943
Repurchase agreement, at cost and value 119,505,000
--------------
Total Investments 908,925,943
Cash --
Interest receivable 1,462,246
Receivable for investments sold 12,295,371
Receivable for Fund shares sold 68,031
Receivable from Advisor and affiliates 54,067
Prepaid expenses and other assets 44,779
--------------
Total Assets 922,850,437
--------------
LIABILITIES:
Cash overdraft 1,892
Distributions payable 6,117
Payable for investments purchased 8,034,417
Payable for Fund shares redeemed 5,724
ACCRUED EXPENSES AND OTHER PAYABLES:
Payable to Advisor and affiliates --
Distribution and administrative servicing fee 281,297
Other 81,235
--------------
Total Liabilities 8,410,682
--------------
NET ASSETS:
Paid-in Capital $ 915,592,645
Accumulated net investment income 139,925
Accumulated net realized gain (loss) from investment transactions (1,292,815)
--------------
Net Assets $ 914,439,755
==============
NET ASSETS:
Institutional Shares $ 483,485,810
Class A Shares 429,678,458
Class B Shares 1,177,850
Class C Shares 97,637
Select Shares NA
Preferred Shares NA
Trust Shares NA
--------------
Total $ 914,439,755
==============
Shares of beneficial interest outstanding (unlimited number of
shares authorized, no par value):
Institutional Shares 484,189,495
Class A Shares 430,301,711
Class B Shares 1,179,647
Class C Shares 97,774
Select Shares NA
Preferred Shares NA
Trust Shares NA
--------------
Total 915,768,627
==============
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.
36
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2010
- --------------------------------------------------------------------------------
INSTITUTIONAL
INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
------------- -------------- --------------
$2,721,814,141 $1,368,249,563 $ 582,102,994
547,522,000 710,067,000 853,699,000
- -------------- -------------- --------------
3,269,336,141 2,078,316,563 1,435,801,994
-- 801 93,855
4,379,824 3,935,911 1,481,410
-- -- --
58,580 128,625 9,882
-- -- --
81,841 76,686 73,381
- -------------- -------------- --------------
3,273,856,386 2,082,458,586 1,437,460,522
- -------------- -------------- --------------
7,045 -- --
127,493 56,381 18,474
20,026 1,413 17,290,832
351,610 -- 2,316
444,869 196,741 110,261
141,458 166,491 125,451
84,998 62,503 47,803
- -------------- -------------- --------------
1,177,499 483,529 17,595,137
- -------------- -------------- --------------
$3,275,279,173 $2,081,958,984 $1,419,818,594
42,757 32,829 46,791
(2,643,043) (16,756) --
- -------------- -------------- --------------
$3,272,678,887 $2,081,975,057 $1,419,865,385
============== ============== ==============
$2,826,418,728 $1,654,461,500 $1,144,685,934
NA NA NA
NA NA NA
NA NA NA
104,437,620 57,800,026 9,203,496
123,711,247 237,627,231 188,149,202
218,111,292 132,086,300 77,826,753
- -------------- -------------- --------------
$3,272,678,887 $2,081,975,057 $1,419,865,385
============== ============== ==============
2,828,677,134 1,654,475,173 1,144,545,203
NA NA NA
NA NA NA
NA NA NA
104,524,167 57,800,591 9,198,067
123,796,416 237,623,961 188,093,857
218,290,269 132,085,307 77,815,619
- -------------- -------------- --------------
3,275,287,986 2,081,985,032 1,419,652,746
============== ============== ==============
$ 1.00 $ 1.00 $ 1.00
============== ============== ==============
See notes to financial statements.
37
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
--------------
INVESTMENT INCOME:
Interest income $ 4,033,904
Dividend income 101,951
------------
Total Income 4,135,855
------------
EXPENSES:
Investment advisory fees 4,176,733
Administration fees 1,813,271
Distribution servicing fees - Class A 1,181,763
Distribution servicing fees - Class B 17,532
Distribution servicing fees - Class C 2,300
Administrative servicing fees - Class C 767
Administrative servicing fees - Select Shares NA
Administrative servicing fees - Preferred Shares NA
Administrative servicing fees - Trust Shares NA
Accounting fees 216,303
Registration and filing fees 35,069
Transfer and dividend disbursing agent fees 84,449
Custody fees 41,386
Trustees' fees and expenses 50,231
Professional fees 48,628
Printing expense 51,441
Treasury Guarantee Program expense 84,374
Other expenses 68,380
------------
Total expenses 7,872,627
------------
Less: Waiver and/or reimbursement from Advisor and/or affiliates (2,692,116)
Distribution/servicing fees waived (1,191,389)
Fair Fund reimbursement* (71,662)
------------
Net Expenses 3,917,460
------------
NET INVESTMENT INCOME 218,395
------------
Net realized gains (losses) on investments (1,099,856)
------------
Change in net assets resulting from operations $ (881,461)
============
- ------
* See Note 4.
See notes to financial statements.
38
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2010
- --------------------------------------------------------------------------------
INSTITUTIONAL
INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
------------- -------------- --------------
$ 10,651,540 $ 6,029,202 $ 3,122,631
241,570 112,569 2,949
------------ ------------ ------------
10,893,110 6,141,771 3,125,580
------------ ------------ ------------
12,242,870 8,460,755 5,793,805
5,315,597 3,673,176 2,515,392
NA NA NA
NA NA NA
NA NA NA
NA NA NA
84,010 64,822 12,571
189,713 462,749 343,989
605,518 360,098 191,364
421,970 324,161 254,353
28,523 25,679 24,818
121,956 92,285 63,492
88,222 66,223 49,464
132,870 101,387 67,130
109,984 84,963 57,258
7,320 1,230 1,374
140,783 83,396 124,611
210,113 166,529 147,226
------------ ------------ ------------
19,699,449 13,967,453 9,646,847
------------ ------------ ------------
(12,251,918) (8,581,505) (6,241,188)
(338,418) (559,021) (532,567)
(1,530) (10,637) (32,326)
------------ ------------ ------------
7,107,583 4,816,290 2,840,766
------------ ------------ ------------
3,785,527 1,325,481 284,814
------------ ------------ ------------
(2,560,615) (10,210) 1,912
------------ ------------ ------------
$ 1,224,912 $ 1,315,271 $ 286,726
============ ============ ============
See notes to financial statements.
39
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
--------------------------------
YEAR YEAR
ENDED ENDED
JULY 31, JULY 31,
2010 2009
-------------- --------------
CHANGE IN NET ASSETS:
OPERATIONS:
Net investment income $ 218,395 $ 17,667,669
Net realized gains (losses) from investment transactions (1,099,856) 14,024
-------------- --------------
Change in net assets resulting from operations (881,461) 17,681,693
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (95,432) (10,944,254)
Class A Shares (73,523) (6,701,724)
Class B Shares (289) (16,233)
Class C Shares (66) (5,743)
Select Shares NA NA
Preferred Shares NA NA
Trust Shares NA NA
-------------- --------------
Change in net assets from Fund shareholder distributions (169,310) (17,667,954)
-------------- --------------
Change in net assets from fund share transactions (348,543,096) (353,716,571)
-------------- --------------
Change in net assets (349,593,867) (353,702,832)
NET ASSETS:
Beginning of period 1,264,033,622 1,617,736,454
-------------- --------------
End of period $ 914,439,755 $1,264,033,622
============== ==============
Accumulated net investment income $ 139,925 $ 88,669
============== ==============
See notes to financial statements.
40
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
- -------------------------------- -------------------------------- --------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009
- -------------- -------------- -------------- -------------- -------------- --------------
$ 3,785,527 $ 41,332,428 $ 1,325,481 $ 19,690,441 $ 284,814 $ 10,629,044
(2,560,615) 35,809 (10,210) (6,545) 1,912 38,452
- -------------- -------------- -------------- -------------- -------------- --------------
1,224,912 41,368,237 1,315,271 19,683,896 286,726 10,667,496
- -------------- -------------- -------------- -------------- -------------- --------------
(3,619,983) (34,052,552) (1,207,219) (14,141,762) (203,455) (8,035,343)
NA NA NA NA NA NA
NA NA NA NA NA NA
NA NA NA NA NA NA
(63,824) (1,855,064) (22,877) (639,427) (2,525) (151,465)
(33,843) (1,626,668) (45,882) (3,062,459) (33,797) (2,007,705)
(35,284) (3,847,827) (20,766) (1,872,559) (11,410) (439,475)
- -------------- -------------- -------------- -------------- -------------- --------------
(3,752,934) (41,382,111) (1,296,744) (19,716,207) (251,187) (10,633,988)
- -------------- -------------- -------------- -------------- -------------- --------------
166,870,309 184,526,242 (624,768,905) 1, 416,187,748 (301,497,587) (141,261,298)
- -------------- -------------- -------------- -------------- -------------- --------------
164,342,287 184,512,368 (624,750,378) 1, 416,155,437 (301,462,048) (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
- -------------- -------------- -------------- -------------- -------------- --------------
$3,272,678,887 $3,108,336,600 $2,081,975,057 $2,706,725,435 $1,419,865,385 $1,721,327,433
============== ============== ============== ============== ============== ==============
$ 42,757 $ 6,520 $ 32,829 $ 1,706 $ 46,791 $ 8,158
============== ============== ============== ============== ============== ==============
See notes to financial statements.
41
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED --
FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
PRIME
MONEY MARKET
--------------------------------
YEAR YEAR
ENDED ENDED
JULY 31, JULY 31,
2010 2009
-------------- --------------
SHARE TRANSACTIONS:*
Institutional Shares
Shares issued 735,171,371 1,447,894,942
Dividends reinvested 19,565 1,686,958
Shares redeemed (974,185,002) (1,619,326,625)
-------------- --------------
Total Institutional Shares (238,994,066) (169,744,725)
-------------- --------------
Class A Shares
Shares issued 263,030,812 764,807,283
Dividends reinvested 74,532 6,683,342
Shares redeemed (370,474,843) (955,422,760)
-------------- --------------
Total Class A Shares (107,369,499) (183,932,135)
-------------- --------------
Class B Shares
Shares issued 85,295 2,738,356
Dividends reinvested 106 6,012
Shares redeemed (1,507,739) (2,534,090)
-------------- --------------
Total Class B Shares (1,422,338) 210,278
-------------- --------------
Class C Shares
Shares issued 263,595 525,511
Dividends reinvested 54 5,421
Shares redeemed (1,020,842) (778,744)
-------------- --------------
Total Class C Shares (757,193) (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
-------------- --------------
- --------------
* Share transactions are at a Net Asset Value of $1.00 per share.
See notes to financial statements.
42
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
- -------------------------------- -------------------------------- --------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31,
2010 2009 2010 2009 2010 2009
- -------------- -------------- -------------- -------------- -------------- --------------
10,016,269,183 9,060,498,809 6,096,647,083 7,559,025,399 2,447,810,948 6,355,929,792
2,002,992 17,780,796 334,770 5,501,119 58,606 2,299,091
(9,697,385,018) (8,950,954,448) (6,500,769,886) (6,287,174,892) (2,608,544,405) (6,269,946,880)
- -------------- -------------- -------------- -------------- -------------- --------------
320,887,157 127,325,157 (403,788,033) 1,277,351,626 (160,674,851) 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
- -------------- -------------- -------------- -------------- -------------- --------------
794,136,313 683,983,020 223,015,773 405,884,053 23,183,418 84,816,976
37,747 1,126,119 16,628 527,291 558 18,697
(807,093,921) (678,077,650) (278,607,436) (336,828,569) (38,723,636) (80,625,209)
- -------------- -------------- -------------- -------------- -------------- --------------
(12,919,861) 7,031,489 (55,575,035) 69,582,775 (15,539,660) 4,210,464
- -------------- -------------- -------------- -------------- -------------- --------------
597,958,321 1,039,110,858 1,416,373,303 1,358,825,001 594,674,314 1,413,978,909
29,525 1,346,050 29,020 2,253,571 11,484 376,100
(639,995,122) (996,138,746) (1,555,576,724) (1,230,271,195) (701,597,658) (1,600,213,299)
- -------------- -------------- -------------- -------------- -------------- --------------
(42,007,276) 44,318,162 (139,174,401) 130,807,377 (106,911,860) (185,858,290)
- -------------- -------------- -------------- -------------- -------------- --------------
260,278,523 374,533,003 212,748,036 331,577,993 300,468,376 381,149,029
4,042 392,015 4,410 279,933 -- 423
(359,372,276) (369,074,072) (238,983,882) (393,411,663) (318,839,592) (429,043,815)
- -------------- -------------- -------------- -------------- -------------- --------------
(99,089,711) 5,850,946 (26,231,436) (61,553,737) (18,371,216) (47,894,363)
- -------------- -------------- -------------- -------------- -------------- --------------
See notes to financial statements.
43
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
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
CLASS A SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
CLASS B SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------
PRIME MONEY MARKET
CLASS C SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
44
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 0.02% $ 483,486 0.64%[OMEGA] 0.38%[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 0.02% $ 429,678 0.89%[OMEGA] 0.38%[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 0.02% $ 1,178 1.64%[OMEGA] 0.40%[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 0.02% $ 98 1.66%[OMEGA] 0.47%[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%
- ---------------------------------------------------------------------------------------------
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 MONEY MARKET
INSTITUTIONAL SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
SELECT SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
PREFERRED SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET
TRUST SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
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 0.14% $2,826,419 0.62%[OMEGA] 0.21%[OMEGA] 0.14%
$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 0.06% $ 104,438 0.70%[OMEGA] 0.29%[OMEGA](+) 0.06%
$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 0.02% $ 123,711 0.77%[OMEGA] 0.33%[OMEGA](+) 0.03%
$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 0.01% $ 218,111 0.87%[OMEGA] 0.34%[OMEGA](+) 0.01%
$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%
- ---------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
INSTITUTIONAL SHARES
Year ended 7/31/10 $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)
- ----------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
SELECT SHARES
Year ended 7/31/10 $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)
- ----------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
PREFERRED SHARES
Year ended 7/31/10 $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)
- ----------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET
TRUST SHARES
Year ended 7/31/10 $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)
- ----------------------------------------------------------------------------------------------------------
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 0.07% $1,654,462 0.62%[OMEGA] 0.21%[OMEGA](+) 0.08%
$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 0.02% $ 57,800 0.70%[OMEGA] 0.26%[OMEGA](+) 0.03%
$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 0.01% $ 237,627 0.77%[OMEGA] 0.28%[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 0.01% $ 132,086 0.87%[OMEGA] 0.27%[OMEGA](+) 0.01%
$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%
- ---------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
49
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
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
SELECT SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
PREFERRED SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET
TRUST SHARES
Year ended 7/31/10 $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)
- -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
50
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 0.02% $1,144,686 0.63%[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 0.01% $ 9,203 0.71%[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 0.01% $ 188,149 0.78%[OMEGA] 0.20%[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 0.01% $ 77,827 0.88%[OMEGA] 0.20%[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%
- ---------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements.
51
FIFTH THIRD FUNDS
NOTES TO FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
(a) Before waivers and reimbursements.
(b) Net of waivers and reimbursements.
^ Amount is less than $0.005.
[DELTA] Average shares method used in calculation.
@ 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 4 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 was borne by the
Funds without regard to any expense limitation then in effect.
Year ended Year ended
7/31/2010 7/31/2009
Prime Money Market 0.01% 0.04%
Institutional Money Market --^ 0.03%
Institutional Government Money Market --^ 0.02%
U.S. Treasury Money Market 0.01% 0.04%
^ Amount is less than 0.005%
(+) The Advisor waived additional expenses to maintain a competitive yield
as follows:
Year ended Year ended
7/31/2010 7/31/2009
Prime Money Market
Institutional Shares 0.17% --
Class A Shares 0.42% 0.02%
Class B Shares 1.15% 0.29%
Class C Shares 1.10% 0.27%
Institutional Money Market
Select Shares --^ --
Preferred Shares 0.03% --
Trust Shares 0.12% --^
Institutional Government Money Market
Institutional Shares --^ --
Select Shares 0.03% --
Preferred Shares 0.08% 0.01%
Trust Shares 0.19% 0.01%
US Treasury Money Market
Institutional Shares 0.02% --
Select Shares 0.09% --^
Preferred Shares 0.17% 0.01%
Trust Shares 0.27% 0.04%
^ Amount is less than 0.005%
See notes to financial statements.
52
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS
JULY 31, 2010
- --------------------------------------------------------------------------------
(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 ("U.S. GAAP"). The preparation of financial statements
in conformity with U.S. GAAP 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
53
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
amounts of increases and decreases in net assets from operations during the
period. Actual results could differ from those estimates.
SECURITIES VALUATION -- All investments in securities are recorded at their
estimated fair value as described in Note 9.
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/or 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 U.S. GAAP. 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
54
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
require reclassifications. Accordingly, at July 31, 2010, reclassifications were
recorded as follows:
INCREASE (DECREASE)
ACCUMULATED INCREASE (DECREASE)
NET INVESTMENT ACCUMULATED NET INCREASE (DECREASE)
INCOME (LOSS) REALIZED GAIN (LOSS) PAID-IN-CAPITAL
------------------ ------------------- ------------------
Prime Money Market $2,171 $ -- $(2,171)
Institutional Money Market 3,644 -- (3,644)
Institutional Government
Money Market 2,386 -- (2,386)
U.S. Treasury Money Market 5,006 (1,912) (3,094)
FEDERAL TAXES -- It is the intention of each Fund to continue to qualify as a
regulated investment company by complying with Subchapter M 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 July 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
2007-2009, 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
55
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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. 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 the
voluntary waiver at any time at its sole discretion.
For the twelve months ended July 31, 2010, the Advisor voluntarily waived the
following fees:
FUND ADVISOR FEE WAIVER
- ---- ------------------
Prime Money Market Fund $ 798,243
Instititional Money Market Fund $9,182,153
Instititional Government Money Market Fund $6,346,374
U.S. Treasury Money Market Fund $4,359,028
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 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
56
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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 the voluntary waiver at any time at its sole discretion.
For the twelve months ended July 31, 2010, FTAM waived the following
administration fees:
FUND ADMINISTRATION FEE WAIVERS
- ---- --------------------------
Prime Money Market Fund $1,781,916
Institutional Money Market Fund $2,142,502
Institutional Government Money Market Fund $ 978,234
U.S. Treasury Money Market Fund $1,743,402
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 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 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
57
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
Funds' 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 $ 635,459
Institutional Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $9,001,704
Institutional Government Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $6,002,884
U.S. Treasury Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $4,254,225
* 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 2, 2009 through July 31, 2010.
The dollar amounts of the other contractual expense reimbursements, excluding
accounting and administration waivers discussed separately in this Note, were
$111,957 for Prime Money Market, $927,263 for Institutional Money Market,
$1,256,897 for Institutional Government Money Market and $138,758 for U.S.
Treasury Money Market for the year ended July 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
58
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
daily and paid monthly to the Distributor at annual rates up to or equal 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%
The Distributor may voluntarily choose to waive and/or reimburse a portion of
its fee. The Distributor can modify or terminate the voluntary
waiver/reimbursement at any time at its sole discretion. The Distributor
voluntarily waived fees of $1,190,623 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
twelve months ended July 31, 2010, FTAM earned $8,601 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 $1,488,225 from the Trust
for the period ended as of the report date.
ADMINISTRATIVE SERVICING FEE -- The Trust has a Shareholder Servicing Plan 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.
59
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
For the twelve months ended July 31, 2010, the Distributor waived the following
administrative servicing fees:
FUND ADMINISTRATIVE SERVICE FEE WAIVERS
- ---- ----------------------------------
Prime Money Market Fund $ 766
Instititional Money Market Fund $338,418
Instititional Government Money Market Fund $559,021
U.S. Treasury Money Market Fund $532,567
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 $370,000 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
the Trust's custodian bank, State Street Bank and Trust Company ("State
Street"). None of these officers are paid any fees by the Trust.
The Trust reimbursed FTAM for fees paid to a third party in connection with the
negotiation of a new custody agreement. For the year ended July 31, 2010, the
fees were $5,082. The fees were allocated to each Fund based on actual expenses
incurred by the Fund.
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
60
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
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.
In July 2010, certain funds received a one-time payment from the BISYS Fair Fund
(a fund established pursuant to a settlement between the SEC and BISYS Fund
Services, Inc. that requires, among other things, a distribution of settlement
monies from the fair fund to benefit affected mutual funds). Receipt of these
payments is shown as a reduction of total expenses on the Statement of
Operations. The impact of these payments is not reflected in the net expense
ratios in the Financial Highlights. The impact to the net expense ratios and
total return was not significant.
(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 agreement,
which is renewable annually, 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 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 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 fiscal year ended
July 31, 2010.
(6) FEDERAL TAX INFORMATION
The tax character of distributions paid during the fiscal years ended July 31,
2010 and 2009 was as follows:
ORDINARY INCOME DISTRIBUTIONS
-----------------------------
JULY 31, 2010 JULY 31, 2009
------------- -------------
Prime Money Market $ 169,310 $17,667,954
Institutional Money Market 3,752,934 41,382,111
Institutional Government Money Market 1,296,744 19,716,207
U.S. Treasury Money Market 251,187 10,633,988
61
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
As of July 31, 2010, 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 $137,676 $(1,290,566) $(1,152,890)
Institutional Money Market 42,814 (2,643,100) (2,600,286)
Institutional Government Money Market 33,561 (17,488) 16,073
U.S. Treasury Money Market 46,791 -- 46,791
As of July 31, 2010, 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 2015 2016 2017 2018 TOTAL
------- ------- ------- -------- ------- ---------
Prime Money Market $92,314 $-- $-- $100,645 $9,872 $202,831
Institutional Money Market 696 -- -- 81,732 25,057 107,485
Institutional Government
Money Market -- -- -- -- 16,755 16,755
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 year. For
the year ended July 31, 2010, the following Funds deferred to August 1, 2010
post October capital losses of:
CAPITAL LOSSES
--------------
Prime Money Market $1,089,984
Institutional Money Market 2,535,558
(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.
62
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
(8) 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.
(9) SECURITIES VALUATIONS
As described in Note 2, the Funds use various methods to measure the fair value
of most of their investments on a recurring basis. U.S. GAAP established a
hierarchy that prioritizes inputs to valuation methods. The three levels of
input are:
o Level 1 - Unadjusted quoted prices in active markets for identical assets or
liabilities that the Funds have the ability to access.
o Level 2 - Observable inputs other than quoted prices included in level 1
that are observable for the asset or liability, either directly or
indirectly. The inputs may include quoted prices for the identical
investment on an inactive market, prices for similar investments, interest
rates, prepayment speeds, credit risk, yield curves, default rates and
similar data.
o Level 3 - Unobservable inputs for the asset or liability, to the extent
relevant observable inputs are not available, representing the Funds'
own assumptions about the assumptions a market participant
would use in valuing the asset or liability, and would be based on
the best information available.
The availability of observable inputs can vary from security to security and is
affected by a wide variety of factors, including, for example, the type of
security, whether a security is new and not yet established in the marketplace,
the liquidity of markets, and other characteristics particular to the security.
To the extent that valuation is based on models or inputs that are less
observable or unobservable in the market, the determination of fair value
requires more judgment. Accordingly, the degree of judgment exercised in
determining fair value is greatest for instruments categorized in level 3.
63
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
The inputs used to measure fair value may fall into different levels of the fair
value hierarchy. In such cases, for disclosure purposes, the level in the fair
value hierarchy within which the fair value measurement falls in its entirety,
is determined based on the lowest level input that is significant to the fair
value measurement in its entirety.
The Funds' policy is to recognize transfers between levels at the end of the
reporting period.
(10) FAIR VALUE MEASUREMENTS
A description of the valuation techniques applied to the Funds' major categories
of assets and liabilities measured at fair value on a recurring basis follows.
SHORT TERM NOTES -- Investments of the Funds are valued at amortized cost, which
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. To
the extent the inputs are observable and timely, the values would be categorized
in level 2 of the fair value hierarchy.
OPEN-END INVESTMENT COMPANIES -- Investments are valued at net asset value as
reported by such investment companies and are categorized as level 1.
The following is a summary of the fair value hierarchy according to the
inputs used as of July 31, 2010 in valuing the Funds' assets and liabilities:
FAIR VALUE MEASUREMENT AT 7/31/2010 USING
-------------------------------------------
QUOTED PRICES
IN ACTIVE SIGNIFICANT
MARKETS FOR OTHER SIGNIFICANT
IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10
------------ ------------ ----------- ----------
PRIME MONEY MARKET
- -------------------------
ASSETS
Corporate Bonds $ -- $ 94,196,886 $-- $ 94,196,886
Municipal Bonds -- 8,027,920 -- 8,027,920
U.S. Government Agencies -- 113,009,197 -- 113,009,197
U.S. Treasury Obligations -- 5,007,683 -- 5,007,683
Certificates of Deposit -- 40,000,724 -- 40,000,724
Commercial Paper -- 180,794,054 -- 180,794,054
Demand Notes -- 56,049,000 -- 56,049,000
Municipal Demand Notes -- 260,488,000 -- 260,488,000
Money Markets 31,847,479 -- -- 31,847,479
Repurchase Agreements -- 119,505,000 -- 119,505,000
- ------------------------- ----------------------------------------------------------
Total $31,847,479 $877,078,464 $-- $908,925,943
- ------------------------- ==========================================================
64
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENT AT 7/31/2010 USING
-------------------------------------------
QUOTED PRICES
IN ACTIVE SIGNIFICANT
MARKETS FOR OTHER SIGNIFICANT
IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE AT
(LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10
------------ -------------- ----------- ------------
INSTITUTIONAL MONEY MARKET
- --------------------------
ASSETS
Corporate Bonds $ -- $ 229,183,439 $-- $ 229,183,439
U.S. Government Agencies -- 364,076,371 -- 364,076,371
U.S. Treasury Obligations -- 10,015,365 -- 10,015,365
Certificates of Deposit -- 289,602,443 -- 289,602,443
Commercial Paper -- 706,967,545 -- 706,967,545
Demand Notes -- 124,605,000 -- 124,605,000
Municipal Demand Notes -- 868,542,000 -- 868,542,000
Money Markets 128,821,978 -- -- 128,821,978
Repurchase Agreements -- 547,522,000 -- 547,522,000
- -------------------------- ----------------------------------------------------------
Total $128,821,978 $3,140,514,163 $-- $3,269,336,141
==========================================================
INSTITUTIONAL GOVERNMENT MONEY MARKET
- -------------------------------------
ASSETS
Corporate Bonds $ -- $ 46,387,920 $-- $ 46,387,920
Mortgage-Backed Securities -- 69,087,713 -- 69,087,713
U.S. Government Agencies -- 1,237,358,374 -- 1,237,358,374
U.S. Treasury Obligations -- 5,007,683 -- 5,007,683
Money Markets 10,407,873 -- -- 10,407,873
Repurchase Agreements -- 710,067,000 -- 710,067,000
- -------------------------- ----------------------------------------------------------
Total $ 10,407,873 $2,067,908,690 $-- $2,078,316,563
==========================================================
U.S. TREASURY MONEY MARKET
- --------------------------
ASSETS
Corporate Bonds $ -- $ 125,183,511 $-- $ 125,183,511
U.S Government Agencies -- 30,000,000 -- 30,000,000
U.S. Treasury Bills -- 229,901,293 -- 229,901,293
U.S. Treasury Notes -- 195,736,113 -- 195,736,113
Money Markets 1,282,077 -- -- 1,282,077
Repurchase Agreements -- 853,699,000 -- 853,699,000
- -------------------------- ----------------------------------------------------------
Total $ 1,282,077 $1,434,519,917 $-- $1,435,801,994
==========================================================
There were no transfers between level 1 and level 2 during the period. The
Funds did not have level 3 holdings at the beginning or end of the period ended
July 31, 2010.
65
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2010
- --------------------------------------------------------------------------------
(11) U.S. DEPARTMENT OF THE TREASURY'S TEMPORARY GUARANTEE PROGRAM FOR MONEY
MARKET FUNDS
The Funds 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 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 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.
(12) SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events and has determined
that there are no additional events that would require adjustment to or
additional disclosure in the Funds' financial statements.
66
REPORT OF INDEPENDENT
REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIFTH THIRD FUNDS:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Fifth Third Prime Money Market
Fund, Fifth Third Institutional Money Market Fund, Fifth Third Institutional
Government Money Market Fund and Fifth Third U.S. Treasury Money Market Fund
(four series of Fifth Third Funds, hereafter referred to as the "Funds") at July
31, 2010, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period then
ended and the financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at July
31, 2010 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Kansas City, Missouri
September 22, 2010
67
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD FUNDS MANAGEMENT ^
The Trustees and Officers of the Funds, their age, the position they hold with
the Funds, their term of office and length of time served, a description of
their principal occupations during the past five years, the number of portfolios
in the fund complex that the Trustee oversees and any other directorships held
by the Trustee are listed in the two tables immediately following. The business
address of the persons listed below is 38 Fountain Square Plaza, Cincinnati,
Ohio 45202.
INDEPENDENT TRUSTEES
- --------------------
POSITION(S) TERM OF OFFICE AND
NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1)
- ------------ ------------------- ------------------------
Edward Burke Carey Chairman-Board January 1989-Present
Age: 65 of Trustees
David J. Durham Trustee June 2001-Present
Age: 65
J. Joseph Hale Jr. Trustee March 2001-Present
Age: 60
John E. Jaymont Trustee October 2001-Present
Age: 65
- ---------------
^ Additional disclosure can be found in the Statement of Additional Information,
which can be obtained by calling 1-800-282-5706.
68
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN FUND OTHER
PRINCIPAL OCCUPATION(S) COMPLEX OVERSEEN DIRECTORSHIPS
DURING THE PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE
- ----------------------- ------------------ ---------------
Carey Realty Investments, Inc. 24 Canisius
(real estate development and College-Trustee.
consulting), President, 1990-Present.
Chairman of Clipper Products, Inc., 24 None
a wholesale distributor, 2005-Present.
Chairman of Norris Products Corp.,
a wholesale distributor, 2005-Present.
President and Chief Executive Officer
of Clipper Products, Inc., 1997-Present.
Consultant, Duke Energy, July 2010-Present. 24 Trustee for
President and CEO of MediLux Health Hanover College,
Care, April 2008-March 2010. The Egan Maritime
EVP and Managing Director, DHR Institute, The Sconset
International (executive recruiter), Chapel, The Sconset
April 2007-2008. President, Cinergy Trust, The March of
Foundation, November 2001-March 2006. Dimes. The Community
Foundation for
Nantucket
Business Development Director, Printing 24 None
Industries of Ohio/North Kentucky
(printing industry association)
Feb. 2002-Present.
69
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES, CONTINUED
- -------------------------------
POSITION(S) TERM OF OFFICE AND
NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1)
- ------------ ------------------- ------------------------
David J. Gruber Trustee December 2003-Present
Age: 46
INTERESTED TRUSTEE
- ------------------
POSITION(S) TERM OF OFFICE AND
NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1)
- ------------ ------------------- ------------------------
E. Keith Wirtz(2) President and President April 2007-
Age: 50 Trustee Present. Trustee
March 2010-Present
OFFICERS
- --------
Matthew A. Ebersbach Vice President March 2006-Present
Age: 40
Richard B. Ille Vice President April 2007-Present
Age: 45
James A. Mautino Anti-Money February 2007-Present
Age: 42 Laundering and
Chief Compliance
Officer
70
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN FUND OTHER
PRINCIPAL OCCUPATION(S) COMPLEX OVERSEEN DIRECTORSHIPS
DURING THE PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE
- ----------------------- ------------------ ---------------
President, DJG Financial Consulting 24 CASA of
(accounting and finance consultant), Delaware County
June 2007-Present. Resources Global
Professionals, Project Professional,
December 2004-June 2007. Ohio Arts
& Sports Facilities Commission (state
funding oversight agency), CFO,
April 2003-December 2004.
PRINCIPAL OCCUPATION(S)
DURING THE PAST 5 YEARS
- -----------------------
President, Fifth Third Asset 24 None
Management, Inc. 2003-Present,
Managing Partner, Paladin
Investment Associates, LLC,
2000-2003.
Vice President of Fifth Third Bank
since 2001. Registered representative of
FTAM Funds Distributor, Inc.
Managing Director, Products and
Marketing, Fifth Third Asset
Management, Inc., 2001-Present.
Registered representative of
FTAM Funds Distributor, Inc.
Vice President and Chief Compliance
Officer, Fifth Third Asset Management,
Inc. August 2005-Present, Director of
Risk and Compliance, State Street
Bank and Trust Company, October
1995-July 2005.
71
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
OFFICERS, CONTINUED
- -------------------
POSITION(S) TERM OF OFFICE AND
NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1)
- ------------ ------------------- ------------------------
Shannon King Treasurer March 2008-Present
Age: 38
Matthew A. Swendiman Secretary April 2007-Present
Age: 37
Ryan Casey Assistant Treasurer April 2009-Present
Age: 37
Tracy Kaufman Assistant Treasurer June 2007-Present
Age: 51
Francine S. Hayes Assistant Secretary June 2007-Present
Age: 42
- ----------
(1) Each Trustee serves until the election and qualification of a successor, or
until death, resignation, retirement or removal as provided in the Trust's
Amended and Restated Declaration of Trust. Retirement occurs on the last day
of the fiscal year in which the Trustee's 73rd birthday occurs. The Trust's
Officers are elected annually by the Trustees.
(2) Mr. Wirtz is an interested Trustee of the Trust due to his position with
the Advisor.
72
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS
- -----------------------------------------------
Vice President, Fifth Third Asset Management, Inc. September 2007-Present,
Assistant Vice President and Capital Markets Derivative Manager, Fifth Third
Bank, 2005-2007, Capital Markets Accounting Manager, Fifth Third Bank 2001-2005.
Registered representative of FTAM Funds Distributor, Inc.
Vice President and Counsel of Fifth Third Bank, March 2006 to Present. Attorney,
Kirkpatrick & Lockhart Nicholson Graham, LLP, May 2005-March 2006. Counsel, The
Phoenix Companies, Inc., July 2002-April 2005. Assistant Vice President and
Assistant Counsel, Conseco Capital Management, Inc., December 2000-June 2002.
Registered representative of FTAM Funds Distributor, Inc.
Vice President, State Street Bank and Trust Company (a Massachusetts trust
company) from 2000 to Present.
Assistant Vice President, State Street Bank and Trust Company (a Massachusetts
trust company) from 1986 to Present.
Vice President and Counsel, State Street Bank and Trust Company (a Massachusetts
trust company) from 2004 to Present; and Assistant Vice President and Counsel,
State Street Bank and Trust Company, from 2001 to 2004.
73
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
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 February 1, 2010 through July 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.)
74
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
PAID RATIO
BEGINNING ENDING DURING DURING
ACCOUNT ACCOUNT PERIOD* PERIOD
VALUE VALUE 2/1/10 - 2/1/10 -
2/1/10 7/31/10 7/31/10 7/31/10
--------- --------- --------- ---------
PRIME Institutional Shares $1,000.00 $1,000.10 $1.59 0.32%
MONEY MARKET Class A Shares 1,000.00 1,000.10 1.64 0.33%
Class B Shares 1,000.00 1,000.10 1.59 0.32%
Class C Shares 1,000.00 1,000.10 1.59 0.32%
INSTITUTIONAL Institutional Shares 1,000.00 1,000.60 1.04 0.21%
MONEY MARKET Select Shares 1,000.00 1,000.20 1.44 0.29%
Preferred Shares 1,000.00 1,000.10 1.54 0.31%
Trust Shares 1,000.00 1,000.00 1.54 0.31%
INSTITUTIONAL Institutional Shares 1,000.00 1,000.20 1.04 0.21%
GOVERNMENT Select Shares 1,000.00 1,000.00 1.19 0.24%
MONEY MARKET Preferred Shares 1,000.00 1,000.00 1.19 0.24%
Trust Shares 1,000.00 1,000.00 1.19 0.24%
U.S. TREASURY Institutional Shares 1,000.00 1,000.10 0.94 0.19%
MONEY MARKET Select Shares 1,000.00 1,000.00 0.99 0.20%
Preferred Shares 1,000.00 1,000.00 0.99 0.20%
Trust Shares 1,000.00 1,000.00 0.99 0.20%
- -------------
* 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.
75
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
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.)
76
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXPENSE
PAID RATIO
BEGINNING ENDING DURING DURING
ACCOUNT ACCOUNT PERIOD* PERIOD
VALUE VALUE 2/1/10 - 2/1/10 -
2/1/10 7/31/10 7/31/10 7/31/10
--------- --------- --------- ---------
PRIME Institutional Shares $1,000.00 $1,023.21 $1.61 0.32%
MONEY MARKET Class A Shares 1,000.00 1,023.16 1.66 0.33%
Class B Shares 1,000.00 1,023.21 1.61 0.32%
Class C Shares 1,000.00 1,023.21 1.61 0.32%
INSTITUTIONAL Institutional Shares 1,000.00 1,023.75 1.05 0.21%
MONEY MARKET Select Shares 1,000.00 1,023.36 1.45 0.29%
Preferred Shares 1,000.00 1,023.26 1.56 0.31%
Trust Shares 1,000.00 1,023.26 1.56 0.31%
INSTITUTIONAL Institutional Shares 1,000.00 1,023.75 1.05 0.21%
GOVERNMENT Select Shares 1,000.00 1,023.60 1.20 0.24%
MONEY MARKET Preferred Shares 1,000.00 1,023.60 1.20 0.24%
Trust Shares 1,000.00 1,023.60 1.20 0.24%
U.S. TREASURY Institutional Shares 1,000.00 1,023.85 0.95 0.19%
MONEY MARKET Select Shares 1,000.00 1,023.80 1.00 0.20%
Preferred Shares 1,000.00 1,023.80 1.00 0.20%
Trust Shares 1,000.00 1,023.80 1.00 0.20%
- ----------
* 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.
77
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78
ADDRESSES
- --------------------------------------------------------------------------------
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 2757073111 1-800-282-5706 AR-MMF-10
================================================================================
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these individuals
are employed by the registrant or a third party (the "Code of Ethics").
There have been no amendments to the Code of Ethics since it was last filed. The
Code of Ethics is attached hereto as Exhibit 12(a)(1).
There have been no waivers granted by the registrant to individuals covered by
the Code of Ethics during the period covered by this report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that it has one audit
committee financial expert serving on the registrant's Audit Committee that
possess the attributes identified in Item 3(b) of Form N-CSR. The name of the
audit committee financial expert is David J. Gruber and Mr. Gruber is
"independent" as that term is defined in Item 3(a)(2) of Form N-CSR.
An "audit committee financial expert" is not an "expert" for any purpose,
including for purposes of Section 11 of the Securities Act of 1933, as a result
of being designated as an "audit committee financial expert." Further, the
designation of a person as an "audit committee financial expert" does not mean
that the person has any greater duties, obligations, or liability than those
imposed on the person without the "audit committee financial expert"
designation. Similarly, the designation of a person as an "audit committee
financial expert" does not affect the duties, obligations, or liability of any
other member of the Audit Committee or Board of Trustees.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
----------
The aggregate fees billed for professional services rendered by the principal
accountant for the audit of the registrant's annual financial statements or
services normally provided in connection with statutory and regulatory filings
and engagements for the last two fiscal years ended July 31, 2009 and July 31,
2010 were $386,238 and $319,624, respectively.
(b) Audit Related Fees
------------------
The registrant was not billed any fees by the principal accountant for the
fiscal year ended July 31, 2009 or July 31, 2010 for assurance and related
services that were reasonably related to the performance of the audit of the
registrant's financial statements and not otherwise included under paragraph (a)
of this Item 4.
(c) Tax Fees
--------
The aggregate fees billed for professional services rendered by the principal
accountant for tax compliance, tax advice and tax planning in the form of
preparation of excise filings and income tax returns for the last two fiscal
years ended July 31, 2009 and July 31, 2010 were $147,498 and $75,148,
respectively.
(d) All Other Fees
--------------
The aggregate fees billed for products and services provided by the principal
accountant, other than the services reported in paragraphs (a) through (c) of
this Item for the last two fiscal years ended July 31, 2009 and July 31, 2010
were $0 and $0, respectively.
(e) Pre-Approval Policies and Procedures
------------------------------------
(1) Audit and Non-Audit Services Pre-Approval Policies and Procedures
I. Purpose
Under the Sarbanes-Oxley act of 2002 (the "Act"), the audit committee (the
"Committee") of the Board of Trustees of Fifth Third Funds (the "Trust")
is responsible for the appointment, compensation and oversight of the work
of the Trust's independent auditor. As part of this responsibility, the
Committee is required to grant approval for audit and non-audit services
performed by the independent auditor for the Trust in order assure that
they do not impair the auditor's independence from the Trust. To implement
these provisions of the Act, the Securities and Exchange Commission (the
"SEC") has issued rules specifying the types of services that the Trust's
independent auditor may not provide to the Trust, as well as the
committee's administration of the engagement of the independent auditor.
Under these rules, the SEC has provided that a permissible approval of
audit and non-audit services can take the form of either (i) an express
approval of a particular engagement, or (ii) a pre-approval (where a
specific type of service is authorized, generally subject to a fee
maximum). The latter types of approvals are authorized by SEC rules only
subject to detailed policies and procedures. Accordingly, the Committee
has adopted these audit and non-audit services pre-approval policies and
procedures, which set forth the procedures and the conditions pursuant to
which services for the Trust may be performed by the independent auditor
under pre-approvals.
II. General Pre-Approval Policies
It is the policy of the committee that audit and non-audit services to be
performed by the Trust's independent auditor be pre-approved only when in
the best interests of the Trust's shareholders and fully consistent with
applicable law and, particularly, the maintenance of the auditor's
independence. In granting any pre-approval, consideration shall be given
to:
1. The qualifications of the auditor to perform the services involved;
2. The proposed costs (which may be presented as an estimate or based
on professional time charges subject to a ceiling) of the services
and the reasonableness thereof;
3. The permissibility of the services under applicable rules and
guidance of the SEC;
4. The effect, if any, of the performance of the proposed services on
the auditor's independence;
5. The effect of the compensation for the proposed services on the
auditor's independence; and
6. The effect, if any, of the proposed services on the Trust's ability
to manage or control risk or to improve audit quality.
While non-audit services may include reviewing and/or validating
procedures or work products of the Trust, they may not include the
production or modification of such procedures or work products. While
non-audit services may include market research and strategic insights,
such services shall be limited to factual reports and shall not include
recommendations. No pre- approval shall be made in a manner that would
constitute a delegation to the Trust's management.
III. Procedures for Pre-Approval by the Committee
1. Requests for pre-approval shall be in writing and may be made by
either the independent auditors or by management of the Trust.
2. All requests for pre-approval shall be made to the full Committee at
regularly scheduled meetings thereof (or at a special meeting of the
Committee set to coincide with regular meetings of the Trust's Board
of Trustees) whenever practicable.
3. Under normal circumstances, requests for pre-approval should be
presented at least 14 days prior (and in no event later than 48 hours
prior) to the proposed commencement of the engagement.
4. If consideration of a request for pre-approval on the dates
identified in Section III (2) would not be timely, the requesting
party shall notify the Committee's chairman. The Committee's
chairman shall then determine whether to schedule a special meeting
of the Committee (which may be conducted telephonically) on an
alternative date or whether the request may appropriately be
presented to a delegate of the Committee under procedures set forth
in Section IV below.
5. Requests for pre-approval may include, but are not limited to, the
following services:
A. Audit engagement, particularly for interim periods;
B. Preparation of fund tax returns;
C. Review and consents with respect to use of reports in post-
effective amendments to the registration statements of the Trust;
D. Review of its shareholder materials;
E. Review and validation of fund procedures (e.g., valuation,
interfund lending, etc.), and
F. Market research and strategic insights.
6. Requests for pre-approval should identify the nature of the services
to be provided in a manner sufficiently specific to allow evaluation
of the considerations identified above in Section II.
7. Requests for pre-approval must include an assessment by the
independent auditor of their independence should the request be
granted and the proposed services rendered.
8. The Committee's action on a request for pre-approval shall be
recorded in the Committee's minutes.
9. The Committee's action on a request for pre-approval shall be
communicated in writing to the independent auditor and, under normal
circumstances, a copy of this communication shall be provided to the
Trust's management.
10. The Committee's action on a request for pre-approval shall be
reported to the full board of Trustees.
11. Pre-approvals will be granted for a period of no more than one year.
IV. Procedures for Pre-Approval by a Delegate of the Committee
1. Where it has been determined by the Committee's chairman that
consideration of a request for pre-approval by the full Committee
would not be timely, the chairman may determine that the request be
presented to a member(s) of the Committee appointed by the Committee
as its delegate (the "delegate") for this purpose. (as of the date
of the adoption of these guidelines and procedures, John E. Jaymont
has been so appointed, and such appointment may be revoked or
modified by the Committee at any time.)
2. Requests for pre-approval shall be in writing and may be made by
either the independent auditors or by management of the Trust.
3. Under normal circumstances, requests for pre-approval should be
presented at least 14 days prior (and in no event later than 48
hours prior) to the proposed commencement of the engagement.
4. Requests for pre-approval may include, but are not limited to, the
following services:
a. Audit engagement, particularly for interim periods;
b. Preparation of fund tax returns;
c. Review and consents with respect to use of reports in post-
effective amendments to the registration statements of the Trust;
d. Review of its shareholder materials;
e. Review and validation of fund procedures (e.g., valuation,
interfund lending, etc.); and
f. Market research and strategic insights.
5. Requests for pre-approval should identify the nature of the services
to be provided in a manner sufficiently specific to allow evaluation
of the considerations identified above in Section II.
6. Requests for pre-approval must include an assessment by the
independent auditor of their independence should the request be
granted and the proposed services rendered.
7. The delegate's action on a request for pre-approval shall be
communicated in writing to the independent auditor, with a copy to
each other member of the Committee and, under normal circumstances,
to the Trust's management.
8. Pre-approvals by the delegate shall be reviewed by the Committee at
a meeting held no later than the next scheduled meeting of the Board
of Trustees or the Committee, whichever occurs sooner. An earlier
review shall be conducted upon the written request of one or more
Committee members addressed to the Committee's Chairman.
9. Pre-approvals by the delegate may be modified or revoked by the
Committee, but will not absolve the Trust of its responsibility to
compensate the independent auditor for services rendered prior to
such modification or revocation.
10. The results of the Committee's review of the delegate's action on a
request for pre- approval shall be recorded in the Committee's
minutes and reported to the full board of Trustees.
11. Pre-approvals will be granted by the delegate for a period of no
more than one year.
V. Procedures For Monitoring Engagements Authorized Under Pre-Approval
Procedures
The independent auditor shall inform the Committee in writing upon the
Commencement of services rendered under a pre-approval. The independent
auditor shall thereafter provide the Committee with written quarterly
progress reports within one month of the close of each calendar quarter
detailing the work done and fees and other charges incurred during said
calendar quarter. Should fees and expenses exceed those specified in a
pre-approval (or appear likely to do so prior to completion of the work),
the independent auditor or management shall so apprise the Committee and
an additional express approval or pre-approval must be obtained.
VI. Amendment
These policies and procedures may be amended or revoked at any time by the
Committee and shall be reviewed at least annually in conjunction with
review of the Audit Committee charter.
(2) None, or 0% of services relating to the Audit-Related Fees, Tax Fees and
All Other Fees disclosed above were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
(g) The aggregate non-audit fees billed for the fiscal year ended July 31, 2009
and July 31, 2010 for services rendered by the principal accountant to the
registrant were $147,498 and $75,148, respectively.
The aggregate non-audit fees billed for the fiscal year ended July 31, 2009 and
July 31, 2010 for services rendered by the principal accountant to the
investment adviser were $29,708 and $0, respectively.
(h) The Audit Committee has considered that the provision of non-audit services
that were rendered to the registrant's investment adviser (not including any
subadviser whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the investment adviser that provides
ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) A Schedule of Investments is included as a part of the reports to
shareholders filed under Item 1 of this Form N-CSR.
(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.
There were no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board of Trustees since the registrant
last disclosed its procedures pursuant to Item 22(b)(15) of Schedule 14A or this
Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
have concluded based on their evaluation of the registrant's disclosure controls
and procedures as conducted within 90 days of the filing date of this report,
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 Securities and Exchange 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) The Code of Ethics is attached hereto.
(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: September 29, 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: September 29, 2010
/s/ Shannon King
- ----------------
Shannon King
Treasurer
(Principal Financial and Accounting Officer)
Date: September 29, 2010
EXHIBIT 12(a)(1)
FIFTH THIRD FUNDS
CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS
-----------------------------------------------------------------------
I. COVERED OFFICERS/PURPOSE OF THE CODE
The Board of Trustees (the "Board") of the Fifth Third Funds (the "Trust")
has established this Code of Ethics ("Code") in accordance with the
Sarbanes-Oxley Act of 2002 and the rules promulgated thereunder. This Code
applies to the Company's Principal Executive Officer ("President") and Principal
Financial Officer ("Treasurer") (the "Covered Officers" each of whom is
identified in Exhibit A) for the purpose of promoting:
o honest and ethical conduct, including the ethical handling of actual
or apparent conflicts of interest between personal and professional
relationships;
o full, fair, accurate, timely and understandable disclosure in reports
and documents that a registrant files with, or submits to, the
Securities and Exchange Commission ("SEC") and in other public
communications made by the Company;
o compliance with applicable laws and governmental rules and regulations;
o the prompt internal reporting of violations of the Code to an
appropriate person or persons identified in the Code; and
o accountability for adherence to the Code.
Each Covered Officer should adhere to a high standard of business ethics
and should be sensitive to situations that may give rise to apparent as well as
actual conflicts of interest.
II. COVERED OFFICERS SHOULD HANDLE ETHICALLY ACTUAL AND APPARENT CONFLICTS OF
INTEREST
OVERVIEW. A "conflict of interest" occurs when a Covered Officer's private
interest interferes with the interests of, or his service to, the Company. For
example, a conflict of interest would arise if a Covered Officer, or a member of
his family, receives improper personal benefits as a result of his position in
the Company. Under no circumstances should a Covered Officer have any
undisclosed or unapproved financial or other business relationship with the
Trust or a third party that might impair or might by viewed as impairing the
exercise of the Covered Officer's best judgment with respect to matters
involving the Trust.
Certain conflicts of interest arise out of the relationships between
Covered Officers and the Company and already are subject to conflict of interest
provisions in the Investment Company Act of 1940 (the "Investment Company Act").
For example, Covered Officers may not individually engage in certain
transactions (such as the purchase or sale of securities or other property) with
the Company because of their status as "affiliated persons" of the Company. Each
Covered Officer is an employee of the Company's investment adviser or its
affiliates ("Adviser"). The Company's and the Adviser's compliance programs and
procedures are designed to prevent, or identify and correct, violations of these
provisions. This Code does not, and is not intended to, repeat or replace these
programs and procedures, and such conflicts fall outside of the parameters of
this Code.
Although typically not presenting an opportunity for improper personal
benefit, conflicts arise from, or as a result of, the contractual relationship
between the Company and the Adviser of which the Covered Officers are also
officers or employees. As a result, this Code recognizes that the Covered
Officers will, in the normal course of their duties (whether formally for the
Company or for the Adviser,
or for both), be involved in establishing policies and implementing decisions
which will have different effects on the Adviser and the Company. The
participation of the Covered Officers in such activities is inherent in the
contractual relationship between the Company and the Adviser and is consistent
with the performance by the Covered Officers of their duties as officers of the
Company. Thus, if performed in conformity with the provisions of the Investment
Company Act, will be deemed to have been handled ethically. In addition, it is
recognized by the Board that the Covered Officers may, from time to time, also
be officers or employees of one or more other investment companies covered by
this or other Codes.
Other conflicts of interest are covered by the Code, even if such
conflicts of interest are not subject to provisions in the Investment Company
Act. The following list provides examples of conflicts of interest under the
Code, but Covered Officers should keep in mind that these examples are not
exhaustive. The overarching principle is that the personal interest of a Covered
Officer should not be placed improperly before the interest of the Company.
Each Covered Officer must:
o not use his personal influence or personal relationships improperly to
influence investment decisions or financial reporting by the Company
whereby the Covered Officer would benefit personally to the detriment
of the Company;
o not cause the Company to take action, or fail to take action, for the
individual personal benefit of the Covered Officer rather than for the
benefit of the Company;
o not use material non-public knowledge of portfolio transactions made
or contemplated for the Company to trade personally or cause others to
trade personally in contemplation of the market effect of such
transactions;
There are some relationships that should always be disclosed to the Chief
Compliance Officer of the Trust, including:
1. Any ownership interest in, or any consulting or employment
relationship with, any entities doing business with the Trust, other
than an affiliated service provider or an affiliate of an affiliated
service provider. This disclosure requirement shall not apply to or
otherwise limit the ownership of publicly traded securities so long as
the Covered Officer's ownership does not exceed more than 1% of the
outstanding securities of the relevant class.
2. A direct or indirect financial interest in commissions, transaction
charges or spreads paid by the Trust for effecting portfolio
transactions or for selling or redeeming shares other than an interest
arising from the Covered Officer's employment with an affiliated
service provider or its affiliates. This disclosure requirement shall
not apply to or otherwise limit (i) the ownership of publicly traded
securities so long as the Covered Officer's ownership does not exceed
more than 1% of a particular class of security outstanding or (ii) the
receipt by an affiliated service provider or its affiliates of
research or other benefits in exchange for "soft dollars".
As a registered investment company, it is of critical importance
that the Trust's public communications, reports, and SEC filings contain
full, fair, accurate, timely, and understandable disclosure. Accordingly,
each Covered Officer is expected to consider it central to his or her
duties and responsibilities to the Trust to promote full, fair, accurate,
timely, and understandable disclosure in the Trust's public
communications and reports, and in the documents that the Trust files
with, or submits to, the SEC. In this regard, the Trust has adopted
Disclosure Controls and Procedures that, "under the supervision and
oversight" of the Covered Officers are designed to ensure that all
information the Trust is
2
required to disclose in its annual and semi-annual reports filed with the SEC
are recorded, processed, summarized and reported within the time periods
specified by the SEC under its rules and regulations.
In addition to adhering to the specific requirements set forth in those
Disclosure Controls and Procedures and all applicable governmental laws, rules
and regulations, each Covered Officer shall exercise a high standard of care in
complying with the Trust's system of internal accounting controls, and in
preparing and providing all necessary information to make the Trust's public
reports, communications, and SEC filings and submissions complete, fair, and
understandable.
Accordingly, each Covered Officer must not knowingly misrepresent or cause
others to misrepresent facts about the Trust. In addition, each Covered Officer
must seek to ensure that all of the Trust's books, records, accounts and
financial information, as well as reports produced from those materials:
1. Are supported by accurate documentation maintained in reasonable
detail;
2. Are recorded in the proper account and in the proper accounting period;
3. Do not contain any false or intentionally misleading entries;
4. Fairly and accurately reflect the transactions or occurrences to which
they relate; and
5. Conform to both the Trust's system of internal controls, its
Disclosure Controls and Procedures, and to all applicable laws, rules
and regulations.
III. DISCLOSURE & COMPLIANCE
o Each Covered Officer should familiarize himself with the disclosure
requirements generally applicable to the Company;
o each Covered Officer should not knowingly misrepresent, or cause
others to misrepresent, facts about the Company to others, whether
within or outside the Company, including to the Company's Trustees and
auditors, and to governmental regulators and self-regulatory
organizations;
o each Covered Officer should, to the extent appropriate within his area
of responsibility, consult with other officers and employees of the
Company and the Adviser or subadviser, administrator, and
sub-administrator with the goal of promoting full, fair, accurate,
timely and understandable disclosure in the reports and documents the
Company files with, or submits to, the SEC and in other public
communications made by the Company; and
o it is the responsibility of each Covered Officer to promote compliance
with the standards and restrictions imposed by applicable laws, rules
and regulations.
IV. REPORTING AND ACCOUNTABILITY
Each Covered Officer must:
o upon adoption of the Code (or thereafter as applicable, upon becoming
a Covered Officer), affirm in writing to the Board that he/she has
received, read, and understands the Code (pursuant to the form
identified as Exhibit B);
o annually thereafter affirm to the Board that he/she has complied with
the requirements of the Code (pursuant to the form identified as
Exhibit C);
o not retaliate against any employee or Covered Officer or their
affiliated persons for reports of potential violations that are made
in good faith;
3
o notify the Chief Legal Officer ("CLO) promptly if he/she knows of any
violation of this Code. Failure to do so is itself a violation of this
Code; and
o report at least annually any change in his/her affiliations from the
prior year.
The CLO is responsible for applying this Code to specific situations in
which questions are presented under it and has the authority to interpret
this Code in any particular situation.
The Company will follow these procedures in investigating and enforcing
this Code:
o the CLO will take all appropriate action to investigate any potential
violations reported to him/her;
o if, after such investigation, the CLO believes that no violation has
occurred, the CLO is not required to take any further action;
o if the CLO concurs that a violation has occurred, he/she will inform
and make a recommendation to the Audit Committee, which will consider
appropriate action, which may include review of, and appropriate
modifications to, applicable policies and procedures; notification to
appropriate personnel of the Adviser or its board; or a recommendation
to dismiss the Covered Officer; and
o any changes to this Code will, to the extent required, be disclosed as
provided by SEC rules.
V. OTHER POLICIES AND PROCEDURES
This Code shall be the sole code of ethics adopted by the Trust for
purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and
forms applicable to registered investment companies thereunder. Insofar as
other policies or procedures of the Trust, the Trust's Adviser, principal
underwriter, or other service providers govern or purport to govern the behavior
or activities of the Covered Officers who are subject to this Code, they are
superceded by this Code to the extent that they overlap or conflict with the
provisions of this Code. The Funds', its Adviser's, sub-advisers', principal
underwriter's and service providers' codes of ethics under Rule 17j-1 under the
Investment Company Act and the Adviser's more detailed policies and procedures
are separate requirements applying to the Covered Officers and others, and are
not part of this Code.
VI. AMENDMENTS
Any amendments to this Code, other than amendments to Exhibits A, B, and
C, must be approved or ratified by a majority vote of the Company's board,
including a majority of independent directors/trustees.
VII. RECORDS
A copy of this Code, any amendments hereto, and any reports or other
records created in relation to waivers of or amendments to provisions of this
Code shall be kept as records of the Trust for six years from the end of the
fiscal year in which such document was created. All reports and records prepared
or maintained pursuant to this Code will be considered confidential and shall be
maintained and protected accordingly. Except as otherwise required by law or
this Code, such matters shall not be disclosed to anyone other than to members
of the Board, Trust counsel and counsel to the independent directors. Such
records shall be furnished to the SEC or its staff upon request.
4
VIII. CONFIDENTIALITY
All reports and records prepared or maintained pursuant to this Code will
be considered confidential and shall be maintained and protected accordingly.
Except as otherwise required by law or this Code, such matters shall not be
disclosed to anyone other than the appropriate Board and its counsel, the
Adviser and the respective service providers.
IX. INTERNAL USE
The Code is intended solely for the internal use by the Trust and does not
constitute an admission, by or on behalf of the Company, as to any fact,
circumstance, or legal conclusion.
Date adopted: August 12, 2003
As amended: September 12, 2007, September 24, 2008, and September 23, 2009
5
EXHIBIT A
Persons Covered by this Code of Ethics
- --------------------------------------
Principal Executive Officer and President - E. KEITH WIRTZ
Principal Financial Officer and Treasurer - SHANNON KING
As amended March 27, 2008
6
EXHIBIT B
FIFTH THIRD FUNDS
PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS
CODE OF ETHICS CERTIFICATION
I, _______________, Principal ___________ Officer of Fifth Third Funds (the
"Funds") hereby certify that I have received and read the Code of Ethics for
Principal Executive and Principal Financial Officers ("Code") of the Funds. I
further certify to the Board that I understand and have complied with the
requirements of the Code.
By: ______________________
Name:
Title:
Date:
7
EXHIBIT C
FIFTH THIRD FUNDS
PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS
CODE OF ETHICS CERTIFICATION
Reference is made to the Code of Ethics (the "Code") pursuant to Section 406 of
the Sarbanes-Oxley Act of 2002 adopted by Fifth Third Funds (the "Trust") which
applies to the Trust's Principal Executive Officer and Principal Financial
Officer (each a "Covered Officer"). The undersigned Covered Officer hereby
certifies that he or she has fully complied with the requirements of the Code
since his or her last report to the Board.
By: ________________________
Name:
Title:
Date:
8